N-CSRS 1 v017437_ncsrs.txt ========================== OMB APPROVAL ========================== OMB Number: 3235-0570 Expires: Nov. 30, 2005 Estimated average burden hours per response: 5.0 ========================== UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-4418 California Investment Trust II -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 44 Montgomery Street, Suite 2100, San Francisco, CA 94104 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (415) 398-2727 Date of fiscal year end: August 31, 2005 Date of reporting period: February 28, 2005 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 INVESTMENT TRUST California Tax-Free Income Fund ---------------- FUND GROUP California Insured Intermediate Fund SEMI-ANNUAL REPORT California Tax-Free Money Market Fund February 28, 2005 U.S. Government Securities Fund (800) 225-8778 www.citfunds.com Short-Term U.S. Government Bond Fund NO-LOAD FUNDS The United States Treasury Trust This report is intended only for the information of shareholders or those who S&P 500 Index Fund have received the offering prospectus covering shares of beneficial interest S&P MidCap Index Fund of California Investment Trust Fund Group which contains information about S&P SmallCap Index Fund the management fee and other costs. Investments in shares of the funds of Equity Income Fund California Investment Trust Fund Group are neither insured nor guaranteed by European Growth & Income Fund the U.S. Government, and there is no assurance that any Fund which is a Money Nasdaq-100 Index Fund Market Fund will be able to maintain a stable net asset value of $1.00 per ------------------------------------- share.
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2005 MONEY MARKET FUND (UNAUDITED) Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ VARIABLE RATE DEMAND NOTES* (76.19%) ABAG FINANCE AUTHORITY FOR NONPROFIT CORPS Revenue Bonds $ 1,500,000 1.850% 3/3/2005 $ 1,500,000 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series 2002B6 1,700,000 1.770% 3/1/2005 1,700,000 Power Supply Revenue Bonds; Series B5 300,000 1.800% 3/1/2005 300,000 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Sutter Hospital; Series B 1,400,000 1.800% 3/1/2005 1,400,000 Scripps Hospital; Series B 2,000,000 1.770% 3/2/2005 2,000,000 CALIFORNIA STATE ECONOMIC RECOVERY Revenue Bonds; Series 2004C 2,200,000 1.800% 3/1/2005 2,200,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY Gemological Institute of America; Special Tax; Series 2001 1,800,000 1.830% 3/3/2005 1,800,000 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 1.860% 3/3/2005 2,000,000 General Obligation; Series A 1,600,000 1.800% 3/1/2005 1,600,000 CHINO BASIN REGIONAL FINANCING AUTHORITY Inland Empire Utilities Agency; Series 2002A 2,000,000 1.810% 3/2/2005 2,000,000 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series B 1,500,000 1.830% 3/3/2005 1,500,000 IRVINE RANCH WATER DISTRICT Certificates of Participation, 1986 Capital Improvement Projects 200,000 1.800% 3/1/2005 200,000 General Obligation; Consolidated Series 1993 700,000 1.770% 3/1/2005 700,000 Sewer Bonds; 1988 Series A; District 282 250,000 1.800% 3/1/2005 250,000 Waterworks Bonds; 1988 Series A, District 182 500,000 1.800% 3/1/2005 500,000 IRVINE UNIFIED SCHOOL DISTRICT Community Facilities District No. 01-01; Series 2003 600,000 1.770% 3/1/2005 600,000 IRVINE, CITY OF Assessment District 89-10 1,205,000 1.810% 3/1/2005 1,205,000 Assessment District 94-13 700,000 1.770% 3/1/2005 700,000 Assessment District 94-15 200,000 1.770% 3/1/2005 200,000 KERN, COUNTY OF Certificates of Participation; 1986 Series C 1,000,000 1.830% 3/2/2005 1,000,000 Tax revenue Refunding Bonds; 1993 Series A 2,000,000 1.830% 3/3/2005 2,000,000 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1992; Series A 2,000,000 1.810% 3/2/2005 2,000,000 LOS ANGELES DEPARTMENT OF WATER AND POWER Water System Revenue Bonds; 2001 Series B-2 1,200,000 1.770% 3/1/2005 1,200,000 Power System Revenue Bonds; Series A-3 2,000,000 1.830% 3/3/2005 2,000,000 LOS ANGELES, COUNTY OF Pension Obligation Refunding Bonds 2,000,000 1.810% 3/2/2005 2,000,000 Pension Obligation Refunding Bonds 2,000,000 1.850% 3/3/2005 2,000,000 Rowland Heights Preservation 1,400,000 1.920% 3/2/2005 1,400,000 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water Revenue Bonds; Series 2000 B-3 600,000 1.800% 3/1/2005 600,000 Water Revenue Refunding Bonds; 1996 Series A 1,885,000 1.830% 3/3/2005 1,885,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian, Series 1996 Series B 500,000 1.760% 3/1/2005 500,000 Hoag Memorial Hospital Presbyterian; Series 1996 Series A 700,000 1.760% 3/1/2005 700,000 Hoag Memorial Hospital Presbyterian; Series C 500,000 1.760% 3/1/2005 500,000 ORANGE COUNTY HOUSING AUTHORITY Revenue Bonds, Village Niguel, Issue AA of 1985 1,900,000 1.870% 3/2/2005 1,900,000 ORANGE COUNTY SANITATION DISTRICT Certificates of Participation; Series 2000 545,000 1.770% 3/1/2005 545,000 Certificates of Participation; Series 2000-A 800,000 1.770% 3/1/2005 800,000 Refunding Certificates of Participation; Series 1993 750,000 1.770% 3/1/2005 750,000 ORANGE COUNTY WATER DISTRICT Certificates of Participation; Series A 2,000,000 1.810% 3/2/2005 2,000,000 ORANGE, COUNTY OF Revenue Bonds, Niguel Summit II, Issue U of 1985 1,900,000 1.870% 3/1/2005 1,900,000
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------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2005 MONEY MARKET FUND CONTINUED (UNAUDITED) Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ RIVERSIDE, CITY OF First Nationwide Savings Program, 1985 Issue G $ 1,500,000 1.830% 3/2/2005 $ 1,500,000 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 2,000,000 1.830% 3/2/2005 2,000,000 SAN BERNARDINO, COUNTY OF Medical Center Financing Project; Series 1998 1,000,000 1.810% 3/2/2005 1,000,000 SAN FRANCISCO CITY & COUNTY FINANCE CORP Moscone Center Expansion Project; Series 2000-3 1,900,000 1.800% 3/3/2005 1,900,000 SANTA ANA HOUSING AUTHORITY Harbor Pointe Apartments; 1995 Series A 1,720,000 1.850% 3/3/2005 1,720,000 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue 2,000,000 1.840% 3/2/2005 2,000,000 TUSTIN, CITY OF Reassessment District No. 95-2; Series A 800,000 1.770% 3/1/2005 800,000 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 1.830% 3/3/2005 2,000,000 ------------ Total Variable Rate Demand Notes (Cost $60,955,000) 60,955,000 ------------ TAX AND REVENUE ANTICIPATION NOTES (17.37%) CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY 2,000,000 1.010% 3/18/2005 2,000,000 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK 850,000 1.800% 3/1/2005 850,000 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK 1,500,000 2.250% 3/1/2005 1,500,000 LOS ANGELES, COUNTY OF 2,000,000 3.000% 6/30/2005 2,009,135 SAN DIEGO COUNTY SCHOOL DISTRICT 2,000,000 3.250% 7/25/2005 2,013,069 SANTA BARBARA COUNTY SCHOOL FINANCING AUTHORITY 1,500,000 3.000% 6/30/2005 1,506,751 SANTA BARBARA, COUNTY OF 1,000,000 3.000% 7/26/2005 1,005,707 General Obligation; Series A 3,000,000 3.000% 6/30/2005 3,010,527 ------------ Total Tax and Revenue Anticipation Notes (Cost $13,895,189) 13,895,189 ------------ COMMERCIAL PAPER (5.00%) EAST BAY MUNICIPAL DISTRICT Certificates of Participation 2,000,000 1.870% 3/14/2005 2,000,000 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commercial Paper Notes; Series A 2,000,000 1.970% 3/16/2005 2,000,000 ------------ Total Commercial Paper (Cost $4,000,000) 4,000,000 ------------ Total Investments (Cost $78,850,189)(a) (98.56%) 78,850,189 Other Net Assets (1.44%) 1,151,427 ------------ Net Assets (100%) $ 80,001,616 ============
(a) Aggregate cost for federal income tax purposes is $78,850,189. * Stated maturity reflects next reset date. See accompanying notes to financial statements
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/28/2005 INTERMEDIATE FUND (UNAUDITED) Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ LONG TERM SECURITIES (92.31%) ANAHEIM PUBLIC FINANCING AUTHORITY Convention Center Project; Series A $ 500,000 5.250% 8/1/2013 $ 555,680 BEVERLY HILL PUBLIC FINANCING AUTHORITY Lease Revenue Refunding; Series A 500,000 5.250% 6/1/2013 558,645 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY University of San Francisco Revenue Bonds; Series 1996 500,000 5.600% 10/1/2010 563,435 CALIFORNIA STATE ECONOMIC RECOVERY General Obligation; Series A 600,000 5.000% 7/1/2011 660,072 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison--Lassen County; 2001 Series A 400,000 5.250% 6/1/2011 444,116 Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.250% 6/1/2012 556,240
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------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/28/2005 INTERMEDIATE FUND CONTINUED (UNAUDITED) Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ CAMPBELL UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series 2000 $ 425,000 5.250% 8/1/2009 $ 467,543 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 300,000 7.250% 8/1/2009 352,566 Water System Improvement Projects; Series 2001A 500,000 6.000% 8/1/2012 576,890 CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY General Obligation Refi. Bonds; Series A 400,000 6.150% 2/1/2009 448,868 CHAFFEY UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series C 500,000 5.000% 5/1/2012 550,765 CHICO UNIFIED SCHOOL DISTRICT General Obligation Refunding Bonds 400,000 8.500% 8/1/2007 455,132 CONTRA COSTA WATER DISTRICT Water Revenue Refunding Bonds; Series K 400,000 5.000% 10/1/2009 436,940 DESERT SANDS UNIFIED SCHOOL DISTRICT Certificates of Participation; Series 1995 500,000 5.300% 3/1/2007 510,140 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 550,000 5.250% 7/1/2012 608,905 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 2002 500,000 5.500% 8/1/2012 567,850 FRESNO, CITY OF Water System Revenue Refunding; Series A 500,000 6.000% 6/1/2011 578,035 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 600,000 5.200% 11/1/2009 659,160 INDUSTRY CITY URBAN DEVELOPMENT AGENCY 2002 Tax Allocation; Refunding, Project 1 300,000 5.375% 5/1/2012 317,748 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Bonds; Series A 500,000 5.500% 7/1/2008 545,435 LOS ANGELES DEPARTMENT OF WATER AND POWER Power Project Revenue Bond; 2001 Series A 500,000 5.250% 7/1/2014 552,345 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 400,000 6.000% 7/1/2007 431,728 LOS ANGELES, CITY OF Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.000% 2/1/2008 533,810 LOS ANGELES, COUNTY OF Pension Obligation Certificates; Series A 400,000 6.900% 6/30/2008 452,184 MONTEREY, COUNTY OF Certificates of Participation 600,000 5.250% 8/1/2014 663,312 NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT General Obligation Bonds; 2002 Series A 500,000 5.000% 8/1/2012 551,575 NORWALK COMMUNITY FACILITIES FINANCING AUTHORITY City Hall Lease Revenue Refunding Bonds; 1999 200,000 5.000% 2/1/2009 216,058 OAK PARK UNIFIED SCHOOL DISTRICT General Obligation, Refunding Bonds 600,000 5.150% 5/1/2007 633,084 OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 500,000 5.500% 10/1/2012 566,680 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY Measure M Sales Tax Revenue 2nd Series, Series A 325,000 5.000% 2/15/2009 352,027 Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.500% 2/15/2007 529,310 PASADENA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series B 400,000 5.000% 7/1/2007 422,032 RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY Eisenhower Medical Center; Series 1997A 385,000 5.250% 7/1/2012 412,069 SACRAMENTO REDEVELOPMENT AGENCY Downtown Sacramento Project; Series 1998C 500,000 4.750% 11/1/2008 534,635 SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY Sewer Revenue Refunding Bonds; Series A 500,000 5.100% 5/15/2010 529,735 SAN FRANCISCO AIRPORT COMMISSION San Francisco International Airport Revenue Second; Series B 450,000 5.500% 5/1/2009 486,720
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------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/28/2005 INTERMEDIATE FUND CONTINUED (UNAUDITED) Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION Water Revenue Refunding Bonds; Series B $ 500,000 5.000% 11/1/2013 $ 547,500 SAN FRANCISCO STATE BUILDING AUTHORITY Civic Center Complex; 1996 Series A 400,000 6.000% 12/1/2009 454,096 SAN JOSE FINANCING AUTHORITY Lease Revenue Bonds; Series 2001F 480,000 4.500% 9/1/2009 511,963 SAN MATEO COUNTY TRANSIT DISTRICT Limited Tax Bonds; 1993 Series A 300,000 5.000% 6/1/2011 330,303 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Bonds; 2000 Series A 400,000 5.500% 5/15/2010 446,136 SANTA ROSA HIGH SCHOOL DISTRICT General Obligation Bonds; Series 2001 390,000 4.625% 5/1/2008 413,661 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 500,000 5.500% 1/1/2013 566,935 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Hospital Revenue Bonds; Series 2000 500,000 4.375% 12/1/2009 531,100 Multiple Purpose Projects; Series O 500,000 5.750% 9/1/2010 567,160 WALNUT, CITY OF Public Financing Authority Tax Allocation 500,000 5.375% 9/1/2013 558,990 ------------ Total Long Term Securities (Cost $22,492,298) 23,209,313 ------------ VARIABLE RATE DEMAND NOTES (6.36%) IRVINE RANCH WATER DISTRICT General Obligation; Consolidated Series 1991 100,000 1.770% 3/1/2005 100,000 IRVINE, CITY OF Assessment District 00-18; Series A 1,100,000 1.770% 3/1/2005 1,100,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian; Series 1996 Series A 400,000 1.760% 3/1/2005 400,000 ------------ Total Variable Rate Demand Notes (Cost $1,600,000) 1,600,000 ------------ Total Investments (Cost $24,092,298) (a) (98.67%) 24,809,313 Other Net Assets (1.33%) 333,025 ------------ Net Assets (100%) $ 25,142,338 ============ (a) Aggregate cost for federal income tax purposes is $24,092,298. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 753,865 Unrealized depreciation (36,850) ------------ Net unrealized appreciation $ 717,015 ============
