N-CSRS 1 dncsrs.txt VALIC COMPANY I SEMI-ANNUAL REPORT DATED NOVEMBER 30, 2003 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 811-03738 --------------------------------------------- VALIC Company I -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 2929 Allen Parkway, Houston, TX 77019 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Evelyn M. Curran Senior Vice President The Variable Annuity Life Insurance Company 2929 Allen Parkway Houston, TX 77019 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (713) 831-6425 ------------------------- Date of fiscal year end: May 31 -------------------------- Date of reporting period: November 30, 2003 -------------------------- Item 1. Reports to Shareholders VALIC Company I, Semi-annual Report at November 30, 2003. VALIC Company I Semi-Annual Report November 30, 2003 VALIC COMPANY I - SEMI-ANNUAL REPORT NOVEMBER 30, 2003 TABLE OF CONTENTS President's Letter.................... 1 Schedule of Investments: Asset Allocation Fund.............. 2 Blue Chip Growth Fund.............. 11 Capital Conservation Fund.......... 13 Core Equity Fund................... 17 Government Securities Fund......... 19 Growth & Income Fund............... 20 Growth Fund........................ 22 Health Sciences Fund............... 25 Income & Growth Fund............... 27 International Equities Fund........ 30 International Government Bond Fund. 41 International Growth I Fund........ 44 Large Cap Growth Fund.............. 47 Mid Cap Index Fund................. 49 Money Market I Fund................ 55 Nasdaq-100(R) Index Fund........... 56 Science & Technology Fund.......... 58 Small Cap Fund..................... 60 Small Cap Index Fund............... 65 Social Awareness Fund.............. 83 Stock Index Fund................... 86 Value Fund......................... 92 Statements of Assets and Liabilities.. 95 Statements of Operations.............. 103 Statements of Changes in Net Assets... 107 Notes to Financial Statements......... 113 Financial Highlights.................. 123 Director Information.................. 134
-------------------------------------------------------------------------------- 1 PRESIDENT'S LETTER Dear Valued Investor: We are pleased to present the semiannual report for VALIC Company I. The report contains the investment information and the financial statements of the VALIC Company I portfolios for the reporting period ended November 30, 2003. With VALIC Company I, you have a wide range of investment choices, covering many asset classes, to help you meet your objectives. Each investor has his or her own risk tolerance and financial goals. We recommend that you contact your financial representative to make certain that your current portfolio allocation is appropriate for you. Thank you for your continued confidence in our ability to help you meet your investment goals. Sincerely, /s/ Evelyn M. Curran Evelyn M. Curran, President VALIC Company I -------------------------------------------------------------------------------- ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 2
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- COMMON STOCK - 55.34% ADVERTISING - 0.06% 1,900 Interpublic Group of Cos., Inc. + $ 27,075 920 Omnicom Group, Inc............... 73,287 ------------ 100,362 ------------ AEROSPACE/DEFENSE - 1.02% 5,370 Boeing Co........................ 206,154 3,710 General Dynamics Corp............ 300,027 570 Goodrich Corp.................... 15,681 5,730 Honeywell International, Inc..... 170,124 10,770 Lockheed Martin Corp............. 494,774 890 Northrop Grumman Corp............ 82,441 9,720 Raytheon Co...................... 269,341 870 Rockwell Collins, Inc............ 23,394 2,280 United Technologies Corp......... 195,396 ------------ 1,757,332 ------------ AIRLINES - 0.10% 8,920 Delta Air Lines, Inc............. 111,857 3,800 Southwest Airlines Co............ 68,324 ------------ 180,181 ------------ APPAREL & PRODUCTS - 0.47% 4,340 Gap, Inc......................... 93,310 6,660 Jones Apparel Group, Inc......... 229,770 2,530 Limited, Inc..................... 45,338 530 Liz Claiborne, Inc............... 18,555 4,510 Nike, Inc., Class B.............. 303,298 1,200 Reebok International, Ltd........ 48,288 2,480 TJX Cos., Inc.................... 56,023 520 VF Corp.......................... 21,460 ------------ 816,042 ------------ APPLIANCES/FURNISHINGS - 0.03% 940 Leggett & Platt, Inc............. 19,120 380 Maytag Corp...................... 10,047 330 Whirlpool Corp................... 22,545 ------------ 51,712 ------------ AUTOMOTIVE - 0.54% 1,340 AutoNation, Inc. +............... 23,557 440 AutoZone, Inc. +................. 42,090 360 Cooper Tire & Rubber Co.......... 7,204 4,570 Danaher Corp..................... 380,224
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------ AUTOMOTIVE - (Continued) 2,720 Delphi Automotive Systems Corp. $ 23,882 23,240 Ford Motor Co.................. 306,768 2,720 General Motors Corp............ 116,362 850 Genuine Parts Co............... 26,758 850 Goodyear Tire & Rubber Co. +... 5,737 640 Visteon Corp................... 5,024 ------------ 937,606 ------------ BANKS - 4.04% 1,700 AmSouth Bancorp................ 40,783 16,150 Bank of America Corp........... 1,218,194 3,740 Bank of New York Co., Inc...... 114,743 12,780 Bank One Corp.................. 554,141 2,620 BB&T Corp...................... 103,123 1,100 Charter One Financial, Inc..... 36,542 850 Comerica, Inc.................. 44,328 2,770 Fifth Third Bancorp............ 161,020 610 First Tennessee National Corp.. 27,206 14,800 FleetBoston Financial Corp..... 600,880 1,110 Huntington Bancshares, Inc..... 24,409 2,050 KeyCorp........................ 56,969 1,100 Marshall & Ilsley Corp......... 40,810 7,680 Mellon Financial Corp.......... 221,184 9,300 National City Corp............. 312,015 740 North Fork Bancorp., Inc....... 29,548 1,070 Northern Trust Corp............ 47,990 1,360 PNC Financial Services Group... 73,930 1,410 Providian Financial Corp. +.... 15,933 1,080 Regions Financial Corp......... 40,079 1,640 SouthTrust Corp................ 52,726 1,620 State Street Bank & Trust Co... 82,555 1,370 SunTrust Bks., Inc............. 97,338 1,470 Synovus Financial Corp......... 42,130 24,980 U.S. Bancorp................... 692,196 950 Union Planters Corp............ 32,785 20,450 Wachovia Corp.................. 935,587 22,160 Wells Fargo & Co............... 1,270,433 440 Zions Bancorp.................. 27,135 ------------ 6,996,712 ------------ BEVERAGES - 1.56% 180 Adolph Coors Co., Class B...... 9,920 10,290 Anheuser-Busch Cos., Inc....... 533,228 300 Brown-Forman Corp., Class B.... 27,522
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- BEVERAGES - (Continued) 28,630 Coca-Cola Bottling Co............. $ 1,331,295 2,200 Coca-Cola Enterprises, Inc........ 45,430 4,960 Pepsi Bottling Group, Inc......... 114,477 13,260 PepsiCo, Inc...................... 638,071 ------------ 2,699,943 ------------ BROADCASTING - 0.63% 5,730 Clear Channel Communications, Inc. 239,571 25,360 Comcast Corp., Class A +.......... 795,797 1,560 Univision Communications, Inc., Class A+......................... 56,285 ------------ 1,091,653 ------------ BUILDING MATERIALS - 0.51% 350 American Standard Cos., Inc. +.... 34,895 8,790 Lowe's Cos., Inc.................. 512,457 2,280 Masco Corp........................ 62,016 710 Sherwin-Williams Co............... 23,025 5,480 Vulcan Materials Co............... 243,696 ------------ 876,089 ------------ CHEMICAL - 0.80% 1,100 Air Products and Chemicals, Inc... 52,734 330 Ashland, Inc...................... 13,114 4,460 Dow Chemical Co................... 167,473 13,790 E.I. du Pont de Nemours and Co.... 571,734 6,430 Eastman Chemical Co............... 229,358 1,260 Ecolab, Inc....................... 33,037 610 Engelhard Corp.................... 18,190 250 Great Lakes Chemical Corp......... 5,678 9,350 Hercules, Inc. +.................. 93,874 1,270 Monsanto Co....................... 34,442 830 PPG Industries, Inc............... 48,530 790 Praxair, Inc...................... 56,706 1,080 Rohm and Haas Co.................. 43,362 340 Sigma-Aldrich Corp................ 18,214 ------------ 1,386,446 ------------ COMMERCIAL SERVICES - 0.34% 280 Ball Corp......................... 15,666 5,020 Cendant Corp. +................... 111,243 830 Cintas Corp....................... 38,794 2,370 Concord EFS, Inc. +............... 27,231 690 Convergys Corp. +................. 10,585
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NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- COMMERCIAL SERVICES - Continued 6,200 Deluxe Corp....................... $ 255,440 400 Fluor Corp........................ 14,664 730 Moody's Corp...................... 41,815 1,830 Paychex, Inc...................... 70,400 ------------ 585,838 ------------ CONGLOMERATES - 2.62% 11,540 3M Co............................. 912,122 370 Eaton Corp........................ 38,106 97,970 General Electric Co. @............ 2,808,800 450 ITT Industries, Inc............... 29,664 5,870 Loews Corp........................ 250,238 660 Textron, Inc...................... 32,894 20,120 Tyco International, Ltd........... 461,754 ------------ 4,533,578 ------------ DRUGS - 3.73% 13,220 Abbott Laboratories............... 584,324 2,020 Allergan, Inc..................... 150,955 22,740 Bristol-Myers Squibb Co........... 599,199 7,820 Eli Lilly & Co.................... 536,139 2,810 Forest Laboratories, Inc. +....... 153,538 1,170 King Pharmaceuticals, Inc. +...... 15,105 15,720 Merck & Co., Inc.................. 638,232 86,419 Pfizer, Inc. @.................... 2,899,357 7,140 Schering-Plough Corp.............. 114,597 520 Watson Pharmaceuticals, Inc. +.... 24,513 18,950 Wyeth............................. 746,630 ------------ 6,462,589 ------------ ELECTRONICS/ELECTRICAL EQUIPMENT - 0.73% 4,990 Agilent Technologies, Inc. +...... 141,117 960 American Power Conversion Corp.... 20,986 1,020 Applera Corp. - Applied Biosystems Group............................ 21,899 920 Comverse Technology, Inc. +....... 17,692 2,050 Emerson Electric Co............... 125,132 970 Jabil Circuit, Inc. +............. 26,685 6,950 JDS Uniphase Corp. +.............. 23,908 440 Johnson Controls, Inc............. 48,154 240 Millipore Corp. +................. 10,274 2,600 Molex, Inc........................ 83,616 1,820 NVIDIA Corp. +.................... 38,493
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - Continued 570 Parker Hannifin Corp.............. $ 31,344 3,450 Perkinelmer, Inc.................. 58,339 1,310 Pitney Bowes, Inc................. 52,073 830 PMC-Sierra, Inc. +................ 16,907 400 Power-One, Inc. +................. 3,372 2,480 Sanmina-SCI Corp. +............... 30,231 4,030 Solectron Corp. +................. 23,576 1,120 Symbol Technologies, Inc.......... 15,624 410 Tektronix, Inc.................... 11,296 6,950 Thermo Electron Corp. +........... 166,105 280 Thomas & Betts Corp............... 5,824 440 W. W. Grainger, Inc............... 20,354 7,030 Waters Corp. +.................... 224,819 3,840 Xerox Corp. +..................... 46,771 ------------ 1,264,591 ------------ FINANCE COMPANIES - 0.57% 4,160 Capital One Financial Corp........ 248,435 15,330 MBNA Corp......................... 375,892 9,940 SLM Corp.......................... 369,072 ------------ 993,399 ------------ FINANCIAL SERVICES - 4.06% 9,850 American Express Co............... 450,243 480 Bear Stearns Cos., Inc............ 34,781 14,290 Charles Schwab Corp............... 165,764 56,970 Citigroup, Inc. @................. 2,679,869 660 Countrywide Financial Corp........ 69,696 680 Equifax, Inc...................... 16,068 8,910 Fannie Mae........................ 623,700 530 Federated Investors, Inc., Class B 15,237 1,220 Franklin Resources, Inc........... 58,353 5,980 Freddie Mac....................... 325,432 5,750 Goldman Sachs Group, Inc.......... 552,460 870 H & R Block, Inc.................. 47,232 1,160 Janus Capital Group, Inc.......... 16,136 23,060 JP Morgan Chase & Co.............. 815,402 1,340 Lehman Brothers Holdings, Inc..... 96,761 8,240 Merrill Lynch & Co., Inc.......... 467,620 10,150 Morgan Stanley.................... 561,092 600 T. Rowe Price Group, Inc.......... 25,224 ------------ 7,021,070 ------------
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- FOODS - 0.62% 3,130 Archer-Daniels-Midland Co........... $ 44,728 2,000 Campbell Soup Co.................... 51,220 2,610 ConAgra Foods, Inc.................. 63,945 10,220 General Mills, Inc.................. 460,002 1,710 H J Heinz Co........................ 61,731 640 Hershey Foods Corp.................. 49,728 1,980 Kellogg Co.......................... 70,825 680 McCormick & Co., Inc................ 19,509 3,780 Sara Lee Corp....................... 77,679 3,160 Sysco Corp.......................... 114,771 1,090 Wm. Wrigley Jr. Co.................. 60,081 ------------ 1,074,219 ------------ FREIGHT - 0.55% 1,450 FedEx Corp.......................... 105,415 310 Ryder System, Inc................... 9,669 11,610 United Parcel Service, Inc., Class B 844,860 ------------ 959,944 ------------ HARDWARE & TOOLS - 0.22% 7,860 Black & Decker Corp................. 364,625 280 Snap-on, Inc........................ 8,406 410 Stanley Works....................... 13,411 ------------ 386,442 ------------ HEALTHCARE - 0.32% 3,570 Anthem, Inc.+....................... 257,469 260 Bausch & Lomb, Inc.................. 13,060 1,170 Health Management Associates, Inc., Class A............................ 30,069 720 Manor Care, Inc..................... 25,430 5,010 McKesson Corp....................... 146,292 2,044 Medco Health Solutions, Inc. +...... 74,463 ------------ 546,783 ------------ HEAVY DUTY TRUCKS/PARTS - 0.13% 10,210 Dana Corp........................... 165,095 330 Navistar International Corp. +...... 14,223 570 PACCAR, Inc......................... 45,720 ------------ 225,038 ------------ HOME BUILDERS - 0.04% 300 Centex Corp......................... 32,820 230 KB Home............................. 15,842
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NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- HOME BUILDERS - Continued 300 Pulte Homes, Inc........................ $ 28,662 ------------ 77,324 ------------ HOSPITAL MANAGEMENT - 0.08% 2,670 HCA, Inc................................ 111,900 2,250 Tenet Healthcare Corp. +................ 32,872 ------------ 144,772 ------------ HOSPITAL SUPPLIES - 1.60% 1,900 AmerisourceBergen Corp.................. 120,251 2,960 Baxter International, Inc............... 82,347 8,430 Becton, Dickinson and Co................ 337,453 1,250 Biomet, Inc............................. 44,712 4,000 Boston Scientific Corp. +............... 143,560 4,470 Cardinal Health, Inc.................... 273,296 250 CR Bard, Inc............................ 18,900 27,200 Johnson & Johnson....................... 1,340,688 6,230 Medtronic, Inc.......................... 281,596 840 St. Jude Medical, Inc. +................ 53,206 970 Stryker Corp............................ 78,570 ------------ 2,774,579 ------------ HOUSEHOLD PRODUCTS - 1.63% 290 Alberto-Culver Co., Class B............. 17,710 320 American Greetings Corp., Class A +..... 6,758 1,150 Avon Products, Inc...................... 78,775 1,820 Clorox Co............................... 85,395 7,110 Colgate-Palmolive Co.................... 373,275 710 Fortune Brands, Inc..................... 48,507 13,840 Gillette Co............................. 466,823 460 International Flavors & Fragrances, Inc. 14,936 2,460 Kimberly-Clark Corp..................... 133,381 1,330 Newell Rubbermaid, Inc.................. 30,417 16,140 Procter & Gamble Co..................... 1,553,314 280 Tupperware Corp......................... 4,315 ------------ 2,813,606 ------------ HUMAN RESOURCES - 0.01% 830 Robert Half International, Inc. +....... 18,476 ------------ INFORMATION PROCESSING - HARDWARE - 1.92% 4,150 Apple Computer, Inc. +.................. 86,818 26,640 Dell, Inc. +............................ 919,080 1,570 Gateway, Inc. +......................... 7,002
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- INFORMATION PROCESSING - HARDWARE - Continued 32,670 Hewlett-Packard Co..................... $ 708,612 15,480 International Business Machines Corp... 1,401,559 620 Lexmark International, Inc., Class A +. 47,988 2,850 Network Appliance, Inc. +.............. 65,864 20,460 Sun Microsystems, Inc. +............... 87,364 ------------ 3,324,287 ------------ INFORMATION PROCESSING - SERVICES - 1.33% 3,080 Adobe Systems, Inc..................... 127,266 910 Computer Sciences Corp. +.............. 37,674 7,980 eBay, Inc. +........................... 445,683 2,330 Electronic Data Systems Corp........... 50,375 20,720 EMC Corp. +............................ 284,693 9,990 First Data Corp........................ 378,121 6,590 Fiserv, Inc. +......................... 247,125 550 Monster Worldwide, Inc. +.............. 13,233 460 NCR Corp. +............................ 16,054 4,790 SunGard Data Systems, Inc. +........... 129,426 7,480 Symantec Corp. +....................... 245,568 5,570 Unisys Corp. +......................... 90,902 5,390 Yahoo!, Inc. +......................... 231,662 ------------ 2,297,782 ------------ INFORMATION PROCESSING - SOFTWARE - 2.43% 540 Autodesk, Inc.......................... 12,539 2,910 Automatic Data Processing, Inc......... 111,249 1,110 BMC Software, Inc. +................... 18,459 800 Citrix Systems, Inc. +................. 19,216 2,810 Computer Associates International, Inc. 65,473 1,860 Compuware Corp. +...................... 10,639 1,160 IMS Health, Inc........................ 26,715 2,340 Intuit, Inc. +......................... 117,655 420 Mercury Interactive Corp. +............ 19,656 110,480 Microsoft Corp. @...................... 2,839,336 1,800 Novell, Inc. +......................... 17,100 60,370 Oracle Corp. +......................... 725,044 1,290 Parametric Technology Corp. +.......... 4,412 1,770 PeopleSoft, Inc. +..................... 37,435 2,400 Siebel Systems, Inc. +................. 31,632 3,800 VERITAS Software Corp. +............... 144,480 ------------ 4,201,040 ------------
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- INSURANCE - 2.98% 5,170 ACE, Ltd............................... $ 188,446 750 Aetna, Inc............................. 48,285 11,300 AFLAC, Inc............................. 406,461 3,420 Allstate Corp.......................... 138,100 520 AMBAC Financial Group, Inc............. 35,750 25,250 American International Group, Inc. #... 1,463,237 1,520 Aon Corp............................... 33,349 910 Chubb Corp............................. 59,560 2,770 CIGNA Corp............................. 148,610 780 Cincinnati Financial Corp.............. 31,613 4,480 Hartford Financial Services Group, Inc. 246,400 870 Humana, Inc. +......................... 19,427 690 Jefferson-Pilot Corp................... 33,486 5,460 John Hancock Financial Services, Inc... 200,655 860 Lincoln National Corp.................. 33,721 7,630 Marsh & McLennan Cos., Inc............. 339,077 830 MBIA, Inc.............................. 48,240 9,890 MetLife, Inc........................... 323,304 1,960 MGIC Investment Corp................... 103,782 1,570 Principal Financial Group, Inc......... 51,983 1,060 Progressive Corp....................... 82,786 2,650 Prudential Financial, Inc.............. 103,641 670 Safeco Corp............................ 25,078 5,970 St. Paul Cos., Inc..................... 221,487 560 Torchmark Corp......................... 24,696 4,890 Travelers Property Casualty Corp., Class B............................... 76,284 9,440 UnitedHealth Group, Inc................ 508,816 2,590 UnumProvident Corp..................... 38,669 710 Wellpoint Health Networks, Inc., Class A +............................. 66,378 660 Xl Capital, Ltd., Class A.............. 49,632 ------------ 5,150,953 ------------ LEISURE AND TOURISM - 0.96% 440 Brunswick Corp......................... 13,222 3,060 Carnival Corp.......................... 107,681 800 Darden Restaurants, Inc................ 16,568 2,740 Electronic Arts, Inc. +................ 121,190 5,440 Harley-Davidson, Inc................... 256,605 540 Harrah's Entertainment, Inc............ 25,850 840 Hasbro, Inc............................ 18,572 1,840 Hilton Hotels Corp..................... 30,102 1,680 International Game Technology.......... 58,279
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NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ LEISURE AND TOURISM - Continued 1,130 Marriott International, Inc., Class A $ 51,788 5,600 Mattel, Inc.......................... 113,344 25,180 McDonald's Corp...................... 645,363 1,420 Sabre Holdings Corp., Class A........ 29,607 1,900 Starbucks Corp. +.................... 60,933 980 Starwood Hotels & Resorts Worldwide, Inc., Class B....................... 33,781 550 Wendy's International, Inc........... 21,357 1,430 Yum! Brands, Inc. +.................. 49,321 ------------ 1,653,563 ------------ MACHINERY - 0.63% 1,680 Caterpillar, Inc..................... 127,764 450 Cooper Industries, Ltd., Class A..... 24,142 6,040 Crane Co............................. 175,704 200 Cummins, Inc......................... 9,290 1,160 Deere & Co........................... 71,027 8,310 Dover Corp........................... 319,021 1,500 Illinois Tool Works, Inc............. 117,150 3,200 Ingersoll-Rand Co., Class A.......... 199,488 600 Pall Corp............................ 15,372 900 Rockwell Automation, Inc............. 29,925 ------------ 1,088,883 ------------ MEDICAL - BIOMEDICAL/GENE - 0.64% 13,250 Amgen, Inc. +........................ 762,007 1,590 Biogen, Inc. +....................... 60,706 5,470 Genzyme Corp. +...................... 255,668 1,210 MedImmune, Inc. +.................... 28,798 ------------ 1,107,179 ------------ MEDICAL TECHNOLOGY - 0.32% 2,110 Chiron Corp. +....................... 113,138 4,490 Guidant Corp......................... 254,898 1,560 Quest Diagnostics, Inc. +............ 113,833 1,100 Zimmer Holdings, Inc. +.............. 72,512 ------------ 554,381 ------------ METALS - 0.34% 4,110 Alcoa, Inc........................... 134,849 9,600 Allegheny Technologies, Inc.......... 78,720 820 Freeport-McMoRan Copper & Gold, Inc., Class B............................. 35,695 4,770 Newmont Mining Corp.................. 229,628
NUMBER MARKET OF SHARES VALUE --------------------------------------------------- METALS - Continued 380 Nucor Corp.................. $ 21,322 430 Phelps Dodge Corp. +........ 27,382 2,270 United States Steel Corp.... 56,410 420 Worthington Industries, Inc. 6,014 ------------ 590,020 ------------ MISCELLANEOUS - 0.02% 1,390 Eastman Kodak Co............ 33,860 ------------ MULTIMEDIA - 1.22% 1,310 Gannett Co., Inc............ 113,446 930 McGraw-Hill Cos., Inc....... 63,705 240 Meredith Corp............... 11,494 45,430 Time Warner, Inc. +......... 739,600 17,040 Viacom, Inc., Class B....... 670,013 21,850 Walt Disney Co.............. 504,516 ------------ 2,102,774 ------------ OIL AND GAS - 3.11% 1,450 Amerada Hess Corp........... 68,687 5,440 Anadarko Petroleum Corp..... 244,419 790 Apache Corp................. 56,722 1,630 Baker Hughes, Inc........... 47,042 770 BJ Services Co. +........... 24,555 980 Burlington Resources, Inc... 49,196 12,990 ChevronTexaco Corp.......... 975,549 6,770 ConocoPhillips.............. 384,130 1,130 Devon Energy Corp........... 55,777 1,820 Dynegy, Inc., Class A +..... 7,280 2,920 El Paso Corp................ 20,732 560 EOG Resources, Inc.......... 23,486 74,550 Exxon Mobil Corp. @......... 2,696,473 4,980 Halliburton Co.............. 116,283 4,410 Kerr-McGee Corp............. 185,176 600 Kinder Morgan, Inc.......... 32,700 1,510 Marathon Oil Corp........... 44,711 710 Nabors Industries, Ltd. +... 26,355 650 Noble Corp. +............... 22,477 1,860 Occidental Petroleum Corp... 68,225 180 Peoples Energy Corp......... 7,236 460 Rowan Cos., Inc. +.......... 9,738 2,830 Schlumberger, Ltd........... 132,784 370 Sunoco, Inc................. 17,764 1,550 Transocean, Inc. +.......... 30,039
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- OIL AND GAS - Continued 1,260 Unocal Corp....................... $ 40,043 ------------ 5,387,579 ------------ PAPER/FOREST PRODUCTS - 0.43% 540 Avery Dennison Corp............... 29,743 260 Bemis Co., Inc.................... 11,830 280 Boise Cascade Corp................ 8,263 12,100 Georgia-Pacific Corp.............. 330,209 2,330 International Paper Co............ 86,699 5,830 Louisiana-Pacific Corp. +......... 105,464 970 Meadwestvaco Corp................. 24,754 770 Pactiv Corp. +.................... 17,279 890 Plum Creek Timber Co., Inc........ 23,701 410 Sealed Air Corp. +................ 21,636 260 Temple-Inland, Inc................ 14,698 1,070 Weyerhaeuser Co................... 60,990 ------------ 735,266 ------------ POLLUTION CONTROL - 0.07% 2,640 Allied Waste Industries, Inc. +... 32,868 2,880 Waste Management, Inc............. 84,701 ------------ 117,569 ------------ PUBLISHING - 0.18% 400 Dow Jones & Co., Inc.............. 19,840 390 Knight-Ridder, Inc................ 29,008 730 New York Times Co., Class A....... 33,507 1,100 R. R. Donnelley & Sons Co......... 30,866 4,210 Tribune Co........................ 205,659 ------------ 318,880 ------------ RAILROADS & EQUIPMENT - 0.14% 1,810 Burlington Northern Santa Fe Corp. 53,884 2,260 CSX Corp.......................... 76,591 1,900 Norfolk Southern Corp............. 40,679 1,240 Union Pacific Corp................ 78,963 ------------ 250,117 ------------ REAL ESTATE INVESTMENT TRUSTS - 0.10% 460 Apartment Investment & Management Co., Class A..................... 15,663 1,940 Equity Office Properties Trust.... 53,796 1,330 Equity Residential................ 39,049
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NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - Continued 870 Prologis Trust................... $ 26,535 930 Simon Property Group, Inc........ 44,129 ------------ 179,172 ------------ RETAIL - 3.49% 1,780 Albertson's, Inc................. 37,878 7,770 Bed Bath & Beyond, Inc. +........ 328,205 1,570 Best Buy Co., Inc................ 97,340 570 Big Lots, Inc. +................. 8,356 1,020 Circuit City Stores, Inc......... 13,280 2,220 Costco Wholesale Corp. +......... 79,520 6,400 CVS Corp......................... 239,744 2,320 Dillard's, Inc., Class A......... 39,092 9,380 Dollar General Corp.............. 198,106 390 Express Scripts, Inc., Class A +. 25,245 840 Family Dollar Stores, Inc........ 32,407 900 Federated Department Stores, Inc. 44,181 21,700 Home Depot, Inc.................. 797,692 5,020 JC Penney Co., Inc............... 124,898 3,450 Kohl's Corp. +................... 166,704 3,650 Kroger Co. +..................... 68,839 1,400 May Department Stores Co......... 41,510 660 Nordstrom, Inc................... 22,770 1,510 Office Depot, Inc. +............. 23,934 3,520 RadioShack Corp.................. 109,648 2,150 Safeway, Inc. +.................. 44,612 1,240 Sears, Roebuck and Co............ 68,398 11,940 Staples, Inc. +.................. 324,171 650 SUPERVALU, Inc................... 16,783 8,880 Target Corp...................... 343,834 710 Tiffany & Co..................... 32,198 1,040 Toys R US, Inc. +................ 12,210 42,770 Wal-Mart Stores, Inc. @.......... 2,379,723 7,180 Walgreen Co...................... 264,296 5,180 Winn-Dixie Stores, Inc........... 46,775 ------------ 6,032,349 ------------ SAVINGS & LOAN - 0.16% 740 Golden West Financial Corp....... 74,666 4,490 Washington Mutual, Inc........... 205,687 ------------ 280,353 ------------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- SCHOOLS - 0.15% 3,820 Apollo Group, Inc., Class A +...... $ 263,695 ------------ SEMICONDUCTORS - 2.45% 1,690 Advanced Micro Devices, Inc. +..... 30,386 1,860 Altera Corp. +..................... 47,114 1,780 Analog Devices, Inc. +............. 88,555 15,290 Applied Materials, Inc. +.......... 371,547 4,230 Applied Micro Circuits Corp. +..... 27,326 1,440 Broadcom Corp., Class A +.......... 52,459 70,320 Intel Corp......................... 2,350,798 950 KLA-Tencor Corp. +................. 55,680 1,520 Linear Technology Corp............. 65,573 6,500 LSI Logic Corp. +.................. 60,905 1,580 Maxim Integrated Products, Inc..... 82,286 2,960 Micron Technology, Inc. +.......... 38,510 5,070 National Semiconductor Corp. +..... 226,730 740 Novellus Systems, Inc. +........... 32,382 2,060 QLogic Corp. +..................... 117,070 920 Teradyne, Inc. +................... 23,156 17,310 Texas Instruments, Inc............. 515,146 1,660 Xilinx, Inc. +..................... 62,399 ------------ 4,248,022 ------------ TELECOMMUNICATIONS - 2.84% 3,910 ADC Telecommunications Inc. +...... 9,619 3,730 Alltel Corp........................ 169,379 5,140 Andrew Corp. +..................... 60,498 30,100 AT&T Wireless Services, Inc. +..... 225,750 2,020 Avaya, Inc. +...................... 27,472 8,980 BellSouth Corp..................... 233,749 9,820 CenturyTel, Inc.................... 321,114 2,290 Ciena Corp. +...................... 16,213 69,980 Cisco Systems, Inc. +.............. 1,585,747 1,380 Citizens Communications Co. +...... 14,987 6,470 Corning, Inc. +.................... 74,146 20,210 Lucent Technologies, Inc. +........ 64,672 35,550 Motorola, Inc...................... 499,122 18,150 Nextel Communications, Inc., Class A +......................... 459,740 6,690 QUALCOMM, Inc...................... 298,040 8,240 Qwest Communications International, Inc. +............................ 30,158 720 Scientific-Atlanta, Inc............ 20,794 14,980 Sprint Corp. (PCS Group) +......... 68,758 2,010 Tellabs, Inc. +.................... 16,080 22,050 Verizon Communications, Inc........ 722,578 ------------ 4,918,616 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ TOBACCO - 0.57% 18,060 Altria Group, Inc.................... $ 939,120 410 R.J. Reynolds Tobacco Holdings, Inc.. 22,632 810 UST, Inc............................. 29,152 ------------ 990,904 ------------ UTILITIES - COMMUNICATION - 0.44% 12,882 AT&T Corp............................ 255,450 18,570 SBC Communications, Inc.............. 432,310 4,390 Sprint Corp. (FON Group)............. 65,806 ------------ 753,566 ------------ UTILITIES - ELECTRIC - 1.36% 3,010 AES Corp. +.......................... 26,699 610 Allegheny Energy, Inc. +............. 6,557 790 Ameren Corp.......................... 34,863 9,660 American Electric Power Co., Inc..... 267,485 2,010 Calpine Corp. +...................... 8,583 13,090 CenterPoint Energy, Inc.............. 126,973 860 Cinergy Corp......................... 31,433 780 CMS Energy Corp. +................... 6,154 1,090 Cons. Edison, Inc.................... 43,927 810 Constellation Energy Group, Inc...... 30,488 1,570 Dominion Resources, Inc.............. 94,624 820 DTE Energy Co........................ 30,922 8,540 Duke Energy Corp..................... 154,062 1,580 Edison International, Inc. +......... 32,264 1,110 Entergy Corp......................... 58,675 8,830 Exelon Corp.......................... 545,870 1,580 FirstEnergy Corp..................... 54,747 890 FPL Group, Inc....................... 56,559 1,280 NiSource, Inc........................ 26,560 2,000 PG&E Corp. +......................... 50,240 440 Pinnacle West Capital Corp........... 17,323 5,400 PPL Corp............................. 220,752 1,180 Progress Energy, Inc................. 51,708 3,990 Public Service Enterprise Group, Inc. 163,670 3,540 Southern Co.......................... 103,616 2,550 TECO Energy, Inc..................... 33,099 1,560 TXU Corp............................. 34,538 1,940 Xcel Energy, Inc..................... 32,398 ------------ 2,344,789 ------------
-------------------------------------------------------------------------------- ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 7
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- UTILITIES - GAS, DISTRIBUTION - 0.04% 770 Keyspan Corp......................... $ 27,127 210 Nicor, Inc........................... 6,882 1,090 Sempra Energy........................ 30,869 ------------ 64,878 ------------ UTILITIES - GAS, PIPELINE - 0.01% 2,520 Williams Cos., Inc................... 23,638 ------------ TOTAL COMMON STOCK (Cost $80,302,015)................... 95,790,441 ------------ PAR VALUE ------------ CORPORATE BONDS - 10.03% AUTOMOTIVE - 0.31% $ 173,000 Delphi Trust II: 6.20% due 11/15/08/(2)/............ 173,043 84,000 Ford Motor Co.: 6.63% due 10/1/28.................. 72,492 General Motors Corp.: 168,000 8.25% due 7/15/23.................. 181,173 98,000 7.20% due 1/15/11.................. 103,576 ------------ 530,284 ------------ BANKS - 0.79% 70,000 Bank America Corp.: 5.25% due 12/1/15.................. 69,138 218,000 Bank of America Corp.: 7.13% due 3/1/09................... 248,801 150,000 European Investment Bank: 4.00% due 3/15/05.................. 154,506 75,000 Fleet Financial Group, Inc.: 6.88% due 1/15/28.................. 83,391 140,000 Huntington National Bank: 2.75% due 10/16/06................. 139,206 150,000 Key Bank NA: 4.10% due 6/30/05.................. 154,675 140,000 National City Bank: 2.50% due 4/17/06.................. 139,562 140,000 PNC Bank NA: 7.88% due 4/15/05.................. 151,087 Wachovia Corp.: 70,000 7.88% due 2/15/10.................. 83,440 140,000 6.15% due 3/15/09.................. 154,155 ------------ 1,377,961 ------------
PAR MARKET VALUE VALUE -------------------------------------------------------------- BEVERAGES - 0.24% $ 84,000 Anheuser-Busch Cos., Inc.: 5.95% due 1/15/33.................. $ 85,279 70,000 Coca Cola HBC Finance BV: 5.13% due 9/17/13*................. 69,755 70,000 Coors Brewing Co.: 6.38% due 5/15/12.................. 76,063 168,000 Pepsi Bottling Group, Inc.: 7.00% due 3/1/29................... 191,600 ------------ 422,697 ------------ BROADCASTING - 0.42% 140,000 Clear Channel Communications, Inc.: 3.13% due 2/1/07................... 139,474 140,000 Comcast Corp.: 6.88% due 6/15/09.................. 156,596 Liberty Media Corp.: 70,000 7.75% due 7/15/09.................. 79,577 140,000 3.50% due 9/25/06.................. 139,309 TCI Communications, Inc.: 107,000 8.75% due 8/1/15................... 134,302 70,000 6.88% due 2/15/06.................. 75,667 ------------ 724,925 ------------ CHEMICAL - 0.04% 70,000 ICI Wilmington, Inc.: 5.63% due 12/1/13.................. 69,042 ------------ COMMERCIAL SERVICES - 0.08% 140,000 Hertz Corp.: 4.70% due 10/2/06.................. 139,540 ------------ CONGLOMERATES - 0.10% 168,000 Hutchison Whampoa, Ltd.: 7.45% due 11/24/33*................ 166,404 ------------ DRUGS - 0.05% 84,000 Schering Plough Corp.: 6.50% due 12/1/33.................. 85,260 ------------ FINANCE COMPANIES - 1.02% 870,000 Capital Auto Receivables Asset Trust, Series 2002-4 A4: 2.64% due 3/17/08.................. 872,763 140,000 Capital One Bank: 4.25% due 12/1/08.................. 138,587
PAR MARKET VALUE VALUE -------------------------------------------------------------- FINANCE COMPANIES - (Continued) Ford Motor Credit Co.: $ 70,000 7.00% due 10/1/13.................. $ 70,980 141,000 5.80% due 1/12/09.................. 141,028 General Motors Acceptance Corp.: 140,000 7.75% due 1/19/10.................. 153,248 121,000 4.50% due 7/15/06.................. 123,566 120,000 Household Finance Corp.: 3.38% due 2/21/06.................. 122,101 140,000 SLM Corp.: 4.00% due 1/15/09.................. 139,297 ------------ 1,761,570 ------------ FINANCIAL SERVICES - 2.49% 250,000 Chase Commercial Mtg. Securities Corp.: 7.20% due 1/15/32.................. 287,445 Citigroup, Inc.: 140,000 6.50% due 1/18/11.................. 156,812 118,000 6.00% due 10/31/33................. 117,342 Credit Suisse First Boston USA, Inc.: 141,000 6.13% due 11/15/11................. 152,579 42,000 3.88% due 1/15/09.................. 41,617 70,000 Duke Capital Corp., Series A: 6.25% due 7/15/05.................. 73,663 141,000 FPL Group Capital, Inc.: 3.25% due 4/11/06.................. 142,594 1,000,000 GE Capital Commercial Mtg. Corp., Series 2002-1 A3: 6.27% due 12/10/35................. 1,100,096 General Electric Capital Corp.: 140,000 6.13% due 2/22/11.................. 152,611 14,000 3.67% due 12/4/06.................. 140,011 140,000 Goldman Sachs Group, Inc.: 2.85% due 10/27/06................. 139,310 76,000 IOS Capital, LLC:.................... 7.25% due 6/30/08.................. 76,380 140,000 John Deere Capital Corp.: 3.90% due 1/15/08.................. 141,525 140,000 JP Morgan Chase & Co.: 5.25% due 5/30/07.................. 148,500 150,000 Lehman Brothers Holdings, Inc.: 8.25% due 6/15/07.................. 173,745 140,000 Merrill Lynch & Co., Inc.: 4.50% due 11/4/10.................. 139,715
-------------------------------------------------------------------------------- ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 8
PAR MARKET VALUE VALUE ------------------------------------------------------------------ FINANCIAL SERVICES - (Continued) Morgan Stanley: $115,000 6.75% due 4/15/11......................... $ 129,065 139,000 4.25% due 5/15/10......................... 137,183 142,000 National Rural Utilities Cooperative Finance Corp.: 5.75% due 8/28/09......................... 152,946 100,000 Principal Life Global Funding: 5.13% due 6/28/07*........................ 106,064 140,000 Rio Tinto Finance USA, Ltd.: 2.63% due 9/30/08......................... 132,616 150,000 Salomon Smith Barney Holdings, Inc.: 5.88% due 3/15/06......................... 160,835 70,000 Sprint Capital Corp.: 6.38% due 5/1/09.......................... 73,917 140,000 Textron Financial Corp.: 2.75% due 6/1/06.......................... 138,662 100,000 TIAA Global Mkts, Inc.: 4.13% due 11/15/07*....................... 102,383 ------------ 4,317,616 ------------ FOODS - 0.05% 84,000 Unilever Capital Corp.: 5.90% due 11/15/32........................ 83,455 ------------ FREIGHT - 0.05% 70,000 Union Pacific Corp.: 7.38% due 9/15/09......................... 80,928 ------------ HOSPITAL SUPPLIES - 0.09% 168,000 Johnson & Johnson: 4.95% due 5/15/33......................... 151,659 ------------ HOUSEHOLD PRODUCTS - 0.08% 140,000 Fortune Brands, Inc.: 2.88% due 12/1/06......................... 139,696 ------------ INSURANCE - 0.16% 70,000 Metlife, Inc.: 6.13% due 12/1/11......................... 75,519 115,000 Provident Companies, Inc.: 6.38% due 7/15/05......................... 119,917 84,000 Western & Southern Financial Group, Inc.: 5.75% due 7/15/33*........................ 78,370 ------------ 273,806 ------------
PAR MARKET VALUE VALUE -------------------------------------------------------- METALS - 0.04% $75,000 Noranda, Inc.: 7.00% due 7/15/05................ $ 79,178 ------------ MULTIMEDIA - 0.16% 75,000 AOL Time Warner, Inc.: 6.13% due 4/15/06................ 80,073 84,000 Time Warner Entertainment Co., LP: 8.38% due 3/15/23................ 102,997 Time Warner, Inc.: 56,000 9.15% due 2/1/23................. 71,342 25,000 6.88% due 6/15/18................ 27,045 ------------ 281,457 ------------ OIL AND GAS - 0.43% Amerada Hess Corp.: 84,000 7.30% due 8/15/31................ 86,217 84,000 7.13% due 3/15/33................ 85,182 116,000 5.90% due 8/15/06................ 124,253 75,000 ChevronTexaco Capital Co.: 3.50% due 9/17/07................ 75,819 150,000 Occidental Petroleum Corp.: 6.50% due 4/1/05................. 158,587 84,000 Pemex Project Funding Master Trust: 8.63% due 2/1/22................. 91,770 110,000 Pennzoil Co.: 10.25% due 11/1/05............... 125,178 ------------ 747,006 ------------ PAPER/FOREST PRODUCTS - 0.38% 28,000 Domtar, Inc.: 5.38% due 12/1/13................ 27,666 140,000 International Paper Co.: 7.50% due 5/15/04................ 143,457 98,000 Nexfor, Inc.: 6.88% due 11/15/05............... 104,681 34,000 Norske Skogsindustrier ASA: 7.13% due 10/15/33*.............. 35,192 112,000 Packaging Corp. of America: 5.75% due 8/1/13*................ 112,317 Weyerhaeuser Co.: 84,000 6.88% due 12/15/33............... 84,477 140,000 5.50% due 3/15/05................ 145,490 ------------ 653,280 ------------
PAR MARKET VALUE VALUE -------------------------------------------------------- POLLUTION CONTROL - 0.06% $95,000 Republic Services, Inc.: 7.13% due 5/15/09................ $ 108,469 ------------ RAILROADS & EQUIPMENT - 0.24% 144,000 Burlington Northern Santa Fe Corp.: 8.13% due 4/15/20................ 173,067 140,000 CSX Corp.: 2.75% due 2/15/06................ 139,696 85,000 Norfolk Southern Corp.: 7.80% due 5/15/27................ 101,517 ------------ 414,280 ------------ RETAIL - 0.34% 140,000 Kroger Co.: 7.38% due 3/1/05................. 148,675 Safeway, Inc.: 220,000 6.15% due 3/1/06................. 234,873 140,000 2.50% due 11/1/05................ 137,931 70,000 Toys R US, Inc.: 7.38% due 10/15/18............... 69,083 ------------ 590,562 ------------ SAVINGS & LOAN - 0.08% 140,000 Washington Mutual, Inc.: 4.00% due 1/15/09................ 138,860 ------------ TELECOMMUNICATIONS - 0.46% 95,000 Citizens Communications Co.: 8.50% due 5/15/06................ 106,987 Deutsche Telekom International Finance BV: 109,000 8.75% due 6/15/30................ 137,236 67,000 8.25% due 6/15/05................ 72,793 84,000 France Telecom SA: 10.00% due 3/1/31................ 109,935 88,000 GTE Corp.: 6.94% due 4/15/28................ 90,757 126,000 Intelsat, Ltd.: 6.50% due 11/1/13*............... 130,555 50,000 TELUS Corp.: 8.00% due 6/1/11................. 57,421 95,000 Vodafone Group, PLC: 6.25% due 11/30/32............... 95,929 ------------ 801,613 ------------
-------------------------------------------------------------------------------- ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 9
PAR MARKET VALUE VALUE ---------------------------------------------------------- TOBACCO - 0.04% $ 70,000 Altria Group, Inc.: 7.00% due 11/4/13.............. $ 72,586 ------------ UTILITIES - COMMUNICATION - 0.55% 77,000 AT&T Corp.: 6.00% due 3/15/09.............. 81,795 98,000 GTE California, Inc.: 5.50% due 1/15/09.............. 103,797 168,000 Pacific Bell: 6.63% due 10/15/34............. 172,030 140,000 Royal KPN NV: 8.00% due 10/1/10.............. 166,335 84,000 Telecom Italia Capital: 6.38% due 11/15/33*............ 83,419 70,000 Verizon New York, Inc.: 6.38% due 4/1/12............... 76,638 174,000 Verizon New York, Inc., Series A: 7.38% due 4/1/32............... 188,866 70,000 Verizon Pennsylvania, Inc.: 5.65% due 11/15/11............. 72,943 ------------ 945,823 ------------ UTILITIES - ELECTRIC - 1.23% 140,000 Alabama Power Co.: 2.80% due 12/1/06.............. 139,278 150,000 Appalachian Power Co.: 4.80% due 6/15/05.............. 155,662 84,000 Carolina Power & Light Co.: 6.13% due 9/15/33.............. 85,369 78,000 CenterPoint Energy, Inc.: 7.88% due 4/1/13*.............. 88,322 53,000 Consolidated Edison Co. of New York, Inc.: 5.10% due 6/15/33.............. 47,238 140,000 Constellation Energy Group, Inc.: 7.88% due 4/1/05............... 150,503 70,000 Consumers Energy Co.: 4.00% due 5/15/10*............. 66,671 Dominion Resources, Inc.: 145,000 7.63% due 7/15/05.............. 156,967 126,000 5.25% due 8/1/33............... 124,135 55,000 Duke Energy Corp.: 4.50% due 4/1/10............... 55,492 134,000 Florida Power Corp.: 5.90% due 3/1/33............... 132,602
PAR MARKET VALUE VALUE ----------------------------------------------------------- UTILITIES - ELECTRIC - Continued $ 150,000 Georgia Power Co., Series F: 6.20% due 2/1/06................ $ 161,475 70,000 Great Lakes Power, Inc.: 8.30% due 3/1/05................ 73,950 150,000 Niagara Mohawk Power Corp.: 5.38% due 10/1/04............... 154,408 140,000 NiSource Finance Corp.: 7.63% due 11/15/05.............. 152,919 70,000 Ohio Edison Co.: 4.00% due 5/1/08*............... 68,740 50,000 Old Dominion Electric Cooperative: 5.68% due 12/1/28............... 50,949 70,000 Tampa Electric Co.: 6.88% due 6/15/12............... 77,286 70,000 Westar Energy, Inc.: 7.88% due 5/1/07................ 79,362 91,000 Xcel Energy, Inc.: 7.00% due 12/1/10............... 102,707 ------------ 2,124,035 ------------ UTILITIES - GAS, PIPELINE - 0.05% 76,000 Reliant Energy Resources Corp., Series B: 8.13% due 7/15/05............... 81,173 ------------ TOTAL CORPORATE BONDS (Cost $17,158,752)................ 17,363,165 ------------ FOREIGN GOVERNMENT BONDS - 0.31% 110,000 Government of United Kingdom: 2.25% due 7/8/08*............... 104,919 Quebec Province Canada: 168,000 7.50% due 7/15/23............... 204,167 140,000 5.00% due 7/17/09............... 146,966 75,000 United Mexican States: 8.00% due 9/24/22............... 80,700 ------------ TOTAL FOREIGN GOVERNMENT BONDS (Cost $536,183)................... 536,752 ------------ UNITED STATES GOVERNMENT OBLIGATIONS - 20.75% GOVERNMENT AGENCIES - 14.78% 374,000 Federal Farm Credit Bks.: 2.50% due 3/15/06............... 374,187
PAR MARKET VALUE VALUE -------------------------------------------------------- GOVERNMENT AGENCIES - Continued Federal Home Loan Bank: $ 370,000 5.25% due 8/15/06............ $ 394,079 160,000 4.50% due 9/16/13............ 156,468 370,000 1.88% due 6/15/06............ 363,899 Federal Home Loan Mtg. Corp.: 76,509 8.00% due 4/1/30............. 82,433 2,820 8.00% due 7/1/30............. 3,040 140,927 8.00% due 12/1/30............ 151,837 775,000 7.50% due TBA................ 828,523 567,087 7.00% due 6/1/32............. 598,360 439,000 6.25% due 7/15/32............ 472,194 174,000 5.88% due 3/21/11............ 186,303 550,054 5.50% due 10/1/33............ 553,486 1,350,000 5.00% due 10/1/33............ 1,322,985 850,000 4.50% due TBA................ 842,828 403,000 3.00% due 10/27/06........... 405,961 183,000 2.38% due 10/2/06............ 180,789 373,000 2.00% due 1/21/05............ 373,262 Federal National Mtg. Assoc.: 74,679 7.50% due 6/1/15............. 79,826 12,351 7.50% due 11/1/15............ 13,202 368,000 7.25% due 1/15/10............ 431,240 523,090 7.00% due 9/1/31............. 551,965 422,000 6.63% due 11/15/30........... 474,152 344,929 6.50% due 2/1/17............. 363,948 484,855 6.50% due 8/1/31............. 505,615 627,316 6.50% due 7/1/32............. 654,155 505,844 6.00% due 12/1/16............ 528,408 344,348 6.00% due 5/1/17............. 359,717 2,750,000 6.00% due TBA................ 2,824,767 697,024 5.50% due 5/1/18............. 718,464 2,300,000 5.50% due 12/1/33............ 2,315,787 2,050,000 5.50% due TBA................ 2,062,812 368,000 5.25% due 8/1/12............. 374,259 796,488 5.00% due 9/1/18............. 807,404 793,529 5.00% due 10/1/18............ 804,405 700,000 5.00% due 11/1/33............ 687,523 535,000 4.75% due 3/15/04............ 540,701 201,000 4.63% due 10/15/13........... 198,712 200,000 4.50% due TBA................ 198,562 368,000 2.50% due 5/12/06............ 368,161 368,000 2.38% due 3/17/06............ 365,898 368,000 2.38% due 4/13/06............ 365,477 368,000 1.75% due 6/16/06............ 359,751
-------------------------------------------------------------------------------- ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 10
PAR MARKET VALUE VALUE -------------------------------------------------------- GOVERNMENT AGENCIES - Continued Government National Mtg. Assoc.: $ 574,399 6.50% due 2/15/29............. $ 604,335 378,731 6.50% due 4/15/31............. 398,384 20,528 6.00% due 2/15/29............. 21,267 192,785 6.00% due 4/15/29............. 199,727 110,765 6.00% due 6/15/29............. 114,803 ----------- 25,584,061 ----------- GOVERNMENT OBLIGATIONS - 5.97% United States Treasury Bonds: 100,000 9.38% due 2/15/06............. 115,578 500,000 7.25% due 8/15/22............. 625,898 927,000 7.13% due 2/15/23............. 1,147,670 190,000 6.88% due 8/15/25............. 230,598 1,190,000 6.25% due 8/15/23............. 1,344,468 446,000 5.38% due 2/15/31............. 462,098 United States Treasury Notes: 804,000 7.00% due 7/15/06............. 898,313 814,000 6.88% due 5/15/06............. 903,031 176,000 4.25% due 8/15/13............. 175,299 222,000 3.88% due 2/15/13............. 215,843 820,000 3.50% due 11/15/06............ 842,806 368,000 3.38% due 4/30/04............. 371,522 28,000 3.38% due 11/15/08............ 28,028 70,000 3.25% due 8/15/08............. 69,899 140,000 3.13% due 9/15/08............. 138,884 971,000 3.00% due 1/31/04............. 974,186 259,000 2.63% due 5/15/08............. 253,001 83,000 2.38% due 8/15/06............. 82,938 442,000 2.00% due 8/31/05............. 442,949 29,000 2.00% due 5/15/06............. 28,828 130,000 1.63% due 9/30/05............. 129,310 70,000 1.63% due 10/31/05............ 69,524 393,000 1.50% due 2/28/05............. 392,785 390,000 1.13% due 6/30/05............. 386,207 ----------- 10,329,663 ----------- TOTAL UNITED STATES GOVERNMENT OBLIGATIONS (Cost $36,060,255).............. 35,913,724 ----------- SHORT-TERM INVESTMENTS - 6.44% COMMERCIAL PAPER - 5.78% 5,000,000 BellSouth Corp.: 1.00% due 12/5/03@............. 4,999,445
PAR MARKET VALUE VALUE --------------------------------------------------------------- COMMERCIAL PAPER - Continued $ 5,000,000 UBS Finance, Inc.: 1.04% due 12/1/03@.................... $ 5,000,000 ----------- 9,999,445 ----------- U.S. TREASURY BILLS - 0.66% United States Treasury Bills: 860,000 0.90% due 12/11/03@.................. 859,784 110,000 0.89% due 1/8/04@.................... 109,897 150,000 0.89% due 1/15/04@................... 149,833 25,000 0.88% due 12/18/03@.................. 24,990 ----------- 1,144,504 TOTAL SHORT-TERM INVESTMENTS (Cost $11,143,949)..................... 11,143,949 ----------- REPURCHASE AGREEMENTS - 10.74% 695,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $695,054 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 1.76%, due 5/27/05 and having an approximate value of $713,647@ (Cost $695,000)....................... 695,000 833,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $833,065 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 1.50%, due 10/01/04 and having an approximate value of $852,833@ (Cost $833,000)....................... 833,000 17,054,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $17,055,322 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 1.50%, due 10/1/04 and having approximate value of $17,568,361@/(1)/ (Cost $17,054,000).................... 17,054,000 -----------
MARKET VALUE ----------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS (Cost $18,582,000)......................... $ 18,582,000 ------------ TOTAL INVESTMENTS (Cost $163,783,154) - 103.61%.............. 179,330,031 Other assets and liabilities, net - (3.61)% (6,246,348) ------------ NET ASSETS - 100%.......................... $173,083,683 ------------
+ Non-income producing. * Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2003, the aggregate value of these securities was $1,213,111 representing 0.70% of net assets. # Security represents an investment in an affiliated company. TBA -Securities purchased on a forward commitment basis with an appropriate principal amount and no definitive maturity date. The actual principal and maturity date will be determined upon settlement date. @ The security or a portion thereof represents collateral for open futures contracts. /(1)/The security or a portion thereof represents collateral for TBA Securities. /(2)/Variable rate security - the rate reflected is as of 11/30/03; maturity date reflects next reset date. OPEN FUTURES CONTRACTS
------------------------------------------------------------------------------ Value as of Number of Value at Trade November 30, Unrealized Contracts Description Expiration Date Date 2003 Appreciation ------------------------------------------------------------------------------ 68 Long S&P 500 Index December 2003 $17,315,912 $17,982,600 $666,688 --------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- BLUE CHIP GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 11
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- COMMON STOCK - 98.91% ADVERTISING - 0.62% 2,700 Omnicom Group, Inc................ $ 215,082 ----------- AEROSPACE/DEFENSE - 0.53% 1,300 General Dynamics Corp............. 105,131 1,700 Lockheed Martin Corp.............. 78,098 ----------- 183,229 ----------- APPAREL & PRODUCTS - 0.03% 500 TJX Cos., Inc..................... 11,295 ----------- AUTOMOTIVE - 1.75% 7,300 Danaher Corp...................... 607,360 ----------- BANKS - 6.76% 4,700 Bank of America Corp.............. 354,521 5,300 Bank of New York Co., Inc......... 162,604 11,800 Mellon Financial Corp............. 339,840 5,900 Northern Trust Corp............... 264,615 10,300 State Street Bank & Trust Co...... 524,888 12,500 U.S. Bancorp...................... 346,375 6,200 Wells Fargo & Co.................. 355,446 ----------- 2,348,289 ----------- BEVERAGES - 2.01% 7,800 Coca-Cola Bottling Co............. 362,700 6,960 PepsiCo, Inc...................... 334,915 ----------- 697,615 ----------- BROADCASTING - 3.25% 11,100 Clear Channel Communications, Inc. 464,091 12,600 Comcast Corp., Class A Special +.. 379,890 7,900 Univision Communications, Inc., Class A +/(1)/.................. 285,032 ----------- 1,129,013 ----------- COMMERCIAL SERVICES - 1.40% 7,000 Accenture, Ltd., Class A +........ 174,300 8,200 Cendant Corp. +................... 181,712 3,400 Paychex, Inc...................... 130,798 ----------- 486,810 ----------- CONGLOMERATES - 3.19% 1,100 3M Co............................. 86,944 19,700 General Electric Co............... 564,799 19,900 Tyco International, Ltd........... 456,705 ----------- 1,108,448 -----------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- DRUGS - 6.77% 6,700 Abbott Laboratories................. $ 296,140 3,700 Eli Lilly & Co...................... 253,672 5,800 Forest Laboratories, Inc. +......... 316,912 37,780 Pfizer, Inc......................... 1,267,519 400 Teva Pharmaceutical Industries, Ltd. ADR................................ 24,094 4,900 Wyeth............................... 193,060 ----------- 2,351,397 ----------- FINANCE COMPANIES - 0.93% 1,800 MBNA Corp........................... 44,136 7,500 SLM Corp............................ 278,475 ----------- 322,611 ----------- FINANCIAL SERVICES - 11.18% 5,200 American Express Co................. 237,692 13,500 Charles Schwab Corp................. 156,600 29,666 Citigroup, Inc...................... 1,395,489 6,600 Fannie Mae.......................... 462,000 4,200 Franklin Resources, Inc............. 200,886 1,500 Freddie Mac......................... 81,630 3,600 Goldman Sachs Group, Inc............ 345,888 2,300 Legg Mason, Inc..................... 183,333 8,000 Merrill Lynch & Co., Inc............ 454,000 6,600 Morgan Stanley...................... 364,848 ----------- 3,882,366 ----------- FOODS - 0.93% 2,000 General Mills, Inc.................. 90,020 6,400 Sysco Corp.......................... 232,448 ----------- 322,468 ----------- FREIGHT - 0.69% 3,300 United Parcel Service, Inc., Class B 240,141 ----------- HEALTHCARE - 0.40% 600 Anthem, Inc. +...................... 43,272 2,600 Medco Health Solutions, Inc. +...... 94,718 ----------- 137,990 ----------- HOSPITAL SUPPLIES - 3.09% 300 AmerisourceBergen Corp.............. 18,987 5,600 Boston Scientific Corp. +........... 200,984 1,450 Cardinal Health, Inc................ 88,653 8,700 Johnson & Johnson................... 428,823
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ HOSPITAL SUPPLIES - Continued 5,300 Medtronic, Inc........................ $ 239,560 1,200 Stryker Corp.......................... 97,200 ----------- 1,074,207 ----------- HOUSEHOLD PRODUCTS - 0.83% 200 Colgate-Palmolive Co.................. 10,500 2,100 Estee Lauder Cos., Inc., Class A...... 79,800 2,400 Gillette Co........................... 80,952 1,200 Procter & Gamble Co................... 115,488 ----------- 286,740 ----------- INFORMATION PROCESSING - HARDWARE - 2.08% 13,800 Dell, Inc. +.......................... 476,100 500 International Business Machines Corp.. 45,270 2,600 Lexmark International, Inc., Class A + 201,240 ----------- 722,610 ----------- INFORMATION PROCESSING - SERVICES - 5.93% 3,500 Adobe Systems, Inc.................... 144,620 4,700 Affiliated Computer Services, Inc., Class A +............................ 235,658 3,200 eBay, Inc. +.......................... 178,720 1,500 EMC Corp. +........................... 20,610 13,700 First Data Corp....................... 518,545 5,300 Fiserv, Inc. +........................ 198,750 8,400 InterActiveCorp +..................... 275,940 3,300 SunGard Data Systems, Inc. +.......... 89,166 4,200 Symantec Corp. +...................... 137,886 6,000 Yahoo!, Inc. +........................ 257,880 ----------- 2,057,775 ----------- INFORMATION PROCESSING - SOFTWARE - 4.72% 1,800 ChoicePoint, Inc. +................... 68,850 7,200 Intuit, Inc. +........................ 362,016 40,300 Microsoft Corp........................ 1,035,710 500 Oracle Corp. +........................ 6,005 6,600 Siebel Systems, Inc. +................ 86,988 2,100 VERITAS Software Corp. +.............. 79,844 ----------- 1,639,413 -----------
-------------------------------------------------------------------------------- BLUE CHIP GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 12
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- INSURANCE - 7.46% 500 AMBAC Financial Group, Inc............. $ 34,375 3,000 American International Group, Inc. #... 173,850 5,300 Hartford Financial Services Group, Inc. 291,500 8,100 Marsh & McLennan Cos., Inc............. 359,964 14,110 Travelers Property Casualty Corp., Class A............................... 220,116 19,700 UnitedHealth Group, Inc................ 1,061,830 4,800 Wellpoint Health Networks, Inc., Class A +............................. 448,752 ----------- 2,590,387 ----------- LEISURE AND TOURISM - 3.76% 7,300 Carnival Corp.......................... 256,887 7,300 Harley-Davidson, Inc................... 344,341 10,000 International Game Technology.......... 346,900 5,600 McDonald's Corp........................ 143,528 1,900 MGM Mirage, Inc. +..................... 71,212 4,500 Starbucks Corp. +...................... 144,315 ----------- 1,307,183 ----------- MACHINERY - 0.59% 2,200 Deere & Co............................. 134,706 900 Illinois Tool Works, Inc............... 70,290 ----------- 204,996 ----------- MEDICAL - BIOMEDICAL/GENE - 1.83% 8,000 Amgen, Inc. +.......................... 460,080 1,500 Genentech, Inc. +...................... 126,450 2,000 MedImmune, Inc. +...................... 47,600 ----------- 634,130 ----------- METALS - 0.41% 4,000 Alcoa, Inc............................. 131,240 200 Nucor Corp............................. 11,222 ----------- 142,462 ----------- MULTIMEDIA - 3.48% 2,800 E.W. Scripps Co., Class A.............. 257,768 16,500 Time Warner, Inc. +.................... 268,620 13,428 Viacom, Inc., Class B.................. 527,989 6,700 Walt Disney Co......................... 154,703 ----------- 1,209,080 -----------
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------- OIL AND GAS - 2.55% 8,500 Baker Hughes, Inc.............. $ 245,310 3,900 BJ Services Co. +.............. 124,371 6,900 Schlumberger, Ltd.............. 323,748 5,100 Smith International, Inc. +.... 191,454 ----------- 884,883 ----------- POLLUTION CONTROL - 0.15% 1,800 Waste Management, Inc.......... 52,938 ----------- RETAIL - 5.19% 4,450 Best Buy Co., Inc.............. 275,900 15,100 Home Depot, Inc................ 555,076 11,300 Target Corp.................... 437,536 8,400 Wal-Mart Stores, Inc........... 467,376 1,800 Walgreen Co.................... 66,258 ----------- 1,802,146 ----------- SCHOOLS - 1.25% 6,300 Apollo Group, Inc., Class A +.. 434,889 ----------- SEMICONDUCTORS - 6.52% 7,600 Analog Devices, Inc. +......... 378,100 12,200 Applied Materials, Inc. +...... 296,460 3,700 ASML Holding NV +.............. 69,634 12,300 Intel Corp..................... 411,189 9,300 Maxim Integrated Products, Inc. 484,344 3,300 Microchip Technology, Inc...... 113,520 2,300 QLogic Corp. +................. 130,709 7,600 Texas Instruments, Inc......... 226,176 4,100 Xilinx, Inc. +................. 154,119 ----------- 2,264,251 ----------- TELECOMMUNICATIONS - 7.30% 34,600 Cisco Systems, Inc. +.......... 784,036 8,600 EchoStar Communications Corp., Class A +..................... 296,528 20,100 Nextel Communications, Inc., Class A +..................... 509,133 8,700 Nokia Corp. ADR................ 156,426 1,700 QUALCOMM, Inc.................. 75,735 30,600 Vodafone Group, PLC ADR/(1)/... 714,510 ----------- 2,536,368 -----------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ THERAPEUTICS - 0.73% 4,300 Gilead Sciences, Inc. +.............. $ 252,324 ----------- TOBACCO - 0.60% 4,000 Altria Group, Inc.................... 208,000 ----------- TOTAL COMMON STOCK (Cost $31,181,325)................... 34,348,896 ----------- PAR VALUE ---------- SHORT-TERM INVESTMENTS - 1.80% COLLECTIVE INVESTMENT POOL - 0.40% $139,728 Securities Lending Quality Trust/(2)/ 139,728 ----------- REGISTERED INVESTMENT COMPANIES - 1.40% 485,710 T. Rowe Price Reserve Investment Fund 485,710 ----------- TOTAL SHORT-TERM INVESTMENTS (Cost $625,438)...................... 625,438 ----------- TOTAL INVESTMENTS (Cost $31,806,763) - 100.71%......... 34,974,334 Other assets and liabilities, net - (0.71)%............................. (247,775) ----------- NET ASSETS - 100%.................... $34,726,559 -----------
+ Non-income producing # Security represents an investment in an affiliated company ADR - American Depository Receipt /(1)/ The security or a portion thereof is out on loan (see Note 2). /(2)/ The security is purchased with the cash collateral received from security loaned. SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- CAPITAL CONSERVATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 13
PAR MARKET VALUE VALUE ----------------------------------------------------------- CORPORATE BONDS - 33.40% AUTOMOTIVE - 0.69% $ 128,000 Ford Motor Co.: 6.63% due 10/1/28............ $ 110,464 General Motors Corp.: 264,000 8.25% due 7/15/23............ 284,699 153,000 7.20% due 1/15/11/(3)/....... 161,706 -------------- 556,869 -------------- BANKS - 2.56% 110,000 Bank America Corp.: 5.25% due 12/1/15............ 108,644 338,000 Bank of America Corp.: 7.13% due 3/1/09............. 385,756 200,000 European Investment Bank: 4.00% due 3/15/05............ 206,007 100,000 Fleet Financial Group, Inc.: 6.88% due 1/15/28............ 111,188 221,000 Huntington National Bank: 2.75% due 10/16/06........... 219,747 200,000 Key Bank NA: 4.10% due 6/30/05............ 206,233 219,000 National City Bank: 2.50% due 4/17/06............ 218,315 225,000 PNC Bank NA: 7.88% due 4/15/05............ 242,819 Wachovia Corp.: 110,000 7.88% due 2/15/10............ 131,121 220,000 6.15% due 3/15/09............ 242,243 -------------- 2,072,073 -------------- BEVERAGES - 0.80% 127,000 Anheuser-Busch Cos., Inc./(3)/: 5.95% due 1/15/33............ 128,935 110,000 Coca Cola HBC Finance BV*: 5.13% due 9/17/13............ 109,615 110,000 Coors Brewing Co.: 6.38% due 5/15/12............ 119,527 255,000 Pepsi Bottling Group, Inc.: 7.00% due 3/1/29............. 290,821 -------------- 648,898 --------------
PAR MARKET VALUE VALUE ---------------------------------------------------------------- BROADCASTING - 1.41% $ 221,000 Clear Channel Communications, Inc.: 3.13% due 2/1/07.................. $ 220,171 219,000 Comcast Corp.: 6.88% due 6/15/09................. 244,961 Liberty Media Corp.: 110,000 7.75% due 7/15/09................. 125,049 221,000 3.50% due 9/25/06................. 219,909 TCI Communications, Inc.: 168,000 8.75% due 8/1/15.................. 210,866 110,000 6.88% due 2/15/06................. 118,906 -------------- 1,139,862 -------------- CHEMICAL - 0.13% 110,000 ICI Wilmington, Inc.: 5.63% due 12/1/13................. 108,495 -------------- COMMERCIAL SERVICES - 0.27% 221,000 Hertz Corp.: 4.70% due 10/2/06................. 220,274 -------------- CONGLOMERATES - 0.32% 265,000 Hutchison Whampoa, Ltd.*: 7.45% due 11/24/33................ 262,483 -------------- DRUGS - 0.17% 133,000 Schering Plough Corp.: 6.50% due 12/1/33................. 134,995 -------------- FINANCE COMPANIES - 3.63% 221,000 Capital One Bank: 4.25% due 12/1/08................. 218,770 Ford Motor Credit Co.: 110,000 7.00% due 10/1/13................. 111,540 298,000 5.80% due 1/12/09................. 298,059 General Motors Acceptance Corp.: 219,000 7.75% due 1/19/10................. 239,724 189,000 4.50% due 7/15/06................. 193,008 1,000,000 Honda Auto Receivables Owner Trust, Series 2003-3 A4: 2.77% due 11/21/08................ 997,043 500,000 Honda Auto Receivables Owners Trust, Series 2002-4 A4: 2.70% due 3/17/08................. 501,276 160,000 Household Finance Corp.: 3.38% due 2/21/06................. 162,801
PAR MARKET VALUE VALUE -------------------------------------------------------------------- FINANCE COMPANIES - Continued $ 221,000 SLM Corp.: 4.00% due 1/15/09..................... $ 219,891 -------------- 2,942,112 -------------- FINANCIAL SERVICES - 7.58% 250,000 Bear Stearns Commercial Mtg. Securities: 6.02% due 2/14/31..................... 272,448 Citigroup, Inc.: 221,000 6.50% due 1/18/11..................... 247,539 185,000 6.00% due 10/31/33.................... 183,969 Credit Suisse First Boston USA, Inc.: 220,000 6.13% due 11/15/11.................... 238,067 66,000 3.88% due 1/15/09..................... 65,397 500,000 DLJ Commercial Mtg. Corp.: 7.34% due 10/10/32.................... 577,686 110,000 Duke Capital Corp., Series A: 6.25% due 7/15/05..................... 115,756 218,000 FPL Group Capital, Inc.: 3.25% due 4/11/06..................... 220,465 1,000,000 GE Capital Commercial Mtg. Corp., Series 2002-1 A3: 6.27% due 12/10/35.................... 1,100,096 General Electric Capital Corp.: 221,000 6.13% due 2/22/11..................... 240,908 119,000 3.67% due 12/4/06/(3)/................ 219,017 221,000 Goldman Sachs Group, Inc.: 2.85% due 10/27/06.................... 219,910 120,000 IOS Capital, LLC: 7.25% due 6/30/08..................... 120,600 225,000 John Deere Capital Corp.: 3.90% due 1/15/08..................... 227,451 221,000 JP Morgan Chase & Co.: 5.25% due 5/30/07..................... 234,417 200,000 Lehman Brothers Holdings, Inc.: 8.25% due 6/15/07..................... 231,660 221,000 Merrill Lynch & Co., Inc.: 4.50% due 11/4/10..................... 220,550 214,000 Morgan Stanley: 4.25% due 5/15/10..................... 211,202 211,000 National Rural Utilities Cooperative Finance Corp.: 5.75% due 8/28/09..................... 227,265 100,000 Principal Life Global Funding*: 5.13% due 6/28/07..................... 106,064
-------------------------------------------------------------------------------- CAPITAL CONSERVATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 14
PAR MARKET VALUE VALUE ---------------------------------------------------------------- FINANCIAL SERVICES - Continued $ 219,000 Rio Tinto Finance USA, Ltd.: 2.63% due 9/30/08................. $ 207,450 200,000 Salomon Smith Barney Holdings, Inc.: 5.88% due 3/15/06................. 214,447 107,000 Sprint Capital Corp.: 6.38% due 5/1/09.................. 112,987 219,000 Textron Financial Corp.: 2.75% due 6/1/06.................. 216,907 100,000 TIAA Global Mkts, Inc.*: 4.13% due 11/15/07................ 102,383 -------------- 6,134,641 -------------- FOODS - 0.16% 127,000 Unilever Capital Corp.: 5.90% due 11/15/32................ 126,175 -------------- FREIGHT - 0.16% 110,000 Union Pacific Corp.: 7.38% due 9/15/09................. 127,173 -------------- HOSPITAL SUPPLIES - 0.28% 255,000 Johnson & Johnson: 4.95% due 5/15/33................. 230,196 -------------- HOUSEHOLD PRODUCTS - 0.27% 221,000 Fortune Brands, Inc.: 2.88% due 12/1/06................. 220,520 -------------- INFORMATION PROCESSING - SERVICES - 0.13% 100,000 Computer Sciences Corp.: 6.75% due 6/15/06................. 109,245 -------------- INSURANCE - 1.10% 500,000 ACE INA Holdings, Inc.: 8.20% due 8/15/04................. 521,844 110,000 Metlife, Inc.: 6.13% due 12/1/11................. 118,672 127,000 Provident Companies, Inc.: 6.38% due 7/15/05................. 132,430 128,000 Western & Southern Financial Group, Inc.*: 5.75% due 7/15/33................. 119,422 -------------- 892,368 --------------
PAR MARKET VALUE VALUE --------------------------------------------------------------- LEISURE AND TOURISM - 0.33% $ 131,000 Mandalay Resort Group*: 6.38% due 12/15/11............... $ 130,509 131,000 MGM Mirage, Inc.: 6.00% due 10/1/09................ 132,801 -------------- 263,310 -------------- METALS - 0.15% 117,000 Noranda, Inc.: 7.00% due 7/15/05................ 123,518 -------------- MULTIMEDIA - 0.51% 100,000 AOL Time Warner, Inc.: 6.13% due 4/15/06................ 106,765 127,000 Time Warner Entertainment Co., LP: 8.38% due 3/15/23................ 155,721 Time Warner, Inc.: 75,000 9.15% due 2/1/23................. 95,547 49,000 6.88% due 6/15/18................ 53,009 -------------- 411,042 -------------- OIL AND GAS - 1.19% Amerada Hess Corp.: 132,000 7.30% due 8/15/31................ 135,484 132,000 7.13% due 3/15/33................ 133,858 181,000 5.90% due 8/15/06................ 193,878 200,000 Occidental Petroleum Corp.: 6.50% due 4/1/05................. 211,449 128,000 Pemex Project Funding Master Trust: 8.63% due 2/1/22................. 139,840 130,000 Pennzoil Co.: 10.25% due 11/1/05............... 147,937 -------------- 962,446 -------------- PAPER/FOREST PRODUCTS - 1.24% 44,000 Domtar, Inc.: 5.38% due 12/1/13................ 43,475 200,000 International Paper Co.: 7.50% due 5/15/04................ 204,939 154,000 Nexfor, Inc.: 6.88% due 11/15/05............... 164,498 53,000 Norske Skogsindustrier ASA*: 7.13% due 10/15/33............... 54,858 177,000 Packaging Corp. of America*: 5.75% due 8/1/13................. 177,502
PAR MARKET VALUE VALUE ------------------------------------------------------------------ PAPER/FOREST PRODUCTS - Continued Weyerhaeuser Co.: $ 132,000 6.88% due 12/15/33.................. $ 132,749 216,000 5.50% due 3/15/05................... 224,471 -------------- 1,002,492 -------------- RAILROADS & EQUIPMENT - 0.77% 202,000 Burlington Northern Santa Fe Corp.: 8.13% due 4/15/20................... 242,775 221,000 CSX Corp.: 2.75% due 2/15/06................... 220,521 134,000 Norfolk Southern Corp.: 7.80% due 5/15/27................... 160,038 -------------- 623,334 -------------- RETAIL - 1.10% 221,000 Kroger Co.: 7.38% due 3/1/05.................... 234,694 Safeway, Inc.: 310,000 6.15% due 3/1/06.................... 330,958 221,000 2.50% due 11/1/05................... 217,734 110,000 Toys R US, Inc.: 7.38% due 10/15/18.................. 108,558 -------------- 891,944 -------------- SAVINGS & LOAN - 0.40% 100,000 Washington Mutual Bank FA: 5.50% due 1/15/13................... 102,661 221,000 Washington Mutual, Inc.: 4.00% due 1/15/09................... 219,200 -------------- 321,861 -------------- TELECOMMUNICATIONS - 1.64% 125,000 Citizens Communications Co.: 8.50% due 5/15/06................... 140,772 Deutsche Telekom International Finance BV: 186,000 8.75% due 6/15/30................... 234,182 101,000 8.25% due 6/15/05................... 109,733 128,000 France Telecom SA /(1)/: 10.00% due 3/1/31................... 167,520 133,000 GTE Corp.: 6.94% due 4/15/28................... 137,167 199,000 Intelsat, Ltd.*: 6.50% due 11/1/13................... 206,194
-------------------------------------------------------------------------------- CAPITAL CONSERVATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 15
PAR MARKET VALUE VALUE ------------------------------------------------------------- TELECOMMUNICATIONS - Continued $ 153,000 Qwest Corp.: 7.25% due 9/15/25.............. $ 150,322 50,000 TELUS Corp.: 8.00% due 6/1/11............... 57,421 125,000 Vodafone Group, PLC: 6.25% due 11/30/32............. 126,223 -------------- 1,329,534 -------------- TOBACCO - 0.14% 111,000 Altria Group, Inc.: 7.00% due 11/4/13.............. 115,101 -------------- UTILITIES - COMMUNICATION - 1.82% 120,000 AT&T Corp.: 6.00% due 3/15/09.............. 127,473 154,000 GTE California, Inc.: 5.50% due 1/15/09.............. 163,109 265,000 Pacific Bell: 6.63% due 10/15/34............. 271,356 221,000 Royal KPN NV: 8.00% due 10/1/10.............. 262,572 132,000 Telecom Italia Capital*: 6.38% due 11/15/33............. 131,087 110,000 Verizon New York, Inc.: 6.88% due 4/1/12............... 120,432 257,000 Verizon New York, Inc., Series A: 7.38% due 4/1/32............... 278,957 110,000 Verizon Pennsylvania, Inc.: 5.65% due 11/15/11............. 114,625 -------------- 1,469,611 -------------- UTILITIES - ELECTRIC - 4.30% 221,000 Alabama Power Co.: 2.80% due 12/1/06.............. 219,860 200,000 Appalachian Power Co.: 4.80% due 6/15/05.............. 207,550 200,000 Arizona Public Service Co.: 6.50% due 3/1/12............... 219,833 133,000 Carolina Power & Light Co.: 6.13% due 9/15/33.............. 135,167 122,000 CenterPoint Energy, Inc.*: 7.88% due 4/1/13............... 138,144
PAR MARKET VALUE VALUE ---------------------------------------------------------------- UTILITIES - ELECTRIC - Continued $ 129,000 Consolidated Edison Co. of New York, Inc.: 5.10% due 6/15/33................. $ 114,975 221,000 Constellation Energy Group, Inc.: 7.88% due 4/1/05.................. 237,579 110,000 Consumers Energy Co.*: 4.00% due 5/15/10................. 104,768 Dominion Resources, Inc.: 200,000 7.63% due 7/15/05................. 216,506 199,000 5.25% due 8/1/33.................. 196,055 84,000 Duke Energy Corp.: 4.50% due 4/1/10.................. 84,752 202,000 Florida Power Corp.: 5.90% due 3/1/33.................. 199,892 200,000 Georgia Power Co., Series F: 6.20% due 2/1/06.................. 215,301 110,000 Great Lakes Power, Inc.: 8.30% due 3/1/05.................. 116,208 200,000 Niagara Mohawk Power Corp.: 5.38% due 10/1/04................. 205,878 225,000 NiSource Finance Corp.: 7.63% due 11/15/05................ 245,763 110,000 Ohio Edison Co.*: 4.00% due 5/1/08.................. 108,021 76,000 Old Dominion Electric Cooperative: 5.68% due 12/1/28................. 77,442 110,000 Tampa Electric Co.: 6.88% due 6/15/12................. 121,449 25,000 TECO Energy, Inc.: 7.50% due 6/15/10................. 26,531 110,000 Westar Energy, Inc.: 7.88% due 5/1/07.................. 124,711 143,000 Xcel Energy, Inc.: 7.00% due 12/1/10................. 161,397 -------------- 3,477,782 -------------- UTILITIES - GAS, PIPELINE - 0.15% 117,000 Reliant Energy Resources Corp., Series B: 8.13% due 7/15/05................. 124,964 -------------- TOTAL CORPORATE BONDS (Cost $26,675,088).................. 27,043,318 --------------
PAR MARKET VALUE VALUE ------------------------------------------------------------ FOREIGN GOVERNMENT BONDS - 0.91% $ 197,000 Government of United Kingdom*: 2.25% due 7/8/08.............. $ 187,900 Quebec Province Canada: 255,000 7.50% due 7/15/23............. 309,897 225,000 5.00% due 7/17/09............. 236,195 -------------- TOTAL FOREIGN GOVERNMENT BONDS (Cost $744,811)................. 733,992 -------------- UNITED STATES GOVERNMENT OBLIGATIONS - 69.20% GOVERNMENT AGENCIES - 49.31% Federal Farm Credit Bks.: 1,000,000 3.88% due 12/15/04............ 1,023,980 672,000 2.50% due 3/15/06............. 672,335 Federal Home Loan Bank: 660,000 5.25% due 8/15/06............. 702,951 280,000 4.50% due 9/16/13............. 273,820 660,000 1.88% due 6/15/06............. 649,118 Federal Home Loan Mtg. Corp.: 37,211 8.00% due 1/1/29.............. 40,189 99,243 8.00% due 12/1/29............. 107,016 98,471 8.00% due 12/1/30............. 106,094 1,477 8.00% due 1/1/31.............. 1,591 140,411 7.50% due 12/1/30............. 149,697 1,200,000 7.50% due TBA................. 1,282,874 253,445 7.00% due 11/1/16............. 269,147 85,318 7.00% due 7/1/32.............. 90,023 570,000 6.25% due 7/15/32............. 613,099 4,100,000 6.00% due TBA................. 4,212,750 312,000 5.88% due 3/21/11............. 334,060 2,250,000 5.50% due 10/1/33............. 2,264,261 1,300,000 5.50% due TBA................. 1,339,000 1,950,000 5.00% due 10/1/33............. 1,910,978 1,400,000 4.50% due TBA................. 1,388,187 723,000 3.00% due 10/27/06............ 728,312 330,000 2.38% due 10/2/06............. 326,013 670,000 2.00% due 1/21/05............. 670,472 Federal National Mtg. Assoc.: 34,039 7.50% due 11/1/14............. 36,417 5,336 7.50% due 8/1/15.............. 5,704 660,000 7.25% due 1/15/10............. 773,419 1,633,108 7.00% due 9/1/31.............. 1,723,258 675,000 6.63% due 11/15/30............ 758,418 418,779 6.50% due 3/1/17.............. 441,870
-------------------------------------------------------------------------------- CAPITAL CONSERVATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 16
PAR MARKET VALUE VALUE ----------------------------------------------------------- GOVERNMENT AGENCIES - Continued Federal National Mtg. Assoc.: $ 218,819 6.50% due 8/1/31.............. $ 293,886 1,655,703 6.50% due 7/1/32.............. 1,726,540 9,269 6.00% due 3/1/16.............. 10,058 261,643 6.00% due 12/1/16............. 273,315 658,744 6.00% due 11/1/17............. 688,146 250,000 6.00% due TBA................. 256,797 2,600,000 5.50% due 12/1/33............. 2,617,846 2,250,000 5.50% due TBA................. 2,264,062 660,000 5.25% due 8/1/12.............. 671,226 1,244,513 5.00% due 9/1/18.............. 1,261,569 991,949 5.00% due 10/1/18............. 1,005,544 1,100,000 5.00% due 10/1/33............. 1,080,394 361,000 4.63% due 10/15/13............ 356,890 250,000 4.50% due TBA................. 248,203 660,000 2.50% due 5/12/06............. 660,289 660,000 2.38% due 3/17/06............. 656,231 660,000 2.38% due 4/13/06............. 655,475 645,205 1.75% due 6/16/06............. 645,205 Government National Mtg. Assoc.: 551,170 6.50% due 7/15/32............. 579,467 740,103 6.50% due 9/15/32............. 778,100 150,984 6.00% due 3/15/29............. 156,420 132,122 6.00% due 4/15/29............. 136,880 -------------- 39,917,596 -------------- GOVERNMENT OBLIGATIONS - 19.89% United States Treasury Bonds: 157,000 9.38% due 2/15/06............. 181,458 800,000 7.25% due 8/15/22............. 1,001,438 1,592,000 7.13% due 2/15/23 @........... 1,970,971 1,781,000 6.25% due 8/15/23/(3)/ @...... 2,012,183 586,000 5.38% due 2/15/31............. 607,151 United States Treasury Notes: 1,401,000 7.00% due 7/15/06/(3)/........ 1,565,344 1,419,000 6.88% due 5/15/06............. 1,574,203 238,000 4.25% due 8/15/13............. 237,052 42,000 3.88% due 2/15/13............. 40,835 660,000 3.38% due 4/30/04............. 666,316 44,000 3.38% due 11/15/08............ 44,045 225,000 3.13% due 10/15/08............ 222,943 857,000 3.00% due 1/31/04............. 859,812 779,000 2.00% due 8/31/05/(3)/........ 780,673 51,000 2.00% due 5/15/06............. 50,697
PAR MARKET VALUE VALUE -------------------------------------------------------------------- GOVERNMENT OBLIGATIONS - Continued United States Treasury Notes: $ 197,000 1.63% due 9/30/05..................... $ 195,953 110,000 1.63% due 10/31/05.................... 109,252 1,050,000 1.50% due 2/28/05..................... 1,049,426 2,960,000 1.13% due 6/30/05..................... 2,931,208 -------------- 16,100,960 -------------- TOTAL UNITED STATES GOVERNMENT OBLIGATIONS (Cost $56,250,325)...................... 56,018,556 -------------- SHORT-TERM INVESTMENTS - 0.65% COLLECTIVE INVESTMENT POOL 529,298 Securities Lending Quality Trust/(2)/ (Cost $529,298)......................... 529,298 -------------- REPURCHASE AGREEMENT - 9.14% 7,403,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $7,403,574 and collateralized by Federal Home Loan Mtg. Corp. Notes, bearing interest at 4.50%, due 8/15/04 and having an approximate value of $7,629,693 (Cost $7,403,000) @.................... 7,403,000 -------------- TOTAL INVESTMENTS (Cost $91,602,522) - 113.30%............ 91,728,164 Other assets and liabilities, net - (13.30)%......................... (10,771,791) -------------- NET ASSETS - 100%....................... $ 80,956,373 --------------
TBA - Securities purchased on a forward commitment basis with an approximate principal amount and no definitive maturity date. The actual principal and maturity date will be determined upon settlement date. @ The security or a portion thereof represents collateral for TBAs. * Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2003, the aggregate value of these securities was $1,938,950, representing 2.40% of net assets. /(1)/ Security is a "floating rate" bond where the coupon rate fluctuates. The rate steps up or down for each downgrade or upgrade. The rate reflected is as of November 30, 2003. /(2)/ The security is purchased with the cash collateral received from securities loaned. (See Note 2) /(3)/ The security or a portion thereof is out on loan. SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- CORE EQUITY FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 17
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------- COMMON STOCK - 96.67% ADVERTISING - 0.44% 33,100 Omnicom Group, Inc.............. $ 2,636,746 ------------ AEROSPACE/DEFENSE - 3.73% 180,000 Boeing Co....................... 6,910,200 23,600 General Dynamics Corp........... 1,908,532 261,000 Honeywell International, Inc.... 7,749,090 25,000 Lockheed Martin Corp............ 1,148,500 52,300 United Technologies Corp........ 4,482,110 ------------ 22,198,432 ------------ APPAREL & PRODUCTS - 1.11% 140,200 Gap, Inc........................ 3,014,300 53,200 Nike, Inc., Class B............. 3,577,700 ------------ 6,592,000 ------------ BANKS - 8.57% 169,600 Bank of America Corp............ 12,792,928 124,750 Bank One Corp................... 5,409,160 131,000 FleetBoston Financial Corp...... 5,318,600 124,000 PNC Financial Services Group.... 6,740,640 45,100 State Street Bank & Trust Co.... 2,298,296 215,800 Wachovia Corp................... 9,872,850 148,000 Wells Fargo & Co................ 8,484,840 ------------ 50,917,314 ------------ BEVERAGES - 2.47% 113,800 Coca-Cola Bottling Co........... 5,291,700 195,550 PepsiCo, Inc.................... 9,409,866 ------------ 14,701,566 ------------ BROADCASTING - 2.58% 99,000 Comcast Corp., Class A +........ 3,106,620 259,600 Comcast Corp., Class A Special + 7,826,940 398,000 Liberty Media Corp., Series A +. 4,397,900 ------------ 15,331,460 ------------ BUILDING MATERIALS - 1.45% 101,400 Lowe's Cos., Inc................ 5,911,620 100,300 Masco Corp...................... 2,728,160 ------------ 8,639,780 ------------
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- CHEMICAL - 0.87% 58,800 Dow Chemical Co..................... $ 2,207,940 70,700 E.I. du Pont de Nemours and Co...... 2,931,222 ------------ 5,139,162 ------------ COMMERCIAL SERVICES - 0.48% 113,650 Accenture, Ltd., Class A +.......... 2,829,885 ------------ CONGLOMERATES - 4.69% 39,800 3M Co............................... 3,145,792 486,300 General Electric Co................. 13,942,221 34,800 ITT Industries, Inc................. 2,294,016 370,900 Tyco International, Ltd............. 8,512,155 ------------ 27,894,184 ------------ DRUGS - 9.52% 132,650 Abbott Laboratories................. 5,863,130 175,000 Bristol-Myers Squibb Co............. 4,611,250 84,200 Eli Lilly & Co...................... 5,772,752 75,000 Merck & Co., Inc.................... 3,045,000 449,000 Mylan Laboratories, Inc............. 11,368,680 552,350 Pfizer, Inc......................... 18,531,343 92,000 Schering-Plough Corp................ 1,476,600 28,000 Teva Pharmaceutical Industries, Ltd. ADR................................ 1,686,605 108,100 Wyeth............................... 4,259,140 ------------ 56,614,500 ------------ FINANCIAL SERVICES - 9.02% 54,700 American Express Co................. 2,500,337 429,433 Citigroup, Inc...................... 20,200,528 50,500 Fannie Mae.......................... 3,535,000 36,800 Franklin Resources, Inc............. 1,760,144 146,000 Freddie Mac......................... 7,945,320 33,850 Goldman Sachs Group, Inc............ 3,252,308 264,000 JP Morgan Chase & Co................ 9,335,040 89,550 Merrill Lynch & Co., Inc............ 5,081,963 ------------ 53,610,640 ------------ FREIGHT - 0.66% 54,200 FedEx Corp.......................... 3,940,340 ------------ HOSPITAL SUPPLIES - 3.47% 86,000 Baxter International, Inc........... 2,392,520 180,300 Cardinal Health, Inc................ 11,023,542 146,750 Johnson & Johnson................... 7,233,307 ------------ 20,649,369 ------------
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- HOUSEHOLD PRODUCTS - 3.93% 106,000 Avon Products, Inc..................... $ 7,261,000 103,900 Gillette Co............................ 3,504,547 89,000 Kimberly-Clark Corp.................... 4,825,580 80,600 Procter & Gamble Co.................... 7,756,944 ------------ 23,348,071 ------------ INFORMATION PROCESSING - HARDWARE - 4.33% 101,900 Dell, Inc. +........................... 3,515,550 379,724 Hewlett-Packard Co..................... 8,236,214 154,250 International Business Machines Corp.................................. 13,965,795 ------------ 25,717,559 ------------ INFORMATION PROCESSING - SERVICES - 1.58% 84,000 EMC Corp. +............................ 1,154,160 217,700 First Data Corp........................ 8,239,945 ------------ 9,394,105 ------------ INFORMATION PROCESSING - SOFTWARE - 4.07% 244,000 Computer Associates International, Inc. 5,685,200 719,900 Microsoft Corp......................... 18,501,430 ------------ 24,186,630 ------------ INSURANCE - 4.44% 86,000 ACE, Ltd............................... 3,134,700 282,000 Allstate Corp.......................... 11,387,160 118,775 American International Group, Inc. #... 6,883,011 50,200 Marsh & McLennan Cos., Inc............. 2,230,888 177,800 Travelers Property Casualty Corp., Class B............................... 2,773,680 ------------ 26,409,439 ------------ LEISURE AND TOURISM - 2.70% 302,000 Carnival Corp.......................... 10,627,380 269,000 Mattel, Inc............................ 5,444,560 ------------ 16,071,940 ------------ MACHINERY - 0.50% 39,300 Caterpillar, Inc....................... 2,988,765 ------------
-------------------------------------------------------------------------------- CORE EQUITY FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 18
