-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, LDqXmE8/U67S7ycw2MpgxgUN48iPl/dnSrms5jB+NL1lgYU9CiH5EwCVunQa0mbt mvhMUJIwxh2G+2Wj4z66bA== 0001144204-04-018116.txt : 20041109 0001144204-04-018116.hdr.sgml : 20041109 20041109155017 ACCESSION NUMBER: 0001144204-04-018116 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20040831 FILED AS OF DATE: 20041109 DATE AS OF CHANGE: 20041109 EFFECTIVENESS DATE: 20041109 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CALIFORNIA INVESTMENT TRUST II CENTRAL INDEX KEY: 0000778205 IRS NUMBER: 000000000 STATE OF INCORPORATION: CA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-04418 FILM NUMBER: 041129521 BUSINESS ADDRESS: STREET 1: 44 MONTGOMERY ST STE 2200 CITY: SAN FRANCISCO STATE: CA ZIP: 94104 BUSINESS PHONE: 4153982727 MAIL ADDRESS: STREET 1: 44 MONTGOMERY ST STREET 2: STE 2100 CITY: SAN FRANCISCO STATE: CA ZIP: 94104 N-CSR 1 v08244_ncsr.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: August 31, 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. REPORT TO SHAREHOLDERS The Report to Shareholders is attached herewith. - -------------------------------------------------------------------------------- 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 ANNUAL REPORT August 31, 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. HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION On the following pages are line graphs comparing each of the Funds performance to a comparable broad based securities market index for the 10 years ended August 31, 2004, or the inception of the Fund if less than 10 years. Each graph assumes a hypothetical $10,000 initial investment in the respective funds. The object of the graph is to permit a comparison of the performance of the Funds with a benchmark and to provide perspective on market conditions and investment strategies and techniques that materially affected the performance of each Fund. With each graph is a table presenting each of the respective Fund's average annual total return for the one-year, five-year, ten-year, and/or inception period through August 31, 2004. BOND FUNDS Over the course of the fiscal year, the treasury yield curve flattened with short-term rates increasing and long-term rates decreasing. The inflection point (the point on the curve where yields are unchanged, is roughly 4 years. Throughout most of the year, the Federal Funds Rate was at a historical low of 1%, below both the annualized rate of inflation as well as the growth of GDP. In the fall of 2004, in response to concerns about higher inflation and a mild economic expansion, the Federal Reserve Bank increased the Federal Funds Rate at total of one half of one percent. The market's reaction suggests that these actions, among other market events, will keep inflation pressures under control for the foreseeable future. Generally, low inflation rates are good for bond investors because this results in a preservation of the value of future cash flows from fixed income investments. The decline in the long end of the yield curve can be interpreted as an indication that bond investors believe inflation will be less of a factor over the long term. Still, there continue to be risks to inflation and the bond market, among which are US fiscal policy, international conflicts/terrorism and global economic factors. Because of the low Federal Funds Rate and the anticipation of either a strong economic recovery, higher inflation, or both - which would lead to a rise in interest rates, the duration of the portfolios was shortened versus their respective benchmarks across all of the Bond Funds. Duration is a time-weighted measurement of a bond's cash flows. Aduration shortening strategy ahead of an anticipated rising interest rate environment is designed to help protect principal. When rates go up, bond prices go down. Prices for bonds with shorter durations tend to be less volatile than for those with longer durations, as the reinvestment risk of principal is lower. In conjunction with principal protection is the ability to invest capital more rapidly at higher interest rates. Adiscussion of specific fund duration targets appears below. The California Tax-Free Income Fund's duration was modestly decreased in the fall of 2002 in anticipation of a stronger economy, which did not materialize in the expected time frame. The Fund's duration was subsequently kept in a narrow range somewhat shorter than its benchmark. As of August 31, 2004, the Fund had an average coupon of 5.36%, an average maturity of 6.46 years, duration of 5.19 years, and an average quality of Aa+. Duration adjustments to the California Intermediate Insured Fund followed a similar pattern to those in the Income Fund except that its overall duration about matched that of its benchmark. The Fund's portfolio profile at fiscal year-end was as follows: average coupon, 5.24%; average maturity, 5.20 years; and average duration, 4.44 years. During the fiscal year the U.S. Government Securities Fund's duration was shortened. At the close of the year, the Fund's profile showed an average coupon of 5.38%, an average maturity of 5.5 years and duration of 3.28 years. As of August 31, 2004, the Short-Term U.S. Government Bond Fund's average coupon was 5.62%, its average maturity was 1 year and its duration was .96 years. Again, during the course of the fiscal year, the Fund's duration was shortened in anticipation of a stronger economy and an expected rise in interest rates. California Insured Intermediate Fund versus the Lehman Bros. 5 Year Municipal Bond Index [The following table was depicted as a line chart in the printed material.] California Lehman Bros. Insured Intermediate 5 Year Municipal Fund Bond Index -------------------- ---------------- 08/31/94 10,000 10,000 09/30/94 9,868 9,933 10/31/94 9,795 9,867 11/30/94 9,614 9,778 12/31/94 9,703 9,888 01/31/95 9,839 10,011 02/28/95 10,143 10,186 03/31/95 10,251 10,290 04/30/95 10,306 10,329 05/31/95 10,529 10,546 06/30/95 10,485 10,554 07/31/95 10,603 10,683 08/31/95 10,746 10,780 09/30/95 10,814 10,807 10/31/95 10,948 10,873 11/30/95 11,080 10,972 12/31/95 11,097 11,029 01/31/96 11,213 11,139 02/29/96 11,179 11,108 03/31/96 11,018 11,030 04/30/96 10,997 11,029 05/31/96 10,965 11,025 06/30/96 11,044 11,090 07/31/96 11,142 11,171 08/31/96 11,149 11,181 09/30/96 11,242 11,273 10/31/96 11,371 11,371 11/30/96 11,582 11,519 12/31/96 11,529 11,497 01/31/97 11,583 11,536 02/28/97 11,642 11,620 03/31/97 11,483 11,493 04/30/97 11,529 11,543 05/31/97 11,668 11,685 06/30/97 11,774 11,774 07/31/97 12,063 11,981 08/31/97 11,968 11,920 09/30/97 12,079 12,026 10/31/97 12,121 12,088 11/30/97 12,159 12,126 12/31/97 12,267 12,230 01/31/98 12,399 12,341 02/28/98 12,404 12,361 03/31/98 12,379 12,372 04/30/98 12,293 12,320 05/31/98 12,472 12,468 06/30/98 12,505 12,510 07/31/98 12,559 12,554 08/31/98 12,763 12,709 09/30/98 12,947 12,840 10/31/98 12,953 12,877 11/30/98 12,991 12,900 12/31/98 12,999 12,945 01/31/99 13,160 13,082 02/28/99 13,092 13,069 03/31/99 13,127 13,081 04/30/99 13,121 13,120 05/31/99 13,064 13,066 06/30/99 12,880 12,919 07/31/99 12,995 12,999 08/31/99 12,955 12,994 09/30/99 13,024 13,041 10/31/99 12,941 13,008 11/30/99 13,016 13,085 12/31/99 12,912 13,041 01/31/00 12,980 13,036 02/29/00 13,038 13,079 03/31/00 13,186 13,198 04/30/00 13,105 13,168 05/31/00 13,142 13,164 06/30/00 13,403 13,405 07/31/00 13,562 13,546 08/31/00 13,765 13,692 09/30/00 13,679 13,669 10/31/00 13,767 13,764 11/30/00 13,813 13,824 12/31/00 14,039 14,046 01/31/01 14,299 14,288 02/28/01 14,291 14,326 03/31/01 14,337 14,444 04/30/01 14,097 14,363 05/31/01 14,293 14,511 06/30/01 14,404 14,585 07/31/01 14,572 14,742 08/31/01 14,819 14,941 09/30/01 14,777 14,986 10/31/01 14,959 15,111 11/30/01 14,810 14,991 12/31/01 14,662 14,918 01/31/02 14,931 15,158 02/28/02 15,110 15,329 03/31/02 14,670 15,003 04/30/02 15,023 15,349 05/31/02 15,192 15,452 06/30/02 15,280 15,620 07/31/02 15,494 15,789 08/31/02 15,733 15,941 09/30/02 16,109 16,162 10/31/02 15,621 15,997 11/30/02 15,614 15,981 12/31/02 15,973 16,300 01/31/03 15,809 16,327 02/28/03 15,974 16,505 03/31/03 15,980 16,482 04/30/03 16,079 16,560 05/31/03 16,438 16,825 06/30/03 16,329 16,781 07/31/03 15,756 16,415 08/31/03 15,896 16,530 09/30/03 16,364 16,950 10/31/03 16,288 16,838 11/30/03 16,384 16,907 12/31/03 16,475 16,973 01/31/04 16,574 17,053 02/29/04 16,790 17,261 03/31/04 16,652 17,188 04/30/04 16,241 16,844 05/31/04 16,202 16,758 06/30/04 16,280 16,820 07/31/04 16,458 16,975 08/31/04 16,699 17,272 AVERAGE ANNUAL TOTAL RETURNS* for periods ended 8/31/2004 1 year 5 year 10 year - --------------------------- ------ ------ ------- California Insured Intermediate Fund 5.06% 5.21% 5.26% Lehman Bros. Municipal Bond Index 4.49% 5.86% 5.62% California Tax-Free Income Fund versus the Lehman Bros. Municipal Bond Index [The following table was depicted as a line chart in the printed material.] California Lehman Bros. Tax-Free Municipal Income Fund Bond Index ----------- ---------- 08/31/94 10,000 10,000 09/30/94 9,804 9,853 10/31/94 9,656 9,678 11/30/94 9,392 9,502 12/31/94 9,598 9,712 01/31/95 9,936 9,989 02/28/95 10,336 10,280 03/31/95 10,424 10,398 04/30/95 10,447 10,411 05/31/95 10,773 10,743 06/30/95 10,632 10,649 07/31/95 10,718 10,750 08/31/95 10,800 10,887 09/30/95 10,904 10,956 10/31/95 11,134 11,114 11/30/95 11,410 11,299 12/31/95 11,570 11,407 01/31/96 11,646 11,494 02/29/96 11,501 11,416 03/31/96 11,265 11,270 04/30/96 11,196 11,238 05/31/96 11,170 11,234 06/30/96 11,314 11,356 07/31/96 11,448 11,460 08/31/96 11,433 11,457 09/30/96 11,606 11,618 10/31/96 11,779 11,749 11/30/96 12,057 11,964 12/31/96 11,929 11,914 01/31/97 11,921 11,936 02/28/97 12,040 12,046 03/31/97 11,818 11,886 04/30/97 11,934 11,986 05/31/97 12,135 12,166 06/30/97 12,259 12,296 07/31/97 12,726 12,636 08/31/97 12,517 12,518 09/30/97 12,686 12,666 10/31/97 12,735 12,748 11/30/97 12,794 12,823 12/31/97 13,038 13,010 01/31/98 13,226 13,144 02/28/98 13,200 13,148 03/31/98 13,141 13,160 04/30/98 13,027 13,101 05/31/98 13,288 13,308 06/30/98 13,321 13,359 07/31/98 13,320 13,393 08/31/98 13,613 13,600 09/30/98 13,871 13,770 10/31/98 13,824 13,770 11/30/98 13,870 13,819 12/31/98 13,861 13,853 01/31/99 14,078 14,018 02/28/99 13,937 13,956 03/31/99 13,960 13,976 04/30/99 13,944 14,011 05/31/99 13,786 13,930 06/30/99 13,519 13,729 07/31/99 13,580 13,778 08/31/99 13,470 13,668 09/30/99 13,496 13,674 10/31/99 13,334 13,526 11/30/99 13,488 13,669 12/31/99 13,366 13,567 01/31/00 13,380 13,508 02/29/00 13,520 13,665 03/31/00 13,807 13,964 04/30/00 13,676 13,882 05/31/00 13,675 13,810 06/30/00 14,031 14,176 07/31/00 14,216 14,373 08/31/00 14,557 14,594 09/30/00 14,449 14,518 10/31/00 14,538 14,677 11/30/00 14,617 14,788 12/31/00 15,026 15,153 01/31/01 15,157 15,303 02/28/01 15,136 15,352 03/31/01 15,191 15,491 04/30/01 14,810 15,323 05/31/01 14,952 15,489 06/30/01 15,123 15,593 07/31/01 15,333 15,823 08/31/01 15,719 16,084 09/30/01 15,657 16,030 10/31/01 15,881 16,220 11/30/01 15,629 16,084 12/31/01 15,413 15,931 01/31/02 15,703 16,207 02/28/02 15,936 16,403 03/31/02 15,457 16,082 04/30/02 15,824 16,395 05/31/02 15,978 16,495 06/30/02 16,081 16,670 07/31/02 16,325 16,885 08/31/02 16,591 17,088 09/30/02 17,095 17,462 10/31/02 16,538 17,172 11/30/02 16,429 17,100 12/31/02 16,871 17,461 01/31/03 16,642 17,417 02/28/03 16,909 17,661 03/31/03 16,907 17,672 04/30/03 17,040 17,788 05/31/03 17,535 18,204 06/30/03 17,352 18,126 07/31/03 16,534 17,492 08/31/03 16,692 17,623 09/30/03 17,250 18,141 10/31/03 17,134 18,050 11/30/03 17,309 18,238 12/31/03 17,453 18,389 01/31/04 17,563 18,494 02/29/04 17,843 18,773 03/31/04 17,659 18,708 04/30/04 17,129 18,264 05/31/04 17,101 18,199 06/30/04 17,155 18,264 07/31/04 17,358 18,503 08/31/04 17,663 18,873 AVERAGE ANNUAL TOTAL RETURNS* for periods ended 8/31/2004 1 year 5 year 10 year - --------------------------- ------ ------ ------- California Tax-Free Income 5.82% 5.57% 5.85% Lehman Bros. Municipal Bond Index 7.10% 6.67% 6.56% * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares 1 REGULAR SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 1 year 5 year 10 year - --------------------------- ------ ------ ------- U.S. Government Securities Fund 4.23% 6.10% 6.57% Lehman Bros. Composite Treasury Index 5.38% 7.27% 7.22% Lehman Bros. GNMA Index 5.45% 7.13% 7.51% U.S. Government Securities Fund versus the Lehman Bros. Treasury and GNMA Indicies [The following table was depicted as a line chart in the printed material.] U.S. Government Lehman Bros. Lehman Bros. Securities Treasury GNMA Fund Index Index --------------- ------------ ------------ 08/31/94 10,000 10,000 10,000 09/30/94 9,755 9,859 9,859 10/31/94 9,715 9,843 9,852 11/30/94 9,723 9,816 9,834 12/31/94 9,834 9,925 9,894 01/31/95 10,037 10,130 10,078 02/28/95 10,276 10,397 10,295 03/31/95 10,327 10,448 10,360 04/30/95 10,474 10,603 10,496 05/31/95 10,928 10,926 10,920 06/30/95 11,016 11,001 11,006 07/31/95 10,925 11,024 10,965 08/31/95 11,142 11,137 11,092 09/30/95 11,313 11,247 11,199 10/31/95 11,584 11,339 11,372 11/30/95 11,842 11,469 11,549 12/31/95 12,130 11,616 11,714 01/31/96 12,118 11,697 11,788 02/29/96 11,617 11,610 11,546 03/31/96 11,416 11,581 11,446 04/30/96 11,241 11,550 11,372 05/31/96 11,169 11,511 11,354 06/30/96 11,389 11,662 11,498 07/31/96 11,400 11,706 11,526 08/31/96 11,283 11,711 11,502 09/30/96 11,576 11,907 11,690 10/31/96 11,977 12,147 11,948 11/30/96 12,361 12,323 12,154 12/31/96 12,072 12,258 12,029 01/31/97 12,051 12,352 12,041 02/28/97 12,063 12,397 12,056 03/31/97 11,897 12,519 11,925 04/30/97 12,079 12,725 12,097 05/31/97 12,162 12,856 12,201 06/30/97 12,303 13,008 12,338 07/31/97 12,617 13,243 12,692 08/31/97 12,412 13,215 12,564 09/30/97 12,658 13,391 12,755 10/31/97 12,924 13,530 12,977 11/30/97 12,996 13,572 13,044 12/31/97 13,198 13,694 13,181 01/31/98 13,441 13,827 13,383 02/28/98 13,362 13,858 13,343 03/31/98 13,389 13,916 13,379 04/30/98 13,437 13,996 13,439 05/31/98 13,645 14,092 13,579 06/30/98 13,888 14,151 13,735 07/31/98 13,860 14,230 13,757 08/31/98 14,387 14,342 14,131 09/30/98 14,883 14,512 14,525 10/31/98 14,712 14,499 14,479 11/30/98 14,779 14,581 14,476 12/31/98 14,793 14,641 14,505 01/31/99 14,864 14,745 14,589 02/28/99 14,353 14,698 14,217 03/31/99 14,381 14,787 14,271 04/30/99 14,416 14,858 14,305 05/31/99 14,216 14,784 14,172 06/30/99 14,135 14,725 14,142 07/31/99 14,074 14,628 14,131 08/31/99 14,044 14,623 14,134 09/30/99 14,205 14,859 14,243 10/31/99 14,195 14,947 14,258 11/30/99 14,162 14,953 14,231 12/31/99 14,062 14,923 14,137 01/31/00 13,983 14,788 14,174 02/29/00 14,112 14,978 14,387 03/31/00 14,438 15,214 14,671 04/30/00 14,389 15,201 14,625 05/31/00 14,436 15,255 14,646 06/30/00 14,694 15,538 14,894 07/31/00 14,819 15,620 15,047 08/31/00 15,076 15,856 15,269 09/30/00 15,093 16,003 15,281 10/31/00 15,227 16,122 15,429 11/30/00 15,564 16,349 15,745 12/31/00 15,884 16,579 16,046 01/31/01 16,006 16,851 16,176 02/28/01 16,178 16,926 16,372 03/31/01 16,202 17,027 16,424 04/30/01 15,966 17,054 16,220 05/31/01 15,949 17,198 16,271 06/30/01 16,046 17,249 16,359 07/31/01 16,409 17,544 16,768 08/31/01 16,574 17,672 16,989 09/30/01 16,750 17,911 17,259 10/31/01 17,291 18,149 17,737 11/30/01 16,820 17,997 17,297 12/31/01 16,620 17,943 17,129 01/31/02 16,753 18,124 17,244 02/28/02 16,911 18,309 17,346 03/31/02 16,662 18,135 16,928 04/30/02 16,958 18,454 17,349 05/31/02 17,056 18,574 17,447 06/30/02 17,197 18,722 17,693 07/31/02 17,423 18,940 18,112 08/31/02 17,676 19,072 18,503 09/30/02 18,008 19,230 19,003 10/31/02 17,820 19,290 18,792 11/30/02 17,686 19,307 18,606 12/31/02 18,111 19,499 19,089 01/31/03 18,062 19,547 19,032 02/28/03 18,323 19,645 19,360 03/31/03 18,227 19,659 19,278 04/30/03 18,291 19,704 19,369 05/31/03 18,738 19,704 19,927 06/30/03 18,671 19,763 19,805 07/31/03 18,058 19,437 18,936 08/31/03 18,121 19,565 19,047 09/30/03 18,479 19,847 19,623 10/31/03 18,290 19,795 19,322 11/30/03 18,300 19,865 19,348 12/31/03 18,425 20,049 19,520 01/31/04 18,531 20,150 19,686 02/29/04 18,648 20,283 19,930 03/31/04 18,756 20,366 20,117 04/30/04 18,390 20,046 19,469 05/31/04 18,336 20,006 19,403 06/30/04 18,453 20,186 19,481 07/31/04 18,615 20,350 19,666 08/31/04 18,887 20,632 20,073 K SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 Inception - --------------------------- --------- U.S. Government Securities Fund 3.66% Lehman Bros. Composite Treasury Index 2.56% ** Lehman Bros. GNMA Index 4.18% ** ** Due to data limitations the benchmark performance information reflects the period 10/1/03 - 8/31/04. Share class commencement of operations was 10/16/03. U.S. Government Securities Fund versus the Lehman Bros. Treasury and GNMA Indicies [The following table was depicted as a line chart in the printed material.] U.S. Government Lehman Bros. Lehman Bros. Securities Treasury GNMA Fund Index Index --------------- ------------ ------------ 10/31/03 10,000 10,000 10,000 11/30/03 10,002 10,035 10,013 12/31/03 10,069 10,128 10,102 01/31/04 10,121 10,179 10,188 02/29/04 10,189 10,246 10,314 03/31/04 10,235 10,288 10,411 04/30/04 10,038 10,127 10,076 05/31/04 10,003 10,106 10,042 06/30/04 10,058 10,197 10,082 07/31/04 10,147 10,280 10,178 08/31/04 10,290 10,423 10,388 * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund dis- tributions or the redemption of fund shares REGULAR SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 1 year Inception - --------------------------- ------ --------- Short-Term U.S. Government Bond Fund 1.06% 3.84% Lehman 1-3 Year Treasury Index 2.06% 5.40% Short-Term U.S. Government Bond Fund versus the Lehman 1-3 Year Treasury Index [The following table was depicted as a line chart in the printed material.] Short-Term Lehman U.S. Government 1-3 Year Bond Fund Treasury Index --------- -------------- 01/18/00 10,000 10,000 01/31/00 10,006 9,996 02/29/00 10,056 10,062 03/31/00 10,119 10,126 04/30/00 10,157 10,149 05/31/00 10,204 10,191 06/30/00 10,294 10,298 07/31/00 10,352 10,364 08/31/00 10,415 10,441 09/30/00 10,479 10,518 10/31/00 10,532 10,574 11/30/00 10,608 10,675 12/31/00 10,712 10,805 01/31/01 10,812 10,942 02/28/01 10,871 11,014 03/31/01 10,937 11,105 04/30/01 10,971 11,134 05/31/01 11,031 11,194 06/30/01 11,060 11,234 07/31/01 11,154 11,363 08/31/01 11,205 11,433 09/30/01 11,369 11,622 10/31/01 11,477 11,733 11/30/01 11,408 11,705 12/31/01 11,393 11,709 01/31/02 11,417 11,732 02/28/02 11,477 11,790 03/31/02 11,400 11,702 04/30/02 11,495 11,841 05/31/02 11,520 11,886 06/30/02 11,571 11,990 07/31/02 11,630 12,140 08/31/02 11,642 12,183 09/30/02 11,686 12,287 10/31/02 11,712 12,316 11/30/02 11,699 12,274 12/31/02 11,734 12,394 01/31/03 11,745 12,391 02/28/03 11,752 12,446 03/31/03 11,767 12,468 04/30/03 11,768 12,491 05/31/03 11,781 12,538 06/30/03 11,792 12,558 07/31/03 11,780 12,486 08/31/03 11,777 12,492 09/30/03 11,846 12,610 10/31/03 11,821 12,561 11/30/03 11,815 12,555 12/31/03 11,851 12,628 01/31/04 11,864 12,654 02/29/04 11,907 12,718 03/31/04 11,924 12,758 04/30/04 11,843 12,629 05/31/04 11,842 12,616 06/30/04 11,832 12,614 07/31/04 11,855 12,660 08/31/04 11,903 12,750 K SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 Inception - --------------------------- --------- Short-Term U.S. Government Bond Fund 0.41% Lehman 1-3 Year Treasury Index 1.10%** ** Due to data limitations the benchmark performance information reflects the period 10/1/03 - 8/31/04. Share class commencement of operations was 10/16/03. Short-Term U.S. Government Bond Fund versus the Lehman 1-3 Year Treasury Index [The following table was depicted as a line chart in the printed material.] Short-Term Lehman U.S. Government 1-3 Year Bond Fund Treasury Index --------- -------------- 10/31/03 10,000 10,000 11/30/03 9,991 9,995 12/31/03 10,024 10,053 01/31/04 10,030 10,074 02/29/04 10,054 10,124 03/31/04 10,070 10,157 04/30/04 9,997 10,054 05/31/04 9,982 10,043 06/30/04 9,978 10,042 07/31/04 9,994 10,078 08/31/04 10,029 10,150 2 STOCK FUNDS By definition, the objective for managing the index funds is to match the performance of the funds to their index benchmarks. Each of our index funds tracked their respective benchmarks tightly during this last fiscal year. We measure the index fund performance by using a correlation coefficient. This is a statistical measure that compares daily performance of a fund against its benchmark index. Ameasure of 1.000 indicates that the performance is perfectly correlated and a measure of -1.000 implies they are negatively correlated. The S&P 500 Index Fund and S&PMidCap Index Fund each had a correlation coefficient of 1.000 for the past fiscal year. The SmallCap Index Fund and Nasdaq-100 Index Fund each had a correlation coefficient of .999. Again, the small and mid-cap market sectors continued to outperform the large-cap sector through this last fiscal year, albeit with more volatility. These segments came out of the 2000 market bubble with much more attractive earning multiples and that momentum has resulted in significant outperformance for the past three and five-year periods. The valuation gap, and therefore the relative performance, has closed over the past couple years and the outperformance is as much related to the timing of our fiscal year. Using traditional valuation methodologies, we believe the three indices are priced in line with historical averages. Predicting market momentum and relative performance is a guessing game at best. As such, we strongly encourage shareholders to consider a balanced approach for the portion of their portfolios dedicated to stock funds. By this, we mean owning equal balances of each of the three core index funds (S&P 500, MidCap and SmallCap Funds) to achieve a more diversified equity portfolio. Over the past several years, a balanced portfolio like this has outperformed a total market index such as the Wilshire 5000. The reason for this is that smaller companies represent such a small element of such a massive index, their performance does not factor significantly into the total return. During periods where large cap stocks out perform their smaller counterparts, this strategy will result in underperformance. So why do it? Two reasons. First, at times we need access to our capital. By employing this method, we maintain a degree of flexibility where we can draw from. This can prove handy for a number of reasons. Second, history is on our side in that although more volatile, small cap stocks have returned more to investors over the long haul. The Nasdaq-100 Index Fund, which is largely a technology fund, was flat at 1.47% for the fiscal year. This fund is likely to continue to be volatile for investors and will generally perform better during times of corporate prosperity. Conversely, as we all clearly remember the year 2000, these stocks suffer during times of economic retreat. Our European Growth & Income Fund is managed using the Dow Stoxx 50, a European large cap Index, as a benchmark for its holdings. The fund was up 17.04% and under performed its benchmark by 3.10% this past year. This fund generally provides investors a low-cost, highly efficient tool to diversify internationally. European markets exceeded the performance of the U.S. markets for the balance of 2003 but have since lagged, as measured against the S&P 500 Index. We did not hedge the currency risk during the previous fiscal year and do not plan to do so this year. The Manager also stopped using Dow/Stoxx 50 futures contracts during the year to remain fully invested. While this creates more cash drag on the portfolio, the Manager felt the benefits offset the drawbacks and does not intend to use these contracts for the foreseeable future. The Manager may elect to use other contracts in the future but is not using any at the time of this printing. The Equity Income Fund is actively managed as a value fund and continues to focus on stocks that have high dividend yields relative to the S&P 500 Composite Stock Index. The Equity Income Fund was up 15.51% for the year and outperformed gains of the U.S. stock market as measured by the S&P 500 Index by 4.06%. The fund under performed its benchmark, the BARRA/Value Index, by 0.57% for the year. The fund has largely remained 100% invested through the use of S&P 500 and Russell 2000 futures contracts through the year. The fund currently has an overweight focus in Utility, Energy and Financial Service/Banking. The economy continues on the road to what we termed last year a profit-driven recovery. Corporate spending on new initiatives should grow slowly as the pain of cutting remains fresh on the minds of corporate America. Additionally, we expect to see conservative management styles to remain in vogue with corporate boards whose responsibilities to investors have been more clearly defined over the past few years. This should be good for investors. While we cannot predict what the future holds, we can easily make the case that investors who have continued to invest through troubled markets in the past have been rewarded for their tenacity. We encourage you to maintain a diversified portfolio using both stock and bond funds, in a balance which is appropriate for your particular investment objectives. 3 REGULAR SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 1 year 5 year 10 year - --------------------------- ------ ------ ------- CIT S&P 500 Index Fund 11.16% -1.96% 10.67% S&P 500 Composite Stock Price Index 11.44% -2.07% 10.69% CIT S&P 500 Index Fund versus the S&P 500 Composite Stock Price Index [The following table was depicted as a line chart in the printed material.] S&P 500 CIT S&P 500 Composite Stock Index Fund Price Index ---------- ----------- 08/31/94 10,000 10,000 09/30/94 9,754 9,756 10/31/94 9,989 9,974 11/30/94 9,617 9,612 12/31/94 9,758 9,754 01/31/95 10,009 10,007 02/28/95 10,403 10,396 03/31/95 10,710 10,702 04/30/95 11,017 11,017 05/31/95 11,441 11,457 06/30/95 11,697 11,723 07/31/95 12,079 12,111 08/31/95 12,106 12,142 09/30/95 12,618 12,654 10/31/95 12,591 12,609 11/30/95 13,138 13,162 12/31/95 13,389 13,415 01/31/96 13,829 13,871 02/29/96 13,944 14,000 03/31/96 14,074 14,135 04/30/96 14,305 14,343 05/31/96 14,671 14,712 06/30/96 14,720 14,768 07/31/96 14,071 14,116 08/31/96 14,362 14,415 09/30/96 15,161 15,225 10/31/96 15,581 15,645 11/30/96 16,753 16,826 12/31/96 16,419 16,493 01/31/97 17,437 17,523 02/28/97 17,566 17,661 03/31/97 16,833 16,936 04/30/97 17,825 17,946 05/31/97 18,908 19,038 06/30/97 19,736 19,891 07/31/97 21,297 21,473 08/31/97 20,129 20,271 09/30/97 21,220 21,381 10/31/97 20,522 20,667 11/30/97 21,467 21,623 12/31/97 21,836 21,994 01/31/98 22,074 22,237 02/28/98 23,655 23,840 03/31/98 24,860 25,060 04/30/98 25,119 25,312 05/31/98 24,684 24,878 06/30/98 25,670 25,887 07/31/98 25,389 25,612 08/31/98 21,765 21,913 09/30/98 23,139 23,317 10/31/98 25,075 25,212 11/30/98 26,576 26,740 12/31/98 28,113 28,279 01/31/99 29,328 29,462 02/28/99 28,425 28,546 03/31/99 29,539 29,688 04/30/99 30,628 30,838 05/31/99 29,873 30,111 06/30/99 31,522 31,780 07/31/99 30,559 30,789 08/31/99 30,418 30,637 09/30/99 29,584 29,798 10/31/99 31,453 31,683 11/30/99 32,084 32,327 12/31/99 34,022 34,229 01/31/00 32,310 32,510 02/29/00 31,682 31,895 03/31/00 34,749 35,013 04/30/00 33,673 33,960 05/31/00 33,009 33,263 06/30/00 33,818 34,083 07/31/00 33,358 33,551 08/31/00 35,402 35,634 09/30/00 33,569 33,753 10/31/00 33,443 33,610 11/30/00 30,821 30,962 12/31/00 30,993 31,114 01/31/01 32,060 32,217 02/28/01 29,233 29,281 03/31/01 27,422 27,427 04/30/01 29,505 29,557 05/31/01 29,717 29,755 06/30/01 28,996 29,031 07/31/01 28,713 28,745 08/31/01 26,928 26,948 09/30/01 24,778 24,772 10/31/01 25,217 25,244 11/30/01 27,116 27,180 12/31/01 27,332 27,419 01/31/02 26,939 27,019 02/28/02 26,451 26,498 03/31/02 27,410 27,494 04/30/02 25,762 25,828 05/31/02 25,571 25,639 06/30/02 23,756 23,813 07/31/02 21,996 21,957 08/31/02 22,128 22,101 09/30/02 19,697 19,701 10/31/02 21,442 21,434 11/30/02 22,742 22,694 12/31/02 21,391 21,361 01/31/03 20,811 20,803 02/28/03 20,497 20,490 03/31/03 20,687 20,689 04/30/03 22,385 22,392 05/31/03 23,586 23,571 06/30/03 23,890 23,872 07/31/03 24,304 24,293 08/31/03 24,792 24,766 09/30/03 24,512 24,503 10/31/03 25,905 25,889 11/30/03 26,138 26,116 12/31/03 27,486 27,485 01/31/04 27,977 27,989 02/29/04 28,357 28,378 03/31/04 27,932 27,950 04/30/04 27,490 27,512 05/31/04 27,859 27,889 06/30/04 28,398 28,431 07/31/04 27,447 27,489 08/31/04 27,558 27,599 K SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 Inception** - --------------------------- --------- CIT S&P 500 Index Fund 6.05% S&P 500 Composite Stock Price Index 6.67% CIT S&P 500 Index Fund versus the S&P 500 Composite Stock Price Index [The following table was depicted as a line chart in the printed material.] S&P 500 CIT S&P 500 Composite Stock Index Fund Price Index ---------- ----------- 10/31/03 10,000 10,000 11/30/03 10,085 10,088 12/31/03 10,606 10,617 1/31/04 10,795 10,811 2/29/04 10,936 10,962 3/31/04 10,763 10,796 4/30/04 10,588 10,627 5/31/04 10,729 10,773 6/30/04 10,931 10,982 7/31/04 10,562 10,618 8/31/04 10,595 10,661 * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares REGULAR SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 1 year 5 year 10 year - --------------------------- ------ ------ ------- CIT S&P MidCap Index Fund 12.44% 9.60% 14.02% S&P MidCap 400 Index 12.42% 9.17% 13.92% CIT S&P MidCap Index Fund versus the S&P MidCap 400 Index [The following table was depicted as a line chart in the printed material.] CIT S&P MidCap S&P MidCap 400 Index Fund Index -------------- -------------- 08/31/94 10,000 10,000 09/30/94 9,812 9,813 10/31/94 9,918 9,921 11/30/94 9,473 9,474 12/31/94 9,558 9,561 01/31/95 9,652 9,660 02/28/95 10,160 10,167 03/31/95 10,344 10,344 04/30/95 10,552 10,552 05/31/95 10,803 10,807 06/30/95 11,241 11,247 07/31/95 11,815 11,833 08/31/95 12,024 12,051 09/30/95 12,325 12,344 10/31/95 12,002 12,026 11/30/95 12,515 12,548 12/31/95 12,484 12,517 01/31/96 12,668 12,699 02/29/96 13,093 13,129 03/31/96 13,253 13,287 04/30/96 13,651 13,693 05/31/96 13,827 13,878 06/30/96 13,615 13,670 07/31/96 12,704 12,747 08/31/96 13,438 13,483 09/30/96 14,028 14,071 10/31/96 14,056 14,112 11/30/96 14,853 14,906 12/31/96 14,836 14,922 01/31/97 15,406 15,482 02/28/97 15,278 15,355 03/31/97 14,625 14,702 04/30/97 14,980 15,083 05/31/97 16,281 16,402 06/30/97 16,750 16,862 07/31/97 18,401 18,530 08/31/97 18,362 18,508 09/30/97 19,411 19,571 10/31/97 18,598 18,720 11/30/97 18,863 18,997 12/31/97 19,568 19,733 01/31/98 19,224 19,357 02/28/98 20,781 20,960 03/31/98 21,743 21,905 04/30/98 22,130 22,304 05/31/98 21,129 21,301 06/30/98 21,274 21,435 07/31/98 20,443 20,603 08/31/98 16,641 16,771 09/30/98 18,178 18,336 10/31/98 19,781 19,972 11/30/98 20,762 20,968 12/31/98 23,185 23,500 01/31/99 22,335 22,585 02/28/99 21,148 21,403 03/31/99 21,745 22,001 04/30/99 23,462 23,735 05/31/99 23,575 23,839 06/30/99 24,841 25,114 07/31/99 24,314 24,577 08/31/99 23,485 23,734 09/30/99 22,767 23,002 10/31/99 23,950 24,174 11/30/99 25,149 25,442 12/31/99 26,596 26,953 01/31/00 25,869 26,194 02/29/00 27,608 28,027 03/31/00 30,246 30,371 04/30/00 29,279 29,309 05/31/00 28,867 28,947 06/30/00 29,358 29,373 07/31/00 29,867 29,838 08/31/00 32,982 33,167 09/30/00 32,780 32,940 10/31/00 31,760 31,822 11/30/00 29,425 29,422 12/31/00 31,780 31,672 01/31/01 32,405 32,378 02/28/01 30,605 30,532 03/31/01 28,479 28,263 04/30/01 31,540 31,380 05/31/01 32,300 32,110 06/30/01 32,227 31,981 07/31/01 31,770 31,504 08/31/01 30,818 30,474 09/30/01 27,159 26,684 10/31/01 28,229 27,866 11/30/01 30,327 29,938 12/31/01 31,884 31,483 01/31/02 31,750 31,321 02/28/02 31,788 31,359 03/31/02 34,033 33,601 04/30/02 33,880 33,443 05/31/02 33,341 32,880 06/30/02 30,947 30,474 07/31/02 27,943 27,521 08/31/02 28,116 27,660 09/30/02 25,831 25,432 10/31/02 26,950 26,533 11/30/02 28,493 28,066 12/31/02 27,352 26,913 01/31/03 26,597 26,127 02/28/03 25,920 25,505 03/31/03 26,071 25,719 04/30/03 27,932 27,585 05/31/03 30,200 29,870 06/30/03 30,561 30,250 07/31/03 31,648 31,324 08/31/03 33,027 32,743 09/30/03 32,514 32,242 10/31/03 34,944 34,680 11/30/03 36,189 35,888 12/31/03 36,803 36,493 01/31/04 37,582 37,283 02/29/04 38,517 38,178 03/31/04 38,669 38,340 04/30/04 37,382 37,082 05/31/04 38,143 37,851 06/30/04 39,010 38,711 07/31/04 37,212 36,906 08/31/04 37,134 36,808 K SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 Inception** - --------------------------- --------- CIT S&P MidCap Index Fund 6.96% S&P MidCap 400 Index 7.14% CIT S&P MidCap Index Fund versus the S&P MidCap 400 Index [The following table was depicted as a line chart in the printed material.] CIT S&P MidCap S&P MidCap 400 Index Fund Index -------------- -------------- 10/31/03 10,000 10,000 11/30/03 10,356 10,348 12/31/03 10,533 10,523 1/31/04 10,750 10,751 2/29/04 11,012 11,009 3/31/04 11,053 11,055 4/30/04 10,680 10,693 5/31/04 10,892 10,914 6/30/04 11,130 11,163 7/31/04 10,617 10,642 8/31/04 10,589 10,614 ** K Share commencement of operations was 10/16/03. 