N-CSRS 1 v02882_cit2-ncsrs.txt ========================== OMB APPROVAL ========================== OMB Number: 3235-0570 Expires: Nov. 30, 2005 Estimated average burden hours per response: 5.0 ========================== UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-4418 ------------------------------- California Investment Trust II -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 44 Montgomery Street, Suite 2100, San Francisco, CA 94104 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (415) 398-2727 -------------- Date of fiscal year end: August 31, 2004 --------------- Date of reporting period: February 29, 2004 ----------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. SEIM-ANNUAL REPORT The Report to Shareholders is attached herewith. [LOGO] BULK RATE CALIFORNIA INVESTMENT TRUST U.S. Postage --------------------------- PAID FUND GROUP Permit #688 Redwood City, 44 Montgomery Street #2100 CA San Francisco, CA 94104 California Tax-Free Income Fund California Insured Intermediate Fund California Tax-Free Money Market Fund U.S. Government Securities Fund Short-Term U.S. Government Bond Fund The United States Treasury Trust S&P 500 Index Fund S&P MidCap Index Fund S&P SmallCap Index Fund Equity Income Fund European Growth & Income Fund Nasdaq-100 Index Fund [LOGO] CALIFORNIA INVESTMENT TRUST --------------------------- FUND GROUP SEMI-ANNUAL REPORT February 29, 2004 (800) 225-8778 www.citfunds.com NO-LOAD FUNDS This report is intended only for the information of shareholders or those who have received the offering prospectus covering shares of beneficial interest of California Investment Trust Fund Group which contains information about the management fee and other costs. Investments in shares of the funds of California Investment Trust Fund Group are neither insured nor guaranteed by the U.S. Government, and there is no assurance that any Fund which is a Money Market Fund will be able to maintain a stable net asset value of $1.00 per share. CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004 MONEY MARKET FUND (UNAUDITED)
Value Security Description Par Value Rate Maturity (Note 1) -------------------- --------- ---- -------- -------- Variable Rate Demand Notes* (82.31%) CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series 2002A $ 2,000,000 0.920% 3/4/2004 $ 2,000,000 Power Supply Revenue Bonds; Series 2002B6 800,000 0.980% 3/1/2004 800,000 Power Supply Revenue Bonds; Series B4 300,000 0.970% 3/1/2004 300,000 Power Supply Revenue Bonds; Series B5 1,000,000 0.970% 3/1/2004 1,000,000 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY California Educational Facilities Authority, Stanford University; Series L-9 1,400,000 0.900% 3/3/2004 1,400,000 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Scripps Hospital; Series B 2,000,000 0.920% 3/3/2004 2,000,000 Sutter Hospital; Series B 375,000 0.950% 3/1/2004 375,000 CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY ExxonMobil; Series 2000 200,000 0.830% 3/1/2004 200,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY John Muir/Mt. Diablo Health System 670,000 0.920% 3/1/2004 670,000 Gemological Institute of America; Special Tax; Series 2001 2,300,000 0.930% 3/4/2004 2,300,000 Sutter Health Variable Rate Bonds 3,200,000 0.980% 3/1/2004 3,200,000 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 0.930% 3/4/2004 2,000,000 CHINO BASIN REGIONAL FINANCING AUTHORITY Inland Empire Utilities Agency; Series 2002A 3,000,000 0.890% 3/3/2004 3,000,000 IRVINE RANCH WATER DISTRICT Certificates of Participation, 1986 Capital Improvement Projects 1,300,000 0.970% 3/1/2004 1,300,000 General Obligation; Consolidated Series 1989 300,000 0.920% 3/1/2004 300,000 General Obligation; Consolidated Series 1993 600,000 0.980% 3/1/2004 600,000 Sewer Bonds; Series A 1,300,000 0.970% 3/1/2004 1,300,000 Special Assessment, Consolidated; Series 1985 500,000 0.980% 3/1/2004 500,000 Waterworks Bonds; 1988 Series A, District 182 1,300,000 0.970% 3/1/2004 1,300,000 IRVINE, CITY OF Assessment District 00-18; Series A 2,550,000 0.980% 3/1/2004 2,550,000 Assessment District 93-14 400,000 0.970% 3/1/2004 400,000 Assessment District 94-13 1,129,000 0.980% 3/1/2004 1,129,000 KERN, COUNTY OF Certificates of Participation; 1986 Series C 1,400,000 0.920% 3/3/2004 1,400,000 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sale Tax Revenue Refunding Bonds; Series 1993-A 2,500,000 0.920% 3/4/2004 2,500,000 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1992; Series A 3,000,000 0.890% 3/3/2004 3,000,000 LOS ANGELES DEPARTMENT OF WATER AND POWER Power System Revenue Bonds; Series A-3 2,500,000 0.930% 3/4/2004 2,500,000 Water System Revenue Bonds; 2001 Series B-2 1,100,000 0.980% 3/1/2004 1,100,000 LOS ANGELES, COUNTY OF Pension Obligation Refunding Bonds 3,000,000 0.890% 3/3/2004 3,000,000 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water Revenue Bonds; Series 2000 B-3 100,000 0.970% 3/1/2004 100,000 Water Revenue Bonds; Series 2001 C-2 500,000 0.950% 3/1/2004 500,000 Water Revenue Refunding Bonds; 1996 Series A 2,700,000 0.950% 3/4/2004 2,700,000 NEWPORT BEACH, CITY OF Hoag Memorial Hospital Presbyterian; Series 1992 2,570,000 0.950% 3/1/2004 2,570,000 Hoag Memorial Hospital Presbyterian; Series 1996 Series A 500,000 1.000% 3/1/2004 500,000 Hoag Memorial Hospital Presbyterian; Series C 300,000 1.000% 3/1/2004 300,000 NORTHERN CALIFORNIA POWER AGENCY Hydroelectric Project No. 1, Revenue Bonds 2,200,000 0.890% 3/3/2004 2,200,000 ORANGE COUNTY HOUSING AUTHORITY Revenue Bonds, Village Niguel, Issue AA of 1985 2,900,000 0.900% 3/3/2004 2,900,000 ORANGE COUNTY SANITATION DISTRICT Certificates of Participation; Series 2000-A 1,000,000 0.980% 3/1/2004 1,000,000 Refunding Certificates of Participation; Series 1993 1,950,000 0.980% 3/1/2004 1,950,000
1 CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004 MONEY MARKET FUND CONTINUED (UNAUDITED)
Value Security Description Par Value Rate Maturity (Note 1) -------------------- --------- ---- -------- -------- ORANGE, COUNTY OF Revenue Bonds, Niguel Summit II, Issue U of 1985 $ 1,900,000 0.900% 03/02/04 $ 1,900,000 RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY Eisenhower Medical Center; Series 2001A 700,000 0.920% 03/01/04 700,000 Eisenhower Medical Center; Series 2001B 1,155,000 0.920% 03/01/04 1,155,000 RIVERSIDE, CITY OF First Nationwide Savings Program, 1985 Issue G 2,500,000 0.920% 03/03/04 2,500,000 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 3,000,000 0.920% 03/03/04 3,000,000 SAN BERNARDINO, COUNTY OF Medical Center Financing Project; Series 1998 1,000,000 0.920% 03/03/04 1,000,000 SAN FRANCISCO CITY & COUNTY FINANCE CORP Moscone Center Expansion Project; Series 2000-3 3,000,000 0.870% 03/04/04 3,000,000 SANTA ANA HOUSING AUTHORITY Harbor Pointe Apartments; 1995 Series A 2,720,000 0.900% 03/04/04 2,720,000 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Palo Verde Project; 1996 Series C 2,000,000 0.890% 03/03/04 2,000,000 TUSTIN, CITY OF Reassessment District No. 95-2; Series A 800,000 0.980% 03/01/04 800,000 WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY Variable Rate Revenue Bonds, 1996 1,000,000 0.980% 03/01/04 1,000,000 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 3,000,000 0.920% 03/04/04 3,000,000 ------------ Total Variable Rate Demand Notes (Cost $79,619,000) 79,619,000 ------------ Tax and Revenue Anticipation Notes (7.26%) Los Angeles Unified School District 2,000,000 2.000% 07/01/04 2,007,066 San Diego Unified School District 3,000,000 2.000% 06/30/04 3,010,910 San Diego, County of 1,000,000 1.750% 06/30/04 1,002,785 Santa Barbara, County of 1,000,000 2.000% 07/23/04 1,004,684 ------------ Total Tax and Revenue Anticipation Notes (Cost $7,025,445) 7,025,445 ------------ Commercial Paper (10.34%) CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Carnegie Institution; 1993 Series A & B 2,500,000 1.030% 03/11/04 2,500,000 EAST BAY MUNICIPAL UTILITY DISTRICT Water System Series Commercial Paper 3,000,000 0.920% 04/06/04 3,000,000 SAN DIEGO REGIONAL TRANSPORTATION COMMISSION Sales Tax Revenue Commercial Paper 2,500,000 1.000% 04/08/04 2,500,000 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Commercial Paper Notes; Series A 2,000,000 0.950% 06/09/04 2,000,000 ------------ Total Commercial Paper (Cost $10,000,000) 10,000,000 ------------ Total Investments (Cost $96,644,445) (a) (99.91%) 96,644,445 Other Net Assets (0.09%) 84,102 ------------ Net Assets(100.00%) $ 96,728,547 ============
(a) Aggregate cost for federal income tax purposes is $96,644,445. *Stated maturity reflects next reset date. See accompanying notes to financial statements 2 CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/29/2004 INTERMEDIATE FUND (UNAUDITED)
Value Security Description Par Value Rate Maturity (Note 1) -------------------- --------- ---- -------- -------- Long-Term Securities (91.67%) ANAHEIM PUBLIC FINANCING AUTHORITY Convention Center Project; Series A $ 500,000 5.250% 08/01/13 $ 573,760 BEVERLY HILL PUBLIC FINANCING AUTHORITY Lease Revenue Refunding; Series A 500,000 5.250% 06/01/13 582,090 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY University of San Francisco Revenue Bonds; Series 1996 500,000 5.600% 10/01/10 592,345 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison--Lassen County; 2001 Series A 400,000 5.250% 06/01/11 462,008 Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.250% 06/01/12 574,770 CALIFORNIA, STATE OF General Obligation Bonds; Refunding Notes; Series 2000 600,000 5.750% 12/01/10 714,702 CAMPBELL UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series 2000 425,000 5.250% 08/01/09 491,678 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 300,000 7.250% 08/01/09 375,882 Water System Improvement Projects; Series 2001A 500,000 6.000% 08/01/12 600,355 CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY General Obligation Refi. Bonds; Series A 400,000 6.150% 02/01/09 473,624 CHAFFEY UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series C 500,000 5.000% 05/01/12 573,075 CHICO PUBLIC FINANCING AUTHORITY 2001 Tax Allocation, Merged Redevelopment Project Area 500,000 4.000% 04/01/05 516,115 CHICO UNIFIED SCHOOL DISTRICT General Obligation Refunding Bonds 400,000 8.500% 08/01/07 489,636 CONTRA COSTA WATER DISTRICT Water Revenue Refunding Bonds; Series K 400,000 5.000% 10/01/09 458,416 DESERT SANDS UNIFIED SCHOOL DISTRICT Certificates of Participation; Series 1995 500,000 5.300% 03/01/07 531,545 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 550,000 5.250% 07/01/12 629,376 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 2002 500,000 5.500% 08/01/12 592,750 FRESNO, CITY OF Water System Revenue Refuding; Series A 500,000 6.000% 06/01/11 606,310 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 600,000 5.200% 11/01/09 694,866 INTERMODAL CONTAINER TRANSFER FACILITIES JOINT POWERS AUTHORITY Refunding Revenue Bonds; 1999 Series A 490,000 5.125% 11/01/13 568,082 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Bonds; Series A 500,000 5.500% 07/01/08 574,255 LOS ANGELES DEPARTMENT OF WATER AND POWER Power Project Revenue Bond; 2001 Series A 500,000 5.250% 07/01/14 569,315 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 400,000 6.000% 07/01/07 456,520 LOS ANGELES, CITY OF Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.000% 02/01/08 559,800 LOS ANGELES, COUNTY OF Pension Obligation Certificates; Series A 400,000 6.900% 06/30/08 481,824 MONTEREY, COUNTY OF Certificates of Participation 600,000 5.250% 08/01/14 683,742 NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT General Obligation Bonds; 2002 Series A 500,000 5.000% 08/01/12 574,650 NORWALK COMMUNITY FACILITIES FINANCING AUTHORITY City Hall Lease Revenue Refunding Bonds; 1999 200,000 5.000% 02/01/09 226,544
3 CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/29/2004 INTERMEDIATE FUND CONTINUED (UNAUDITED)
Value Security Description Par Value Rate Maturity (Note 1) -------------------- --------- ---- -------- -------- OAK PARK UNIFIED SCHOOL DISTRICT General Obligation, Refunding Bonds $ 600,000 5.150% 05/01/07 $ 669,228 OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 500,000 5.500% 10/01/12 593,235 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.500% 02/15/07 557,125 PASADENA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series B 400,000 5.000% 07/01/07 444,108 RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY Eisenhower Medical Center; Series 1997A 385,000 5.250% 07/01/12 429,941 SACRAMENTO REDEVELOPMENT AGENCY Downtown Sacramento Project; Series 1998C 500,000 4.750% 11/01/08 561,405 SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY Sewer Revenue Refunding Bonds; Series A 500,000 5.100% 05/15/10 552,895 SAN FRANCISCO AIRPORT COMMISSION SF Intl. Airport Revenue Second; Series B 450,000 5.500% 05/01/09 508,487 SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION Water Revenue Refunding Bonds; Series B 500,000 5.000% 11/01/13 567,015 SAN FRANCISCO CITY & COUNTY REDEVELOPMENT FINANCING AUTHORITY Redevelopment Project; Series B 560,000 5.250% 08/01/14 641,978 SAN FRANCISCO STATE BUILDING AUTHORITY Civic Center Complex; 1996 Series A 400,000 6.000% 12/01/09 480,132 SAN JOSE FINANCING AUTHORITY Lease Revenue Bonds; Series 2001F 480,000 4.500% 09/01/09 537,005 SAN MATEO COUNTY JOINT POWERS FINANCING AUTHORITY Lease Revenue Bonds; Series A 510,000 4.000% 07/15/10 556,028 SAN MATEO COUNTY TRANSIT DISTRICT Limited Tax Bonds; 1993 Series A 300,000 5.000% 06/01/11 344,802 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Bonds; 2000 Series A 400,000 5.500% 05/15/10 469,460 SANTA ROSA HIGH SCHOOL DISTRICT General Obligation Bonds; Series 2001 390,000 4.625% 05/01/08 433,044 SARATOGA UNION SCHOOL DISTRICT 1997 General Obligation Bonds; Series A 600,000 4.900% 09/01/09 681,306 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 500,000 5.500% 01/01/13 586,270 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Hospital Revenue Bonds; Series 2000 500,000 4.375% 12/01/09 555,664 Multiple Purpose Projects; Series O 500,000 5.750% 09/01/10 597,315 ------------ Total Long-Term Securities (Cost $24,270,102) 25,994,478 ------------ Variable Rate Demand Notes* (7.42%) CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series B4 200,000 0.970% 03/02/04 200,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY John Muir/Mt. Diablo Health System 240,000 0.920% 03/01/04 240,000 IRVINE RANCH WATER DISTRICT General Obligation; Consolidated Series 1989 175,000 0.920% 03/01/04 175,000 Sewer Bonds; Series A 600,000 0.970% 03/01/04 600,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian; Series 1992 240,000 0.950% 03/01/04 240,000 ORANGE COUNTY SANITATION DISTRICT Certificates of Participation; Series 2000 100,000 0.980% 03/01/04 100,000 RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY Eisenhower Medical Center; Series 2001B 250,000 0.920% 03/01/04 250,000
4 CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/29/2004 INTERMEDIATE FUND CONTINUED (UNAUDITED)
Value Security Description Par Value Rate Maturity (Note 1) -------------------- --------- ---- -------- -------- WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY Variable Rate Revenue Bonds, 1996 $ 300,000 0.980% 03/01/04 $ 300,000 ------------ Total Variable Rate Demand Notes (Cost $2,105,000) 2,105,000 ------------ Total Investments (Cost $26,375,102) (a) (99.09%) 28,099,478 Other Net Assets (0.91%) 258,786 ------------ Net Assets (100.00%) $ 28,358,264 ============ (a) Aggregate cost for federal income tax purposes is $26,375,102. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 1,724,376 Unrealized depreciation -- ------------ Net unrealized appreciation $ 1,724,376 ============
*Stated maturity reflects next reset date. See accompanying notes to financial statements CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004 INCOME FUND (UNAUDITED)
Value Security Description Par Value Rate Maturity (Note 1) -------------------- --------- ---- -------- -------- Long-Term Securities (91.08%) ANAHEIM PUBLIC FINANCING AUTHORITY Public Improvement Project; Series C $ 2,250,000 6.000% 09/01/12 $ 2,742,930 BEVERLY HILL PUBLIC FINANCING AUTHORITY Lease Revenue Refunding; Series A 2,000,000 5.250% 06/01/13 2,328,360 CALIFORNIA DEPARTMENT OF WATER RESOURCES Water System Revenue Bonds, Central Valley J-1; Prerefunded 625,000 7.000% 12/01/11 817,013 Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.000% 12/01/11 2,182,397 Water System Revenue Bonds, Central Valley J-3; Prerefunded 765,000 7.000% 12/01/11 1,000,023 Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.000% 12/01/11 2,665,229 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.250% 01/01/17 2,787,375 Stanford University Revenue Bonds; Series P 3,000,000 5.250% 12/01/13 3,545,640 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK Asian Art Museum of San Francisco; Series 2000 2,565,000 5.500% 06/01/13 2,978,222 CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY San Diego Gas & Electric; 1996 Series A 3,000,000 5.900% 06/01/14 3,245,460 CALIFORNIA POLYTECHNIC STATE UNIVERSITY Student Union Revenue Bonds; Series C 2,390,000 5.625% 07/01/26 2,682,942 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison--Imperial County; 1991 Series A 4,000,000 6.500% 09/01/17 4,794,280 University of California Projects; 1993 Series A 5,000,000 5.500% 06/01/14 5,811,700 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY UniHealth America; Certificates of Participation; 1993 Series A 1,005,000 5.500% 10/01/14 1,185,739 CALIFORNIA, STATE OF General Obligation Bonds 3,000,000 6.250% 09/01/12 3,558,450 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 2,090,000 7.250% 08/01/09 2,618,645 CONTRA COSTA WATER DISTRICT Water Revenue Bonds; Series E 2,000,000 6.250% 10/01/12 2,420,100 CUCAMONGA COUNTY WATER DISTRICT Water Facilities and Refinancing, 2001 1,080,000 5.000% 09/01/16 1,184,749 CULVER CITY REDEVELOPMENT FINANCE AUTHORITY Tax Allocation Refunding Revenue Bonds, 1993 3,150,000 5.500% 11/01/14 3,706,637 EAST BAY MUNICIPAL UTILITY DISTRICT Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/14 2,275,380 Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/13 2,291,400 FRESNO, CITY OF Sewer System Revenue Bonds; 1993 Series A 3,000,000 5.250% 09/01/19 3,475,620
5 CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004 INCOME FUND (UNAUDITED)
Value Security Description Par Value Rate Maturity (Note 1) -------------------- --------- ---- -------- -------- GLENDALE UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series A $ 1,000,000 5.750% 09/01/17 $ 1,141,980 GOLDEN WEST SCHOOLS FINANCING AUTHORITY Refunding Revenue Bonds; 1998 Series A 1,090,000 6.600% 08/01/16 1,357,388 KERN HIGH SCHOOL DISTRICT General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.600% 08/01/16 3,149,395 LA QUINTA REDEVELOPMENT AGENCY Redevelopment Project Area No.2; Series 1994 1,015,000 7.300% 09/01/09 1,275,561 LOS ANGELES COMMUNITY COLLEGE DISTRICT General Obligation Bonds; Series A 1,000,000 5.500% 08/01/15 1,143,140 LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY Lease Revenue Bonds; 1993 Series A 2,500,000 6.000% 08/15/10 3,016,125 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Refunding Bonds; Series 2001-B 3,000,000 5.250% 07/01/13 3,439,680 LOS ANGELES COUNTY PUBLIC WORKS FINANCING AUTHORITY Regional Park and Open Space District; Series A 1,500,000 5.000% 10/01/13 1,662,075 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.500% 07/01/10 4,351,828 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 2,450,000 6.000% 07/01/14 3,025,603 LOS ANGELES, CITY OF Wastewater System Revenue Bonds; Series 1998-C 3,000,000 5.375% 06/01/12 3,516,090 M-S-R PUBLIC POWER AGENCY SAN JUAN PROJECT REVENUE San Juan Project Refunding Revenue Bonds; Series F 1,500,000 6.125% 07/01/13 1,826,820 NORTHERN CALIFORNIA TRANSMISSION REVENUE CA-Oregon Transmission Project; 1990 Series A 1,000,000 7.000% 05/01/13 1,273,250 CA-Oregon Transmission Project; 1993 Series A 2,500,000 5.300% 05/01/09 2,880,525 OAKLAND REDEVELOPMENT AGENCY Central District Redevelopment Project; Series 1992 2,000,000 5.500% 02/01/14 2,362,800 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY General Obligation Bonds; 1998 Series A 1,050,000 5.500% 02/15/11 1,234,905 OXNARD SCHOOL DISTRICT General Obligation Refunding Bonds; 1997 1,485,000 5.625% 08/01/14 1,784,584 RIVERSIDE COUNTY TRANSPORTATION COMMISSION Revenue Bonds; 1993 Series A 2,000,000 5.750% 06/01/09 2,350,520 Revenue Bonds; 1993 Series A 1,000,000 5.750% 06/01/07 1,130,170 RIVERSIDE, CITY OF Sewer Refunding Revenue Bonds; Series 1993 2,000,000 5.000% 08/01/12 2,295,400 SACRAMENTO COUNTY SANITATION DISTRICT Revenue Bonds, Refunding; Series 2001 1,800,000 5.500% 12/01/21 2,133,216 SACRAMENTO MUNICIPAL UTILITY DISTRICT Refunding Revenue Bonds; Series A 4,000,000 6.250% 08/15/10 4,792,560 SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH. Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.000% 09/01/16 1,949,472 SAN BERNARDINO, COUNTY OF Justice Center / Airport Improvements; Series 2002A 2,890,000 5.000% 07/01/16 3,277,896 SAN DIEGO, COUNTY OF 2001 MTS Tower Refunding Bonds 1,000,000 5.250% 11/01/14 1,142,290 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.750% 07/01/11 3,724,169 SAN JOSE REDEVELOPMENT AGENCY Merged Area Redevelopment Project; Series 1993 4,000,000 6.000% 08/01/10 4,814,080 SAN MARINO UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1998 Series B 1,440,000 5.250% 07/01/16 1,675,051 SANTA ANA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series 2000 2,500,000 5.700% 08/01/22 2,843,850 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.000% 11/15/12 2,451,080 Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.750% 11/15/13 2,117,290
6 CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004 INCOME FUND (UNAUDITED)