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- MEDICAL - BIOMEDICAL/GENE - 0.88% 50,900 Amgen, Inc. +.................... $ 2,927,259 48,600 Genzyme Corp. +.................. 2,271,564 ------------ 5,198,823 ------------ MEDICAL TECHNOLOGY - 1.22% 127,700 Guidant Corp..................... 7,249,529 ------------ METALS - 1.07% 194,550 Alcoa, Inc....................... 6,383,186 ------------ MULTIMEDIA - 2.57% 17,300 Gannett Co., Inc................. 1,498,180 405,700 Time Warner, Inc. +.............. 6,604,796 182,300 Viacom, Inc., Class B............ 7,168,036 ------------ 15,271,012 ------------ OIL AND GAS - 6.28% 122,000 BP, PLC ADR...................... 5,208,180 53,750 ChevronTexaco Corp............... 4,036,625 345,200 Exxon Mobil Corp................. 12,485,884 111,000 Royal Dutch Petroleum Co. (NY)... 4,983,900 149,900 Schlumberger, Ltd................ 7,033,308 113,000 Unocal Corp...................... 3,591,140 ------------ 37,339,037 ------------ PAPER/FOREST PRODUCTS - 0.55% 87,100 International Paper Co........... 3,240,991 ------------ POLLUTION CONTROL - 0.37% 75,400 Waste Management, Inc............ 2,217,514 ------------ RAILROADS & EQUIPMENT - 0.52% 91,200 CSX Corp......................... 3,090,768 ------------ RETAIL - 3.83% 92,000 Costco Wholesale Corp. +......... 3,295,440 40,600 CVS Corp......................... 1,520,876 451,000 Kroger Co. +..................... 8,505,860 74,900 Target Corp...................... 2,900,128 117,750 Wal-Mart Stores, Inc............. 6,551,610 ------------ 22,773,914 ------------ SEMICONDUCTORS - 2.50% 115,300 Applied Materials, Inc. +........ 2,801,790 255,900 Intel Corp....................... 8,554,737 118,400 Texas Instruments, Inc........... 3,523,584 ------------ 14,880,111 ------------
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------------- TELECOMMUNICATIONS - 3.20% 256,350 Cisco Systems, Inc. +................... $ 5,808,891 163,800 Corning, Inc. +......................... 1,877,148 33,300 EchoStar Communications Corp., Class A +.............................. 1,148,184 517,700 Motorola, Inc........................... 7,268,508 88,750 Verizon Communications, Inc............. 2,908,337 ------------ 19,011,068 ------------ UTILITIES - COMMUNICATION - 0.72% 184,000 SBC Communications, Inc................. 4,283,520 ------------ UTILITIES - ELECTRIC - 2.35% 22,200 Exelon Corp............................. 1,372,404 85,000 FPL Group, Inc.......................... 5,401,750 149,000 NiSource, Inc........................... 3,091,750 104,000 Pinnacle West Capital Corp.............. 4,094,480 ------------ 13,960,384 ------------ TOTAL COMMON STOCK (Cost $597,672,354)..................... 574,711,744 ------------ PAR VALUE ------------ REPURCHASE AGREEMENT - 3.05% $18,122,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $18,123,404 and collateralized by Federal Home Loan Bank Notes, bearing interest at 1.63%, due 6/17/05 and having an approximate value of $18,506,205 (Cost $18,122,000)..................... 18,122,000 ------------ TOTAL INVESTMENTS (Cost $615,794,354) - 99.72%............ 592,833,744 ------------ Other assets and liabilities, net - 0.28%............................ 1,664,374 ------------ NET ASSETS - 100%....................... $594,498,118 ------------
+ Non-income producing # Security represents an investment in an affiliated company. ADR - American Depository Receipt SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- GOVERNMENT SECURITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 19
PAR MARKET VALUE VALUE ---------------------------------------------------------------- FOREIGN GOVERNMENT BONDS - 1.25% $ 1,421,000 Government of United Kingdom: 2.25% due 7/8/08*.................... $ 1,355,359 650,000 International Bank for Reconstruction & Development: 5.00% due 3/28/06.................... 686,793 ------------ TOTAL FOREIGN GOVERNMENT BONDS (Cost $2,069,986)...................... 2,042,152 ------------ UNITED STATES GOVERNMENT OBLIGATIONS - 97.79% GOVERNMENT AGENCIES - 46.81% 4,855,000 Federal Farm Credit Bks.: 2.50% due 3/15/06.................... 4,857,423 Federal Home Loan Bank: 4,770,000 5.25% due 8/15/06.................... 5,080,417 4,770,000 1.88% due 6/15/06/(1)/............... 4,691,352 Federal Home Loan Mtg. Corp.: 246 8.25% due 4/1/17..................... 269 14,037 8.00% due 2/1/30..................... 15,124 8,734 8.00% due 8/1/30..................... 9,410 172,552 8.00% due 5/1/31..................... 185,822 62,131 8.00% due 6/1/31..................... 66,942 321,882 7.50% due 9/1/16..................... 343,049 1,411,593 6.50% due 2/1/32..................... 1,472,986 2,085,000 6.25% due 7/15/32.................... 2,242,653 2,254,00 5.88% due 3/21/11.................... 2,413,369 5,227,000 3.00% due 10/27/06................... 5,265,403 2,388,000 2.38% due 10/2/06.................... 2,359,148 4,840,000 2.00% due 1/21/05.................... 4,843,407 Federal National Mtg. Assoc.: 689 14.50% due 11/1/14................... 809 3,110 13.00% due 11/15/15.................. 3,578 1,371 12.50% due 9/1/15.................... 1,571 560 12.00% due 1/15/16................... 639 1,788 11.50% due 9/1/19.................... 2,021 110,983 7.50% due 3/1/32..................... 118,413 4,272,000 7.25% due 1/15/10.................... 5,006,130 865,025 7.00% due 9/1/31..................... 912,776 4,525,000 6.63% due 11/15/30................... 5,084,213 393,934 6.50% due 2/1/17..................... 415,655 1,027,305 6.50% due 8/1/31..................... 1,071,290 2,838,347 6.50% due 7/1/32..................... 2,959,783 4,772,000 5.25% due 8/1/12..................... 4,853,167
PAR MARKET VALUE VALUE --------------------------------------------------------- GOVERNMENT AGENCIES - Continued $ 1,015,000 4.63% due 10/15/13............ $ 1,003,443 4,772,000 2.50% due 5/12/06............. 4,774,090 4,772,000 2.38% due 3/17/06............. 4,744,747 4,772,000 2.38% due 4/13/06............. 4,739,283 4,772,000 1.75% due 6/16/06............. 4,665,026 Government National Mtg. Assoc.: 145,078 7.50% due 2/15/29............. 155,472 3,475 7.50% due 7/15/30............. 3,723 2,884 7.50% due 10/15/30............ 3,090 74,041 7.50% due 1/15/31............. 79,293 41,177 7.50% due 2/15/31............. 44,098 1,312,862 6.50% due 8/15/31............. 1,380,990 514,871 6.00% due 1/15/32............. 533,154 ------------ 76,403,228 ------------ GOVERNMENT OBLIGATIONS - 50.98% United States Treasury Bonds: 2,800,000 7.25% due 5/15/16/(1)/........ 3,471,782 5,500,000 7.25% due 8/15/22............. 6,884,883 11,125,000 6.25% due 8/15/23............. 12,569,081 7,476,000 5.38% due 2/15/31............. 7,745,839 United States Treasury Notes: 3,500,000 7.00% due 7/15/06............. 3,910,567 2,100,000 6.50% due 10/15/06............ 2,332,312 4,700,000 6.50% due 2/15/10............. 5,429,050 6,613,000 4.25% due 8/15/13............. 6,586,654 3,522,000 3.38% due 4/30/04............. 3,555,705 5,985,000 3.00% due 1/31/04............. 6,004,637 13,000,000 1.50% due 7/31/05/(1)/........ 12,933,986 11,890,000 1.13% due 6/30/05............. 11,774,346 ------------ 83,198,842 ------------ TOTAL UNITED STATES GOVERNMENT OBLIGATIONS (Cost $161,056,114)............. 159,602,070 ------------
PAR MARKET VALUE VALUE --------------------------------------------------------------- REPURCHASE AGREEMENT - 0.11% $ 182,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $182,014 and collateralized by Federal Home Loan Bank Bonds, bearing interest at 1.63%, due 6/17/05 and having an approximate value of $190,476 (Cost $182,000)...................... $ 182,000 ------------ TOTAL INVESTMENTS (Cost $163,308,100) - 99.15%.......... 161,826,222 Other assets and liabilities, net - 0.85%.......................... 1,381,683 ------------ NET ASSETS - 100%..................... $163,207,905 ------------
*Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2003, the aggregate value of these securities was $1,355,359 representing 0.83% of net assets. /(1)/ The security or a portion thereof is out on loan. SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- November 30, 2003 20 GROWTH & INCOME FUND - SCHEDULE OF INVESTMENTS (Unaudited)
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- COMMON STOCK - 98.10% AEROSPACE/DEFENSE - 3.00% 44,100 Boeing Co........................... $ 1,692,999 23,700 Northrop Grumman Corp............... 2,195,331 22,400 United Technologies Corp............ 1,919,680 ------------ 5,808,010 ------------ AIRLINES - 1.39% 149,400 Southwest Airlines Co............... 2,686,212 ------------ APPAREL & PRODUCTS - 1.71% 82,800 Coach, Inc.+........................ 3,298,752 ------------ BANKS - 3.56% 45,400 Bank of America Corp................ 3,424,522 65,300 Mellon Financial Corp............... 1,880,640 27,500 Wells Fargo & Co.................... 1,576,575 ------------ 6,881,737 ------------ BEVERAGES - 2.77% 77,200 Coca-Cola Bottling Co............... 3,589,800 36,700 PepsiCo, Inc........................ 1,766,004 ------------ 5,355,804 ------------ BUILDING MATERIALS - 1.18% 84,000 Masco Corp.......................... 2,284,800 ------------ CHEMICAL - 0.98% 70,000 Monsanto Co......................... 1,898,400 ------------ COMMERCIAL SERVICES - 0.93% 46,700 Paychex, Inc........................ 1,796,549 ------------ CONGLOMERATES - 4.33% 25,600 3M Co............................... 2,023,424 155,500 General Electric Co................. 4,458,185 82,600 Tyco International, Ltd............. 1,895,670 ------------ 8,377,279 ------------ DRUGS - 5.51% 92,400 Bristol-Myers Squibb Co............. 2,434,740 23,700 Merck & Co., Inc.................... 962,220 167,400 Pfizer, Inc......................... 5,616,270 27,500 Teva Pharmaceutical Industries, Ltd. ADR................................ 1,656,487 ------------ 10,669,717 ------------
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - 1.03% 47,400 Gentex Corp......................... $ 1,997,436 ------------ FINANCE COMPANIES - 1.41% 45,700 Capital One Financial Corp.......... 2,729,204 ------------ FINANCIAL SERVICES - 8.97% 29,900 American Express Co................. 1,366,729 65,300 CIT Group, Inc...................... 2,277,011 99,200 Citigroup, Inc...................... 4,666,368 18,700 Goldman Sachs Group, Inc............ 1,796,696 64,300 JP Morgan Chase & Co................ 2,273,648 41,300 Merrill Lynch & Co., Inc............ 2,343,775 47,800 Morgan Stanley...................... 2,642,384 ------------ 17,366,611 ------------ FOODS - 0.62% 38,000 Kraft Foods, Inc., Class A.......... 1,203,460 ------------ FREIGHT - 2.35% 27,500 FedEx Corp.......................... 1,999,250 35,100 United Parcel Service, Inc., Class B 2,554,227 ------------ 4,553,477 ------------ HEALTHCARE - 0.88% 23,700 Anthem, Inc.+....................... 1,709,244 ------------ HOSPITAL SUPPLIES - 2.60% 28,500 Boston Scientific Corp.+............ 1,022,865 41,000 Johnson & Johnson................... 2,020,890 31,300 St. Jude Medical, Inc.+............. 1,982,542 ------------ 5,026,297 ------------ HOUSEHOLD PRODUCTS - 3.11% 28,500 Avon Products, Inc.................. 1,952,250 36,700 Estee Lauder Cos., Inc., Class A.... 1,394,600 27,700 Procter & Gamble Co................. 2,665,848 ------------ 6,012,698 ------------ INFORMATION PROCESSING - HARDWARE - 3.80% 78,000 Dell, Inc.+......................... 2,691,000 91,900 Hewlett-Packard Co.................. 1,993,311 29,400 International Business Machines Corp............................... 2,661,876 ------------ 7,346,187 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ INFORMATION PROCESSING - SERVICES - 2.40% 160,700 EMC Corp.+........................... $ 2,208,018 32,200 Symantec Corp.+...................... 1,057,126 32,100 Yahoo!, Inc.+........................ 1,379,658 ------------ 4,644,802 ------------ INFORMATION PROCESSING - SOFTWARE - 4.58% 201,300 Microsoft Corp....................... 5,173,410 97,000 VERITAS Software Corp.+.............. 3,688,037 ------------ 8,861,447 ------------ INSURANCE - 2.79% 30,250 American International Group, Inc.#.. 1,752,988 1,300 Berkshire Hathaway, Inc., Class B+... 3,641,300 ------------ 5,394,288 ------------ LEISURE AND TOURISM - 4.63% 73,300 Applebee's International, Inc........ 2,837,443 54,900 Carnival Corp........................ 1,931,931 145,100 Hilton Hotels Corp................... 2,373,836 71,200 McDonald's Corp...................... 1,824,856 ------------ 8,968,066 ------------ MACHINERY - 2.16% 37,000 Deere & Co........................... 2,265,510 30,800 Ingersoll-Rand Co., Class A.......... 1,920,072 ------------ 4,185,582 ------------ MEDICAL - BIOMEDICAL/GENE - 1.54% 21,600 Amgen, Inc.+......................... 1,242,216 37,300 Genzyme Corp.+....................... 1,743,402 ------------ 2,985,618 ------------ MEDICAL TECHNOLOGY - 1.03% 37,300 Chiron Corp.+/(1)/................... 2,000,026 ------------ METALS - 2.24% 64,300 Alcoa, Inc........................... 2,109,683 51,300 Freeport-McMoRan Copper & Gold, Inc., Class B............................. 2,233,089 ------------ 4,342,772 ------------
-------------------------------------------------------------------------------- 21 November 30, 2003 GROWTH & INCOME FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------ MULTIMEDIA - 1.94% 45,900 Viacom, Inc., Class B.......... $ 1,804,788 84,200 Walt Disney Co................. 1,944,178 ------------ 3,748,966 ------------ OIL AND GAS - 3.66% 27,500 Apache Corp.................... 1,974,500 91,900 Exxon Mobil Corp............... 3,324,023 47,400 Smith International, Inc. +.... 1,779,396 ------------ 7,077,919 ------------ PAPER/FOREST PRODUCTS - 0.92% 70,000 MeadWestvaco Corp.............. 1,786,400 ------------ RETAIL - 6.64% 25,000 Bed Bath & Beyond, Inc. +...... 1,056,000 79,000 Home Depot, Inc................ 2,904,040 42,000 Target Corp.................... 1,626,240 64,500 Tiffany & Co................... 2,925,075 78,000 Wal-Mart Stores, Inc........... 4,339,920 ------------ 12,851,275 ------------ SEMICONDUCTORS - 5.87% 165,900 Applied Materials, Inc. +...... 4,031,370 128,200 Intel Corp..................... 4,285,726 23,300 Maxim Integrated Products, Inc. 1,213,464 61,700 Texas Instruments, Inc......... 1,836,192 ------------ 11,366,752 ------------ TELECOMMUNICATIONS - 5.75% 146,900 Cisco Systems, Inc. +.......... 3,328,754 151,800 Motorola, Inc.................. 2,131,272 155,700 Nextel Communications, Inc., Class A +..................... 3,943,881 73,500 Vodafone Group, PLC ADR........ 1,716,225 ------------ 11,120,132 ------------ TOBACCO - 0.99% 36,700 Altria Group, Inc.............. 1,908,400 ------------ UTILITIES - ELECTRIC - 0.83% 55,000 Southern Co.................... 1,609,850 ------------ TOTAL COMMON STOCK (Cost $167,875,936)............ 189,854,169 ------------
PAR MARKET VALUE VALUE ------------------------------------------------------------- SHORT-TERM INVESTMENTS - 0.75% COLLECTIVE INVESTMENT POOL $1,460,250 Securities Lending Quality Trust/(2)/ (Cost $1,460,250).................... $ 1,460,250 ------------ REPURCHASE AGREEMENT - 0.94% 1,810,000 State Street Bank and Trust Co. Joint Repurchase Agreement (see Note 2) (Cost $1,810,000)................... 1,810,000 ------------ TOTAL INVESTMENTS (Cost $171,146,186) - 99.79%......... 193,124,419 Other assets and liabilities, net - 0.21%......................... 405,107 ------------ NET ASSETS - 100%.................... $193,529,526 ------------
+Non-income producing. #Security represents an investment in an affiliated company. ADR - American Depository Receipt. /(1)/The security or a portion thereof is out on loan (see Note 2). /(2)/The security is purchased with the cash collateral received from securities loaned. SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 22
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- COMMON STOCK - 97.91% ADVERTISING - 0.34% 100 Getty Images, Inc. +............... $ 4,340 150 Omnicom Group, Inc................. 11,949 ---------- 16,289 ---------- AEROSPACE/DEFENSE - 0.72% 150 L-3 Communications Holdings, Inc. + 7,058 320 United Technologies Corp........... 27,424 ---------- 34,482 ---------- AIRLINES - 0.09% 250 Southwest Airlines Co.............. 4,495 ---------- APPAREL & PRODUCTS - 1.53% 270 Chicos FAS, Inc. +................. 10,363 150 Liz Claiborne, Inc................. 5,251 400 Reebok International, Ltd.......... 16,096 100 Timberland Co., Class A +.......... 5,402 1,600 TJX Cos., Inc...................... 36,144 ---------- 73,256 ---------- APPLIANCES/FURNISHINGS - 0.42% 290 Whirlpool Corp..................... 19,813 ---------- AUTOMOTIVE - 0.60% 300 AutoZone, Inc. +................... 28,698 ---------- AUTO - REPLACEMENT PARTS - 0.58% 340 Advance Auto Parts, Inc. +......... 27,751 ---------- BANKS - 1.09% 290 State Street Bank & Trust Co....... 14,778 490 U.S. Bancorp....................... 13,578 200 Wells Fargo & Co................... 11,466 200 Zions Bancorp...................... 12,334 ---------- 52,156 ---------- BEVERAGES - 2.20% 300 Anheuser-Busch Cos., Inc........... 15,546 470 Coca-Cola Enterprises, Inc......... 9,706 1,660 PepsiCo, Inc....................... 79,879 ---------- 105,131 ----------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- BROADCASTING - 1.19% 150 Comcast Corp., Class A +................ $ 4,707 940 Comcast Corp., Class A Special +........ 28,341 250 Fox Entertainment Group, Inc., Class A + 7,137 1,500 Liberty Media Corp., Series A +......... 16,575 ---------- 56,760 ---------- BUILDING MATERIALS - 2.28% 1,610 Lowe's Cos., Inc........................ 93,863 560 Masco Corp.............................. 15,232 ---------- 109,095 ---------- COMMERCIAL SERVICES - 0.84% 526 Accenture, Ltd., Class A +.............. 13,097 150 Convergys Corp. +....................... 2,301 170 Iron Mountain, Inc. +................... 6,256 250 Paychex, Inc............................ 9,618 275 Rent-A-Center, Inc. +................... 8,935 ---------- 40,207 ---------- CONGLOMERATES - 6.16% 860 3M Co................................... 67,975 7,890 General Electric Co..................... 226,206 ---------- 294,181 ---------- DRUGS - 8.68% 1,400 Abbott Laboratories..................... 61,880 380 Allergan, Inc........................... 28,398 80 Barr Laboratories, Inc. +............... 6,603 370 Caremark Rx, Inc. +..................... 9,879 430 Forest Laboratories, Inc. +............. 23,495 480 Merck & Co., Inc........................ 19,488 6,540 Pfizer, Inc............................. 219,417 1,150 Wyeth................................... 45,310 ---------- 414,470 ---------- ELECTRONICS/ELECTRICAL EQUIPMENT - 0.89% 230 Arrow Electronics, Inc. +............... 5,378 130 Fisher Scientific International, Inc. +. 5,235 960 PMC-Sierra, Inc. +...................... 19,555 1,000 Xerox Corp. +........................... 12,180 ---------- 42,348 ----------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- FINANCE COMPANIES - 3.34% 1,120 Capital One Financial Corp.............. $ 66,886 3,770 MBNA Corp............................... 92,441 ---------- 159,327 ---------- FINANCIAL SERVICES - 4.12% 200 American Express Co..................... 9,142 910 Charles Schwab Corp..................... 10,556 1,070 Citigroup, Inc.......................... 50,333 150 Doral Financial Corp.................... 7,585 1,060 Fannie Mae.............................. 74,200 500 Freddie Mac............................. 27,210 100 H & R Block, Inc........................ 5,429 220 Merrill Lynch & Co., Inc................ 12,485 ---------- 196,940 ---------- FOODS - 0.22% 80 Performance Food Group Co. +/(1)/....... 3,145 200 Sysco Corp.............................. 7,264 ---------- 10,409 ---------- HEALTHCARE - 1.39% 40 Anthem, Inc. +.......................... 2,885 90 Community Health Systems, Inc. +........ 2,437 350 Health Management Associates, Inc., Class A................................ 8,995 160 Manor Care, Inc......................... 5,651 60 McKesson Corp........................... 1,752 320 Medco Health Solutions, Inc. +.......... 11,658 90 Mid Atlantic Medical Services, Inc. +... 5,526 190 Patterson Dental Co. +.................. 12,939 210 Steris Corp. +.......................... 4,857 180 Universal Health Services, Inc., Class B 9,679 ---------- 66,379 ---------- HOME BUILDERS - 0.82% 340 DR Horton, Inc.......................... 14,858 250 Lennar Corp............................. 24,475 ---------- 39,333 ---------- HOSPITAL SUPPLIES - 5.67% 250 AmerisourceBergen Corp.................. 15,823 80 Beckman Coulter, Inc.................... 4,092 500 Boston Scientific Corp. +............... 17,945 560 Cardinal Health, Inc.................... 34,238
-------------------------------------------------------------------------------- GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 23
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ HOSPITAL SUPPLIES - Continued 170 Henry Schein, Inc. +................... $ 11,439 2,520 Johnson & Johnson...................... 124,211 1,100 Medtronic, Inc......................... 49,720 80 St. Jude Medical, Inc. +............... 5,067 120 Varian Medical Systems, Inc. +......... 8,281 ---------- 270,816 ---------- HOUSEHOLD PRODUCTS - 1.82% 60 Colgate-Palmolive Co................... 3,150 190 Dial Corp.............................. 4,917 820 Procter & Gamble Co.................... 78,917 ---------- 86,984 ---------- INFORMATION PROCESSING - HARDWARE - 5.71% 4,100 Dell, Inc. +........................... 141,450 730 International Business Machines Corp... 66,094 80 Lexar Media, Inc. +.................... 1,709 610 Lexmark International, Inc., Class A +. 47,214 200 Sandisk Corp. +........................ 16,172 ---------- 272,639 ---------- INFORMATION PROCESSING - SERVICES - 3.02% 430 Adobe Systems, Inc..................... 17,768 230 Affiliated Computer Services, Inc., Class A +............................. 11,532 100 Cognizant Technology Solutions Corp., Class A +............................. 4,587 530 EMC Corp. +............................ 7,282 240 Fair Issac & Co., Inc.................. 13,238 150 Fiserv, Inc. +......................... 5,625 193 InterActiveCorp +...................... 6,340 250 Macromedia, Inc. +..................... 5,128 350 SunGard Data Systems, Inc. +........... 9,457 1,780 Symantec Corp. +....................... 58,437 310 VeriSign, Inc. +....................... 5,025 ---------- 144,419 ---------- INFORMATION PROCESSING - SOFTWARE - 5.90% 200 Automatic Data Processing, Inc......... 7,646 150 BEA Systems, Inc. +.................... 1,905 330 Computer Associates International, Inc. 7,689
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- INFORMATION PROCESSING - SOFTWARE - Continued 200 IMS Health, Inc...................... $ 4,606 100 Mercury Interactive Corp. +.......... 4,680 8,900 Microsoft Corp....................... 228,730 1,470 Oracle Corp. +....................... 17,655 150 SEI Investments Co................... 4,207 130 VERITAS Software Corp. +............. 4,943 ---------- 282,061 ---------- INSURANCE - 3.20% 1,940 ACE, Ltd............................. 70,713 610 Coventry Health Care, Inc. +......... 36,539 200 Fidelity National Financial, Inc..... 7,066 480 UnitedHealth Group, Inc.............. 25,872 40 WellChoice, Inc. +/(1)/.............. 1,361 120 Wellpoint Health Networks, Inc., Class A +........................... 11,219 ---------- 152,770 ---------- LEISURE AND TOURISM - 2.25% 100 CBRL Group, Inc...................... 4,125 140 Electronic Arts, Inc. +.............. 6,192 230 GTECH Holdings Corp.................. 11,445 330 Harrah's Entertainment, Inc.......... 15,797 100 Marriott International, Inc., Class A 4,583 170 Mattel, Inc.......................... 3,441 1,200 Royal Caribbean Cruises, Ltd./(1)/... 36,324 480 Starbucks Corp. +.................... 15,393 300 Yum! Brands, Inc. +.................. 10,347 ---------- 107,647 ---------- MEDICAL - BIOMEDICAL/GENE - 2.14% 1,170 Amgen, Inc. +........................ 67,287 150 Biogen, Inc. +....................... 5,727 180 Genentech, Inc. +.................... 15,174 300 Genzyme Corp. +...................... 14,022 ---------- 102,210 ---------- MEDICAL TECHNOLOGY - 0.57% 480 Guidant Corp......................... 27,250 ---------- METALS - 0.67% 740 Freeport-McMoRan Copper & Gold, Inc., Class B............................. 32,212 ----------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------ MULTIMEDIA - 0.32% 500 Time Warner, Inc. +.............. $ 8,140 300 Walt Disney Co................... 6,927 ---------- 15,067 ---------- OIL AND GAS - 0.27% 150 Burlington Resources, Inc........ 7,530 250 GlobalSantaFe Corp............... 5,375 ---------- 12,905 ---------- PAPER/FOREST PRODUCTS - 0.11% 100 Sealed Air Corp. +............... 5,277 ---------- RETAIL - 8.24% 480 Bed Bath & Beyond, Inc. +........ 20,275 600 Best Buy Co., Inc................ 37,200 60 Express Scripts, Inc., Class A +. 3,884 280 Family Dollar Stores, Inc........ 10,802 150 Federated Department Stores, Inc. 7,364 2,170 Home Depot, Inc.................. 79,769 400 Kohl's Corp. +................... 19,328 500 Kroger Co. +..................... 9,430 100 Michaels Stores, Inc............. 4,725 180 PETsMART, Inc.................... 4,349 1,320 Staples, Inc. +.................. 35,838 2,780 Wal-Mart Stores, Inc............. 154,679 170 Williams-Sonoma, Inc. +.......... 6,127 ---------- 393,770 ---------- SCHOOLS - 1.52% 420 Apollo Group, Inc., Class A +.... 28,993 850 Career Education Corp. +......... 43,460 ---------- 72,453 ---------- SEMICONDUCTORS - 11.18% 740 Altera Corp. +................... 18,744 1,500 Applied Materials, Inc. +........ 36,450 8,830 Intel Corp....................... 295,187 180 Intersil Corp., Class A.......... 4,754 300 KLA-Tencor Corp. +............... 17,583 740 Lam Research Corp. +............. 23,680 270 Linear Technology Corp........... 11,648 490 LSI Logic Corp. +................ 4,591 160 Marvell Technology Group, Ltd. +. 6,318 100 Novellus Systems, Inc. +......... 4,376
-------------------------------------------------------------------------------- GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 24
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------ SEMICONDUCTORS - Continued 700 QLogic Corp. +................... $ 39,781 2,390 Texas Instruments, Inc........... 71,127 ---------- 534,239 ---------- TELECOMMUNICATIONS - 5.79% 650 Avaya, Inc. +.................... 8,840 500 BellSouth Corp................... 13,015 620 CenturyTel, Inc.................. 20,274 600 Ciena Corp. +.................... 4,248 6,650 Cisco Systems, Inc. +............ 150,689 590 EchoStar Communications Corp., Class A +....................... 20,343 190 Harris Corp...................... 7,366 1,160 QUALCOMM, Inc.................... 51,678 ---------- 276,453 ---------- THERAPEUTICS - 0.18% 150 Gilead Sciences, Inc. +.......... 8,802 ---------- TOBACCO - 0.90% 830 Altria Group, Inc................ 43,160 ---------- UTILITIES - COMMUNICATION - 0.13% 400 Sprint Corp. (FON Group)......... 5,996 ---------- UTILITIES - ELECTRIC - 0.82% 1,270 Edison International, Inc. +..... 25,933 250 Entergy Corp..................... 13,215 ---------- 39,148 ---------- TOTAL COMMON STOCK (Cost $4,188,164)................ 4,677,798 ----------
PAR MARKET VALUE VALUE ------------------------------------------------------------------ SHORT TERM INVESTMENTS - 0.88% COLLECTIVE INVESTMENT POOL $ 41,820 Securities Lending Quality Trust/(2)/ (Cost $41,820)............................... $ 41,820 ---------- REPURCHASE AGREEMENT - 2.45% 117,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $117,009 and collateralized by Federal Home Loan Bank Bonds, bearing interest at 1.63%, due 6/17/05 and having an approximate value of $120,300 (Cost $117,000)................................... 117,000 ---------- TOTAL INVESTMENTS (Cost $4,346,984) - 101.24%.................. 4,836,618 Other assets and liabilities, net - (1.24)%............................... (59,012) ---------- NET ASSETS - 100%............................ $4,777,606 ----------
+ Non-income producing /(1)/The security or a portion thereof is out on loan (see Note 2). /(2)/The security is purchased with the cash collateral received from securities loaned. SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- HEALTH SCIENCES FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 25
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- COMMON STOCK - 98.85% CHEMICAL - 2.53% 25,600 Invitrogen Corp. +/(3)/............... $ 1,745,152 50,600 Symyx Technologies, Inc. +............ 1,009,470 ------------ 2,754,622 ------------ COMMERCIAL SERVICES - 0.21% 24,800 WebMD Corp. +......................... 226,920 ------------ DRUGS - 26.42% 27,100 Abbott Laboratories................... 1,197,820 35,200 Able Laboratories, Inc. +/(1)/........ 652,256 5,600 Actelion, Ltd. +/(1)/................. 536,689 17,100 Allergan, Inc./ (3)/.................. 1,277,883 5,500 Angiotech Pharmaceuticals, Inc. +/(3)/ 270,985 11,350 Barr Laboratories, Inc. +/(3)/........ 936,829 8,900 Biovail Corp. +/(1)/.................. 166,875 16,600 Caremark Rx, Inc. +/(3)/.............. 443,220 80,000 Cephalon, Inc. +/(1)(3)/.............. 3,759,200 77,200 Cubist Pharmaceuticals, Inc. +/(1)/... 958,824 25,000 Eli Lilly & Co./ (3)/................. 1,714,000 38,700 Forest Laboratories, Inc. +........... 2,114,568 31,600 Indevus Pharmaceuticals, Inc. +/(1)/.. 179,488 29,600 IVAX Corp. +.......................... 634,920 6,000 Ligand Pharmaceuticals, Inc. /(5)/.... 71,604 15,700 Ligand Pharmaceuticals, Inc., Class B +/(1)/....................... 210,066 2,700 Novartis AG - ADR..................... 113,940 2,300 Novo-Nordisk A/S...................... 88,256 27,400 OSI Pharmaceuticals, Inc. +/(1)(3)/... 814,602 134,260 Pfizer, Inc./(3)/..................... 4,504,423 3,400 Roche Holdings AG-Genusschein......... 306,757 20,100 Salix Pharmaceuticals, Ltd. +......... 382,503 13,800 Sanofi-Synthelabo SA.................. 935,445 27,800 Schering-Plough Corp.................. 446,190 32,800 Teva Pharmaceutical Industries, Ltd. ADR/(1)/............................. 1,975,738 33,000 Valeant Pharmaceuticals International. 789,030 37,694 Vertex Pharmaceuticals, Inc. +/(3)/... 329,446 11,100 ViroPharma, Inc. +/(1)/............... 30,858 61,200 Wyeth/ (3)/........................... 2,411,280 18,000 Yamanouchi Pharmaceutical Co., Ltd.... 517,737 ------------ 28,771,432 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - 1.25% 19,200 Fisher Scientific International, Inc. +/(3)/ $ 773,184 2,600 Molecular Devices Corp. +/(3)/.............. 51,558 11,500 Waters Corp. +.............................. 367,770 4,000 Wilson Greatbatch Technologies, Inc. +/(1)/................................ 167,600 ------------ 1,360,112 ------------ HEALTHCARE - 11.69% 13,200 AdvancePCS +................................ 734,712 79,200 Anthem, Inc. +/(3)/......................... 5,711,904 16,200 Community Health Systems, Inc. +............ 438,696 8,100 DaVita, Inc. +.............................. 309,258 27,800 Epix Medical, Inc. +........................ 501,234 42,100 Laboratory Corp. of America Holdings +/(3)/............................ 1,520,652 77,900 Omnicare, Inc. /(3)/........................ 3,109,768 7,500 Universal Health Services, Inc., Class B /(3)/.............................. 403,275 ------------ 12,729,499 ------------ HOSPITAL MANAGEMENT - 1.82% 27,400 HCA, Inc. /(3)/............................. 1,148,334 24,300 Triad Hospitals, Inc. +..................... 840,780 ------------ 1,989,114 ------------ HOSPITAL SUPPLIES - 10.85% 16,150 Advanced Neuromodulation Systems, Inc. +/(1)/....................... 681,368 12,600 AmerisourceBergen Corp...................... 797,454 72,200 Boston Scientific Corp. +/(3)/.............. 2,591,258 19,800 Cardinal Health, Inc. /(3)/................. 1,210,572 15,800 CR Bard, Inc. /(3)/......................... 1,194,480 10,800 Henry Schein, Inc. +........................ 726,732 28,400 Johnson & Johnson........................... 1,399,836 16,700 Medtronic, Inc. /(3)/....................... 754,840 300 Novo-Nordisk A/S - ADR...................... 11,520 17,100 St. Jude Medical, Inc. +/(3)/............... 1,083,114 42,600 STAAR Surgical Co. +/(1)/................... 468,217 11,100 Stryker Corp. /(3)/......................... 899,100 ------------ 11,818,491 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- INSURANCE - 6.33% 113,700 UnitedHealth Group, Inc............... $ 6,128,430 8,200 Wellpoint Health Networks, Inc., Class A +............................ 766,618 ------------ 6,895,048 ------------ MEDICAL - BIOMEDICAL/GENE - 14.43% 21,800 Alexion Pharmaceuticals, Inc. +/(1)/.. 408,750 83,800 Amgen, Inc. +/(3)/.................... 4,819,338 51,000 Biocryst Pharmaceuticals, Inc. +/(1)/. 417,690 63,600 Biogen, Inc. +/(3)/................... 2,428,248 60,700 BioSphere, Inc. +/(1)/................ 182,707 48,400 Decode Genetics, Inc. +/(1)/.......... 405,108 86,500 Exelixis, Inc. +...................... 582,145 29,500 Genentech, Inc. +/(3)/................ 2,486,850 41,700 Human Genome Sciences, Inc. +......... 533,760 2,700 ICOS Corp. +.......................... 122,040 51,200 MedImmune, Inc. +/(3)/................ 1,218,560 32,600 Millennium Pharmaceuticals, Inc. +.... 514,102 14,600 Myriad Genetics, Inc. +/(1)/.......... 172,572 35,800 Protein Design Labs, Inc. +/(3)/...... 496,188 18,200 Regeneron Pharmaceuticals, Inc. +/(1)/ 234,416 1,400 Repligen Corp. +/(1)/................. 6,762 33,600 Transkaryotic Therapies, Inc. +....... 436,464 36,500 XOMA, Ltd. +.......................... 252,215 ------------ 15,717,915 ------------ MEDICAL TECHNOLOGY - 5.52% 123,200 Alkermes, Inc. +...................... 1,611,456 37,400 Aspect Medical Systems, Inc. +........ 355,674 5,700 Bio-Rad Laboratories, Inc., Class A +. 292,125 4,300 Chiron Corp. +/(3)/................... 230,566 28,100 Diversa Corp. +....................... 236,040 42,400 Fischer Imaging Corp. +............... 186,560 3,900 Guidant Corp. /(3)/................... 221,403 6,000 Integra LifeSciences Corp. +.......... 188,340 8,300 Martek Biosciences Corp. +/(1)(3)/.... 504,142 47,900 Nektar Therapeutics +/(1)/............ 631,322 35,100 Noven Pharmaceuticals, Inc. +......... 481,923 18,900 Regeneration Technologies, Inc. +/(1)/ 196,560 5,300 Serologicals Corp. +/(1)/............. 91,425 300 Synthes-Stratec, Inc.................. 272,992 7,700 Zimmer Holdings, Inc. +/(3)/.......... 507,584 ------------ 6,008,112 ------------
-------------------------------------------------------------------------------- HEALTH SCIENCES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 26
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ OPTICAL INSTRUMENTS & LENSES - 0.37% 6,900 Alcon, Inc. /(3)/.................... $ 401,373 ------------ THERAPEUTICS - 17.43% 70,600 Abgenix, Inc. +/(1)/................. 795,662 22,800 Amylin Pharmaceuticals, Inc. +/(3)/.. 596,676 15,200 BioMarin Pharmaceutical, Inc. +/(1)/. 111,720 22,500 CV Therapeutics, Inc. +/(3)/......... 404,325 10,900 Discovery Laboratories, Inc. +....... 93,522 6,100 Esperion Therapeutics, Inc. +/(1)(3)/ 140,239 99,100 Gilead Sciences, Inc. +/(3)/......... 5,815,188 58,000 ImClone Systems, Inc. +/(1)(3)/...... 2,279,400 16,200 Medarex, Inc. +/(1)/................. 110,160 61,500 Medicines Co. +...................... 1,683,255 23,100 MGI Pharma, Inc. +/(3)/.............. 886,347 18,100 NeoRx Corp. +/(1)/................... 78,192 38,800 Neurocrine Biosciences, Inc. +/(3)/.. 2,049,804 47,800 NPS Pharmaceuticals, Inc. +/(1)/..... 1,442,604 30,500 Onyx Pharmaceuticals, Inc. +/(1)/.... 877,790 55,600 Trimeris, Inc. +/(3)/................ 1,269,348 16,700 Tularik, Inc. +/(1)/................. 250,166 5,175 Vicuron Pharmaceuticals, Inc. +...... 93,926 ------------ 18,978,324 ------------ TOTAL COMMON STOCK (Cost $95,183,808)................... 107,650,962 ------------
PAR MARKET VALUE VALUE --------------------------------------------------------------- SHORT-TERM INVESTMENTS - 13.96% COLLECTIVE INVESTMENT POOL - 11.78% $12,824,840 Securities Lending Quality Trust/(2)/ $ 12,824,840 ------------- REGISTERED INVESTMENT COMPANIES - 2.18% 2,373,536 T. Rowe Price Reserve Investment Fund /(4)/.......................... 2,373,536 ------------- TOTAL SHORT-TERM INVESTMENTS (Cost $15,198,376)................... 15,198,376 ------------- TOTAL INVESTMENTS (Cost $110,382,184) - 112.81%........ 122,849,338 Other assets and liabilities, net - (12.81)%...................... (13,947,185) ------------- NET ASSETS - 100%.................... $ 108,902,153 -------------
+ Non-income producing ADR - American Depository Receipt /(1)/ The security or a portion thereof is out on loan (see Note 2). /(2)/ The security is purchased with the cash collateral received from securities loaned. /(3)/ A portion of this security is subject to options written (see Note 4). /(4)/ The security or a portion thereof represents collateral for uncovered written options. /(5)/ To the extent permitted by the Statement of Additional Information, the Health Sciences Fund may invest in restricted securities. This restricted security is valued pursuant to Note 2. Restricted securities held by a Fund may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist. As of November 30, 2003, the Health Sciences Fund held the following restricted securities:
Value as a % of Acquisition Acquisition Market Net Name Date Share/Par Cost Value Assets ---- ----------- --------- ----------- ------- ------ Ligand Pharmaceuticals, Inc................... 07/03/2003 6,000 $69,000 $71,604 0.07%
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- INCOME & GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 27
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------ COMMON STOCK - 98.83% AEROSPACE/DEFENSE - 0.21% 800 General Dynamics Corp........... $ 64,696 2,100 Honeywell International, Inc.... 62,349 3,900 United Technologies Corp........ 334,230 ----------- 461,275 ----------- AIRLINES - 0.18% 5,300 Delta Air Lines, Inc./(1)/...... 66,462 19,200 Southwest Airlines Co........... 345,216 ----------- 411,678 ----------- APPAREL & PRODUCTS - 0.20% 21,100 Gap, Inc........................ 453,650 ----------- APPLIANCES/FURNISHINGS - 0.42% 13,600 Whirlpool Corp.................. 929,152 ----------- AUTOMOTIVE - 2.36% 3,000 American Axle & Manufacturing Holdings, Inc.+................ 118,890 7,086 Carlisle Cos., Inc.............. 417,011 23,200 Delphi Automotive Systems Corp.. 203,696 342,500 Ford Motor Co................... 4,521,000 ----------- 5,260,597 ----------- AUTO - REPLACEMENT PARTS - 0.03% 800 Advance Auto Parts, Inc.+....... 65,296 ----------- BANKS - 8.38% 119,300 Bank of America Corp............ 8,998,799 1,700 Bank One Corp................... 73,712 74,400 First American Corp., Class A... 2,202,240 8,069 First Tennessee National Corp... 359,878 21,700 FleetBoston Financial Corp...... 881,020 9,100 National City Corp.............. 305,305 14,800 PNC Financial Services Group.... 804,528 22,900 U.S. Bancorp.................... 634,559 21,900 UnionBanCal Corp................ 1,247,424 32,200 Wachovia Corp................... 1,473,150 30,400 Wells Fargo & Co................ 1,742,832 ----------- 18,723,447 -----------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- BEVERAGES - 0.34% 6,300 Adolph Coors Co., Class B................. $ 347,193 8,510 PepsiCo, Inc.............................. 409,501 ----------- 756,694 ----------- BROADCASTING - 0.07% 5,700 Fox Entertainment Group, Inc., Class A+................................. 162,735 ----------- BUILDING MATERIALS - 0.85% 17,500 RPM International, Inc.................... 264,775 50,400 Sherwin-Williams Co....................... 1,634,472 ----------- 1,899,247 ----------- CHEMICAL - 1.65% 2,400 Engelhard Corp............................ 71,568 133,400 Monsanto Co............................... 3,617,808 ----------- 3,689,376 ----------- COMMERCIAL SERVICES - 1.47% 20,900 Cendant Corp.+............................ 463,144 37,900 Convergys Corp.+.......................... 581,386 36,100 Rent-A-Center, Inc.+...................... 1,172,889 43,132 Viad Corp................................. 1,060,616 ----------- 3,278,035 ----------- CONGLOMERATES - 2.03% 2,400 Eaton Corp................................ 247,176 119,200 General Electric Co....................... 3,417,464 38,097 Tyco International, Ltd................... 874,326 ----------- 4,538,966 ----------- DRUGS - 6.13% 14,337 Abbott Laboratories....................... 633,695 120,800 Bristol-Myers Squibb Co................... 3,183,080 6,900 Endo Pharmaceuticals Holdings, Inc.+...... 129,996 12,200 King Pharmaceuticals, Inc.+............... 157,502 1,900 KOS Pharmaceuticals, Inc.+................ 84,550 101,100 Merck & Co., Inc.......................... 4,104,660 141,880 Pfizer, Inc............................... 4,760,074 10,000 Valeant Pharmaceuticals International/(1)/ 239,100 10,300 Wyeth..................................... 405,820 ----------- 13,698,477 -----------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ ELECTRONICS/ELECTRICAL EQUIPMENT - 2.38% 36,644 Arrow Electronics, Inc.+.............. $ 856,737 72,900 Avnet, Inc.+.......................... 1,554,957 16,200 Benchmark Electronics, Inc.+.......... 595,026 13,682 Fisher Scientific International, Inc.+ 550,974 76,700 Sanmina-SCI Corp.+.................... 934,973 67,700 Xerox Corp.+.......................... 824,586 ----------- 5,317,253 ----------- FINANCE COMPANIES - 0.09% 8,500 MBNA Corp............................. 208,420 ----------- FINANCIAL SERVICES - 8.92% 158,900 Citigroup, Inc........................ 7,474,656 6,700 E*TRADE Group, Inc.+.................. 72,561 34,700 Fannie Mae............................ 2,429,000 20,900 H & R Block, Inc...................... 1,134,661 153,700 JP Morgan Chase & Co.................. 5,434,832 900 Lehman Brothers Holdings, Inc......... 64,989 33,700 Merrill Lynch & Co., Inc.............. 1,912,475 25,200 Morgan Stanley........................ 1,393,056 ----------- 19,916,230 ----------- FOODS - 1.13% 27,600 Archer-Daniels-Midland Co............. 394,404 41,400 ConAgra Foods, Inc.................... 1,014,300 25,800 Sara Lee Corp......................... 530,190 43,600 Tyson Foods, Inc., Class A............ 595,140 ----------- 2,534,034 ----------- FREIGHT - 1.02% 6,900 FedEx Corp............................ 501,630 24,300 United Parcel Service, Inc., Class B.. 1,768,311 ----------- 2,269,941 ----------- HEALTHCARE - 0.54% 41,600 McKesson Corp......................... 1,214,720 ----------- HOME BUILDERS - 0.93% 13,900 KB Home............................... 957,432 2,300 NVR, Inc.+............................ 1,129,300 ----------- 2,086,732 ----------- HOSPITAL SUPPLIES - 1.42% 64,500 Johnson & Johnson..................... 3,179,205 -----------
-------------------------------------------------------------------------------- INCOME & GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 28
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- HOUSEHOLD PRODUCTS - 3.13% 25,300 Fortune Brands, Inc...................... $ 1,728,496 54,700 Procter & Gamble Co...................... 5,264,328 ----------- 6,992,824 ----------- INFORMATION PROCESSING - HARDWARE - 3.29% 18,291 Dell, Inc.+.............................. 631,040 122,115 Hewlett-Packard Co....................... 2,648,674 34,900 International Business Machines Corp..... 3,159,846 8,400 Storage Technology Corp.+................ 211,680 56,200 Western Digital Corp.+................... 699,128 ----------- 7,350,368 ----------- INFORMATION PROCESSING - SERVICES - 1.10% 6,700 CheckFree Corp.+/(1)/.................... 185,054 10,700 Computer Sciences Corp.+................. 442,980 21,000 Earthlink, Inc.+......................... 201,600 19,600 Electronic Data Systems Corp............. 423,752 18,600 United Online, Inc.+/(1)/................ 338,706 53,400 VeriSign, Inc.+.......................... 865,614 ----------- 2,457,706 ----------- INFORMATION PROCESSING - SOFTWARE - 2.89% 1,600 Computer Associates International, Inc... 37,280 222,000 Microsoft Corp........................... 5,705,400 59,200 Oracle Corp.+............................ 710,992 ----------- 6,453,672 ----------- INSURANCE - 5.75% 41,300 ACE, Ltd................................. 1,505,385 33,300 Allstate Corp............................ 1,344,654 35,700 AmerUs Group Co./(1)/.................... 1,283,415 83,787 Fidelity National Financial, Inc......... 2,960,195 36,700 Health Net, Inc.+........................ 1,200,090 48,800 Humana, Inc.+............................ 1,089,704 3,400 PacifiCare Health Systems, Inc., Class A+ 221,374 19,000 Principal Financial Group, Inc........... 629,090 30,000 Protective Life Corp..................... 985,500 47,600 W.R. Berkley Corp........................ 1,625,540 ----------- 12,844,947 -----------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- LEISURE AND TOURISM - 1.26% 34,500 Blockbuster, Inc., Class A/(1)/.......... $ 589,260 1,800 Electronic Arts, Inc.+................... 79,614 7,800 Harrah's Entertainment, Inc.............. 373,386 5,100 NetFlix, Inc.+/(1)/...................... 249,900 59,300 Regal Entertainment Group, Class A/(1)/.. 1,235,812 8,300 Take-Two Interactive Software, Inc.+/(1)/ 274,730 ------------ 2,802,702 ------------ MACHINERY - 0.07% 2,300 Briggs & Stratton Corp................... 155,250 ------------ MEDICAL - BIOMEDICAL/GENE - 1.01% 39,292 Amgen, Inc.+ @........................... 2,259,683 ------------ MISCELLANEOUS - 1.30% 118,800 Eastman Kodak Co......................... 2,893,968 ------------ MULTIMEDIA - 2.79% 227,800 Time Warner, Inc.+....................... 3,708,584 37,300 Viacom, Inc., Class B.................... 1,466,636 45,500 Walt Disney Co........................... 1,050,595 ------------ 6,225,815 ------------ OIL AND GAS - 9.23% 14,100 Amerada Hess Corp........................ 667,917 65,700 ChevronTexaco Corp....................... 4,934,070 15,900 ConocoPhillips........................... 902,166 65,600 Exxon Mobil Corp......................... 2,372,752 158,700 Marathon Oil Corp........................ 4,699,107 38,200 Occidental Petroleum Corp................ 1,401,176 69,164 ONEOK, Inc./(1)/......................... 1,370,139 8,100 Schlumberger, Ltd........................ 380,052 73,100 Sunoco, Inc.............................. 3,509,531 11,950 UGI Corp./(1)/........................... 386,582 ------------ 20,623,492 ------------ PAPER/FOREST PRODUCTS - 0.89% 13,800 Bemis Co., Inc........................... 627,900 10,100 Louisiana-Pacific Corp.+................. 182,709 31,560 Rayonier, Inc............................ 1,170,230 ------------ 1,980,839 ------------
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- RAILROADS & EQUIPMENT - 0.42% 8,400 Burlington Northern Santa Fe Corp. $ 250,068 4,500 CSX Corp.......................... 152,505 8,200 Norfolk Southern Corp............. 175,562 5,700 Union Pacific Corp................ 362,976 ------------ 941,111 ------------ REAL ESTATE INVESTMENT TRUSTS - 0.89% 9,100 CBL & Associates Properties, Inc.. 511,875 35,400 Equity Office Properties Trust.... 981,642 3,200 General Growth Properties, Inc.... 257,920 5,200 Simon Property Group, Inc......... 246,740 ------------ 1,998,177 ------------ RETAIL - 5.65% 21,700 Barnes & Noble, Inc.+............. 720,006 5,400 Claire's Stores, Inc.............. 250,560 129,500 Federated Department Stores, Inc.. 6,357,155 4,400 Home Depot, Inc................... 161,744 11,100 IKON Office Solutions, Inc./(1)/.. 94,017 64,100 May Department Stores Co.......... 1,900,565 5,200 RadioShack Corp................... 161,980 7,200 Sears, Roebuck and Co............. 397,152 69,900 SUPERVALU, Inc.................... 1,804,818 19,100 United Stationers, Inc.+.......... 770,685 ------------ 12,618,682 ------------ SAVINGS & LOAN - 0.99% 7,500 Flagstar Bancorp, Inc./(1)/....... 165,975 44,600 Washington Mutual, Inc............ 2,043,126 ------------ 2,209,101 ------------ SEMICONDUCTORS - 4.26% 277,500 Intel Corp........................ 9,276,825 8,100 Texas Instruments, Inc............ 241,056 ------------ 9,517,881 ------------
-------------------------------------------------------------------------------- INCOME & GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 29
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ TELECOMMUNICATIONS - 4.92% 34,500 Alltel Corp.......................... $ 1,566,645 81,800 BellSouth Corp....................... 2,129,254 92,100 Cisco Systems, Inc.+................. 2,086,986 77,400 Nextel Communications, Inc., Class A+ 1,960,542 32,300 PanAmSat Corp.+/(1)/................. 713,507 5,900 QUALCOMM, Inc........................ 262,845 6,900 Scientific-Atlanta, Inc.............. 199,272 63,300 Verizon Communications, Inc.......... 2,074,341 ------------ 10,993,392 ------------ TOBACCO - 2.26% 85,300 Altria Group, Inc.................... 4,435,600 11,000 R.J. Reynolds Tobacco Holdings, Inc.. 607,200 ------------ 5,042,800 ------------ UTILITIES - COMMUNICATION - 1.81% 18,060 AT&T Corp............................ 358,130 74,700 SBC Communications, Inc.............. 1,739,016 130,008 Sprint Corp. (FON Group)............. 1,948,820 ------------ 4,045,966 ------------ UTILITIES - ELECTRIC - 3.97% 143,600 Edison International, Inc.+.......... 2,932,312 14,600 Entergy Corp......................... 771,756 40,300 Exelon Corp.......................... 2,491,346 8,000 FPL Group, Inc....................... 508,400 36,000 Great Plains Energy, Inc./(1)/....... 1,142,280 7,800 OGE Energy Corp...................... 185,796 14,080 TXU Corp............................. 311,731 26,300 Weststar Energy, Inc................. 522,318 ------------ 8,865,939 ------------ UTILITIES - GAS, DISTRIBUTION - 0.20% 15,801 Sempra Energy........................ 447,484 ------------ TOTAL COMMON STOCK (Cost $210,467,327).................. 220,776,959 ------------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- PREFERRED STOCK - 0.46% AUTOMOTIVE - 0.27% 8,000 Ford Motor Co. Capital Trust II 6.50%:................................. $ 399,120 8,900 General Motors Corp., Series B 5.25%:................................. 211,731 ------------ 610,851 ------------ ELECTRONICS/ELECTRICAL EQUIPMENT - 0.19% 3,500 Xerox Corp.: 6.25%:..................... 412,650 ------------ TOTAL PREFERRED STOCK (Cost $970,531)......................... 1,023,501 ------------ PAR VALUE ----------- SHORT-TERM INVESTMENTS - 2.91% COLLECTIVE INVESTMENT POOL $6,507,709 Securities Lending Quality Trust/(2)/ (Cost $6,507,709)...................... 6,507,709 ------------ REPURCHASE AGREEMENT - 0.57% 1,283,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $1,283,100 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 2.00%, due 10/20/05 and having an approximate value of $1,312,211 (Cost $1,283,000) @.................... 1,283,000 ------------ TOTAL INVESTMENTS (Cost $219,228,567) - 102.77%........... 229,591,169 Other assets and liabilities, net - (2.77)%.......................... (6,192,428) ------------ NET ASSETS - 100%....................... $223,398,741 ------------
+Non-income producing @The security or a portion thereof represents collateral for open futures contracts. /(1)/The security or a portion thereof is out on loan (see Note 2). /(2)/The security is purchased with the cash collateral received from securities loaned. OPEN FUTURES CONTRACTS
Value at Value as of Number of Expiration Trade November 30, Unrealized Contracts Description Date Date 2003 Appreciation ------------------------------------------------------------------- 2 Long S&P 500 Index Dec. 2003 $513,513 $528,900 $15,387 -------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 30
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- COMMON STOCK - 83.72% ADVERTISING - 0.22% 15,360 Aegis Group, PLC.................... $ 26,452 500 Asatsu-DK, Inc...................... 11,916 4 Dentsu, Inc......................... 16,984 1,363 Publicis Groupe SA.................. 43,089 17,425 WPP Group, PLC...................... 167,147 ------------ 265,588 ------------ AEROSPACE/DEFENSE - 0.24% 45,731 BAE Systems, PLC.................... 137,231 1,794 Cobham, PLC......................... 34,943 82,000 Finmeccanica SpA.................... 62,963 6,047 Serco Group, PLC.................... 18,354 1,075 Thales SA........................... 33,546 ------------ 287,037 ------------ AIRLINES - 0.43% 1,070 Air France.......................... 16,303 8,000 All Nippon Airways Co., Ltd. +...... 18,335 3,382 Auckland International Airport, Ltd. 14,365 16,068 BAA, PLC............................ 130,748 7,529 British Airways, PLC +.............. 29,563 13,000 Cathay Pacific Airways, Ltd......... 25,033 2,653 Deutsche Lufthansa AG............... 40,582 4,433 European Aeronautic Defense and Space Co....................... 96,797 147 Flughafen Wien AG................... 6,261 6,347 Iberia Lineas Aereas de Espana...... 17,057 10,000 Japan Airlines System Corp.......... 25,659 100 Kobenhavn Lufthave.................. 11,044 2,622 Ryanair Holdings, PLC +............. 20,133 1,200 SAS AB +............................ 11,687 8,000 Singapore Airlines, Ltd............. 56,160 ------------ 519,727 ------------ APPAREL & PRODUCTS - 0.46% 630 Adidas-Salomon AG................... 65,078 757 Benetton Group SpA.................. 9,754 1,852 Bulgari SpA......................... 17,131 8,000 Esprit Holdings, Ltd................ 25,555 20,000 Giordano International, Ltd......... 8,887 3,017 Gunze, Ltd.......................... 12,700 1,521 Hagemeyer NV........................ 4,197 200 Hermes International................ 37,000
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ APPAREL & PRODUCTS - Continued 3,511 Inditex SA........................... $ 78,054 1,894 Luxottica Group SpA.................. 33,290 31,717 Marks & Spencer Group, PLC........... 146,658 1,944 Onward Kashiyama Co., Ltd............ 21,319 219 Puma AG Rudolf Dassier Sport......... 34,551 3,000 Wacoal Corp.......................... 23,778 600 World Co., Ltd....................... 17,806 6,000 Yue Yuen Industrial Holdings, Ltd.... 16,693 ------------ 552,451 ------------ APPLIANCES/FURNISHINGS - 0.12% 4,600 Electrolux AB........................ 96,913 7,265 Kesa Electricals, PLC................ 30,653 8,300 MFI Furniture Group, PLC............. 20,154 ------------ 147,720 ------------ AUTOMOTIVE - 3.23% 555 Autobacs Seven Co., Ltd.............. 11,884 9,000 Bridgestone Corp..................... 119,573 2,124 Compagnie Generale des Etablissements Michelin, Class B................... 84,348 1,682 Continental AG....................... 58,663 2,059 Cycle & Carriage, Ltd................ 7,227 12,710 DaimlerChrysler AG................... 484,607 6,700 Denso Corp........................... 125,111 6,090 Fiat SpA +........................... 47,711 7,303 Futuris, Corp., Ltd.................. 7,404 10,191 GKN, PLC............................. 46,991 11,500 Honda Motor Co., Ltd................. 470,438 2,455 NGK Spark Plug Co., Ltd.............. 20,243 36,700 Nissan Motor Co., Ltd................ 419,563 500 Nokian Renkaat Oyj................... 39,172 30,507 Pirelli & Co. SpA.................... 29,024 2,752 PSA Peugoet Citroen.................. 129,559 2,519 Renault SA........................... 167,579 2,803 Sanden Corp.......................... 14,589 600 Toyoda Gosei......................... 17,148 39,949 Toyota Motor Corp.................... 1,200,130 1,429 Trelleborg AB........................ 22,154 260 USS Co., Ltd......................... 17,093 1,027 Valeo SA............................. 39,983 3,109 Volkswagen AG........................ 154,609 1,700 Volvo AB, Class A.................... 46,966
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- AUTOMOTIVE - Continued 3,100 Volvo AB, Class B..................... $ 89,751 ------------ 3,871,520 ------------ BANKS - 13.42% 5,000 77th Bank, Ltd........................ 26,480 22,300 ABN AMRO Holding NV................... 491,211 12,475 Allied Irish Banks, PLC (Dublin)...... 184,841 2,063 Alpha Bank AE......................... 54,402 11,728 Ashikaga Financial Group, Inc. +...... 8,674 26,338 Australia & New Zealand Banking Group, Ltd. @............................... 320,802 16,876 Banca di Roma SpA +................... 53,452 15,893 Banca Monte dei Paschi di Siena SPA... 52,245 4,386 Banche Popolari Unite Group +......... 74,722 45,200 Banco Bilbao Vizcaya Argentaria SA.... 542,287 27,175 Banco Comercial Portugues SA.......... 55,752 1,461 Banco Espirto Santo SA................ 21,648 5,739 Banco Popolare Di Verona e Novara..... 94,743 2,343 Banco Popular Espanol SA.............. 122,954 63,989 Banco Santander Central Hispano SA.... 665,603 672 Bank Austria Creditanstalt AG +....... 30,556 19,000 Bank of East Asia..................... 59,713 8,145 Bank of Fukuoka, Ltd.................. 33,468 14,902 Bank of Ireland....................... 184,150 15,000 Bank of Yokohama, Ltd................. 63,553 2,296 Bank of Yokohama, Ltd. ADR +.......... 97,274 97,011 Barclays, PLC......................... 856,220 5,163 Bayerische Hypo-und Vereinsbank AG +................................. 121,347 21,943 Bipop Carire SpA +.................... 17,270 11,959 BNP Paribas SA........................ 674,347 36,500 BOC Hong Kong Holdings, Ltd........... 67,934 5,284 BPI-SGPS SA........................... 16,736 8,000 Chiba Bank, Ltd....................... 32,507 1,998 Close Brothers Group, PLC............. 23,742 775 Commercial Bank of Greece............. 16,439 6,500 Commerzbank AG........................ 125,866 18,525 Commonwealth Bank of Australia........ 370,251 5,351 Credit Agricole SA.................... 116,842 69,000 Daiwa Bank Holdings +................. 86,317 7,400 Danske Bank A/S....................... 156,891 16,000 DBS Group Holdings, Ltd............... 129,957 9,665 Dexia (Brussels)...................... 154,105 1,290 Dexia (Paris)......................... 15
-------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 31
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- BANKS - Continued 5,400 DnB Holdings ASA................... $ 32,629 2,180 EFG Eurobank Ergasias SA........... 36,826 422 Erste Bank Der Oesterreichischen Sparkassen AG..................... 48,250 5,755 Firstgroup, PLC.................... 26,760 5,000 Gunma Bank, Ltd.................... 21,595 11,688 Hang Seng Bank, Ltd................ 150,169 56,189 HBOS, PLC.......................... 706,390 11,177 Hokugin Financial Group, Inc. +.... 17,044 160,924 HSBC Holdings, PLC................. 2,441,560 1,178 Hypo Real Estate Holding +......... 25,171 8,723 Joyo Bank, Ltd..................... 26,922 1,492 KBC Bankverzekeringsholding........ 65,336 82,836 Lloyds TSB Group, PLC.............. 586,316 3,238 Macquarie Bank, Ltd................ 79,676 7,477 Mediobanca SPA..................... 78,582 60 Mitsubishi Tokyo Financial Group, Inc........................ 448,158 7,000 Mitsui Trust Holdings, Inc. +...... 34,068 22,308 National Australia Bank, Ltd....... 467,184 3,193 National Bank of Greece SA......... 72,096 5,700 Nordea AB (Euro)................... 37,270 29,590 Nordea AB (Swedish Krone).......... 196,038 14,000 Oversea-Chinese Banking Corp., Ltd. 96,655 1,000 OverSeas Union Enterprises......... 3,916 1,644 Piraeus Bank....................... 16,765 41,456 Royal Bank of Scotland Group, PLC.. 1,158,715 15,013 Sanpaolo IMI SpA................... 193,267 8,163 Shizuoka Bank, Ltd................. 57,096 6,600 Skandinaviska Enskilda Banken...... 86,140 4,782 Societe Generale, Class A.......... 383,245 55 Sumitomo Mitsui Financial Group, Inc........................ 268,685 13,000 Sumitomo Trust & Banking Co., Ltd.. 69,680 4,000 Suruga Bank........................ 22,901 8,200 Svenska Handelsbanken AB, Series A.......................... 151,570 600 Svenska Handelsbanken Series B..... 10,693 17,460 UBS AG............................. 1,125,688 52 UFJ Holdings, Inc. +............... 222,216 17,000 United Overseas Bank, Ltd.......... 127,230 26,035 Westpac Banking Corp............... 288,455 ------------- 16,086,273 -------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ BEVERAGES - 1.17% 5,695 Asahi Breweries, Ltd................. $ 47,218 300 Carlsberg A/S, Class B............... 12,527 6,261 Coca Cola Amatil, Ltd................ 27,612 600 Coca Cola Bottling Co. (West Japan).. 10,667 990 Coca Cola Hellenic Bottling Co. SA... 21,736 45,590 Diageo, PLC.......................... 569,218 31,766 Foster's Group, Ltd.................. 101,215 3,240 Fraser and Neave, Ltd................ 21,617 3,002 Heineken NV.......................... 112,011 2,100 Interbrew............................ 51,901 400 ITO EN, Ltd.......................... 15,267 9,937 Kirin Brewery Co., Ltd............... 79,394 4,000 Lion Nathan, Ltd..................... 16,800 735 Pernod Ricard SA..................... 78,173 12,279 SABMiller, PLC....................... 122,754 5,000 Sapporo Breweries, Ltd............... 12,053 12,372 Scottish & Newcastle, PLC............ 78,195 2,794 Takara Shuzo Co...................... 22,502 ------------ 1,400,860 ------------ BROADCASTING - 0.35% 225 Antena 3 Television SA +............. 9,467 18,592 British Sky Broadcasting Group, PLC + 215,803 3 Fuji Television Network, Inc......... 14,820 1,700 i-CABLE Communications, Ltd.......... 405 9,190 Mediaset SpA......................... 104,303 1,400 Sky Network Television, Ltd. +....... 4,657 1,633 Societe Television Francaise 1....... 52,800 4,000 Television Broadcasts, Ltd........... 20,093 ------------ 422,348 ------------ BUILDING MATERIALS - 1.75% 4,156 Amec, PLC............................ 19,593 11,249 Asahi Glass Co., Ltd................. 82,789 4,000 Assa Abloy AB........................ 45,581 7,936 Boral, Ltd........................... 28,734 3,231 Bouygues SA.......................... 100,399 6,814 BPB, PLC............................. 40,397 2,000 Central Glass Co., Ltd............... 12,017 2,335 CIMPOR-Cimentos de Portugal, SGPS, SA............................ 11,206 4,504 Compagnie de Saint-Gobain............ 201,665 7,838 CRH, PLC (Dublin).................... 145,944 13,051 CSR, Ltd............................. 16,444
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- BUILDING MATERIALS - Continued 5,607 Fletcher Building, Ltd........... $ 14,455 726 Fomento de Construcciones y Contratas SA.................... 24,902 50 Geberit AG....................... 21,839 11,674 Hanson, PLC...................... 81,523 647 Heidelberger Zement AG +......... 26,508 2,305 Holcim, Ltd...................... 100,590 109 Imerys SA........................ 21,577 1,108 Italcementi SPA.................. 13,679 6,360 James Hardie Industries NV....... 33,022 16,842 Kawasaki Heavy Industries, Ltd... 18,301 2,390 Lafarge SA....................... 190,539 5,000 Matsushita Electric Works........ 36,022 8,668 Mitsui Engineering & Shipbuilding Co., Ltd........................ 11,002 20,000 New World Development Co., Ltd... 12,430 5,067 Nippon Sheet Glass Co., Ltd...... 13,140 3,571 Nishimatsu Construstion Co., Ltd. 11,804 427 NKT Holding A/S.................. 7,883 7,861 Obayashi Corp.................... 30,076 3,977 Okumura Corp..................... 15,579 14,017 Pilkington, PLC.................. 21,605 15,174 Rinker Group, Ltd................ 64,171 3,686 RMC Group, PLC................... 38,880 697 Shimachu Co., Ltd................ 13,143 5,170 Skanska AB....................... 42,815 6,796 Sumitomo Osaka Cement Co., Ltd... 12,101 10,000 Taiheiyo Cement Corp............. 22,737 10,384 Taisei Corp...................... 33,660 1,020 Technical Olympic SA............. 5,140 260 Technip-Coflexip SA.............. 27,996 4,884 ThyssenKrupp AG.................. 90,530 400 Titan Cement Co.................. 15,261 4,683 Toda Corp........................ 11,674 4,275 Tostem Corp...................... 75,066 500 Uponor Oyj....................... 14,547 125 VA Technologie AG +.............. 3,478 1,058 Vinci SA......................... 84,728 454 Wienerberger Baustoffindustrie AG 11,509 8,843 Wolseley, PLC.................... 113,380 ------------ 2,092,061 ------------
-------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 32
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- CHEMICAL - 1.79% 3,779 Akzo Nobel NV.................... $ 131,210 18,549 Asahi Chemical Industry Co., Ltd. 88,583 7,968 BASF AG.......................... 394,429 7,640 BOC Group, PLC................... 106,639 1,064 CIBA Specialty Chemicals Holding, Inc. +................. 74,614 1,920 Clariant AG +.................... 27,137 5,427 Daicel Chemical Industries, Ltd.. 22,448 8,180 Dainippon Ink and Chemicals, Inc. 15,163 7,226 Denki Kagaku Kogyo Kabushiki Kaisha.......................... 21,246 1,100 DSM NV........................... 50,743 2,000 Hitachi Chemical Co., Ltd........ 30,316 16,563 Imperial Chemical Industries, PLC 55,051 5,000 Ishihara Sangyo Kaisha, Ltd. +... 9,086 3,049 Johnson Matthey, PLC............. 52,981 4,081 Kaneka Corp...................... 28,358 1,468 L'Air Liquide SA................. 236,005 596 Lonza Group AG................... 28,617 22,401 Mitsubishi Chemical Corp......... 51,137 4,864 Mitsubishi Gas Chemical Co., Inc. 14,523 7,000 Mitsui Chemicals, Inc............ 37,328 2,000 Nippon Kayaku Co., Ltd........... 9,606 3,000 Nippon Sanso Corp................ 11,861 3,502 Nippon Shokubai Co., Ltd......... 25,006 2,000 Nissan Chemical Industries....... 17,148 800 Novozymes A/S Series B........... 27,989 3,897 Orica, Ltd....................... 36,348 4,925 Sekisui Chemical Co., Ltd........ 21,901 5,226 Shin Etsu Chemical Co............ 192,787 13,798 Showa Denko K.K. +............... 28,852 1,015 Solvay SA........................ 78,727 16,000 Sumitomo Chemical................ 57,125 1,670 Syngenta AG...................... 102,366 6,718 Tosoh Corp....................... 17,912 9,463 UBE Industries, Ltd.............. 18,146 600 Uni Charm Corp................... 28,654 ------------ 2,150,042 ------------ COMMERCIAL SERVICES - 1.22% 15,864 ABB, Ltd. +...................... 77,892 3,631 Abertis Infraestructuras SA...... 50,969 397 Acciona SA....................... 22,424 350 Aker Kvaerner ASA +.............. 5,800 2,340 Ansell, Ltd...................... 11,065
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- COMMERCIAL SERVICES - Continued 307 Atos Origin +....................... $ 20,258 963 Autoroutes du Sud de la France...... 31,195 5,777 Balfour Beatty, PLC................. 21,589 50 Bellsystem 24, Inc.................. 10,501 814 Benesse Corp........................ 17,839 16,425 Brambles Industries, Ltd............ 54,356 10,063 Brambles Industries, PLC............ 30,241 1,679 Cap Gemini SA +..................... 82,992 23,000 ComfortDelGro Corp., Ltd............ 10,275 2,737 Comsys Holdings Corp. +............. 14,170 2,800 Davis Service Group, PLC............ 17,263 2,563 De La Rue, PLC...................... 12,756 22,919 Hays, PLC........................... 50,127 602 ISS A/S............................. 27,953 400 Itochu Techno-Science Corp.......... 11,323 3,282 JGC Corp............................ 25,953 2,036 Kinden Corp......................... 8,887 22,000 Li & Fung, Ltd...................... 37,688 1,160 Linde AG............................ 56,155 30,742 Macquarie Infrastructure Group...... 72,796 11,263 Mayne Group, Ltd.................... 28,954 2,000 Mitsubishi Logistics Corp........... 15,687 300 Nichii Gakkan Co.................... 15,477 1,033 Pechiney SA......................... 59,439 28,485 Rentokil Initial, PLC............... 106,941 39 SA D'Ieteren NV..................... 8,310 265 Sagem SA............................ 29,568 3,159 Secom Co., Ltd...................... 114,805 7,389 Securicor, PLC...................... 11,198 4,100 Securitas AB........................ 49,980 59 SGS Societe Generale de Surveillance Holding SA......................... 34,680 6,559 Shimizu Corp........................ 22,579 18,000 Singapore Technologies Engineering, Ltd................... 20,573 8,597 Smiths Group, PLC................... 98,603 4,000 ST Assembly Test Services, Ltd. +... 4,897 568 TIS, Inc............................ 17,893 2,626 Toyo Seikan Kaisha, Ltd............. 30,069 446 William Demant A/S +................ 13,878 ------------ 1,465,998 ------------
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- CONGLOMERATES - 1.58% 2,148 Amano Corp....................... $ 14,710 1,162 DCC, PLC......................... 15,266 32,000 Hutchison Whampoa, Ltd........... 233,908 19,000 Itochu Corp...................... 57,079 7,000 Keppel Corp., Ltd................ 22,539 5,000 Keppel Land, Ltd................. 4,641 3,244 LVMH Moet Hennessy Louis Vuitton SA...................... 223,595 15,001 Mitsubishi Corp.................. 137,662 750 Modern Times Group AB +.......... 15,056 1,065 Promotora de Informaciones SA (PRISA)........ 14,055 11,861 Siemens AG....................... 866,052 13,896 Sonae, SGPS SA +................. 11,670 10,000 Sumitomo Corp.................... 62,092 10,700 Tomkins, PLC..................... 49,845 1,732 TUI AG........................... 32,312 56 Valora Holding AG................ 13,314 5,772 Wesfarmers, Ltd.................. 117,870 6,000 Wing Tai Holdings, Ltd........... 2,750 ------------ 1,894,416 ------------ DRUGS - 7.04% 25,358 AstraZeneca, PLC................. 1,152,458 9,624 Bayer AG......................... 260,256 3,830 Celltech Group, PLC +............ 23,184 3,736 Chugai Pharmaceutical Co., Ltd... 50,489 2,212 CSL, Ltd......................... 25,933 3,300 Daiichi Pharmaceutical Co., Ltd.. 55,535 3,406 Eisai Co., Ltd................... 86,305 70 Elan Corp. +..................... 378 4,802 Elan Corp., PLC +................ 25,580 3,800 Fujisawa Pharmaceutical Co., Ltd. 70,958 413 Gehe AG.......................... 18,799 88,732 GlaxoSmithKline, PLC............. 2,003,335 900 H Lundbeck A/S................... 14,148 2,214 Kaken Pharmaceutical Co., Ltd.... 10,998 5,265 Kyowa Hakko Kogyo Co., Ltd....... 29,807 625 Merck KGaA....................... 24,535 35,256 Novartis AG...................... 1,490,786 3,800 Novo-Nordisk A/S................. 145,814 290 Omega Pharma SA.................. 8,173 600 Orion-Yhtyma Oyj................. 13,432 10,069 Rhone Poulenc SA................. 581,666 445 Roche Holdings AG-Bearer......... 59,190 10,434 Roche Holdings AG-Genusschein.... 941,383 5,434 Sanofi-Synthelabo SA............. 368,348
-------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 33
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- DRUGS - Continued 2,551 Schering AG............................. $ 128,421 111 Serono SA............................... 76,507 4,507 Shionogi & Co........................... 74,530 3,000 Taisho Pharmaceutical Co., Ltd.......... 52,322 12,500 Takeda Chemical Industries, Ltd......... 479,386 1,217 UCB SA.................................. 39,014 4,600 Yamanouchi Pharmaceutical Co., Ltd...... 132,311 ------------- 8,443,981 ------------- ELECTRONICS/ELECTRICAL EQUIPMENT - 4.45% 910 Advantest Corp.......................... 65,062 2,449 Alps Electric Co., Ltd.................. 34,661 200 Bang & Olufsen A/S...................... 7,578 121 Barco NV................................ 9,603 12,000 Canon, Inc.............................. 554,445 3,401 Dainippon Screen Manufacturing Co., Ltd. +.............. 23,478 31,352 Dixons Group, PLC....................... 73,700 29,390 Elec De Portugal SA..................... 73,342 6,050 Electrocomponents, PLC.................. 35,685 681 Epcos AG +.............................. 15,548 1,800 Fanuc, Ltd.............................. 105,848 8,000 Fuji Electric Co., Ltd.................. 17,240 5,000 Fujikura, Ltd........................... 27,987 2,500 GN Store Nord +......................... 15,881 481 Hirose Electric Co., Ltd................ 56,263 3,000 Hitachi Cable, Ltd...................... 10,574 40,849 Hitachi, Ltd............................ 240,584 20,000 Johnson Electric Holdings............... 26,791 2,000 JSR Corp................................ 43,373 400 Keyence Corp............................ 89,887 11,538 Kidde, PLC.............................. 20,715 454 Kudelski SA +........................... 14,574 2,443 Kyocera Corp............................ 148,791 400 Mabuchi Motor Co., Ltd.................. 28,854 31,000 Matsushita Electric Industrial Co., Ltd. 399,406 25,000 Mitsubishi Electric Corp................ 98,617 1,000 Mitsumi Electric Co., Ltd............... 9,624 3,373 Murata Manufacturing Co., Ltd........... 190,648 20,441 NEC Corp................................ 148,200 4,537 NGK Insulators, Ltd..................... 29,083 2,207 Nitto Denko Corp........................ 111,443 5,984 Novar, PLC.............................. 13,191
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - Continued 1,092 OCE NV............................ $ 15,617 8,000 Oki Electric Industry Co., Ltd. +. 30,242 3,484 Omron Corp........................ 66,171 19,425 Philips Electronics NV............ 552,332 9,000 Ricoh Co., Ltd.................... 164,197 5,000 Sankyo Co., Ltd................... 90,033 600 Sankyo Co., Ltd. Gunma............ 19,066 22,000 Sanyo Electric Co., Ltd........... 98,434 2,846 Schneider Electric SA............. 175,505 800 Seiko Epson Corp.................. 30,388 13,330 Sharp Corp........................ 199,497 48,652 Siebe PLC......................... 16,757 800 SMC Corp.......................... 95,402 12,962 Sony Corp......................... 449,761 2,000 Stanley Electric.................. 37,986 9,087 Sumitomo Electric Industries, Ltd. 74,346 2,000 Taiyo Yuden Co.................... 23,431 1,700 TDK Corp.......................... 110,524 7,000 Techtronic Industries Co.......... 19,205 39,618 Toshiba Corp...................... 146,150 2,000 Ushio, Inc........................ 31,521 3,000 Venture Corp, Ltd................. 32,895 1,494 Vestas Wind Systems AS............ 22,522 2,151 Yamaha Corp....................... 38,438 4,000 Yokogawa Electric Corp............ 52,157 ------------- 5,333,253 ------------- FINANCE COMPANIES - 0.18% 400 Aeon Credit Service Co., Ltd...... 17,057 550 Aiful Corp........................ 32,895 4,500 Cattles, PLC...................... 24,799 1,854 Credit Saison Co., Ltd............ 38,937 1,200 Promise Co., Ltd.................. 51,062 920 Takefuji Corp..................... 49,648 ------------- 214,398 ------------- FINANCIAL SERVICES - 4.08% 9,431 3I Group, PLC..................... 98,911 1,019 Acom Co., Ltd..................... 41,127 21,750 AMP, Ltd. @....................... 93,714 10,638 Amvescap, PLC..................... 75,479 1,419 Australian Stock Exchange, Ltd.... 15,938 4,089 Banca Fideuram SpA................ 25,755
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ FINANCIAL SERVICES - Continued 20,958 Banca Nazionale Del Lavoro SpA +.... $ 49,157 5,342 Banca Popolare di Milano SCRL....... 31,789 7,000 Cheung Kong Infrastructure Holdings, Ltd...................... 15,824 17,584 Credit Suisse First Boston USA, Inc. 584,204 17,045 Daiwa Securities Co., Ltd........... 109,727 7,768 Deutsche Bank AG.................... 542,031 1,533 Deutsche Boerse AG.................. 77,265 1,250 Euronext NV......................... 29,979 15,452 Fortis NL........................... 285,679 800 Gjensidige NOR ASA.................. 34,905 1,100 Group 4 Falck A/S................... 21,725 14,000 Hong Kong Exchanges & Clearing, Ltd. 28,672 24,968 ING Groep NV........................ 535,302 53,149 IntesaBci SpA....................... 200,224 12,967 IntesaBci SpA Di Risp............... 36,248 3,741 Irish Life & Permanent, PLC......... 52,737 400 Jafco Co., Ltd...................... 29,841 96,017 Legal & General Group, PLC.......... 164,529 4,248 Man Group, PLC...................... 104,395 831 Marschollek Lauten AG +............. 15,693 3,530 Mediolanum SpA...................... 26,469 86 Mizuho Financial Group, Inc. +...... 224,590 19,000 Nikko Securities Co., Ltd........... 95,941 26,000 Nomura Holdings, Inc................ 413,094 759 OM AB............................... 8,548 1,100 Orix Corp........................... 80,656 3,535 Provident Financial, PLC............ 37,166 3,850 Sampo Oyj........................... 38,153 1,726 Schroders, PLC...................... 19,321 10,000 Singapore Exchange.................. 9,573 800 Smedvig, Class A.................... 5,397 8,415 Suncorp Metway...................... 75,867 56,008 UniCredito Italiano SpA............. 281,550 6,000 Yamaichi Securities Co., Ltd. ADR +/(1)(3)/...................... 0 2,122 Zurich Financial Services Group +... 273,621 ------------- 4,890,796 ------------- FOODS - 3.06% 7,807 Ajinomoto Co., Inc.................. 83,691 300 Ariake Co........................... 9,369 400 Axfood AB........................... 8,904 30,147 Cadbury Schweppes, PLC.............. 192,355 519 Casino Guichard Perrachon SA........ 48,381
-------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 34
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ FOODS - Continued 234 Colruyt SA.......................... $ 21,996 32,698 Compass Group, PLC.................. 196,806 650 Danisco A/S......................... 26,724 1,027 Delhaize 'Le Lion' SA............... 49,717 4,000 Fyffes, PLC......................... 7,390 2,232 Greencore Group, PLC................ 8,167 1,820 Groupe Danone....................... 283,861 983 House Food Corp..................... 10,493 603 Katokichi Co., Ltd.................. 9,559 1,806 Kerry Group, PLC.................... 32,176 830 Kesko Oyj........................... 14,439 3,531 Kikkoman Corp....................... 23,376 3,000 Meiji Dairies Corp.................. 11,587 5,975 Meiji Seika Kaisha, Ltd............. 22,314 5,959 Nestle SA........................... 1,386,780 4,213 Nichirei Corp....................... 12,733 2,000 Nippon Meat Packers, Inc............ 19,322 1,963 Nisshin Seifun Group, Inc........... 15,809 1,055 Nissin Food Products Co., Ltd....... 25,095 2,074 Numico Kon NV +..................... 52,752 3,274 Orkla ASA........................... 72,745 5,597 Parmalat Finanziaria SpA............ 15,377 1,600 QP Corp............................. 12,696 2,500 Snow Brand Milk Products Co., Ltd. + 7,351 1,326 Sodexho Alliance SA................. 37,672 700 Suedzucker AG....................... 12,707 5,698 Tate & Lyle, PLC.................... 31,401 1,000 Toyo Suisan Kaisha, Ltd............. 9,962 8,434 Unilever NV......................... 506,440 40,842 Unilever, PLC....................... 355,197 2,258 Yakult Honsha Co., Ltd.............. 30,927 ------------- 3,666,271 ------------- FREIGHT - 0.82% 16 A/S Dampskibsselskabet ADR.......... 114,794 4,562 Associated British Ports Holdings, PLC...................... 33,626 48 Compagnie Maritime Belge SA......... 2,845 5,929 Deutsche Post AG.................... 111,750 325 DSV, De Sammensluttede Vognmaend A/S...................... 12,733 4,142 Exel, PLC........................... 54,319 48 Exmar NV +.......................... 1,929 500 Frontline, Ltd...................... 10,559
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- FREIGHT - Continued 4,135 Kamigumi Co., Ltd............... $ 26,657 7,631 Kawasaki Kisen Kaisha, Ltd...... 29,614 17,331 Mitsui & Co., Ltd............... 116,632 12,000 Mitsui OSK Lines, Ltd........... 48,760 11,000 Neptune Orient Lines, Ltd. +.... 13,529 10,879 Nippon Express Co., Ltd......... 47,186 14,000 Nippon Yusen Kabushiki Kaish Svendborg...................... 54,842 2,289 Patrick Corp., Ltd.............. 24,018 10,246 Peninsular and Oriental Steam Navigation Co.................. 43,231 2,893 Seino Transportation Co., Ltd... 20,526 13,000 SembCorp Industries, Ltd........ 9,654 5,000 SembCorp Logistics, Ltd......... 5,541 7,000 SembCorp Marine, Ltd............ 3,939 3,000 Toll Holdings, Ltd.............. 18,509 5,132 TPG NV.......................... 110,828 5,923 Yamato Transport Co., Ltd....... 69,768 ------------- 985,789 ------------- GOVERNMENT AGENCIES - 0.01% 26,000 Singapore Post, Ltd............. 10,408 ------------- HARDWARE & TOOLS - 0.01% 201 Bekaert SA...................... 11,262 77 Bohler Uddeholm................. 4,982 ------------- 16,244 ------------- HEALTHCARE - 0.28% 3,300 Alliance Unichem, PLC........... 28,558 12,306 Boots Group, PLC................ 150,681 738 Cochlear, Ltd................... 15,258 200 Coloplast A/S................... 16,961 1,356 Essilor International SA........ 67,661 997 Fisher & Paykel Healthcare Corp. 7,749 2,400 Gambro, Series A................ 19,875 1,600 Gambro, Series B................ 13,250 9,000 Parkway Holdings................ 4,882 2,631 SSL International, PLC.......... 14,442 ------------- 339,317 ------------- HEAVY DUTY TRUCKS/PARTS - 0.02% 3,000 Hino Motors, Ltd................ 17,751 -------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------ HOME BUILDERS - 0.23% 3,305 Barratt Developments, PLC..... $ 27,861 1,687 Berkeley Group, PLC........... 23,300 7,070 Daiwa House Industry Co., Ltd. 67,140 896 Hellenic Technodomiki SA...... 5,267 3,600 Persimmon, PLC................ 28,891 7,000 Sekisui House, Ltd. ADR....... 66,028 7,686 Taylor Woodrow, PLC........... 31,635 5,230 Wimpey George, PLC............ 30,713 ------------- 280,835 ------------- HOSPITAL SUPPLIES - 0.17% 10,555 Amersham, PLC................. 136,875 486 Fresenius Medical Care AG..... 30,886 2,300 Terumo Corp................... 41,205 ------------- 208,966 ------------- HOUSEHOLD PRODUCTS - 0.78% 500 Aderans Co.................... 8,442 350 Beiersdorf AG................. 39,304 3,256 Fisher & Paykel Appliances Holdings, Ltd................ 7,873 103 Givaudan AG................... 47,143 5,950 Kanebo, Ltd. +................ 5,976 8,000 KAO Corp...................... 163,265 5,003 L'Oreal SA.................... 371,546 8,830 Reckitt Benckiser, PLC........ 192,971 5,000 Shiseido Co................... 56,111 4,771 Toto, Ltd..................... 36,856 8,608 Waterford Wedgewood, PLC...... 2,892 ------------- 932,379 ------------- HUMAN RESOURCES - 0.17% 1,980 Adecco SA..................... 122,979 9,293 Capita Group, PLC............. 40,010 616 Meitec Corp................... 21,655 1,238 Vedior NV..................... 18,759 ------------- 203,403 ------------- INFORMATION PROCESSING - HARDWARE - 0.09% 3,292 Casio Computer Co., Ltd....... 32,254 599 Logitech International SA +... 25,978 480 Nidec Corp.................... 47,643 ------------- 105,875 -------------
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NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- INFORMATION PROCESSING - SERVICES - 0.40% 6,082 Computershare, Ltd.................... $ 14,226 1,100 CSK Corp.............................. 36,963 1,700 Indra Sistemas SA..................... 20,498 10,415 Logica, PLC........................... 49,235 2 Net One Systems Co., Ltd.............. 14,080 19 NTT Data Corp......................... 69,744 100 OBIC Co., Ltd......................... 20,636 19,248 Telecom Italia Media SpA +............ 9,145 50,744 SEAT Pagine Gialle SpA +.............. 49,191 3,000 Softbank Corp......................... 113,683 1,150 TietoEnator Oyj....................... 32,009 5,150 Wanadoo +............................. 39,606 5,471 Wm-data AB +.......................... 11,091 ------------ 480,107 ------------ INFORMATION PROCESSING - SOFTWARE - 0.61% 882 Business Objects SA +................. 29,936 557 Dassault Systemes SA.................. 24,879 400 Hitachi Software Engineering Co., Ltd. 10,775 7,885 Misys, PLC............................ 38,701 200 Nomura Research Instutute, Ltd........ 19,102 400 Oracle Corp. Japan.................... 19,796 16,850 Sage Group, PLC....................... 52,595 3,037 SAP AG................................ 467,115 500 Topdanmark AS +....................... 25,313 1,500 Trend Micro, Inc. +................... 37,940 ------------ 726,152 ------------ INSURANCE - 2.95% 19,901 Aegon NV.............................. 265,742 7,459 Alleanza Assicurazioni SpA............ 77,677 4,061 Allianz AG............................ 457,401 14,218 Assicurazioni Generali SpA............ 355,490 20,887 AXA................................... 401,699 33,506 CGNU, PLC............................. 267,162 450 CNP Assurances........................ 20,850 1,137 Corp Mapfre SA........................ 14,678 17 Daido Life Insurance Co., Ltd......... 46,258 22,700 Friends Provident, PLC................ 50,527 26,157 Insurance Australia Group, Ltd........ 79,176 22 Millea Holdings, Inc.................. 237,045 17,996 Mitsui Sumitomo Insurance Co., Ltd.... 134,253
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- INSURANCE - Continued 2,214 Munchener Ruckversicherungs AG.... $ 251,892 250 Pohjola Yhtyma Oyj................ 6,161 29,769 Prudential, PLC................... 228,777 9,910 QBE Insurance Group, Ltd.......... 73,127 4,827 Riunione Adriatica di Sicurta SpA. 77,776 42,370 Royal & Sun Alliance Insurance Group, PLC....................... 61,840 11,370 Skandia Forsakrings AB............ 38,417 2,168 Storebrand ASA +.................. 13,259 4,736 Swiss Reinsurance................. 294,521 11,000 Yasuda F&M Insurance.............. 81,660 ----------- 3,535,388 ----------- LEISURE AND TOURISM - 1.03% 2,882 Accor SA.......................... 121,019 3,281 Amadeus Global Travel SA.......... 20,469 350 Amer Group........................ 14,655 4,124 Aristocrat Leisure, Ltd. @........ 5,764 1,591 Autogrill SpA +................... 21,111 900 Bandai Co., Ltd................... 20,381 5,336 Brisa-Auto Estradas de Portugal SA 33,930 600 Capcom Co., Ltd................... 6,574 2,602 Carnival, PLC..................... 91,413 750 Creative Technology, Ltd.......... 7,919 4,227 Emap, PLC......................... 61,475 10,965 EMI Group, PLC.................... 32,054 43,459 Granada, PLC...................... 92,057 2,500 Greek Organization of Football Prognostics SA................... 32,093 11,300 InterContinental Hotels Group, PLC 104,550 1,161 Konami Co......................... 29,843 41 Kuoni Reisen Holding AG........... 13,336 24,971 Ladbroke Group, PLC............... 90,953 568 Namco, Ltd........................ 14,367 1,329 NH Hoteles SA +................... 15,179 1,400 Nintendo Co., Ltd................. 120,933 671 Oriental Land Co., Ltd............ 36,517 8,252 Rank Group, PLC................... 41,212 14,000 Shangri La Asia, Ltd.............. 12,533 5,886 Sky City Entertainment, Ltd....... 17,170 14,695 Stagecoach Group, PLC............. 20,499 6,274 Tab Corp.......................... 18,764 5,083 Tab Corp. Holdings, Ltd........... 41,152 1,900 Toho Co........................... 21,860
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- LEISURE AND TOURISM - Continued 6,317 William Hill, PLC................ $ 42,536 2,000 Yamaha Motor Co.................. 20,308 556 Zodiac SA........................ 16,470 ------------- 1,239,096 ------------- MACHINERY - 1.09% 1,000 Alfa Laval AB.................... 14,310 3,863 Amada Co., Ltd................... 18,977 1,828 Atlas Copco AB, Series A......... 65,398 995 Atlas Copco AB, Series B......... 32,960 6,432 BBA Group, PLC................... 26,391 1 Buderus AG....................... 37 3,010 Daikin Industries, Ltd........... 62,116 5,000 Ebara Corp....................... 19,404 8,079 FKI, PLC......................... 15,305 400 FLS Industries A/S +............. 4,289 1,677 Grupo Dragados SA................ 34,948 877 Grupo Ferrovial SA............... 26,515 4,894 IMI, PLC......................... 28,719 13,596 Ishikawajima-Harima Heavy Industries Co., Ltd............. 16,387 13,000 Kajima Corp...................... 41,428 200 KCI Konecranes International..... 6,440 13,000 Komatsu, Ltd..................... 74,072 905 Komori Corp...................... 10,991 480 Kone Corp........................ 25,897 3,000 Koyo Seiko Co., Ltd.............. 27,804 13,000 Kubota Corp...................... 47,482 1,883 Leighton Holdings, Ltd........... 15,845 2,000 Makita Corp...................... 18,335 1,469 Man AG........................... 39,937 1,350 Metso Oyj........................ 15,808 6,125 Minebea Co., Ltd................. 31,208 43,000 Mitsubishi Heavy Industries, Ltd. 114,651 300 NEG Micon USA, Inc. +............ 3,241 6,077 NSK, Ltd......................... 21,197 6,277 NTN Corp......................... 28,601 2,000 Rautaruukki Oyj +................ 14,757 250 RHI AG +......................... 3,950 23,304 Rolls Royce Group, PLC........... 71,537 3,300 Sandvik AB....................... 105,161 1,040 Shimano, Inc..................... 20,227 1,800 Showa Shell Sekiyu............... 13,839 200 SKF AB, Class A.................. 7,341