* Stated maturity reflects next reset date. See accompanying notes to financial statements
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2005 INCOME FUND (UNAUDITED) Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ LONG TERM SECURITIES (96.86%) ANAHEIM PUBLIC FINANCING AUTHORITY Public Improvement Project; Series C $ 2,250,000 6.000% 9/1/2012 $ 2,615,355 CALIFORNIA DEPARTMENT OF WATER RESOURCES Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.000% 12/1/2011 2,066,052 Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.000% 12/1/2011 2,523,144 Water System Revenue Bonds, Central Valley; Series AC 2,500,000 5.000% 12/1/2016 2,734,025 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.250% 1/1/2017 2,712,525 Stanford University Revenue Bonds; Series P 3,000,000 5.250% 12/1/2013 3,405,750 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK Asian Art Museum of San Francisco; Series 2000 2,565,000 5.500% 6/1/2013 2,895,654
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------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2005 INCOME FUND CONTINUED (UNAUDITED) Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY San Diego Gas & Electric; 1996 Series A $ 3,000,000 5.900% 6/1/2014 $ 3,350,310 CALIFORNIA POLYTECHNIC STATE UNIVERSITY Student Union Revenue Bonds; Series C 2,390,000 5.625% 7/1/2026 2,614,373 CALIFORNIA STATE DEPARTMENT TRANSPORTATION Federal Highway Grant Anticipation Bonds; Series A 2,000,000 5.000% 2/1/2015 2,203,440 CALIFORNIA STATE ECONOMIC RECOVERY General Obligation; Series A 2,000,000 5.000% 7/1/2016 2,153,880 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison--Imperial County; 1991 Series A 2,500,000 6.500% 9/1/2017 2,952,625 University of California Projects; 1993 Series A 5,000,000 5.500% 6/1/2014 5,577,950 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY UniHealth America; Certificates of Participation; 1993 Series A 1,005,000 5.500% 10/1/2014 1,139,117 CALIFORNIA, STATE OF General Obligation Bonds 3,000,000 6.250% 9/1/2012 3,433,320 General Obligation Bonds 1,500,000 5.000% 11/1/2013 1,616,715 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 2,090,000 7.250% 8/1/2009 2,456,210 CONTRA COSTA WATER DISTRICT Water Revenue Bonds; Series E 2,000,000 6.250% 10/1/2012 2,290,560 CUCAMONGA COUNTY WATER DISTRICT Water Facilities and Refinancing, 2001 1,080,000 5.000% 9/1/2016 1,154,174 EAST BAY MUNICIPAL UTILITY DISTRICT Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 6/1/2013 2,212,480 Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 6/1/2014 2,207,720 ELSINORE VALLEY MUNICIPAL WATER DISTRICT Certificates of Participation 1,000,000 6.000% 7/1/2012 1,159,870 GOLDEN WEST SCHOOLS FINANCING AUTHORITY Refunding Revenue Bonds; 1998 Series A 1,090,000 6.600% 8/1/2016 1,314,911 KERN HIGH SCHOOL DISTRICT General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.600% 8/1/2016 3,010,812 LA QUINTA REDEVELOPMENT AGENCY Redevelopment Project Area No.2; Series 1994 1,015,000 7.300% 9/1/2009 1,198,745 LOS ANGELES COMMUNITY REDEVELOPMENT AGENCY Bunker Hill Project; Series A 4,000,000 5.000% 12/1/2027 4,178,800 LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY Lease Revenue Bonds; 1993 Series A 2,500,000 6.000% 8/15/2010 2,857,075 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Refunding Bonds; Series 2001-B 3,000,000 5.250% 7/1/2013 3,332,100 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.500% 7/1/2010 4,001,935 LOS ANGELES DEPARTMENT OF WATER AND POWER Power System Revenue Bonds; Series A-A-1 2,000,000 5.250% 7/7/2015 2,196,220 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 2,450,000 6.000% 7/1/2014 2,900,016 General Obligation Bonds; Series A-1 500,000 5.000% 7/1/2018 539,440 M-S-R PUBLIC POWER AGENCY SAN JUAN PROJECT REVENUE San Juan Project Refunding Revenue Bonds; Series F 1,500,000 6.125% 7/1/2013 1,734,720 NORTHERN CALIFORNIA TRANSMISSION REVENUE CA-Oregon Transmission Project; 1990 Series A 1,000,000 7.000% 5/1/2013 1,211,490 OAKLAND REDEVELOPMENT AGENCY Central District Redevelopment Project; Series 1992 2,000,000 5.500% 2/1/2014 2,242,040 Sub Tax Allocation Bonds 1,000,000 5.000% 9/1/2022 1,063,900 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY General Obligation Bonds; 1998 Series A 1,050,000 5.500% 2/15/2011 1,180,946 OXNARD SCHOOL DISTRICT General Obligation Refunding Bonds; 1997 1,485,000 5.625% 8/1/2014 1,715,531 SACRAMENTO MUNICIPAL UTILITY DISTRICT Refunding Revenue Bonds; Series A 4,000,000 6.250% 8/15/2010 4,520,400 SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.000% 9/1/2016 1,871,273
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------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2005 INCOME FUND CONTINUED (UNAUDITED) Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ SAN BERNARDINO, COUNTY OF Justice Center / Airport Improvements; Series 2002A $ 2,890,000 5.000% 7/1/2016 $ 3,170,648 SAN DIEGO, COUNTY OF 2001 MTS Tower Refunding Bonds 1,000,000 5.250% 11/1/2014 1,107,900 SAN FRANCISCO BAY AREA TRANSIT FINANCING AUTHORITY Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.750% 7/1/2011 3,535,369 SAN JOSE REDEVELOPMENT AGENCY TAX ALLOCATION Unrefunded Balanced Merged Area 2,685,000 6.000% 8/1/2010 3,066,673 SAN MARINO UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1998 Series B 1,440,000 5.250% 7/1/2016 1,628,021 SAN MATEO COUNTY TRANSPORTATION DISTRICT Sales Tax Revenue Bonds; Series A 4,000,000 5.250% 6/1/2015 4,363,760 SANTA ANA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series 2000 2,500,000 5.700% 8/1/2022 2,797,150 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.000% 11/15/2012 2,333,580 Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.750% 11/15/2013 2,024,208 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds 4,000,000 7.000% 7/1/2010 4,526,600 SANTA MARGARITA-DANA POINT AUTHORITY Improvement District; 1994 Series A 1,045,000 7.250% 8/1/2010 1,256,059 SONOMA, COUNTY OF Certificates of Participation; 2002 Series A 1,815,000 5.000% 11/15/2012 1,996,010 SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT Installment Sale Revenue Bonds; Series 1992 2,400,000 6.000% 8/1/2011 2,772,648 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 3,585,000 6.750% 7/1/2013 4,286,585 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Commercial Paper Notes; Series A 1,000,000 5.000% 5/15/2008 1,072,700 UC San Diego Medical Center; Series 2000 2,500,000 5.125% 12/1/2016 2,719,973 TURLOCK IRRIGATION DISTRICT Revenue Refunding Bonds; Series A 2,000,000 6.250% 1/1/2012 2,276,420 ------------ Total Long Term Securities (Cost$128,676,245) 141,479,907 ------------ VARIABLE RATE DEMAND NOTES (2.23%) IRVINE RANCH WATER DISTRICT General Obligation; Consolidated Series 1993 200,000 1.770% 3/1/2005 200,000 IRVINE, CITY OF Assessment District 97-17 600,000 1.770% 3/1/2005 600,000 LOS ANGELES DEPARTMENT OF WATER AND POWER Water System Revenue Bonds; 2001 Series B-2 500,000 1.770% 3/1/2005 500,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian, Series 1996 Series B 700,000 1.760% 3/1/2005 700,000 Hoag Memorial Hospital Presbyterian; Series C 950,000 1.760% 3/1/2005 950,000 ORANGE COUNTY SANITATION DISTRICT Refunding Certificates of Participation; Series 1993 300,000 1.770% 3/1/2005 300,000 ------------ Total Variable Rate Demand Notes (Cost $3,250,000) 3,250,000 ------------ Total Investments (Cost $131,926,245) (a) (99.09%) 144,729,907 Other Net Assets (0.91%) 1,330,911 ------------ Net Assets (100%) $146,060,818 ============ (a) Aggregate cost for federal income tax purposes is $131,926,245. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 13,046,814 Unrealized depreciation (243,152) ------------ Net unrealized appreciation $ 12,803,662 ============
*Stated maturity reflects next reset date. See accompanying notes to financial statements 6
------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 2/28/2005 SECURITIES FUND (UNAUDITED) Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Association (56.87%) $ 184,385 6.000% 4/15/2014 $ 193,389 291,100 6.000% 4/15/2014 305,315 238,252 6.000% 4/15/2016 249,550 369,058 6.500% 4/15/2016 390,608 281,419 6.000% 5/15/2016 294,763 1,544,021 5.000% 2/15/2018 1,572,213 829,790 5.000% 4/15/2018 844,941 823,921 5.000% 4/15/2018 838,965 1,353,821 5.500% 8/15/2018 1,400,800 1,794,033 5.000% 9/15/2018 1,826,790 10,526 10.000% 9/15/2018 11,936 32,142 9.000% 10/15/2018 35,701 1,717,251 5.000% 1/15/2019 1,748,177 1,705,284 5.000% 1/15/2019 1,735,995 1,720,168 5.000% 2/15/2019 1,751,147 1,726,012 5.500% 2/15/2019 1,786,404 1,850,119 5.000% 2/15/2019 1,883,437 ------------ Total Government National Mortgage Association (Cost $17,037,800) 16,870,131 ------------ United States Treasury Bills (15.47%) 2,600,000 1.980% - 2.375% 3/3/2005 2,599,699 400,000 2.178% - 2.273% 4/7/2005 399,069 1,100,000 2.345% - 2.460% 5/5/2005 1,094,840 500,000 2.535% 6/9/2005 496,479 ------------ Total United States Treasury Bills (Cost $4,590,573) 4,590,087 ------------ United States Treasury Notes (12.36%) 2,000,000 6.500% 5/15/2005 2,016,252 600,000 6.500% 8/15/2005 610,031 1,000,000 6.875% 5/15/2006 1,041,524 ------------ Total United States Treasury Notes (Cost $3,692,312) 3,667,807 ------------ United States Treasury Bonds (14.48%) 1,300,000 7.250% 5/15/2016 1,613,981 2,000,000 7.625% 11/15/2022 2,682,110 ------------ Total United States Treasury Bonds (Cost $4,146,136) 4,296,091 Total Investments (Cost $29,466,821) (a) (99.18%) 29,424,116 Other Net Assets (0.82%) 242,669 ------------ Net Assets (100%) $ 29,666,785 ============ (a) Aggregate cost for federal income tax purposes is $29,466,821. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 218,333 Unrealized depreciation (261,038) ------------ Net unrealized depreciation $ (42,705) ============
See accompanying notes to financial statements 7
------------------------------------------------------------------------------------------------------------------------------------ THE UNITED STATES PORTFOLIO OF INVESTMENTS 2/28/2005 TREASURY TRUST (UNAUDITED) Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ United States Treasury Bills (99.83%) $14,300,000 1.980% - 2.375% 3/3/2005 $ 14,298,395 11,000,000 2.178% - 2.273% 4/7/2005 10,974,864 8,500,000 2.345% - 2.460% 5/5/2005 8,463,861 9,000,000 2.535% 6/9/2005 8,936,625 ------------ Total Investments (Cost $42,673,745)(a) (99.83%) 42,673,745 Other Net Assets (0.17%) 72,598 ------------ Net Assets (100%) $ 42,746,343 ============
(a) Aggregate cost for federal income tax purposes is $42,673,745. See accompanying notes to financial statements
------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 2/28/2005 GOVERNMENT BOND FUND (UNAUDITED) Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Association (11.01%) $ 914,955 4.000% 6/20/2034 $ 923,526 975,174 4.500% 11/20/2034 975,659 ------------ Total Government National Mortgage Association (Cost $1,902,634) 1,899,185 ------------ United States Treasury Bills (6.94%) 700,000 1.980% - 2.375% 3/3/2005 699,915 200,000 2.178% - 2.273% 4/7/2005 199,543 300,000 2.535% 6/9/2005 297,887 ------------ Total United States Treasury Bills (Cost $1,197,345) 1,197,345 ------------ United States Treasury Notes (80.92%) 4,000,000 5.750% 11/15/2005 4,074,064 2,000,000 5.625% 2/15/2006 2,046,172 2,000,000 6.500% 10/15/2006 2,094,376 2,000,000 6.625% 5/15/2007 2,126,876 3,700,000 2.750% 8/15/2007 3,621,812 ------------ Total United States Treasury Notes (Cost $14,164,414) $ 13,963,300 ------------ Total Investments (Cost $17,264,393)(a) (98.87%) 17,059,830 Other Net Assets (1.13%) 195,878 ------------ Net Assets (100%) $ 17,255,708 ============ (a) Aggregate cost for federal income tax purposes is $17,264,393. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 7,044 Unrealized depreciation (211,607) ------------ Net unrealized depreciation $ (204,563) ============