4 REGULAR SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 1 year 5 year Inception - --------------------------- ------ ------ --------- CIT S&P SmallCap Index Fund 13.93% 9.66% 8.96% S&P SmallCap 600 Index 14.87% 10.45% 10.02% CIT S&P SmallCap Index Fund versus the S&P SmallCap 600 Index [The following table was depicted as a line chart in the printed material.] CIT S&P SmallCap S&P SmallCap 600 Index Fund Index ---------------- ---------------- 10/02/96 10,000 10,000 10/31/96 9,850 9,865 11/30/96 10,240 10,377 12/31/96 10,373 10,499 01/31/97 10,635 10,673 02/28/97 10,383 10,452 03/31/97 9,839 9,916 04/30/97 10,002 10,037 05/31/97 11,110 11,216 06/30/97 11,578 11,712 07/31/97 12,200 12,448 08/31/97 12,486 12,762 09/30/97 13,284 13,605 10/31/97 12,712 13,018 11/30/97 12,642 12,924 12/31/97 12,868 13,184 01/31/98 12,592 12,927 02/28/98 13,672 14,104 03/31/98 14,191 14,642 04/30/98 14,286 14,728 05/31/98 13,490 13,948 06/30/98 13,503 13,988 07/31/98 12,439 12,919 08/31/98 10,066 10,429 09/30/98 10,699 11,065 10/31/98 11,179 11,578 11/30/98 11,779 12,229 12/31/98 12,493 13,009 01/31/99 12,374 12,847 02/28/99 11,260 11,689 03/31/99 11,425 11,840 04/30/99 12,151 12,622 05/31/99 12,389 12,929 06/30/99 13,108 13,665 07/31/99 12,978 13,545 08/31/99 12,435 12,949 09/30/99 12,472 13,004 10/31/99 12,483 12,971 11/30/99 13,011 13,520 12/31/99 14,172 14,624 01/31/00 13,784 14,170 02/29/00 15,745 16,068 03/31/00 15,080 15,474 04/30/00 14,771 15,208 05/31/00 14,280 14,759 06/30/00 15,239 15,632 07/31/00 14,827 15,248 08/31/00 16,120 16,599 09/30/00 15,632 16,147 10/31/00 15,586 16,248 11/30/00 14,034 14,557 12/31/00 15,722 16,351 01/31/01 16,232 17,051 02/28/01 15,261 16,011 03/31/01 14,584 15,278 04/30/01 15,654 16,442 05/31/01 15,910 16,757 06/30/01 16,458 17,370 07/31/01 16,093 17,080 08/31/01 15,703 16,691 09/30/01 13,658 14,436 10/31/01 14,378 15,205 11/30/01 15,367 16,317 12/31/01 16,391 17,421 01/31/02 16,489 17,573 02/28/02 16,233 17,271 03/31/02 17,435 18,635 04/30/02 17,899 19,161 05/31/02 17,154 18,369 06/30/02 16,247 17,419 07/31/02 14,034 14,958 08/31/02 14,181 15,101 09/30/02 13,297 14,177 10/31/02 13,749 14,630 11/30/02 14,496 15,392 12/31/02 13,991 14,873 01/31/03 13,499 14,362 02/28/03 13,094 13,902 03/31/03 13,179 14,011 04/30/03 14,225 15,148 05/31/03 15,343 16,368 06/30/03 15,696 16,794 07/31/03 16,520 17,667 08/31/03 17,307 18,527 09/30/03 16,825 17,982 10/31/03 18,252 19,541 11/30/03 18,936 20,280 12/31/03 19,255 20,639 01/31/04 19,827 21,233 02/29/04 20,187 21,641 03/31/04 20,432 21,926 04/30/04 19,748 21,199 05/31/04 20,022 21,523 06/30/04 21,049 22,715 07/31/04 19,917 21,470 08/31/04 19,718 21,282 K SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 Inception** - --------------------------- --------- CIT S&P SmallCap Index Fund 7.99% S&P SmallCap 600 Index 9.31% CIT S&P SmallCap Index Fund versus the S&P SmallCap 600 Index [The following table was depicted as a line chart in the printed material.] CIT S&P SmallCap S&P SmallCap 600 Index Fund Index ---------------- ---------------- 10/31/03 10,000 10,000 11/30/03 10,368 10,378 12/31/03 10,544 10,562 01/31/04 10,844 10,866 02/29/04 11,048 11,075 03/31/04 11,170 11,220 04/30/04 10,789 10,848 05/31/04 10,939 11,014 06/30/04 11,497 11,624 07/31/04 10,871 10,987 08/31/04 10,762 10,891 * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares REGULAR SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 1 year 5 year Inception - --------------------------- ------ ------ --------- CIT Equity Income Fund 15.51% 1.99% 7.75% S&P BARRA/Value Index 16.06% 1.11% 8.53% S&P 500 Composite Stock Price Index 11.44% -2.07% 8.39% Equity Income Fund versus the S&P BARRA/Value Index & the S&P Composite Stock Price Index [The following table was depicted as a line chart in the printed material.] S&P S&P 500 CIT Equity BARRA/Value Composite Stock Income Fund Index Price Index ----------- ----- ----------- 09/04/96 10,000 10,000 10,000 09/30/96 10,207 10,366 10,562 10/31/96 10,528 10,717 10,854 11/30/96 11,209 11,534 11,673 12/31/96 11,097 11,344 11,442 01/31/97 11,574 11,869 12,156 02/28/97 11,668 11,955 12,252 03/31/97 11,245 11,546 11,749 04/30/97 11,737 11,979 12,450 05/31/97 12,354 12,729 13,208 06/30/97 12,801 13,215 13,799 07/31/97 13,824 14,275 14,897 08/31/97 13,329 13,631 14,063 09/30/97 14,064 14,430 14,833 10/31/97 13,618 13,900 14,338 11/30/97 14,079 14,428 15,001 12/31/97 14,348 14,748 15,258 01/31/98 14,204 14,566 15,427 02/28/98 15,220 15,658 16,539 03/31/98 16,087 16,450 17,385 04/30/98 16,220 16,645 17,560 05/31/98 16,076 16,411 17,259 06/30/98 16,229 16,536 17,959 07/31/98 15,793 16,177 17,768 08/31/98 13,390 13,579 15,202 09/30/98 13,866 14,406 16,176 10/31/98 14,846 15,532 17,491 11/30/98 15,431 16,340 18,550 12/31/98 16,234 16,912 19,619 01/31/99 16,449 17,253 20,439 02/28/99 16,132 16,884 19,804 03/31/99 16,446 17,395 20,596 04/30/99 17,494 18,897 21,394 05/31/99 16,902 18,556 20,889 06/30/99 17,588 19,268 22,047 07/31/99 17,062 18,676 21,360 08/31/99 16,455 18,202 21,254 09/30/99 15,682 17,492 20,672 10/31/99 16,291 18,480 21,980 11/30/99 16,253 18,372 22,426 12/31/99 16,868 19,062 23,746 01/31/00 16,249 18,456 22,553 02/29/00 15,927 17,303 22,127 03/31/00 17,177 19,105 24,290 04/30/00 16,710 18,978 23,560 05/31/00 16,554 19,036 23,076 06/30/00 16,355 18,285 23,645 07/31/00 16,475 18,651 23,276 08/31/00 17,810 19,901 24,721 09/30/00 17,387 19,896 23,416 10/31/00 17,338 20,267 23,317 11/30/00 16,304 19,230 21,480 12/31/00 16,668 20,219 21,585 01/31/01 16,029 21,072 22,350 02/28/01 15,882 19,677 20,314 03/31/01 15,317 18,900 19,027 04/30/01 16,256 20,181 20,505 05/31/01 16,429 20,392 20,643 06/30/01 15,894 19,732 20,140 07/31/01 15,534 19,390 19,942 08/31/01 15,150 18,271 18,695 09/30/01 14,332 16,537 17,185 10/31/01 14,382 16,537 17,513 11/30/01 15,242 17,587 18,856 12/31/01 15,700 17,856 19,022 01/31/02 15,562 17,366 18,744 02/28/02 15,512 17,210 18,383 03/31/02 16,147 18,092 19,074 04/30/02 15,984 17,186 17,918 05/31/02 15,733 17,256 17,787 06/30/02 15,077 16,168 16,520 07/31/02 14,171 14,421 15,233 08/31/02 14,322 14,520 15,332 09/30/02 13,201 12,862 13,668 10/31/02 13,542 13,930 14,869 11/30/02 13,858 14,907 15,744 12/31/02 13,717 14,132 14,819 01/31/03 13,222 13,747 14,432 02/28/03 13,044 13,372 14,215 03/31/03 13,246 13,355 14,353 04/30/03 14,073 14,674 15,534 05/31/03 14,925 15,753 16,352 06/30/03 15,197 15,868 16,561 07/31/03 15,414 16,221 16,853 08/31/03 15,721 16,571 17,181 09/30/03 15,680 16,271 16,999 10/31/03 16,448 17,383 17,960 11/30/03 16,806 17,539 18,118 12/31/03 17,489 18,621 19,068 01/31/04 17,720 18,951 19,418 02/29/04 18,247 19,378 19,687 03/31/04 18,259 19,244 19,390 04/30/04 17,744 18,769 19,086 05/31/04 17,989 18,985 19,348 06/30/04 18,379 19,397 19,724 07/31/04 18,069 19,028 19,070 08/31/04 18,159 19,232 19,147 K SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 Inception** - --------------------------- --------- CIT Equity Income Fund 9.47% S&P BARRA/Value Index 11.02% S&P 500 Composite Stock Price Index 6.67% Equity Income Fund versus the S&P BARRA/Value Index & the S&P Composite Stock Price Index [The following table was depicted as a line chart in the printed material.] S&P S&P 500 CIT Equity BARRA/Value Composite Stock Income Fund Index Price Index ----------- ----- ----------- 10/31/03 10,000 10,000 10,000 11/30/03 10,218 10,090 10,088 12/31/03 10,627 10,712 10,617 01/31/04 10,752 10,902 10,811 02/29/04 11,071 11,148 10,962 03/31/04 11,077 11,071 10,796 04/30/04 10,758 10,798 10,627 05/31/04 10,898 10,922 10,773 06/30/04 11,138 11,159 10,982 07/31/04 10,935 10,946 10,618 08/31/04 10,989 11,064 10,661 ** K Share commencement of operations was 10/16/03. 5 REGULAR SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 1 year Inception - --------------------------- ------ --------- CIT European Growth & Income Fund 17.04% -5.87% Dow Jones Stoxx 50 Index (U.S. Dollars) 20.14% -6.31% European Growth & Income Fund versus the Dow Jones Stoxx 50 Index (U.S. Dollars) [The following table was depicted as a line chart in the printed material.] CIT European Dow Jones Growth & Income Stoxx 50 Index Fund (U.S. Dollars) --------------- -------------- 01/18/00 10,000 10,000 01/31/00 9,720 9,289 02/29/00 10,060 9,907 03/31/00 10,299 10,213 04/30/00 9,918 9,769 05/31/00 9,858 9,752 06/30/00 9,892 9,779 07/31/00 9,641 9,581 08/31/00 9,641 9,468 09/30/00 8,997 8,975 10/31/00 9,067 8,946 11/30/00 8,593 8,565 12/31/00 9,047 9,116 01/31/01 9,037 9,052 02/28/01 8,119 8,082 03/31/01 7,665 7,535 04/30/01 8,281 8,135 05/31/01 7,927 7,727 06/30/01 7,517 7,409 07/31/01 7,477 7,402 08/31/01 7,243 7,159 09/30/01 6,711 6,565 10/31/01 6,915 6,748 11/30/01 7,109 6,926 12/31/01 7,272 7,087 01/31/02 6,905 6,672 02/28/02 6,854 6,688 03/31/02 7,144 7,005 04/30/02 7,072 6,895 05/31/02 7,001 6,850 06/30/02 6,697 6,647 07/31/02 6,017 5,875 08/31/02 5,975 5,860 09/30/02 5,267 5,034 10/31/02 5,764 5,596 11/30/02 6,043 5,848 12/31/02 5,778 5,567 01/31/03 5,653 5,310 02/28/03 5,446 5,179 03/31/03 5,405 5,095 04/30/03 6,041 5,794 05/31/03 6,416 6,124 06/30/03 6,411 6,191 07/31/03 6,464 6,264 08/31/03 6,464 6,161 09/30/03 6,562 6,297 10/31/03 6,919 6,661 11/30/03 7,203 6,988 12/31/03 7,812 7,622 01/31/04 7,865 7,611 02/29/04 8,033 7,778 03/31/04 7,707 7,489 04/30/04 7,644 7,456 05/31/04 7,718 7,524 06/30/04 7,810 7,561 07/31/04 7,512 7,383 08/31/04 7,565 7,402 K SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 Inception** - --------------------------- --------- CIT European Growth & Income Fund 8.43% Dow Jones Stoxx 50 Index (U.S. Dollars) 10.74% European Growth & Income Fund versus the Dow Jones Stoxx 50 Index (U.S. Dollars) [The following table was depicted as a line chart in the printed material.] CIT European Dow Jones Growth & Income Stoxx 50 Index Fund (U.S. Dollars) --------------- -------------- 10/31/03 10,000 10,000 11/30/03 10,410 10,490 12/31/03 11,290 11,442 01/31/04 11,366 11,426 02/29/04 11,594 11,677 03/31/04 11,112 11,243 04/30/04 11,021 11,192 05/31/04 11,112 11,296 06/30/04 11,243 11,351 07/31/04 10,815 11,083 08/31/04 10,876 11,113 * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares REGULAR SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 1 year Inception - --------------------------- ------ --------- CIT Nasdaq-100 Index Fund 1.47% -20.16% Nasdaq-100 Index 2.33% -19.30% Nasdaq-100 Index Fund versus the Nasdaq-100 Index [The following table was depicted as a line chart in the printed material.] CIT Nasdaq-100 Nasdaq-100 Index Fund Index -------------- ---------- 01/18/00 10,000 10,000 01/31/00 9,380 9,629 02/29/00 11,050 11,509 03/31/00 11,508 11,862 04/30/00 9,866 10,177 05/31/00 8,744 8,966 06/30/00 9,889 10,152 07/31/00 9,498 9,736 08/31/00 10,702 11,000 09/30/00 9,359 9,632 10/31/00 8,602 8,854 11/30/00 6,537 6,762 12/31/00 6,149 6,317 01/31/01 6,791 6,996 02/28/01 4,999 5,149 03/31/01 4,109 4,245 04/30/01 4,843 5,006 05/31/01 4,700 4,857 06/30/01 4,784 4,939 07/31/01 4,386 4,543 08/31/01 3,825 3,967 09/30/01 3,035 3,153 10/31/01 3,546 3,684 11/30/01 4,149 4,308 12/31/01 4,098 4,257 01/31/02 4,037 4,185 02/28/02 3,546 3,670 03/31/02 3,781 3,922 04/30/02 3,321 3,448 05/31/02 3,148 3,263 06/30/02 2,718 2,839 07/31/02 2,504 2,598 08/31/02 2,463 2,545 09/30/02 2,177 2,249 10/31/02 2,575 2,673 11/30/02 2,913 3,015 12/31/02 2,565 2,660 01/31/03 2,555 2,656 02/28/03 2,616 2,730 03/31/03 2,647 2,754 04/30/03 2,872 2,991 05/31/03 3,117 3,240 06/30/03 3,127 3,250 07/31/03 3,311 3,454 08/31/03 3,485 3,629 09/30/03 3,383 3,527 10/31/03 3,669 3,835 11/30/03 3,700 3,857 12/31/03 3,802 3,975 01/31/04 3,863 4,044 02/29/04 3,802 3,984 03/31/04 3,720 3,897 04/30/04 3,618 3,797 05/31/04 3,792 3,974 06/30/04 3,914 4,111 07/31/04 3,618 3,797 08/31/04 3,536 3,713 K SHARES AVERAGE ANNUAL TOTAL RETURNS* For periods ended 8/31/2004 Inception** - --------------------------- --------- CIT Nasdaq-100 Index Fund -4.70% Nasdaq-100 Index -3.87% Nasdaq-100 Index Fund versus the Nasdaq-100 Index [The following table was depicted as a line chart in the printed material.] CIT Nasdaq-100 Nasdaq-100 Index Fund Index -------------- ---------- 10/31/03 10,000 10,000 11/30/03 10,084 10,058 12/31/03 10,362 10,368 01/31/04 10,529 10,546 02/29/04 10,362 10,389 03/31/04 10,139 10,163 04/30/04 9,861 9,903 05/31/04 10,306 10,365 06/30/04 10,641 10,722 07/31/04 9,833 9,901 08/31/04 9,610 9,683 ** K Share commencement of operations was 10/16/03. 6
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004 MONEY MARKET FUND VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) - ------------------------------------------------------------------------------------------------------------------------------------ VARIABLE RATE DEMAND NOTES* (79.56%) ABAG FINANCIAL AUTHORITY FOR NON-PROFIT CORPS Revenue Bonds $ 1,500,000 1.310% 09/02/04 $ 1,500,000 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series B5 300,000 1.320% 09/01/04 300,000 Power Supply Revenue Bonds; Series 2002B6 2,400,000 1.330% 09/01/04 2,400,000 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Scripps Hospital; Series B 2,000,000 1.280% 09/01/04 2,000,000 Sutter Hospital; Series B 1,575,000 1.340% 09/01/04 1,575,000 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK Rand Corportation; Series B 2,000,000 1.340% 09/01/04 2,000,000 CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY ExxonMobil; Series 2000 2,000,000 1.140% 09/01/04 2,000,000 CALIFORNIA STATE ECONOMIC RECOVERY Revenue Bonds; Series 2004C 2,200,000 1.340% 09/01/04 2,200,000 CALIFORNIA, STATE OF General Obligation; Series A 1,800,000 1.320% 09/01/04 1,800,000 General Obligation Bonds; Series 2003C-1 2,000,000 1.330% 09/02/04 2,000,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY John Muir/Mt. Diablo Health System 220,000 1.220% 09/01/04 220,000 Gemological Institute of America; Special Tax; Series 2001 1,800,000 1.300% 09/02/04 1,800,000 Sutter Health Variable Rate Bonds 2,000,000 1.330% 09/01/04 2,000,000 CHINO BASIN REGIONAL FINANCING AUTHORITY Inland Empire Utilities Agency; Series 2002A 2,000,000 1.270% 09/01/04 2,000,000 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series B 1,500,000 1.300% 09/02/04 1,500,000 ELSINORE VALLEY MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 2,000,000 1.320% 09/01/04 2,000,000 IRVINE, CITY OF Assessment District 87-8 2,600,000 1.330% 09/01/04 2,600,000 Assessment District 89-10 20,000 1.350% 09/01/04 20,000 Assessment District 94-13 1,000,000 1.330% 09/01/04 1,000,000 IRVINE RANCH WATER DISTRICT Consolidated Bonds; Series 1995 1,000,000 1.320% 09/01/04 1,000,000 Consolidated Refunding Bonds; Series 1995 175,000 1.220% 09/01/04 175,000 General Obligation; Consolidated Series 1993 800,000 1.330% 09/01/04 800,000 Waterworks Bonds; 1988 Series A, District 182 1,300,000 1.320% 09/01/04 1,300,000 IRVINE UNIFIED SCHOOL DISTRICT Community Facilities District No. 01-01; Series 2003 400,000 1.330% 09/01/04 400,000 KERN, COUNTY OF Certificates of Participation; 1986 Series C 1,000,000 1.320% 09/01/04 1,000,000 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1992; Series A 2,000,000 1.270% 09/01/04 2,000,000 Tax revenue Refunding Bonds; 1993 Series A 2,000,000 1.300% 09/01/04 2,000,000 LOS ANGELES, COUNTY OF Pension Obligation Refunding Bonds 2,000,000 1.270% 09/01/04 2,000,000 Rowland Heights Preservation 1,400,000 1.330% 09/01/04 1,400,000 LOS ANGELES DEPARTMENT OF WATER AND POWER Power System Revenue Bonds; Series A-3 2,000,000 1.300% 09/02/04 2,000,000 Water System Revenue Bonds; 2001 Series B-2 400,000 1.330% 09/01/04 400,000 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water Revenue Bonds, Series 2000 B-1 1,800,000 1.330% 09/01/04 1,800,000 Water Revenue Refunding Bonds; 1996 Series A 1,885,000 1.300% 09/02/04 1,885,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian; Series 1996 Series A 700,000 1.370% 09/01/04 700,000 Hoag Memorial Hospital Presbyterian, Series 1996 Series B 2,000,000 1.370% 09/01/04 2,000,000 ORANGE COUNTY HOUSING AUTHORITY Revenue Bonds, Village Niguel, Issue AA of 1985 1,900,000 1.280% 09/01/04 1,900,000 ORANGE, COUNTY OF Revenue Bonds, Niguel Summit II, Issue U of 1985 1,900,000 1.320% 09/07/04 1,900,000 ORANGE COUNTY SANITATION DISTRICT Certificates of Participation; Series 2000 890,000 1.330% 09/01/04 890,000 Certificates of Participation; Series 2000-A 1,000,000 1.330% 09/01/04 1,000,000 Refunding Certificates of Participation; Series 1993 1,750,000 1.330% 09/01/04 1,750,000 ORANGE COUNTY WATER DISTRICT Certificates of Participation; Series A 2,000,000 1.280% 09/01/04 2,000,000
7
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004 MONEY MARKET FUND CONTINUED VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) - ------------------------------------------------------------------------------------------------------------------------------------ RIVERSIDE, CITY OF First Nationwide Savings Program, 1985 Issue G $ 1,500,000 1.320% 09/01/04 $ 1,500,000 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 2,000,000 1.320% 09/01/04 2,000,000 SAN BERNARDINO, COUNTY OF Medical Center Financing Project; Series 1998 1,000,000 1.280% 09/01/04 1,000,000 SAN FRANCISCO CITY & COUNTY FINANCE CORP Moscone Center Expansion Project; Series 2000-3 1,900,000 1.280% 09/02/04 1,900,000 SANTA ANA HOUSING AUTHORITY Harbor Pointe Apartments; 1995 Series A 1,720,000 1.300% 09/02/04 1,720,000 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue 2,000,000 1.340% 09/01/04 2,000,000 TUSTIN, CITY OF Reassessment District No. 95-2; Series A 800,000 1.330% 09/01/04 800,000 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 1.300% 09/02/04 2,000,000 ----------- Total Variable Rate Demand Notes (Cost $74,135,000) 74,135,000 ----------- TAX AND REVENUE ANTICIPATION NOTES (10.82%) California Educational Facilities Authority 2,000,000 1.010% 03/18/05 2,000,000 California Infrastructure & Economic Development Bank 1,500,000 1.170% 02/21/05 1,500,000 Los Angeles, County of 2,000,000 3.000% 06/30/05 2,022,799 San Diego County School District 2,000,000 3.250% 07/25/05 2,029,270 Santa Barbara, County of 1,000,000 3.000% 07/26/05 1,012,733 Santa Barbara County School Financing Authority 1,500,000 3.000% 06/30/05 1,516,851 ----------- Total Tax and Revenue Anticipation Notes (Cost $10,081,653) 10,081,653 ----------- COMMERCIAL PAPER (8.58%) CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Harvey Mudd College Revenue Bonds 2,000,000 1.140% 10/19/04 2,000,000 EAST BAY MUNICIPAL UTILITY DISTRICT Certificates of Participation 2,000,000 1.150% 10/14/04 2,000,000 SAN DIEGO REGIONAL TRANSPORTATION COMMISSION Sales Tax Revenue; Series A 2,000,000 1.000% 09/09/04 2,000,000 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commerical Paper Notes; Series A 2,000,000 1.150% 11/03/04 2,000,000 ----------- Total Commercial Paper (Cost $8,000,000) 8,000,000 ----------- Total Investments (Cost $92,216,653) (a) (98.96%) 92,216,653 Other Net Assets (1.04%) 963,177 ----------- Net Assets (100.00%) $93,179,830 ===========
(a) Aggregate cost for federal income tax purposes is $92,216,653. * Stated maturity reflects next reset date. See accompanying notes to financial statements.
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2004 INTERMEDIATE FUND VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) - ------------------------------------------------------------------------------------------------------------------------------------ LONG TERM SECURITIES (94.70%) ANAHEIM PUBLIC FINANCING AUTHORITY Convention Center Project; Series A $ 500,000 5.250% 08/01/13 $ 560,530 BEVERLY HILL PUBLIC FINANCING AUTHORITY Lease Revenue Refunding; Series A 500,000 5.250% 06/01/13 563,745 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY University of San Francisco Revenue Bonds; Series 1996 500,000 5.600% 10/01/10 571,785 CALIFORNIA STATE ECONOMIC RECOVERY General Obligation; Series A 600,000 5.000% 07/01/11 667,350 CALIFORNIA, STATE OF General Obligation Bonds 600,000 5.750% 12/01/10 692,256 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison--Lassen County; 2001 Series A 400,000 5.250% 06/01/11 448,812 Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.250% 06/01/12 562,455 CAMPBELL UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series 2000 425,000 5.250% 08/01/09 476,094
8
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2004 INTERMEDIATE FUND CONTINUED VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) - ------------------------------------------------------------------------------------------------------------------------------------ CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A $ 300,000 7.250% 08/01/09 $ 361,035 Water System Improvement Projects; Series 2001A 500,000 6.000% 08/01/12 582,825 CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY General Obligation Refi. Bonds; Series A 400,000 6.150% 02/01/09 458,952 CHAFFEY UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series C 500,000 5.000% 05/01/12 556,065 CHICO UNIFIED SCHOOL DISTRICT General Obligation Refunding Bonds 400,000 8.500% 08/01/07 473,460 CONTRA COSTA WATER DISTRICT Water Revenue Refunding Bonds; Series K 400,000 5.000% 10/01/09 444,220 DESERT SANDS UNIFIED SCHOOL DISTRICT Certificates of Participation; Series 1995 500,000 5.300% 03/01/07 520,045 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 550,000 5.250% 07/01/12 614,576 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 2002 500,000 5.500% 08/01/12 574,270 FRESNO, CITY OF Water System Revenue Refuding; Series A 500,000 6.000% 06/01/11 584,920 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 600,000 5.200% 11/01/09 669,900 INDUSTRY CITY URBAN DEVELOPMENT AGENCY 2002 Tax Allocation; Refunding , Project 1 300,000 5.375% 05/01/12 325,191 LOS ANGELES, CITY OF Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.000% 02/01/08 546,520 LOS ANGELES COUNTYMETROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Bonds; Series A 500,000 5.500% 07/01/08 559,150 LOS ANGELES, COUNTY OF Pension Obligation Certificates; Series A 400,000 6.900% 06/30/08 466,152 LOS ANGELES DEPARTMENT OF WATER AND POWER Power Project Revenue Bond; 2001 Series A 500,000 5.250% 07/01/14 557,085 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 400,000 6.000% 07/01/07 445,252 MONTEREY, COUNTY OF Certificates of Participation 600,000 5.250% 08/01/14 668,904 NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT General Obligation Bonds; 2002 Series A 500,000 5.000% 08/01/12 557,380 NORWALK COMMUNITY FACILITIES FINANCING AUTHORITY City Hall Lease Revenue Refunding Bonds; 1999 200,000 5.000% 02/01/09 220,042 OAK PARK UNIFIED SCHOOL DISTRICT General Obligation, Refunding Bonds 600,000 5.150% 05/01/07 652,746 OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 500,000 5.500% 10/01/12 573,540 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY Measure M Sales Tax Revenue 2nd Series, Series A 325,000 5.000% 02/15/09 358,475 Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.500% 02/15/07 543,925 PASADENA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series B 400,000 5.000% 07/01/07 434,500 RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY Eisenhower Medical Center; Series 1997A 385,000 5.250% 07/01/12 421,171 SACRAMENTO REDEVELOPMENT AGENCY Downtown Sacramento Project; Series 1998C 500,000 4.750% 11/01/08 546,725 SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY Sewer Revenue Refunding Bonds; Series A 500,000 5.100% 05/15/10 541,505 SAN FRANCISCO AIRPORT COMMISSION SF Intl. Airport Revenue Second; Series B 450,000 5.500% 05/01/09 496,602 SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION Water Revenue Refunding Bonds; Series B 500,000 5.000% 11/01/13 551,915 SAN FRANCISCO STATE BUILDING AUTHORITY Civic Center Complex; 1996 Series A 400,000 6.000% 12/01/09 462,556 SAN JOSE FINANCING AUTHORITY Lease Revenue Bonds; Series 2001F 480,000 4.500% 09/01/09 519,365 SAN MATEO COUNTY TRANSIT DISTRICT Limited Tax Bonds; 1993 Series A 300,000 5.000% 06/01/11 333,438
9
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2004 INTERMEDIATE FUND CONTINUED VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) - ------------------------------------------------------------------------------------------------------------------------------------ SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Bonds; 2000 Series A $ 400,000 5.500% 05/15/10 $ 452,868 SANTA ROSA HIGH SCHOOL DISTRICT General Obligation Bonds; Series 2001 390,000 4.625% 05/01/08 422,900 SARATOGA UNION SCHOOL DISTRICT 1997 General Obligation Bonds; Series A 600,000 4.900% 09/01/09 665,082 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 500,000 5.500% 01/01/13 570,550 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Hospital Revenue Bonds; Series 2000 500,000 4.375% 12/01/09 538,765 Multiple Purpose Projects; Series O 500,000 5.750% 09/01/10 576,470 WALNUT, CITY OF Public Fiancing Authority Tax Allocation 500,000 5.375% 09/01/13 563,614 ----------- Total Long-Term Securities (Cost $23,868,217) 24,955,683 ----------- VARIABLE RATE DEMAND NOTES* (3.98%) CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY ExxonMobil; Series 2000 200,000 1.140% 09/01/04 200,000 IRVINE RANCH WATER DISTRICT Consolidated Refunding Bonds; Series 1995 150,000 1.220% 09/01/04 150,000 Waterworks Bonds; 1988 Series A, District 182 200,000 1.320% 09/01/04 200,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian; Series 1996 Series A 400,000 1.370% 09/01/04 400,000 WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY Variable Rate Revenue Bonds, 1996 100,000 1.330% 09/01/04 100,000 ----------- Total Variable Rate Demand Notes (Cost $1,050,000) 1,050,000 ----------- Total Investments (Cost $24,921,612) (a) (98.68%) 26,005,683 Other Net Assets (1.32%) 347,325 ----------- Net Assets (100.00%) $26,353,008 =========== (a) Aggregate cost for federal income tax purposes is $24,918,217. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 1,118,645 Unrealized depreciation (31,179) ----------- Net unrealized appreciation $ 1,087,466 ===========
*Stated maturity reflects next reset date. See accompanying notes to financial statements
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004 INCOME FUND VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) - ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM SECURITIES (86.31%) ANAHEIM PUBLIC FINANCING AUTHORITY Public Improvement Project; Series C $ 2,250,000 6.000% 09/01/12 $ 2,648,138 CALIFORNIA DEPARTMENT OF WATER RESOURCES Water System Revenue Bonds, Central Valley J-1; Prerefunded 625,000 7.000% 12/01/11 780,625 Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.000% 12/01/11 2,099,427 Water System Revenue Bonds, Central Valley J-3; Prerefunded 765,000 7.000% 12/01/11 955,485 Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.000% 12/01/11 2,563,902 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.250% 01/01/17 2,717,975 Stanford University Revenue Bonds; Series P 3,000,000 5.250% 12/01/13 3,440,250 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK Asian Art Museum of San Francisco; Series 2000 2,565,000 5.500% 06/01/13 2,904,683 CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY San Diego Gas & Electric; 1996 Series A 3,000,000 5.900% 06/01/14 3,186,810 CALIFORNIA POLYTECHNIC STATE UNIVERSITY Student Union Revenue Bonds; Series C 2,390,000 5.625% 07/01/26 2,603,666 CALIFORNIA STATE DEPARTMENT OF TRANSPORTATION Federal Highway Grant Anticipation Bonds; Series A 2,000,000 5.000% 02/01/15 2,219,340 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison--Imperial County; 1991 Series A 2,500,000 6.500% 09/01/17 2,998,150 University of California Projects; 1993 Series A 5,000,000 5.500% 06/01/14 5,650,800
10
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004 INCOME FUND CONTINUED VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY UniHealth America; Certificates of Participation; 1993 Series A $ 1,005,000 5.500% 10/01/14 $ 1,151,770 CALIFORNIA, STATE OF General Obligation Bonds 3,000,000 6.250% 09/01/12 3,482,220 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 2,090,000 7.250% 08/01/09 2,515,211 CONTRA COSTA WATER DISTRICT Water Revenue Bonds; Series E 2,000,000 6.250% 10/01/12 2,334,040 CUCAMONGA COUNTY WATER DISTRICT Water Facilities and Refinancing, 2001 1,080,000 5.000% 09/01/16 1,159,034 EAST BAY MUNICIPAL UTILITY DISTRICT Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/13 2,233,400 Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/14 2,227,000 ELSINORE VALLEY MUNICIPAL WATER DISTRICT Certificates of Participation 1,000,000 6.000% 07/01/12 1,174,950 GLENDALE UNIFIED SCHOOL DISTRICT Series A 1,000,000 5.750% 09/01/17 1,113,260 GOLDEN WEST SCHOOLS FINANCING AUTHORITY Refunding Revenue Bonds; 1998 Series A 1,090,000 6.600% 08/01/16 1,327,042 KERN HIGH SCHOOL DISTRICT General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.600% 08/01/16 3,049,750 LA QUINTA REDEVELOPMENT AGENCY Redevelopment Project Area No.2; Series 1994 1,015,000 7.300% 09/01/09 1,228,312 LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY Lease Revenue Bonds; 1993 Series A 2,500,000 6.000% 08/15/10 2,905,475 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Refunding Bonds; Series 2001-B 3,000,000 5.250% 07/01/13 3,360,720 LOS ANGELES COUNTY PUBLIC WORKS FINANCING AUTHORITY Regional Park and Open Space District; Series A 1,500,000 5.000% 10/01/13 1,625,415 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.500% 07/01/10 4,185,873 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 2,450,000 6.000% 07/01/14 2,929,808 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 1,762,755 NORTHERN CALIFORNIA TRANSMISSION REVENUE CA-Oregon Transmission Project; 1990 Series A 1,000,000 7.000% 05/01/13 1,230,270 CA-Oregon Transmission Project; 1993 Series A 2,500,000 5.300% 05/01/09 2,786,600 OAKLAND REDEVELOPMENT AGENCY Central District Redevelopment Project; Series 1992 2,000,000 5.500% 02/01/14 2,297,880 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY General Obligation Bonds; 1998 Series A 1,050,000 5.500% 02/15/11 1,193,766 OXNARD SCHOOL DISTRICT General Obligation Refunding Bonds; 1997 1,485,000 5.625% 08/01/14 1,730,367 RIVERSIDE COUNTY TRANSPORTATION COMMISSION Revenue Bonds; 1993 Series A 1,000,000 5.750% 06/01/07 1,103,500 Revenue Bonds; 1993 Series A 2,000,000 5.750% 06/01/09 2,278,360 SACRAMENTO MUNICIPAL UTILITY DISTRICT Refunding Revenue Bonds; Series A 4,000,000 6.250% 08/15/10 4,631,600 SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.000% 09/01/16 1,886,220 SAN BERNARDINO, COUNTY OF Justice Center / Airport Improvements; Series 2002A 2,890,000 5.000% 07/01/16 3,188,884 SAN DIEGO, COUNTY OF 2001 MTS Tower Refunding Bonds 1,000,000 5.250% 11/01/14 1,116,610 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.750% 07/01/11 3,592,097 SAN JOSE REDEVELOPMENT AGENCY TAX ALLOCATION Prerefunded Merged Area 1,315,000 6.000% 08/01/10 1,545,059 Unrefunded Balanced Merged Area 2,685,000 6.000% 08/01/10 3,118,628 SAN MARINO UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1998 Series B 1,440,000 5.250% 07/01/16 1,635,970 SANTA ANA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series 2000 2,500,000 5.700% 08/01/22 2,798,450
11
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004 INCOME FUND VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) - ------------------------------------------------------------------------------------------------------------------------------------ SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Refunding Bonds; 1997 Series A $ 2,000,000 6.000% 11/15/12 $ 2,366,980 Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.750% 11/15/13 2,047,570 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds 4,000,000 7.000% 07/01/10 4,662,640 SANTA MARGARITA-DANA POINT AUTHORITY Improvement District; 1994 Series A 1,045,000 7.250% 08/01/10 1,282,320 SONOMA, COUNTY OF Certificates of Participation; 2002 Series A 1,815,000 5.000% 11/15/12 2,013,652 SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT Installment Sale Revenue Bonds; Series 1992 2,400,000 6.000% 08/01/11 2,806,632 Multiple Project Revenue Bonds; Series 1989 3,585,000 6.750% 07/01/13 4,349,537 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Commercial Paper Notes; Series A 1,000,000 5.000% 05/15/08 1,098,190 UC San Diego Medical Center; Series 2000 2,500,000 5.125% 12/01/16 2,707,050 TURLOCK IRRIGATION DISTRICT Revenue Refunding Bonds; Series A 2,000,000 6.250% 01/01/12 2,318,940 ------------ Total Long-Term Securities (Cost $121,012,430) 136,323,058 ------------ VARIABLE RATE DEMAND NOTES* (13.07%) CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Sutter Hospital; Series B 1,450,000 1.340% 09/02/04 1,450,000 CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY ExxonMobil; Series 2000 1,400,000 1.140% 09/02/04 1,400,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY John Muir/Mt. Diablo Health System 1,000,000 1.220% 09/02/04 1,000,000 CALIFORNIA, STATE OF General Obligation; Series A 3,000,000 1.320% 09/02/04 3,000,000 IRVINE, CITY OF Assessment District 00-18; Series A 100,000 1.330% 09/02/04 100,000 Assessment District 93-14 700,000 1.320% 09/02/04 700,000 IRVINE RANCH WATER DISTRICT Consolidated Refunding Series 1993-A 1,200,000 1.220% 09/02/04 1,200,000 General Obligation; Consolidated Series 1991 600,000 1.330% 09/02/04 600,000 Revenue Bonds; Consolidated; Series 1985 200,000 1.330% 09/02/04 200,000 Special Assessment, Consolidated; Series 1985 1,850,000 1.330% 09/02/04 1,850,000 LOS ANGELES DEPARTMENT OF WATER AND POWER Water System Revenue Bonds; 2001 Series B-2 700,000 1.330% 09/02/04 700,000 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water Revenue Bonds, Series 2000 B-1 400,000 1.330% 09/02/04 400,000 Water Revenue Bonds; Series 2000 B-3 2,600,000 1.320% 09/02/04 2,600,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian, Series 1996 Series B 700,000 1.370% 09/02/04 700,000 Hoag Memorial Hospital Presbyterian; Series 1996 Series A 900,000 1.370% 09/02/04 900,000 Hoag Memorial Hospital Presbyterian; Series C 2,550,000 1.370% 09/02/04 2,550,000 ORANGE COUNTY SANITATION DISTRICT Certificates of Participation; Series 2000 795,000 1.330% 09/02/04 795,000 Certificates of Participation; Series 2000-A 500,000 1.330% 09/02/04 500,000 ------------ Total Variable Rate Demand Notes (Cost $20,645,000) 20,645,000 ------------ Variable Rate Demand Notes (13.97%) Total Investments (Cost $141,986,465) (a) (99.38%) 156,968,058 Other Net Assets (0.62%) 1,359,253 ------------ Net Assets (100.00%) $158,327,311 ============ (a) Aggregate cost for federal income tax purposes is $141,657,430. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 15,310,628 Unrealized depreciation -- ------------ Net unrealized apprecation $ 15,310,628 ============