Value Security Description Par Value Rate Maturity (Note 1) -------------------- --------- ---- -------- -------- SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds $ 4,000,000 7.000% 07/01/10 $ 4,818,560 SANTA MARGARITA-DANA POINT AUTHORITY Improvement District; 1994 Series A 1,045,000 7.250% 08/01/10 1,330,264 SONOMA, COUNTY OF Certificates of Participation; 2002 Series A 1,815,000 5.000% 11/15/12 2,089,283 SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT Installment Sale Revenue Bonds; Series 1992 2,400,000 6.000% 08/01/11 2,915,184 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 3,585,000 6.750% 07/01/13 4,500,070 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Revenue Refunding Bonds; Series A 1,000,000 5.000% 05/15/08 1,126,140 UC San Diego Medical Center; Revenue Refunding Bonds; Series 2000 2,500,000 5.125% 12/01/16 2,747,250 TURLOCK IRRIGATION DISTRICT Revenue Refunding Bonds; Series A 2,000,000 6.250% 01/01/12 2,405,080 WESTLANDS WATER DISTRICT Revenue Certificates of Participation; Series 2002A 1,500,000 5.250% 09/01/19 1,671,254 ------------ Total Long-Term Securities (Cost $137,198,523) 159,040,169 ------------ Variable Rate Demand Notes* (8.19%) CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series B5 300,000 0.970% 03/01/04 300,000 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Sutter Hospital; Series B 1,000,000 0.950% 03/01/04 1,000,000 CALIFORNIA POLLUTION CFINANCING AUTHORITY ExxonMobil; Series 2000 2,000,000 0.830% 03/01/04 2,000,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY John Muir/Mt. Diablo Health System 865,000 0.920% 03/01/04 865,000 IRVINE RANCH WATER DISTRICT General Obligation; Consolidated Series 1989 375,000 0.920% 03/01/04 375,000 Revenue Bonds; Consolidated; Series 1985 2,195,000 0.980% 03/01/04 2,195,000 IRVINE, CITY OF Assessment District 87-8 1,000,000 0.980% 03/01/04 1,000,000 Assessment District 97-16 700,000 0.980% 03/01/04 700,000 LOS ANGELES DEPARTMENT OF WATER AND POWER Water System Revenue Bonds; 2001 Series B-2 1,300,000 0.980% 03/01/04 1,300,000 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water Revenue Bonds, Series 2000 B-1 500,000 0.980% 03/01/04 500,000 Water Revenue Bonds; Series 2000 B-3 900,000 0.970% 03/01/04 900,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian; Series 1992 2,570,000 0.950% 03/01/04 2,570,000 ORANGE COUNTY SANITATION DISTRICT Certificates of Participation; Series 2000-A 100,000 0.980% 03/01/04 100,000 Certificates of Participation; Series 2000-A 500,000 0.980% 03/01/04 500,000 ------------ Total Variable Rate Demand Notes (Cost $14,305,000) 14,305,000 ------------ Total Investments (Cost $151,503,523) (a) (99.27%) 173,345,169 Other Net Assets (0.73%) 1,270,955 ------------ Net Assets(100.00%) $174,616,124 ============ (a) Aggregate cost for federal income tax purposes is $151,503,523. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 21,846,995 Unrealized depreciation (5,349) ------------ Net unrealized appreciation $ 21,841,646 ============
*Stated maturity reflects next reset date. See accompanying notes to financial statements 7 U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 2/29/2004 SECURITIES FUND (UNAUDITED) Par Value Rate Maturity Value (Note 1) --------- ---- -------- -------------- Government National Mortgage Association (61.42%) $ 264,592 6.000% 04/15/14 $ 281,033 380,199 6.000% 04/15/14 403,823 375,833 6.000% 04/15/16 398,752 396,770 6.500% 04/15/16 424,585 440,458 6.000% 05/15/16 467,317 1,052,522 5.000% 04/15/18 1,087,180 916,073 5.000% 04/15/18 946,237 2,058,746 5.500% 08/15/18 2,159,511 1,888,963 5.000% 09/15/18 1,951,164 10,861 10.000% 09/15/18 12,248 33,325 9.000% 10/15/18 37,221 2,000,003 5.000% 01/15/19 2,065,606 2,000,003 5.000% 01/15/19 2,065,606 2,000,000 5.000% 02/15/19 2,065,603 2,227,437 5.500% 02/15/19 2,336,265 2,000,000 5.000% 02/15/19 2,065,603 ------------ Total Government National Mortgage Association (Cost $18,668,128) 18,767,754 ------------ United States Treasury Bill (2.28%) 700,000 0.970% 06/24/04 697,952 ------------ Total United States Treasury Bills (Cost $697,952) 697,952 ------------ United States Treasury Bonds (14.27%) 1,300,000 7.250% 05/15/16 1,659,735 2,000,000 7.625% 11/15/22 2,699,218 ------------ Total United States Treasury Bonds ($4,185,076) 4,358,953 ------------ United States Treasury Notes (21.26%) 2,000,000 6.500% 05/15/05 2,125,782 2,000,000 6.500% 08/15/05 2,148,594 2,000,000 6.875% 05/15/06 2,220,860 ------------ Total United States Treasury Notes ($6,472,247) 6,495,236 ------------ Total Investments (Cost $30,023,403) (a) (99.23%) 30,319,895 Other Net Assets (0.77%) 233,977 ------------ Net Assets (100.00%) $ 30,553,872 ============ (a) Aggregate cost for federal income tax purposes is $30,023,403. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 312,773 Unrealized depreciation (16,281) ------------ Net unrealized appreciation $ 296,492 ============ See accompanying notes to financial statements 8 THE UNITED STATES PORTFOLIO OF INVESTMENTS 2/29/2004 TREASURY TRUST (UNAUDITED) Par Value Rate Maturity Value (Note 1) --------- ---- -------- -------------- United States Treasury Bill (100.08%) $ 1,200,000 0.920% 03/04/04 $ 1,199,913 1,000,000 0.905% 03/11/04 999,756 3,600,000 0.800% 03/25/04 3,597,756 5,000,000 0.980% 04/08/04 4,995,197 4,100,000 0.950% 04/22/04 4,094,433 4,000,000 0.810% 05/06/04 3,993,253 5,100,000 0.880% 05/13/04 5,091,017 6,450,000 0.940% 05/20/04 6,436,785 2,700,000 0.970% 06/24/04 2,691,925 4,800,000 0.945% 07/01/04 4,784,633 3,000,000 0.945% 07/29/04 2,988,146 ------------ Total Investments (Cost $40,872,814) (a) (100.08%) 40,872,814 Other Liabilities (-0.08%) (30,910) ------------ Net Assets (100.00%) $ 40,841,904 ============ (a) Aggregate cost for federal income tax purposes is $40,872,814. See accompanying notes to financial statements SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 2/29/2004 GOVERNMENT BOND FUND (UNAUDITED) Par Value Rate Maturity Value (Note 1) --------- ---- -------- -------------- United States Treasury Bills (6.64%) $ 200,000 0.950% 07/08/04 $ 199,334 1,000,000 0.957% 07/15/04 996,385 ------------ Total United States Treasury Bills (Cost $1,195,719) 1,195,719 ------------ United States Treasury Notes (92.06%) 2,000,000 6.000% 08/15/04 2,045,469 1,600,000 7.500% 02/15/05 1,696,563 2,000,000 6.750% 05/15/05 2,131,718 2,000,000 6.500% 05/15/05 2,125,782 1,900,000 6.500% 08/15/05 2,041,164 2,000,000 5.750% 11/15/05 2,143,516 2,000,000 5.625% 02/15/06 2,155,233 2,000,000 6.500% 10/15/06 2,230,860 ------------ Total United States Treasury Notes (Cost $16,481,520) 16,570,305 ------------ Total Investments (Cost $17,677,239) (a) (98.70%) 17,766,024 Other Net Assets (1.30%) 233,749 ------------ Net Assets (100.00%) $ 17,999,773 ============ (a) Aggregate cost for federal income tax purposes is $17,677,239. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 90,363 Unrealized depreciation (1,578) ------------ Net unrealized appreciation $ 88,785 ============ See accompanying notes to financial statements 9 S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Common Stock (98.16%) Banking & Financial Service (20.69%) ACE Ltd. 2,936 $ 132,003 Aetna Inc. 1,606 129,749 Aflac Inc. 5,408 219,619 Allstate Corp. 7,426 338,848 AMBAC Financial Group 1,127 88,131 American Express Company 13,592 726,085 American International Group 27,554 2,038,996 Amsouth Bancorporation 3,692 93,408 Anthem Inc.* 1,460 125,487 AON Corp. 3,324 87,189 Apartment Investment & Management Co. 995 32,238 Bank of America Corp. 15,688 1,285,161 Bank of New York Co Inc. 8,187 270,171 Bank One Corp. 11,800 636,964 BB&T Corporation 5,786 214,950 Bear Stearns Companies Inc. 1,041 91,441 Capital One Financial Corp. 2,444 172,840 Charter One Financial Inc. 2,347 85,008 Chubb Corp. 1,978 140,398 Cigna Corp. 1,481 82,092 Cincinnati Financial Corp. 1,684 75,847 Citigroup Inc. 54,501 2,739,220 Comerica Inc. 1,859 106,967 Countrywide Credit Ind Inc. 1,942 177,945 Equity Office Properties Trust 4,235 120,867 Equity Residential Properties Trust 2,884 85,799 Fannie Mae 10,267 768,998 Fifth Third Bancorp 6,014 336,904 First Tennesse Ntl., Corp. 1,338 61,869 Fleet Boston Financial Corp. 11,145 501,859 Franklin Resources Inc. 2,642 149,273 Freddie Mac 7,352 455,236 Golden West Financial Corp. 1,606 185,365 Goldman Sachs Group Inc. 5,004 529,773 Hartford Financial Services 2,990 195,845 Huntington Bancshares 2,430 56,206 Jefferson-Pilot Corp. 1,496 79,946 John Hancock Financial Svcs. 3,047 128,401 JP Morgan Chase & Co. 21,559 884,350 Keycorp 4,426 143,491 Lehman Brothers Holdings Inc. 2,863 248,251 Lincoln National Corp. 1,880 87,288 Marsh & McLennan Cos. 5,599 268,696 Marshall and Isley Corp. 2,399 95,048 MBIA Inc. 1,523 100,198 MBNA Corp. 13,485 368,545 Mellon Financial Corp. 4,530 146,681 Merrill Lynch & Co. 9,981 610,937 Metlife Inc. 8,024 282,044 MGIC Investment Corp. 1,044 69,092 Morgan Stanley Dean Witter & Company 11,430 683,057 National City Corp. 6,426 229,408 North Fork Bancorp 1,595 67,357 Northern Trust Corp. 2,322 115,287 Pinnacle West Capital Corp. 969 37,878 PNC Financial Services Group 2,926 171,522 Principal Financial Group 3,420 123,804 Progressive Corp-Ohio 2,281 188,547 Providian Financial Corp.* 3,062 39,592 Prudential Financial Inc. 5,729 265,768 Regions Financial Corp. 2,350 86,715 Safeco Corp. 1,465 65,925 Schwab (Charles) Corp. 14,328 175,375 SLM Corp 4,766 199,648 SouthTrust Corp. 3,518 118,205 St. Paul Companies 2,419 103,388 Starwood Hotels & Resorts Worldwide Inc. 2,146 83,715 State Street Corp. 3,527 189,506 Suntrust Banks Inc. 2,974 215,050 Synovus Financial Corp. 3,206 80,310 T Rowe Price Group Inc. 1,313 69,051 Torchmark Corp. 1,198 62,440 Travelers Property Casualty Corp. 10,617 193,654 U.S. Bancorp 20,373 581,242 Union Planters Corp. 2,007 60,170 UnumProvident Corp. 3,140 46,535 Wachovia Corp. 13,982 670,717 Washington Mutual Inc. 9,500 426,930 Wells Fargo & Company 17,868 1,024,730 XL Capital Ltd. 1,449 111,080 Zions Bancorporation 953 55,531 ------------ Total Banking & Financial Service 23,593,856 ------------ Capital Good (5.85%) 3M Co. 8,286 646,474 Allied Waste Industries Inc.* 3,371 42,576 Caterpillar Inc. 3,674 278,306 Cooper Industries Ltd. 1,003 53,069 Cummins Engine 447 22,082 Danaher Corp. 1,630 146,097 Deere & Co. 2,526 162,245 Dover Corp. 2,142 83,945 Eagle Materials Inc. 29 1,692 Eagle Materials Inc.* 98 5,513 Emerson Electric Co. 4,440 277,411 Fluor Corp. 874 36,035 General Electric Company 106,053 3,448,844 Grainger (W.W.) Inc. 962 45,455 Illinois Tool Works 3,260 259,235 Ingersoll-Rand Co. 1,826 121,392 Johnson Controls Inc. 1,912 111,508 Molex Inc. 2,016 63,867 Pall Corporation 1,325 34,675 Parker Hannifin Corp. 1,273 71,504 Power-One Inc.* 892 10,936 Teradyne Inc.* 2,030 50,040 Thermo Electron Corp.* 1,702 47,775 Tyco International Ltd. 21,122 603,456 Vulcan Materials Co. 1,068 50,516 ------------ Total Capital Good 6,674,648 ------------ Consumer Cyclical (7.50%) American Greetings* 723 16,390 Autozone Inc.* 946 84,856 Bed Bath & Beyond Inc.* 3,135 128,159 Best Buy Co. Inc. 3,427 182,488 Big Lots Inc* 1,254 18,058 Black & Decker Corporation 825 42,521 Circuit City Stores-Circuit 2,205 24,652 Cooper Tire & Rubber 779 15,541 Costco Wholesale Corp.* 4,842 188,499 Dana Corp. 1,595 34,117 Delphi Automotive Systems 5,987 61,067 Dillards Inc. 852 14,995 Dollar General Corp. 3,556 77,841 Eaton Corp. 1,600 93,664 Family Dollar Stores 1,806 68,700 Federated Department Stores 1,916 100,341 Ford Motor Company 19,336 265,870 Gap Inc. 9,475 197,080 General Motors Corp. 5,914 284,582 Genuine Parts Co. 1,839 63,868 Goodrich (B.F.) Co. 1,231 36,302 Goodyear Tire & Rubber Co.* 1,878 15,813 Hasbro Inc. 1,849 40,438 Home Depot Inc. 24,037 872,783 ITT Industries Inc. 974 73,537 Kohls Corp.* 3,601 185,452 Limited Inc. 5,474 108,112 Liz Claiborne Inc. 1,176 43,394 Lowe's Companies 8,299 464,744 Marriott International Inc. 2,441 108,942 10 S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Masco Corp. 4,879 $ 136,807 Mattel Inc. 4,554 86,526 May Department Stores Co. 3,039 107,034 Maytag Corp. 844 23,826 Newell Rubbermaid Inc. 2,876 73,597 Nike Inc. 2,773 203,122 Nordstrom Inc. 1,443 56,479 Paccar Inc. 1,857 102,896 Penney (J.C.) Co. 2,882 88,967 RadioShack Corporation 1,717 59,340 Reebok International Ltd. 619 24,642 Sears, Roebuck And Co. 2,669 125,470 Snap-On Inc. 609 19,488 Stanley Works 870 33,695 Target Corporation 9,620 422,895 Tiffany & Co. 1,541 64,799 TJX Companies Inc. 5,328 125,474 Toys R US Inc.* 2,252 35,356 V.F. Corporation 1,136 51,040 Visteon Corp. 1,369 13,827 Wal-Mart Stores Inc. 45,704 2,722,130 Whirlpool Corp. 742 54,121 ------------ Total Consumer Cyclical 8,544,337 ------------ Consumer Non-Durable (25.13%) Abbott Laboratories 16,506 706,457 Alberto-Culver Co. 954 39,190 Albertson's Inc. 3,898 96,437 Allergan Inc. 1,379 120,718 Altria Group Inc. 21,463 1,235,196 AmerisourceBergen Corp. 1,178 68,359 Anheuser-Busch Companies Inc. 8,596 457,479 Archer-Daniels-Midland Co. 6,810 117,132 Autodesk Inc. 1,194 34,208 Avery Dennison Corp. 1,191 75,474 Avon Products 2,498 176,359 Bard (C.R.) Inc. 542 51,159 Bausch & Lomb Inc. 546 32,427 Baxter International Inc. 6,453 187,911 Becton Dickinson & Co. 2,675 130,139 Biomet Inc. 2,701 105,285 Boston Scientific Corp.* 8,642 353,026 Bristol-Myers Squibb Co. 20,495 570,171 Brown-Forman Corp. 1,281 62,590 Brunswick Corp. 956 37,628 Campbell Soup Company 4,320 120,787 Cardinal Health Inc. 4,578 298,623 Carnival Corp. 6,660 295,504 Cintas Group 1,809 77,262 Clear Channel Communications 6,512 280,276 Clorox Company 2,228 109,306 Coca-Cola Co. 25,884 1,293,165 Coca-Cola Enterprises 4,851 113,077 Colgate-Palmolive Company 5,673 314,568 Comcast Corp.* 23,783 714,441 Computer Associates International Inc. 6,120 162,547 Computer Sciences Corp.* 1,990 83,162 Conagra Inc. 5,655 153,759 Coors (Adolph) 388 26,299 CVS Corp. 4,183 156,863 Darden Restaurants Inc. 1,782 43,481 Deluxe Corp. 541 21,305 Disney (Walt) Co 21,618 573,526 Donnelley (R.R.) & Sons Co. 1,185 37,636 Dow Jones & Co. Inc. 853 41,541 Eli Lilly & Co. 11,868 877,520 Express Scripts, Inc.* 797 57,990 Forest Labs CL A* 3,869 292,032 Fortune Brands Inc. 1,541 110,151 Gannett Co. Inc. 2,857 246,473 General Mills Inc. 3,939 181,115 Gillette Company 10,673 410,804 Guidant Corp. 3,286 223,908 Harrah's Entertainment Inc. 1,176 61,093 HCA - The Healthcare Company 5,225 222,167 Health Mgmt. Assoc. Cl.A. 2,507 55,881 Heinz (H.J.) Co. 3,726 142,370 Hershey Foods Corp. 1,371 113,656 Hilton Hotels Corp. 4,016 64,376 Humana Inc.* 1,688 37,001 IMS Health Inc. 2,525 62,570 International Flavors & Fragrances 983 35,968 Interpublic Group Cos. Inc.* 4,384 74,309 Johnson & Johnson 31,358 1,690,510 Jones Apparel Group 1,320 49,236 Kellogg Co. 4,297 169,689 Knight Ridder Inc. 842 62,948 Kroger Co.* 7,874 151,338 Loews Corp. 1,956 117,927 Manor Care Inc. 938 33,215 McCormick & Co. 1,477 46,186 McDonald's Corp. 13,413 379,588 McGraw-Hill Companies Inc. 2,028 158,529 Mckesson HBOC Inc. 3,071 83,869 Medco Health Solutions Inc.* 2,847 92,983 Medimmune, Inc.* 2,595 66,666 Medtronic Inc. 12,806 600,601 Merck & Co., Inc. 23,505 1,130,120 Meredith Corp. 527 26,508 New York Times Co. 1,562 71,290 Office Depot Inc.* 3,281 57,188 Omnicom Group 2,011 164,500 Paychex Inc. 3,957 127,297 Pepsi Bottling Group Inc. 2,758 79,789 Pepsico Inc. 18,123 940,584 Pfizer Inc. 80,623 2,954,833 Procter & Gamble Co. 13,698 1,404,182 Quest Diagnostics, Inc. 1,092 90,494 Qwest Communications International* 18,680 85,554 RJ Reynolds Tobacco Hldgs. 902 55,680 Sabre Holdings Corp. 1,503 34,103 Safeway Inc.* 4,733 108,244 Sara Lee Corp. 8,346 182,110 Schering-Plough Corporation 15,494 278,272 Simon Property Group Inc. 2,021 110,124 ST Jude Medical Inc.* 1,821 132,296 Staples Inc.* 5,217 136,790 Starbucks Corp.* 4,139 154,840 Stryker Corp. 2,107 186,954 Sungard D.S., Inc.* 3,077 89,448 Supervalu Inc. 1,421 40,214 Sysco Corp. 6,829 270,770 Tenet Healthcare Corporation* 4,884 58,706 Tribune Co. 3,293 164,452 Tupperware Corp. 601 11,479 UnitedHealth Group Incorporated 6,188 383,656 Univision Communications, Inc.* 3,400 121,142 UST Inc. 1,750 66,640 Viacom Inc. 18,463 710,087 Walgreen Co. 10,843 386,661 Watson Pharmaceutical Inc.* 1,136 52,165 Wellpoint Health Networks* 1,601 174,141 Wendy's International Inc. 1,196 48,641 Winn-Dixie Stores Inc. 1,670 10,220 Wrigley (WM.) JR Co. 2,382 133,964 Wyeth 14,076 556,002 Yum! Brands Inc.* 3,119 115,497 Zimmer Holdings Inc.* 2,550 192,882 ------------ Total Consumer Non-Durable 28,645,661 ------------ Energy (5.96%) AES Corp.* 6,611 59,896 Amerada Hess Corp. 943 60,682 Anadarko Petroleum Corp. 2,653 135,966 11 S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Apache Corp. 3,422 $ 140,884 Ashland Inc 731 35,022 Baker Hughes Inc. 3,533 132,911 BJ Services* 1,674 72,467 Burlington Resources Inc. 2,107 123,344 ChevronTexaco Corp. 11,287 997,206 ConocoPhillips 7,184 494,762 Devon Energy Corporation 2,464 139,906 Dynegy, Inc.* 3,790 15,501 EL Paso Corp. 6,381 47,475 EOG Resources Inc. 1,225 54,500 Exxon Mobil Corp. 69,825 2,944,520 Halliburton Co. 4,631 148,007 Kerr-McGee Corp. 1,069 55,855 Kinder Morgan, Inc. 1,319 81,395 Marathon Oil Corp. 3,280 115,259 Nabors Industries Ltd.* 1,552 73,487 Occidental Petroleum Corp. 4,070 180,708 Rowan Companies Inc.* 1,121 26,344 Schlumberger Ltd. 6,178 398,419 Sunoco Inc. 811 49,877 Transocean Sedco Forex Inc.* 3,367 99,259 Unocal Corp. 2,758 104,804 ------------ Total Energy 6,788,456 ------------ Manufacturing (5.57%) Air Products & Chemicals Inc. 2,398 115,680 Alcoa Inc. 9,147 342,738 Allegheny Technologies Inc. 854 10,846 American Standard Co.* 775 84,444 Applied Materials Inc.* 17,553 372,826 Applied Micro Circuits Corp.* 3,283 21,208 Ball Corp. 595 38,419 Bemis Co. 553 28,247 Boise Cascade Corp. 900 30,330 Centex Corp. 660 70,488 Citrix Systems Inc.* 1,744 36,938 Comverse Technology Inc.* 2,034 40,110 Corning Inc.* 14,053 176,365 Crane Co. 632 20,312 Dell Inc.* 27,042 882,921 Dow Chemical Company 9,722 422,615 Du Pont (E.I.) de Nemours & Co. 10,535 475,023 Eastman Chemical Company 810 34,304 Eastman Kodak Co. 3,033 86,562 Ecolab Inc. 2,721 74,311 EMC Corp-Mass* 25,413 363,914 Engelhard Corp. 1,318 38,248 Freeport-McMoran Copper & Gold Inc. 2,068 88,200 Gateway Inc.* 3,535 19,195 Georgia-Pacific (Georgia-Pacific Group) 2,672 85,638 Great Lakes Chemical Corp. 530 13,462 Hercules Inc.* 1,129 13,435 International Game Tech. 3,660 143,618 International Paper Co. 5,088 225,195 KB Home 488 35,307 Kimberly-Clark Corp. 5,334 345,003 Leggett & Platt Inc. 2,023 49,503 Louisiana-Pacific Corp. 1,130 27,945 MeadWestvaco Corp. 2,112 61,882 Millipore Corp.* 523 27,379 Newmont Mining Corp. 4,574 198,740 Novellus Systems Inc.* 1,616 51,954 Nucor Corp. 826 51,955 Pactiv Corporation* 1,663 35,738 Phelps Dodge Corp.* 942 81,257 Plum Creek Timber Co. Inc. (REIT) 1,937 60,454 PPG Industries Inc. 1,787 104,879 Praxair Inc. 3,420 124,214 Prologis 1,848 61,224 Pulte Corp. 1,305 68,852 Rohm & Haas Co. 2,354 93,572 Sealed Air Corp.* 891 44,416 Sherwin-Williams Co. 1,544 54,040 Sigma-Aldrich 727 41,563 Temple-Inland Inc. 576 37,526 Textron Inc. 1,433 79,302 United States Steel Corp. 1,085 39,874 Waters Corp.* 1,283 47,394 Weyerhaeuser Co. 2,329 151,967 Worthington Industries 891 15,441 ------------ Total Manufacturing 6,346,973 ------------ Service (1.57%) Apollo Group Inc. * 1,865 142,020 Automatic Data Processing 6,287 266,883 Autonation Inc.* 2,900 48,372 Block H & R Inc. 1,881 101,668 Cendant Corporation 10,725 243,458 Convergys Corp.* 1,500 24,390 Equifax Inc. 1,482 38,843 First Data Corp. 9,483 388,604 Fiserv, Inc.* 2,071 79,961 Jabil Circuits, Inc.* 2,099 58,730 Mercury Interactive Corp.* 950 46,113 Monster Worldwide Inc.* 1,196 26,312 Moody's Corp. 1,576 105,371 Robert Half Intl.* 1,810 40,671 Waste Management Inc. 6,154 175,389 ------------ Total Service 1,786,785 ------------ Technology (18.74%) ADC Telecommunications Inc.* 8,684 26,052 Adobe Systems Inc 2,467 91,871 Advanced Micro Devices* 3,687 55,305 Agilent Technologies Inc.* 5,021 171,668 Altera Corp.* 4,041 89,225 American Power Conversion 2,118 47,909 Amgen Inc.* 13,626 865,660 Analog Devices Inc. 3,880 193,612 Andrew Corp.* 1,650 29,403 Apple Computer Inc.* 3,834 91,748 Applied Biosystems Group - Applera Corp 2,220 50,616 AT&T Wireless Services Inc.* 28,652 389,094 Avaya Inc.* 4,387 75,237 Biogen Idec Inc.* 3,460 191,857 BMC Software Inc.* 2,379 46,628 Boeing Co. 8,885 385,342 Broadcom Corp.* 3,204 130,018 Chiron Corp.* 1,978 96,744 Ciena Corp.* 5,025 28,793 Cisco Systems Inc.* 72,926 1,684,591 Compuware Corp.* 4,039 31,666 Ebay, Inc.* 6,826 470,038 Electronic Arts* 3,140 148,082 Electronic Data Systems Corp. 5,089 97,454 Federated Investors Inc. 1,148 37,046 General Dynamics Corp. 2,089 192,439 Genzyme Corp.* 2,372 120,450 Hewlett-Packard Co. 32,218 731,671 Honeywell International Inc. 9,104 319,095 Intel Corp. 69,009 2,017,133 International Business Machines Corp. 18,171 1,753,502 Intuit Inc. * 2,101 93,200 JDS Uniphase Corp.* 15,107 74,024 King Pharmaceuticals Inc.* 2,568 49,485 Kla-Tencor Corp.* 2,059 108,715 Lexmark International Inc.* 1,356 111,585 Linear Technology Corp. 3,303 132,087 Lockheed Martin Corporation 4,773 220,894 LSI Logic Corp.* 3,960 39,996 Lucent Technologies Inc.* 44,252 185,416 Maxim Integrated Products 3,470 173,188 Micron Technology Inc.* 6,477 97,414 12 S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Microsoft Corp. 114,211 $ 3,026,592 Monsanto Co. 2,778 91,785 Motorola Inc. 24,584 453,575 National Semiconductor Corp.* 1,966 77,382 Network Appliance Inc.* 3,659 79,254 Nextel Communications Inc.* 11,623 307,893 Northrop Grumman Corp. 1,937 195,850 Novell Inc.* 3,947 40,180 Nvidia Corp.* 1,724 38,359 Oracle Corporation* 55,181 710,731 Parametric Technology Corp.* 2,859 13,037 Peoplesoft Inc.* 3,955 85,349 PerkinElmer Inc. 1,321 27,530 Pitney Bowes Inc. 2,468 102,052 PMC - Sierra Inc.* 1,841 36,636 Qlogic Corp.* 993 41,507 Qualcomm Inc. 8,460 536,787 Raytheon Company 4,411 134,094 Rockwell Collins 1,857 60,427 Rockwell International Corp. 1,951 59,427 Sanmina Corp.* 5,438 69,008 Scientific-Atlanta Inc. 1,620 53,622 Siebel Systems Inc* 5,212 68,069 Solectron Corp.* 8,868 56,667 Sun Microsystems Inc.* 34,434 183,878 Symantec Corp.* 3,247 133,582 Symbol Technologies, Inc. 2,467 41,988 Tektronix Inc. 880 28,204 Tellabs Inc.* 4,380 42,486 Texas Instruments Inc. 18,296 560,772 Thomas & Betts Corp. 598 12,911 Time Warner Inc.* 47,783 824,257 Unisys Corporation* 3,471 49,045 United Technologies Corp. 4,965 457,326 Veritas Software Corp.* 4,533 137,894 Xerox Corp.* 8,360 118,210 Xilinx Inc.* 3,627 152,479 Yahoo Inc* 6,945 308,358 ------------ Total Technology 21,363,156 ------------ Transportation (1.68%) Burlington Northern Santa Fe Corp. 3,908 125,759 CSX Corporation 2,259 71,226 Delta Air Lines Inc. 1,352 12,141 FedEx Corporation 3,159 216,960 Harley-Davidson Inc. 3,201 170,037 Janus Capital Group Inc. 2,551 43,673 Navistar International* 734 34,204 Norfolk Southern Corp. 4,107 91,011 Ryder System Inc. 677 24,941 Southwest Airlines 8,241 113,808 Union Pacific Corp. 2,702 171,955 United Parcel Service Inc. 11,882 839,226 ------------ Total Transportation 1,914,941 ------------ Utility (5.47%) Allegheny Power System* 1,381 18,215 Alltel Corp. 3,301 170,992 Ameren Corporation 1,719 81,481 American Electric Power 4,178 144,141 AT&T Corp. 8,362 167,491 Bellsouth Corporation 19,510 537,696 Calpine Corp.* 4,357 24,007 Centerpoint Energy Inc. 3,217 33,650 CenturyTel Inc. 1,518 43,369 Cinergy Corp. 1,882 73,756 Citizens Communications Company* 3,037 40,028 CMS Energy Corp.* 1,662 15,290 Consolidated Edison Inc. 2,371 104,727 Constellation Energy Group Inc. 1,772 70,437 Dominion Resources Inc/Va 3,430 215,507 DTE Energy Company 1,768 71,533 Duke Energy Corp 9,602 210,860 Edison International 3,462 79,938 Entergy Corp. 2,423 143,660 Exelon Corp. 3,457 232,103 FirstEnergy Corporation 3,496 135,050 FPL Group Inc. 1,939 127,295 KeySpan Corporation 1,700 64,600 NCR Corporation* 1,006 45,029 NI Source, Inc. 2,793 60,636 Nicor Inc. 460 16,624 Noble Corp.* 1,408 57,165 Peoples Energy Corp. 383 17,078 PG&E Corp.* 4,388 123,610 PPL Corporation 1,866 86,825 Progress Energy Inc. 2,597 119,878 Public Service Enterprise Group 2,495 117,614 SBC Communications Inc. 34,985 839,990 Sempra Energy 2,396 75,953 Southern Co. 7,751 235,010 Sprint Corp. (FON Group) 9,523 168,843 Sprint Corp. (PCS Group)* 10,923 98,307 Teco Energy, Inc. 1,982 29,869 TXU Corporation 3,413 96,008 Verizon Communications 29,159 1,117,664 Williams Cos. Inc. 5,523 52,307 XCEL Energy Inc. 4,198 73,339 ------------ Total Utility 6,237,575 ------------ Total Common Stock (Cost $95,069,702) 111,896,388 ------------