See accompanying notes to financial statements 8 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (99.53%) Basic Materials (3.11%) Air Products & Chemicals Inc. 2,398 $ 150,163 Alcoa Inc. 8,738 280,665 Allegheny Technologies Inc. 854 21,017 Ashland Inc. 731 47,727 Dow Chemical Co./The 9,438 520,506 Eastman Chemical Co. 810 46,769 Ecolab Inc. 2,721 86,283 EI Du Pont de Nemours & Co. 10,025 534,333 Engelhard Corp. 1,318 39,870 Freeport-McMoRan Copper & Gold Inc. 1,812 75,778 Georgia-Pacific Corp. 2,672 95,684 Great Lakes Chemical Corp. 530 14,151 Hercules Inc.* 1,129 16,190 International Flavors & Fragrances Inc. 983 40,588 International Paper Co. 5,088 190,037 Louisiana-Pacific Corp. 1,130 29,685 MeadWestvaco Corp. 2,112 66,232 Neenah Paper Inc. 1 35 Newmont Mining Corp. 4,574 205,921 Nucor Corp. 1,652 102,986 Phelps Dodge Corp. 942 100,276 Plum Creek Timber Co. Inc. (REIT) 1,937 72,734 PPG Industries Inc. 1,787 128,575 Praxair Inc. 3,420 153,319 Rohm & Haas Co. 2,354 113,392 Sherwin-Williams Co./The 1,544 68,399 Sigma-Aldrich Corp. 727 44,790 Temple-Inland Inc. 576 46,195 United States Steel Corp. 1,191 74,271 Weyerhaeuser Co. 2,467 165,116 ------------ Total Basic Materials 3,531,687 ------------ Communications (9.94%) ADC Telecommunications Inc.* 8,684 19,973 Alltel Corp. 3,096 177,091 Andrew Corp.* 1,650 19,965 AT&T Corp. 8,362 162,474 Avaya Inc.* 4,387 61,418 BellSouth Corp. 18,392 474,514 CenturyTel Inc. 1,518 51,066 Ciena Corp.* 6,054 11,987 Cisco Systems Inc.* 67,930 1,183,341 Citizens Communications Co. 3,037 40,514 Clear Channel Communications Inc. 6,106 203,208 Comcast Corp.* 22,452 730,813 Comverse Technology Inc.* 2,034 47,209 Corning Inc.* 14,053 161,188 Dow Jones & Co. Inc. 853 31,646 eBay Inc.* 13,282 569,001 Gannett Co. Inc. 2,673 210,499 Interpublic Group of Cos Inc.* 4,384 57,606 JDS Uniphase Corp.* 15,107 28,703 Knight-Ridder Inc. 842 55,151 Lucent Technologies Inc.* 44,252 135,854 McGraw-Hill Cos Inc./The 1,908 175,250 Meredith Corp. 527 24,184 Monster Worldwide Inc.* 1,196 34,505 Motorola Inc. 23,735 371,690 New York Times Co. 1,562 57,263 Nextel Communications Inc.* 11,187 329,233 Omnicom Group 1,881 171,303 Qualcomm Inc. 16,353 590,507 Qwest Communications International* 18,680 72,852 SBC Communications Inc. 33,290 800,625 Scientific-Atlanta Inc. 1,620 50,058 Sprint Corp. 14,984 354,821 Symantec Corp.* 6,494 142,933 Tellabs Inc.* 4,380 31,054 Time Warner Inc.* 45,937 791,495 Tribune Co. 3,197 130,214 Univision Communications Inc.* 3,400 89,726 Verizon Communications Inc. 27,813 1,000,434 Viacom Inc. 17,429 608,272 Walt Disney Co. 20,641 576,710 Yahoo! Inc.* 13,890 448,230 ------------ Total Communications 11,284,580 ------------ Consumer, Cyclical (9.89%) Autonation Inc.* 2,900 56,637 Autozone Inc.* 810 78,489 Bed Bath & Beyond Inc.* 3,135 117,625 Best Buy Co. Inc. 3,427 185,127 Big Lots Inc.* 1,254 14,634 Brunswick Corp. 956 44,588 Carnival Corp. 6,360 345,857 Centex Corp. 1,320 83,939 Cintas Corp. 1,809 79,198 Circuit City Stores Inc. 2,205 34,464 Coach Inc.* 1,890 104,952 Cooper Tire & Rubber Co. 779 15,074 Costco Wholesale Corp. 4,633 215,851 CVS Corp. 4,183 208,439 Dana Corp. 1,595 23,000 Darden Restaurants Inc. 1,782 47,758 Delphi Corp. 5,987 41,131 Delta Air Lines Inc.* 1,352 6,273 Dillard's Inc./AR 852 19,852 Dollar General Corp. 3,556 75,494 Family Dollar Stores Inc. 1,806 59,454 Federated Department Stores 1,718 96,981 Ford Motor Co. 18,383 232,545 Gap Inc./The 8,902 189,880 General Motors Corp. 5,914 210,952 Genuine Parts Co. 1,839 79,592 Goodyear Tire & Rubber Co./The* 1,878 27,156 Harley-Davidson Inc. 2,964 183,412 Harrah's Entertainment Inc. 1,176 77,134 Hasbro Inc. 1,849 39,051 Hilton Hotels Corp. 4,016 84,577 Home Depot Inc. 22,056 882,681 International Game Technology 3,660 111,484 JC Penney Co. Inc. Holding Co. 2,882 128,220 Johnson Controls Inc. 1,912 112,999 Jones Apparel Group Inc. 1,320 41,936 KB Home 488 60,902 Kohl's Corp.* 3,601 172,380 Liz Claiborne Inc. 1,176 49,745 Lowe's Cos Inc. 7,832 460,365 Ltd. Brands 4,108 97,688 Marriott International Inc. 2,270 145,507 Mattel Inc. 4,213 88,136 May Department Stores Co./The 3,039 104,876 Maytag Corp.* 844 12,863 McDonald's Corp. 12,621 417,503 Navistar International Corp.* 734 28,964 Newell Rubbermaid Inc. 2,876 64,106 Nike Inc. 2,645 229,983 Nordstrom Inc. 1,443 77,576 Office Depot Inc.* 3,281 63,159 OfficeMax Inc. 900 28,413 Paccar Inc. 1,764 132,759 Pulte Homes Inc. 1,305 101,816 RadioShack Corp. 1,717 50,755 Reebok International Ltd. 619 27,335 Sabre Holdings Corp. 1,503 31,683 Sears Roebuck and Co. 2,194 109,546 Southwest Airlines Co. 8,241 114,138 Staples Inc. 5,217 164,440 Starbucks Corp.* 4,139 214,442 Starwood Hotels & Resorts Worldwide Inc. 2,146 122,837 Target Corp. 9,075 461,192 Tiffany & Co. 1,541 46,461 TJX Cos Inc. 4,910 119,902 Toys R US Inc.* 2,252 51,503 VF Corp. 1,136 67,887 Visteon Corp. 1,369 9,186 9 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Walgreen Co. 10,293 $ 440,849 Wal-Mart Stores Inc. 42,622 2,199,721 Wendy's International Inc. 1,196 45,269 Whirlpool Corp. 742 47,303 WW Grainger Inc. 962 60,394 Yum! Brands Inc. 3,119 152,145 ------------ Total Consumer, Cyclical 11,230,165 ------------ Consumer, Non-cyclical (21.47%) Abbott Laboratories 15,684 721,307 Aetna Inc. 1,499 218,884 Alberto-Culver Co. 954 49,866 Albertson's Inc. 3,898 87,276 Allergan Inc. 1,379 103,673 Altria Group Inc. 20,613 1,353,243 AmerisourceBergen Corp. 1,178 70,562 Amgen Inc.* 12,719 783,618 Anheuser-Busch Cos Inc. 8,047 381,830 Apollo Group Inc.* 1,865 137,339 Archer-Daniels-Midland Co. 6,810 164,121 Avery Dennison Corp. 1,191 72,294 Avon Products Inc. 4,996 213,679 Bausch & Lomb Inc. 546 38,651 Baxter International Inc. 6,453 230,114 Becton Dickinson & Co. 2,675 160,152 Biogen Idec Inc.* 3,460 133,729 Biomet Inc. 2,701 114,036 Boston Scientific Corp.* 8,642 282,248 Bristol-Myers Squibb Co. 19,542 489,136 Brown-Forman Corp. 1,281 65,203 Campbell Soup Co. 4,320 119,664 Cardinal Health Inc. 4,324 253,170 Caremark Rx Inc.* 4,502 172,337 Cendant Corp. 10,725 237,237 Chiron Corp.* 1,978 70,377 Clorox Co. 1,528 91,741 Coca-Cola Co./The 24,376 1,043,293 Coca-Cola Enterprises Inc. 4,851 103,569 Colgate-Palmolive Co. 5,335 282,328 ConAgra Foods Inc. 5,222 142,665 Convergys Corp.* 1,500 22,485 CR Bard Inc. 1,084 72,086 Eli Lilly & Co. 11,358 636,048 Equifax Inc. 1,482 45,038 Express Scripts Inc.* 797 60,006 Forest Laboratories Inc.* 3,869 165,206 Fortune Brands Inc. 1,541 124,821 General Mills Inc. 3,699 193,717 Genzyme Corp.* 2,372 133,045 Gilead Sciences Inc.* 4,325 149,429 Gillette Co./The 10,065 505,766 Guidant Corp. 3,286 241,160 H&R Block Inc. 1,656 88,265 HCA Inc. 4,249 200,595 Health Management Associates Inc. 2,507 57,586 Hershey Foods Corp. 2,474 155,862 HJ Heinz Co. 3,547 133,509 Hospira Inc.* 1,650 48,840 Humana Inc.* 1,688 56,160 Johnson & Johnson 29,819 1,956,126 Kellogg Co. 4,297 189,068 Kimberly-Clark Corp. 5,117 337,620 King Pharmaceuticals Inc.* 2,568 24,524 Kroger Co./The* 7,874 141,653 Laboratory Corp. Of America Holdings* 1,402 67,142 Manor Care Inc. 938 31,958 McCormick & Co. Inc. 1,477 56,111 McKesson Corp. 3,071 114,671 Medco Health Solutions Inc.* 2,847 126,464 Medimmune Inc.* 2,595 62,488 Medtronic Inc. 12,150 633,258 Merck & Co. Inc. 22,290 706,593 Millipore Corp.* 523 23,671 Molson Coors Brewing Co. 388 26,978 Monsanto Co. 2,778 163,291 Moody's Corp. 1,576 132,242 Mylan Laboratories 2,824 49,702 Paychex Inc. 3,957 126,347 Pepsi Bottling Group Inc. 2,758 75,073 PepsiCo Inc. 17,019 916,643 Pfizer Inc. 75,859 1,994,333 Procter & Gamble Co. 25,540 1,355,919 Quest Diagnostics 1,092 108,545 Reynolds American Inc. 1,486 121,778 Robert Half International Inc. 1,810 52,798 RR Donnelley & Sons Co. 2,258 74,988 Safeway Inc.* 4,733 87,087 Sara Lee Corp. 8,346 186,950 Schering-Plough Corp. 14,792 280,308 St Jude Medical Inc.* 3,642 142,402 Stryker Corp. 4,214 209,267 Supervalu Inc. 1,421 45,145 Sysco Corp. 6,424 221,114 Tenet Healthcare Corp.* 4,884 53,284 UnitedHealth Group Inc. 6,597 601,383 UST Inc. 1,750 95,638 Watson Pharmaceuticals Inc.* 1,136 36,057 WellPoint Inc.* 2,861 349,214 WM Wrigley Jr Co. 2,382 158,546 Wyeth 13,400 546,988 Zimmer Holdings Inc.* 2,550 219,045 ------------ Total Consumer, Non-cyclical 24,379,378 ------------ Energy (8.63%) Amerada Hess Corp. 943 94,677 Anadarko Petroleum Corp. 2,511 192,995 Apache Corp. 3,422 215,175 Baker Hughes Inc. 3,533 167,040 BJ Services Co 1,674 83,633 Burlington Resources Inc. 3,965 196,783 ChevronTexaco Corp. 21,400 1,328,512 ConocoPhillips 6,919 767,248 Devon Energy Corp. 4,928 230,581 Dynegy Inc.* 3,790 15,766 El Paso Corp. 6,750 83,228 EOG Resources Inc.* 1,225 111,622 Exxon Mobil Corp. 65,358 4,137,815 Halliburton Co. 4,631 203,625 Kerr-McGee Corp. 1,069 83,019 Kinder Morgan Inc. 1,319 105,744 Marathon Oil Corp. 3,583 169,619 Nabors Industries Ltd.* 1,552 89,085 Noble Corp.* 1,408 80,355 Occidental Petroleum Corp. 4,070 285,999 Rowan Cos Inc.* 1,121 35,513 Schlumberger Ltd. 5,932 447,569 Sunoco Inc. 703 69,667 Transocean Inc.* 3,367 163,232 Unocal Corp. 2,758 149,208 Valero Energy Corp. 2,676 190,638 Williams Cos Inc. 5,523 103,998 ------------ Total Energy 9,802,346 ------------ Financial (19.90%) ACE Ltd. 2,936 130,535 Aflac Inc. 5,095 195,291 Allstate Corp./The 6,962 373,720 AMBAC Financial Group Inc. 1,127 87,658 American Express Co. 12,737 689,709 American International Group Inc. 26,175 1,748,490 AmSouth Bancorp 3,692 92,226 AON Corp. 3,324 81,471 Apartment Investment & Management Co. 995 38,069 Bank of America Corp. 40,865 1,906,352 Bank of New York Co. Inc./The 7,816 236,434 BB&T Corp. 5,786 226,522 Bear Stearns Cos Inc./The 1,041 103,580 Capital One Financial Corp. 2,444 187,406 Charles Schwab Corp./The 14,328 150,444 Chubb Corp. 1,978 156,480 10 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Cigna Corp. 1,363 $ 123,760 Cincinnati Financial Corp. 1,768 79,083 CIT Group Inc. 2,117 85,421 Citigroup Inc. 52,044 2,483,540 Comerica Inc. 1,731 98,805 Countrywide Financial Corp. 5,826 202,454 E*Trade Financial Corp.* 3,854 51,143 Equity Office Properties Trust 4,235 127,770 Equity Residential 2,884 94,624 Fannie Mae 9,724 568,465 Federated Investors Inc. 1,148 33,912 Fifth Third Bancorp 5,725 256,308 First Horizon National Corp. 1,338 56,932 Franklin Resources Inc. 2,642 185,442 Freddie Mac 6,902 427,924 Golden West Financial Corp. 3,212 198,791 Goldman Sachs Group Inc. 4,882 531,162 Hartford Financial Services Group Inc. 2,990 215,131 Huntington Bancshares Inc./OH 2,430 54,724 Janus Capital Group Inc. 2,551 35,791 Jefferson-Pilot Corp. 1,496 73,244 JPMorgan Chase & Co. 35,786 1,307,978 KeyCorp 4,087 134,871 Lehman Brothers Holdings Inc. 2,726 248,557 Lincoln National Corp. 1,880 88,078 Loews Corp. 1,956 139,424 M&T Bank Corp. 1,179 116,733 Marsh & McLennan Cos Inc. 5,230 170,760 Marshall & Ilsley Corp. 2,399 97,136 MBIA Inc. 1,523 89,248 MBNA Corp. 12,836 325,649 Mellon Financial Corp. 4,300 123,324 Merrill Lynch & Co. Inc. 9,438 552,878 Metlife Inc. 7,536 309,277 MGIC Investment Corp. 1,044 65,501 Morgan Stanley 11,035 623,146 National City Corp. 6,426 229,858 North Fork Bancorporation Inc. 2,686 77,384 Northern Trust Corp. 2,322 98,105 PNC Financial Services Group Inc. 2,926 154,025 Principal Financial Group 3,148 122,835 Progressive Corp./The 2,010 175,071 Prologis 1,848 73,476 Providian Financial Corp.* 3,062 52,513 Prudential Financial Inc. 5,371 306,147 Regions Financial Corp. 4,908 158,332 Safeco Corp. 1,287 61,377 Simon Property Group Inc. 2,150 133,214 SLM Corp. 4,511 220,137 Sovereign Bancorp. Inc. 3,448 79,097 St Paul Travelers Cos Inc./The 6,718 257,434 State Street Corp. 3,527 154,659 SunTrust Banks Inc. 2,974 215,437 Synovus Financial Corp. 3,206 87,075 T Rowe Price Group Inc. 1,313 80,605 Torchmark Corp. 1,198 62,428 UnumProvident Corp. 3,140 53,129 US Bancorp 18,880 561,680 Wachovia Corp. 16,131 855,104 Washington Mutual Inc. 8,766 367,821 Wells Fargo & Co. 16,965 1,007,382 XL Capital Ltd. 1,449 108,675 Zions Bancorporation 953 62,993 ------------ Total Financial 22,597,366 ------------ Industrial (11.43%) 3M Co. 7,863 660,020 Agilent Technologies Inc.* 5,021 120,504 Allied Waste Industries Inc.* 3,371 27,710 American Power Conversion Corp. 2,118 46,638 American Standard Cos Inc.* 2,178 99,752 Applera Corp. - Applied Biosystems Group 2,220 45,599 Ball Corp. 1,190 52,836 Bemis Co. 1,106 33,003 Black & Decker Corp. 825 68,409 Boeing Co. 8,433 463,562 Burlington Northern Santa Fe Corp. 3,908 196,455 Caterpillar Inc. 3,546 337,047 Cooper Industries Ltd. 1,003 69,578 CSX Corp. 2,259 93,319 Cummins Inc. 447 32,814 Danaher Corp. 3,260 176,594 Deere & Co. 2,526 179,624 Dover Corp. 2,142 82,831 Eastman Kodak Co. 3,033 103,092 Eaton Corp. 1,600 111,600 Emerson Electric Co. 4,221 279,937 FedEx Corp. 3,018 295,100 Fisher Scientific International* 1,154 69,990 Fluor Corp. 874 54,844 General Dynamics Corp. 2,089 220,076 General Electric Co. 105,053 3,697,866 Goodrich Corp. 1,231 45,584 Honeywell International Inc. 8,635 327,871 Illinois Tool Works Inc. 3,128 280,738 Ingersoll-Rand Co. 1,826 153,841 ITT Industries Inc. 974 85,663 Jabil Circuit Inc.* 2,099 53,965 Leggett & Platt Inc. 2,023 55,976 Lockheed Martin Corp. 4,469 264,654 Masco Corp. 4,484 151,200 Molex Inc. 2,016 50,662 Norfolk Southern Corp. 4,107 147,400 Northrop Grumman Corp. 3,601 190,493 Pactiv Corp.* 1,663 37,600 Pall Corp. 1,325 35,868 Parker Hannifin Corp. 1,273 83,763 PerkinElmer Inc. 1,321 29,300 Power-One Inc.* 892 5,191 Raytheon Co. 4,667 178,466 Rockwell Automation Inc. 1,951 121,255 Rockwell Collins Inc. 1,857 85,515 Ryder System Inc. 677 28,745 Sanmina-SCI Corp.* 5,438 30,181 Sealed Air Corp.* 891 46,573 Snap-On Inc. 609 20,158 Solectron Corp.* 10,099 49,990 Stanley Works/The 870 40,238 Symbol Technologies Inc. 2,467 43,740 Tektronix Inc. 880 25,450 Textron Inc. 1,433 110,843 Thermo Electron Corp.* 1,702 46,737 Tyco International Ltd. 20,181 675,660 Union Pacific Corp. 2,702 171,442 United Parcel Service Inc./Georgia 11,296 875,327 United Technologies Corp. 5,140 513,383 Vulcan Materials Co. 1,068 61,794 Waste Management Inc. 5,809 169,855 Waters Corp.* 1,283 62,675 ------------ Total Industrial 12,976,596 ------------ Technology (12.08%) Adobe Systems Inc. 2,467 152,337 Advanced Micro Devices Inc.* 3,687 64,338 Affiliated Computer Services Inc.* 1,305 67,469 Altera Corp.* 4,041 83,810 Analog Devices Inc. 3,880 142,474 Apple Computer Inc.* 7,668 343,986 Applied Materials Inc.* 17,553 307,178 Applied Micro Circuits Corp.* 3,283 11,326 Autodesk Inc. 2,388 70,971 Automatic Data Processing Inc. 6,045 259,693 BMC Software Inc.* 2,379 35,566 Broadcom Corp.* 3,204 103,329 Citrix Systems Inc.* 1,744 39,240 Computer Associates International Inc. 6,140 166,333 Computer Sciences Corp.* 1,990 91,998 11 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Compuware Corp.* 4,039 $ 27,304 Dell Inc.* 25,082 1,005,537 Electronic Arts Inc.* 3,140 202,499 Electronic Data Systems Corp. 5,089 108,396 EMC Corp./Massachusetts* 24,158 305,840 First Data Corp. 8,614 353,346 Fiserv Inc.* 2,071 78,574 Freescale Semiconductor Inc. 2,620 50,252 Gateway Inc.* 3,943 18,532 Hewlett-Packard Co. 30,339 631,051 IMS Health Inc. 2,525 61,484 Intel Corp. 64,449 1,545,487 International Business Machines Corp. 16,830 1,558,121 Intuit Inc.* 1,903 81,448 Kla-Tencor Corp.* 2,059 101,735 Lexmark International Inc.* 1,356 108,656 Linear Technology Corp. 3,117 121,750 LSI Logic Corp.* 3,960 25,265 Maxim Integrated Products Inc. 3,302 142,052 Mercury Interactive Corp.* 950 43,586 Micron Technology Inc.* 6,477 74,486 Microsoft Corp. 109,233 2,750,487 National Semiconductor Corp.* 3,932 78,443 NCR Corp.* 2,012 78,448 Network Appliance Inc.* 3,659 109,807 Novell Inc.* 3,947 20,682 Novellus Systems Inc.* 1,616 47,729 Nvidia Corp.