*Stated maturity reflects next reset date See accompanying notes to financial statements 12 - -------------------------------------------------------------------------------- U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 8/31/2004 SECURITIES FUND VALUE PAR VALUE RATE MATURITY (NOTE 1) - -------------------------------------------------------------------------------- Government National Mortgage Association (65.34%) $ 210,746 6.000% 04/15/14 $ 222,437 323,018 6.000% 04/15/14 340,938 314,269 6.000% 04/15/16 331,874 382,867 6.500% 04/15/16 408,279 351,217 6.000% 05/15/16 370,892 1,764,134 5.000% 02/15/18 1,815,722 854,943 5.000% 04/15/18 879,944 850,671 5.000% 04/15/18 875,547 1,748,820 5.500% 08/15/18 1,826,594 1,844,283 5.000% 09/15/18 1,898,216 10,698 10.000% 09/15/18 12,062 32,723 9.000% 10/15/18 36,766 1,917,207 5.000% 01/15/19 1,971,552 1,936,014 5.000% 01/15/19 1,990,892 1,917,202 5.000% 02/15/19 1,971,546 1,891,997 5.000% 02/15/19 1,945,626 2,053,799 5.500% 02/15/19 2,144,483 ----------- Total Government National Mortgage Association (Cost $19,049,027) 19,043,370 ----------- United States Treasury Bills (6.16%) 600,000 1.000% 09/16/04 599,700 100,000 1.000% 11/04/04 99,753 300,000 1.000% 11/12/04 299,159 800,000 1.470% 11/26/04 797,150 ----------- Total United States Treasury Bills (Cost $1,795,762) 1,795,762 ----------- United States Treasury Notes (12.93%) 2,000,000 6.500% 05/15/05 2,064,532 600,000 6.500% 08/15/05 625,664 1,000,000 6.875% 05/15/06 1,076,680 ----------- Total United States Treasury Notes (Cost $3,780,063) 3,766,876 ----------- United States Treasury Bonds (14.74%) 1,300,000 7.250% 05/15/16 1,635,004 2,000,000 7.625% 11/15/22 2,660,156 ----------- Total United States Treasury Bonds (Cost $4,165,730) 4,295,160 ----------- Total Investments (Cost $28,790,582) (a) (99.17%) 28,901,168 Other Net Assets (0.83%) 241,801 ----------- Net Assets (100.00%) $29,142,969 =========== (a) Aggregate cost for federal income tax purposes is $28,790,582. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 224,056 Unrealized depreciation (113,470) ----------- Net unrealized appreciation $ 110,586 =========== See accompanying notes to financial statements - -------------------------------------------------------------------------------- THE UNITED STATES PORTFOLIO OF INVESTMENTS 8/31/2004 TREASURY TRUST VALUE PAR VALUE RATE MATURITY (NOTE 1) - -------------------------------------------------------------------------------- United States Treasury Bills (100.06%) $4,200,000 0.983% 09/02/04 $ 4,199,882 9,900,000 1.100% 09/23/04 9,892,855 3,000,000 0.970% 10/21/04 2,994,263 5,100,000 1.000% 11/04/04 5,086,938 3,200,000 1.000% 11/12/04 3,191,003 2,500,000 1.435% 11/18/04 2,492,211 8,500,000 1.470% 11/26/04 8,469,327 3,800,000 1.540% 12/09/04 3,783,907 ----------- Total Investments (Cost $40,110,386) (a) (100.06%) 40,110,386 Other Liabilities (-0.06%) (23,753) ----------- Net Assets (100.00%) $40,086,633 =========== (a) Aggregate cost for federal income tax purposes is $40,110,386 See accompanying notes to financial statements 13 - -------------------------------------------------------------------------------- SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 8/31/2004 GOVERNMENT BOND FUND VALUE PAR VALUE RATE MATURITY (NOTE 1) - -------------------------------------------------------------------------------- United States Treasury Bills (12.21%) $ 300,000 1.100% 09/23/04 $ 299,764 300,000 1.000% 11/12/04 299,088 1,100,000 1.435% 11/18/04 1,096,491 300,000 1.470% 11/26/04 298,915 ----------- Total United States Treasury Bills (Cost $1,994,258) 1,994,258 ----------- United States Tresury Notes (86.38%) 1,600,000 7.500% 02/15/05 1,641,563 2,000,000 6.500% 05/15/05 2,064,532 2,000,000 6.750% 05/15/05 2,067,734 1,900,000 6.500% 08/15/05 1,981,269 2,000,000 5.750% 11/15/05 2,087,578 2,000,000 5.625% 02/15/06 2,099,844 2,000,000 6.500% 10/15/06 2,166,016 ----------- Total United States Treasury Notes (Cost $14,137,099) 14,108,536 ----------- Total Investments (Cost $16,131,357) (a) (98.59%) 16,102,794 Other Net Assets (1.41%) 230,635 ----------- Net Assets (100.00%) $16,333,429 =========== (a) Aggregate cost for federal income tax purposes is $16,131,357. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ -- Unrealized depreciation (28,563) ----------- Net unrealized depreciation $ (28,563) =========== See accompanying notes to financial statements - -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Common Stock (99.60%) Banking & Financial Service (21.06%) ACE Ltd. 2,936 $ 113,183 Aetna Inc. 1,606 148,796 Aflac Inc. 5,408 216,861 Allstate Corp./The 7,426 350,581 AMBAC Financial Group Inc. 1,127 85,089 American Express Co. 13,592 679,872 American International Group Inc. 27,554 1,962,947 AmSouth Bancorp 3,692 96,177 Anthem Inc.* 1,460 118,610 AON Corp. 3,324 86,258 Apartment Investment & Management Co. 995 35,323 Bank of America Corp. 42,752 1,922,985 Bank of New York Co. Inc./The 8,187 243,973 BB&T Corp. 5,786 231,382 Bear Stearns Cos Inc./The 1,041 91,525 Capital One Financial Corp. 2,444 165,605 Charles Schwab Corp./The 14,328 135,400 Charter One Financial Inc. 2,347 104,371 Chubb Corp. 1,978 134,524 Cigna Corp. 1,481 98,575 Cincinnati Financial Corp. 1,768 71,339 Citigroup Inc. 54,501 2,538,657 Comerica Inc. 1,859 111,819 Countrywide Financial Corp. 5,826 207,114 E*Trade Financial Corp.* 3,854 45,400 Equity Office Properties Trust 4,235 120,952 Equity Residential 2,884 93,413 Fannie Mae 10,267 764,378 Fifth Third Bancorp 6,014 299,557 First Horizon National Corp. 1,338 60,839 Franklin Resources Inc. 2,642 140,739 Freddie Mac 7,352 493,466 Golden West Financial Corp. 1,606 173,817 Goldman Sachs Group Inc. 5,004 448,609 Hartford Financial Services Group Inc. 2,990 182,868 Huntington Bancshares Inc. 2,430 59,948 Jefferson-Pilot Corp. 1,496 71,658 JPMorgan Chase & Co 37,135 1,469,803 Keycorp 4,426 138,755 Lehman Brothers Holdings Inc. 2,863 211,547 Lincoln National Corp. 1,880 85,164 M&T Bank Corp. 1,265 120,150 Marsh & McLennan Cos Inc. 5,599 250,219 Marshall & Ilsley Corp. 2,399 96,152 MBIA Inc. 1,523 87,222 MBNA Corp. 13,485 325,528 Mellon Financial Corp. 4,530 130,736 Merrill Lynch & Co. Inc. 9,981 509,730 Metlife Inc. 8,024 298,894 MGIC Investment Corp. 1,044 71,274 Morgan Stanley 11,430 579,844 National City Corp. 6,426 242,839 North Fork Bancorporation Inc. 1,791 75,115 Northern Trust Corp. 2,322 99,962 Pinnacle West Capital Corp. 969 40,901 PNC Financial Services Group Inc. 2,926 157,038 Principal Financial Group 3,420 118,708 Progressive Corp./The 2,281 183,164 Providian Financial Corp.* 3,062 44,215 Prudential Financial Inc. 5,729 264,565 Regions Financial Corp. 4,908 158,479 Safeco Corp. 1,465 70,569 SLM Corp. 4,766 185,969 SouthTrust Corp. 3,518 145,469 St Paul Travelers Cos Inc./The 7,020 243,524 Starwood Hotels & Resorts Worldwide Inc. 2,146 94,853 State Street Corp. 3,527 159,209 SunTrust Banks Inc. 2,974 202,529 Synovus Financial Corp. 3,206 81,432 T Rowe Price Group Inc. 1,313 65,033 Torchmark Corp. 1,198 61,673 UnumProvident Corp. 3,140 50,805 US Bancorp 20,373 601,004 Wachovia Corp. 13,982 655,896 14 - -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Washington Mutual Inc. 9,500 $ 368,885 Wells Fargo & Co 17,868 1,049,745 XL Capital Ltd. 1,449 101,720 Zions Bancorporation 953 59,353 ------------ Total Banking & Financial Service 22,864,282 ------------ Capital Good (6.26%) 3M Co 8,286 682,435 Allied Waste Industries Inc.* 3,371 34,519 Caterpillar Inc. 3,674 267,100 Cooper Industries Ltd. 1,003 55,386 Cummins Inc. 447 30,079 Danaher Corp. 3,260 167,629 Deere & Co 2,526 159,820 Dover Corp. 2,142 80,818 Emerson Electric Co 4,440 276,390 Fluor Corp. 874 37,364 General Electric Co 106,053 3,477,478 Illinois Tool Works Inc. 3,260 297,605 Ingersoll-Rand Co 1,826 118,708 Johnson Controls Inc. 1,912 107,646 Molex Inc. 2,016 58,202 Pall Corp. 1,325 32,277 Parker Hannifin Corp. 1,273 69,213 Power-One Inc.* 892 6,699 Teradyne Inc.* 2,030 26,126 Thermo Electron Corp.* 1,702 44,712 Tyco International Ltd. 21,122 661,541 Vulcan Materials Co 1,068 50,912 WW Grainger Inc. 962 51,380 ------------ Total Capital Good 6,794,039 ------------ Consumer Cyclical (7.29%) Autozone Inc.* 946 70,061 Bed Bath & Beyond Inc.* 3,135 117,312 Best Buy Co. Inc. 3,427 159,424 Big Lots Inc.* 1,254 15,286 Black & Decker Corp. 825 56,867 Circuit City Stores Inc. 2,205 28,599 Cooper Tire & Rubber Co. 779 17,637 Costco Wholesale Corp. 4,842 199,345 Dana Corp. 1,595 30,098 Delphi Corp. 5,987 54,841 Dillard's Inc./AR 852 16,188 Dollar General Corp. 3,556 70,053 Eaton Corp. 1,600 96,560 Family Dollar Stores Inc. 1,806 47,769 Federated Department Stores 1,916 83,154 Ford Motor Co 19,336 272,831 Gap Inc./The 9,475 177,562 General Motors Corp. 5,914 244,307 Genuine Parts Co 1,839 69,716 Goodrich Corp. 1,231 39,097 Goodyear Tire & Rubber Co/The* 1,878 20,620 Hasbro Inc. 1,849 34,262 Home Depot Inc. 23,337 853,201 ITT Industries Inc. 974 77,043 JC Penney Co. Inc. Holding Co 2,882 110,438 Kohl's Corp.* 3,601 178,177 Liz Claiborne Inc. 1,176 44,770 Lowe's Cos Inc. 8,299 412,460 Ltd Brands 4,908 98,553 Marriott International Inc. 2,441 115,825 Masco Corp. 4,879 156,762 Mattel Inc. 4,554 73,274 May Department Stores Co/The 3,039 74,486 Maytag Corp. 844 17,074 Newell Rubbermaid Inc. 2,876 61,920 Nike Inc. 2,773 208,835 Nordstrom Inc. 1,443 53,579 Paccar Inc. 1,857 111,773 RadioShack Corp. 1,717 46,256 Reebok International Ltd. 619 21,027 Sears Roebuck and Co 2,669 102,169 Snap-On Inc. 609 19,348 Stanley Works/The 870 37,636 Target Corp. 9,620 428,860 Tiffany & Co 1,541 47,694 TJX Cos Inc. 5,328 112,740 Toys R US Inc.* 2,252 36,572 VF Corp. 1,136 56,050 Visteon Corp. 1,369 12,773 Wal-Mart Stores Inc. 45,104 2,375,628 Whirlpool Corp. 742 45,366 ------------ Total Consumer Cyclical 7,911,878 ------------ Consumer Non-Durable (25.30%) Abbott Laboratories 16,506 688,135 Adolph Co.ors Co. 388 26,574 Alberto-Culver Co. 954 46,069 Albertson's Inc. 3,898 95,813 Allergan Inc. 1,379 102,942 Altria Group Inc. 21,463 1,050,614 AmerisourceBergen Corp. 1,178 63,730 Anheuser-Busch Cos Inc. 8,596 453,869 Archer-Daniels-Midland Co. 6,810 108,756 Autodesk Inc. 1,194 53,026 Avery Dennison Corp. 1,191 74,021 Avon Products Inc. 4,996 220,723 Bausch & Lomb Inc. 546 36,009 Baxter International Inc. 6,453 197,075 Becton Dickinson & Co. 2,675 128,721 Biomet Inc. 2,701 123,301 Boston Scientific Corp.* 8,642 308,779 Bristol-Myers Squibb Co. 20,495 486,346 Brown-Forman Corp. 1,281 60,835 Brunswick Corp. 956 37,580 Campbell Soup Co. 4,320 112,147 Cardinal Health Inc. 4,578 206,926 Caremark Rx Inc.* 4,702 134,947 Carnival Corp. 6,660 304,961 Cintas Corp. 1,809 74,187 Clear Channel Communications Inc. 6,512 218,217 Clorox Co. 2,228 117,728 Coca-Cola Co./The 25,884 1,157,274 Coca-Cola Enterprises Inc. 4,851 100,173 Colgate-Palmolive Co. 5,673 306,342 Comcast Corp.* 23,783 669,967 Computer Associates International Inc. 6,120 148,226 Computer Sciences Corp.* 1,990 92,237 ConAgra Foods Inc. 5,655 148,161 CR Bard Inc. 1,084 60,812 CVS Corp. 4,183 167,320 Darden Restaurants Inc. 1,782 37,440 Deluxe Corp. 541 23,112 Dow Jones & Co. Inc. 853 35,016 Eli Lilly & Co 11,868 753,025 Express Scripts Inc.* 797 50,370 Forest Laboratories Inc.* 3,869 177,394 Fortune Brands Inc. 1,541 112,724 Gannett Co. Inc. 2,857 241,988 General Mills Inc. 3,939 186,118 Gillette Co/The 10,673 453,603 Guidant Corp. 3,286 196,503 Harrah's Entertainment Inc. 1,176 56,671 HCA Inc. 5,225 202,782 Health Management Associates Inc. 2,507 47,934 Hershey Foods Corp. 2,742 132,384 Hilton Hotels Corp. 4,016 71,686 HJ Heinz Co 3,726 141,253 Hospira Inc.* 1,650 45,705 Humana Inc.* 1,688 32,072 IMS Health Inc. 2,525 58,908 International Flavors & Fragrances Inc. 983 37,875 Interpublic Group of Cos Inc.* 4,384 46,251 Johnson & Johnson 31,358 1,821,900 Jones Apparel Group Inc. 1,320 47,111 Kellogg Co 4,297 180,388 Knight-Ridder Inc. 842 54,250 Kroger Co/The* 7,874 130,157 Loews Corp. 1,956 111,101 Manor Care Inc. 938 28,768 15 - -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- McCormick & Co. Inc. 1,477 $ 49,553 McDonald's Corp. 13,413 362,419 McGraw-Hill Cos Inc./The 2,028 153,580 McKesson Corp. 3,071 95,047 Medco Health Solutions Inc.* 2,847 88,912 Medimmune Inc.* 2,595 61,943 Medtronic Inc. 12,806 637,099 Merck & Co. Inc. 23,505 1,057,020 Meredith Corp. 527 26,392 Mylan Laboratories 2,824 49,194 New York Times Co 1,562 63,448 Office Depot Inc.* 3,281 52,529 Omnicom Group 2,011 138,377 Paychex Inc. 3,957 117,404 Pepsi Bottling Group Inc. 2,758 73,887 PepsiCo Inc. 18,123 906,150 Pfizer Inc. 80,623 2,633,953 Procter & Gamble Co 26,996 1,510,966 Quest Diagnostics 1,092 93,475 Qwest Communications International* 18,680 53,985 Reynolds American Inc. 902 68,101 RR Donnelley & Sons Co 2,258 69,388 Sabre Holdings Corp. 1,503 34,569 Safeway Inc.* 4,733 95,607 Sara Lee Corp. 8,346 184,697 Schering-Plough Corp. 15,494 286,019 Simon Property Group Inc. 2,150 120,293 St Jude Medical Inc.* 1,821 122,462 Staples Inc. 5,217 149,624 Starbucks Corp.* 4,139 178,970 Stryker Corp. 4,214 190,894 Sungard Data Systems Inc.* 3,077 70,771 Supervalu Inc. 1,421 37,458 Sysco Corp. 6,829 219,484 Tenet Healthcare Corp.* 4,884 50,891 Tribune Co 3,480 145,290 UnitedHealth Group Inc. 6,597 436,260 Univision Communications Inc.* 3,400 112,200 UST Inc. 1,750 70,210 Viacom Inc. 18,463 615,003 Walgreen Co 10,843 395,227 Walt Disney Co 21,618 485,324 Watson Pharmaceuticals Inc.* 1,136 31,285 WellPoint Health Networks* 1,601 157,186 Wendy's International Inc. 1,196 41,107 Winn-Dixie Stores Inc. 1,670 6,964 WM Wrigley Jr Co 2,382 147,755 Wyeth 14,076 514,759 Yum! Brands Inc. 3,119 123,855 Zimmer Holdings Inc.* 2,550 181,815 ------------ Total Consumer Non-Durable 27,465,833 ------------ Energy (6.82%) AES Corp./The* 6,611 66,705 Amerada Hess Corp. 943 75,912 Anadarko Petroleum Corp. 2,653 157,111 Apache Corp. 3,422 152,929 Ashland Inc. 731 37,595 Baker Hughes Inc. 3,533 138,953 BJ Services Co. 1,674 80,436 Burlington Resources Inc. 4,214 152,673 ChevronTexaco Corp. 11,287 1,100,483 ConocoPhillips 7,184 534,705 Devon Energy Corp. 2,464 159,692 Dynegy Inc.* 3,790 16,524 El Paso Corp. 6,750 55,215 EOG Resources Inc. 1,225 70,768 Exxon Mobil Corp. 68,725 3,168,223 Halliburton Co 4,631 135,086 Kerr-McGee Corp. 1,069 56,422 Kinder Morgan Inc. 1,319 79,800 Marathon Oil Corp. 3,583 129,955 Nabors Industries Ltd.* 1,552 68,443 Occidental Petroleum Corp. 4,070 210,216 Rowan Cos Inc.* 1,121 27,263 Schlumberger Ltd. 6,178 381,800 Sunoco Inc. 811 49,877 Transocean Inc.* 3,367 103,367 Unocal Corp. 2,758 102,984 Valero Energy Corp. 1,338 88,348 ------------ Total Energy 7,401,485 ------------ Manufacturing (5.62%) Air Products & Chemicals Inc. 2,398 125,607 Alcoa Inc. 9,147 296,180 Allegheny Technologies Inc. 854 16,064 American Standard Cos Inc.* 2,325 87,443 Applied Materials Inc.* 17,553 278,917 Applied Micro Circuits Corp.* 3,283 10,998 Ball Corp. 1,190 44,435 Bemis Co. 1,106 29,232 Boise Cascade Corp. 900 28,161 Centex Corp. 1,320 60,416 Citrix Systems Inc.* 1,744 27,747 Comverse Technology Inc.* 2,034 35,615 Corning Inc.* 14,053 142,216 Crane Co 632 17,064 Dell Inc.* 26,542 924,723 Dow Chemical Co/The 9,722 416,199 Eastman Chemical Co 810 37,689 Eastman Kodak Co 3,033 89,716 Ecolab Inc. 2,721 81,412 EI Du Pont de Nemours & Co 10,535 445,209 EMC Corp./Massachusetts* 25,413 273,698 Engelhard Corp. 1,318 37,260 Freeport-McMoRan Copper & Gold Inc. 1,812 68,186 Gateway Inc.* 3,943 17,310 Georgia-Pacific Corp. 2,672 90,795 Great Lakes Chemical Corp. 530 13,844 Hercules Inc.* 1,129 15,490 International Game Technology 3,660 105,591 International Paper Co 5,088 203,622 KB Home 488 33,560 Kimberly-Clark Corp. 5,334 355,778 Leggett & Platt Inc. 2,023 54,398 Louisiana-Pacific Corp. 1,130 27,911 MeadWestvaco Corp. 2,112 63,677 Millipore Corp.* 523 26,307 Newmont Mining Corp. 4,574 203,040 Novellus Systems Inc.* 1,616 39,479 Nucor Corp. 826 64,668 Pactiv Corp.* 1,663 39,330 Phelps Dodge Corp. 942 76,830 Plum Creek Timber Co. Inc. (REIT) 1,937 63,998 PPG Industries Inc. 1,787 106,809 Praxair Inc. 3,420 138,784 Prologis 1,848 66,805 Pulte Homes Inc. 1,305 76,930 Rohm & Haas Co 2,354 95,408 Sealed Air Corp.* 891 43,766 Sherwin-Williams Co/The 1,544 63,767 Sigma-Aldrich Corp. 727 41,650 Temple-Inland Inc. 576 39,329 Textron Inc. 1,433 90,981 United States Steel Corp. 1,191 43,960 Waters Corp.* 1,283 55,567 Weyerhaeuser Co 2,467 154,212 Worthington Industries 891 18,132 ------------ Total Manufacturing 6,105,915 ------------ Service (1.58%) Apollo Group Inc.* 1,865 145,470 Automatic Data Processing Inc. 6,287 250,034 Autonation Inc.* 2,900 47,676 Cendant Corp. 10,725 231,982 Convergys Corp.* 1,500 20,850 Equifax Inc. 1,482 36,161 First Data Corp. 9,482 400,615 Fiserv Inc.* 2,071 72,029 H&R Block Inc. 1,881 90,777 Jabil Circuit Inc.* 2,099 43,302 Mercury Interactive Corp.* 950 32,785 16 - -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Monster Worldwide Inc.* 1,196 $ 24,195 Moody's Corp. 1,576 108,051 Robert Half International Inc. 1,810 44,345 Waste Management Inc. 6,154 171,020 ------------ Total Service 1,719,292 ------------ Technology (17.89%) ADC Telecommunications Inc.* 8,684 18,584 Adobe Systems Inc. 2,467 113,161 Advanced Micro Devices Inc.* 3,687 42,142 Affiliated Computer Services Inc.* 1,432 77,801 Agilent Technologies Inc.* 5,021 102,931 Altera Corp.* 4,041 76,456 American Power Conversion Corp. 2,118 35,582 Amgen Inc.* 13,626 807,886 Analog Devices Inc. 3,880 134,714 Andrew Corp.* 1,650 18,299 Apple Computer Inc.* 3,834 132,235 Applera Corp.- Applied Biosystems Group 2,220 42,269 AT&T Wireless Services Inc.* 28,652 418,892 Avaya Inc.* 4,387 53,170 Biogen Idec Inc.* 3,460 205,282 BMC Software Inc.* 2,379 35,614 Boeing Co. 8,885 463,975 Broadcom Corp.* 3,204 86,957 Chiron Corp.* 1,978 83,828 Ciena Corp.* 6,054 11,018 Cisco Systems Inc.* 71,026 1,332,448 Compuware Corp.* 4,039 18,297 eBay Inc.* 6,826 590,722 Electronic Arts Inc.* 3,140 156,309 Electronic Data Systems Corp. 5,089 97,811 Federated Investors Inc. 1,148 33,120 General Dynamics Corp. 2,089 203,970 Genzyme Corp.* 2,372 128,088 Hewlett-Packard Co 32,218 576,380 Honeywell International Inc. 9,104 327,562 Intel Corp. 68,009 1,447,912 International Business Machines Corp. 17,671 1,496,557 Intuit Inc.* 2,101 88,851 JDS Uniphase Corp.* 15,107 46,983 King Pharmaceuticals Inc.* 2,568 31,997 Kla-Tencor Corp.* 2,059 76,924 Lexmark International Inc.* 1,356 119,938 Linear Technology Corp. 3,303 118,148 Lockheed Martin Corp. 4,773 256,692 LSI Logic Corp.* 3,960 19,127 Lucent Technologies Inc.* 44,252 138,509 Maxim Integrated Products Inc. 3,470 150,702 Micron Technology Inc.* 6,477 74,550 Microsoft Corp. 113,411 3,096,120 Monsanto Co 2,778 101,675 Motorola Inc. 24,584 397,032 National Semiconductor Corp.* 3,932 52,414 Network Appliance Inc.* 3,659 73,436 Nextel Communications Inc.* 11,623 269,537 Northrop Grumman Corp. 3,874 200,092 Novell Inc.* 3,947 23,287 Nvidia Corp.* 1,724 21,481 Oracle Corp.* 55,181 550,155 Parametric Technology Corp.* 2,859 13,923 Peoplesoft Inc.* 3,955 68,817 PerkinElmer Inc. 1,321 23,091 Pitney Bowes Inc. 2,468 107,506 PMC - Sierra Inc.* 1,841 17,195 QLogic Corp.* 993 25,927 Qualcomm Inc. 16,920 643,806 Raytheon Co 4,667 162,085 Rockwell Automation Inc. 1,951 76,089 Rockwell Collins Inc. 1,857 63,862 Sanmina-SCI Corp.* 5,438 37,631 Scientific-Atlanta Inc. 1,620 44,129 Siebel Systems Inc.* 5,212 39,663 Solectron Corp.* 10,099 52,111 Sun Microsystems Inc.* 34,434 132,227 Symantec Corp.* 3,247 155,726 Symbol Technologies Inc. 2,467 31,824 Tektronix Inc. 880 25,142 Tellabs Inc.* 4,380 39,727 Texas Instruments Inc. 18,296 357,504 Thomas & Betts Corp. 598 14,711 Time Warner Inc.* 47,783 781,252 Unisys Corp.* 3,471 34,849 United Technologies Corp. 5,432 510,119 Veritas Software Corp.* 4,533 75,792 Xerox Corp.* 8,360 112,275 Xilinx Inc. 3,627 99,489 Yahoo! Inc.* 13,890 396,004 ------------ Total Technology 19,420,098 ------------ Transportation (1.86%) Burlington Northern Santa Fe Corp. 3,908 139,906 CSX Corp. 2,259 71,339 Delta Air Lines Inc.* 1,352 5,462 FedEx Corp. 3,159 259,006 Harley-Davidson Inc. 3,201 195,325 Janus Capital Group Inc. 2,551 35,051 Navistar International Corp.* 734 26,263 Norfolk Southern Corp. 4,107 116,639 Ryder System Inc. 677 29,659 Southwest Airlines Co 8,241 122,132 Union Pacific Corp. 2,702 154,311 United Parcel Service Inc./Georgia 11,882 867,980 ------------ Total Transportation 2,023,073 ------------ Utility (5.92%) Allegheny Energy Inc.* 1,381 20,287 Alltel Corp. 3,301 180,400 Ameren Corp. 1,912 89,462 American Electric Power Co. Inc. 4,178 136,746 AT&T Corp. 8,362 123,590 BellSouth Corp. 19,510 522,088 Calpine Corp.* 4,357 14,901 Centerpoint Energy Inc. 3,217 35,194 CenturyTel Inc. 1,518 48,864 Cinergy Corp. 1,882 76,183 Citizens Co.mmunications Co. 3,037 38,357 CMS Energy Corp.* 1,662 15,955 Consolidated Edison Inc. 2,527 106,639 Constellation Energy Group Inc. 1,772 72,829 Dominion Resources Inc./VA 3,430 222,573 DTE Energy Co 1,768 73,054 Duke Energy Corp. 9,602 212,588 Edison International 3,462 93,059 Entergy Corp. 2,423 146,107 Exelon Corp. 6,914 254,781 FirstEnergy Corp. 3,496 140,679 FPL Group Inc. 1,939 134,179 KeySpan Corp. 1,700 64,770 NCR Corp.* 1,006 44,435 Nicor Inc. 460 16,491 NiSource Inc. 2,793 58,094 Noble Corp.* 1,408 56,630 Peoples Energy Corp. 383 15,914 PG&E Corp.* 4,388 128,086 PPL Corp. 1,866 89,251 Progress Energy Inc. 2,597 113,982 Public Service Enterprise Group Inc. 2,495 105,638 SBC Communications Inc. 34,985 902,263 Sempra Energy 2,396 86,615 Southern Co/The 7,751 235,243 Sprint Corp. 14,984 294,885 TECO Energy Inc. 1,982 26,281 TXU Corp. 3,413 142,083 Verizon Communications Inc. 29,159 1,144,491 Williams Cos Inc. 5,523 65,663 Xcel Energy Inc. 4,198 74,090 ------------ Total Utility 6,423,420 ------------ Total Common Stock ($95,411,065) 108,129,315 ------------ 17 - -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED - -------------------------------------------------------------------------------- Par Value --------- Short-Term Investments (0.26%) $ 100,000 United States Treasury Bills 09/18/04 (b) $ 99,947 94,323 First American Prime Obligation Fund 94,323 94,323 First American Government Obligation Fund 94,323 ------------ Total Short-Term Investments (Cost $288,593) 288,593 ------------ Total Investments (Cost $95,699,658) (a) (99.86%) 108,417,908 Other Net Assets (0.14%) 148,532 ------------ Net Assets (100.00%) $108,566,440 ============ * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $95,699,658. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 25,958,055 Unrealized depreciation (13,239,805) ------------ Net unrealized appreciation $ 12,718,250 ============ (b At August 31, 2004, certain United States Treasury Bills with a market value of $99,940 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2004: (Contracts-$250 times premium/delivery month/commitment) UNREALIZED APPRECIATION S&P 500 Index: $ 5,645 1/Sept 04/Long ============ See accompanying notes to financial statements - -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Common Stock (93.84%) Banking & Financial Service (19.21%) AG Edwards Inc. 10,346 $ 359,834 Allmerica Financial Corp.* 2,980 86,420 AMB Property Corp. 10,559 394,379 American Financial Group Inc./OH 9,429 277,684 AmeriCredit Corp.* 20,291 424,285 AmerUs Group Co. 5,060 201,692 Arthur J Gallagher & Co 11,625 370,373 Associated Banc-Corp 14,201 444,491 Astoria Financial Corp. 10,256 372,703 Bank of Hawaii Corp. 7,065 335,446 Banknorth Group Inc. 22,213 754,576 Brown & Brown Inc. 8,867 398,128 Certegy Inc. 8,312 319,015 Charles River Laboratories International Inc.* 5,912 257,468 Checkfree Corp.* 10,328 281,438 City National Corp./CA 6,323 417,192 Commerce Bancorp Inc./Cherry Hill NJ 9,795 513,944 Compass Bancshares Inc. 15,723 727,189 Cullen/Frost Bankers Inc. 6,688 300,893 Eaton Vance Corp. 8,836 354,765 Everest Re Group Ltd. 7,163 502,556 Fidelity National Financial Inc. 22,254 837,863 First American Corp. 11,491 332,894 FirstMerit Corp. 10,948 288,370 Gartner Inc.* 16,697 199,529 Greater Bay Bancorp 6,831 194,479 Greenpoint Financial Corp. 17,225 758,761 HCC Insurance Holdings Inc. 8,241 239,813 Hibernia Corp. 20,047 538,262 Highwoods Properties Inc. 6,862 168,805 Horace Mann Educators Corp. 5,518 93,640 Hospitality Properties Trust 8,601 360,812 Independence Community Bank Corp. 10,571 414,806 IndyMac Bancorp Inc. 7,183 247,814 Investors Financial Services Corp. 8,515 394,926 Jefferies Group Inc. 7,115 238,424 LaBranche & Co. Inc.* 6,223 51,029 Legg Mason Inc. 8,571 691,508 Liberty Property Trust 10,800 436,968 Mack-Cali Realty Corp. 7,761 351,263 Mercantile Bankshares Corp. 10,284 489,518 MoneyGram International Inc.* 11,413 190,597 National City Corp. 7,168 270,879 National Commerce Financial Corp. 26,479 890,754 New Plan Excel Realty Trust 12,852 330,553 New York Community Bancorp Inc. 34,895 745,008 Ohio Casualty Corp.* 7,870 158,581 Old Republic International Corp. 23,418 551,494 PMI Group Inc./The 12,119 503,302 Protective Life Corp. 8,901 348,296 Radian Group Inc. 12,129 537,315 Raymond James Financial Inc. 9,468 229,315 RSA Security Inc.* 7,774 115,755 SEI Investments Co 13,618 445,036 Silicon Valley Bancshares* 4,486 167,552 Sovereign Bancorp Inc. 39,425 861,831 Stancorp Financial Group Inc. 3,770 273,325 TCF Financial Corp. 9,163 582,858 United Dominion Realty Trust Inc. 16,377 347,684 Unitrin Inc. 8,763 367,608 Waddell & Reed Financial Inc. 10,640 231,314 Washington Federal Inc. 10,132 261,000 Westamerica Bancorporation 4,217 222,405 Wilmington Trust Corp. 8,524 316,581 WR Berkley Corp. 10,771 434,933 ------------ Total Banking & Financial Service 24,807,931 ------------ Capital Good (5.69%) AGCO Corp.* 11,393 227,746 Ametek Inc. 8,623 246,187 BorgWarner Inc. 7,085 316,983 Credence Systems Corp.* 12,393 82,661 Donaldson Co. Inc. 11,185 317,654 Dycom Industries Inc.* 6,233 160,313 Federal Signal Corp. 6,198 113,485 Flowserve Corp.* 7,138 163,746 Graco Inc. 8,819 275,153 Hubbell Inc. 7,716 332,945 Integrated Device Technology Inc.* 13,615 145,817 International Rectifier Corp.* 8,494 279,113 Intersil Corp. 6,747 117,600 Jacobs Engineering Group Inc.* 7,225 282,570 L-3 Communications Holdings Inc. 13,607 852,342 Modine Manufacturing Co 4,433 132,103 Packaging Corp. of America 13,619 311,875 Plexus Corp.* 4,194 49,447 Rayonier Inc. 6,311 292,641 Republic Services Inc. 20,462 571,913 SPX Corp. 9,744 355,559 Stericycle Inc.* 5,434 256,376 18 - -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Tecumseh Products Co 2,387 $ 98,225 Trinity Industries Inc. 6,052 167,943 Varian Inc.* 4,497 176,822 Varian Medical Systems Inc.* 17,706 586,954 Vishay Intertechnology Inc.* 20,725 264,244 York International Corp. 5,176 168,531 ------------ Total Capital Good 7,346,948 ------------ Consumer Cyclical (8.54%) Abercrombie & Fitch Co 12,460 348,880 American Greetings* 8,658 208,398 Bandag Inc. 2,490 113,942 Barnes & Noble Inc.* 8,800 304,128 BJ's Wholesale Club Inc.* 9,013 228,209 Cabot Microelectronics Corp.* 3,201 106,881 Callaway Golf Co. 9,760 117,998 Carlisle Cos Inc. 3,986 243,345 Carmax Inc.* 1,500 29,370 Chico's FAS Inc.* 11,253 460,248 Claire's Stores Inc. 12,680 308,631 Copart Inc.* 11,492 249,606 Dollar Tree Stores Inc.* 14,886 349,970 DR Horton Inc. 30,057 929,964 Fastenal Co 9,801 615,307 Furniture Brands International Inc. 7,205 165,715 Gentex Corp. 9,951 341,717 Lear Corp. 8,840 476,299 Martin Marietta Materials Inc. 6,320 284,337 Michaels Stores Inc. 8,762 502,325 Mohawk Industries Inc.* 8,608 662,127 Neiman-Marcus Group Inc. 6,319 336,171 O'Reilly Automotive Inc.* 7,011 276,304 Pacific Sunwear Of California* 10,110 193,708 Payless Shoesource Inc.* 8,790 101,964 Petsmart Inc. 18,476 518,437 Pier 1 Imports Inc. 11,446 198,588 Rent-A-Center Inc.* 10,449 314,515 Ryland Group Inc. 3,193 281,463 Superior Industries International 3,455 109,524 Teleflex Inc. 5,127 224,204 Thor Industries Inc. 7,394 189,434 Timberland Co* 4,503 251,493 Visx Inc.* 6,242 126,588 Webster Financial Corp. 6,768 332,986 Williams-Sonoma Inc.* 15,168 530,728 ------------ Total Consumer Cyclical 11,033,504 ------------ Consumer Non-Durable (22.72) 99 Cents Only Stores* 2,459 31,844 Activision Inc.* 17,443 251,005 American Eagle Outfitters* 9,195 306,194 AnnTaylor Stores Corp.* 8,769 211,947 Applebees International Inc. 10,747 258,680 Apria Healthcare Group Inc.* 6,592 186,158 Banta Corp. 3,300 127,743 Barr Pharmaceuticals Inc.* 13,045 512,277 Belo Corp. 14,946 342,861 BISYS Group Inc./The* 11,347 161,127 Bob Evans Farms Inc. 4,476 112,079 Boyd Gaming Corp. 8,450 229,418 Brinker International Inc.* 12,369 376,636 Brink's Co./The 7,008 201,830 Caesars Entertainment Inc.* 39,149 604,852 Catalina Marketing Corp. 6,900 155,250 CBRL Group Inc. 6,392 203,777 Ceridian Corp.* 19,297 356,802 Cheesecake Factory/The* 6,677 276,294 Church & Dwight Inc. 5,291 237,936 Colonial BancGroup Inc./The 16,411 331,174 Community Health Systems Inc.* 12,722 318,050 Constellation Brands Inc.* 13,676 502,867 Covance Inc.* 8,102 303,420 Coventry Health Care Inc.* 11,639 591,028 Dentsply International Inc. 10,223 520,862 DeVry Inc.* 9,054 175,829 Dun & Bradstreet Corp.* 9,391 517,820 Education Management Corp.* 9,421 273,774 Edwards Lifesciences Corp.* 7,654 270,263 Emmis Communications Corp.* 7,150 137,638 Energizer Holdings Inc.* 10,521 434,938 Entercom Communications Corp.* 6,651 250,743 First Health Group Corp.* 12,189 185,882 Gilead Sciences Inc.* 27,641 1,910,822 Glatfelter 5,653 71,680 GTECH Holdings Corp. 15,262 358,657 Harman International Industries Inc. 8,511 822,929 Harte-Hanks Inc. 11,289 280,080 Health Net Inc.* 14,682 380,851 Henry Schein Inc.* 5,637 351,072 Herman Miller Inc. 9,405 236,912 HNI Corp. 7,523 294,902 Hormel Foods Corp. 17,912 478,250 International Speedway Corp. 6,874 363,635 Interstate Bakeries 5,793 29,950 IVAX Corp.* 31,716 614,022 JM Smucker Co/The 6,465 297,261 Krispy Kreme Doughnuts Inc.* 1,281 16,499 Lancaster Colony Corp. 4,619 190,672 Lee Enterprises Inc. 5,805 274,751 LifePoint Hospitals Inc.* 4,868 140,637 Lincare Holdings Inc.* 12,704 408,307 Longs Drug Stores Corp. 4,644 112,756 Mandalay Resort Group 8,382 568,635 Media General Inc. 3,039 176,839 Millennium Pharmaceuticals Inc.* 31,918 379,505 MPS Group Inc.* 13,489 120,457 Noble Energy Inc. 7,330 377,348 NSTAR 6,850 334,280 Omnicare Inc. 13,232 382,934 Outback Steakhouse Inc. 9,664 378,249 Pacificare Health Systems* 10,792 351,927 Par Pharmaceutical Cos Inc.* 594 24,378 Patterson Cos Inc.* 8,814 645,449 Perrigo Co 9,058 177,899 Price Communications Corp.* 5,600 84,112 Reader's Digest Association Inc./The 12,796 181,959 Regis Corp. 5,724 234,283 Renal Care Group Inc.* 8,803 278,791 Ross Stores Inc. 19,533 413,123 Ruby Tuesday Inc. 8,514 230,304 Ruddick Corp. 5,987 114,172 Saks Inc.* 17,639 209,551 Sensient Technologies Corp. 6,028 126,588 Sepracor Inc.* 10,965 543,974 Six Flags Inc.* 7,163 39,916 Smithfield Foods Inc.* 14,299 367,484 Steris Corp.* 9,018 206,332 Tootsie Roll Industries Inc. 3,199 98,657 Triad Hospitals Inc.* 9,730 309,317 Tupperware Corp. 7,548 128,844 Tyson Foods Inc. 45,544 750,565 UnitedHealth Group Inc. 6,797 449,486 Universal Corp./Richmond VA 3,247 146,537 Universal Health Services Inc. 7,489 337,379 Valassis Communications Inc.* 6,724 190,020 Valeant Pharmaceuticals International 10,732 251,773 Vertex Pharmaceuticals Inc.* 10,036 97,650 Viad Corp. 2,853 67,930 Washington Post 1,231 1,069,124 Westwood One Inc.* 12,911 289,723 Whole Foods Market Inc. 7,870 611,735 ------------ Total Consumer Non-Durable 29,340,872 ------------ Energy (6.16%) ENSCO International Inc. 19,498 568,562 Equitable Resources Inc. 7,965 417,605 Grant Prideco Inc.* 15,684 286,547 Hanover Compressor Co* 9,505 109,593 Helmerich & Payne Inc. 6,485 167,702 Murphy Oil Corp. 11,865 895,926 National Fuel Gas Co 10,562 282,850 Newfield Exploration Co* 7,236 400,513 Patterson-UTI Energy Inc. 21,362 369,990 Pioneer Natural Resources Co 15,416 515,665 Plains Exploration & Production Co* 9,668 187,656 Pride International Inc.* 17,521 321,686 Questar Corp. 10,727 436,374 Sequa Corp.* 1,348 71,768 Smith International Inc.* 12,932 736,865 19 - -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Tidewater Inc. 7,824 $ 228,304 Weatherford International Ltd.* 16,960 785,926 Western Gas Resources Inc. 9,512 265,575 XTO Energy Inc. 32,436 909,505 ------------ Total Energy 7,958,612 ------------ Manufacturing (10.11%) Advanced Fibre Communications Inc.* 11,228 192,785 Airgas Inc. 9,464 210,574 Albemarle Corp. 5,350 177,941 Arch Coal Inc. 6,801 219,196 Avocent Corp.* 6,168 175,850 Bowater Inc. 7,155 257,079 Cabot Corp. 7,974 317,684 CDW Corp. 10,752 628,992 Coach Inc.* 24,112 1,016,321 Cooper Cameron Corp.* 6,974 355,186 Crompton Corp. 14,371 99,016 Cytec Industries Inc. 5,058 243,998 Dean Foods Co* 20,154 747,109 Ferro Corp. 5,331 109,499 FMC Corp.* 4,558 210,716 FMC Technologies Inc.* 8,555 262,810 Harsco Corp. 5,277 236,832 Hillenbrand Industries Inc. 8,008 450,530 Hovnanian Enterprises Inc.* 1,119 38,516 IMC Global Inc.* 14,867 236,980 Kemet Corp.* 11,165 96,801 Kennametal Inc. 4,683 191,488 Lam Research Corp.* 17,203 370,725 Lennar Corp. 20,088 920,030 Longview Fibre Co* 6,597 81,671 Lubrizol Corp. 6,664 237,572 Lyondell Chemical Co 22,843 449,779 Macromedia Inc.* 8,693 168,470 McData Corp.* 5,108 26,357 Minerals Technologies Inc. 2,631 147,783 National-Oilwell Inc.* 10,987 328,511 Nordson Corp. 4,469 153,242 Olin Corp. 8,926 150,760 Peabody Energy Corp. 7,932 422,934 Pentair Inc. 12,756 424,009 Plantronics Inc. 5,933 230,497 Pogo Producing Co 8,242 362,483 Potlatch Corp. 3,713 159,288 Quantum Corp.* 23,251 54,640 RPM International Inc. 14,956 236,454 Scotts Co/The* 4,183 258,593 Sonoco Products Co 12,608 326,673 Storage Technology Corp.* 14,289 346,508 Toll Brothers Inc.* 9,471 420,418 Valspar Corp. 6,553 309,891 ------------ Total Manufacturing 13,063,191 ------------ Service (2.53%) Alexander & Baldwin Inc. 5,401 166,297 Career Education Corp.* 12,936 398,946 Corinthian Colleges Inc.* 11,590 131,778 Fisher Scientific International* 6,404 364,836 Forest Oil Corp.* 7,488 195,062 ITT Educational Services Inc.* 5,899 203,928 Kelly Services Inc. 4,491 121,257 Manpower Inc. 11,444 483,280 Newport Corp.* 5,037 62,963 Rollins Inc. 5,827 136,119 Scholastic Corp.* 5,091 148,912 Sotheby's Holdings* 7,969 127,424 Tech Data Corp.* 7,359 277,140 United Rentals Inc.* 9,952 146,195 Varco International Inc.* 12,606 306,074 ------------ Total Service 3,270,211 ------------ Technology (10.23%) 3Com Corp.* 49,422 222,893 Acxiom Corp. 11,050 248,294 Adtran Inc. 10,221 273,718 Advent Software Inc.* 4,234 71,470 Alliant Techsystems Inc.* 5,000 289,700 Arrow Electronics Inc.* 14,534 314,516 ArvinMeritor Inc. 8,953 171,002 Ascential Software Corp.* 7,673 99,442 Atmel Corp.* 52,898 184,614 Avnet Inc.* 15,520 246,458 Beckman Coulter Inc. 7,965 444,367 Borders Group Inc. 10,098 241,342 Cadence Design Systems Inc.* 29,779 370,153 Cephalon Inc.* 7,188 337,908 ChoicePoint Inc.* 11,291 477,045 Cognizant Technology Solutions Corp.* 16,504 452,540 CommScope Inc.* 7,655 152,105 Cree Inc.* 3,313 82,858 CSG Systems International* 6,761 97,832 Cypress Semiconductor Corp.* 15,533 151,602 Cytyc Corp.* 14,142 338,842 Diebold Inc. 9,417 460,397 DST Systems Inc.* 10,777 487,551 Fair Isaac Corp. 557 15,000 Fairchild Semiconductor International Inc.* 8,009 98,751 Granite Construction Inc. 5,364 122,299 Harris Corp. 8,620 415,139 Imation Corp. 4,565 157,173 Internet Security Systems* 2,134 30,708 Jack Henry & Associates Inc. 11,578 209,678 Keane Inc.* 8,274 116,663 Korn/Ferry International* 4,859 86,344 Lattice Semiconductor Corp.* 7,067 32,226 Laureate Education Inc.* 5,628 192,421 Leucadia National Corp. 8,996 485,784 LTX Corp.* 7,686 39,506 Macrovision Corp.* 6,320 149,468 McAfee Inc.* 14,763 292,012 Mentor Graphics Corp.* 8,808 96,360 Microchip Technology Inc. 26,880 709,363 National Instruments Corp. 10,110 263,568 Polycom Inc.* 7,311 142,784 Powerwave Technologies Inc.* 13,454 81,397 Precision Castparts Corp. 8,346 459,781 Protein Design Labs Inc.* 12,106 221,903 Quanta Services Inc.* 10,058 64,572 Retek Inc.* 6,226 23,472 Reynolds & Reynolds Co/The 8,636 211,668 RF Micro Devices Inc.* 24,001 122,885 Sandisk Corp.* 17,675 412,711 Semtech Corp.* 5,534 100,110 Silicon Laboratories Inc.* 6,619 217,037 Sybase Inc.* 12,490 166,492 Synopsys Inc.* 20,223 322,759 Titan Corp.* 10,522 139,311 Transaction Systems Architects Inc.* 4,933 84,058 Triquint Semiconductor Inc.* 17,340 65,892 Wind River Systems Inc.* 10,374 112,558 Zebra Technologies Corp.* 9,204 526,009 ------------ Total Technology 13,204,511 ------------ Transportation (2.32%) Alaska Air Group Inc.* 3,449 81,189 CH Robinson Worldwide Inc. 10,908 465,444 CNF Inc. 6,423 263,471 Expeditors International Washington Inc. 13,561 661,506 GATX Corp. 6,350 171,260 JB Hunt Transport Services Inc. 10,358 351,136 JetBlue Airways Corp.* 1,786 42,596 Overseas Shipholding Group 5,070 218,010 PepsiAmericas Inc. 17,970 356,525 Swift Transportation Co. Inc.* 10,800 196,344 Werner Enterprises Inc. 10,275 182,073 ------------ Total Transportation 2,989,554 ------------ Utility (6.33%) AGL Resources Inc. 8,342 254,348 Allete Inc. 11,229 303,857 Alliant Energy Corp. 14,301 371,683 Aqua America Inc. 11,939 253,107 Aquila Inc.* 23,610 69,650 Black Hills Corp. 4,154 115,689 Blyth Inc. 5,869 176,129 Cincinnati Bell Inc.* 25,348 91,506 DPL Inc. 16,340 332,192 Duquesne Light Holdings Inc. 9,727 182,770 Energy East Corp. 18,865 459,740 Great Plains Energy Inc. 8,946 269,811 Hawaiian Electric Industries 10,266 264,965 20 - -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Idacorp Inc. 4,929 $ 143,582 MDU Resources Group Inc. 15,081 382,605 Micrel Inc.