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NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- MACHINERY - Continued 1,423 SKF AB, Class B................... $ 52,135 47 Sulzer AG......................... 11,775 9,000 Sumitomo Heavy Industries, Ltd. +. 17,504 2,066 Takuma Co......................... 10,810 1,400 THK Co............................ 28,188 2,500 Tomra Systems ASA................. 14,189 2,100 Toyota Industries Corp............ 39,406 600 Wartsila Oyj...................... 11,158 ------------- 1,310,670 ------------- MEDICAL TECHNOLOGY - 0.23% 2,400 Getinge AB........................ 22,579 250 Nobel Biocare Holding AG.......... 23,287 1,939 Qiagen NV +....................... 22,379 14,158 Smith & Nephew PLC................ 108,866 4,102 SNIA SPA.......................... 9,129 3,251 Sonic Healthcare, Ltd............. 16,527 61 Synthes-Stratec, Inc.............. 55,508 2,093 Zeltia SA......................... 13,560 ------------- 271,835 ------------- METALS - 1.90% 686 Acerinox SA....................... 31,752 130 Alum Co........................... 2,542 5,501 Arcelor........................... 89,296 55,154 BHP Billiton, Ltd................. 450,121 36,321 BHP Billiton, PLC................. 272,719 11,024 BlueScope Steel, Ltd.............. 39,835 5,000 Dowa Mining Co., Ltd.............. 24,472 7,043 Hennes & Mauritz AB, Class B...... 164,713 400 Hoganas AB, Class B............... 8,295 3,237 Iluka Resources, Ltd.............. 9,494 6,700 JFE Holding, Inc.................. 156,924 13,000 Mitsubishi Materials Corp. +...... 18,755 7,977 Mitsui Mining & Smelting Co., Ltd. 29,500 4,535 Newcrest Mining, Ltd.............. 42,035 80,389 Nippon Steel Corp................. 154,150 7,533 OneSteel, Ltd..................... 10,255 1,000 Outokumpu Oyj..................... 13,377 4,719 Rio Tinto, Ltd.................... 119,502 15,667 Rio Tinto, PLC.................... 374,765 200 SAPA AB........................... 4,293 800 SSAB Svenskt Stal AB, Series A.... 13,197 400 SSAB Svenskt Stal AB, Series B.... 6,334
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- METALS - Continued 43,000 Sumitomo Metal Industries, Ltd.. $ 36,908 7,341 Sumitomo Metal Mining Co., Ltd.. 46,386 205 Umicore......................... 13,699 1,460 Viohalco........................ 7,637 248 Voest Alpine AG................. 9,804 15,757 WMC Resources, Ltd. +........... 55,797 18,023 WMC, Ltd........................ 77,003 ------------- 2,283,560 ------------- MISCELLANEOUS - 0.55% 1,557 AGFA-Gevaert NV................. 38,668 6,973 Fuji Photo Film Co., Ltd........ 197,382 961 Groupe Bruxelles Lambert SA..... 47,952 3,695 Haw Par Corp., Ltd.............. 9,518 5,836 Konica Corp..................... 69,063 4,485 Nikon Corp. +................... 55,983 3,206 Olympus Optical Co., Ltd........ 68,649 14,316 Swire Pacific, Ltd.............. 84,822 2,000 Tokyo Style Co.................. 19,322 6,403 Transurban Group................ 19,474 17,000 Wharf Holdings, Ltd............. 42,479 ------------- 653,312 ------------- MULTIMEDIA - 0.56% 8,877 Carlton Communications, PLC..... 35,314 1,939 Lagardere SCA................... 105,847 21,814 News Corp., Ltd................. 186,242 12,101 Pearson, PLC.................... 135,042 654 PT Multimedia SGPS +............ 11,934 1,828 Publishing & Broadcasting, Ltd.. 15,448 22,187 Reuters Group, PLC.............. 93,804 2,536 Thomson......................... 53,732 2,522 Tiscali SpA +................... 20,485 600 Tokyo Broadcasting.............. 9,308 ------------- 667,156 ------------- OIL AND GAS - 7.39% 7,410 Australian Gas Light Co., Ltd. @ 57,523 51,640 BG Group, PLC................... 243,451 327,357 BP, PLC @....................... 2,287,446 8,708 E. ON AG........................ 494,163 38,523 ENI SPA......................... 657,219 5,600 Fortum Oyj...................... 56,100 3,316 Gas Natural SDG SA.............. 68,388
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ OIL AND GAS - Continued 1,264 Hellenic Petroleum SA............... $ 10,464 420 IHC Caland NV....................... 19,652 3,300 NGC Holdings, Ltd................... 3,715 7,000 Nippon Mining Holdings, Inc......... 22,116 19,000 Nippon Oil Corp..................... 93,859 2,204 Norsk Hydro ASA..................... 126,225 187 OMV AG.............................. 26,521 31,188 Osaka Gas Co., Ltd.................. 81,733 13,515 Repsol YPF SA....................... 236,247 31,020 Royal Dutch Petroleum Co............ 1,394,865 8,098 Santos, Ltd......................... 37,882 12,901 Scottish & Southern Energy, PLC..... 144,969 143,279 Shell Transport & Trading Co., PLC @ 908,032 7,100 Statoil ASA......................... 70,807 4,711 Teikoku Oil Co...................... 20,906 38,077 Tokyo Gas Co., Ltd.................. 130,383 4,000 TonenGeneral Sekiyu KK.............. 32,580 9,669 Total SA, Class B @................. 1,563,732 6,488 Woodside Petroleum.................. 64,554 ------------- 8,853,532 ------------- PAPER/FOREST PRODUCTS - 0.69% 13,241 Amcor, Ltd. @....................... 79,201 800 Billerud AB......................... 11,872 6,493 Bunzl, PLC.......................... 49,620 12,114 Carter Holt Harvey, Ltd............. 13,716 2,457 Fletcher Challenge Forest, Ltd. +... 2,059 900 Holmen AB, Series B................. 31,244 59 Mayr-Melnhof Karton AG.............. 6,329 13 Nippon Unipac Holdings.............. 62,558 1,500 Norske Skogsindustrier ASA.......... 28,819 12,528 OJI Paper Co., Ltd.................. 73,099 7,736 PaperlinX, Ltd...................... 25,433 6,362 Rexam, PLC.......................... 47,112 8,793 Southcorp, Ltd...................... 17,574 9,700 Stora Enso Oyj...................... 130,690 2,900 Svenska Cellulosa AB................ 112,011 7,344 UPM-Kymmene Oyj..................... 135,953 ------------- 827,290 -------------
-------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 37
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- PUBLISHING - 0.79% 1,802 Arnoldo Mondadori Editore SpA... $ 14,961 9,000 Dai Nippon Printing Co., Ltd.... 124,093 4,242 Daily Mail & General Trust...... 45,074 2,300 Eniro AB........................ 20,571 2,395 Gruppo Editoriale L'Espresso SpA 14,367 2,057 Independent Newspapers, Ltd..... 6,619 7,604 Independent Newspapers, PLC..... 18,428 11,756 John Fairfax Holdings, Ltd...... 29,626 9,614 Reed Elsevier NV................ 116,728 18,805 Reed Elsevier, PLC.............. 155,124 700 Schibsted ASA................... 11,909 16,372 SCMP Group, Ltd................. 7,486 6,000 Singapore Press Holdings, Ltd... 67,879 8,477 Toppan Printing Co.............. 77,714 4,666 United Business Media, PLC...... 40,278 3,424 VNU NV.......................... 106,765 3,770 Wolters Kluwer NV............... 57,217 6,465 Yell Group, PLC................. 34,459 ------------- 949,298 ------------- RAILROADS & EQUIPMENT - 0.55% 13 Central Japan Railway Co........ 103,867 50 East Japan Railway Co........... 228,279 5,582 Keihin Electric Express Railway Co., Ltd............... 32,264 7,000 Keio Electric Railway Co., Ltd.. 35,858 20,072 Kinki Nippon Railway Co., Ltd. + 56,267 18,000 MTR Corp........................ 24,228 10,000 RT Group, PLC +/(3)/............ 9,300 9,000 SMRT Corp., Ltd................. 3,028 10,624 Tobu Railway Co................. 36,185 14,426 Tokyu Corp...................... 67,049 18 West Japan Railway Co........... 68,210 ------------- 664,535 ------------- REAL ESTATE - 1.34% 7,000 Allgreen Properties, Ltd........ 4,224 6,886 British Land Co., PLC........... 65,727 6,489 Canary Wharf Group, PLC +....... 26,988 15,000 CapitaLand, Ltd................. 13,576 600 Castellum AB.................... 12,720 7,700 Centro Properties Group......... 21,969 17,861 CFS Gandel Retail Trust......... 17,461 22,562 Cheung Kong Holdings, Ltd....... 177,997
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- REAL ESTATE - Continued 7,000 City Developments, Ltd............ $ 24,367 17,029 Commonwealth Property Office Fund. 14,181 1,453 Daito Trust Construction Co., Ltd. 40,997 15,960 Deutsche Office Trust............. 12,944 1,200 Drott AB.......................... 21,068 300 Gecina SA......................... 41,391 2,258 Great Portland Estates, PLC....... 9,410 3,837 Hammerson, PLC.................... 41,035 17,000 Hang Lung Properties, Ltd......... 21,021 11,000 Henderson Land Development........ 44,205 9,000 Hopewell Holdings................. 13,157 9,000 Hysan Development Co., Ltd........ 12,868 2,250 IMMOFINANZ Immobilien Anlagen AG + 16,953 19,514 Investa Property Group............ 27,414 400 Klepierre......................... 22,891 7,119 Land Securities Group, PLC........ 117,696 6,689 Lend Lease Corp., Ltd............. 50,860 3,400 Liberty International, PLC........ 38,411 13,700 Macquarie Goodman Industrial Trust 15,675 9,364 Mirvac Group...................... 29,633 13,750 Mitsubishi Estate Co., Ltd........ 122,791 10,000 Mitsui Fudosan Co., Ltd........... 87,203 2,111 Pioneer Corp...................... 53,973 2,000 Singapore Land, Ltd............... 4,549 22,000 Sino Land Co...................... 11,476 5,786 Slough Estates, PLC............... 41,950 15,898 Stockland Trust Group............. 58,714 5,000 Sumitomo Realty & Development..... 38,990 19,395 Sun Hung Kai Properties, Ltd...... 156,134 589 Unibail SA........................ 52,292 5,000 United OverSeas Land, Ltd......... 5,425 1,368 Vallehermoso SA................... 19,301 ------------- 1,609,637 ------------- REAL ESTATE INVESTMENT TRUSTS - 0.08% 32,109 General Property Trust............ 67,663 2 Japan Real Estate Investment Corp. 12,199 2 Nippon Building Fund, Inc......... 12,583 ------------- 92,445 -------------
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- REGISTERED INVESTMENT COMPANIES - 0.07% 700 Corio NV......................... $ 24,926 600 Rodamco Europe NV................ 32,760 300 Wereldhave NV.................... 21,236 ------------ 78,922 ------------ RETAIL - 3.24% 6,000 7-Eleven, Inc. (JPY)............. 173,675 976 Altana AG........................ 59,227 700 Aoyama Trading Co., Ltd.......... 13,391 8,434 Carrefour SA..................... 454,835 3,947 Citizen Watch Co., Ltd........... 32,040 16,676 Coles Myer, Ltd.................. 89,845 7,697 Compagnie Financiere Richemont AG 190,748 3,477 Daimaru, Inc..................... 18,383 460 Douglas Holding AG............... 12,815 330 Duty Free Shops.................. 5,836 2,300 Enterprise Inns, PLC............. 37,055 856 FamilyMart Co., Ltd.............. 18,525 900 Fast Retailing Co., Ltd.......... 53,089 220 Folli-Follie SA.................. 5,437 3,000 Grafton Group, PLC +............. 19,256 14,814 Great Universal Stores, PLC...... 193,189 3,120 Hankyu Department Stores, Inc.... 20,569 7,341 Harvey Norman Holdings, Ltd...... 15,204 1,600 Hoya Corp........................ 140,255 2,294 Isetan Co., Ltd.................. 23,838 5,367 Ito-Yokado Co., Ltd.............. 178,385 22,258 J. Sainsbury, PLC................ 115,091 400 Jeronimo Martins +............... 4,223 3,515 Jusco Co., Ltd................... 113,620 573 KarstadtQuelle AG................ 15,131 33,847 Kingfisher, PLC.................. 160,733 1,062 Kokuyo Co., Ltd.................. 11,452 9,062 Koninklijke Ahold NV. +.......... 65,450 1,270 Koninklijke Vendex KBB NV........ 16,486 800 Lawson, Inc...................... 28,928 4,596 Marui Co., Ltd................... 56,445 200 Matsumotokiyoshi Co., Ltd........ 8,675 2,269 Metro AG......................... 97,320 10,169 Mitchells & Butlers, PLC +....... 40,804 6,000 Mitsukoshi, Ltd. +............... 22,079 8,000 Mycal Corp. +/(3)/............... 1 4,411 Next, PLC........................ 84,700
-------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 38
NUMBER MARKET OF SHARES VALUE --------------------------------------------------- RETAIL - Continued 350 Ostasiatiske Kompagni....... $ 13,374 1,033 Pinault-Printemps-Redoute SA 101,378 16,697 Safeway, PLC................ 80,657 400 Saizeriya Co., Ltd.......... 3,780 1,541 Sega Enterprises, Ltd. +.... 14,226 300 Shimamura Co................ 18,655 23,832 Signet Group, PLC........... 41,350 1,100 Skylark Co.................. 16,372 469 Societe BIC SA.............. 20,870 500 Suzuken Co., Ltd............ 13,491 762 Swatch Group AG............. 17,615 465 Swatch Group AG, Class B.... 53,387 4,000 Takashimaya Co.............. 27,540 106,688 Tesco, PLC.................. 457,035 2,295 UNY Co., Ltd................ 22,360 1,907 Warehouse Group, Ltd........ 6,465 6,863 Westfield Holdings.......... 71,715 29,989 Westfield Trust............. 74,488 4,114 Whitbread, PLC.............. 51,118 15,365 Woolworths, Ltd............. 126,175 1,000 Yamada Denki Co............. 29,676 3,513 Yamazaki Baking Co.......... 26,945 ------------ 3,885,407 ------------ SEMICONDUCTORS - 0.87% 14,208 ARM Holdings, PLC +......... 29,362 2,500 ASM Pacific Technology...... 9,789 6,938 ASML Holding NV +........... 131,184 13,000 Chartered Semiconductor Manufacturing, Ltd. +...... 12,143 23,448 Fujitsu, Ltd. +............. 129,107 8,000 Furukawa Electric, Co., Ltd. 26,663 6,684 Infineon Technologies AG +.. 95,027 1,508 Rohm Co., Ltd............... 176,391 8,629 STMicroelectronics NV....... 238,939 3,000 Sumitomo Bakelite........... 18,929 2,200 Tokyo Electron, Ltd......... 155,687 138 Unaxis Holding AG........... 19,023 ------------ 1,042,244 ------------ TELECOMMUNICATIONS - 5.88% 18,030 Alcatel SA +................ 235,567 2,000 Anritsu Corp. +............. 13,660 128,184 BT Group, PLC............... 383,556
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- TELECOMMUNICATIONS - Continued 37,410 Cable & Wireless, PLC............. $ 85,364 4,000 Datacraft Asia, Ltd. +............ 4,640 2,000 Elisa Oyj, Class A +.............. 27,474 16,127 France Telecom SA +............... 415,990 3,495 Hellenic Telecommunications Organization SA.................. 41,931 1,082 Intracom SA....................... 6,932 25,774 Koninklijke (Royal) KPN NV +...... 202,232 319 Mobistar SA +..................... 16,687 70,722 Nokia Oyj......................... 1,275,276 259 NTT DoCoMo, Inc................... 558,134 47,657 PCCW, Ltd. +...................... 31,920 14,257 Portugal Telecom, SGPS SA......... 134,273 96,000 Singapore Telecommunications, Ltd. 99,695 5,000 Smartone Telecom.................. 4,862 1,700 Tandberg ASA +.................... 12,341 1,770 TDC A/S........................... 59,358 1,475 Tele2 AB, Class B +............... 75,343 29,575 Telecom Corp. of New Zealand, Ltd. 98,380 217,000 Telefonaktiebolaget LM Ericsson, Class B +........................ 350,788 10,200 Telenor ASA....................... 61,483 25,068 Telia............................. 111,605 33,354 Telstra Corp., Ltd................ 119,076 55,970 TIM SpA........................... 288,074 2,195 Tower, Ltd. +..................... 1,769 1,009,487 Vodafone Group, PLC............... 2,320,880 2,273 Vodafone-Panafon SA............... 16,744 ------------ 7,054,034 ------------ TEXTILE - PRODUCTS - 0.19% 5,461 Kuraray Co., Ltd.................. 40,690 17,000 Marubeni Corp..................... 27,941 6,042 Mitsubishi Rayon Co., Ltd......... 21,406 3,532 Nisshinbo Industries, Inc......... 17,448 10,277 Teijin, Ltd....................... 27,965 8,000 Texwinca Holdings, Ltd............ 5,874 17,992 Toray Industries, Inc............. 69,987 7,876 Toyobo Co......................... 15,390 ------------ 226,701 ------------ TOBACCO - 0.61% 4,442 Altadis SA........................ 118,683 23,666 British American Tobacco, PLC..... 297,318
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- TOBACCO - Continued 10,736 Imperial Tobacco Group, PLC............. $ 196,908 10 Japan Tobacco, Inc...................... 67,114 260 Papastratos............................. 5,621 4,799 Swedish Match AB........................ 43,240 ------------ 728,884 ------------ UTILITIES - COMMUNICATION - 2.11% 31,095 Deutsche Telekom AG +................... 516,691 77 Nippon Telegraph and Telephone Corp......................... 369,128 402 Swisscom AG............................. 120,950 134,194 Telecom Italia SpA +.................... 388,813 94,239 Telecom Italia SpA RNC +................ 180,336 69,731 Telefonica SA........................... 903,526 2,781 Telekom Austria AG +.................... 32,297 2,305 TPI..................................... 12,251 ------------ 2,523,992 ------------ UTILITIES - ELECTRIC - 2.26% 534 ACS Actividades Co...................... 23,070 3,537 Aggreko, PLC............................ 8,497 3,916 Alstom +................................ 8,081 9,200 Chubu Electric Power Co., Inc........... 184,395 27,000 CLP Holdings, Ltd....................... 131,457 4,012 Contact Energy, Ltd..................... 13,962 454 Electrabel.............................. 133,448 13,300 Endesa SA............................... 218,606 31,606 Enel SpA................................ 202,110 21,500 Hong Kong Electric Holdings, Ltd........ 86,402 11,291 Iberdrola SA............................ 194,932 15,540 International Power, PLC +.............. 30,375 9,900 Kansai Electric Power Co., Inc.......... 165,791 5,600 Kyushu Electric Power Co., Inc.......... 92,145 45,268 National Grid Transco, PLC.............. 306,376 65 Oesterreichisch Elektrizitatswirtschafts AG, Class A............................ 6,640 9,073 Origin Energy, Ltd...................... 30,683 1,600 Public Power Corp....................... 36,357 5,449 RWE AG, Class A......................... 175,857 27,449 Scottish Power, PLC..................... 169,940 5,916 Tohoku Electric Power Co., Inc.......... 94,103 17,000 Tokyo Electric Power Co., Inc........... 352,372 2,753 Union Electric Fenosa SA................ 45,151 ------------ 2,710,750 ------------
-------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 39
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------- UTILITIES - GAS, DISTRIBUTION - 0.27% 62,572 Centrica, PLC................... $ 203,932 51,400 Hong Kong & China Gas Co., Ltd.. 76,798 12,234 Snam Rete Gas SpA............... 48,143 ------------ 328,873 ------------ WATER SERVICES - 0.69% 786 Aguas de Barcelona.............. 11,174 5,464 Kelda Group, PLC................ 42,415 1,410 Kurita Water Industries, Ltd.... 15,682 4,782 Severn Trent, PLC............... 59,500 7,500 Suez Lyonnaise des Eaux SA +.... 90 11,847 Suez SA......................... 205,384 7,732 United Utilities, PLC........... 65,846 4,695 United Utilities, PLC, Class A + 24,196 3,792 Vivendi Environnement........... 89,306 13,395 Vivendi Universal SA +.......... 307,753 ------------ 821,346 ------------ TOTAL COMMON STOCK (Cost $103,416,443)............. 100,370,873 ------------ PREFERRED STOCK - 0.40% AUTOMOTIVE - 0.10% 109 Porsche AG 0.64%:............... 56,369 1,780 Volkswagen AG 4.72%:............ 58,600 ------------ 114,969 ------------ CHEMICAL - 0.05% 825 Henkel KGaA:.................... 61,298 ------------ HOSPITAL SUPPLIES - 0.02% 363 Fresenius Medical Care AG 2.88%: 16,724 ------------ HOUSEHOLD PRODUCTS - 0.02% 292 Wella AG 0.95%:................. 24,169 ------------ LEISURE AND TOURISM - 0.01% 1,014 ProSiebenSat.1 Media AG 2.54%:.. 16,606 ------------ MACHINERY - 0.02% 77 Schindler Holding AG 1.95% +:... 17,591 ------------ MULTIMEDIA - 0.17% 29,062 News Corp., Ltd. 0.74%:......... 204,981 ------------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- PAPER/FOREST PRODUCTS - 0.00% 4,131 Fletcher Challenge Forest, Ltd. +:...... $ 3,435 ------------- UTILITIES - ELECTRIC - 0.01% 542 RWE AG 4.58%:........................... 16,029 ------------- TOTAL PREFERRED STOCK (Cost $439,929)......................... 475,802 ------------- WARRANTS - 0.00% REAL ESTATE - 0.00% 900 Hopewell Highway Infrastructure, Ltd. +: 174 ------------- UTILITIES - ELECTRIC - 0.00% 3,916 Alstom +:............................... 1,409 ------------- TOTAL WARRANTS (Cost $0)............................... 1,583 ------------- RIGHTS - 0.03% COMMERCIAL SERVICES - 0.02% 15,864 ABB, Ltd. +:............................ 19,780 ------------- FINANCIAL SERVICES - 0.00% 19,635 AMP, Ltd. +/(3)/:....................... 1,166 ------------- FOODS - 0.01% 9,062 Ahold Finance USA, Inc. +:.............. 8,480 ------------- UTILITIES - ELECTRIC - 0.00% 3,916 Alstom +:............................... 2,114 ------------- WATER SERVICES - 0.00% 786 Aguas de Barcelona +:................... 95 ------------- TOTAL RIGHTS (Cost $37,806).......................... 31,635 -------------
MARKET PAR VALUE VALUE ---------------------------------------------------------------- CORPORATE BONDS - 0.03% CONGLOMERATES - 0.01% $ 8,000 TUI AG: 2.13% due 6/17/04................... $ 9,528 ------------- OIL AND GAS - 0.02% Transco Holdings PLC: 5,000 7.00% due 12/16/24.................. 9,673 5,000 4.46% due 12/14/09.................. 8,618 5,000 4.19% due 12/14/22.................. 10,043 ------------- 28,334 ------------- TOTAL CORPORATE BONDS (Cost $28,670)........................ 37,862 ------------- SHORT-TERM INVESTMENTS - 0.39% COLLECTIVE INVESTMENT POOL - 0.00% 100 Securities Lending Quality Trust/(2)/. 100 ------------- U.S. TREASURY BILLS - 0.39% United States Treasury Bills: 60,000 0.90% due 12/11/03 @................ 59,985 400,000 0.89% due 1/15/04 @................. 399,555 10,000 0.86% due 12/4/03 @................. 9,999 ------------- 469,539 ------------- TOTAL SHORT-TERM INVESTMENTS (Cost $469,639)....................... 469,639 ------------- REPURCHASE AGREEMENT - 14.47% 17,349,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $17,350,345 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 1.50%, due 10/1/04 and having an approximate value of $17,874,377 (Cost $17,349,000) @....................... 17,349,000 ------------- TOTAL INVESTMENTS (Cost $121,741,487) - 99.04%.......... $ 118,736,394 Other assets and liabilities, net - 0.96%.......................... 1,151,648 ------------- NET ASSETS - 100%..................... $ 119,888,042 -------------
-------------------------------------------------------------------------------- INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 40 + Non-income producing @ The security or a portion thereof represents collateral for open futures contracts. ADR - American Depository Receipt /(1) /The security or a portion thereof is out on loan (see Note 2). /(2)/ The security is purchased with the cash collateral received from securities loaned. /(3)/ Fair valued security (see Note 2). OPEN FUTURES CONTRACTS
---------------------------------------------------------------------------------- Value as of Unrealized Number of Expiration Value at November 30, Appreciation/ Contracts Description Date Trade Date 2003 Depreciation ---------------------------------------------------------------------------------- 2 Long CAC40 10 Euro Index December 2003 $ 76,326 $ 82,368 $ 6,042 2 Long Hang Seng Index December 2003 151,543 158,856 7,313 200 Long MSCI Singapore Index December 2003 94,199 97,912 3,713 5 Long ENI SPA Share Index December 2003 365,391 369,737 4,346 200 Long Amsterdam Index December 2003 79,597 79,801 204 271 Long MSCI Pan Euro Index December 2003 4,983,073 5,044,884 61,811 8 Long SPI 200 Index December 2003 466,185 461,973 (4,212) 1 Long MIB30 Index December 2003 155,846 161,989 6,143 2 Long FTSE 100 Index December 2003 148,367 149,681 1,314 1 Long DAX Index December 2003 107,521 112,376 4,855 18 Long TOPIX Index December 2003 1,678,117 1,648,454 (29,663) 3 Long NIKKEI 225 Index December 2003 159,664 152,475 (7,189) -------- $ 54,677 --------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- INTERNATIONAL GOVERNMENT BOND FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 41
PAR MARKET VALUE VALUE ------------------------------------------------------------- CORPORATE BONDS - 1.96% COLOMBIA - 0.34% US$500,000 Bavaria SA, 8.88% due 11/1/10*........... $ 501,250 ------------ UNITED STATES - 0.94% (Yen)150,000,000 Citigroup Global Markets, Inc., 0.80% due 10/30/08........... 1,370,110 ------------ ITALY - 0.68% US$1,000,000 Telecom Italia Capital, 5.25% due 11/15/13*.......... 994,462 ------------ TOTAL CORPORATE BONDS (Cost $2,865,546).............. 2,865,822 ------------ GOVERNMENT BONDS - 92.60% AUSTRIA - 0.49% (Euro)610,000 Republic of Austria, 4.65% due 1/15/18............ 723,774 ------------ BELGIUM - 1.58% Kingdom of Belgium: (Euro)250,000 5.50% due 3/28/28............ 317,503 (Euro)1,700,000 4.25% due 9/28/13............ 1,999,250 ------------ 2,316,753 ------------ BRAZIL - 7.86% Brazil Federative Republic: US$1,550,000 14.50% due 10/15/09.......... 1,957,650 US$700,000 12.25% due 3/6/30............ 801,500 US$300,000 12.00% due 4/15/10........... 345,750 US$2,100,000 11.00% due 1/11/12........... 2,341,500 US$1,000,000 11.00% due 8/17/40........... 1,023,000 US$1,450,000 10.25% due 6/17/13........... 1,560,925 US$ 3,078,525 8.00% due 4/15/14............ 2,963,080 US$600,000 2.19% due 4/15/12 /(2)/...... 528,000 ------------ 11,521,405 ------------ BULGARIA - 0.65% National Republic of Bulgaria: US$100,000 8.25% due 1/15/15............ 116,500 US$855,000 1.94% due 7/28/11 /(2)/...... 837,900 ------------ 954,400 ------------
PAR MARKET VALUE VALUE ---------------------------------------------------------- CANADA - 1.48% C$2,600,000 Government of Canada, 6.00% due 6/1/11.......... $ 2,172,235 ------------- CHILE - 0.35% US$450,000 Republic of Chile, 6.88% due 4/28/09......... 506,430 ------------- COLOMBIA - 1.27% Republic of Colombia: US$750,000 11.75% due 2/25/20........ 864,375 US$900,000 10.75% due 1/15/13........ 990,000 ------------- 1,854,375 ------------- DENMARK - 1.44% Kingdom of Denmark: DK1,250,000 7.00% due 11/10/24........ 251,852 DK10,500,000 6.00% due 11/15/09........ 1,860,219 ------------- 2,112,071 ------------- ECUADOR - 0.84% Republic of Ecuador: US 1,000,000 7.00% due 8/15/30 */(1)/.. 700,000 US750,000 7.00% due 8/15/30 /(1)/... 525,000 ------------- 1,225,000 ------------- FINLAND - 0.38% Republic of Finland: (Euro)254,563 7.25% due 4/18/06......... 333,204 (Euro)168,187 6.00% due 4/25/08......... 218,963 ------------- 552,167 ------------- FRANCE - 5.08% Government of France: (Euro)1,000,000 5.50% due 4/25/10......... 1,295,660 (Euro)855,347 5.50% due 4/25/29......... 1,093,562 (Euro)4,055,000 5.00% due 1/12/06......... 5,062,106 ------------- 7,451,328 ------------- GERMANY - 2.79% (Euro)3,180,000 Federal Republic of Germany, 6.25% due 4/26/06......... 4,088,587 -------------
PAR MARKET VALUE VALUE -------------------------------------------------------- GREECE - 4.45% Republic of Greece: (Euro)3,220,000 8.60% due 3/26/08....... $ 4,606,122 (Euro)216,837 6.50% due 10/22/19...... 302,638 (Euro)1,216,837 6.00% due 5/19/10....... 1,610,619 ------------ 6,519,379 ------------ ITALY - 6.87% Republic of Italy: (Euro)532,912 9.00% due 11/1/23....... 962,790 (Euro)2,000,000 7.75% due 11/1/06....... 2,690,773 (Euro)1,974,684 6.75% due 2/1/07........ 2,602,983 (Euro)3,110,000 4.75% due 2/1/13........ 3,811,727 ------------ 10,068,273 ------------ JAPAN - 15.28% Government of Japan: (Yen)300,000,000 5.00% due 9/21/09....... 3,406,243 (Yen)670,000,000 3.30% due 6/20/06....... 6,601,747 (Yen)269,000,000 2.70% due 3/20/07....... 2,643,787 (Yen)206,000,000 1.80% due 6/21/10....... 1,995,197 (Yen)565,000,000 1.10% due 6/20/05....... 5,242,967 (Yen)127,000,000 1.10% due 3/21/11....... 1,168,352 (Yen)185,000,000 1.10% due 3/20/33....... 1,328,118 ------------ 22,386,411 ------------ MEXICO - 6.76% United Mexican States: US$2,000,000 9.88% due 2/1/10........ 2,506,000 US$2,450,000 8.13% due 12/30/19...... 2,701,125 US$3,250,000 7.50% due 1/14/12....... 3,607,500 US$ 1,065,000 6.63% due 3/3/15........ 1,091,625 ------------ 9,906,250 ------------ NEW ZEALAND - 0.22% NZ$500,000 Government of New Zealand, 6.50% due 2/15/05........ 323,057 ------------ PANAMA - 0.48% Republic of Panama: US$350,000 9.63% due 2/8/11........ 398,125 US$300,000 8.88% due 9/30/27....... 312,000 ------------ 710,125 ------------
-------------------------------------------------------------------------------- INTERNATIONAL GOVERNMENT BOND FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 42
PAR MARKET VALUE VALUE ------------------------------------------------------- PERU - 0.88% Republic of Peru: US$120,000 9.88% due 2/6/15........ $ 138,900 US$690,000 9.13% due 2/21/12....... 765,900 US$423,000 5.00% due 3/7/17........ 389,160 ------------ 1,293,960 ------------ PHILIPPINES - 1.33% Republic of Philippines: US$250,000 10.63% due 3/16/25...... 256,875 US$200,000 9.88% due 1/15/19....... 198,000 US$ 1,500,000 9.00% due 2/15/13....... 1,500,000 ------------ 1,954,875 ------------ RUSSIA - 7.17% Russian Federation: US$2,450,000 8.25% due 3/31/10....... 2,722,195 US$1,650,000 3.00% due 5/14/08....... 1,461,311 US$6,750,000 5.00% due 3/31/30 /(1)/. 6,324,075 ------------ 10,507,581 ------------ SOUTH AFRICA - 0.51% US$655,000 Republic of South Africa, 7.38% due 4/25/12........ 740,150 ------------ SPAIN - 1.96% (Euro)2,106,012 Kingdom of Spain, 6.00% due 1/31/29........ 2,878,145 ------------ SWEDEN - 3.48% SK35,500,000 Kingdom of Sweden, 6.50% due 5/5/08......... 5,106,036 ------------ TURKEY - 2.01% Republic of Turkey: US$ 1,325,000 11.75% due 6/15/10...... 1,629,750 US$ 1,100,000 11.00% due 1/14/13...... 1,309,000 ------------ 2,938,750 ------------
PAR MARKET VALUE VALUE ------------------------------------------------------------ UNITED KINGDOM - 2.87% Government of United Kingdom: (Pounds)100,000 8.00% due 6/7/21........... $ 232,046 (Pounds)985,250 5.75% due 12/7/09.......... 1,764,786 (Pounds)1,050,000 5.00% due 3/7/08........... 1,816,393 (Pounds)250,000 4.25% due 6/7/32........... 389,206 ------------ 4,202,431 ------------ UNITED STATES - 12.61% US$ 2,000,000 Federal Farm Credit Bks., 5.55% due 3/26/08........... 2,165,116 Federal Home Loan Bank: US$1,000,000 6.80% due 11/21/16......... 1,178,739 US$4,400,000 2.88% due 9/15/06.......... 4,414,454 US$4,642 Federal National Mtg. Assoc., 6.50% due 3/1/17............ 4,898 United States Treasury Bonds: US$2,270,000 8.00% due 11/15/21......... 3,042,066 US$1,000,000 6.38% due 8/15/27.......... 1,153,164 United States Treasury Notes: US$3,775,000 5.88% due 11/15/05......... 4,055,471 US$1,790,000 5.00% due 2/15/11.......... 1,909,706 US$535,000 4.88% due 2/15/12.......... 563,297 ------------ 18,486,911 ------------ VENEZUELA - 1.51% Republic of Venezuela: US$625,000 9.25% due 9/15/27.......... 518,750 US$1,821,426 1.88% due 12/18/07 /(2)/... 1,698,480 ------------ 2,217,230 ------------ TOTAL GOVERNMENT BONDS (Cost $124,040,280).......... 135,718,089 ------------ SUPRANATIONAL - 2.51% (Euro)2,000,000 European Investment Bank, 4.00% due 1/15/07 2,436,212 (Euro)1,000,000 Federal Home Loan Mtg. Corp., 5.13% due 1/15/12........... 1,244,389 ------------ TOTAL SUPRANATIONAL (Cost $2,666,759)............ 3,680,601 ------------
NUMBER MARKET OF RIGHTS VALUE ---------------------------------------------------------------- RIGHTS - 0.0%+ 500,000 United Mexican States /(3)/............ $ 1,250 500,000 United Mexican States /(3)/............ 750 500,000 United Mexican States /(3)/............ 300 ------------ TOTAL RIGHTS (Cost $0).............................. 2,300 ------------ PAR VALUE ------------ REPURCHASE AGREEMENTS - 0.99% $ 182,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $182,014 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 3.00%, due 6/15/04 and having an approximate value of $189,246......... 182,000 1,265,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $1,265,098 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 1.50%, due 10/1/04 and having an approximate value of $1,304,333....... 1,265,000 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $1,447,000)...................... 1,447,000 ------------ TOTAL INVESTMENTS (Cost $131,019,585) - 98.06%........... 143,713,812 Other assets and liabilities, net - 1.94%........................... 2,842,159 ------------ NET ASSETS - 100%...................... $146,555,971 ------------
-------------------------------------------------------------------------------- INTERNATIONAL GOVERNMENT BOND FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 43 +Non-income producing *Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2003, the aggregate value of these securities was $2,195,712 representing 1.50% of net assets. /(1)/Security is a "step up" bond where the coupon rate increases or steps up at a predetermined rate. Rate shown reflects the increased rate. /(2)/Security is a "floating rate" bond where the coupon rate fluctuates. The rate reflected is as of November 30, 2003. /(3)/Fair valued security (see Note 2). OPEN FORWARD CURRENCY CONTRACTS
Gross Contract to In Exchange Delivery Unrealized Deliver For Date Appreciation ------------------------------------------------- SK 29,750,000 US$ 3,935,706 2/6/04 $5,911 ------
Currency Legend C$ Canadian Dollar DK Danish Krone (Euro)Euro Dollar (Yen)Japanese Yen NZ$New Zealand Dollar SK Swedish Krona (Pounds)United Kingdom Pound US$United States Dollar SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- INTERNATIONAL GROWTH I FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 44
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- COMMON STOCK - 99.04% ADVERTISING - 1.76% 263 Dentsu, Inc...................... $ 1,116,696 72,530 Publicis Groupe SA/(1)/.......... 2,292,921 352,867 WPP Group, PLC................... 3,384,830 ------------ 6,794,447 ------------ AIRLINES - 0.74% 61,100 Ryanair Holdings, PLC ADR +/(1)/. 2,861,924 ------------ APPAREL & PRODUCTS - 0.54% 13,150 Puma AG Rudolf Dassier Sport..... 2,074,638 ------------ AUTOMOTIVE - 4.91% 121,100 Denso Corp....................... 2,261,329 789,000 Nissan Motor Co., Ltd./(1)/...... 9,020,025 20,000 NOK Corp......................... 734,146 51,000 Renault SA....................... 3,392,833 122,460 Volvo AB, Class B................ 3,545,450 ------------ 18,953,783 ------------ BANKS - 14.14% 224,345 Alliance & Leicester, PLC........ 3,407,655 45,590 Alpha Bank AE.................... 1,202,231 176,557 Anglo Irish Bank Corp., PLC...... 2,393,614 177,000 Banco Popolare Di Verona e Novara 2,922,015 371,000 Bank of Yokohama, Ltd............ 1,571,876 112,940 Commerzbank AG/(1)/.............. 2,186,966 276,853 Credit Agricole SA............... 6,045,210 32,690 Depfa Bank, PLC/(1)/............. 3,753,337 33,886 Erste Bank Der Oesterreichischen Sparkassen AG................... 3,874,396 63,299 ForeningsSparbanken AB........... 1,094,544 132,780 HBOS, PLC........................ 1,669,268 383,420 HSBC Holdings, PLC............... 5,817,298 5,590 Julius Baer Holding, Ltd......... 1,779,276 87,430 OTP Bank Rt. +................... 1,072,142 114,300 Societe Generale, Class A/(1)/... 9,160,379 560 Sumitomo Mitsui Financial Group, Inc./(1)/................ 2,735,698 60,679 UBS AG........................... 3,912,121 ------------ 54,598,026 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------ BROADCASTING - 0.99% 329,760 British Sky Broadcasting Group, PLC +......................... $ 3,827,617 ------------ BUILDING MATERIALS - 0.85% 175,219 CRH, PLC....................... 3,279,416 ------------ CHEMICAL - 1.14% 25,240 BASF AG........................ 1,249,423 83,735 Clariant AG +.................. 1,183,476 5,946,000 Sinopec Shanghai Petrochemical Co., Ltd........ 1,952,961 ------------ 4,385,860 ------------ COMMERCIAL SERVICES - 1.57% 315,172 ABB, Ltd. +.................... 1,547,486 1,247,360 Hays, PLC...................... 2,728,137 36,660 Linde AG/(1)/.................. 1,774,707 ------------ 6,050,330 ------------ CONGLOMERATES - 5.15% 68,245 LVMH Moet Hennessy Louis Vuitton SA/(1)/............... 4,703,830 648,000 Mitsubishi Corp................ 5,946,583 126,190 Siemens AG..................... 9,213,988 ------------ 19,864,401 ------------ DRUGS - 6.59% 79,330 AstraZeneca, PLC............... 3,605,350 87,000 Chugai Pharmaceutical Co., Ltd. 1,175,729 10,240 Gedeon Richter, Ltd............ 1,092,506 281,730 GlaxoSmithKline, PLC........... 6,360,722 69,871 Roche Holdings AG-Genusschein.. 6,303,947 28,271 Sanofi-Synthelabo SA........... 1,916,375 82,512 Teva Pharmaceutical Industries, Ltd. ADR.......... 4,970,185 ------------ 25,424,814 ------------ ELECTRONICS/ELECTRICAL EQUIPMENT - 9.71% 55,000 Canon, Inc..................... 2,541,204 109,068 Comverse Technology, Inc. +.... 2,097,378 83,200 Fanuc, Ltd./(1)/............... 4,892,553 46,000 JSR Corp....................... 997,580 17,800 Keyence Corp................... 3,999,982
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - Continued 143,024 Koninklijke Philips Electronics NV.. $ 4,064,742 49,890 LG Electronics, Inc................. 2,469,494 31,500 Murata Manufacturing Co., Ltd....... 1,780,441 334,000 NEC Corp./(1)/...................... 2,421,550 69,500 Nitto Denko Corp.................... 3,509,428 12,680 Samsung Electronics Co., Ltd........ 4,905,120 253,000 Sharp Corp./(1)/.................... 3,786,395 ------------ 37,465,867 ------------ FINANCE COMPANIES - 0.58% 63,173 Kookmin Bank........................ 2,233,562 ------------ FINANCIAL SERVICES - 9.08% 210,400 3I Group, PLC....................... 2,206,651 777,176 Abbey National, PLC................. 7,143,777 256,230 Credit Suisse First Boston USA, Inc. 8,512,888 82,270 Deutsche Boerse AG/(1)/............. 4,146,531 333,980 ING Groep NV........................ 7,160,375 128,505 Man Group, PLC...................... 3,158,018 37,100 ORIX Corp........................... 2,720,294 ------------ 35,048,534 ------------ FOODS - 1.12% 27,630 Groupe Danone/(1)/.................. 4,309,382 ------------ FREIGHT - 1.15% 233 AP Moller - Maersk A/S ADR.......... 1,671,692 210,540 Exel, PLC........................... 2,761,055 ------------ 4,432,747 ------------ HOUSEHOLD PRODUCTS - 1.54% 271,749 Reckitt Benckiser, PLC.............. 5,938,820 ------------ HUMAN RESOURCES - 1.34% 83,335 Adecco SA........................... 5,175,967 ------------ INFORMATION PROCESSING - SERVICES - 2.14% 294,909 T-Online International AG +......... 3,686,774 299,896 Wanadoo +/(1)/...................... 2,306,319 173 Yahoo Japan Corp. +/(1)/............ 2,274,757 ------------ 8,267,850 ------------
-------------------------------------------------------------------------------- INTERNATIONAL GROWTH I FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 45
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------- INFORMATION PROCESSING - SOFTWARE - 1.78% 34,010 SAP AG........................ $ 5,231,008 65,000 Trend Micro, Inc. +/(1)/...... 1,644,067 ------------ 6,875,075 ------------ INSURANCE - 3.62% 308,081 AXA........................... 5,925,011 15,183 Munchener Ruckversicherungs AG 1,727,405 344,430 Skandia Forsakrings AB........ 1,163,769 28,411 Swiss Life Holding +/(1)/..... 5,170,637 ------------ 13,986,822 ------------ LEISURE AND TOURISM - 1.18% 108,861 Accor SA/(1)/................. 4,571,209 ------------ MACHINERY - 0.69% 74,960 Atlas Copco AB, Series A...... 2,681,754 ------------ MEDICAL TECHNOLOGY - 0.37% 186,360 Smith & Nephew PLC............ 1,432,995 ------------ METALS - 0.86% 259,790 BHP Billiton, Ltd............. 2,120,191 76,561 China Steel Corp. GDR +*...... 1,213,492 ------------ 3,333,683 ------------ MISCELLANEOUS - 0.38% 124,500 Konica Corp................... 1,473,333 ------------ OIL AND GAS - 4.20% 905,590 BP, PLC....................... 6,327,917 728,000 CNOOC, Ltd.................... 1,500,306 41,598 E. ON AG...................... 2,360,610 5,465,000 PetroChina Co., Ltd./(1)/..... 2,023,748 87,170 YUKOS ADR/(1)/................ 4,009,820 ------------ 16,222,401 ------------ OPTICAL INSTRUMENTS & LENSES - 0.32% 21,330 Alcon, Inc.................... 1,240,766 ------------
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- PUBLISHING - 0.56% 248,970 United Business Media, PLC....... $ 2,149,176 ------------ RAILROADS & EQUIPMENT - 0.56% 465,000 Tokyu Corp./(1)/................. 2,161,211 ------------ REAL ESTATE - 1.70% 246,000 Cheung Kong Holdings, Ltd........ 1,940,750 204,000 Mitsui Fudosan Co., Ltd./(1)/.... 1,778,935 48,300 Pioneer Corp..................... 1,234,899 198,000 Sun Hung Kai Properties, Ltd..... 1,593,946 ------------ 6,548,530 ------------ RETAIL - 5.08% 80,360 Compagnie Financiere Richemont AG 1,991,497 26,100 Fast Retailing Co., Ltd.......... 1,539,570 54,500 Hoya Corp./(1)/.................. 4,777,428 279,200 Marui Co., Ltd./(1)/............. 3,428,973 102,653 Metro AG/(1)/.................... 4,402,896 120,300 Next, PLC........................ 2,309,995 272,850 Tesco, PLC....................... 1,168,847 ------------ 19,619,206 ------------ SEMICONDUCTORS - 0.80% 43,800 Tokyo Electron, Ltd.............. 3,099,575 ------------ TELECOMMUNICATIONS - 9.31% 226,812 Alcatel SA +/(1)/................ 2,963,362 95,220 America Movil SA de CV ADR....... 2,441,441 159,490 France Telecom SA +/(1)/......... 4,113,985 384 KDDI Corp........................ 2,002,137 2,097,749 mmO2, PLC +...................... 2,718,508 25,768 Mobile Telesystems ADR/(1)/...... 2,125,860 315,740 MTN Group, Ltd. +................ 1,290,752 190,160 Nokia Corp. ADR.................. 3,419,077 651 NTT DoCoMo, Inc.................. 1,402,876 66,558 STMicroelectronics NV (NY)....... 1,854,971 48,728 Tele2 AB, Class B +/(1)/......... 2,489,021 816,430 Telefonaktiebolaget LM Ericsson, Class B +....................... 1,319,789 3,390,832 Vodafone Group, PLC.............. 7,795,754 ------------ 35,937,533 ------------
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- UTILITIES - COMMUNICATION - 1.91% 270,151 Deutsche Telekom AG +............ $ 4,488,974 223,580 Telefonica SA.................... 2,896,993 ------------ 7,385,967 ------------ UTILITIES - ELECTRIC - 0.68% 1,618,000 Huaneng Power International, Inc. 2,396,651 10,280 Public Power Corp................ 233,595 ------------ 2,630,246 ------------ TOTAL COMMON STOCK (Cost $329,009,095).............. 382,337,467 ------------ PREFERRED STOCK - 0.50% AUTOMOTIVE - 0.50% 3,710 Porsche AG 0.64%................. 1,918,635 ------------ TOTAL PREFERRED STOCK (Cost $1,664,443)................ 1,918,635 ------------ RIGHTS - 0.10% COMMERCIAL SERVICES - 0.10% 315,172 ABB, Ltd. +/(1)/................. 392,973 ------------ TOTAL RIGHTS (Cost $351,449).................. 392,973 ------------
-------------------------------------------------------------------------------- INTERNATIONAL GROWTH I FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 46
PAR MARKET VALUE VALUE ------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 18.00% COLLECTIVE INVESTMENT POOL $69,476,745 Securities Lending Quality Trust/(2)/ (Cost $69,476,745)...................... $ 69,476,745 ------------ REPURCHASE AGREEMENT - 0.43% 1,656,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $1,656,128 and collateralized by Federal Home Loan Bank Notes, bearing interest at 3.70%, due 7/28/09 and having an approximate value of $1,691,500 (Cost $1,656,000)...................... 1,656,000 ------------ TOTAL INVESTMENTS (Cost $402,157,732) - 118.07%........... 455,781,820 Other assets and liabilities, net - (18.07)%......................... (69,745,840) ------------ NET ASSETS - 100%....................... $386,035,980 ------------
+ Non-income producing * Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2003, the aggregate value of these securities was $1,213,492 representing 0.31% of net assets. ADR - American Depository Receipt GDR - Global Depository Receipt /(1)/ The security or a portion thereof is out on loan (see Note 2). /(2)/ The security is purchased with the cash collateral received from securities loaned. SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 47
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- COMMON STOCK - 97.76% AEROSPACE/DEFENSE - 1.97% 49,400 Northrop Grumman Corp............... $ 4,575,922 54,400 United Technologies Corp............ 4,662,080 ------------ 9,238,002 ------------ AIRLINES - 1.48% 385,400 Southwest Airlines Co............... 6,929,492 ------------ APPAREL & PRODUCTS - 1.76% 207,600 Coach, Inc. +....................... 8,270,784 ------------ BANKS - 1.19% 73,875 Bank of America Corp................ 5,572,391 ------------ BEVERAGES - 2.83% 202,600 Coca-Cola Bottling Co............... 9,420,900 80,030 PepsiCo, Inc........................ 3,851,044 ------------ 13,271,944 ------------ BUILDING MATERIALS - 1.03% 177,900 Masco Corp.......................... 4,838,880 ------------ COMMERCIAL SERVICES - 0.97% 118,600 Paychex, Inc........................ 4,562,542 ------------ CONGLOMERATES - 4.10% 64,100 3M Co............................... 5,066,464 407,500 General Electric Co................. 11,683,025 108,600 Tyco International, Ltd............. 2,492,370 ------------ 19,241,859 ------------ DRUGS - 6.86% 100,000 Abbott Laboratories................. 4,420,000 202,600 Bristol-Myers Squibb Co............. 5,338,510 49,400 Merck & Co., Inc.................... 2,005,640 466,823 Pfizer, Inc......................... 15,661,911 79,100 Teva Pharmaceutical Industries, Ltd. ADR/(1)/........................... 4,764,660 ------------ 32,190,721 ------------ FINANCE COMPANIES - 1.76% 138,300 Capital One Financial Corp./(1)/.... 8,259,276 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ FINANCIAL SERVICES - 7.99% 111,200 American Express Co.................. $ 5,082,952 301,659 Citigroup, Inc....................... 14,190,039 54,400 Goldman Sachs Group, Inc............. 5,226,752 118,600 Merrill Lynch & Co., Inc............. 6,730,550 113,600 Morgan Stanley....................... 6,279,808 ------------ 37,510,101 ------------ FREIGHT - 2.37% 88,900 FedEx Corp........................... 6,463,030 64,200 United Parcel Service, Inc., Class B. 4,671,834 ------------ 11,134,864 ------------ HEALTHCARE - 0.91% 59,300 Anthem, Inc. +....................... 4,276,716 ------------ HOSPITAL SUPPLIES - 2.93% 69,200 Boston Scientific Corp. +............ 2,483,588 108,200 Johnson & Johnson.................... 5,333,178 93,900 St. Jude Medical, Inc. +............. 5,947,626 ------------ 13,764,392 ------------ HOUSEHOLD PRODUCTS - 2.89% 69,200 Avon Products, Inc................... 4,740,200 69,200 Estee Lauder Cos., Inc., Class A..... 2,629,600 64,300 Procter & Gamble Co.................. 6,188,232 ------------ 13,558,032 ------------ INFORMATION PROCESSING - HARDWARE - 4.27% 255,125 Dell, Inc. +......................... 8,801,813 168,000 Hewlett-Packard Co................... 3,643,920 84,000 International Business Machines Corp. 7,605,360 ------------ 20,051,093 ------------ INFORMATION PROCESSING - SERVICES - 4.17% 98,800 eBay, Inc. +......................... 5,517,980 444,800 EMC Corp. +.......................... 6,111,552 138,400 Symantec Corp. +..................... 4,543,672 79,100 Yahoo!, Inc. +....................... 3,399,718 ------------ 19,572,922 ------------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- INFORMATION PROCESSING - SOFTWARE - 5.74% 395,400 BEA Systems, Inc. +................ $ 5,021,580 582,900 Microsoft Corp..................... 14,980,530 182,900 VERITAS Software Corp. +........... 6,954,041 ------------ 26,956,151 ------------ INSURANCE - 2.27% 3,810 Berkshire Hathaway, Inc., Class B + 10,671,810 ------------ LEISURE AND TOURISM - 3.35% 148,300 Applebee's International, Inc...... 5,740,693 138,400 Carnival Corp...................... 4,870,296 200,000 McDonald's Corp.................... 5,126,000 ------------ 15,736,989 ------------ MACHINERY - 2.06% 79,100 Cooper Industries, Ltd., Class A... 4,243,715 89,000 Deere & Co......................... 5,449,470 ------------ 9,693,185 ------------ MEDICAL - BIOMEDICAL/GENE - 2.39% 123,044 Amgen, Inc. +...................... 7,076,261 89,000 Genzyme Corp. +.................... 4,159,860 ------------ 11,236,121 ------------ MEDICAL TECHNOLOGY - 1.02% 89,000 Chiron Corp. +..................... 4,772,180 ------------ METALS - 1.19% 170,000 Alcoa, Inc......................... 5,577,700 ------------ MULTIMEDIA - 2.07% 131,304 Viacom, Inc., Class B.............. 5,162,873 197,700 Walt Disney Co..................... 4,564,893 ------------ 9,727,766 ------------ OIL AND GAS - 2.94% 64,300 Apache Corp........................ 4,616,740 182,900 Exxon Mobil Corp................... 6,615,493 69,200 Smith International, Inc. +........ 2,597,768 ------------ 13,830,001 ------------ RETAIL - 8.07% 89,000 Amazon.Com, Inc. +................. 4,811,340 60,000 Bed Bath & Beyond, Inc. +.......... 2,534,400 173,000 Home Depot, Inc.................... 6,359,480 118,600 Target Corp........................ 4,592,192 168,000 Tiffany & Co....................... 7,618,800 215,000 Wal-Mart Stores, Inc............... 11,962,600 ------------ 37,878,812 ------------
-------------------------------------------------------------------------------- LARGE CAP GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 48
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------------------- SEMICONDUCTORS - 9.42% 444,800 Applied Materials, Inc. +......................... $ 10,808,640 454,698 Intel Corp........................................ 15,200,554 108,700 Maxim Integrated Products, Inc.................... 5,661,096 138,400 QLogic Corp. +.................................... 7,865,272 158,200 Texas Instruments, Inc............................ 4,708,032 ------------ 44,243,594 ------------ TELECOMMUNICATIONS - 7.76% 760,800 Cisco Systems, Inc. +............................. 17,239,728 375,400 Nextel Communications, Inc., Class A +........................................ 9,508,882 257,000 Nokia Corp. ADR................................... 4,620,860 217,200 Vodafone Group, PLC ADR........................... 5,071,620 ------------ 36,441,090 ------------ TOTAL COMMON STOCK (Cost $406,034,695)............................... 459,009,410 ------------ PAR VALUE ----------- SHORT-TERM INVESTMENTS - 2.02% COLLECTIVE INVESTMENT POOL $9,462,015 Securities Lending Quality Trust/(2)/ (Cost $9,462,015)................................. 9,462,015 ------------ REPURCHASE AGREEMENT - 0.53% 2,492,000 State Street Bank Joint Repurchase Agreement (see Note 2) (Cost $2,492,000)................................ 2,492,000 ------------ TOTAL INVESTMENTS (Cost $417,988,710) - 100.31%..................... 470,963,425 Other assets and liabilities, net - (0.31)%.................................... (1,436,772) ------------ NET ASSETS - 100%................................. $469,526,653 ------------ +Non-income producing ADR - American Depository Receipt /(1)/The security or a portion thereof is out on loan (see Note 2). /(2)/The security is purchased with the cash collateral received from securities loaned.
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 49
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------------- COMMON STOCK - 96.16% ADVERTISING - 0.29% 76,200 Catalina Marketing Corp. +............... $ 1,411,986 126,600 Harte-Hanks, Inc......................... 2,725,698 --------------- 4,137,684 --------------- AEROSPACE/DEFENSE - 0.68% 137,500 L-3 Communications Holdings, Inc. +/(1)/................... 6,469,375 14,900 Sequa Corp., Class A +................... 711,475 114,500 Titan Corp. +............................ 2,444,575 --------------- 9,625,425 --------------- AIRLINES - 0.45% 38,000 Alaska Air Group, Inc. +/(1)/............ 1,092,880 144,600 JetBlue Airways Corp. +/(1)/............. 5,272,116 --------------- 6,364,996 --------------- APPAREL & PRODUCTS - 2.22% 139,200 Abercrombie and Fitch Co., Class A +............................... 4,085,520 101,400 American Eagle Outfitters, Inc. +/(1)/... 1,870,830 123,200 Chicos FAS, Inc. +....................... 4,728,416 259,100 Coach, Inc. +............................ 10,322,544 97,100 Payless ShoeSource, Inc. +/(1)/.......... 1,250,648 109,200 Ross Stores, Inc......................... 5,981,976 50,800 Timberland Co., Class A +................ 2,744,216 76,800 Unifi, Inc. +............................ 393,984 --------------- 31,378,134 --------------- APPLIANCES/FURNISHINGS - 0.74% 79,500 Furniture Brands International, Inc./(1)/ 2,090,850 103,900 Herman Miller, Inc....................... 2,706,595 82,600 HON Industries, Inc...................... 3,509,674 51,100 Lancaster Colony Corp.................... 2,133,425 --------------- 10,440,544 --------------- AUTOMOTIVE - 2.17% 97,700 ArvinMeritor, Inc........................ 1,941,299 38,600 Borg-Warner, Inc......................... 3,049,400 43,700 Carlisle Cos., Inc....................... 2,571,745 147,600 Carmax, Inc. +........................... 4,860,468 61,900 Donaldson Co., Inc....................... 3,623,007 95,800 Lear Corp. +............................. 5,665,612 48,700 Modine Manufacturing Co.................. 1,242,337
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------------- AUTOMOTIVE - Continued 109,200 SPX Corp. +......................... $ 5,929,560 38,000 Superior Industries International, Inc./(1)/........... 1,690,240 --------------- 30,573,668 --------------- AUTO - REPLACEMENT PARTS - 0.24% 76,900 O'Reilly Automotive, Inc. +......... 3,346,688 --------------- BANKS - 6.61% 104,900 Associated Banc-Corp................ 4,416,290 83,700 Bank of Hawaii Corp................. 3,460,995 229,800 Banknorth Group, Inc................ 7,530,546 69,100 City National Corp.................. 4,371,266 177,300 Colonial BancGroup, Inc............. 2,962,683 106,800 Commerce Bancorp, Inc./(1)/......... 5,519,424 179,200 Compass Bancshares, Inc............. 7,008,512 110,600 First American Corp., Class A....... 3,273,760 120,500 FirstMerit Corp..................... 3,264,345 74,200 Greater Bay Bancorp/(1)/............ 1,929,200 222,600 Hibernia Corp., Class A............. 5,086,410 170,600 M&T Bank Corp. @.................... 16,014,222 113,300 Mercantile Bankshares Corp.......... 5,036,185 291,700 National Commerce Financial Corp..................... 8,161,766 69,600 Provident Financial Group, Inc./(1)/ 2,154,816 49,300 Silicon Valley Bancshares +/(1)/.... 1,810,789 102,000 TCF Financial Corp.................. 5,379,480 46,700 Westamerica Bancorp................. 2,465,760 94,000 Wilmington Trust Corp............... 3,308,800 --------------- 93,155,249 --------------- BANKS - REGIONAL - 0.21% 73,400 Cullen/Frost Bankers, Inc........... 2,949,212 --------------- BEVERAGES - 0.59% 149,000 Constellation Brands, Inc., Class A +.......................... 5,141,990 205,400 Pepsiamericas, Inc.................. 3,222,726 --------------- 8,364,716 --------------- BROADCASTING - 0.68% 77,500 Emmis Communications Corp., Class A +/(1)/..................... 1,756,150 73,200 Entercom Communications Corp. +..... 3,381,840
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------------- BROADCASTING - Continued 144,300 Westwood One, Inc. +.................... $ 4,380,948 --------------- 9,518,938 --------------- BUILDING MATERIALS - 0.93% 108,200 Fastenal Co./(1)/....................... 5,375,376 69,800 Martin Marietta Materials, Inc./(1)/.... 2,971,386 164,800 RPM International, Inc.................. 2,493,424 56,700 York International Corp................. 2,265,165 --------------- 13,105,351 --------------- CHEMICAL - 1.87% 104,700 Airgas, Inc............................. 2,029,086 58,800 Albemarle Corp./(1)/.................... 1,664,040 88,000 Cabot Corp.............................. 2,560,800 35,100 Cabot Microelectronics Corp. +/(1)/..... 1,863,459 158,600 Crompton Corp........................... 959,530 55,700 Cytec Industries, Inc. +................ 2,019,125 58,100 Ferro Corp./(1)/........................ 1,318,870 50,300 FMC Corp. +............................. 1,505,982 73,400 Lubrizol Corp........................... 2,211,542 247,900 Lyondell Chemical Co./(1)/.............. 3,678,836 28,700 Minerals Technologies, Inc./(1)/........ 1,534,015 83,300 Olin Corp............................... 1,516,893 72,000 Valspar Corp............................ 3,474,000 --------------- 26,336,178 --------------- COAL - 0.33% 75,000 Arch Coal, Inc.......................... 1,986,750 77,200 Peabody Energy Corp..................... 2,601,640 --------------- 4,588,390 --------------- COMMERCIAL SERVICES - 1.10% 68,300 Dycom Industries, Inc. +................ 1,731,405 60,600 Plexus Corp. +.......................... 1,075,650 166,300 Quanta Services, Inc. +/(1)/............ 1,272,195 117,100 Rent-A-Center, Inc. +................... 3,804,579 64,400 Rollins, Inc./(1)/...................... 1,434,832 87,800 Sotheby's Holdings, Inc., Class A +/(1)/ 1,018,480 109,700 United Rentals, Inc. +.................. 2,031,644 126,100 Viad Corp............................... 3,100,799 --------------- 15,469,584 ---------------
-------------------------------------------------------------------------------- MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 50
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------------- CONGLOMERATES - 0.12% 65,900 Trinity Industries, Inc./(1)/.......... $ 1,710,105 --------------- DRUGS - 2.84% 95,200 Barr Laboratories, Inc. +.............. 7,857,808 279,100 IVAX Corp. +........................... 5,986,695 382,650 Mylan Laboratories, Inc. @............. 9,688,698 99,800 Perrigo Co./(1)/....................... 1,505,982 48,200 Pharmaceutical Resources, Inc. +....... 3,498,356 120,800 Sepracor, Inc. +/(1)/.................. 2,993,424 169,700 Sicor, Inc. +.......................... 4,690,508 118,500 Valeant Pharmaceuticals International/(1)/.................... 2,833,335 109,800 Vertex Pharmaceuticals, Inc. +/(1)/.... 959,652 --------------- 40,014,458 --------------- ELECTRONICS/ELECTRICAL EQUIPMENT - 3.12% 47,200 Ametek, Inc............................ 2,232,560 143,700 Arrow Electronics, Inc. +.............. 3,359,706 170,400 Avnet, Inc. +.......................... 3,634,632 84,400 Commscope, Inc. +...................... 1,347,024 120,500 Energizer Holdings, Inc. +............. 4,565,745 109,000 Gentex Corp./(1)/...................... 4,593,260 53,500 Hawaiian Electric Industries, Inc./(1)/ 2,465,815 84,700 Hubbell, Inc., Class B................. 3,726,800 123,200 Kemet Corp. +.......................... 1,626,240 55,200 Newport Corp. +/(1)/................... 940,056 141,000 Polycom, Inc. +........................ 2,794,620 70,200 Silicon Laboratories, Inc. +........... 3,444,714 56,400 Teleflex, Inc.......................... 2,580,864 48,500 Varian, Inc. +......................... 1,967,160 227,700 Vishay Intertechnology, Inc. +/(1)/.... 4,783,977 --------------- 44,063,173 --------------- FERTILIZERS - 0.08% 164,200 IMC Global, Inc........................ 1,193,734 --------------- FINANCIAL SERVICES - 4.42% 113,400 A.G. Edwards, Inc...................... 4,166,316 99,300 American Financial Group, Inc./(1)/.... 2,434,836 222,900 AmeriCredit Corp. +/(1)/............... 2,998,005 516,700 E*TRADE Group, Inc. +.................. 5,595,861 98,600 Eaton Vance Corp./(1)/................. 3,584,110 79,200 IndyMac Bancorp, Inc................... 2,344,320
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------------- FINANCIAL SERVICES - Continued 67,500 Investment Technology Group, Inc. +......................... $ 1,194,750 93,000 Investors Financial Services Corp./(1)/ 3,429,840 84,900 LaBranche & Co., Inc./(1)/............. 702,123 93,800 Legg Mason, Inc........................ 7,476,798 278,450 New York Community Bancorp, Inc.......................... 10,817,783 69,300 Raymond James Financial, Inc........... 2,561,328 416,500 Sovereign Bancorp, Inc................. 9,437,890 118,000 Waddell & Reed Financial, Inc., Class A/(1)/.......................... 2,606,620 65,100 Webster Financial Corp................. 2,984,835 --------------- 62,335,415 --------------- FOODS - 2.21% 220,800 Dean Foods Co. +....................... 7,244,448 197,300 Hormel Foods Corp...................... 5,289,613 63,900 Interstate Bakeries Corp............... 1,006,425 66,900 Sensient Technologies Corp............. 1,261,065 155,600 Smithfield Foods, Inc. +............... 3,648,820 71,300 Smucker, J.M. Co....................... 3,274,809 73,900 Tootsie Roll Industries, Inc........... 2,597,585 499,700 Tyson Foods, Inc., Class A............. 6,820,905 --------------- 31,143,670 --------------- FREIGHT - 1.88% 59,100 Alexander & Baldwin, Inc............... 1,859,286 120,600 CH Robinson Worldwide, Inc............. 4,743,198 70,700 CNF, Inc............................... 2,362,794 67,300 EGL, Inc. +............................ 1,236,301 149,300 Expeditors International of Washington, Inc....................... 5,828,672 70,000 GATX Corp./(1)/........................ 1,701,000 112,900 JB Hunt Transport Services, Inc. +..... 2,953,464 49,600 Overseas Shipholding Group, Inc./(1)/.. 1,396,240 119,000 Swift Transportation Co., Inc. +....... 2,370,480 113,975 Werner Enterprises, Inc................ 2,068,646 --------------- 26,520,081 --------------- GAS & PIPELINE UTILITIES - 0.29% 118,100 Questar Corp........................... 4,029,572 ---------------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- HEALTHCARE - 4.20% 131,200 AdvancePCS +....................... $ 7,302,592 131,100 Apogent Technologies, Inc. +....... 3,032,343 78,000 Apria Healthcare Group, Inc. +/(1)/ 2,114,580 140,500 Community Health Systems, Inc. +/(1)/.............. 3,804,740 87,800 Covance, Inc. +.................... 2,294,214 112,700 Dentsply International, Inc........ 5,074,881 88,300 Edwards Lifesciences Corp. +/(1)/.. 2,659,596 135,300 First Health Group Corp. +......... 2,773,650 140,500 Lincare Holdings, Inc. +........... 4,191,115 144,500 Omnicare, Inc...................... 5,768,440 118,300 Oxford Health Plans, Inc. +/(1)/... 5,183,906 97,200 Patterson Dental Co. +/(1)/........ 6,619,320 98,800 Steris Corp. +..................... 2,285,244 82,600 Universal Health Services, Inc., Class B........................... 4,441,402 68,500 VISX, Inc. +/(1)/.................. 1,676,880 --------------- 59,222,903 --------------- HEAVY DUTY TRUCKS/PARTS - 0.15% 27,700 Bandag, Inc........................ 1,128,775 68,400 Federal Signal Corp................ 1,036,260 --------------- 2,165,035 --------------- HOME BUILDERS - 2.05% 221,700 DR Horton, Inc..................... 9,688,290 42,700 Hovnanian Enterprises, Inc., Class A +/(1)/.................... 3,939,075 112,400 Lennar Corp........................ 11,003,960 104,200 Toll Brothers, Inc. +.............. 4,314,922 --------------- 28,946,247 --------------- HOSPITAL MANAGEMENT - 0.38% 55,300 LifePoint Hospitals, Inc. +/(1)/... 1,651,258 107,300 Triad Hospitals, Inc. +............ 3,712,580 --------------- 5,363,838 --------------- HOSPITAL SUPPLIES - 1.45% 86,900 Beckman Coulter, Inc............... 4,444,935 62,000 Henry Schein, Inc. +............... 4,171,980 88,100 Hillenbrand Industries, Inc........ 5,056,940 97,400 Varian Medical Systems, Inc. +..... 6,721,574 --------------- 20,395,429 ---------------
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NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- HOUSEHOLD PRODUCTS - 0.61% 57,500 Church & Dwight Co., Inc........... $ 2,329,325 136,800 Dial Corp.......................... 3,540,384 45,100 Scotts Co., Class A +/(1)/......... 2,682,999 --------------- 8,552,708 --------------- HUMAN RESOURCES - 0.60% 50,800 Kelly Services, Inc., Class A/(1)/. 1,446,784 53,700 Korn/Ferry International +/(1)/.... 538,611 110,800 Manpower, Inc...................... 5,200,952 145,400 MPS Group, Inc. +.................. 1,337,680 --------------- 8,524,027 --------------- INFORMATION PROCESSING - HARDWARE - 1.87% 66,100 Avocent Corp. +.................... 2,530,969 103,400 Diebold, Inc....................... 5,485,370 50,700 Imation Corp./(1)/................. 1,721,265 252,400 Quantum Corp. +/(1)/............... 797,584 110,900 Sandisk Corp. +/(1)/............... 8,967,374 156,200 Storage Technology Corp. +......... 3,936,240 80,800 Tech Data Corp. +.................. 2,976,672 --------------- 26,415,474 --------------- INFORMATION PROCESSING - SERVICES - 5.40% 525,200 3Com Corp. +....................... 3,928,496 189,500 Affiliated Computer Services, Inc., Class A + @....................... 9,501,530 170,900 BISYS Group, Inc. +................ 2,549,828 387,100 Cadence Design Systems, Inc. +..... 6,476,183 211,300 Ceridian Corp. +................... 4,485,899 94,400 Certegy, Inc....................... 3,266,240 113,000 CheckFree Corp. +/(1)/............. 3,121,060 74,600 CSG Systems International, Inc. +.. 864,614 164,900 DST Systems, Inc. +................ 6,154,068 105,300 Dun & Bradstreet Corp. +........... 5,080,725 68,700 Fair Issac & Co., Inc.............. 3,789,492 181,300 Gartner, Inc., Class A +/(1)/...... 2,342,396 70,900 Internet Security Systems, Inc. +.. 1,203,173 125,300 Jack Henry & Associates, Inc./(1)/. 2,596,216 89,300 Macromedia, Inc. +................. 1,831,543 163,300 Mcdata Corp., Class A +/(1)/....... 1,737,512
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------ INFORMATION PROCESSING - SERVICES - Continued 98,200 Mentor Graphics Corp. +/(1)/......... $ 1,438,630 73,600 National Instruments Corp./(1)/...... 3,331,872 228,800 Networks Associates, Inc. +.......... 3,063,632 97,100 Reynolds and Reynolds Co., Class A............................. 2,693,554 221,500 Synopsys, Inc. +..................... 6,636,140 --------------- 76,092,803 --------------- INFORMATION PROCESSING - SOFTWARE - 1.54% 121,700 Acxiom Corp. +....................... 2,021,437 46,300 Advent Software, Inc. +/(1)/......... 810,713 82,900 Ascential Software Corp. +........... 2,097,370 122,600 ChoicePoint, Inc. +.................. 4,689,450 90,900 Keane, Inc. +/(1)/................... 1,281,690 76,900 Retek, Inc. +/(1)/................... 798,222 83,700 RSA Security, Inc. +/(1)/............ 1,230,390 149,600 SEI Investments Co................... 4,196,280 135,200 Sybase, Inc. +....................... 2,771,600 50,800 Transaction Systems Architects, Inc., Class A +........................... 999,744 120,000 Wind River Systems, Inc. +........... 781,200 --------------- 21,678,096 --------------- INSURANCE - 6.62% 75,700 Allmerica Financial Corp. +.......... 2,070,395 55,700 AmerUs Group Co./(1)/................ 2,002,415 129,100 Arthur J. Gallagher & Co............. 4,040,830 114,800 Astoria Financial Corp............... 4,291,224 97,500 Brown & Brown, Inc./(1)/............. 3,066,375 85,300 Coventry Health Care, Inc. +......... 5,109,470 79,100 Everest Reinsurance Group, Ltd....... 6,501,229 209,600 Fidelity National Financial, Inc..... 7,405,168 195,900 GreenPoint Financial Corp............ 6,656,682 90,800 HCC Insurance Holdings, Inc.......... 2,824,788 165,800 Health Net, Inc. +................... 5,421,660 61,000 Horace Mann Educators Corp........... 824,110 101,000 Leucadia National Corp............... 4,292,500 66,900 Mony Group, Inc./(1)/................ 2,108,688 86,900 Ohio Casualty Corp. +/(1)/........... 1,478,169 172,300 Old Republic International Corp...... 6,385,438
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- INSURANCE - Continued 59,000 PacifiCare Health Systems, Inc., Class A +......................... $ 3,841,490 133,900 PMI Group, Inc..................... 4,985,097 98,300 Protective Life Corp............... 3,229,155 133,500 Radian Group, Inc./(1)/............ 6,588,225 41,500 StanCorp Financial Group, Inc...... 2,596,240 96,300 Unitrin, Inc....................... 3,643,029 118,600 W.R. Berkley Corp.................. 4,050,190 --------------- 93,412,567 --------------- LEISURE AND TOURISM - 3.39% 125,700 Activision, Inc. +................. 1,923,210 79,100 Applebee's International, Inc...... 3,061,961 49,500 Bob Evans Farms, Inc............... 1,527,570 91,300 Boyd Gaming Corp................... 1,493,668 138,500 Brinker International, Inc. +...... 4,509,560 107,800 Callaway Golf Co./(1)/............. 1,771,154 69,400 CBRL Group, Inc.................... 2,862,750 73,400 Cheesecake Factory, Class A +/(1)/. 3,182,624 135,300 Extended Stay America, Inc......... 2,002,440 82,800 GTECH Holdings Corp................ 4,120,128 75,900 International Speedway Corp., Class B........................... 3,262,182 69,500 Macrovision Corp. +................ 1,591,550 84,600 Mandalay Resort Group.............. 3,633,570 106,800 Outback Steakhouse, Inc............ 4,779,300 430,600 Park Place Entertainment Corp. +... 4,504,076 91,300 Ruby Tuesday, Inc.................. 2,658,656 132,100 Six Flags, Inc. +/(1)/............. 891,675 --------------- 47,776,074 --------------- MACHINERY - 1.84% 107,200 AGCO Corp. +....................... 1,843,840 78,800 Flowserve Corp. +.................. 1,676,864 65,300 Graco, Inc......................... 2,517,315 59,200 Granite Construction, Inc./(1)/.... 1,305,360 79,100 Jacobs Engineering Group, Inc. +... 3,633,854 50,500 Kennametal, Inc.................... 1,941,220 48,100 Nordson Corp....................... 1,563,731 70,400 Pentair, Inc....................... 3,069,440 75,500 Precision Castparts Corp........... 3,059,260 26,300 Tecumseh Products Co., Class A/(1)/ 1,082,508
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NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- MACHINERY - Continued 67,300 Zebra Technologies Corp., Class A +........................ $ 4,278,261 --------------- 25,971,653 --------------- MEDICAL - BIOMEDICAL/GENE - 0.61% 426,000 Millennium Pharmaceuticals, Inc. + 6,718,020 133,600 Protein Design Labs, Inc. +/(1)/.. 1,851,696 --------------- 8,569,716 --------------- MEDICAL TECHNOLOGY - 0.29% 65,100 Charles River Laboratories International, Inc. +............ 2,112,495 156,400 Cytyc Corp. +..................... 2,015,996 --------------- 4,128,491 --------------- METALS - 0.22% 31,900 Carpenter Technology Corp......... 854,920 58,100 Harsco Corp....................... 2,304,246 --------------- 3,159,166 --------------- MISCELLANEOUS - 0.12% 77,300 Brinks Co./(1)/................... 1,716,060 --------------- MULTIMEDIA - 0.48% 161,900 Belo Corp......................... 4,599,579 33,300 Media General, Inc., Class A/(1)/. 2,227,437 --------------- 6,827,016 --------------- OIL AND GAS - 5.82% 78,100 Cooper Cameron Corp. +............ 3,390,321 213,700 ENSCO International, Inc.......... 5,406,610 88,700 Equitable Resources, Inc.......... 3,654,440 94,100 FMC Technologies, Inc. +.......... 2,002,448 75,900 Forest Oil Corp. +................ 1,901,295 173,200 Grant Prideco, Inc. +............. 2,017,780 103,900 Hanover Compressor Co. +/(1)/..... 989,128 71,500 Helmerich & Payne, Inc./(1)/...... 1,723,150 131,000 Murphy Oil Corp................... 7,850,830 80,500 Noble Energy, Inc................. 3,191,825 135,000 ONEOK, Inc./(1)/.................. 2,674,350 115,400 Patterson-UTI Energy, Inc. +...... 3,315,442 168,000 Pioneer Natural Resources Co. +... 4,764,480 90,600 Pogo Producing Co................. 3,945,630
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- OIL AND GAS - Continued 192,700 Pride International, Inc. +...... $ 3,073,565 142,700 Smith International, Inc. +...... 5,356,958 86,400 Tidewater, Inc................... 2,385,504 163,100 Valero Energy Corp............... 7,029,610 139,000 Varco International, Inc. +...... 2,570,110 187,200 Weatherford International, Ltd. + 6,136,416 47,300 Western Gas Resources, Inc./(1)/. 2,095,390 262,000 XTO Energy, Inc.................. 6,623,360 --------------- 82,098,642 --------------- PAPER/FOREST PRODUCTS - 1.10% 79,000 Bowater, Inc..................... 3,231,100 62,400 Glatfelter....................... 747,552 72,800 Longview Fibre Co./(1)/.......... 798,616 148,700 Packaging Corp. of America +..... 2,930,877 40,900 Potlatch Corp./(1)/.............. 1,319,025 70,863 Rayonier, Inc.................... 2,627,600 138,100 Sonoco Products Co............... 2,955,340 73,500 Wausau-Mosinee Paper Corp........ 904,050 --------------- 15,514,160 --------------- POLLUTION CONTROL - 0.62% 229,100 Republic Services, Inc., Class A. 5,830,595 59,800 Stericycle, Inc. +............... 2,954,120 --------------- 8,784,715 --------------- PUBLISHING - 1.49% 36,300 Banta Corp....................... 1,444,740 63,500 Lee Enterprises, Inc............. 2,731,770 141,100 Readers Digest Assoc., Inc., Class A......................... 2,017,730 56,000 Scholastic Corp. +/(1)/.......... 1,858,080 74,200 Valassis Communications, Inc. +.. 2,018,240 13,600 Washington Post Co., Class B @... 10,926,920 --------------- 20,997,480 --------------- REAL ESTATE INVESTMENT TRUSTS - 1.64% 116,500 AMB Property Corp................ 3,665,090 75,700 Highwoods Properties, Inc........ 1,857,678 89,300 Hospitality Properties Trust..... 3,531,815 113,000 Liberty Property Trust........... 4,274,790 82,900 Mack-Cali Realty Corp............ 3,307,710
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - Continued 138,900 New Plan Excel Realty Trust, Inc... $ 3,396,105 171,200 United Dominion Realty Trust, Inc.. 3,158,640 --------------- 23,191,828 --------------- RETAIL - 4.73% 101,700 99 Cents Only Stores +/(1)/........ 2,818,107 92,200 Barnes & Noble, Inc. +............. 3,059,196 98,900 BJ's Wholesale Club, Inc. +........ 2,517,005 65,500 Blyth, Inc......................... 1,968,275 110,200 Borders Group, Inc. +.............. 2,477,296 118,000 CDW Corp........................... 7,050,500 69,700 Claire's Stores, Inc............... 3,234,080 128,000 Copart, Inc. +..................... 1,536,000 163,100 Dollar Tree Stores, Inc. +......... 5,178,425 83,100 Krispy Kreme Doughnuts, Inc. +/(1)/ 3,437,847 53,300 Longs Drug Stores Corp./(1)/....... 1,305,850 95,000 Michaels Stores, Inc............... 4,488,750 67,900 Neiman Marcus Group, Inc., Class A +......................... 3,659,810 201,800 PETsMART, Inc...................... 4,875,488 127,800 Pier 1 Imports, Inc................ 3,258,900 65,900 Ruddick Corp....................... 1,113,710 203,700 Saks, Inc. +....................... 3,132,906 84,700 Whole Foods Market, Inc. +......... 5,563,943 165,900 Williams-Sonoma, Inc. +............ 5,979,036 --------------- 66,655,124 --------------- SAVINGS & LOAN - 0.41% 77,900 Independence Community Bank Corp......................... 2,880,742 99,400 Washington Federal, Inc............ 2,834,888 --------------- 5,715,630 --------------- SCHOOLS - 1.37% 141,400 Career Education Corp. +........... 7,229,782 62,400 Corinthian Colleges, Inc. +........ 3,989,232 99,700 DeVry, Inc. +/(1)/................. 2,730,783 50,900 Education Management Corp. +/(1)/.. 3,440,840 61,500 Sylvan Learning Systems, Inc. +.... 1,990,755 --------------- 19,381,392 ---------------
-------------------------------------------------------------------------------- MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 53
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------- SEMICONDUCTORS - 4.01% 668,600 Atmel Corp. +......................... $ 4,499,678 90,000 Credence Systems Corp. +.............. 1,166,400 104,600 Cree, Inc. +/(1)/..................... 1,921,502 168,700 Cypress Semiconductor Corp. +/(1)/.... 3,775,506 167,300 Fairchild Semiconductor International, Inc., Class A +...................... 4,349,800 99,200 Integrated Circuit Systems, Inc. +.... 2,951,200 148,500 Integrated Device Technology, Inc. +............................... 2,799,225 91,500 International Rectifier Corp. +....... 4,997,730 197,100 Intersil Corp., Class A............... 5,205,411 180,900 Lam Research Corp. +.................. 5,788,800 160,400 Lattice Semiconductor Corp. +/(1)/.... 1,518,988 70,600 LTX Corp. +/(1)/...................... 1,177,608 131,700 Micrel, Inc. +/(1)/................... 2,252,070 292,200 Microchip Technology, Inc............. 10,051,680 104,700 Semtech Corp. +....................... 2,544,210 191,400 Triquint Semiconductor, Inc. +........ 1,546,512 --------------- 56,546,320 --------------- TELECOMMUNICATIONS - 1.32% 55,000 Adtran, Inc........................... 3,620,100 122,200 Advanced Fibre Communications, Inc. +............................... 2,731,170 348,300 Cincinnati Bell, Inc. +............... 1,988,793 94,600 Harris Corp........................... 3,667,642 62,500 Plantronics, Inc. +................... 1,915,000 90,000 Powerwave Technologies, Inc. +/(1)/... 670,500 77,300 Price Communications Corp. +.......... 993,305 262,800 RF Micro Devices, Inc. +/(1)/......... 3,061,620 --------------- 18,648,130 --------------- TEXTILE - PRODUCTS - 0.48% 94,600 Mohawk Industries, Inc. +............. 6,818,768 --------------- THERAPEUTICS - 1.20% 287,200 Gilead Sciences, Inc. + @............. 16,852,896 --------------- TOBACCO - 0.11% 35,400 Universal Corp........................ 1,512,288 --------------- UTILITIES - COMMUNICATION - 0.36% 81,800 Telephone and Data Systems, Inc....... 5,128,860 ---------------
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- UTILITIES - ELECTRIC - 4.50% 123,300 Allete, Inc....................... $ 3,670,641 157,400 Alliant Energy Corp./(1)/......... 3,848,430 45,800 Black Hills Corp.................. 1,477,508 180,500 DPL, Inc./(1)/.................... 3,490,870 107,000 Duquesne Light Holdings, Inc./(1)/ 1,847,890 207,900 Energy East Corp.................. 4,783,779 98,700 Great Plains Energy, Inc./(1)/.... 3,131,751 54,500 Idacorp, Inc./(1)/................ 1,602,300 161,550 MDU Resources Group, Inc.......... 3,825,504 190,500 Northeast Utilities............... 3,800,475 75,700 NStar............................. 3,607,105 121,600 OGE Energy Corp................... 2,896,512 243,700 Pepco Holdings, Inc./(1)/......... 4,474,332 57,400 PNM Resources, Inc................ 1,607,774 134,100 Puget Energy, Inc................. 3,117,825 158,100 Scana Corp........................ 5,308,998 167,100 Sierra Pacific Resources +/(1)/... 1,158,003 103,000 Weststar Energy, Inc.............. 2,045,580 167,100 Wisconsin Energy Corp............. 5,464,170 50,800 WPS Resources Corp./(1)/.......... 2,250,440 --------------- 63,409,887 --------------- UTILITIES - GAS, DISTRIBUTION - 0.66% 90,900 AGL Resources, Inc................ 2,581,560 121,100 National-Oilwell, Inc. +.......... 2,329,964 106,400 Vectren Corp...................... 2,555,728 69,300 WGL Holdings, Inc................. 1,852,389 --------------- 9,319,641 --------------- UTILITIES - GAS, PIPELINE - 0.26% 278,200 Aquila, Inc. +/(1)/............... 995,956 116,000 National Fuel Gas Co.............. 2,679,600 --------------- 3,675,556 --------------- WATER SERVICES - 0.19% 99,500 Philadelphia Suburban Corp./(1)/.. 2,694,460 --------------- TOTAL COMMON STOCK................ (Cost $1,214,301,342)............. 1,356,228,045 ---------------
PAR MARKET VALUE VALUE ------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 13.28% COLLECTIVE INVESTMENT POOL - 12.04% $169,801,885 Securities Lending Quality Trust/(2)/ $ 169,801,885 -------------- COMMERCIAL PAPER - 1.06% 10,000,000 Merck & Co., Inc.: 1.00% due 12/2/03 @................ 9,999,722 5,000,000 UBS Finance, Inc.: 1.04% due 12/1/03 @................ 5,000,000 -------------- 14,999,722 -------------- U.S. TREASURY BILLS - 0.18% United States Treasury Bills: 705,000 0.90% due 12/11/03 @............... 704,825 305,000 0.83% due 12/4/03 @................ 304,979 570,000 0.89% due 1/8/04 @................. 569,464 910,000 0.89% due 1/15/04 @................ 908,989 -------------- 2,488,257 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $187,289,864).................. 187,289,864 -------------- REPURCHASE AGREEMENT - 2.48% 34,973,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $34,975,710 and collateralized by Federal Home Loan Bank Disc. Notes, zero coupon, due 1/21/04 and having an approximate value of $36,025,880 (Cost $34,973,000) @................ 34,973,000 -------------- TOTAL INVESTMENTS (Cost $1,436,564,206) - 111.92% 1,578,490,909 Other assets and liabilities, net - (11.92)%...................... (168,102,275) -------------- NET ASSETS - 100%.................... $1,410,388,634 --------------
-------------------------------------------------------------------------------- MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 54 +Non-income producing. @The security or a portion thereof represents collateral for open futures contracts. /(1)/The security or a portion thereof is out on loan (see Note 2). /(2)/The security is purchased with the cash collateral received from securities loaned (see Note 2). OPEN FUTURES CONTRACTS
------------------------------------------------------------------------ Value as of Number of Expiration Value at November 30, Unrealized Contracts Description Date Trade Day 2003 Appreciation ------------------------------------------------------------------------ 177 Long. MID CAP INDEX December 2003 47,784,027 50,183,925 $2,399,898 ----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 55 November 30, 2003 MONEY MARKET FUND - SCHEDULE OF INVESTMENTS (Unaudited)
PAR MARKET VALUE VALUE ------------------------------------------------------------- COMMERCIAL PAPER - 62.17% $ 5,000,000 Amstel Funding Corp.: 1.08% due 12/15/03................ $ 4,997,958 10,000,000 Apreco, Inc. (LOC-Citibank): 1.05% due 12/10/03................ 9,997,375 10,000,000 Apreco, Inc.: 1.05% due 12/1/03................. 10,000,000 Barton Capital Corp. (LOC-SocGen): 10,000,000 1.09% due 1/21/04................. 9,984,558 10,000,000 1.05% due 12/8/03................. 9,997,959 10,000,000 Bear Stearns Cos., Inc.: 1.08% due 1/12/04................. 9,987,400 10,000,000 Beta Finance, Inc.: 1.06% due 2/23/04*/(1)/........... 10,000,000 10,000,000 Citigroup, Inc.: 1.06% due 1/16/04................. 9,986,456 10,000,000 CRC Funding, LLC: 1.03% due 12/8/03................. 9,997,997 5,000,000 CXC, Inc.: 1.05% due 12/8/03................. 4,998,979 10,000,000 Dorada Finance, Inc.: 1.06% due 12/16/03*/(1)/.......... 10,000,000 General Electric Capital Corp.: 5,000,000 1.24% due 12/1/03/(1)/............ 5,003,574 5,000,000 1.09% due 1/9/04.................. 4,994,096 10,000,000 General Electric Co.: 1.00% due 12/3/03................. 9,999,444 Giro Funding United States Corp.: 10,000,000 1.05% due 12/1/03................. 10,000,000 10,000,000 1.09% due 12/4/03................. 9,999,125 10,000,000 Govco, Inc.: 1.10% due 1/12/04................. 9,987,167 10,000,000 Govco, Inc., Yrs. 3 & 4: 1.04% due 12/18/03................ 9,995,089 Greyhawk Fund Corp.: 10,000,000 1.11% due 1/22/04................. 9,983,967 10,000,000 1.10% due 1/29/04................. 9,981,972 10,000,000 Kittyhawk Funding Corp. (LOC-Bank of America): 1.04% due 12/5/03................. 9,998,844 5,000,000 Receivables Capital Co. (LOC-Bank of America): 1.04% due 12/15/03................ 4,997,978 10,000,000 Receivables Capital Corp.: 1.03% due 12/19/03................ 9,994,850
PAR MARKET VALUE VALUE -------------------------------------------------------------------- COMMERCIAL PAPER - Continued $10,000,000 Sheffield Receivables Corp. (LOC-Barclays): 1.08% due 1/9/04......................... $ 9,988,300 5,000,000 Sigma Finance, Inc.: 1.07% due 12/3/03........................ 4,999,916 10,000,000 Surrey Funding Corp. (LOC-Barclays): 1.09% due 1/9/04......................... 9,988,191 1.09% due 1/12/04........................ 9,987,167 5,000,000 Sydney Capital, Inc.: 1.06% due 12/16/03....................... 4,997,792 10,000,000 Wal-Mart Stores, Inc.: 1.01% due 12/2/03........................ 9,999,720 5,000,000 Wells Fargo Bank NA: 1.04% due 12/1/03/(1)/................... 5,000,000 1.04% due 12/18/03....................... 5,000,000 1.04% due 12/19/03....................... 10,000,000 5,000,000 White Pine Finance, LLC: 1.08% due 12/1/03*/(1)/.................. 5,000,000 Windmill Funding Corp. (LOC-ABN AMRO): 10,000,000 1.04% due 12/3/03........................ 9,999,422 10,000,000 1.08% due 1/23/04........................ 9,984,100 ------------ TOTAL COMMERCIAL PAPER (Cost $299,829,396)........................ 299,829,396 ------------ GOVERNMENT AGENCIES - 34.55% 5,000,000 Federal Farm Credit Bks.: 1.00% due 7/2/04......................... 4,998,977 Federal Home Loan Bank: 5,000,000 1.20% due 8/20/04........................ 5,000,000 10,000,000 1.02% due 7/16/04........................ 10,000,000 Federal Home Loan Bank Cons. Disc. Notes: 9,884,000 1.00% due 12/3/03........................ 9,883,451 12,000,000 1.00% due 12/5/03........................ 11,998,666 Federal Home Loan Mtg. Corp.: 5,000,000 1.50% due 11/16/04....................... 5,000,000 10,000,000 1.35% due 10/19/04....................... 10,000,000 Federal National Mtg. Assoc.: 5,000,000 1.53% due 9/24/04........................ 5,000,000 5,000,000 1.50% due 12/20/04....................... 5,000,000 5,000,000 1.30% due 8/30/04........................ 5,000,000 5,000,000 1.20% due 8/17/04........................ 5,000,000 5,000,000 1.08% due 7/23/04........................ 5,000,000 5,000,000 1.00% due 9/10/04/(1)/................... 5,000,000
PAR MARKET VALUE VALUE -------------------------------------------------------------------- GOVERNMENT AGENCIES - Continued Federal National Mtg. Assoc. Disc. Notes: $10,000,000 1.30% due 8/20/04........................ $ 9,905,028 10,000,000 1.21% due 6/25/04........................ 9,930,425 20,000,000 1.14% due 4/14/04........................ 19,914,875 10,000,000 1.05% due 1/15/04........................ 9,986,875 10,000,000 1.00% due 12/5/03........................ 9,998,889 20,000,000 1.00% due 12/8/03........................ 19,996,111 ------------ TOTAL GOVERNMENT AGENCIES (Cost $166,613,297)...................... 166,613,297 ------------ REPURCHASE AGREEMENTS - 4.68% 2,546,000 State Street Bank Joint Repurchase Agreement (see Note 2) (Cost $2,546,000)......................... 2,546,000 20,000,000 United Bank of Switzerland Joint Repurchase Agreement (see Note 2) (Cost $20,000,000)........................ 20,000,000 ------------ 22,546,000 ------------ TOTAL INVESTMENTS (Cost $488,988,693) - 101.40%.............. 488,988,693 Other assets and liabilities, net - (1.40)% (6,730,345) ------------ NET ASSETS - 100%.......................... $482,258,348 ------------ *Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2003, the aggregate value of these securities was $25,000,000 representing 5.18% of net assets. LOC- Letter of Credit. /(1)/Security is a "floating rate" bond where the coupon rate fluctuates. The rate reflected is as of November 30, 2003.