* 1,724 49,979 Oracle Corp.* 51,948 670,649 Parametric Technology Corp.* 2,859 16,439 Pitney Bowes Inc. 2,468 113,182 PMC - Sierra Inc.* 1,841 18,318 QLogic Corp.* 993 40,008 Siebel Systems Inc.* 5,212 44,458 Sun Microsystems Inc.* 34,434 145,311 Sungard Data Systems Inc.* 3,077 80,340 Teradyne Inc.* 2,030 31,303 Texas Instruments Inc. 17,391 460,340 Unisys Corp.* 3,471 26,657 Veritas Software Corp.* 4,533 109,789 Xerox Corp.* 8,360 130,416 Xilinx Inc. 3,627 109,535 ------------ Total Technology 13,717,769 ------------ Utilities (3.08%) AES Corp./The* 6,611 110,668 Allegheny Energy Inc.* 1,381 26,142 Ameren Corp. 1,912 98,411 American Electric Power Co. Inc. 4,178 139,545 Calpine Corp.* 4,357 14,422 Centerpoint Energy Inc. 3,217 38,540 Cinergy Corp. 1,882 76,127 CMS Energy Corp.* 1,662 20,177 Consolidated Edison Inc. 2,527 108,029 Constellation Energy Group Inc. 1,772 91,205 Dominion Resources Inc./VA 3,430 247,063 DTE Energy Co. 1,768 78,181 Duke Energy Corp. 9,602 259,158 Edison International 3,462 112,446 Entergy Corp. 2,269 156,833 Exelon Corp. 6,632 300,828 FirstEnergy Corp. 3,496 144,175 FPL Group Inc. 1,939 153,860 KeySpan Corp. 1,700 67,235 Nicor Inc. 460 17,153 NiSource Inc. 2,793 63,234 Peoples Energy Corp. 383 16,385 PG&E Corp.* 4,027 141,670 Pinnacle West Capital Corp. 969 40,456 PPL Corp. 1,866 101,772 Progress Energy Inc. 2,597 112,554 Public Service Enterprise Group Inc. 2,495 136,102 Sempra Energy 2,396 95,840 Southern Co./The 7,416 238,202 TECO Energy Inc. 1,982 31,494 TXU Corp. 2,471 188,414 Xcel Energy Inc. 4,198 74,389 ------------ Total Utilities 3,500,710 ------------ Total Common Stock (Cost $92,421,977) $113,020,597 ------------ Par Value --------- Short-Term Investments (0.27%) $ 300,000 United States Treasury Bills 04/14/05 (Cost $299,098)(b) 299,098 ------------ Total Short-Term Investments (Cost $298,995) 299,098 ------------ Total Investments (Cost $92,721,075)(a)(99.80%) 113,319,695 Net Other Assets (0.20%) 230,879 ------------ Net Assets (100.00%) $113,550,574 ============ ---------- * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $92,721,075. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 30,706,677 Unrealized depreciation (10,108,057) ------------ Net unrealized appreciation $ 20,598,620 ============ (b) At February 28, 2005, certain United States Treasury Bills with a market value of $99,699 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 28, 2005: (Contracts-$250 times premium/delivery month/commitment) Unrealized Appreciation ------------ S&P 500 Index: 2/ Mar 05/Long $ 4,816 ============ See accompanying notes to financial statements 12 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (94.15%) Basic Materials (3.58%) Airgas Inc. 10,129 $ 254,238 Albemarle Corp. 5,645 214,510 Bowater Inc. 7,557 293,438 Cabot Corp. 8,380 291,624 Cabot Microelectronics Corp.* 3,366 109,361 Crompton Corp. 15,563 213,213 Cytec Industries Inc. 5,315 268,567 Ferro Corp. 5,690 111,353 FMC Corp.* 4,951 244,381 Glatfelter 5,951 88,194 Longview Fibre Co. 6,936 116,525 Lubrizol Corp. 8,845 377,062 Lyondell Chemical Co. 32,786 1,109,806 Minerals Technologies Inc. 2,794 175,044 Olin Corp. 9,481 236,551 Potlatch Corp. 4,008 184,969 Rayonier Inc. 6,741 323,568 RPM International Inc. 15,785 295,653 Sensient Technologies Corp. 6,366 139,033 Steel Dynamics Inc. 6,100 271,694 Valspar Corp. 6,968 321,573 ------------ Total Basic Materials 5,640,357 ------------ Communications (5.21%) 3Com Corp.* 53,448 191,344 Adtran Inc. 10,817 202,386 Avocent Corp.* 6,688 229,131 Belo Corp. 15,611 368,420 Catalina Marketing Corp. 7,080 190,806 Checkfree Corp.* 11,777 453,886 Cincinnati Bell Inc.* 33,305 146,542 CommScope Inc.* 7,342 111,158 Emmis Communications Corp.* 7,610 142,307 Entercom Communications Corp.* 6,769 232,989 Harris Corp. 9,006 600,700 Harte-Hanks Inc. 11,669 312,729 Lee Enterprises Inc. 6,133 279,665 Macromedia Inc.* 9,424 319,379 McAfee Inc.* 21,215 490,703 Media General Inc. 3,222 206,176 Newport Corp.* 5,794 81,637 Plantronics Inc. 6,509 237,188 Polycom Inc.* 13,501 218,581 Powerwave Technologies Inc.* 14,173 97,085 Reader's Digest Association Inc./The 13,520 233,896 RF Micro Devices Inc.* 25,344 139,392 RSA Security Inc.* 8,644 141,243 Scholastic Corp.* 5,378 190,811 Telephone & Data Systems Inc. 7,770 679,875 Tellabs Inc.* 6,054 42,923 Utstarcom Inc.* 15,469 198,777 Washington Post Co./The 1,299 1,166,502 Westwood One Inc.* 13,205 288,397 ------------ Total Communications 8,194,628 ------------ Consumer, Cyclical (17 37%) 99 Cents Only Stores* 9,439 147,154 Abercrombie & Fitch Co. 12,841 689,562 Advance Auto Parts* 10,000 503,800 Aeropostale Inc.* 7,623 243,174 Airtran Holdings Inc.* 11,619 92,720 Alaska Air Group Inc.* 3,645 103,372 American Eagle Outfitters 9,739 527,172 AnnTaylor Stores Corp.* 9,692 214,775 Applebees International Inc. 11,147 317,801 ArvinMeritor Inc. 9,422 158,855 Bandag Inc. 2,631 116,317 Barnes & Noble Inc.* 9,518 325,135 BJ's Wholesale Club Inc.* 9,457 289,100 Bob Evans Farms Inc. 4,791 108,516 Borders Group Inc. 10,367 266,743 BorgWarner Inc. 7,579 399,792 Boyd Gaming Corp. 11,772 576,946 Brinker International Inc.* 12,199 461,854 Caesars Entertainment Inc.* 42,065 843,824 Callaway Golf Co. 10,215 137,085 Carmax Inc.* 14,125 466,125 CBRL Group Inc. 6,616 283,231 CDW Corp. 11,290 648,836 Cheesecake Factory/The* 10,557 359,255 Chico's FAS Inc.* 24,282 715,105 Claire's Stores Inc. 13,433 309,093 Copart Inc.* 12,220 284,726 Dollar Tree Stores Inc.* 15,419 415,542 DR Horton Inc. 31,671 1,385,923 Fastenal Co. 10,304 602,372 Foot Locker Inc. 21,139 577,095 Furniture Brands International Inc. 7,431 172,622 GameStop Corp.* 3,738 73,115 GTECH Holdings Corp. 16,027 374,230 Harman International Industries Inc. 8,968 1,005,941 Herman Miller Inc. 9,676 280,410 HNI Corp. 7,807 340,541 Hovnanian Enterprises Inc.* 8,301 456,555 International Speedway Corp. 7,232 385,466 JetBlue Airways Corp.* 14,036 252,929 Krispy Kreme Doughnuts Inc.* 8,385 45,950 Lear Corp. 9,318 485,934 Lennar Corp. 21,192 1,288,897 Macrovision Corp.* 6,711 162,742 Mandalay Resort Group 9,167 649,665 Michaels Stores Inc. 18,538 591,177 Modine Manufacturing Co. 4,685 152,497 Mohawk Industries Inc.* 9,060 813,044 Neiman-Marcus Group Inc. 6,692 483,162 O'Reilly Automotive Inc.* 7,483 380,885 Outback Steakhouse Inc. 10,006 449,369 Pacific Sunwear Of California 10,110 260,434 Payless Shoesource Inc.* 9,250 108,410 Petsmart Inc. 19,718 601,399 Pier 1 Imports Inc. 11,871 216,646 Regis Corp. 6,011 236,833 Ross Stores Inc. 20,030 560,840 Ruby Tuesday Inc. 8,913 215,516 Ryland Group Inc. 6,440 447,902 Saks Inc. 19,265 292,635 Six Flags Inc.* 12,635 56,352 Superior Industries International 3,616 95,752 Tech Data Corp.* 7,878 322,919 Thor Industries Inc. 7,753 276,007 Timberland Co.* 4,791 333,645 Toll Brothers Inc.* 10,147 893,443 Urban Outfitters Inc.* 10,928 454,496 Williams-Sonoma Inc.* 15,787 547,651 ------------ Total Consumer, Cyclical 27,337,011 ------------ Consumer, Non-cyclical (18.09%) Adesa Inc.* 12,882 290,747 Alliance Data Systems Corp.* 10,980 433,161 American Greetings 9,263 228,148 Apria Healthcare Group Inc.* 6,786 220,274 Banta Corp. 3,383 148,717 Barr Pharmaceuticals Inc.* 14,190 677,431 Beckman Coulter Inc. 8,324 586,426 Blyth Inc. 5,545 176,276 Career Education Corp.* 13,902 474,753 Cephalon Inc.* 7,696 377,643 Charles River Laboratories International Inc.* 8,763 403,974 ChoicePoint Inc.* 12,037 485,091 Church & Dwight Co. Inc. 8,393 296,860 Community Health Systems Inc.* 11,832 383,002 13 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Constellation Brands Inc.* 14,567 $ 779,772 Corinthian Colleges Inc.* 12,248 211,768 Covance Inc.* 8,505 371,754 Coventry Health Care Inc.* 14,390 908,009 Cytyc Corp.* 15,083 343,892 Dean Foods Co.* 20,258 699,914 Deluxe Corp. 6,800 265,472 Dentsply International Inc. 10,933 600,987 DeVry Inc.* 9,544 165,875 Education Management Corp.* 9,934 291,265 Edwards Lifesciences Corp.* 8,107 348,682 Gartner Inc.* 14,676 141,330 Gen-Probe Inc.* 6,800 346,188 Health Net Inc.* 15,205 454,630 Henry Schein Inc.* 5,918 428,108 Hillenbrand Industries Inc. 8,403 474,013 Hormel Foods Corp. 18,847 587,084 Inamed Corp.* 4,832 329,446 Invitrogen Corp.* 7,153 500,424 ITT Educational Services Inc.* 6,211 302,414 IVAX Corp.* 33,970 543,180 JM Smucker Co./The 7,925 389,593 Kelly Services Inc. 4,779 141,219 Korn/Ferry International* 5,258 100,848 Laureate Education Inc.* 6,201 269,061 LifePoint Hospitals Inc.* 5,256 210,503 Lincare Holdings Inc.* 13,572 550,752 Manpower Inc. 12,237 534,757 Millennium Pharmaceuticals Inc.* 41,433 356,324 MPS Group Inc.* 14,297 153,550 Omnicare Inc. 14,138 487,620 Pacificare Health Systems* 11,682 741,573 Par Pharmaceutical Cos Inc.* 4,609 170,487 Patterson Cos Inc.* 18,575 921,692 PepsiAmericas Inc. 18,773 427,086 Perrigo Co. 9,596 168,602 Protein Design Labs Inc.* 12,917 193,497 Quanta Services Inc.* 15,931 125,058 Renal Care Group Inc.* 9,108 358,855 Rent-A-Center Inc.* 10,743 278,781 Rollins Inc. 6,199 158,198 Ruddick Corp. 6,345 149,742 Scotts Co./The* 4,446 311,531 Sepracor Inc.* 14,285 920,954 Smithfield Foods Inc.* 15,011 511,125 Sotheby's Holdings* 8,582 152,931 Steris Corp.* 9,376 232,056 Techne Corp.* 5,587 190,461 Tootsie Roll Industries Inc. 7,099 212,970 Triad Hospitals Inc.* 10,429 455,434 Tupperware Corp. 7,951 162,916 Tyson Foods Inc. 47,936 815,871 United Rentals Inc.* 10,558 199,757 Universal Corp./Richmond VA 3,467 174,043 Universal Health Services Inc. 7,901 372,927 Valassis Communications Inc.* 7,032 263,067 Valeant Pharmaceuticals International 11,407 276,620 Varian Medical Systems Inc.* 18,447 662,801 VCA Antech Inc.* 11,124 223,370 Vertex Pharmaceuticals Inc.* 10,862 125,347 Visx Inc.* 6,720 162,355 Whole Foods Market Inc. 8,455 869,343 ------------ Total Consumer, Non-cyclical 28,460,387 ------------ Diversified (0.31%) Leucadia National Corp. 14,442 483,951 ------------ Energy (8.98%) Arch Coal Inc. 8,297 369,963 Cooper Cameron Corp.* 7,460 430,367 ENSCO International Inc. 20,509 826,103 Equitable Resources Inc. 8,399 498,481 FMC Technologies Inc.* 9,164 316,525 Forest Oil Corp.* 8,003 320,120 Grant Prideco Inc.* 16,666 402,651 Hanover Compressor Co.* 10,589 140,198 Helmerich & Payne Inc. 6,846 274,114 Murphy Oil Corp. 12,494 1,249,900 National Fuel Gas Co. 11,213 317,552 National-Oilwell Inc.* 11,663 528,800 Newfield Exploration Co.* 8,460 628,155 Noble Energy Inc. 7,934 536,656 Patterson-UTI Energy Inc. 22,664 566,600 Peabody Energy Corp. 8,720 846,712 Pioneer Natural Resources Co. 19,758 833,195 Plains Exploration & Production Co.* 10,470 356,085 Pogo Producing Co. 8,678 421,838 Pride International Inc.* 18,466 454,633 Questar Corp. 11,406 604,746 Smith International Inc.* 14,231 914,484 Tidewater Inc. 8,234 339,817 Varco International Inc.* 13,251 499,695 Weatherford International Ltd.* 18,128 1,080,610 Western Gas Resources Inc. 10,016 370,592 ------------ Total Energy 14,128,592 ------------ Financial (15.82%) AG Edwards Inc. 10,759 463,820 Allmerica Financial Corp.* 7,227 258,727 AMB Property Corp. 11,226 435,793 American Financial Group Inc./OH 9,999 304,870 AmeriCredit Corp.* 21,398 504,137 AmerUs Group Co. 5,311 255,618 Arthur J Gallagher & Co. 12,477 372,563 Associated Banc-Corp. 17,575 563,455 Astoria Financial Corp. 10,388 390,381 Bank of Hawaii Corp. 7,141 325,058 Brown & Brown Inc. 9,357 434,165 City National Corp./Beverly Hills CA 6,661 455,945 Colonial BancGroup Inc./The 18,138 369,471 Commerce Bancorp. Inc./NJ 10,672 653,980 Compass Bancshares Inc. 16,656 756,349 Cullen/Frost Bankers Inc. 6,998 325,267 Developers Diversified Realty Corp. 13,889 580,977 Eaton Vance Corp. 18,374 495,363 Everest Re Group Ltd. 7,593 659,604 Fidelity National Financial Inc. 23,584 1,043,356 First American Corp. 12,030 439,697 FirstMerit Corp. 11,518 299,814 Greater Bay Bancorp. 6,956 176,195 HCC Insurance Holdings Inc. 8,786 329,475 Hibernia Corp. 21,098 541,586 Highwoods Properties Inc. 7,283 187,829 Horace Mann Educators Corp. 5,807 108,939 Hospitality Properties Trust 9,124 378,372 Independence Community Bank Corp. 11,403 453,953 IndyMac Bancorp. Inc. 8,317 299,329 Investors Financial Services Corp. 9,001 451,130 Jefferies Group Inc. 7,690 293,450 LaBranche & Co. Inc.* 8,124 75,147 Legg Mason Inc. 13,680 1,103,155 Liberty Property Trust 11,563 479,402 Mack-Cali Realty Corp. 8,233 363,899 Mercantile Bankshares Corp. 10,741 522,120 New Plan Excel Realty Trust 13,886 363,258 New York Community Bancorp. Inc. 35,951 660,060 Ohio Casualty Corp.* 8,345 201,365 Old Republic International Corp. 24,734 593,369 PMI Group Inc./The 13,045 525,061 Protective Life Corp. 9,425 376,623 Radian Group Inc. 12,596 608,765 Raymond James Financial Inc. 10,017 305,118 14 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Silicon Valley Bancshares* 4,840 $ 212,089 StanCorp. Financial Group Inc. 3,856 335,819 TCF Financial Corp. 18,952 524,023 TD Banknorth Inc. 23,480 847,393 United Dominion Realty Trust Inc. 17,369 383,855 Unitrin Inc. 9,293 435,656 Waddell & Reed Financial Inc. 11,204 233,043 Washington Federal Inc. 11,719 278,326 Webster Financial Corp. 7,203 315,491 Weingarten Realty Investors 11,637 428,591 Westamerica Bancorporation 4,307 224,352 Wilmington Trust Corp. 9,013 305,451 WR Berkley Corp. 11,417 586,377 ------------ Total Financial 24,896,476 ------------ Industrial (10.73%) AGCO Corp.* 12,256 238,624 Alexander & Baldwin Inc. 5,785 262,639 Alliant Techsystems Inc.* 5,103 353,281 Ametek Inc. 9,262 355,105 Amphenol Corp.* 11,939 476,366 Arrow Electronics Inc.* 15,693 422,142 Avnet Inc.* 16,361 317,403 Brink's Co./The 7,706 267,090 Carlisle Cos Inc. 4,233 294,363 CH Robinson Worldwide Inc. 11,597 635,516 CNF Inc. 6,917 317,283 Donaldson Co. Inc. 11,728 374,006 Dycom Industries Inc.* 6,591 177,627 Energizer Holdings Inc. 10,589 627,186 Expeditors International Washington Inc. 14,386 798,567 Federal Signal Corp. 6,536 102,877 Flowserve Corp.