* 5,703 55,376 Northeast Utilities 16,452 315,385 OGE Energy Corp. 11,227 291,902 Oneok Inc. 13,202 311,039 Pepco Holdings Inc. 22,138 456,928 PNM Resources Inc. 7,797 166,622 Puget Energy Inc. 12,820 293,706 SCANA Corp. 14,303 542,656 Sierra Pacific Resources* 15,136 130,170 Telephone & Data Systems Inc. 7,419 572,005 Vectren Corp. 9,790 239,366 Westar Energy Inc. 10,717 225,057 WGL Holdings Inc. 6,283 180,008 Wisconsin Energy Corp. 15,312 501,440 WPS Resources Corp. 4,674 218,136 ------------ Total Utility 8,171,430 ------------ Total Common Stock (96,813,364) 121,186,764 ------------ Par Value --------- Short-Term Investments (3.65%) $ 400,000 United States Treasury Bill 09/16/04 (b) $ 399,788 2,155,064 First American Prime Obligation Fund 2,155,064 2,155,064 First American Government Obligation Fund 2,155,064 ------------ Total Short-Term Investments (Cost $4,709,916) 4,709,916 ------------ Total Investments (Cost $101,523,280) (a) (97.49%) 125,896,680 Other Net Assets (2.51%) 3,240,007 ------------ Net Assets (100.00%) $129,136,687 ============ * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $101,523,280. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 32,073,244 Unrealized depreciation (7,699,844) ------------ Net unrealized appreciation $ 24,373,400 ============ (b) At August 31, 2004, certain United States Treasury Bills with a market value of $399,760 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2004: (Contracts-$500 times premium/delivery month/commitment) UNREALIZED APPRECIATION S&P MidCap 400 Index: (DEPRECIATION) 27/Sept 04/Long $ (56,943) ============ See accompanying notes to financial statements - -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Common Stock (94.85%) Banking & Financial Service(14.92%) Anchor Bancorp Wisconsin Inc. 1,149 $ 28,955 Bankunited Financial Corp.* 1,538 43,495 Boston Private Financial Holdings Inc. 1,401 34,128 Brookline Bancorp Inc. 3,028 45,844 Capital Automotive REIT 1,857 57,326 Cash America International Inc. 1,344 31,100 Chittenden Corp. 1,889 67,815 Coinstar Inc.* 1,000 19,720 Colonial Properties Trust 1,386 56,064 Commercial Federal Corp. 2,035 55,494 Commercial Net Lease Realty 2,652 47,338 Community First Bankshares Inc. 1,892 60,866 Delphi Financial Group 1,614 63,462 Dime Community Bancshares 1,914 31,830 Downey Financial Corp. 1,434 77,250 East-West Bancorp Inc. 2,406 87,169 Entertainment Properties Trust 1,184 44,222 Essex Property Trust Inc. 1,174 86,583 Financial Federal Corp.* 859 28,570 First Bancorp Puerto Rico 2,064 94,861 First Midwest Bancorp Inc./IL 2,389 82,253 First Republic Bank/San Francisco CA 813 36,414 FirstFed Financial Corp.* 870 39,672 Flagstar Bancorp Inc. 3,122 67,404 Fremont General Corp. 3,956 79,753 Gables Residential Trust 1,501 49,923 Glenborough Realty Trust Inc. 1,638 33,546 Gold Banc Corp. Inc. 2,056 31,868 Hudson United Bancorp 2,303 83,392 Investment Technology Group Inc.* 2,351 32,279 Irwin Financial Corp. 1,450 37,309 Kilroy Realty Corp. 1,457 55,147 LandAmerica Financial Group Inc. 971 41,792 Lexington Corp.orate Properties Trust 2,470 52,265 MacDermid Inc. 1,555 45,935 MAF Bancorp Inc. 1,677 70,149 Mercury Computer Systems Inc.* 1,010 27,290 Moog Inc.* 1,335 47,459 NCO Group Inc.* 1,615 41,279 New Century Financial Corp. 1,692 90,759 Oshkosh Truck Corp. 1,809 92,187 Philadelphia Consolidated Holding Co* 1,130 60,184 Piper Jaffray Cos* 1,018 43,876 Presidential Life Corp. 1,505 26,413 PRG-Schultz International Inc.* 2,943 16,687 ProAssurance Corp.* 1,496 50,505 Provident Bankshares Corp. 1,686 53,396 Rewards Network Inc.* 1,161 8,185 Riggs National Corp. 1,486 34,921 RLI Corp. 1,292 47,791 SCPIE Holdings Inc. 473 4,229 Selective Insurance Group 1,422 49,102 Shurgard Storage Centers Inc. 2,359 94,124 South Financial Group Inc./The 3,063 87,112 Southwest Bancorp of Texas Inc. 3,522 74,244 Sovereign Bancorp Inc. 533 11,651 Sterling Bancshares Inc. 2,297 30,872 Sterling Financial Corp./WA* 1,159 38,432 Stewart Information Services Corp. 928 33,909 SWS Group Inc. 787 11,530 Trustco Bank Corp. NY 3,818 49,634 UCBH Holdings Inc. 2,317 93,028 UICI 2,373 65,993 Umpqua Holdings Corp. 1,364 31,549 21 - -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- United Bankshares Inc. 2,234 $ 74,079 Whitney Holding Corp. 2,084 85,861 Wintrust Financial Corp. 1,038 56,965 World Acceptance Corp.* 952 21,258 Zenith National Insurance Corp. 982 42,442 ----------- Total Banking & Financial Service 3,498,139 ----------- Capital Good (7.41%) Aeroflex Inc.* 3,808 38,385 Agilysys Inc. 1,491 23,230 Albany International Corp. 1,699 49,526 Applied Industrial Technologies Inc. 994 29,701 Astec Industries Inc.* 914 15,108 Audiovox Corp.* 1,050 17,063 Belden CDT Inc.* 2,364 47,351 Benchmark Electronics Inc.* 2,106 60,569 Briggs & Stratton Corp. 1,152 86,515 Brooks Automation Inc.* 2,287 28,427 CDI Corp. 1,007 21,147 CTS Corp. 1,721 19,619 Cymer Inc.* 1,886 50,394 EMCOR Group Inc.* 776 31,506 Exar Corp.* 1,952 26,918 Gardner Denver Inc.* 1,013 28,090 Ionics Inc.* 1,159 30,377 JLG Industries Inc. 2,241 31,038 Lawson Products 456 16,963 Lindsay Manufacturing Co 549 13,703 Manitowoc Co 1,371 45,462 Massey Energy Co 3,894 107,163 Milacron Inc.* 2,557 8,694 Paxar Corp.* 2,034 41,168 Polaris Industries Inc. 2,204 103,941 Radisys Corp.* 829 9,616 Robbins & Myers Inc. 666 12,721 Shaw Group Inc./The* 3,244 33,381 Steel Dynamics Inc. 2,530 79,341 Stewart & Stevenson Services 1,474 24,631 Technitrol Inc.* 2,070 36,763 Timken Co 4,588 106,671 Trimble Navigation Ltd.* 2,600 71,604 Triumph Group Inc.* 814 26,211 Ultimate Electronics Inc.* 680 1,605 Unisource Energy Corp. 1,752 43,152 URS Corp.* 2,204 54,439 Varian Semiconductor Equipment Assoc. Inc.* 1,863 52,164 Vicor Corp. 2,151 25,468 Wabash National Corp.* 1,723 45,711 Waste Connections Inc.* 2,239 65,715 Watts Water Technologies Inc. 1,655 42,136 Woodward Governor Co 579 34,045 ----------- Total Capital Good 1,737,432 ----------- Consumer Cyclical (9.85%) ABM Industries Inc. 2,508 45,044 AO Smith Corp. 1,508 36,825 Apogee Enterprises Inc. 1,275 14,369 Aptargroup Inc. 1,875 85,200 Brown Shoe Co. Inc. 932 24,717 Burlington Coat Factory Warehouse Corp. 2,290 43,991 Cascade Natural Gas Corp. 520 10,832 Cato Corp./The 975 20,621 Christopher & Banks Corp. 1,875 33,019 Clarcor Inc. 1,302 57,679 Coachmen Industries Inc. 746 11,623 Cost Plus Inc.* 1,125 38,543 Department 56* 632 9,815 Dress Barn Inc.* 1,408 23,331 Dupont Photomasks Inc.* 838 13,090 ElkCorp 1,011 25,285 Enesco Group Inc.* 652 5,294 Fedders Corp. 1,460 5,037 Fred's Inc. 2,010 27,959 G&K Services Inc. 1,071 38,995 Griffon Corp.* 1,420 28,428 Group 1 Automotive Inc.* 1,153 31,673 Haggar Corp. 300 5,562 Hancock Fabrics Inc. /DE 863 9,588 Haverty Furniture Cos Inc. 1,157 19,588 HOT Topic Inc.* 2,397 36,195 Imagistics International Inc.* 812 26,349 Interface Inc.* 2,381 17,000 Jakks Pacific Inc.* 1,204 23,574 Jo-Ann Stores Inc.* 1,070 28,462 Kellwood Co 1,393 50,845 K-Swiss Inc. 1,813 35,372 Lennox International Inc. 3,019 49,089 Linens 'N Things Inc.* 2,240 56,179 Marcus Corp. 1,435 27,265 MDC Holdings Inc. 1,673 115,186 Meritage Corp.* 675 45,097 Midas Inc.* 700 11,095 Monaco Coach Corp. 1,505 32,342 Movie Gallery Inc. 1,719 30,925 National Presto Industries Inc. 327 13,309 NVR Inc.* 340 170,765 Oshkosh B'Gosh Inc. 590 12,018 Oxford Industries Inc. 832 33,663 PEP Boys-Manny Moe & Jack 3,075 48,893 PolyMedica Corp. 1,391 42,300 Prime Hospitality Corp.* 2,076 24,954 Quiksilver Inc.* 2,912 63,336 Reliance Steel & Aluminum Co 1,663 63,078 Russell Corp. 1,674 29,898 School Specialty Inc.* 975 34,564 Select Comfort Corp.* 1,867 29,648 ShopKo Stores Inc.* 1,351 22,859 Skyline Corp. 400 15,280 Stein Mart Inc.* 2,160 35,316 Texas Industries Inc. 1,086 47,567 Thor Industries Inc. 2,654 67,995 Too Inc.* 1,767 27,654 Toro Co 1,247 81,267 Tower Automotive Inc.* 2,705 8,061 Tractor Supply Co* 1,961 68,282 Winnebago Industries 1,700 53,380 Wolverine World Wide Inc. 2,040 49,205 X-Rite Inc. 987 13,818 ----------- Total Consumer Cyclical 2,308,193 ----------- Consumer Non-Durable(20.60%) Triarc Cos 3,265 36,209 4Kids Entertainment Inc.* 613 10,685 Aaron Rents Inc. 2,547 52,315 Accredo Health Inc.* 2,488 54,363 Action Performance Cos Inc. 824 8,998 Advanced Marketing Services 884 10,988 Advanced Medical Optics Inc.* 1,513 56,314 Advo Inc. 1,557 46,056 American Italian Pasta Co. 860 23,263 American Medical Systems Holdings Inc.* 1,710 53,968 AMERIGROUP Corp.* 1,269 65,150 Angelica Corp. 425 9,924 Arbitron Inc.* 1,587 61,512 Argosy Gaming Co.* 1,511 50,513 Aztar Corp.* 1,772 44,052 Bally Total Fitness Holding Corp.* 1,577 6,198 Biolase Technology Inc. 1,245 11,840 Bowne & Co. Inc. 1,795 24,089 Casey's General Stores Inc. 2,565 42,348 CEC Entertainment Inc.* 1,917 64,545 Centene Corp.* 1,039 41,082 Childrens Place* 1,378 27,023 Ciber Inc.* 2,938 19,802 Coherent Inc.* 1,549 39,391 Cooper Cos Inc. 1,676 97,124 Corn Products International Inc. 1,871 86,347 CPI Corp. 380 5,039 Cross Country Healthcare Inc.* 1,640 24,321 Curative Health Services Inc.* 589 4,229 Datascope Corp. 759 27,385 Diagnostic Products Corp. 1,491 60,266 DIMON Inc. 2,076 11,916 eFunds Corp.* 2,455 36,457 Electronics Boutique Holdings Corp.* 1,154 35,232 Fleetwood Enterprises Inc.* 2,730 34,862 Flowers Foods Inc. 2,261 57,135 Fossil Inc.* 3,620 103,930 Genesco Inc.* 1,118 25,189 Global Imaging Systems Inc.* 1,177 32,956 Global Payments Inc. 1,943 86,191 Goody's Family Clothing Inc. 1,499 11,467 22 - -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Great Atlantic & Pacific Tea Co* 1,919 $ 12,397 Guitar Center Inc.* 1,249 51,159 Gymboree Corp.* 1,569 22,766 Haemonetics Corp./Mass* 1,291 40,821 Hain Celestial Group Inc.* 1,870 32,819 Heidrick & Struggles International Inc.* 972 25,914 Hibbett Sporting Goods Inc.* 1,203 21,859 Hologic Inc.* 1,046 19,372 Idexx Laboratories Inc.* 1,782 86,801 Ihop Corp. 1,098 38,101 Immucor Inc.* 1,485 30,368 Insituform Technologies Inc.* 1,227 21,828 Invacare Corp. 1,604 71,009 J Jill Group Inc./The* 1,026 18,560 J&J Snack Foods Corp.* 417 17,923 j2 Global Communications Inc.* 1,188 30,009 Jack in the Box Inc.* 1,872 52,865 JM Smucker Co/The 366 16,829 John H Harland Co 1,445 42,469 Lance Inc. 1,352 20,618 Landry's Restaurants Inc. 1,426 37,746 Lone Star Steakhouse & Saloon 1,092 25,323 Longs Drug Stores Corp. 1,914 46,472 Manhattan Associates Inc.* 1,548 36,130 Medicis Pharmaceutical 2,912 106,637 Men's Wearhouse Inc.* 1,829 51,212 Mentor Corp. 2,155 75,813 Merit Medical Systems Inc.* 1,295 22,157 MGI Pharma Inc.* 3,614 83,953 Multimedia Games Inc.* 1,431 20,664 Nash Finch Co 581 17,157 Natures Sunshine Prods Inc. 669 9,895 Nautilus Group Inc. 1,674 32,626 NBTY Inc.* 3,425 81,960 NDCHealth Corp. 1,848 25,373 Noven Pharmaceuticals Inc.* 1,200 22,788 OCA, Inc.* 2,332 11,917 O'Charleys Inc.* 966 15,688 Odyssey HealthCare Inc.* 1,878 33,278 On Assignment Inc.* 1,167 5,415 Osteotech Inc.* 821 3,473 Owens & Minor Inc. 2,015 49,368 Panera Bread Co* 1,547 53,805 Papa John's International Inc.* 832 23,887 Parexel International Corp.* 1,339 25,776 Pediatrix Medical Group Inc.* 1,257 88,116 Penford Corp. 400 6,816 Performance Food Group Co* 2,378 52,316 PF Chang's China Bistro Inc.* 1,312 54,999 Phillips-Van Heusen 1,578 31,812 Pinnacle Entertainment Inc.* 1,726 21,402 Possis Medical Inc.* 932 16,310 Pre-Paid Legal Services Inc.* 840 20,748 Priority Healthcare Corp.* 2,227 49,506 Province Healthcare Co* 2,532 49,475 Radiant Systems Inc.* 1,286 5,530 Ralcorp Holdings Inc.* 1,500 54,645 Rare Hospitality International Inc.* 1,744 47,158 RehabCare Group Inc.* 746 17,151 Republic Bancorp Inc./MI 3,285 48,322 Resmed Inc.* 1,735 82,881 Respironics Inc.* 1,787 95,068 Russ Berrie & Co. Inc. 958 18,489 Ryan's Restaurant Group Inc.* 2,086 28,662 Sanderson Farms Inc. 1,018 34,805 Savient Pharmaceuticals Inc.* 2,760 6,044 Schweitzer-Mauduit International Inc. 770 23,416 Shuffle Master Inc.* 1,170 38,774 Sierra Health Services* 1,332 57,436 Sola International Inc.* 1,640 31,652 Sonic Corp.* 3,046 68,078 Standard Register Co/The 1,313 13,721 Steak N Shake Co/The* 1,277 21,964 Stride Rite Corp. 1,831 18,090 Sunrise Senior Living Inc.* 1,050 37,191 Sybron Dental Specialties Inc.* 1,978 55,147 Thomas Nelson Inc. 657 12,483 United Stationers Inc.* 1,737 71,512 United Surgical Partners International Inc.* 1,442 52,071 UnitedHealth Group Inc. 1,836 121,415 Urban Outfitters Inc.* 4,124 125,163 Vital Signs Inc. 595 18,040 Volt Information Sciences Inc.* 731 19,459 Wet Seal Inc./The* 1,373 1,703 Wilson Greatbatch Technologies Inc.* 1,017 16,658 ----------- Total Consumer Non-Durable 4,827,902 ----------- Energy (5.61%) Ashworth Inc.* 600 5,100 Atwood Oceanics Inc.* 711 29,698 Cabot Oil & Gas Corp. 1,688 68,212 Cal Dive International Inc.* 1,961 58,575 Cimarex Energy Co.* 2,123 63,541 Dril-Quip Inc.* 800 15,872 Energen Corp. 1,865 88,476 Evergreen Resources Inc.* 2,212 87,263 Frontier Oil Corp. 1,361 27,792 Headwaters Inc.* 1,723 52,741 Hydril* 1,174 41,971 Input/Output Inc.* 3,753 36,930 Lone Star Technologies* 1,476 45,343 Maverick Tube Corp.* 2,172 64,335 New Jersey Resources Corp. 1,414 57,762 Northwest Natural Gas Co 1,401 43,193 Oceaneering International Inc.* 1,280 40,986 Patina Oil & Gas Corp. 3,620 96,907 SEACOR Holdings Inc.* 951 41,055 Southern Union Co* 3,946 73,749 Southwest Gas Corp. 1,779 41,984 Spinnaker Exploration Co* 1,730 59,062 St Mary Land & Exploration Co 1,464 51,079 Stone Energy Corp.* 1,367 56,867 Veritas DGC Inc.* 1,715 40,182 W-H Energy Services Inc.* 1,408 26,639 ----------- Total Energy 1,315,314 ----------- Manufacturing(14.05%) Actel Corp.* 1,218 17,600 Acuity Brands Inc. 2,185 50,277 Adaptec Inc.* 5,637 39,346 Alpharma Inc. 2,687 36,731 AM Castle & Co.* 759 6,907 Applica Inc.* 1,097 4,410 Arch Chemicals Inc. 1,194 32,596 Arctic Cat Inc. 1,013 26,460 Arqule Inc.* 1,302 6,406 AT Cross Co* 700 3,689 Baldor Electric Co. 1,689 37,496 Barnes Group Inc. 1,185 30,786 Bell Microproducts Inc.* 1,276 9,685 Brady Corp. 1,222 53,805 Brush Engineered Materials Inc.* 769 15,757 Buckeye Technologies Inc.* 1,716 18,310 Building Material Holding Corp. 640 14,477 CACI International Inc.* 1,495 72,792 Cambrex Corp. 1,239 26,725 Caraustar Industries Inc.* 1,296 20,568 CARBO Ceramics Inc. 816 52,510 Carpenter Technology 1,124 49,793 Carreker Corp.* 1,093 11,149 Century Aluminum Co.* 1,551 38,434 Champion Enterprises Inc.* 3,614 34,803 Chemed Corp. 622 34,017 Chesapeake Corp. 1,001 22,813 Cleveland-Cliffs Inc.* 548 36,579 Commercial Metals Co. 1,489 52,085 Commonwealth Industries Inc.* 769 6,475 Concord Camera Corp.* 1,377 2,313 Conmed Corp.* 1,525 37,286 CUNO Inc.* 869 49,429 Curtiss-Wright Corp. 1,077 58,858 Cyberonics Inc.* 1,199 20,527 Delta & Pine Land Co 1,965 49,931 Deltic Timber Corp. 590 21,830 Electro Scientific Industries Inc.* 1,341 27,745 Esterline Technologies Corp.* 1,086 34,459 Ethan Allen Interiors Inc. 1,913 68,371 Factset Research Systems Inc. 1,556 69,289 FEI Co* 1,705 32,378 Flir Systems Inc.* 1,725 100,688 Florida Rock Industries Inc. 2,219 100,965 Georgia Gulf Corp. 1,693 64,249 23 - -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Gerber Scientific Inc.* 1,029 $ 6,544 HB Fuller Co 1,462 38,494 ICU Medical Inc.* 655 17,154 IDEX Corp. 2,573 79,043 Intermagnetics General Corp.* 1,294 29,736 Intermet Corp. 1,230 3,936 K2 Inc.* 1,826 24,176 Kaydon Corp. 1,447 41,182 Kopin Corp.* 3,225 12,771 Kronos Inc./MA* 1,593 68,149 Kulicke & Soffa Industries Inc.* 2,607 14,286 La-Z-Boy Inc. 2,673 41,271 Libbey Inc. 640 12,096 Littelfuse Inc.* 1,132 41,227 Lydall Inc.* 745 7,815 Magnetek Inc.* 1,366 8,893 Material Sciences Corp.* 683 8,756 Meade Instruments Corp.* 955 2,951 Methode Electronics Inc. 1,654 21,800 Midway Games Inc.* 3,501 42,257 Mobile Mini Inc.* 664 18,094 Mueller Industries Inc. 1,795 70,526 Myers Industries Inc. 1,537 17,488 Network Equipment Technologies Inc.* 1,066 7,110 OM Group Inc.* 1,455 49,543 Omnova Solutions Inc.* 1,854 10,920 Pericom Semiconductor Corp.* 1,192 11,753 PolyOne Corp.* 4,408 31,297 Pope & Talbot Inc. 726 13,380 QRS Corp.* 735 4,631 Quaker Chemical Corp. 439 10,655 Quanex Corp. 843 38,845 Regal-Beloit Corp. 1,174 25,898 Regeneron Pharmaceuticals Inc.* 2,656 23,665 Rock-Tenn Co 1,817 26,165 Roper Industries Inc. 1,889 104,178 Roxio Inc.* 1,603 5,578 RTI International Metals Inc.* 966 14,384 Ryerson Tull Inc. 1,152 18,363 SBS Technologies Inc.* 723 7,418 Schulman A Inc. 1,547 31,033 Simpson Manufacturing Co. Inc. 1,245 70,343 Skywest Inc. 2,979 42,868 Standard Motor Products Inc. 916 13,090 Standard-Pacific Corp. 1,745 88,070 Standex International Corp. 564 13,694 Sturm Ruger & Co. Inc. 1,292 11,641 Susquehanna Bancshares Inc. 2,363 56,712 Thomas Industries Inc. 891 27,398 Tredegar Corp. 1,971 34,138 Universal Forest Products Inc. 881 26,333 Valmont Industries Inc. 1,224 24,162 Watsco Inc. 1,366 39,723 Wausau-Mosinee Paper Corp. 2,594 40,622 WD-40 Co 826 23,607 Wellman Inc. 1,480 10,937 WMS Industries Inc.* 1,545 31,224 Wolverine Tube Inc.* 570 6,544 Zale Corp.* 2,667 68,329 ----------- Total Manufacturing 3,294,695 ----------- Service (3.54%) Administaff Inc.* 1,236 12,558 Avid Technology Inc.* 1,622 70,184 Bassett Furniture Industries Inc. 556 10,453 Central Parking Corp. 1,868 30,355 Hilb Rogal & Hobbs Co 1,850 62,974 Hooper Holmes Inc. 3,007 12,329 Hughes Supply Inc. 1,571 95,187 Imco Recycling Inc.* 739 7,671 Insurance Auto Auctions Inc.* 580 9,982 Labor Ready Inc.* 2,123 26,304 MAXIMUS Inc.* 1,113 32,377 Memberworks Inc.* 521 12,994 Rayovac Corp.* 1,767 40,623 Scansource Inc.* 643 38,606 SCP Pool Corp. 1,824 76,955 Spherion Corp.* 3,098 22,677 Startek Inc. 740 23,036 TBC Corp.* 1,135 24,698 Tetra Tech Inc.* 2,868 50,964 Tetra Technologies Inc.* 1,145 30,972 United Natural Foods Inc.* 2,000 49,520 Watson Wyatt & Co. Holdings 1,652 41,630 Waypoint Financial Corp. 1,712 47,166 ----------- Total Service 830,215 ----------- Technology (12.82%) Advanced Energy Industries Inc.* 1,553 15,157 Alliance Semiconductor Corp.* 1,688 6,448 American Healthways Inc.* 1,671 45,117 Amsurg Corp.* 1,551 34,649 Analogic Corp. 700 28,861 Anixter International Inc. 1,885 66,484 Ansys Inc.* 788 35,539 Armor Holdings Inc.* 1,673 59,325 Artesyn Technologies Inc.* 1,796 15,284 Arthrocare Corp.* 1,091 26,184 ATMI Inc.* 1,601 30,163 Axcelis Technologies Inc.* 5,102 39,796 BEI Technologies Inc. 675 18,792 Bel Fuse Inc. 579 21,927 Biosite Inc.* 803 38,022 Black Box Corp. 903 32,725 Brooktrout Inc.* 598 5,107 C&D Technologies Inc. 1,187 19,111 Captaris Inc.* 1,544 7,566 Catapult Communications Corp.* 597 14,268 C-COR Inc.* 2,207 17,347 Cerner Corp.* 1,835 80,391 Checkpoint Systems Inc.* 1,928 29,113 Cognex Corp. 2,320 62,106 Cohu Inc. 984 15,528 Commonwealth Telephone Enterprises Inc.* 1,151 50,011 Concord Communications Inc.* 863 7,474 Consolidated Graphics Inc.* 696 28,432 CryoLife Inc.* 1,113 6,889 Cubic Corp. 1,371 33,576 Daktronics Inc.* 943 22,010 Dendrite International Inc.* 2,129 27,464 Digi International Inc.* 989 11,126 Dionex Corp.* 1,077 49,607 DRS Technologies Inc.* 1,287 46,821 DSP Group Inc.* 1,496 28,439 EDO Corp. 1,023 26,792 El Paso Electric Co* 2,442 37,460 Engineered Support Systems Inc. 1,336 57,729 Enzo Biochem Inc.* 1,447 19,969 EPIQ Systems Inc.* 854 13,647 ESS Technology* 1,795 12,242 Filenet Corp.* 1,998 39,241 GenCorp Inc. 2,284 27,591 General Communication* 2,942 25,242 Harmonic Inc.* 3,354 19,889 Helix Technology Corp. 1,211 16,482 Hutchinson Technology Inc.* 1,338 32,540 Hyperion Solutions Corp.* 2,001 73,157 Inamed Corp.* 1,820 96,715 Information Holdings Inc.* 1,072 29,094 Insight Enterprises Inc.* 2,482 39,712 Integra LifeSciences Holdings Corp.* 1,465 43,760 Internet Security Systems* 2,484 35,745 Inter-Tel Inc. 1,318 26,294 Intrado Inc.* 772 7,133 Invision Technologies Inc.* 899 42,253 Itron Inc.* 1,070 19,977 JDA Software Group Inc.* 1,393 13,763 Kaman Corp. 1,048 12,220 Keithley Instruments Inc. 720 11,592 Mantech International Corp.* 1,539 24,655 Mapinfo Corp.* 1,036 9,977 Micros Systems Inc.* 950 44,213 Microsemi Corp.* 3,051 32,920 MRO Software Inc.* 1,139 10,809 Netegrity Inc.* 1,943 11,794 NYFIX Inc.* 1,527 8,093 Park Electrochemical Corp. 1,018 22,549 PC-Tel Inc.* 942 8,563 Pegasus Solutions Inc.* 1,159 14,522 Pharmaceutical Product Development Inc.* 2,885 97,946 Phoenix Technologies Ltd.* 1,166 6,285 Photon Dynamics Inc.* 781 17,549 24 - -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Photronics Inc.* 1,589 $ 22,802 Pinnacle Systems Inc.* 3,188 11,923 Planar Systems Inc.* 664 7,543 Power Integrations Inc.* 1,578 31,686 Progress Software Corp.* 1,849 37,239 Rogers Corp.* 850 39,432 Rudolph Technologies Inc.* 760 12,312 SCM Microsystems Inc.* 700 1,995 Serena Software Inc.* 2,279 35,666 Skyworks Solutions Inc.* 7,682 63,991 Sourcecorp* 750 16,613 SPSS Inc.* 804 11,095 Standard Microsystems Corp.* 864 13,712 Steel Technologies Inc. 654 13,139 Supertex Inc.* 590 10,065 SurModics Inc.* 809 19,351 Symmetricom Inc.* 2,100 16,884 Take-Two Interactive Software Inc.* 2,303 75,423 Talx Corp. 627 13,330 Techne Corp.* 2,109 81,703 Teledyne Technologies Inc.* 1,666 40,234 Theragenics Corp.* 1,389 5,209 THQ Inc.* 1,990 37,790 Three-Five Systems Inc.* 988 2,895 Tollgrade Communications Inc.* 630 5,235 Ultratech Inc.* 1,126 17,926 Veeco Instruments Inc.* 1,520 29,427 Verity Inc.* 1,734 19,854 Viasat Inc.* 1,352 26,797 Viasys Healthcare Inc.* 1,579 22,974 WebEx Communications Inc.* 2,260 43,844 Websense Inc.* 1,177 45,138 Zix Corp.* 1,342 5,569 ----------- Total Technology 3,005,769 ----------- Transportation (2.88%) AAR Corp.* 1,478 15,815 Arkansas Best Corp. 1,281 44,130 EGL Inc.* 2,382 57,716 FLYi Inc.* 2,240 10,394 Forward Air Corp.* 1,104 40,108 Frontier Airlines Inc.* 1,612 14,508 Heartland Express Inc. 3,849 67,511 Kansas City Southern* 3,215 48,225 Kirby Corp.* 1,258 44,709 Knight Transportation Inc.* 2,890 57,482 Landstar System Inc.* 1,529 80,242 Mesa Air Group Inc.* 1,462 9,364 Offshore Logistics Inc.* 1,161 34,598 USF Corp. 1,422 48,718 Yellow Roadway Corp.* 2,464 101,123 ----------- Total Transportation 674,643 ----------- Utility (3.17%) American States Water Co. 745 18,513 Atmos Energy Corp. 2,685 67,904 Avista Corp. 2,483 44,396 Boston Communications Group* 889 6,979 Central Vermont Public Service Corp. 573 12,062 CH Energy Group Inc. 808 36,853 Cleco Corp. 2,440 42,871 Green Mountain Power Corp. 231 6,115 Laclede Group Inc./The 1,063 30,678 NUI Corp. 744 9,955 Piedmont Natural Gas Co 1,960 85,064 Remington Oil & Gas Corp.* 1,386 34,317 Southwestern Energy Co* 1,851 65,840 Swift Energy Co* 1,422 28,938 UGI Corp. 2,605 88,987 UIL Holdings Corp. 744 36,516 Unit Corp.* 2,346 73,664 Vintage Petroleum Inc. 3,319 54,432 ----------- Total Utility 744,084 ----------- Total Common Stock (18,245,429) 22,236,386 ----------- Par Value --------- Short-Term Investments (4.90%) $ 600,000 United States Treasury Bills 09/16/04 (b) $ 599,678 274,250 First American Prime Obligation Fund 274,250 274,250 First American Government Obligation Fund 274,250 ----------- Total Short-Term Investments (Cost $1,148,178) 1,148,178 ----------- Total Investments (Cost $19,393,607)(a) (99.75%) 23,384,564 Other Net Assets (0.25%) 58,123 ----------- Net Assets (100.00%) $23,442,687 =========== * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $19,393,607. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 5,919,573 Unrealized depreciation (1,928,616) ----------- Net unrealized appreciation $ 3,990,957 =========== (b) At August 31, 2004, certain United States Treasury Bills with a market value of $199,880 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2004: (Contracts-$500 times premium/delivery month/commitment) UNREALIZED APPRECIATION Russell 2000 Stock Index: (DEPRECIATION) 3/Sept 04/Long $ 8,181 =========== See accompanying notes to financial statements 25 - -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2004 VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Common Stock (81.13%) Banking & Financial Service (25.09) Bank & Bank Holding Co(9.95%) Bank of America Corp. 7,964 $ 358,221 Citigroup Inc. 8,411 391,784 Fifth Third Bancorp 6,223 309,968 Wells Fargo & Co 6,697 393,449 ----------- 1,453,422 ----------- Finance Company (.79%) National Commerce Financial Corp. 3,437 115,621 Financial Service (.84%) MBNA Corp. 5,095 122,993 Insurance (8.21%) Aetna Inc. 1,446 133,972 American International Group Inc. 3,425 243,997 Fidelity National Financial Inc. 2,394 90,134 Marsh & McLennan Cos Inc. 7,000 312,830 Metlife Inc. 4,828 179,843 Stancorp Financial Group Inc. 2,325 168,563 XL Capital Ltd. 1,001 70,270 ----------- 1,199,609 ----------- Real Estate (5.30%) Annaly Mortgage Management Inc. 6,008 107,243 Boston Properties Inc. 1,446 80,224 iStar Financial Inc. 3,004 120,881 Kimco Realty Corp. 1,613 81,166 Mills Corp./The 3,104 158,118 Realty Inc.ome Corp. 3,004 132,506 SL Green Realty Corp. 1,880 94,000 ----------- 774,138 ----------- Total Banking & Financial Service 3,665,783 ----------- Capital Good (2.06%) Conglomerate (1.19%) 3M Co 2,112 173,944 Machinery - Industrial (.87%) Caterpillar Inc. 1,746 126,934 ----------- Total Capital Good 300,878 ----------- Consumer Cyclical (8.05%) Auto & Truck (.47%) ITT Industries Inc. 867 68,580 Housing (1.24%) Masco Corp. 3,104 99,732 Stanley Works/The 1,880 81,329 ----------- 181,061 ----------- Retail - General (5.71%) Gap Inc./The 4,450 83,393 Lowe's Cos Inc. 4,650 231,105 Sears Roebuck and Co 1,880 71,966 Target Corp. 4,539 202,349 TJX Cos Inc. 4,650 98,394 Wal-Mart Stores Inc. 2,781 146,475 ----------- 833,682 ----------- Textile & Apparel (.63%) Liz Claiborne Inc. 2,436 92,739 ----------- Total Consumer Cyclical 1,176,062 ----------- Consumer Non-Durable (18.29%) Apparel (.43%) Ross Stores Inc. 2,992 63,281 Communications & Media (2.25%) McGraw-Hill Cos Inc./The 4,339 328,592 Cosmetic & Soap (1.35%) Clorox Co. 1,001 52,893 Procter & Gamble Co 2,580 144,403 ----------- 197,296 ----------- Drugs (5.14%) AmerisourceBergen Corp. 2,303 124,592 Baxter International Inc. 8,411 256,872 Pfizer Inc. 11,300 369,171 ----------- 750,635 ----------- Food Beverage & Tobacco (6.23%) Fortune Brands Inc. 1,446 105,775 Reynolds American Inc. 2,446 184,673 Sara Lee Corp. 10,000 221,300 Simon Property Group Inc. 1,780 99,591 Tyson Foods Inc. 12,572 207,187 Vornado Realty Trust 1,446 90,751 ----------- 909,277 ----------- Liquor (.88%) Anheuser-Busch Cos Inc. 2,436 128,621 Restaurant (1.86%) McDonald's Corp. 10,068 272,037 Retail - Food and Drugs (.15%) Longs Drug Stores Corp. 900 21,852 ----------- Total Consumer Non-Durable 2,671,591 ----------- Energy (8.29%) Energy Raw Material (.50%) Baker Hughes Inc. 1,880 73,940 Miscellaneous (.63%) Valero Energy Corp. 1,393 91,980 Oil & Gas - Domestic (3.39%) Apache Corp. 3,326 148,639 ConocoPhillips 2,974 221,355 Devon Energy Corp. 1,926 124,824 ----------- 494,818 ----------- Oil & Gas -International (2.86%) ChevronTexaco Corp. 1,270 123,825 Exxon Mobil Corp. 5,036 232,160 GlobalSantaFe Corp. 2,225 62,033 ----------- 418,018 ----------- Oil & Gas - Service (.91%) ENSCO International Inc. 2,770 80,773 Tidewater Inc. 1,780 51,940 ----------- 132,713 ----------- Total Energy 1,211,469 ----------- Manufacturing (5.31%) Building & Housing (.56%) Pulte Homes Inc. 1,392 82,058 Chemical (1.24%) Praxair Inc. 2,992 121,415 Sherwin-Williams Co/The 1,446 59,720 ----------- 181,135 ----------- Consumer Durable (1.43%) Coach Inc.* 3,560 150,054 Leggett & Platt Inc. 2,225 59,830 ----------- 209,884 ----------- Metal & Mineral (.13%) Worthington Industries 900 18,315 Non Ferrous Metal (1.03%) Alcoa Inc. 4,650 150,567 Paper & Forest Product (.92%) Plum Creek Timber Co. Inc. (REIT) 4,050 133,812 ----------- Total Manufacturing 775,771 ----------- Service (3.18%) Business (1.15%) Moody's Corp. 2,446 167,698 Consumer (2.03%) First Data Corp. 7,009 296,130 ----------- Total Service 463,828 ----------- 26 - -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Technology (3.90%) Business - Mechanics & Sftwr (.56%) Pitney Bowes Inc. 1,880 $ 81,893 Electronic (1.43%) Hewlett-Packard Co 4,650 83,189 Intel Corp. 5,863 124,823 ----------- 208,012 ----------- Office Equipment (.48%) Diebold Inc. 1,446 70,695 Software (1.43%) Microsoft Corp. 4,873 133,033 Reynolds & Reynolds Co/The 3,104 76,079 ----------- 209,112 ----------- Total Technology 569,712 ----------- Utility (6.96%) Electric (1.44%) Consolidated Edison, Inc. 5000 210,080 Electronic (2.35%) Calpine Corp.* 35,041 119,840 Cinergy Corp. 1,780 72,054 SCANA Corp. 4,000 151,760 ----------- 343,654 ----------- Energy (1.63%) Entergy Corp. 1,446 87,194 Exelon Corp. 2,546 93,820 Progress Energy Inc. 1,279 56,135 ----------- 237,149 ----------- Telephone (1.54%) SBC Communications Inc. 8,744 225,508 ----------- Total Utility 1,016,391 ----------- Total Common Stock (9,499,462) 11,851,485 ----------- * Non-Income Producing Security Par Value --------- Short-Term Investments (20.22%) $ 2,200,000 United States Treasury Bills 09/16/04 (b) 2,198,831 377,561 First American Prime Obligation Fund 377,561 377,561 First American Government Obligation Fund 377,561 ----------- Total Short-Term Investments (Cost $2,953,953) 2,953,953 ----------- Total Investments (Cost $12,453,415)(a) (101.35%) 14,805,438 Net Liabilities (-1.35%) (198,669) ----------- Net Assets (100.00%) $14,606,769 =========== (a) Aggregate cost for federal income tax purposes is $12,453,415. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 2,628,768 Unrealized depreciation (276,745) ----------- Net unrealized appreciation $ 2,352,023 =========== (b At August 31, 2004, certain United States Treasury Bills with a market value of $299,820 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2004: (Contracts-$500 times premium/delivery month/commitment) UNREALIZED APPRECIATION (DEPRECIATION) Russell 2000 Index: 9/Sept 04/Long $ 46,660 =========== See accompanying notes to financial statements - -------------------------------------------------------------------------------- EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 8/31/2004 INCOME FUND COMPANY SHARES VALUE - -------------------------------------------------------------------------------- Common Stock (98.74%) Banking and Financial Service (31.97%) Bank & Bank Holding Co (15.98%) ABN AMRO Holding NV ADR 2,987 $ 63,593 Banco Bilbao Vizcaya Argentaria SA ADR 5,914 79,248 Banco Santander Central Hispano SA ADR 8,958 88,415 Barclays PLC ADR 5,651 211,234 Credit Suisse Group ADR 2,253 70,429 Deutsche Bank AG 1,049 72,066 ING Groep NV ADR 3,394 82,949 UBS AG ADR 2,175 146,791 ---------- 814,725 ---------- Finance Company (5.80%) HSBC Holdings PLC ADR 3,800 295,944 Financial Service (4.76%) Allianz AG ADR 6,557 63,537 BNP Paribas ADR 3,352 101,374 Lloyds TSB Group Plc ADR 2,555 77,825 ---------- 242,736 ---------- Insurance (4.86%) Aegon NV ADR 2,466 26,485 AXA ADR 4,884 100,366 Royal & Sun Alliance Insurance Group ADR 1,527 9,941 Swiss Reinsurance ADR 860 48,627 Vivendi Universal SA* 1,850 46,010 Zurich Financial Services AG ADR 1,165 16,239 ---------- 247,668 ---------- Investment Co (.57%) Prudential PLC ADR 1,823 29,241 ---------- Total Banking & Financial Service 1,630,314 ---------- Consumer Cyclical (1.26%) Auto & Truck (1.26%) DaimlerChrysler AG 1,535 64,117 ---------- Total Consumer Cyclical 64,117 ---------- Consumer Non-Durable (22.69%) Communications & Media(.56%) Telefonaktiebolaget LM Ericsson* 1,047 28,311 27 - -------------------------------------------------------------------------------- EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 8/31/2004 INCOME FUND CONTINUED COMPANY SHARES VALUE - -------------------------------------------------------------------------------- Consumer Product (1.28%) Unilever NV ADR 1,088 $ 65,345 Cosmetic & Soap (.73%) L'Oreal SA ADR 2,805 37,260 Drugs (14.11%) AstraZeneca Plc ADR 2,965 137,961 GlaxoSmithKline PLC ADR 5,444 223,966 Novartis AG ADR 4,557 211,673 Roche Holding AG ADR 1,508 145,978 ---------- 719,578 ---------- Food Beverage & Tobacco (3.43%) Nestle SA ADR 2,965 175,076 Retail - Food and Drugs (2.58) Diageo PLC ADR 1,535 76,673 Koninklijke Ahold NV ADR 8,779 55,132 ---------- 131,805 ---------- Total Consumer Non-Durable 1,157,375 ---------- Energy (19.74) Miscellaneous (4.38%) Total SA 2,279 223,319 Oil & Gas - International (13.02) BP PLC ADR 6,176 331,651 Royal Dutch Petroleum Co ADR 3,920 198,705 Shell Transport & Trading Co. PLC ADR 3,019 133,742 ---------- 664,098 ---------- Oil & Gas - Service (2.34%) ENI SpA ADR 1,161 119,444 ---------- Total Energy 1,006,861 ---------- Manufacturing (4.11%) Chemical (1.76%) BASF AG ADR 1,000 54,390 Bayer AG ADR 1,355 35,162 ---------- 89,552 ---------- Diversified (2.35%) Siemens AG ADR 1,735 119,802 ---------- Total Manufacturing 209,354 ---------- Technology (7.51%) Electronic (.95%) Koninklijke Philips Electronics NV ADR 2,084 48,349 Software (1.07%) SAP AG ADR 1,500 54,690 Telecommunication (5.49%) Deutsche Telekom AG ADR* 4,425 77,570 Nokia OYJ ADR 11,328 134,577 Telecom Italia SpA ADR 2,247 67,432 ---------- 279,579 ---------- Total Technology 382,618 ---------- Utility(11.46%) Electronic (1.60%) E.ON AG ADR 1,145 81,581 Telephone (9.24%) Alcatel SA ADR* 1,572 18,440 BT Group PLC ADR 1,560 51,792 Telefonica SA ADR 2,983 128,030 Vodafone Group PLC ADR 11,910 272,739 ---------- 471,001 ---------- Water (.62%) Suez SA ADR 1,637 31,856 ---------- Total Utility 584,438 ---------- Total Common Stock (5,211,533) 5,035,077 ---------- Par Value --------- Short-Term Investments (0.91%) $ 23,210 First American Government Obligation Fund 23,210 23,210 First American Prime Obligation Fund 23,210 ---------- Total Short-Term Investments (Cost $46,420) 46,420 ---------- Total Investments (Cost $5,257,953)(a) (99.65%) 5,081,497 Other Net Assets (0.35%) 17,957 ---------- Net Assets (100.00%) $5,099,454 ========== * Non-Income Producing Security ** Unsponsored ADR ADR - American Depository Receipts (a) Aggregate cost for federal income tax purposes is $5,257,953. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 535,338 Unrealized depreciation (711,794) ---------- Net unrealized depreciation $(176,456) ========== See accompanying notes to financial statements - -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- Common Stock (99.20%) Capital Good (.47%) Intersil Corp. 1,947 $ 33,936 Molex Inc. 1,429 41,255 ----------- Total Capital Good 75,191 ----------- Consumer Cyclical (4.63%) Bed Bath & Beyond Inc.* 5,835 218,346 Costco Wholesale Corp. 3,598 148,130 Dollar Tree Stores Inc.* 1,584 37,240 Fastenal Co 1,054 66,170 Gentex Corp. 1,165 40,006 Paccar Inc. 2,859 172,083 Petsmart Inc. 2,060 57,804 ----------- Total Consumer Cyclical 739,779 ----------- Consumer Non-Durable (16.62%) Biomet Inc. 5,009 228,661 Cintas Corp. 3,030 124,260 Comcast Corp.* 13,616 383,563 Dentsply International Inc. 1,174 59,815 EchoStar Communications Corp.* 3,532 108,256 Express Scripts Inc.* 1,022 64,590 First Health Group Corp.* 1,378 21,015 Gilead Sciences Inc.* 2,974 205,593 Henry Schein Inc.* 593 36,932 28 - -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004 CONTINUED VALUE COMPANY SHARES (NOTE 1) - -------------------------------------------------------------------------------- IAC/InterActiveCorp* 10,583 $ 241,398 Lincare Holdings Inc.* 1,389 44,642 Medimmune Inc.* 3,923 93,642 Millennium Pharmaceuticals Inc.* 4,879 58,011 Patterson Cos Inc.* 953 69,788 Paychex Inc. 5,208 154,521 Ross Stores Inc. 2,199 46,509 Staples Inc. 4,953 142,052 Starbucks Corp.* 8,010 346,352 Teva Pharmaceutical Industries Ltd. 5,960 162,410 Whole Foods Market Inc. 869 67,547 ----------- Total Consumer Non-Durable 2,659,557 ----------- Energy (.28%) Patterson-UTI Energy Inc. 2,586 44,790 ----------- Total Energy 44,790 ----------- Manufacturing (6.97%) Applied Materials Inc.* 12,679 201,469 CDW Corp. 1,278 74,763 Citrix Systems Inc. 2,835 45,105 Comverse Technology Inc.* 2,942 51,514 Dell Inc.* 13,559 472,396 Garmin Ltd. 1,391 54,124 Lam Research Corp.* 1,871 40,320 Novellus Systems Inc.* 2,183 53,331 Sigma-Aldrich Corp. 968 55,457 Smurfit-Stone Container Corp.* 3,759 66,685 ----------- Total Manufacturing 1,115,164 ----------- Service (2.97%) Apollo Group Inc.* 2,590 202,020 Career Education Corp.* 1,414 43,608 Fiserv Inc.* 3,595 125,034 Lamar Advertising Co* 1,224 53,477 Mercury Interactive Corp.* 1,482 51,144 ----------- Total Service 475,283 ----------- Technolocy (66.31%) Adobe Systems Inc. 3,451 158,297 Altera Corp.* 7,747 146,573 Amazon.Com Inc.* 3,964 151,187 American Power Conversion Corp.* 2,947 49,510 Amgen Inc.* 8,601 509,953 Apple Computer Inc.* 7,500 258,675 ATI Technologies Inc.* 3,325 48,080 BEA Systems Inc.* 5,469 36,095 Biogen Idec Inc.* 5,407 320,797 Broadcom Corp.* 3,324 90,213 Cephalon Inc.* 744 34,975 Check Point Software Technologies* 3,587 62,916 Chiron Corp.* 3,814 161,637 Cisco Systems Inc.* 34,087 639,472 Compuware Corp.* 3,451 15,633 eBay Inc.* 7,093 613,828 Electronic Arts Inc.* 4,382 218,136 Flextronics International Ltd.* 8,478 105,212 Genzyme Corp.* 4,086 220,644 Intel Corp. 32,021 681,727 Intuit Inc.* 3,606 152,498 Invitrogen Corp.* 742 36,729 JDS Uniphase Corp.* 24,075 74,873 Juniper Networks Inc.* 3,957 90,576 Kla-Tencor Corp.* 3,459 129,228 Level 3 Communications Inc.* 9,285 24,327 Linear Technology Corp. 6,070 217,124 Marvell Technology Group Ltd.* 3,356 77,591 Maxim Integrated Products Inc. 6,684 290,286 Microchip Technology Inc. 2,516 66,397 Microsoft Corp. 52,410 1,430,793 Network Appliance Inc.* 5,366 107,696 Nextel Communications Inc.* 19,726 457,446 Nvidia Corp.* 2,714 33,816 Oracle Corp.* 31,200 311,064 Peoplesoft Inc.* 7,668 133,423 Pixar* 808 62,798 QLogic Corp.* 1,377 35,953 Qualcomm Inc. 28,044 1,067,074 Research In Motion Ltd.* 2,188 131,761 Sandisk Corp.* 2,024 47,260 Sanmina-SCI Corp.* 8,179 56,599 Siebel Systems Inc.* 8,620 65,598 Sun Microsystems Inc.* 21,116 81,085 Symantec Corp.* 4,733 226,995 Synopsys Inc.* 2,087 33,309 Tellabs Inc.* 3,436 31,165 VeriSign Inc.* 3,318 57,600 Veritas Software Corp.* 6,356 106,272 Xilinx Inc. 6,651 182,437 Yahoo! Inc.* 9,304 265,259 ----------- Total Technology 10,608,592 ----------- Transportation (.95%) CH Robinson Worldwide Inc. 1,223 52,185 Expeditors International Washington Inc. 1,500 73,170 Ryanair Holdings plc* 880 27,324 ----------- Total Transportation 152,679 ----------- Total Common Stock ($20,786,982) 15,871,035 ----------- Par Value --------- Short-Term Investments (2.83%) $ 100,000 United States Treasury Bills 11/04/04 $ 99,754 176,859 First American Prime Obligation Fund 176,859 176,859 First American Government Obligation Fund 176,859 ----------- Total Short-Term Investments (Cost $453,472) 453,472 ----------- Total Investments (Cost $21,240,454) (a) (102.03%) 16,324,507 Other Net Liabilities (-2.03%) (325,275) ----------- Net Assets (100.00%) $15,999,232 =========== * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $21,240,454. At August 31, 2004, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 1,759,678 Unrealized depreciation (6,675,625) ----------- Net unrealized depreciation $(4,915,947) =========== See accompanying notes to financial statements 29 - -------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES AUGUST 31, 2004 - --------------------------------------------------------------------------------