Allocation of investments as a percentage of net assets by industry category as of November 30, 2003: Asset Backed/Receivables.............................. 13.47% Asset Backed/Securities............................... 22.79% Commercial Banks...................................... 0.53% Diversified Financial Services........................ 2.07% Domestic Banks........................................ 4.15% Finance............................................... 6.22% Investment Banks/Brokerage............................ 2.07% Money Center Banks.................................... 4.15% Multi-Asset........................................... 9.33% Retail Discount....................................... 2.07% Government Agencies................................... 34.55% ------------ 101.40% ------------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- NASDAQ 100 INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 56
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ COMMON STOCK - 79.39% ADVERTISING - 0.21% 5,440 Lamar Advertising Co., Class A +. $ 191,488 ------------ AIRLINES - 0.20% 3,970 Ryanair Holdings, PLC ADR +/(1)/. 185,955 ------------ APPAREL & PRODUCTS - 0.29% 4,920 Ross Stores, Inc................. 269,518 ------------ BROADCASTING - 2.09% 61,990 Comcast Corp., Class A +......... 1,945,246 ------------ BUILDING MATERIALS - 0.25% 4,740 Fastenal Co./(1)/................ 235,483 ------------ CHEMICAL - 0.48% 3,080 Invitrogen Corp. +............... 209,963 4,440 Sigma-Aldrich Corp./(1)/......... 237,851 ------------ 447,814 ------------ COMMERCIAL SERVICES - 1.64% 13,370 Cintas Corp...................... 624,914 23,340 Paychex, Inc..................... 897,890 ------------ 1,522,804 ------------ DRUGS - 0.98% 3,320 Cephalon, Inc. +/(1)/............ 156,007 12,600 Teva Pharmaceutical Industries, Ltd. ADR............ 758,972 ------------ 914,979 ------------ ELECTRONICS/ELECTRICAL EQUIPMENT - 2.78% 12,940 American Power Conversion Corp... 282,868 12,760 Comverse Technology, Inc. +...... 245,375 37,010 Flextronics International, Ltd. + 593,270 5,190 Gentex Corp...................... 218,707 104,700 JDS Uniphase Corp. +............. 360,168 6,420 Molex, Inc....................... 206,467 11,330 NVIDIA Corp. +/(1)/.............. 239,629 35,540 Sanmina-SCI Corp. +.............. 433,233 ------------ 2,579,717 ------------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- FREIGHT - 0.51% 5,460 CH Robinson Worldwide, Inc..... $ 214,742 6,710 Expeditors International of Washington, Inc............... 261,958 ------------ 476,700 ------------ HEALTHCARE - 0.89% 4,950 Dentsply International, Inc.... 222,899 6,430 First Health Group Corp. +..... 131,815 6,200 Lincare Holdings, Inc. +....... 184,946 4,270 Patterson Dental Co. +/(1)/.... 290,787 ------------ 830,447 ------------ HEAVY DUTY TRUCKS/PARTS - 0.74% 8,530 PACCAR, Inc.................... 684,191 ------------ HOSPITAL SUPPLIES - 1.06% 22,530 Biomet, Inc.................... 805,898 2,640 Henry Schein, Inc. +........... 177,646 ------------ 983,544 ------------ INFORMATION PROCESSING - HARDWARE - 4.44% 33,000 Apple Computer, Inc. +......... 690,360 61,680 Dell, Inc. +................... 2,127,960 23,330 Network Appliance, Inc. +...... 539,156 4,650 Sandisk Corp. +................ 375,999 91,700 Sun Microsystems, Inc. +....... 391,559 ------------ 4,125,034 ------------ INFORMATION PROCESSING - SERVICES - 7.78% 14,920 Adobe Systems, Inc............. 616,494 17,110 Brocade Communications Systems, Inc. +............... 104,200 15,860 Check Point Software Technologies, Ltd. +.......... 280,088 31,260 eBay, Inc. +................... 1,745,871 15,800 Fiserv, Inc. +................. 592,500 49,280 InterActiveCorp +/(1)/......... 1,618,848 7,870 Monster Worldwide, Inc. +...... 189,352 20,720 Symantec Corp. +............... 680,238 9,280 Synopsys, Inc. +............... 278,029
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- INFORMATION PROCESSING - SERVICES - Continued 14,800 VeriSign, Inc. +.................. $ 239,908 20,490 Yahoo!, Inc. +.................... 880,660 ----------- 7,226,188 ----------- INFORMATION PROCESSING - SOFTWARE - 13.27% 24,290 BEA Systems, Inc. +............... 308,483 12,760 Citrix Systems, Inc. +............ 306,495 15,410 Compuware Corp. +................. 88,145 16,870 Intuit, Inc. +.................... 848,224 6,160 Mercury Interactive Corp. +....... 288,288 242,930 Microsoft Corp. @................. 6,243,301 142,150 Oracle Corp. +.................... 1,707,221 33,580 PeopleSoft, Inc. +................ 710,217 3,580 Pixar, Inc. +/(1)/................ 250,994 37,770 Siebel Systems, Inc. +............ 497,809 28,530 VERITAS Software Corp. +.......... 1,084,739 ----------- 12,333,916 ----------- LEISURE AND TOURISM - 2.15% 19,420 Electronic Arts, Inc. +........... 858,947 35,490 Starbucks Corp. +................. 1,138,164 ----------- 1,997,111 ----------- MEDICAL - BIOMEDICAL/GENE - 5.48% 39,270 Amgen, Inc. + @................... 2,258,418 24,818 Biogen, Inc. +.................... 947,551 18,170 Genzyme Corp. +................... 849,266 8,390 Human Genome Sciences, Inc. +..... 107,392 3,960 ICOS Corp. +...................... 178,992 17,450 MedImmune, Inc. +................. 415,310 21,380 Millennium Pharmaceuticals, Inc. + 337,162 ----------- 5,094,091 ----------- MEDICAL TECHNOLOGY - 0.98% 17,030 Chiron Corp. +.................... 913,149 ----------- OIL AND GAS - 0.17% 5,450 Patterson-UTI Energy, Inc. +...... 156,579 ----------- PAPER/FOREST PRODUCTS - 0.28% 15,720 Smurfit-Stone Container Corp. +... 257,179 -----------
-------------------------------------------------------------------------------- NASDAQ 100 INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 57
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- RETAIL - 4.85% 17,290 Amazon.Com, Inc. +.................. $ 934,697 25,950 Bed Bath & Beyond, Inc. +........... 1,096,128 5,620 CDW Corp............................ 335,795 15,720 Costco Wholesale Corp. +............ 563,090 7,180 Dollar Tree Stores, Inc. +.......... 227,965 4,580 Express Scripts, Inc., Class A +.... 296,463 9,150 PETsMART, Inc....................... 221,064 21,490 Staples, Inc. +..................... 583,454 3,830 Whole Foods Market, Inc. +.......... 251,593 ----------- 4,510,249 ----------- SCHOOLS - 0.86% 11,600 Apollo Group, Inc., Class A +....... 800,748 ----------- SEMICONDUCTORS - 14.65% 35,110 Altera Corp. +...................... 889,336 56,140 Applied Materials, Inc. +........... 1,364,202 13,510 Broadcom Corp., Class A +........... 492,169 148,790 Intel Corp. @....................... 4,974,050 15,050 KLA-Tencor Corp. +.................. 882,081 27,310 Linear Technology Corp.............. 1,178,153 29,700 Maxim Integrated Products, Inc...... 1,546,776 11,120 Microchip Technology, Inc........... 382,528 10,070 Novellus Systems, Inc. +............ 440,663 6,270 QLogic Corp. +...................... 356,324 29,510 Xilinx, Inc. +...................... 1,109,281 ----------- 13,615,563 ----------- TELECOMMUNICATIONS - 11.54% 65,610 ADC Telecommunications, Inc. +...... 161,401 36,320 Ciena Corp. +....................... 257,146 162,160 Cisco Systems, Inc. + @............. 3,674,546 16,560 EchoStar Communications Corp., Class A +.......................... 570,989 16,450 Juniper Networks, Inc. +/(1)/....... 310,411 89,120 Nextel Communications, Inc., Class A +.......................... 2,257,410 13,200 PanAmSat Corp. +.................... 291,588 62,480 QUALCOMM, Inc. @.................... 2,783,484 13,690 RF Micro Devices, Inc. +/(1)/....... 159,488 8,400 Telefonaktiebolaget LM Ericsson ADR, Class B +/(1)/..................... 136,416 15,360 Tellabs, Inc. +..................... 122,880 ----------- 10,725,759 -----------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- THERAPEUTICS - 0.82% 12,940 Gilead Sciences, Inc. +.............. $ 759,319 ----------- TOTAL COMMON STOCK (Cost $70,925,984)................... 73,782,771 ----------- PAR VALUE ------------- SHORT-TERM INVESTMENTS - 12.02% COLLECTIVE INVESTMENT POOL - 2.29% $2,127,506 Securities Lending Quality Trust/(2)/ 2,127,506 ----------- COMMERCIAL PAPER - 7.53% 4,000,000 UBS Finance, Inc.: 1.04% due 12/1/03 @.................. 4,000,000 3,000,000 USAA Capital Corp.: 1.00% due 12/5/03 @.................. 2,999,667 ----------- 6,999,667 ----------- U.S. TREASURY BILLS - 2.20% United States Treasury Bills: 475,000 0.90% due 12/11/03 @................. 474,881 115,000 0.90% due 1/8/04 @................... 114,891 45,000 0.90% due 1/15/04 @.................. 44,949 320,000 0.89% due 12/11/03 @................. 319,921 650,000 0.89% due 1/8/04 @................... 649,389 90,000 0.89% due 1/15/04 @.................. 89,900 10,000 0.88% due 12/11/03 @................. 9,997 255,000 0.88% due 12/18/03 @................. 254,894 35,000 0.87% due 1/15/04 @.................. 34,962 50,000 0.86% due 12/18/03 @................. 49,980 ----------- 2,043,764 ----------- TOTAL SHORT-TERM INVESTMENTS (Cost $11,170,937)................... 11,170,937 -----------
PAR VALUE MARKET ------------- VALUE -------------------------------------------------------------------------- REPURCHASE AGREEMENT - 10.51% $9,765,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $9,765,757 and collateralized by Federal Home Loan Mortgage Corp. Notes, bearing interest at 6.63%, due 9/15/09 and having an approximate value of $9,964,750 (Cost $9,765,000) @............... $ 9,765,000 ----------- TOTAL INVESTMENTS (Cost $91,861,921) - 101.92%.................. 94,718,708 Other assets and liabilities, net - (1.92)% (1,787,155) ----------- NET ASSETS - 100%............................. $92,931,553 ----------- + Non-income producing @ The security or a portion thereof represents collateral for open futures contracts. ADR -American Depository Receipt /(1)/ The security or a portion thereof is out on loan (see Note 2). /(2)/ The security is purchased with the cash collateral received from securities loaned.
OPEN FUTURES CONTRACTS
---------------------------------------------------------------------- Value as of Number of Expiration Value at November 30, Unrealized Contracts Description Date Trade Date 2003 Appreciation ---------------------------------------------------------------------- 132 Long. NASDAQ December 100 INDEX 2003 $18,302,994 $18,810,000 $507,006 --------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- SCIENCE & TECHNOLOGY FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 58
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- COMMON STOCK - 97.68% BROADCASTING - 2.28% 435,700 Clear Channel Communications, Inc.. $ 18,216,617 371,500 Comcast Corp., Class A Special +... 11,200,725 104,300 Univision Communications, Inc., Class A +/(1)/.................... 3,763,144 ------------- 33,180,486 ------------- CHEMICAL - 0.16% 44,800 Cabot Microelectronics Corp. +/(1)/ 2,378,432 ------------- COMMERCIAL SERVICES - 2.00% 665,600 Accenture, Ltd., Class A +......... 16,573,440 326,200 Paychex, Inc....................... 12,548,914 ------------- 29,122,354 ------------- DRUGS - 2.30% 224,600 Bristol-Myers Squibb Co............ 5,918,210 150,100 Cephalon, Inc. +/(1)/.............. 7,053,199 60,100 Eli Lilly & Co..................... 4,120,456 208,100 Forest Laboratories, Inc. +........ 11,370,584 150,000 Pfizer, Inc........................ 5,032,500 ------------- 33,494,949 ------------- ELECTRONICS/ELECTRICAL EQUIPMENT - 1.03% 603,600 Flextronics International, Ltd. +.. 9,675,708 439,700 Sanmina-SCI Corp. +................ 5,359,943 ------------- 15,035,651 ------------- HOSPITAL SUPPLIES - 0.76% 223,600 Johnson & Johnson.................. 11,021,244 ------------- INFORMATION PROCESSING - HARDWARE - 9.40% 1,788,700 Dell, Inc. +....................... 61,710,150 1,192,100 Hewlett-Packard Co................. 25,856,649 247,300 International Business Machines Corp..................... 22,390,542 221,300 Lexmark International, Inc., Class A +......................... 17,128,620 162,100 Network Appliance, Inc. +.......... 3,746,131 305,500 Seagate Technology/(1)/............ 6,033,625 ------------- 136,865,717 -------------
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- INFORMATION PROCESSING - SERVICES - 16.31% 741,400 Adobe Systems, Inc.............. $ 30,634,648 978,700 Cadence Design Systems, Inc. +.. 16,373,651 390,400 Certegy, Inc.................... 13,507,840 192,700 DST Systems, Inc. +............. 7,191,564 237,000 eBay, Inc. +.................... 13,236,450 809,800 First Data Corp................. 30,650,930 730,600 Fiserv, Inc. +.................. 27,397,500 297,600 InterActiveCorp +............... 9,776,160 1,034,700 Networks Associates, Inc. +/(1)/ 13,854,633 376,800 SunGard Data Systems, Inc. +.... 10,181,136 388,800 Symantec Corp. +................ 12,764,304 447,600 Synopsys, Inc. +................ 13,410,096 1,194,300 VeriSign, Inc. +/(1)/........... 19,359,603 444,200 Yahoo!, Inc. +.................. 19,091,716 -------------- 237,430,231 -------------- INFORMATION PROCESSING - SOFTWARE - 23.72% 533,600 BMC Software, Inc. +............ 8,873,768 650,400 Informatica Corp. +/(1)/........ 7,336,512 712,200 Intuit, Inc. +.................. 35,809,416 889,900 Mercury Interactive Corp. +/(1)/ 41,647,320 5,118,000 Microsoft Corp.................. 131,532,600 2,383,900 Oracle Corp. +.................. 28,630,639 961,600 Red Hat, Inc. +/(1)/............ 12,770,048 89,200 SAP AG.......................... 13,719,669 178,500 SAP AG ADR...................... 6,881,175 1,483,900 Siebel Systems, Inc. +.......... 19,557,802 1,011,000 VERITAS Software Corp. +........ 38,439,231 -------------- 345,198,180 -------------- LEISURE AND TOURISM - 0.85% 147,800 Electronic Arts, Inc. +......... 6,537,194 167,200 International Game Technology... 5,800,168 -------------- 12,337,362 -------------- MACHINERY - 0.06% 30,400 Cognex Corp..................... 835,088 --------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------ MEDICAL - BIOMEDICAL/GENE - 1.15% 119,300 Biogen, Inc. +/(1)/.................... $ 4,554,874 44,100 Genentech, Inc. +...................... 3,717,630 354,400 MedImmune, Inc. +...................... 8,434,720 ------------ 16,707,224 ------------ MULTIMEDIA - 2.63% 1,339,300 Time Warner, Inc. +.................... 21,803,804 419,500 Viacom, Inc., Class B.................. 16,494,740 ------------ 38,298,544 ------------ RETAIL - 0.31% 74,400 CDW Corp./(1)/......................... 4,445,400 ------------ SEMICONDUCTORS - 22.63% 1,163,400 Agere Systems, Inc., Class A +/(1)/.... 4,118,436 268,300 Altera Corp. +......................... 6,796,039 893,700 Analog Devices, Inc. +................. 44,461,575 1,413,200 Applied Materials, Inc. +.............. 34,340,760 300,100 ASML Holding NV +/(1)/................. 5,647,882 521,300 Intel Corp............................. 17,427,059 299,000 Intersil Corp., Class A................ 7,896,590 356,300 KLA-Tencor Corp. +..................... 20,882,743 209,100 Linear Technology Corp................. 9,020,574 892,900 Maxim Integrated Products, Inc......... 46,502,232 667,600 Microchip Technology, Inc.............. 22,965,440 536,200 Novellus Systems, Inc. +............... 23,464,112 372,800 QLogic Corp. +/(1)/.................... 21,186,224 1,247,968 Taiwan Semiconductor Manufacturing Co., Ltd. ADR +....................... 13,565,412 967,400 Texas Instruments, Inc................. 28,789,824 593,200 Xilinx, Inc. +......................... 22,298,388 ------------ 329,363,290 ------------ TELECOMMUNICATIONS - 11.46% 209,900 Advanced Fibre Communications, Inc. +................ 4,691,265 591,600 Ciena Corp. +.......................... 4,188,528 3,261,100 Cisco Systems, Inc. +.................. 73,896,526 409,900 Crown Castle International Corp. +/(1)/ 5,086,859 148,000 EchoStar Communications Corp., Class A +............................. 5,103,040 1,339,100 Nokia Corp. ADR........................ 24,077,018
-------------------------------------------------------------------------------- SCIENCE & TECHNOLOGY FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 59
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------- TELECOMMUNICATIONS - Continued 2,688,900 Nortel Networks Corp. +............... $ 12,126,939 520,700 QUALCOMM, Inc./(1)/................... 23,197,185 619,800 Vodafone Group, PLC ADR/(1)/.......... 14,472,330 -------------- 166,839,690 -------------- THERAPEUTICS - 0.37% 90,600 Gilead Sciences, Inc. +............... 5,316,408 -------------- UTILITIES - COMMUNICATION - 0.26% 58,900 NTL, Inc. +/(1)/...................... 3,837,924 -------------- TOTAL COMMON STOCK (Cost $1,192,481,844)................. 1,421,708,174 -------------- PAR VALUE ----------- SHORT-TERM INVESTMENTS - 7.97% COLLECTIVE INVESTMENT POOL - 5.95% $86,726,110 Securities Lending Quality Trust/(2)/. 86,726,110 -------------- REGISTERED INVESTMENT COMPANIES - 2.02% 29,344,340 T. Rowe Price Reserve Investment Fund................................. 29,344,340 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $116,070,450)................... 116,070,450 -------------- TOTAL INVESTMENTS (Cost $1,308,552,294) - 105.65%....... 1,537,778,624 Other assets and liabilities, net - (5.65)%........................ (82,288,383) -------------- NET ASSETS - 100%..................... $1,455,490,241 -------------- +Non-income producing ADR- American Depository Receipt /(1)/The security or a portion thereof is out on loan (see Note 2). /(2)/The security is purchased with the cash collateral received from securities loaned.
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- November 30, 2003 60 SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited)
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- COMMON STOCK - 97.40% ADVERTISING - 0.43% 63,775 Getty Images, Inc. +................. $ 2,767,835 ------------- AEROSPACE/DEFENSE - 0.51% 105,600 Armor Holdings, Inc. +............... 2,560,800 49,375 Sensytech, Inc. +/(1)/............... 718,406 ------------- 3,279,206 ------------- AIRLINES - 0.18% 58,000 Frontier Airlines, Inc. +............ 938,440 50,800 Midwest Express Holdings, Inc. +/(1)/ 210,820 ------------- 1,149,260 ------------- APPAREL & PRODUCTS - 1.63% 87,100 AnnTaylor Stores Corp. +............. 3,461,354 57,900 Christopher & Banks Corp............. 1,566,195 56,450 Columbia Sportswear Co. +............ 3,345,792 90,000 Stride Rite Corp..................... 1,041,300 36,900 Too, Inc. +/(1)/..................... 673,425 79,800 Unifi, Inc. +........................ 409,374 ------------- 10,497,440 ------------- APPLIANCES/FURNISHINGS - 0.94% 2,600 CompX International, Inc., Class A... 16,406 128,250 Furniture Brands International, Inc.. 3,372,975 101,600 Herman Miller, Inc................... 2,646,680 ------------- 6,036,061 ------------- AUTOMOTIVE - 0.87% 116,200 AO Smith Corp........................ 4,083,268 59,800 Keystone Automotive Industries, Inc. +/(1)/............. 1,457,326 1,300 Strattec Security Corp. +............ 77,350 ------------- 5,617,944 ------------- AUTO - REPLACEMENT PARTS - 0.94% 74,125 Advance Auto Parts, Inc. +........... 6,050,083 ------------- BANKS - 2.71% 36,000 Boston Private Financial Holdings, Inc....................... 933,480 92,900 Citizens Banking Corp./(1)/.......... 2,928,208 2,970 Glacier Bancorp, Inc................. 94,060 72,600 Provident Bankshares Corp............ 2,109,756 118,850 Southwest Bancorp of Texas, Inc./(1)/ 4,543,635 103,031 Valley National Bancorp.............. 3,060,021
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- BANKS - Continued 71,700 Westamerica Bancorp.................. $ 3,785,760 ------------- 17,454,920 ------------- BEVERAGES - 0.59% 63,100 Constellation Brands, Inc., Class A + 2,177,581 62,000 Cott Corp. +......................... 1,613,860 ------------- 3,791,441 ------------- BROADCASTING - 1.04% 208,300 Cumulus Media, Inc., Class A +....... 3,978,530 46,800 Emmis Communications Corp., Class A +........................... 1,060,488 16,500 Entercom Communications Corp. +...... 762,300 22,800 Sinclair Broadcast Group, Inc., Class A +/(1)/...................... 261,516 32,500 Young Broadcasting, Inc., Class A +.. 645,125 ------------- 6,707,959 ------------- BUILDING MATERIALS - 1.31% 61,850 Fastenal Co./(1)/.................... 3,072,708 5,187 LSI Industries, Inc.................. 64,578 101,200 Mathews International Corp., Class A. 2,881,164 65,775 Trex Co., Inc. +/(1)/................ 2,430,386 ------------- 8,448,836 ------------- CHEMICAL - 2.38% 169,700 Airgas, Inc.......................... 3,288,786 85,900 Arch Chemicals, Inc.................. 1,966,251 38,100 Cabot Microelectronics Corp. +/(1)/.. 2,022,729 74,200 Ferro Corp........................... 1,684,340 16,800 MacDermid, Inc....................... 551,040 66,500 Minerals Technologies, Inc........... 3,554,425 13,800 Symyx Technologies, Inc. +........... 275,310 42,010 Valspar Corp......................... 2,026,983 ------------- 15,369,864 ------------- COMMERCIAL SERVICES - 3.98% 107,600 Central Parking Corp./(1)/........... 1,501,020 61,900 Electro Rent Corp. +................. 860,410 11,800 First Advantage Corp., Class A +/(1)/ 228,566 102,350 Iron Mountain, Inc. +................ 3,766,480 86,175 Kroll, Inc. +........................ 2,063,891 119,275 LECG Corp. +......................... 2,564,413 74,600 Maximus, Inc. +/(1)/................. 2,827,340
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- COMMERCIAL SERVICES - Continued 243,750 Pacer International, Inc. +............ $ 5,101,687 131,300 Plexus Corp. +/(1)/.................... 2,330,575 122,200 SFBC International, Inc. +/(1)/........ 3,146,650 52,900 Sourcecorp, Inc. +..................... 1,293,934 ------------- 25,684,966 ------------- DRUGS - 4.24% 50,325 Angiotech Pharmaceuticals, Inc. +...... 2,479,513 13,200 Atherogenics, Inc. +/(1)/.............. 188,760 25,800 Cephalon, Inc. +/(1)/.................. 1,212,342 35,100 Cubist Pharmaceuticals, Inc. +/(1)/.... 435,942 16,100 Eon Labs, Inc. +/(1)/.................. 853,783 202,100 Impax Laboratories, Inc. +/(1)/........ 2,849,610 66,037 K-V Pharmaceutical Co., Class A +/(1)/. 1,723,566 77,330 Medicis Pharmaceutical Corp., Class A............................... 5,094,500 10,200 OSI Pharmaceuticals, Inc. +/(1)/....... 303,246 26,725 Pharmaceutical Resources, Inc. +....... 1,939,700 145,974 Sicor, Inc. +.......................... 4,034,721 53,900 Taro Pharmaceutical Industries, Ltd., Class A +/(1)/........................ 3,715,866 80,250 Valeant Pharmaceuticals International.. 1,918,778 63,311 Vertex Pharmaceuticals, Inc. +......... 553,338 18,100 ViroPharma, Inc. +/(1)/................ 50,318 ------------- 27,353,983 ------------- ELECTRONICS/ELECTRICAL EQUIPMENT - 7.12% 30,200 American Superconductor Corp. +/(1)/... 318,912 69,000 Ametek, Inc............................ 3,263,700 24,200 Analogic Corp.......................... 1,016,400 96,400 Artesyn Technologies, Inc. +/(1)/...... 760,596 142,400 Belden, Inc............................ 2,805,280 83,150 FEI Co. +/(1)/......................... 1,996,431 70,525 Fisher Scientific International, Inc. + 2,840,042 88,750 Flir Systems, Inc. +................... 3,058,325 292,450 Graftech International, Ltd. +......... 3,462,608 53,800 Harman International Industries, Inc... 7,331,326 138,800 Kemet Corp. +.......................... 1,832,160 83,500 Littelfuse, Inc. +..................... 2,487,465 13,400 Magma Design Automation, Inc. +/(1)/... 315,302 105,200 Methode Electronics, Inc., Class A..... 1,349,716 47,000 Newport Corp. +/(1)/................... 800,410 141,300 Paxar Corp. +.......................... 1,858,095
-------------------------------------------------------------------------------- 61 November 30, 2003 SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - Continued 120,950 Polycom, Inc. +........................... $ 2,397,229 141,425 Sonic Solutions +/(1)/.................... 2,668,690 45,500 Technitrol, Inc. +........................ 1,082,445 42,495 TTM Technologies, Inc. +.................. 718,166 36,000 Wilson Greatbatch Technologies, Inc. +/(1)/................ 1,508,400 100,700 Woodhead Industries, Inc.................. 1,709,886 6,400 Woodward Governor Co...................... 319,232 ------------ 45,900,816 ------------ FERTILIZERS - 0.22% 199,200 IMC Global, Inc........................... 1,448,184 ------------ FINANCE COMPANIES - 0.65% 123,000 Chittenden Corp........................... 4,199,220 ------------ FINANCIAL SERVICES - 0.39% 51,600 Investors Financial Services Corp./(1)/... 1,903,008 23,800 National Financial Partners Corp. +/(1)/.. 602,140 ------------ 2,505,148 ------------ FOODS - 0.98% 19,600 American Italian Pasta Co., Class A +/(1)/ 744,800 10,100 International Multifoods Corp. +.......... 180,083 59,400 Performance Food Group Co. +/(1)/......... 2,335,014 12,500 Seneca Foods Corp., Class A +............. 250,000 25,000 Seneca Foods Corp., Class B +............. 482,500 39,625 United Natural Foods, Inc. +.............. 1,521,204 70,900 Wild Oats Markets, Inc. +/(1)/............ 804,006 ------------ 6,317,607 ------------ FREIGHT - 2.32% 9,500 EGL, Inc. +............................... 174,515 20,700 Expeditors International of Washington, Inc.......................... 808,128 118,050 Forward Air Corp. +....................... 3,357,342 18,316 Heartland Express, Inc.................... 444,529 900 International Shipholding Corp. +......... 12,150 72,475 JB Hunt Transport Services, Inc. +........ 1,895,946 85,700 Knight Transportation, Inc. +............. 2,076,511 118,725 Overnite Corp. +.......................... 2,653,504 56,800 Ryder System, Inc......................... 1,771,592 97,388 Werner Enterprises, Inc................... 1,767,592 ------------ 14,961,809 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ HEALTHCARE - 3.61% 217,825 Alaris Medical, Inc. +............... $ 3,465,596 48,000 Edwards Lifesciences Corp. +......... 1,445,760 16,600 Epix Medical, Inc. +................. 299,298 155,800 Hooper Holmes, Inc................... 955,054 48,100 Mid Atlantic Medical Services, Inc. + 2,953,340 128,048 Odyssey Healthcare, Inc. +........... 4,559,789 42,900 Omnicare, Inc........................ 1,712,568 2,200 Renal Care Group, Inc. +............. 88,792 60,975 Resmed, Inc. +/(1)/.................. 2,378,025 125,880 Sola International, Inc. +........... 2,467,248 70,600 Steris Corp. +....................... 1,632,978 54,025 VISX, Inc. +......................... 1,322,532 ------------ 23,280,980 ------------ HOSPITAL MANAGEMENT - 0.88% 6,800 LifePoint Hospitals, Inc. +.......... 203,048 152,950 Select Medical Corp.................. 5,483,258 ------------ 5,686,306 ------------ HOSPITAL SUPPLIES - 1.88% 103,500 Advanced Neuromodulation Systems, Inc. +/(1)/................ 4,366,665 115,430 Henry Schein, Inc. +................. 7,767,285 ------------ 12,133,950 ------------ HOUSEHOLD PRODUCTS - 1.00% 17,900 Chattem, Inc. +/(1)/................. 286,758 145,300 Dial Corp............................ 3,760,364 17,100 Jarden Corp. +/(1)/.................. 462,555 32,900 Scotts Co., Class A +................ 1,957,221 ------------ 6,466,898 ------------ HUMAN RESOURCES - 0.72% 15,100 Cross Country Healthcare, Inc. +/(1)/ 224,990 39,200 Kforce, Inc. +/(1)/.................. 331,240 182,800 MPS Group, Inc. +.................... 1,681,760 78,600 Resources Connection, Inc. +......... 2,152,068 26,600 Spherion Corp. +..................... 237,804 ------------ 4,627,862 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ INFORMATION PROCESSING - HARDWARE - 1.13% 151,400 Avocent Corp. +...................... $ 5,797,106 40,600 Mercury Computer Systems, Inc. +..... 972,370 40,100 Synaptics, Inc. +.................... 548,167 ------------ 7,317,643 ------------ INFORMATION PROCESSING - SERVICES - 5.57% 205,375 Aeroflex, Inc. +..................... 2,606,209 74,700 BISYS Group, Inc. +.................. 1,114,524 52,500 Black Box Corp./(1)/................. 2,296,875 57,200 CACI International, Inc., Class A +.. 2,846,844 71,425 Cadence Design Systems, Inc. +....... 1,194,940 15,200 Catapult Communications Corp. +...... 229,824 139,700 Ciber, Inc. +........................ 1,272,667 62,400 Factset Research Systems, Inc./(1)/.. 2,586,480 66,400 FileNET Corp. +...................... 1,739,016 70,700 Internet Security Systems, Inc. +.... 1,199,779 48,650 j2 Global Communications, Inc. +/(1)/ 1,382,633 162,100 Jack Henry & Associates, Inc......... 3,358,712 117,150 Kronos, Inc. +....................... 4,588,765 43,175 Manhattan Associates, Inc. +/(1)/.... 1,313,815 135,700 MatrixOne, Inc. +.................... 807,415 45,350 Netscreen Technologies, Inc. +....... 1,142,820 117,575 RadiSys Corp. +...................... 2,163,380 149,500 Riverstone Networks, Inc. +/(1)/..... 164,450 94,620 Secure Computing Corp. +/(1)/........ 1,422,139 28,500 SonicWALL, Inc. +/(1)/............... 227,715 62,227 United Online, Inc. +/(1)/........... 1,133,154 21,700 Verisity, Ltd. +/(1)/................ 278,194 31,100 Websense, Inc. +/(1)/................ 842,499 ------------ 35,912,849 ------------ INFORMATION PROCESSING - SOFTWARE - 3.86% 53,900 Actuate Corp. +/(1)/................. 169,785 82,925 Altiris, Inc. +/(1)/................. 2,557,407 41,000 Ansys, Inc. +/(1)/................... 1,582,190 35,700 Autodesk, Inc........................ 828,954 29,900 Concord Communications, Inc. +....... 661,986 94,225 Concur Technologies, Inc. +.......... 937,539 59,000 Global Payments, Inc................. 2,678,600 50,050 Hyperion Solutions Corp. +........... 1,660,659 377,925 Lionbridge Technologies, Inc. +/(1)/. 4,081,590
-------------------------------------------------------------------------------- November 30, 2003 62 SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- INFORMATION PROCESSING - SOFTWARE - Continued 74,875 Mantech International Corp., Class A +/(1)/..................... $ 1,920,544 20,800 Mercury Interactive Corp. +......... 973,440 59,500 Netegrity, Inc. +/(1)/.............. 728,875 40,900 NetIQ Corp. +....................... 490,391 33,600 Packeteer, Inc. +................... 637,358 62,067 Progress Software Corp. +........... 1,300,924 35,400 Quest Software, Inc. +/(1)/......... 525,690 33,200 Red Hat, Inc. +..................... 440,896 17,200 RSA Security, Inc. +/(1)/........... 252,840 45,500 SPSS, Inc. +........................ 881,335 54,353 Verity, Inc. +...................... 780,509 11,000 WebEx Communications, Inc. +/(1)/... 217,360 89,000 Wind River Systems, Inc. +.......... 579,390 ------------ 24,888,262 ------------ INSURANCE - 3.96% 70,925 AMERIGROUP Corp. +/(1)/............. 3,114,317 53,700 Brown & Brown, Inc.................. 1,688,865 42,300 Harleysville Group, Inc............. 829,080 147,300 Horace Mann Educators Corp.......... 1,990,023 8,400 Markel Corp. +...................... 2,160,900 152,300 Ohio Casualty Corp. +/(1)/.......... 2,590,623 53,500 PartnerRe, Ltd...................... 2,981,020 125,125 Platinum Underwriters Holdings, Ltd./(1)/................ 3,775,021 63,000 Selective Insurance Group, Inc./(1)/ 2,041,830 24,100 Triad Guaranty, Inc. +/(1)/......... 1,124,265 65,475 W.R. Berkley Corp................... 2,235,971 29,100 WellChoice, Inc. +.................. 990,273 ------------ 25,522,188 ------------ LEISURE AND TOURISM - 8.97% 60,200 Alloy, Inc. +/(1)/.................. 323,876 34,950 Applebee's International, Inc....... 1,352,915 84,700 Brunswick Corp...................... 2,545,235 27,600 CEC Entertainment, Inc. +........... 1,387,728 57,500 Cheesecake Factory, Class A +....... 2,493,200 21,400 Chicago Pizza & Brewery, Inc. +/(1)/ 304,522 122,200 Choice Hotels International, Inc. +. 4,319,770 203,905 Fairmont Hotels & Resorts, Inc...... 5,617,583 81,850 Hollywood Entertainment Corp. +..... 1,118,071 239,900 Macrovision Corp. +................. 5,493,710
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- LEISURE AND TOURISM - Continued 192,475 Marvel Enterprises, Inc. +/(1)/....... $ 5,535,581 66,500 Polaris Industries, Inc./(1)/......... 5,730,305 135,337 Rare Hospitality International, Inc. + 3,383,425 77,275 Red Robin Gourmet Burgers, Inc. +/(1)/ 2,080,243 201,085 Ruby Tuesday, Inc..................... 5,855,595 115,674 SCP Pool Corp. +...................... 4,143,443 65,150 Sonic Corp. +......................... 2,011,180 123,575 UTI Worldwide, Inc./(1)/.............. 4,139,762 ------------ 57,836,144 ------------ MACHINERY - 2.90% 165,700 Actuant Corp., Class A +.............. 5,144,985 38,675 CARBO Ceramics, Inc................... 1,689,711 9,600 Cuno, Inc. +.......................... 409,056 43,000 Graco, Inc............................ 1,657,650 18,200 IDEX Corp............................. 718,536 81,300 Insituform Technologies, Inc., Class A +/(1)/....................... 1,223,565 71,100 Ionics, Inc. +/(1)/................... 2,285,865 43,650 Jacobs Engineering Group, Inc. +...... 2,005,281 23,800 Joy Global, Inc. +.................... 499,800 75,400 Layne Christensen Co. +............... 784,160 54,300 Lindsay Manufacturing Co./(1)/........ 1,323,291 61,975 Wabtec Corp........................... 969,909 ------------ 18,711,809 ------------ MEDICAL - BIOMEDICAL/GENE - 0.20% 7,200 Alexion Pharmaceuticals, Inc. +/(1)/.. 135,000 32,900 Decode Genetics, Inc. +............... 275,373 60,800 Exelixis, Inc. +...................... 409,184 27,600 Myriad Genetics, Inc. +/(1)/.......... 326,232 11,500 Regeneron Pharmaceuticals, Inc. +/(1)/ 148,120 ------------ 1,293,909 ------------ MEDICAL TECHNOLOGY - 1.58% 77,700 Alkermes, Inc. +/(1)/................. 1,016,316 207,475 Andrx Corp. +......................... 4,556,151 20,300 DJ Orthopedics, Inc. +................ 526,785 18,700 Incyte Genomics, Inc. +............... 113,135 46,670 Integra LifeSciences Corp. +/(1)/..... 1,464,971 34,000 Lifeline Systems, Inc. +/(1)/......... 1,190,000 12,300 Nektar Therapeutics +/(1)/............ 162,114
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- MEDICAL TECHNOLOGY - Continued 76,800 Noven Pharmaceuticals, Inc. +..... $ 1,054,464 8,100 Thoratec Corp. +/(1)/............. 114,129 ------------ 10,198,065 ------------ MERCHANDISING - SPECIALTY - 0.36% 69,060 Petco Animal Supplies, Inc. +..... 2,310,748 ------------ METALS - 0.85% 17,900 Gibraltar Steel Corp.............. 436,402 85,900 Harsco Corp....................... 3,406,794 52,100 Lihir Gold, Ltd................... 59,233 48,700 Material Sciences Corp. +......... 462,163 20,100 NN, Inc........................... 233,562 19,200 Reliance Steel & Aluminum Co...... 566,016 16,200 Steel Dynamics, Inc. +............ 324,324 ------------ 5,488,494 ------------ MISCELLANEOUS - 0.19% 81,800 Meridian Gold Incorporated +...... 1,205,732 ------------ MOBILE HOMES - 0.04% 5,100 Winnebago Industries, Inc./(1)/... 281,877 ------------ OIL AND GAS - 3.76% 39,200 Atwood Oceanics, Inc. +/(1)/...... 1,007,048 6,400 Cooper Cameron Corp. +............ 277,824 115,600 FMC Technologies, Inc. +.......... 2,459,968 70,400 Forest Oil Corp. +................ 1,763,520 176,100 Grant Prideco, Inc. +............. 2,051,565 24,600 Hydril Co. +/(1)/................. 587,202 45,200 Key Energy Services, Inc. +....... 411,772 24,400 Lone Star Technologies, Inc. +.... 337,940 58,000 Noble Energy, Inc................. 2,299,700 53,400 Pioneer Natural Resources Co. +... 1,514,424 68,125 Pride International, Inc. +....... 1,086,594 78,450 Quicksilver Resources, Inc. +/(1)/ 2,362,129 61,500 Seacor Smit, Inc. +............... 2,345,610 18,100 Smith International, Inc. +....... 679,474 250,850 Superior Energy Services, Inc. +.. 2,127,208 54,000 Tom Brown, Inc. +................. 1,509,840 43,200 Ultra Petroleum Corp. +........... 823,392 38,400 W-H Energy Services, Inc. +....... 572,160 ------------ 24,217,370 ------------
-------------------------------------------------------------------------------- SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 63
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- PAPER/FOREST PRODUCTS - 0.26% 106,300 Buckeye Technologies, Inc. +...... $ 1,085,323 19,500 Constar International, Inc. +..... 99,450 7,100 Potlatch Corp./(1)/............... 228,975 14,300 Smurfit-Stone Container Corp. +... 233,948 ------------ 1,647,696 ------------ POLLUTION CONTROL - 1.56% 80,365 Stericycle, Inc. +................ 3,970,031 128,274 Tetra Tech, Inc. +................ 3,270,987 77,005 Waste Connections, Inc. +......... 2,849,185 ------------ 10,090,203 ------------ PUBLISHING - 1.04% 61,400 Consolidated Graphics, Inc. +..... 1,845,070 68,300 New England Business Service, Inc. 2,049,000 84,115 Scholastic Corp. +................ 2,790,936 ------------ 6,685,006 ------------ REAL ESTATE INVESTMENT TRUSTS - 1.85% 57,700 Arden Realty, Inc................. 1,685,994 62,800 EastGroup Properties, Inc......... 1,956,220 7,400 Essex Property Trust, Inc......... 473,230 60,600 Gables Residential Trust.......... 1,957,380 56,700 Glenborough Realty Trust, Inc..... 1,114,155 44,100 Lasalle Hotel Properties.......... 801,738 25,500 Manufactured Home Communities, Inc................. 991,950 4,000 Parkway Properties, Inc........... 171,920 20,100 Reckson Associates Realty Corp.... 482,400 73,900 Washington Real Estate Investment Trust................. 2,267,252 ------------ 11,902,239 ------------ RETAIL - 4.89% 188,000 Casey's General Stores, Inc....... 3,284,360 80,945 Cost Plus, Inc. +................. 3,785,798 20,600 Finish Line, Inc., Class A +...... 630,566 107,600 Great Atlantic & Pacific Tea Co., Inc. +/(1)/............. 817,760 100,500 Guitar Center, Inc. +/(1)/........ 2,921,535 152,530 Insight Enterprises, Inc. +....... 2,852,311 37,925 Krispy Kreme Doughnuts, Inc. +.... 1,568,957 76,725 Leapfrog Enterprises, Inc. +/(1)/. 2,409,165
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- RETAIL - Continued 51,400 Linens 'N Things, Inc. +............ $ 1,511,674 22,200 MarineMax, Inc. +................... 421,800 115,550 Movie Gallery, Inc. +/(1)/.......... 2,044,079 50,100 Neiman Marcus Group, Inc., Class A + 2,700,390 43,175 Tractor Supply Co. +/(1)/........... 1,879,839 73,600 Tuesday Morning Corp. +............. 2,352,256 27,400 Ultimate Electronics, Inc. +/(1)/... 226,050 32,300 United Stationers, Inc. +........... 1,303,305 12,350 Whole Foods Market, Inc. +.......... 811,272 ------------ 31,521,117 ------------ RETIREMENT/AGED CARE - 0.07% 14,000 Sunrise Assisted Living, Inc. +/(1)/ 483,280 ------------ SAVINGS & LOAN - 0.01% 4,600 Frankfort First Bancorp, Inc........ 94,300 ------------ SCHOOLS - 1.05% 27,375 Corinthian Colleges, Inc. +......... 1,750,084 55,300 Education Management Corp. +........ 3,738,280 11,350 Strayer Education, Inc.............. 1,268,135 ------------ 6,756,499 ------------ SEMICONDUCTORS - 5.85% 120,200 Actel Corp. +....................... 3,294,682 22,000 Amis Holdings, Inc. +............... 408,320 200 Applied Micro Circuits Corp. +...... 1,292 154,600 Artisan Components, Inc. +/(1)/..... 3,195,427 77,400 ATMI, Inc. +/(1)/................... 1,780,200 126,700 Brooks Automation, Inc. +........... 3,078,810 25,600 Emulux Corp. +...................... 755,200 348,575 Entegris, Inc. +.................... 4,475,703 81,100 Exar Corp. +........................ 1,572,529 155,800 Fairchild Semiconductor International, Inc., Class A +..... 4,050,800 13,800 Lattice Semiconductor Corp. +....... 130,686 10,000 Microsemi Corp. +................... 242,300 104,600 MKS Instruments, Inc. +............. 2,898,466 109,900 Mykrolis Corp. +.................... 1,740,816 19,025 Omnivision Technologies, Inc. +/(1)/ 1,239,669 254,950 Semtech Corp. +..................... 6,195,285 78,575 Sigmatel, Inc. +.................... 2,124,668 28,400 Tessera Technologies, Inc. +........ 518,300 ------------ 37,703,153 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- TELECOMMUNICATIONS - 2.76% 88,500 Harris Corp........................... $ 3,431,145 102,950 KVH Industries, Inc. +/(1)/........... 3,247,043 30,300 PECO II, Inc. +....................... 36,663 193,475 Powerwave Technologies, Inc. +/(1)/... 1,441,389 270,000 PTEK Holdings, Inc. +/(1)/............ 2,354,400 29,025 SafeNet, Inc. +/(1)/.................. 964,791 44,100 Spectrasite, Inc. +................... 1,547,910 730,125 Stratex Networks, Inc. +.............. 2,599,245 6,207 Stratos Lightwave, Inc. +/(1)/........ 46,490 32,500 Tekelec +............................. 542,750 34,400 West Corp. +.......................... 815,280 40,100 Western Wireless Corp., Class A +/(1)/ 748,667 ------------ 17,775,773 ------------ TEXTILE - PRODUCTS - 0.28% 1,700 Culp, Inc. +/(1)/..................... 19,142 6,800 Dan River, Inc., Class A +/(1)/....... 5,236 50,100 G&K Services, Inc., Class A........... 1,814,622 ------------ 1,839,000 ------------ THERAPEUTICS - 1.25% 11,500 Abgenix, Inc. +/(1)/.................. 129,605 30,800 Amylin Pharmaceuticals, Inc. +/(1)/... 806,036 8,700 CV Therapeutics, Inc. +/(1)/.......... 156,339 27,000 Medicines Co. +....................... 738,990 64,500 MGI Pharma, Inc. +/(1)/............... 2,474,865 34,400 Neurocrine Biosciences, Inc. +........ 1,817,352 25,700 NPS Pharmaceuticals, Inc. +/(1)/...... 775,626 4,800 Onyx Pharmaceuticals, Inc. +.......... 138,144 22,500 Trimeris, Inc. +/(1)/................. 513,675 32,200 Tularik, Inc. +/(1)/.................. 482,356 ------------ 8,032,988 ------------ UTILITIES - COMMUNICATION - 0.12% 20,400 Commonwealth Telephone Enterprises, Inc. +/(1)/............. 767,448 ------------ UTILITIES - ELECTRIC - 0.37% 52,400 Cleco Corp............................ 931,672 53,200 El Paso Electric Co. +................ 675,640 33,100 UniSource Energy Corp................. 811,943 ------------ 2,419,255 ------------
-------------------------------------------------------------------------------- SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 64
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------------- UTILITIES - GAS, DISTRIBUTION - 1.15% 385,325 National-Oilwell, Inc. +...................... $ 7,413,653 ------------ WATER SERVICES - 0.00% 3,200 Waterlink, Inc. +............................. 160 ------------ TOTAL COMMON STOCK (Cost $528,887,509)........................... 628,055,438 ------------ PAR VALUE ------------- SHORT-TERM INVESTMENTS - 18.03% COLLECTIVE INVESTMENT POOL - 15.14 $97,638,894 Securities Lending Quality Trust/(2)/......... 97,638,894 ------------ REGISTERED INVESTMENT COMPANIES - 0.58% 3,742,480 T. Rowe Price Reserve Investment Fund......... 3,742,480 ------------ COMMERCIAL PAPER - 2.31% 8,119,000 Cafco, LLC: 1.04% due 12/1/03........................... 8,119,000 1,290,000 Morgan Stanley 1.04% due 12/1/03........................... 1,290,000 5,500,000 Transamerica Finance Corp. Yrs 1+2: 0.99% due 12/1/03........................... 5,500,000 ------------ 14,909,000 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $116,290,374)........................... 116,290,374 ------------ TOTAL INVESTMENTS (Cost $645,177,883) - 115.43%................. 744,345,812 Other assets and liabilities, net - (15.43)%............................... (99,520,761) ------------ NET ASSETS - 100%............................. $644,825,051 ------------ + Non-income producing /(1)/ The security or a portion thereof is out on loan (see Note 2). /(2)/ The security is purchased with the cash collateral received from securities loaned.
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 65
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------------- COMMON STOCK - 85.96% ADVERTISING - 0.34% 11,989 ADVO, Inc.................................... $ 362,188 12,039 APAC Customer Services, Inc. +............... 33,830 15,388 Catalina Marketing Corp. +................... 285,140 2,856 Cross Media Marketing Corp. +................ 3 353 Grey Global Group, Inc....................... 238,363 7,950 R.H. Donnelley Corp. +....................... 319,987 6,775 ValueVision Media, Inc., Class A +/(1)/...... 105,012 ------------- 1,344,523 ------------- AEROSPACE/DEFENSE - 1.03% 12,776 AAR Corp. +.................................. 133,637 8,169 Armor Holdings, Inc. +....................... 198,098 3,311 Curtiss-Wright Corp.......................... 271,204 9,772 DRS Technologies, Inc. +..................... 258,958 2,674 Ducommun, Inc. +............................. 59,550 6,207 EDO Corp..................................... 129,106 6,936 Engineered Support Systems, Inc.............. 367,608 8,355 Esterline Technologies Corp. +............... 193,669 4,495 Fairchild Corp., Class A +................... 22,924 12,581 Gencorp, Inc................................. 125,936 5,261 Heico Corp./(1)/............................. 97,171 4,351 Herley Industries, Inc. +/(1)/............... 84,061 8,773 Kaman Corp., Class A......................... 112,909 6,103 Moog, Inc., Class A +........................ 265,480 2,303 MTC Technologies, Inc. +..................... 68,975 24,379 Northwest Airlines Corp., Class A +/(1)/..... 322,047 18,486 Orbital Sciences Corp., Class A +/(1)/....... 169,517 1,422 Sequa Corp., Class A +....................... 67,900 12,907 Teledyne Technologies, Inc. +................ 221,742 31,855 Titan Corp. +................................ 680,104 5,730 Triumph Group, Inc. +........................ 186,741 4,121 United Industrial Corp....................... 70,263 ------------- 4,107,600 ------------- AIRLINES - 0.85% 26,475 Airtran Holdings, Inc. +/(1)/................ 390,771 9,436 Alaska Air Group, Inc. +..................... 271,379 11,943 America West Holdings Corp., Class B +/(1)/.............................. 180,339 62,742 AMR Corp. +/(1)/............................. 804,980 16,677 Atlantic Coast Airlines Holdings, Inc. +/(1)/ 182,280 270 Atlas Air Worldwide Holdings, Inc. +/(1)/.... 181 26,373 Continental Airlines, Inc., Class B +/(1)/... 491,856
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------- AIRLINES - Continued 12,066 ExpressJet Holdings, Inc. +................ $ 189,557 11,897 Frontier Airlines, Inc. +.................. 192,494 3,815 MAIR Holdings, Inc. +...................... 29,032 10,574 Mesa Air Group, Inc. +/(1)/................ 127,417 4,472 Old Dominion Freight Lines, Inc. +......... 142,523 23,125 SkyWest, Inc............................... 398,906 ------------- 3,401,715 ------------- APPAREL & PRODUCTS - 2.24% 7,645 Aeropostale, Inc. +........................ 238,448 20,951 American Eagle Outfitters, Inc. +.......... 386,546 17,892 AnnTaylor Stores Corp. +@.................. 711,028 1,883 Bebe Stores, Inc. +/(1)/................... 53,308 2,653 Blair Corp................................. 66,325 7,126 Brown Shoe Co., Inc........................ 248,911 3,007 Buckle, Inc................................ 65,793 12,117 Casual Male Retail Group, Inc. +/(1)/...... 104,206 6,693 Cato Corp., Class A........................ 139,750 4,549 Charlotte Russe Holding, Inc. +............ 68,462 40,882 Charming Shoppes, Inc. +................... 254,695 2,473 Cherokee, Inc./(1)/........................ 55,519 5,027 Children's Place Retail Stores, Inc. +/(1)/ 144,124 14,106 Christopher & Banks Corp................... 381,567 8,106 DHB Industries, Inc. +/(1)/................ 60,957 7,620 Dress Barn, Inc. +......................... 111,557 7,683 Footstar, Inc. +/(1)/...................... 38,645 8,723 Genesco, Inc. +/(1)/....................... 141,313 7,379 Goody's Family Clothing, Inc............... 78,365 3,028 Guess ?, Inc. +............................ 42,998 11,793 Gymboree Corp. +........................... 200,599 800 Hampshire Group, Ltd. +.................... 24,824 18,907 Hot Topic, Inc. +/(1)/..................... 563,429 6,895 J. Jill Group, Inc. +/(1)/................. 87,842 4,834 K-Swiss, Inc., Class A..................... 235,464 10,531 Kellwood Co................................ 402,705 2,268 Kenneth Cole Productions, Inc., Class A/(1)/.............................. 67,813 5,549 Maxwell Shoe Co., Class A +................ 97,607 9,939 Oakley, Inc................................ 130,201 3,155 OshKosh B'Gosh, Inc., Class A.............. 68,148 2,313 Oxford Industries, Inc./(1)/............... 157,932 28,350 Pacific Sunwear of California, Inc. +@..... 645,246 27,269 Payless ShoeSource, Inc. +................. 351,225 1,468 Perry Ellis International, Inc. +/(1)/..... 35,615
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- APPAREL & PRODUCTS - Continued 10,000 Phillips-Van Heusen Corp............. $ 176,000 21,769 Quiksilver, Inc. +................... 391,407 10,557 Russell Corp......................... 194,143 2,904 Shoe Carnival, Inc. +/(1)/........... 52,504 7,457 Skechers U.S.A., Inc., Class A +/(1)/ 55,406 5,885 Stage Stores, Inc. +/(1)/............ 181,552 8,122 Stein Mart, Inc. +................... 72,367 4,007 Steven Madden, Ltd. +................ 85,670 14,767 Stride Rite Corp..................... 170,854 13,698 Too, Inc. +.......................... 249,988 16,370 Unifi, Inc. +........................ 83,978 7,220 Vans, Inc. +/(1)/.................... 92,416 13,882 Warnaco Group, Inc. +................ 214,199 8,948 Wet Seal, Inc. +/(1)/................ 91,896 1,125 Weyco Group, Inc..................... 36,563 16,003 Wolverine World Wide, Inc............ 332,702 ------------- 8,942,812 ------------- APPLIANCES/FURNISHINGS - 0.23% 2,196 American Woodmark Corp./(1)/......... 114,192 7,674 Applica, Inc......................... 56,020 4,035 Bassett Furniture Industries, Inc.... 66,174 6,616 Emerson Radio Corp. +................ 23,222 9,010 Griffon Corp. +...................... 175,875 6,342 Haverty Furniture Cos., Inc.......... 135,465 1,220 Hooker Furniture Corp................ 51,228 17,453 Interface, Inc., Class A +........... 99,308 8,828 Kimball International, Inc., Class B. 130,831 1,971 Stanley Furniture Co., Inc........... 62,895 ------------- 915,210 ------------- AUTOMOTIVE - 1.49% 9,553 Aaron Rents, Inc., Class B........... 202,524 16,655 Acuity Brands, Inc................... 397,222 5,633 Aftermarket Technology Corp. +....... 74,975 1,628 America's Car Mart, Inc. +/(1)/...... 47,798 6,677 AO Smith Corp........................ 234,630 4,861 Asbury Automotive Group, Inc. +...... 81,179 2,649 ASV, Inc. +.......................... 75,020 12,580 Collins & Aikman Corp. +............. 44,911 26,235 Cooper Tire & Rubber Co.............. 524,962 13,330 CSK Auto Corp. +..................... 243,139 6,115 Dura Automotive Systems, Inc. +...... 63,046 60,483 Goodyear Tire & Rubber Co. +/(1)/.... 408,260
-------------------------------------------------------------------------------- SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 66
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------------- AUTOMOTIVE - Continued 6,558 Group 1 Automotive, Inc. +............... $ 227,563 9,804 Kaydon Corp.............................. 239,414 4,609 Keystone Automotive Industries, Inc. +... 112,321 5,199 Lithia Motors, Inc., Class A............. 129,039 5,623 Midas, Inc. +/(1)/....................... 85,188 9,305 Modine Manufacturing Co.................. 237,371 3,787 Monro Muffler Brake, Inc. +.............. 83,882 12,145 Oshkosh Truck Corp., Class B............. 569,600 19,267 Pep Boys-Manny, Moe & Jack............... 394,973 2,863 Raytech Corp. +.......................... 10,593 561 Sports Resorts International, Inc. +/(1)/ 2,923 2,633 Standard Motor Products, Inc., Class A................................. 26,462 1,276 Strattec Security Corp. +................ 75,922 8,957 Superior Industries International, Inc... 398,407 6,740 TBC Corp. +.............................. 199,706 16,802 Tenneco Automotive, Inc. +............... 93,251 22,554 Tower Automotive, Inc. +................. 102,621 6,403 United Auto Group, Inc................... 158,154 52,437 Visteon Corp............................. 411,630 ------------- 5,956,686 ------------- AUTO - REPLACEMENT PARTS - 0.08% 10,922 Sonic Automotive, Inc., Class A.......... 245,199 19,857 Valence Technology, Inc. +/(1)/.......... 71,485 ------------- 316,684 ------------- BANKS - 7.54% 5,080 1st Source Corp./(1)/.................... 114,046 3,915 ABC Bancorp.............................. 65,850 3,901 Alabama National Bancorp................. 210,654 5,150 Allegiant Bancorp, Inc./(1)/............. 144,457 9,968 Amcore Financial, Inc.................... 271,628 1,826 American National Bankshares, Inc./(1)/.. 48,152 3,683 AmericanWest Bancorp +................... 82,499 3,350 Arrow Financial Corp./(1)/............... 92,963 1,442 BancFirst Corp........................... 81,170 2,685 BancTrust Financial Group, Inc........... 42,342 5,299 Bank of Granite Corp..................... 126,858 1,945 Bank of The Ozarks, Inc./(1)/............ 82,468 3,993 Banner Corp.............................. 100,424 25,533 Bay View Capital Corp. +................. 154,985 8,052 Boston Private Financial Holdings, Inc./(1)/..................... 208,788
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- BANKS - Continued 2,828 Bryn Mawr Bank Corp./(1)/............... $ 67,165 3,235 BSB Bancorp, Inc........................ 104,652 1,344 C&F Financial Corp./(1)/................ 61,152 3,212 Camden National Corp.................... 93,148 3,522 Capital City Bank Group, Inc./(1)/...... 162,012 1,984 Capital Corp. of the West +............. 75,690 3,548 Capitol Bancorp, Ltd.................... 102,182 5,043 Cascade Bancorp......................... 102,877 8,863 Cathay Bancorp, Inc..................... 460,876 2,054 Cavalry Bancorp, Inc./(1)/.............. 39,909 1,729 CB Bancshares, Inc...................... 109,411 3,389 CCBT Financial Cos., Inc................ 89,775 3,017 Center Bancorp, Inc./(1)/............... 64,051 1,853 Center Financial Corp................... 46,269 3,275 Central Coast Bancorp +................. 60,588 5,756 Central Pacific Financial Corp.......... 158,866 1,287 Century Bancorp, Inc., Class A/(1)/..... 47,889 9,503 Chemical Financial Corp................. 344,484 17,357 Citizens Banking Corp................... 547,093 3,220 City Bank/(1)/.......................... 109,738 6,669 City Holding Co......................... 237,416 1,463 CNB Financial Corp./(1)/................ 65,762 3,306 CoBiz, Inc./(1)/........................ 59,640 2,200 Columbia Bancorp........................ 64,570 3,027 Columbia Bankcorp/OR/(1)/............... 51,156 5,360 Columbia Banking System, Inc............ 112,560 1,357 Commercial Bankshares, Inc./FL.......... 45,568 17,743 Commercial Federal Corp................. 479,061 1,650 Community Bank of Northern Virginia/(1)/ 31,350 4,564 Community Bank Systems, Inc............. 222,267 3,254 Community Bks., Inc..................... 126,092 14,606 Community First Bankshares, Inc......... 416,563 5,413 Community Trust Bancorp, Inc............ 177,438 3,100 Corus Bankshares, Inc................... 193,130 13,223 CVB Financial Corp...................... 270,675 9,076 East West Bancorp, Inc.................. 475,401 1,945 Eastern Virginia Bankshares, Inc./(1)/.. 60,198 1,672 Exchange National Bancshares, Inc./(1)/. 59,189 2,405 Farmers Capital Bank Corp............... 82,612 1,641 FFLC Bancorp, Inc....................... 48,574 3,347 Financial Institutions, Inc............. 87,859 2,983 First Bancorp North Carolina............ 92,473 3,538 First Busey Corp., Class A/(1)/......... 95,561 11,936 First Charter Corp./(1)/................ 243,017
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- BANKS - Continued 1,676 First Citizens Banc Corp........... $ 52,040 2,448 First Citizens BancShares, Inc., Class A........................... 270,235 23,670 First Commonwealth Financial Corp.. 344,398 4,956 First Community Bancorp............ 182,777 3,847 First Community Bancshares, Inc.... 141,108 1,269 First Federal Financial of Kentucky 37,436 12,993 First Financial Bancorp............ 207,888 5,491 First Financial Bankshares, Inc.... 232,873 5,450 First Financial Corp............... 162,301 1,371 First M & F Corp................... 49,822 7,377 First Merchants Corp............... 187,007 3,080 First National Corp................ 98,006 2,578 First Oak Brook Bancshares, Inc., Class A........................... 80,176 1,357 First of Long Island Corp.......... 58,093 4,180 First Republic Bank................ 155,705 1,237 First South Bancorp, Inc./(1)/..... 45,905 2,975 First State Bancorp................ 102,608 2,441 First United Corp.................. 60,000 2,167 Firstbank Corp./MI................. 69,344 2,329 FNB Corp........................... 68,938 1,982 FNB Corp., Inc..................... 45,427 1,840 Foothill Independent Bancorp....... 41,952 1,320 Franklin Financial Corp............ 40,484 24,427 Fremont General Corp./(1)/......... 426,984 6,171 Frontier Financial Corp............ 211,604 1,785 GB&T Bancshares, Inc............... 41,466 3,724 German American Bancorp/(1)/....... 69,043 7,158 Glacier Bancorp, Inc............... 226,694 14,133 Gold Banc Corp., Inc............... 186,556 2,272 Great Southern Bancorp, Inc........ 97,128 19,398 Greater Bay Bancorp/(1)/........... 504,348 2,072 Greater Community Bancorp.......... 37,337 2,348 Greene County Bancshares, Inc./(1)/ 56,352 5,370 Hancock Holding Co................. 307,432 3,715 Hanmi Financial Corp............... 76,789 9,538 Harleysville National Corp./(1)/... 293,580 2,491 Heartland Financial USA, Inc....... 72,613 4,506 Heritage Commerce Corp. +.......... 56,325 4,959 Humboldt Bancorp/(1)/.............. 86,634 2,690 Iberiabank Corp.................... 155,966 1,043 IBT Bancorp, Inc./Pa............... 55,216 4,720 Independent Bank Corp. (MA)........ 138,060
-------------------------------------------------------------------------------- SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 67
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- BANKS - Continued 7,938 Independent Bank Corp. (MI)........... $ 231,393 6,140 Integra Bank Corp..................... 137,229 4,479 Interchange Financial Services Corp... 102,838 6,250 Irwin Financial Corp./(1)/............ 189,125 4,822 Lakeland Bancorp, Inc./(1)/........... 77,152 2,061 Lakeland Financial Corp............... 73,660 1,875 LNB Bancorp, Inc...................... 39,094 6,937 Local Financial Corp.+................ 137,838 3,403 LSB Bancshares, Inc................... 64,215 3,355 Macatawa Bank Corp.................... 94,946 5,356 Main Street Bks., Inc./(1)/........... 141,827 2,390 Mainsource Financial Group, Inc....... 74,688 4,607 MB Financial, Inc..................... 239,380 6,416 MBT Financial Corp.................... 114,718 1,929 Mercantile Bank Corp.................. 66,165 1,610 Merchants Bancshares, Inc............. 47,495 9,412 Mid-State Bancshares.................. 243,300 4,291 Midwest Banc Holdings, Inc............ 93,973 3,537 Nara Bancorp, Inc..................... 77,496 1,409 National Bankshares, Inc./VA.......... 69,393 8,728 National Penn Bancshares, Inc./(1)/... 292,388 2,679 NBC Capital Corp./(1)/................ 72,708 13,005 NBT Bancorp, Inc./(1)/................ 284,549 19,243 NetBank, Inc.......................... 252,083 1,164 Northern States Financial Corp./(1)/.. 35,095 1,320 Oak Hill Financial, Inc............... 40,920 925 Old Point Financial, Corp./(1)/....... 30,525 2,151 Old Second Bancorp, Inc............... 108,539 3,255 Omega Financial Corp.................. 123,690 5,194 Oriental Financial Group, Inc......... 141,796 2,829 PAB Bankshares, Inc./(1)/............. 42,774 13,791 Pacific Capital Bancorp............... 509,577 1,601 Pacific Union Bank.................... 36,647 2,676 Patriot Bank Corp..................... 59,541 2,695 Peapack Gladstone Financial Corp./(1)/ 83,545 3,055 Pennrock Financial Services Corp...... 100,051 1,335 Penns Woods Bancorp, Inc.............. 59,928 4,053 Peoples Bancorp, Inc./(1)/............ 115,348 2,230 Peoples Holding Co.................... 110,965 2,279 PrivateBancorp, Inc................... 96,584 5,145 Prosperity Bancshares, Inc./(1)/...... 111,441 9,212 Provident Bankshares Corp./(1)/....... 267,701 7,347 R&G Financial Corp., Class B.......... 277,790 20,120 Republic Bancorp, Inc................. 276,650
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- BANKS - Continued 2,867 Republic Bancorp, Inc., Class A/(1)/... $ 56,480 3,032 Republic Bancshares, Inc............... 90,445 1,794 Resource Bankshares Corp./VA........... 56,152 6,272 Riggs National Corp.................... 107,628 1,719 Royal Bancshares of Pennsylvania, Inc., Class A............................... 45,725 10,562 S&T Bancorp, Inc....................... 320,874 5,818 Sandy Spring Bancorp, Inc./(1)/........ 232,138 1,938 Santander Bancorp...................... 47,597 4,565 Seacoast Banking Corp. of Florida/(1)/. 80,846 3,252 Second Bancorp, Inc.................... 92,032 1,511 Security Bank Corp./(1)/............... 46,569 2,156 Shore Bancshares, Inc./(1)/............ 90,768 2,030 Sierra Bancorp......................... 34,490 11,837 Silicon Valley Bancshares +/(1)/....... 434,773 5,676 Simmons First National Corp., Class A.. 150,584 18,712 South Financial Group, Inc............. 533,292 2,413 Southern Financial Bancorp, Inc........ 101,949 3,544 Southside Bancshares, Inc./(1)/........ 60,868 11,337 Southwest Bancorp of Texas, Inc........ 433,414 4,261 Southwest Bancorp, Inc................. 74,781 2,691 State Bancorp, Inc..................... 60,278 2,054 State Financial Services Corp., Class A............................... 54,534 5,201 Sterling Bancorp....................... 152,441 15,892 Sterling Bancshares, Inc............... 201,987 6,790 Sterling Financial Corp. (PA)/(1)/..... 191,003 4,429 Suffolk Bancorp/(1)/................... 159,710 2,092 Summit Bancshares, Inc................. 58,639 2,178 Sun Bancorp, Inc./(1)/................. 45,411 2,574 Sun Bancorp, Inc.-NJ +/(1)/............ 58,301 15,916 Susquehanna Bancshares, Inc............ 423,684 4,218 SY Bancorp, Inc./(1)/.................. 94,357 1,522 Taylor Capital Group, Inc.............. 39,237 9,405 Texas Regional Bancshares, Inc., Class A............................... 349,866 3,263 Tompkins Trustco, Inc.................. 157,440 2,106 TriCo Bancshares....................... 69,814 7,432 Trust Co. of New Jersey................ 254,174 29,881 TrustCo Bank Corp. NY.................. 416,840 4,981 U.S.B. Holding Co., Inc................ 96,631 16,902 UCBH Holdings, Inc..................... 660,868 6,571 UMB Financial Corp..................... 320,599 11,329 Umpqua Holdings Corp................... 243,573
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------ BANKS - Continued 3,047 Union Bankshares Corp..................... $ 98,875 7,318 United Community Bks., Inc./(1)/.......... 247,056 7,598 United National Bancorp................... 271,553 2,580 United Security Bancshares/AL/(1)/........ 78,690 1,370 United Security Bancshares/CA/(1)/........ 36,305 8,671 Unizan Financial Corp..................... 186,426 1,917 Virginia Commerce Bancorp +/(1)/.......... 61,344 2,872 Virginia Financial Group, Inc............. 109,280 18,574 W Holding Co., Inc........................ 491,282 5,247 Washington Trust Bancorp, Inc............. 144,922 1,962 Wayne Bancorp, Inc./OH.................... 56,015 7,214 WesBanco, Inc............................. 200,693 6,443 West Bancorp./(1)/........................ 115,008 6,101 West Coast Bancorp/(1)/................... 132,636 1,421 Western Sierra Bancorp +/(1)/............. 62,027 6,980 Wintrust Financial Corp./(1)/............. 312,634 3,139 Yadkin Valley Bank & Trust Co./(1)/....... 55,149 3,323 Yardville National Bancorp................ 76,097 ------------- 30,091,437 ------------- BEVERAGES - 0.12% 2,939 Boston Beer Co., Inc., Class A +/(1)/..... 54,078 1,448 Coca-Cola Bottling Co. Cons............... 77,772 296 Farmer Brothers Co./(1)/.................. 94,720 1,421 Green Mountain Coffee, Inc. +............. 33,024 1,449 National Beverage Corp. +................. 21,851 4,222 Peet's Coffee & Tea, Inc. +/(1)/.......... 71,014 3,769 Robert Mondavi Corp., Class A +........... 131,915 ------------- 484,374 ------------- BROADCASTING - 0.75% 4,863 4Kids Entertainment, Inc. +/(1)/.......... 130,572 3,353 Acme Communications, Inc. +............... 28,501 1,636 Beasley Broadcast Group, Inc., Class A +................................ 24,249 5,029 Crown Media Holdings, Inc., Class A +/(1)/ 44,305 17,270 Cumulus Media, Inc., Class A +............ 329,857 11,528 Digital Generation Systems, Inc. +........ 21,557 17,796 Emmis Communications Corp., Class A +................................ 403,257 1,975 Fisher Communications, Inc. +............. 95,274 16,002 Gray Television, Inc...................... 207,386 6,515 Liberty Corp.............................. 289,592 10,715 Lin TV Corp., Class A +................... 240,552
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NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- BROADCASTING - Continued 4,199 Lodgenet Entertainment Corp. +....... $ 75,792 20,084 Mediacom Communications Corp., Class A +........................... 154,848 11,873 Paxson Communications Corp. +........ 56,990 1,256 Pegasus Communications Corp., Class A +/(1)/...................... 25,208 9,946 Pegasus Solutions, Inc. +/(1)/....... 118,158 13,988 Regent Communications, Inc. +........ 91,062 5,443 Saga Communications, Inc., Class A +........................... 95,089 3,484 Salem Communications Corp., Class A +........................... 86,299 15,247 Sinclair Broadcast Group, Inc., Class A +/(1)/...................... 174,883 12,689 Spanish Broadcasting System, Inc., Class A +........................... 127,524 4,859 World Wrestling Entertainment, Inc., Class A............................. 55,976 5,028 Young Broadcasting, Inc., Class A +.. 99,806 ------------- 2,976,737 ------------- BUILDING MATERIALS - 0.94% 8,943 Apogee Enterprises, Inc.............. 105,796 4,919 Barnes Group, Inc.................... 147,226 2,618 Centex Construction Productions, Inc. 153,415 2,482 Drew Industries, Inc. +.............. 66,865 7,833 Elkcorp.............................. 199,115 4,828 Genlyte Group, Inc. +................ 255,208 17,584 Lennox International, Inc............ 298,928 7,161 LSI Industries, Inc.................. 89,154 11,425 Mathews International Corp., Class A. 325,270 1,211 Mestek, Inc. +....................... 22,767 7,514 NCI Building Systems, Inc. +......... 175,001 6,573 Perini Corp. +....................... 59,223 15,141 Shaw Group, Inc. +/(1)/.............. 197,136 5,958 Simpson Manufacturing Co., Inc. +.... 293,134 8,449 Texas Industries, Inc................ 246,795 2,994 Trex Co., Inc. +/(1)/................ 110,628 14,674 USG Corp. +/(1)/..................... 221,137 7,530 Watsco, Inc.......................... 174,997 14,911 York International Corp.............. 595,694 ------------- 3,737,489 -------------
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- CHEMICAL - 1.73% 3,563 Aceto Corp......................... $ 68,762 12,792 Albemarle Corp..................... 362,014 7,919 Arch Chemicals, Inc................ 181,266 7,381 Cabot Microelectronics Corp. +/(1)/ 391,857 45,880 Crompton Corp...................... 277,574 5,858 Ethyl Corp. +...................... 119,503 14,240 Ferro Corp......................... 323,248 14,119 FMC Corp. +........................ 422,723 11,175 Georgia Gulf Corp.................. 318,264 14,527 Great Lakes Chemical Corp.......... 329,908 11,386 H.B. Fuller Co..................... 303,665 36,290 Hercules, Inc. +................... 364,352 8,902 Hexcel Corp. +/(1)/................ 61,780 10,863 MacDermid, Inc..................... 356,306 25,469 Millennium Chemicals, Inc./(1)/.... 275,575 6,970 Minerals Technologies, Inc......... 372,547 2,947 NL Industries, Inc................. 52,692 4,009 Octel Corp......................... 77,654 21,573 Olin Corp.......................... 392,844 11,375 Om Group Inc. +.................... 275,389 13,200 Omnova Solutions, Inc. +........... 48,180 36,791 PolyOne Corp. +.................... 218,906 3,159 Quaker Chemical Corp............... 82,861 11,825 Schulman (A), Inc.................. 231,179 42,003 Solutia, Inc....................... 115,508 9,247 Spartech Corp...................... 203,434 2,064 Stepan Co.......................... 51,724 9,291 Symyx Technologies, Inc. +......... 185,355 10,733 Valhi, Inc./(1)/................... 148,330 26,294 W.R. Grace & Co. +................. 71,520 6,648 WD-40 Co........................... 237,998 ------------- 6,922,918 ------------- COAL - 0.22% 18,491 Arch Coal, Inc..................... 489,827 24,656 Massey Energy Co................... 342,718 2,508 Westmoreland Coal Co. +............ 35,087 ------------- 867,632 ------------- COMMERCIAL SERVICES - 2.69% 2,141 1-800 Contacts, Inc. +/(1)/........ 45,282 7,534 1-800-FLOWERS.COM, Inc., Class A +......................... 88,223 15,098 ABM Industries, Inc................ 239,303
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- COMMERCIAL SERVICES - Continued 7,867 Administaff, Inc. +/(1)/.............. $ 117,690 3,895 Advisory Board Co. +.................. 143,024 14,881 Alderwoods Group, Inc. +.............. 131,846 11,940 Arbitron, Inc. +...................... 509,838 1,655 Blount International, Inc. +.......... 9,947 2,790 Central European Distribution Corp. +/(1)/............ 87,662 7,255 Central Parking Corp./(1)/............ 101,207 32,538 Century Business Services, Inc. +..... 151,302 2,882 Ceradyne, Inc. +...................... 123,090 2,914 Charles River Associates, Inc. +...... 95,142 6,261 Clark, Inc. +......................... 102,743 4,942 Cornell Cos., Inc. +.................. 62,269 14,043 Corrections Corp. of America +........ 393,204 5,328 CoStar Group, Inc. +.................. 223,776 3,249 CPI Corp.............................. 74,890 66,151 Crown Holdings, Inc. +................ 496,133 19,204 Dycom Industries, Inc. +.............. 486,821 6,700 Electro Rent Corp. +.................. 93,130 6,395 Euronet Worldwide, Inc. +/(1)/........ 107,628 7,642 First Consulting Group, Inc. +........ 40,273 16,525 FTI Consulting, Inc. +/(1)/........... 363,054 5,170 Greif Brothers Corp., Class A......... 175,780 3,755 Healthcare Services Group, Inc........ 74,312 2,202 ICT Group, Inc. +..................... 29,639 8,991 iDine Rewards Network, Inc. +/(1)/.... 98,002 3,502 Insurance Auto Auctions, Inc. +....... 44,475 12,696 Integrated Electrical Services, Inc. + 99,537 14,470 Kroll, Inc. +......................... 346,557 3,199 Landauer, Inc......................... 120,282 2,777 Maritrans, Inc........................ 46,126 6,181 Maximus, Inc. +/(1)/.................. 234,260 3,047 McGrath Rent Corp..................... 83,457 2,992 MemberWorks, Inc. +/(1)/.............. 81,173 5,316 Mobile Mini, Inc. +/(1)/.............. 104,885 16,769 Navigant Consulting, Inc. +/(1)/...... 290,104 8,948 Pacer International, Inc. +........... 187,282 10,288 Parexel International Corp. +......... 190,122 1,463 Petroleum Helicopters, Inc. +......... 36,209 16,079 Plexus Corp. +........................ 285,402 6,304 Pre-Paid Legal Services, Inc. +/(1)/.. 167,750 15,678 PRG-Shultz International, Inc. +/(1)/. 77,606 9,300 ProcureNet, Inc. /(3)/................ 93 29,363 Quanta Services, Inc. +/(1)/.......... 224,627 2,647 Raven Industries, Inc................. 73,296
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NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- COMMERCIAL SERVICES - Continued 8,470 Rent-Way, Inc. +...................... $ 62,763 6,576 Right Management Consultants, Inc. +.. 117,513 7,650 Rollins, Inc.......................... 170,442 3,941 Roto-Rooter, Inc...................... 145,068 47,864 Safeguard Scientifics, Inc. +......... 163,695 2,100 SFBC International, Inc. +............ 54,075 4,338 Silgan Holdings, Inc. +............... 149,444 4,881 SM&A +................................ 57,547 17,881 Sotheby's Holdings, Inc., Class A +... 207,420 4,643 Source Interlink Cos., Inc. +/(1)/.... 44,991 6,116 Sourcecorp, Inc. +.................... 149,597 4,206 Startek, Inc.......................... 162,646 6,707 Stewart Information Services Corp..... 259,091 13,905 TeleTech Holdings, Inc. +............. 139,745 21,329 United Rentals, Inc. +................ 395,013 6,410 URS Corp. +........................... 146,148 3,180 Volt Information Sciences, Inc. +..... 64,872 3,712 Wackenhut Corrections Corp. +......... 80,365 10,029 Washington Group International, Inc. +................ 336,172 13,215 Watson Wyatt & Co. Holdings, Class A + 317,424 10,780 Wireless Facilities, Inc. +........... 156,633 ------------- 10,739,117 ------------- CONGLOMERATES - 0.09% 14,109 Trinity Industries, Inc./(1)/......... 366,129 ------------- CONSUMER SERVICE - 0.03% 8,104 Advanta Corp., Class B................ 104,055 ------------- DRUGS - 2.02% 5,592 aaiPharma, Inc. +/(1)/................ 101,663 5,287 Able Laboratories, Inc. +/(1)/........ 97,968 12,663 Adolor Corp. +........................ 249,841 15,523 Alpharma, Inc., Class A............... 312,788 13,511 Alteon, Inc. +/(1)/................... 22,698 7,898 Antigenics, Inc. +/(1)/............... 97,461 14,615 Atherogenics, Inc. +.................. 208,995 8,240 Atrix Labs, Inc. +/(1)/............... 166,942 8,306 AVI Biopharma, Inc. +/(1)/............ 40,699 5,148 Bentley Pharmaceuticals, Inc. +....... 63,063 12,355 Biopure Corp., Class A +/(1)/......... 39,165 3,758 Bone Care International, Inc. +....... 50,733 3,256 Bradley Pharmaceuticals, Inc., Class A +/(1)/....................... 76,581
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------------- DRUGS - Continued 5,018 Chronimed, Inc. +........................ $ 45,062 5,743 Cima Labs, Inc. +........................ 189,404 3,076 Collagenex Pharmaceuticals, Inc. +....... 31,867 16,810 Corixa Corp. +/(1)/...................... 95,649 11,853 Cubist Pharmaceuticals, Inc. +/(1)/...... 147,214 5,043 D&K Healthcare Resources, Inc............ 68,181 3,304 Dendreon Corp. +/(1)/.................... 26,168 11,758 Durect Corp., Inc. +/(1)/................ 26,456 17,764 Encysive Pharmaceuticals, Inc. +......... 133,052 8,126 First Horizon Pharmaceutical Corp. +..... 92,636 18,833 Genta, Inc. +/(1)/....................... 189,272 9,086 Guilford Pharmaceuticals, Inc. +/(1)/.... 62,057 1,783 Hi-Tech Pharmacal Co., Inc. +/(1)/....... 36,159 15,201 Ilex Oncology, Inc. +.................... 317,245 16,280 ImmunoGen, Inc. +........................ 77,004 11,125 Impax Laboratories, Inc. +/(1)/.......... 156,863 15,059 Indevus Pharmaceuticals, Inc. +/(1)/..... 85,535 11,246 Inspire Phamaceuticals, Inc. +........... 194,556 17,819 Isis Pharmaceuticals, Inc. +/(1)/........ 106,736 12,181 K-V Pharmaceutical Co., Class A +........ 317,924 4,179 KOS Pharmaceuticals, Inc. +/(1)/......... 185,966 17,434 La Jolla Pharmaceutical Co. +............ 50,559 2,353 Lannett Co., Inc. +/(1)/................. 42,166 22,870 Ligand Pharmaceuticals, Inc., Class B +/(1)/.......................... 306,001 20,352 Nabi Biopharmaceuticals +................ 219,191 3,679 Natures Sunshine Products, Inc........... 29,726 20,660 NBTY, Inc. +............................. 524,764 5,227 NeoPharm, Inc. +/(1)/.................... 93,772 2,423 Omega Protein Corp. +/(1)/............... 15,144 15,542 OSI Pharmaceuticals, Inc. +/(1)/......... 462,064 7,137 Pain Therapeutics, Inc. +................ 43,536 5,537 Penwest Pharmaceuticals Co. +/(1)/....... 85,270 24,511 Perrigo Co............................... 369,871 9,497 Pharmacopeia, Inc. +..................... 118,713 13,861 Priority Healthcare Corp., Class B +/(1)/ 317,833 7,154 Salix Pharmaceuticals, Ltd. +............ 136,141 15,064 SciClone Pharmaceuticals, Inc. +/(1)/.... 110,720 9,822 Star Scientific, Inc. +/(1)/............. 19,939 11,885 SuperGen, Inc. +/(1)/.................... 125,624 9,569 Tanox, Inc. +/(1)/....................... 143,918 12,003 Theragenics Corp. +...................... 58,935 6,992 United Therapeutics Corp. +/(1)/......... 131,589 3,540 USANA Health Sciences, Inc. +/(1)/....... 119,758
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- DRUGS - Continued 30,772 Vertex Pharmaceuticals, Inc. +......... $ 268,947 3,519 Virbac Corp. +/(3)(4)/................. 22,874 13,533 Vivus, Inc. +.......................... 48,989 5,091 Zymogenetics, Inc. +/(1)/.............. 67,761 ------------- 8,047,408 ------------- ELECTRONICS/ELECTRICAL EQUIPMENT - 4.20% 6,725 Advanced Energy Industries, Inc. +/(1)/ 177,540 3,163 Analogic Corp.......................... 132,846 12,671 Artesyn Technologies, Inc. +/(1)/...... 99,974 19,339 Avista Corp............................ 341,140 4,405 BEI Technologies, Inc.................. 77,836 3,924 Bel Fuse, Inc., Class B................ 113,835 9,004 Belden, Inc............................ 177,379 14,824 Benchmark Electronics, Inc. +.......... 544,486 8,194 C&D Technologies, Inc.................. 164,044 12,648 C-COR.net Corp. +...................... 149,246 17,049 Cable Design Technologies Corp. +/(1)/. 173,218 13,127 Checkpoint Systems, Inc. +/(1)/........ 254,007 11,761 Coherent, Inc. +....................... 281,558 20,692 Commscope, Inc. +...................... 330,244 13,700 CTS Corp............................... 167,962 6,206 Cubic Corp./(1)/....................... 183,573 13,850 Cymer, Inc. +.......................... 642,224 5,687 Daktronics, Inc. +..................... 105,556 6,683 Dionex Corp. +......................... 313,967 11,008 DSP Group, Inc. +...................... 265,183 11,165 Electro Scientific Industries, Inc. +.. 268,518 5,248 Emcor Group, Inc. +.................... 215,693 4,161 Encore Wire Corp. +.................... 70,487 6,766 Energy Conversion Devices, Inc. +/(1)/. 58,188 81,489 Enterasys Networks, Inc. +............. 349,588 4,808 ESCO Technologies, Inc. +.............. 204,340 3,665 Excel Technology, Inc. +............... 115,447 4,612 Fargo Electronics, Inc. +/(1)/......... 65,583 9,800 FEI Co. +.............................. 235,298 13,226 Flir Systems, Inc. +................... 455,768 13,632 FuelCell Energy, Inc. +/(1)/........... 183,487 13,310 General Cable Corp. +/(1)/............. 112,203 8,371 Gerber Scientific, Inc. +.............. 69,563 5,940 Global Imaging Systems, Inc. +/(1)/.... 174,101 21,539 Graftech International, Ltd. +......... 255,022 24,255 Harmonic, Inc. +....................... 210,776
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NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - Continued 10,415 Hypercom Corp. +..................... $ 53,012 34,294 Identix, Inc. +/(1)/................. 177,643 6,230 Innovex, Inc. +/(1)/................. 58,562 6,600 Intermagnetics General Corp. +....... 148,698 8,241 Intertan, Inc. +..................... 80,350 6,885 Invision Technologies, Inc. +/(1)/... 205,311 8,170 Itron, Inc. +/(1)/................... 156,782 4,893 Keithley Instruments, Inc............ 88,319 34,586 Kemet Corp. +........................ 456,535 7,707 Littelfuse, Inc. +................... 229,592 8,389 Magma Design Automation, Inc. +/(1)/. 197,393 6,506 Manufacturers Services, Ltd. +/(1)/.. 39,687 4,724 Medis Technologies, Ltd. +/(1)/...... 42,280 13,370 Methode Electronics, Inc., Class A... 171,537 1,436 Metrologic Instruments, Inc. +/(1)/.. 39,117 5,516 Molecular Devices Corp. +............ 109,382 22,537 New Focus, Inc. +.................... 110,206 15,512 Newport Corp. +...................... 264,169 44,309 Oplink Communications, Inc. +........ 105,899 6,349 Optical Communication Products, Inc., Class A +/(1)/...................... 24,952 5,180 OSI Systems, Inc. +/(1)/............. 96,244 6,909 Park Electrochemical Corp............ 176,525 11,158 Paxar Corp. +........................ 146,728 10,162 Pemstar, Inc. +/(1)/................. 38,209 6,408 Photon Dynamics, Inc. +/(1)/......... 261,510 13,824 Pixelworks, Inc. +................... 182,477 5,619 Planar Systems, Inc. +............... 133,732 2,631 Powell Industries, Inc. +............ 44,359 25,433 Power-One, Inc. +.................... 214,400 13,023 Rayovac Corp. +/(1)/................. 234,284 3,998 Research Frontiers, Inc. +/(1)/...... 38,381 2,504 Richardson Electronics, Ltd.......... 25,541 4,646 Rofin-Sinar Technologies, Inc. +..... 149,462 6,396 Rogers Corp. +....................... 280,784 10,393 SAFLINK, Corp. +/(1)/................ 40,533 5,858 SBS Technologies, Inc. +............. 85,820 4,286 ScanSource, Inc. +/(1)/.............. 187,470 27,839 Silicon Image, Inc. +/(1)/........... 206,009 9,940 Sipex Corp. +........................ 93,436 4,881 Sonic Solutions +/(1)/............... 92,104 4,817 Standard Microsystems Corp. +........ 129,096 4,387 Standex International Corp........... 119,633