* 7,506 187,575 GATX Corp. 6,698 200,806 Gentex Corp. 10,518 356,665 Graco Inc. 9,408 363,713 Granite Construction Inc. 5,650 150,347 Harsco Corp. 5,587 326,337 Hubbell Inc. 8,265 444,657 Jacobs Engineering Group Inc.* 7,650 428,247 JB Hunt Transport Services Inc. 10,967 517,533 Kemet Corp.* 11,747 95,973 Kennametal Inc. 4,952 243,044 Lancaster Colony Corp. 4,842 206,318 Martin Marietta Materials Inc. 6,549 377,746 Nordson Corp. 4,842 193,632 Overseas Shipholding Group 5,346 348,132 Packaging Corp. of America 14,502 355,589 Pentair Inc. 13,629 564,786 Plexus Corp.* 5,861 62,127 Precision Castparts Corp. 8,817 663,567 Republic Services Inc. 20,618 653,797 Sequa Corp.* 1,418 82,187 Sonoco Products Co. 13,307 386,968 SPX Corp. 10,336 460,159 Stericycle Inc.* 6,135 282,087 Swift Transportation Co. Inc.* 10,857 257,528 Tecumseh Products Co. 2,509 102,994 Teleflex Inc. 5,463 275,117 Thomas & Betts Corp.* 8,008 248,889 Titan Corp.* 11,456 190,170 Trinity Industries Inc. 6,401 184,349 Varian Inc.* 4,712 200,967 Vishay Intertechnology Inc.* 22,555 294,343 Werner Enterprises Inc. 10,762 230,307 Worthington Industries 10,800 226,260 York International Corp. 5,625 217,519 Zebra Technologies Corp.* 9,733 485,385 ------------ Total Industrial 16,885,895 ------------ Technology (8.67%) Activision Inc.* 18,794 410,837 Acxiom Corp. 11,681 262,823 Advent Software Inc.* 4,509 79,629 Ascential Software Corp.* 7,969 123,599 Atmel Corp.* 64,590 203,459 BISYS Group Inc./The* 16,388 242,870 Cadence Design Systems Inc.* 36,567 503,893 Ceridian Corp.* 20,179 368,267 Certegy Inc. 8,608 306,703 Cognizant Technology Solutions Corp.* 17,842 842,678 Credence Systems Corp.* 12,946 113,536 Cree Inc.* 9,953 234,095 CSG Systems International* 7,066 120,829 Cypress Semiconductor Corp.* 17,016 239,585 Diebold Inc. 9,736 519,610 DST Systems Inc.* 11,411 541,908 Dun & Bradstreet Corp.* 9,552 587,066 Fair Isaac Corp. 9,549 322,756 Fairchild Semiconductor International Inc.* 16,211 267,806 Imation Corp. 4,829 166,069 Integrated Circuit Systems Inc.* 9,856 198,894 Integrated Device Technology Inc.* 14,411 180,282 International Rectifier Corp.* 8,975 394,900 Intersil Corp. 20,441 344,635 Jack Henry & Associates Inc. 12,258 243,321 Keane Inc.* 8,390 111,084 Lam Research Corp.* 18,199 572,177 Lattice Semiconductor Corp.* 15,402 81,323 LTX Corp.* 8,284 44,734 McData Corp.* 16,125 63,371 Mentor Graphics Corp.* 9,740 134,217 Micrel Inc.* 12,429 117,205 Microchip Technology Inc. 27,957 767,699 MoneyGram International Inc. 12,026 247,495 National Instruments Corp. 10,702 305,649 Quantum Corp.* 24,702 71,389 Retek Inc.* 7,597 63,891 Reynolds & Reynolds Co./The 8,774 242,777 SanDisk Corp.* 21,992 591,145 SEI Investments Co. 13,999 517,403 Semtech Corp.* 10,095 197,458 Silicon Laboratories Inc.* 7,035 246,929 Storage Technology Corp.* 15,092 479,926 Sybase Inc.* 12,906 243,149 Synopsys Inc.* 21,183 383,412 Transaction Systems Architects Inc.* 5,088 118,957 Triquint Semiconductor Inc.* 18,646 64,329 Wind River Systems Inc.* 11,120 149,675 ------------ Total Technology 13,635,444 ------------ Utilities (5.39%) AGL Resources Inc. 10,133 350,804 Alliant Energy Corp. 15,375 411,281 Aqua America Inc. 12,631 310,470 Aquila Inc.* 32,008 114,269 Black Hills Corp. 4,408 139,734 DPL Inc. 17,179 437,721 Duquesne Light Holdings Inc. 10,400 194,792 Energy East Corp. 19,923 512,420 Great Plains Energy Inc. 10,085 312,534 Hawaiian Electric Industries 10,934 291,063 IdaCorp. Inc. 5,186 149,927 MDU Resources Group Inc. 15,955 430,306 Northeast Utilities 17,414 325,119 NSTAR 7,213 400,322 OGE Energy Corp. 11,900 308,805 Oneok Inc. 13,994 410,024 Pepco Holdings Inc. 25,206 555,540 PNM Resources Inc. 8,205 215,299 Puget Energy Inc. 13,510 309,649 SCANA Corp. 15,156 576,534 Sierra Pacific Resources* 15,933 159,011 15 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Vectren Corp. 10,317 $ 279,178 Westar Energy Inc. 11,650 267,717 WGL Holdings Inc. 6,606 202,804 Wisconsin Energy Corp. 15,971 $ 554,513 WPS Resources Corp. 5,059 263,675 ------------ Total Utilities 8,483,511 ------------ Total Common Stock (Cost $110,064,421) 148,146,252 ------------ Par Value --------- Short-Term Investment (5.58%) $ 4,700,000 United States Treasury Bills 03/03/05 (b) 4,699,480 3,900,000 United States Treasury Bills 03/24/05 (b) 3,894,470 200,000 United States Treasury Bills 04/15/05 (b) 199,398 ------------ Total Short-Term Investment (Cost $8,793,348) 8,793,348 ------------ Total Investments (Cost $118,857,769)(a)(99.73%) 156,939,600 Other Net Assets (0.27%) 420,048 ------------ Total Net Assets: (100.00%) $157,359,648 ============ ---------- * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $118,857,769. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 43,487,896 Unrealized depreciation (5,406,065) ------------ Net unrealized appreciation $ 38,081,831 ============ (b) At February 28, 2005, certain United States Treasury Bills with a market value of $799,911 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 28, 2005: (Contracts-$500 times premium/delivery month/commitment) Unrealized Appreciation ------------ S&P MidCap 400 Index: 27/ Mar 05/Long $ 318,748 ============ See accompanying notes to financial statements -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (92.35%) Basic Materials (3.78%) AMCOL International Corp. 1,466 $ 32,472 Arch Chemicals Inc. 1,194 34,125 Brush Engineered Materials Inc.* 769 15,665 Buckeye Technologies Inc.* 1,716 20,541 Caraustar Industries Inc.* 1,296 18,520 Carpenter Technology 1,124 76,005 Century Aluminum Co.* 1,551 50,423 Cleveland-Cliffs Inc. 1,096 88,064 Deltic Timber Corp. 590 27,081 Georgia Gulf Corp. 1,693 89,407 HB Fuller Co. 1,462 38,948 MacDermid Inc. 1,555 52,248 Material Sciences Corp.* 683 10,552 Neenah Paper Inc. 750 26,370 OM Group Inc.* 1,455 46,385 Omnova Solutions Inc.* 1,854 8,732 Penford Corp. 400 5,776 PolyOne Corp.* 4,408 40,113 Pope & Talbot Inc. 726 11,761 Quaker Chemical Corp. 439 9,785 Reliance Steel & Aluminum Co. 1,663 75,999 Rock-Tenn Co. 1,817 25,929 RTI International Metals Inc.* 966 26,179 Ryerson Tull Inc. 1,152 16,531 Schulman A Inc. 1,547 27,939 Schweitzer-Mauduit International Inc. 770 26,219 Steel Dynamics Inc. 2,530 112,686 Steel Technologies Inc. 654 20,163 Wausau-Mosinee Paper Corp. 2,594 39,118 Wellman Inc. 1,480 20,276 ------------ Total Basic Materials 1,094,012 ------------ Communications (2.79%) 4Kids Entertainment Inc.* 613 11,978 Adaptec Inc.* 5,637 30,665 Advo Inc. 1,557 57,095 Aeroflex Inc.* 3,808 38,689 Anixter International Inc. 1,885 70,763 Applied Signal Technology Inc. 560 13,065 Audiovox Corp.* 1,050 15,656 Black Box Corp. 903 35,172 Boston Communications Group* 889 6,703 C-COR Inc.* 2,207 16,729 Commonwealth Telephone Enterprises Inc.* 1,151 54,788 Digital Insight Corp.* 1,774 28,473 FindWhat.com* 1,508 16,588 General Communication* 2,942 27,449 Harmonic Inc.* 3,354 36,726 Internet Security Systems* 2,484 49,879 Intrado Inc.* 772 9,665 j2 Global Communications Inc.* 1,188 45,512 Napster Inc.* 1,603 11,670 Network Equipment Technologies Inc.* 1,066 7,633 PC-Tel Inc.* 942 7,112 Symmetricom Inc.* 2,100 22,260 Thomas Nelson Inc. 657 14,388 Tollgrade Communications Inc.* 630 5,645 Verity Inc.* 1,734 20,548 Viasat Inc.* 1,352 26,878 WebEx Communications Inc.* 2,260 52,816 Websense Inc.* 1,177 70,443 Zix Corp.* 1,342 3,986 ------------ Total Communications 808,974 ------------ Consumer, Cyclical (18.45%) Action Performance Cos Inc. 824 11,964 Advanced Marketing Services 884 6,559 16 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Angelica Corp. 425 $ 12,567 Applica Inc.* 1,097 5,671 Arctic Cat Inc. 1,013 27,452 Argosy Gaming Co.* 1,511 69,763 Ashworth Inc.* 600 6,618 Aztar Corp.* 1,772 52,646 Bally Total Fitness Holding Corp.* 1,577 5,141 Bassett Furniture Industries Inc. 556 10,592 Bell Microproducts Inc.* 1,276 11,395 Brown Shoe Co. Inc. 932 31,129 Building Material Holding Corp. 640 29,530 Burlington Coat Factory Warehouse Corp. 2,290 64,212 Casey's General Stores Inc. 2,565 46,273 Cash America International Inc. 1,344 38,989 Cato Corp./The 975 28,997 CEC Entertainment Inc.* 1,917 74,188 Champion Enterprises Inc.* 3,614 37,405 Childrens Place* 1,378 55,106 Christopher & Banks Corp. 1,875 30,881 Coachmen Industries Inc. 746 11,183 Cost Plus Inc.* 1,125 31,646 Department 56* 632 10,441 Dress Barn Inc.* 1,408 26,569 Electronics Boutique Holdings Corp.* 1,154 43,656 Enesco Group Inc.* 652 5,333 Ethan Allen Interiors Inc. 1,913 67,223 Fedders Corp. 1,460 4,497 Fleetwood Enterprises Inc.* 2,730 26,399 Fred's Inc. 2,010 33,869 Frontier Airlines Inc.* 1,612 13,621 G&K Services Inc. 1,071 45,957 GameStop Corp.* 2,600 50,856 Genesco Inc.* 1,118 32,947 Goody's Family Clothing Inc. 1,499 14,076 Group 1 Automotive Inc.* 1,153 31,880 Guitar Center Inc.* 1,249 75,664 Gymboree Corp.* 1,569 18,812 Haggar Corp. 300 6,153 Hancock Fabrics Inc. /DE 863 7,422 Haverty Furniture Cos Inc. 1,157 18,743 Hibbett Sporting Goods Inc.* 1,203 33,516 HOT Topic Inc.* 2,397 51,200 Hughes Supply Inc. 3,142 96,302 IHOP Corp. 1,098 51,694 Insight Enterprises Inc.* 2,482 44,180 Interface Inc.* 2,381 19,834 J Jill Group Inc./The* 1,026 14,826 Jack in the Box Inc.* 1,872 67,205 Jakks Pacific Inc.* 1,204 23,803 Jo-Ann Stores Inc.* 1,070 32,164 K2 Inc.* 1,826 26,167 Kellwood Co. 1,393 39,937 K-Swiss Inc. 1,813 56,203 Landry's Restaurants Inc. 1,426 41,283 La-Z-Boy Inc. 2,673 39,961 Libbey Inc. 640 15,309 Linens 'N Things Inc.* 2,240 60,234 Lone Star Steakhouse & Saloon 1,092 29,047 Longs Drug Stores Corp. 1,914 52,118 Marcus Corp. 1,435 33,464 MDC Holdings Inc. 2,174 173,094 Men's Wearhouse Inc.* 1,829 64,326 Meritage Homes Corp.* 1,350 98,861 Mesa Air Group Inc.* 1,462 10,907 Mobile Mini Inc.* 664 24,727 Monaco Coach Corp. 1,505 26,955 Movie Gallery Inc. 1,719 39,262 Multimedia Games Inc.* 1,431 14,296 National Presto Industries Inc. 327 13,688 Nautilus Group Inc. 1,674 37,096 NVR Inc.* 340 269,365 O'Charleys Inc.* 966 20,402 Oshkosh B'Gosh Inc. 590 18,550 Oshkosh Truck Corp. 1,809 135,042 Owens & Minor Inc. 2,015 56,239 Oxford Industries Inc. 832 29,420 Panera Bread Co.* 1,547 82,703 Papa John's International Inc.* 832 28,612 Pegasus Solutions Inc.* 1,159 13,815 PEP Boys-Manny Moe & Jack 3,075 55,596 PF Chang's China Bistro Inc.* 1,312 71,911 Phillips-Van Heusen 1,578 43,758 Pinnacle Entertainment Inc.* 1,726 26,753 Polaris Industries Inc. 2,204 153,817 Quiksilver Inc.* 2,912 91,990 Rare Hospitality International Inc.* 1,744 51,029 Russell Corp. 1,674 30,283 Ryan's Restaurant Group Inc.* 2,086 28,036 Scansource Inc.* 643 40,348 School Specialty Inc.* 975 36,758 SCP Pool Corp. 2,736 93,133 Select Comfort Corp.* 1,867 38,460 ShopKo Stores Inc.* 1,351 23,656 Shuffle Master Inc.* 1,755 57,494 Skyline Corp. 400 15,340 Skywest Inc. 2,979 50,852 Sonic Automotive Inc. 2,073 46,000 Sonic Corp.* 3,046 102,620 Stage Stores Inc.* 892 34,396 Standard Motor Products Inc. 916 10,589 Standard-Pacific Corp. 1,745 139,600 Steak N Shake Co./The* 1,277 24,429 Stein Mart Inc.* 2,160 44,950 Stride Rite Corp. 1,831 23,803 Superior Industries International 1,200 31,776 TBC Corp.* 1,135 33,971 Too Inc.* 1,767 46,932 Toro Co. 1,247 108,127 Tractor Supply Co.* 1,961 83,519 Triarc Cos 3,265 48,975 Ultimate Electronics Inc.* 680 748 United Stationers Inc.* 1,737 76,393 Wabash National Corp.* 1,723 46,469 Watsco Inc. 1,366 52,127 Winnebago Industries 1,700 60,095 WMS Industries Inc.* 1,545 46,335 Wolverine World Wide Inc. 3,060 68,085 Zale Corp.* 2,667 79,343 ------------ Total Consumer, Cyclical 5,338,328 ------------ Consumer, Non-cyclical (16.63%) Aaron Rents Inc. 2,547 52,112 ABM Industries Inc. 2,508 46,473 Accredo Health Inc.* 2,488 106,039 Administaff Inc.* 1,236 16,562 Advanced Medical Optics Inc.* 1,513 57,418 Alpharma Inc. 2,687 35,253 Amedisys Inc.* 743 23,731 American Healthways Inc.* 1,671 56,781 American Italian Pasta Co. 860 23,220 American Medical Systems Holdings Inc.* 1,710 67,716 AMERIGROUP Corp.* 2,538 101,165 Amsurg Corp.* 1,551 37,472 Arbitron Inc.* 1,587 64,353 Arqule Inc.* 1,302 6,510 Arthrocare Corp. 1,179 33,979 Biolase Technology Inc. 1,245 12,525 Biosite Inc.* 803 46,526 Bowne & Co. Inc. 1,795 28,361 Bradley Pharmaceuticals Inc.* 786 7,664 Cambrex Corp. 1,239 28,113 CDI Corp. 1,007 20,956 17 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Centene Corp.* 2,078 $ 69,322 Central Parking Corp. 1,868 25,890 Chemed Corp. 622 44,411 Coinstar Inc.* 1,000 23,410 Conmed Corp.* 1,525 45,155 Connetics Corp.* 1,800 44,550 Consolidated Graphics Inc.* 696 36,227 Cooper Cos Inc./The 2,176 179,194 Corn Products International Inc. 3,742 104,664 CPI Corp. 380 5,692 Cross Country Healthcare Inc.* 1,640 25,076 CryoLife Inc.* 1,113 8,681 Curative Health Services Inc.* 589 2,568 Cyberonics Inc.* 1,199 44,951 Datascope Corp. 759 26,702 Delta & Pine Land Co. 1,965 56,965 Diagnostic Products Corp. 1,491 68,034 DIMON Inc. 2,076 13,452 DJ Orthopedics Inc.* 1,097 26,449 Enzo Biochem Inc.* 1,519 24,714 Flowers Foods Inc. 2,261 67,830 Fossil Inc.* 3,620 93,396 Gentiva Health Services Inc.* 1,227 20,663 Great Atlantic & Pacific Tea Co.* 1,919 21,339 Haemonetics Corp./Mass* 1,291 53,551 Hain Celestial Group Inc.* 1,870 34,913 Heidrick & Struggles International Inc.* 972 33,184 Hologic Inc.* 1,046 38,650 Hooper Holmes Inc. 3,007 13,321 ICU Medical Inc.* 655 20,056 Idexx Laboratories Inc.* 1,782 98,812 Immucor Inc.* 2,227 66,153 Insurance Auto Auctions Inc.* 580 16,130 Integra LifeSciences Holdings Corp.* 1,465 54,337 Invacare Corp. 1,604 75,580 J&J Snack Foods Corp. 417 19,687 John H Harland Co. 1,445 53,032 Kensey Nash Corp.* 574 18,592 LabOne Inc.* 856 30,816 Labor Ready Inc.* 2,123 39,870 Lance Inc. 1,352 21,537 LCA-Vision Inc. 673 19,463 MAXIMUS Inc.* 1,113 37,686 Medicis Pharmaceutical Corp. 2,912 100,580 Mentor Corp. 2,155 74,606 Merit Medical Systems Inc.