California California Tax- Insured California Tax- Free Money Intermediate Free Income Market Fund Fund Fund ----------------------------------------------------------- ASSETS Investments at market value (identified cost $92,216,653 $24,921,612, $141,986,465, $28,790,582, $40,110,386, and $16,131,357 respectively)(Note 1) $ 92,216,653 $ 26,005,683 $156,968,058 Cash 924,189 88,156 18,005 Interest receivable 136,870 297,013 1,578,436 Receivable for fund shares sold 69,519 -- 3,222 ----------------------------------------------------------- Total Assets 93,347,231 26,390,852 158,567,721 ----------------------------------------------------------- LIABILITIES Payable to Investment Advisor 24,766 9,734 64,762 Accrued 12b-1 fee - K Shares -- -- -- Accrued shareholder service fee - K Shares -- -- -- Accrued expenses 20,584 7,761 35,767 Payable for fund shares redeemed 120,784 463 6,778 Distributions payable 1,267 19,886 133,103 ----------------------------------------------------------- Total Liabilities 167,401 37,844 240,410 ----------------------------------------------------------- NET ASSETS: $ 93,179,830 $ 26,353,008 $158,327,311 =========================================================== Net Assets at August 31, 2004 consist of Paid-in capital $ 93,183,088 $ 25,211,121 $140,375,363 Undistributed net investment income -- 3,395 329,035 Accumulated net realized gains (losses) (3,258) 54,421 2,641,320 Unrealized appreciation (depreciation) of investments -- 1,084,071 14,981,593 ----------------------------------------------------------- $ 93,179,830 $ 26,353,008 $158,327,311 =========================================================== NET ASSETS Direct Shares $ 93,179,830 $ 26,353,008 $158,327,311 =========================================================== K Shares $ -- $ -- $ -- =========================================================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 93,246,459 2,400,618 12,392,291 =========================================================== K Shares (no par value, unlimited shares authorized) -- -- -- =========================================================== NET ASSET VALUE PER SHARE Direct Shares $ 1.00 $ 10.98 $ 12.78 =========================================================== K Shares $ -- $ -- $ -- =========================================================== U.S. The United Short-Term U.S Government States Treasury Government Securities Fund Trust Bond Fund ------------------------------------------------------- ASSETS Investments at market value (identified cost $92,216,653 $24,921,612, $141,986,465, $28,790,582, $40,110,386, and $16,131,357 respectively)(Note 1) $ 28,901,168 $ 40,110,386 $ 16,102,794 Cash 53,859 32,187 16,332 Interest receivable 213,658 -- 178,372 Receivable for fund shares sold 15,740 21,332 47,960 ------------------------------------------------------- Total Assets 29,184,425 40,163,905 16,345,458 ------------------------------------------------------- LIABILITIES Payable to Investment Advisor 11,501 6,813 1,362 Accrued 12b-1 fee - K Shares 631 386 488 Accrued shareholder service fee - K Shares 1,669 1,029 1,553 Accrued expenses 15,254 13,954 7,954 Payable for fund shares redeemed -- 54,641 75 Distributions payable 12,401 449 597 ------------------------------------------------------- Total Liabilities 41,456 77,272 12,029 ------------------------------------------------------- NET ASSETS: $ 29,142,969 $ 40,086,633 $ 16,333,429 ======================================================= Net Assets at August 31, 2004 consist of Paid-in capital $ 28,783,447 $ 40,084,229 $ 16,354,082 Undistributed net investment income 3,018 -- 1,294 Accumulated net realized gains (losses) 245,918 2,404 6,616 Unrealized appreciation (depreciation) of investments 110,586 -- (28,563) ------------------------------------------------------- $ 29,142,969 $ 40,086,633 $ 16,333,429 ======================================================= NET ASSETS Direct Shares $ 27,453,976 $ 39,143,090 $ 15,098,044 ======================================================= K Shares $ 1,688,993 $ 943,543 $ 1,235,385 ======================================================= SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 2,590,102 39,140,478 1,496,561 ======================================================= K Shares (no par value, unlimited shares authorized) 158,591 943,567 122,372 ======================================================= NET ASSET VALUE PER SHARE Direct Shares $ 10.60 $ 1.00 $ 10.09 ======================================================= K Shares $ 10.65 $ 1.00 $ 10.10 =======================================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 30 - -------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES AUGUST 31, 2004 - --------------------------------------------------------------------------------
S&P S&P 500 Index S&P MidCap SmallCap Fund Index Fund Index Fund -------------------------------------------------- ASSETS Investments at market value (identified cost $95,699,658, $101,523,280, $19,393,607, $12,453,415, $5,257,953 and $21,240,454 respectively)(Note 1) $ 108,417,908 $ 125,896,680 $ 23,384,564 Cash -- -- -- Interest receivable 79 2,928 512 Dividend receivable 193,877 115,759 10,645 Receivable for securities sold -- 3,298,817 -- Receivable for fund shares sold 58,812 136,906 68,030 Variation margin receivable 5,435 27,643 8,700 -------------------------------------------------- Total Assets 108,676,111 129,478,733 23,472,451 -------------------------------------------------- LIABILITIES Cashover Draft 52,149 84,003 7,378 Payable for securities purchased -- -- -- Payable for fund shares repurchased 12,524 187,974 -- Payable to Investment Advisor 8,702 32,837 7,531 Accrued 12b-1 fee - K Shares 854 952 1,075 Accrued shareholder service fee - K Shares 2,222 2,538 2,763 Accrued expenses 33,220 33,742 11,017 -------------------------------------------------- Total Liabilities 109,671 342,046 29,764 -------------------------------------------------- NET ASSETS: $ 108,566,440 $ 129,136,687 $ 23,442,687 ================================================== Net Assets at August 31, 2004 consist of Paid-in capital $ 105,619,027 $ 106,843,849 $ 18,363,458 Undistributed net investment income 288,290 160,265 7,701 Accumulated net realized gains (losses) (10,064,772) (2,183,884) 1,072,390 Unrealized appreciation (depreciation) of investments 12,718,250 24,373,400 3,990,957 Unrealized appreciation (depreciation) of futures contracts 5,645 (56,943) 8,181 -------------------------------------------------- $ 108,566,440 $ 129,136,687 $ 23,442,687 ================================================== NET ASSETS Direct Shares $ 106,305,073 $ 126,677,679 $ 20,742,395 ================================================== K Shares $ 2,261,367 $ 2,459,008 $ 2,700,292 ================================================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 4,763,520 6,666,692 1,308,378 ================================================== K Shares (no par value, unlimited shares authorized) 101,078 129,404 170,684 ================================================== NET ASSET VALUE PER SHARE Direct Shares $ 22.32 $ 19.00 $ 15.85 ================================================== K Shares $ 22.37 $ 19.00 $ 15.82 ================================================== Equity European Income Growth & Nasdaq-100 Fund Income Fund Index Fund ----------------------------------------------- ASSETS Investments at market value (identified cost $95,699,658, $101,523,280, $19,393,607, $12,453,415, $5,257,953 and $21,240,454 respectively)(Note 1) $ 14,805,438 $ 5,081,497 $ 16,324,507 Cash -- 4,409 -- Interest receivable 283 40 268 Dividend receivable 25,014 23,827 9,598 Receivable for securities sold -- -- -- Receivable for fund shares sold 6,291 11,186 18,290 Variation margin receivable 21,298 -- -- ----------------------------------------------- Total Assets 14,858,324 5,120,959 16,352,663 ----------------------------------------------- LIABILITIES Cashover Draft 18,580 -- 312,514 Payable for securities purchased 210,080 -- -- Payable for fund shares repurchased 7,156 10,939 23,352 Payable to Investment Advisor 6,076 2,902 3,837 Accrued 12b-1 fee - K Shares 539 442 656 Accrued shareholder service fee - K Shares 1,230 1,162 1,913 Accrued expenses 7,894 6,060 11,159 ----------------------------------------------- Total Liabilities 251,555 21,505 353,431 ----------------------------------------------- NET ASSETS: $ 14,606,769 $ 5,099,454 $ 15,999,232 =============================================== Net Assets at August 31, 2004 consist of Paid-in capital $ 12,625,718 $ 5,518,149 $ 30,441,011 Undistributed net investment income 36,738 18,491 -- Accumulated net realized gains (losses) (454,370) (260,730) (9,525,832) Unrealized appreciation (depreciation) of investments 2,352,023 (176,456) (4,915,947) Unrealized appreciation (depreciation) of futures contracts 46,660 -- -- ----------------------------------------------- $ 14,606,769 $ 5,099,454 $ 15,999,232 =============================================== NET ASSETS Direct Shares $ 13,137,065 $ 3,922,662 $ 14,348,646 =============================================== K Shares $ 1,469,704 $ 1,176,792 $ 1,650,586 =============================================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 933,687 552,734 4,150,166 =============================================== K Shares (no par value, unlimited shares authorized) 104,224 165,458 478,826 =============================================== NET ASSET VALUE PER SHARE Direct Shares $ 14.07 $ 7.10 $ 3.46 =============================================== K Shares $ 14.10 $ 7.11 $ 3.45 ===============================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 31 - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------
California California Tax- Insured California Tax- U.S. Free Money Intermediate Free Income Government Market Fund Fund Fund Securities Fund ---------------------------------------------------------- Investment Income Interest income $ 839,303 $ 996,830 $ 7,606,016 $ 1,124,545 ---------------------------------------------------------- Expenses Management fees (Note 2) 428,854 140,439 817,850 153,796 Transfer agent fees 31,618 16,329 65,290 23,460 Accounting services 51,057 20,859 93,080 25,247 Custodian fees 8,948 2,583 12,101 4,056 Legal and audit fees 21,058 9,642 36,875 11,034 Trustees fees 6,024 6,006 6,078 2,002 Insurance 3,243 1,122 7,577 1,276 Printing 2,857 863 6,325 2,931 12b-1 Fees - K Shares -- -- -- 1,669 Shareholder Service Fee - K Shares -- -- -- 1,669 Registration & dues 1,850 830 2,138 4,966 ---------------------------------------------------------- Total Expenses 555,509 198,713 1,047,314 232,106 Less reimbursement from manager (Note 2) (178,118) (32,995) -- (28,834) ---------------------------------------------------------- Net Expenses 377,391 165,718 1,047,314 203,272 ---------------------------------------------------------- Net Investment Income 461,912 831,112 6,558,702 921,273 ---------------------------------------------------------- Realized and Unrealized Gain on Investments Net realized gain from security transactions -- 54,419 2,804,832 263,551 Change in unrealized appreciation of investments -- 388,836 184,057 10,691 ---------------------------------------------------------- Net realized and unrealized gain on investments -- 443,255 2,988,889 274,242 ---------------------------------------------------------- Net increase in net assets resulting from operations $ 461,912 $ 1,274,367 $ 9,547,591 $ 1,195,515 ========================================================== Short-Term The United U.S. States Treasury Government Trust Bond Fund --------------------------- Investment Income Interest income $ 407,728 $ 300,996 --------------------------- Expenses Management fees (Note 2) 206,814 91,269 Transfer agent fees 25,531 18,784 Accounting services 28,863 17,087 Custodian fees 4,419 1,949 Legal and audit fees 14,714 8,207 Trustees fees 2,000 2,001 Insurance 1,536 622 Printing 2,628 1,156 12b-1 Fees - K Shares 1,029 1,553 Shareholder Service Fee - K Shares 1,029 1,553 Registration & dues 5,506 4,299 --------------------------- Total Expenses 294,069 148,480 Less reimbursement from manager (Note 2) (141,755) (54,105) --------------------------- Net Expenses 152,314 94,375 --------------------------- Net Investment Income 255,414 206,621 --------------------------- Realized and Unrealized Gain on Investments Net realized gain from security transactions 2,510 8,934 Change in unrealized appreciation of investments -- (19,364) --------------------------- Net realized and unrealized gain on investments 2,510 (10,430) --------------------------- Net increase in net assets resulting from operations $ 257,924 196,191 ===========================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 32 - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------
S&P 500 S&P MidCap S&P SmallCap Index Fund Index Fund Index Fund --------------------------------------------- Investment Income Interest income $ 16,486 $ 23,145 $ 10,819 Dividend income 1,832,871 1,405,831 192,429 --------------------------------------------- Total 1,849,357 1,428,976 203,248 --------------------------------------------- Expenses Management fees (Note 2) 272,236 495,417 111,032 Transfer agent fees 53,976 55,055 22,519 Accounting services 66,375 73,403 20,512 Custodian fees 10,053 10,456 6,387 Legal and audit fees 29,600 25,190 8,918 Trustees fees 2,000 2,001 2,006 Insurance 3,675 3,661 657 Printing 10,874 9,881 3,226 Registration & dues 8,665 9,255 5,449 12b-1 Fees - K Shares 2,222 2,538 2,763 Shareholder Service Fee - K Shares 2,222 2,538 2,763 Licensing fee 10,106 10,130 1,606 --------------------------------------------- Total Expenses 472,004 699,525 187,838 Less reimbursement from manager (Note 2) (173,545) (100,400) (37,970) --------------------------------------------- Net Expenses 298,459 599,125 149,868 --------------------------------------------- Net Investment Income (loss) 1,550,898 829,851 53,380 --------------------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions (187,936) 759,262 1,262,635 Net realized gain (loss) from futures contracts 454,361 903,501 44,823 Change in unrealized appreciation (depreciation) of investments 9,198,454 10,585,956 1,277,943 Change in unrealized appreciation (depreciation) of futures contracts (60,572) (206,760) (20,844) --------------------------------------------- Net realized and unrealized gain on investments 9,404,307 12,041,959 2,564,557 --------------------------------------------- Net increase in net assets resulting from operations $ 10,955,205 $ 12,871,810 $ 2,617,937 ============================================= European Equity Income Growth & Nasdaq-100 Fund Income Fund Index Fund -------------------------------------------- Investment Income Interest income $ 21,517 $ 954 $ 4,708 Dividend income 226,108 127,676 45,507 -------------------------------------------- Total 247,625 128,630 50,215 -------------------------------------------- Expenses Management fees (Note 2) 63,034 37,927 88,112 Transfer agent fees 17,683 14,974 23,319 Accounting services 15,140 9,837 17,414 Custodian fees 1,627 2,802 4,395 Legal and audit fees 7,456 5,830 8,269 Trustees fees 2,012 1,952 1,994 Insurance 365 116 483 Printing 1,941 1,474 3,982 Registration & dues 4,610 1,754 6,208 12b-1 Fees - K Shares 1,230 1,162 1,913 Shareholder Service Fee - K Shares 1,230 1,162 1,913 Licensing fee -- -- 5,035 -------------------------------------------- Total Expenses 116,328 78,990 163,037 Less reimbursement from manager (Note 2) (13,530) (34,525) (44,665) -------------------------------------------- Net Expenses 102,798 44,465 118,372 -------------------------------------------- Net Investment Income (loss) 144,827 84,165 (68,157) -------------------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions 374,115 (32,592) (1,764,907) Net realized gain (loss) from futures contracts 194,491 (28,906) 230,041 Change in unrealized appreciation (depreciation) of investments 893,108 540,073 1,824,097 Change in unrealized appreciation (depreciation) of futures contracts 21,755 -- (59,360) -------------------------------------------- Net realized and unrealized gain on investments 1,483,469 478,575 229,871 -------------------------------------------- Net increase in net assets resulting from operations $ 1,628,296 $ 562,740 $ 161,714 ============================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 33 - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
California Tax-Free California Insured Money Market Fund Intermediate Fund ------------------------------ ------------------------------- Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2004 2003 2004 2003 ----------------------------------------------------------------- Operations Net investment income $ 461,912 $ 645,114 $ 831,112 $ 833,139 Net realized gain (loss) on investments -- (3,258) 54,419 425,965 Change in unrealized appreciation (depreciation) of investments -- -- 388,836 (972,397) ----------------------------------------------------------------- Net increase in net assets resulting from operations 461,912 641,856 1,274,367 286,707 Undistributed investment income included in price of shares sold and repurchased -- -- -- (456) Distributions to Shareholders Distributions from net investment income (461,912) (645,114) (835,074) (830,980) Distributions from realized capital gains on investments -- -- (78,682) (511,265) Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions 4,376,024 (4,563,940) (1,913,347) 1,856,531 ----------------------------------------------------------------- Total increase (decrease) 4,376,024 (4,567,198) (1,552,736) 800,537 Net Assets Beginning of year 88,803,806 93,371,004 27,905,744 27,105,207 ----------------------------------------------------------------- End of year $ 93,179,830 $ 88,803,806 $ 26,353,008 $ 27,905,744 ================================================================= Including undistributed net investment income of: $ -- $ -- $ 3,395 $ 21,325 ================================================================= California Tax-Free Income Fund ------------------------------- Year Ended Year Ended August 31, August 31, 2004 2003 ------------------------------- Operations Net investment income $ 6,558,702 $ 7,351,341 Net realized gain (loss) on investments 2,804,832 1,649,847 Change in unrealized appreciation (depreciation) of investments 184,057 (6,385,442) ------------------------------- Net increase in net assets resulting from operations 9,547,591 2,615,746 Undistributed investment income included in price of shares sold and repurchased -- (65,722) Distributions to Shareholders Distributions from net investment income (6,615,271) (7,287,147) Distributions from realized capital gains on investments (1,385,238) (2,384,618) Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions (15,708,184) (27,298,506) ------------------------------- Total increase (decrease) (14,161,102) (34,420,247) Net Assets Beginning of year 172,488,413 206,908,660 ------------------------------- End of year $ 158,327,311 $ 172,488,413 =============================== Including undistributed net investment income of: $ 329,035 $ 506,382 ===============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 34 - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
U.S. Government The United States Securities Fund Treasury Trust ----------------------------- ----------------------------- Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2004 2003 2004 2003 ------------------------------------------------------------- Operations Net investment income $ 921,273 $ 1,069,782 $ 255,414 $ 371,220 Net realized gain on investments 263,551 946,601 2,510 5,486 Change in unrealized appreciation (depreciation) of investments 10,691 (1,176,844) -- -- ------------------------------------------------------------- Net increase in net assets resulting from operations 1,195,515 839,539 257,924 376,706 Undistributed investment income included in price of shares sold and repurchased -- (4,381) -- -- Distributions to Shareholders Distributions from net investment income Direct Shares (898,759) (1,332,875) (254,691) (371,220) K Shares (19,496) -- (723) -- Distributions from realized capital gains on investments Direct Shares (224,970) -- (5,459) (7,280) K Shares (190) -- (28) -- Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions (2,494,552) (1,191,709) (544,900) (10,376,732) ------------------------------------------------------------- Total increase (decrease) (2,442,452) (1,689,426) (547,877) (10,378,526) Net Assets Beginning of year 31,585,421 33,274,847 40,634,510 51,013,036 ------------------------------------------------------------- End of year $ 29,142,969 $ 31,585,421 $ 40,086,633 $ 40,634,510 ============================================================= Including undistributed net investment income of: $ 3,018 $ -- $ -- $ -- ============================================================= Short-Term U.S. Government Bond Fund ------------------------------ Year Ended Year Ended August 31, August 31, 2004 2003 ------------------------------ Operations Net investment income $ 206,621 $ 228,078 Net realized gain on investments 8,934 33,884 Change in unrealized appreciation (depreciation) of investments (19,364) (133,119) ------------------------------ Net increase in net assets resulting from operations 196,191 128,843 Undistributed investment income included in price of shares sold and repurchased -- 5,482 Distributions to Shareholders Distributions from net investment income Direct Shares (203,269) (227,749) K Shares (4,384) -- 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 (5,141,433) 10,651,423 ------------------------------ Total increase (decrease) (5,166,952) 10,557,999 Net Assets Beginning of year 21,500,381 10,942,382 ------------------------------ End of year $ 16,333,429 $ 21,500,381 ============================== Including undistributed net investment income of: $ 1,294 $ 1,689 ==============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 35 - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
S&P 500 Index Fund S&P MidCap Index Fund ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2004 2003 2004 2003 ----------------------------------------------------------------- Operations Net investment income $ 1,550,898 $ 1,380,709 $ 829,851 $ 708,857 Net realized gain (loss) on investments (187,936) 1,782,303 759,259 54,162 Net realized gain (loss) on futures contracts 454,361 285,526 903,501 (338,584) Change in unrealized appreciation of investments 9,198,454 6,973,080 10,585,959 14,003,959 Change in unrealized appreciation of futures contracts (60,572) 107,430 (206,760) 233,046 ----------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations 10,955,205 10,529,048 12,871,810 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 (1,490,099) (1,437,422) (786,784) (721,101) K Class (4,752) -- (1,247) -- Distributions from realized capital gains on investments Direct Shares -- -- -- -- K Class -- -- -- -- Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions 842,061 (4,777,634) 13,281,899 (6,737,660) ----------------------------------------------------------------- Total increase (decrease) 10,302,415 4,303,205 25,365,678 7,180,771 Net Assets Beginning of year 98,264,025 93,960,820 103,771,009 96,590,238 ----------------------------------------------------------------- End of year $ 108,566,440 $ 98,264,025 $ 129,136,687 $ 103,771,009 ================================================================= Including undistributed net investment income of: $ 288,290 $ 232,243 $ 160,265 $ 118,445 ================================================================= S&P SmallCap Index Fund -------------------------------- Year Ended Year Ended August 31, August 31, 2004 2003 -------------------------------- Operations Net investment income $ 53,380 $ 48,003 Net realized gain (loss) on investments 1,262,635 (223,115) Net realized gain (loss) on futures contracts 44,823 151,045 Change in unrealized appreciation of investments 1,277,943 3,313,167 Change in unrealized appreciation of futures contracts (20,844) 49,213 -------------------------------- Net increase (decrease) in net assets resulting from operations 2,617,937 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 (52,258) (41,424) K Class -- -- Distributions from realized capital gains on investments Direct Shares (182,877) (51,780) K Class (312) -- Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions 2,534,475 (532,095) -------------------------------- Total increase (decrease) 4,916,965 2,712,470 Net Assets Beginning of year 18,525,722 15,813,252 -------------------------------- End of year $ 23,442,687 $ 18,525,722 ================================ Including undistributed net investment income of: $ 7,701 $ 6,579 ================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 36 - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
European Growth Equity Income Fund & Income Fund ----------------------------- ----------------------------- Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2004 2003 2004 2003 ------------------------------------------------------------- Operations Net investment income (loss) $ 144,827 $ 116,271 $ 84,165 $ 50,410 Net realized gain (loss) on investments 371,115 (167,786) (32,592) 1,828 Net realized gain (loss) on futures contracts 194,491 69,886 (28,906) -- Change in unrealized appreciation of investments 914,863 884,219 540,073 172,978 Change in unrealized appreciation of futures contracts 3,000 (20,831) -- -- ------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations 1,628,296 881,759 562,740 225,216 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 (133,721) (112,369) (72,550) (37,320) K Shares (956) -- (6,306) -- Capital Share Transactions Increase in net assets resulting from capital share transactions 3,295,317 786,237 1,251,172 820,820 ------------------------------------------------------------- Total increase (decrease) 4,788,936 1,556,860 1,735,056 1,007,141 Net Assets Beginning of year 9,817,833 8,260,973 3,364,398 2,357,257 ------------------------------------------------------------- End of year $ 14,606,769 $ 9,817,833 $ 5,099,454 $ 3,364,398 ============================================================= Including undistributed net investment income of: $ 36,738 $ 26,588 $ 18,491 $ 13,090 ============================================================= Nasdaq-100 Index Fund ----------------------------- Year Ended Year Ended August 31, August 31, 2004 2003 ----------------------------- Operations Net investment income (loss) $ (68,157) $ (42,420) Net realized gain (loss) on investments (1,764,906) (2,137,456) Net realized gain (loss) on futures contracts 230,041 171,730 Change in unrealized appreciation of investments 1,764,736 5,700,746 Change in unrealized appreciation of futures contracts -- 59,194 ----------------------------- Net increase (decrease) in net assets resulting from operations 161,714 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 909,458 1,990,080 ----------------------------- Total increase (decrease) 1,071,172 5,737,195 Net Assets Beginning of year 14,928,060 9,190,865 ----------------------------- End of year $ 15,999,232 $ 14,928,060 ============================= Including undistributed net investment income of: $ -- $ -- =============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 37 - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
California Tax-Free Income Fund ------------------------------- Year Ended Year Ended August 31, 2004 August 31, 2003 -------------------------------------------------------------- Shares Value Shares Value -------------------------------------------------------------- Shares sold .................... 2,319,440 $ 29,827,911 7,770,923 $ 101,005,637 Shares issued in reinvestment of distributions ............... 476,675 6,120,489 582,865 7,578,002 -------------------------------------------------------------- 2,796,115 35,948,400 8,353,788 108,583,639 Shares repurchased ............. (4,027,520) (51,656,584) (10,361,336) (135,882,145) -------------------------------------------------------------- Net increase (decrease) ..... (1,231,405) $ (15,708,184) (2,007,548) $ (27,298,506) ==============================================================
California Insured Intermediate Fund ------------------------------------ Year Ended Year Ended August 31, 2004 August 31, 2003 ------------------------------------------------------------ Shares Value Shares Value ------------------------------------------------------------ Shares sold .................... 257,322 $ 2,849,192 592,416 $ 6,603,082 Shares issued in reinvestment of distributions ............... 61,776 678,067 91,987 1,007,408 ------------------------------------------------------------ 319,098 3,527,259 684,403 7,610,490 Shares repurchased ............. (502,444) (5,440,606) (517,192) (5,753,959) ------------------------------------------------------------ Net increase (decrease) ..... (183,346) $ (1,913,347) 167,211 $ 1,856,531 ============================================================
The United States Treasury Trust -------------------------------- California Tax-Free Money Market Direct Shares K Shares -------------------------------- ------------- -------- Year Ended Year Ended Year Ended Year Ended October 16, 2003* August 31, 2004 August 31, 2003 August 31, 2004 August 31, 2003 to August 31, 2004 --------------- --------------- --------------- --------------- ------------------ Shares/Value Shares/Value Shares/Value Shares/Value Shares/Value --------------------------------- --------------- --------------- ------------------ Shares sold .................... 76,522,931 74,019,274 61,066,006 113,535,711 1,547,451 Shares issued in reinvestment of distributions ............... 396,128 621,574 249,705 356,883 740 --------------------------------- --------------- --------------- ------------------ 76,919,059 74,640,848 61,315,711 113,892,594 1,548,191 Shares repurchased ............. (72,543,035) (79,204,788) (62,804,178) (124,269,326) (604,624) --------------------------------- --------------- --------------- ------------------ Net increase (decrease) ..... 4,376,024 (4,563,940) (1,488,467) (10,376,732) 943,567 ================================= =============== =============== ==================
Short-Term U.S. Government Bond Fund ------------------------------------ Direct Shares K Shares ------------- -------- Year Ended Year Ended October 16, 2003* August 31, 2004 August 31, 2003 to August 31, 2004 --------------------------- --------------------------- ----------------------- Shares Value Shares Value Shares Value ----------------------------------------------------------- ------- ------------ Shares sold .................... 481,018 $ 4,867,152 1,699,959 $ 17,245,618 134,312 $ 1,359,505 Shares issued in reinvestment of distributions ............... 20,567 207,999 18,698 189,829 434 4,388 ----------------------------------------------------------- ------- ------------ 501,585 5,075,151 1,718,657 17,435,447 134,746 1,363,893 Shares repurchased ............. (1,131,001) (11,455,015) (668,361) (6,784,024) (12,374) (125,462) ----------------------------------------------------------- ------- ------------ Net increase (decrease) ..... (629,416) $ (6,379,864) 1,050,296 $ 10,651,423 122,372 $ 1,238,431 =========================================================== ======= ============