Par Value --------- Short-Term Investments (1.69%) $ 700,000 United States Treasury Bills 0.87% 03/18/04 (b) 699,712 612,712 First American Prime Obligation Fund 612,712 612,712 First American Government Obligation Fund 612,712 ------------ Total Short-Term Investments (Cost $1,925,136) 1,925,136 ------------ Total Investments (Cost $96,994,838)(a) (99.85%) 113,821,524 Other Net Assets (0.15%) 166,906 ------------ Net Assets (100.00%) $113,988,430 ============
---------- * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $96,994,838. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows:
Unrealized appreciation $ 27,651,186 Unrealized depreciation (10,824,500) ------------ Net unrealized appreciation $ 16,826,686 ============
13 S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) (b) At February 29, 2004, certain United States Treasury Bills with a market value of $399,792 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 29, 2004: (Contracts-$250 times premium/delivery month/commitment) Unrealized Appreciation ------------ S&P 500 Index: 7 Mar 04/Long $ 26,519 ========== See accompanying notes to financial statements S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Common Stock (95.17%) Banking & Financial Service (19.80%) Allmerica Financial Corp.* 6,557 $ 241,822 AMB Property Corp. 9,500 336,490 American Fin. Group, Inc. 8,106 243,828 Americredit Corp.* 18,639 354,514 AmerUs Group Co. 4,470 174,241 Associated Banc Corp. 8,806 390,898 Astoria Financial Corp. 9,477 382,302 Bank of Hawaii Corp. 7,048 321,671 Banknorth Group Inc. 18,668 622,204 Brown & Brown Inc. 8,000 295,200 Certegy Inc. 7,612 260,102 Charles River Laboratories International Inc.* 5,200 223,912 Check Free Holding Corp.* 9,745 282,897 City National Corp. 5,788 359,782 Commerce Bank Corp. 8,936 542,147 Compass Bancshares, Inc. 14,792 615,051 Cullen/Frost Bankers, Inc. 5,790 245,612 Duquesne Light Holdings Inc. 8,955 178,473 E Trade* 41,938 600,133 Eaton Vance Corp. 8,806 339,031 Edwards AG 9,188 351,441 Everest Re Holdings 6,360 555,800 Fidelity National Fin., Inc. 19,292 754,510 First American Finl.Corp. 9,264 283,015 FirstMerit Corp. 9,724 257,880 Gallagher, Arthur J. & Co. 10,291 346,292 Gartner Group, Inc. Cl B* 9,315 102,744 Gartner Inc.* 5,827 65,845 Greater Bay Bancorp 6,126 168,833 Greenpoint Fin. Corp. 16,849 734,953 HCC Insurance Holdings Inc. 7,603 246,261 Hibernia Bank 18,146 430,786 Highwoods Properties Inc. 5,952 153,383 Horace Mann Educators 5,085 76,987 Hospitality Properties Trust 6,943 302,021 Independence Community Bank 6,539 258,748 IndyMac Bancorp Inc. 6,377 224,470 Investment Tech. Group, Inc.* 5,920 85,722 Investors Financial Services Corp. 7,880 346,956 LaBranche & Co Inc. 6,641 68,336 Legg Mason, Inc. 7,861 741,607 Liberty Property Trust 9,458 399,884 M&T Bank Corporation 14,276 1,371,210 Mack-Cali Realty Corp. 6,600 280,896 Mercantile Bankshares Corp. 9,493 427,850 Mony Group Inc.* 6,040 190,260 National Commerce Financial Corp. 23,729 694,073 New Plan Excel Realty Trust 11,617 301,693 New York Community Bancorp Inc. 31,096 1,092,092 Ohio Causualty Corp.* 7,247 139,287 Old Republic 20,923 493,783 Protective Life Corp. 8,518 324,025 Provident Financial Group 6,197 248,314 Radian Group Inc. 11,390 497,743 Raymond James Fncl. Corp. 5,459 208,643 RSA Security Inc.* 7,178 119,370 SEI Investments Co. 12,213 436,126 Silicon Valley Bancshares* 4,120 141,110 Sovereign Bancorp, Inc. 34,870 772,371 Stancorp Financial Group 3,727 245,796 TCF Financial Corp. 8,525 443,130 The PMI Group, Inc. 11,200 443,520 United Dominion Realty Trust Inc. 14,321 270,237 Unitron, Inc. 8,487 367,911 Waddell & Reed Financial, Inc. 9,900 256,806 Washington Federal Inc. 8,636 224,191 West America Bancorp. 3,868 194,406 Wilmington Trust Corp. 7,574 282,813 WR Berkley Corp. 9,600 399,840 ------------ Total Banking & Financial Service 24,834,280 ------------ Captial Good (5.77%) AGCO Corp.* 8,696 162,180 Ametek, Inc. 4,428 219,850 Borg-Warner Automotive 3,298 297,480 Credence Systems Corp* 7,209 81,822 Dycom Industries* 5,718 148,211 Federal Signal 5,772 108,802 Flowserve Corp.* 5,630 122,340 Graco, Inc. 5,135 218,032 Hubbell, Inc. Cl. B 7,280 289,016 Integrated Device Tech.* 11,249 185,496 International Rectifier Corp.* 7,566 349,247 Intersil Corp 15,836 373,571 Jacobs Engineering Group* 6,888 303,967 L-3 Communications Holdings 11,507 615,855 Modine Manufacturing Co. 4,344 123,587 Packaging Corporation Of America 12,073 284,440 Plexus Corp.* 4,613 88,385 Rayonier, Inc. 5,012 215,817 Republic Services Inc. 18,916 496,356 SPX Corp. 9,147 384,174 Tecumseh Prod. Co. Cl. A 2,522 113,566 Trinity Industries 5,350 155,685 Varian Medical Systems Inc.* 7,920 663,221 Vishay Intertech., Inc.* 18,563 417,853 York Intl. Corp. New Com. 4,738 176,870 Donaldson Co. Inc. 5,042 287,545 Stericycle Inc.* 4,700 217,328 Varian Inc.* 3,900 155,649 ------------ Total Capital Good 7,256,345 ------------ Consumer Cyclical (7.99%) Abercrombie & Fitch 11,219 353,735 Bandag Inc. 2,365 113,757 Barnes & Noble, Inc.* 7,474 260,843 BJ'S Wholesale Club* 8,290 196,888 Cabot Microelectronics Corp.* 2,776 123,671 14 S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Callaway Golf Co. 9,890 $ 184,646 Carlisle Cos., Inc. 4,050 230,648 Carmax Inc.* 11,900 404,600 Chico's FAS Inc.* 9,800 418,950 Claire's Stores, Inc. 11,406 230,629 Copart Inc.* 9,479 186,168 D.R. Horton, Inc. 27,852 885,415 Dollar Tree Stores Inc.* 13,176 407,138 Fastenal Co. 8,728 422,872 Furniture Brands Intl. Inc. 6,726 220,949 Gentex Corp. 8,966 365,454 Lear Corp. 8,019 494,211 Martin Marietta Materials 5,770 283,249 Michaels Stores, Inc. 8,242 395,946 Mohawk Inds.* 7,706 641,910 Neiman-Marcus Group, Inc. 6,051 341,760 O'Reilly Automotive, Inc.* 6,054 245,974 Payless Shoesource* 8,421 112,420 Petsmart Inc. 16,000 434,240 Pier 1 Imports, Inc. 11,355 265,821 Rent-A-Center Inc.* 9,215 299,580 Superior Industries 3,175 108,585 Teleflex, Inc. 4,884 251,868 The Timberland Co.* 4,232 261,284 UNIFI, Inc.* 6,208 29,302 VISX, Inc.* 6,630 120,998 Webster Financial Corp. 5,888 296,461 William Sonoma, Inc.* 13,482 431,289 ------------ Total Consumer Cyclical 10,021,261 ------------ Consumer Non-Durable (23.77%) 99 Cents Only Stores* 8,797 227,402 Activision Inc.* 10,324 216,907 AdvancePCS* 10,987 758,103 American Eagle Outfitters* 8,205 200,120 Apogent Technologies Inc.* 11,482 323,792 Applebee's Intl., Inc. 6,400 261,824 Appria Healthcare Group* 6,985 218,351 Banta Corp. 2,890 128,200 Barr Laboratories Inc.* 7,965 616,571 Belo (A.H.) Corp. Sr. A 13,702 382,286 Bisys Group Inc.* 14,846 262,032 Bob Evans Farms 4,682 158,392 Boyd Gaming Corp. 7,178 146,288 Brinker International* 11,156 419,800 Brink's Co./The 6,662 176,410 Caesars Entertainment Inc.* 36,719 451,644 Catalina Marketing Corp.* 6,784 118,516 CBRL Group Inc. 5,748 218,309 Ceridian Corp.* 17,103 323,760 Cheesecake Factory* 6,098 288,009 Church and Dwight 4,797 199,939 Colonial Bancgroup Inc 14,248 262,591 Community Health Systems Inc.* 11,400 319,770 Constellation Brands Inc.* 12,467 395,204 Covance, Inc.* 7,889 236,670 Coventry Health Care, Inc.* 10,350 450,950 Dentsply Intl., Inc. 9,030 395,604 Devrey, Inc.* 9,126 271,225 Dial Corp. 11,516 330,970 Dun & Bradstreet Corp.* 8,630 459,289 Education Management Corp.* 7,938 254,095 Edwards Lifesciences Corp.* 7,752 249,614 Emmis Communications Corp.* 6,332 160,200 Energizer Holdings, Inc.* 10,087 470,760 Entercom Communications Corp.* 5,863 270,636 Extended Stay America Inc. 11,291 175,462 First Health Group Corp.* 10,978 232,514 Gilead Services, Inc.* 24,035 1,302,937 Glatfelter (P.H.) Co. 5,596 65,193 Gtech Holdings Corp. 6,572 385,974 Harte Hanks, Inc. 11,202 248,124 Health Net Inc.* 13,369 368,984 Henry Schein Inc.* 5,196 371,514 Hon Inds. 6,909 260,953 Hormel Foods Corp. 17,124 474,677 Int'l Speedway Corp. 6,500 290,225 Interstate Bakeries Corp. 5,815 87,225 IVAX Corp.* 23,358 519,949 JM Smucker Co/The 5,969 301,912 Krispy Kreme Doughnuts Inc.* 6,600 253,836 Lancaster Colony Corp. 4,163 176,470 Lee Enterprises 5,316 239,698 LifePoint Hospitals Inc* 4,889 163,782 Lincare Holdings Inc.* 12,212 394,936 Longs Drug Stores Inc. 4,644 97,013 Mandalay Resorts Co. 6,893 354,300 Media General, Inc. Cl. A 2,661 172,433 Miller (Herman), Inc. 8,507 238,536 Millinium Pharmeceuticals* 35,646 634,855 MPS Group Inc.* 11,672 113,802 Mylan Laboratories 31,831 748,029 Noble Energy Inc 7,178 335,787 NSTAR- W/I 6,089 311,452 Omnicare, Inc. 12,081 556,451 Outback Steakhouse, Inc. 8,746 423,219 Oxford Health Plans 9,636 462,143 Pacific Health Systems* 9,868 352,288 Patterson Dental Co.* 8,281 561,203 PepsiAmericas Inc. 17,198 329,858 Perrigo Co. 8,921 174,316 Pharmaceutical Resources Inc.* 3,800 237,082 Price Communications Corp.* 6,829 103,391 Readers Digest Assoc. 11,806 159,381 Ross Store, Inc. 17,968 575,874 Ruby Tuesday, Inc. 7,400 234,432 Ruddick Corp. 5,696 113,863 Saks Holding, Inc.* 16,520 287,778 Sensient Technologies Corp. 6,127 121,008 Sepracor Inc. * 10,102 287,099 Six Flags, Inc.* 10,999 81,503 Smithfield Foods, Inc.* 12,630 323,075 Steris Corp.* 8,728 219,858 Teva Pharmaceutical Industries Ltd. 2,573 167,245 Tootsie Roll Industries 6,935 258,328 Triad Hospitals Inc.* 8,774 309,634 Tyson Foods, Inc. Cl. A 40,638 645,331 Universal Corp. 2,938 148,134 Universal Hlth Srvs-B 6,984 376,647 Valassis Communications* 6,023 183,400 Valeant Pharmaceuticals International 10,028 219,914 Vertex Pharmaceuticals Inc.* 8,356 94,256 Viad Corp. 10,201 249,414 Washington Post, Class B 1,138 1,019,307 Westwood One, Inc.* 12,221 377,629 Whole Foods Market, Inc. 7,096 548,876 ------------ Total Consumer Non-Durable 29,816,884 ------------ Energy (5.55%) Ensco Intl., Inc. 17,888 525,371 Equitable Resources Inc. 7,098 305,853 Grant Prideco, Inc.* 12,930 196,148 Hanover Compressor Co.* 7,860 95,263 Helmerich & Payne 6,434 191,218 Murphy Oil Corp. 10,730 673,093 National Fuel Gas Co. 9,539 241,337 Patterson-UTI Energy Inc.* 9,914 359,680 Pioneer Nat. Resources* 14,057 451,511 Pride International Inc.* 16,131 276,485 Questar 9,899 354,879 Sequa Corp. 1,200 62,472 Smith International, Inc.* 12,358 626,180 15 S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Tidewater, Inc. 6,961 $ 231,314 Valero Energy Corp. 13,419 805,140 Weatherford International Ltd.* 15,678 702,374 Western Gas Resources Inc 4,227 207,208 XTO Energy Inc. 21,923 654,182 ------------ Total Energy 6,959,708 ------------ Manufacturing (9.91%) Advanced Fibre Communication* 9,295 227,913 Airgas, Inc. 8,422 174,757 Albemarle Corp. 4,807 135,798 Arch Coal Inc 6,732 197,113 Avocent Corp.* 5,203 201,200 Bowater, Inc. 6,537 300,048 Cabot Corp. 7,129 246,663 Carpenter Technology 2,622 89,568 CDW Corp. 9,734 673,398 Coach Inc.* 21,669 858,742 Cooper Cameron Corp.* 6,539 289,155 Crompton & Knowles Corp. 13,203 98,494 Cytec Inds. 4,803 167,096 Dean Foods Co.* 18,494 671,517 Ferro Corp. 4,724 122,824 FMC Corp.* 3,962 148,575 FMC Technologies Inc.* 8,426 221,604 Harsco Corp. 4,726 214,702 Hillenbrand Industries 7,155 472,588 Hovnanian Enterprises Inc.* 3,364 271,441 IMC Global, Inc. 14,055 158,822 Kemet Corp.* 10,913 160,639 Kennametal, Inc. 3,729 161,876 Lam Research Corp.* 14,994 383,397 Lennar Corp. 18,806 929,957 Longview Fibre Co. 7,028 91,223 Lubrizol Corp. 5,928 185,309 Lyondell Petrochemical 20,718 368,988 Macromedia, Inc.* 7,732 158,506 McData Corp.* 14,037 113,138 Minerals Technology, Inc. 2,399 130,578 National-Oilwell Inc.* 10,144 301,378 Nordson Corp. 4,332 157,988 Olin Corporation 6,294 114,299 Peabody Energy Corp. 6,000 256,800 Pentair, Inc. 5,976 322,764 Plantronics Inc.* 5,006 199,840 Pogo Producing Co. 7,100 322,127 Potlatch Corp. 3,818 161,883 Quantum Corp.* 18,340 70,609 RPM, Inc. Ohio 13,466 218,688 Scotts Company Class A* 3,564 224,710 Sonoco Products, Inc. 12,045 300,523 Storage Tech. Corp.* 12,416 364,658 Toll Bros., Inc.* 8,714 382,545 Valspar Corp. 5,992 298,821 Wausau Paper Mills Co. 7,604 103,110 ------------ Total Manufacturing 12,426,372 ------------ Service (2.32%) Alexander & Baldwin, Inc. 5,542 188,151 Career Education Corp.* 11,833 591,532 Corinthian Colleges Inc* 5,000 300,750 Forest Oil Corp.* 5,920 153,624 Kelly Services, Inc. Cl. A 4,702 139,508 ManPower, Inc. 9,550 427,363 Newport Corp.* 3,800 66,614 Rollins, Inc. 5,366 124,652 Scholastic Corp.* 4,258 136,469 Sotheby's* 7,499 108,136 Tech Data Corp. * 6,981 282,521 United Rentals Inc.* 8,860 155,404 Varco Intl., Inc.* 11,640 231,869 ------------ Total Service 2,906,593 ------------ Technology (11.98%) 3COM Corp.* 42,705 298,935 Adtran, Inc. 8,682 282,686 Advent Software Inc* 3,469 59,493 Affiliated Computer Svcs.* 15,847 764,776 Arrow Electronics, Inc.* 12,282 302,137 Arvin Inds., Inc. 7,997 180,412 Ascential Software Corp.* 7,855 177,209 Atmel Corp.* 52,903 366,089 Avnet, Inc.* 14,332 337,519 Axiom Corp. 10,782 210,033 Beckman Coulter, Inc. 7,120 374,370 Borders Group 9,246 221,904 Cadence Design Sys., Inc.* 31,320 483,268 Choicepoint Inc.* 9,920 373,587 Commscope, Inc.* 6,534 116,240 Cree Inc.* 9,273 222,088 CSG Systems International, Inc.* 5,679 79,506 Cypress Semiconductor* 14,105 304,386 Cytyc Corporation* 14,458 238,268 Diebold 8,310 437,854 DST Systems, Inc.* 13,774 616,524 Fair Issac & Co, Inc. 5,700 339,948 Fairchild Semiconductor International Inc.* 13,989 360,916 Granite Construction, Inc. 5,496 133,278 Harris Corp. 8,432 398,412 Henry (Jack) & Associates 10,167 188,598 Imation Corp. 4,072 143,742 Integrated Circuit Systems Inc.* 7,814 215,198 Internet Security Systems* 5,822 103,108 Keane, Inc.* 7,616 112,869 Korn/Ferry International* 4,213 52,283 Lattice Semiconductor Corp.* 13,634 140,839 Leucadia National Corp. 8,450 439,400 LTX Corp.* 5,330 82,562 Macrovision Corp.* 5,453 106,443 Mentor Graphics* 8,504 142,782 Microchip Tech 24,309 692,807 National Instruments Corp. 9,774 337,789 Network Associates, Inc.* 18,706 328,103 Polycom* 12,760 281,613 Powerwave Technologies, Inc.* 8,112 80,065 Precision Castparts 6,576 296,906 Protein Design Labs Inc.* 9,656 231,744 Quanta Services, Inc.* 13,947 119,944 Retek, Inc.* 5,488 45,880 Reynolds & Reynolds Class A 7,765 216,799 RF Micro Devices Inc.* 22,021 204,575 Sandisk Corp.* 18,574 471,037 Semtech Corp.* 8,749 211,026 Silicon Laboratories Inc.* 5,700 321,309 Sybase, Inc.* 10,908 234,631 Sylvan Learning Systems, Inc.* 4,683 144,705 Synopsys, Inc.* 18,541 546,589 Titan Corp.* 9,600 202,080 Transaction Systems Archit A* 4,586 82,502 Triquint Semiconductor* 13,659 109,272 Wind River Systems* 8,852 86,661 Zebra Tech CL A* 5,306 379,273 ------------ Total Technology 15,032,972 ------------ Transportation (2.25%) Alaska Airgroup, Inc.* 3,280 84,427 C.H. Robinson Worldwide, Inc. 10,193 403,745 CNF Transportation, Inc. 5,973 198,602 EGL Inc.* 5,272 84,299 Expeditors International Washington Inc. 12,489 481,326 Gatx Corp. 6,261 147,259 Hunt (J.B.)* 9,886 270,876 JetBlue Airways Corp.* 11,398 271,272 Overseas Shipholding Grp. 4,244 152,360 16 S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Swift Transportation, Inc. * 10,200 $ 219,300 Werner Enterprises, Inc. 9,250 176,398 ------------ Total Transportation 2,819,722 ------------ Utility (5.83%) AGL Resources 6,867 196,946 Allete 9,958 321,843 Alliant Energy 13,160 338,870 Aqua America Inc. 9,750 210,698 Aquila Inc* 23,435 92,568 Black Hills Corp. 3,149 96,359 Blyth Industries, Inc. 5,864 199,083 Cincinnati Bell Inc.* 29,182 150,287 DPL Inc. 15,981 319,620 Energy East Corporation 16,749 404,656 Great Plains Energy Inc. 8,336 288,842 Hawaiian Electric Inds. 4,090 216,566 Idacorp Inc. 4,559 142,469 MDU Resources Group Inc 13,535 313,606 Micrel, Inc.* 11,204 168,284 Northeast Utilities 16,910 325,348 OGE Energy Corp. 10,156 261,517 Oneok Inc. 9,690 215,215 Pepco Holdings Inc. 20,408 433,670 PNM Resources Inc. 4,907 149,467 Puget Energy Inc. 11,084 249,390 SCANA Corp. 13,216 462,428 Sierra Pacific Resources* 14,061 113,332 Telephone & Data 6,809 490,588 Vectren Corp. 8,089 201,497 Westar Energy Inc. 8,985 172,961 WGL Holdings Inc. 5,550 160,839 Wisc. Energy Corp. 13,382 432,506 WPS Resources Corp. 3,916 186,202 ------------ Total Utility 7,315,657 ------------ Total Common Stock (Cost $90,189,697) 119,389,794 ------------
Par Value --------- Short-Term Investments (4.72%) $ 300,000 United States Treasury Bills (0.87%) 03/18/04 (b) 299,877 2,813,178 First American Prime Obligation Fund 2,813,178 2,813,178 First American Government Obligation Fund 2,813,178 ------------- Total Short-Term Investments (Cost $5,926,233) 5,926,233 ------------- Total Investments (Cost $96,115,930)(a) (99.89%) 125,316,027 Other Net Assets (0.11%) 137,735 ------------- Net Assets (100.00%) $ 125,453,762 ============= ---------- * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $96,115,930. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 35,180,700 Unrealized depreciation (5,980,603) ------------- Net unrealized appreciation $ 29,200,097 ============= (b) At February 29, 2004, certain United States Treasury Bills with a market value of $299,844 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 29, 2004: (Contracts-$500 times premium/delivery month/commitment) Unrealized Appreciation ------------- S&P MidCap 400 Index: 20 Mar 04/Long $ 196,480 =============
See accompanying notes to financial statements S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Common Stock (94.16%) Banking & Financial Service (13.61%) Anchor Bancorp WI, Inc. 1,149 $ 30,092 Bankunited Financial Corp.* 1,374 37,881 Boston Private Financial Holdings Inc. 1,170 31,754 Brookline Bancorp Inc. 2,825 44,494 Capital Automotive REIT 1,653 56,433 Cash American Intl., Inc. 1,344 30,428 Chittenden Corp. 1,694 55,868 Coinstar Inc.* 1,000 18,070 Colonial Properties Trust 1,204 48,136 Commercial Federal Corp. 2,035 57,061 Community First Bankshares 1,814 51,463 Delphi Financial Group, Inc. 1,429 55,702 Dime Community Bancshares 1,179 37,174 Downey Financial Corp. 1,296 69,764 East-West Bancorp Inc. 1,117 59,369 Essex Property Trust Inc. 1,094 68,889 Financial Federal Corp.* 859 29,593 First Midwest Bancorp Inc./IL 2,187 73,702 First Republic Bank 675 27,115 Firstbank Puerto Rico 1,857 78,830 Firstfed Financial Corp* 795 34,503 Flagstar Bancorp Inc. 2,790 72,122 Fremont General Corp. 3,517 78,957 Gables Residential Trust 1,368 47,989 Glenborough Realty Trust Inc 1,290 27,090 Gold Banc Corp Inc. 1,895 30,699 Hudson United Bancorp 2,083 81,320 Irwin Financial Corp. 1,298 38,356 Jefferies Group, Inc. 2,540 93,980 Kilroy Realty Corp 1,347 44,990 Landamerica Financial Group Inc. 864 40,435 Lexington Corporate Properties Trust 1,948 41,376 Macdermid, Inc. 1,437 54,606 MAF Bancorp, Inc. 1,585 70,453 17 S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Mercury Computer Systems Inc.* 1,010 $ 29,573 Moog Inc.* 1,240 44,553 NCO Group, Inc.* 1,202 26,528 New Century Financial Corp. 1,692 82,908 Oshkosh Truck Corp. 1,681 98,927 Philadelphia Consolidated Holding Co.* 1,015 60,474 Piper Jaffray Cos.* 926 47,708 Presidential Life Corp. 1,361 20,048 PRG-Schultz International Inc.* 2,943 12,831 Provident Bankshares Corp. 1,175 38,716 Rewards Network Inc.* 1,161 12,829 Riggs Natl Corp. 1,308 22,210 RLI Corp. 1,166 46,640 Scpie Holdings Inc. 473 3,855 Seacoast Financial Services Corp. 1,218 41,887 Selective Insurance Group 1,253 46,236 Shurgard Storage Centers Inc. 2,087 77,741 South Financial Group Inc. (The) 2,834 87,344 Southwest Bancorp Of Texas 1,583 61,864 Staten Island Bancorp Inc. 2,830 68,826 Sterling Bancshares Inc./Tx 2,051 27,873 Stewart Information Services Corp. 831 30,332 SWS Group Inc. 787 13,867 Trustco Bank Corp. NY 3,577 48,540 UCBH Holdings Inc. 2,085 81,315 UICI* 2,203 30,049 Umpqua Holdings Corp. 1,364 27,989 United Bankshares Inc. 2,112 65,472 Whitney Holding Co. 1,872 80,331 Wintrust Financial Corp. 946 45,503 Zenith Ntnl. Ins. Corp. 880 35,250 ------------ Total Banking & Financial Service 3,136,913 ------------ Capital Good (6.88%) Aeroflex Inc.* 3,060 42,901 Agilysys Inc. 1,491 19,838 Albany Intl. Corp. Cl A 1,599 51,040 Applied Industrial Tech. 880 18,304 Astec Industries Inc.* 914 12,138 Audiovox Corp.* 1,050 17,283 Belden, Inc. 1,179 23,321 Benchmark Elec. Inc.* 1,953 67,984 Briggs & Stratton 1,064 72,724 Brooks Automation Inc.* 2,080 44,034 Cable Design Tech.* 2,078 20,261 CDI Corp. 903 26,006 CTS Corp. 1,721 24,662 Cymer Inc.* 1,690 65,133 EMCOR Group Inc.* 696 26,065 Exar Corp.* 1,952 34,746 Gardner Denver, Inc.* 773 22,494 Ionics, Inc.* 818 22,740 JLG Industries, Inc. 1,996 26,786 Lawson Products 456 15,627 Lindsay Manufacturing Co. 549 14,164 Manitowoc Company, Inc. 1,276 39,556 Massey Energy Co. 3,495 73,640 Milacron Inc. 1,672 4,732 PAXAR Corp.* 1,812 25,223 Polaris Industries, Inc. 1,060 89,771 Radisys Corp.* 829 17,003 Robbins & Myers 666 13,520 Shaw Group Inc. (The)* 2,920 35,157 Steel Dynamics Inc.* 2,216 53,738 Stewart & Stevenson Svcs. 1,326 18,471 Technitrol * 1,865 34,241 Timken Co. 4,279 94,052 Trimble Navigation Ltd.* 1,514 50,174 Triumph Group Inc.* 735 24,586 Ultimate Electronics Inc.* 680 4,971 Unisource Energy Corp. 1,562 38,035 URS Corp.* 1,511 46,237 Varian Semiconductor Equipment* 1,719 70,118 Vicor Corp.* 1,940 24,541 Wabash Natl. Corp.* 1,553 44,183 Waste Connections Inc.* 1,319 49,700 Watts Industries Inc. 1,517 35,103 Woodward Governor Co. 517 31,412 ------------ Total Capital Good 1,586,415 ------------ Consumer Cyclical (10.75%) ABM Industries, Inc. 2,284 41,249 Apogee Enterprises, Inc. 1,275 16,078 Aptargroup, Inc. 1,780 72,001 Brown Shoe Company Inc. 866 34,112 Burlington Coat Factory Wrhs 2,067 39,583 Cascade Natural Gas Corp. 520 11,112 Cato Corp New CL A 975 20,348 Christopher & Banks Corporation 1,875 34,931 Clarcor, Inc. 1,162 50,140 Coachmen Industries Inc. 746 12,316 Cost Plus Inc. /California* 1,048 40,600 Department 56* 632 8,854 Dress Barn, Inc. (The)* 1,408 23,837 Dupont Photomasks Inc.* 838 18,620 ElkCorp 906 24,553 Enesco Group Inc.* 652 6,813 Fedders Corp. 1,460 9,782 Fred's Inc. 1,807 50,343 G & K Services Inc., CL A 962 34,959 Griffon Corp.* 1,420 31,922 Group 1 Automotive Inc.* 1,057 38,475 Haggar Corp. 300 5,940 Hancock Fabrics Inc /DE 863 14,542 Haverty Furniture Cos Inc. 1,018 21,714 HOT Topic Inc.* 2,194 63,692 Imagistics International Inc.* 812 36,499 Interface, Inc.* 2,381 17,953 Jakks Pacific Inc.* 1,204 17,446 Jo-Ann Stores Inc.* 1,070 28,762 Kellwood Co. 1,231 51,653 K-Swiss Inc 1,638 39,394 Lennox Intl Inc. 2,720 50,619 Linens `N Things* 2,240 75,936 Marcus Corp. 1,435 25,098 MDC Holdings Inc. 1,347 94,869 Meritage Corp.* 630 46,670 Midas Inc.* 700 12,131 Monaco Coach Corp. 1,348 38,418 Movie Gallery Inc. 1,508 30,160 National Presto Industries 327 12,603 NVR Inc.* 340 157,250 Oshkosh B Gosh 590 12,986 Oxford Industries, Inc. 776 34,105 Pacific Sunwear of Cal* 3,604 86,388 PEP Boys-Manny Moe & Jack 2,501 58,999 PolyMedica Corporation 1,180 29,984 Prime Hospitality Corp.* 2,076 22,192 Quiksilver Inc.* 2,552 50,070 Reliance Steel & Alum. 1,539 48,386 Russell Corp. 1,506 26,415 Salton Inc.* 537 5,467 School Specialty Inc.* 870 29,580 Shopko Stores, Inc.* 1,351 20,630 Skyline Corp. 400 16,204 Smith (A.O.) Corp. 1,352 42,047 Stein Mart, Inc.