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - Continued 5,095 Stoneridge, Inc. +........................ $ 68,018 20,010 Superconductor Technologies +............. 148,474 2,160 Sypris Solutions, Inc..................... 29,484 16,117 Technitrol, Inc. +........................ 383,423 17,122 Thomas & Betts Corp....................... 356,138 3,808 Thomas Industries, Inc.................... 120,028 12,700 Trimble Navigation, Ltd. +................ 385,191 7,724 TTM Technologies, Inc. +.................. 130,536 5,833 Universal Display Corp. +/(1)/............ 86,562 5,459 Universal Electronics, Inc. +............. 74,510 11,743 Varian, Inc. +............................ 476,296 7,706 Vicor Corp. +............................. 88,619 4,479 Watts Industries, Inc., Class A........... 91,819 6,387 Wesco International, Inc. +............... 57,164 7,980 Wilson Greatbatch Technologies, Inc. +/(1)/................ 334,362 3,924 Woodhead Industries, Inc.................. 66,630 3,551 Woodward Governor Co...................... 177,124 8,125 X-Rite, Inc............................... 93,031 6,333 Zygo Corp. +.............................. 102,975 ------------- 16,746,427 ------------- FERTILIZERS - 0.17% 15,025 Delta & Pine Land Co...................... 379,381 43,467 IMC Global, Inc........................... 316,005 ------------- 695,386 ------------- FINANCE COMPANIES - 0.52% 3,874 Accredited Home Lenders Holding Co. +/(1)/....................... 120,288 16,536 Charter Municipal Mtg. Acceptance Co............................ 330,720 13,433 Chittenden Corp........................... 458,603 5,180 Credit Acceptance Corp. +/(1)/............ 77,700 17,937 E-Loan, Inc. +............................ 55,963 3,133 Federal Agricultural Mtg. Corp., Class C +/(1)/........................... 89,259 5,832 Financial Federal Corp. +................. 191,814 11,376 Metris Cos., Inc./(1)/.................... 50,737 4,469 Portfolio Recovery Associates, Inc. +/(1)/ 123,970 1,579 United PanAm Financial Corp. +............ 28,738 5,628 Westcorp.................................. 210,768
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------ FINANCE COMPANIES - Continued 4,871 WFS Financial, Inc. +..................... $ 203,121 5,990 World Acceptance Corp. +.................. 115,727 ------------- 2,057,408 ------------- FINANCIAL SERVICES - 0.92% 7,946 Affiliated Managers Group, Inc. +......... 528,409 4,569 American Home Mtg. Holdings, Inc./(1)/.... 102,528 2,257 Bankrate, Inc. +/(1)/..................... 30,876 8,701 Coinstar, Inc. +/(1)/..................... 146,438 5,344 CompuCredit Corp. +....................... 126,546 9,439 eSpeed, Inc., Class A +................... 222,572 2,804 First Albany Cos., Inc.................... 38,838 2,612 Gabelli Asset Management, Inc., Class A/(1)/............................. 97,950 18,944 Investment Technology Group, Inc. +....... 335,309 2,199 iPayment, Inc. +.......................... 56,690 29,103 Knight Trading Group, Inc. +/(1)/......... 419,956 11,239 MCG Capital Corp.......................... 205,898 5,591 Medallion Financial Corp.................. 48,921 3,100 National Processing, Inc. +............... 75,175 7,286 NCO Group, Inc. +......................... 168,307 11,350 New Century Financial Corp./(1)/.......... 431,867 3,396 Newtek Business Services, Inc. +.......... 20,172 2,775 PDI, Inc. +............................... 80,198 5,931 Resource America, Inc..................... 77,281 4,246 Sanders Morris Haris Group, Inc./(1)/..... 42,248 10,865 Saxon Capital, Inc. +..................... 205,023 6,576 Soundview Technology Group, Inc. +........ 101,533 5,613 SWS Group, Inc./(1)/...................... 105,581 ------------- 3,668,316 ------------- FOODS - 0.99% 1,402 Alico, Inc................................ 48,930 5,982 American Italian Pasta Co., Class A +/(1)/ 227,316 557 Arden Group, Inc.......................... 42,282 13,800 Chiquita Brands International, Inc. +/(1)/ 292,422 14,445 Corn Products International, Inc.......... 500,664 12,606 Flowers Foods, Inc........................ 329,017 8,938 Hain Celestial Group, Inc. +.............. 206,200 2,490 Horizon Organic Holding Corp. +/(1)/...... 59,611 7,045 International Multifoods Corp. +.......... 125,612 17,975 Interstate Bakeries Corp.................. 283,106 2,468 J&J Snack Foods Corp. +................... 88,848 2,146 John B. Sanfilippo & Son, Inc. +/(1)/..... 85,411
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NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- FOODS - Continued 9,911 Lance, Inc............................ $ 138,853 4,085 M & F Worldwide Corp. +............... 56,577 1,241 Maui Land & Pineapple Co., Inc. +/(1)/ 38,843 6,053 Pilgrims Pride Corp./(1)/............. 90,492 11,592 Ralcorp Holdings, Inc. +.............. 351,006 2,392 Riviana Foods, Inc.................... 70,540 2,085 Sanderson Farms, Inc.................. 71,682 146 Seabord Corp.......................... 33,653 15,897 Sensient Technologies Corp............ 299,658 2,775 Tejon Ranch Co. +..................... 109,613 7,683 United Natural Foods, Inc. +.......... 294,950 9,939 Wild Oats Markets, Inc. +............. 112,708 ------------- 3,957,994 ------------- FREIGHT - 1.11% 15,473 Alexander & Baldwin, Inc.............. 486,781 2,398 Ambassadors International, Inc........ 31,366 8,710 Arkansas Best Corp.................... 273,320 2,935 Covenant Transport, Inc., Class A +... 55,295 12,635 EGL, Inc. +........................... 232,105 4,372 Forward Air Corp. +................... 124,340 16,733 GATX Corp............................. 406,612 5,446 Gulfmark Offshore, Inc. +/(1)/........ 76,407 12,135 Heartland Express, Inc................ 294,516 2,699 Interpool, Inc........................ 41,025 7,395 Kirby Corp. +......................... 221,850 9,734 Knight Transportation, Inc. +......... 235,855 11,810 Landstar System, Inc. +............... 425,160 7,476 Offshore Logistics, Inc. +............ 188,769 6,173 Overseas Shipholding Group, Inc....... 173,770 2,286 P.A.M. Transportation Services, Inc. +/(1)/................ 44,691 4,640 Roadway Corp./(1)/.................... 236,640 5,568 SCS Transportation, Inc. +............ 92,596 4,687 Seabulk International, Inc. +......... 41,011 2,258 US Xpress Enterprises, Inc. Class A +. 30,144 10,838 USF Corp.............................. 357,979 11,914 Yellow Corp. +/(1)/................... 364,211 ------------- 4,434,443 ------------- GAS & PIPELINE UTILITIES - 0.15% 19,987 Atmos Energy Corp..................... 492,680 4,444 Cascade Natural Gas Corp.............. 88,880 ------------- 581,560 -------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- MINING - 0.12% 70,929 Coeur d'Alene Mines Corp. +.......... $ 367,412 15,614 Stillwater Mining Co. +.............. 131,470 ------------- 498,882 ------------- HARDWARE & TOOLS - 0.10% 12,909 Lincoln Electric Holdings, Inc....... 326,856 4,105 Penn Engineering & Manufacturing Corp................................ 67,322 ------------- 394,178 ------------- HEALTHCARE - 2.18% 19,164 Accredo Health, Inc. +............... 596,000 11,635 Advanced Medical Optics, Inc. +...... 229,326 6,159 Alaris Medical, Inc. +............... 97,990 4,780 Alliance Imaging, Inc. +............. 18,403 5,251 American Healthways, Inc. +/(1)/..... 243,226 8,259 American Medical Systems Holdings, Inc. +.................... 187,727 4,715 Bruker BioSciences Corp. +/(1)/...... 23,481 3,092 Candela Corp. +...................... 63,479 12,212 Columbia Laboratories, Inc. +........ 63,258 12,401 Cooper Cos., Inc..................... 566,106 2,604 Corvel Corp. +....................... 90,489 24,653 Covance, Inc. + @.................... 644,183 4,258 Curative Health Services, Inc. +/(1)/ 55,269 16,068 Dade Behring Holdings, Inc. +........ 543,098 2,275 Dynacq Healthcare, Inc. +/(1)/....... 41,994 5,125 Epix Medical, Inc. +................. 92,404 2,378 Exactech, Inc. +..................... 37,453 10,027 Gentiva Health Services, Inc. +...... 131,053 6,196 HealthExtras, Inc. +................. 78,070 22,761 Hooper Holmes, Inc................... 139,525 8,988 Intuitive Surgical, Inc. +........... 137,247 10,523 Invacare Corp........................ 410,397 11,883 Inveresk Research Group, Inc. +...... 261,545 4,133 Inverness Medical Innovations, Inc. +/(1)/............ 97,952 4,729 Kindred Healthcare, Inc. +........... 243,969 2,972 LabOne, Inc. +....................... 86,158 3,720 Matria Healthcare, Inc. +............ 76,000 4,097 MedQuist, Inc. +..................... 63,053 16,312 Mentor Corp./(1)/.................... 359,679 3,997 Micro Therapeutics, Inc. +........... 14,869 8,901 MIM Corp. +.......................... 62,752 2,614 National Healthcare Corp. +/(1)/..... 52,933
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- HEALTHCARE - Continued 12,827 Odyssey Healthcare, Inc. +........ $ 456,769 5,128 Option Care, Inc. +/(1)/.......... 50,972 7,236 PolyMedica Corp./(1)/............. 187,557 18,393 Province Healthcare Co. +......... 281,965 6,378 RehabCare Group, Inc. +/(1)/...... 113,273 9,225 Sola International, Inc. +........ 180,810 15,307 Sybron Dental Specialties, Inc. +. 440,995 4,765 U.S. Physical Therapy, Inc. +/(1)/ 70,141 6,902 United Surgical Partners International, Inc. +............ 220,864 27,551 US Oncology, Inc. +............... 280,469 4,614 VistaCare, Inc., Class A +/(1)/... 182,253 14,575 VISX, Inc. +...................... 356,796 2,319 Vital Signs, Inc.................. 76,133 ------------- 8,708,085 ------------- HEAVY DUTY TRUCKS/PARTS - 0.22% 4,580 Bandag, Inc....................... 186,635 4,110 Cascade Corp...................... 110,148 19,248 Federal Signal Corp............... 291,607 10,295 Wabash National Corp. +/(1)/...... 286,510 ------------- 874,900 ------------- HOME BUILDERS - 0.52% 5,248 Beazer Homes USA, Inc. +/(1)/..... 560,014 6,308 Brookfield Homes Corp............. 150,761 1,494 Dominion Homes, Inc. +............ 45,433 4,130 M/I Schottenstein Homes, Inc...... 158,386 3,630 Meritage Corp. +.................. 229,234 666 Orleans Homebuilders, Inc. +/(1)/. 18,874 12,918 Standard Pacific Corp............. 644,996 928 Technical Olympic USA, Inc. +/(1)/ 25,019 6,757 WCI Communities, Inc. +........... 136,356 1,682 William Lyon Homes, Inc. +/(1)/... 109,162 ------------- 2,078,235 ------------- HOSPITAL MANAGEMENT - 0.59% 7,070 Amsurg Corp. +/(1)/............... 263,075 36,589 Beverly Enterprises, Inc. +/(1)/.. 286,492 15,027 LifePoint Hospitals, Inc. +....... 448,706 20,153 Orthodontic Centers of America, Inc. +/(1)/............. 142,885 9,456 Pediatrix Medical Group, Inc. +... 507,409 9,256 Select Medical Corp............... 331,827 12,133 VCA Antech, Inc. +................ 379,156 ------------- 2,359,550 -------------
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NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- HOSPITAL SUPPLIES - 1.09% 3,648 Aaon, Inc. +....................... $ 68,728 7,278 Advanced Neuromodulation Systems, Inc. +................... 307,059 17,731 Align Technology, Inc. +/(1)/...... 319,335 2,668 Ameron International Corp.......... 88,044 9,261 Arrow International, Inc........... 249,121 7,114 ArthroCare Corp. +/(1)/............ 175,004 2,681 Closure Medical Corp. +/(1)/....... 95,176 6,943 Conceptus, Inc. +/(1)/............. 90,259 11,610 Conmed Corp. +..................... 246,829 4,211 Datascope Corp..................... 146,459 8,171 Diagnostic Products Corp........... 369,574 4,232 ICU Medical, Inc. +/(1)/........... 144,269 3,088 Kensey Nash Corp. +................ 64,941 7,203 Kyphon, Inc. +..................... 197,362 3,110 Medical Action Industries, Inc. +.. 51,626 3,943 Meridian Bioscience, Inc........... 40,889 6,629 Merit Medical Systems, Inc. +...... 207,488 13,193 OrthoLogic Corp. +................. 95,253 12,634 Owens & Minor, Inc................. 267,967 27,228 PSS World Medical, Inc. +.......... 279,087 5,706 SonoSite, Inc. +/(1)/.............. 120,511 6,860 STAAR Surgical Co. +/(1)/.......... 75,398 16,351 Techne Corp. +..................... 589,944 1,622 Young Innovations, Inc............. 59,122 ------------- 4,349,445 ------------- HOUSEHOLD PRODUCTS - 0.59% 24,723 American Greetings Corp., Class A + 522,150 5,680 Chattem, Inc. +/(1)/............... 90,993 1,860 CSS Industries, Inc................ 55,261 1,914 Del Laboratories, Inc. +/(1)/...... 46,223 4,739 Elizabeth Arden, Inc. +/(1)/....... 96,249 1,365 Intermediate Parfums, Inc.......... 27,764 30,059 Jacuzzi Brands, Inc. +............. 193,880 8,616 Jarden Corp. +/(1)/................ 233,063 11,148 John H. Harland Co................. 305,455 4,938 Libbey, Inc........................ 144,733 1,883 National Presto Industries, Inc.... 67,035 5,836 Oneida, Ltd./(1)/.................. 27,721 11,886 Playtex Products, Inc. +........... 82,370 4,084 Revlon, Inc., Class A +............ 9,802 3,603 Russ Berrie and Co., Inc........... 120,160
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ HOUSEHOLD PRODUCTS - Continued 20,862 Tupperware Corp...................... $ 321,483 ------------ 2,344,342 ------------ HUMAN RESOURCES - 0.54% 7,257 AMN Healthcare Services, Inc. +/(1)/. 123,224 4,890 CDI Corp............................. 165,771 7,730 Cross Country Healthcare, Inc. +/(1)/ 115,177 13,380 Exult, Inc. +/(1)/................... 96,202 5,499 Gevity HR, Inc./(1)/................. 123,727 6,533 Heidrick & Struggles International, Inc. +............... 157,119 2,971 Hudson Highland Group, Inc. +/(1)/... 59,955 6,712 Kelly Services, Inc., Class A........ 191,158 12,726 Korn/Ferry International +/(1)/...... 127,642 16,052 Labor Ready, Inc. +/(1)/............. 182,993 4,384 Medical Staffing Network Holdings, Inc. +/(1)/............... 42,744 37,823 MPS Group, Inc. +.................... 347,971 7,900 Resources Connection, Inc. +......... 216,302 23,785 Spherion Corp. +..................... 212,638 ------------ 2,162,623 ------------ INFORMATION PROCESSING - HARDWARE - 1.21% 24,845 Advanced Digital Information Corp. +. 376,899 11,750 Centillium Communications, Inc. +.... 64,625 24,906 Concurrent Computer Corp. +.......... 100,371 28,887 Cray, Inc. +/(1)/.................... 302,447 3,737 Digimarc Corp. +/(1)/................ 52,729 10,692 Dot Hill Systems Corp. +............. 182,298 3,574 Drexler Technology Corp. +/(1)/...... 53,467 5,338 Electronics Boutique Holdings Corp. +/(1)/............... 129,927 18,622 Electronics for Imaging, Inc. +...... 513,967 86,976 Gateway, Inc. +...................... 387,913 9,170 Hutchinson Technology, Inc. +........ 298,667 14,938 InFocus Corp. +...................... 118,309 20,590 Iomega Corp. +....................... 113,039 9,436 Komag, Inc. +/(1)/................... 155,600 21,394 Lexar Media, Inc. +.................. 456,976 8,480 Mercury Computer Systems, Inc. +..... 203,096 5,580 Neoware Systems, Inc. +/(1)/......... 93,577 3,368 Overland Storage, Inc. +............. 66,215 13,729 PalmOne, Inc. +/(1)/................. 205,523
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- INFORMATION PROCESSING - HARDWARE - Continued 2,681 PC Connection, Inc. +/(1)/......... $ 23,459 56,673 Quantum Corp. +.................... 179,087 6,763 Radiant Systems, Inc. +............ 48,017 6,488 Sigma Designs, Inc. +/(1)/......... 38,474 31,896 Silicon Storage Technology, Inc. +. 432,829 3,074 SimpleTech, Inc. +................. 20,654 1,890 Stratasys, Inc. +/(1)/............. 85,050 6,545 Synaptics, Inc. +.................. 89,470 5,046 Virage Logic Corp. +............... 52,579 ------------- 4,845,264 ------------- INFORMATION PROCESSING - NETWORKING - 0.04% 122,681 Corvis Corp. +/(1)/................ 177,887 ------------- INFORMATION PROCESSING - SERVICES - 4.03% 14,068 ActivCard Corp. +.................. 122,251 38,970 Adaptec, Inc. +.................... 343,326 20,956 Aeroflex, Inc. +................... 265,932 11,238 Agilysys, Inc./(1)/................ 126,540 41,228 Akamai Technologies, Inc. +........ 553,280 12,481 Anixter International, Inc. +...... 287,687 2,603 Ansoft Corp. +..................... 32,459 6,452 Anteon International Corp. +....... 246,208 15,739 aQuantive, Inc. +.................. 162,899 107,679 Ariba, Inc. +/(1)/................. 340,266 11,928 AsiaInfo Holdings, Inc. +/(1)/..... 83,019 13,876 Ask Jeeves, Inc. +/(1)/............ 268,084 11,430 Autobytel, Inc. +.................. 110,414 6,087 Black Box Corp./(1)/............... 266,306 11,522 CACI International, Inc., Class A + 573,450 2,246 Catapult Communications Corp. +.... 33,960 20,276 Ciber, Inc. +...................... 184,714 148,065 CMG Information Services, Inc. +... 310,936 40,527 CNET Networks, Inc. +.............. 302,737 12,158 Computer Horizons Corp. +.......... 45,228 10,826 Computer Network Technology Corp. + /(1)/.......... 107,719 20,973 CSG Systems International, Inc. +.. 243,077 4,090 Cyberguard Corp. +................. 35,129 6,932 Datastream Systems, Inc. +......... 51,643 11,659 Digital Insight Corp. +............ 277,134 11,353 Digital River, Inc. +.............. 261,233
-------------------------------------------------------------------------------- SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 73
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- INFORMATION PROCESSING - SERVICES - Continued 14,110 Digital Think, Inc. +/(1)/........... $ 42,048 6,232 Digitas, Inc. +/(1)/................. 54,281 47,281 Earthlink, Inc. +.................... 453,898 4,666 eCollege.com, Inc. +................. 103,585 19,434 Entrust, Inc. +...................... 82,983 15,172 Epicor Software Corp. +/(1)/......... 187,981 38,707 Extreme Networks, Inc. +............. 379,716 13,639 FileNET Corp. +...................... 357,205 4,494 FindWhat.com +....................... 68,084 5,557 Forrester Research, Inc. +........... 102,026 14,855 Freemarkets, Inc. +.................. 89,576 31,327 Gartner, Inc., Class A +............. 404,745 6,187 GSI Commerce, Inc. +/(1)/............ 60,633 17,035 Harris Interactive, Inc. +........... 117,541 8,131 iGate Corp. +........................ 51,713 10,174 Infospace, Inc. +.................... 267,067 17,104 Intergraph Corp. +................... 434,442 4,914 Interland, Inc. +.................... 33,661 14,899 Internet Security Systems, Inc. +.... 252,836 6,657 j2 Global Communications, Inc. +/(1)/ 189,192 9,250 Kana Software, Inc. +/(1)/........... 28,675 7,689 Keynote Systems, Inc. +/(1)/......... 94,882 11,914 Kronos, Inc. +....................... 466,671 30,600 Looksmart, Ltd. +.................... 45,594 8,743 Manhattan Associates, Inc. +/(1)/.... 266,049 2,394 Marketwatch.com, Inc. +/(1)/......... 21,211 17,242 MatrixOne, Inc. +.................... 102,590 27,041 Mentor Graphics Corp. +.............. 396,151 6,601 Micros Systems, Inc. +............... 285,559 35,755 Mindspeed Technologies, Inc. +....... 239,201 8,404 MTS Systems Corp..................... 156,062 3,134 Neoforma, Inc. +/(1)/................ 50,019 9,949 Net2Phone, Inc. +/(1)/............... 62,679 4,046 Netratings, Inc. +................... 40,945 7,722 NetScout Systems, Inc. +/(1)/........ 67,336 11,820 NIC, Inc. +.......................... 83,213 10,497 NYFIX, Inc. +/(1)/................... 87,440 19,185 Opsware, Inc. +/(1)/................. 147,724 7,880 PCTEL, Inc. +........................ 70,526 3,428 PEC Solutions, Inc. +/(1)/........... 61,738 3,862 Pegasystems, Inc. +/(1)/............. 30,896 29,386 Perot Systems Corp., Class A +....... 364,386 3,869 Pomeroy Computer Resources, Inc. +... 56,526
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- INFORMATION PROCESSING - SERVICES - Continued 9,991 Portal Software, Inc. +................ $ 75,432 9,534 ProQuest Co. +/(1)/.................... 287,927 7,113 RadiSys Corp. +........................ 130,879 9,541 Rainbow Technologies, Inc. +........... 118,308 61,248 Redback Networks, Inc. +/(1)/.......... 17,762 7,256 Register.com, Inc. +................... 35,192 31,019 Sapient Corp. +........................ 174,327 3,037 Schawk, Inc., Class A.................. 41,303 12,819 Secure Computing Corp. +............... 192,670 81,974 Silicon Graphics, Inc. +/(1)/.......... 92,631 6,780 Sohu.com, Inc. +....................... 235,266 20,674 SonicWALL, Inc. +/(1)/................. 165,185 3,396 SRA International, Inc., Class A +..... 149,798 9,572 Sykes Enterprises, Inc. +.............. 87,488 4,821 Synplicity, Inc. +/(1)/................ 35,145 2,549 Syntel, Inc............................ 64,847 13,496 Systems & Computer Technology Corp. +.................... 206,489 5,095 TheStreet.com, Inc. +.................. 23,284 5,611 Tier Technologies, Inc., Class B +/(1)/ 43,822 12,420 Trizetto Group, Inc. +................. 80,109 13,550 Turnstone Systems, Inc. +.............. 39,159 16,153 Tyler Technologies, Inc. +............. 135,685 17,131 United Online, Inc. +/(1)/............. 311,955 26,488 ValueClick, Inc. +..................... 221,175 35,924 Verso Technologies, Inc. +/(1)/........ 138,307 18,339 webMethods, Inc. +..................... 178,805 7,884 Websense, Inc. +/(1)/.................. 213,578 ------------- 16,091,445 ------------- INFORMATION PROCESSING - SOFTWARE - 4.30% 12,828 Advent Software, Inc. +................ 224,618 17,343 Agile Software Corp. +................. 190,600 9,684 Allscripts Heathcare Solutions, Inc. +. 52,584 3,466 Altiris, Inc. +/(1)/................... 106,891 16,933 American Management Systems, Inc. +....................... 252,471 5,942 Ansys, Inc. +.......................... 229,302 23,417 Ascential Software Corp. +............. 592,450 14,099 Aspen Technologies, Inc. +/(1)/........ 108,421 10,543 At Road, Inc. +/(1)/................... 132,736 2,804 Atari, Inc. +.......................... 11,496
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ INFORMATION PROCESSING - SOFTWARE - Continued 12,016 Avid Technology, Inc. +............. $ 635,406 5,968 Barra, Inc. +....................... 219,503 28,387 Borland Software Corp. +............ 247,535 10,292 BroadVision, Inc. +/(1)/............ 48,372 4,965 CCC Information Services Group, Inc. +...................... 83,710 11,348 Cerner Corp. +/(1)/................. 506,461 2,491 Computer Programs & Systems, Inc./(1)/................. 47,329 6,536 Concord Communications, Inc. +...... 144,707 9,189 Concur Technologies, Inc. +/(1)/.... 91,431 4,451 Convera Corp., Class A +/(1)/....... 17,403 11,915 Dendrite International, Inc. +...... 203,746 17,651 Documentum, Inc. +.................. 529,530 22,319 E.piphany, Inc. +................... 176,320 11,338 Echelon Corp. +/(1)/................ 136,623 13,943 Eclipsys Corp. +.................... 141,940 18,754 eFunds Corp. +...................... 325,382 5,546 Embarcadero Technologies, Inc. +.... 80,029 5,107 EPIQ Systems, Inc. +/(1)/........... 89,117 10,762 eResearch Technology, Inc. +/(1)/... 306,717 8,916 F5 Networks, Inc. +/(1)/............ 230,211 13,632 FalconStor Software, Inc. +/(1)/.... 108,374 59 Globalscape, Inc. +................. 9 3,610 Group 1 Software, Inc. +............ 64,402 14,625 Hyperion Solutions Corp. +.......... 485,257 6,919 IDX Systems Corp. +................. 177,126 2,468 IMPAC Medical Systems, Inc. +....... 61,058 25,672 Informatica Corp. +................. 289,580 11,853 Infousa, Inc. +..................... 100,751 3,897 Integral Systems, Inc. +............ 83,552 19,644 InteliData Technologies Corp. +/(1)/ 32,413 7,459 Inter-Tel, Inc...................... 180,508 7,177 InterCept, Inc. +/(1)/.............. 75,861 13,684 InterVoice-Brite, Inc. +............ 143,135 10,321 Interwoven, Inc. +/(1)/............. 154,609 11,435 JDA Software Group, Inc. +.......... 208,346 20,718 Keane, Inc. +....................... 292,124 16,985 Lawson Software, Inc. +............. 143,353 13,191 Lionbridge Technologies, Inc. +..... 142,463 5,314 Mantech International Corp., Class A +.......................... 136,304 24,325 Manugistics Group, Inc. +........... 162,005 7,031 MAPICS, Inc. +/(1)/................. 84,864
-------------------------------------------------------------------------------- SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 74
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- INFORMATION PROCESSING - SOFTWARE - Continued 21,945 Micromuse, Inc. +.................. $ 176,657 4,510 Microstrategy, Inc. +.............. 243,540 2,893 Mobius Management Systems, Inc. +/(1)/.............. 43,424 7,699 MRO Software, Inc. +............... 106,246 9,612 MSC Software Corp. +/(1)/.......... 94,678 5,426 Nassda Corp. +..................... 38,253 13,975 NDCHealth Corp..................... 373,831 10,257 Netegrity, Inc. +/(1)/............. 125,648 21,415 NetIQ Corp. +...................... 256,766 2,236 Nuance Communications, Inc. +...... 17,821 5,804 Omnicell, Inc. +................... 76,381 24,159 Openwave Systems, Inc. +........... 290,633 4,385 Opnet Technologies, Inc. +......... 78,886 9,282 Packeteer, Inc. +.................. 176,070 3,614 PalmSource, Inc. +/(1)/............ 92,482 85,826 Parametric Technology Corp. +...... 293,525 5,790 PDF Solutions, Inc. +/(1)/......... 64,095 10,764 Per-Se Technologies, Inc. +........ 151,234 23,125 Pinnacle Systems, Inc. +........... 192,862 10,485 Progress Software Corp. +.......... 219,766 14,873 Pumatech, Inc. +................... 89,982 4,102 QAD, Inc. +........................ 50,578 1,320 Quality Systems, Inc. +............ 56,496 15,753 Quest Software, Inc. +............. 233,932 19,166 Raindance Communications, Inc. +... 51,173 3,068 Renaissance Learning, Inc. +/(1)/.. 71,178 21,600 Retek, Inc. +...................... 224,208 11,755 Roxio, Inc. +/(1)/................. 63,595 19,119 RSA Security, Inc. +/(1)/.......... 281,049 27,825 S1 Corp. +......................... 245,695 5,543 Sanchez Computer Associates, Inc. + 24,112 29,727 ScanSoft, Inc. +/(1)/.............. 178,362 9,523 Seachange International, Inc. +.... 143,321 19,245 SeeBeyond Technology Corp. +....... 74,671 9,127 Serena Software, Inc. +/(1)/....... 175,421 4,924 SPSS, Inc. +....................... 95,378 2,947 SS&C Technologies, Inc............. 86,937 7,045 Stellent, Inc. +................... 69,534 9,927 SupportSoft, Inc. +/(1)/........... 145,530 33,078 Sybase, Inc. +..................... 678,099 5,441 Talx Corp./(1)/.................... 142,554 33,660 TIBCO Software, Inc. +............. 196,911 6,960 Tradestation Group, Inc. +......... 62,222
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- INFORMATION PROCESSING - SOFTWARE - Continued 13,508 Transaction Systems Architects, Inc., Class A +........................... $ 265,837 4,358 Ulticom, Inc. +...................... 47,154 10,744 Vastera, Inc. +/(1)/................. 41,902 2,481 Verint Systems, Inc. +............... 57,510 8,404 Verity, Inc. +....................... 120,681 82,799 Vignette Corp. +..................... 191,266 15,000 VitalWorks, Inc. +................... 74,850 7,367 Vitria Technology, Inc. +/(1)/....... 41,845 13,175 WatchGuard Technologies, Inc. +...... 81,817 9,655 WebEx Communications, Inc. +/(1)/.... 190,783 27,611 Wind River Systems, Inc. +........... 179,748 ------------- 17,136,264 ------------- INSURANCE - 2.20% 9,254 21st Century Insurance Group #....... 129,556 13,548 Alfa Corp............................ 171,924 19,991 Allmerica Financial Corp. +.......... 546,754 4,590 American Medical Security Group, Inc. +....................... 103,229 3,492 American Physicians Capital, Inc. +.. 57,618 8,286 AMERIGROUP Corp. +................... 363,838 15,677 AmerUs Group Co./(1)/................ 563,588 8,096 Argonaut Group, Inc. +............... 129,536 3,036 Baldwin & Lyons, Inc., Class B....... 75,839 7,117 Centene Corp. +/(1)/................. 218,492 11,474 Citizens, Inc., Class A +............ 113,593 6,221 CNA Surety Corp. +................... 60,219 9,285 Commerce Group, Inc./(1)/............ 371,493 4,310 Crawford & Co., Class B.............. 31,248 6,561 Delphi Financial Group, Inc., Class A/(1)/........................ 348,389 1,309 Donegal Group, Inc., Class A......... 26,311 927 EMC Insurance Group, Inc............. 18,957 1,214 Enstar Group, Inc. +/(1)/............ 51,897 4,685 FBL Financial Group, Inc., Class A... 122,513 3,179 Financial Industries Corp............ 45,333 2,676 Great American Financial Resources, Inc...................... 40,541 12,095 Harleysville Group, Inc.............. 237,062 12,049 Hilb, Rogal & Hamilton Co./(1)/...... 350,626 15,691 Horace Mann Educators Corp........... 211,985 1,308 Independence Holding Co.............. 29,077 4,962 Infinity Property & Casualty Corp.... 163,845
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- INSURANCE - Continued 1,459 Kansas City Life Insurance Co........... $ 70,762 7,436 LandAmerica Financial Group, Inc........ 382,210 2,856 Midland Co.............................. 60,490 865 National Western Life Insurance Co., Class A +.............................. 122,354 1,654 Navigators Group, Inc. +................ 52,614 868 NYMAGIC, Inc............................ 23,288 22,261 Ohio Casualty Corp. +/(1)/.............. 378,660 3,694 Penn-America Group, Inc................. 53,969 6,245 Philadelphia Cons. Holding Corp. +...... 316,184 37,764 Phoenix Cos., Inc./(1)/................. 424,845 8,584 PMA Capital Corp., Class A/(1)/......... 34,079 8,273 Presidential Life Corp.................. 119,959 9,513 ProAssurance Corp. +.................... 293,952 7,264 RLI Corp................................ 262,957 3,801 Safety Insurance Group, Inc............. 67,468 10,787 Selective Insurance Group, Inc.......... 349,607 9,340 Sierra Health Services, Inc. +/(1)/..... 255,916 5,153 State Auto Financial Corp............... 133,926 3,056 Triad Guaranty, Inc. +.................. 142,562 14,982 UICI +.................................. 206,901 2,883 United Fire & Casualty Co............... 115,320 9,439 Universal American Financial Corp. +.... 98,260 8,967 USI Holdings Corp. +.................... 114,419 3,540 Zenith National Insurance Corp./(1)/.... 115,581 ------------- 8,779,746 ------------- LEISURE AND TOURISM - 4.06% 6,166 Action Performance Cos., Inc./(1)/...... 119,744 35,481 Activision, Inc. +...................... 542,859 19,799 Alliance Gaming Corp. +................. 518,734 13,708 Alloy, Inc. +/(1)/...................... 73,749 2,080 Ambassadors Group, Inc.................. 44,470 12,452 AMC Entertainment, Inc. +............... 188,648 4,295 Ameristar Casinos, Inc. +/(1)/.......... 99,902 5,950 Arctic Cat, Inc./(1)/................... 141,431 9,139 Argosy Gaming Co. +..................... 231,582 11,314 Aztar Corp. +........................... 251,736 12,031 Bally Total Fitness Holding Corp. +/(1)/ 84,217 14,059 Bob Evans Farms, Inc.................... 433,861 9,990 Boca Resorts, Inc., Class A +........... 142,657 12,845 Boyd Gaming Corp........................ 210,144 6,657 California Pizza Kitchen, Inc. +........ 123,154 26,392 Callaway Golf Co........................ 433,621
-------------------------------------------------------------------------------- SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 75
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- LEISURE AND TOURISM - Continued 542 Carmike Cinemas, Inc. +/(1)/.......... $ 19,756 9,379 CEC Entertainment, Inc. +............. 471,576 103,996 Charter Communications, Inc., Class A +/(1)/....................... 418,064 4,319 Chicago Pizza & Brewery, Inc. +/(1)/.. 61,459 7,869 Choice Hotels International, Inc. +... 278,169 2,394 Churchill Downs, Inc.................. 87,905 18,874 CKE Restaurants, Inc. +/(1)/.......... 132,118 4,444 Dave & Buster's, Inc. +............... 61,816 9,192 Dollar Thrifty Automotive Group, Inc. +........................ 232,098 3,363 Dover Downs Gaming & Entertainment, Inc................... 30,603 5,816 Dover Motorsports, Inc................ 24,311 26,495 Extended Stay America, Inc............ 392,126 4,947 Gaylord Entertainment Co. +/(1)/...... 148,855 9,565 Handleman Co./(1)/.................... 168,344 21,318 Hollywood Entertainment Corp. +....... 291,204 7,939 IHOP Corp............................. 309,621 17,819 Insight Communications, Inc., Class A +/(1)/....................... 173,557 6,046 Isle of Capri Casinos, Inc. +......... 121,833 13,657 Jack in the Box, Inc. +............... 284,748 9,864 Jakks Pacific, Inc. +/(1)/............ 134,052 9,423 K2, Inc. +............................ 144,172 55,481 La Quinta Corp. +..................... 346,201 8,669 Landry's Seafood Restaurants, Inc..... 212,564 6,096 Lone Star Steakhouse & Saloon, Inc.... 140,635 16,440 Macrovision Corp. +................... 376,476 15,775 Magna Entertainment Corp., Class A +/(1)/....................... 74,143 7,717 Marcus Corp........................... 115,369 2,269 Marine Products Corp.................. 37,098 10,402 Midway Games, Inc. +/(1)/............. 35,159 9,138 MTR Gaming Group, Inc. +.............. 101,432 4,262 Multimedia Games, Inc. +/(1)/......... 174,444 11,443 Nautilus Group, Inc./(1)/............. 162,834 5,050 Navigant International, Inc. +/(1)/... 70,195 4,254 NetFlix, Inc. +/(1)/.................. 208,446 8,012 O'Charley's, Inc. +/(1)/.............. 136,605 11,155 Panera Bread Co., Class A +/(1)/...... 434,822 4,517 Papa John's International, Inc. +/(1)/ 119,204 4,034 Party City Corp. +.................... 57,928 12,347 Penn National Gaming, Inc. +.......... 291,636 10,144 PF Chang's China Bistro, Inc. +/(1)/.. 547,573
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- LEISURE AND TOURISM - Continued 8,624 Pinnacle Entertainment, Inc. +........ $ 78,737 5,833 Playboy Enterprises, Inc., Class B +.. 94,553 14,787 Prime Hospitality Corp. +............. 162,953 11,836 Rare Hospitality International, Inc. + 295,900 5,371 RC2 Corp. +........................... 114,295 3,512 Red Robin Gourmet Burgers, Inc. +/(1)/ 94,543 16,902 Ryan's Family Steakhouses, Inc. +..... 250,826 19,766 Scientific Games Corp., Class A +..... 321,395 11,992 SCP Pool Corp. +...................... 429,553 6,673 Shuffle Master, Inc. +/(1)/........... 199,589 37,155 Six Flags, Inc. +..................... 250,796 15,524 Sonic Corp. +......................... 479,226 5,642 Speedway Motorsports, Inc............. 165,311 8,879 Steak N Shake Co. +................... 156,270 1,765 Steinway Musical Instruments, Inc. +.. 42,184 14,618 Take-Two Interactive Software, Inc. +. 483,856 7,167 Thor Industries, Inc.................. 437,044 15,248 THQ, Inc. +/(1)/...................... 245,340 12,652 Tivo, Inc. +/(1)/..................... 105,518 5,472 Trans World Entertainment Corp. +/(1)/ 38,687 13,254 Triarc Cos., Inc., Class B/(1)/....... 153,746 7,511 Vail Resorts, Inc. +.................. 114,393 8,830 WMS Industries, Inc. +/(1)/........... 235,761 ------------- 16,220,136 ------------- MACHINERY - 2.62% 8,478 Actuant Corp., Class A +.............. 263,242 2,164 Alamo Group, Inc...................... 31,876 10,655 Albany International Corp., Class A... 330,412 6,823 Applied Industrial Technologies, Inc.. 161,705 5,952 Astec Industries, Inc. +.............. 78,507 12,634 Aviall, Inc. +........................ 202,144 11,739 Baldor Electric Co.................... 254,736 7,121 Brady Corp., Class A.................. 273,090 8,675 Briggs & Stratton Corp................ 585,562 4,120 Carbo Ceramics, Inc................... 180,003 9,999 Clarcor, Inc.......................... 437,856 13,593 Cognex Corp........................... 373,400 5,938 Cuno, Inc. +.......................... 253,018 8,195 EnPro Industries, Inc. +.............. 81,212 18,855 Flowserve Corp. +..................... 401,234 2,671 Franklin Electric Co., Inc............ 167,338 6,436 Gardner Denver, Inc. +................ 150,088 2,438 General Binding Corp. +............... 45,371
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- MACHINERY - Continued 9,847 Global Power Equipment Group, Inc. +/(1)/..................... $ 61,938 2,943 Gorman-Rupp Co.......................... 70,338 13,132 Granite Construction, Inc............... 289,561 9,400 Hughes Supply, Inc...................... 429,580 10,228 IDEX Corp............................... 403,801 9,035 Insituform Technologies, Inc., Class A + 135,977 7,042 Ionics, Inc. +/(1)/..................... 226,400 17,252 JLG Industries, Inc..................... 259,470 19,201 Joy Global, Inc. +...................... 403,221 4,768 Kadant, Inc. +.......................... 85,586 12,514 Kennametal, Inc......................... 481,038 4,707 Lindsay Manufacturing Co./(1)/.......... 114,710 2,301 Lufkin Industries, Inc.................. 59,803 5,870 Lydall, Inc. +.......................... 71,849 10,595 Manitowoc Co., Inc...................... 286,065 13,570 Milacron, Inc./(1)/..................... 31,482 1,845 NACCO Industries, Inc., Class A......... 143,910 9,060 Nordson Corp............................ 294,541 12,249 Presstek, Inc. +/(1)/................... 98,604 2,513 Quixote Corp............................ 61,920 9,429 Regal-Beloit Corp....................... 194,709 4,333 Robbins & Myers, Inc.................... 95,586 4,033 Sauer-Danfoss, Inc...................... 64,528 3,282 SPS Technologies, Inc. +................ 160,687 11,430 Stewart & Stevenson Services, Inc....... 160,477 6,479 Tecumseh Products Co., Class A.......... 266,676 3,404 Tennant Co.............................. 146,780 17,538 Terex Corp. +........................... 452,305 9,105 Toro Co................................. 451,062 12,683 Wabtec Corp............................. 198,489 ------------- 10,471,887 ------------- MEDICAL - BIOMEDICAL/GENE - 0.31% 6,567 Alexion Pharmaceuticals, Inc. +/(1)/.... 123,131 18,288 Decode Genetics, Inc. +/(1)/............ 153,071 19,673 Exelixis, Inc. +........................ 132,399 12,458 Gene Logic, Inc. +/(1)/................. 60,670 3,431 Genencor International, Inc. +.......... 54,278 10,839 Myriad Genetics, Inc. +/(1)/............ 128,117 3,225 Progenics Pharmaceuticals, Inc. +/(1)/.. 56,566 13,736 Regeneron Pharmaceuticals, Inc. +/(1)/.. 176,920 11,078 Repligen Corp. +/(1)/................... 53,507 22,502 Savient Pharmaceuticals, Inc. +......... 111,160 2,582 Sirna Therapeutics, Inc. +/(1)/......... 15,105
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NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- MEDICAL - BIOMEDICAL/GENE - Continued 11,803 Transkaryotic Therapies, Inc. +/(1)/..... $ 153,321 ------------ 1,218,245 ------------ MEDICAL TECHNOLOGY - 3.06% 9,731 Aclara Biosciences, Inc. +............... 31,139 11,041 Aksys, Ltd. +/(1)/....................... 79,937 10,531 Albany Molecular Research, Inc. +........ 148,487 25,484 Alkermes, Inc. +/(1)/.................... 333,331 8,622 Aphton Corp. +/(1)/...................... 53,025 28,895 Applera Corp. - Celera Genomics Group +................................. 392,105 7,439 Arena Pharmaceuticals, Inc. +............ 51,255 13,991 Ariad Pharmaceuticals, Inc. +............ 115,426 3,718 Aspect Medical Systems, Inc. +........... 35,358 24,258 Avant Immunotherapeutics, Inc. +/(1)/.... 63,799 7,557 Biolase Technology, Inc. +/(1)/.......... 92,724 2,032 Bioreliance Corp. +...................... 94,061 4,185 Biosite, Inc. +/(1)/..................... 112,367 7,747 Cambrex Corp............................. 187,942 2,718 Cantel Medical Corp. +................... 42,727 20,642 Cardiac Science, Inc. +/(1)/............. 73,692 13,321 CardioDynamics International Corp. +/(1)/ 86,586 13,779 Cell Genesys, Inc. +/(1)/................ 179,678 11,425 Cepheid, Inc. +/(1)/..................... 88,315 5,878 Cerus Corp. +/(1)/....................... 19,985 5,460 Cholestech Corp. +....................... 40,404 8,663 Ciphergen Biosystems, Inc. +/(1)/........ 90,182 11,212 Connetics Corp. +........................ 197,892 6,546 CryoLife, Inc. +/(1)/.................... 35,087 9,701 CTI Molecular Imaging, Inc. +/(1)/....... 149,395 17,184 CuraGen Corp. +.......................... 108,259 7,983 Cyberonics, Inc. +/(1)/.................. 219,453 44,978 Cytyc Corp. +............................ 579,766 4,981 Digene Corp. +/(1)/...................... 197,995 7,787 Diversa Corp. +.......................... 65,411 2,613 DJ Orthopedics, Inc. +................... 67,807 9,024 Enzo Biochem, Inc. +/(1)/................ 166,493 17,433 Enzon, Inc. +/(1)/....................... 188,102 5,864 Exact Sciences Corp. +/(1)/.............. 60,986 19,098 Gen-Probe, Inc. +........................ 663,083 12,031 Geron Corp. +/(1)/....................... 147,019 6,407 Haemonetics Corp. +...................... 146,336 8,298 Hanger Orthopedic Group, Inc. +/(1)/..... 140,236 7,898 Hologic, Inc. +.......................... 118,786
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- MEDICAL TECHNOLOGY- Continued 6,179 I-STAT Corp. +/(1)/................... $ 77,855 7,202 Igen International, Inc. +/(1)/....... 425,566 4,388 II-VI, Inc. +......................... 99,871 7,676 Immucor Corp. +/(1)/.................. 177,316 16,728 Immunomedics, Inc. +/(1)/............. 64,570 7,132 Inamed Corp. +........................ 558,864 28,753 Incyte Genomics, Inc. +............... 173,956 7,141 Integra LifeSciences Corp. +/(1)/..... 224,156 10,040 InterMune, Inc. +..................... 211,944 6,978 Interpore International, Inc. +....... 84,992 7,076 Kosan Biosciences, Inc. +............. 67,293 5,238 Laserscope +/(1)/..................... 83,808 12,859 Lexicon Genetics, Inc. +/(1)/......... 67,510 1,901 Lifeline Systems, Inc. +.............. 66,535 8,421 Luminex Corp. +/(1)/.................. 88,842 9,097 Martek Biosciences Corp. +/(1)/....... 552,552 9,096 Maxygen, Inc. +....................... 98,692 18,811 Nektar Therapeutics +/(1)/............ 247,929 5,586 Neose Technologies, Inc. +/(1)/....... 47,090 8,121 Noven Pharmaceuticals, Inc. +......... 111,501 6,552 Novoste Corp. +....................... 32,826 13,712 OraSure Technologies, Inc. +/(1)/..... 114,358 6,133 Osteotech, Inc. +..................... 46,917 16,776 Palatin Technologies, Inc. +/(1)/..... 52,006 42,079 Peregrine Pharmaceuticals, Inc. +/(1)/ 101,831 6,267 Possis Medical, Inc. +/(1)/........... 106,790 17,987 Praecis Pharmaceuticals, Inc. +....... 136,701 10,880 Quidel Corp. +........................ 93,568 9,327 Regeneration Technologies, Inc. +/(1)/ 97,001 2,493 Retractable Technologies, Inc. +/(1)/. 14,883 8,461 Seattle Genetics, Inc. +/(1)/......... 52,627 9,091 Serologicals Corp. +/(1)/............. 156,820 2,785 Specialty Laboratories, Inc. +/(1)/... 46,509 5,603 SurModics, Inc. +/(1)/................ 118,615 3,388 Synovis Life Technologies, Inc. +/(1)/ 87,105 12,878 Telik, Inc. +/(1)/.................... 260,264 9,656 Therasense, Inc. +/(1)/............... 164,635 9,622 Third Wave Technologies, Inc. +....... 41,375 19,131 Thoratec Corp. +/(1)/................. 269,556 8,855 TriPath Imaging, Inc. +............... 80,758 4,933 Ventana Medical Systems, Inc. +....... 185,875 11,953 Viasys Healthcare, Inc. +............. 244,678 3,586 Vital Images, Inc. +/(1)/............. 63,938 4,333 West Pharmaceutical Services, Inc..... 147,322 6,316 Wright Medical Group, Inc. +.......... 175,964
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- MEDICAL TECHNOLOGY- Continued 3,403 Zoll Medical Corp. +/(1)/............ $ 115,872 ------------- 12,204,267 ------------- MERCHANDISING - SPECIALTY - 0.11% 13,307 Petco Animal Supplies, Inc. +........ 445,252 ------------- METALS - 1.30% 38,865 AK Steel Holding Corp. +............. 116,595 32,479 Allegheny Technologies, Inc./(1)/.... 266,328 7,666 AMCOL International Corp............. 109,777 1,877 Ampco-Pittsburgh Corp................ 20,121 5,355 Brush Engineered Materials, Inc. +... 72,185 8,007 Carpenter Technology Corp............ 214,588 4,945 Century Aluminum Co. +............... 82,087 4,948 Circor International, Inc............ 108,856 3,648 Cleveland-Cliffs, Inc. +/(1)/........ 140,813 10,075 Commercial Metals Co................. 259,331 3,793 Gibraltar Steel Corp................. 92,473 2,153 Greenbrier Companies, Inc. +......... 31,154 43,884 Hecla Mining Co. +/(1)/.............. 325,619 1,937 Lawson Products, Inc................. 65,722 6,873 Liquidmetal Technologies, Inc. +/(1)/ 14,433 3,137 Material Sciences Corp. +............ 29,770 16,806 Maverick Tube Corp. +................ 310,575 13,745 Mueller Industries, Inc. +........... 444,238 4,277 NN, Inc.............................. 49,699 5,880 NS Group, Inc. +..................... 43,924 6,509 Quanex Corp.......................... 257,301 8,212 Reliance Steel & Aluminum Co......... 242,090 10,260 Roper Industries, Inc................ 514,436 6,412 Royal Gold, Inc./(1)/................ 136,640 7,614 RTI International Metals, Inc. +..... 103,170 8,700 Ryerson Tull, Inc./(1)/.............. 78,387 3,616 Schnitzer Steel Industries, Inc., Class A/(1)/........................ 195,662 15,059 Steel Dynamics, Inc. +/(1)/.......... 301,481 12,284 Tredegar Corp........................ 189,174 32,941 USEC, Inc............................ 248,046 5,876 Valmont Industries, Inc.............. 133,385 ------------- 5,198,060 -------------
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NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------- MISCELLANEOUS - 0.27% 4,464 Applied Films Corp. +...................... $ 148,160 21,765 Brinks Co.................................. 483,183 9,740 Concord Camera Corp. +..................... 117,562 38,729 Stewart Enterprises, Inc., Class A +....... 180,864 17,762 Westell Technologies, Inc. +............... 131,439 ------------- 1,061,208 ------------- MOBILE HOMES - 0.29% 21,000 Champion Enterprises, Inc. +/(1)/.......... 151,620 5,570 Coachmen Industries, Inc./(1)/............. 96,082 14,416 Fleetwood Enterprises, Inc. +/(1)/......... 146,611 3,130 Modtech Holdings, Inc. +/(1)/.............. 25,948 10,210 Monaco Coach Corp. +/(1)/.................. 237,485 6,897 Palm Harbor Homes, Inc. +/(1)/............. 131,043 2,434 Skyline Corp............................... 78,131 4,989 Winnebago Industries, Inc./(1)/............ 275,742 ------------- 1,142,662 ------------- MULTIMEDIA - 0.01% 4,861 Martha Stewart Living, Inc., Class A +/(1)/ 47,541 ------------- OIL AND GAS - 3.06% 3,171 Atwood Oceanics, Inc. +.................... 81,463 6,345 Berry Petroleum Co., Class A............... 121,316 10,059 Cabot Oil & Gas Corp., Class A............. 267,167 14,069 Cal Dive International, Inc. +............. 298,263 16,653 Cimarex Energy Co. +....................... 385,017 1,379 Clayton Williams Energy, Inc. +............ 31,372 11,426 Comstock Resources, Inc. +................. 186,244 13,736 Denbury Resources, Inc. +.................. 173,623 2,491 Dril-Quip, Inc. +.......................... 37,240 3,513 Encore Acquisition Co. +................... 75,740 14,015 Energen Corp............................... 545,744 8,443 Energy Partners, Ltd. +.................... 102,582 15,516 Evergreen Resources, Inc. +/(1)/........... 434,914 16,176 Forest Oil Corp. +......................... 405,209 10,483 Frontier Oil Corp./(1)/.................... 181,356 28,544 Global Industries, Ltd. +.................. 121,597 67,537 Grey Wolf, Inc. +.......................... 228,950 2,821 Gulf Island Fabrication, Inc. +............ 50,214 20,790 Hanover Compressor Co. +................... 197,921 14,127 Harvest Natural Resources, Inc. +.......... 104,681 3,960 Holly Corp................................. 105,178 10,598 Horizon Offshore, Inc. +/(1)/.............. 47,479
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ OIL AND GAS - Continued 5,465 Houston Exploration Co. +........... $ 186,411 5,531 Hydril Co. +........................ 132,025 17,722 Input/Output, Inc. +................ 69,293 13,646 KCS Energy, Inc. +/(1)/............. 123,633 7,639 Laclede Group, Inc./(1)/............ 223,441 10,104 Lone Star Technologies, Inc. +...... 139,940 26,963 Magnum Hunter Resources, Inc. +..... 242,397 6,404 Matrix Service Co. +................ 102,144 4,717 McMoRan Exploration Co. +/(1)/...... 84,717 14,127 Meridian Resource Corp. +/(1)/...... 64,419 10,882 New Jersey Resources Corp........... 417,869 881 North Coast Energy, Inc. +.......... 9,427 7,033 Nuevo Energy Co. +.................. 138,831 9,023 Oceaneering International, Inc. +... 197,153 10,171 Oil States International, Inc. +.... 127,748 34,789 Parker Drilling Co. +............... 83,146 11,966 Patina Oil & Gas Corp............... 537,034 2,907 Penn Virginia Corp.................. 136,367 2,153 Petrocorp, Inc. +................... 29,152 6,293 Petroleum Development Corp. +....... 89,361 15,387 Plains Exploration & Production Co. +................... 215,572 8,053 Plains Resources, Inc. +............ 124,983 3,573 Prima Energy Corp. +................ 105,761 4,502 Quicksilver Resources, Inc. +/(1)/.. 135,555 21,001 Range Resources Corp. +............. 165,908 8,407 Remington Oil & Gas Corp. +......... 150,065 3,870 RPC, Inc............................ 38,894 6,839 Seacor Smit, Inc. +................. 260,840 14,254 Southwestern Energy Co. +........... 290,924 9,922 Spinnaker Exploration Co. +......... 261,346 11,274 St. Mary Land & Exploration Co./(1)/ 289,742 9,069 Stone Energy Corp. +................ 338,818 19,278 Superior Energy Services, Inc. +.... 163,477 10,290 Swift Energy Co. +.................. 146,015 23,173 Tesoro Petroleum Corp. +/(1)/....... 293,834 8,003 Tetra Technologies, Inc. +.......... 179,267 12,666 Tom Brown, Inc. +................... 354,141 6,932 TransMontaigne, Inc. +.............. 41,661 14,717 Unit Corp. +........................ 303,170 5,348 Universal Compression Holdings, Inc. +................... 125,411 18,459 UNOVA, Inc. +....................... 441,539
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- OIL AND GAS - Continued 12,337 Veritas DGC, Inc. +................... $ 111,156 19,841 Vintage Petroleum, Inc................ 206,545 8,928 W-H Energy Services, Inc. +........... 133,027 ------------ 12,195,429 ------------ OPTICAL INSTRUMENTS & LENSES - 0.05% 7,452 Ocular Sciences, Inc. +............... 213,351 ------------ PAPER/FOREST PRODUCTS - 0.68% 10,709 Buckeye Technologies, Inc. +.......... 109,339 10,513 Caraustar Industries, Inc. +.......... 122,476 5,735 Chesapeake Corp....................... 131,905 3,862 Deltic Timber Corp.................... 109,372 11,414 Glatfelter............................ 136,740 20,490 Longview Fibre Co..................... 224,775 41,959 Louisiana-Pacific Corp. +............. 759,038 6,273 Pope & Talbot, Inc.................... 84,999 10,502 Potlatch Corp......................... 338,690 9,801 Rock-Tenn Co., Class A................ 155,836 5,933 Schweitzer-Mauduit International, Inc. 164,463 6,232 Universal Forest Products, Inc........ 189,702 14,787 Wausau-Mosinee Paper Corp............. 181,880 ------------ 2,709,215 ------------ POLLUTION CONTROL - 0.42% 1,567 BHA Group Holdings, Inc., Class A..... 39,332 13,673 Calgon Carbon Corp./(1)/.............. 84,089 3,136 Clean Harbors, Inc. +/(1)/............ 28,945 22,414 Darling International, Inc. +......... 62,311 3,059 Duratek, Inc. +....................... 30,712 2,160 Gundle/Slt Environmental, Inc. +...... 41,796 10,072 KFX, Inc. +/(1)/...................... 60,331 2,531 Mine Safety Appliances Co............. 169,906 29,125 Newpark Resources, Inc. +............. 117,083 20,111 Tetra Tech, Inc. +.................... 512,830 4,712 TRC Cos., Inc. +/(1)/................. 95,230 11,326 Waste Connections, Inc. +............. 419,062 ------------ 1,661,627 ------------
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NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------ PUBLISHING - 0.59% 9,443 Banta Corp................................. $ 375,831 13,487 Bowne & Co., Inc........................... 198,798 4,460 Consolidated Graphics, Inc. +.............. 134,023 1,509 Courier Corp............................... 83,765 6,552 Ennis Business Forms, Inc.................. 96,839 16,828 Hollinger International, Inc., Class A/(1)/ 267,733 5,072 Information Holdings, Inc. +............... 112,852 12,442 Journal Register Co. +..................... 248,218 12,160 Mail-Well, Inc. +.......................... 45,965 9,079 Network Equipment Technologies, Inc. +/(1)/................. 94,422 4,052 New England Business Service, Inc.......... 121,560 59,187 Primedia, Inc. +........................... 171,642 1,837 Pulitzer, Inc.............................. 97,361 4,715 Standard Register Co./(1)/................. 74,874 3,193 Thomas Nelson, Inc......................... 56,197 12,507 Topps Co., Inc............................. 131,824 548 Value Line, Inc............................ 26,852 ------------ 2,338,756 ------------ RAILROADS & EQUIPMENT - 0.19% 5,864 Florida East Coast Industries, Inc......... 178,852 4,886 Genesee & Wyoming, Inc., Class A +......... 123,421 24,731 Kansas City Southern +/(1)/................ 328,922 11,863 RailAmerica, Inc. +/(1)/................... 134,645 ------------ 765,840 ------------ REAL ESTATE - 0.16% 856 American Realty Investments, Inc. +/(1)/... 9,844 2,085 Avatar Holdings, Inc. +.................... 70,577 2,253 Consolidated-Tomoka Land Co................ 69,280 10,674 Jones Lang LaSalle, Inc. +................. 223,620 5,542 Reading International, Inc., Class A +/(1)/ 34,582 2,185 Tarragon Reality Investors, Inc. +......... 33,868 12,370 Trammell Crow Co. +........................ 166,376 1,112 United Capital Corp........................ 22,229 ------------ 630,376 ------------ REAL ESTATE INVESTMENT TRUSTS - 4.58% 5,740 Acadia Realty Trust........................ 69,282 794 Alexander's, Inc. +........................ 94,685 7,624 Alexandria Real Estate Equities, Inc....... 427,706 2,055 American Land Lease, Inc................... 40,833
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS - Continued 3,235 American Mortgage Acceptance Co...... $ 51,113 5,732 AMLI Residential Properties.......... 148,000 19,181 Anthracite Capital, Inc.............. 199,482 14,974 Anworth Mtg. Asset Corp.............. 209,037 11,977 Apex Mtg. Capital, Inc............... 68,149 6,567 Associated Estates Realty Corp....... 48,136 5,281 Bedford Property Investors, Inc...... 148,132 6,956 Boykin Lodging Co.................... 63,161 10,413 Brandywine Realty Trust.............. 281,672 1,396 BRT Realty Trust..................... 33,337 9,895 Capital Automotive REIT.............. 315,304 3,979 Capstead Mtg. Corp./(1)/............. 60,759 7,468 Colonial Properties Trust............ 287,518 16,943 Commercial Net Lease Realty, Inc..... 303,280 21,911 Cornerstone Realty Income Trust, Inc. 201,143 11,654 Corporate Office Properties Trust.... 241,121 4,340 Correctional Properties Trust........ 121,086 4,959 Criimi MAE, Inc. +................... 55,541 6,194 EastGroup Properties, Inc............ 192,943 6,918 Entertainment Properties Trust....... 239,155 16,266 Equity Inns, Inc..................... 149,647 11,027 Equity One, Inc...................... 189,113 6,660 Essex Property Trust, Inc............ 425,907 19,612 FelCor Lodging Trust, Inc. +......... 207,299 15,743 First Industrial Realty Trust, Inc... 521,408 9,859 Gables Residential Trust............. 318,446 6,255 Getty Realty Corp.................... 156,563 6,945 Glenborough Realty Trust, Inc........ 136,469 12,346 Glimcher Realty Trust/(1)/........... 269,266 5,695 Great Lakes REIT, Inc./(1)/.......... 89,753 16,186 Health Care REIT, Inc................ 565,215 7,425 Heritage Property Investment Trust, Inc./(1)/.................... 209,014 21,456 Highwoods Properties, Inc............ 526,530 11,173 Home Properties of New York, Inc..... 449,713 19,736 IMPAC Mtg. Holdings, Inc............. 360,379 10,768 Innkeepers USA Trust................. 91,313 14,396 Investors Real Estate Trust.......... 150,870 7,271 Keystone Property Trust Corp......... 147,310 9,691 Kilroy Realty Corp................... 301,099 7,590 Koger Equity, Inc.................... 153,242 8,535 Kramont Realty Trust................. 154,313 6,845 Lasalle Hotel Properties............. 124,442
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS - Continued 12,547 Lexington Corporate Properties Trust. $ 247,678 5,308 LTC Properties, Inc.................. 74,737 5,614 Manufactured Home Communities, Inc.................... 218,385 16,855 Meristar Hospitality Corp. +......... 104,501 23,747 MFA Mtg. Investments, Inc............ 230,346 6,173 Mid-America Apartment Communities, Inc.................... 202,845 6,094 Mission West Properties, Inc......... 76,784 8,896 National Health Investors, Inc....... 207,811 2,492 National Health Realty, Inc.......... 43,012 23,587 Nationwide Health Properties, Inc.... 429,519 10,086 Newcastle Investment Corp............ 247,107 3,979 Novastar Financial, Inc./(1)/........ 316,529 6,333 Omega Healthcare Investors, Inc./(1)/ 50,031 3,749 Parkway Properties, Inc.............. 161,132 11,797 Pennsylvania Real Estate Investment Trust............................... 406,997 12,662 Post Properties, Inc................. 363,399 12,474 Prentiss Properties Trust............ 396,050 8,193 Price Legacy Corp. +................. 29,904 5,162 PS Business Parks, Inc............... 201,318 7,928 RAIT Investment Trust................ 204,067 4,290 Ramco-Gershenson Properties Trust.... 111,755 18,711 Reckson Associates Realty Corp....... 449,064 5,065 Redwood Trust, Inc................... 268,546 4,387 Saul Centers, Inc.................... 123,713 18,238 Senior Housing Properties Trust...... 295,273 4,630 Sizeler Property Investors, Inc./(1)/ 49,032 10,981 SL Green Realty Corp................. 410,250 5,217 Sovran Self Storage, Inc............. 180,143 9,436 Summit Properties, Inc............... 215,707 5,506 Sun Communities, Inc................. 206,640 2,629 Tanger Factory Outlet Centers, Inc... 108,183 17,641 Taubman Centers, Inc................. 361,641 5,762 Town and Country Trust/(1)/.......... 136,559 670 Transcontinental Realty Investors, Inc. +................... 9,534 7,967 U.S. Restaurant Properties, Inc./(1)/ 131,615 2,228 United Mobile Homes, Inc............. 38,322 4,387 Universal Health Realty Income Trust. 130,294
-------------------------------------------------------------------------------- SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 79
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS - Continued 8,387 Urstadt Biddle Properties, Inc., Class A.............................. $ 116,160 29,749 Ventas, Inc........................... 595,575 14,603 Washington Real Estate Investment Trust..................... 448,020 6,895 Winston Hotels, Inc................... 70,260 ------------ 18,266,324 ------------ REGISTERED INVESTMENT COMPANIES - 0.02% 3,519 Gladstone Capital Corp................ 75,412 ------------ RETAIL - 3.69% 9,223 7-Eleven, Inc. +...................... 151,257 1 99 Cents Only Stores +/(1)/........... 28 5,051 AC Moore Arts & Crafts, Inc. +........ 110,970 5,862 Advanced Marketing Services, Inc./(1)/ 68,292 5,118 Big 5 Sporting Goods Corp. +.......... 109,986 27,799 BJ's Wholesale Club, Inc. +........... 707,485 4,397 Blue Rhino Corp. +/(1)/............... 55,314 13,490 Bombay Co., Inc. +/(1)/............... 138,003 7,588 Boyds Collection, Ltd. +.............. 32,628 4,825 Brookstone, Inc. +.................... 114,546 4,917 Building Materials Holding Corp....... 74,493 5,672 Burlington Coat Factory Warehouse Corp....................... 119,679 17,767 Casey's General Stores, Inc........... 310,389 9,722 Cash America International, Inc....... 188,412 6,335 Central Garden & Pet Co. +............ 167,941 4,729 Coldwater Creek, Inc. +/(1)/.......... 67,908 4,801 Cole National Corp., Class A +........ 100,725 9,532 Compucom Systems, Inc. +.............. 43,371 27,263 Copart, Inc. +........................ 327,156 8,579 Cost Plus, Inc. +..................... 401,240 1,740 Deb Shops, Inc./(1)/.................. 34,487 4,959 Department 56, Inc. +................. 70,071 5,062 Dick's Sporting Goods, Inc. +/(1)/.... 266,160 24,686 Dillard's, Inc., Class A.............. 415,959 12,701 Drugstore.Com, Inc. +................. 84,589 8,669 Duane Reade, Inc. +/(1)/.............. 120,326 7,052 Finish Line, Inc., Class A +.......... 215,862 2,491 Finlay Enterprises, Inc. +............ 40,479 9,679 Fossil, Inc. +........................ 282,143
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- RETAIL - Continued 14,527 Fred's, Inc., Class A.............. $ 484,475 6,778 Friedman's, Inc., Class A.......... 46,294 1,231 FTD, Inc., Class A +/(1)/.......... 30,307 2,674 Galyans Trading Co., Inc. +/(1)/... 35,698 8,452 Gamestop Corp., Class A +.......... 136,500 5,933 Great Atlantic & Pacific Tea Co., Inc. +/(1)/.................. 45,091 5,411 Guitar Center, Inc. +/(1)/......... 157,298 5,815 Hancock Fabrics, Inc............... 82,573 4,382 Hibbett Sporting Goods, Inc. +..... 135,930 34,876 Homestore Common, Inc. +........... 122,415 6,208 Imagistics International, Inc. +... 226,157 3,425 Ingles Markets, Inc., Class A...... 34,593 18,509 Insight Enterprises, Inc. +........ 346,118 7,001 Jo-Ann Stores, Inc. +.............. 140,370 1,783 Jos. A. Bank Clothiers, Inc. +/(1)/ 73,477 4,309 Kirkland's, Inc. +................. 90,058 17,695 Linens 'N Things, Inc. +........... 520,410 11,929 Longs Drug Stores Corp............. 292,260 3,251 MarineMax, Inc. +.................. 61,769 13,927 Men's Wearhouse, Inc. +............ 428,534 1,649 Mothers Work, Inc. +/(1)/.......... 41,654 2,947 Movado Group, Inc.................. 80,129 9,709 Movie Gallery, Inc. +.............. 171,752 7,706 Myers Industries, Inc.............. 96,556 4,473 Nash Finch Co...................... 89,952 263 Noland Co./(1)/.................... 9,660 12,758 Nu Skin Enterprises, Inc., Class A. 221,606 49,841 OfficeMax, Inc. +.................. 489,937 3,540 Overstock.com, Inc. +/(1)/......... 55,967 2,128 Pantry, Inc. +/(1)/................ 49,010 10,845 Pathmark Stores, Inc. +............ 78,735 9,064 Pozen, Inc. +...................... 106,593 8,319 Priceline.com, Inc. +.............. 158,560 7,693 Restoration Hardware, Inc. +....... 47,158 2,747 Rex Stores Corp. +/(1)/............ 43,210 13,093 Ruddick Corp....................... 221,272 6,535 School Specialty, Inc. +/(1)/...... 189,254 7,870 Select Comfort Corp. +/(1)/........ 211,782 3,755 Sharper Image Corp. +/(1)/......... 118,733 10,982 ShopKo Stores, Inc. +/(1)/......... 182,850 4,941 Smart & Final, Inc. +.............. 45,111 8,085 Sports Authority, Inc. +........... 351,697 14,656 Stamps.com, Inc. +................. 91,600
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- RETAIL - Continued 8,529 Sturm, Ruger & Co., Inc................. $ 98,339 14,302 Summit America Television, Inc. +....... 51,487 3,680 Systemax, Inc. +........................ 26,680 11,673 Tractor Supply Co. +.................... 508,242 5,486 Tuesday Morning Corp. +................. 175,333 8,013 Tweeter Home Entertainment Group, Inc. +/(1)/............................ 66,989 4,399 Ultimate Electronics, Inc. +/(1)/....... 36,292 12,252 United Stationers, Inc. +............... 494,368 9,850 Urban Outfitters, Inc. +/(1)/........... 384,150 4,483 Weis Markets, Inc....................... 159,147 4,778 West Marine, Inc. +/(1)/................ 120,453 4,285 Whitehall Jewellers, Inc. +/(1)/........ 45,464 6,930 Wilsons The Leather Experts, Inc. +/(1)/ 43,035 12,498 Yankee Candle Co., Inc. +............... 368,941 12,872 Zale Corp. + @.......................... 697,019 ------------- 14,738,943 ------------- RETIREMENT/AGED CARE - 0.13% 9,669 Genesis Health Ventures, Inc............ 303,703 6,683 Sunrise Assisted Living, Inc. +/(1)/.... 230,697 ------------- 534,400 ------------- SAVINGS & LOAN - 2.43% 8,328 Anchor BanCorp Wisconsin, Inc........... 208,950 15,026 Bank Mutual Corp........................ 173,400 16,864 BankAtlantic Bancorp, Inc., Class A..... 319,910 11,436 Bankunited Financial Corp. +............ 291,046 2,158 Berkshire Hills Bancorp, Inc............ 73,048 23,112 Brookline Bancorp, Inc.................. 347,142 3,019 Camco Financial Corp.................... 53,406 3,854 CFS Bancorp, Inc........................ 54,534 1,591 Charter Financial Corp./(1)/............ 53,298 3,431 Citizens First Bancorp, Inc............. 80,663 3,579 Citizens South Banking Corp............. 52,432 1,629 Coastal Bancorp, Inc.................... 57,015 4,155 Coastal Financial Corp.................. 70,510 3,006 Commercial Capital Bancorp, Inc. +...... 60,571 4,409 Connecticut Bancshares, Inc............. 227,637 8,155 Dime Community Bancshares............... 250,766 2,867 ESB Financial Corp...................... 46,589 1,686 EverTrust Financial Group, Inc.......... 51,086 5,309 Fidelity Bankshares, Inc................ 147,325
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NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- SAVINGS & LOAN - Continued 1,976 First Defiance Financial Corp....... $ 55,190 2,686 First Essex Bancorp, Inc............ 153,156 6,839 First Federal Capital Corp.......... 160,238 5,078 First Financial Holdings, Inc....... 159,957 4,653 First Indiana Corp.................. 86,778 28,383 First Niagara Financial Group, Inc.. 431,138 4,760 First Place Financial Corp.......... 87,965 8,874 First Sentinel Bancorp, Inc./(1)/... 168,429 5,886 Firstfed America Bancorp, Inc....... 153,389 6,809 FirstFed Financial Corp. +.......... 320,023 2,635 Flag Financial Corp./(1)/........... 34,097 11,723 Flagstar Bancorp, Inc............... 259,430 2,157 FloridaFirst Bancorp, Inc........... 60,827 3,802 Flushing Financial Corp............. 103,414 1,514 FMS Financial Corp.................. 29,584 1,679 GA Financial, Inc................... 48,254 8,405 Harbor Florida Bancshares, Inc...... 255,092 4,623 Hawthorne Financial Corp. +......... 124,590 2,163 Heritage Financial Corp............. 47,608 4,273 Horizon Financial Corp.............. 75,589 6,087 Hudson River Bancorp, Inc........... 211,584 1,875 Itla Capital Corp. +................ 94,162 2,453 Klamath First Bancorp............... 62,919 8,723 MAF Bancorp, Inc.................... 383,027 1,496 MASSBANK Corp....................... 60,379 1,771 MutualFirst Financial, Inc.......... 45,320 1,229 NASB Financial, Inc................. 50,389 4,418 Northwest Bancorp, Inc./(1)/........ 96,887 2,517 OceanFirst Financial Corp........... 66,373 15,668 Ocwen Financial Corp. +............. 108,893 674 Oneida Financial Corp............... 15,805 1,678 Parkvale Financial Corp............. 44,752 2,638 Partners Trust Financial Group, Inc. 75,763 1,508 PennFed Financial Services, Inc..... 48,631 5,037 PFF Bancorp, Inc.................... 188,384 1,431 Provident Bancorp, Inc.............. 68,616 1,386 Provident Financial Holdings, Inc... 46,445 19,009 Provident Financial Services, Inc... 393,676 2,038 Quaker City Bancorp, Inc............ 86,065 10,904 Seacoast Financial Services Corp.... 299,315 5,305 Sound Federal Bancorp, Inc./(1)/.... 89,389 2,892 St. Francis Capital Corp............ 100,671 19,795 Staten Island Bancorp, Inc.......... 455,285 5,929 Sterling Financial Corp. (Spokane) + 199,274
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- SAVINGS & LOAN - Continued 9,056 TierOne Corp. +......................... $ 214,718 2,631 Troy Financial Corp./(1)/............... 92,743 12,124 United Community Financial Corp./(1)/... 136,031 1,169 Warwick Community Bancorp, Inc.......... 35,304 12,245 Waypoint Financial Corp................. 262,900 1,926 Westfield Financial, Inc................ 46,340 4,453 Willow Grove Bancorp, Inc............... 75,256 2,352 WSFS Financial Corp./(1)/............... 101,418 ------------- 9,690,790 ------------- SCHOOLS - 0.31% 4,748 Bright Horizons Family Solutions, Inc. +...................... 179,945 3,640 Learning Tree International, Inc. +/(1)/ 63,227 6,412 Princeton Review, Inc. +/(1)/........... 51,296 4,273 Strayer Education, Inc.................. 477,422 14,487 Sylvan Learning Systems, Inc. +......... 468,944 ------------- 1,240,834 ------------- SEMICONDUCTORS - 3.36% 8,811 Actel Corp. +........................... 241,510 8,730 Alliance Semiconductor Corp. +.......... 72,110 6,708 Artisan Components, Inc. +/(1)/......... 138,648 15,470 Asyst Technologies, Inc. +.............. 282,327 10,748 ATMI, Inc. +/(1)/....................... 247,204 39,474 Axcelis Technologies, Inc. +............ 452,767 14,791 Brooks Automation, Inc. +............... 359,421 19,146 ChipPAC, Inc., Class A +/(1)/........... 148,764 27,772 Cirrus Logic, Inc. +.................... 238,839 8,403 Cohu, Inc............................... 176,631 107,439 Conexant Systems, Inc. +................ 542,567 25,312 Credence Systems Corp. +/(1)/........... 328,044 2,488 Diodes, Inc. +.......................... 50,631 4,782 Dupont Photomasks, Inc. +/(1)/.......... 111,038 21,173 Entegris, Inc. +........................ 271,861 12,246 ESS Technology, Inc. +.................. 204,263 16,045 Exar Corp. +............................ 311,113 12,510 Genesis Microchip, Inc. +............... 230,810 42,338 Globespan Virata, Inc. +................ 259,955 10,471 Helix Technology Corp................... 227,221 23 Hifn, Inc. +............................ 253 11,141 Integrated Silicon Solution, Inc. +..... 208,337 6,917 IXYS Corp. +............................ 58,103 27,842 Kopin Corp. +........................... 197,121
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ SEMICONDUCTORS - Continued 19,950 Kulicke & Soffa Industries, Inc. +.. $ 328,776 40,570 Lattice Semiconductor Corp. +....... 384,198 19,875 LTX Corp. +......................... 331,515 11,177 Mattson Technology, Inc. +.......... 171,567 22,465 Micrel, Inc. +...................... 384,151 11,609 Microsemi Corp. +................... 281,286 10,492 MKS Instruments, Inc. +............. 290,733 9,034 Monolithic Systems Technology, Inc. +/(1)/............ 67,394 12,993 Mykrolis Corp. +.................... 205,809 9,293 Omnivision Technologies, Inc. +/(1)/ 605,532 11,198 ON Semiconductor Corp. +............ 73,683 6,091 ParthusCeva, Inc. +/(1)/............ 53,296 8,365 Pericom Semiconductor Corp. +....... 98,038 11,439 Photronics, Inc. +/(1)/............. 211,278 10,304 Power Integrations, Inc. +.......... 373,314 4,681 Rudolph Technologies, Inc. +........ 108,365 6,503 Semitool, Inc. +.................... 74,004 23,559 Semtech Corp. +..................... 572,484 2,349 Siliconix, Inc. +/(1)/.............. 119,306 55,620 Skyworks Solutions, Inc. +/(1)/..... 488,900 3,545 Supertex, Inc. +.................... 61,470 8,539 Three-Five Systems, Inc. +.......... 45,513 45,738 Transmeta Corp. +................... 150,935 53,436 Triquint Semiconductor, Inc. +...... 431,763 8,081 Ultratech Stepper, Inc. +........... 244,854 11,400 Varian Semiconductor Equipment Associates, Inc. +................. 530,784 9,140 Veeco Instruments, Inc. +........... 269,630 82,466 Vitesse Semiconductor Corp. +....... 602,002 7,487 White Electronic Designs Corp. +.... 77,191 10,046 Xicor, Inc. +....................... 131,100 16,263 Zoran Corp. +....................... 298,589 ------------- 13,426,998 ------------- TELECOMMUNICATIONS - 2.64% 14,598 Aether Systems, Inc. +.............. 72,552 8,921 Anaren, Inc. +...................... 133,547 59,268 Andrew Corp. + @.................... 697,584 3,513 Applied Signal Technology, Inc...... 76,583 21,319 Arris Group, Inc. +/(1)/............ 137,508 12,315 Aspect Communications Corp. +....... 181,277 6,673 Audiovox Corp., Class A +........... 92,555
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NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- TELECOMMUNICATIONS - Continued 23,171 Avanex Corp. +/(1)/................ $ 109,831 6,412 Boston Communications Group, Inc. +/(1)/................ 57,708 4,300 Centennial Communications Corp., Class A +......................... 21,156 68,952 Cincinnati Bell, Inc. +............ 393,716 4,551 Comtech Telecommunications Corp. +/(1)/... 151,721 7,043 CT Communications, Inc............. 100,715 5,160 D&E Communications, Inc............ 73,530 10,385 Ditech Communications Corp. +...... 182,257 7,704 Dobson Communications Corp., Class A +/(1)/.................... 45,454 4,275 EMS Technologies, Inc. +........... 90,844 55,281 Finisar Corp. +.................... 221,124 17,696 General Communication, Inc. +...... 154,840 5,025 Golden Telecom, Inc. +............. 139,444 5,183 Hickory Tech Corp.................. 62,714 1,345 Hungarian Telephone & Cable Corp. +..................... 13,840 5,217 Inet Technologies, Inc. +.......... 66,986 27,377 Infonet Services Corp., Class B +.. 52,016 5,790 Intrado, Inc. +/(1)/............... 115,511 9,213 Ixia +............................. 117,374 3,894 KVH Industries, Inc. +/(1)/........ 122,817 10,884 Lightbridge, Inc. +................ 104,813 7,901 MasTec, Inc. +/(1)/................ 104,925 24,480 McLeodUSA, Inc., Class A +/(1)/.... 39,168 7,499 Metro One Telecommunications, Inc. +/(1)/... 14,548 40,068 MRV Communications, Inc. +/(1)/.... 160,673 4,770 NII Holdings, Inc., Class B +/(1)/. 362,282 6,019 North Pittsburgh Systems, Inc...... 110,924 16,085 Plantronics, Inc. +................ 492,844 26,464 Powerwave Technologies, Inc. +/(1)/ 197,157 16,204 Price Communications Corp. +....... 208,221 19,702 Primus Telecommunications Group, Inc. +..................... 208,644 48,774 Proxim Corp., Class A +............ 68,771 17,117 PTEK Holdings, Inc. +/(1)/......... 149,260 21,720 RCN Corp. +/(1)/................... 22,154 22,923 Remec, Inc. +/(1)/................. 257,196 68,950 RF Micro Devices, Inc. +/(1)/...... 803,268 4,355 SafeNet, Inc. +.................... 144,760
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------------- TELECOMMUNICATIONS - Continued 17,374 SBA Communications Corp. +............... $ 60,114 1,310 Shenandoah Telecommunications Co......... 64,570 79,501 Sonus Networks, Inc. +................... 726,639 6,417 Spectralink Corp. +...................... 132,126 33,245 Stratex Networks, Inc. +................. 118,352 5,832 SureWest Communications/(1)/............. 228,848 66,215 Sycamore Networks, Inc. +................ 352,264 15,087 Symmetricom, Inc. +...................... 106,122 10,502 Talk America Holdings, Inc. +/(1)/....... 118,148 20,420 Tekelec +................................ 341,014 26,232 Terayon Communication Systems +.......... 156,867 16,044 Time Warner Telecom, Inc., Class A +/(1)/ 169,264 5,437 Tollgrade Communications, Inc. +/(1)/.... 94,114 8,832 Triton PCS Holdings, Inc., Class A +..... 49,459 8,341 ViaSat, Inc. +........................... 177,413 2,166 Warwick Valley Telephone Co.............. 69,442 21,105 Western Wireless Corp., Class A +........ 394,030 9,750 Zhone Technologies, Inc. +............... 53,918 ------------- 10,547,516 ------------- TEXTILE - PRODUCTS - 0.13% 3,530 Angelica Corp............................ 72,894 6,821 G&K Services, Inc., Class A.............. 247,057 3,606 UniFirst Corp............................ 83,767 12,790 Wellman, Inc............................. 111,273 ------------- 514,991 ------------- THERAPEUTICS - 1.00% 35,269 Abgenix, Inc. +.......................... 397,481 25,430 BioMarin Pharmaceutical, Inc. +/(1)/..... 186,910 12,509 Cell Therapeutics, Inc. +/(1)/........... 112,581 11,345 CV Therapeutics, Inc. +/(1)/............. 203,870 15,627 Discovery Laboratories, Inc. +........... 134,080 4,231 Dov Pharmaceutical, Inc. +/(1)/.......... 45,399 13,860 Esperion Therapeutics, Inc. +/(1)/....... 318,641 9,274 GTC Biotherapeutics, Inc. +/(1)/......... 25,596 2,743 Hollis-Eden Pharmaceuticals +/(1)/....... 37,661 29,564 Medarex, Inc. +/(1)/..................... 201,035 16,726 Medicines Co. +.......................... 457,790 11,927 MGI Pharma, Inc. +/(1)/.................. 457,639 11,798 NPS Pharmaceuticals, Inc. +/(1)/......... 356,064 16,378 Nuvelo, Inc. +/(1)/...................... 64,038 9,547 Onyx Pharmaceuticals, Inc. +............. 274,763 5,449 Trimeris, Inc. +/(1)/.................... 124,401
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ THERAPEUTICS - Continued 17,617 Tularik, Inc. +/(1)/................. $ 263,903 18,579 Vicuron Phamaceuticals, Inc. +....... 337,209 ------------ 3,999,061 ------------ TOBACCO - 0.20% 16,635 Dimon, Inc........................... 112,286 3,966 Standard Commercial Corp............. 82,691 9,971 Universal Corp....................... 425,961 9,340 Vector Group, Ltd./(1)/.............. 158,780 ------------ 779,718 ------------ UTILITIES - COMMUNICATION - 0.08% 8,693 Commonwealth Telephone Enterprises, Inc. +.............................. 327,031 ------------ UTILITIES - ELECTRIC - 1.37% 47,263 Allegheny Energy, Inc. +/(1)/........ 508,077 12,862 Black Hills Corp..................... 414,928 4,748 Central Vermont Public Service Corp.. 113,477 5,768 CH Energy Group, Inc./(1)/........... 253,215 17,727 Cleco Corp........................... 315,186 54,396 CMS Energy Corp. +/(1)/.............. 429,185 19,699 El Paso Electric Co. +............... 250,177 9,109 Empire District Electric Co./(1)/.... 192,747 10,439 Headwaters, Inc. +................... 199,176 15,323 Idacorp, Inc./(1)/................... 450,496 7,125 MGE Energy, Inc...................... 228,071 10,303 Otter Tail Corp./(1)/................ 280,551 9,327 Plug Power, Inc. +/(1)/.............. 54,003 15,693 PNM Resources, Inc................... 439,561 46,991 Sierra Pacific Resources +/(1)/...... 325,648 4,699 UIL Holdings Corp./(1)/.............. 188,007 11,412 UniSource Energy Corp................ 279,937 26,842 Weststar Energy, Inc................. 533,082 ------------ 5,455,524 ------------ UTILITIES - GAS, DISTRIBUTION - 0.39% 2,237 Chesapeake Utilities Corp............ 56,171 1,761 EnergySouth, Inc..................... 60,402 10,295 Northwest Natural Gas Co............. 313,998 6,427 NUI Corp./(1)/....................... 100,454
-------------------------------------------------------------------------------- SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 82
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- UTILITIES - GAS, DISTRIBUTION - Continued 7,598 SEMCO Energy, Inc...................... $ 37,230 4,971 South Jersey Industries, Inc........... 195,857 21,320 Southern Union Co. +................... 389,730 12,218 Southwest Gas Corp..................... 275,516 3,776 World Fuel Services Corp............... 113,016 ------------ 1,542,374 ------------ UTILITIES - GAS, PIPELINE - 0.07% 73,771 Aquila, Inc. +......................... 264,100 ------------ UTILITIES - MISCELLANEOUS - 0.04% 5,089 Casella Waste Systems, Inc., Class A +............................. 68,193 8,700 Walter Industries, Inc................. 106,488 ------------ 174,681 ------------ WATER SERVICES - 0.16% 6,096 American States Water Co............... 147,950 5,717 California Water Service Group......... 149,557 3,188 Connecticut Water Service, Inc......... 92,675 4,176 Middlesex Water Co./(1)/............... 83,520 2,457 Pico Holdings, Inc. +.................. 36,658 860 SJW Corp............................... 76,316 3,977 Southwest Water Co./(1)/............... 63,155 ------------ 649,831 ------------ TOTAL COMMON STOCK (Cost $305,161,907).................... 343,017,286 ------------ PREFERRED STOCK - 0.00% REAL ESTATE INVESTMENT TRUSTS - 0.00% 778 Prime Retail, Inc. 8.50%............... 6,170 ------------ TOTAL PREFERRED STOCK (Cost $29,954)......................... 6,170 ------------ WARRANTS - 0.00% FINANCE COMPANIES - 0.00% 255 Imperial Credit Industries, Inc. +/(3)/ 0 ------------
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- INFORMATION PROCESSING - SOFTWARE - 0.00% 491 Microstrategy, Inc. +:............... $ 147 ------------ TOTAL WARRANTS (Cost $0)............................ 147 ------------ PAR VALUE ------------ SHORT-TERM INVESTMENTS - 27.76% COLLECTIVE INVESTMENT POOL - 17.88% $71,348,367 Securities Lending Quality Trust/(2)/ 71,348,367 ------------ COMMERCIAL PAPER - 9.16% 10,900,000 BellSouth Corp.: 1.00% due 12/5/03 @................ 10,898,789 5,365,000 Eksportfinans A S: 1.01% due 12/5/03 @................ 5,364,398 10,000,000 Merck & Co., Inc.: 1.00% due 12/2/03 @................ 9,999,722 7,000,000 Target Corp.: 1.01% due 12/2/03 @................ 6,999,804 3,300,000 USAA Capital Corp.: 1.00% due 12/5/03 @................ 3,299,633 ------------ 36,562,346 ------------ U.S. TREASURY BILLS - 0.72% United States Treasury Bills: 50,000 0.90% due 12/11/03 @............... 49,987 125,000 0.90% due 12/11/03 @............... 124,969 250,000 0.89% due 12/11/03 @............... 249,938 425,000 0.89% due 1/8/04 @................. 424,601 920,000 0.89% due 1/15/04 @................ 918,977 255,000 0.88% due 12/11/03 @............... 254,903 50,000 0.88% due 12/18/03 @............... 49,979 260,000 0.87% due 12/18/03 @............... 259,893 50,000 0.87% due 1/15/04 @................ 49,946 150,000 0.86% due 12/4/03 @................ 149,989 40,000 0.86% due 12/11/03 @............... 39,990 25,000 0.85% due 12/11/03 @............... 24,994 25,000 0.83% due 12/4/03 @................ 24,998 85,000 0.82% due 12/4/03 @................ 84,994 50,000 0.81% due 12/4/03 @................ 49,997 100,000 0.80% due 12/4/03 @................ 99,993 ------------ 2,858,148 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $110,768,861).................. 110,768,861 ------------
PAR MARKET VALUE VALUE ------------------------------------------------------------------------ REPURCHASE AGREEMENT - 3.81% $15,201,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $15,202,178 and collateralized by Federal Home Loan Mtg. Corp. Notes, bearing interest at 6.63%, due 9/15/09 and having an approximate value of $15,657,250 (Cost $15,201,000) @............................... $ 15,201,000 ------------- TOTAL INVESTMENTS (Cost $431,161,722) - 117.53%................. 468,993,464 Other assets and liabilities, net - (17.53)%............................... (69,945,433) ------------- NET ASSETS - 100%............................. $ 399,048,031 ------------- + Non-income producing @ The security or a portion thereof represents collateral for open futures contracts. # Security represents an investment in an affiliated company. /(1)/ The security or a portion thereof is out on loan (see Note 2). /(2)/ The security is purchased with the cash collateral received from securities loaned. /(3)/ Fair valued security (see Note 2). /(4)/ Illiquid security.