U.S. Government Securities Fund ------------------------------- Direct Shares K Shares ------------- -------- Year Ended Year Ended October 16, 2003* August 31, 2004 August 31, 2003 to August 31, 2004 --------------------------- --------------------------- ----------------------- Shares Value Shares Value Shares Value ----------------------------------------------------------- ------- ------------ Shares sold .................... 519,310 $ 5,527,064 1,673,739 $ 18,056,033 168,080 $ 1,774,698 Shares issued in reinvestment of distributions ............... 92,069 971,074 105,638 1,138,387 1,864 19,687 ----------------------------------------------------------- ------- ------------ 611,379 6,498,138 1,779,377 19,194,420 169,944 1,794,385 Shares repurchased ............. (1,012,163) (10,666,564) (1,890,170) (20,386,129) (11,353) (120,511) ----------------------------------------------------------- ------- ------------ Net increase (decrease) ..... (400,784) $ (4,168,426) (110,793) $ (1,191,709) 158,591 $ 1,673,874 =========================================================== ======= ============
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 38 - -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
DIRECT SHARES K SHARES ------------- -------- Year Ended Year Ended October 16, 2003* S&P 500 INDEX FUND August 31, 2004 August 31, 2003 to August 31, 2004 - ------------------ -------------------------- ---------------------------- --------------------------- Shares Value Shares Value Shares Value ---------------------------------------------------------- --------------------------- Shares sold .................... 605,048 $ 13,414,804 903,499 $ 16,439,574 111,723 $ 2,520,819 Shares issued in reinvestment of distributions ................ 53,064 1,168,686 65,058 1,141,330 203 4,657 ---------------------------------------------------------- --------------------------- 658,112 14,583,490 968,557 17,580,904 111,926 2,525,476 Shares repurchased ............. (721,895) (16,024,303) (1,225,981) (22,358,538) (10,848) (242,602) ---------------------------------------------------------- --------------------------- Net increase (decrease) ...... (63,783) $ (1,440,813) (257,424) $ (4,777,634) 101,078 $ 2,282,874 ========================================================== ===========================
DIRECT SHARES K SHARES ------------- -------- Year Ended Year Ended October 16, 2003* S&P MIDCAP INDEX FUND August 31, 2004 August 31, 2003 to August 31, 2004 - --------------------- -------------------------- ---------------------------- --------------------------- Shares Value Shares Value Shares Value ---------------------------------------------------------- --------------------------- Shares sold .................... 1,579,147 $ 29,686,218 2,936,166 $ 42,217,029 136,362 $ 2,636,585 Shares issued in reinvestment of distributions ................ 35,605 672,431 44,420 626,756 59 1,172 ---------------------------------------------------------- --------------------------- 1,614,752 30,358,649 2,980,586 42,843,785 136,421 2,637,757 Shares repurchased ............. (1,048,847) (19,578,331) (3,496,440) (49,581,445) (7,017) (136,176) ---------------------------------------------------------- --------------------------- Net increase ................... 565,905 $ 10,780,318 (515,854) $ (6,737,660) 129,404 $ 2,501,581 ========================================================== ===========================
DIRECT SHARES K SHARES ------------- -------- Year Ended Year Ended October 16, 2003* S&P SMALLCAP INDEX FUND August 31, 2004 August 31, 2003 to August 31, 2004 - ----------------------- -------------------------- ---------------------------- --------------------------- Shares Value Shares Value Shares Value ---------------------------------------------------------- --------------------------- Shares sold .................... 355,453 $ 5,543,894 555,740 $ 6,709,355 176,552 $ 2,833,369 Shares issued in reinvestment of distributions ................ 15,052 231,361 7,771 90,119 20 312 ---------------------------------------------------------- --------------------------- 370,505 5,775,255 563,511 6,799,474 176,572 2,833,681 Shares repurchased ............. (379,065) (5,979,330) (609,969) (7,331,569) (5,888) (95,131) ---------------------------------------------------------- --------------------------- Net increase ................. (8,560) $ (204,075) (46,458) $ (532,095) 170,684 $ 2,738,550 ========================================================== ===========================
DIRECT SHARES K SHARES ------------- -------- Year Ended Year Ended October 16, 2003* EQUITY INCOME FUND August 31, 2004 August 31, 2003 to August 31, 2004 - ------------------ -------------------------- ---------------------------- --------------------------- Shares Value Shares Value Shares Value ---------------------------------------------------------- --------------------------- Shares sold .................... 285,655 $ 3,895,111 146,167 $ 1,614,108 110,644 $ 1,531,478 Shares issued in reinvestment of distributions ................ 9,514 128,543 9,958 108,259 67 956 ---------------------------------------------------------- --------------------------- 295,169 4,023,654 156,125 1,722,367 110,711 1,532,434 Shares repurchased ............. (158,103) (2,170,526) (85,509) (936,130) (6,487) (90,245) ---------------------------------------------------------- --------------------------- Net increase ................. 137,066 $ 1,853,128 70,616 $ 786,237 104,224 $ 1,442,189 ========================================================== ===========================
DIRECT SHARES K SHARES ------------- -------- Year Ended Year Ended October 16, 2003* EUROPEAN GROWTH & INCOME FUND August 31, 2004 August 31, 2003 to August 31, 2004 - ----------------------------- -------------------------- ---------------------------- --------------------------- Shares Value Shares Value Shares Value ---------------------------------------------------------- --------------------------- Shares sold .................... 468,370 $ 3,190,388 3,275,364 $ 18,527,746 175,871 $ 1,282,465 Shares issued in reinvestment of distributions ................ 10,048 71,466 6,605 36,155 860 6,308 ---------------------------------------------------------- --------------------------- 478,418 3,261,854 3,281,969 18,563,901 176,731 1,288,773 Shares repurchased ............. (470,211) (3,215,473) (3,144,160) (17,743,081) (11,271) (83,982) ---------------------------------------------------------- --------------------------- Net increase ................. 8,207 $ 46,381 137,809 $ 820,820 165,458 $ 1,204,791 ========================================================== ===========================
DIRECT SHARES K SHARES ------------- -------- Year Ended Year Ended October 16, 2003* NASDAQ-100 INDEX FUND August 31, 2004 August 31, 2003 to August 31, 2004 - --------------------- -------------------------- ---------------------------- --------------------------- Shares Value Shares Value Shares Value ---------------------------------------------------------- --------------------------- Shares sold .................... 1,956,544 $ 7,041,214 2,863,826 $ 8,067,882 514,305 $ 1,877,933 Shares issued in reinvestment of distributions ................ -- -- -- -- -- -- ---------------------------------------------------------- --------------------------- 1,956,544 7,041,214 2,863,826 8,067,882 514,305 1,877,933 Shares repurchased ............. (2,189,504) (7,878,485) (2,296,996) (6,077,802) (35,479) (131,204) ---------------------------------------------------------- --------------------------- Net increase ................. (232,960) $ (837,271) 566,830 $ 1,990,080 478,826 $ 1,746,729 ========================================================== ===========================
* Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 39 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - -------------------------------------------------------------------------------- CALIFORNIA TAX-FREE MONEY MARKET FUND
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, 2004 2003 2002 2001 2000 ------------------------------------------------------------ Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.005 0.007 0.011 0.026 0.029 LESS DISTRIBUTIONS Dividends from net investment income (0.005) (0.007) (0.011) (0.026) (0.029) ------------------------------------------------------------ Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ============================================================ Total Return 0.54% 0.70% 1.15% 2.66% 2.92% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 93,180 $ 88,804 $ 93,371 $ 99,520 $102,848 Ratio of expenses to average net assets: Before expense reimbursements 0.65% 0.65% 0.65% 0.63% 0.66% After expense reimbursements 0.44% 0.43% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 0.33% 0.48% 0.90% 2.36% 2.63% After expense reimbursements 0.54% 0.70% 1.15% 2.59% 2.89%
CALIFORNIA INSURED INTERMEDIATE FUND
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, 2004 2003 2002 2001 2000 ---------------------------------------------------------------------- Net asset value, beginning of year $ 10.80 $ 11.22 $ 11.09 $ 10.72 $ 10.54 ---------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.33 0.33 0.39 0.43 0.44 Net gain (loss) on securities (both realized and unrealized) 0.21 (0.21) 0.27 0.37 0.20 ---------------------------------------------------------------------- Total from Investment Operations 0.54 0.12 0.66 0.80 0.64 ---------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.33) (0.33) (0.39) (0.43) (0.44) Distributions from capital gains (0.03) (0.21) (0.14) -- (0.02) ---------------------------------------------------------------------- Total distributions (0.36) (0.54) (0.53) (0.43) (0.46) ---------------------------------------------------------------------- Net asset value, end of year $ 10.98 $ 10.80 $ 11.22 $ 11.09 $ 10.72 ====================================================================== Total Return 5.06% 1.03% 6.17% 7.66% 6.25% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 26,353 $ 27,906 $ 27,105 $ 22,949 $ 22,878 Ratio of expenses to average net assets: Before expense reimbursements 0.71% 0.71% 0.72% 0.71% 0.72% After expense reimbursements 0.59% 0.58% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets Before expense reimbursements 2.85% 2.83% 3.43% 3.82% 3.93% After expense reimbursements 2.97% 2.96% 3.60% 3.98% 4.10% Portfolio Turnover 21.62% 22.45% 29.28% 24.35% 24.24%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 40 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- CALIFORNIA TAX-FREE INCOME FUND
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, 2004 2003 2002 2001 2000 ---------------------------------------------------------------------------- Net asset value, beginning of year $ 12.66 $ 13.24 $ 13.17 $ 12.75 $ 12.40 ---------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.50 0.50 0.52 0.55 0.55 Net gain (loss) on securities (both realized and unrealized) 0.22 (0.42) 0.18 0.44 0.41 ---------------------------------------------------------------------------- Total from Investment Operations 0.72 0.08 0.70 0.99 0.96 ---------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.50) (0.50) (0.52) (0.56) (0.55) Distributions from capital gains (0.10) (0.16) (0.11) (0.01) (0.06) ---------------------------------------------------------------------------- Total distributions (0.60) (0.66) (0.63) (0.57) (0.61) ---------------------------------------------------------------------------- Net asset value, end of year $ 12.78 $ 12.66 $ 13.24 $ 13.17 $ 12.75 ============================================================================ Total Return 5.82% 0.61% 5.55% 7.98% 8.07% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 158,327 $ 172,488 $ 206,909 $ 201,286 $ 196,786 Ratio of expenses to average net assets: Before expense reimbursements 0.62% 0.61% 0.61% 0.63% 0.64% Ratio of net investment income to average net assets Before expense reimbursements 3.86% 3.82% 4.11% 4.30% 4.54% Portfolio Turnover 11.64% 1.44% 22.94% 28.96% 18.05%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 41 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- U.S. GOVERNMENT SECURITIES FUND
Year Ended Year Ended Year Ended Year Ended Year Ended DIRECT SHARES August 31, August 31, August 31, August 31, August 31, 2004 2003 2002 2001 2000 ----------------------------------------------------------------------- Net asset value, beginning of year $ 10.56 $ 10.73 $ 10.77 $ 10.33 $ 10.24 ----------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.35 0.35 0.50 0.58 0.58 Net gain (loss) on securities (both realized and unrealized) 0.09 (0.08) 0.19 0.42 0.14 ----------------------------------------------------------------------- Total from Investment Operations 0.44 0.27 0.69 1.00 0.72 ----------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.32) (0.44) (0.59) (0.56) (0.58) Distributions from capital gains (0.08) -- (0.14) -- (0.05) ----------------------------------------------------------------------- Total distributions (0.40) (0.44) (0.73) (0.56) (0.63) ----------------------------------------------------------------------- Net asset value, end of year $ 10.60 $ 10.56 $ 10.73 $ 10.77 $ 10.33 ======================================================================= Total Return 4.23% 2.52% 6.65% 9.94% 7.35% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 27,454 $ 31,585 $ 33,275 $ 27,265 $ 24,476 Ratio of expenses to average net assets: Before expense reimbursements 0.75% 0.71% 0.71% 0.71% 0.72% After expense reimbursements 0.65% 0.65% 0.65% 0.65% 0.65% Ratio of net investment income to average net assets Before expense reimbursements 2.92% 3.22% 4.59% 5.32% 5.82% After expense reimbursements 3.02% 3.28% 4.65% 5.38% 5.89% Portfolio Turnover 103.98% 39.29% 150.35% 209.58% 184.60%
October 16, 2003* to K SHARES August 31, 2004 ----------------- Net asset value, beginning of period $ 10.55 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.23 Net gain (loss) on securities (both realized and unrealized) 0.15 ----------------- Total from Investment Operations 0.38 ----------------- LESS DISTRIBUTIONS Dividends from net investment income (0.20) Distributions from capital gains (0.08) ----------------- Total distributions (0.28) ----------------- Net asset value, end of period $ 10.65 ================= Total Return 3.66% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 1,689 Ratio of expenses to average net assets: Before expense reimbursements 1.25%** After expense reimbursements 1.15%** Ratio of net investment income to average net assets Before expense reimbursements 2.42%** After expense reimbursements 2.52%** Portfolio Turnover 103.98% * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 42 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- THE UNITED STATES TREASURY TRUST
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2004 2003 2002 2001 2000 ----------------------------------------------------------------------------- Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ----------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.006 0.008 0.017 0.047 0.050 LESS DISTRIBUTIONS Dividends from net investment income (0.006) (0.008) (0.017) (0.047) (0.050) ----------------------------------------------------------------------------- Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ============================================================================= Total Return 0.63% 0.86% 1.70% 4.87% 5.12% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 39,143 $ 40,635 $ 51,013 $ 59,760 $ 56,464 Ratio of expenses to average net assets: Before expense reimbursements 0.71% 0.70% 0.67% 0.65% 0.66% After expense reimbursements 0.36% 0.42% 0.42% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 0.28% 0.56% 1.45% 4.48% 4.76% After expense reimbursements 0.63% 0.84% 1.70% 4.73% 5.02%
October 16, 2003* K SHARES to August 31, 2004 ----------------- Net asset value, beginning of period $ 1.000 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.001 LESS DISTRIBUTIONS Dividends from net investment income (0.001) ----------------- Net asset value, end of period $ 1.000 ================= Total Return 0.12% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 944 Ratio of expenses to average net assets: Before expense reimbursements 1.21%** After expense reimbursements 0.86%** Ratio of net investment income to average net assets Before expense reimbursements (0.22)%** After expense reimbursements 0.13%** * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 43 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- SHORT-TERM U.S. GOVERNMENT BOND FUND
January 18, Year Ended Year Ended Year Ended Year Ended 2000* to DIRECT SHARES August 31, August 31, August 31, August 31, August 31, 2004 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 0.11 0.18 0.30 0.53 0.36 Net gain on securities (both realized and unrealized) -- (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 (0.12) (0.18) (0.30) (0.55) (0.36) Distributions from capital gains (0.01) -- (0.16) (0.00) -- ------------------------------------------------------------------------- Total distributions (0.13) (0.18) (0.46) (0.55) (0.36) ------------------------------------------------------------------------- Net asset value, end of period $ 10.09 $ 10.11 $ 10.17 $ 10.24 $ 10.05 ========================================================================= Total Return 1.06% 1.17% 3.90% 7.58% 4.15% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 15,098 $ 21,500 $ 10,942 $ 11,623 $ 5,432 Ratio of expenses to average net assets: Before expense reimbursements 0.80% 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 0.85% 1.35% 2.57% 4.63% 5.02%** After expense reimbursements 1.15% 1.66% 2.96% 5.19% 6.19%** Portfolio Turnover 62.58% 74.45% 119.61% 64.56% --
October 16, 2003* K SHARES to August 31, 2004 ----------------- Net asset value, beginning of period $ 10.12 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.05 Net gain on securities (both realized and unrealized) (0.01) ----------------- Total from Investment Operations 0.04 ----------------- LESS DISTRIBUTIONS Dividends from net investment income (0.05) Distributions from capital gains (0.01) ----------------- Total distributions (0.06) ----------------- Net asset value, end of period $ 10.10 ================= Total Return 0.41% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 1,235 Ratio of expenses to average net assets: Before expense reimbursements 1.30%** After expense reimbursements 1.00%** Ratio of net investment income to average net assets Before expense reimbursements 0.35%** After expense reimbursements 0.65%** Portfolio Turnover 62.58% * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 44 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- S&P 500 INDEX FUND
Year Ended Year Ended Year Ended Year Ended Year Ended DIRECT SHARES August 31, August 31, August 31, August 31, August 31, 2004 2003 2002 2001 2000 ---------------------------------------------------------------------------- Net asset value, beginning of year $ 20.36 $ 18.48 $ 22.79 $ 30.84 $ 28.12 ---------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.32 0.29 0.29 0.34 0.38 Net gain (loss) on securities (both realized and unrealized) 1.95 1.89 (4.31) (7.64) 4.06 ---------------------------------------------------------------------------- Total from Investment Operations 2.27 2.18 (4.02) (7.30) 4.44 ---------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.31) (0.30) (0.29) (0.34) (0.40) Distributions from capital gains -- -- -- (0.41) (1.32) ---------------------------------------------------------------------------- Total distributions (0.31) (0.30) (0.29) (0.75) (1.72) ---------------------------------------------------------------------------- Net asset value, end of year $ 22.32 $ 20.36 $ 18.48 $ 22.79 $ 30.84 ============================================================================ Total Return 11.16% 12.03% (17.83)% (23.93)% 16.38% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 106,305 $ 98,264 $ 93,961 $ 141,390 $ 165,891 Ratio of expenses to average net assets: Before expense reimbursements 0.43% 0.45% 0.41% 0.39% 0.40% After expense reimbursements 0.27% 0.25% 0.20% 0.20% 0.20% Ratio of net investment income to average net assets Before expense reimbursements 1.27% 1.35% 1.30% 1.16% 1.11% After expense reimbursements 1.43% 1.55% 1.51% 1.35% 1.31% Portfolio Turnover 2.00% 3.63% 31.12% 6.26% 9.00%
K SHARES October 16, 2003* to August 31, 2004 ----------------- Net asset value, beginning of period $ 21.17 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.12 Net gain (loss) on securities (both realized and unrealized) 1.16 ----------------- Total from Investment Operations 1.28 ----------------- LESS DISTRIBUTIONS Dividends from net investment income (0.08) Distributions from capital gains -- ----------------- Total distributions (0.08) ----------------- Net asset value, end of period $ 22.37 ================= Total Return 6.05% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 2,261 Ratio of expenses to average net assets: Before expense reimbursements 0.93%** After expense reimbursements 0.77%** Ratio of net investment income to average net assets Before expense reimbursements 0.77%** After expense reimbursements 0.93%** Portfolio Turnover 2.00% * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 45 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND
Year Ended Year Ended Year Ended Year Ended Year Ended DIRECT SHARES August 31, August 31, August 31, August 31, August 31, 2004 2003 2002 2001 2000 ---------------------------------------------------------------------------- Net asset value, beginning of year $ 17.01 $ 14.60 $ 16.18 $ 20.75 $ 18.70 ---------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.13 0.12 0.05 0.17 0.22 Net gain (loss) on securities (both realized and unrealized) 1.98 2.41 (1.54) (1.66) 6.05 ---------------------------------------------------------------------------- Total from Investment Operations 2.11 2.53 (1.49) (1.49) 6.27 ---------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.12) (0.12) (0.03) (0.18) (0.21) Distributions from capital gains -- -- (0.06) (2.90) (4.01) ---------------------------------------------------------------------------- Total distributions (0.12) (0.12) (0.09) (3.08) (4.22) ---------------------------------------------------------------------------- Net asset value, end of year $ 19.00 $ 17.01 $ 14.60 $ 16.18 $ 20.75 ============================================================================ Total Return 12.44% 17.46% (8.77)% (6.56)% 40.44% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 126,678 $ 103,771 $ 96,590 $ 83,293 $ 74,749 Ratio of expenses to average net assets: Before expense reimbursements 0.58% 0.58% 0.58% 0.56% 0.57% After expense reimbursements 0.49% 0.46% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 0.60% 0.66% 0.78% 0.84% 1.03% After expense reimbursements 0.69% 0.78% 0.96% 1.00% 1.20% Portfolio Turnover 12.75% 8.33% 21.73% 39.41% 46.23%
K SHARES October 16, 2003* to August 31, 2004 ----------------- Net asset value, beginning of period $ 17.78 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.05 Net gain (loss) on securities (both realized and unrealized) 1.19 ----------------- Total from Investment Operations 1.24 ----------------- LESS DISTRIBUTIONS Dividends from net investment income (0.02) Distributions from capital gains -- ----------------- Total distributions (0.02) ----------------- Net asset value, end of period $ 19.00 ================= Total Return 6.96% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 2,459 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 0.10%** After expense reimbursements 0.19%** Portfolio Turnover 12.75% * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 46 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND
DIRECT SHARES Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, 2004 2003 2002 2001 2000 ------------------------------------------------------------------------ Net asset value, beginning of year $ 14.07 $ 11.60 $ 12.89 $ 14.09 $ 11.46 ------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.04 0.03 0.03 0.11 0.12 Net gain (loss) on securities (both realized and unrealized) 1.92 2.51 (1.28) (0.55) 3.14 ------------------------------------------------------------------------ Total from Investment Operations 1.96 2.54 (1.25) (0.44) 3.26 ------------------------------------------------------------------------ LESS DISTRIBUTIONS Dividends from net investment income (0.04) (0.03) (0.04) (0.12) (0.10) Distributions from capital gains (0.14) (0.04) -- (0.64) (0.53) ------------------------------------------------------------------------ Total distributions (0.18) (0.07) (0.04) (0.76) (0.63) ------------------------------------------------------------------------ Net asset value, end of year $ 15.85 $ 14.07 $ 11.60 $ 12.89 $ 14.09 ======================================================================== Total Return 13.93% 22.04% (9.69)% (2.59)% 29.63% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 20,742 $ 18,526 $ 15,813 $ 14,226 $ 12,863 Ratio of expenses to average net assets: Before expense reimbursements 0.82% 0.88% 0.88% 0.92% 1.00% After expense reimbursements 0.65% 0.65% 0.65% 0.65% 0.65% Ratio of net investment income to average net assets Before expense reimbursements 0.09% 0.08% 0.00% 0.54% 0.58% After expense reimbursements 0.26% 0.31% 0.23% 0.81% 0.93% Portfolio Turnover 14.60% 16.51% 17.64% 41.91% 37.21%
K SHARES October 16, 2003* to August 31, 2004 ----------------- Net asset value, beginning of period $ 14.78 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (0.01) Net gain (loss) on securities (both realized and unrealized) 1.19 ----------------- Total from Investment Operations 1.18 ----------------- LESS DISTRIBUTIONS Dividends from net investment income -- Distributions from capital gains (0.14) ----------------- Total distributions (0.14) ----------------- Net asset value, end of period $ 15.82 ================= Total Return 7.99% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 2,700 Ratio of expenses to average net assets: Before expense reimbursements 1.32%** After expense reimbursements 1.15%** Ratio of net investment income to average net assets Before expense reimbursements (0.41)%** After expense reimbursements (0.24)%** Portfolio Turnover 14.60% * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 47 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- EQUITY INCOME FUND
Year Ended Year Ended Year Ended Year Ended Year Ended DIRECT SHARES August 31, August 31, August 31, August 31, August 31, 2004 2003 2002 2001 2000 ----------------------------------------------------------------------- Net asset value, beginning of year $ 12.32 $ 11.38 $ 12.21 $ 14.81 $ 14.38 ----------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.20 0.15 0.17 0.28 0.36 Net gain (loss) on securities (both realized and unrealized) 1.70 0.94 (0.83) (2.46) 0.76 ----------------------------------------------------------------------- Total from Investment Operations 1.90 1.09 (0.66) (2.18) 1.12 ----------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.15) (0.15) (0.17) (0.39) (0.27) Distributions from capital gains -- -- -- (0.03) (0.42) ----------------------------------------------------------------------- Total distributions (0.15) (0.15) (0.17) (0.42) (0.69) ----------------------------------------------------------------------- Net asset value, end of year $ 14.07 $ 12.32 $ 11.38 $ 12.21 $ 14.81 ======================================================================= Total Return 15.51% 9.77% (5.46)% (14.94)% 8.23% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 13,137 $ 9,818 $ 8,261 $ 8,794 $ 11,813 Ratio of expenses to average net assets: Before expense reimbursements 0.90% 0.95% 0.91% 0.94% 0.98% After expense reimbursements 0.80% 0.80% 0.80% 0.80% 0.80% Ratio of net investment income to average net assets Before expense reimbursements 1.04% 1.24% 1.33% 1.96% 2.49% After expense reimbursements 1.14% 1.39% 1.44% 2.10% 2.67% Portfolio Turnover 14.43% 30.01% 69.43% 73.50% 38.34%
October 16, 2003* K SHARES to August 31, 2004 ----------------- Net asset value, beginning of period $ 12.90 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.01 Net gain (loss) on securities (both realized and unrealized) 1.21 ----------------- Total from Investment Operations 1.22 ----------------- LESS DISTRIBUTIONS Dividends from net investment income (0.02) Distributions from capital gains -- ----------------- Total distributions (0.02) ----------------- Net asset value, end of period $ 14.10 ================= Total Return 9.47% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 1,470 Ratio of expenses to average net assets: Before expense reimbursements 1.40%** After expense reimbursements 1.30%** Ratio of net investment income to average net assets Before expense reimbursements 0.54%** After expense reimbursements 0.64%** Portfolio Turnover 14.43% * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 48 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- EUROPEAN GROWTH & INCOME FUND
DIRECT SHARES January 18, Year Ended Year Ended Year Ended Year Ended 2000* to August 31, August 31, August 31, August 31, August 31, 2004 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 0.16 0.11 0.10 0.08 0.09 Net loss on securities (both realized and unrealized) 0.89 0.35 (1.34) (2.46) (0.45) -------------------------------------------------------------------------- Total from Investment Operations 1.05 0.46 (1.24) (2.38) (0.36) -------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.13) (0.08) (0.09) (0.08) (0.05) Distributions from capital gains -- -- -- -- -- -------------------------------------------------------------------------- Total distributions (0.13) (0.08) (0.09) (0.08) (0.05) -------------------------------------------------------------------------- Net asset value, end of period $ 7.10 $ 6.18 $ 5.80 $ 7.13 $ 9.59 ========================================================================== Total Return 17.04% 8.17% (17.50)% (24.87)% (3.59)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 3,923 $ 3,364 $ 2,357 $ 2,106 $ 1,505 Ratio of expenses to average net assets: Before expense reimbursements 1.72% 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 to average net assets Before expense reimbursements 1.17% 0.83% 0.30% (0.18)% (1.53)%** After expense reimbursements 1.94% 1.87% 1.34% 1.04% 1.51%** Portfolio Turnover 2.01% 0.00% 9.70% 19.75% 114.30%
October 16, 2003* K SHARES to August 31, 2004 ----------------- Net asset value, beginning of period $ 6.61 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.08 Net loss on securities (both realized and unrealized) 0.48 ----------------- Total from Investment Operations 0.56 ----------------- LESS DISTRIBUTIONS Dividends from net investment income (0.06) Distributions from capital gains -- ----------------- Total distributions (0.06) ----------------- Net asset value, end of period $ 7.11 ================= Total Return 8.43% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 1,177 Ratio of expenses to average net assets: Before expense reimbursements 2.22%** After expense reimbursements 1.45%** Ratio of net investment income to average net assets Before expense reimbursements 0.67%** After expense reimbursements 1.44%** Portfolio Turnover 2.01% * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 49 - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) - -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND
January 18, Year Ended Year Ended Year Ended Year Ended 2000* to August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2004 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 (loss) (0.01) (0.01) --(a) 0.05 0.03 Net gain (loss) on securities (both realized and unrealized) 0.06 1.01 (1.33) (6.84) 0.67 -------------------------------------------------------------------------- Total from Investment Operations 0.05 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 $ 3.46 $ 3.41 $ 2.41 $ 3.75 $ 10.67 ========================================================================== Total Return 1.47% 41.49% (35.61)% (64.26)% 7.02% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 14,349 $ 14,928 $ 9,191 $ 11,390 $ 14,498 Ratio of expenses to average net assets: Before expense reimbursements 0.91% 1.05% 0.99% 0.90% 0.99%** After expense reimbursements 0.65% 0.65% 0.64% 0.65% 0.65%** Ratio of net investment income to average net assets Before expense reimbursements (0.62)% (0.80)% (0.45)% 0.14% 0.54%** After expense reimbursements (0.36)% (0.40)% (0.10)% 0.39% 0.88%** Portfolio Turnover 8.82% 8.64% 4.18% 13.82% 0.62%
(a) Represents less than $0.01 per share October 16, 2003* to K SHARES August 31, 2004 ----------------- Net asset value, beginning of period $ 3.62 ----------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (loss) (0.01) Net gain (loss) on securities (both realized and unrealized) (0.16) ----------------- Total from Investment Operations (0.17) ----------------- LESS DISTRIBUTIONS Dividends from net investment income -- Distributions from capital gains -- ----------------- Total distributions -- ----------------- Net asset value, end of period $ 3.45 ================= Total Return (4.70)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 1,651 Ratio of expenses to average net assets: Before expense reimbursements 1.41%** After expense reimbursements 1.15%** Ratio of net investment income to average net assets Before expense reimbursements (1.12)%** After expense reimbursements (0.86)%** Portfolio Turnover 8.82% (a) Represents less than $0.01 per share * Commencement of operations. ** Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 50
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE MONEY MARKET FUND 8/31/2004 (Unaudited) PERCENTAGE OF TOTAL SECURITY DESCRIPTION VALUE INVESTMENT - ------------------------------------------------------------------------------------------------------------------------------------ 1 IRVINE, CITY OF Assessment District 87-8 $ 2,600,000 2.8% 2 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series 2002B6 2,400,000 2.6% 3 CALIFORNIA STATE ECONOMIC RECOVERY Revenue Bonds; Series 2004C 2,200,000 2.4% 4 TAX AND REVENUE ANTICIPATION NOTES San Diego County School District 2,029,270 2.2% 5 TAX AND REVENUE ANTICIPATION NOTES Los Angeles, County of 2,022,799 2.2% 6 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Scripps Hospital; Series B 2,000,000 2.2% 7 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK Rand Corportation; Series B 2,000,000 2.2% 8 CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY ExxonMobil; Series 2000 2,000,000 2.2% 9 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 2.2% 10 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY Sutter Health Variable Rate Bonds 2,000,000 2.2%