* 1,933 21,321 Texas Industries, Inc. 978 34,836 The Ryland Group, Inc. 1,154 98,921 The Toro Co. 1,140 62,757 Thor Industries Inc. 2,654 78,797 Too Inc.* 1,593 30,554 Tower Automotive Inc.* 2,705 16,419 Tractor Supply Co.* 1,729 74,036 18 S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Winnebago Industries 850 $ 56,772 Wolverine World Wide, Inc. 1,860 43,804 X-Rite, Inc. 987 14,479 ------------ Total Consumer Cyclical 2,478,126 ------------ Consumer Non-Durable (21.69%) 4 Kids Entertainment Inc.* 613 16,410 Aaron Rents Inc. 1,518 35,673 Accredo Health Inc.* 2,217 79,125 Action Performance Cos Inc. 824 11,248 Advanced Marketing Services 884 9,565 Advanced Medical Optics Inc.* 1,350 31,050 Advo, Inc. 1,389 44,879 American Italian Pasta Company* 860 35,002 American Medical Systems Holdings Inc.* 1,529 43,041 AMERIGROUP Corp.* 1,169 49,589 Angelica Corp. 425 10,051 Ann Taylor* 2,174 99,569 Arbitron Inc* 1,399 58,226 Argosy Gaming Co* 1,408 43,564 Aztar Corp.* 1,609 35,929 Bally Total Fitness Holding* 1,577 9,667 Bowne & Co. Inc. 1,582 25,628 Casey's General Stores 2,311 39,518 CEC Entertainment, Inc.* 1,195 65,211 Centene Corp.* 963 29,140 Childrens Place* 1,235 37,840 Ciber, Inc.* 2,938 27,911 Cima Labs Inc.* 672 22,021 Coherent, Inc.* 1,431 40,698 Cooper Co. 1,459 69,025 Corn Products Intl. 1,673 63,407 CPI Corp. 380 8,364 Cross Country Healthcare Inc.* 1,493 25,769 Curative Health Services Inc.* 589 7,121 Datascope Corp. 685 23,160 Diagnostic Products Corp. 1,334 64,352 DIMON Inc. 2,076 14,428 Duane Reade Inc.* 1,100 18,755 eFunds Corp.* 2,220 35,987 Electronics Boutique Holdings Corp.* 1,154 31,400 Fleetwood Enterprises Inc.* 1,858 24,433 Flowers Foods Inc. 2,096 56,382 Fossil Inc.* 2,163 75,186 Genesco Inc.* 1,009 20,301 Global Imaging Systems Inc.* 996 30,039 Global Payments Inc. 1,852 80,118 Goody's Family Clothing Inc. 1,499 14,091 Great Atlantic & Pacific Tea Co.* 1,919 15,256 Guitar Center Inc.* 1,144 41,573 Gymboree Corp.* 1,366 20,149 Haemonetics Corp/Mass* 1,118 32,411 Hain Celestial Group Inc.* 1,580 34,397 Harland, John H. Co. 1,299 39,191 Harman International 3,159 246,370 Heidrick & Struggles Inc.* 848 18,012 Hologic Inc.* 918 18,360 Idexx Laboratories Inc.* 1,595 81,457 IHOP Corp. 1,002 37,815 Instituform Tech. CL A* 1,227 19,325 Int'l. Multifoods, Inc.* 893 17,396 Invacare Corp. 1,434 64,071 J Jill Group Inc/The* 900 13,896 J&J Snack Foods* 417 19,707 j2 Global Communications Inc.* 1,062 23,322 Jack in the Box Inc.* 1,671 41,558 Lance, Inc. 1,352 22,862 Landry's Seafood Rest. 1,282 38,268 Lone Star Steakhouse 970 26,355 Manhattan Associates Inc.* 1,379 39,522 Medicis Pharmaceutical 2,522 99,291 Mens Wearhouse, Inc.* 1,829 47,792 Mentor Corp. 2,155 61,568 MGI Pharma Inc.* 1,516 74,466 Nash-Finch Co. 581 13,479 Natures Sunshine Prod., Inc. 669 8,342 Nautilus Group Inc. 1,511 24,690 NBTY, Inc.* 3,084 102,574 NDCHealth Corp 1,621 46,847 New England Bus. Srvc. 635 19,876 Noven Pharmaceuticals Inc.* 1,044 24,304 O'Charleys Inc.* 966 17,630 Odyssey HealthCare Inc.* 1,665 36,131 On Assignment Inc.* 1,167 6,640 Orthodontic Centers of Am* 2,332 17,467 Osteotech Inc.* 821 5,460 Owens & Minor Hldg Co. 1,872 46,369 Panera Bread Co.* 1,386 53,721 Papa Johns Int'l., Inc.* 832 30,634 Parexel Intl. Corp.* 1,190 20,766 Pediatrix Med. Grp., Inc.* 1,130 70,343 Penford Corp. 400 6,440 Performance Food Group Co.* 2,116 74,060 PF Chang's China Bistro Inc.* 1,177 57,285 Phillips Van Heusen Corp. 1,407 26,902 Pinnacle Entertainment Inc.* 1,726 25,251 Possis Medical Inc.* 826 21,303 Prepaid Legal Srvs., Inc.* 840 19,933 Priority Healthcare Corp B* 2,016 44,554 Province Healthcare Co.* 2,261 36,402 Radiant Systems Inc.* 1,286 9,195 Ralcorp Holdings, Inc.* 1,342 43,092 Rare Hospitality International Inc.* 1,554 44,475 Regis Corp. 2,012 86,959 RehabCare Group Inc.* 746 16,599 Renal Care Group, Inc.* 2,283 106,525 Republic Bancorp Inc./MI 2,931 40,448 Resmed Inc.* 1,631 76,755 Respironics* 1,689 88,352 Russ Berrie & Co., Inc. 958 34,488 Ryan's Family Steak House* 2,086 36,296 Savient Pharmaceuticals Inc.* 2,760 11,178 Schweitzer-Mauduit, Inc. 685 22,845 Shuffle Master Inc* 780 32,510 Sierra Health Srvs., Inc.* 1,332 44,529 Sola International* 1,486 34,758 Sonic Corp.* 1,809 61,343 Standard Register Co. 1,313 22,584 Steak N Shake Co./The* 1,277 25,285 Stride Rite Corp. 1,831 21,734 Sunrise Assisted Living Inc.* 984 34,597 Sybron Dental Specialties Inc.* 1,771 50,314 Thomas Nelson Inc. 657 16,478 Triarc Cos. 2,727 30,270 United Stationers Inc.* 1,622 64,410 United Surgical Partners International Inc.* 1,317 48,031 UnitedHealth Group Incorporated 1,836 113,832 Urban Outfitters Inc.* 1,904 83,033 Vital Signs, Inc. 595 19,236 Volt Info Sciences, Inc.* 731 17,054 Wet Seal Inc.* 1,373 11,423 Wilson Greatbatch Technologies Inc.* 1,017 36,842 ------------ Total Consumer Non-Durable 5,000,135 ------------ Energy (5.33%) Ashworth Inc.* 600 5,034 Atwood Oceanics* 643 24,003 Brown (Tom) Inc.* 2,114 74,349 Cabot Oil & Gas Corp. 1,493 45,342 CAL Dive International Inc.* 1,748 42,389 Cimarex Energy Co.* 1,930 53,654 Dril-Quip* 800 14,400 Energen Corp. 1,672 69,421 Evergreen Resources, Inc.* 2,051 67,478 19 S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Frontier Oil Corp 1,220 $ 23,497 Hydril Co.* 1,057 28,011 Input/Output, Inc.* 2,377 16,758 Lone Star Technologies* 1,321 22,827 Maverick Tube Corp.* 1,945 39,970 New Jersey Resources 1,262 49,092 Newfield Exploration Co. * 2,590 121,419 Northwest Natural Gas 1,195 38,204 Oceaneering International* 1,123 38,384 Patina Oil & Gas Corp. 1,569 80,113 Plains Resources, Inc.* 1,097 18,781 Prima Energy Corp.* 590 20,113 Seacor Smit Inc.* 871 38,368 Southern Union Company* 3,382 65,678 Southwest Gas 1,570 36,848 Spinnaker Exploration Co.* 1,542 51,025 St. Mary Land & Explor. 1,306 40,355 Stone Energy Corp.* 1,280 57,651 Veritas DGC Inc.* 1,555 24,694 W-H Energy Services Inc.* 1,266 21,079 ------------ Total Energy 1,228,937 ------------ Manufacturing (12.56%) Actel Corp.* 1,218 30,085 Acuity Brands Inc. 1,928 47,101 Adaptec Inc.* 5,020 45,833 Alpharma, Inc. Class A 2,399 51,483 Applica Inc. 1,097 10,915 Arch Chemicals Inc. 1,042 28,561 Arctic Cat, Inc. 1,013 25,588 Arqule Inc* 1,302 7,031 AT Cross Co.* 700 4,711 Baldor Electric Co. 1,520 35,340 Barnes Group, Inc. 1,046 27,845 Bell Microproducts Inc.* 1,276 11,765 Brady Corp. 1,077 41,788 Brush Wellman Inc.* 769 15,418 Buckeye Tech, Inc.* 1,716 16,148 Building Material Holding Corp 640 10,867 Butler Manufacturing 304 6,791 CACI International Inc.* 1,333 59,119 Cambrex Corp. 1,239 34,035 Caraustar Industries* 1,296 15,526 CARBO Ceramics Inc. 722 44,093 Carreker Corporation* 1,093 14,482 Castle (A.M.) & Co.* 759 5,768 Century Aluminum Company* 978 26,602 Champion Enterprises, Inc.* 2,823 30,065 Chesapeake Corp. 713 17,932 Cleveland Cliffs Corp.* 479 28,333 Commercial Metals Co. 1,297 38,521 Commonwealth Industries Inc. 769 5,007 Concord Camera Corp.* 1,377 8,648 Conmed Corp.* 1,347 38,861 Cuno Incorporated* 775 33,217 Curtiss-Wright Corp. 958 46,003 Delta & Pine Land Co. 1,769 45,110 Deltic Timber Corp. 590 19,753 Electro Scientific Inds., Inc.* 1,341 32,010 Esterline Technologies Corp.* 973 27,049 Ethan Allen Interiors, Inc. 1,778 77,290 Factset Research Sys. Inc. 1,556 57,307 FEI Company* 1,526 34,717 Flir Systems Inc.* 1,537 59,436 Florida Rock Inds. 1,996 87,624 Fuller (H.B.) Corp. 1,318 35,981 Georgia Gulf Corp. 1,506 40,978 Gerber Scientific, Inc.* 1,029 7,615 Huffy Corp.* 776 3,065 ICU Medical Inc.* 655 21,943 Idex Corp. 1,630 69,438 Intermagnetics General Corp* 769 18,394 Intermet Corp. 1,230 5,855 K2, Inc.* 1,587 27,487 Kaydon Corp. 1,288 34,969 Kopin Corp.* 3,225 19,640 Kronos, Inc.* 1,488 50,071 Kulicke & Soffa Ind.* 2,321 28,896 La-Z-Boy Chair Co. 2,673 60,731 Libbey Inc. 640 18,163 Lydall, Inc.* 745 7,562 Magnetek, Inc.* 1,366 8,879 Material Sciences* 683 7,773 Meade Instruments Corp.* 955 3,573 Methode Electronics CL A 1,654 20,675 Midway Games Inc.* 2,686 13,027 Mobile Mini Inc* 664 12,337 Mueller Industries 1,590 51,262 Myers Industries, Inc. 1,397 17,169 Network Equip. Tech., Inc.* 1,066 13,783 OM Group, Inc.* 1,316 40,428 Omnova Solutions Inc.* 1,854 9,641 Pericom Semiconductor Corp.* 1,192 13,708 PolyOne Corp.* 4,408 25,346 Pope & Talbot, Inc. 726 12,487 QRS Corp.* 735 5,586 Quaker Chemical Corp. 439 11,414 Quanex Corp. 746 34,726 Regal-Beloit Corp. 1,174 24,771 Regeneron Pharm.* 2,656 37,768 Rock-Tenn Co. 1,618 23,785 Roper Industries, Inc. 1,723 83,652 Roto-Rooter Inc. 458 25,840 Roxio Inc.* 1,603 5,771 RTI International Metals* 966 16,403 Ryerson Tull, Inc. 1,152 15,633 SBS Technologies Inc.* 723 11,293 Schulman (A.), Inc. 1,370 25,578 Simpson Manufacturing Co. Inc.* 1,143 53,961 Skywest, Inc. 2,779 53,774 Standard Motor Products Inc. 916 12,714 Standard Pacific Corp. 1,511 79,040 Standex International Corp. 564 15,346 Sturm Ruger & Co., Inc. 1,292 16,951 Susquehanna Bancshares Inc. 1,845 48,099 Thomas Industries Inc. 799 25,888 Tredegar Industries, Inc. 1,767 25,180 Universal Forest Products 881 27,760 Valmont Industries 1,103 23,659 W D-40 Co. 826 27,588 Watsco, Inc. 1,208 33,051 Wellman, Inc. 1,480 11,929 WMS Industries Inc.* 1,388 36,879 Wolverine Tube, Inc.* 570 4,606 Zale Corp.* 1,268 72,514 ------------ Total Manufacturing 2,895,813 ------------ Service (3.46%) Administaff Inc.* 1,236 18,602 Avid Technology Inc* 1,476 62,686 Bassett Furniture Inds., Inc. 556 11,504 Central Parking Corp. 1,675 32,093 Hilb, Rogal & Hamilton Co . 1,727 63,554 Hooper Holmes Inc. 3,007 18,854 Hughes Supply, Inc. 1,422 67,758 IMCO Recycling* 739 6,791 Insurance Auto Auctions Inc.* 580 8,056 Kroll Inc.* 1,935 45,395 Labor Ready Inc.* 1,892 23,650 Maximus Inc.* 969 33,818 Memberworks Inc.* 521 17,750 SCP Pool Corp.* 1,640 59,450 Spherion Corporation* 2,765 23,807 Startek Inc. 661 26,903 20 S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- TBC Corp.* 1,008 $ 27,780 Tetra Tech Inc.* 2,633 56,083 Tetra Technologies, Inc.* 1,004 25,000 United Natural Foods Inc.* 903 41,673 US Oncology Inc.* 3,992 49,700 Watson Wyatt & Co Holdings* 1,529 36,237 Waypoint Financial Corp 1,617 40,668 ------------ Total Service 797,812 ------------ Technology (14.93%) Advanced Energy Industries* 1,553 33,918 Alliance Semiconductor Corp.* 1,688 13,082 Alliant Techsystems, Inc.* 1,791 102,266 American Healthways Inc.* 1,533 43,261 American Mgmt. Systems* 2,037 31,146 Amsurg Corp.* 923 31,871 Analogic Corp. 623 25,973 Anixter Intl.* 1,680 50,232 Ansys Inc.* 699 28,051 Armor Holdings Inc* 1,353 39,724 Artesyn Technologies Inc.* 1,796 19,576 Arthrocare Corp.* 950 22,658 ATMI Inc.* 1,433 38,906 Axcelis Technologies Inc.* 4,590 52,510 Barra Inc. 893 28,255 BEI Technologies Inc. 675 14,155 Bel Fuse Inc. 510 18,814 Biosite Inc.* 718 21,956 Black Box Corporation 844 43,474 Brooktrout Inc.* 598 11,667 C&D Technologies Inc. 1,187 22,506 Captaris Inc.* 1,544 8,693 Catapult Communications Corp.* 597 12,686 C-COR.net Corporation* 1,690 27,784 Cephalon, Inc.* 2,578 152,953 Cerner Corp.* 1,639 73,460 Checkpoint Systems, Inc.* 1,522 28,385 Cognex Corp. 2,006 66,720 Cohu Inc. 984 18,627 Commonwealth Telephone Enterprises Inc.* 1,151 47,249 Concord Communications Inc.* 863 15,966 Consolidated Graphics* 622 23,176 Cryolife Inc.* 1,113 7,123 Cubic Corp. 1,240 31,608 Dendrite Intl. Inc.* 1,876 31,010 Digi International Inc.* 989 11,532 Dionex Corp.* 990 52,371 DRS Technologies Inc.* 1,287 38,816 DSP Group, Inc.* 1,315 33,493 EDO Corp. 915 23,168 EL Paso Electric Co.* 2,236 30,432 Engineered Support Systems Inc. 1,125 58,725 Enzo Biochem, Inc.* 1,447 25,887 EPIQ Systems Inc.* 854 15,056 ESS Technology* 1,795 28,325 Filenet Corp.* 1,804 51,053 Gencorp Inc. 2,030 22,898 General Communication* 2,599 24,275 Harmonic Inc.* 3,354 41,053 Helix Technology Corp. 1,211 31,401 Hutchinson Technology* 1,202 34,221 Hyperion Software Corp.* 1,926 68,835 Inamed Corp.* 1,603 76,784 Information Holdings Inc.* 969 21,318 Insight Enterprises * 2,150 45,731 Integra LifeSciences Holdings Corp.* 1,240 39,320 Inter Tel, Inc. 1,160 35,090 Intrado Inc.* 772 15,324 Invision Technologies Inc.* 801 28,083 Itron, Inc.* 950 18,164 JDA Software Group Inc* 1,393 21,605 Kaman Corp. 1,048 14,777 Keithley Instruments Inc. 720 16,675 Mantech International Corp.* 1,539 32,134 Mapinfo Corp.* 738 10,037 Micro Systems Inc.* 871 38,010 Microsemi Corp.* 2,690 41,964 MRO Software Inc* 1,139 15,798 Netegrity Inc.* 1,603 14,667 NYFIX Inc.* 1,527 10,002 Park Electrochemical Corp. 917 24,530 PC-Tel Inc.* 942 10,739 Pegasus Solutions Inc.* 1,159 14,024 Pharm. Product Dev.* 2,740 80,775 Phoenix Technologies Ltd.* 1,166 5,713 Photon Dynamics Inc.* 781 27,890 Photronics, Inc.* 1,589 27,601 Pinnacle Systems Inc.* 3,188 24,038 Planar Systems Inc.* 664 10,504 Power Integrations Inc.* 1,448 42,687 Progress Software Corp.* 1,605 33,400 Rainbow Technologies Inc.* 1,237 17,664 Rogers Corp.* 749 38,948 Rudolph Technologies Inc* 760 15,633 SCM Microsystems Inc.* 700 5,810 Serena Software Inc.* 1,890 39,142 Skyworks Solutions Inc.* 6,872 77,516 Sourcecorp* 750 20,040 SPSS Inc.* 804 16,442 Standard Microsystems Corp.* 864 26,032 Steel Technologies Inc 469 8,053 Supertex Inc.* 590 10,868 SurModics Inc.* 809 16,997 Symmetricom, Inc.* 2,100 19,278 Take-Two Interactive Softwar* 2,115 66,200 Talx Corp. 627 12,001 Techne Corp.* 1,905 77,133 Teledyne Technologies Inc.* 1,494 30,268 Theragenics Corp.* 1,389 7,653 THQ Inc.* 1,789 33,812 Three-Five Systems Inc.* 988 4,673 Tollgrade Communications Inc.* 630 11,107 Ultratech Stepper, Inc.* 1,126 27,936 Veeco Instruments Inc.* 1,358 39,613 Verity Inc.* 1,734 28,698 Viasat Inc.* 1,217 32,555 Viasys Healthcare Inc.* 1,394 30,529 WebEx Communications Inc.* 2,053 52,495 Websense Inc.* 1,075 29,348 Zixit Corporation* 1,342 16,101 ------------ Total Technology 3,440,911 ------------ Transportation (2.13%) Yellow Roadway Corp.* 2,258 71,330 Atlantic Coast Airlines Holdings Inc.* 2,240 16,330 Knight Transportation Inc.* 1,735 42,143 Kansas City Southern Industries Inc.* 2,864 40,239 Frontier Airlines Inc.* 1,612 16,362 Arkansas Best Corp 1,141 31,241 Forward Air Corporation* 989 31,272 Kirby Corp.* 1,171 37,238 Mesa Air Group Inc.* 1,462 13,143 Landstar* 1,406 50,180 USF Corp. 1,317 46,556 Heartland Express, Inc. 2,321 51,851 AAR Corp.* 1,478 19,096 Offshore Logistics, Inc.* 1,045 24,024 ------------ Total Transportation 491,005 ------------ Utility (2.82%) Vintage Petroleum, Inc. 2,982 43,328 NUI Corp. 744 12,730 Central Vermont Public Service Corp 573 12,663 Nuevo Energy Co.* 898 25,566 21 S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Green Mountain Power Corp. 231 $ 6,068 CH Energy Group Inc. 732 36,014 Boston Communications Group* 889 9,566 UGI Corp. 1,981 65,571 UIL Holdings Corp. 671 32,282 Unit Corp.* 2,020 53,692 Piedmont Natural Gas, Inc. 1,816 75,818 Remington Oil & Gas Corp.* 1,243 24,798 Southwestern Energy Co.* 1,651 37,081 Cleco Corporation 2,194 41,620 Laclede Group Inc/The 885 27,408 American States Water Co. 745 18,327 Atmos Energy Corp. 2,326 61,290 Avista Corp. 2,241 40,495 Swift Energy Co.* 1,273 24,189 ------------ Total Utility 648,507 ------------ Total Common Stock (Cost $16,370,307) 21,704,574 ============
Par Value --------- Short-Term Investments (5.86%) $ 100,000 United States Treasury Bills 0.87% 03/18/04 (b) 99,959 626,189 First American Prime Obligation Fund 626,189 626,189 First American Government Obligation Fund 626,189 ------------- Total Short-Term Investments (Cost $1,352,337) 1,352,337 ------------- Total Investments (Cost $17,722,644)(a) (100.02%) 23,056,911 Other Liabilities (0.02%) (5,629) ------------- Net Assets (100.00%) $ 23,051,282 ============= ---------- * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $17,722,644. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 6,486,482 Unrealized depreciation (1,152,215) ------------- Net unrealized appreciation $ 5,334,267 ============= (b) At February 29, 2004, certain United States Treasury Bills with a market value of $99,948 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 29, 2004: (Contracts-$500 times premium/delivery month/commitment) Unrealized UNREALIZED APPRECIATION ------------- Russell 2000 Stock Index: 4 Mar 04/Long $ 31,056 =============
See accompanying notes to financial statements EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/29/2004 (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Common Stock (73.44%) Banking & Financial Service (20.69%) Bank & Bank Holding Company (8.05%) Bank of America Corp. 3,400 $ 278,528 Citigroup Inc. 7,200 361,872 Fifth Third Bancorp 1,100 61,622 M&T Bank Corporation 500 48,025 Wells Fargo & Company 5,750 329,763 ------------ 1,079,810 ------------ Finance Company (0.65%) National Commerce Financial Corp. 3,000 87,750 ------------ Financial Service (0.90%) MBNA Corp. 4,400 120,252 ------------ Insurance (5.57%) Aetna Inc. 1,300 105,027 American International Group 3,079 227,846 Fidelity National Fin., Inc. 2,062 80,645 Metlife Inc. 3,800 133,570 Stancorp Financial Group 2,000 131,900 XL Capital Ltd. 900 68,994 ------------ 747,982 ------------ Real Estate (5.52%) AMB Property Corp. 1,700 60,214 Annaly Mortgage Management, Inc. 5,400 110,160 Boston Properties Inc. 1,300 66,599 Istar Financial, Inc. 2,700 112,995 Kimco Realty Corp. 1,450 68,078 Mills Corp. 2,700 134,621 Realty Income Corp. 2,700 116,910 SL Green Realty Corp. 1,600 70,400 ------------ 739,977 ------------ Total Banking & Financial Service 2,775,771 ------------ Capital Good (1.87%) Conglomerate (0.58%) 3M Co. 1,000 78,020 ------------ Machinery - Industrial (0.74%) Caterpillar Inc. 1,300 98,475 ------------ Pollution Control (0.55%) Donaldson Co. Inc. 1,300 74,139 ------------ Total Capital Good 250,634 ------------ Consumer Cyclical (8.46%) Auto & Truck (0.44%) ITT Industries Inc. 780 58,890 ------------ Housing (1.03%) Masco Corp. 2,700 75,708 Stanley Works 1,600 61,968 ------------ 137,676 ------------ Retail - General (6.41%) Central Garden and Pet Co.* 400 13,816 Family Dollar Stores 1,300 49,452 Gap Inc. 4,000 83,200 22 EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Lowe's Companies 4,000 $ 224,000 Sears, Roebuck And Co. 1,600 75,216 Target Corporation 3,900 171,444 TJX Companies Inc. 4,000 94,200 Wal-Mart Stores Inc. 2,500 148,900 ------------ 860,228 ------------ Textile & Apparel (0.58%) Liz Claiborne Inc. 2,100 77,490 ------------ Total Consumer Cyclical 1,134,284 ------------ Consumer Non-Durable (13.86%) Apparel (0.62%) Ross Store, Inc. 2,600 83,330 ------------ Business Service (0.58%) Dial Corp. 2,700 77,598 ------------ Communications & Media (2.27%) McGraw-Hill Companies Inc. 3,900 304,863 ------------ Cosmetic & Soap (0.94%) Clorox Company 900 44,154 Procter & Gamble Co. 800 82,008 ------------ 126,162 ------------ Drugs (2.42%) AmerisourceBergen Corp. 1,980 114,899 Baxter International Inc. 7,200 209,664 ------------ 324,563 ------------ Entertainment & Leisure (1.82%) McDonald's Corp. 8,600 243,380 ------------ Food, Beverage & Tobacco (3.83%) Fortune Brands Inc. 1,300 92,924 RJ Reynolds Tobacco Hldgs. 1,300 80,249 Simon Property Group Inc. 1,600 87,184 Tyson Foods, Inc. Cl. A 11,300 179,444 Vornado Realty Trust 1,300 73,970 ------------ 513,771 ------------ Hospital Supply & Service (0.55%) Omnicare, Inc. 1,600 73,696 ------------ Liquor (0.83%) Anheuser-Busch Companies Inc. 2,100 111,762 ------------ Total Consumer Non-Durable 1,859,125 Energy (10.69%) Energy Raw Material (0.45%) Baker Hughes Inc. 1,600 60,192 ------------ Miscellaneous (0.56%) Valero Energy Corp. 1,252 75,120 ------------ Oil & Gas - Domestic (3.79%) Apache Corp. 2,900 119,393 ConocoPhillips 4,291 295,521 Devon Energy Corporation 1,642 93,233 ------------ 508,147 ------------ Oil & Gas - International (4.97%) ChevronTexaco Corp. 2,400 212,040 Exxon Mobil Corp. 9,380 395,555 GlobalSantaFe Corp 2,000 59,000 ------------ 666,595 ------------ Oil & Gas - Service (0.92%) Ensco Intl., Inc. 2,400 70,488 Tidewater, Inc. 1,600 53,168 ------------ 123,656 ------------ Total Energy 1,433,710 ------------ Manufacturing (6.30%) Building & Housing (1.98%) Lennar Corp. 2,600 128,570 Pulte Corp. 2,600 137,176 ------------ 265,746 ------------ Chemical (1.04%) Praxair Inc. 2,600 94,432 Sherwin-Williams Co. 1,300 45,500 ------------ 139,932 ------------ Consumer Durable (1.31%) Coach Inc.* 3,200 126,816 Leggett & Platt Inc. 2,000 48,940 ------------ 175,756 ------------ Non Ferrous Metal (1.12%) Alcoa Inc. 4,000 149,880 ------------ Paper & Forest Product (0.85%) Plum Creek Timber Co. Inc. (REIT) 3,640 113,604 ------------ Total Manufacturing 844,918 ------------ Service (2.57%) Business (0.65%) Moody's Corp. 1,300 86,918 ------------ Consumer (1.92%) First Data Corp. 6,300 258,174 ------------ Total Service 345,092 ------------ Technology (4.16%) Business-Mechanics & Software (0.49%) Pitney Bowes Inc. 1,600 66,160 ------------ Electronic (1.77%) Hewlett-Packard Co. 4,000 90,840 Intel Corp. 5,000 146,150 ------------ 236,990 ------------ Office Equipment (0.51%) Diebold 1,300 68,497 ------------ Software (1.39%) Microsoft Corp. 4,200 111,300 Reynolds & Reynolds Class A 2,700 75,384 ------------ 186,684 ------------ Total Technology 558,331 ------------ Utility (4.84%) Electric (1.58%) Calpine Corp.* 27,000 148,770 Cinergy Corp. 1,600 62,704 ------------ 211,474 ------------ Energy (1.92%) Dominion Resources Inc/Va 850 53,406 Entergy Corp. 1,300 77,077 Exelon Corp. 1,100 73,854 Progress Energy Inc. 1,150 53,084 ------------ 257,421 ------------ Telephone (1.34%) SBC Communications Inc. 7,500 180,075 ------------ Total Utility 648,970 ------------ Total Common Stock (Cost $7,168,372) 9,850,836 ------------ 23 EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED)
Par Value Value (Note 1) --------- -------------- Short-Term Investments (26.36%) $ 2,700,000 United States Treasury Bills 0.87% 03/18/04 (b) 2,697,936 419,201 First American Prime Obligation Fund 419,201 419,201 First American Government Obligation Fund 419,201 ------------ Total Short-Term Investments (Cost $3,536,338) 3,536,338 ------------ Total Investments (Cost $10,704,710)(a) (99.80%) $ 13,387,174 Other Net Assets (0.20%) 26,662 ------------ Net Assets (100.00%) $ 13,413,836 ============ * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $10,704,710. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 2,913,426 Unrealized depreciation (230,962) ------------ Net unrealized appreciation 2,682,464 ============ (b) At February 29, 2004, certain United States Treasury Bills with a market value of $299,844 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 29, 2004: (Contracts-$500 times premium/delivery month/commitment) UNREALIZED APPRECIATION ------------ Russell 2000 Stock Index: 12 Mar 04/Long $ 173,193 ============