OPEN FUTURES CONTRACTS
---------------------------------------------------------------------------------- Value as of Number of Value at November 30, Unrealized Contracts Description Expiration Date Trade Date 2003 Appreciation ---------------------------------------------------------------------------------- 200 Long Russell 2000 Index December 2003 $52,249,147 $54,650,000 $2,400,853 ----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- SOCIAL AWARENESS FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 83
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- COMMON STOCK - 91.13% AIRLINES - 0.29% 87,750 Delta Air Lines, Inc./(1)/........ $ 1,100,385 ----------- APPAREL & PRODUCTS - 1.07% 38,157 Gap, Inc.......................... 820,376 34,882 Jones Apparel Group, Inc.......... 1,203,429 50,000 VF Corp........................... 2,063,500 ----------- 4,087,305 ----------- AUTOMOTIVE - 1.43% 7,020 Borg-Warner, Inc.................. 554,580 46,840 Danaher Corp...................... 3,897,088 9,810 SPX Corp. +....................... 532,683 61,450 Visteon Corp...................... 482,383 ----------- 5,466,734 ----------- BANKS - 4.85% 10,000 Bank One Corp..................... 433,600 37,650 Comerica, Inc..................... 1,963,447 55,000 FleetBoston Financial Corp........ 2,233,000 57,500 Mellon Financial Corp............. 1,656,000 27,430 National City Corp................ 920,277 12,390 U.S. Bancorp...................... 343,327 86,370 Wachovia Corp..................... 3,951,427 123,000 Wells Fargo & Co.................. 7,051,590 ----------- 18,552,668 ----------- BEVERAGES - 2.74% 163,100 Coca-Cola Bottling Co............. 7,584,150 31,425 Coca-Cola Enterprises, Inc........ 648,926 46,850 PepsiCo, Inc...................... 2,254,422 ----------- 10,487,498 ----------- BROADCASTING - 1.20% 22,870 Clear Channel Communications, Inc. 956,195 115,980 Comcast Corp., Class A +.......... 3,639,452 ----------- 4,595,647 ----------- BUILDING MATERIALS - 1.45% 2,850 Lafarge North America Inc./(1)/... 108,585 40,700 Lowe's Cos., Inc.................. 2,372,810
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- BUILDING MATERIALS - Continued 40,000 Masco Corp............................. $ 1,088,000 45,000 Vulcan Materials Co./(1)/.............. 2,001,150 ----------- 5,570,545 ----------- CHEMICAL - 0.92% 89,060 Ashland, Inc........................... 3,539,244 ----------- COMMERCIAL SERVICES - 0.34% 108,850 Concord EFS, Inc. +.................... 1,250,686 980 Fluor Corp............................. 35,927 ----------- 1,286,613 ----------- CONGLOMERATES - 4.89% 72,440 3M Co.................................. 5,725,658 453,870 General Electric Co. @................. 13,012,453 ----------- 18,738,111 ----------- DRUGS - 5.92% 60,930 Abbott Laboratories.................... 2,693,106 11,650 Allergan, Inc.......................... 870,605 132,040 Bristol-Myers Squibb Co................ 3,479,254 8,950 Eli Lilly & Co......................... 613,612 13,300 Merck & Co., Inc....................... 539,980 335,190 Pfizer, Inc. @......................... 11,245,624 26,380 Watson Pharmaceuticals, Inc. +......... 1,243,553 49,780 Wyeth.................................. 1,961,332 ----------- 22,647,066 ----------- ELECTRONICS/ELECTRICAL EQUIPMENT - 1.45% 33,190 Agilent Technologies, Inc. +........... 938,613 58,000 American Power Conversion Corp......... 1,267,880 2,860 Amphenol Corp., Class A +.............. 173,087 1,470 AVX Corp./(1)/......................... 22,197 13,220 Hawaiian Electric Industries, Inc./(1)/ 609,310 9,170 Mettler-Toledo International, Inc. +... 359,648 20 PMC-Sierra, Inc. +..................... 407 77,600 Thermo Electron Corp. +................ 1,854,640 10,500 Waters Corp. +......................... 335,790 ----------- 5,561,572 -----------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- FINANCE COMPANIES - 1.99% 47,480 Capital One Financial Corp.......... $ 2,835,506 118,210 MBNA Corp........................... 2,898,509 50,414 SLM Corp............................ 1,871,872 ----------- 7,605,887 ----------- FINANCIAL SERVICES - 6.09% 10,000 American Express Co................. 457,100 6,900 Charles Schwab Corp................. 80,040 257,530 Citigroup, Inc. @................... 12,114,211 35,000 Fannie Mae.......................... 2,450,000 38,000 Freddie Mac......................... 2,067,960 13,940 Goldman Sachs Group, Inc............ 1,339,355 80,000 JP Morgan Chase & Co................ 2,828,800 2,290 Lehman Brothers Holdings, Inc....... 165,361 32,180 Merrill Lynch & Co., Inc............ 1,826,215 ----------- 23,329,042 ----------- FOODS - 1.00% 50,000 General Mills, Inc.................. 2,250,500 27,768 H J Heinz Co........................ 1,002,425 10,369 Wm. Wrigley Jr. Co.................. 571,539 ----------- 3,824,464 ----------- FREIGHT - 0.37% 19,551 United Parcel Service, Inc., Class B 1,422,726 ----------- HARDWARE & TOOLS - 0.58% 35,790 Black & Decker Corp................. 1,660,298 16,990 Stanley Works....................... 555,743 ----------- 2,216,041 ----------- HEALTHCARE - 0.97% 27,300 Anthem, Inc. +...................... 1,968,876 57,580 McKesson Corp....................... 1,681,336 1,603 Medco Health Solutions, Inc. +...... 58,397 ----------- 3,708,609 ----------- HEAVY DUTY TRUCKS/PARTS - 0.23% 54,908 Dana Corp........................... 887,862 -----------
-------------------------------------------------------------------------------- SOCIAL AWARENESS FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 84
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- HOSPITAL SUPPLIES - 2.83% 22,360 AmerisourceBergen Corp................... $ 1,415,164 57,140 Becton, Dickinson and Co................. 2,287,314 41,000 Boston Scientific Corp. +................ 1,471,490 29,300 Cardinal Health, Inc..................... 1,791,402 78,820 Johnson & Johnson........................ 3,885,038 ----------- 10,850,408 ----------- HOUSEHOLD PRODUCTS - 3.88% 530 American Greetings Corp., Class A +/(1)/ 11,194 32,890 Colgate-Palmolive Co..................... 1,726,725 130,000 Gillette Co.............................. 4,384,900 74,630 International Flavors & Fragrances, Inc......................... 2,423,236 65,410 Procter & Gamble Co...................... 6,295,058 ----------- 14,841,113 ----------- INFORMATION PROCESSING HARDWARE - 4.52% 120,000 Dell, Inc. +............................. 4,140,000 168,000 Hewlett-Packard Co....................... 3,643,920 75,000 International Business Machines Corp..... 6,790,500 34,332 Lexmark International, Inc., Class A +.. 2,657,297 15,360 Sun Microsystems, Inc. +................. 65,587 ----------- 17,297,304 ----------- INFORMATION PROCESSING SERVICES - 2.59% 9,410 Adobe Systems, Inc....................... 388,821 7,040 Ceridian Corp. +......................... 149,459 56,820 eBay, Inc. +............................. 3,173,397 88,557 Fiserv, Inc. +........................... 3,320,888 37,490 SunGard Data Systems, Inc. +............. 1,012,980 40,740 Symantec Corp. +......................... 1,337,494 33,340 Unisys Corp. +........................... 544,109 ----------- 9,927,148 ----------- INFORMATION PROCESSING SOFTWARE - 3.77% 450,660 Microsoft Corp. @........................ 11,581,962 237,960 Oracle Corp. +........................... 2,857,900 ----------- 14,439,862 -----------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------- INSURANCE - 7.97% 26,010 Aetna, Inc............................. $ 1,674,524 114,860 AFLAC, Inc............................. 4,131,514 96,683 Allstate Corp.......................... 3,904,059 42,160 American International Group, Inc. #... 2,443,172 22,310 Chubb Corp............................. 1,460,189 24,770 Hartford Financial Services Group, Inc. 1,362,350 62,000 John Hancock Financial Services, Inc... 2,278,500 94,610 Lincoln National Corp.................. 3,709,658 62,840 Marsh & McLennan Cos., Inc............. 2,792,610 15,120 PMI Group, Inc......................... 562,918 6,700 Safeco Corp............................ 250,781 28,340 St. Paul Cos., Inc..................... 1,051,414 14,419 Torchmark Corp......................... 635,878 58,760 UnitedHealth Group, Inc................ 3,167,164 11,641 Wellpoint Health Networks, Inc., Class A +............................. 1,088,317 ----------- 30,513,048 ----------- LEISURE AND TOURISM - 1.98% 2,920 Electronic Arts, Inc. +................ 129,152 32,761 Harley-Davidson, Inc................... 1,545,336 64,550 Mattel, Inc............................ 1,306,492 179,560 McDonald's Corp........................ 4,602,123 ----------- 7,583,103 ----------- MACHINERY - 1.53% 87,670 Crane Co............................... 2,550,320 32,528 Dover Corp............................. 1,248,750 26,150 Illinois Tool Works, Inc............... 2,042,315 ----------- 5,841,385 ----------- MEDICAL - BIOMEDICAL/GENE - 1.19% 60,000 Amgen, Inc. +.......................... 3,450,600 23,527 Genzyme Corp. +........................ 1,099,652 ----------- 4,550,252 ----------- MEDICAL TECHNOLOGY - 0.02% 1,150 Quest Diagnostics, Inc. +.............. 83,916 -----------
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------- MULTIMEDIA - 2.26% 193,410 Time Warner, Inc. +................. $ 3,148,715 66,890 Viacom, Inc., Class B............... 2,630,115 123,960 Walt Disney Co...................... 2,862,236 ----------- 8,641,066 ----------- OIL AND GAS - 1.71% 12,710 Cooper Cameron Corp. +.............. 551,741 19,850 Diamond Offshore Drilling, Inc./(1)/ 348,368 48,370 Helmerich & Payne, Inc.............. 1,165,717 9,510 Nabors Industries, Ltd. +........... 353,011 14,040 ONEOK, Inc./(1)/.................... 278,132 42,900 Tidewater, Inc...................... 1,184,469 75,460 Transocean, Inc. +.................. 1,462,415 27,910 Valero Energy Corp.................. 1,202,921 ----------- 6,546,774 ----------- PAPER/FOREST PRODUCTS - 0.31% 8,630 Boise Cascade Corp./(1)/............ 254,671 50,990 Louisiana-Pacific Corp. +........... 922,409 ----------- 1,177,080 ----------- PUBLISHING - 0.73% 57,470 Tribune Co.......................... 2,807,410 ----------- RAILROADS & EQUIPMENT - 0.59% 40,400 CSX Corp............................ 1,369,156 41,390 Norfolk Southern Corp............... 886,160 ----------- 2,255,316 ----------- RETAIL - 5.52% 40,000 Bed Bath & Beyond, Inc. +........... 1,689,600 13,288 Best Buy Co., Inc................... 823,856 65,000 Dollar General Corp................. 1,372,800 42,280 Home Depot, Inc..................... 1,554,213 13,230 Kohl's Corp. +...................... 639,274 40,000 RadioShack Corp..................... 1,246,000 100,000 Staples, Inc. +..................... 2,715,000 51,570 Target Corp......................... 1,996,790 163,320 Wal-Mart Stores, Inc. @............. 9,087,125 ----------- 21,124,658 ----------- SCHOOLS - 0.41% 22,870 Apollo Group, Inc., Class A +....... 1,578,716 -----------
-------------------------------------------------------------------------------- SOCIAL AWARENESS FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 85
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ SEMICONDUCTORS - 4.23% 65,960 Applied Materials, Inc. +............ $ 1,602,828 337,000 Intel Corp........................... 11,265,910 12,630 Maxim Integrated Products, Inc....... 657,771 49,690 National Semiconductor Corp. +....... 2,222,137 15,278 Texas Instruments, Inc............... 454,673 ------------ 16,203,319 ------------ TELECOMMUNICATIONS - 4.86% 164,950 AT&T Wireless Services, Inc. +....... 1,237,125 71,180 BellSouth Corp....................... 1,852,816 70,860 CenturyTel, Inc...................... 2,317,122 260,000 Cisco Systems, Inc. +................ 5,891,600 243,080 Motorola, Inc........................ 3,412,843 57,715 Nextel Communications, Inc., Class A +........................... 1,461,921 73,990 Verizon Communications, Inc.......... 2,424,652 ------------ 18,598,079 ------------ UTILITIES - COMMUNICATION - 0.30% 58,388 AT&T Corp............................ 1,157,834 ------------ UTILITIES - ELECTRIC - 1.11% 37,780 Duquesne Light Holdings, Inc......... 652,461 40,290 OGE Energy Corp...................... 959,708 113,790 Puget Energy, Inc.................... 2,645,617 ------------ 4,257,786 ------------ UTILITIES - GAS, DISTRIBUTION - 0.41% 28,080 AGL Resources, Inc................... 797,472 22,080 KeySpan Corp......................... 777,878 ------------ 1,575,350 ------------ UTILITIES - GAS, PIPELINE - 0.63% 104,230 National Fuel Gas Co................. 2,407,713 ------------ TOTAL COMMON STOCK (Cost $332,524,730).................. 348,886,659 ------------
PAR MARKET VALUE VALUE ----------------------------------------------------------------- SHORT-TERM INVESTMENTS - 4.64% COLLECTIVE INVESTMENT POOL - 1.21% $4,618,766 Securities Lending Quality Trust/(2)/... $ 4,618,766 ------------ COMMERCIAL PAPER - 2.87% 11,000,000 UBS Finance, Inc.: 1.04% due 12/1/03 @................... 11,000,000 ------------ U.S. TREASURY BILLS - 0.56% United States Treasury Bills: 25,000 0.90% due 12/11/03 @.................. 24,994 10,000 0.89% due 12/11/03 @.................. 9,997 1,470,000 0.89% due 1/15/04 @................... 1,468,365 145,000 0.88% due 12/18/03 @.................. 144,940 15,000 0.87% due 12/18/03 @.................. 14,994 250,000 0.86% due 12/18/03 @.................. 249,898 250,000 0.83% due 1/8/04 @.................... 249,765 ------------ 2,162,953 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $17,781,719)...................... 17,781,719 ------------ REPURCHASE AGREEMENT - 5.36% 20,516,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $20,517,590 and collateralized by Federal National Mtg. Assoc. Notes, bearing interest at 1.50%, due 6/17/05 and having an approximate value of $21,135,993 (Cost $20,516,000) @....... 20,516,000 ------------ TOTAL INVESTMENTS (Cost $370,822,449) - 101.13%........... 387,184,378 Other assets and liabilities, net - (1.13)%.......................... (4,340,583) ------------ NET ASSETS - 100%....................... $382,843,795 ------------
+Non-income producing #Security represents an investment in an affiliated company @The security or a portion thereof represents collateral for open futures contracts. /(1)/The security or a portion thereof is out on loan (see Note 2). /(2)/The security is purchased with the cash collateral received from securities loaned. OPEN FUTURES CONTRACTS
---------------------------------------------------------------------------- Value as of Number of Expiration Value at November 30, Unrealized Contracts Description Date Trade Date 2003 Appreciation ---------------------------------------------------------------------------- 128 Long S&P 500 Index December 2003 $ 32,948,660 $ 33,849,600 $ 900,940 ---------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- STOCK INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 86
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ COMMON STOCK - 99.08% ADVERTISING - 0.21% 160,200 Interpublic Group of Cos., Inc.+/(1)/ $ 2,282,850 77,800 Omnicom Group, Inc................... 6,197,548 ------------ 8,480,398 ------------ AEROSPACE/DEFENSE - 1.73% 344,200 Boeing Co............................ 13,213,838 80,700 General Dynamics Corp................ 6,526,209 48,100 Goodrich Corp........................ 1,323,231 351,900 Honeywell International, Inc......... 10,447,911 184,600 Lockheed Martin Corp................. 8,480,524 74,900 Northrop Grumman Corp................ 6,937,987 169,400 Raytheon Co.......................... 4,694,074 73,300 Rockwell Collins, Inc................ 1,971,037 191,800 United Technologies Corp............. 16,437,260 ------------ 70,032,071 ------------ AIRLINES - 0.16% 50,500 Delta Air Lines, Inc./(1)/........... 633,270 320,400 Southwest Airlines Co................ 5,760,792 ------------ 6,394,062 ------------ APPAREL & PRODUCTS - 0.74% 365,700 Gap, Inc............................. 7,862,550 51,800 Jones Apparel Group, Inc............. 1,787,100 213,500 Limited, Inc......................... 3,825,920 44,500 Liz Claiborne, Inc................... 1,557,945 107,900 Nike, Inc., Class B.................. 7,256,275 24,100 Reebok International, Ltd............ 969,784 208,900 TJX Cos., Inc........................ 4,719,051 43,900 VF Corp.............................. 1,811,753 ------------ 29,790,378 ------------ APPLIANCES/FURNISHINGS - 0.11% 78,700 Leggett & Platt, Inc................. 1,600,758 32,100 Maytag Corp.......................... 848,724 28,200 Whirlpool Corp....................... 1,926,624 ------------ 4,376,106 ------------ AUTOMOTIVE - 0.90% 112,500 AutoNation, Inc.+.................... 1,977,750 36,700 AutoZone, Inc.+...................... 3,510,722 30,200 Cooper Tire & Rubber Co.............. 604,302 62,700 Danaher Corp......................... 5,216,640
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------- AUTOMOTIVE - (Continued) 229,300 Delphi Automotive Systems Corp.. $ 2,013,254 749,800 Ford Motor Co./(1)/............. 9,897,360 229,500 General Motors Corp............. 9,818,010 71,200 Genuine Parts Co................ 2,241,376 71,700 Goodyear Tire & Rubber Co.+/(1)/ 483,975 53,500 Visteon Corp./(1)/.............. 419,975 ------------ 36,183,364 ------------ BANKS - 7.02% 143,500 AmSouth Bancorp................. 3,442,565 611,700 Bank of America Corp............ 46,140,531 315,300 Bank of New York Co., Inc....... 9,673,404 462,600 Bank One Corp................... 20,058,336 221,000 BB&T Corp....................... 8,698,560 92,300 Charter One Financial, Inc...... 3,066,206 71,700 Comerica, Inc................... 3,739,155 233,200 Fifth Third Bancorp............. 13,555,916 51,500 First Tennessee National Corp... 2,296,900 430,600 FleetBoston Financial Corp...... 17,482,360 93,600 Huntington Bancshares, Inc./(1)/ 2,058,264 172,200 KeyCorp/(1)/.................... 4,785,438 93,000 Marshall & Ilsley Corp./(1)/.... 3,450,300 176,300 Mellon Financial Corp........... 5,077,440 251,300 National City Corp.............. 8,431,115 62,300 North Fork Bancorp., Inc........ 2,487,639 90,300 Northern Trust Corp............. 4,049,955 114,700 PNC Financial Services Group.... 6,235,092 118,800 Providian Financial Corp.+/(1)/. 1,342,440 91,100 Regions Financial Corp.......... 3,380,721 138,100 SouthTrust Corp................. 4,439,915 136,300 State Street Bank & Trust Co.... 6,945,848 115,200 SunTrust Bks., Inc.............. 8,184,960 123,300 Synovus Financial Corp./(1)/.... 3,533,778 788,400 U.S. Bancorp.................... 21,846,564 80,200 Union Planters Corp............. 2,767,702 545,200 Wachovia Corp................... 24,942,900 687,300 Wells Fargo & Co................ 39,402,909 36,800 Zions Bancorp................... 2,269,456 ------------ 283,786,369 ------------ BEVERAGES - 2.66% 14,900 Adolph Coors Co., Class B/(1)/.. 821,139 338,400 Anheuser-Busch Cos., Inc........ 17,535,888 24,900 Brown-Forman Corp., Class B..... 2,284,326
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- BEVERAGES - (Continued) 1,005,800 Coca-Cola Bottling Co............. $ 46,769,700 185,200 Coca-Cola Enterprises, Inc........ 3,824,380 109,600 Pepsi Bottling Group, Inc......... 2,529,568 706,200 PepsiCo, Inc...................... 33,982,344 ------------ 107,747,345 ------------ BROADCASTING - 1.09% 251,600 Clear Channel Communications, Inc. 10,519,396 921,000 Comcast Corp., Class A+........... 28,900,980 131,800 Univision Communications, Inc., Class A+/(1)/.................... 4,755,344 ------------ 44,175,720 ------------ BUILDING MATERIALS - 0.76% 29,600 American Standard Cos., Inc.+..... 2,951,120 320,600 Lowe's Cos., Inc.................. 18,690,980 192,300 Masco Corp........................ 5,230,560 59,700 Sherwin-Williams Co............... 1,936,071 41,600 Vulcan Materials Co./(1)/......... 1,849,952 ------------ 30,658,683 ------------ CHEMICAL - 1.48% 93,000 Air Products and Chemicals, Inc... 4,458,420 28,000 Ashland, Inc./(1)/................ 1,112,720 375,900 Dow Chemical Co................... 14,115,045 407,800 E.I. du Pont de Nemours and Co.... 16,907,388 31,700 Eastman Chemical Co./(1)/......... 1,130,739 106,300 Ecolab, Inc....................... 2,787,186 51,200 Engelhard Corp.................... 1,526,784 20,700 Great Lakes Chemical Corp./(1)/... 470,097 45,400 Hercules, Inc.+/(1)/.............. 455,816 107,200 Monsanto Co....................... 2,907,264 69,500 PPG Industries, Inc............... 4,063,665 66,700 Praxair, Inc...................... 4,787,726 91,000 Rohm and Haas Co.................. 3,653,650 29,000 Sigma-Aldrich Corp................ 1,553,530 ------------ 59,930,030 ------------ COMMERCIAL SERVICES - 0.70% 23,100 Ball Corp./(1)/................... 1,292,445 414,900 Cendant Corp.+.................... 9,194,184 69,800 Cintas Corp./(1)/................. 3,262,452 199,200 Concord EFS, Inc.+................ 2,288,808 58,400 Convergys Corp.+.................. 895,856
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NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- COMMERCIAL SERVICES - (Continued) 21,700 Deluxe Corp....................... $ 894,040 33,400 Fluor Corp./(1)/.................. 1,224,444 61,000 Moody's Corp...................... 3,494,080 154,200 Paychex, Inc...................... 5,932,074 ------------ 28,478,383 ------------ CONGLOMERATES - 4.28% 320,400 3M Co............................. 25,324,416 30,700 Eaton Corp........................ 3,161,793 4,100,300 General Electric Co.@............. 117,555,601 37,800 ITT Industries, Inc............... 2,491,776 75,900 Loews Corp./(1)/.................. 3,235,617 55,500 Textron, Inc...................... 2,766,120 817,400 Tyco International, Ltd........... 18,759,330 ------------ 173,294,653 ------------ DRUGS - 6.71% 639,500 Abbott Laboratories............... 28,265,900 53,400 Allergan, Inc..................... 3,990,582 793,400 Bristol-Myers Squibb Co........... 20,906,090 459,400 Eli Lilly & Co.................... 31,496,464 149,400 Forest Laboratories, Inc.+........ 8,163,216 98,700 King Pharmaceuticals, Inc.+....... 1,274,217 916,200 Merck & Co., Inc.................. 37,197,720 3,186,600 Pfizer, Inc.@..................... 106,910,430 601,300 Schering-Plough Corp.............. 9,650,865 44,000 Watson Pharmaceuticals, Inc.+..... 2,074,160 544,800 Wyeth............................. 21,465,120 ------------ 271,394,764 ------------ ELECTRONICS/ELECTRICAL EQUIPMENT - 1.47% 192,800 Agilent Technologies, Inc.+....... 5,452,384 80,700 American Power Conversion Corp.... 1,764,102 85,600 Applera Corp. - Applied Biosystems Group/(1)/....................... 1,837,832 77,100 Comverse Technology, Inc.+........ 1,482,633 172,300 Emerson Electric Co............... 10,517,192 81,400 Jabil Circuit, Inc.+.............. 2,239,314 585,300 JDS Uniphase Corp.+/(1)/.......... 2,013,432 36,700 Johnson Controls, Inc............. 4,016,448 19,900 Millipore Corp.+/(1)/............. 851,919 78,200 Molex, Inc.M/(1)/................. 2,514,912 65,100 NVIDIA Corp.+/(1)/................ 1,376,865 48,400 Parker Hannifin Corp./(1)/........ 2,661,516
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT - (Continued) 51,800 Perkinelmer, Inc....................... $ 875,938 95,800 Pitney Bowes, Inc...................... 3,808,050 69,800 PMC-Sierra, Inc.+/(1)/................. 1,421,826 34,000 Power-One, Inc.+/(1)/.................. 286,620 208,800 Sanmina-SCI Corp.+..................... 2,545,272 339,600 Solectron Corp.+....................... 1,986,660 94,400 Symbol Technologies, Inc............... 1,316,880 34,800 Tektronix, Inc......................... 958,740 66,400 Thermo Electron Corp.+................. 1,586,960 23,900 Thomas & Betts Corp./(1)/.............. 497,120 37,400 W. W. Grainger, Inc.................... 1,730,124 50,300 Waters Corp.+.......................... 1,608,594 323,700 Xerox Corp.+/(1)/...................... 3,942,666 ------------ 59,293,999 ------------ FINANCE COMPANIES - 0.62% 93,000 Capital One Financial Corp............. 5,553,960 522,900 MBNA Corp.............................. 12,821,508 184,600 SLM Corp............................... 6,854,198 ------------ 25,229,666 ------------ FINANCIAL SERVICES - 7.40% 526,700 American Express Co.................... 24,075,457 40,800 Bear Stearns Cos., Inc................. 2,956,368 554,300 Charles Schwab Corp.................... 6,429,880 2,108,100 Citigroup, Inc......................... 99,165,024 55,700 Countrywide Financial Corp............. 5,881,920 57,400 Equifax, Inc........................... 1,356,362 398,500 Fannie Mae............................. 27,895,000 44,400 Federated Investors, Inc., Class B/(1)/ 1,276,500 102,700 Franklin Resources, Inc................ 4,912,141 284,800 Freddie Mac............................ 15,498,816 194,100 Goldman Sachs Group, Inc............... 18,649,128 73,500 H & R Block, Inc....................... 3,990,315 97,900 Janus Capital Group, Inc............... 1,361,789 833,500 JP Morgan Chase & Co................... 29,472,560 112,600 Lehman Brothers Holdings, Inc.......... 8,130,846 382,700 Merrill Lynch & Co., Inc............... 21,718,225 445,200 Morgan Stanley......................... 24,610,656 50,500 T. Rowe Price Group, Inc............... 2,123,020 ------------ 299,504,007 ------------
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------- FOODS - 1.45% 263,900 Archer-Daniels-Midland Co........... $ 3,771,131 168,000 Campbell Soup Co.................... 4,302,480 219,700 ConAgra Foods, Inc.................. 5,382,650 152,500 General Mills, Inc.................. 6,864,025 144,000 H J Heinz Co........................ 5,198,400 53,400 Hershey Foods Corp.................. 4,149,180 167,100 Kellogg Co.......................... 5,977,167 57,100 McCormick & Co., Inc./(1)/.......... 1,638,199 318,100 Sara Lee Corp./(1)/................. 6,536,955 265,900 Sysco Corp.......................... 9,657,488 92,100 Wm. Wrigley Jr. Co.................. 5,076,552 ------------ 58,554,227 ------------ FREIGHT - 1.07% 122,100 FedEx Corp.......................... 8,876,670 26,000 Ryder System, Inc................... 810,940 460,500 United Parcel Service, Inc., Class B 33,510,585 ------------ 43,198,195 ------------ HARDWARE & TOOLS - 0.08% 31,800 Black & Decker Corp................. 1,475,202 23,800 Snap-on, Inc........................ 714,476 34,900 Stanley Works....................... 1,141,579 ------------ 3,331,257 ------------ HEALTHCARE - 0.41% 56,800 Anthem, Inc.+....................... 4,096,416 21,800 Bausch & Lomb, Inc./(1)/............ 1,095,014 98,200 Health Management Associates, Inc., Class A/(1)/....................... 2,523,740 36,500 Manor Care, Inc..................... 1,289,180 118,900 McKesson Corp....................... 3,471,880 110,700 Medco Health Solutions, Inc.+....... 4,032,801 ------------ 16,509,031 ------------ HEAVY DUTY TRUCKS/PARTS - 0.15% 60,800 Dana Corp........................... 983,136 28,000 Navistar International Corp.+....... 1,206,800 47,700 PACCAR, Inc......................... 3,826,017 ------------ 6,015,953 ------------
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NUMBER MARKET OF SHARES VALUE --------------------------------------------------------------- HOME BUILDERS - 0.16% 25,300 Centex Corp./(1)/....................... $ 2,767,820 19,300 KB Home................................. 1,329,384 25,300 Pulte Homes, Inc./(1)/.................. 2,417,162 ------------ 6,514,366 ------------ HOSPITAL MANAGEMENT - 0.28% 204,500 HCA, Inc................................ 8,570,595 189,800 Tenet Healthcare Corp.+................. 2,772,978 ------------ 11,343,573 ------------ HOSPITAL SUPPLIES - 3.36% 45,800 AmerisourceBergen Corp.................. 2,898,682 249,200 Baxter International, Inc............... 6,932,744 103,900 Becton, Dickinson and Co................ 4,159,117 105,000 Biomet, Inc............................. 3,755,850 337,000 Boston Scientific Corp.+................ 12,094,930 182,700 Cardinal Health, Inc.................... 11,170,278 21,200 CR Bard, Inc............................ 1,602,720 1,214,700 Johnson & Johnson....................... 59,872,563 497,900 Medtronic, Inc.......................... 22,505,080 70,300 St. Jude Medical, Inc.+................. 4,452,802 81,500 Stryker Corp............................ 6,601,500 ------------ 136,046,266 ------------ HOUSEHOLD PRODUCTS - 2.70% 24,000 Alberto-Culver Co., Class B............. 1,465,680 27,000 American Greetings Corp., Class A+/(1)/. 570,240 96,700 Avon Products, Inc...................... 6,623,950 88,700 Clorox Co............................... 4,161,804 220,200 Colgate-Palmolive Co.................... 11,560,500 59,400 Fortune Brands, Inc..................... 4,058,208 417,500 Gillette Co............................. 14,082,275 38,600 International Flavors & Fragrances, Inc. 1,253,342 207,400 Kimberly-Clark Corp..................... 11,245,228 112,300 Newell Rubbermaid, Inc.................. 2,568,301 530,700 Procter & Gamble Co..................... 51,074,568 23,900 Tupperware Corp......................... 368,299 ------------ 109,032,395 ------------ HUMAN RESOURCES - 0.04% 69,700 Robert Half International, Inc.+........ 1,551,522 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------------- INFORMATION PROCESSING - HARDWARE - 3.56% 148,400 Apple Computer, Inc.+....................... $ 3,104,528 1,051,300 Dell, Inc.+................................. 36,269,850 132,600 Gateway, Inc.+.............................. 591,396 1,249,501 Hewlett-Packard Co.......................... 27,101,677 708,100 International Business Machines Corp........ 64,111,374 52,400 Lexmark International, Inc., Class A+....... 4,055,760 139,900 Network Appliance, Inc.+/(1)/............... 3,233,089 1,321,800 Sun Microsystems, Inc.+..................... 5,644,086 ------------ 144,111,760 ------------ INFORMATION PROCESSING - SERVICES - 1.88% 95,500 Adobe Systems, Inc.......................... 3,946,060 76,600 Computer Sciences Corp.+.................... 3,171,240 262,800 eBay, Inc.+................................. 14,677,380 196,300 Electronic Data Systems Corp................ 4,244,006 897,900 EMC Corp.+.................................. 12,337,146 303,000 First Data Corp............................. 11,468,550 79,200 Fiserv, Inc.+............................... 2,970,000 46,000 Monster Worldwide, Inc.+/(1)/............... 1,106,760 38,800 NCR Corp.+/(1)/............................. 1,354,120 116,800 SunGard Data Systems, Inc.+................. 3,155,936 124,200 Symantec Corp.+............................. 4,077,486 134,800 Unisys Corp.+............................... 2,199,936 265,800 Yahoo!, Inc.+............................... 11,424,084 ------------ 76,132,704 ------------ INFORMATION PROCESSING - SOFTWARE - 4.50% 45,800 Autodesk, Inc............................... 1,063,476 244,800 Automatic Data Processing, Inc.............. 9,358,704 93,100 BMC Software, Inc.+......................... 1,548,253 67,400 Citrix Systems, Inc.+....................... 1,618,948 236,900 Computer Associates International, Inc./(1)/ 5,519,770 156,600 Compuware Corp.+............................ 895,752 97,900 IMS Health, Inc............................. 2,254,637 83,900 Intuit, Inc.+............................... 4,218,492 35,300 Mercury Interactive Corp.+/(1)/............. 1,652,040 4,425,800 Microsoft Corp.@............................ 113,743,060 151,900 Novell, Inc.+............................... 1,443,050 2,142,000 Oracle Corp.+............................... 25,725,420 109,000 Parametric Technology Corp.+................ 372,780 149,000 PeopleSoft, Inc.+........................... 3,151,350
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- INFORMATION PROCESSING - SOFTWARE - (Continued) 202,200 Siebel Systems, Inc.+.................. $ 2,664,996 174,300 VERITAS Software Corp.+................ 6,627,060 ------------ 181,857,788 ------------ INSURANCE - 5.14% 113,800 ACE, Ltd............................... 4,148,010 62,900 Aetna, Inc............................. 4,049,502 210,400 AFLAC, Inc............................. 7,568,088 288,000 Allstate Corp.......................... 11,629,440 43,600 AMBAC Financial Group, Inc............. 2,997,500 1,067,800 American International Group, Inc.#.... 61,879,010 128,000 Aon Corp............................... 2,808,320 76,700 Chubb Corp............................. 5,020,015 57,400 CIGNA Corp............................. 3,079,510 65,700 Cincinnati Financial Corp.............. 2,662,821 115,600 Hartford Financial Services Group, Inc. 6,358,000 66,200 Humana, Inc.+.......................... 1,478,246 58,000 Jefferson-Pilot Corp./(1)/............. 2,814,740 118,400 John Hancock Financial Services, Inc... 4,351,200 72,700 Lincoln National Corp.................. 2,850,567 218,000 Marsh & McLennan Cos., Inc............. 9,687,920 59,300 MBIA, Inc.............................. 3,446,516 311,100 MetLife, Inc........................... 10,169,859 40,300 MGIC Investment Corp./(1)/............. 2,133,885 132,400 Principal Financial Group, Inc......... 4,383,764 88,900 Progressive Corp....................... 6,943,090 223,400 Prudential Financial, Inc.............. 8,737,174 56,700 Safeco Corp............................ 2,122,281 93,200 St. Paul Cos., Inc..................... 3,457,720 46,800 Torchmark Corp......................... 2,063,880 412,200 Travelers Property Casualty Corp., Class B............................... 6,430,320 244,100 UnitedHealth Group, Inc................ 13,156,990 121,100 UnumProvident Corp..................... 1,808,023 60,100 Wellpoint Health Networks, Inc., Class A+.............................. 5,618,749 55,900 Xl Capital, Ltd., Class A.............. 4,203,680 ------------ 208,058,820 ------------ LEISURE AND TOURISM - 1.74% 37,100 Brunswick Corp./(1)/................... 1,114,855 257,700 Carnival Corp.......................... 9,068,463 67,300 Darden Restaurants, Inc................ 1,393,783
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NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------------- LEISURE AND TOURISM - (Continued) 120,400 Electronic Arts, Inc.+.................... $ 5,325,292 123,800 Harley-Davidson, Inc...................... 5,839,646 45,100 Harrah's Entertainment, Inc............... 2,158,937 71,100 Hasbro, Inc............................... 1,572,021 154,600 Hilton Hotels Corp........................ 2,529,256 141,200 International Game Technology............. 4,898,228 95,400 Marriott International, Inc., Class A..... 4,372,182 179,600 Mattel, Inc............................... 3,635,104 520,800 McDonald's Corp........................... 13,348,104 58,800 Sabre Holdings Corp., Class A............. 1,225,980 160,000 Starbucks Corp.+.......................... 5,131,200 82,300 Starwood Hotels & Resorts Worldwide, Inc., Class B.................................. 2,836,881 46,500 Wendy's International, Inc................ 1,805,595 120,100 Yum! Brands, Inc.+........................ 4,142,249 ------------ 70,397,776 ------------ MACHINERY - 1.03% 141,200 Caterpillar, Inc.......................... 10,738,260 37,700 Cooper Industries, Ltd., Class A.......... 2,022,605 24,200 Crane Co.................................. 703,978 17,000 Cummins, Inc./(1)/........................ 789,650 98,000 Deere & Co................................ 6,000,540 82,900 Dover Corp................................ 3,182,531 126,000 Illinois Tool Works, Inc.................. 9,840,600 70,100 Ingersoll-Rand Co., Class A............... 4,370,034 50,800 Pall Corp................................. 1,301,496 75,700 Rockwell Automation, Inc.................. 2,517,025 ------------ 41,466,719 ------------ MEDICAL - BIOMEDICAL/GENE - 1.04% 528,200 Amgen, Inc.+.............................. 30,376,782 134,000 Biogen, Inc.+/(1)/........................ 5,116,120 90,900 Genzyme Corp.+............................ 4,248,666 102,200 MedImmune, Inc.+.......................... 2,432,360 ------------ 42,173,928 ------------ MEDICAL TECHNOLOGY - 0.51% 76,400 Chiron Corp.+/(1)/........................ 4,096,568 126,000 Guidant Corp.............................. 7,153,020 43,000 Quest Diagnostics, Inc.+.................. 3,137,710 92,800 Zimmer Holdings, Inc.+.................... 6,117,376 ------------ 20,504,674 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ METALS - 0.71% 346,300 Alcoa, Inc........................... $ 11,362,103 33,200 Allegheny Technologies, Inc./(1)/.... 272,240 68,900 Freeport-McMoRan Copper & Gold, Inc., Class B/(1)/........................ 2,999,217 176,800 Newmont Mining Corp.................. 8,511,152 32,000 Nucor Corp........................... 1,795,520 36,500 Phelps Dodge Corp.+.................. 2,324,320 42,200 United States Steel Corp./(1)/....... 1,048,670 35,200 Worthington Industries, Inc./(1)/.... 504,064 ------------ 28,817,286 ------------ MISCELLANEOUS - 0.07% 117,300 Eastman Kodak Co./(1)/............... 2,857,428 ------------ MULTIMEDIA - 2.31% 110,400 Gannett Co., Inc..................... 9,560,640 78,300 McGraw-Hill Cos., Inc................ 5,363,550 20,400 Meredith Corp........................ 976,956 1,846,900 Time Warner, Inc.+................... 30,067,532 718,300 Viacom, Inc., Class B................ 28,243,556 836,600 Walt Disney Co....................... 19,317,094 ------------ 93,529,328 ------------ OIL AND GAS - 5.42% 36,800 Amerada Hess Corp.................... 1,743,216 102,100 Anadarko Petroleum Corp.............. 4,587,353 66,300 Apache Corp.......................... 4,760,340 137,000 Baker Hughes, Inc.................... 3,953,820 64,800 BJ Services Co.+..................... 2,066,472 82,100 Burlington Resources, Inc............ 4,121,420 437,400 ChevronTexaco Corp................... 32,848,740 278,300 ConocoPhillips....................... 15,790,742 94,900 Devon Energy Corp.................... 4,684,264 153,300 Dynegy, Inc., Class A+/(1)/.......... 613,200 245,800 El Paso Corp./(1)/................... 1,745,180 47,000 EOG Resources, Inc................... 1,971,180 2,716,200 Exxon Mobil Corp.@................... 98,244,954 179,200 Halliburton Co....................... 4,184,320 41,300 Kerr-McGee Corp...................... 1,734,187 50,500 Kinder Morgan, Inc................... 2,752,250 127,000 Marathon Oil Corp.................... 3,760,470 59,900 Nabors Industries, Ltd.+............. 2,223,488 54,800 Noble Corp.+......................... 1,894,984 156,700 Occidental Petroleum Corp............ 5,747,756
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- OIL AND GAS - (Continued) 15,100 Peoples Energy Corp............... $ 607,020 38,400 Rowan Cos., Inc.+................. 812,928 238,400 Schlumberger, Ltd................. 11,185,728 31,500 Sunoco, Inc./(1)/................. 1,512,315 130,900 Transocean, Inc.+................. 2,536,842 105,800 Unocal Corp....................... 3,362,324 ------------ 219,445,493 ------------ PAPER/FOREST PRODUCTS - 0.71% 45,300 Avery Dennison Corp............... 2,495,124 21,700 Bemis Co., Inc.................... 987,350 23,900 Boise Cascade Corp./(1)/.......... 705,289 103,800 Georgia-Pacific Corp.............. 2,832,702 196,300 International Paper Co............ 7,304,323 42,800 Louisiana-Pacific Corp.+.......... 774,252 82,000 Meadwestvaco Corp................. 2,092,640 64,500 Pactiv Corp.+..................... 1,447,380 74,900 Plum Creek Timber Co., Inc........ 1,994,587 34,800 Sealed Air Corp.+................. 1,836,396 22,100 Temple-Inland, Inc./(1)/.......... 1,249,313 89,700 Weyerhaeuser Co................... 5,112,900 ------------ 28,832,256 ------------ POLLUTION CONTROL - 0.20% 85,700 Allied Waste Industries, Inc.+.... 1,066,965 242,300 Waste Management, Inc............. 7,126,043 ------------ 8,193,008 ------------ PUBLISHING - 0.36% 33,300 Dow Jones & Co., Inc./(1)/........ 1,651,680 32,900 Knight-Ridder, Inc./(1)/.......... 2,447,102 61,100 New York Times Co., Class A....... 2,804,490 46,400 R. R. Donnelley & Sons Co./(1)/... 1,301,984 128,400 Tribune Co........................ 6,272,340 ------------ 14,477,596 ------------ RAILROADS & EQUIPMENT - 0.43% 152,400 Burlington Northern Santa Fe Corp. 4,536,948 87,600 CSX Corp.......................... 2,968,764 159,700 Norfolk Southern Corp............. 3,419,177 104,300 Union Pacific Corp................ 6,641,824 ------------ 17,566,713 ------------
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NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS - 0.37% 38,500 Apartment Investment & Management Co., Class A........................ $ 1,310,925 163,200 Equity Office Properties Trust....... 4,525,536 112,000 Equity Residential................... 3,288,320 73,400 Prologis Trust....................... 2,238,700 78,700 Simon Property Group, Inc............ 3,734,315 ------------ 15,097,796 ------------ RETAIL - 6.24% 150,200 Albertson's, Inc./(1)/............... 3,196,256 121,000 Bed Bath & Beyond, Inc.+............. 5,111,040 131,900 Best Buy Co., Inc.................... 8,177,800 47,800 Big Lots, Inc.+...................... 700,748 85,500 Circuit City Stores, Inc............. 1,113,210 187,100 Costco Wholesale Corp.+.............. 6,701,922 161,500 CVS Corp............................. 6,049,790 34,200 Dillard's, Inc., Class A/(1)/........ 576,270 136,500 Dollar General Corp.................. 2,882,880 32,800 Express Scripts, Inc., Class A+/(1)/. 2,123,144 70,400 Family Dollar Stores, Inc............ 2,716,032 75,900 Federated Department Stores, Inc..... 3,725,931 940,600 Home Depot, Inc...................... 34,576,456 111,100 JC Penney Co., Inc................... 2,764,168 138,900 Kohl's Corp.+........................ 6,711,648 307,500 Kroger Co.+.......................... 5,799,450 118,100 May Department Stores Co............. 3,501,665 55,600 Nordstrom, Inc./(1)/................. 1,918,200 126,800 Office Depot, Inc.+.................. 2,009,780 67,800 RadioShack Corp...................... 2,111,970 180,600 Safeway, Inc.+....................... 3,747,450 103,900 Sears, Roebuck and Co................ 5,731,124 200,600 Staples, Inc.+....................... 5,446,290 54,800 SUPERVALU, Inc....................... 1,414,936 372,800 Target Corp.......................... 14,434,816 59,400 Tiffany & Co......................... 2,693,790 87,300 Toys R US, Inc.+/(1)/................ 1,024,902 1,788,100 Wal-Mart Stores, Inc.@............... 99,489,884 419,400 Walgreen Co.......................... 15,438,114 57,700 Winn-Dixie Stores, Inc./(1)/......... 521,031 ------------ 252,410,697 ------------
NUMBER MARKET OF SHARES VALUE --------------------------------------------------------- SAVINGS & LOAN - 0.58% 62,300 Golden West Financial Corp........ $ 6,286,070 377,800 Washington Mutual, Inc............ 17,307,018 ------------ 23,593,088 ------------ SCHOOLS - 0.12% 71,900 Apollo Group, Inc., Class A+...... 4,963,257 ------------ SEMICONDUCTORS - 4.52% 142,000 Advanced Micro Devices, Inc.+/(1)/ 2,553,160 156,500 Altera Corp.+..................... 3,964,145 149,500 Analog Devices, Inc.+............. 7,437,625 678,300 Applied Materials, Inc.+.......... 16,482,690 124,700 Applied Micro Circuits Corp.+..... 805,562 121,400 Broadcom Corp., Class A+.......... 4,422,602 2,664,400 Intel Corp........................ 89,070,892 77,900 KLA-Tencor Corp.+................. 4,565,719 128,100 Linear Technology Corp............ 5,526,234 155,000 LSI Logic Corp.+/(1)/............. 1,452,350 132,800 Maxim Integrated Products, Inc.... 6,916,224 249,600 Micron Technology, Inc.+/(1)/..... 3,247,296 75,300 National Semiconductor Corp.+..... 3,367,416 61,900 Novellus Systems, Inc.+........... 2,708,744 38,600 QLogic Corp.+..................... 2,193,638 77,200 Teradyne, Inc.+/(1)/.............. 1,943,124 708,500 Texas Instruments, Inc............ 21,084,960 139,500 Xilinx, Inc.+..................... 5,243,805 ------------ 182,986,186 ------------ TELECOMMUNICATIONS - 5.01% 329,100 ADC Telecommunications, Inc.+/(1)/ 809,586 127,600 Alltel Corp....................... 5,794,316 62,800 Andrew Corp.+/(1)/................ 739,156 1,110,400 AT&T Wireless Services, Inc.+..... 8,328,000 170,500 Avaya, Inc.+/(1)/................. 2,318,800 756,000 BellSouth Corp.................... 19,678,680 58,900 CenturyTel, Inc................... 1,926,030 192,700 Ciena Corp.+...................... 1,364,316 2,872,600 Cisco Systems, Inc.+.............. 65,093,116 116,400 Citizens Communications Co.+...... 1,264,104 544,800 Corning, Inc.+.................... 6,243,408 1,702,800 Lucent Technologies, Inc.+/(1)/... 5,448,960 952,500 Motorola, Inc..................... 13,373,100 450,000 Nextel Communications, Inc., Class A+......................... 11,398,500
NUMBER MARKET OF SHARES VALUE ---------------------------------------------------------------- TELECOMMUNICATIONS - (Continued) 324,900 QUALCOMM, Inc./(1)/...................... $ 14,474,295 693,900 Qwest Communications International, Inc.+.................... 2,539,674 61,000 Scientific-Atlanta, Inc./(1)/............ 1,761,680 423,400 Sprint Corp. (PCS Group)+/(1)/........... 1,943,406 169,000 Tellabs, Inc.+........................... 1,352,000 1,128,100 Verizon Communications, Inc.............. 36,967,837 ------------ 202,818,964 ------------ TOBACCO - 1.18% 830,600 Altria Group, Inc........................ 43,191,200 34,500 R.J. Reynolds Tobacco Holdings, Inc./(1)/ 1,904,400 68,100 UST, Inc./(1)/........................... 2,450,919 ------------ 47,546,519 ------------ UTILITIES - COMMUNICATION - 1.08% 322,600 AT&T Corp................................ 6,397,158 1,360,200 SBC Communications, Inc.................. 31,665,456 369,600 Sprint Corp. (FON Group)................. 5,540,304 ------------ 43,602,918 ------------ UTILITIES - ELECTRIC - 2.44% 253,700 AES Corp.+............................... 2,250,319 51,400 Allegheny Energy, Inc.+/(1)/............. 552,550 66,300 Ameren Corp./(1)/........................ 2,925,819 161,600 American Electric Power Co., Inc......... 4,474,704 169,100 Calpine Corp.+/(1)/...................... 722,057 125,200 CenterPoint Energy, Inc./(1)/............ 1,214,440 72,600 Cinergy Corp./(1)/....................... 2,653,530 66,000 CMS Energy Corp.+/(1)/................... 520,740 92,000 Cons. Edison, Inc........................ 3,707,600 68,300 Constellation Energy Group, Inc.......... 2,570,812 132,300 Dominion Resources, Inc./(1)/............ 7,973,721 68,900 DTE Energy Co./(1)/...................... 2,598,219 370,100 Duke Energy Corp......................... 6,676,604 133,300 Edison International, Inc.+.............. 2,721,986 93,300 Entergy Corp............................. 4,931,838 133,300 Exelon Corp.............................. 8,240,606 133,200 FirstEnergy Corp......................... 4,615,380 75,200 FPL Group, Inc./(1)/..................... 4,778,960 107,600 NiSource, Inc............................ 2,232,700 168,600 PG&E Corp.+.............................. 4,235,232 37,400 Pinnacle West Capital Corp............... 1,472,438 72,300 PPL Corp................................. 2,955,624
-------------------------------------------------------------------------------- STOCK INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 91
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------------------- UTILITIES - ELECTRIC - (Continued) 99,600 Progress Energy, Inc................. $ 4,364,472 92,600 Public Service Enterprise Group, Inc./(1)/........................... 3,798,452 298,100 Southern Co.......................... 8,725,387 76,800 TECO Energy, Inc./(1)/............... 996,864 131,800 TXU Corp............................. 2,918,052 163,200 Xcel Energy, Inc./(1)/............... 2,725,440 -------------- 98,554,546 -------------- UTILITIES - GAS, DISTRIBUTION - 0.14% 64,900 Keyspan Corp......................... 2,286,427 18,000 Nicor, Inc./(1)/..................... 589,860 91,500 Sempra Energy........................ 2,591,280 -------------- 5,467,567 -------------- UTILITIES - GAS, PIPELINE - 0.05% 211,900 Williams Cos., Inc./(1)/............. 1,987,622 -------------- TOTAL COMMON STOCK (Cost $2,949,232,698)................ 4,008,299,220 -------------- PAR VALUE ------------- SHORT-TERM INVESTMENTS - 4.12% COLLECTIVE INVESTMENT POOL - 3.89% $157,468,270 Securities Lending Quality Trust/(2)/ 157,468,270 -------------- COMMERCIAL PAPER - 0.17% 7,000,000 UBS Finance, Inc.: 1.04% due 12/1/03.................. 7,000,000 -------------- U.S. TREASURY BILLS - 0.06% United States Treasury Bills: 215,000 0.90% due 1/8/04@.................. 214,797 1,175,000 0.89% due 12/11/03@................ 1,174,710 600,000 0.89% due 1/15/04@................. 599,332 90,000 0.86% due 12/4/03@................. 89,994 210,000 0.85% due 1/22/04@................. 209,742 40,000 0.82% due 12/4/03@................. 39,997 -------------- 2,328,572 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $166,796,842).................. 166,796,842 --------------
PAR MARKET VALUE VALUE ----------------------------------------------------------------- REPURCHASE AGREEMENT - 0.57% $23,132,000 Agreement with State Street Bank & Trust Co., bearing interest at 0.93%, dated 11/28/03, to be repurchased 12/1/03 in the amount of $23,133,793 and collateralized by Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.25%, due 10/27/05 and having an approximate value of $23,827,893@ (Cost $23,132,000)................... $ 23,132,000 -------------- TOTAL INVESTMENTS (Cost $3,139,161,540) - 103.77%....... 4,198,228,062 Other assets and liabilities, net - (3.77)%.............................. (152,615,580) -------------- NET ASSETS - 100%..................... $4,045,612,482 --------------
+Non-income producing #Security represents an investment in an affiliated company. @The security or a portion thereof represents collateral for open futures contracts. /(1)/The security or a portion thereof is out on loan (see Note 2). /(2)/The security is purchased with the cash collateral received from securities loaned. Open Futures Contracts
--------------------------------------------------------------------------- Value as of Number of Expiration Value at November 30, Unrealized Contracts Description Date Trade Date 2003 Appreciation --------------------------------------------------------------------------- 134 Long S&P 500 Index December 2003 $34,213,252 $35,436,300 $1,223,048 ----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- VALUE FUND - SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2003 92
NUMBER MARKET OF SHARES VALUE ----------------------------------------------------- COMMON STOCK - 96.84% AEROSPACE/DEFENSE - 3.08% 3,295 Boeing Co..................... $ 126,495 1,781 Honeywell International, Inc.. 52,878 1,300 Lockheed Martin Corp.......... 59,722 420 Northrop Grumman Corp......... 38,904 2,070 Raytheon Co................... 57,360 516 Rockwell Collins, Inc......... 13,875 564 United Technologies Corp...... 48,335 ------------ 397,569 ------------ AIRLINES - 0.27% 1,922 Southwest Airlines Co......... 34,558 ------------ APPAREL & PRODUCTS - 0.96% 439 Jones Apparel Group, Inc...... 15,145 1,772 Limited, Inc.................. 31,754 250 Liz Claiborne, Inc............ 8,753 3,057 TJX Cos., Inc................. 69,058 ------------ 124,710 ------------ APPLIANCES/FURNISHINGS - 0.48% 903 Whirlpool Corp................ 61,693 ------------ AUTOMOTIVE - 0.59% 74 AutoZone, Inc. +.............. 7,079 3,218 Ford Motor Co................. 42,478 453 Lear Corp. +.................. 26,790 ------------ 76,347 ------------ BANKS - 10.62% 345 AmSouth Bancorp............... 8,277 3,303 Bank of America Corp.......... 249,145 4,597 Bank of New York Co., Inc..... 141,036 469 Bank One Corp................. 20,336 740 BB&T Corp..................... 29,126 1,748 Fifth Third Bancorp........... 101,611 50 First Tennessee National Corp. 2,230 1,447 FleetBoston Financial Corp.... 58,748 309 M&T Bank Corp................. 29,006 1,271 National City Corp............ 42,642 182 Northern Trust Corp........... 8,163 525 Providian Financial Corp. +... 5,932 1,520 State Street Bank & Trust Co.. 77,459 1,085 Synovus Financial Corp........ 31,096 8,960 U.S. Bancorp.................. 248,282
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------- BANKS - Continued 1,152 Wachovia Corp................... $ 52,704 4,300 Wells Fargo & Co................ 246,519 316 Zions Bancorp................... 19,488 ------------ 1,371,800 ------------ BEVERAGES - 2.23% 176 Anheuser-Busch Cos., Inc........ 9,120 4,111 Coca-Cola Bottling Co........... 191,161 1,998 Coca-Cola Enterprises, Inc...... 41,259 2,034 Pepsi Bottling Group, Inc....... 46,945 ------------ 288,485 ------------ BROADCASTING - 0.88% 320 Comcast Corp., Class A +........ 10,042 300 Comcast Corp., Class A Special + 9,045 8,521 Liberty Media Corp., Series A +. 94,157 ------------ 113,244 ------------ BUILDING MATERIALS - 1.08% 1,541 Lowe's Cos., Inc................ 89,840 1,844 Masco Corp...................... 50,157 ------------ 139,997 ------------ CHEMICAL - 2.19% 3,756 Dow Chemical Co................. 141,038 1,170 E.I. du Pont de Nemours and Co.. 48,508 604 Hercules, Inc. +................ 6,064 1,488 PPG Industries, Inc............. 87,004 ------------ 282,614 ------------ COAL - 0.04% 200 Arch Coal, Inc.................. 5,298 ------------ COMMERCIAL SERVICES - 0.04% 411 Owens-Illinois, Inc. +.......... 4,636 ------------ CONGLOMERATES - 3.99% 11,096 General Electric Co............. 318,122 591 Textron, Inc.................... 29,455 7,329 Tyco International, Ltd......... 168,201 ------------ 515,778 ------------ DRUGS - 8.22% 4,019 Abbott Laboratories............. 177,640 2,694 Bristol-Myers Squibb Co......... 70,987
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- DRUGS - Continued 793 Caremark Rx, Inc. +.............. $ 21,173 1,225 Eli Lilly & Co................... 83,986 2,102 King Pharmaceuticals, Inc. +..... 27,137 3,071 Merck & Co., Inc................. 124,683 12,781 Pfizer, Inc...................... 428,802 1,100 Schering-Plough Corp............. 17,655 2,780 Wyeth............................ 109,532 ------------ 1,061,595 ------------ ELECTRONICS/ELECTRICAL EQUIPMENT - 1.63% 638 Emerson Electric Co.............. 38,944 535 Flextronics International, Ltd. + 8,576 545 Parker Hannifin Corp............. 29,970 627 Pitney Bowes, Inc................ 24,923 5,640 Solectron Corp. +................ 32,994 6,180 Xerox Corp. +.................... 75,272 ------------ 210,679 ------------ FINANCE COMPANIES - 1.62% 810 Capital One Financial Corp....... 48,373 6,540 MBNA Corp........................ 160,361 ------------ 208,734 ------------ FINANCIAL SERVICES - 12.16% 12,238 Citigroup, Inc................... 575,675 4,000 Fannie Mae....................... 280,000 3,240 Freddie Mac...................... 176,321 72 Goldman Sachs Group, Inc......... 6,918 482 H & R Block, Inc................. 26,168 6,394 JP Morgan Chase & Co............. 226,092 212 Legg Mason, Inc.................. 16,898 3,340 Merrill Lynch & Co., Inc......... 189,545 1,160 Morgan Stanley................... 64,125 418 Sovereign Bancorp, Inc........... 9,472 ------------ 1,571,214 ------------ FOODS - 2.02% 1,630 Archer-Daniels-Midland Co........ 23,293 2,060 ConAgra Foods, Inc............... 50,470 1,456 H J Heinz Co..................... 52,562 249 Hershey Foods Corp............... 19,347 1,242 Kellogg Co....................... 44,426 1,179 Kraft Foods, Inc., Class A....... 37,339
-------------------------------------------------------------------------------- VALUE FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 93
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- FOODS - Continued 1,080 Sara Lee Corp.......................... $ 22,194 191 Unilever NV............................ 11,479 ------------ 261,110 ------------ HEALTHCARE - 0.34% 130 Anthem, Inc. +......................... 9,376 1,182 McKesson Corp.......................... 34,514 ------------ 43,890 ------------ HOSPITAL SUPPLIES - 0.78% 240 AmerisourceBergen Corp................. 15,190 183 Baxter International, Inc.............. 5,091 1,308 Cardinal Health, Inc................... 79,971 ------------ 100,252 ------------ HOUSEHOLD PRODUCTS - 2.45% 774 Colgate-Palmolive Co................... 40,635 950 Fortune Brands, Inc.................... 64,904 698 Gillette Co............................ 23,544 702 Kimberly-Clark Corp.................... 38,062 253 Newell Rubbermaid, Inc................. 5,786 1,493 Procter & Gamble Co.................... 143,686 ------------ 316,617 ------------ INFORMATION PROCESSING - HARDWARE - 2.78% 14,020 Hewlett-Packard Co..................... 304,094 323 Lexmark International, Inc., Class A +. 25,000 7,111 Sun Microsystems, Inc. +............... 30,364 ------------ 359,458 ------------ INFORMATION PROCESSING - SERVICES - 0.18% 597 SunGard Data Systems, Inc. +........... 16,131 236 Symantec Corp. +....................... 7,748 ------------ 23,879 ------------ INFORMATION PROCESSING - SOFTWARE - 0.83% 869 Automatic Data Processing, Inc......... 33,222 2,408 Computer Associates International, Inc. 56,106 721 Microsoft Corp......................... 18,530 ------------ 107,858 ------------
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------------- INSURANCE - 7.17% 2,590 ACE, Ltd............................... $ 94,405 106 Berkshire Hathaway, Inc., Class B +.... 296,906 1,230 CIGNA Corp............................. 65,989 424 Fidelity National Financial, Inc....... 14,980 260 Hartford Financial Services Group, Inc. 14,300 500 Health Net, Inc. +..................... 16,350 719 MetLife, Inc........................... 23,504 377 Old Republic International Corp........ 13,972 148 Radian Group, Inc...................... 7,304 708 St. Paul Cos., Inc..................... 26,267 262 Torchmark Corp......................... 11,554 7,004 Travelers Property Casualty Corp., Class A............................... 109,262 7,991 Travelers Property Casualty Corp., Class B............................... 124,660 625 UnitedHealth Group, Inc................ 33,688 343 UnumProvident Corp..................... 5,121 260 Wellpoint Health Networks, Inc., Class A +............................. 24,307 580 Xl Capital, Ltd., Class A.............. 43,616 ------------ 926,185 ------------ LEISURE AND TOURISM - 1.95% 384 Darden Restaurants, Inc................ 7,952 568 Harrah's Entertainment, Inc............ 27,190 690 Marriott International, Inc., Class A.. 31,623 2,800 Mattel, Inc............................ 56,672 4,182 McDonald's Corp........................ 107,185 583 MGM Mirage, Inc. +..................... 21,851 ------------ 252,473 ------------ MACHINERY - 0.49% 860 Ingersoll-Rand Co., Class A............ 53,612 296 Rockwell Automation, Inc............... 9,842 ------------ 63,454 ------------ METALS - 1.04% 3,762 Alcoa, Inc............................. 123,431 506 Barrick Gold Corp...................... 11,330 ------------ 134,761 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------- MISCELLANEOUS - 0.22% 274 Eastman Kodak Co................ $ 6,675 4,332 Service Corp. International +... 21,443 ------------ 28,118 ------------ MULTIMEDIA - 2.07% 174 McGraw-Hill Cos., Inc........... 11,919 6,988 Time Warner, Inc. +............. 113,765 6,116 Walt Disney Co.................. 141,218 ------------ 266,902 ------------ OIL AND GAS - 7.31% 309 Amerada Hess Corp............... 14,637 830 Burlington Resources, Inc....... 41,666 1,596 ChevronTexaco Corp.............. 119,860 2,117 ConocoPhillips.................. 120,119 333 Devon Energy Corp............... 16,437 9,442 Exxon Mobil Corp................ 341,517 2,861 Halliburton Co.................. 66,804 1,558 Marathon Oil Corp............... 46,133 760 Noble Corp. +................... 26,281 324 Occidental Petroleum Corp....... 11,884 909 Royal Dutch Petroleum Co. (NY).. 40,814 584 Schlumberger, Ltd............... 27,401 1,021 Transocean, Inc. +.............. 19,787 1,600 Unocal Corp..................... 50,848 ------------ 944,188 ------------ PAPER/FOREST PRODUCTS - 1.14% 550 Avery Dennison Corp............. 30,294 221 Boise Cascade Corp.............. 6,522 580 International Paper Co.......... 21,582 999 Smurfit-Stone Container Corp. +. 16,343 1,280 Weyerhaeuser Co................. 72,960 ------------ 147,701 ------------ POLLUTION CONTROL - 0.23% 284 Republic Services, Inc., Class A 7,228 765 Waste Management, Inc........... 22,498 ------------ 29,726 ------------
-------------------------------------------------------------------------------- VALUE FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED November 30, 2003 94
NUMBER MARKET OF SHARES VALUE -------------------------------------------------------- RAILROADS & EQUIPMENT - 1.60% 280 Canadian National Railway Co..... $ 16,618 783 CSX Corp......................... 26,536 1,392 Norfolk Southern Corp............ 29,803 2,100 Union Pacific Corp............... 133,728 ------------ 206,685 ------------ REAL ESTATE INVESTMENT TRUSTS - 0.30% 1,391 Equity Office Properties Trust... 38,572 ------------ RETAIL - 2.45% 157 Express Scripts, Inc., Class A +. 10,163 422 Federated Department Stores, Inc. 20,716 3,880 Home Depot, Inc.................. 142,629 1,870 JC Penney Co., Inc............... 46,525 2,400 Office Depot, Inc. +............. 38,040 858 RadioShack Corp.................. 26,727 860 Rite Aid Corp. +................. 5,289 999 Staples, Inc. +.................. 27,123 ------------ 317,212 ------------ SAVINGS & LOAN - 0.97% 2,730 Washington Mutual, Inc........... 125,061 ------------ SEMICONDUCTORS - 0.18% 1,800 Micron Technology, Inc. +........ 23,418 ------------ TELECOMMUNICATIONS - 3.15% 259 Amdocs, Ltd. +................... 6,480 4,024 AT&T Wireless Services, Inc. +... 30,180 3,840 BellSouth Corp................... 99,955 838 CenturyTel, Inc.................. 27,403 3,737 Motorola, Inc.................... 52,467 942 Qwest Communications International, Inc. +........... 3,448 5,730 Verizon Communications, Inc...... 187,772 ------------ 407,705 ------------ TOBACCO - 2.51% 6,250 Altria Group, Inc................ 325,000 ------------ UTILITIES - COMMUNICATION - 1.01% 4,662 SBC Communications, Inc.......... 108,531 1,428 Sprint Corp. (FON Group)......... 21,406 ------------ 129,937 ------------
NUMBER MARKET OF SHARES VALUE ------------------------------------------------------------ UTILITIES - ELECTRIC - 3.51% 4,573 CenterPoint Energy, Inc.............. $ 44,358 312 Dominion Resources, Inc.............. 18,804 840 Duke Energy Corp..................... 15,154 4,229 Edison International, Inc. +......... 86,356 863 Entergy Corp......................... 45,618 930 Exelon Corp.......................... 57,493 1,150 FirstEnergy Corp..................... 39,847 327 FPL Group, Inc....................... 20,781 300 NiSource, Inc........................ 6,225 3,044 PG&E Corp. +......................... 76,465 968 Progress Energy, Inc................. 42,418 ------------ 453,519 ------------ UTILITIES - GAS, DISTRIBUTION - 0.08% 221 Sempra Energy........................ 6,259 203 Southern Union Co. +................. 3,711 ------------ 9,970 ------------ TOTAL COMMON STOCK (Cost $11,676,127)................... 12,512,602 ------------ PREFERRED STOCK - 0.45% AUTOMOTIVE - 0.24% 630 Ford Motor Co. Capital Trust II 6.50% 31,431 ------------ ELECTRONICS/ELECTRICAL EQUIPMENT - 0.21% 375 Xerox Corp. 7.50% *.................. 27,164 ------------ TOTAL PREFERRED STOCK (Cost $53,394)....................... 58,595 ------------
PAR MARKET VALUE VALUE ---------------------------------------------------------------------- CORPORATE BONDS - 0.21% METALS - 0.12% $ 5,000 Freeport-McMoRan Copper & Gold, Inc. *: 8.25% due 1/31/06......................... $ 15,288 ------------ MISCELLANEOUS - 0.09% 12,000 Service Corp. International: 6.75% due 6/22/08......................... 12,465 ------------ TOTAL CORPORATE BONDS (Cost $17,279).............................. 27,753 ------------ TOTAL INVESTMENTS (Cost $11,746,800) - 97.50%................. 12,598,950 Other assets and liabilities, net - 2.50%................................ 322,529 ------------ NET ASSETS - 100%........................... $ 12,921,479 ------------ + Non-income producing * Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be sold in transactions from registration, normally to qualified institutional buyers. At November 30, 2003, the aggregate value of these securities was $2,195,712 representing 1.50% of net assets.