* 1,295 17,055 MGI Pharma Inc.* 3,614 82,761 Midas Inc.* 700 14,973 Nash FInch Co. 581 23,013 Natures Sunshine Prods Inc. 669 12,892 NBTY Inc.* 3,425 86,618 NCO Group Inc.* 1,615 32,478 Noven Pharmaceuticals Inc.* 1,200 19,824 OCA Inc.* 2,332 11,567 Odyssey HealthCare Inc.* 1,878 21,128 On Assignment Inc.* 1,167 6,932 Osteotech Inc.* 821 3,407 Parexel International Corp.* 1,339 30,020 Pediatrix Medical Group Inc.* 1,257 86,142 Performance Food Group Co.* 2,378 64,539 Pharmaceutical Product Development Inc.* 2,885 123,045 PolyMedica Corp. 1,391 47,892 Possis Medical Inc.* 932 8,779 Pre-Paid Legal Services Inc.* 840 29,400 PRG-Schultz International Inc.* 2,943 13,626 Priority Healthcare Corp.* 2,227 50,954 Province Healthcare Co.* 2,532 58,439 RalCorp. Holdings Inc. 1,500 69,825 Regeneron Pharmaceuticals Inc.* 2,656 16,228 RehabCare Group Inc.* 746 21,410 Resmed Inc.* 1,735 102,278 Respironics Inc.* 1,787 103,199 Rewards Network Inc.* 1,161 6,200 Russ Berrie & Co.Inc 958 21,804 Sanderson Farms Inc. 1,018 45,678 Savient Pharmaceuticals Inc.* 2,760 7,921 SFBC International Inc.* 739 32,110 Sierra Health Services* 1,332 81,998 Sola International Inc.* 1,640 45,625 SourceCorp.* 750 15,660 Spherion Corp.* 3,098 24,164 Standard Register Co./The 1,313 17,844 Startek Inc. 740 13,357 Sunrise Senior Living Inc.* 1,050 49,770 SurModics Inc.* 809 26,009 Sybron Dental Specialties Inc.* 1,978 70,654 Theragenics Corp.* 1,389 4,639 United Natural Foods Inc.* 2,000 62,340 United Surgical Partners International Inc.* 1,442 59,209 Vertrue Inc.* 521 20,262 Viad Corp. 1,109 29,943 Viasys Healthcare Inc.* 1,579 32,670 Vital Signs Inc. 595 24,443 Volt Information Sciences Inc. 731 21,287 Watson Wyatt & Co. Holdings 1,652 45,199 WD-40 Co 826 27,060 ------------ Total Consumer, Non-cyclical 4,817,090 ------------ Energy (6.72%) Atwood Oceanics Inc.* 711 48,881 Cabot Oil & Gas Corp. 1,688 94,511 Cal Dive International Inc.* 1,961 99,580 CARBO Ceramics Inc. 816 60,368 Cimarex Energy Co.* 2,123 86,342 Dril-Quip Inc.* 800 24,800 Frontier Oil Corp. 1,361 43,634 Headwaters Inc.* 1,723 55,412 Hydril* 1,174 70,522 Input/Output Inc.* 3,753 27,697 Lone Star Technologies* 1,476 66,878 Massey Energy Co. 3,894 169,701 Maverick Tube Corp.* 2,172 77,236 Oceaneering International Inc.* 1,280 51,072 Patina Oil & Gas Corp. 3,620 145,741 Petroleum Development Corp.* 815 35,730 Remington Oil & Gas Corp.* 1,386 46,182 SEACOR Holdings Inc.* 951 59,865 Southwestern Energy Co.* 1,851 112,911 Spinnaker Exploration Co.* 1,730 62,038 St Mary Land & Exploration Co. 1,464 74,488 Stone Energy Corp.* 1,367 68,664 Swift Energy Co.* 1,422 38,664 Tetra Technologies Inc.* 1,145 35,850 Unit Corp.* 2,346 107,400 Veritas DGC Inc.* 1,715 46,511 Vintage Petroleum Inc. 3,319 98,541 W-H Energy Services Inc.* 1,408 37,171 ------------ Total Energy 1,946,390 ------------ Financial (12.90%) Anchor BanCorp. Wisconsin Inc. 1,149 31,586 BankAtlantic Bancorp. Inc. 3,100 55,831 Bankunited Financial Corp.* 1,538 43,525 Boston Private Financial Holdings Inc. 1,401 37,827 Brookline Bancorp. Inc. 3,028 45,965 Capital Automotive REIT 1,857 61,838 Chittenden Corp. 2,361 62,755 Colonial Properties Trust 1,386 50,437 Commercial Federal Corp. 2,035 55,617 Commercial Net Lease Realty 2,652 50,043 Community Bank System Inc. 1,600 37,536 CRT Properties Inc. 1,345 30,424 18 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Delphi Financial Group 1,614 $ 71,952 Dime Community Bancshares 1,914 29,878 Downey Financial Corp. 1,434 89,840 East-West Bancorp. Inc. 2,406 86,520 Entertainment Properties Trust 1,184 48,544 Essex Property Trust Inc. 1,174 84,622 Financial Federal Corp.* 859 29,275 First BanCorp./Puerto Rico 2,064 97,132 First Midwest Bancorp. Inc./IL 2,389 81,537 First Republic Bank/San Francisco CA 813 43,170 FirstFed Financial Corp.* 870 44,457 Flagstar Bancorp. Inc. 3,122 64,157 Fremont General Corp. 3,956 99,454 Gables Residential Trust 1,501 52,805 Glenborough Realty Trust Inc. 1,638 32,318 Gold Banc Corp. Inc. 2,056 29,216 Hilb Rogal & Hobbs Co. 1,850 63,474 Hudson United BanCorp 2,303 81,618 Investment Technology Group Inc.* 2,351 44,316 Irwin Financial Corp. 1,450 32,944 Kilroy Realty Corp. 1,457 61,500 LandAmerica Financial Group Inc. 971 53,153 Lexington Corporate Properties Trust 2,470 54,389 MAF Bancorp. Inc. 1,677 73,100 Nara Bancorp. Inc. 1,163 22,702 New Century Financial Corp. 2,382 120,815 Parkway Properties Inc./Md 565 26,572 Philadelphia Consolidated Holding Co.* 1,130 85,857 Piper Jaffray Cos.* 1,018 40,262 Presidential Life Corp. 1,505 23,343 PrivateBancorp. Inc. 1,017 33,053 ProAssurance Corp.* 1,496 60,588 Provident Bankshares Corp. 1,686 56,329 Republic Bancorp. Inc./MI 3,613 52,569 Riggs National Corp. 1,486 28,754 RLI Corp. 1,292 55,944 SCPIE Holdings Inc. 473 5,189 Selective Insurance Group 1,422 65,426 Shurgard Storage Centers Inc. 2,359 93,747 South Financial Group Inc./The 3,540 108,678 Southwest Bancorp. of Texas Inc. 3,522 67,094 Sovran Self Storage Inc. 759 31,066 Sterling Bancshares Inc. 2,297 33,513 Sterling Financial Corp./WA* 1,159 44,181 Stewart Information Services Corp. 928 37,111 Susquehanna Bancshares Inc. 2,363 58,224 SWS Group Inc. 787 14,213 Trustco Bank Corp. NY 3,818 45,854 UCBH Holdings Inc. 2,317 95,901 UICI 2,373 65,068 Umpqua Holdings Corp. 2,193 52,435 United Bankshares Inc. 2,234 76,135 Whitney Holding Corp. 2,084 92,321 Wintrust Financial Corp. 1,038 55,699 World Acceptance Corp.* 952 25,990 Zenith National Insurance Corp. 982 49,719 ------------ Total Financial 3,737,107 ------------ Industrial (18.73%) AAR Corp.* 1,478 16,480 Acuity Brands Inc. 2,185 60,415 Advanced Energy Industries Inc.* 1,553 14,458 Albany International Corp. 1,699 54,793 Aleris International Inc.* 1,365 27,396 AM Castle & Co.* 759 11,871 Analogic Corp. 700 30,058 AO Smith Corp. 1,508 39,630 Apogee Enterprises Inc. 1,275 17,837 Applied Industrial Technologies Inc. 1,491 42,225 Aptargroup Inc. 1,875 96,788 Arkansas Best Corp. 1,281 55,365 Armor Holdings Inc.* 1,673 66,786 Artesyn Technologies Inc.* 1,796 18,607 Astec Industries Inc.* 914 16,955 Baldor Electric Co. 1,689 43,914 Barnes Group Inc. 1,185 31,616 BEI Technologies Inc. 675 18,515 Bel Fuse Inc. 579 17,937 Belden CDT Inc. 2,364 56,783 Benchmark Electronics Inc.* 2,106 68,487 Brady Corp. 2,444 84,611 Briggs & Stratton Corp. 2,304 90,824 C&D Technologies Inc. 1,187 16,357 Ceradyne Inc.* 1,221 36,752 Checkpoint Systems Inc.* 1,928 32,178 Chesapeake Corp. 1,001 21,471 Clarcor Inc. 1,302 71,962 Cognex Corp. 2,320 64,264 Coherent Inc.* 1,549 47,012 Commercial Metals Co. 2,978 103,634 CTS Corp. 1,721 22,631 Cubic Corp. 1,371 25,693 CUNO Inc.* 869 48,838 Curtiss-Wright Corp. 1,077 59,827 Cymer Inc.* 1,886 54,515 Daktronics Inc.* 943 20,605 Dionex Corp.* 1,077 61,992 DRS Technologies Inc.* 1,287 53,166 EDO Corp. 1,023 32,531 EGL Inc.* 2,382 75,629 Electro Scientific Industries Inc.* 1,341 30,307 ElkCorp 1,011 38,802 EMCOR Group Inc.* 776 37,426 Engineered Support Systems Inc. 1,336 73,854 Esterline Technologies Corp.* 1,086 35,708 FEI Co.* 1,705 42,199 Flir Systems Inc.* 3,450 107,813 Florida Rock Industries Inc. 2,219 142,393 Forward Air Corp.* 1,104 48,885 Gardner Denver Inc.* 1,013 41,644 GenCorp. Inc. 2,284 42,642 Gerber Scientific Inc.* 1,029 6,596 Griffon Corp.* 1,420 32,660 Heartland Express Inc. 3,849 79,328 IDEX Corp. 2,573 101,634 Insituform Technologies Inc.* 1,227 19,460 Intermagnetics General Corp.* 1,294 34,123 Intermet Corp. 1,230 387 Itron Inc.* 1,070 28,516 JLG Industries Inc. 2,241 47,957 Kaman Corp. 1,048 12,503 Kansas City Southern* 3,215 63,078 Kaydon Corp. 1,447 45,436 Keithley Instruments Inc. 720 11,923 Kirby Corp.* 1,258 55,667 Knight Transportation Inc.* 2,890 76,325 Landstar System Inc.* 3,058 107,275 Lawson Products 456 21,222 Lennox International Inc. 3,019 65,271 Lindsay Manufacturing Co. 549 12,759 Littelfuse Inc.* 1,132 36,813 Lydall Inc.* 745 8,456 Magnetek Inc.* 1,366 6,857 Manitowoc Co. 1,371 56,485 Meade Instruments Corp.* 955 2,961 Methode Electronics Inc. 1,654 18,508 Milacron Inc.* 3,713 10,545 Moog Inc.* 1,335 59,541 Mueller Industries Inc. 1,795 56,507 Myers Industries Inc. 1,536 20,045 Offshore Logistics Inc.* 1,161 38,209 Park Electrochemical Corp. 1,018 20,258 19 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Paxar Corp.* 2,034 $ 47,657 Photon Dynamics Inc.* 781 18,158 Planar Systems Inc.* 664 5,352 Quanex Corp. 1,264 74,386 Rayovac Corp.* 1,767 75,981 Regal-Beloit Corp. 1,174 36,206 Robbins & Myers Inc. 666 15,984 Rogers Corp.* 850 38,811 Roper Industries Inc. 2,104 135,918 SBS Technologies Inc.* 723 8,763 Shaw Group Inc./The* 3,244 67,475 Simpson Manufacturing Co.Inc 2,490 85,980 Sonic Solutions Inc.* 1,173 18,346 Standex International Corp. 564 16,305 Stewart & Stevenson Services 1,474 31,573 Sturm Ruger & Co. Inc. 1,292 10,220 Technitrol Inc.* 2,070 36,743 Teledyne Technologies Inc.* 1,666 50,946 Tetra Tech Inc.* 2,868 47,551 Texas Industries Inc. 1,086 72,436 Thomas Industries Inc. 891 35,711 Timken Co. 4,588 129,840 Tredegar Corp. 1,971 34,098 Trimble Navigation Ltd.* 2,600 93,652 Triumph Group Inc.* 814 30,256 Universal Forest Products Inc. 881 34,491 URS Corp.* 2,204 63,563 USF Corp. 1,422 67,972 Valmont Industries Inc. 1,224 30,845 Vicor Corp.* 2,151 24,414 Waste Connections Inc.* 2,239 76,305 Watts Water Technologies Inc. 1,655 55,029 Wilson Greatbatch Technologies Inc.* 1,017 17,828 Wolverine Tube Inc.* 570 5,672 Woodward Governor Co. 579 42,377 X-Rite Inc. 987 15,960 Yellow Roadway Corp.* 2,464 142,296 ------------ Total Industrial 5,425,486 ------------ Technology (8.42%) Actel Corp.* 1,218 20,779 Agilysys Inc. 1,491 28,120 Alliance Semiconductor Corp.* 1,688 4,541 Altiris Inc.* 1,400 40,922 Ansys Inc.* 1,576 56,673 ATMI Inc.* 1,601 43,579 Avid Technology Inc.* 1,622 108,512 Axcelis Technologies Inc.* 5,102 43,877 Brooks Automation Inc.* 2,287 41,418 Brooktrout Inc.* 598 7,720 CACI International Inc.* 1,495 80,670 Captaris Inc.* 1,544 7,504 Carreker Corp.* 1,093 7,695 Catapult Communications Corp.* 597 14,328 Cerner Corp.* 1,835 95,604 Ciber Inc.* 2,938 22,006 Cohu Inc. 984 17,938 Concord Communications Inc.* 863 8,898 Dendrite International Inc.* 2,129 32,701 Digi International Inc.* 989 14,934 DSP Group Inc.* 1,496 37,662 Dupont Photomasks Inc.* 838 22,073 eFunds Corp.* 2,455 54,599 EPIQ Systems Inc.* 854 10,846 ESS Technology* 1,795 10,124 Exar Corp.* 1,952 27,582 Factset Research Systems Inc. 2,334 76,999 Filenet Corp.* 1,998 46,793 Global Imaging Systems Inc.* 1,177 41,831 Global Payments Inc. 1,943 107,875 Helix Technology Corp. 1,211 20,853 Hutchinson Technology Inc.* 1,338 43,699 Hyperion Solutions Corp.* 2,001 101,010 Imagistics International Inc.* 812 27,486 Inter-Tel Inc. 1,318 36,232 JDA Software Group Inc.* 1,393 18,708 Kopin Corp.* 3,225 11,707 Kronos Inc./MA* 1,593 88,953 Kulicke & Soffa Industries Inc.* 2,607 16,893 Manhattan Associates Inc.* 1,548 30,759 Mantech International Corp.* 1,539 37,983 Mapinfo Corp.* 1,036 13,603 Mercury Computer Systems Inc.* 1,010 29,724 MICROS Systems Inc.* 1,900 61,617 Microsemi Corp.* 3,051 49,609 MRO Software Inc.* 1,139 15,388 MTS Systems Corp. 1,024 30,925 NDCHealth Corp. 1,848 28,662 NYFIX Inc.* 1,527 6,948 Pericom Semiconductor Corp.* 1,192 10,573 Phoenix Technologies Ltd.* 1,166 11,613 Photronics Inc.* 1,589 29,524 Pinnacle Systems Inc.* 3,188 13,645 Power Integrations Inc.* 1,578 33,517 Progress Software Corp.* 1,849 42,804 Radiant Systems Inc.* 1,286 10,134 Radisys Corp.* 829 12,626 Rudolph Technologies Inc.* 760 13,938 Serena Software Inc.* 2,279 52,645 Skyworks Solutions Inc.* 7,682 55,771 SPSS Inc.* 804 15,598 Standard Microsystems Corp.* 864 15,146 Supertex Inc.* 590 11,428 Synaptics Inc.* 1,300 31,057 Take-Two Interactive Software Inc.* 2,303 84,451 Talx Corp. 940 19,317 THQ Inc.* 1,990 54,407 Ultratech Inc.* 1,126 17,870 Varian Semiconductor Equipment Associates Inc.* 1,863 74,222 Veeco Instruments Inc.* 1,520 22,739 ------------ Total Technology 2,438,587 ------------ Utilities (3.93%) Allete Inc. 1,480 58,726 American States Water Co. 745 20,264 Atmos Energy Corp. 3,838 105,814 Avista Corp. 2,483 45,290 Cascade Natural Gas Corp. 520 10,686 Central Vermont Public Service Corp. 573 12,887 CH Energy Group Inc. 808 37,289 Cleco Corp. 2,440 49,508 El Paso Electric Co.* 2,442 48,767 Energen Corp. 1,865 120,293 Green Mountain Power Corp. 231 6,699 Laclede Group Inc./The 1,063 33,357 New Jersey Resources Corp. 1,414 62,782 Northwest Natural Gas Co. 1,401 51,038 Piedmont Natural Gas Co. 3,920 91,571 Southern Union Co.* 5,245 133,013 Southwest Gas Corp. 1,779 44,617 UGI Corp. 2,605 116,574 UIL Holdings Corp. 744 37,274 Unisource Energy Corp. 1,752 52,941 ------------ Total Utilities 1,139,390 ------------ Total Common Stock (Cost $18,809,794) 26,745,364 ------------ 20 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) -------------------------------------------------------------------------------- Corporate Debt (0.05%) $ 15,000 Mueller Industry (11/01/2014) $ 15,038 ------------ Total Corporate Debt (Cost $15,000) 15,038 ------------ Short-Term Investment (7.59%) $ 1,000,000 United States Treasury Bills 03/03/05 (b) 999,892 1,200,000 United States Treasury Bills 03/24/05 (b) 1,198,304 ------------ Total Short-Term Investment (Cost $2,198,196) 2,198,196 ------------ Total Investments (Cost $21,022,990)(a)(99.99%) 28,958,598 Other Net Assets (0.01%) 2,767 ------------ Total Net Assets: (100.00%) $ 28,961,365 ============ ---------- * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $21,022,990. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 9,205,687 Unrealized depreciation (1,270,079) ------------ Net unrealized appreciation $ 7,935,608 ============ (b) At February 28, 2005, certain United States Treasury Bills with a market value of $199,978 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 28, 2005: (Contracts-$500 times premium/delivery month/commitment) Unrealized Appreciation ------------ Russell 2000 Stock Index: 7/ Mar 05/Long $ 23,891 ============ See accompanying notes to financial statements -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (93.71%) Basic Materials (3.46%) Chemicals (1.37%) Praxair Inc. 3,692 $ 165,512 Sherwin-Williams Co./The 1,746 77,348 ------------ 242,860 ------------ Forest Products & Paper (1.05%) Plum Creek Timber Co. Inc. 4,950 185,873 ------------ Mining (1.04%) Alcoa Inc. 5,750 184,690 ------------ Total Basic Materials 613,423 ------------ Communications (4.22%) Media (2.76%) McGraw-Hill Cos Inc./The 5,339 490,387 ------------ Telecommunications (1.46%) SBC Communications Inc. 10,744 258,393 ------------ Total Communications 748,780 ------------ Consumer, Cyclical (12.36%) Apparel (2.09%) Coach Inc.* 4,360 242,111 Liz Claiborne Inc. 3,036 128,423 ------------ 370,534 ------------ Home Builders (0.74%) Pulte Homes Inc. 1,692 132,010 ------------ Retail (9.53%) Gap Inc./The 4,450 94,919 Longs Drug Stores Corp. 1,100 29,953 Lowe's Cos Inc. 5,750 337,985 McDonald's Corp. 12,368 409,133 Ross Stores Inc. 3,692 103,376 Sears Roebuck and Co. 2,280 113,840 Target Corp. 5,639 286,574 TJX Cos Inc. 5,750 140,415 Wal-Mart Stores Inc. 3,381 174,493 ------------ 1,690,688 ------------ Total Consumer, Cyclical 2,193,232 ------------ Consumer, Non-cyclical (16.66%) Agriculture (1.13%) Reynolds American Inc. 2,446 200,450 ------------ Beverages (2.74%) Anheuser-Busch Cos Inc. 3,036 144,058 Coca-Cola Co./The 8,000 342,400 ------------ 486,458 ------------ Commercial Services (1.44%) Moody's Corp. 3,046 255,590 ------------ Cosmetics/Personal Care (0.95%) Procter & Gamble Co. 3,180 168,826 ------------ Food (3.04%) Sara Lee Corp. 12,300 275,520 Tyson Foods Inc. 15,472 263,333 ------------ 538,853 ------------ Healthcare-Products (3.53%) Baxter International Inc. 10,411 371,256 Aetna Inc. 1,746 254,951 ------------ 626,207 ------------ Household Products/Wares (1.21%) Clorox Co. 1,201 72,108 Fortune Brands Inc. 1,746 141,426 ------------ 213,534 ------------ Pharmaceuticals (2.62%) AmerisourceBergen Corp. 2,803 167,900 Pfizer Inc. 11,300 297,077 ------------ 464,977 ------------ Total Consumer, Non-cyclical 2,954,895 ------------ Energy (12.15%) Oil&Gas (11.04%) Apache Corp. 4,126 259,443 ChevronTexaco Corp. 3,140 194,931 ConocoPhillips 3,674 407,410 Devon Energy Corp. 4,752 222,346 ENSCO International Inc. 3,370 135,744 Exxon Mobil Corp. 6,236 394,801 21 -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/28/2005 (UNAUDITED) Company (CONTINUED) Shares Value (Note 1) -------------------------------------------------------------------------------- GlobalSantaFe Corp. 2,725 $ 102,188 Valero Energy Corp. 3,386 241,219 ------------ 1,958,082 ------------ Oil&Gas Services (1.11%) Baker Hughes Inc. 2,280 107,798 Tidewater Inc. 2,180 89,969 ------------ 197,767 ------------ Total Energy 2,155,849 ------------ Financial (27.29%) Banks (8.18%) Bank of America Corp. 9,864 460,156 Fifth Third Bancorp 7,723 345,759 SunTrust Banks Inc. 2,102 152,269 Wells Fargo & Co. 8,297 492,676 ------------ 1,450,860 ------------ Diversified Financial (3.70%) Citigroup Inc. 10,411 496,813 MBNA Corp. 6,295 159,704 ------------ 656,517 ------------ Insurance (8.23%) American International Group Inc. 4,225 282,230 Arthur J Gallagher & Co. 6,200 185,132 Fidelity National Financial Inc. 2,994 132,455 Marsh & McLennan Cos Inc. 8,600 280,790 Metlife Inc. 5,928 243,285 StanCorp. Financial Group Inc.* 2,825 246,029 XL Capital Ltd. 1,201 90,075 ------------ 1,459,996 ------------ Real Estate (7.18%) Annaly Mortgage Management Inc. 7,408 141,863 Boston Properties Inc. 1,746 104,411 iStar Financial Inc. 3,704 157,383 Kimco Realty Corp. 2,013 106,910 Mills Corp./The 3,804 205,416 Realty Income Corp. 7,408 174,236 Simon Property Group Inc. 2,180 135,073 SL Green Realty Corp. 2,280 128,546 Vornado Realty Trust 1,746 119,950 ------------ 1,273,788 ------------ Total Financial 4,841,161 ------------ Industrial (5.65%) Building Materials (0.72%) Masco Corp. 3,804 128,271 ------------ Hand/Machine Tools (0.59%) Stanley Works/The 2,280 105,450 ------------ Machinery (1.15%) Caterpillar Inc. 2,146 203,977 ------------ Metal Fabricate/Hardware (0.99%) Worthington Industries 8,400 175,980 ------------ Miscellaneous Manufacturing (2.20%) 3M Co. 2,612 219,251 ITT Industries Inc. 1,067 93,843 Leggett & Platt Inc. 2,725 75,401 ------------ 388,495 ------------ Total Industrial 1,002,173 ------------ Technology (6.20%) Computers (1.79%) Diebold Inc. 1,746 93,184 Hewlett-Packard Co. 5,750 119,600 Reynolds & Reynolds Co./The 3,804 105,257 ------------ 318,041 ------------ Office/Business Equip (0.59%) Pitney Bowes Inc. 2,280 104,561 ------------ Semiconductors (0.98%) Intel Corp. 7,263 174,167 ------------ Software (2.84%) First Data Corp. 8,609 353,141 Microsoft Corp. 5,973 150,400 ------------ 503,541 ------------ Total Technology 1,100,310 ------------ Utilities (5.72%) Electric (5.72%) Calpine Corp.* 43,241 143,128 Cinergy Corp. 2,180 88,181 Consolidated Edison Inc. 6,200 265,050 Entergy Corp. 1,746 120,684 Exelon Corp. 3,146 142,703 Progress Energy Inc. 1,579 68,434 SCANA Corp. 4,900 186,396 1,014,576 ------------ Total Utilities 1,014,576 ------------ Total Common Stock (Cost $12,999,010) 16,624,399 ------------ Par Value --------- Short-Term Investments (5.62%) $ 500,000 United States Treasury Bills 03/24/05 (b) 499,298 500,000 United States Treasury Bills 04/21/05 (b) 498,369 ------------ Total Short-Term Investments (Cost $997,667) 997,667 ------------ Total Investments (Cost $13,996,677)(a)(99.33%) 17,622,066 Net Liabilities (0.67%) 119,413 ------------ Net Assets (100.00%) $ 17,741,479 ------------ ---------- * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $13,996,677. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 3,951,415 Unrealized depreciation (326,026) ------------ Net unrealized appreciation $ 3,625,389 ============ (b) At February 28, 2005, certain United States Treasury Bills with a market value of $199,348 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 28, 2005: (Contracts-$250 times premium/delivery month/commitment) Unrealized Appreciation ------------ S&P 500 Index: 3/ Mar 05/Long $ 17,589 ============ See accompanying notes to financial statements 22 -------------------------------------------------------------------------------- EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 2/28/2005 INCOME FUND (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (96.99%) Basic Materials (2.03%) Chemicals (2.03%) BASF AG ADR 1,144 $ 85,686 Bayer AG ADR 1,515 53,343 ------------ 139,029 ------------ Total Basic Materials 139,029 ------------ Communications (16.45%) Media (0.94%) Vivendi Universal SA ADR* 2,033 64,365 ------------ Telecommunications (15.51%) Alcatel SA ADR* 1,772 23,018 BT Group PLC ADR 1,760 70,875 Deutsche Telekom AG ADR* 4,925 102,785 Nokia OYJ ADR 12,628 203,816 Telecom Italia SpA ADR 2,447 94,870 Telefonaktiebolaget LM Ericsson ADR* 1,194 34,996 Telefonica SA ADR 3,317 182,933 Vodafone Group PLC ADR 13,210 347,291 ------------ 1,060,584 ------------ Total Communications 1,124,949 ------------ Consumer, Cyclical (1.17%) Auto Manufacturers (1.17%) DaimlerChrysler AG ADR 1,735 79,984 ------------ Total Consumer, Cyclical 79,984 ------------ Consumer, Non-cyclical (20.22%) Beverages (1.45%) Diageo PLC ADR 1,735 99,363 ------------ Cosmetics/Personal Care (0.69%) L'Oreal SA ADR 3,005 46,878 ------------ Food (5.71%) Koninklijke Ahold NV ADR 9,773 88,446 Nestle SA ADR 3,165 219,651 Unilever NV ADR 1,236 82,676 ------------ 390,773 ------------ Pharmaceuticals (12.37%) AstraZeneca Plc ADR 3,298 131,063 GlaxoSmithKline PLC ADR 6,088 293,563 Novartis AG ADR 5,057 252,698 Roche Holding AG ADR 3,216 168,518 ------------ 845,842 ------------ Total Consumer, Non-cyclical 1,382,856 ------------ Energy (20.39%) Oil & Gas (20.39%) BP PLC ADR 6,876 446,390 ENI SpA ADR 1,313 172,003 Royal Dutch Petroleum Co. ADR 4,420 278,858 Shell Transport & Trading Co. PLC ADR 3,354 190,205 Total SA ADR 2,579 307,417 ------------ 1,394,873 ------------ Total Energy 1,394,873 ------------ Financial (30.11%) Banks (23.79%) ABN AMRO Holding NV ADR 3,412 94,103 Banco Bilbao Vizcaya Argentaria SA ADR 6,579 113,751 Banco Santander Central Hispano SA ADR 9,958 122,483 Barclays PLC ADR 6,351 279,126 BNP Paribas ADR 3,552 129,115 Credit Suisse Group ADR 2,453 106,706 Deutsche Bank AG ADR 1,196 105,128 HSBC Holdings PLC ADR 4,332 361,679 Lloyds TSB Group PLC ADR 2,855 108,776 UBS AG ADR 2,375 206,031 ------------ 1,626,898 ------------ Insurance (6.32%) Aegon NV ADR 2,824 40,609 Allianz AG ADR 7,257 91,438 AXA SA ADR 1,384 37,119 ING Groep NV ADR 3,832 117,566 Prudential PLC ADR 2,045 37,485 Royal & Sun Alliance Insurance Group ADR 1,727 14,179 Swiss Reinsurance ADR 960 70,656 Zurich Financial Services AG ADR 1,265 23,403 ------------ 432,455 ------------ Total Financial 2,059,353 ------------ Industrial (3.13%) Electronics (0.92%) Koninklijke Philips Electronics NV ADR 2,284 63,312 ------------ Miscellaneous Manufacturer (2.21%) Siemens AG ADR 1,935 151,007 ------------ Total Industrial 214,319 ------------ Technology (0.99%) Software (0.99%) SAP AG ADR 1,667 67,597 ------------ Total Technology 67,597 ------------ Utilities (2.50%) Electric (1.77%) E.ON AG ADR 1,345 121,050 ------------ Water (0.73%) Suez SA ADR 1,837 49,948 ------------ Total Utilities 170,998 ------------ Total Common Stock (Cost $5,766,034) 6,633,958 ------------ Par Value --------- Short-Term Investments (1.46%) $ 100,000 United States Treasury Bills 04/14/05 99,705 ------------ Total Short-Term Investments (Cost $99,705) 99,705 ------------ Total Investments (Cost $5,865,739)(a)(98.45%) 6,733,663 Other Net Assets (1.55%) 106,216 ------------ Net Assets (100.00%) $ 6,839,879 ============ ---------- * Non-Income Producing Security ADR - American Depositary Receipts (a) Aggregate cost for federal income tax purposes is $5,865,739. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 1,113,356 Unrealized depreciation (245,432) ------------ Net unrealized appreciation $ 867,924 ============ See accompanying notes to financial statements 23 -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 (UNAUDITED) Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (95.93%) Basic Materials (0.65%) Sigma-Aldrich Corp. 968 $ 59,638 Smurfit-Stone Container Corp.* 3,522 58,571 ------------ Total Basic Materials 118,209 ------------ Communications (28.11%) Amazon.Com Inc.* 3,825 134,564 Check Point Software Technologies* 3,587 79,380 Cisco Systems Inc.* 31,721 552,580 Comcast Corp.* 13,117 426,958 Comverse Technology Inc.* 2,942 68,284 eBay Inc.* 13,332 571,143 EchoStar Communications Corp.* 3,155 93,861 IAC/InterActiveCorp.* 9,939 223,628 JDS Uniphase Corp.* 22,545 42,836 Juniper Networks Inc.* 4,839 104,232 Lamar Advertising Co.* 1,224 48,091 Level 3 Communications Inc.* 9,285 21,634 Liberty Media International Inc. 2,400 103,752 MCI Inc. 4,700 106,925 Nextel Communications Inc.* 19,140 563,290 NTL Inc.* 1,300 84,357 Qualcomm Inc. 27,068 977,425 Sirius Satellite Radio Inc.* 18,400 102,488 Symantec Corp.* 9,332 205,397 Telefonaktiebolaget LM Ericsson 2,400 70,344 Tellabs Inc.* 3,436 24,361 VeriSign Inc.* 3,318 90,980 XM Satellite Radio Holdings Inc.* 2,800 92,288 Yahoo! Inc.* 9,017 290,979 ------------ Total Communications 5,079,777 ------------ Consumer, Cyclical (9.82%) Bed Bath & Beyond Inc.* 5,723 214,727 CDW Corp. 1,224 70,343 Cintas Corp. 2,913 127,531 Costco Wholesale Corp. 3,439 160,223 Dollar Tree Stores Inc.* 1,584 42,689 Fastenal Co. 1,054 61,617 Kmart Holding Corp.* 1,300 126,711 Paccar Inc. 2,754 207,266 Petsmart Inc. 2,060 62,830 Ross Stores Inc. 2,056 57,568 Staples Inc. 4,732 149,153 Starbucks Corp.* 7,619 394,740 Wynn Resorts Ltd.* 1,400 100,198 ------------ Total Consumer, Cyclical 1,775,596 ------------ Consumer, Non-cyclical (14.44%) Amgen Inc.* 8,101 499,103 Apollo Group Inc.* 2,622 193,084 Biogen Idec Inc.* 4,889 188,960 Biomet Inc. 4,843 204,471 Career Education Corp.* 1,414 48,288 Chiron Corp.* 3,717 132,251 Dentsply International Inc. 1,094 60,137 Express Scripts Inc.* 1,022 76,946 Genzyme Corp.* 4,086 229,184 Gilead Sciences Inc.* 5,948 205,503 Invitrogen Corp.* 742 51,910 Lincare Holdings Inc.* 1,389 56,366 Medimmune Inc.* 3,776 90,926 Millennium Pharmaceuticals Inc.* 4,612 39,663 Patterson Cos Inc.* 1,906 94,576 Paychex Inc. 5,080 162,204 Teva Pharmaceutical Industries Ltd. 6,184 186,200 Whole Foods Market Inc. 869 89,351 ------------ Total Consumer, Non-cyclical 2,609,123 ------------ Industrial (2.63%) American Power Conversion Corp. 2,777 61,150 CH Robinson Worldwide Inc. 1,223 67,020 Expeditors International Washington Inc. 1,500 83,265 Flextronics International Ltd.* 8,478 113,181 Garmin Ltd. 1,391 71,289 Molex Inc. 1,429 35,911 Sanmina-SCI Corp.* 7,670 42,569 ------------ Total Industrial 474,385 ------------ Technology (40.28%) Adobe Systems Inc. 3,327 205,442 Altera Corp.* 7,208 149,494 Apple Computer Inc.* 15,000 672,900 Applied Materials Inc.* 12,109 211,908 ATI Technologies Inc. 3,325 58,321 Autodesk Inc. 3,200 95,104 BEA Systems Inc.* 5,204 43,193 Broadcom Corp.* 3,324 107,199 Citrix Systems Inc.* 2,835 63,788 Cognizant Technology Solutions Corp.* 1,800 85,014 Dell Inc.* 12,759 511,508 Electronic Arts Inc.* 4,382 282,595 Fiserv Inc.* 3,459 131,234 Intel Corp. 30,972 742,709 Intersil Corp. 1,947 32,826 Intuit Inc.* 3,416 146,205 Kla-Tencor Corp.* 3,369 166,462 Lam Research Corp.* 1,871 58,824 Linear Technology Corp. 5,819 227,290 Marvell Technology Group Ltd.* 3,356 122,796 Maxim Integrated Products Inc. 6,384 274,640 Mercury Interactive Corp.* 1,482 67,994 Microchip Technology Inc. 2,516 69,089 Microsoft Corp. 50,422 1,269,626 Network Appliance Inc.* 5,156 154,732 Novellus Systems Inc.* 2,060 60,842 Oracle Corp.* 29,726 383,763 Pixar* 808 72,259 QLogic Corp.* 1,377 55,479 Research In Motion Ltd. 2,578 170,432 SanDisk Corp.* 2,024 54,405 Siebel Systems Inc.* 8,163 69,630 Sun Microsystems Inc.* 20,014 84,459 Synopsys Inc.* 2,087 37,775 Veritas Software Corp.* 6,099 147,718 Xilinx Inc. 6,348 191,710 ------------ Total Technology 7,279,365 ------------ Total Common Stock (Cost $19,991,874) 17,336,455 ------------ 24 -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2005 CONTINUED (UNAUDITED) -------------------------------------------------------------------------------- Par Value --------- Short-Term Investment (3.87%) $ 300,000 United States Treasury Bills 03/03/05 (b) $ 299,968 300,000 United States Treasury Bills 03/24/05 (b) 299,578 100,000 United States Treasury Bills 05/05/05 (b) 99,531 ------------ Total Short-Term Investment (Cost $699,077) 699,077 ------------ Total Investments (Cost $20,690,951)(a)(99.80%) 18,035,532 Other Net Assets (0.20%) 37,050 ------------ Total Net Assets: (100.00%) $ 18,072,582 ============ ---------- * Non-Income Producing Security ADR - American Depositary Receipts. (a) Aggregate cost for federal income tax purposes is $20,690,951. At February 28, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 2,798,622 Unrealized depreciation (5,454,041) ------------ Net unrealized depreciation $ (2,655,419) ============ (b) At February 28, 2005, certain United States Treasury Bills with a market value of $299,844 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at February 28, 2005: (Contracts-$100 times premium/delivery month/commitment) Unrealized Depreciation ------------ Nasdaq 100 Futures: 5/ Mar 05/Long $ (33,709) ============ See accompanying notes to financial statements 25 -------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES FEBRUARY 28, 2005 (UNAUDITED) --------------------------------------------------------------------------------