See accompanying notes to financial statements EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 2/29/2004 INCOME FUND (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Common Stock (96.53%) Banking & Financial Service (33.69%) Bank & Bank Holding Company (16.60%) ABN Amro Holding NV ADR 2,500 $ 58,125 Deutsche Bank AG ADR 1,006 87,039 Banco Bilbao Vizcaya Argentaria SA ADR 5,188 71,646 Banco Santander Central Hispano SA ADR 7,914 92,040 Barclays Plc ADR 5,451 200,869 Credit Suisse Group ADR 2,159 79,084 ING Groep NV ADR 3,167 77,877 UBS AG ADR 1,797 132,996 ------------ 799,676 ------------ Finance Company (5.68%) HSBC Holdings Plc ADR 3,348 273,699 ------------ Financial Service (5.04%) Allianz AG ADR 5,325 66,829 BNP Paribas ADR 2,925 92,402 Lloyds TSB Group Plc ADR 2,449 83,584 ------------ 242,815 ------------ Insurance (5.71%) Aegon NV ADR 2,318 34,469 Royal & Sun Alliance Insurance Group ADR 1,464 14,450 Swiss Reinsurance ADR 825 59,372 Vivendi Universal ADR* 1,773 51,151 Zurich Financial Services AG ADR* 1,117 18,293 Axa ADR 4,201 97,043 ------------ 274,778 ------------ Investment (0.66%) Prudential Plc ADR 1,709 31,856 ------------ Total Banking & Financial Service 1,622,824 ------------ Consumer Cylical (1.37%) Auto & Truck (1.37%) DaimlerChrysler AG ADR 1,471 66,092 ------------ Total Consumer Cylical 66,092 ------------ Consumer Non-Durable (22.41%) Communications & Media (0.60%) Telefonaktiebolaget LM Ericsson* 1,004 29,136 ------------ Consumer Product (1.43%) Unilever NV ADR 947 68,847 ------------ Cosmetic & Soap (0.92%) L'OREAL ADR 2,688 44,186 ------------ Drugs (12.97%) AstraZeneca Plc ADR 2,650 128,843 Glaxo SmithKline Plc ADR 4,642 197,842 Novartis ADR 3,601 158,984 Roche Holding AG ADR 1,350 139,247 ------------ 624,916 ------------ Food, Beverage & Tobacco (3.63%) Nestle SA ADR 2,650 174,747 ------------ Retail - Food & Drugs (2.86%) Diageo Plc ADR 1,471 83,332 Koninklijke Ahold NV ADR 6,496 54,567 ------------ 137,899 ------------ Total Consumer Non-Durable 1,079,730 ------------ Energy (17.29%) Miscellaneous (4.16%) Total Fina Elf SA ADR 2,179 200,446 ------------ Oil & Gas - International (11.04%) BP Amoco Plc ADR 5,276 259,579 Royal Dutch Petroleum Company ADR 3,278 162,556 Shell Transport & Trading Co. ADR 2,606 109,687 ------------ 531,822 ------------ Oil & Gas - Service (2.09%) ENI-Ente Nazionale Idrocarburi SpA ADR 1,017 100,500 ------------ Total Energy 832,768 ------------ 24 EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 2/29/2004 INCOME FUND CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Manufacturing (3.09%) Chemical (0.71%) Bayer AG ADR 1,203 $ 34,358 ------------ Diversified (2.38%) Siemens AG ADR 1,471 114,444 ------------ Total Manufacturing 148,802 ------------ Technology (7.20%) Electronic (1.26%) Koninklijke Philips Electronics NV ADR 1,997 60,749 ------------ Telecommunication (5.94%) Deutsche Telekom ADR* 4,145 81,532 Nokia OYJ ADR 6,256 136,193 Telecom Italia SpA* 2,154 68,174 ------------ 285,899 ------------ Total Technology 346,648 ------------ Utility (11.48%) Electric (1.55%) E.ON AG ADR 1,098 74,774 ------------ Telephone (9.20%) Alcatel SA ADR* 1,507 24,398 BT Group PLC ADR 1,495 50,322 Vodafone Group PLC ADR 9,510 237,465 Telefonica SA ADR 2,667 131,243 ------------ 443,428 ------------ Water (0.73%) Suez SA ADR 1,569 35,020 ------------ Total Utility 553,222 ------------ Total Common Stock (Cost $4,498,135) 4,650,086 ------------
Par Value --------- Short-Term Investments (3.46%) $ 83,402 First American Government Obligation Fund 83,402 83,402 First American Prime Obligation Fund 83,402 ------------- Total Short-Term Investments (Cost $166,804) 166,804 ------------- Total Investments (Cost $4,664,939)(a) (99.99%) 4,816,890 Other Net Assets (0.01%) 560 ------------- Net Assets (100.00%) $ 4,817,450 ============= ---------- * Non-Income Producing Security ** Unsponsored ADR ADR - American Depositary Receipts (a) Aggregate cost for federal income tax purposes is $4,664,939.At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 665,124 Unrealized depreciation (513,173) ------------- Net unrealized appreciation $ 151,951 =============
See accompanying notes to financial statements NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Common Stock (97.38%) Capital Good (0.50%) Intersil Corp 1,947 $ 45,930 Molex Inc. 1,529 48,439 ------------ Total Capital Good 94,369 ------------ Consumer Cyclical (4.18%) Bed Bath & Beyond Inc.* 6,165 252,025 Costco Wholesale Corp.* 3,732 145,287 Dollar Tree Stores Inc.* 1,716 53,024 Fastenal Co. 1,122 54,361 Gentex Corp. 1,236 50,379 Paccar Inc. 3,037 168,280 Petsmart Inc. 2,192 59,491 ------------ Total Consumer Cyclical 782,847 ------------ Consumer Non-Durable (16.14%) Biomet Inc. 5,330 207,763 Cintas Group 3,170 135,391 Comcast Corp.* 14,706 441,768 Dentsply Intl., Inc. 1,174 51,433 Echostar Communications Corp.* 3,935 142,132 Express Scripts, Inc.* 1,084 78,872 First Health Group Corp.* 1,513 32,045 Gilead Services, Inc.* 3,087 167,346 Henry Schein Inc.* 628 44,902 InterActiveCorp.* 11,436 372,471 Lincare Holdings Inc.* 1,466 47,410 Medimmune, Inc.* 4,102 105,380 Millinium Pharmeceuticals* 5,110 91,009 PanAmSat Corp.* 3,127 71,452 Patterson Dental Co.* 1,012 68,583 Paychex Inc. 5,536 178,093 Ross Store, Inc. 2,307 73,939 Staples Inc.* 5,150 135,033 Starbucks Corp.* 8,476 317,087 Teva Pharmaceutical Industries Ltd. 2,980 193,700 Whole Foods Market, Inc. 911 70,466 ------------ Total Consumer Non-Durable 3,026,275 ------------ Energy (0.24%) Patterson-UTI Energy Inc.* 1,293 46,910 ------------ Total Energy Manufacturing (6.91%) Applied Materials Inc.* 13,312 282,747 CDW Corp. 1,341 92,770 Citrix Systems Inc.* 3,020 63,964 25 NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004 CONTINUED (UNAUDITED) Company Shares Value (Note 1) ------- ------ -------------- Comverse Technology Inc.* 3,095 $ 61,033 Dell Inc.* 14,601 476,723 Garmin Ltd. 1,391 63,763 Lam Research Corp.* 1,871 47,841 Novellus Systems Inc.* 2,405 77,321 Sigma-Aldrich 1,030 58,885 Smurfit-Stone Container Corp.* 3,759 69,767 ------------ Total Manufacturing 1,294,814 ------------ Service (2.93%) Apollo Group Inc. * 2,760 210,174 Career Education Corp.* 1,414 70,686 Fiserv, Inc.* 3,755 144,981 Lamar Advertising Co.* 1,289 51,173 Mercury Interactive Corp.* 1,482 71,936 ------------ Total Service 548,950 ------------ Technology (65.70%) Adobe Systems Inc 3,548 132,128 Altera Corp.* 8,246 182,072 Amazon.com, Inc.* 4,122 177,864 American Power Conversion 3,087 69,828 Amgen Inc.* 9,308 591,337 Apple Computer Inc.* 7,916 189,430 ATI Technologies Inc.* 3,325 51,770 BEA Systems Inc.* 5,784 79,819 Biogen Idec Inc.* 5,863 325,103 Broadcom Corp.* 3,324 134,888 Cephalon, Inc.* 788 46,752 Check Point Software Technologies* 3,761 86,578 Chiron Corp.* 4,065 198,819 Cisco Systems Inc.* 38,176 881,866 Compuware Corp.* 3,672 28,788 Ebay, Inc.* 7,458 513,558 Electronic Arts* 4,649 219,247 Flextronics International Ltd.* 8,858 160,330 Genzyme Corp.* 4,348 220,791 Intel Corp. 35,404 1,034,859 Intuit Inc. * 3,871 171,718 Invitrogen Corp* 742 54,685 JDS Uniphase Corp.* 25,146 123,215 Juniper Networks Inc.* 3,957 102,368 Kla-Tencor Corp.* 3,653 192,878 Level 3 Comm., Inc.* 9,285 39,926 Linear Technology Corp. 6,464 258,495 Marvell Technology Group Ltd.* 1,678 76,399 Maxim Integrated Products 7,129 355,808 Microchip Tech 2,668 76,038 Microsoft Corp. 57,603 1,526,480 Network Appliance Inc.* 5,582 120,906 Nextel Communications Inc.* 21,209 561,826 Nvidia Corp.* 2,714 60,387 Oracle Corporation* 33,734 434,494 Peoplesoft Inc.* 8,202 176,999 Pixar Inc.* 862 56,668 Qlogic Corp.* 1,489 62,240 Qualcomm Inc. 14,937 947,753 Research In Motion Ltd.* 1,094 108,240 Sandisk Corp.* 2,024 51,329 Sanmina Corp.* 8,546 108,449 Siebel Systems Inc* 8,988 117,383 Sun Microsystems Inc.* 21,987 117,411 Symantec Corp.* 4,988 205,206 Synopsys, Inc.* 2,225 65,593 Tellabs Inc.* 3,675 35,648 VeriSign Inc.* 3,522 61,318 Veritas Software Corp.* 6,767 205,852 Xilinx Inc.* 7,032 295,625 Yahoo Inc* 4,896 217,385 ------------ Total Technology 12,314,549 ------------ Transportation (0.78%) C.H. Robinson Worldwide, Inc. 1,293 51,216 Expeditors International Washington Inc. 1,596 61,510 Ryanair Holdings plc* 942 32,603 ------------ Total Transportation 145,329 ------------ Total Common Stock (Cost $22,987,391) 18,254,043 ------------
Par Value --------- Short-Term Investments (2.61%) $ 400,000 United States Treasury Bills 0.87% 03/18/04 (b) 399,839 44,830 First American Prime Obligation Fund 44,830 44,830 First American Government Obligation Fund 44,830 ------------- Total Short-Term Investments (Cost $489,499) 489,499 ------------- Total Investments (Cost $23,476,890)(a) (99.99%) 18,743,542 Other Net Assets (0.01%) 1,014 ------------- Net Assets (100.00%) $ 18,744,556 ============= ---------- * Non- Income Producing Security ADR- American Depositary Receipts. (a) Aggregate cost for federal income tax purposes is $ 23,476,890. At February 29, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 2,741,731 Unrealized depreciation (7,475,079) ------------- Net unrealized depreciation $ (4,733,348) ============= (b) At February 29, 2004, certain United States Treasury Bills with a market value of $299,844 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 29, 2004: (Contracts-$100 times premium/delivery month/commitment) UNREALIZED DEPRECIATION ------------- Nasdaq 100 Futures: 3 Mar 04/Long $ (14,664) =============
See accompanying notes to financial statements 26 STATEMENT OF ASSETS & LIABILITIES FEBRUARY 29, 2004 (UNAUDITED)
California California Tax- Insured California Tax- U.S. Free Money Intermediate Free Income Government Market Fund Fund Fund Securities Fund ---------------------------------------------------------------------- ASSETS Investments at market value (identified cost $96,644,445, $26,375,102, $151,503,523, $30,023,403, $40,872,814 and $17,677,239, respectively)(Note 1) $96,644,445 $28,099,478 $173,345,169 $30,319,895 Cash 1,057 54,121 33,139 71,768 Interest receivable 172,180 286,889 1,865,456 235,371 ---------------------------------------------------------------------- Total Assets 96,817,682 28,440,488 175,243,764 30,627,034 ---------------------------------------------------------------------- LIABILITIES Payable to Investment Advisor 20,426 7,946 66,243 8,880 Accrued 12b-1 fee - K Shares -- -- -- 193 Accrued shareholder service fee - K Shares -- -- -- 252 Accrued expenses 36,231 12,038 65,612 16,366 Distributions payable 32,478 62,240 495,785 47,471 ---------------------------------------------------------------------- Total Liabilities 89,135 82,224 627,640 73,162 ---------------------------------------------------------------------- NET ASSETS: $96,728,547 $28,358,264 $174,616,124 $30,553,872 ====================================================================== Net Assets at February 29, 2004 consist of Paid-in capital $96,746,646 $26,530,909 $151,152,018 $29,945,475 Undistributed net investment income -- 21,177 502,150 8,944 Accumulated net realized gains (losses) (18,099) 84,800 1,563,167 302,961 Unrealized appreciation of investments -- 1,721,378 21,398,789 296,492 ---------------------------------------------------------------------- $96,728,547 28,358,264 $174,616,124 $30,553,872 ====================================================================== NET ASSETS Direct Shares $96,728,547 $28,358,264 $174,616,124 $29,803,820 ====================================================================== K Shares $ -- $ -- $ -- $ 750,052 ====================================================================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 96,795,176 2,530,068 13,256,280 2,794,748 ====================================================================== K Shares (no par value, unlimited shares authorized) -- -- -- 70,098 ====================================================================== NET ASSET VALUE PER SHARE Direct Shares $ 1.00 $ 11.21 $ 13.17 $ 10.66 ====================================================================== K Shares $ -- $ -- $ -- $ 10.70 ====================================================================== The United Short-Term U.S States Treasury Government Trust Bond Fund ----------------------------------- ASSETS Investments at market value (identified cost $96,644,445, $26,375,102, $151,503,523, $30,023,403, $40,872,814 and $17,677,239, respectively)(Note 1) $40,872,814 $17,766,024 Cash 11,503 82,032 Interest receivable -- 180,335 -------------------------------- Total Assets 40,884,317 18,028,391 -------------------------------- LIABILITIES Payable to Investment Advisor 3,738 3,619 Accrued 12b-1 fee - K Shares 65 185 Accrued shareholder service fee - K Shares 102 225 Accrued expenses 20,739 12,317 Distributions payable 17,769 12,272 -------------------------------- Total Liabilities 42,413 28,618 -------------------------------- NET ASSETS: $40,841,904 $17,999,773 ================================ Net Assets at February 29, 2004 consist of Paid-in capital $40,839,972 $17,910,480 Undistributed net investment income -- 6,375 Accumulated net realized gains (losses) 1,932 (5,867) Unrealized appreciation of investments -- 88,785 -------------------------------- $40,841,904 $17,999,773 ================================ NET ASSETS Direct Shares $40,458,972 $17,056,561 ================================ K Shares $ 382,932 $ 943,212 ================================ SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 40,456,826 1,678,815 ================================ K Shares (no par value, unlimited shares authorized) 382,963 92,819 ================================ NET ASSET VALUE PER SHARE Direct Shares $ 1.00 $ 10.16 ================================ K Shares $ 1.00 $ 10.16 ================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 27 STATEMENT OF ASSETS & LIABILITIES FEBRUARY 29, 2004 (UNAUDITED)
S&P 500 Index S&P MidCap S&P SmallCap Equity Income Fund Index Fund Index Fund Fund ---------------------------------------------------------------------- ASSETS Investments at market value (identified cost $96,994,838, $96,115,930, $17,722,644, $10,704,710, $4,664,939 and $23,476,890, respectively)(Note 1) $ 113,821,524 $ 125,316,027 $ 23,056,911 $ 13,387,174 Cash 246 -- -- 1,274 Interest receivable 864 2,303 554 337 Dividend receivable 182,321 105,903 9,612 16,626 Receivable for fund shares sold 34,938 77,245 -- -- Variation margin receivable 6,610 31,740 8,200 24,600 ---------------------------------------------------------------------- Total Assets 114,046,503 125,533,218 23,075,277 13,430,011 ---------------------------------------------------------------------- LIABILITIES Payable for fund shares repurchased 11,643 3,038 1,782 -- Payable to Investment Advisor 7,520 32,783 5,996 3,930 Accrued 12b-1 fee - K Shares 209 237 229 131 Accrued shareholder service fee - K Shares 262 289 279 175 Accrued expenses 38,439 43,109 15,709 11,939 ---------------------------------------------------------------------- Total Liabilities 58,073 79,456 23,995 16,175 ---------------------------------------------------------------------- NET ASSETS: $ 113,988,430 $ 125,453,762 $ 23,051,282 $ 13,413,836 ====================================================================== Net Assets at February 29, 2004 consist of Paid-in capital $ 106,818,171 $ 98,094,319 $ 17,348,822 $ 11,321,123 Undistributed net investment income 252,105 120,953 3,209 19,283 Accumulated net realized gains (losses) (9,935,051) (2,158,087) 333,928 (782,227) Unrealized appreciation (depreciation) of investments 16,826,686 29,200,097 5,334,267 2,682,464 Unrealized appreciation (depreciation) of futures contracts 26,519 196,480 31,056 173,193 ---------------------------------------------------------------------- $ 113,988,430 $ 125,453,762 $ 23,051,282 $ 13,413,836 ====================================================================== NET ASSETS Direct Shares $ 112,908,697 $ 124,124,846 $ 21,706,653 $ 12,964,073 ====================================================================== K Shares $ 1,079,733 $ 1,328,916 $ 1,344,629 $ 449,763 ====================================================================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 4,882,983 6,278,520 1,335,515 912,963 ====================================================================== K Shares (no par value, unlimited shares authorized) 46,628 67,214 82,820 31,623 ====================================================================== NET ASSET VALUE PER SHARE Direct Shares $ 23.12 $ 19.77 $ 16.25 $ 14.20 ====================================================================== K Shares $ 23.16 $ 19.77 $ 16.24 $ 14.22 ====================================================================== European Growth & Nasdaq-100 Income Fund Index Fund -------------------------------- ASSETS Investments at market value (identified cost $96,994,838, $96,115,930, $17,722,644, $10,704,710, $4,664,939 and $23,476,890, respectively)(Note 1) $ 4,816,890 $ 18,743,542 Cash -- -- Interest receivable 28 162 Dividend receivable 13,992 5,427 Receivable for fund shares sold -- 20,000 Variation margin receivable -- -- -------------------------------- Total Assets 4,830,910 18,769,131 -------------------------------- LIABILITIES Payable for fund shares repurchased -- -- Payable to Investment Advisor 268 4,211 Accrued 12b-1 fee - K Shares 129 242 Accrued shareholder service fee - K Shares 169 324 Accrued expenses 12,894 19,798 -------------------------------- Total Liabilities 13,460 24,575 -------------------------------- NET ASSETS: $ 4,817,450 $ 18,744,556 ================================ Net Assets at February 29, 2004 consist of Paid-in capital $ 4,885,244 $ 31,968,262 Undistributed net investment income 9,637 (31,526) Accumulated net realized gains (losses) (229,382) (8,444,168) Unrealized appreciation (depreciation) of investments 151,951 (4,733,348) Unrealized appreciation (depreciation) of futures contracts -- (14,664) -------------------------------- $ 4,817,450 $ 18,744,556 ================================ NET ASSETS Direct Shares $ 4,317,901 $ 17,835,987 K Shares $ 499,549 $ 908,569 SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 564,856 4,794,609 ================================ K Shares (no par value, unlimited shares authorized) 65,363 244,300 ================================ NET ASSET VALUE PER SHARE Direct Shares $ 7.64 $ 3.72 ================================ K Shares $ 7.64 $ 3.72 ================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 28 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 29, 2004 (UNAUDITED)
California California Tax- Insured California Tax- U.S. Free Money Intermediate Free Income Government Market Fund Fund Fund Securities Fund ----------------------------------------------------------------------- Investment Income Interest income $ 406,243 $ 498,804 $ 3,926,088 $ 479,692 ----------------------------------------------------------------------- Expenses Management fees (Note 2) 218,391 70,517 421,315 77,450 Transfer agent fees 17,617 7,933 31,693 11,349 Accounting services 31,013 11,193 53,974 13,626 Custodian fees 5,349 1,552 7,812 2,568 Legal and audit fees 10,579 4,542 17,043 4,944 Trustees fees 3,212 3,041 2,844 993 Insurance 1,708 561 3,550 623 Printing 1,505 452 3,171 1,395 12b-1 Fees - K Shares -- -- -- 252 Shareholder Service Fee - K Shares -- -- -- 252 Registration & dues 1,086 453 1,973 2,386 ----------------------------------------------------------------------- Total Expenses 290,460 100,244 543,375 115,838 Less reimbursement from manager (Note 2) (98,276) (17,034) -- (14,648) ----------------------------------------------------------------------- Net Expenses 192,184 83,210 543,375 101,190 ----------------------------------------------------------------------- Net Investment Income 214,059 415,594 3,382,713 378,502 ----------------------------------------------------------------------- Realized and Unrealized Gain on Investments Net realized gain from security transactions -- 96,349 1,824,177 320,595 Change in unrealized appreciation of investments -- 1,026,143 6,601,253 196,597 ----------------------------------------------------------------------- Net realized and unrealized gain on investments -- 1,122,492 8,425,430 517,192 ----------------------------------------------------------------------- Net increase in net assets resulting from operations $ 214,059 $ 1,538,086 $ 11,808,143 $ 895,694 ======================================================================= Short-Term The United U.S. States Treasury Government Trust Bond Fund --------------------------------- Investment Income Interest income $ 191,476 $ 159,166 --------------------------------- Expenses Management fees (Note 2) 100,648 49,659 Transfer agent fees 13,564 9,323 Accounting services 17,723 9,294 Custodian fees 2,627 1,353 Legal and audit fees 7,033 4,226 Trustees fees 1,052 1,173 Insurance 803 360 Printing 1,350 582 12b-1 Fees - K Shares 102 225 Shareholder Service Fee - K Shares 102 225 Registration & dues 2,775 1,399 --------------------------------- Total Expenses 147,779 77,819 Less reimbursement from manager (Note 2) (71,635) (27,710) --------------------------------- Net Expenses 76,144 50,109 Net Investment Income 115,332 109,057 --------------------------------- Realized and Unrealized Gain on Investments Net realized gain from security transactions 2,038 3,251 Change in unrealized appreciation of investments -- 97,984 --------------------------------- Net realized and unrealized gain on investments 2,038 101,235 --------------------------------- Net increase in net assets resulting from operations $ 117,370 $ 210,292 =================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 29 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 29, 2004 (UNAUDITED)
S&P 500 S&P MidCap S&P SmallCap Equity Income Index Fund Index Fund Index Fund Fund ---------------------------------------------------------------------- Investment Income Interest income $ 7,520 $ 7,885 $ 2,715 $ 7,937 Dividend income 903,610 656,597 82,033 107,107 ---------------------------------------------------------------------- Total 911,130 664,482 84,748 115,044 ---------------------------------------------------------------------- Expenses Management fees (Note 2) 131,971 232,058 51,741 28,254 Transfer agent fees 26,000 25,581 12,728 8,906 Accounting services 33,981 36,682 9,616 7,081 Custodian fees 5,613 4,862 3,370 1,089 Legal and audit fees 13,722 11,542 4,445 3,907 Trustees fees 1,107 1,172 1,183 1,180 Insurance 2,028 2,112 382 211 Printing 5,840 5,422 1,885 1,037 Registration & dues 4,541 5,572 2,974 2,438 12b-1 Fees - K Shares 262 289 279 175 Shareholder Service Fee - K Shares 262 289 279 175 Licensing fee 7,053 5,934 947 -- ---------------------------------------------------------------------- Total Expenses 232,380 331,515 89,829 54,453 Less reimbursement from manager (Note 2) (89,328) (51,103) (22,007) (8,897) ---------------------------------------------------------------------- Net Expenses 143,052 280,412 67,822 45,556 ---------------------------------------------------------------------- Net Investment Income (loss) 768,078 384,070 16,926 69,488 ---------------------------------------------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions (312,920) 1,059,538 481,726 62,384 Net realized gain from futures contracts 510,994 629,022 76,429 178,365 Change in unrealized appreciation (depreciation) of investments 13,306,890 15,412,653 2,621,253 1,223,549 Change in unrealized appreciation (depreciation) of futures contracts (39,698) 46,663 2,031 148,288 ---------------------------------------------------------------------- Net realized and unrealized gain on investments 13,465,266 17,147,876 3,181,439 1,612,586 ---------------------------------------------------------------------- Net increase in net assets resulting from operations $ 14,233,344 $ 17,531,946 $ 3,198,365 $ 1,682,074 ====================================================================== European Growth & Nasdaq-100 Income Fund Index Fund --------------------------------- Investment Income Interest income $ 288 $ 3,497 Dividend income 34,630 23,203 --------------------------------- Total 34,918 26,700 --------------------------------- Expenses Management fees (Note 2) 17,156 44,291 Transfer agent fees 8,440 14,817 Accounting services 5,385 9,422 Custodian fees 2,163 2,856 Legal and audit fees 3,429 4,555 Trustees fees 1,251 1,302 Insurance 74 312 Printing 846 2,532 Registration & dues 529 2,594 12b-1 Fees - K Shares 169 324 Shareholder Service Fee - K Shares 169 324 Licensing fee -- 3,327 --------------------------------- Total Expenses 39,611 86,656 Less reimbursement from manager (Note 2) (20,097) (28,430) --------------------------------- Net Expenses 19,514 58,226 --------------------------------- Net Investment Income (loss) 15,404 (31,526) --------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions (32,681) (719,478) Net realized gain from futures contracts 2,439 266,276 Change in unrealized appreciation (depreciation) of investments 868,480 2,006,696 Change in unrealized appreciation (depreciation) of futures contracts -- (74,024) --------------------------------- Net realized and unrealized gain on investments 838,238 1,479,470 --------------------------------- Net increase in net assets resulting from operations $ 853,642 $ 1,447,944 =================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 30 STATEMENT OF CHANGES IN NET ASSETS