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 95 November 30, 2003 STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
ASSET CAPITAL ALLOCATION BLUE CHIP CONSERVATION CORE EQUITY FUND GROWTH FUND FUND FUND -------------- -------------- -------------- -------------- ASSETS: Long term investments, at market*# (unaffiliated)............ $ 148,140,845 $ 34,175,046 $ 83,795,866 $ 567,828,733 Long term investments, at market** (affiliated).............. 1,463,237 173,850 - 6,883,011 Short term investments (cost equals market).................. 11,143,949 625,438 529,298 - Repurchase agreements (cost equals market)................... 18,582,000 - 7,403,000 18,122,000 Cash......................................................... 1,716 - - 883 Foreign cash +............................................... - - - - Receivable for: Investments sold........................................... 488,656 183,823 989,293 3,023,625 Capital shares sold........................................ 72,568 43,882 117,736 61,375 Dividends and interest..................................... 631,303 29,638 738,066 1,067,396 Futures variation margin................................... 18,700 - - - Collateral received for securities loaned.................... - - 1,178,534 - Due from adviser............................................. - - - 47,174 Unrealized appreciation on forward foreign currency contracts - - - - Other assets................................................. 16,815 1,122 5,017 33,660 -------------- -------------- -------------- -------------- TOTAL ASSETS................................................. 180,559,789 35,232,799 94,756,810 597,067,857 -------------- -------------- -------------- -------------- LIABILITIES: Payable for: Investments purchased...................................... 7,246,691 311,954 11,764,322 1,617,890 Options written@........................................... - - - - Capital shares reacquired.................................. 41,171 8,272 29,125 119,340 Futures variation margin................................... - - - - Custodian fees............................................. 44,954 15,452 16,666 61,789 Reports to shareholders.................................... 21,637 1,642 7,895 174,116 Directors' retirement plan................................. 23,647 3,232 13,292 142,437 Collateral upon return of securities loaned................ - 139,728 1,707,832 - Payable to affiliates: Advisory fees.............................................. 70,530 22,058 33,280 387,298 Administrative services.................................... 9,874 1,930 4,659 33,889 Transfer agency fees....................................... 499 334 500 666 Accrued expenses and other liabilities....................... 17,055 1,638 3,091 32,314 Due to custodian............................................. - - 219,775 - Due to custodian for foreign cash............................ 48 - - - -------------- -------------- -------------- -------------- TOTAL LIABILITIES............................................ 7,476,106 506,240 13,800,437 2,569,739 -------------- -------------- -------------- -------------- NET ASSETS................................................... $ 173,083,683 $ 34,726,559 $ 80,956,373 $ 594,498,118 -------------- -------------- -------------- -------------- * Identified cost of investment securities (unaffiliated).... $ 133,118,283 $ 30,934,115 $ 83,670,224 $ 589,862,009 ** Identified cost of investment securities (affiliated)..... $ 938,922 $ 247,210 $ - $ 7,810,345 + Identified cost of foreign cash............................ $ (44) $ - $ - $ - # Including securities on loan of............................ $ - $ 136,155 $ 1,665,983 $ - @Premium received on options written......................... $ - $ - $ - $ - -------------- -------------- -------------- --------------
GOVERNMENT SECURITIES FUND ---------------- ASSETS: Long term investments, at market*# (unaffiliated)............ $ 161,644,222 Long term investments, at market** (affiliated).............. - Short term investments (cost equals market).................. - Repurchase agreements (cost equals market)................... 182,000 Cash......................................................... 449 Foreign cash +............................................... - Receivable for: Investments sold........................................... - Capital shares sold........................................ 94,084 Dividends and interest..................................... 1,577,262 Futures variation margin................................... - Collateral received for securities loaned.................... 6,037,416 Due from adviser............................................. - Unrealized appreciation on forward foreign currency contracts - Other assets................................................. 4,885 ---------------- TOTAL ASSETS................................................. 169,540,318 ---------------- LIABILITIES: Payable for: Investments purchased...................................... - Options written@........................................... - Capital shares reacquired.................................. 146,478 Futures variation margin................................... - Custodian fees............................................. 19,101 Reports to shareholders.................................... 16,250 Directors' retirement plan................................. 30,233 Collateral upon return of securities loaned................ 6,037,416 Payable to affiliates: Advisory fees.............................................. 67,725 Administrative services.................................... 9,481 Transfer agency fees....................................... 666 Accrued expenses and other liabilities....................... 5,063 Due to custodian............................................. - Due to custodian for foreign cash............................ - ---------------- TOTAL LIABILITIES............................................ 6,332,413 ---------------- NET ASSETS................................................... $ 163,207,905 ---------------- * Identified cost of investment securities (unaffiliated).... $ 163,126,100 ** Identified cost of investment securities (affiliated)..... $ - + Identified cost of foreign cash............................ $ - # Including securities on loan of............................ $ 5,906,247 @Premium received on options written......................... $ - ----------------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 96 STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED November 30, 2003
ASSET ALLOCATION BLUE CHIP FUND GROWTH FUND -------------- -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.................................................. $ 146,628 $ 46,464 Additional paid-in capital...................................................................... 152,359,612 36,464,658 Undistributed net investment income (loss)...................................................... (49,178) 7,321 Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions.............................................................. 4,413,060 (4,959,455) Unrealized appreciation (depreciation) on: Investments................................................................................... 15,546,877 3,167,571 Futures contracts............................................................................. 666,688 - Options written............................................................................... - - Foreign exchange transactions and other assets and liabilities................................ (4) - -------------- -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING..................................................... $ 173,083,683 $ 34,726,559 -------------- -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share)........................................................ 1,000,000,000 1,000,000,000 Outstanding................................................................................... 14,662,800 4,646,351 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 11.80 $ 7.47
CAPITAL CONSERVATION CORE EQUITY FUND FUND -------------- -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.................................................. $ 82,880 $ 538,599 Additional paid-in capital...................................................................... 79,801,354 819,857,128 Undistributed net investment income (loss)...................................................... (81,676) 174,434 Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions.............................................................. 1,028,173 (203,111,433) Unrealized appreciation (depreciation) on: Investments................................................................................... 125,642 (22,960,610) Futures contracts............................................................................. - - Options written............................................................................... - - Foreign exchange transactions and other assets and liabilities................................ - - -------------- -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING..................................................... $ 80,956,373 $ 594,498,118 -------------- -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share)........................................................ 1,000,000,000 1,000,000,000 Outstanding................................................................................... 8,287,993 53,859,909 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 9.77 $ 11.04
GOVERNMENT SECURITIES FUND -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.................................................. $ 152,557 Additional paid-in capital...................................................................... 155,487,562 Undistributed net investment income (loss)...................................................... 91,642 Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions.............................................................. 8,958,022 Unrealized appreciation (depreciation) on: Investments................................................................................... (1,481,878) Futures contracts............................................................................. - Options written............................................................................... - Foreign exchange transactions and other assets and liabilities................................ - -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING..................................................... $ 163,207,905 -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share)........................................................ 1,000,000,000 Outstanding................................................................................... 15,255,735 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 10.70
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 97 November 30, 2003 STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
HEALTH INTERNATIONAL GROWTH & GROWTH SCIENCES INCOME & EQUITIES INCOME FUND FUND FUND GROWTH FUND FUND ------------ ---------- ------------ ------------ ------------- ASSETS: Long term investments, at market*# (unaffiliated)............ $188,101,181 $4,677,798 $107,650,962 $221,800,460 $100,917,755 Long term investments, at market** (affiliated).............. 1,752,988 - - - - Short term investments (cost equals market).................. 1,460,250 41,820 15,198,376 6,507,709 469,639 Repurchase agreements (cost equals market)................... 1,810,000 117,000 - 1,283,000 17,349,000 Cash......................................................... - 168 - 609 672 Foreign cash +............................................... - - 232,902 - 181,434 Receivable for: Investments sold........................................... 1,537,912 - 450,507 686,712 16,285 Capital shares sold........................................ 430,025 1,808 161,288 63,441 782,757 Dividends and interest..................................... 248,783 3,411 59,920 470,560 388,215 Futures variation margin................................... - - - 550 - Collateral received for securities loaned.................... - - - - - Due from adviser............................................. 5,828 - - 12,579 - Unrealized appreciation on forward foreign currency contracts - - - - - Other assets................................................. 2,247 676 12,666 2,679 4,689 ------------ ---------- ------------ ------------ ------------ TOTAL ASSETS................................................. 195,349,214 4,842,681 123,766,621 230,828,299 120,110,446 ------------ ---------- ------------ ------------ ------------ LIABILITIES: Payable for: Investments purchased...................................... - - 645,091 664,585 - Options written@........................................... - - 1,236,780 - - Capital shares reacquired.................................. 66,279 335 33,122 37,952 71,158 Futures variation margin................................... - - - - 29,679 Custodian fees............................................. 15,406 15,406 18,596 15,433 44,926 Reports to shareholders.................................... 25,802 434 643 26,753 11,337 Directors' retirement plan................................. 32,662 619 9,931 14,268 16,297 Collateral upon return of securities loaned................ 1,460,250 41,820 12,824,840 6,507,709 100 Payable to affiliates: Advisory fees.............................................. 117,420 3,661 85,587 139,540 32,195 Administrative services.................................... 10,959 270 5,991 12,686 6,439 Transfer agency fees....................................... 500 666 334 426 2,317 Accrued expenses and other liabilities....................... 7,936 1,864 3,553 10,206 7,956 Due to custodian............................................. 82,474 - - - - Due to custodian for foreign cash............................ - - - - - ------------ ---------- ------------ ------------ ------------ TOTAL LIABILITIES............................................ 1,819,688 65,075 14,864,468 7,429,558 222,404 ------------ ---------- ------------ ------------ ------------ NET ASSETS................................................... $193,529,526 $4,777,606 $108,902,153 $223,398,741 $119,888,042 ------------ ---------- ------------ ------------ ------------ * Identified cost of investment securities (unaffiliated).... $167,280,578 $4,188,164 $ 95,183,808 $211,437,858 $103,922,848 ** Identified cost of investment securities (affiliated)..... $ 595,358 $ - $ - $ - $ - + Identified cost of foreign cash............................ $ - $ - $ 219,668 $ - $ 179,745 # Including securities on loan of............................ $ 1,423,611 $ 40,830 $ 12,570,234 $ 6,355,041 $ 15 @Premiums received on options written........................ $ - $ - $ 1,435,930 $ - $ - ------------ ---------- ------------ ------------ ------------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 98 STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED November 30, 2003
HEALTH INTERNATIONAL GROWTH & GROWTH SCIENCES INCOME & EQUITIES INCOME FUND FUND FUND GROWTH FUND FUND -------------- -------------- -------------- -------------- -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share........... $ 154,663 $ 10,260 $ 124,465 $ 261,632 $ 188,488 Additional paid-in capital.... 228,432,753 7,795,804 102,477,571 265,410,236 135,938,367 Undistributed net investment income (loss)................ 22,311 (27,467) (340,837) 100,458 473,120 Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions (57,058,434) (3,490,625) (6,038,631) (52,751,574) (13,516,121) Unrealized appreciation (depreciation) on: Investments.................. 21,978,233 489,634 12,467,154 10,362,602 (3,005,093) Futures contracts............ - - - 15,387 54,677 Options written.............. - - 199,150 - - Foreign exchange transactions and other assets and liabilities..... - - 13,281 - (245,396) -------------- -------------- -------------- -------------- -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING........... $ 193,529,526 $ 4,777,606 $ 108,902,153 $ 223,398,741 $ 119,888,042 -------------- -------------- -------------- -------------- -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share)................. 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 Outstanding.................. 15,466,283 1,025,960 12,446,468 26,163,241 18,848,780 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................... $ 12.51 $ 4.66 $ 8.75 $ 8.54 $ 6.36
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 99 November 30, 2003 STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
INTERNATIONAL INTERNATIONAL MID CAP GOVERNMENT GROWTH I LARGE CAP INDEX BOND FUND FUND GROWTH FUND FUND ------------- ------------- ------------ -------------- ASSETS: Long term investments, at market*# (unaffiliated)............ $142,266,812 $384,649,075 $459,009,410 $1,356,228,045 Long term investments, at market** (affiliated).............. - - - - Short term investments (cost equals market).................. - 69,476,745 9,462,015 187,289,864 Repurchase agreements (cost equals market)................... 1,447,000 1,656,000 2,492,000 34,973,000 Cash......................................................... 1,163 932 650 - Foreign cash +............................................... 200,061 1,446,428 - - Receivable for: Investments sold........................................... 2,525,090 5,585,966 12,697,341 - Capital shares sold........................................ 101,342 60,255 104,341 1,221,204 Dividends and interest..................................... 2,811,486 887,307 394,212 1,316,613 Futures variation margin................................... - - - 416,525 Collateral received for securities loaned.................... - - - - Due from adviser............................................. - 66,161 5,480 - Unrealized appreciation on forward foreign currency contracts 5,911 - - - Other assets................................................. 3,341 5,486 5,666 36,598 ------------ ------------ ------------ -------------- TOTAL ASSETS................................................. 149,362,206 463,834,355 484,171,115 1,581,481,849 ------------ ------------ ------------ -------------- LIABILITIES: Payable for: Investments purchased...................................... 2,616,115 7,293,107 4,420,680 - Options written@........................................... - - - - Capital shares reacquired.................................. 31,123 379,184 233,679 219,646 Futures variation margin................................... - - - - Custodian fees............................................. 56,748 195,967 21,665 37,590 Reports to shareholders.................................... 9,792 52,380 61,544 79,392 Directors' retirement plan................................. 21,653 49,400 32,044 145,848 Collateral upon return of securities loaned................ - 69,476,745 9,462,015 169,801,885 Payable to affiliates: Advisory fees.............................................. 59,646 313,077 363,776 322,102 Administrative services.................................... 8,351 21,915 26,804 78,713 Transfer agency fees....................................... 166 334 334 2,398 Accrued expenses and other liabilities....................... 2,641 16,266 21,921 82,596 Due to custodian............................................. - - - 323,045 Due to custodian for foreign cash............................ - - - - ------------ ------------ ------------ -------------- TOTAL LIABILITIES............................................ 2,806,235 77,798,375 14,644,462 171,093,215 ------------ ------------ ------------ -------------- NET ASSETS................................................... $146,555,971 $386,035,980 $469,526,653 $1,410,388,634 ------------ ------------ ------------ -------------- * Identified cost of investment securities (unaffiliated).... $129,572,585 $331,024,987 $406,034,695 $1,214,301,342 ** Identified cost of investment securities (affiliated)..... $ - $ - $ - $ - + Identified cost of foreign cash............................ $ 196,830 $ 1,435,018 $ - $ - # Including securities on loan of............................ $ - $ 65,869,657 $ 9,304,275 $ 166,221,460 @Premiums received on options written........................ $ - $ - $ - $ - ------------ ------------ ------------ --------------
MONEY NASDAQ-100 MARKET I INDEX FUND FUND ------------ ----------- ASSETS: Long term investments, at market*# (unaffiliated)............ $ - $73,782,771 Long term investments, at market** (affiliated).............. - - Short term investments (cost equals market).................. 466,442,693 11,170,937 Repurchase agreements (cost equals market)................... 22,546,000 9,765,000 Cash......................................................... 42 449 Foreign cash +............................................... - - Receivable for: Investments sold........................................... - 64,812 Capital shares sold........................................ 725,434 518,948 Dividends and interest..................................... 298,825 13,575 Futures variation margin................................... - 51,450 Collateral received for securities loaned.................... - - Due from adviser............................................. 12,666 - Unrealized appreciation on forward foreign currency contracts - - Other assets................................................. 13,330 10,414 ------------ ----------- TOTAL ASSETS................................................. 490,038,990 95,378,356 ------------ ----------- LIABILITIES: Payable for: Investments purchased...................................... 5,000,000 - Options written@........................................... - - Capital shares reacquired.................................. 2,334,346 241,510 Futures variation margin................................... - - Custodian fees............................................. 16,524 15,414 Reports to shareholders.................................... 79,828 628 Directors' retirement plan................................. 63,688 6,290 Collateral upon return of securities loaned................ - 2,127,506 Payable to affiliates: Advisory fees.............................................. 198,778 29,001 Administrative services.................................... 27,829 5,075 Transfer agency fees....................................... 4,132 1,416 Accrued expenses and other liabilities....................... 55,517 19,963 Due to custodian............................................. - - Due to custodian for foreign cash............................ - - ------------ ----------- TOTAL LIABILITIES............................................ 7,780,642 2,446,803 ------------ ----------- NET ASSETS................................................... $482,258,348 $92,931,553 ------------ ----------- * Identified cost of investment securities (unaffiliated).... $ - $70,925,984 ** Identified cost of investment securities (affiliated)..... $ - $ - + Identified cost of foreign cash............................ $ - $ - # Including securities on loan of............................ $ - $ 2,077,615 @Premiums received on options written........................ $ - $ - ------------ -----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 100 STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED November 30, 2003
INTERNATIONAL INTERNATIONAL MID CAP MONEY GOVERNMENT GROWTH I LARGE CAP INDEX MARKET 1 BOND FUND FUND GROWTH FUND FUND FUND -------------- -------------- -------------- -------------- ------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.............................. $ 104,252 $ 559,716 $ 771,366 $ 755,682 $ 4,822,583 Additional paid-in capital.............. 118,002,402 585,988,547 800,759,752 1,258,363,423 477,435,765 Undistributed net investment income (loss)................................. 6,579,788 250,847 9,453 934,747 - Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions.................. 9,098,246 (254,433,478) (384,988,633) 6,008,181 - Unrealized appreciation (depreciation) on: Investments............................ 12,694,227 53,624,088 52,974,715 141,926,703 - Futures contracts...................... - - - 2,399,898 - Options written........................ - - - - - Foreign exchange transactions and other assets and liabilities......... 77,056 46,260 - - - -------------- -------------- -------------- -------------- ------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING............................ $ 146,555,971 $ 386,035,980 $ 469,526,653 $1,410,388,634 $482,258,348 -------------- -------------- -------------- -------------- ------------- CAPITAL SHARES: Authorized (Par value $0.01 per share). 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 Outstanding............................ 10,425,216 55,971,617 77,136,632 75,568,214 482,258,348 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE........... $ 14.06 $ 6.90 $ 6.09 $ 18.66 $ 1.00
NASDAQ-100 INDEX FUND -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.............................. $ 232,704 Additional paid-in capital.............. 95,727,336 Undistributed net investment income (loss)................................. (79,517) Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions.................. (6,312,763) Unrealized appreciation (depreciation) on: Investments............................ 2,856,787 Futures contracts...................... 507,006 Options written........................ - Foreign exchange transactions and other assets and liabilities......... - -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING............................ $ 92,931,553 -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share). 1,000,000,000 Outstanding............................ 23,270,421 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE........... $ 3.99
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 101 November 30, 2003 STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
SCIENCE & SMALL CAP SOCIAL TECHNOLOGY SMALL CAP INDEX AWARENESS FUND FUND FUND FUND -------------- ------------ ------------ ------------ ASSETS: Long term investments, at market*# (unaffiliated)............ $1,421,708,174 $628,055,438 $342,894,047 $346,443,487 Long term investments, at market** (affiliated).............. - - 129,556 2,443,172 Short term investments (costs equals market)................. 116,070,450 116,290,374 110,768,861 17,781,719 Repurchase agreements (cost equals market)................... - - 15,201,000 20,516,000 Cash......................................................... - 539 1,331 198 Foreign Cash+................................................ 3,947 - - - Receivable for: Investments sold........................................... 5,692,218 4,948,073 - - Capital shares sold........................................ 784,532 184,126 1,287,674 133,240 Dividends and interest..................................... 385,842 162,334 214,941 523,723 Futures variation margin................................... - - 198,875 35,175 Collateral received for securities loaned.................... - - 92,679 - Due from adviser............................................. - 40,097 - - Unrealized appreciation on forward foreign currency contracts - - - - Other assets................................................. 195,359 6,195 4,404 6,386 -------------- ------------ ------------ ------------ TOTAL ASSETS................................................. 1,544,840,522 749,687,176 470,793,368 387,883,100 -------------- ------------ ------------ ------------ LIABILITIES: Payable for: Investments purchased...................................... 695,189 6,348,328 - - Options written@........................................... - - - - Capital shares reacquired.................................. 341,849 197,641 71,066 109,122 Futures variation margin................................... - - - - Custodian fees............................................. 42,263 42,884 13,735 17,715 Reports to shareholders.................................... 147,553 73,238 20,042 47,838 Directors' retirement plan................................. 182,267 37,397 33,508 48,635 Collateral upon return of securities loaned................ 86,726,110 97,638,894 71,441,046 4,618,766 Payable to affiliates: Advisory fees.............................................. 1,059,015 466,261 110,119 155,761 Administrative services.................................... 82,368 36,265 22,024 21,806 Transfer agency fees....................................... 2,082 334 1,651 498 Accrued expenses and other liabilities....................... 71,585 20,883 32,146 19,164 Due to custodian............................................. - - - - Due to custodian for foreign cash............................ - - - - -------------- ------------ ------------ ------------ TOTAL LIABILITIES............................................ 89,350,281 104,862,125 71,745,337 5,039,305 -------------- ------------ ------------ ------------ NET ASSETS................................................... $1,455,490,241 $644,825,051 $399,048,031 $382,843,795 -------------- ------------ ------------ ------------ * Identified cost of investment securities (unaffiliated).... $1,192,481,844 $528,887,509 $305,059,589 $330,262,239 ** Identified cost of investment securities (affiliated)..... $ - $ - $ 132,272 $ 2,262,491 + Identified cost of foreign cash............................ $ 3,853 $ - $ - $ - # Including securities on loan of............................ $ 84,920,404 $ 95,321,161 $ 69,705,802 $ 4,558,951 @Premiums received on options written........................ $ - $ - $ - $ - -------------- ------------ ------------ ------------
STOCK INDEX VALUE FUND FUND -------------- ----------- ASSETS: Long term investments, at market*# (unaffiliated)............ $3,946,420,210 $12,598,950 Long term investments, at market** (affiliated).............. 61,879,010 - Short term investments (costs equals market)................. 166,796,842 - Repurchase agreements (cost equals market)................... 23,132,000 - Cash......................................................... 433 331,044 Foreign Cash+................................................ - - Receivable for: Investments sold........................................... - 16,225 Capital shares sold........................................ 1,621,220 6,637 Dividends and interest..................................... 6,685,232 23,373 Futures variation margin................................... 36,725 - Collateral received for securities loaned.................... 1,334,000 - Due from adviser............................................. - - Unrealized appreciation on forward foreign currency contracts - - Other assets................................................. 133,557 - -------------- ----------- TOTAL ASSETS................................................. 4,208,039,229 12,976,229 -------------- ----------- LIABILITIES: Payable for: Investments purchased...................................... - 23,611 Options written@........................................... - - Capital shares reacquired.................................. 1,290,217 3,433 Futures variation margin................................... - - Custodian fees............................................. 108,437 15,485 Reports to shareholders.................................... 421,307 653 Directors' retirement plan................................. 507,233 1,559 Collateral upon return of securities loaned................ 158,802,270 - Payable to affiliates: Advisory fees.............................................. 862,432 8,182 Administrative services.................................... 230,005 734 Transfer agency fees....................................... 4,133 265 Accrued expenses and other liabilities....................... 200,713 828 Due to custodian............................................. - - Due to custodian for foreign cash............................ - - -------------- ----------- TOTAL LIABILITIES............................................ 162,426,747 54,750 -------------- ----------- NET ASSETS................................................... $4,045,612,482 $12,921,479 -------------- ----------- * Identified cost of investment securities (unaffiliated).... $2,917,073,888 $11,746,800 ** Identified cost of investment securities (affiliated)..... $ 32,158,810 $ - + Identified cost of foreign cash............................ $ - $ - # Including securities on loan of............................ $ 155,301,574 $ - @Premiums received on options written........................ $ - $ - -------------- -----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 102 STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED November 30, 2003
SCIENCE & TECHNOLOGY FUND --------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.............................................................. $ 1,321,656 Additional paid-in capital.................................................................................. 3,135,532,341 Undistributed net investment income (loss).................................................................. (3,883,429) Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions...................................................................................... (1,906,706,864) Unrealized appreciation (depreciation) on: Investments............................................................................................... 229,226,330 Futures contracts......................................................................................... - Options written........................................................................................... - Foreign exchange transactions and other assets and liabilities............................................ 207 --------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 1,455,490,241 --------------- CAPITAL SHARES: Authorized (Par value $0.01 per share).................................................................... 1,000,000,000 Outstanding............................................................................................... 132,165,649 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 11.01
SMALL CAP FUND -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.............................................................. $ 688,307 Additional paid-in capital.................................................................................. 708,424,055 Undistributed net investment income (loss).................................................................. (1,022,432) Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions...................................................................................... (162,432,808) Unrealized appreciation (depreciation) on: Investments............................................................................................... 99,167,929 Futures contracts......................................................................................... - Options written........................................................................................... - Foreign exchange transactions and other assets and liabilities............................................ - -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 644,825,051 -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share).................................................................... 1,000,000,000 Outstanding............................................................................................... 68,830,712 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 9.37
SMALL CAP INDEX FUND -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.............................................................. $ 296,562 Additional paid-in capital.................................................................................. 364,380,997 Undistributed net investment income (loss).................................................................. 567,461 Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions...................................................................................... (6,429,584) Unrealized appreciation (depreciation) on: Investments............................................................................................... 37,831,742 Futures contracts......................................................................................... 2,400,853 Options written........................................................................................... - Foreign exchange transactions and other assets and liabilities............................................ - -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 399,048,031 -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share).................................................................... 1,000,000,000 Outstanding............................................................................................... 29,656,235 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 13.46
SOCIAL AWARENESS FUND -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.............................................................. $ 221,830 Additional paid-in capital.................................................................................. 427,086,787 Undistributed net investment income (loss).................................................................. 129,509 Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions...................................................................................... (61,857,200) Unrealized appreciation (depreciation) on: Investments............................................................................................... 16,361,929 Futures contracts......................................................................................... 900,940 Options written........................................................................................... - Foreign exchange transactions and other assets and liabilities............................................ - -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 382,843,795 -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share).................................................................... 1,000,000,000 Outstanding............................................................................................... 22,183,005 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 17.26
STOCK INDEX FUND -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.............................................................. $ 1,389,073 Additional paid-in capital.................................................................................. 2,975,084,288 Undistributed net investment income (loss).................................................................. 1,380,387 Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions...................................................................................... 7,469,164 Unrealized appreciation (depreciation) on: Investments............................................................................................... 1,059,066,522 Futures contracts......................................................................................... 1,223,048 Options written........................................................................................... - Foreign exchange transactions and other assets and liabilities............................................ - -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $4,045,612,482 -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share).................................................................... 1,000,000,000 Outstanding............................................................................................... 138,907,311 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 29.12
VALUE FUND -------------- NET ASSETS REPRESENTED BY: Capital shares at par value of $0.01 per share.............................................................. $ 13,737 Additional paid-in capital.................................................................................. 13,293,991 Undistributed net investment income (loss).................................................................. 46,171 Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign exchange transactions...................................................................................... (1,284,570) Unrealized appreciation (depreciation) on: Investments............................................................................................... 852,150 Futures contracts......................................................................................... - Options written........................................................................................... - Foreign exchange transactions and other assets and liabilities............................................ - -------------- NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 12,921,479 -------------- CAPITAL SHARES: Authorized (Par value $0.01 per share).................................................................... 1,000,000,000 Outstanding............................................................................................... 1,373,670 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 9.41
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 103 STATEMENTS OF OPERATIONS (Unaudited) For the Six Months Ended November 30, 2003
ASSET CAPITAL GOVERNMENT ALLOCATION BLUE CHIP CONSERVATION CORE EQUITY SECURITIES FUND GROWTH FUND FUND FUND FUND ----------- ----------- ------------ ------------ ----------- INVESTMENT INCOME: Dividends (unaffiliated)................ $ 809,771 $ 157,562 $ - $ 5,283,733 $ - Dividends (affiliated).................. 2,827 336 - 13,303 - Securities lending income............... - 468 1,347 - 8,016 Interest (unaffiliated)................. 980,943 2,673 1,370,371 45,466 3,055,072 ----------- ---------- ----------- ------------ ----------- Total investment income*............... 1,793,541 161,039 1,371,718 5,342,502 3,063,088 ----------- ---------- ----------- ------------ ----------- EXPENSES: Advisory fees........................... 421,293 115,579 212,794 2,327,131 451,991 Custodian fees.......................... 66,713 24,066 24,447 75,438 26,381 Audit and tax services fees............. 6,647 2,734 3,402 19,954 5,627 Administrative services................. 58,981 10,113 29,791 203,624 63,279 Legal fees.............................. 1,027 165 478 3,435 953 Directors' fees......................... 7,014 855 3,636 23,839 8,211 Reports to shareholders................. 17,222 1,731 6,502 100,597 12,642 Transfer agency fees.................... 869 580 869 1,158 1,158 Interest................................ - - - - - Miscellaneous........................... 1,744 604 1,010 4,277 1,666 ----------- ---------- ----------- ------------ ----------- Total expenses......................... 581,510 156,427 282,929 2,759,453 571,908 ----------- ---------- ----------- ------------ ----------- Expense reimbursements................. - - - (286,877) - Fees paid indirectly (Note 6).......... - (2,530) - (28,398) - ----------- ---------- ----------- ------------ ----------- Net expenses........................... 581,510 153,897 282,929 2,444,178 571,908 ----------- ---------- ----------- ------------ ----------- NET INVESTMENT INCOME (LOSS)............ 1,212,031 7,142 1,088,789 2,898,324 2,491,180 ----------- ---------- ----------- ------------ ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: Net realized gain (loss) on: Investments (unaffiliated)............. 1,423,045 (135,339) 121,482 (19,724,076) (2,318,818) Investments (affiliated)............... - - - - - Futures contracts...................... 2,090,481 - - - - Options written........................ - - - - - Foreign exchange transactions and other assets and liabilities......... - - - - - ----------- ---------- ----------- ------------ ----------- 3,513,526 (135,339) 121,482 (19,724,076) (2,318,818) ----------- ---------- ----------- ------------ ----------- Net unrealized appreciation (depreciation) on: Investments (unaffiliated)............. 5,794,085 2,886,078 (2,393,398) 70,123,954 (7,037,680) Investments (affiliated)............... 1,771 210 - 8,314 - Futures contracts...................... (387,585) - - - - Options written........................ - - - - - Forward currency contracts............. - - - - - Foreign exchange transactions and other assets and liabilities......... (1) - - - - ----------- ---------- ----------- ------------ ----------- 5,408,270 2,886,288 (2,393,398) 70,132,268 (7,037,680) ----------- ---------- ----------- ------------ ----------- Net realized and unrealized gain (loss) on investments, foreign currencies, futures and options contracts and other assets and liabilities........... 8,921,796 2,750,949 (2,271,916) 50,408,192 (9,356,498) ----------- ---------- ----------- ------------ ----------- INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............. $10,133,827 $2,758,091 $(1,183,127) $ 53,306,516 $(6,865,318) ----------- ---------- ----------- ------------ ----------- * Net of foreign withholding taxes on dividends and interest of.............. 688 918 635 25,748 - ----------- ---------- ----------- ------------ -----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 104 STATEMENTS OF OPERATIONS (Unaudited) - CONTINUED For the Six Months Ended November 30, 2003
HEALTH INCOME & GROWTH & GROWTH SCIENCES GROWTH INCOME FUND FUND FUND FUND ----------- --------- ---------- ----------- INVESTMENT INCOME: Dividends (unaffiliated)....................................................... $ 1,314,827 $21,860 $ 161,550 $ 2,517,386 Dividends (affiliated)......................................................... 3,388 - - - Securities lending income...................................................... 4,930 28 15,794 7,502 Interest (unaffiliated)........................................................ 9,078 216 12,627 3,145 ----------- --------- ---------- ----------- Total investment income*....................................................... 1,332,223 22,104 189,971 2,528,033 ----------- --------- ---------- ----------- EXPENSES: Advisory fees................................................................... 685,308 20,840 482,245 815,813 Custodian fees.................................................................. 20,641 24,066 24,130 24,092 Audit and tax services fees..................................................... 7,338 2,280 3,737 7,726 Administrative services......................................................... 63,962 1,536 33,757 74,165 Legal fees...................................................................... 1,190 88 353 1,248 Directors' fees................................................................. 7,670 165 2,566 8,383 Reports to shareholders......................................................... 21,107 375 4,434 21,797 Transfer agency fees............................................................ 869 1,158 580 580 Interest........................................................................ 5,388 - - - Miscellaneous................................................................... - 518 799 1,854 ----------- --------- ---------- ----------- Total expenses................................................................. 813,473 51,026 552,601 955,658 ----------- --------- ---------- ----------- Expense reimbursements......................................................... (36,790) - - (76,276) Fees paid indirectly (Note 6).................................................. - (1,053) (14,559) - ----------- --------- ---------- ----------- Net expenses................................................................... 776,683 49,973 538,042 879,382 ----------- --------- ---------- ----------- NET INVESTMENT INCOME (LOSS).................................................... 555,540 (27,869) (348,071) 1,648,651 ----------- --------- ---------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: Net realized gain (loss) on: Investments (unaffiliated)..................................................... (1,807,232) (50,583) 3,056,606 3,039,362 Investments (affiliated)....................................................... - - - - Futures contracts.............................................................. - - - 1,875 Options written................................................................ - - 281,863 - Foreign exchange transactions and other assets and liabilities................. - - 32,165 - ----------- --------- ---------- ----------- (1,807,232) (50,583) 3,370,634 3,041,237 ----------- --------- ---------- ----------- Net unrealized appreciation (depreciation) on: Investments (unaffiliated)..................................................... 20,158,381 515,630 4,566,182 18,279,233 Investments (affiliated)....................................................... 2,118 - - - Futures contracts.............................................................. - - - 15,387 Options written................................................................ - - 614,678 - Forward currency contracts..................................................... - - - - Foreign exchange transactions and other assets and liabilities................. - - (3,910) - ----------- --------- ---------- ----------- 20,160,499 515,630 5,176,950 18,294,620 ----------- --------- ---------- ----------- Net realized and unrealized gain (loss) on investments, foreign currencies, futures and options contracts and other assets and liabilities................. 18,353,267 465,047 8,547,584 21,335,857 ----------- --------- ---------- ----------- INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $18,908,807 $ 437,178 $8,199,513 $22,984,508 ----------- --------- ---------- ----------- * Net of foreign withholding taxes on dividends and interest of................. 3,124 5 2,568 - ----------- --------- ---------- -----------
INTERNATIONAL EQUITIES FUND ------------- INVESTMENT INCOME: Dividends (unaffiliated)....................................................... $ 863,732 Dividends (affiliated)......................................................... - Securities lending income...................................................... 2 Interest (unaffiliated)........................................................ 51,529 ----------- Total investment income*....................................................... 915,263 ----------- EXPENSES: Advisory fees................................................................... 172,803 Custodian fees.................................................................. 76,126 Audit and tax services fees..................................................... 5,038 Administrative services......................................................... 34,561 Legal fees...................................................................... 571 Directors' fees................................................................. 3,609 Reports to shareholders......................................................... 9,304 Transfer agency fees............................................................ 5,063 Interest........................................................................ - Miscellaneous................................................................... 1,168 ----------- Total expenses................................................................. 308,243 ----------- Expense reimbursements......................................................... - Fees paid indirectly (Note 6).................................................. - ----------- Net expenses................................................................... 308,243 ----------- NET INVESTMENT INCOME (LOSS).................................................... 607,020 ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: Net realized gain (loss) on: Investments (unaffiliated)..................................................... (2,489,140) Investments (affiliated)....................................................... - Futures contracts.............................................................. 934,776 Options written................................................................ - Foreign exchange transactions and other assets and liabilities................. 1,107,135 ----------- (447,229) ----------- Net unrealized appreciation (depreciation) on: Investments (unaffiliated)..................................................... 16,777,976 Investments (affiliated)....................................................... - Futures contracts.............................................................. (225,343) Options written................................................................ - Forward currency contracts..................................................... - Foreign exchange transactions and other assets and liabilities................. (101,267) ----------- 16,451,366 ----------- Net realized and unrealized gain (loss) on investments, foreign currencies, futures and options contracts and other assets and liabilities................. 16,004,137 ----------- INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $16,611,157 ----------- * Net of foreign withholding taxes on dividends and interest of................. 91,045 -----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 105 For the Six Months Ended November 30, 2003 STATEMENTS OF OPERATIONS (Unaudited) - CONTINUED
INTERNATIONAL INTERNATIONAL LARGE CAP MONEY GOVERNMENT GROWTH I GROWTH MIDCAP INDEX MARKET 1 BOND FUND FUND FUND FUND FUND ------------- ------------- ----------- ------------ ---------- INVESTMENT INCOME: Dividends (unaffiliated).......................... $ - $ 2,842,983 $ 2,310,955 $ 6,856,361 $ - Dividends (affiliated)............................ - - - - - Securities lending income......................... 2,124 211,726 15,235 146,205 - Interest (unaffiliated)........................... 3,559,988 25,564 51,719 204,620 2,878,975 ------------ ----------- ----------- ------------ ---------- Total investment income*......................... 3,562,112 3,080,273 2,377,909 7,207,186 2,878,975 ------------ ----------- ----------- ------------ ---------- EXPENSES: Advisory fees..................................... 368,742 1,834,906 2,131,066 1,786,810 1,284,607 Custodian fees.................................... 83,422 304,640 36,020 66,330 24,540 Audit and tax services fees....................... 4,403 17,231 15,551 33,258 19,671 Administrative services........................... 51,624 128,444 157,026 430,307 179,845 Legal fees........................................ 650 2,266 2,736 5,757 3,589 Directors' fees................................... 5,745 15,023 18,176 42,860 25,960 Reports to shareholders........................... 9,333 40,800 50,197 98,203 63,841 Transfer agency fees.............................. 289 580 580 5,355 7,810 Interest.......................................... - 418 1,571 - - Miscellaneous..................................... 1,180 3,529 2,032 10,402 4,605 ------------ ----------- ----------- ------------ ---------- Total expenses................................... 525,388 2,347,837 2,414,955 2,479,282 1,614,468 ------------ ----------- ----------- ------------ ---------- Expense reimbursements........................... - (402,836) (37,134) - (72,940) Fees paid indirectly (Note 6).................... - - - - - ------------ ----------- ----------- ------------ ---------- Net expenses..................................... 525,388 1,945,001 2,377,821 2,479,282 1,541,528 ------------ ----------- ----------- ------------ ---------- NET INVESTMENT INCOME (LOSS)...................... 3,036,724 1,135,272 88 4,727,904 1,337,447 ------------ ----------- ----------- ------------ ---------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: Net realized gain (loss) on: Investments (unaffiliated)....................... 5,275,995 9,015,180 3,332,307 40,038 - Investments (affiliated)......................... - - - - - Futures contracts................................ - - - 9,673,147 - Options written.................................. - - - - - Foreign exchange transactions and other assets and liabilities................................ 2,093,201 15,014,128 - - - ------------ ----------- ----------- ------------ ---------- 7,369,196 24,029,308 3,332,307 9,713,185 - ------------ ----------- ----------- ------------ ---------- Net unrealized appreciation (depreciation) on: Investments (unaffiliated)....................... (8,540,213) 23,142,835 46,202,971 214,854,193 - Investments (affiliated)......................... - - - - - Futures contracts................................ - - - (3,121,943) - Options written.................................. - - - - - Forward currency contracts....................... 64,421 - - - - Foreign exchange transactions and other assets and liabilities................................ 15,462 (26,225) - - - ------------ ----------- ----------- ------------ ---------- (8,460,330) 23,116,610 46,202,971 211,732,250 - ------------ ----------- ----------- ------------ ---------- Net realized and unrealized gain (loss) on investments, foreign currencies, futures and options contracts and other assets and liabilities..................... (1,091,134) 47,145,918 49,535,278 221,445,435 - ------------ ----------- ----------- ------------ ---------- INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....................................... $ 1,945,590 $48,281,190 $49,535,366 $226,173,339 $1,337,447 ------------ ----------- ----------- ------------ ---------- * Net of foreign withholding taxes on dividends and interest of.................................. 21,881 321,063 9,361 - - ------------ ----------- ----------- ------------ ----------
NASDAQ-100 INDEX FUND ----------- INVESTMENT INCOME: Dividends (unaffiliated).......................... $ 82,736 Dividends (affiliated)............................ - Securities lending income......................... 2,307 Interest (unaffiliated)........................... 46,314 ----------- Total investment income*......................... 131,357 ----------- EXPENSES: Advisory fees..................................... 141,606 Custodian fees.................................... 24,066 Audit and tax services fees....................... 2,981 Administrative services........................... 24,781 Legal fees........................................ 209 Directors' fees................................... 1,468 Reports to shareholders........................... 2,361 Transfer agency fees.............................. 3,036 Interest.......................................... - Miscellaneous..................................... 11,472 ----------- Total expenses................................... 211,980 ----------- Expense reimbursements........................... - Fees paid indirectly (Note 6).................... - ----------- Net expenses..................................... 211,980 ----------- NET INVESTMENT INCOME (LOSS)...................... (80,623) ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: Net realized gain (loss) on: Investments (unaffiliated)....................... (160,311) Investments (affiliated)......................... - Futures contracts................................ 1,467,505 Options written.................................. - Foreign exchange transactions and other assets and liabilities................................ - ----------- 1,307,194 ----------- Net unrealized appreciation (depreciation) on: Investments (unaffiliated)....................... 10,231,178 Investments (affiliated)......................... - Futures contracts................................ 154,414 Options written.................................. - Forward currency contracts....................... - Foreign exchange transactions and other assets and liabilities................................ - ----------- 10,385,592 ----------- Net realized and unrealized gain (loss) on investments, foreign currencies, futures and options contracts and other assets and liabilities..................... 11,692,786 ----------- INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....................................... $11,612,163 ----------- * Net of foreign withholding taxes on dividends and interest of.................................. 459 -----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 106 For the Six Months Ended November 30, 2003 STATEMENTS OF OPERATIONS (Unaudited) - CONTINUED
SCIENCE & SOCIAL TECHNOLOGY SMALL CAP SMALL CAP AWARENESS STOCK INDEX FUND FUND INDEX FUND FUND FUND ------------ ------------ ----------- ----------- ------------ INVESTMENT INCOME: Dividends (unaffiliated).......................... $ 2,059,902 $ 1,404,956 $ 1,786,408 $ 2,902,032 $ 33,796,728 Dividends (affiliated)............................ - - 350 4,722 118,346 Securities lending income......................... 77,783 141,830 96,416 10,053 88,388 Interest (unaffiliated)........................... 388,806 147,990 176,966 88,738 201,436 ------------ ------------ ----------- ----------- ------------ Total investment income*......................... 2,526,491 1,694,776 2,060,140 3,005,545 34,204,898 ------------ ------------ ----------- ----------- ------------ EXPENSES: Advisory fees..................................... 5,899,390 2,644,503 569,829 920,033 5,049,368 Custodian fees.................................... 72,710 71,590 24,066 30,323 182,440 Audit and tax services fees....................... 36,065 19,274 8,738 12,905 114,007 Administrative services........................... 458,841 205,684 113,966 128,805 1,343,823 Legal fees........................................ 6,529 3,093 1,327 2,169 21,041 Directors' fees................................... 44,612 22,299 9,673 14,561 149,601 Reports to shareholders........................... 128,239 60,342 22,207 39,473 383,411 Transfer agency fees.............................. 4,194 580 3,905 869 7,810 Interest.......................................... - - - - - Miscellaneous..................................... 10,610 4,205 6,893 3,226 48,423 ------------ ------------ ----------- ----------- ------------ Total expenses................................... 6,661,190 3,031,570 760,604 1,152,364 7,299,924 ------------ ------------ ----------- ----------- ------------ Expense reimbursements........................... (75,743) (240,151) - - - Fees paid indirectly (Note 6).................... (99,847) - - - - ------------ ------------ ----------- ----------- ------------ Net expenses..................................... 6,485,600 2,791,419 760,604 1,152,364 7,299,924 ------------ ------------ ----------- ----------- ------------ NET INVESTMENT INCOME (LOSS)...................... (3,959,109) (1,096,643) 1,299,536 1,853,181 26,904,974 ------------ ------------ ----------- ----------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: Net realized gain (loss) on: Investments (unaffiliated)....................... (9,904,539) 33,828,533 (558,154) 8,847,332 7,782,023 Investments (affiliated)......................... - - - - 25,069 Futures contracts................................ - - 10,605,722 2,198,977 3,545,768 Options written.................................. - - - - - Foreign exchange transactions and other assets and liabilities................................ (28,599) (20) - - - ------------ ------------ ----------- ----------- ------------ (9,933,138) 33,828,513 10,047,568 11,046,309 11,352,860 ------------ ------------ ----------- ----------- ------------ Net unrealized appreciation (depreciation) on: Investments (unaffiliated)....................... 258,413,358 85,149,700 62,124,583 23,162,593 347,337,452 Investments (affiliated)......................... - - (2,716) 2,951 25,499 Futures contracts................................ - - (2,636,782) (370,946) (478,785) Options written.................................. - - - - - Forward currency contracts....................... - - - - - Foreign exchange transactions and other assets and liabilities................................ (627) - - - - ------------ ------------ ----------- ----------- ------------ 258,412,731 85,149,700 59,485,085 22,794,598 346,884,166 ------------ ------------ ----------- ----------- ------------ Net realized and unrealized gain (loss) on investments, foreign currencies, futures and options contracts and other assets and liabilities...................................... 248,479,593 118,978,213 69,532,653 33,840,907 358,237,026 ------------ ------------ ----------- ----------- ------------ INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....................................... $244,520,484 $117,881,570 $70,832,189 $35,694,088 $385,142,000 ------------ ------------ ----------- ----------- ------------ * Net of foreign withholding taxes on dividends and interest of.................................. 52,541 431 732 2,344 - ------------ ------------ ----------- ----------- ------------
VALUE FUND ---------- INVESTMENT INCOME: Dividends (unaffiliated).......................... $ 138,464 Dividends (affiliated)............................ - Securities lending income......................... - Interest (unaffiliated)........................... 1,675 ---------- Total investment income*......................... 140,139 ---------- EXPENSES: Advisory fees..................................... 46,973 Custodian fees.................................... 24,066 Audit and tax services fees....................... 2,470 Administrative services........................... 4,215 Legal fees........................................ 119 Directors' fees................................... 434 Reports to shareholders........................... 511 Transfer agency fees.............................. 529 Interest.......................................... - Miscellaneous..................................... 547 ---------- Total expenses................................... 79,864 ---------- Expense reimbursements........................... - Fees paid indirectly (Note 6).................... - ---------- Net expenses..................................... 79,864 ---------- NET INVESTMENT INCOME (LOSS)...................... 60,275 ---------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: Net realized gain (loss) on: Investments (unaffiliated)....................... (49,390) Investments (affiliated)......................... - Futures contracts................................ - Options written.................................. - Foreign exchange transactions and other assets and liabilities................................ - ---------- (49,390) ---------- Net unrealized appreciation (depreciation) on: Investments (unaffiliated)....................... 1,067,001 Investments (affiliated)......................... - Futures contracts................................ - Options written.................................. - Forward currency contracts....................... - Foreign exchange transactions and other assets and liabilities................................ - ---------- 1,067,001 ---------- Net realized and unrealized gain (loss) on investments, foreign currencies, futures and options contracts and other assets and liabilities...................................... 1,017,611 ---------- INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....................................... $1,077,886 ---------- * Net of foreign withholding taxes on dividends and interest of.................................. 165 ----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 107 STATEMENTS OF CHANGES IN NET ASSETS
ASSET ALLOCATION BLUE CHIP FUND GROWTH FUND -------------------------- ------------------------- For the For the Six Months Six Months Ended For the Ended For the November 30, Year Ended November 30, Year Ended 2003 May 31, 2003 May 31, (Unaudited) 2003 (Unaudited) 2003 ------------ ------------ ------------ ------------ OPERATIONS: Net investment income (loss).......................................... $ 1,212,031 $ 3,743,245 $ 7,142 $ (29,878) Net realized gain (loss) on investments, futures and options contracts, and foreign currencies.................................... 3,513,526 807,632 (135,339) (2,570,778) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies........................ 5,408,270 (3,919,715) 2,886,288 1,582,925 ------------ ------------ ----------- ------------ Increase (decrease) in net assets resulting from operations.......... 10,133,827 631,162 2,758,091 (1,017,731) ------------ ------------ ----------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................................. (1,360,001) (3,851,623) - - Net realized gain on securities....................................... - (123,336) - - ------------ ------------ ----------- ------------ Decrease in net assets resulting from distributions to shareholders.. (1,360,001) (3,974,959) - - ------------ ------------ ----------- ------------ CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold...................................... 8,347,326 24,908,488 11,384,576 18,660,500 Reinvestment of distributions......................................... 1,360,001 3,974,959 - - Cost of capital stock reacquired...................................... (10,154,475) (41,707,657) (3,144,235) (13,978,057) ------------ ------------ ----------- ------------ Increase (decrease) in net assets resulting from capital stock transactions....................................................... (447,148) (12,824,210) 8,240,341 4,682,443 ------------ ------------ ----------- ------------ TOTAL INCREASE (DECREASE) IN NET ASSETS............................... 8,326,678 (16,168,007) 10,998,432 3,664,712 NET ASSETS: Beginning of year..................................................... 164,757,005 180,925,012 23,728,127 20,063,415 ------------ ------------ ----------- ------------ End of year........................................................... $173,083,683 $164,757,005 $34,726,559 $ 23,728,127 ------------ ------------ ----------- ------------ Undistributed net investment income (loss) included in net assets at the end of the year.................................................. $ (49,178) $ 98,792 $ 7,321 $ 179 ------------ ------------ ----------- ------------ SHARES ISSUED AND REACQUIRED: Sold.................................................................. 723,679 2,387,295 1,592,328 3,022,001 Issued for distributions reinvested................................... 117,232 375,810 - - Reacquired............................................................ (881,827) (4,003,456) (440,928) (2,290,338) ------------ ------------ ----------- ------------ Increase (decrease) in shares outstanding............................ (40,916) (1,240,351) 1,151,400 731,663 Shares outstanding: Beginning of year.................................................... 14,703,716 15,944,067 3,494,951 2,763,288 ------------ ------------ ----------- ------------ End of year.......................................................... 14,662,800 14,703,716 4,646,351 3,494,951 ------------ ------------ ----------- ------------
CAPITAL CONSERVATION FUND CORE EQUITY FUND -------------------------- --------------------------- For the For the Six Months Six Months Ended For the Ended For the November 30, Year Ended November 30, Year Ended 2003 May 31, 2003 May 31, (Unaudited) 2003 (Unaudited) 2003 ------------ ------------ ------------ ------------- OPERATIONS: Net investment income (loss).......................................... $ 1,088,789 $ 3,001,653 $ 2,898,324 $ 6,150,294 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies.................................... 121,482 3,983,752 (19,724,076) (50,821,518) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies........................ (2,393,398) 1,563,845 70,132,268 (14,807,191) ------------ ------------ ------------ ------------- Increase (decrease) in net assets resulting from operations.......... (1,183,127) 8,549,250 53,306,516 (59,478,415) ------------ ------------ ------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................................. (1,230,001) (3,172,002) (2,854,002) (6,153,017) Net realized gain on securities....................................... - - - - ------------ ------------ ------------ ------------- Decrease in net assets resulting from distributions to shareholders.. (1,230,001) (3,172,002) (2,854,002) (6,153,017) ------------ ------------ ------------ ------------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold...................................... 10,934,242 52,329,360 16,346,039 165,958,192 Reinvestment of distributions......................................... 1,230,001 3,172,002 2,854,002 6,153,017 Cost of capital stock reacquired...................................... (18,660,352) (40,797,909) (35,192,648) (231,083,991) ------------ ------------ ------------ ------------- Increase (decrease) in net assets resulting from capital stock transactions....................................................... (6,496,109) 14,703,453 (15,992,607) (58,972,782) ------------ ------------ ------------ ------------- TOTAL INCREASE (DECREASE) IN NET ASSETS............................... (8,909,237) 20,080,701 34,459,907 (124,604,214) NET ASSETS: Beginning of year..................................................... 89,865,610 69,784,909 560,038,211 684,642,425 ------------ ------------ ------------ ------------- End of year........................................................... $ 80,956,373 $ 89,865,610 $594,498,118 $ 560,038,211 ------------ ------------ ------------ ------------- Undistributed net investment income (loss) included in net assets at the end of the year.................................................. $ (81,676) $ 59,536 $ 174,434 $ 130,112 ------------ ------------ ------------ ------------- SHARES ISSUED AND REACQUIRED: Sold.................................................................. 1,106,721 5,371,855 1,532,124 17,855,112 Issued for distributions reinvested................................... 126,331 325,995 265,673 644,267 Reacquired............................................................ (1,899,227) (4,183,787) (3,295,548) (24,816,764) ------------ ------------ ------------ ------------- Increase (decrease) in shares outstanding............................ (666,175) 1,514,063 (1,497,751) (6,317,385) Shares outstanding: Beginning of year.................................................... 8,954,168 7,440,105 55,357,660 61,675,045 ------------ ------------ ------------ ------------- End of year.......................................................... 8,287,993 8,954,168 53,859,909 55,357,660 ------------ ------------ ------------ -------------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 108 STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
GOVERNMENT SECURITIES GROWTH & INCOME FUND FUND -------------------------- -------------------------- For the For the Six Months Six Months Ended For the Ended For the November 30, Year Ended November 30, Year Ended 2003 May 31, 2003 May 31, (Unaudited) 2003 (Unaudited) 2003 ------------ ------------ ------------ ------------ OPERATIONS: Net investment income (loss).......................................... $ 2,491,180 $ 6,378,577 $ 555,540 $ 1,437,087 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies.................................... (2,318,818) 11,519,782 (1,807,232) (30,840,703) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies........................ (7,037,680) 3,012,682 20,160,499 3,392,520 ------------ ------------ ------------ ------------ Increase (decrease) in net assets resulting from operations.......... (6,865,318) 20,911,041 18,908,807 (26,011,096) ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................................. (2,477,002) (6,603,003) (574,002) (1,435,004) Net realized gain on securities....................................... - (1,128,550) - - ------------ ------------ ------------ ------------ Decrease in net assets resulting from distributions to shareholders.. (2,477,002) (7,731,553) (574,002) (1,435,004) ------------ ------------ ------------ ------------ CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold...................................... 11,794,264 129,261,715 12,507,642 47,495,850 Reinvestment of distributions......................................... 2,477,002 7,731,553 574,002 1,435,004 Cost of capital stock reacquired...................................... (42,132,983) (84,486,909) (12,245,735) (67,871,091) ------------ ------------ ------------ ------------ Increase (decrease) in net assets resulting from capital stock transactions....................................................... (27,861,717) 52,506,359 835,909 (18,940,237) ------------ ------------ ------------ ------------ TOTAL INCREASE (DECREASE) IN NET ASSETS............................... (37,204,037) 65,685,847 19,170,714 (46,386,337) NET ASSETS: Beginning of year..................................................... 200,411,942 134,726,095 174,358,812 220,745,149 ------------ ------------ ------------ ------------ End of year........................................................... $163,207,905 $200,411,942 $193,529,526 $174,358,812 ------------ ------------ ------------ ------------ Undistributed net investment income (loss) included in net assets at the end of the year.................................................. $ 91,642 $ 77,464 $ 22,311 $ 40,773 ------------ ------------ ------------ ------------ SHARES ISSUED AND REACQUIRED: Sold.................................................................. 1,083,375 11,858,793 1,047,640 4,476,353 Issued for distributions reinvested................................... 231,654 706,223 47,498 130,918 Reacquired............................................................ (3,894,998) (7,722,626) (1,030,934) (6,350,559) ------------ ------------ ------------ ------------ Increase (decrease) in shares outstanding............................ (2,579,969) 4,842,390 64,204 (1,743,288) Shares outstanding: Beginning of year.................................................... 17,835,704 12,993,314 15,402,079 17,145,367 ------------ ------------ ------------ ------------ End of year.......................................................... 15,255,735 17,835,704 15,466,283 15,402,079 ------------ ------------ ------------ ------------
GROWTH FUND HEALTH SCIENCES FUND ------------------------ -------------------------- For the For the Six Six Months Months Ended For the Ended For the November 30, Year Ended November 30, Year Ended 2003 May 31, 2003 May 31, (Unaudited) 2003 (Unaudited) 2003 ------------ ----------- ------------ ------------ OPERATIONS: Net investment income (loss).......................................... $ (27,869) $ (49,988) $ (348,071) $ (401,635) Net realized gain (loss) on investments, futures and options contracts, and foreign currencies.................................... (50,583) (878,013) 3,370,634 (5,722,513) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies........................ 515,630 525,923 5,176,950 10,232,480 ---------- ----------- ------------ ------------ Increase (decrease) in net assets resulting from operations.......... 437,178 (402,078) 8,199,513 4,108,332 ---------- ----------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................................. - - - - Net realized gain on securities....................................... - - - - ---------- ----------- ------------ ------------ Decrease in net assets resulting from distributions to shareholders.. - - - - ---------- ----------- ------------ ------------ CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold...................................... 1,219,681 2,312,993 34,875,379 50,807,902 Reinvestment of distributions......................................... - - - - Cost of capital stock reacquired...................................... (840,841) (1,879,378) (11,845,866) (31,757,288) ---------- ----------- ------------ ------------ Increase (decrease) in net assets resulting from capital stock transactions....................................................... 378,840 433,615 23,029,513 19,050,614 ---------- ----------- ------------ ------------ TOTAL INCREASE (DECREASE) IN NET ASSETS............................... 816,018 31,537 31,229,026 23,158,946 NET ASSETS: Beginning of year..................................................... 3,961,588 3,930,051 77,673,127 54,514,181 ---------- ----------- ------------ ------------ End of year........................................................... $4,777,606 $ 3,961,588 $108,902,153 $ 77,673,127 ---------- ----------- ------------ ------------ Undistributed net investment income (loss) included in net assets at the end of the year.................................................. $ (27,467) $ 402 $ (340,837) $ 7,234 ---------- ----------- ------------ ------------ SHARES ISSUED AND REACQUIRED: Sold.................................................................. 273,755 579,383 4,121,024 7,374,509 Issued for distributions reinvested................................... - - - - Reacquired............................................................ (188,665) (475,026) (1,406,242) (4,672,098) ---------- ----------- ------------ ------------ Increase (decrease) in shares outstanding............................ 85,090 104,357 2,714,782 2,702,411 Shares outstanding: Beginning of year.................................................... 940,870 836,513 9,731,686 7,029,275 ---------- ----------- ------------ ------------ End of year.......................................................... 1,025,960 940,870 12,446,468 9,731,686 ---------- ----------- ------------ ------------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 109 STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
INCOME & GROWTH FUND --------------------------- For the Six Months Ended For the November 30, Year Ended 2003 May 31, (Unaudited) 2003 ------------ ------------- OPERATIONS: Net investment income (loss)....................................................... $ 1,648,651 $ 2,792,218 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies........................................................................ 3,041,237 (32,609,271) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies................................................. 18,294,620 9,587,451 ------------ ------------- Increase (decrease) in net assets resulting from operations...................... 22,984,508 (20,229,602) ------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............................................................. (1,749,002) (2,693,004) Net realized gain on securities.................................................... - - ------------ ------------- Decrease in net assets resulting from distributions to shareholders.............. (1,749,002) (2,693,004) ------------ ------------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold................................................... 12,457,132 92,216,684 Reinvestment of distributions...................................................... 1,749,002 2,693,004 Cost of capital stock reacquired................................................... (12,961,674) (106,576,794) ------------ ------------- Increase (decrease) in net assets resulting from capital stock transactions...... 1,244,460 (11,667,106) ------------ ------------- TOTAL INCREASE (DECREASE) IN NET ASSETS............................................ 22,479,966 (34,589,712) NET ASSETS: Beginning of year.................................................................. 200,918,775 235,508,487 ------------ ------------- End of year........................................................................ $223,398,741 $ 200,918,775 ------------ ------------- Undistributed net investment income (loss) included in net assets at the end of the year.............................................................................. $ 100,458 $ 200,809 ------------ ------------- SHARES ISSUED AND REACQUIRED: Sold............................................................................... 1,537,670 13,119,440 Issued for distributions reinvested................................................ 212,092 371,125 Reacquired......................................................................... (1,594,717) (15,145,877) ------------ ------------- Increase (decrease) in shares outstanding........................................ 155,045 (1,655,312) Shares outstanding: Beginning of year................................................................ 26,008,196 27,663,508 ------------ ------------- End of year...................................................................... 26,163,241 26,008,196 ------------ -------------
INTERNATIONAL EQUITIES FUND ---------------------------- For the Six Months Ended For the November 30, Year Ended 2003 May 31, (Unaudited) 2003 ------------- ------------- OPERATIONS: Net investment income (loss)....................................................... $ 607,020 $ 1,413,709 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies........................................................................ (447,229) (3,509,602) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies................................................. 16,451,366 (11,743,957) ------------- ------------- Increase (decrease) in net assets resulting from operations...................... 16,611,157 (13,839,850) ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............................................................. (600,001) (930,002) Net realized gain on securities.................................................... - - ------------- ------------- Decrease in net assets resulting from distributions to shareholders.............. (600,001) (930,002) ------------- ------------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold................................................... 318,412,747 378,590,730 Reinvestment of distributions...................................................... 600,001 930,002 Cost of capital stock reacquired................................................... (305,816,126) (375,633,057) ------------- ------------- Increase (decrease) in net assets resulting from capital stock transactions...... 13,196,622 3,887,675 ------------- ------------- TOTAL INCREASE (DECREASE) IN NET ASSETS............................................ 29,207,778 (10,882,177) NET ASSETS: Beginning of year.................................................................. 90,680,264 101,562,441 ------------- ------------- End of year........................................................................ $ 119,888,042 $ 90,680,264 ------------- ------------- Undistributed net investment income (loss) included in net assets at the end of the year.............................................................................. $ 473,120 $ 466,101 ------------- ------------- SHARES ISSUED AND REACQUIRED: Sold............................................................................... 53,561,837 71,854,370 Issued for distributions reinvested................................................ 99,406 170,093 Reacquired......................................................................... (51,303,797) (70,759,366) ------------- ------------- Increase (decrease) in shares outstanding........................................ 2,357,446 1,265,097 Shares outstanding: Beginning of year................................................................ 16,491,334 15,226,237 ------------- ------------- End of year...................................................................... 18,848,780 16,491,334 ------------- -------------
INTERNATIONAL GOVERNMENT BOND FUND -------------------------- For the Six Months Ended For the November 30, Year Ended 2003 May 31, (Unaudited) 2003 ------------ ------------ OPERATIONS: Net investment income (loss)....................................................... $ 3,036,724 $ 6,001,350 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies........................................................................ 7,369,196 3,650,596 Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies................................................. (8,460,330) 20,363,495 ------------ ------------ Increase (decrease) in net assets resulting from operations...................... 1,945,590 30,015,441 ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............................................................. - - Net realized gain on securities.................................................... - (671,332) ------------ ------------ Decrease in net assets resulting from distributions to shareholders.............. - (671,332) ------------ ------------ CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold................................................... 38,506,625 116,561,445 Reinvestment of distributions...................................................... - 671,332 Cost of capital stock reacquired................................................... (51,374,427) (91,152,062) ------------ ------------ Increase (decrease) in net assets resulting from capital stock transactions...... (12,867,802) 26,080,715 ------------ ------------ TOTAL INCREASE (DECREASE) IN NET ASSETS............................................ (10,922,212) 55,424,824 NET ASSETS: Beginning of year.................................................................. 157,478,183 102,053,359 ------------ ------------ End of year........................................................................ $146,555,971 $157,478,183 ------------ ------------ Undistributed net investment income (loss) included in net assets at the end of the year.............................................................................. $ 6,579,788 $ 3,543,064 ------------ ------------ SHARES ISSUED AND REACQUIRED: Sold............................................................................... 2,814,379 9,482,975 Issued for distributions reinvested................................................ - 55,805 Reacquired......................................................................... (3,775,039) (7,394,437) ------------ ------------ Increase (decrease) in shares outstanding........................................ (960,660) 2,144,343 Shares outstanding: Beginning of year................................................................ 11,385,876 9,241,533 ------------ ------------ End of year...................................................................... 10,425,216 11,385,876 ------------ ------------
INTERNATIONAL GROWTH I FUND --------------------------- For the Six Months Ended For the November 30, Year Ended 2003 May 31, (Unaudited) 2003 ------------ ------------- OPERATIONS: Net investment income (loss)....................................................... $ 1,135,272 $ 4,337,409 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies........................................................................ 24,029,308 (71,514,334) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies................................................. 23,116,610 3,156,515 ------------ ------------- Increase (decrease) in net assets resulting from operations...................... 48,281,190 (64,020,410) ------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............................................................. (1,450,008) (6,113,264) Net realized gain on securities.................................................... - - ------------ ------------- Decrease in net assets resulting from distributions to shareholders.............. (1,450,008) (6,113,264) ------------ ------------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold................................................... 83,002,622 139,848,350 Reinvestment of distributions...................................................... 1,450,008 6,113,264 Cost of capital stock reacquired................................................... (90,460,539) (169,089,011) ------------ ------------- Increase (decrease) in net assets resulting from capital stock transactions...... (6,007,909) (23,127,397) ------------ ------------- TOTAL INCREASE (DECREASE) IN NET ASSETS............................................ 40,823,273 (93,261,071) NET ASSETS: Beginning of year.................................................................. 345,212,707 438,473,778 ------------ ------------- End of year........................................................................ $386,035,980 $ 345,212,707 ------------ ------------- Undistributed net investment income (loss) included in net assets at the end of the year.............................................................................. $ 250,847 $ 565,583 ------------ ------------- SHARES ISSUED AND REACQUIRED: Sold............................................................................... 12,736,198 23,905,095 Issued for distributions reinvested................................................ 221,138 1,019,156 Reacquired......................................................................... (13,811,075) (28,539,692) ------------ ------------- Increase (decrease) in shares outstanding........................................ (853,739) (3,615,441) Shares outstanding: Beginning of year................................................................ 56,825,356 60,440,797 ------------ ------------- End of year...................................................................... 55,971,617 56,825,356 ------------ -------------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 110 STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
LARGE CAP GROWTH FUND --------------------------- For the Six Months Ended For the November 30, Year Ended 2003 May 31, (Unaudited) 2003 ------------ ------------- OPERATIONS: Net investment income (loss).......................................... $ 88 $ 193,043 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies.................................... 3,332,307 (94,315,183) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies........................ 46,202,971 29,935,551 ------------ ------------- Increase (decrease) in net assets resulting from operations.......... 49,535,366 (64,186,589) ------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................................. - (253,510) Net realized gain on securities....................................... - - ------------ ------------- Decrease in net assets resulting from distributions to shareholders.. - (253,510) ------------ ------------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold...................................... 19,154,897 187,001,605 Reinvestment of distributions......................................... - 253,510 Cost of capital stock reacquired...................................... (25,224,675) (215,883,192) ------------ ------------- Increase (decrease) in net assets resulting from capital stock transactions......................................................... (6,069,778) (28,628,077) ------------ ------------- TOTAL INCREASE (DECREASE) IN NET ASSETS............................... 43,465,588 (93,068,176) NET ASSETS: Beginning of year..................................................... 426,061,065 519,129,241 ------------ ------------- End of year........................................................... $469,526,653 $ 426,061,065 ------------ ------------- Undistributed net investment income (loss) included in net assets at the end of the year.................................................. $ 9,453 $ 9,365 ------------ ------------- SHARES ISSUED AND REACQUIRED: Sold.................................................................. 3,344,333 37,554,968 Issued for distributions reinvested................................... - 48,824 Reacquired............................................................ (4,377,496) (43,186,199) ------------ ------------- Increase (decrease) in shares outstanding............................ (1,033,163) (5,582,407) Shares outstanding: Beginning of year.................................................... 78,169,795 83,752,202 ------------ ------------- End of year.......................................................... 77,136,632 78,169,795 ------------ -------------
MID CAP INDEX FUND ------------------------------ For the Six Months Ended For the November 30, Year Ended 2003 May 31, (Unaudited) 2003 -------------- -------------- OPERATIONS: Net investment income (loss).......................................... $ 4,727,904 $ 7,425,442 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies.................................... 9,713,185 1,462,614 Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies........................ 211,732,250 (114,914,632) -------------- -------------- Increase (decrease) in net assets resulting from operations.......... 226,173,339 (106,026,576) -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................................. (4,403,009) (6,863,215) Net realized gain on securities....................................... - (33,800,632) -------------- -------------- Decrease in net assets resulting from distributions to shareholders.. (4,403,009) (40,663,847) -------------- -------------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold...................................... 135,178,868 307,316,826 Reinvestment of distributions......................................... 4,403,009 40,663,847 Cost of capital stock reacquired...................................... (46,257,236) (260,004,659) -------------- -------------- Increase (decrease) in net assets resulting from capital stock transactions......................................................... 93,324,641 87,976,014 -------------- -------------- TOTAL INCREASE (DECREASE) IN NET ASSETS............................... 315,094,971 (58,714,409) NET ASSETS: Beginning of year..................................................... 1,095,293,663 1,154,008,072 -------------- -------------- End of year........................................................... $1,410,388,634 $1,095,293,663 -------------- -------------- Undistributed net investment income (loss) included in net assets at the end of the year.................................................. $ 934,747 $ 609,852 -------------- -------------- SHARES ISSUED AND REACQUIRED: Sold.................................................................. 7,931,053 21,747,431 Issued for distributions reinvested................................... 248,264 2,830,456 Reacquired............................................................ (2,745,975) (18,529,208) -------------- -------------- Increase (decrease) in shares outstanding............................ 5,433,342 6,048,679 Shares outstanding: Beginning of year.................................................... 70,134,872 64,086,193 -------------- -------------- End of year.......................................................... 75,568,214 70,134,872 -------------- --------------
MONEY MARKET I FUND NASDAQ-100(R) INDEX FUND ---------------------------- -------------------------- For the For the Six Months Six Months Ended For the Ended For the November 30, Year Ended November 30, Year Ended 2003 May 31, 2003 May 31, (Unaudited) 2003 (Unaudited) 2003 ------------- ------------- ------------ ------------ OPERATIONS: Net investment income (loss).......................................... $ 1,337,447 $ 5,980,834 $ (80,623) $ (144,354) Net realized gain (loss) on investments, futures and options contracts, and foreign currencies.................................... - 6,557 1,307,194 (4,539,233) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies........................ - - 10,385,592 7,235,237 ------------- ------------- ------------ ------------ Increase (decrease) in net assets resulting from operations.......... 1,337,447 5,987,391 11,612,163 2,551,650 ------------- ------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................................. (1,337,447) (5,980,834) - - Net realized gain on securities....................................... - (6,557) - - ------------- ------------- ------------ ------------ Decrease in net assets resulting from distributions to shareholders.. (1,337,447) (5,987,391) - - ------------- ------------- ------------ ------------ CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold...................................... 510,142,519 777,753,185 55,037,941 63,494,848 Reinvestment of distributions......................................... 1,337,447 5,987,391 - - Cost of capital stock reacquired...................................... (553,667,867) (993,429,130) (26,024,651) (40,188,959) ------------- ------------- ------------ ------------ Increase (decrease) in net assets resulting from capital stock transactions......................................................... (42,187,901) (209,688,554) 29,013,290 23,305,889 ------------- ------------- ------------ ------------ TOTAL INCREASE (DECREASE) IN NET ASSETS............................... (42,187,901) (209,688,554) 40,625,453 25,857,539 NET ASSETS: Beginning of year..................................................... 524,446,249 734,134,803 52,306,100 26,448,561 ------------- ------------- ------------ ------------ End of year........................................................... $ 482,258,348 $ 524,446,249 $ 92,931,553 $ 52,306,100 ------------- ------------- ------------ ------------ Undistributed net investment income (loss) included in net assets at the end of the year.................................................. $ - $ 1,257 $ (79,517) $ 1,106 ------------- ------------- ------------ ------------ SHARES ISSUED AND REACQUIRED: Sold.................................................................. 510,142,519 777,753,185 14,820,841 21,739,423 Issued for distributions reinvested................................... 1,337,447 5,987,391 - - Reacquired............................................................ (553,667,867) (993,429,130) (7,120,492) (13,955,096) ------------- ------------- ------------ ------------ Increase (decrease) in shares outstanding............................ (42,187,901) (209,688,554) 7,700,349 7,784,327 Shares outstanding: Beginning of year.................................................... 524,446,249 734,134,803 15,570,072 7,785,745 ------------- ------------- ------------ ------------ End of year.......................................................... 482,258,348 524,446,249 23,270,421 15,570,072 ------------- ------------- ------------ ------------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 111 STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
SCIENCE & TECHNOLOGY FUND SMALL CAP FUND ------------------------------ --------------------------- For the For the Six Months Six Months Ended For the Ended For the November 30, Year Ended November 30, Year Ended 2003 May 31, 2003 May 31, (Unaudited) 2003 (Unaudited) 2003 -------------- -------------- ------------ ------------- OPERATIONS: Net investment income (loss)................................. $ (3,959,109) $ (6,377,738) $ (1,096,643) $ (1,460,935) Net realized gain (loss) on investments, futures and options contracts, and foreign currencies................... (9,933,138) (403,027,801) 33,828,513 (91,290,620) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies....... 258,412,731 351,673,816 85,149,700 8,384,565 -------------- -------------- ------------ ------------- Increase (decrease) in net assets resulting from operations. 244,520,484 (57,731,723) 117,881,570 (84,366,990) -------------- -------------- ------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income........................................ - - - - Net realized gain on securities.............................. - - - - -------------- -------------- ------------ ------------- Decrease in net assets resulting from distributions to shareholders................................................ - - - - -------------- -------------- ------------ ------------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold............................. 98,914,043 428,987,049 22,443,861 90,175,186 Reinvestment of distributions................................ - - - - Cost of capital stock reacquired............................. (68,324,784) (425,812,281) (31,370,123) (126,983,410) -------------- -------------- ------------ ------------- Increase (decrease) in net assets resulting from capital stock transactions........................................ 30,589,259 3,174,768 (8,926,262) (36,808,224) -------------- -------------- ------------ ------------- TOTAL INCREASE (DECREASE) IN NET ASSETS...................... 275,109,743 (54,556,955) 108,955,308 (121,175,214) NET ASSETS: Beginning of year............................................ 1,180,380,498 1,234,937,453 535,869,743 657,044,957 -------------- -------------- ------------ ------------- End of year.................................................. $1,455,490,241 $1,180,380,498 $644,825,051 $ 535,869,743 -------------- -------------- ------------ ------------- Undistributed net investment income (loss) included in net assets at the end of the year............................... $ (3,883,429) $ 75,680 $ (1,022,432) $ 74,211 -------------- -------------- ------------ ------------- SHARES ISSUED AND REACQUIRED: Sold......................................................... 9,904,112 55,377,053 2,653,065 12,941,491 Issued for distributions reinvested.......................... - - - - Reacquired................................................... (6,861,636) (55,379,511) (3,717,314) (18,171,492) -------------- -------------- ------------ ------------- Increase (decrease) in shares outstanding................... 3,042,476 (2,458) (1,064,249) (5,230,001) Shares outstanding: Beginning of year........................................... 129,123,173 129,125,631 69,894,961 75,124,962 -------------- -------------- ------------ ------------- End of year................................................. 132,165,649 129,123,173 68,830,712 69,894,961 -------------- -------------- ------------ -------------
SOCIAL AWARENESS SMALL CAP INDEX FUND FUND -------------------------- --------------------------- For the For the Six Months Six Months Ended For the Ended For the November 30, Year Ended November 30, Year Ended 2003 May 31, 2003 May 31, (Unaudited) 2003 (Unaudited) 2003 ------------ ------------ ------------ ------------- OPERATIONS: Net investment income (loss)................................. $ 1,299,536 $ 1,995,387 $ 1,853,181 $ 3,473,097 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies................... 10,047,568 (14,685,563) 11,046,309 (67,593,860) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies....... 59,485,085 (5,898,937) 22,794,598 28,466,593 ------------ ------------ ------------ ------------- Increase (decrease) in net assets resulting from operations. 70,832,189 (18,589,113) 35,694,088 (35,654,170) ------------ ------------ ------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income........................................ (1,046,000) (1,695,206) (1,804,003) (3,400,608) Net realized gain on securities.............................. - - - (7,443,700) ------------ ------------ ------------ ------------- Decrease in net assets resulting from distributions to shareholders................................................ (1,046,000) (1,695,206) (1,804,003) (10,844,308) ------------ ------------ ------------ ------------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold............................. 96,216,698 104,101,327 15,688,363 102,753,710 Reinvestment of distributions................................ 1,046,000 1,695,206 1,804,003 10,844,308 Cost of capital stock reacquired............................. (33,018,684) (77,540,641) (18,148,556) (131,597,402) ------------ ------------ ------------ ------------- Increase (decrease) in net assets resulting from capital stock transactions........................................ 64,244,014 28,255,892 (656,190) (17,999,384) ------------ ------------ ------------ ------------- TOTAL INCREASE (DECREASE) IN NET ASSETS...................... 134,030,203 7,971,573 33,233,895 (64,497,862) NET ASSETS: Beginning of year............................................ 265,017,828 257,046,255 349,609,900 414,107,762 ------------ ------------ ------------ ------------- End of year.................................................. $399,048,031 $265,017,828 $382,843,795 $ 349,609,900 ------------ ------------ ------------ ------------- Undistributed net investment income (loss) included in net assets at the end of the year............................... $ 567,461 $ 313,925 $ 129,509 $ 80,331 ------------ ------------ ------------ ------------- SHARES ISSUED AND REACQUIRED: Sold......................................................... 7,884,279 11,034,579 945,384 7,228,949 Issued for distributions reinvested.......................... 81,822 178,004 107,485 744,454 Reacquired................................................... (2,721,097) (8,274,642) (1,090,408) (9,197,076) ------------ ------------ ------------ ------------- Increase (decrease) in shares outstanding................... 5,245,004 2,937,941 (37,539) (1,223,673) Shares outstanding: Beginning of year........................................... 24,411,231 21,473,290 22,220,544 23,444,217 ------------ ------------ ------------ ------------- End of year................................................. 29,656,235 24,411,231 22,183,005 22,220,544 ------------ ------------ ------------ -------------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 112 STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
STOCK INDEX FUND VALUE FUND ------------------------------- ------------------------ For the For the Six Months Six Months Ended For the Ended For the November 30, Year Ended November 30, Year Ended 2003 May 31, 2003 May 31, (Unaudited) 2003 (Unaudited) 2003 -------------- --------------- ------------ ----------- OPERATIONS: Net investment income (loss)............ $ 26,904,974 $ 46,711,201 $ 60,275 $ 90,599 Net realized gain (loss) on investments, futures and options contracts, and foreign currencies....... 11,352,860 19,922,920 (49,390) (1,211,085) Net unrealized appreciation (depreciation) on investments, futures and options contracts, and foreign currencies.............................. 346,884,166 (425,405,703) 1,067,001 133,082 -------------- --------------- ----------- ----------- Increase (decrease) in net assets resulting from operations.............. 385,142,000 (358,771,582) 1,077,886 (987,404) -------------- --------------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (26,543,013) (46,092,003) (30,001) (74,702) Net realized gain on securities......... - (84,411,750) - (35,050) -------------- --------------- ----------- ----------- Decrease in net assets resulting from distributions to shareholders.......... (26,543,013) (130,503,753) (30,001) (109,752) -------------- --------------- ----------- ----------- CAPITAL STOCK TRANSACTIONS: Proceeds from capital stock sold........ 214,452,775 994,359,859 2,817,802 4,371,190 Reinvestment of distributions........... 26,543,013 130,499,264 30,001 109,752 Cost of capital stock reacquired........ (181,119,186) (1,099,501,154) (2,108,458) (3,104,687) -------------- --------------- ----------- ----------- Increase (decrease) in net assets resulting from capital stock transactions........................... 59,876,602 25,357,969 739,345 1,376,255 -------------- --------------- ----------- ----------- TOTAL INCREASE (DECREASE) IN NET ASSETS. 418,475,589 (463,917,366) 1,787,230 279,099 NET ASSETS: Beginning of year....................... 3,627,136,893 4,091,054,259 11,134,249 10,855,150 -------------- --------------- ----------- ----------- End of year............................. $4,045,612,482 $ 3,627,136,893 $12,921,479 $11,134,249 -------------- --------------- ----------- ----------- Undistributed net investment income included in net assets at the end of the year................................ $ 1,380,387 $ 1,018,426 $ 46,171 $ 15,897 -------------- --------------- ----------- ----------- SHARES ISSUED AND REACQUIRED: Sold.................................... 7,667,973 40,847,713 312,845 547,357 Issued for distributions reinvested..... 936,965 5,243,133 3,202 13,915 Reacquired.............................. (6,497,779) (45,160,376) (233,654) (390,524) -------------- --------------- ----------- ----------- Increase in shares outstanding......... 2,107,159 930,470 82,393 170,748 Shares outstanding: Beginning of year...................... 136,800,152 135,869,682 1,291,277 1,120,529 -------------- --------------- ----------- ----------- End of year............................ 138,907,311 136,800,152 1,373,670 1,291,277 -------------- --------------- ----------- -----------
SEE NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 113 NOTES TO FINANCIAL STATEMENTS (Unaudited) Note 1 -- Organization VALIC Company I (the "Series" or "VC I") was incorporated under the laws of Maryland on December 7, 1984, by The Variable Annuity Life Insurance Company ("VALIC"). VALIC, the investment adviser to the Series, is an indirect wholly-owned subsidiary of American International Group, Inc. ("AIG"). The Series is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end, management investment company. The Series consists of 22 separate mutual funds (the "Funds"), each of which issues its own separate class of capital shares: Asset Allocation Fund International Growth I Fund Blue Chip Growth Fund Large Cap Growth Fund Capital Conservation Fund Mid Cap Index Fund Core Equity Fund Money Market I Fund Government Securities Fund Nasdaq-100(R) Index Fund Growth & Income Fund Science & Technology Fund Growth Fund (formerly Opportunities Fund) Small Cap Fund Health Sciences Fund Small Cap Index Fund Income & Growth Fund Social Awareness Fund International Equities Fund Stock Index Fund International Government Bond Fund Value Fund Each Fund is diversified with the exception of International Government Bond Fund, Nasdaq-100(R) Index Fund and Health Sciences Fund, which are non-diversified as defined by the 1940 Act. Indemnifications. Under the Series organizational documents, its officers and directors are indemnified against certain liability arising out of the performance of their duties to the Series. In addition, in the normal course of business the Series enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Series' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Series that have not yet occurred. However, the Series expects the risk of loss to be remote. Note 2 -- Significant Accounting Policies The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP"). GAAP requires accruals which occasionally are based upon management estimates. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements. A. Investment Valuation Securities listed or traded on a national exchange are valued daily at their last reported sale price as of the close of the customary trading session on the exchange where the security is principally traded. Securities listed on the NASDAQ exchange will be valued using the NASDAQ Official Closing Price ("NOCP"). Generally, the NOCP will be the last sale price unless the reported trade for the security is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price. Options traded on national securities exchanges are valued as of the close of the exchange on which they are traded. Futures and options traded on commodities exchanges are valued as of the close of such exchange. U.S. Treasury securities and other obligations issued or guaranteed by the U.S. government, its agencies and instrumentalities, are valued at representative quoted prices. Such quoted prices generally are obtained from third party pricing services; however, in circumstances where it is deemed appropriate to do so, quotations may be obtained from dealers in government securities. Publicly traded corporate bonds are valued at prices obtained from third party pricing services. Convertible bonds are valued at prices obtained from one or more of the major dealers in such bonds. Where there is a discrepancy between dealers or when no quotes are readily available, values may be adjusted based on a combination of yields and premium spreads to the underlying common stock. Short-term debt securities for which market quotations are readily available are valued at the last reported bid price. However, any short term security with a remaining maturity of 60 days or less and all investments of the Money Market I Fund are valued by the amortized cost method which approximates fair market value. Portfolio securities that are primarily traded on foreign securities exchanges are generally valued at the last sale price on the exchange where such securities are primarily traded. All foreign securities traded on the over-the-counter market are valued at the last sale quote, if market quotations are available, or the last closing bid price, if there is no active trading in a particular security for a given day. Securities for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, then these securities may be fair valued as determined pursuant to procedures adopted in good faith by the Board of Directors. B. Options, Futures, and Forward Currency Contracts Call and Put Options. An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a fund writes a call or a put option, an amount equal to the premium received is recorded as a liability. The liability is "marked to market" daily to reflect the current market value of the option written. When a written option expires, the Fund realizes a gain in the amount of the premium originally received. If a fund enters into a closing purchase transaction, the Fund realizes a gain or loss in the amount of the original premium less the cost of the closing transaction. If a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a written put option is exercised, the amount of the premium originally received reduces the cost of the security which the Fund purchases upon exercise of the option by the holder. Purchased options are recorded as investments. If a purchased option expires, a fund realizes a loss in the amount of the cost of the option. If the Fund enters into a closing transaction, it realizes a gain (or loss), to the extent that the proceeds from the sale are greater (or less) than the cost of the option. If a fund exercises a put option, it realizes a gain or loss from the sale of the underlying security by adjusting the proceeds from such sale by the amount of the premium originally paid. If a fund exercises a call option, the cost of the security purchased upon exercise is increased by the premium originally paid. Futures Contracts. A futures contract is an agreement between two parties to buy or sell a financial instrument at a set price on a future date. Upon entering into such a contract the Fund is required to pledge to the broker an amount of cash or U.S. government securities equal to the minimum "initial margin" requirements of the exchange on which the futures contract is traded. A Fund's participation in the futures markets involves certain risks, including imperfect correlation between movements in the price of futures contracts and movements in the price of the securities hedged or used for cover. The Fund's activities in the futures contracts are conducted through regulated exchanges which do not result in counterparty credit risks. Pursuant to a contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Funds as unrealized appreciation or depreciation. When a contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was -------------------------------------------------------------------------------- 114 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED opened and the value at the time it was closed. Futures contracts involve elements of risk in excess of the amount reflected in the Statement of Assets and Liabilities. Securities in the Funds which serve as collateral for open futures contracts are indicated in the Schedule of Investments. Forward Currency Contracts. Certain funds may enter into forward currency contracts to attempt to protect securities and related receivables and payables against changes in future foreign exchange rates or to enhance return. Forward currency contracts are agreements between two parties to buy and sell currencies at a set price on a future date. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. During the period the forward currency contract is open, the contract is "marked-to-market" daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts, or if the Fund is unable to enter into a closing position. The Funds will cover outstanding forward contracts by maintaining liquid portfolio securities denominated in, or whose value is tied to, the currency underlying the forward contract or the currency being hedged. To the extent that a fund is not able to cover its forward currency positions with underlying portfolio securities, the custodian will segregate cash or other liquid assets having a value equal to the aggregate amount of a fund's commitments under forward contracts entered into with respect to position hedges, settlement hedges and anticipatory hedges. Forward contracts involve elements of risk in excess of the amount reflected in the Statement of Assets and Liabilities. C. Repurchase Agreements Pursuant to exemptive relief granted by the Securities and Exchange Commission, the Funds are permitted to participate in joint repurchase agreement transactions with other affiliated mutual funds. The Funds, along with other affiliated registered investment companies, may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations. The Funds' custodian takes possession of the collateral pledged for investments in such repurchase agreements. The underlying collateral is valued daily on a mark to market basis to ensure that the value is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. At November 30, 2003, the Money Market I Fund held a 13.33% undivided interest, representing $20,000,000 in principal amount in a joint repurchase agreement with United Bank of Switzerland, which is dated November 28, 2003, bears interest at a rate of 1.02% per annum, has a principal amount of $150,000,000, a repurchase price of $150,012,750, and matures December 1, 2003. The repurchase agreement is collateralized by the following:
Interest Maturity Principal Market Type of collateral Rate Date Amount Value --------------------------------------------------------------- U.S. Treasury Bonds 3.38% 4/15/32 $ 1,774,000 $ 2,246,435 U.S. Treasury Notes 1.88% 7/15/13 150,000,000 150,433,069
As of November 30, 2003, the following funds held an undivided interest in the joint repurchase agreement with State Street Bank & Trust Co.:
Percentage Principal Fund Ownership Amount -------------------------------------- Growth & Income. 1.30% $1,810,000 Large Cap Growth 1.79% 2,492,000 Money Market I.. 1.83% 2,546,000
As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows: State Street Bank & Trust Co., dated November 28, 2003, bearing interest at a rate of 0.97% per annum, with a principal amount of $139,423,000, a repurchase price of $139,434,270, and maturity date of December 1, 2003. The repurchase agreement is collateralized by the following:
Interest Maturity Principal Type of collateral Rate Date Amount Market Value --------------------------------------------------------------- U.S. Treasury Bills 0.85% 1/22/04 $101,560,000 $101,433,050 U.S. Treasury Notes 1.88% 9/30/04 20,250,000 20,401,875 U.S. Treasury Notes 5.00% 2/15/11 18,850,000 20,405,125
D. Mortgage-Backed Dollar Rolls During the period ended November 30, 2003, the Asset Allocation Fund and Capital Conservation Fund entered into dollar rolls using "to be announced" ("TBA") mortgage-backed securities ("TBA Rolls"). The Funds' policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. The Asset Allocation Fund and Capital Conservation Fund had TBA Rolls outstanding at period end, which are included in receivable for investments sold and payable for investments purchased in the Statement of Assets and Liabilities. Dollar roll transactions involve the risk that the market value of the securities held by the Fund may decline below the price of the securities that the Fund has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a dollar roll transaction files bankruptcy or becomes insolvent, the Fund's use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund's obligation to repurchase the securities. The return earned by the Fund with the proceeds of the dollar roll transaction may not exceed transaction costs. E. Foreign Currency Translation The accounting records of each fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies ("local currencies") are translated into U.S. dollars at prevailing exchange rates at the date of valuation. Net realized gains or losses on foreign currency transactions include exchange rate gains and losses from disposition of foreign currencies, currency gains and losses realized between trade and settlement dates of security transactions, and currency gains and losses realized on settlement of other assets and liabilities settled in local currencies. In determining realized and unrealized gains or losses on foreign securities for the period, the Funds do not isolate exchange rate fluctuations from local security price fluctuations. Foreign currencies and other assets and liabilities denominated in local currencies are marked-to-market daily to reflect fluctuations in foreign exchange rates. -------------------------------------------------------------------------------- 115 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED F. Securities Lending To realize additional income, a fund may lend portfolio securities with a value of up to 33 1/3% of its total assets. Any such loans will be continuously secured by collateral in an amount at least equal to the market value of the securities loaned. Such collateral will be cash, U.S. government securities, letters of credit, or other collateral as deemed appropriate. The Fund may use the cash collateral received to invest in short-term investments. The description of the short-term investments made with cash collateral from securities lending is included in the applicable fund's Schedule of Investments. The risks in lending portfolio securities, as with other extensions of secured credit, consist of possible delays in receiving additional collateral or in the recovery of the securities or possible loss of rights in the collateral should the borrower fail financially. Loans by a fund will only be made to broker-dealers deemed by the Custodian to be creditworthy and will not be made unless, in the judgment of VALIC, the consideration to be earned from such loans would justify the risk. It is the Series' policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day. Therefore, the value of the collateral may be temporarily less than the value of the securities on loan. Each fund receives income earned on the securities loaned during the lending period and a portion of the interest or rebate earned on the collateral received. G. Investment Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders Securities transactions are recorded on a trade date basis. Realized gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Interest income on investments is accrued daily. For financial statement purposes, VC I amortizes all premiums and accretes all discounts on fixed income securities. Funds which earn foreign income and capital gains may be subject to foreign withholding taxes at various rates. Common expenses incurred by VC I are allocated among the Funds based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Fund as incurred on a specific identification basis. Distributions to shareholders are recorded on the ex-dividend date. Dividends from net investment income, if any, are declared and paid quarterly, except for the Money Market I Fund, which declares daily. Distributions from net realized capital gains, if any, are normally declared and paid annually. Investment income and capital gains and losses are recognized in accordance with GAAP ("book"). Distributions from net investment income and realized capital gains are based on earnings as determined in accordance with federal tax regulations ("tax") which may differ from book basis earnings. These differences are primarily due to differing treatments for capital loss carryforwards, deferral of wash sales, post-October capital losses, net operating losses, mortgage-backed securities and foreign currency transactions. At the end of the fiscal year, offsetting adjustments to undistributed net investment income, paid in capital and accumulated net realized gains (losses) are made to eliminate permanent book/tax differences arising in the current fiscal year. Net assets are not affected by these adjustments. Each Fund intends to qualify as a "regulated investment company" under Subchapter M of the Internal Revenue Code and to distribute all of its taxable net investment income and taxable net realized capital gains, in excess of any available capital loss carryovers. Therefore, no Federal income tax provision is required. Note 3 -- Advisory Fees and Other Transactions with Affiliates VALIC, an indirect wholly owned subsidiary of American International Group, Inc. ("AIG"), serves as investment adviser to VC I. Certain officers and directors of VC I are officers and directors of VALIC or affiliates of VALIC. VALIC receives from the Series a monthly fee based on each fund's average daily net asset value at the following annual rates. Stock Index Fund 0.35% on the first $500 million; Mid Cap Index Fund 0.25% on the assets over $500 million Small Cap Index Fund International Equities Fund -------------------------------------------------- Core Equity Fund 0.80% Blue Chip Growth Fund -------------------------------------------------- Growth & Income Fund 0.75% -------------------------------------------------- Science & Technology Fund 0.90% Small Cap Fund -------------------------------------------------- Health Sciences Fund 1.00% International Growth I Fund -------------------------------------------------- Large Cap Growth Fund 0.95% -------------------------------------------------- Social Awareness Fund 0.50% Asset Allocation Fund Capital Conservation Fund Government Securities Fund International Government Bond Fund Money Market I Fund -------------------------------------------------- Growth Fund 0.95% -------------------------------------------------- Nasdaq-100(R) Index Fund 0.40% -------------------------------------------------- Income & Growth Fund 0.77% -------------------------------------------------- Value Fund 0.78% -------------------------------------------------------------------------------- 116 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED VALIC agreed to waive a portion of its management fee or to reimburse certain expenses of the funds listed below through September 30, 2004. Effective October 1, 2003, VALIC ceased waiving a portion of its management fee or certain expenses for the Science & Technology Fund. Prior to October 1, 2003, the maximum expense limitation for the Science & Technology Fund was 1.00%. The table below reflects total annual operating expenses by fund, as limited by the adviser, shown as a percentage of average net assets.
Maximum Expenses Fund Limitation --------------------------------- Core Equity........... 0.85% Growth & Income....... 0.85% Income & Growth....... 0.83% International Growth I 1.06% Large Cap Growth...... 1.06% Money Market I........ 0.60% Small Cap............. 0.95%
VALIC has entered into sub-advisory agreements with the following: AIG Global Investment Corp.--sub-adviser for the Asset Allocation Fund, Capital Conservation Fund, Government Securities Fund, International Equities Fund, International Government Bond Fund, Mid Cap Index Fund, Nasdaq-100(R) Index Fund, Small Cap Index Fund, Social Awareness Fund and Stock Index Fund. AIG SunAmerica Asset Management Corp.--sub-adviser for the Growth & Income Fund, Large Cap Growth Fund and Money Market I Fund. American Century Investment Management, Inc.--sub-adviser for the Income & Growth Fund and International Growth I Fund. Founders Asset Management LLC--co-sub-adviser for approximately 50% of the Small Cap Fund. Putnam Investment Management LLC--sub-adviser for the Growth Fund and Value Fund. T. Rowe Price Associates, Inc.--sub-adviser for the Blue Chip Growth Fund, Health Sciences Fund, Science & Technology Fund and for approximately 50% of the Small Cap Fund. WM Advisors, Inc.--sub-adviser for approximately 50% of the Core Equity Fund. Wellington Management Company, LLP--co-sub-adviser for approximately 50% of the Core Equity Fund. The sub-advisers are compensated for their services by VALIC. Effective October 1, 2001, the Series entered into an Administrative Services Agreement with AIG SunAmerica Asset Management Corp. ("SAAMCo"). SAAMCo receives from each fund an annual fee of 0.07% based on the average daily net assets of the Fund. Under the agreement, SAAMCo will provide certain accounting and administrative services to VC I. During the period ended November 30, 2003, the Series accrued $3,801,130 for accounting and administrative services. Effective October 17, 2000, VC I entered into an amended Transfer Agency and Services Agreement with VALIC. Under this agreement, VALIC provides services which include the issuance and redemption of shares, payment of dividends between the Series and their "institutional" shareholders and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. For the period ended November 30, 2003, the Series incurred $48,421 in transfer agency and shareholder services fees. On January 23, 2001, the Board of Directors approved a Deferred Compensation Plan for its independent directors who are not officers, directors, or employees of VALIC, or an affiliate of VALIC. The effective date of the plan was January 1, 2001. The first deferral of compensation was made in March 2001. Under the deferred compensation plan, directors may elect to defer all or a portion of their compensation. Amounts deferred may be invested in up to six different investment options that are specified in the plan as selected by the directors. The Series provides a retirement plan for its independent directors who are not officers, directors, or employees of VALIC or an affiliate of VALIC. VC I is responsible for the payment of the retirement benefits, as well as all expenses of administration of the plan. Benefits vested under the plan are payable for a ten-year period upon retirement and are based upon each director's years of service. As of November 30, 2003, VC I had a retirement plan liability to its independent directors totaling $1,416,140 which is included as a separate line of the Statement of Assets and Liabilities. During the period ending November 30, 2003, a total of $27,923 was paid to retired directors. At November 30, 2003, VALIC, AIG Annuity Insurance Company ("AIGAIC"), and American General Life Insurance Company ("AGL"), through their insurance company separate accounts, owned over five percent of the outstanding shares of the following Funds:
Fund VALIC AIGAIC AGL ---------------------------------- ------ ------ ----- Asset Allocation Fund............. 99.95% * * Blue Chip Growth Fund............. 100.00% * * Capital Conservation Fund......... 100.00% * * Core Equity Fund.................. 100.00% * * Government Securities Fund........ 87.93% 12.07% * Growth & Income Fund.............. 93.26% 6.74% * Growth Fund....................... 89.43% 10.57% * Health Sciences Fund.............. 100.00% * * Income & Growth Fund.............. 100.00% * * International Equities Fund....... 94.63% * * International Government Bond Fund 100.00% * * International Growth I Fund....... 100.00% * * Large Cap Growth Fund............. 100.00% * * Mid Cap Index Fund................ 97.67% * * Money Market I Fund............... 79.76% * 18.92% Nasdaq-100(R) Fund................ 96.03% * * Science & Technology Fund......... 99.75% * * Small Cap Fund.................... 100.00% * * Small Cap Index Fund.............. 98.94% * * Social Awareness Fund............. 100.00% * * Stock Index Fund.................. 93.72% * * Value Fund........................ 100.00% * *
-------- * Less than 5% ownership. -------------------------------------------------------------------------------- 117 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED As disclosed in the schedule of investments, certain funds own common stock issued by AIG or an affiliate thereof. During the period ended November 30, 2003, the following funds recorded realized gains (losses) and income on security transactions of AIG and subsidiaries of AIG as follows:
Market Value Fund Security Income at 5/31/03 Purchases Sales ---------------- ---------------------------------- -------- ------------ --------- ------- Asset Allocation American International Group, Inc. $ 2,827 $ 1,459,734 $ 1,732 $ - Blue Chip Growth.......... American International Group, Inc. 336 173,640 - - Core Equity..... American International Group, Inc. 13,303 6,874,697 - - Growth & Income.......... American International Group, Inc. 3,388 1,750,870 - - Small Cap Index........... 21st Century Insurance Group 350 - 132,272 - Social Awareness....... American International Group, Inc. 4,722 2,440,221 - - Stock Index..... American International Group, Inc. 118,346 61,092,340 766,278 30,176
Realized Unrealized Market Value Fund Security Gain/(Loss) Gain/(Loss) at 11/30/03 ---------------- ---------------------------------- ----------- ----------- ------------ Asset Allocation American International Group, Inc. $ - $ 1,771 $ 1,463,237 Blue Chip Growth American International Group, Inc. - 210 173,850 Core Equity..... American International Group, Inc. - 8,314 6,883,011 Growth & Income. American International Group, Inc. - 2,118 1,752,988 Small Cap Index. 21st Century Insurance Group - (2,716) 129,556 Social Awareness American International Group, Inc. - 2,951 2,443,172 Stock Index..... American International Group, Inc. 25,069 25,499 61,879,010
During the period, the following funds incurred brokerage commissions with affiliated brokers which are affiliates of a sub-adviser:
Income & Growth International Growth I --------------- ---------------------- J.P. Morgan Securities, Inc. $10 $38,529
Note 4 -- Investment Activity During the period ended November 30, 2003, the cost of purchases and proceeds from sales of securities, excluding short term securities and government securities, were as follows:
Cost of Proceeds from Securities Securities Sold Fund Purchased or Matured ----------------------------- ------------ --------------- Asset Allocation............. $ 34,337,661 $ 33,831,845 Blue Chip Growth............. 12,274,498 3,942,895 Capital Conservation......... 39,548,584 37,948,189 Core Equity.................. 75,547,992 99,726,576 Government Securities........ 6,920,161 13,523,476 Growth & Income.............. 139,997,146 140,193,876 Growth....................... 2,676,062 2,364,149 Health Sciences.............. 42,108,607 19,041,540 Income & Growth.............. 75,536,201 75,175,227 International Equities....... 14,325,441 7,363,729 International Government Bond 67,295,127 75,018,393 International Growth I....... 301,717,105 305,230,485 Large Cap Growth............. 290,053,173 310,440,115 Mid Cap Index................ 143,457,882 49,865,385 Nasdaq-100 Index............. 16,705,799 64,812 Science & Technology......... 353,544,684 279,593,353 Small Cap.................... 205,082,972 191,939,151 Small Cap Index.............. 99,943,764 48,335,917 Social Awareness............. 164,477,845 184,510,275 Stock Index.................. 75,623,300 23,568,222 Value........................ 3,066,702 2,429,127
The cost of purchases and proceeds from sales of U.S. government and government agency obligations were:
Cost of Proceeds from Securities Securities Sold Fund Purchased or Matured ----------------------------- ------------ --------------- Asset Allocation............. $ 25,851,844 $ 21,169,815 Capital Conservation......... 41,502,700 36,308,670 Government Securities........ 138,622,786 141,476,027 International Government Bond 22,486,613 23,836,360
-------------------------------------------------------------------------------- 118 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED Transactions in call and put options written during the period ended November 30, 2003 for the Health Sciences Fund are summarized as follows:
Written Options --------------------- Number of Premiums Contracts Received --------- ----------- Beginning of year. 3,030 $ 803,937 Written........... 12,443 3,109,497 Closed............ (9,440) (2,283,307) Exercised......... (8) (1,576) Expired........... (1,110) (192,621) --------- ----------- End of year....... 4,915 $ 1,435,930 --------- -----------
Open call option contracts written at November 30, 2003 for the Health Sciences Fund were as follows:
Market Value at Unrealized Contract Strike Number of Premiums November 30, Appreciation Issue Month Price Contracts Received 2003 (Depreciation) ---------------------------- -------- ------ --------- -------- ------------ -------------- Alcon, Inc.................. May-04 $ 60 65 $10,353 $20,150 $ (9,797) Allergan, Inc............... Apr-04 85 27 3,853 3,105 748 Amgen, Inc.................. Jan-04 65 55 5,610 2,200 3,410 Amylin Pharmaceuticals, Inc. Apr-04 30 171 32,425 29,070 3,355 Amylin Pharmaceuticals, Inc. Jul-04 30 28 6,392 7,140 (748) Biogen, Inc................. Apr-04 40 81 11,096 19,845 (8,749) Boston Scientific Corp...... Dec-03 37.5 166 8,881 6,640 2,241 Cardinal Health, Inc........ Mar-04 65 113 13,785 19,775 (5,990) Cephalon, Inc............... Dec-03 50 55 7,539 3,300 4,239 CV Therapeutics, Inc........ Apr-04 27.5 113 32,285 14,690 17,595 CV Therapeutics, Inc........ Apr-04 20 56 23,834 17,360 6,474 Eli Lilly & Co.............. Jan-04 70 54 11,802 21,060 (9,258) Eli Lilly & Co.............. Jan-04 75 56 7,952 2,800 5,152 Genentech, Inc.............. Dec-03 90 56 5,233 2,800 2,433 Gilead Sciences, Inc........ Jan-04 60 109 9,662 26,705 (17,043) Gilead Sciences, Inc........ Feb-04 60 273 37,847 92,820 (54,973) Gilead Sciences, Inc........ Dec-03 60 42 4,303 4,620 (317) ICN Pharmaceuticals, Inc.... Dec-03 25 81 6,958 4,860 2,098 ImClone Systems, Inc........ Jan-04 50 83 10,611 10,375 236 MedImmune, Inc.............. Jun-04 32.5 81 14,470 4,860 9,610 MedImmune, Inc.............. Jun-04 30 200 52,072 19,000 33,072 MedImmune, Inc.............. Mar-04 30 70 11,339 3,500 7,839 MedImmune, Inc.............. Jun-04 27.5 78 13,415 11,700 1,715 MedImmune, Inc.............. Mar-04 27.5 57 6,384 5,130 1,254 MGI Pharma, Inc............. Jan-04 40 45 9,318 8,550 768 Neurocrine Biosciences, Inc. Feb-04 55 53 5,936 11,395 (5,459) Neurocrine Biosciences, Inc. May-04 60 83 13,736 17,015 (3,279) Omnicare, Inc............... Mar-04 40 56 7,440 15,120 (7,680) Pfizer, Inc................. Jun-04 37.5 165 16,004 1,2375 3,629 St. Jude Medical, Inc....... Jan-04 60 54 11,501 25,920 (14,419)
Market Value at Unrealized Contract Strike Number of Premiums November 30, Appreciation Issue Month Price Contracts Received 2003 (Depreciation) ---------------------------- -------- ------ --------- -------- ------------ -------------- St. Jude Medical, Inc....... Apr-04 $60 29 $ 11,802 $ 18,560 $ (6,758) Trimeris, Inc............... Apr-04 35 33 15,742 1,155 14,587 Trimeris, Inc............... Apr-04 30 306 56,193 26,010 30,183 Trimeris, Inc............... Jan-04 30 35 5,528 875 4,653 Universal Health Services, Inc........................ Apr-04 50 55 15,409 33,000 (17,591) Vertex Pharmaceuticals, Inc. Apr-04 10 59 4,446 5,015 (569) Wyeth....................... Apr-04 45 197 28,565 17,730 10,835 Wyeth....................... Dec-03 40 55 4,592 5,500 (908) -------- ------ --------- -------- ------------ -------------- 3,395 $554,313 $551,725 $ 2,588 -------- ------ --------- -------- ------------ --------------
Open put option contracts written at November 30, 2003 for the Health Sciences Fund were as follows:
Market Value at Unrealized Contract Strike Number of Premiums November 30, Appreciation Issue Month Price Contracts Received 2003 (Depreciation) ----------------------------- -------- ------ --------- -------- ------------ -------------- Accredo Health, Inc.......... Jan-04 $ 25 40 $15,290 $ 1,200 $ 14,090 Adolar Corp.................. Apr-04 17.5 53 18,242 6,890 11,352 Amgen, Inc................... Apr-04 65 44 28,397 38,720 (10,323) Angiotech Pharmaceuticals, Inc......................... Mar-04 50 11 6,127 6,050 77 Anthem, Inc.................. Dec-03 75 20 10,834 6,600 4,234 Anthem, Inc.................. Mar-04 75 43 26,390 22,360 4,030 Anthem, Inc.................. Dec-03 80 22 17,323 17,600 (277) Barr Laboratories, Inc....... May-04 75 27 25,298 9,450 15,848 Caremark Rx, Inc............. Jun-04 25 27 6,137 5,130 1,007 Cephalon, Inc................ Jan-04 40 24 13,203 1,560 11,643 Cephalon, Inc................ Jan-04 45 26 12,401 4,680 7,721 Chiron Corp.................. Jan-04 50 26 15,781 2,730 13,051 Chiron Corp.................. Apr-04 50 51 27,386 13,515 13,871 CR Bard, Inc................. Apr-04 70 26 13,797 4,940 8,857 CR Bard, Inc................. Apr-04 75 26 21,320 9,360 11,960 Eli Lilly & Co............... Apr-04 60 26 11,362 4,420 6,942 Esperion Therapeutics........ Apr-04 22.5 22 8,753 7,700 1,053 Fisher Scientific Group, Inc. Dec-03 40 25 11,456 2,125 9,331 Genentech, Inc............... Dec-03 90 26 23,150 16,120 7,030 Genentech, Inc............... Jan-04 95 32 37,450 36,480 970 Gilead Sciences, Inc......... Feb-04 50 11 3,940 1,265 2,675 Guidant Corp................. Apr-04 55 40 34,458 11,600 22,858 HCA, Inc..................... Jan-04 40 26 12,661 1,820 10,841 IDEC Pharmaceuticals Corp.... Apr-04 35 8 3,176 1,360 1,816 ImClone Systems, Inc......... Feb-04 40 39 30,972 23,790 7,182 ImClone Systems, Inc......... Feb-04 45 55 60,889 51,150 9,739
-------------------------------------------------------------------------------- 119 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
Unrealized Contract Strike Number of Premiums Market Value at Appreciation Issue Month Price Contracts Received November 30, 2003 (Depreciation) ---------------------------- -------- ------ --------- -------- ----------------- -------------- ImClone Systems, Inc........ May-04 $ 45 27 $ 37,987 $ 31,320 $ 6,667 Intermune, Inc.............. Apr-04 20 26 10,502 5,460 5,042 Intermune, Inc.............. Apr-04 25 26 16,732 13,520 3,212 Invitrogen Corp............. Feb-04 50 24 15,047 1,800 13,247 Laboratory Corp. of America.................... May-04 35 14 4,663 2,940 1,723 Martek Biosciences Corp..... Jun-04 60 55 50,542 37,400 13,142 Medtronic, Inc.............. May-04 45 28 6,530 7,140 (610) Merck, Inc.................. Jan-04 55 11 8,837 16,280 (7,443) Merck, Inc.................. Jan-04 60 28 14,835 43,400 (28,565) Merck, Inc.................. Jan-04 65 31 26,566 76,880 (50,314) Merck, Inc.................. Jan-04 60 11 11,186 21,890 (10,704) MGI Pharma, Inc............. Jan-04 45 27 15,178 20,790 (5,612) Molecular Devices Corp...... Jan-04 22.5 53 20,580 16,430 4,150 OSI Pharmaceuticals, Inc.... Jan-04 25 28 6,496 2,380 4,116 Pfizer, Inc................. Mar-04 32.5 56 16,631 6,720 9,911 Pfizer, Inc................. Jun-04 32.5 108 36,394 18,900 17,494 Protein Design Laboratories, Inc........................ Feb-04 12.5 54 16,307 6,750 9,557 Quest Diagnostics, Inc...... May-04 80 16 14,923 14,880 43 Stryker Corp................ Jan-04 75 25 17,174 1,750 15,424 Universal Health Services, Inc........................ Jul-04 55 31 14,979 15,810 (831) Wyeth....................... Apr-04 40 28 7,587 8,960 (1,373) Wyeth....................... Apr-04 35 14 2,688 1,820 868 Zimmer Holdings, Inc........ Mar-04 60 23 13,060 3,220 9,840 -------- ------ --------- -------- ----------------- -------------- 1,520 $881,617 $685,055 $196,562 -------- ------ --------- -------- ----------------- --------------
Note 5 -- Federal Income Taxes The following tables detail the tax basis distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statements of Assets and Liabilities due to temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, and derivative transactions. Also included in the following tables are the capital loss carryforwards at May 31, 2003. The information in the following table is presented on the basis of cost for Federal Income Tax purposes at November 30, 2003.