[The following table was depicted as a bar chart in the printed material.] Variable Rate Demand Notes 79.6% Tax and Revenue Anticipation Notes 10.8% Commercial Paper 8.6% Other Net Assets 1.0% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
- ------------------------------------------------------------------------------------------------------------------------------------ Beginning DIRECT SHARES Account Value Ending Account Value Expenses March 1, 2004 August 31, 2004 Paid During Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,003 $2.22 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,048 $2.26 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.44%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 51
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED INTERMEDIATE FUND 8/31/2004 (Unaudited) PERCENTAGE OF TOTAL SECURITY DESCRIPTION VALUE INVESTMENT - ------------------------------------------------------------------------------------------------------------------------------------ 1 CALIFORNIA, STATE OF General Obligation Bonds $ 692,256 2.7% 2 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 669,900 2.6% 3 MONTEREY, COUNTY OF Certificates of Participation 668,904 2.6% 4 CALIFORNIA STATE ECONOMIC RECOVERY General Obligation; Series A 667,350 2.6% 5 SARATOGA UNION SCHOOL DISTRICT 1997 General Obligation Bonds; Series A 665,082 2.6% 6 OAK PARK UNIFIED SCHOOL DISTRICT General Obligation, Refunding Bonds 652,746 2.5% 7 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 614,576 2.4% 8 FRESNO, CITY OF Water System Revenue Refuding; Series A 584,920 2.2% 9 CAMPBELL UNION HIGH SCHOOL DISTRICT Water System Improvement Projects; Series 2001A 582,825 2.2% 10 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Multiple Purpose Projects; Series O 576,470 2.2%
[The following table was depicted as a bar chart in the printed material.] Long Term Securities 94.9% Variable Rate Demand Notes 4.0% Other Net Assets 1.1% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
- ------------------------------------------------------------------------------------------------------------------------------------ Beginning DIRECT SHARES Account Value Ending Account Value Expenses March 1, 2004 August 31, 2004 Paid During Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $ 995 $2.91 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $3.04 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.59%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 52
- ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE INCOME FUND 8/31/2004 (Unaudited) PERCENTAGE OF TOTAL SECURITY DESCRIPTION VALUE INVESTMENT - ------------------------------------------------------------------------------------------------------------------------------------ 1 CALIFORNIA STATE PUBLIC WORKS BOARD University of California Projects; 1993 Series A $ 5,650,800 3.6% 2 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds 4,662,640 3.0% 3 SACRAMENTO MUNICIPAL UTILITY DISTRICT Refunding Revenue Bonds; Series A 4,631,600 3.0% 4 SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT Multiple Project Revenue Bonds; Series 1989 4,349,537 2.8% 5 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 4,185,873 2.7% 6 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 3,592,097 2.3% 7 CALIFORNIA, STATE OF General Obligation Bonds 3,482,220 2.2% 8 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Stanford University Revenue Bonds; Series P 3,440,250 2.2% 9 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Refunding Bonds; Series 2001-B 3,360,720 2.1% 10 SAN BERNARDINO, COUNTY OF Justice Center / Airport Improvements; Series 2002A 3,188,884 2.0%
[The following table was depicted as a bar chart in the printed material.] Long Term Securities 86.31% Variable Rate Demand Notes 13.07% Other Net Assets 0.62% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
- ------------------------------------------------------------------------------------------------------------------------------------ Beginning DIRECT SHARES Account Value Ending Account Value Expenses March 1, 2004 August 31, 2004 Paid During Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $ 990 $3.04 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $3.19 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.62%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 53
- ------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT SECURITIES FUND 8/31/2004 (Unaudited) PERCENTAGE OF TOTAL SECURITY DESCRIPTION MATURITY VALUE INVESTMENT - ------------------------------------------------------------------------------------------------------------------------------------ 1 United States Treasury Bonds (14.74%) 11/15/2022 $ 2,660,156 9.2% 2 Government National Mortgage Association (65.34%) 2/15/2019 2,144,483 7.4% 3 United States Treasury Notes (12.93%) 5/15/2005 2,064,532 7.1% 4 Government National Mortgage Association (65.34%) 1/15/2019 1,990,892 6.9% 5 Government National Mortgage Association (65.34%) 1/15/2019 1,971,552 6.8% 6 Government National Mortgage Association (65.34%) 2/15/2019 1,971,546 6.8% 7 Government National Mortgage Association (65.34%) 2/15/2019 1,945,626 6.7% 8 Government National Mortgage Association (65.34%) 9/15/2018 1,898,216 6.6% 9 Government National Mortgage Association (65.34%) 8/15/2018 1,826,594 6.3% 10 Government National Mortgage Association (65.34%) 2/15/2018 1,815,722 6.3%
[The following table was depicted as a bar chart in the printed material.] Government National Mortgage Assoc. 65.34% United States Treasury Bills 6.16% United States Tresury Notes 12.93% United States Tresury Bonds 14.74% Other Net Assets 0.83% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,013 $3.26 $1,000 $1,010 $5.75 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $3.34 $1,000 $1,044 $5.91 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.65%; K Shares 1.15%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 54 - -------------------------------------------------------------------------------- THE UNITED STATES TREASURY TRUST 8/31/2004 (Unaudited) PERCENTAGE OF TOTAL SECURITY DESCRIPTION MATURITY VALUE INVESTMENT - -------------------------------------------------------------------------------- 1 United States Treasury Bills 9/23/2004 $ 9,892,855 24.7% 2 United States Treasury Bills 11/26/2004 8,469,327 21.1% 3 United States Treasury Bills 11/4/2004 5,086,938 12.7% 4 United States Treasury Bills 9/2/2004 4,199,882 10.5% 5 United States Treasury Bills 12/9/2004 3,783,907 9.4% 6 United States Treasury Bills 11/12/2004 3,191,003 8.0% 7 United States Treasury Bills 10/21/2004 2,994,263 7.5% 8 United States Treasury Bills 11/18/2004 2,492,211 6.2% [The following table was depicted as a bar chart in the printed material.] United States Treasury Bills 100.1% Other Liabilities -0.1% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,003 $1.81 $1,000 $1,001 $4.43 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,048 $1.85 $1,000 $1,046 $4.42 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.36%; K Shares 0.88%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 55 - -------------------------------------------------------------------------------- SHORT-TERM U.S. GOVERNMENT BOND FUND 8/31/2004 (Unaudited) PERCENTAGE OF TOTAL SECURITY DESCRIPTION MATURITY VALUE INVESTMENT - -------------------------------------------------------------------------------- 1 United States Tresury Notes 10/15/2006 $ 2,166,016 15.4% 2 United States Tresury Notes 2/15/2006 2,099,844 14.9% 3 United States Tresury Notes 11/15/2005 2,087,578 14.8% 4 United States Tresury Notes 5/15/2005 2,067,734 14.7% 5 United States Tresury Notes 5/15/2005 2,064,532 14.6% 6 United States Tresury Notes 8/15/2005 1,981,269 14.0% 7 United States Tresury Notes 2/15/2005 1,641,563 11.6% 8 United States Treasury Bills 11/18/2004 1,096,491 7.8% 9 United States Treasury Bills 9/23/2004 299,764 2.1% 10 United States Treasury Bills 11/12/2004 299,088 2.1% [The following table was depicted as a bar chart in the printed material.] United States Treasury Bills 12.2% United States Treasury Notes 86.4% Other Net Assets 1.4% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,000 $2.51 $1,000 $ 998 $5.01 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $2.57 $1,000 $1,045 $5.14 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.50%; K Shares 1.00%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 56 - -------------------------------------------------------------------------------- S&P 500 INDEX FUND 8/31/2004 (Unaudited) PERCENTAGE OF SECURITY VALUE TOTAL INVESTMENT - -------------------------------------------------------------------------------- 1 General Electric Co $ 3,477,478 3.2% 2 Exxon Mobil Corp. 3,168,223 2.9% 3 Microsoft Corp. 3,096,120 2.9% 4 Pfizer Inc. 2,633,953 2.4% 5 Citigroup Inc. 2,538,657 2.3% 6 Wal-Mart Stores Inc. 2,375,628 2.2% 7 American International Group Inc. 1,962,947 1.8% 8 Bank of America Corp. 1,922,985 1.8% 9 Johnson & Johnson 1,821,900 1.7% 10 Procter & Gamble Co 1,510,966 1.4% [The following table was depicted as a bar chart in the printed material.] INDEX CIT ----- --- Banking & Financial Service 21.0% 21.1% Capital Good 6.4% 6.3% Consumer Cyclical 7.3% 7.3% Consumer Non-Durable 25.4% 25.3% Energy 6.9% 6.8% Manufacturing 5.8% 5.6% Service 1.6% 1.6% Technology 17.9% 17.9% Transportation 1.9% 1.9% Utility 5.9% 5.9% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $ 972 $1.33 $1,000 $ 969 $3.80 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,049 $1.39 $1,000 $1,046 $3.96 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.27%; K Shares 0.77%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 57 - -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND 8/31/2004 (Unaudited) PERCENTAGE OF SECURITY VALUE TOTAL INVESTMENT - -------------------------------------------------------------------------------- 1 Gilead Sciences Inc. $ 1,910,822 1.5% 2 Washington Post 1,069,124 0.8% 3 Coach Inc. 1,016,321 0.8% 4 DR Horton Inc. 929,964 0.7% 5 Lennar Corp. 920,030 0.7% 6 XTO Energy Inc. 909,505 0.7% 7 Murphy Oil Corp. 895,926 0.7% 8 National Commerce Financial Corp. 890,754 0.7% 9 Sovereign Bancorp Inc. 861,831 0.7% 10 L-3 Communications Holdings Inc. 852,342 0.7% [The following table was depicted as a bar chart in the printed material.] INDEX CIT ----- --- Banking & Financial Service 19.4% 19.3% Capital Good 6.0% 5.9% Consumer Cyclical 9.5% 8.7% Consumer Non-Durable 22.7% 23.2% Energy 6.6% 6.2% Manufacturing 11.9% 10.3% Service 2.0% 2.5% Technology 12.4% 11.4% Transportation 2.7% 2.5% Utility 6.8% 6.4% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $ 964 $2.43 $1,000 $ 962 $4.91 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,048 $2.52 $1,000 $1,045 $5.09 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.49%; K Shares 0.99%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 58 - -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND 8/31/2004 (Unaudited) PERCENTAGE OF SECURITY VALUE TOTAL INVESTMENT - -------------------------------------------------------------------------------- 1 NVR Inc. $ 170,765 0.7% 2 Urban Outfitters Inc. 125,163 0.5% 3 UnitedHealth Group Inc. 121,415 0.5% 4 MDC Holdings Inc. 115,186 0.5% 5 Massey Energy Co 107,163 0.5% 6 Timken Co 106,671 0.5% 7 Medicis Pharmaceutical 106,637 0.5% 8 Roper Industries Inc. 104,178 0.4% 9 Polaris Industries Inc. 103,941 0.4% 10 Fossil Inc. 103,930 0.4% [The following table was depicted as a bar chart in the printed material.] INDEX CIT ----- --- Banking & Financial Service 15.6% 15.0% Capital Good 7.8% 7.4% Consumer Cyclical 10.1% 9.9% Consumer Non-Durable 21.5% 20.7% Energy 5.5% 5.6% Manufacturing 15.4% 14.1% Service 3.8% 3.6% Technology 13.6% 12.9% Transportation 3.0% 2.9% Utility 3.8% 3.2% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $ 977 $3.26 $1,000 $ 974 $5.76 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $3.34 $1,000 $1,044 $5.91 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.65%; K Shares 1.15%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 59 - -------------------------------------------------------------------------------- EQUITY INCOME FUND 8/31/2004 (Unaudited) PERCENTAGE OF SECURITY VALUE TOTAL INVESTMENT - -------------------------------------------------------------------------------- 1 Wells Fargo & Co $ 393,449 2.7% 2 Citigroup Inc. 391,784 2.6% 3 Pfizer Inc. 369,171 2.5% 4 Bank of America Corp. 358,221 2.4% 5 McGraw-Hill Cos Inc./The 328,592 2.2% 6 Marsh & McLennan Cos Inc. 312,830 2.1% 7 Fifth Third Bancorp 309,968 2.1% 8 First Data Corp. 296,130 2.0% 9 McDonald's Corp. 272,037 1.8% 10 Baxter International Inc. 256,872 1.7% [The following table was depicted as a bar chart in the printed material.] INDEX CIT ----- --- Banking & Financial Service 37.5% 25.1% Capital Good 3.4% 2.1% Consumer Cyclical 5.3% 8.1% Consumer Non-Durable 12.2% 18.3% Energy 12.2% 8.3% Manufacturing 5.4% 5.3% Service 1.2% 3.2% Technology 9.6% 3.9% Transportation 1.7% 0.0% Utility 11.6% 7.0% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. charge transaction fees, such as purchase or redemption fees, nor does it carry a "sales load." The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $ 995 $3.99 $1,000 $ 993 $6.48 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,046 $4.11 $1,000 $1,043 $6.68 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.80%; K Shares 1.30%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 60 - -------------------------------------------------------------------------------- EUROPEAN GROWTH & INCOME FUND 8/31/2004 (Unaudited) PERCENTAGE OF SECURITY VALUE TOTAL INVESTMENT - -------------------------------------------------------------------------------- 1 BP PLC $ 331,651 6.5% 2 HSBC Holdings PLC 295,944 5.8% 3 Vodafone Group PLC 272,739 5.4% 4 GlaxoSmithKline PLC 223,966 4.4% 5 Total SA 223,319 4.4% 6 Novartis AG 211,673 4.2% 7 Barclays PLC 211,234 4.2% 8 Royal Dutch Petroleum Co 198,705 3.9% 9 Nestle SA 175,076 3.4% 10 UBS AG 146,791 2.9% [The following table was depicted as a bar chart in the printed material.] INDEX CIT ----- --- Banking & Financial Service 23.3% 32.0% Consumer Cyclical 4.7% 1.3% Consumer Non-Durable 20.5% 24.0% Energy 9.8% 19.7% Manufacturing 4.0% 4.1% Service 1.2% 0.0% Technology 15.6% 7.5% Utility 20.8% 11.5% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. charge transaction fees, such as purchase or redemption fees, nor does it carry a "sales load." The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $ 942 $4.59 $1,000 $ 938 $6.99 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,045 $4.88 $1,000 $1,043 $7.45 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.95%; K Shares 1.45%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 61 - -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND 8/31/2004 (Unaudited) PERCENTAGE OF SECURITY VALUE TOTAL INVESTMENT - -------------------------------------------------------------------------------- 1 Microsoft Corp. $ 1,430,793 8.8% 2 Qualcomm Inc. 1,067,074 6.5% 3 Intel Corp. 681,727 4.2% 4 Cisco Systems Inc. 639,472 3.9% 5 eBay Inc. 613,828 3.8% 6 Amgen Inc. 509,953 3.1% 7 Dell Inc. 472,396 2.9% 8 Nextel Communications Inc. 457,446 2.8% 9 Comcast Corp. 383,563 2.3% 10 Starbucks Corp. 346,352 2.1% [The following table was depicted as a bar chart in the printed material.] INDEX CIT ----- --- Capital Good 0.5% 0.5% Consumer Cyclical 5.2% 4.6% Consumer Non-Durable 16.5% 16.6% Energy 0.3% 0.3% Manufacturing 6.9% 7.0% Service 2.9% 3.0% Technology 66.7% 66.3% Transportation 0.9% 1.0% ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. charge transaction fees, such as purchase or redemption fees, nor does it carry a "sales load." The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period* - ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $ 930 $3.19 $1,000 $ 927 $5.64 - ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $3.34 $1,000 $1,044 $5.91 - ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.65%; K Shares 1.26%) for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 62 - -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004 TRUST STATEMENTS - -------------------------------------------------------------------------------- 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 income and capital appreciation (when consistent with high income) by investing primarily in income-producing U.S. equity securities. European Growth & Income Fund seeks to provide long-term capital appreciation and income. By investing in large-sized European companies 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 K Shares. (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 Funds' ("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 (a 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, a 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, 2004, available to offset future capital gains, if any, are as follows:
Expiring Tax Free MM S&P 500 Midcap Equity Income European G & I Nasdaq 100 - ---------------------------------------------------------------------------------------------------------------- 2007 -- -- -- -- 806 -- 2008 -- -- -- -- 53,456 537,333 2009 -- 7,228,230 1,419,345 296,376 40,585 2,356,290 2010 -- -- -- -- -- -- 2011 -- 2,790,405 821,486 111,334 104,291 3,015,438 2012 3,258 -- -- -- 2,426 1,986,011 - ---------------------------------------------------------------------------------------------------------------- Total 3,258 10,018,635 2,240,831 407,710 201,564 7,895,072 ================================================================================================================
Accounting principles generally accepted in the United States of America require certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended August 31, 2004, permanent differences between book and tax accounting have been reclassified to paid-in capital, undistributed net investment income/loss and accumulated realized gain/loss as follows:
Increase (Decrease) Increase (Decrease) Increase (Decrease) Paid-in capital Undistributed Net Accumulated Investment Income (Loss) Gain/(Loss) California Tax-Free Money Market Fund (14,841) -- 14,841 California Insured Intermediate Fund 2,417 (13,968) 11,551 California Tax-Free Income Fund 23,280 (120,778) 97,498 Short-Term U.S. Government Bond Fund (7,437) 637 6,800 S&P SmallCap Index Fund 10,840 -- (10,840) European Growth & Income Fund -- 92 (92) Nasdaq-100 Index Fund (68,157) 68,157 --
63 - -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004 TRUST STATEMENTS CONTINUED - -------------------------------------------------------------------------------- (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. (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 respective Funds for, any amount necessary to prevent a Fund's total expenses, excluding extraordinary items, from exceeding 1.00% of that Fund's 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 year ended August 31, 2004, is as follows:
Voluntary Expense Limitation Fund Reimburse Direct Shares K Shares Expiration - ------------------------------------------------------------------------------------------------------------------------------------ California Tax-Free Money Market Fund $ 178,118 0.44% N/A 12/31/04 California Insured Intermediate Fund $ 32,995 0.59% N/A 12/31/04 Short-Term U.S. Government Bond Fund $ 54,105 0.50% 1.00% 12/31/04 U.S. Government Securities Fund $ 28,834 0.65% 1.15% 12/31/04 The United States Treasury Trust $ 141,755 0.44% 0.94% 12/31/04 S&P 500 Index Fund $ 173,545 0.27% 0.77% 12/31/04 S&P MidCap Index Fund $ 100,400 0.49% 0.99% 12/31/04 S&P SmallCap Index Fund $ 37,970 0.65% 1.15% 12/31/04 Equity Income Fund $ 13,530 0.80% 1.30% 12/31/04 European Growth & Income Fund $ 34,525 0.95% 1.45% 12/31/04 Nasdaq-100 Index Fund $ 44,665 0.65% 1.15% 12/31/04
Certain officers and trustees of the Trusts are also partners of CCM. 64 - -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004 TRUST STATEMENTS CONTINUED - -------------------------------------------------------------------------------- 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 year ended August 31, 2004, the following were paid by each Fund of California Investment Trust II: Shareholder Fund 12b-1 Fees Service Fee - ---- ---------- ----------- U.S. Government Securities Fund .................. $1,669 $1,669 The United States Treasury Trust ................. $1,029 $1,029 Short-Term U.S. Government Bond Fund ............. $1,553 $1,553 S&P 500 Index Fund ............................... $2,222 $2,222 S&P Midcap Index Fund ............................ $2,538 $2,538 S&P SmallCap Index Fund .......................... $2,763 $2,763 Equity Income Fund ............................... $1,230 $1,230 European Growth & Income Fund .................... $1,162 $1,162 Nasdaq-100 Index Fund ............................ $1,913 $1,913 NOTE 3 --- PURCHASES AND SALES OF SECURITIES Purchases and sales of securities other than short-term investments during the year ended August 31, 2004 were as follows: PURCHASES SALES ------------ ------------ California Tax-Free Income Fund ........... $ 17,915,290 $ 43,354,477 California Insured Intermediate Fund ...... $ 6,048,619 $ 5,996,437 Short-Term U.S. Government Bond Fund ...... $ 6,349,039 $ 8,058,773 U.S. Government Securities Fund ........... $ 32,334,834 $ 27,970,887 S&P 500 Index Fund ........................ $ 5,970,981 $ 2,111,717 S&P Midcap Index Fund ..................... $ 24,090,116 $ 14,760,441 Equity Income Fund ........................ $ 3,548,895 $ 1,450,108 S&P SmallCap Index Fund ................... $ 5,407,091 $ 3,020,259 European Growth & Income Fund ............. $ 1,513,946 $ 85,378 Nasdaq-100 Index Fund ..................... $ 3,752,814 $ 1,454,970 65 - -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004 TRUST STATEMENTS CONTINUED - -------------------------------------------------------------------------------- NOTE 4 The tax character of distributions paid during the years ended August 31, 2004 and 2003 were as follows:
Ordinary Long-Term Exempt-Interest Total Income Capital Gains Dividends Distributions California Tax-Free Money Market Fund 2004 -- -- 461,912 461,912 2003 -- -- 645,114 645,114 California Insured Intermediate Fund 2004 10,062 68,620 835,074 913,756 2003 8,854 502,411 830,980 1,342,245 California Tax Free Income Fund 2004 142,398 1,242,840 6,615,271 8,000,509 2003 156,850 2,227,768 7,287,147 9,671,765 U.S. Government Securities Fund 2004 979,428 163,988 -- 1,143,416 2003 1,332,875 -- -- 1,332,875 The United States Treasury Trust 2004 260,901 -- -- 260,901 2003 378,500 -- -- 378,500 Short Term U.S. Government Bond Fund 2004 221,710 -- -- 221,710 2003 227,749 -- -- 227,749 S&P 500 Index Fund 2004 1,494,851 -- -- 1,494,851 2003 1,437,422 -- -- 1,437,422 S&P MidCap Index Fund 2004 788,031 -- -- 788,031 2003 721,101 -- -- 721,101 S&P Small Cap Index Fund 2004 -- 125,962 -- 125,962 2003 41,424 51,780 -- 93,204 Equity Income Fund 2004 134,677 -- -- 134,677 2003 112,369 -- -- 112,369 European Growth & Income Fund 2004 78,858 -- -- 78,858 2003 37,320 -- -- 37,320 Nasdaq-100 Index Fund 2004 -- -- -- -- 2003 -- -- -- --
66 - -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004 TRUST STATEMENTS CONTINUED - -------------------------------------------------------------------------------- The tax character of distributable earnings at August 31, 2004 were as follows:
Undistributed Undistributed Capital Unrealized Post Total Ordinary Long Term Loss Appreciation October Distributable Income Capital Gain Carry Forwards (Depreciation) Losses * Earnings California Tax-Free Money Market Fund -- -- (3,258) -- -- (3,258) California Insured Intermediate Fund -- 54,421 -- 1,087,466 -- 1,141,887 California Tax Free Income Fund -- 2,641,320 -- 15,310,628 -- 17,951,948 U.S. Government Securities Fund 3,018 245,918 -- 110,586 -- 359,522 The United States Treasury Trust 2,404 -- -- -- -- 2,404 Short Term U.S. Government Bond Fund 1,294 6,616 -- (28,563) -- (20,653) S&P 500 Index Fund 288,290 -- (10,040,463) 12,718,250 (18,664) 2,947,413 S&P MidCap Index Fund 160,265 -- (2,240,827) 24,373,400 -- 22,292,838 S&P Small Cap Index Fund 64,410 1,023,862 -- 3,990,957 -- 5,079,229 Equity Income Fund 36,738 -- (407,710) 2,352,023 -- 1,981,041 European Growth & Income Fund 18,491 -- (201,564) (176,456) (59,166) (418,695) Nasdaq-100 Index Fund -- -- (7,895,074) (4,915,947) (1,630,758) (14,441,779)
The difference between book basis and tax basis unrealized appreciation is attributable primarily to the realization for tax purposes of unrealized gains on future contracts and other deferrals. * Under the current tax law, capital losses realized after October 31st and prior to the Funds' fiscal year end may be deferred as occuring on the first day of the following fiscal year. - -------------------------------------------------------------------------------- Fund Holdings: The Fund holdings shown in this report are as of August 31, 2004. Holdings are subject to change at any time, so holdings shown in this report may not reflect current fund holdings. The Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, the first of which will be filed for the quarter ending November 30, 2004. The Funds' Form N-Q will be available on the SEC's web-site at www.sec.gov and may be reviewed and copied at the Commission's Public Reference Room to Washington, DC. Information on the operation of the Public Reference Room may be obtained the information filed in the form N-Q copies of which may be obtained by visiting the Funds' website at www.citfunds.com or by calling 1-800-225-8778. Proxy Voting Record: The Funds' Statement of Additional Information ("SAI") containing a description of the policies and procedures that the California Investment Trust Fund Group uses to determine how to vote proxies relating to portfolio securities, along with each Fund's proxy voting record relating to portfolio securities held during the 12-month period ended June 30, 2004, is available upon request, at no charge, at the phone number and website below or on the SEC's website at www.sec.gov. This report is submitted for the general information of the shareholders of the California Investment Trust Fund Group. It is authorized for distribution only if preceded or accompanied by a current California Investment Trust Fund Group prospectus. Additional copies of the prospectus may be obtained by calling 800-225-8778 or can be downloaded from the Funds' website at www.citfunds.com. Please read the prospectus carefully before you invest or send money, as it explains the risks, fees and expenses of investing in the Funds. 67 Report of Independent Registered Public Accounting Firm To the Shareholders and Board of Trustees California Investment Trust California Investment Trust II We have audited the accompanying statements of assets and liabilities of California Tax-Free Money Market Fund, California Tax-Free Income Fund and California Insured Intermediate Fund, each a series of shares of beneficial interest of California Investment Trust, and the 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, each a series of shares of beneficial interest of California Investment Trust II, including the portfolios of investments as of August 31, 2004, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated thereon. These financial statements and financial highlights are the responsibility of the Trusts' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (US). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2004, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of California Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured Intermediate Fund, the 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 as of August 31, 2004, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods referred to above, in conformity with accounting principles generally accepted in the United States of America. Tait, Weller & Baker Philadelphia, Pennsylvania October 7, 2004 68 - -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED) - -------------------------------------------------------------------------------- Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise its 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 President, Secretary & Trustee Since August 1998 San Francisco, CA 94104 Chief Executive Officer, CCM Partners - ------------------------------------------------------------------------------------------------------------------------------------ ** Phillip W. McClanahan 44 Montgomery St. #2100 12/26/35 Vice President, Treasurer and Trustee Since September 1985 San Francisco, CA 94104 - ------------------------------------------------------------------------------------------------------------------------------------ Harry Holmes P.O. Box 714 12/05/25 Trustee Since September 1985 Pebble Beach, CA 93953 - ------------------------------------------------------------------------------------------------------------------------------------ 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, including the Funds. The principal occupations of the Trustees and Executive Officers of the Fund 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 to present; Chief Operating Officer, CCM Partners 1997 to 1999; Administrative Officer, CCM Partners 1993-1997; Marketing Representative, CCM Partners, 1992 to 1993. **Phillip 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 Director, President and CEO, Chronicle Publishing Company, 1993 to 2000; Executive Vice President, Capital Cities/ABC Inc. and President, ABC Network T.V. Group 1986 to 1992; James Miller Vice President, Jones Lange LaSalle Americas, Inc. 1999 to present; Associate, Orrick Herrington & Sutcliffe LLP, 1996-1999; Associate, Gordon & Rees LLP, 1992-1993. Additional information on the Trustees may be found in the SAI. * Trustee deemed to be an "interested person" of the Trusts, as defined in the Investment Company Act of 1940. ** Phillip McClanahan retired as a Trustee of the trusts on August 31, 2003. 69 [LOGO] CALIFORNIA ------------- INVESTMENT TRUST PRSRT STD ---------------- U.S. Postage FUND GROUP PAID 44 MONTGOMERY STREET #2100 Permit #688 SAN FRANCISCO, CA 94104 Redwood City, CA ------------- ITEM 2. CODE OF ETHICS. (a) The Registrant has adopted a code of ethics that applies to its principal executive officers and principal financial and accounting officer. (c) N/A (d) N/A (f) Pursuant to Item 11(a), the Registrant is attaching as an exhibit a copy of its code of ethics that applies to its principal executive officer and principal financial and accounting officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) Registrant does not have an audit committee financial expert serving on its audit committee. (a)(2) Not Applicable (a)(3) The audit committee has determined that no independent trustee meets the criteria of "audit committee financial expert". ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees The aggregate fees paid to the principal accountant for professional services rendered by the principal accountant for the audit of the Registrant's annual financial statements or for services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements were $71,550 for the fiscal year ended August 31, 2004 and $67,025 for the fiscal year ended August 31, 2003. (b) Audit-Related Fees There were no fees paid to the principal accountant for assurance and related services rendered by the principal accountant to the Registrant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of Item 4. (c) Tax Fees The aggregate fees paid to the principal accountant for tax compliance, tax advice, and tax planning services rendered by the principal accountant to the Registrant were $11,500 for the fiscal year ended August 31, 2004 and $9,575 for the fiscal year ended August 31, 2003. (d) All Other Fees There were no other fees paid to the principal accountant for services rendered by the principal accountant to the Registrant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraphs (a)-(c) of Item 4. (e) (1) The Registrant's audit committee is directly responsible for approving the services to be provided by the auditors, including: (i) pre-approval of all audit and audit-related services; (ii) pre-approval of all non-audit related services to be provided to the Registrant by the auditors; (iii) pre-approval of all non-audit related services to be provided to the Registrant by the auditors to the Registrant 's investment adviser or to any entity that controls, is controlled by or is under common control with the Registrant 's investment adviser and that provides ongoing services to the Registrant where the non-audit services relate directly to the operations or financial reporting of the Registrant; and (e) (2) All of the services provided to the Registrant described in paragraphs (b)-(d) of Item 4 were pre-approved by the audit committee. (f) Not Applicable (g) The aggregate non-audit fees paid to the principal accountant for services rendered by the principal accountant to the Registrant and the Registrant's investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant were $2,500 for the fiscal year ended August 31, 2004 and $2,000 for the fiscal year ended August 31, 2003. (h) Not Applicable ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Included under Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVEESTMENT COMPANY AND AFFILIATED PURCHASERS. Not Applicable. 