California Tax-Free Money California Insured Market Fund Intermediate Fund ---------------------------------- ----------------------------------- Six Months Six Months Ended February Year Ended Ended February Year Ended 29, 2004 August 31, 29, 2004 August 31, (Unaudited) 2003 (Unaudited) 2003 ----------------------------------------------------------------------- Operations Net investment income $ 214,059 $ 645,114 $ 415,594 $ 833,139 Net realized gain (loss) on investments -- (3,258) 96,349 425,965 Change in unrealized appreciation of investments -- -- 1,026,143 (972,397) ----------------------------------------------------------------------- Net increase in net assets resulting from operations 214,059 641,856 1,538,086 286,707 Undistributed investment income included in price of shares sold and repurchased -- -- -- (456) Distributions to Shareholders Distributions from net investment income (214,059) (645,114) (415,742) (830,980) Distributions from realized capital gains on investments -- -- (78,682) (511,265) Capital Share Transactions Increase (decrease) in net assetsresulting from capital share transactions 7,924,741 (4,563,940) (591,142) 1,856,531 ----------------------------------------------------------------------- Total increase (decrease) 7,924,741 (4,567,198) 452,520 800,537 Net Assets Beginning of period 88,803,806 93,371,004 27,905,744 27,105,207 ----------------------------------------------------------------------- End of period * $ 96,728,547 $ 88,803,806 $ 28,358,264 $ 27,905,744 ======================================================================= *Including undistributed net investment income of: $ -- $ -- $ 21,177 $ 21,325 ======================================================================= California Tax-Free Income Fund ---------------------------------- Six Months Ended February Year Ended 29, 2004 August 31, (Unaudited) 2003 ---------------------------------- Operations Net investment income $ 3,382,713 $ 7,351,341 Net realized gain (loss) on investments 1,824,177 1,649,847 Change in unrealized appreciation of investments 6,601,253 (6,385,442) --------------------------------- Net increase in net assets resulting from operations 11,808,143 2,615,746 Undistributed investment income included in price of shares sold and repurchased -- (65,722) Distributions to Shareholders Distributions from net investment income (3,386,947) (7,287,147) Distributions from realized capital gains on investments (1,385,238) (2,384,618) Capital Share Transactions Increase (decrease) in net assetsresulting from capital share transactions (4,908,247) (27,298,506) --------------------------------- Total increase (decrease) 2,127,711 (34,420,247) Net Assets Beginning of period 172,488,413 206,908,660 --------------------------------- End of period * $ 174,616,124 $ 172,488,413 ================================= *Including undistributed net investment income of: $ 502,150 $ 506,382 =================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 31 STATEMENT OF CHANGES IN NET ASSETS
U.S. Government The United States Securities Fund Treasury Trust ---------------------------------- ----------------------------------- Six Months Six Months Ended February Year Ended Ended February Year Ended 29, 2004 August 31, 29, 2004 August 31, (Unaudited) 2003 (Unaudited) 2003 ----------------------------------------------------------------------- Operations Net investment income $ 378,502 $ 1,069,782 $ 115,332 $ 371,220 Net realized gain on investments 320,595 946,601 2,038 5,486 Change in unrealized appreciation (depreciation) of investments 196,597 (1,176,844) -- -- ----------------------------------------------------------------------- Net increase in net assets resulting from operations 895,694 839,539 117,370 376,706 Undistributed investment income included in price of shares sold and repurchased -- (4,381) -- -- Distributions to Shareholders Distributions from net investment income -- (1,332,875) -- (371,220) Direct Shares (367,755) -- (115,315) -- K Shares (1,804) -- (17) -- Distributions from realized capital gains on investments -- -- -- (7,280) Direct Shares (224,970) -- (5,459) -- K Shares (191) -- (28) -- Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions (1,332,523) (1,191,709) 210,843 (10,376,732) ----------------------------------------------------------------------- Total increase (decrease) (1,031,549) (1,689,426) 207,394 (10,378,526) Net Assets Beginning of period 31,585,421 33,274,847 40,634,510 51,013,036 ----------------------------------------------------------------------- End of period * $ 30,553,872 $ 31,585,421 $ 40,841,904 $ 40,634,510 ======================================================================= *Including undistributed net investment income of: $ 8,944 $ -- $ -- $ -- ======================================================================= Short-Term U.S. Government Bond Fund ---------------------------------- Six Months Ended February Year Ended 29, 2004 August 31, (Unaudited) 2003 --------------------------------- Operations Net investment income $ 109,057 $ 228,078 Net realized gain on investments 3,251 33,884 Change in unrealized appreciation (depreciation) of investments 97,984 (133,119) --------------------------------- Net increase in net assets resulting from operations 210,292 128,843 Undistributed investment income included in price of shares sold and repurchased -- 5,482 Distributions to Shareholders Distributions from net investment income -- (227,749) Direct Shares (103,754) -- K Shares (617) -- Distributions from realized capital gains on investments -- -- Direct Shares (14,053) -- K Shares (4) -- Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions (3,592,472) 10,651,423 --------------------------------- Total increase (decrease) (3,500,608) 10,557,999 Net Assets Beginning of period 21,500,381 10,942,382 --------------------------------- End of period * $ 17,999,773 $ 21,500,381 ================================= *Including undistributed net investment income of: $ 6,375 $ 1,689 =================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 32 STATEMENT OF CHANGES IN NET ASSETS
S&P 500 S&P MidCap Index Fund Index Fund ---------------------------------- ---------------------------------- Six Months Six Months Ended February Year Ended Ended February Year Ended 29, 2004 August 31, 29, 2004 August 31, (Unaudited) 2003 (Unaudited) 2003 ----------------------------------------------------------------------- Operations Net investment income $ 768,078 $ 1,380,709 $ 384,070 $ 708,857 Net realized gain (loss) on investments (312,920) 1,782,303 1,059,538 54,162 Net realized gain (loss) on future contracts 510,994 285,526 629,022 (338,584) Change in unrealized appreciation of investments 13,306,890 6,973,080 15,412,653 14,003,959 Change in unrealized appreciation of future contracts (39,698) 107,430 46,663 233,046 ----------------------------------------------------------------------- Net increase in net assets resulting from operations 14,233,344 10,529,048 17,531,946 14,661,440 Undistributed investment income included in price of shares sold and repurchased -- (10,787) -- (21,908) Distributions to Shareholders Distributions from net investment income Direct Shares (748,007) (1,437,422) (381,442) (721,101) K Shares (210) -- (120) -- Distributions from realized capital gains on investments Direct Shares -- -- -- -- K Shares -- -- -- -- Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions 2,239,278 (4,777,634) 4,532,369 (6,737,660) ----------------------------------------------------------------------- Total increase 15,724,405 4,303,205 21,682,753 7,180,771 Net Assets Beginning of period 98,264,025 93,960,820 103,771,009 96,590,238 ----------------------------------------------------------------------- End of period * $ 113,988,430 $ 98,264,025 $ 125,453,762 $ 103,771,009 ======================================================================= *Including undistributed net investment income of: $ 252,105 $ 232,243 $ 120,953 $ 118,445 ======================================================================= S&P SmallCap Index Fund --------------------------------- Six Months Ended February Year Ended 29, 2004 August 31, (Unaudited) 2003 --------------------------------- Operations Net investment income $ 16,926 $ 48,003 Net realized gain (loss) on investments 481,726 (223,115) Net realized gain (loss) on future contracts 76,429 151,045 Change in unrealized appreciation of investments 2,621,253 3,313,167 Change in unrealized appreciation of future contracts 2,031 49,213 --------------------------------- Net increase in net assets resulting from operations 3,198,365 3,338,313 Undistributed investment income included in price of shares sold and repurchased -- (544) Distributions to Shareholders Distributions from net investment income Direct Shares (20,296) (41,424) K Shares -- -- Distributions from realized capital gains on investments Direct Shares (182,876) (51,780) K Shares (312) -- Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions 1,530,679 (532,095) --------------------------------- Total increase 4,525,560 2,712,470 Net Assets Beginning of period 18,525,722 15,813,252 --------------------------------- End of period * $ 23,051,282 $ 18,525,722 ================================= *Including undistributed net investment income of: $ 3,209 $ 6,579 =================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 33 STATEMENT OF CHANGES IN NET ASSETS
European Growth & Equity Income Fund Income Fund ---------------------------------- ---------------------------------- Six Months Six Months Ended February Year Ended Ended February Year Ended 29, 2004 August 31, 29, 2004 August 31, (Unaudited) 2003 (Unaudited) 2003 ----------------------------------------------------------------------- Operations Net investment income (loss) $ 69,488 $ 116,271 $ 15,404 $ 50,410 Net realized gain (loss) on investments 62,384 (167,786) (32,681) 1,828 Net realized gain on futures contracts 178,365 69,886 2,439 -- Change in unrealized appreciation of investments 1,223,549 884,219 868,480 172,978 Change in unrealized appreciation (depreciation) of future contracts 148,288 (20,831) -- -- ----------------------------------------------------------------------- Net increase in net assets resulting from operations 1,682,074 881,759 853,642 225,216 Undistributed investment income included in price of shares sold and repurchased -- 1,233 -- (1,575) Distributions to Shareholders Distributions from net investment income Direct Shares (76,663) (112,369) (18,842) (37,320) K Shares (130) -- (15) -- Capital Share Transactions Increase in net assets resulting from capital share transactions 1,990,722 786,237 618,267 820,820 ----------------------------------------------------------------------- Total increase 3,596,003 1,556,860 1,453,052 1,007,141 Net Assets Beginning of period 9,817,833 8,260,973 3,364,398 2,357,257 ----------------------------------------------------------------------- End of period * $ 13,413,836 $ 9,817,833 $ 4,817,450 $ 3,364,398 ======================================================================= *Including undistributed net investment income (loss) of: $ 19,283 $ 26,588 $ 9,637 $ 13,090 ======================================================================= Nasdaq-100 Index Fund --------------------------------- Six Months Ended February Year Ended 29, 2004 August 31, (Unaudited) 2003 --------------------------------- Operations Net investment income (loss) $ (31,526) $ (42,420) Net realized gain (loss) on investments (719,478) (2,137,456) Net realized gain on futures contracts 266,276 171,730 Change in unrealized appreciation of investments 2,006,696 5,700,746 Change in unrealized appreciation (depreciation) of future contracts (74,024) 59,194 --------------------------------- Net increase in net assets resulting from operations 1,447,944 3,751,794 Undistributed investment income included in price of shares sold and repurchased -- (4,679) Distributions to Shareholders Distributions from net investment income Direct Shares -- -- K Shares -- -- Capital Share Transactions Increase in net assets resulting from capital share transactions 2,368,552 1,990,080 Total increase 3,816,496 5,737,195 Net Assets Beginning of period 14,928,060 9,190,865 --------------------------------- End of period * $ 18,744,556 $ 14,928,060 ================================= *Including undistributed net investment income (loss) of: $ (31,526) $ -- =================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 34 STATEMENT OF CHANGES IN NET ASSETS
California Tax-Free Income Fund California Insured Intermediate Fund ------------------------------- ------------------------------------ Six Months Ended Year Ended Six Months Ended Year Ended February 29, 2004 (Unaudited) August 31, 2003 February 29, 2004 (Unaudited) August 31, 2003 ----------------------------- ------------------------- ----------------------------- --------------------- Shares Value Shares Value Shares Value Shares Value --------------------------------------------------------- ---------------------------------------------------- Shares sold ........ 1,912,076 $ 24,630,708 7,770,923 $ 101,005,637 60,828 $ 674,895 592,416 $ 6,603,082 Shares issued in reinvestment of distributions .... 258,318 3,343,082 582,865 7,578,002 29,504 325,888 91,987 1,007,408 --------------------------------------------------------- ---------------------------------------------------- 2,170,394 27,973,790 8,353,788 108,583,639 90,332 1,000,783 684,403 7,610,490 Shares repurchased . (2,537,810) (32,882,037) (10,361,336) (135,882,145) (144,228) (1,591,925) (517,192) (5,753,959) --------------------------------------------------------- ---------------------------------------------------- Net increase (decrease) ....... (367,416) $ (4,908,247) (2,007,548) $ (27,298,506) (53,896) (591,142) 167,211 1,856,531 ========================================================= ==================================================== The United States Treasury Trust California Tax-Free Money Market Direct Shares K Shares -------------------- ------------- -------- Six Months Ended Year Ended Six Months Ended Year Ended October 16, 2003 to February 29, 2004 August 31, February 29, 2004 August 31, February 29, 2004 * (Unaudited) 2003 (Unaudited) 2003 (Unaudited) ----------------- ------------- ------------------ ------------ ------------------- Shares/Value Shares/Value Shares/Value Shares/Value Shares/Value ----------------- ------------- ------------------ ------------ ------------------- Shares sold ................. 34,240,643 74,019,274 37,487,367 113,535,711 654,903 Shares issued in reinvestment of distributions ........... 174,818 621,574 97,436 356,883 21 ----------- ----------- ----------- ------------ -------- 34,415,461 74,640,848 37,584,803 113,892,594 654,924 Shares repurchased .......... (26,490,720) (79,204,788) (37,756,923) (124,269,326) (271,961) ----------- ----------- ----------- ------------ -------- Net increase (decrease) ..... 7,924,741 (4,563,940) (172,120) (10,376,732) 382,963 =========== =========== =========== ============ ======== SHORT-TERM U.S. GOVERNMENT BOND FUND Direct Shares K Shares ------------- -------- Six Months Ended October 16, 2003 to February 29, 2004 Year Ended February 29, 2004 * (Unaudited) August 31, 2003 (Unaudited) ---------------------------- ----------------------------- ------------------------- Shares Value Shares Value Shares Value ---------------------------------------------------------- ----------- ------------- Shares sold ......................... 263,137 $ 2,666,521 1,699,959 $ 17,245,618 103,843 $ 1,052,624 Shares issued in reinvestment of distributions ..................... 9,947 100,752 18,698 189,829 26 268 ---------------------------------------------------------- ----------- ------------- 273,084 2,767,273 1,718,657 17,435,447 103,868 1,052,892 Shares repurchased .................. (720,246) (7,300,492) (668,361) (6,784,024) (11,050) (112,145) ---------------------------------------------------------- ----------- ------------- Net increase (decrease) ........... (447,162) $(4,533,219) 1,050,296 $ 10,651,423 92,819 $ 940,747 ========================================================== =========== =============
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 35 STATEMENT OF CHANGES IN NET ASSETS
Direct Shares K Shares U.S. GOVERNMENT SECURITIES FUND ------------- ---------- October 16, 2003 to Six Months Ended Year Ended February 29, 2004 * February 29, 2004 (Unaudited) August 31, 2003 (Unaudited) ------------------------------ ------------------------------- ------------------------- Shares Value Shares Value Shares Value -------------------------------------------------------------- ------------------------- Shares sold .......................... 282,805 $ 3,005,860 1,673,739 $ 18,056,033 75,757 $ 805,215 Shares issued in reinvestment of distributions ...................... 44,653 472,367 105,638 1,138,387 113 1,196 -------------------------------------------------------------- ------------------------- 327,458 3,478,227 1,779,377 19,194,420 75,870 806,411 Shares repurchased ................... (523,596) (5,555,592) (1,890,170) (20,386,129) (5,772) (61,569) -------------------------------------------------------------- ------------------------- Net increase (decrease) ............ (196,138) $ (2,077,365) (110,793) (1,191,709) 70,098 $ 744,842 ============================================================== =========================
S&P 500 INDEX FUND Direct Shares K Shares ------------- -------- October 16, 2003 to Six Months Ended Year Ended February 29, 2004 * February 29, 2004 (Unaudited) August 31, 2003 (Unaudited) ------------------------------ ------------------------------- ------------------------- Shares Value Shares Value Shares Value -------------------------------------------------------------- ------------------------- Shares sold .......................... 334,159 $ 7,309,810 903,499 $ 16,439,574 54,856 $ 1,236,951 Shares issued in reinvestment of distributions ...................... 27,847 592,422 65,058 1,141,330 9 198 -------------------------------------------------------------- ------------------------- 362,006 7,902,232 968,557 17,580,904 54,865 1,237,149 Shares repurchased ................... (306,327) (6,716,254) (1,225,981) (22,358,538) (8,237) (183,849) -------------------------------------------------------------- ------------------------- Net increase (decrease) ............ 55,679 $ 1,185,978 (257,424) $ (4,777,634) 46,628 $ 1,053,300 ============================================================== =========================
S&P MIDCAP INDEX FUND Direct Shares K Shares ------------- -------- October 16, 2003 to Six Months Ended Year Ended February 29, 2004 * February 29, 2004 (Unaudited) August 31, 2003 (Unaudited) ------------------------------ ------------------------------- ------------------------- Shares Value Shares Value Shares Value -------------------------------------------------------------- ------------------------- Shares sold .......................... 793,457 $ 14,476,107 2,936,166 $ 42,217,029 68,968 $ 1,334,121 Shares issued in reinvestment of distributions ...................... 18,288 327,842 44,420 626,756 6 110 -------------------------------------------------------------- ------------------------- 811,745 14,803,949 2,980,586 42,843,785 68,974 1,334,231 Shares repurchased ................... (634,012) (11,571,697) (3,496,440) (49,581,445) (1,760) (34,114) -------------------------------------------------------------- ------------------------- Net increase (decrease) ............ 177,733 $ 3,232,252 (515,854) $ (6,737,660) 67,214 $ 1,300,117 ============================================================== =========================
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 36 STATEMENT OF CHANGES IN NET ASSETS
S&P SMALLCAP INDEX FUND Direct Shares K Shares ------------- -------- October 16, 2003 to Six Months Ended Year Ended February 29, 2004 * February 29, 2004 (Unaudited) August 31, 2003 (Unaudited) ------------------------------ ------------------------------- ------------------------- Shares Value Shares Value Shares Value -------------------------------------------------------------- ------------------------- Shares sold .......................... 166,160 $ 2,518,177 555,740 $ 6,709,355 83,875 $ 1,325,235 Shares issued in reinvestment of distributions ...................... 13,210 200,465 7,771 90,119 20 312 -------------------------------------------------------------- ------------------------- 179,370 2,718,642 563,511 6,799,474 83,895 1,325,547 Shares repurchased ................... (160,794) (2,496,394) (609,969) (7,331,569) (1,075) (17,116) -------------------------------------------------------------- ------------------------- Net increase (decrease) ............ 18,576 $ 222,248 (46,458) $ (532,095) 82,820 $ 1,308,431 ============================================================== =========================