Identified Cost Gross Gross Net Unrealized of Investments Unrealized Unrealized Appreciation Fund Owned Appreciation Depreciation (Depreciation) ------------------------ --------------- -------------- ------------ -------------- Asset Allocation........ $ 163,820,976 $ 22,510,978 $ 7,001,923 $ 15,509,055 Blue Chip Growth........ 32,764,786 3,978,620 1,769,072 2,209,548 Capital Conservation.... 91,627,226 816,501 715,563 100,938 Core Equity............. 618,423,964 50,696,474 76,286,694 (25,590,220) Government Securities... 163,308,100 513,649 1,995,527 (1,481,878) Growth & Income......... 172,985,612 24,777,048 4,638,241 20,138,807 Growth.................. 4,547,260 589,016 299,658 289,358 Health Sciences......... 112,057,340 17,599,963 6,807,965 10,791,998 Income & Growth......... 221,339,848 28,143,824 19,892,503 8,251,321 International Equities.. 122,084,704 15,207,749 18,556,059 (3,348,310) International Government Bond................... 131,492,729 13,189,120 968,037 12,221,083 International Growth I.. 404,302,422 57,177,464 5,698,066 51,479,398 Large Cap Growth........ 422,380,920 61,030,150 12,447,645 48,582,505 Mid Cap Index........... 1,445,452,867 309,505,290 176,467,248 133,038,042 Money Market I.......... 488,988,693 - - - NASDAQ-100 Index........ 91,964,296 9,488,122 6,733,710 2,754,412 Science & Technology.... 1,495,646,956 279,112,321 236,980,653 42,131,668 Small Cap............... 648,032,761 139,373,061 43,060,010 96,313,051 Small Cap Index......... 435,702,759 72,228,226 38,937,521 33,290,705 Social Awareness........ 371,930,062 36,025,242 20,770,926 15,254,316 Stock Index............. 3,155,259,342 1,506,324,076 463,355,356 1,042,968,720 Value................... 12,059,894 1,260,972 721,916 539,056
-------------------------------------------------------------------------------- 120 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED The tax character of distributions paid during the year ended May 31, 2003 were as follows:
Distributions paid from: -------------------------------------------- Ordinary Net Long Term Total Taxable Fund Income Capital Gains Distributions Paid ----------------------------- ----------- ------------- ------------------ Asset Allocation............. $ 3,974,959 $ - $ 3,974,959 Blue Chip Growth............. - - - Capital Conservation......... 3,172,002 - 3,172,002 Core Equity.................. 6,153,017 - 6,153,017 Government Securities........ 6,603,003 1,128,550 7,731,553 Growth & Income.............. 1,435,004 - 1,435,004 Growth....................... - - - Health Sciences.............. - - - Income & Growth.............. 2,693,004 - 2,693,004 International Equities....... 930,002 - 930,002 International Government Bond - 671,332 671,332 International Growth I....... 6,113,264 - 6,113,264 Large Cap Growth............. 253,510 - 253,510 Mid Cap Index................ 6,863,215 33,800,632 40,663,847 Money Market I............... 5,987,391 - 5,987,391 Nasdaq-100(R) Index.......... - - - Science & Technology......... - - - Small Cap.................... - - - Small Cap Index.............. 1,695,206 - 1,695,206 Social Awareness............. 9,873,151 971,157 10,844,308 Stock Index.................. 46,820,984 83,682,769 130,503,753 Value........................ 109,752 - 109,752
-------------------------------------------------------------------------------- 121 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED As of May 31, 2003, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated Earnings Accumulated Capital and Other Losses --------------------------- --------------------------------------------------------------- Post October 31, 2002 Capital Loss Carryforward Undistributed Undistributed -------------------------- ------------------------- Ordinary Long-Term Capital Loss Currency Loss Other Loss Fund Income Capital Gains Deferral Deferral Deferrals Amount* Expiration ---- ------------- ------------- ------------ ------------- ---------- -------------- ---------- Asset Allocation............. $ 417,902 $ 1,672,519 $ - $ - $ - $ - - Blue Chip Growth............. - - 836,715 500 - 3,029,378 2009-2011 Capital Conservation......... 58,530 931,395 - - - - - Core Equity.................. 130,112 - 22,159,911 - - 158,597,836 2009-2011 Government Securities........ 4,454,578 6,896,250 - - - - - Growth & Income.............. 38,211 - 13,677,243 - - 39,734,533 2010-2011 Growth....................... - - 239,209 - - 3,000,557 2009-2011 Health Sciences.............. - - 2,152,346 - 366,291 5,215,472 2009-2011 Income & Growth.............. 192,635 - 15,610,453 - - 38,071,077 2009-2011 International Equities....... 529,413 - 862,771 - - 11,900,066 2010-2011 International Government Bond 4,685,936 1,030,527 - - 34,131 - - International Growth I....... 535,635 - 32,139,878 151,245 - 244,178,218 2009-2011 Large Cap Growth............. - - 31,900,876 - - 352,027,854 2009-2011 Midcap Index................. 512,213 11,002,160 296,662 - - - - Money Market I............... 1,257 - - - - - - Nasdaq-100(R) Index Fund..... - - 2,142,983 - - 5,022,007 2009-2011 Science & Technology......... - - 175,487,353 2,446 - 1,534,191,711 2010-2011 Small Cap.................... - - 34,925,995 - - 158,480,448 2009-2011 Small Cap Index.............. 266,316 - - - - 6,898,480 2010-2011 Social Awareness............. 72,676 - 27,201,638 - - 43,322,372 2011 Stock Index.................. 3,124,159 11,718,422 - - - - - Value........................ 15,897 - 708,920 - - 213,166 2011
Unrealized Total Appreciation/ Accumulated Fund (Depreciation) Earnings/(Deficit) ---- -------------- ------------------ Asset Allocation............. $ 9,713,196 $ 11,803,617 Blue Chip Growth............. (676,740) (4,543,333) Capital Conservation......... 2,494,336 3,484,261 Core Equity.................. (95,722,488) (276,350,123) Government Securities........ 5,555,803 16,906,631 Growth & Income.............. (21,692) (53,395,257) Growth....................... (226,272) (3,466,038) Health Sciences.............. 5,827,479 (1,906,630) Income & Growth.............. (10,027,912) (63,516,807) International Equities....... (20,016,545 (32,249,969) International Government Bond 20,816,860 26,499,192 International Growth I....... 28,409,048 (247,524,658) Large Cap Growth............. 2,379,534 (381,549,196) Midcap Index................. (81,816,151) (70,598,440) Money Market I............... - 1,257 Nasdaq-100(R) Index Fund..... (7,476,766) (14,641,756) Science & Technology......... (216,280,856) (1,925,962,366) Small Cap.................... 11,163,351 (182,243,092) Small Cap Index.............. (28,831,162) (35,463,326) Social Awareness............. (7,911,228) (78,362,562) Stock Index.................. 695,605,769 710,448,350 Value........................ (527,945) (1,434,134)
*Net realized capital loss carryforwards may be utilized to offset future capital gains. During the year ending May 31, 2003, the Capital Conservation Fund utilized $1,910,566 of capital loss carryforwards to offset current year gains. -------------------------------------------------------------------------------- 122 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED Note 6 -- Expense Reductions Through expense offset arrangements resulting from broker commission recapture, a portion of the Fund's expenses have been reduced. For the year ended November 30, 2003, the amount of expense reductions received by each fund were as follows:
Fund Expense Reductions ---- ------------------ Blue Chip Growth.... 2,530 Core Equity......... 28,398 Growth.............. 1,053 Health Sciences..... 14,559 Science & Technology 99,847
Note 7 -- Investment Concentration A significant portion of the Government Securities Fund's investments may be in U.S. Government sponsored securities. No assurance can be given that the U.S. Government will provide support to such U.S. Government sponsored agencies or instrumentalities in the future since it is not required to do so by law. As a result of the Fund's concentration in such investments, it may be subject to risks associated with U.S. Government securities. At the end of the period, the Fund had 46.81% of its net assets invested in such securities. At the end of the period, the International Government Bond Fund, International Equities Fund and International Growth I Fund had 15.28%, 18.13%, and 20.21%, respectively, of its net assets invested in securities issued by the Government of Japan or Japanese companies. In addition, the International Growth I Fund and the International Equities Fund had 19.66% and 21.93% respectively, in securities issued by United Kingdom companies. Future economic and political developments in a foreign country could adversely affect the liquidity and value of foreign securities or the currency exchange rates from which foreign currencies are translated. The Health Sciences Fund is concentrated in the health services industry and is less diversified than stock funds investing in a broader range of industries. The Fund may also invest a considerable portion of assets in companies in the same business, such as pharmaceuticals, or in related businesses, such as hospital management or managed care. Developments that could adversely effect the Fund include increased competition in the health care industry, changes in legislation or government regulations, reductions in government funding, product liability or other litigation, and obsolescence of popular products. The Nasdaq-100(R) Index Fund is concentrated in the technology sector. As a result, the Fund is subject to greater volatility than a fund that does not concentrate in a particular sector. Because the Nasdaq-100(R) Index may consist of relatively more companies in certain industry sectors than others, (such as technology), the Fund's performance may be more susceptible to any developments which effect those sectors emphasized by the Index. Note 8 -- Commitments and Contingencies The Series and VALIC Company II have established a $85 million committed and $40 million uncommitted lines of credit with State Street Bank & Trust Company, the Funds' custodian. Interest is currently payable at the Federal Funds Rate plus 50 basis points on the committed line and State Street's discretionary bid rate on the uncommitted line of credit. There is also a commitment fee of 10 basis points per annum for the daily unused portion of the committed line of credit, which is included in miscellaneous expenses on the Statement of Operations. For the period ended November 30, 2003, the following funds had borrowings:
Average Weighted Days Interest Debt Average Outstanding Charges Utilized Interest ----------- -------- ---------- -------- Growth & Income Fund....... 32 $5,388 $3,892,102 1.57% International Growth I Fund 6 418 1,646,368 1.52% Large Cap Growth Fund...... 10 1,571 3,494,315 1.56%
As of November 30, 2003, none of the Funds had outstanding borrowings. Pursuant to exemptive relief granted by the Securities and Exchange Commission, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by VALIC or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and loan money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the period ended November 30, 2003, none of the Portfolios participated in the program. Note 9 -- Investment Holdings by Country As of November 30, 2003, the following represents investment holdings by country:
International Growth I Fund International Equities Fund -------------------------- --------------------------- Percent of Percent of Net Assets Market Value Net Assets Market Value Country: ---------- ------------ ---------- ------------ Australia .................. 0.55 % $ 2,120,191 4.22% $ 5,063,824 Austria..................... 1.00 % 3,874,396 0.17% 207,530 Belgium..................... -- -- 0.87% 1,039,156 Bermuda .................... -- -- 0.09% 113,644 Cayman Island............... -- -- 0.01% 9,789 China....................... 1.65 % 6,373,360 -- -- Denmark .................... 0.43 % 1,671,692 0.64% 762,619 Finland..................... -- -- 1.57% 1,885,500 France...................... 13.39 % 51,700,815 8.07% 9,677,381 Germany .................... 11.52 % 44,462,555 5.67% 6,795,592 Greece...................... 0.37 % 1,435,826 0.35% 415,527 Hong Kong .................. 1.30 % 5,035,002 1.33% 1,591,808 Hungary..................... 0.56 % 2,164,648 -- -- Ireland .................... 2.44 % 9,426,368 0.60% 717,339 Italy....................... 0.76 % 2,922,015 3.31% 3,962,731 Japan....................... 20.21 % 78,029,270 18.13% 21,734,619 Korea....................... 2.49 % 9,608,176 -- -- Luxembourg.................. -- -- 0.07% 89,296 Netherlands................. 1.85 % 7,160,375 4.33% 5,194,282 New Zealand ................ -- -- 0.18% 216,390 Norway...................... -- -- 0.41% 490,508 Portugal.................... -- -- 0.31% 374,714 Singapore................... -- -- 0.71% 855,821 South Africa................ 0.33 % 1,290,752 -- -- Spain....................... 0.75 % 2,896,993 2.98% 3,576,797 Sweden...................... 3.18 % 12,294,327 1.91% 2,289,879 Switzerland................. 9.32 % 35,970,268 6.18% 7,411,898 United Kingdom.............. 19.66 % 75,912,391 21.93% 26,288,330 United States .............. 26.31 % 101,432,400 15.00% 17,971,420 ------------------------------------------------------- Total investments........... 118.07 % 455,781,820 99.04% 118,736,394 Other assets and liabilities (18.07)% (69,745,840) 0.96% 1,151,648 ------------------------------------------------------- Net assets ................ 100.00 % $386,035,980 100.00% $119,888,042 -------------------------------------------------------
-------------------------------------------------------------------------------- 123 FINANCIAL HIGHLIGHTS
Asset Allocation Fund ---------------------- Six Months Ended November 30, 2003/(h)/ --------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 11.21 --------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.08/(f)/ Net realized and unrealized gain (loss) on securities and 0.60 foreign currency related transactions....................... --------------------- Total income (loss) from investment operations............... 0.68 --------------------- Distributions from: Investment income............................................ (0.09) Realized gain on securities.................................. - --------------------- Total distributions.......................................... (0.09) --------------------- Net asset value at end of period................................ $ 11.80 --------------------- TOTAL RETURN/(a)(c)/............................................ 6.11% --------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.69%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.69%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.44%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 1.44%/(b)/ Portfolio turnover rate......................................... 38% Number of shares outstanding at end of period (000's)........... 14,663 Net assets at end of period (000's)............................. $173,084
Asset Allocation Fund ----------------------------------------------------------- Year Ended May 31, ----------------------------------------------------------- 2003 2002 2001 2000 1999 -------- -------- -------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 11.35 $ 12.71 $ 14.68 $ 14.43 $ 14.02 -------- -------- -------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. 0.25/(f)/ 0.33 0.43 0.44 0.40 Net realized and unrealized gain (loss) on securities and (0.12) (1.03) (0.79) 0.51 1.26 foreign currency related transactions....................... -------- -------- -------- ---------- ---------- Total income (loss) from investment operations............... 0.13 (0.70) (0.36) 0.95 1.66 -------- -------- -------- ---------- ---------- Distributions from: Investment income............................................ (0.26) (0.33) (0.43) (0.44) (0.40) Realized gain on securities.................................. (0.01) (0.33) (1.18) (0.26) (0.85) -------- -------- -------- ---------- ---------- Total distributions.......................................... (0.27) (0.66) (1.61) (0.70) (1.25) -------- -------- -------- ---------- ---------- Net asset value at end of period................................ $ 11.21 $ 11.35 $ 12.71 $ 14.68 $ 14.43 -------- -------- -------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 1.28%/(g)/ (5.57)% (2.46)% 6.65% 12.23% -------- -------- -------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.72% 0.64% 0.58% 0.55% 0.57% Ratio of expenses to average net assets/(e)/.................... 0.72% 0.64% 0.58% 0.55% 0.57% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 2.36% 2.71% 3.10% 2.98% 2.81% Ratio of net investment income (loss) to average net assets/(e)/ 2.36% - - - - Portfolio turnover rate......................................... 112% 71% 112% 162% 160% Number of shares outstanding at end of period (000's)........... 14,704 15,944 16,388 16,135 17,222 Net assets at end of period (000's)............................. $164,757 $180,925 $208,369 $ 236,804 $ 248,473
Blue Chip Growth Fund ------------------------------------------------ Year Ended Year Ended Six Months Ended May 31, May 31, November 30, 2003/(h)/ 2003 2002 --------------------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 6.79 $ 7.26 $ 8.57 --------------------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. -/(f)/ (0.01)/(f)/ (0.01) Net realized and unrealized gain (loss) on securities and 0.68 (0.46) (1.29) foreign currency related transactions....................... --------------------- ---------- ---------- Total income (loss) from investment operations............... 0.68 (0.47) (1.30) --------------------- ---------- ---------- Distributions from: Investment income............................................ - - (0.01) Realized gain on securities.................................. - - - --------------------- ---------- ---------- Total distributions.......................................... - - (0.01) --------------------- ---------- ---------- Net asset value at end of period................................ $ 7.47 $ 6.79 $ 7.26 --------------------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 10.01% (6.47)% (15.22)% --------------------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 1.08%/(b)/ 1.24% 1.15% Ratio of expenses to average net assets/(e)/.................... 1.08%/(b)/ 1.24% 1.15% Ratio of expense reductions to average net assets............... 0.01% 0.03% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.03%/(b)/ (0.19)% (0.17)% Ratio of net investment income (loss) to average net assets/(e)/ 0.03%/(b)/ (0.19)% - Portfolio turnover rate......................................... 14% 44% 39% Number of shares outstanding at end of period (000's)........... 4,646 3,495 2,763 Net assets at end of period (000's)............................. $34,727 $23,728 $20,063
Blue Chip Growth Fund --------------------- November 1, 2000* to May 31, 2001 --------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.00 --------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.02 Net realized and unrealized gain (loss) on securities and (1.43) foreign currency related transactions....................... --------------------- Total income (loss) from investment operations............... (1.41) --------------------- Distributions from: Investment income............................................ (0.02) Realized gain on securities.................................. - --------------------- Total distributions.......................................... (0.02) --------------------- Net asset value at end of period................................ $ 8.57 --------------------- TOTAL RETURN/(a)(c)/............................................ (14.14)% --------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.88%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.88%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.31%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ - Portfolio turnover rate......................................... 70% Number of shares outstanding at end of period (000's)........... 1,702 Net assets at end of period (000's)............................. $14,592
* Date Fund commenced operations. /(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/The Fund's performance figure was increased by less than 0.01% from gains on the disposal of investments in violation of investment restrictions. /(h)/Unaudited. -------------------------------------------------------------------------------- 124 FINANCIAL HIGHLIGHTS - CONTINUED
Capital Conservation Fund -------------------------------------------------------------- Year Ended May 31, Six Months Ended --------------------------------------- November 30, 2003/(g)/ 2003 2002 2001 2000 --------------------- ------- ------- ------- ------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.04 $ 9.38 $ 9.34 $ 8.78 $ 9.39 --------------------- ------- ------- ------- ------- Income (loss) from investment operations: Net investment income (loss)................................. 0.13/(f)/ 0.36/(f)/ 0.52 0.58 0.62 Net realized and unrealized gain (loss) on securities and (0.25) 0.68 0.04 0.56 (0.61) foreign currency related transactions....................... --------------------- ------- ------- ------- ------- Total income (loss) from investment operations............... (0.12) 1.04 0.56 1.14 0.01 --------------------- ------- ------- ------- ------- Distributions from: Investment income............................................ (0.15) (0.38) (0.52) (0.58) (0.62) Realized gain on securities.................................. - - - - - --------------------- ------- ------- ------- ------- Total distributions.......................................... (0.15) (0.38) (0.52) (0.58) (0.62) --------------------- ------- ------- ------- ------- Net asset value at end of period................................ $ 9.77 $ 10.04 $ 9.38 $ 9.34 $ 8.78 --------------------- ------- ------- ------- ------- TOTAL RETURN/(a)(c)/............................................ (1.23)% 11.31% 6.12% 13.35% 0.13% --------------------- ------- ------- ------- ------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.66%/(b)/ 0.70% 0.65% 0.58% 0.55% Ratio of expenses to average net assets/(e)/.................... 0.66%/(b)/ 0.70% 0.65% 0.58% 0.55% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 2.56%/(b)/ 3.77% 5.50% 6.35% 6.73% Ratio of net investment income (loss) to average net assets/(e)/ 2.56%/(b)/ 3.77% - - - Portfolio turnover rate......................................... 88% 218% 132% 418% 144% Number of shares outstanding at end of period (000's)........... 8,288 8,954 7,440 6,058 5,756 Net assets at end of period (000's)............................. $80,956 $89,866 $69,785 $56,560 $50,525
Capital Conservation Fund ------------------------- Year Ended May 31, ------------------------- 1999 ------- PER SHARE DATA Net asset value at beginning of period.......................... $ 9.68 ------- Income (loss) from investment operations: Net investment income (loss)................................. 0.60 Net realized and unrealized gain (loss) on securities and (0.29) foreign currency related transactions....................... ------- Total income (loss) from investment operations............... 0.31 ------- Distributions from: Investment income............................................ (0.60) Realized gain on securities.................................. - ------- Total distributions.......................................... (0.60) ------- Net asset value at end of period................................ $ 9.39 ------- TOTAL RETURN/(a)(c)/............................................ 3.25% ------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.60% Ratio of expenses to average net assets/(e)/.................... 0.60% Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 6.24% Ratio of net investment income (loss) to average net assets/(e)/ - Portfolio turnover rate......................................... 41% Number of shares outstanding at end of period (000's)........... 6,720 Net assets at end of period (000's)............................. $63,131
Core Equity Fund ---------------------- Six Months Ended November 30, 2003/(g)/ --------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.12 --------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.05/(f)/ Net realized and unrealized gain (loss) on securities and 0.92 foreign currency related transactions....................... --------------------- Total income (loss) from investment operations............... 0.97 --------------------- Distributions from: Investment income............................................ (0.05) Realized gain on securities.................................. - --------------------- Total distributions.......................................... (0.05) --------------------- Net asset value at end of period................................ $ 11.04 --------------------- TOTAL RETURN/(a)(c)/............................................ 9.63% --------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.85%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.95%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.99%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 0.89%/(b)/ Portfolio turnover rate......................................... 13% Number of shares outstanding at end of period (000's)........... 53,860 Net assets at end of period (000's)............................. $594,498
Core Equity Fund ---------------------------------------------------------- Year Ended May 31, ---------------------------------------------------------- 2003 2002 2001 2000 1999 -------- -------- -------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 11.10 $ 13.36 $ 23.31 $ 24.12 $ 22.08 -------- -------- -------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. 0.11/(f)/ 0.07 0.04 - (0.08) Net realized and unrealized gain (loss) on securities and (0.98) (2.26) (2.54) 0.20 3.13 foreign currency related transactions....................... -------- -------- -------- ---------- ---------- Total income (loss) from investment operations............... (0.87) (2.19) (2.50) 0.20 3.05 -------- -------- -------- ---------- ---------- Distributions from: Investment income............................................ (0.11) (0.07) (0.04) - - Realized gain on securities.................................. - - (7.41) (1,01) (1.01) -------- -------- -------- ---------- ---------- Total distributions.......................................... (0.11) (0.07) (7.45) (1.01) (1.01) -------- -------- -------- ---------- ---------- Net asset value at end of period................................ $ 10.12 $ 11.10 $ 13.36 $ 23.31 $ 24.12 -------- -------- -------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ (7.79)% (16.43)% (11.62)% 0.96% 14.20% -------- -------- -------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.85% 0.84% 0.86% 0.85% 0.86% Ratio of expenses to average net assets/(e)/.................... 0.97% 0.93% 0.88% 0.85% 0.86% Ratio of expense reductions to average net assets............... 0.05% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.08% 0.55% 0.24% 0.02% (0.36)% Ratio of net investment income (loss) to average net assets/(e)/ 0.96% - - - - Portfolio turnover rate......................................... 25% 64% 71% 134% 42% Number of shares outstanding at end of period (000's)........... 55,358 61,675 68,430 48,685 52,690 Net assets at end of period (000's)............................. $560,038 $684,642 $913,980 $1,135,083 $1,271,034
/(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/Unaudited. -------------------------------------------------------------------------------- 125 FINANCIAL HIGHLIGHTS - CONTINUED
Government Securities Fund -------------------------- Six Months Ended November 30, 2003/(g)/ -------------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 11.24 -------------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.15/(f)/ Net realized and unrealized gain (loss) on securities and (0.53) foreign currency related transactions....................... -------------------------- Total income (loss) from investment operations............... (0.38) -------------------------- Distributions from: Investment income............................................ (0.16) Realized gain on securities.................................. - -------------------------- Total distributions.......................................... (0.16) -------------------------- Net asset value at end of period................................ $ 10.70 -------------------------- TOTAL RETURN/(a)(c)/............................................ (3.41)% -------------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.63%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.63%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 2.76%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 2.76%/(b)/ Portfolio turnover rate......................................... 82% Number of shares outstanding at end of period (000's)........... 15,256 Net assets at end of period (000's)............................. $163,208
Government Securities Fund ---------------------------------------------------- Year Ended May 31, ---------------------------------------------------- 2003 2002 2001 2000 1999 -------- -------- -------- -------- -------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.37 $ 10.07 $ 9.51 $ 9.90 $ 10.09 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)................................. 0.38/(f)/ 0.51 0.58 0.55 0.55 Net realized and unrealized gain (loss) on securities and 0.95 0.30 0.56 (0.39) (0.19) foreign currency related transactions....................... -------- -------- -------- -------- -------- Total income (loss) from investment operations............... 1.33 0.81 1.14 0.16 0.36 -------- -------- -------- -------- -------- Distributions from: Investment income............................................ (0.39) (0.51) (0.58) (0.55) (0.55) Realized gain on securities.................................. (0.07) - - - - -------- -------- -------- -------- -------- Total distributions.......................................... (0.46) (0.51) (0.58) (0.55) (0.55) -------- -------- -------- -------- -------- Net asset value at end of period................................ $ 11.24 $ 10.37 $ 10.07 $ 9.51 $ 9.90 -------- -------- -------- -------- -------- TOTAL RETURN/(a)(c)/............................................ 12.99% 8.17% 12.23% 1.74% 3.58% -------- -------- -------- -------- -------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.66% 0.63% 0.58% 0.55% 0.59% Ratio of expenses to average net assets/(e)/.................... 0.66% 0.63% 0.58% 0.55% 0.59% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 3.54% 4.89% 5.83% 5.68% 5.46% Ratio of net investment income (loss) to average net assets/(e)/ 3.54% - - - - Portfolio turnover rate......................................... 201% 89% 84% 132% 39% Number of shares outstanding at end of period (000's)........... 17,836 12,993 11,873 10,581 10,853 Net assets at end of period (000's)............................. $200,412 $134,726 $119,514 $100,648 $107,425
Growth & Income Fund ---------------------- Six Months Ended November 30, 2003/(g)/ --------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 11.32 --------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.04/(f)/ Net realized and unrealized gain (loss) on securities and 1.19 foreign currency related transactions....................... --------------------- Total income (loss) from investment operations............... 1.23 --------------------- Distributions from: Investment income............................................ (0.04) Realized gain on securities.................................. - --------------------- Total distributions.......................................... (0.04) --------------------- Net asset value at end of period................................ $ 12.51 --------------------- TOTAL RETURN/(a)(c)/............................................ 10.85% --------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.85%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.89%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.61%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 0.57%/(b)/ Portfolio turnover rate......................................... 78% Number of shares outstanding at end of period (000's)........... 15,466 Net assets at end of period (000's)............................. $193,530
Growth & Income Fund ------------------------------------------------------ Year Ended May 31, ------------------------------------------------------ 2003 2002 2001 2000 1999 -------- -------- -------- -------- -------- PER SHARE DATA Net asset value at beginning of period.......................... $ 12.87 $ 14.84 $ 21.04 $ 21.53 $ 19.91 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)................................. 0.09/(f)/ 0.08 0.11 0.15 0.06 Net realized and unrealized gain (loss) on securities and (1.55) (1.75) (2.39) 1.96 3.17 foreign currency related transactions....................... -------- -------- -------- -------- -------- Total income (loss) from investment operations............... (1.46) (1.67) (2.28) 2.11 3.23 -------- -------- -------- -------- -------- Distributions from: Investment income............................................ (0.09) (0.09) (0.11) (0.14) (0.08) Realized gain on securities.................................. - (0.21) (3.81) (2.46) (1.53) -------- -------- -------- -------- -------- Total distributions.......................................... (0.09) (0.30) (3.92) (2.60) (1.61) -------- -------- -------- -------- -------- Net asset value at end of period................................ $ 11.32 $ 12.87 $ 14.84 $ 21.04 $ 21.53 -------- -------- -------- -------- -------- TOTAL RETURN/(a)(c)/............................................ (11.31)% (11.36)% (10.91)% 9.67% 16.92% -------- -------- -------- -------- -------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.85% 0.85% 0.82% 0.80% 0.82% Ratio of expenses to average net assets/(e)/.................... 0.91% 0.87% 0.83% 0.80% 0.82% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.82% 0.59% 0.62% 0.70% 0.29% Ratio of net investment income (loss) to average net assets/(e)/ 0.76% - - - - Portfolio turnover rate......................................... 97% 110% 65% 89% 102% Number of shares outstanding at end of period (000's)........... 15,402 17,145 18,026 15,665 13,790 Net assets at end of period (000's)............................. $174,359 $220,745 $267,487 $329,588 $296,885
/(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/Unaudited. -------------------------------------------------------------------------------- 126 FINANCIAL HIGHLIGHTS - CONTINUED
Growth Fund ------------------------------------------------ Year Ended Year Ended Six Months Ended May 31, May 31, November 30, 2003/(h)/ 2003 2002 --------------------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 4.21 $ 4.70 $ 6.46 --------------------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. (0.03)/(f)/ (0.06)/(f)/ (0.05) Net realized and unrealized gain (loss) on securities and 0.48 (0.43) (1.71) foreign currency related transactions....................... --------------------- ---------- ---------- Total income (loss) from investment operations............... 0.45 (0.49) (1.76) --------------------- ---------- ---------- Distributions from: Investment income............................................ - - - Realized gain on securities.................................. - - - --------------------- ---------- ---------- Total distributions.......................................... - - - --------------------- ---------- ---------- Net asset value at end of period................................ $ 4.66 $ 4.21 $ 4.70 --------------------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 10.69% (10.43)% (27.24)% --------------------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 2.33%/(b)/ 2.67% 1.88% Ratio of expenses to average net assets/(e)/.................... 2.33%/(b)/ 2.67% 1.88% Ratio of expense reductions to average net assets............... 0.02% 0.05% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ (1.32)%/(b)/ (1.46)% (1.05)% Ratio of net investment income (loss) to average net assets/(e)/ (1.32)%/(b)/ (1.46)% - Portfolio turnover rate......................................... 55% 76% 72% Number of shares outstanding at end of period (000's)........... 1,026 941 837 Net assets at end of period (000's)............................. $4,778 $ 3,962 $ 3,930
Growth Fund ---------------- October 2, 2000* to May 31, 2001 ---------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.00 ---------------- Income (loss) from investment operations: Net investment income (loss)................................. (0.01) Net realized and unrealized gain (loss) on securities and (3.52) foreign currency related transactions....................... ---------------- Total income (loss) from investment operations............... (3.53) ---------------- Distributions from: Investment income............................................ (0.01) Realized gain on securities.................................. - ---------------- Total distributions.......................................... (0.01) ---------------- Net asset value at end of period................................ $ 6.46 ---------------- TOTAL RETURN/(a)(c)/............................................ (35.40)% ---------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 1.02%/(b)/ Ratio of expenses to average net assets/(e)/.................... 1.02%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ (0.27)%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ - Portfolio turnover rate......................................... 51% Number of shares outstanding at end of period (000's)........... 611 Net assets at end of period (000's)............................. $ 3,945
Health Sciences Fund ------------------------------------------------ Year Ended Year Ended Six Months Ended May 31, May 31, November 30, 2003/(h)/ 2003 2002 --------------------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 7.98 $ 7.76 $ 8.93 --------------------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. (0.03)/(f)/ (0.05)/(f)/ (0.04) Net realized and unrealized gain (loss) on securities and 0.80 0.27 (1.13) foreign currency related transactions....................... --------------------- ---------- ---------- Total income (loss) from investment operations............... 0.77 0.22 (1.17) --------------------- ---------- ---------- Distributions from: Investment income............................................ - - - Realized gain on securities.................................. - - - --------------------- ---------- ---------- Total distributions.......................................... - - - --------------------- ---------- ---------- Net asset value at end of period................................ $ 8.75 $ 7.98 $ 7.76 --------------------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 9.65% 2.84%/(g)/ (13.10)% --------------------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 1.15%/(b)/ 1.24% 1.22% Ratio of expenses to average net assets/(e)/.................... 1.15%/(b)/ 1.24% 1.22% Ratio of expense reductions to average net assets............... 0.02% 0.03% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ (0.75)%/(b)/ (0.75)% (0.65)% Ratio of net investment income (loss) to average net assets/(e)/ (0.75)%/(b)/ (0.75)% - Portfolio turnover rate......................................... 20% 48% 70% Number of shares outstanding at end of period (000's)........... 12,446 9,732 7,029 Net assets at end of period (000's)............................. $108,902 $77,673 $54,514
Health Sciences Fund -------------------- November 1, 2000* to May 31, 2001 -------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.00 -------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.01 Net realized and unrealized gain (loss) on securities and (1.07) foreign currency related transactions....................... -------------------- Total income (loss) from investment operations............... (1.06) -------------------- Distributions from: Investment income............................................ (0.01) Realized gain on securities.................................. - -------------------- Total distributions.......................................... (0.01) -------------------- Net asset value at end of period................................ $ 8.93 -------------------- TOTAL RETURN/(a)(c)/............................................ (10.60)% -------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 1.08%/(b)/ Ratio of expenses to average net assets/(e)/.................... 1.08%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ (0.03)%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ - Portfolio turnover rate......................................... 158% Number of shares outstanding at end of period (000's)........... 2,684 Net assets at end of period (000's)............................. $23,965
* Date Fund commenced operations. /(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/The Fund's performance figure was increased by less than 0.01% from gains on the disposal of investments in violation of investment restrictions. /(h)/Unaudited. -------------------------------------------------------------------------------- 127 FINANCIAL HIGHLIGHTS - CONTINUED
Income & Growth Fund ------------------------------------------------- Year Ended Year Ended Six Months Ended May 31, May 31, November 30, 2003/(g)/ 2003 2002 --------------------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 7.73 $ 8.51 $ 9.61 --------------------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. 0.06/(f)/ 0.11/(f)/ 0.08 Net realized and unrealized gain (loss) on securities and 0.82 (0.79) (1.10) foreign currency related transactions....................... --------------------- ---------- ---------- Total income (loss) from investment operations............... 0.88 (0.68) (1.02) --------------------- ---------- ---------- Distributions from: Investment income............................................ (0.07) (0.10) (0.08) Realized gain on securities.................................. - - - --------------------- ---------- ---------- Total distributions.......................................... (0.07) (0.10) (0.08) --------------------- ---------- ---------- Net asset value at end of period................................ $ 8.54 $ 7.73 $ 8.51 --------------------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 11.38% (7.87)% (10.58)% --------------------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.83%/(b)/ 0.83% 0.83% Ratio of expenses to average net assets/(e)/.................... 0.90%/(b)/ 0.93% 0.93% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.55%/(b)/ 1.47% 0.91% Ratio of net investment income (loss) to average net assets/(e)/ 1.48%/(b)/ 1.37% - Portfolio turnover rate......................................... 36% 64% 65% Number of shares outstanding at end of period (000's)........... 26,163 26,008 27,664 Net assets at end of period (000's)............................. $223,399 $200,919 $235,508
Income & Growth Fund -------------------- December 11, 2000* to May 31, 2001 -------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.00 -------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.04 Net realized and unrealized gain (loss) on securities and (0.40) foreign currency related transactions....................... -------------------- Total income (loss) from investment operations............... (0.36) -------------------- Distributions from: Investment income............................................ (0.03) Realized gain on securities.................................. - -------------------- Total distributions.......................................... (0.03) -------------------- Net asset value at end of period................................ $ 9.61 -------------------- TOTAL RETURN/(a)(c)/............................................ (3.60)% -------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.83%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.87%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.79%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ - Portfolio turnover rate......................................... 72% Number of shares outstanding at end of period (000's)........... 27,197 Net assets at end of period (000's)............................. $261,303
International Equities Fund --------------------------- Six Months Ended November 30, 2003/(g)/ --------------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 5.50 --------------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.04/(f)/ Net realized and unrealized gain (loss) on securities and 0.85 foreign currency related transactions....................... --------------------------- Total income (loss) from investment operations............... 0.89 --------------------------- Distributions from: Investment income............................................ (0.03) Realized gain on securities.................................. - --------------------------- Total distributions.......................................... (0.03) --------------------------- Net asset value at end of period................................ $ 6.36 --------------------------- TOTAL RETURN/(a)(c)/............................................ 16.28% --------------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.62%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.62%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.23%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 1.23%/(b)/ Portfolio turnover rate......................................... 8% Number of shares outstanding at end of period (000's)........... 18,849 Net assets at end of period (000's)............................. $119,888
International Equities Fund ------------------------------------------------------ Year Ended May 31, ------------------------------------------------------ 2003 2002 2001 2000 1999 -------- -------- -------- -------- -------- PER SHARE DATA Net asset value at beginning of period.......................... $ 6.67 $ 8.78 $ 12.55 $ 11.32 $ 11.95 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)................................. 0.09/(f)/ 0.09 0.12 0.15 0.22 Net realized and unrealized gain (loss) on securities and (1.20) (1.07) (2.46) 1.90 0.30 foreign currency related transactions....................... -------- -------- -------- -------- -------- Total income (loss) from investment operations............... (1.11) (0.98) (2.34) 2.05 0.52 -------- -------- -------- -------- -------- Distributions from: Investment income............................................ (0.06) (0.16) (0.09) (0.14) (0.25) Realized gain on securities.................................. - (0.97) (1.34) (0.68) (0.90) -------- -------- -------- -------- -------- Total distributions.......................................... (0.06) (1.13) (1.43) (0.82) (1.15) -------- -------- -------- -------- -------- Net asset value at end of period................................ $ 5.50 $ 6.67 $ 8.78 $ 12.55 $ 11.32 -------- -------- -------- -------- -------- TOTAL RETURN/(a)(c)/............................................ (16.64)% (10.66)% (19.59)% 18.01% 4.43% -------- -------- -------- -------- -------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.68% 0.78% 0.42% 0.41% 0.43% Ratio of expenses to average net assets/(e)/.................... 0.68% 0.78% 0.42% 0.41% 0.43% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.71% 1.16% 1.08% 1.20% 1.89% Ratio of net investment income (loss) to average net assets/(e)/ 1.71% - - - - Portfolio turnover rate......................................... 0% 45% 45% 25% 8% Number of shares outstanding at end of period (000's)........... 16,491 15,226 13,501 12,980 12,559 Net assets at end of period (000's)............................. $ 90,680 $101,562 $118,524 $162,840 $142,108
* Date Fund commenced operations. /(a)/ The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/ Annualized. /(c)/ Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/ Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/ Excludes, if any, expense reimbursements and expense reductions. /(f)/ The per share amounts are calculated using the average share method. /(g) /Unaudited. -------------------------------------------------------------------------------- 128 FINANCIAL HIGHLIGHTS - CONTINUED
International Government Bond Fund --------------------------------------------------------------------------- Year Ended May 31, Six Months Ended ----------------------------------------------------- November 30, 2003/(g)/ 2003 2002 2001 2000 1999 --------------------- -------- -------- ------- -------- -------- PER SHARE DATA Net asset value at beginning of period............. $ 13.83 $ 11.04 $ 10.10 $ 10.88 $ 11.62 $ 11.42 --------------------- -------- -------- ------- -------- -------- Income (loss) from investment operations: Net investment income (loss).................... 0.28/(f)/ 0.05/(f)/ 0.54 0.43 0.48 0.51 Net realized and unrealized gain (loss) on securities and foreign currency related (0.05) 2.81 0.49 (0.91) (0.98) 0.24 transactions................................... --------------------- -------- -------- ------- -------- -------- Total income (loss) from investment operations.. 0.23 2.86 1.03 (0.48) (0.50) 0.75 --------------------- -------- -------- ------- -------- -------- Distributions from: Investment income............................... - - - (0.26) (0.23) (0.48) Realized gain on securities..................... - (0.07) (0.09) (0.04) (0.01) (0.07) --------------------- -------- -------- ------- -------- -------- Total distributions............................. - (0.07) (0.09) (0.30) (0.24) (0.55) --------------------- -------- -------- ------- -------- -------- Net asset value at end of period................... $ 14.06 $ 13.83 $ 11.04 $ 10.10 $ 10.88 $ 11.62 --------------------- -------- -------- ------- -------- -------- TOTAL RETURN/(a)(c)/............................... 1.66% 25.96% 10.23% (4.47)% (4.43)% 6.40% --------------------- -------- -------- ------- -------- -------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/....... 0.71%/(b)/ 0.77% 0.73% 0.58% 0.52% 0.57% Ratio of expenses to average net assets/(e)/....... 0.71%/(b)/ 0.77% 0.73% 0.58% 0.52% 0.57% Ratio of expense reductions to average net assets.. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/........................... 4.12%/(b)/ 4.81% 5.71% 3.82% 4.07% 4.27% Ratio of net investment income (loss) to average net assets/(e)/........................... 4.12%/(b)/ 4.81% - - - - Portfolio turnover rate............................ 62% 70% 110% 72% 15% 22% Number of shares outstanding at end of period (000's)........................................... 10,425 11,386 9,242 9,898 12,044 13,647 Net assets at end of period (000's)................ $146,556 $157,478 $102,053 $99,977 $130,978 $158,509
International Growth I Fund -------------------------------------------------------------- Year Ended Year Ended December 11, 2000* Six Months Ended May 31, May 31, to November 30, 2003/(g)/ 2003 2002 May 31, 2001 --------------------- ---------- ---------- ------------------ PER SHARE DATA Net asset value at beginning of period............. $ 6.07 $ 7.25 $ 8.31 $ 10.00 --------------------- ---------- ---------- ------------------ Income (loss) from investment operations: Net investment income (loss).................... 0.02/(f)/ 0.08/(f)/ 0.05 0.05 Net realized and unrealized gain (loss) on securities and foreign currency related 0.84 (1.15) (1.09) (1.70) transactions................................... --------------------- ---------- ---------- ------------------ Total income (loss) from investment operations.. 0.86 (1.07) (1.04) (1.65) --------------------- ---------- ---------- ------------------ Distributions from: Investment income............................... (0.03) (0.11) (0.02) (0.04) Realized gain on securities..................... - - - - --------------------- ---------- ---------- ------------------ Total distributions............................. (0.03) (0.11) (0.02) (0.04) --------------------- ---------- ---------- ------------------ Net asset value at end of period................... $ 6.90 $ 6.07 $ 7.25 $ 8.31 --------------------- ---------- ---------- ------------------ TOTAL RETURN/(a)(c)/............................... 14.12% (14.76)% (12.56)% (3.60)% --------------------- ---------- ---------- ------------------ RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/....... 1.06%/(b)/ 1.06% 1.06% 1.06%/(b)/ Ratio of expenses to average net assets/(e)/....... 1.28%/(b)/ 1.36% 1.33% 1.10%/(b)/ Ratio of expense reductions to average net assets.. 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/........................... 0.62%/(b)/ 1.25% 0.67% 0.99%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/........................... 0.40%/(b)/ 0.95% - - Portfolio turnover rate............................ 85% 192% 205% 183% Number of shares outstanding at end of period (000's)........................................... 55,972 56,825 60,441 64,151 Net assets at end of period (000's)................ $386,036 $345,213 $438,474 $533,368
* Date Fund commenced operations. /(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/Unaudited. -------------------------------------------------------------------------------- 129 FINANCIAL HIGHLIGHTS - CONTINUED
Large Cap Growth Fund -------------------------------------------------- Year Ended Year Ended Six Months Ended May 31, May 31, November 30, 2003/(g)/ 2003 2002 --------------------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 5.45 $ 6.20 $ 7.43 --------------------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. -/(f)/ - /(f)/ (0.01) Net realized and unrealized gain (loss) on securities and 0.64 (0.75) (1.22) foreign currency related transactions....................... --------------------- ---------- ---------- Total income (loss) from investment operations............... 0.64 (0.75) (1.23) --------------------- ---------- ---------- Distributions from: Investment income............................................ - - - Realized gain on securities.................................. - - - --------------------- ---------- ---------- Total distributions.......................................... - - - --------------------- ---------- ---------- Net asset value at end of period................................ $ 6.09 $ 5.45 $ 6.20 --------------------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 11.74% (12.04)% (16.55)% --------------------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 1.06%/(b)/ 1.06% 1.05% Ratio of expenses to average net assets/(e)/.................... 1.08%/(b)/ 1.10% 1.15% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.00%/(b)/ 0.05% (0.13)% Ratio of net investment income (loss) to average net assets/(e)/ (0.02)%/(b)/ 0.01% - Portfolio turnover rate......................................... 67% 86% 150% Number of shares outstanding at end of period (000's)........... 77,137 78,170 83,752 Net assets at end of period (000's)............................. $469,527 $426,061 $519,129
Large Cap Growth Fund --------------------- December 11, 2000* to May 31, 2001 --------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.00 --------------------- Income (loss) from investment operations: Net investment income (loss)................................. (0.01) Net realized and unrealized gain (loss) on securities and (2.56) foreign currency related transactions....................... --------------------- Total income (loss) from investment operations............... (2.57) --------------------- Distributions from: Investment income............................................ - Realized gain on securities.................................. - --------------------- Total distributions.......................................... - --------------------- Net asset value at end of period................................ $ 7.43 --------------------- TOTAL RETURN/(a)(c)/............................................ (25.70)% --------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 1.06%/(b)/ Ratio of expenses to average net assets/(e)/.................... 1.10%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ (0.27)%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ - Portfolio turnover rate......................................... 94% Number of shares outstanding at end of period (000's)........... 84,055 Net assets at end of period (000's)............................. $624,700
Mid Cap Index Fund --------------------------------------------------------------- Year Ended May 31, Six Months Ended ---------------------------------------- November 30, 2003/(g)/ 2003 2002 2001 --------------------- ---------- ----------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 15.62 $ 18.01 $ 19.82 $ 23.73 --------------------- ---------- ----------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. 0.06/(f)/ 0.11/(f)/ 0.13 0.19 Net realized and unrealized gain (loss) on securities and 3.04 (1.88) 0.16 1.74 foreign currency related transactions....................... --------------------- ---------- ----------- ---------- Total income (loss) from investment operations............... 3.10 (1.77) 0.29 1.93 --------------------- ---------- ----------- ---------- Distributions from: Investment income............................................ (0.06) (0.10) (0.14) (0.19) Realized gain on securities.................................. - (0.52) (1.96) (5.65) --------------------- ---------- ----------- ---------- Total distributions.......................................... (0.06) (0.62) (2.10) (5.84) --------------------- ---------- ----------- ---------- Net asset value at end of period................................ $ 18.66 $ 15.62 $ 18.01 $ 19.82 --------------------- ---------- ----------- ---------- TOTAL RETURN/(a)(c)/............................................ 19.87% (9.50)% 2.03% 10.11% --------------------- ---------- ----------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.40%/(b)/ 0.45% 0.41% 0.38% Ratio of expenses to average net assets/(e)/.................... 0.40%/(b)/ 0.45% 0.41% 0.38% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.77%/(b)/ 0.77% 0.74% 0.84% Ratio of net investment income (loss) to average net assets/(e)/ 0.77%/(b)/ 0.77% - - Portfolio turnover rate......................................... 4% 10% 17% 34% Number of shares outstanding at end of period (000's)........... 75,568 70,135 64,086 52,860 Net assets at end of period (000's)............................. $1,410,389 $1,095,294 $1,154,008 $1,047,680
Mid Cap Index Fund ------------------- Year Ended May 31, -------------------- 2000 1999 -------- --------- PER SHARE DATA Net asset value at beginning of period.......................... $ 25.64 $ 25.27 -------- --------- Income (loss) from investment operations: Net investment income (loss)................................. 0.22 0.23 Net realized and unrealized gain (loss) on securities and 4.49 2.54 foreign currency related transactions....................... -------- --------- Total income (loss) from investment operations............... 4.71 2.77 -------- --------- Distributions from: Investment income............................................ (0.22) (0.23) Realized gain on securities.................................. (6.40) (2.17) -------- --------- Total distributions.......................................... (6.62) (2.40) -------- --------- Net asset value at end of period................................ $ 23.73 $ 25.64 -------- --------- TOTAL RETURN/(a)(c)/............................................ 21.36% 11.91% -------- --------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.36% 0.38% Ratio of expenses to average net assets/(e)/.................... 0.36% 0.38% Ratio of expense reductions to average net assets............... 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.90% 0.92% Ratio of net investment income (loss) to average net assets/(e)/ - - Portfolio turnover rate......................................... 41% 41% Number of shares outstanding at end of period (000's)........... 38,889 31,886 Net assets at end of period (000's)............................. $922,679 $817,573
* Date Fund commenced operations. /(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/Unaudited. -------------------------------------------------------------------------------- 130 FINANCIAL HIGHLIGHTS - CONTINUED
Money Market I Fund ---------------------- Six Months Ended November 30, 2003/(g)/ ---------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 1.00 ---------------------- Income (loss) from investment operations: Net investment income (loss)................................. -/(f)/ Net realized and unrealized gain (loss) on securities and - foreign currency related transactions....................... ---------------------- Total income (loss) from investment operations............... - ---------------------- Distributions from: Investment income............................................ - Realized gain on securities.................................. - ---------------------- Total distributions.......................................... - ---------------------- Net asset value at end of period................................ $ 1.00 ---------------------- TOTAL RETURN/(a)(c)/............................................ 0.26% ---------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.60%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.63%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.52%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 0.49%/(b)/ Portfolio turnover rate......................................... N/A Number of shares outstanding at end of period (000's)........... 482,258 Net assets at end of period (000's)............................. $482,258
Money Market I Fund ---------------------------------------------------- Year Ended May 31, ---------------------------------------------------- 2003 2002 2001 2000 1999 -------- -------- -------- -------- -------- PER SHARE DATA Net asset value at beginning of period.......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)................................. 0.01/(f)/ 0.02 0.06 0.05 0.05 Net realized and unrealized gain (loss) on securities and - - - - - foreign currency related transactions....................... -------- -------- -------- -------- -------- Total income (loss) from investment operations............... 0.01 0.02 0.06 0.05 0.05 -------- -------- -------- -------- -------- Distributions from: Investment income............................................ (0.01) (0.02) (0.06) (0.05) (0.05) Realized gain on securities.................................. - - - - - -------- -------- -------- -------- -------- Total distributions.......................................... (0.01) (0.02) (0.06) (0.05) (0.05) -------- -------- -------- -------- -------- Net asset value at end of period................................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- -------- TOTAL RETURN/(a)(c)/............................................ 1.00% 2.14% 5.77% 5.21% 4.84% -------- -------- -------- -------- -------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.59% 0.60% 0.57% 0.56% 0.57% Ratio of expenses to average net assets/(e)/.................... 0.64% 0.62% 0.58% 0.56% 0.57% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.01% 2.07% 5.59% 5.13% 4.66% Ratio of net investment income (loss) to average net assets/(e)/ 0.96% - - - - Portfolio turnover rate......................................... N/A N/A N/A N/A N/A Number of shares outstanding at end of period (000's)........... 524,446 734,135 579,507 484,934 347,394 Net assets at end of period (000's)............................. $524,446 $734,135 $579,507 $484,934 $347,394
Nasdaq-100(R) Index Fund ------------------------------------------------ Year Ended Year Ended Six Months Ended May 31, May 31, November 30, 2003/(g)/ 2003 2002 --------------------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 3.36 $ 3.40 $ 5.09 --------------------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. -/(f)/ (0.01)/(f)/ (0.01) Net realized and unrealized gain (loss) on securities and 0.63 (0.03) (1.68) foreign currency related transactions....................... --------------------- ---------- ---------- Total income (loss) from investment operations............... 0.63 (0.04) (1.69) --------------------- ---------- ---------- Distributions from: Investment income............................................ - - - Realized gain on securities.................................. - - - --------------------- ---------- ---------- Total distributions.......................................... - - - --------------------- ---------- ---------- Net asset value at end of period................................ $ 3.99 $ 3.36 $ 3.40 --------------------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 18.75% (1.18)% (33.20)% --------------------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.60%/(b)/ 0.81% 0.77% Ratio of expenses to average net assets/(e)/.................... 0.60%/(b)/ 0.81% 0.77% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ (0.23)%/(b)/ (0.48)% (0.36)% Ratio of net investment income (loss) to average net assets/(e)/ (0.23)%/(b)/ (0.48)% - Portfolio turnover rate......................................... 0% 6% 2% Number of shares outstanding at end of period (000's)........... 23,270 15,570 7,786 Net assets at end of period (000's)............................. $92,932 $52,306 $26,449
Nasdaq-100(R) Index Fund ------------------------ October 2, 2000* to May 31, 2001 ----------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.00 ----------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.01 Net realized and unrealized gain (loss) on securities and (4.91) foreign currency related transactions....................... ----------------------- Total income (loss) from investment operations............... (4.90) ----------------------- Distributions from: Investment income............................................ (0.01) Realized gain on securities.................................. - ----------------------- Total distributions.......................................... (0.01) ----------------------- Net asset value at end of period................................ $ 5.09 ----------------------- TOTAL RETURN/(a)(c)/............................................ (49.01)% ----------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.52%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.52%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.31%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ - Portfolio turnover rate......................................... 19% Number of shares outstanding at end of period (000's)........... 3,732 Net assets at end of period (000's)............................. $19,005
* Date Fund commenced operations. /(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/Unaudited. 131 FINANCIAL HIGHLIGHTS - CONTINUED
Science & Technology Fund ------------------------- Six Months Ended November 30, 2003/(g)/ ------------------------- PER SHARE DATA Net asset value at beginning of period............. $ 9.14 ------------------------- Income (loss) from investment operations: Net investment income (loss).................... (0.03)/(f)/ Net realized and unrealized gain (loss) on securities and foreign currency related 1.90 transactions................................... ------------------------- Total income (loss) from investment operations.. 1.87 ------------------------- Distributions from: Investment income............................... - Realized gain on securities..................... - ------------------------- Total distributions............................. - ------------------------- Net asset value at end of period................... $ 11.01 ------------------------- TOTAL RETURN/(a)(c)/............................... 20.46% ------------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/....... 1.00%/(b)/ Ratio of expenses to average net assets/(e)/....... 1.01%/(b)/ Ratio of expense reductions to average net assets.. 0.01% Ratio of net investment income (loss) to average net assets/(d)/........................... (0.62)%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/........................... (0.63)%/(b)/ Portfolio turnover rate............................ 23% Number of shares outstanding at end of period (000's)........................................... 132,166 Net assets at end of period (000's)................ $1,455,490
Science & Technology Fund ------------------------------------------------------------------- Year Ended May 31, ------------------------------------------------------------------ 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period............. $ 9.56 $ 17.28 $ 41.14 $ 29.95 $ 22.07 ---------- ---------- ---------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss).................... (0.05)/(f)/ (0.07) (0.17) (0.11) (0.10) Net realized and unrealized gain (loss) on securities and foreign currency related (0.37) (6.86) (15.86) 16.37 10.36 transactions................................... ---------- ---------- ---------- ---------- ---------- Total income (loss) from investment operations.. (0.42) (6.93) (16.03) 16.26 10.26 ---------- ---------- ---------- ---------- ---------- Distributions from: Investment income............................... - - - - - Realized gain on securities..................... - (0.79) (7.83) (5.07) (2.38) ---------- ---------- ---------- ---------- ---------- Total distributions............................. - (0.79) (7.83) (5.07) (2.38) ---------- ---------- ---------- ---------- ---------- Net asset value at end of period................... $ 9.14 $ 9.56 $ 17.28 $ 41.14 $ 29.95 ---------- ---------- ---------- ---------- ---------- TOTAL RETURN/(a)(c)/............................... (4.39)% (41.26)% (42.24)% 52.65% 48.34% ---------- ---------- ---------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/....... 1.00% 1.00% 0.98% 0.96% 0.96% Ratio of expenses to average net assets/(e)/....... 1.04% 1.02% 0.98% 0.96% 0.96% Ratio of expense reductions to average net assets.. 0.02% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/........................... (0.66)% (0.59)% (0.66)% (0.40)% (0.46)% Ratio of net investment income (loss) to average net assets/(e)/........................... (0.71)% - - - - Portfolio turnover rate............................ 53% 104% 176% 130% 149% Number of shares outstanding at end of period (000's)........................................... 129,123 129,126 116,654 80,564 56,211 Net assets at end of period (000's)................ $1,180,380 $1,234,937 $2,015,574 $3,314,052 $1,683,585
Small Cap Fund --------------------------------------------------------------- Year Ended Year Ended December 11, 2000* Six Months Ended May 31, May 31, to November 30, 2003/(g)/ 2003 2002 May 31, 2001 --------------------- ---------- ---------- ------------------ PER SHARE DATA Net asset value at beginning of period............. $ 7.67 $ 8.75 $ 9.09 $ 10.00 --------------------- ---------- ---------- ------------------ Income (loss) from investment operations: Net investment income (loss).................... (0.02)/(f)/ (0.02)/(f)/ (0.01) (0.01) Net realized and unrealized gain (loss) on securities and foreign currency related 1.72 (1.06) (0.33) (0.90) transactions................................... --------------------- ---------- ---------- ------------------ Total income (loss) from investment operations.. 1.70 (1.08) (0.34) (0.91) --------------------- ---------- ---------- ------------------ Distributions from: Investment income............................... - - - - Realized gain on securities..................... - - - - --------------------- ---------- ---------- ------------------ Total distributions............................. - - - - --------------------- ---------- ---------- ------------------ Net asset value at end of period................... $ 9.37 $ 7.67 $ 8.75 $ 9.09 --------------------- ---------- ---------- ------------------ TOTAL RETURN/(a)(c)/............................... 22.16% (12.34)% (3.74)% 11.51% --------------------- ---------- ---------- ------------------ RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/....... 0.95%/(b)/ 0.95% 0.95% 0.95%/(b)/ Ratio of expenses to average net assets/(e)/....... 1.03%/(b)/ 1.06% 1.06% 1.00%/(b)/ Ratio of expense reductions to average net assets.. 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/........................... (0.37)%/(b)/ (0.29)% (0.15)% (0.14)%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/........................... (0.45)%/(b)/ (0.40)% - - Portfolio turnover rate............................ 34% 74% 68% 130% Number of shares outstanding at end of period (000's)........................................... 68,831 69,895 75,125 78,572 Net assets at end of period (000's)................ $644,825 $535,870 $657,045 $714,608
* Date Fund commenced operations. /(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/Unaudited. -------------------------------------------------------------------------------- 132 FINANCIAL HIGHLIGHTS - CONTINUED
Small Cap Index Fund ---------------------- Six Months Ended November 30, 2003/(g)/ --------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 10.86 --------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.05/(f)/ Net realized and unrealized gain (loss) on securities and 2.59 foreign currency related transactions....................... --------------------- Total income (loss) from investment operations............... 2.64 --------------------- Distributions from: Investment income............................................ (0.04) Realized gain on securities.................................. - --------------------- Total distributions.......................................... (0.04) --------------------- Net asset value at end of period................................ $ 13.46 --------------------- TOTAL RETURN/(a)(c)/............................................ 24.30% --------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.47%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.47%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.80%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 0.80%/(b)/ Portfolio turnover rate......................................... 17% Number of shares outstanding at end of period (000's)........... 29,656 Net assets at end of period (000's)............................. $399,048
Small Cap Index Fund ----------------------------------------------------- Year Ended May 31, ----------------------------------------------------- 2003 2002 2001 2000 1999 -------- -------- -------- -------- -------- PER SHARE DATA Net asset value at beginning of period.......................... $ 11.97 $ 14.11 $ 15.66 $ 15.84 $ 17.94 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)................................. 0.09/(f)/ 0.13 0.19 0.18 0.19 Net realized and unrealized gain (loss) on securities and (1.12) (0.32) 0.40 1.43 (0.74) foreign currency related transactions....................... -------- -------- -------- -------- -------- Total income (loss) from investment operations............... (1.03) (0.19) 0.59 1.61 (0.55) -------- -------- -------- -------- -------- Distributions from: Investment income............................................ (0.08) (0.13) (0.19) (0.18) (0.19) Realized gain on securities.................................. - (1.82) (1.95) (1.61) (1.36) -------- -------- -------- -------- -------- Total distributions.......................................... (0.08) (1.95) (2.14) (1.79) (1.55) -------- -------- -------- -------- -------- Net asset value at end of period................................ $ 10.86 $ 11.97 $ 14.11 $ 15.66 $ 15.84 -------- -------- -------- -------- -------- TOTAL RETURN/(a)(c)/............................................ (8.55)% (1.08)% 5.23% 10.22% (2.45)% -------- -------- -------- -------- -------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.52% 0.48% 0.44% 0.40% 0.41% Ratio of expenses to average net assets/(e)/.................... 0.52% 0.48% 0.44% 0.40% 0.41% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.93% 1.03% 1.31% 1.12% 1.20% Ratio of net investment income (loss) to average net assets/(e)/ 0.93% - - - - Portfolio turnover rate......................................... 35% 34% 57% 35% 36% Number of shares outstanding at end of period (000's)........... 24,411 21,473 16,769 14,596 13,890 Net assets at end of period (000's)............................. $265,018 $257,046 $236,530 $228,602 $220,002
Social Awareness Fund ---------------------- Six Months Ended November 30, 2003/(g)/ --------------------- PER SHARE DATA Net asset value at beginning of period.......................... $ 15.73 --------------------- Income (loss) from investment operations: Net investment income (loss)................................. 0.08/(f)/ Net realized and unrealized gain (loss) on securities and 1.53 foreign currency related transactions....................... --------------------- Total income (loss) from investment operations............... 1.61 --------------------- Distributions from: Investment income............................................ (0.08) Realized gain on securities.................................. - --------------------- Total distributions.......................................... (0.08) --------------------- Net asset value at end of period................................ $ 17.26 --------------------- TOTAL RETURN/(a)(c)/............................................ 10.26% --------------------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.63%/(b)/ Ratio of expenses to average net assets/(e)/.................... 0.63%/(b)/ Ratio of expense reductions to average net assets............... 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.01%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 1.01%/(b)/ Portfolio turnover rate......................................... 48% Number of shares outstanding at end of period (000's)........... 22,183 Net assets at end of period (000's)............................. $382,844
Social Awareness Fund ------------------------------------------------------ Year Ended May 31, ------------------------------------------------------ 2003 2002 2001 2000 1999 -------- -------- -------- -------- -------- PER SHARE DATA Net asset value at beginning of period.......................... $ 17.66 $ 21.01 $ 24.77 $ 24.11 $ 22.16 -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)................................. 0.16/(f)/ 0.13 0.20 0.20 0.21 Net realized and unrealized gain (loss) on securities and (1.60) (2.76) (3.23) 1.61 4.08 foreign currency related transactions....................... -------- -------- -------- -------- -------- Total income (loss) from investment operations............... (1.44) (2.63) (3.03) 1.81 4.29 -------- -------- -------- -------- -------- Distributions from: Investment income............................................ (0.15) (0.14) (0.20) (0.18) (0.22) Realized gain on securities.................................. (0.34) (0.58) (0.53) (0.97) (2.12) -------- -------- -------- -------- -------- Total distributions.......................................... (0.49) (0.72) (0.73) (1.15) (2.34) -------- -------- -------- -------- -------- Net asset value at end of period................................ $ 15.73 $ 17.66 $ 21.01 $ 24.77 $ 24.11 -------- -------- -------- -------- -------- TOTAL RETURN/(a)(c)/............................................ (7.89)% (12.77)% (12.33)% 7.49% 20.05% -------- -------- -------- -------- -------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.65% 0.61% 0.58% 0.55% 0.57% Ratio of expenses to average net assets/(e)/.................... 0.65% 0.61% 0.58% 0.55% 0.57% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.05% 0.69% 0.85% 0.79% 0.93% Ratio of net investment income (loss) to average net assets/(e)/ 1.05% - - - - Portfolio turnover rate......................................... 58% 40% 29% 40% 49% Number of shares outstanding at end of period (000's)........... 22,221 23,444 23,321 23,509 21,646 Net assets at end of period (000's)............................. $349,610 $414,108 $489,982 $582,403 $521,965
/(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/Unaudited. 133 FINANCIAL HIGHLIGHTS - CONTINUED
Stock Index Fund ---------------------------------------------------------------- Year Ended May 31, Six Months Ended ----------------------------------------- November 30, 2003/(g)/ 2003 2002 2001 --------------------- ---------- ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 26.51 $ 30.11 $ 36.89 $ 42.98 --------------------- ---------- ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. 0.20/(f)/ 0.35/(f)/ 0.33 0.35 Net realized and unrealized gain (loss) on securities and 2.60 (2.97) (5.45) (4.99) foreign currency related transactions....................... --------------------- ---------- ---------- ---------- Total income (loss) from investment operations............... 2.80 (2.62) (5.12) (4.64) --------------------- ---------- ---------- ---------- Distributions from: Investment income............................................ (0.19) (0.34) (0.34) (0.35) Realized gain on securities.................................. - (0.64) (1.32) (1.10) --------------------- ---------- ---------- ---------- Total distributions.......................................... (0.19) (0.98) (1.66) (1.45) --------------------- ---------- ---------- ---------- Net asset value at end of period................................ $ 29.12 $ 26.51 $ 30.11 $ 36.89 --------------------- ---------- ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 10.59% (8.44)% (14.16)% (10.87)% --------------------- ---------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.38%/(b)/ 0.40% 0.37% 0.34% Ratio of expenses to average net assets/(e)/.................... 0.38%/(b)/ 0.40% 0.37% 0.34% Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.40%/(b)/ 1.39% 1.01% 0.86% Ratio of net investment income (loss) to average net assets/(e)/ 1.40%/(b)/ 1.39% - - Portfolio turnover rate......................................... 1% 6% 6% 7% Number of shares outstanding at end of period (000's)........... 138,907 136,800 135,870 131,180 Net assets at end of period (000's)............................. $4,045,612 $3,627,137 $4,091,054 $4,839,632
Stock Index Fund ----------------------- Year Ended May 31, ----------------------- 2000 1999 ---------- ---------- PER SHARE DATA Net asset value at beginning of period.......................... $ 39.73 $ 33.38 ---------- ---------- Income (loss) from investment operations: Net investment income (loss)................................. 0.41 0.40 Net realized and unrealized gain (loss) on securities and 3.59 6.51 foreign currency related transactions....................... ---------- ---------- Total income (loss) from investment operations............... 4.00 6.91 ---------- ---------- Distributions from: Investment income............................................ (0.39) (0.41) Realized gain on securities.................................. (0.36) (0.15) ---------- ---------- Total distributions.......................................... (0.75) (0.56) ---------- ---------- Net asset value at end of period................................ $ 42.98 $ 39.73 ---------- ---------- TOTAL RETURN/(a)(c)/............................................ 10.10% 20.85% ---------- ---------- RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 0.31% 0.32% Ratio of expenses to average net assets/(e)/.................... 0.31% 0.32% Ratio of expense reductions to average net assets............... 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 0.97% 1.13% Ratio of net investment income (loss) to average net assets/(e)/ - - Portfolio turnover rate......................................... 6% 2% Number of shares outstanding at end of period (000's)........... 125,003 116,731 Net assets at end of period (000's)............................. $5,373,192 $4,637,628
Value Fund ------------------------------------------------- December 31, 2001* Six Months Ended Year Ended to November 30, 2003/(g)/ May 31, 2003 May 31, 2002 --------------------- ------------ ------------------ PER SHARE DATA Net asset value at beginning of period.......................... $ 8.62 $ 9.69 $ 10.00 --------------------- ------------ ------------------ Income (loss) from investment operations: Net investment income (loss)................................. 0.04/(f)/ 0.07/(f)/ 0.02 Net realized and unrealized gain (loss) on securities and 0.77 (1.05) (0.31) foreign currency related transactions....................... --------------------- ------------ ------------------ Total income (loss) from investment operations............... 0.81 (0.98) (0.29) --------------------- ------------ ------------------ Distributions from: Investment income............................................ (0.02) (0.06) (0.02) Realized gain on securities.................................. - (0.03) - --------------------- ------------ ------------------ Total distributions.......................................... (0.02) (0.09) (0.02) --------------------- ------------ ------------------ Net asset value at end of period................................ $ 9.41 $ 8.62 $ 9.69 --------------------- ------------ ------------------ TOTAL RETURN/(a)(c)/............................................ 9.42% (10.01)% (2.89)% --------------------- ------------ ------------------ RATIOS/SUPPLEMENTAL DATA Ratio of expenses to average net assets/(d)/.................... 1.33%/(b)/ 1.50% 1.46%/(b)/ Ratio of expenses to average net assets/(e)/.................... 1.33%/(b)/ 1.50% 1.46%/(b)/ Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% Ratio of net investment income (loss) to average net assets/(d)/ 1.00%/(b)/ 0.94% 0.52%/(b)/ Ratio of net investment income (loss) to average net assets/(e)/ 1.00%/(b)/ 0.94% - Portfolio turnover rate......................................... 21% 40% 20% Number of shares outstanding at end of period (000's)........... 1,374 1,291 1,121 Net assets at end of period (000's)............................. $12,921 $11,134 $10,855
*Date Fund commenced operations. /(a)/The effect of fees and charges incurred at the separate account level are not reflected in these performance figures. /(b)/Annualized. /(c)/Total return is not annualized. It does include, if any, expense reimbursements and expense reductions. /(d)/Includes, if any, expense reimbursement, but excludes, if any, expense reductions. /(e)/Excludes, if any, expense reimbursements and expense reductions. /(f)/The per share amounts are calculated using the average share method. /(g)/Unaudited. -------------------------------------------------------------------------------- 134 DIRECTOR INFORMATION (Unaudited) November 30, 2003
Term of Office and Name, Birth Date Position Held With Length of Time and Address* VALIC Complex Served (4) Principal Occupations During Past Five Years -------------------------------------------------------------------------------------------------------------------------------- Independent Directors Dr. Judith L. Craven Director 1998- Retired Administrator. Formerly, President, United Way of DOB: October 6, 1945 Present the Texas Gulf Coast, a not for profit organization (1992-1998). -------------------------------------------------------------------------------------------------------------------------------- William F. Devin Director 2001- Member, Board of Governors, Boston Stock Exchange DOB: December 30, 1938 Present (1985-Present). Formerly, Executive Vice President, Fidelity Capital Markets, a division of National Financial Services Corp. (1966-1996). -------------------------------------------------------------------------------------------------------------------------------- Dr. Timothy J. Ebner Director 1998- Professor and Head, Department of Neuroscience, and DOB: July 15, 1949 Present Visscher Chair of Physiology, University of Minnesota (1999-Present). Formerly, Director, Graduate Program in Neuroscience, University of Minnesota (1995-1999); Professor of Neurosurgery, University of Minnesota (1980-1999); Consultant to EMPI Inc. (1994-1995); and Medtronic Inc. (1997-1998). -------------------------------------------------------------------------------------------------------------------------------- Judge Gustavo E. Gonzales, Jr. Director 1998- Municipal Court Judge, Dallas, Texas (1995-Present). DOB: July 27, 1940 Present -------------------------------------------------------------------------------------------------------------------------------- Dr. Norman Hackerman Director 1984- President Emeritus, Rice University, Houston, Texas DOB: March 2, 1912 Present (1985-Present). -------------------------------------------------------------------------------------------------------------------------------- Dr. John Wm. Lancaster Director 1984- Pastor Emeritus and Director of Planned Giving, First DOB: December 15, 1923 Present Presbyterian Church (1997-Present). -------------------------------------------------------------------------------------------------------------------------------- Kenneth J. Lavery Director 2001- Vice President of Massachusetts Capital Resources DOB: December 30, 1949 Present Company (1982-Present). -------------------------------------------------------------------------------------------------------------------------------- Ben H. Love Director 1993- Retired. Formerly Director, Mid-American Waste, Inc., DOB: September 26, 1930 Present (1993-1997); Chief Executive, Boy Scouts of America (1985-1993) -------------------------------------------------------------------------------------------------------------------------------- Dr. John E. Maupin, Jr. Director 1998- President, Meharry Medical College, Nashville, DOB: October 28, 1946 Present Tennessee (1994-Present). --------------------------------------------------------------------------------------------------------------------------------
Number of Funds in Fund Name, Birth Date Complex Overseen by and Address* Director (2) Other Directorships Held by Director (3) ----------------------------------------------------------------------------------------------------------- Independent Directors Dr. Judith L. Craven 75 Director, A.G. Belo Corporation, a media company DOB: October 6, 1945 (1992-Present); Director SYSCO Corporation, a food marketing and distribution company (1996- Present); Director, Luby's, Inc., a restaurant chain (1998-Present); Director, University of Texas Board of Regents (2001-Present). ----------------------------------------------------------------------------------------------------------- William F. Devin 75 None. DOB: December 30, 1938 ----------------------------------------------------------------------------------------------------------- Dr. Timothy J. Ebner 37 None. DOB: July 15, 1949 ----------------------------------------------------------------------------------------------------------- Judge Gustavo E. Gonzales, Jr. 37 None. DOB: July 27, 1940 ----------------------------------------------------------------------------------------------------------- Dr. Norman Hackerman 37 Chairman--Scientific Advisory Board for The DOB: March 2, 1912 Robert A. Welch Foundation (1983-Present). ----------------------------------------------------------------------------------------------------------- Dr. John Wm. Lancaster 37 None. DOB: December 15, 1923 ----------------------------------------------------------------------------------------------------------- Kenneth J. Lavery 37 Director, Board of Overseers, Newton Wellesley DOB: December 30, 1949 Hospital (1996-Present). ----------------------------------------------------------------------------------------------------------- Ben H. Love 37 None. DOB: September 26, 1930 ----------------------------------------------------------------------------------------------------------- Dr. John E. Maupin, Jr. 37 Director, Monarch Dental Corporation DOB: October 28, 1946 (1997-Present); Director, Pinnacle Financial Partners, Inc. (2000-Present). -----------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 135 November 30, 2003 DIRECTOR INFORMATION (Unaudited) - CONTINUED
Term of Office and Name, Birth Date Position Held With Length of Time and Address* VALIC Complex Served (4) Principal Occupations During Past Five Years ----------------------------------------------------------------------------------------------------------------------- Interested Directors Robert P. Condon (1) Director and 2001- President, VALIC (2000-Present); Executive Vice DOB: December 28, 1941 Chairman Present President-Sales and Marketing, American General Retirement Services (1999-Present). Formerly, Executive Vice President, Fidelity Federal Bank (1993-1999). ----------------------------------------------------------------------------------------------------------------------- Paige T. Davis (1) Director 2002- Formerly, Regional Manager, VALIC (1976-2001). DOB: July 4, 1943 Present ----------------------------------------------------------------------------------------------------------------------- Peter A. Harbeck (1) Director 2001- President and Chief Executive Officer, SAAMCo DOB: January 23, 1954 Present (1995-Present); President, AIG SunAmerica Fund Services, Inc. (1988-Present). -----------------------------------------------------------------------------------------------------------------------
Number of Funds in Fund Name, Birth Date Complex Overseen by and Address* Director (2) Other Directorships Held by Director (3) --------------------------------------------------------------------------------------------------- Interested Directors Robert P. Condon (1) 37 None. DOB: December 28, 1941 --------------------------------------------------------------------------------------------------- Paige T. Davis (1) 37 Director, Maryland African American Museum DOB: July 4, 1943 Corporation (1999-Present); Director, Maryland Racing Commission (1996-Present); Director, Morgan State University Foundation, Inc. (1998-Present); Director, Maryland Health and Higher Education Facilities Authority (1987-Present). --------------------------------------------------------------------------------------------------- Peter A. Harbeck (1) 84 Director, AIG Asset Management International, Inc. DOB: January 23, 1954 (2000-Present); Managing Director, John McStay Investment Counsel, L.P. (1999-Present); Director, SunAmerica Capital Services, Inc. (1993-Present); Director, SAAMCo (1995-Present); Director, SunAmerica Fund Services, Inc. (1988-Present). ---------------------------------------------------------------------------------------------------
* The business address for each Director is, 2929 Allen Parkway, Houston, TX, 77019. (1)Interested Director, as defined within the Investment Company Act of 1940 (the "1940 Act"), because of current or former employment by VALIC (Messrs. Condon and Davis) or SAAMCo (Mr. Harbeck), companies affiliated with VALIC. (2)The "Fund Complex" consists of all registered investment company portfolios for which SAAMCo or an affiliated person of SAAMCo serves as investment adviser or business manager. The "Fund Complex" includes the SunAmerica Equity Funds (7 funds), SunAmerica Income Funds (6 funds), SunAmerica Money Market Funds, Inc. (2 funds), SunAmerica Senior Floating Rate Fund, Inc. (1 fund), SunAmerica Strategic Investment Series, Inc. (7 funds), SunAmerica Style Select Series, Inc. (15 portfolios), Anchor Pathway Fund (7 funds), Anchor Series Trust (9 portfolios), Seasons Series Trust (19 portfolios), SunAmerica Series Trust (32 portfolios), VALIC Company I (22 funds), and VALIC Company II (15 funds). (3)Directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e. "public companies") or other investment companies registered under the 1940 Act other than those listed under the preceding column. (4)Directors serve until their successors are duly elected and qualified. Additional Information concerning the Directors is contained in the Statement of Additional Information and is available without charge by calling 1-800-448-2542. -------------------------------------------------------------------------------- 136 VALIC COMPANY I BOARD OF DIRECTORS TRANSFER AND SHAREHOLDER SERVICE AGENT Robert P. Condon The Variable Annuity Judith L. Craven Life Insurance Company (VALIC) Paige T. Davis 2929 Allen Parkway William F. Devin Houston, Texas 77019 Timothy J. Ebner Gustavo E. Gonzales, Jr. OFFICERS Norman Hackerman Robert P. Condon, Peter A. Harbeck Chairman John W. Lancaster Evelyn M. Curran, Kenneth J. Lavery President and Chief Executive Officer Ben H. Love John Packs, John E. Maupin, Jr. Vice President and Senior Investment Officer Gregory R. Kingston, CUSTODIAN Treasurer and Chief Financial Officer State Street Bank and Trust Company Nori L. Gabert, 225 Franklin Street Vice President and Secretary Boston, Massachusetts 02110 Cynthia A. Gibbons, Chief Compliance Officer and Assistant Secretary INVESTMENT ADVISER Robert M. Zakem, The Variable Annuity Vice President and Assistant Secretary Life Insurance Company (VALIC) Donna Handel, 2929 Allen Parkway Vice President and Assistant Treasurer Houston, Texas 77019 Kathryn A. Pearce, Assistant Treasurer INVESTMENT SUB-ADVISERS Donald H. Guire, AIG Global Investment Corp. Assistant Treasurer 175 Water Street New York, New York 10038 AIG SunAmerica Asset Management Corp. Harborside Financial Center 3200 Plaza 5 Jersey City, New Jersey 07311 American Century Investment Management, Inc. 4500 Main Street Kansas City, Missouri 64111 Founders Asset Management, LLC 210 University Boulevard, Suite 800 Denver, Colorado 80206 Putnam Investment Management, LLC One Post Office Square Boston, Massachusetts 02109 T. Rowe Price Associates, Inc. 100 East Pratt Street Baltimore, Maryland 21202 WM Advisors, Inc. 1201 Third Avenue Seattle, Washington 98101 Wellington Management Company, LLP 75 State Street Boston, Massachusetts 02109 INDEPENDENT AUDITORS Ernst & Young LLP 1401 McKinney, Suite 1200 Houston, Texas 77010
This report is for the information of the shareholders and variable contract owners participating in the VALIC Company I. It is authorized for distribution to other persons only when preceded or accompanied by an effective prospectus which contains information on how to purchase shares and other pertinent information. If you would like further information about this material or products issued by VALIC or American General Life Insurance Company, please contact your financial professional. VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to securities held in the Fund's portfolio which is available in the Fund's Statement of Additional Information, may be obtained without charge upon request, by calling (800) 448-2542. This information is also available from the EDGAR database on the SEC's Internet site at http://www.sec.gov. -------------------------------------------------------------------------------- 137 VALIC COMPANY I AIG VALIC ONLINE Account Access Manage your account on the Web through AIG VALIC Online! You must establish a Enjoy quick, easy and secure access -- now or anytime. Go to www.aigvalic.com, and click on "View your account". You'll find these exciting features: Personal Identification . View your current portfolio valuation. . View your account and transaction confirmation statements. Number (PIN) before . View fund performance and unit values. using the automated . View your transaction history. account services. . View information about your financial advisor. . Change your Personal Identification Number (PIN). . Change your address, e-mail and telephone number. . Change your allocation of future contributions. . Transfer money among investment options. Your PIN is valid for . Rebalance account to your desired allocation mix. both AIG VALIC by Phone . Perform loan modeling. . Request forms for a variety of services. . Enroll in the electronic document delivery service. Start exploring AIG VALIC Online today by establishing at 1.800.448.2542 a Personal Identification Number (PIN)! and AIG VALIC Online. To set up a PIN through AIG VALIC Online: . Go to www.aigvalic.com. . Click "View your account". . Click "I am a new user". . For verification, enter your Social Security number, last name and date of birth. . Choose, enter and verify your numeric PIN. . Click "I Agree" to accept AIG VALIC's access agreement (required). . Verify and/or update your address, e-mail and telephone number information. Your PIN setup is complete when the Client Summary screen appears. This PIN is valid for both AIG VALIC by Phone at 1.800.448.2542 and AIG VALIC Online. AIG VALIC by Phone is AIG VALIC's toll-free automated phone line for 24-hour access to your account. -------------------------------------------------------------------------------- PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1765 VALIC Company I P.O. Box 3206 Houston, Texas 77253-3206 VL 4873 VER 11/03 Item 2. Code of Ethics. VALIC Company I has adopted a Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. Item 3. Audit Committee Financial Expert. Currently, VALIC Company I does not have an Audit Committee member who possesses all of the attributes required to be an "audit committee financial expert" as defined in instruction 2(b)of Item 3 of Form N-CSR. However, the Board of Directors believes that each member of the Audit Committee has substantial experience relating to the review of financial statements and the operations of audit committees. Accordingly, the Board believes that the members are qualified to evaluate the Fund's financial statements, supervise the Fund's preparation of its financial statements, and oversee the work of the Fund's independent auditors. Item 4. Principal Accountant Fees and Services. Not applicable Item 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. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers Not applicable Item 9. Controls and Procedures. (a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant's management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant's disclosure controls and procedures. Based on that evaluation, the registrant's management, including the President and Treasurer, concluded that the registrant's disclosure controls and procedures are effective. (b) There was no change in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Registrant's first fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. Item 10. Exhibits. (a) (1) Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.406.Code of Ethics. (b) (1) Certification pursuant to Rule 30a-2 under the Investment Company Act of 1940 (17 CFR 270.30a-2) attached hereto as Exhibit 99.CERT. (2) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT. SIGNATURES 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. VALIC Company I By: /s/ Evelyn M. Curran Evelyn M. Curran President Date: February 6, 2004 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: /s/ Evelyn M. Curran Evelyn M. Curran President Date: February 6, 2004 By: /s/ Gregory R. Kingston Gregory R. Kingston Treasurer Date: February 6, 2004