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) The Code of Ethics is attached hereto. (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/ Stephen C. Rogers PRESIDENT ------------------------------------------------------- Date: November 9, 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/ Stephen C. Rogers PRESIDENT ------------------------------------------------------- Date: November 9, 2004 By (Signature and Title)* /s/ Christopher P. Browne TREASURER ------------------------------------------------------- Date: November 9, 2004 * Print the name and title of each signing officer under his or her signature. EX-99.CODE ETH 2 v08244_ex99-codeeth.txt CALIFORNIA INVESTMENT TRUST AND CALIFORNIA INVESTMENT TRUST II AND CCM PARTNERS -------------------------------- CODE OF ETHICS (Revised August, 2004) -------------------------------- I. Legal Requirement Rule 17j-1 under the Investment Company Act of 1940, as amended (the "1940 Act"), requires every investment company (as well as its investment advisor and principal underwriter) to have a written Code of Ethics which specifically deals with "insider trading" by "access persons." Access Persons are defined to include officers of California Investment Trust and California Investment Trust II (each, a "Trust" and collectively, the "Trusts"), directors and officers of CCM Partners (the "Adviser"), advisory personnel of the Adviser with substantial responsibility or with knowledge of the investments of the Funds constituting series of the Trusts (each, a "Fund"), and each member of the Boards of Trustees. The Rule also requires that reasonable diligence be used and procedures instituted to prevent violations of this Code of Ethics. The Code of Ethics is designed to provide a program for detecting and preventing insider trading and other violations of fiduciary duties by requiring Access Persons to report personal holdings and securities transactions of securities of the types which the Funds may purchase. The reason underlying this reporting requirement is the potential for insiders who have knowledge of what a Fund is doing to take advantage of this information to trade in advance of a Fund. If the security involved is thinly traded or if the Fund buys or sells in big enough blocks to move the market, this type of insider trading could disadvantage the Fund or unfairly benefit the insider. The Code of Ethics is also aimed at minimizing conflicts of interest and the appearance of such conflicts. Under the Code of Ethics, all Access Persons, except Independent Trustees (who meet the exemptions in Sections VII), are required to file reports of their personal holdings and securities transactions (excluding securities issued or guaranteed by the United States Government, its agencies or instrumentalities; bankers' acceptances; bank certificates of deposit; commercial paper and high quality short-term debt instruments, repurchase agreements, other money market instruments, and non-Reportable Funds) at least quarterly within 30 days after the close of the applicable quarter. These reports are then compared against the activities of the Funds and if a pattern emerges that indicates abusive trading of Access Persons of the Trusts, the matter is referred to the Board of Trustees who will review the pattern and makes appropriate inquiries and decides what action, if any, is then necessary and for Access Persons of the Advisor, the Advisor will review the matter and make a report to the Board of Trustees upon the resolution of the matter. Additionally, Access Persons are required to obtain prior written approval before making any investment in an Initial Public Offering ("IPO") or private placement offering. Before approval of any such investment, the transaction will be carefully reviewed for any immediate or future potential conflicts of interest. -1- Independent Trustees who do not have day-to-day contact with the Funds and who do not have specific knowledge of the Funds' intended investments are not required to file any reports, and there is no restriction on their personal securities trading activities (excepted as provided for in Section VII). This Code of Ethics is not intended to cover all possible areas of potential liability under the 1940 Act or under the federal securities laws in general. For example, other provisions of Section 17 of the 1940 Act prohibit various transactions between a registered investment company and affiliated persons, including the knowing sale or purchase of property to or from a registered investment company on a principal basis, and joint transactions (e.g., combining to achieve a substantial position in a security or commingling of funds) between an investment company and an affiliated person. Persons covered by this Code of Ethics are advised to seek advice before engaging in any transactions involving securities held or under consideration for purchase or sale by a Fund of the Trusts. In addition, the Securities Exchange Act of 1934 may impose fiduciary obligations and trading restrictions on Access Persons in certain situations. It is expected that Access Persons will be sensitive to these areas of potential conflict, even though this Code of Ethics does not address specifically these other areas of fiduciary responsibility. II. Implementation In order to implement this Code of Ethics, a compliance officer and one alternate should be designated. These individuals are: Michael O'Callaghan, Compliance Officer Steve Rogers, Alternate The compliance officer shall create a list of advisory persons and other Access Persons and update the list with reasonable frequency. The compliance officer shall circulate a copy of this Code of Ethics to each Access Person, together with an acknowledgment of receipt, which shall be signed and returned to the compliance officer by each Access Person. The compliance officer is charged with responsibility for insuring that the reporting requirements of this Code of Ethics (see Section VI) are adhered to by all Access Persons. The compliance officer shall be responsible for ensuring that the review requirements of this Code of Ethics (see Section VIII) are performed in a prompt manner. The compliance officer shall also be responsible for giving special prior approval to transactions that would otherwise be prohibited pursuant to Section IV of this Code of Ethics. -2- III. Definitions (a) "Access person" means any trustee, director or general partner, officer or advisory person of a Fund or Trust or the Adviser. (b) "Advisory person" means (i) any employee of (A) a Trust, (B) an investment advisor to a Trust or (C) any company in control relationship to a Trust, who, in connection with his regular functions or duties, makes, participates in, or obtains information regarding, the purchase or sale of a security by a Fund of the Trusts, or whose functions relate to the making of any recommendations with respect to such purchases or sales; and (ii) any natural person in a control relationship to a Trust or an investment adviser to a Trust who obtains information concerning recommendations made to a Trust with regard to the purchase or sale of a security. (c) A security is "being considered for purchase or sale" when a recommendation to purchase or sell a security has been made and communicated and, with respect to the person making the recommendation, when such person seriously considers making such a recommendation. (d) "Beneficial ownership" shall be interpreted in the same manner as it would be in determining whether a person is subject to the provisions of Section 16 of the Securities Exchange Act of 1934, as amended, and the rules and regulations thereunder, with the exception that the determination of direct or indirect beneficial ownership shall apply to all securities which an Access Person has or acquires. (e) "Control" has the same meaning as in Section 2(a) (9) of the 1940 Act. (f) "Investment Personnel" of a Trust or of the Adviser means (i) any employee of a Trust or the Adviser (or of any company in a control relationship to the Trust or the Adviser) who, in connection with his or her regular functions or duties, makes or participates in making recommendations regarding the purchase or sale of securities by a Fund; or (ii) any natural person who controls the Trust or the Adviser and who obtains information concerning recommendations made to a Fund regarding the purchase or sale of securities by a Fund. (g) "Purchase or sale of a security" includes the writing of an option to purchase or sell a security. (h) "Reportable Fund" means, for a particular Access Person, any mutual fund for which the investment adviser with whom the Access Person is associated, if any (the "Associated Adviser"), serves as investment adviser (including any sub-adviser) or any mutual fund whose investment adviser or principal underwriter controls the Associated Adviser, is controlled by the Associated Adviser, or is under common control with the Associated Adviser. (i) "Security" shall have the meaning set forth in Section 2(a) (36) of the 1940 Act, except that it shall not include shares of mutual funds that are not Reportable Funds, securities issued by the Government of the United States (including Government agencies or instrumentalities), short term debt securities which are "government securities" within the meaning of Section 2(a) (16) of the 1940 Act, bankers' acceptances, bank certificates of deposit, commercial paper and high quality short-term debt instruments, repurchase agreements and other money market instruments. -3- IV. Prohibited Purchases and Sales No Access Person shall purchase or sell directly or indirectly, any Security in which he or she has, or by reason of such transactions acquires, any direct or indirect beneficial ownership, which Security to his or her actual knowledge at the time of such purchase or sale: (a) is being considered for purchase or sale by a Reportable Fund (Index Funds excepted, where an "Index Fund" is a Fund which seeks to match the performance of an Index); (b) has been purchased or sold by a Reportable Fund within the most recent 7 days if such person participated in the recommendation to, or the decision by, the Reportable Fund to purchase or sell such security (Index Funds transactions excepted). These restrictions shall continue to apply until the recommendation has been rejected or any trade instruction to buy or sell has been completed or canceled. Knowledge of any such consideration, intention, recommendation or purchase or sale is always a matter of strictest confidence. Investment Personnel must obtain prior written approval from the Adviser's compliance officer before making an investment in an IPO or private placement. Exceptions to Prior Approval. These restrictions shall not apply to purchases or sales which receive the prior approval of the compliance officer because they are only remotely potentially harmful to a Fund, or because they would be very unlikely to affect a highly institutional market, or because they clearly are not related economically to the securities to be purchased, sold or held by a Fund. -4- V. Exempted Transactions/Securities The prohibitions of Section IV of this Code shall not apply to: (a) Purchases or sales effected in any account over which the Access Person has no direct or indirect influence or control. (b) Purchases or sales which fall below either 1,000 shares or $50,000, whichever is greater (except IPOs and private placements). (c) Purchases or sales of securities which are not eligible for purchase or sale by any Fund (except IPOs and private placements). (d) Purchases or sales which are non-volitional on the part of either the Access Person or a Trust (except IPOs and private placements) (e.g., receipt of gifts). (e) Purchases which are part of an automatic dividend reinvestment plan. (f) Purchases effected upon the exercise of rights issued by an issuer pro rata to all holders of a class of its securities, to the extent such rights were acquired from such issuer, and sales of such rights so acquired. (g) Purchases and sales which have received the prior approval of the compliance officer. (h) Purchases and sales or securities which are not included in the definition of "Security" in Part III.g - i.e., non-Reportable Fund shares, government securities and money market instruments. (i) Purchases and sales of securities which are in an Index Fund. VI. Reporting (a) Subject to the exceptions set forth below, all Access Persons, with the exception of the Independent Trustees who meet the requirements of Section VII(a), shall report to the Trusts or the Adviser the information described in this Section VI(b) with respect to transactions in any security in which such Access Person has, or by reason of such transaction acquires, any direct or indirect beneficial ownership in the security. (b) Every report shall be made not later than thirty (30) days after the end of each calendar quarter and shall contain the following information: (1) The date of the transaction, the title and the number of shares, the interest rate and maturity date (if applicable), and the principal amount of each security involved; (2) The nature of the transaction (i.e., purchase, sale, or any other type of acquisition of disposition); -5- (3) The price at which the transaction was effected; (4) The name of the broker, dealer, or bank with or through whom the transaction was effected; and (5) The date that the report is being submitted. (c) For periods in which no reportable transactions were effected, the report shall contain a representation that no transactions subject to the reporting requirements were effected during the relevant time period. (d) Any such report may contain a statement that the report shall not be construed as an admission by the person making such report that he has any director indirect beneficial ownership in the security to which the report relates. (e) Copies of statements or confirmations containing the information specified in paragraph (b) above may be submitted in lieu of listing the transactions. (f) Each Access Person (with the exception of the Independent Trustees) must make an Initial Holdings Report within 10 days of becoming an Access Person and an Annual Holdings Report, which must contain information current within 30 days before the report is submitted. Each of these reports must contain the following information: (1) the title, number of shares and principal amount of each security in which the Access Person had any direct or indirect beneficial ownership; (2) the name of any broker, dealer or bank with whom the Access Person maintained an account where such security was held; and (3) the date that the report is being submitted. VII. Exceptions to Reporting Requirements (a) An independent Trustee, i.e., a Trustee of a Trust who is not an "interested person" (as defined in Section 2(a) (19) of the 1940 Act) of a Trust, is not required to file a report on a transaction in a security; provided, however, that such Trustee neither knew nor, in the ordinary course of fulfilling his or her official duties as a trustee of a Trust, should have known that, during the 15-day period immediately preceding or after the date of the transaction by the Trustee, such security is or was purchased or sold by a Trust or is or was being considered for purchase by its investment adviser. -6- (b) While an independent Trustee is exempt from the reporting requirements of Section VI(b) of this Code pursuant to Section VII(a), such Trustee may voluntarily file a report representing that he or she did not engage in any securities transactions which, to his or her knowledge, involved securities that were being purchased or sold or considered for purchase by any Fund during the 15-day period preceding or after the date(s) of any transaction(s) by such Trustee. Any failure to regularly file such a report, however, shall not be considered a violation of this Code of Ethics. (c) Access Persons also need not make a report with respect to an exempted transaction security as described in Section V of this Code (e.g., ---- non-Reportable Fund shares). VIII. Review The compliance officer (or the alternate, as appropriate) shall compare all reports of personal securities transactions with completed and contemplated portfolio transactions of each Fund to determine whether a violation of the Code of Ethics may have occurred. No person shall review his or her own report. Before making any determination that a violation has been committed by any person, the compliance officer shall give such person an opportunity to supply additional explanatory material. If a securities transaction of the compliance officer is under consideration, the Chairman shall act in all respects in the manner prescribed herein for the compliance officer. If the compliance officer determines that a violation of the Code of Ethics has or may have occurred, he or she shall, following consultation with counsel to the Trusts, submit his or her written determination, together with the transaction report, if any, and any additional explanatory material provided by the individual, to the President or, if the President shall be the compliance officer, the Treasurer, who shall make an independent determination of whether a violation has occurred. The compliance officer shall be responsible for maintaining a current list of all Access Persons (including all Trustees) and for identifying all reporting Access Persons on such list, and shall take steps to ensure that all reporting Access Persons have submitted reports in a timely manner. Failure to submit timely reports will be communicated to the Board of Trustees. -7- IX. Board Oversight The Board of Trustees must initially approve the Code of Ethics for the Trusts and the Adviser, and the Board of Trustees must approve any material changes to the Code of Ethics within six (6) months of such change. The compliance officer shall (i) promptly notify the Board of any material violation of the Code; (ii) provide to the Board a written report summarizing any and all material issues that arose during the previous year, and (iii) annually certify that the Adviser has adopted procedures in compliance with the Code of Ethics and Rule 17j-1 under the 1940 Act. X. Sanctions If a material violation of this Code occurs or a preliminary determination is made that a violation may have occurred, a report of the alleged violation shall be made to the Board of Trustees. The Board of Trustees or the Adviser may impose such sanctions as it deems appropriate, including, a letter of censure, suspension, or termination of the employment of the violator, and/or a disgorging of any profits made by the violator. I fully understand and hereby subscribe to this Code of Ethics. Date Signature _________________ _________________________________ -8- CALIFORNIA INVESTMEST TRUST CALIFORNIA INVESTMENT TRUST II SUPPLEMENTAL CODE OF ETHICS FOR PRINCIPAL OFFICERS AND SENIOR FINANCIAL OFFICERS The Board of Trustees (the "Board") of each of California Investment Trust and California Investment Trust II (each a "Trust" and collectively, the "Trusts") has adopted this Supplemental Code of Ethics (the "Code") for the Trusts' Principal Officers and Senior Financial Officers (collectively, the "Officers") to guide and remind the Officers of their responsibilities to the Trusts, other officers, shareholders of the series of the Trusts (the "Funds"), and governmental authorities. Officers are expected to act in accordance with the guidance and standards set forth in this Code. For the purposes of this Code, the Trusts' Principal Officers and Senior Financial Officers shall include: the Principal Executive Officer; the Principal Financial Officer; the Principal Accounting Officer; the Controller; and any persons performing similar functions on behalf of the Trusts, regardless of whether such persons are employed by the Trusts or a third party. This Code is intended to serve as the code of ethics described in Section 406 of The Sarbanes-Oxley Act of 2002 and Form N-CSR. To the extent that an Officer is subject to the Trusts' code of ethics adopted pursuant to Rule 17j-1 of the Investment Company Act of 1940, as amended (the "Rule 17j-1 Code"), this Code is intended to supplement and be interpreted in the context of the Rule 17j-1 Code. This Code also should be interpreted in the context of all applicable laws, regulations, each Trust's Agreement and Declaration of Trust and Bylaws, as amended, and all other governance and disclosure policies and documents adopted by the Board. All Officers must become familiar and fully comply with this Code. Because this Code cannot and does not cover every applicable law or provide answers to all questions that might arise, all Officers are expected to use common sense about what is right and wrong, including a sense of when it is proper to seek guidance from others on the appropriate course of conduct. The purpose of this Code is to set standards for the Officers that are reasonably designed to deter wrongdoing and are necessary to promote: o honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; o full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the Securities and Exchange Commission (the "SEC") and in any other public communications by the Trusts; o compliance with applicable governmental laws, rules and regulations; o the prompt internal reporting of violations of the Code to the appropriate persons as set forth in the Code; and o accountability for adherence to the Code. 1. HONEST AND ETHICAL CONDUCT A. HONESTY, DILIGENCE AND PROFESSIONAL RESPONSIBILITY Officers are expected to observe both the form and the spirit of the ethical principles contained in this Code. Officers must perform their duties and responsibilities for the Trusts: o with honesty, diligence, and a commitment to professional and ethical responsibility; o carefully, thoroughly and in a timely manner; and o in conformity with applicable professional and technical standards. Officers who are certified public accountants are expected carry out their duties and responsibilities in a manner consistent with the principles governing the accounting profession, including any guidelines or principles issued by the Public Company Accounting Oversight Board or the American Institute of Certified Public Accountants from time to time. B. OBJECTIVITY / AVOIDANCE OF UNDISCLOSED CONFLICTS OF INTEREST Officers are expected to maintain objectivity and avoid undisclosed conflicts of interest. In the performance of their duties and responsibilities for the Trusts, Officers must not subordinate their judgment to personal gain and advantage, or be unduly influenced by their own interests or by the interests of others. Officers must avoid participation in any activity or relationship that constitutes a conflict of interest unless that conflict has been completely disclosed to affected parties. Further, Officers should avoid participation in any activity or relationship that could create the appearance of a conflict of interest. A conflict of interest would generally arise if an Officer directly or indirectly participated in any investment, interest, association, activity or relationship that may impair or appear to impair the Officer's objectivity. Any Officer who may be involved in a situation or activity that might be a conflict of interest or give the appearance of a conflict of interest should consider reporting such situation or activity using the reporting procedures set forth in Section 4 (Reporting of Illegal or Unethical Behavior) of this Code. The Audit Committee of the Trusts (the "Audit Committee") will not be responsible for monitoring or enforcing this conflict of interest policy, but rather each Officer is responsible for self-compliance with this conflict of interest policy. C. PREPARATION OF FINANCIAL STATEMENTS Officers must not knowingly make any misrepresentations regarding the Funds' financial statements or any facts in the preparation of the Funds' financial statements, and must comply with all applicable laws, standards, principles, guidelines, rules and regulations in the preparation of the Fund's financial statements. This section is intended to prohibit: 2 o making, or permitting or directing another to make, materially false or misleading entries in the Funds' financial statements or records; o failing to correct the Funds' financial statements or records that are materially false or misleading when he or she has the authority to record an entry; and o signing, or permitting or directing another to sign, a document containing materially false or misleading financial information. Officers must be scrupulous in their application of generally accepted accounting principles. No Officer may (i) express an opinion or state affirmatively that the financial statements or other financial data of the Trusts are presented in conformity with generally accepted accounting principles, or (ii) state that he or she is not aware of any material modifications that should be made to such statements or data in order for them to be in conformity with generally accepted accounting principles, if such statements or data contain any departure from generally accepted accounting principles then in effect in the United States. Officers must follow the laws, standards, principles, guidelines, rules and regulations established by all applicable governmental bodies, commissions or other regulatory agencies in the preparation of financial statements, records and related information. If an Officer prepares financial statements, records or related information for purposes of reporting to such bodies, commissions or regulatory agencies, the Officer must follow the requirements of such organizations in addition to generally accepted accounting principles. If an Officer and his or her supervisor have a disagreement or dispute relating to the preparation of financial statements or the recording of transactions, the Officer should take the following steps to ensure that the situation does not constitute an impermissible subordination of judgment: o The Officer should consider whether (i) the entry or the failure to record a transaction in the records, or (ii) the financial statement presentation or the nature or omission of disclosure in the financial statements, as proposed by the supervisor, represents the use of an acceptable alternative and does not materially misrepresent the facts or result in an omission of a material fact. If, after appropriate research or consultation, the Officer concludes that the matter has authoritative support and/or does not result in a material misrepresentation, the Officer need do nothing further. o If the Officer concludes that the financial statements or records could be materially misstated as a result of the supervisor's determination, the Officer should follow the reporting procedures set forth in Section 4 (Reporting of Illegal or Unethical Behavior) of this Code. 3 D. OBLIGATIONS TO THE INDEPENDENT AUDITOR OF THE FUND In dealing with the Funds' independent auditor, Officers must be candid and not knowingly misrepresent facts or knowingly fail to disclose material facts, and must respond to specific inquiries and requests by the Funds' independent auditor. Officers must not take any action, or direct any person to take any action, to fraudulently influence, coerce, manipulate or mislead the Funds' independent auditor in the performance of an audit of the Funds' financial statements for the purpose of rendering such financial statements materially misleading. 2. FULL, FAIR, ACCURATE, TIMELY AND UNDERSTANDABLE DISCLOSURE It is the Trusts' policy to provide full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the SEC and in any other public communications by the Trusts. The Trusts have designed and implemented Disclosure Controls and Procedures to carry out this policy. Officers are expected to use their best efforts to promote, facilitate, and prepare full, fair, accurate, timely, and understandable disclosure in all reports and documents that the Trusts file with, or submit to, the SEC and in any other public communications by the Trusts. Officers must review the Trusts' Disclosure Controls and Procedures to ensure they are aware of and carry out their duties and responsibilities in accordance with the Disclosure Controls and Procedures and the public reporting obligations of the Trusts. Officers are responsible for monitoring the integrity and effectiveness of the Trusts' Disclosure Controls and Procedures. 3. COMPLIANCE WITH APPLICABLE LAWS, RULES AND REGULATIONS Officers are expected to know, respect and comply with all laws, rules and regulations applicable to the conduct of the Trusts' business. If an Officer is in doubt about the legality or propriety of an action, business practice or policy, the Officer should seek advice from the Officer's supervisor or the Trusts' legal counsel. In the performance of their work, Officers must not knowingly be a party to any illegal activity or engage in acts that are discreditable to the Trusts. Officers are expected to promote the Trusts' compliance with applicable laws, rules and regulations. To promote such compliance, Officers may establish and maintain mechanisms to educate employees carrying out the finance and compliance functions of the Trusts about any applicable laws, rules or regulations that affect the operation of the finance and compliance functions and the Trusts generally. 4 4. REPORTING OF ILLEGAL OR UNETHICAL BEHAVIOR Officers should promptly report any conduct or actions by an Officer that do not comply with the law or with this Code. Officers and the Trusts shall adhere to the following reporting procedures: o Any Officer who questions whether a situation, activity or practice is acceptable must immediately report such practice to the Principal Executive Officer of the Trusts (or to an Officer who is the functional equivalent of this position) or to the Trusts' legal counsel. The person receiving the report shall consider the matter and respond to the Officer within a reasonable amount of time. o If the Officer is not satisfied with the response of the Principal Executive Officer or counsel, the Officer must report the matter to the Chairman of the Audit Committee. If the Chairman is unavailable, the Officer may report the matter to any other member of the Audit Committee. The person receiving the report shall consider the matter, refer it to the full Audit Committee if he or she deems appropriate, and respond to the Officer within a reasonable amount of time. o If, after receiving a response, the Officer concludes that appropriate action was not taken, he or she should consider any responsibility that may exist to communicate to third parties, such as regulatory authorities or the Fund's independent auditor. In this matter, the Officer may wish to consult with his or her own legal counsel. o The Audit Committee and the Trusts will not be responsible for monitoring or enforcing this reporting of violations policy, but rather each Officer is responsible for self-compliance with this reporting of violations policy. o To the extent possible and as allowed by law, reports will be treated as confidential. o If the Audit Committee determines that an Officer violated this Code, failed to report a known or suspected violation of this Code, or provided intentionally false or malicious information in connection with an alleged violation of this Code, the Trusts may take disciplinary action against any such Officer to the extent the Audit Committee deems appropriate. No Officer will be disciplined for reporting a concern in good faith. o The Trusts and the Audit Committee may report violations of the law to the appropriate authorities. 5 5. ACCOUNTABILITY AND APPLICABILITY All Officers will be held accountable for adherence to this Code. On an annual basis, within 30 days of the beginning of each calendar year, each Officer shall certify in writing his or her receipt, familiarity and commitment to compliance with this Code, by signing the Acknowledgment Form (Appendix A to this Code). This Code is applicable to all Officers, regardless of whether such persons are employed by the Trusts or a third party. If an Officer is aware of a person ("Potential Officer") who may be considered an Officer as defined by this Code, the Officer should inform legal counsel to the Trusts of such Potential Officer so that a determination can be made regarding whether such Potential Officer has completed or should complete an Acknowledgment Form. However, the absence of such a determination will not be deemed to relieve any person of his or her duties under this Code. 6. DISCLOSURE OF THIS CODE This Code shall be disclosed by at least one of the following methods in the manner prescribed by the SEC, unless otherwise required by law: o by filing a copy of the Code with the SEC; o by posting the text of the Code on the Trusts' website; or o by providing, without charge, a copy of the Code to any person upon request. 7. WAIVERS Any waiver of this Code, including an implicit waiver, that has been granted to an Officer, may be made only by the Board or a committee of the Board to which such responsibility has been delegated, and must be disclosed by the Trusts in the manner prescribed by law and as set forth above in Section 6 (Disclosure of this Code). 8. AMENDMENTS This Code may be amended by the affirmative vote of a majority of the Board. Any amendment of this Code, must be disclosed by the Trusts in the manner prescribed by law and as set forth above in Section 6 (Disclosure of this Code), unless such amendment is deemed to be technical, administrative, or otherwise non-substantive. Any amendments to this Code will be provided to the Officers. Approved by the Board of Trustees on May 13, 2003. 6 APPENDIX A - ---------- CALIFORNIA INVESTMENT TRUST CALIFORNIA INVESTMENT TRUST II CERTIFICATION AND ACKNOWLEDGMENT OF RECEIPT OF SUPPLEMENTAL CODE OF ETHICS FOR PRINCIPAL OFFICERS AND SENIOR FINANCIAL OFFICERS I acknowledge and certify that I have received a copy of the Supplemental Code of Ethics for Principal Officers and Senior Financial Officers for California Investment Trust and California Investment Trust II (the "Code"). I understand and agree that it is my responsibility to read and familiarize myself with the policies and procedures contained in the Code and to abide by those policies and procedures. I acknowledge my commitment to comply with the Code. _____________________________________________ ____________________________ Officer Name (Please Print) Officer Signature ____________________________ Date EX-99.CERT 3 v08244_ex99-cert.txt Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act I, Stephen C. Rogers, certify that: 1. I have reviewed this report on Form N-CSR of California Investment Trust II; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940 and internal control over financial reporting (as defined in Rule 30a-3(d) under the investment company act of 1940)) for the registrant and have: a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 5. The registrant's other certifying officer(s) and I have disclosed the registrant's board of directors (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: November 9, 2004 /s/ Stephen C. Rogers - ---------------------- Stephen C. Rogers President Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act I, Christopher P. Browne, certify that: 1. I have reviewed this report on Form N-CSR of California Investment Trust II; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940 and internal control over financial reporting (as defined in Rule 30a-3(d) under the investment company act of 1940)) for the registrant and have: a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 5. The registrant's other certifying officer(s) and I have disclosed the registrant's board of directors (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: November 9, 2004 /s/ Christopher P. Browne - ------------------------- Christopher P. Browne Treasurer EX-99.906CERT 4 v08244_ex99-906cert.txt CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT --------------------------------------------------------------- I, Stephen C. Rogers, President of California Investment Trust II (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: November 9, 2004 /s/ Stephen C. Rogers -------------------------------- Stephen C. Rogers, President (Chief Executive Officer) CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT --------------------------------------------------------------- I, Christopher P. Browne, Treasurer of California Investment Trust II (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: November 9, 2004 /s/ Christopher P. Browne -------------------------------- Christopher P. Browne, Treasurer (chief financial officer) -----END PRIVACY-ENHANCED MESSAGE-----