EQUITY INCOME FUND Direct Shares K Shares ------------- -------- October 16, 2003 to Six Months Ended Year Ended February 29, 2004 * February 29, 2004 (Unaudited) August 31, 2003 (Unaudited) ------------------------------ ------------------------------- ------------------------- Shares Value Shares Value Shares Value -------------------------------------------------------------- ------------------------- Shares sold .......................... 170,006 $ 2,284,641 146,167 $ 1,614,108 36,414 $ 492,233 Shares issued in reinvestment of distributions ...................... 5,655 73,703 9,958 108,259 10 130 -------------------------------------------------------------- ------------------------- 175,661 2,358,344 156,125 1,722,367 36,424 492,363 Shares repurchased ................... (59,319) (793,433) (85,509) (936,130) (4,801) (66,552) -------------------------------------------------------------- ------------------------- Net increase ....................... 116,342 $ 1,564,911 70,616 $ 786,237 31,623 $ 425,811 ============================================================== =========================
EUROPEAN GROWTH & INCOME FUND Direct Shares K Shares ------------- -------- October 16, 2003 to Six Months Ended Year Ended February 29, 2004 * February 29, 2004 (Unaudited) August 31, 2003 (Unaudited) ------------------------------ ------------------------------- ------------------------- Shares Value Shares Value Shares Value -------------------------------------------------------------- ------------------------- Shares sold .......................... 364,343 $ 2,434,108 3,275,364 $ 18,527,746 71,533 $ 526,521 Shares issued in reinvestment of distributions ...................... 2,824 18,589 6,605 36,155 2 15 -------------------------------------------------------------- ------------------------- 367,167 2,452,697 3,281,969 18,563,901 71,535 526,536 Shares repurchased ................... (346,838) (2,314,383) (3,144,160) (17,743,081) (6,172) (46,583) -------------------------------------------------------------- ------------------------- Net increase ....................... 20,329 $ 138,314 137,809 $ 820,820 65,363 $ 479,953 ============================================================== =========================
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 37 STATEMENT OF CHANGES IN NET ASSETS
NASDAQ-100 INDEX FUND Direct Shares K Shares ------------- -------- October 16, 2003 to Six Months Ended Year Ended February 29, 2004 * February 29, 2004 (Unaudited) August 31, 2003 (Unaudited) ------------------------------ ------------------------------- ------------------------- Shares Value Shares Value Shares Value -------------------------------------------------------------- ------------------------- Shares sold .......................... 1,348,260 $ 4,893,732 2,863,826 $ 8,067,882 256,244 $ 932,116 Shares issued in reinvestment of distributions ........................ -- -- -- -- -- -- -------------------------------------------------------------- ------------------------- 1,348,260 4,893,732 2,863,826 8,067,882 256,244 932,116 Shares repurchased ................... (936,777) (3,411,920) (2,296,996) (6,077,802) (11,944) (45,376) -------------------------------------------------------------- ------------------------- Net increase ......................... 411,483 $ 1,481,812 566,830 $ 1,990,080 244,300 $ 886,740 ============================================================== =========================
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 38 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CALIFORNIA TAX-FREE MONEY MARKET FUND Six Months Ended February 29, Year Ended Year Ended Year Ended Year Ended Year Ended 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 INCOME FROM INVESTMENT OPERATIONS Net investment income 0.002 0.007 0.011 0.026 0.029 0.026 LESS DISTRIBUTIONS Dividends from net investment income (0.002) (0.007) (0.011) (0.026) (0.029) (0.026) -------------------------------------------------------------------------------------- Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ====================================================================================== Total Return 0.24% 0.70% 1.15% 2.66% 2.92% 2.61% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 96,729 $ 88,804 $ 93,371 $ 99,520 $102,848 $105,606 Ratio of expenses to average net assets: Before expense reimbursements 0.66%* 0.65% 0.65% 0.63% 0.66% 0.61% After expense reimbursements 0.44%* 0.43% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 0.27%* 0.48% 0.90% 2.36% 2.63% 2.33% After expense reimbursements 0.49%* 0.70% 1.15% 2.59% 2.89% 2.54% CALIFORNIA INSURED INTERMEDIATE FUND Six Months Ended February 29, Year Ended Year Ended Year Ended Year Ended Year Ended 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.80 $ 11.22 $ 11.09 $ 10.72 $ 10.54 $ 10.92 -------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.16 0.33 0.39 0.43 0.44 0.43 Net gain (loss) on securities (both realized and unrealized) 0.44 (0.21) 0.27 0.37 0.20 (0.26) -------------------------------------------------------------------------------------- Total from Investment Operations 0.60 0.12 0.66 0.80 0.64 0.17 -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.16) (0.33) (0.39) (0.43) (0.44) (0.43) Distributions from capital gains (0.03) (0.21) (0.14) -- (0.02) (0.12) -------------------------------------------------------------------------------------- Total distributions (0.19) (0.54) (0.53) (0.43) (0.46) (0.55) -------------------------------------------------------------------------------------- Net asset value, end of period $ 11.21 $ 10.80 $ 11.22 $ 11.09 $ 10.72 $ 10.54 ====================================================================================== Total Return 5.63% 1.03% 6.17% 7.66% 6.25% 1.51% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 28,358 $ 27,906 $ 27,105 $ 22,949 $ 22,878 $ 24,175 Ratio of expenses to average net assets: Before expense reimbursements 0.71%* 0.71% 0.72% 0.71% 0.72% 0.66% After expense reimbursements 0.59%* 0.58% 0.55% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets Before expense reimbursements 2.83%* 2.83% 3.43% 3.82% 3.93% 3.85% After expense reimbursements 2.95%* 2.96% 3.60% 3.98% 4.10% 3.96% Portfolio Turnover 11.32% 22.45% 29.28% 24.35% 24.24% 8.38%
* Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 39 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
CALIFORNIA TAX-FREE INCOME FUND Six Months Ended February 29, Year Ended Year Ended Year Ended Year Ended Year Ended 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.66 $ 13.24 $ 13.17 $ 12.75 $ 12.40 $ 13.18 -------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.25 0.50 0.52 0.55 0.55 0.56 Net gain (loss) on securities (both realized and unrealized) 0.61 (0.42) 0.18 0.44 0.41 (0.68) -------------------------------------------------------------------------------------- Total from Investment Operations 0.86 0.08 0.70 0.99 0.96 (0.12) -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.25) (0.50) (0.52) (0.56) (0.55) (0.57) Distributions from capital gains (0.10) (0.16) (0.11) (0.01) (0.06) (0.09) -------------------------------------------------------------------------------------- Total distributions (0.35) (0.66) (0.63) (0.57) (0.61) (0.66) -------------------------------------------------------------------------------------- Net asset value, end of period $ 13.17 $ 12.66 $ 13.24 $ 13.17 $ 12.75 $ 12.40 ====================================================================================== Total Return 6.89% 0.61% 5.55% 7.98% 8.07% (1.07)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $174,616 $172,488 $206,909 $201,286 $196,786 $200,946 Ratio of expenses to average net assets: 0.61%* 0.61% 0.61% 0.63% 0.64% 0.61% Ratio of net investment income to average net assets 3.84%* 3.82% 4.11% 4.30% 4.54% 4.33% Portfolio Turnover 5.23% 1.44% 22.94% 28.96% 18.05% 16.36%
* Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 40 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
U.S. GOVERNMENT SECURITIES FUND Six Months Ended DIRECT SHARES February 29, Year Ended Year Ended Year Ended Year Ended Year Ended 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.56 $ 10.73 $ 10.77 $ 10.33 $ 10.24 $ 11.30 -------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.13 0.35 0.50 0.58 0.58 0.56 Net gain (loss) on securities (both realized and unrealized) 0.18 (0.08) 0.19 0.42 0.14 (0.80) -------------------------------------------------------------------------------------- Total from Investment Operations 0.31 0.27 0.69 1.00 0.72 (0.24) -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.13) (0.44) (0.59) (0.56) (0.58) (0.56) Distributions from capital gains (0.08) -- (0.14) -- (0.05) (0.26) -------------------------------------------------------------------------------------- Total distributions (0.21) (0.44) (0.73) (0.56) (0.63) (0.82) -------------------------------------------------------------------------------------- Net asset value, end of period $ 10.66 $ 10.56 $ 10.73 $ 10.77 $ 10.33 $ 10.24 ====================================================================================== Total Return 2.91% 2.52% 6.65% 9.94% 7.35% (2.42)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 29,804 $ 31,585 $ 33,275 $ 27,265 $ 24,476 $ 30,950 Ratio of expenses to average net assets: Before expense reimbursements 0.74%* 0.71% 0.71% 0.71% 0.72% 0.66% After expense reimbursements 0.65%* 0.65% 0.65% 0.65% 0.65% 0.65% Ratio of net investment income to average net assets Before expense reimbursements 2.35% 3.22% 4.59% 5.32% 5.82% 5.11% After expense reimbursements 2.44%* 3.28% 4.65% 5.38% 5.89% 5.12% Portfolio Turnover 89.48% 39.29% 150.35% 209.58% 184.60% 139.00% October 16, 2003 to K SHARES February 29, 2004 ** (Unaudited) Net asset value, beginning of period $ 10.55 ---------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.05 Net gain (loss) on securities (both realized and unrealized) 0.23 ---------- Total from Investment Operations 0.28 ---------- LESS DISTRIBUTIONS Dividends from net investment income (0.05) Distributions from capital gains (0.08) ---------- Total distributions (0.13) ---------- Net asset value, end of period $ 10.70 ========== Total Return 2.64% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 750 Ratio of expenses to average net assets: Before expense reimbursements 1.24%* After expense reimbursements 1.15%* Ratio of net investment income to average net assets Before expense reimbursements 2.85%* After expense reimbursements 2.94%* Portfolio Turnover 89.48%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 41 FINANCIAL HIGHLIGHTS (FOR A SHARE OF OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
THE UNITED STATES TREASURY TRUST Six Months Ended DIRECT SHARES February 29, Year Ended Year Ended Year Ended Year Ended Year Ended 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 -------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.003 0.008 0.017 0.047 0.050 0.042 LESS DISTRIBUTIONS Dividends from net investment income (0.003) (0.008) (0.017) (0.047) (0.050) (0.042) -------------------------------------------------------------------------------------- Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ====================================================================================== Total Return 0.29% 0.86% 1.70% 4.87% 5.12% 4.22% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 40,459 $ 40,635 $ 51,013 $ 59,760 $ 56,464 $ 50,517 Ratio of expenses to average net assets: Before expense reimbursements 0.73%* 0.70% 0.67% 0.65% 0.66% 0.63% After expense reimbursements 0.38%* 0.42% 0.42% 0.40% 0.40% 0.41% Ratio of net investment income to average net assets Before expense reimbursements 0.22%* 0.56% 1.45% 4.48% 4.76% 3.92% After expense reimbursements 0.57%* 0.84% 1.70% 4.73% 5.02% 4.14% October 16, 2003 to K SHARES February 29, 2004 ** (Unaudited) Net asset value, beginning of period $ 1.000 ---------- INCOME FROM INVESTMENT OPERATIONS Net investment income (a) LESS DISTRIBUTIONS Dividends from net investment income (a) ---------- Net asset value, end of period $ 1.000 ========== Total Return 0.04% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 383 Ratio of expenses to average net assets: Before expense reimbursements 1.23%* After expense reimbursements 0.88%* Ratio of net investment income to average net assets Before expense reimbursements 0.72%* After expense reimbursements 1.07%*
* Annualized. ** Commencement of operations. (a) Represents less than $0.01 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 42 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
SHORT-TERM U.S. GOVERNMENT BOND FUND Six Months Ended DIRECT SHARES February 29, Year Ended Year Ended Year Ended January 18, 2000 ** 2004 August 31, August 31, August 31, to September 30, (Unaudited) 2003 2002 2001 2000 ------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.11 $ 10.17 $ 10.24 $ 10.05 $ 10.00 ------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.05 0.18 0.30 0.53 0.36 Net gain on securities (both realized and unrealized) 0.06 (0.06) 0.09 0.21 0.05 ------------------------------------------------------------------------------- Total from Investment Operations 0.11 0.12 0.39 0.74 0.41 ------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.05) (0.18) (0.30) (0.55) (0.36) Distributions from capital gains (0.01) -- (0.16) -- -- ------------------------------------------------------------------------------- Total distributions (0.06) (0.18) (0.46) (0.55) (0.36) ------------------------------------------------------------------------------- Net asset value, end of period $ 10.16 $ 10.11 $ 10.17 $ 10.24 $ 10.05 =============================================================================== Total Return 1.10% 1.17% 3.90% 7.58% 4.15% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 17,057 $ 21,500 $ 10,942 $ 11,623 $ 5,432 Ratio of expenses to average net assets: Before expense reimbursements 0.78%* 0.80% 0.82% 0.86% 1.26%* After expense reimbursements 0.50%* 0.49% 0.43% 0.30% 0.09%* Ratio of net investment income to average net assets Before expense reimbursements 0.82%* 1.35% 2.57% 4.63% 5.02%* After expense reimbursements 1.10%* 1.66% 2.96% 5.19% 6.19%* Portfolio Turnover 36.44% 74.45% 119.61% 64.56% -- October 16, 2003 to K SHARES February 29, 2004 ** (Unaudited) Net asset value, beginning of period $ 10.12 ------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.02 Net gain on securities (both realized and unrealized) 0.05 ------------- Total from Investment Operations 0.07 ------------- LESS DISTRIBUTIONS Dividends from net investment income (0.02) Distributions from capital gains (0.01) ------------- Total distributions (0.03) ------------- Net asset value, end of period $ 10.16 ============= Total Return 0.66% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 943 Ratio of expenses to average net assets: Before expense reimbursements 1.28%* After expense reimbursements 1.00%* Ratio of net investment income to average net assets Before expense reimbursements 1.32%* After expense reimbursements 1.60%* Portfolio Turnover 36.44%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 43 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
S&P 500 INDEX FUND Six Months Ended DIRECT SHARES February 29, Year Ended Year Ended Year Ended Year Ended Year Ended 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 20.36 $ 18.48 $ 22.79 $ 30.84 $ 28.12 $ 20.90 -------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.15 0.29 0.29 0.34 0.38 0.39 Net gain (loss) on securities (both realized and unrealized) 2.76 1.89 (4.31) (7.64) 4.06 7.79 -------------------------------------------------------------------------------------- Total from Investment Operations 2.91 2.18 (4.02) (7.30) 4.44 8.18 -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.15) (0.30) (0.29) (0.34) (0.40) (0.39) Distributions from capital gains -- -- -- (0.41) (1.32) (0.57) -------------------------------------------------------------------------------------- Total distributions (0.15) (0.30) (0.29) (0.75) (1.72) (0.96) -------------------------------------------------------------------------------------- Net asset value, end of period $ 23.12 $ 20.36 $ 18.48 $ 22.79 $ 30.84 $ 28.12 ====================================================================================== Total Return 14.38% 12.03% (17.83)% (23.93)% 16.38% 39.76% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $112,909 $ 98,264 $ 93,961 $141,390 $165,891 $142,276 Ratio of expenses to average net assets: Before expense reimbursements 0.44%* 0.45% 0.41% 0.39% 0.40% 0.37% After expense reimbursements 0.27%* 0.25% 0.20% 0.20% 0.20% 0.20% Ratio of net investment income to average net assets Before expense reimbursements 1.28%* 1.35% 1.30% 1.16% 1.11% 1.33% After expense reimbursements 1.45%* 1.55% 1.51% 1.35% 1.31% 1.50% Portfolio Turnover 1.58% 3.63% 31.12% 6.26% 9.00% 9.76% October 16, 2003 to K SHARES February 29, 2004** (Unaudited) Net asset value, beginning of period $ 21.17 -------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.03 Net gain on securities (both realized and unrealized) 1.97 -------------- Total from Investment Operations 2.00 -------------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) Distributions from capital gains -- -------------- Total distributions (0.01) -------------- Net asset value, end of period $ 23.16 ============== Total Return 9.47% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 1,080 Ratio of expenses to average net assets: Before expense reimbursements 0.94%* After expense reimbursements 0.77%* Ratio of net investment income to average net assets Before expense reimbursements 1.78%* After expense reimbursements 1.95%* Portfolio Turnover 1.58%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 44 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
S&P MIDCAP INDEX FUND Six Months Ended DIRECT SHARES February 29, Year Ended Year Ended Year Ended Year Ended Year Ended 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 17.01 $ 14.60 $ 16.18 $ 20.75 $ 18.70 $ 15.41 -------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.06 0.12 0.05 0.17 0.22 0.20 Net gain on securities (both realized and unrealized) 2.76 2.41 (1.54) (1.66) 6.05 5.80 -------------------------------------------------------------------------------------- Total from Investment Operations 2.82 2.53 (1.49) (1.49) 6.27 6.00 -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.06) (0.12) (0.03) (0.18) (0.21) (0.20) Distributions from capital gains -- -- (0.06) (2.90) (4.01) (2.51) -------------------------------------------------------------------------------------- Total distributions (0.06) (0.12) (0.09) (3.08) (4.22) (2.71) -------------------------------------------------------------------------------------- Net asset value, end of period $ 19.77 $ 17.01 $ 14.60 $ 16.18 $ 20.75 $ 18.70 ====================================================================================== Total Return 16.63% 17.46% (8.77)% (6.56)% 40.44% 41.13% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $124,125 $103,771 $ 96,590 $ 83,293 $ 74,749 $ 57,164 Ratio of expenses to average net assets: Before expense reimbursements 0.58%* 0.58% 0.58% 0.56% 0.57% 0.57% After expense reimbursements 0.49%* 0.46% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 0.58%* 0.66% 0.78% 0.84% 1.03% 0.90% After expense reimbursements 0.67%* 0.78% 0.96% 1.00% 1.20% 1.07% Portfolio Turnover 3.56% 8.33% 21.73% 39.41% 46.23% 42.98% October 16, 2003 to K SHARES February 29, 2004 ** (Unaudited) Net asset value, beginning of period $ 17.78 ---------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.01 Net gain on securities (both realized and unrealized) 1.99 ---------- Total from Investment Operations 2.00 ---------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) Distributions from capital gains -- ---------- Total distributions (0.01) ---------- Net asset value, end of period $ 19.77 ========== Total Return 11.23% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 1,329 Ratio of expenses to average net assets: Before expense reimbursements 1.08%* After expense reimbursements 0.99%* Ratio of net investment income to average net assets Before expense reimbursements 1.08%* After expense reimbursements 1.17%* Portfolio Turnover 3.56%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 45 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
S&P SMALLCAP INDEX FUND Six Months Ended February 29, Year Ended Year Ended Year Ended Year Ended Year Ended DIRECT SHARES 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 14.07 $ 11.60 $ 12.89 $ 14.09 $ 11.46 $ 9.46 -------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.01 0.03 0.03 0.11 0.12 0.08 Net gain on securities (both realized and unrealized) 2.32 2.51 (1.28) (0.55) 3.14 2.13 -------------------------------------------------------------------------------------- Total from Investment Operations 2.33 2.54 (1.25) (0.44) 3.26 2.21 -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) (0.03) (0.04) (0.12) (0.10) (0.08) Distributions from capital gains (0.14) (0.04) -- (0.64) (0.53) (0.13) -------------------------------------------------------------------------------------- Total distributions (0.15) (0.07) (0.04) (0.76) (0.63) (0.21) -------------------------------------------------------------------------------------- Net asset value, end of period $ 16.25 $ 14.07 $ 11.60 $ 12.89 $ 14.09 $ 11.46 ====================================================================================== Total Return 16.64% 22.04% (9.69)% (2.59)% 29.63% 23.53% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 21,707 $ 18,526 $ 15,813 $ 14,226 $ 12,863 $ 10,881 Ratio of expenses to average net assets: Before expense reimbursements 0.85%* 0.88% 0.88% 0.92% 1.00% 1.05%* After expense reimbursements 0.65%* 0.65% 0.65% 0.65% 0.65% 0.65%* Ratio of net investment income to average net assets Before expense reimbursements (0.04)%* 0.08% 0.00% 0.54% 0.58% 0.31%* After expense reimbursements 0.16%* 0.31% 0.23% 0.81% 0.93% 0.71%* Portfolio Turnover 6.52% 16.51% 17.64% 41.91% 37.21% 25.40% October 16, 2003 to K SHARES February 29, 2004 ** (Unaudited) Net asset value, beginning of period $ 14.78 --------- INCOME FROM INVESTMENT OPERATIONS Net investment income (a) Net gain on securities (both realized and unrealized) 1.60 --------- Total from Investment Operations 1.60 --------- LESS DISTRIBUTIONS Dividends from net investment income (a) Distributions from capital gains (0.14) --------- Total distributions (0.14) --------- Net asset value, end of period $ 16.24 ========= Total Return 10.85% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 1,345 Ratio of expenses to average net assets: Before expense reimbursements 1.35%* After expense reimbursements 1.15%* Ratio of net investment income to average net assets Before expense reimbursements 0.46%* After expense reimbursements 0.66%* Portfolio Turnover 6.52%
* Annualized. ** Commencement of operations. (a) Represents less than $0.01 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 46 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
EQUITY INCOME FUND Six Months Ended February 29, Year Ended Year Ended Year Ended Year Ended Year Ended DIRECT SHARES 2004 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.32 $ 11.38 $ 12.21 $ 14.81 $ 14.38 $ 11.98 -------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.08 0.15 0.17 0.28 0.36 0.32 Net gain (loss) on securities (both realized and unrealized) 1.89 0.94 (0.83) (2.46) 0.76 2.41 -------------------------------------------------------------------------------------- Total from Investment Operations 1.97 1.09 (0.66) (2.18) 1.12 2.73 -------------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.09) (0.15) (0.17) (0.39) (0.27) (0.33) Distributions from capital gains -- -- -- (0.03) (0.42) -- -------------------------------------------------------------------------------------- Total distributions (0.09) (0.15) (0.17) (0.42) (0.69) (0.33) -------------------------------------------------------------------------------------- Net asset value, end of period $ 14.20 $ 12.32 $ 11.38 $ 12.21 $ 14.81 $ 14.38 ====================================================================================== Total Return 16.07% 9.77% (5.46)% (14.94)% 8.23% 22.89% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 12,964 $ 9,818 $ 8,261 $ 8,794 $ 11,813 $ 13,716 Ratio of expenses to average net assets: Before expense reimbursements 0.94%* 0.95% 0.91% 0.94% 0.98% 0.86% After expense reimbursements 0.80%* 0.80% 0.80% 0.80% 0.80% 0.80% Ratio of net investment income to average net assets Before expense reimbursements 1.08%* 1.24% 1.33% 1.96% 2.49% 2.09% After expense reimbursements 1.22%* 1.39% 1.44% 2.10% 2.67% 2.15% Portfolio Turnover 2.52% 30.01% 69.43% 73.50% 38.34% 54.03% October 16, 2003 to K SHARES February 29, 2004 ** (Unaudited) ------------------- Net asset value, beginning of period $ 12.90 --------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.02 Net gain (loss) on securities (both realized and unrealized) 1.31 --------- Total from Investment Operations 1.33 --------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) Distributions from capital gains -- --------- Total distributions (0.01) --------- Net asset value, end of period $ 14.22 ========= Total Return 10.28% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 450 Ratio of expenses to average net assets: Before expense reimbursements 1.44% * After expense reimbursements 1.30% * Ratio of net investment income to average net assets Before expense reimbursements 1.58% * After expense reimbursements 1.72% * Portfolio Turnover 2.52%
* Annualized. ** Commencement of operations. (a) Represents less than $0.01 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 47 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
EUROPEAN GROWTH & INCOME FUND Six Months Ended January 18, February 29, Year Ended Year Ended Year Ended 2000** to DIRECT SHARES 2004 August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 --------------------------------------------------------------------- Net asset value, beginning of period $ 6.18 $ 5.80 $ 7.13 $ 9.59 $ 10.00 --------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.03 0.11 0.10 0.08 0.09 Net gain (loss) on securities (both realized and unrealized) 1.46 0.35 (1.34) (2.46) (0.45) --------------------------------------------------------------------- Total from Investment Operations 1.49 0.46 (1.24) (2.38) (0.36) --------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.03) (0.08) (0.09) (0.08) (0.05) Distributions from capital gains -- -- -- -- -- --------------------------------------------------------------------- Total distributions (0.03) (0.08) (0.09) (0.08) (0.05) --------------------------------------------------------------------- Net asset value, end of period $ 7.64 $ 6.18 $ 5.80 $ 7.13 $ 9.59 ===================================================================== Total Return 24.28% 8.17% (17.50)% (24.87)% (3.59)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 4,318 $ 3,364 $ 2,357 $ 2,106 $ 1,505 Ratio of expenses to average net assets: Before expense reimbursements 1.91%* 1.99% 1.99% 2.17% 3.99%* After expense reimbursements 0.95%* 0.95% 0.95% 0.95% 0.95%* Ratio of net investment income (loss) to average net assets Before expense reimbursements (0.21)%* 0.83% 0.30% (0.18)% (1.53)%* After expense reimbursements 0.75%* 1.87% 1.34% 1.04% 1.51%* Portfolio Turnover 2.21% 0.00% 9.70% 19.75% 114.30% October 16, 2003 to K SHARES February 29, 2004 ** (Unaudited) --------------------- Net asset value, beginning of period $ 6.61 ------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.01 Net gain (loss) on securities (both realized and unrealized) 1.02 ------------- Total from Investment Operations 1.03 ------------- LESS DISTRIBUTIONS Dividends from net investment income (a) Distributions from capital gains -- ------------- Total distributions -- ------------- Net asset value, end of period $ 7.64 ============= Total Return 15.59% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 500 Ratio of expenses to average net assets: Before expense reimbursements 2.41%* After expense reimbursements 1.45%* Ratio of net investment income (loss) to average net assets Before expense reimbursements 0.29%* After expense reimbursements 1.25%* Portfolio Turnover 2.21%
* Annualized. ** Commencement of operations. (a) Represents less than $0.01 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 48 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
NASDAQ-100 INDEX FUND Six Months Ended January 18, February 29, Year Ended Year Ended Year Ended 2000** to DIRECT SHARES 2004 August 31, August 31, August 31, August 31, (Unaudited) 2003 2002 2001 2000 -------------------------------------------------------------------- Net asset value, beginning of period $ 3.41 $ 2.41 $ 3.75 $ 10.67 $ 10.00 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.01 (0.01) -(a) 0.05 0.03 Net gain (loss) on securities (both realized and unrealized) 0.30 1.01 (1.33) (6.84) 0.67 -------------------------------------------------------------------- Total from Investment Operations 0.31 1.00 (1.33) (6.79) 0.70 -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income -- -- (0.01) (0.08) (0.03) Distributions from capital gains -- -- -- (0.05) -- -------------------------------------------------------------------- Total distributions -- -- (0.01) (0.13) (0.03) -------------------------------------------------------------------- Net asset value, end of period $ 3.72 $ 3.41 $ 2.41 $ 3.75 $ 10.67 ==================================================================== Total Return 9.09% 41.49% (35.61)% (64.26)% 7.02% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 17,836 $ 14,928 $ 9,191 $ 11,390 $ 14,498 Ratio of expenses to average net assets: Before expense reimbursements 1.14%* 1.05% 0.99% 0.90% 0.99%* After expense reimbursements 0.76%* 0.65% 0.64% 0.65% 0.65%* Ratio of net investment income (loss) to average net assets Before expense reimbursements (0.78)%* (0.80)% (0.45)% 0.14% 0.54%* After expense reimbursements (0.40)%* (0.40)% (0.10)% 0.39% 0.88%* Portfolio Turnover 1.86% 8.64% 4.18% 13.82% 0.62% October 16, 2003 to K SHARES February 29, 2004 ** (Unaudited) -------------------- Net asset value, beginning of period $ 3.62 ------------- INCOME FROM INVESTMENT OPERATIONS Net investment income (a) Net gain (loss) on securities (both realized and unrealized) 0.10 ------------- Total from Investment Operations 0.10 ------------- LESS DISTRIBUTIONS Dividends from net investment income -- Distributions from capital gains -- ------------- Total distributions -- ------------- Net asset value, end of period $ 3.72 ============= Total Return 2.76% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 909 Ratio of expenses to average net assets: Before expense reimbursements 1.64%* After expense reimbursements 1.26%* Ratio of net investment income (loss) to average net assets Before expense reimbursements (0.28)%* After expense reimbursements 0.10%* Portfolio Turnover 1.86%
* Annualized. ** Commencement of operations. (a) Represents less than $0.01 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 49 CALIFORNIA INVESTMENT NOTES TO FINANCIAL 2/29/2004 TRUST STATEMENTS (UNAUDITED) Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES California Tax-Free Money Market Fund, California Tax-Free Income Fund and California Insured Intermediate Fund are separate series of shares of beneficial interest of California Investment Trust. U.S. Government Securities Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate series of shares of beneficial interest of California Investment Trust II. Both Trusts are registered under the Investment Company Act of 1940, as amended, as diversified open-end management investment companies. Both Trusts were organized as Massachusetts business trusts on September 11, 1985 and are authorized to issue an unlimited number of no par value shares in one or more series. The investment objectives of the Funds are as follows: California Tax-Free Income Fund and California Insured Intermediate Fund seek as high a level of income exempt from federal and California personal income taxes as is consistent with prudent investment management and safety of capital. California Tax-Free Money Market Fund seeks capital preservation, liquidity and the highest achievable current income exempt from both federal and California personal income taxes consistent with safety. U.S. Government Securities Fund seeks safety from credit risk, liquidity, and as high a level of income as is consistent with these objectives by investment in full faith and credit obligations of the U.S. Government and its agencies or instrumentalities. The United States Treasury Trust seeks preservation of capital, safety, liquidity and consistent with these objectives, the highest attainable current income exempt from state income taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are diversified mutual funds that seek to provide investment results that correspond to the total return of publicly traded common stocks represented in the Standard & Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income Fund seeks a high level of current income by investing primarily in income producing equity securities. European Growth & Income Fund seeks to provide long-term capital appreciation and income. Nasdaq-100 Index Fund attempts to replicate the performance of the largest non-financial companies as measured by the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund seeks liquidity, safety from credit risk, preservation of investors principal and has a high level of income as is consistent with these objectives by investing in mainly U.S. Government Securities. The following is a summary of significant accounting policies followed by the Funds. California Investment Trust II began offering an additional class of shares, Class K, on October 16, 2003. Income and expenses of the Funds are allocated proportionately to the two classes of shares offered based on the daily net assets, except for Rule 12b-1 distribution fees and shareholder service fees, which are charged only to Class K. (a) Security Valuation --- Portfolio securities of the S&P 500, S&P MidCap and S&P SmallCap Index Funds, Equity Income Fund, European Growth & Income Fund, and Nasdaq-100 Index Fund listed on a national exchange are valued at the last reported sales price. U.S. Treasury Bills are valued at amortized cost which approximates market value. Portfolio securities of the California Tax-Free Income Fund and the California Insured Intermediate Fund are valued by an independent pricing service that uses market quotations, representing the latest available bid price, prices provided by market makers, or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics, in accordance with procedures established by the Board of Trustees. The U.S. Government Securities Fund and the Short-Term U.S. Government Bond Fund are valued by an independent pricing service that uses market quotations representing the latest available mean between the bid and ask price, prices provided by market makers or estimates of market value obtained from yield data relating to instruments or securities with similar characteristics. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. All other securities are valued at their fair value as determined in good faith by the Board of Trustees. California Tax-Free Money Market Fund and The United States Treasury Trust securities are valued at amortized cost which the Board of Trustees has determined in good faith to constitute fair value. (b) Futures Contracts --- Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash, as collateral, for the account of the broker (the Fund's agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts. (c) Federal Income Taxes --- No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders. Capital loss carry forwards, as of August 31, 2003, available to offset future capital gains, if any, are as follows: Fund Amount Expiring Through ---- ------ ---------------- California Tax-Free Money Market Fund $ 14,841 2004 S&P 500 Index Fund 10,264,980 2011 S&P MidCap Index Fund 3,696,830 2011 S&P SmallCap Index Fund 11,836 2011 Equity Income Fund 990,673 2011 European Growth & Income Fund 199,138 2011 Nasdaq-100 Index Fund 5,909,061 2011 (d) Security Transactions, Investment Income and Distributions to Shareholders --- Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Distributions to shareholders are recorded on the ex-dividend date for the California Tax-Free Income Fund, the California Insured Intermediate Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for futures contracts, redemptions-in-kind and post-October capital losses. For the California Tax-Free Money Market Fund and The United States Treasury Trust, dividends from net investment income are declared daily and reinvested or paid in cash monthly. The two Funds intend to maintain a continuous net asset value per share of $1.00. If net asset value per share using available market information deviates from $1.00 by $.005 or more, the Board of Trustees would consider what steps, if any, should be taken to restore net asset value per share to $1.00. (e) Concentration --- The California Tax-Free Income Fund, the California Insured Intermediate Fund and the California Tax-Free Money Market Fund invest in debt instruments of municipal issuers. The issuer's abilities to meet their obligations may be affected by economic developments in the state of California. 50 CALIFORNIA INVESTMENT NOTES TO FINANCIAL 2/29/2004 TRUST STATEMENTS CONTINUED (UNAUDITED) (f) Use of Estimates in Financial Statements --- In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of income and expense during the year. Actual results may differ from these estimates. Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS CCM Partners ("CCM"), a California limited partnership, provides each Fund with management and administrative services pursuant to a Management Agreement. In accordance with the terms of the management agreements with California Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust, CCM receives compensation at the annual rate of 0.50% of the Funds' average daily net assets not exceeding $100 million, 0.45% on net assets from $100 million to $500 million, and 0.40% on net assets above $500 million. In accordance with the terms of the management agreements with the S&P 500 Index Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of 0.25% and 0.40%, respectively, of the Funds' average daily net assets. In accordance with the terms of the management agreements with the S&P SmallCap Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund, CCM receives compensation at the annual rate of 0.50% of the first $500 million of net assets, plus 0.45% on net assets from $500 million to $1 billion, and 0.40% of net assets above $1 billion. In accordance with the terms of the management agreement with the European Growth & Income Fund, CCM receives compensation at the annual rate of 0.85% of the Fund's average daily net assets. CCM has agreed to reduce its fee by, or reimburse the Funds for, any amount necessary to prevent the Funds' total expenses, excluding extraordinary items, from exceeding 1.00% of the Funds' average daily net assets. CCM has voluntarily reimbursed more expenses than contractually obligated. This voluntary reimbursement is effective for a calendar year, renewal at the end of each calendar year. Reimbursement from the manager for the six months ended February 29, 2004, is as follows: California Tax-Free Money Market Fund ........................ $ 98,276 California Insured Intermediate Fund ......................... $ 17,034 Short-Term U.S. Government Bond Fund ......................... $ 27,710 U.S. Government Securities Fund .............................. $ 14,648 The United States Treasury Trust ............................. $ 71,635 S&P 500 Index Fund ........................................... $ 89,238 S&P MidCap Index Fund ........................................ $ 51,103 S&P SmallCap Index Fund ...................................... $ 22,007 Equity Income Fund ........................................... $ 8,897 European Growth & Income Fund ................................ $ 20,097 Nasdaq-100 Index Fund ........................................ $ 28,430 Certain officers and trustees of the Trusts are also partners of CCM. California Investment Trust II has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby each Fund of California Investment Trust II pays the Distributor for expenses that relate to the promotion and distribution of shares. Under the Plan, the Funds will pay the Distributor a fee at an annual rate of 0.25%, payable monthly, of each Fund's daily net assets attributable to such Fund's Class K Shares. California Investment Trust II has adopted a Shareholder Services Plan (the "Services Plan"), whereby each Fund of California Investment Trust II pays CCM Partners, LP, the Funds' Distributor or other service providers, an annual rate of 0.25% of the average daily net assets of Class K Shares. Such amounts are compensation for providing certain services to clients owning Class K shares, including processing purchase and redemption transactions, assisting in other administrative details and providing other information with respect to each Fund. For the six months ended February 29, 2004, the following were paid by each Fund of California Investment Trust II:
Fund 12b-1 Fees Shareholder Service Fee ---- ---------- ----------------------- U.S. Government Securities Fund $252 $252 The United States Treasury Trust $102 $102 Short-Term U.S. Government Bond Fund $225 $225 S&P 500 Index Fund $262 $262 S&P Midcap Index Fund $289 $289 S&P SmallCap Index Fund $279 $279 Equity Income Fund $175 $275 European Growth & Income Fund $169 $169 Nasdaq-100 Index Fund $324 $324
Note 3 --- PURCHASES AND SALES OF SECURITIES Purchases and sales of securities other than short-term investments during the six months ended February 29, 2004 were as follows: Purchases Sales ------------- -------------- California Tax-Free Income Fund $ 8,460,434 $ 16,797,080 California Insured Intermediate Fund $ 3,246,087 $ 2,949,184 Short-Term U.S. Government Bond Fund $ 6,398,912 $ 6,123,515 U.S. Government Securities Fund $ 30,524,356 $ 22,930,531 S&P 500 Index Fund $ 5,250,649 $ 1,607,758 S&P Midcap Index Fund $ 6,283,388 $ 3,895,961 Equity Income Fund $ 306,770 $ 227,353 S&P SmallCap Index Fund $ 2,563,549 $ 1,274,683 European Growth & Income Fund $ 808,553 $ 85,319 Nasdaq-100 Index Fund $ 3,752,814 $ 299,988 51 BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (Unaudited) Overall responsibility for management of the Funds rests with the Board of Trustees of each trust. Each Trustee serves until his death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Funds to actively supervise their day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:
Length of Time Trustee Address Date of Birth Position Held with the Trust Served --------------------------------------------------------------------------------------------------------------------------------- Stephen C. Rogers 44 Montgomery St. #2100 06/27/66 Chairman, Secretary & Trustee Since August 1998 San Francisco, CA 94104 --------------------------------------------------------------------------------------------------------------------------------- Phillip W. McClanahan 44 Montgomery St. #2100 12/26/35 Vice President, Since September San Francisco, CA 94104 Treasurer and Trustee 1985 --------------------------------------------------------------------------------------------------------------------------------- Harry Holmes P.O. Box 714 12/05/25 Trustee Since September Pebble Beach, CA 93953 1985 --------------------------------------------------------------------------------------------------------------------------------- John B. Sias 580 California Street 01/22/27 Trustee Since March 1991 San Francisco, CA 94103 --------------------------------------------------------------------------------------------------------------------------------- James Miller One Front Street, Suite 300 05/28/66 Trustee Since August 2001 San Francisco, CA 94111 ---------------------------------------------------------------------------------------------------------------------------------
Each Trustee oversees twelve portfolios of the Trusts. The principal occupations of the Trustees and Executive Officers of the Funds during the past five years and public directorships held by the Trustees are set forth below: *Stephen C. Rogers Chief Executive Officer, CCM Partners, 1999-present; Chief Operating Officer, CCM Partners, 1997-1999; Administrative Officer, CCM Partners, 1993-1997; Marketing Representative, CCM Partners, 1992-1993. *Phillip W. McClanahan Director of Investments, CCM Partners, 1985-present; Vice President and Portfolio Manager, Transamerica Investment Services, 1984-1985; Vice President and Portfolio Manager, Fireman's Fund Insurance Company and Amfire, Inc., 1966-1984. Harry Holmes Principal, Harry Holmes & Associates (consulting); President and Chief Executive Officer, Aspen Skiing Company, 1982-1984; President and Chief Executive Officer, Pebble Beach Company (property management), 1973-1984. John B. Sias President and CEO, Chronicle Publishing Company, 1993-2001; Executive Vice President, Capital Cities/ABC Inc. and President, ABC Network T.V. Group. James Miller Vice President, Jones Lange LaSalle Americas, Inc. 1999 -present; Associate, Orrick Herrington & Sutcliffe LLP, 1996- 1999; Associate, Gordon & Rees LLP, 1992-1993 * Trustees deemed to be an "interested person" of the Trusts, as defined in the Investment Company Act of 1940. 52 THIS PAGE INTENTIONALLY LEFT BLANK 53 THIS PAGE INTENTIONALLY LEFT BLANK 54 THIS PAGE INTENTIONALLY LEFT BLANK THIS PAGE INTENTIONALLY LEFT BLANK ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable 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. [RESERVED] ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. ITEM 10. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 11. EXHIBITS (a)(1) Not applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not applicable. (b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. California Investment Trust II By (Signature and Title)* /s/ Steve Rogers PRESIDENT ------------------------------------------------------ Date: May 10, 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 (Signature and Title)* /s/ Steve Rogers PRESIDENT ------------------------------------------------------ Date: May 10, 2004 By (Signature and Title)* /s/ Phillip McClanahan TREASURER ------------------------------------------------------ Date: May 10, 2004 * Print the name and title of each signing officer under his or her signature.