California California Tax- Insured California Tax- U.S. Free Money Intermediate Free Income Government Market Fund Fund Fund Securities Fund ------------------------------------------------------------- ASSETS Investments at market value (identified cost $78,850,189, $24,092,298, $131,926,245, $29,466,821, $42,673,745 and $17,264,393, respectively)(Note 1) $ 78,850,189 $ 24,809,313 $144,729,907 $ 29,424,116 Cash 876,366 96,377 1,452 28,977 Interest receivable 306,839 269,151 1,566,685 203,315 Receivable for fund shares sold -- -- 3,458 52,691 ------------------------------------------------------------- Total Assets 80,033,394 25,174,841 146,301,502 29,709,099 ------------------------------------------------------------- LIABILITIES Payable for fund shares repurchased -- 1,165 18,772 6,358 Payable to Investment Advisor 17,038 7,205 54,909 9,334 Miscellaneous Payable -- 16,778 136,842 11,143 Accrued 12b-1 fee - K Shares -- -- -- 1,251 Accrued shareholder service fee - K Shares -- -- -- 2,906 Accrued expenses 14,740 7,355 30,161 11,322 ------------------------------------------------------------- Total Liabilities 31,778 32,503 240,684 42,314 ------------------------------------------------------------- NET ASSETS: $ 80,001,616 $ 25,142,338 $146,060,818 $ 29,666,785 ============================================================= Net Assets at February 28, 2005 consist of: Paid-in capital $ 80,005,107 $ 24,273,089 $131,937,737 $ 29,768,572 Undistributed net investment income (233) 8,175 367,349 8,792 Accumulated net realized gains (losses) (3,258) 144,059 952,070 (67,874) Unrealized appreciation (depreciation) of investments -- 717,015 12,803,662 (42,705) ------------------------------------------------------------- $ 80,001,616 $ 25,142,338 $146,060,818 $ 29,666,785 ============================================================= NET ASSETS Direct Shares $ 80,001,616 $ 25,142,338 $146,060,818 $ 26,358,778 ============================================================= K Shares $ -- $ -- $ -- $ 3,308,007 ============================================================= SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 80,068,478 2,320,363 11,759,195 2,525,893 ============================================================= K Shares (no par value, unlimited shares authorized) -- -- -- 315,285 ============================================================= NET ASSET VALUE PER SHARE Direct Shares $ 1.00 $ 10.84 $ 12.42 $ 10.44 ============================================================= K Shares $ -- $ -- $ -- $ 10.49 ============================================================= The United Short-Term U.S States Treasury Government Trust Bond Fund ------------------------------ ASSETS Investments at market value (identified cost $78,850,189, $24,092,298, $131,926,245, $29,466,821, $42,673,745 and $17,264,393, respectively)(Note 1) $ 42,673,745 $ 17,059,830 Cash 94,988 38,456 Interest receivable -- 170,067 Receivable for fund shares sold -- 627 ------------------------------ Total Assets 42,768,733 17,268,980 ------------------------------ LIABILITIES Payable for fund shares repurchased -- 62 Payable to Investment Advisor 7,508 2,493 Miscellaneous Payable -- 1,278 Accrued 12b-1 fee - K Shares 651 559 Accrued shareholder service fee - K Shares 1,399 1,377 Accrued expenses 12,832 7,503 ------------------------------ Total Liabilities 22,390 13,272 ------------------------------ NET ASSETS: $ 42,746,343 $ 17,255,708 ============================== Net Assets at February 28, 2005 consist of: Paid-in capital $ 42,746,895 $ 17,486,047 Undistributed net investment income (260) 3,752 Accumulated net realized gains (losses) (292) (29,528) Unrealized appreciation (depreciation) of investments -- (204,563) ------------------------------ $ 42,746,343 $ 17,255,708 ============================== NET ASSETS Direct Shares $ 40,986,838 $ 15,812,772 ============================== K Shares $ 1,759,505 $ 1,442,936 ============================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 40,987,148 1,587,463 ============================== K Shares (no par value, unlimited shares authorized) 1,759,563 144,740 ============================== NET ASSET VALUE PER SHARE Direct Shares $ 1.00 $ 9.96 ============================== K Shares $ 1.00 $ 9.97 ==============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 26 -------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES FEBRUARY 28, 2005 (UNAUDITED) --------------------------------------------------------------------------------
S&P 500 Index S&P MidCap S&P SmallCap Equity Income Fund Index Fund Index Fund Fund --------------------------------------------------------------- ASSETS Investments at market value (identified cost $92,721,075, $118,857,769, $21,022,990, $13,996,677, $5,865,739 and $20,690,951 respectively)(Note 1) $ 113,319,695 $ 156,939,600 $ 28,958,598 $ 17,622,066 Cash 132,717 432,193 201,800 72,506 Interest receivable -- -- 312 -- Dividend receivable 205,936 120,429 14,197 35,483 Receivable for securities sold -- 1,552,937 -- -- Receivable for fund shares sold 50,371 43,444 3,765 32,084 Variation margin receivable 237 -- -- -- Miscellaneous receivable 42,764 34,844 6,943 4,507 --------------------------------------------------------------- Total Assets 113,751,720 159,123,447 29,185,615 17,766,646 --------------------------------------------------------------- LIABILITIES Payable for securities purchased -- 1,603,841 149,413 -- Payable for fund shares repurchased 150,456 26,294 36,313 176 Payable to Investment Advisor 6,941 38,137 7,988 6,058 Variation Margin Payable -- 41,060 9,918 5,925 Accrued 12b-1 fee - K Shares 1,428 1,492 1,814 884 Accrued shareholder service fee - K Shares 3,313 3,493 4,029 2,002 Accrued expenses 39,008 49,482 14,775 10,122 --------------------------------------------------------------- Total Liabilities 201,146 1,763,799 224,250 25,167 --------------------------------------------------------------- NET ASSETS: $ 113,550,574 $ 157,359,648 $ 28,961,365 $ 17,741,479 =============================================================== Net Assets at February 28, 2005 consist of Paid-in capital $ 101,271,725 $ 117,398,051 $ 20,458,984 $ 13,991,075 Undistributed net investment income 330,041 194,577 21,031 38,525 Accumulated net realized gains (losses) (8,654,628) 1,366,441 521,851 68,901 Unrealized appreciation (depreciation) of investments 20,598,620 38,081,831 7,935,608 3,625,389 Unrealized appreciation (depreciation) of futures contract 4,816 318,748 23,891 17,589 --------------------------------------------------------------- $ 113,550,574 $ 157,359,648 $ 28,961,365 $ 17,741,479 =============================================================== NET ASSETS Direct Shares $ 109,766,731 $ 153,384,789 $ 24,071,903 $ 15,327,406 =============================================================== K Shares $ 3,783,843 $ 3,974,859 $ 4,889,462 $ 2,414,073 =============================================================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 4,520,615 7,002,140 1,329,661 976,383 =============================================================== K Shares (no par value, unlimited shares authorized) 155,316 181,453 269,349 153,294 =============================================================== NET ASSET VALUE PER SHARE Direct Shares $ 24.28 $ 21.91 $ 18.10 $ 15.70 =============================================================== K Shares $ 24.36 $ 21.91 $ 18.15 $ 15.75 =============================================================== European Growth & Nasdaq-100 Income Fund Index Fund ------------------------------- ASSETS Investments at market value (identified cost $92,721,075, $118,857,769, $21,022,990, $13,996,677, $5,865,739 and $20,690,951 respectively)(Note 1) $ 6,733,663 $ 18,035,532 Cash 66,093 41,826 Interest receivable -- -- Dividend receivable 26,539 14,111 Receivable for securities sold 2,988 -- Receivable for fund shares sold 20,468 14,833 Variation margin receivable -- -- Miscellaneous receivable 1,331 6,240 ------------------------------- Total Assets 6,851,082 18,112,542 ------------------------------- LIABILITIES Payable for securities purchased -- -- Payable for fund shares repurchased 909 10,993 Payable to Investment Advisor 1,595 3,660 Variation Margin Payable -- 9,000 Accrued 12b-1 fee - K Shares 858 1,027 Accrued shareholder service fee - K Shares 1,903 2,384 Accrued expenses 5,938 12,896 ------------------------------- Total Liabilities 11,203 39,960 ------------------------------- NET ASSETS: $ 6,839,879 $ 18,072,582 =============================== Net Assets at February 28, 2005 consist of Paid-in capital $ 6,216,467 $ 30,910,360 Undistributed net investment income 23,478 71,312 Accumulated net realized gains (losses) (267,990) (10,219,962) Unrealized appreciation (depreciation) of investments 867,924 (2,655,419) Unrealized appreciation (depreciation) of futures contract -- (33,709) ------------------------------- $ 6,839,879 $ 18,072,582 =============================== NET ASSETS Direct Shares $ 4,507,635 $ 15,397,341 =============================== K Shares $ 2,332,244 $ 2,675,241 =============================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 530,983 4,039,285 =============================== K Shares (no par value, unlimited shares authorized) 273,596 703,799 =============================== NET ASSET VALUE PER SHARE Direct Shares $ 8.49 $ 3.81 =============================== K Shares $ 8.52 $ 3.80 ===============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 27 -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2005 (UNAUDITED) --------------------------------------------------------------------------------
California California Tax- Insured California Tax- Free Money Intermediate Free Income Market Fund Fund Fund ---------------------------------------------------- INVESTMENT INCOME Interest income $ 666,007 $ 479,714 $ 3,407,367 ---------------------------------------------------- Total 666,007 479,714 3,407,367 EXPENSES Management fees (Note 2) 204,219 64,062 360,596 Transfer agent fees 14,562 8,201 27,769 Accounting services 22,710 9,036 33,157 Custodian fees 4,382 1,420 6,336 Legal and audit fees 13,441 4,439 22,745 Trustees fees 2,909 2,958 2,921 Insurance 1,562 506 3,082 Printing 1,115 421 2,629 Registration and dues 940 429 1,309 12b-1 Fees K-Shares -- -- -- Shareholder Service Fee - K Shares -- -- -- ---------------------------------------------------- Total Expenses 265,840 91,472 460,544 Less reimbursement from manager (Note 2) (86,124) (15,878) -- ---------------------------------------------------- Net Expenses 179,716 75,594 460,544 ---------------------------------------------------- Net Investment Income (loss) 486,291 404,120 2,946,823 ---------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) from security transactions -- 144,059 952,367 Change in unrealized appreciation (depreciation) of investments -- (367,056) (2,177,931) ---------------------------------------------------- Net realized and unrealized gain (loss) on investments -- (222,997) (1,225,564) ---------------------------------------------------- Net increase (decrease) in net assets resulting from operations $ 486,291 $ 181,123 $ 1,721,259 ==================================================== Short-Term U.S. The United U.S. Government States Treasury Government Securities Fund Trust Bond Fund -------------------------------------------------- INVESTMENT INCOME Interest income $ 607,025 $ 374,116 $ 184,082 -------------------------------------------------- Total 607,025 374,116 184,082 EXPENSES Management fees (Note 2) 73,555 102,443 40,774 Transfer agent fees 12,517 12,893 8,617 Accounting services 11,002 14,055 7,854 Custodian fees 2,008 2,483 991 Legal and audit fees 5,128 7,072 2,985 Trustees fees 995 1,012 1,019 Insurance 562 783 317 Printing 1,202 1,091 493 Registration and dues 2,548 2,815 2,260 12b-1 Fees K-Shares 3,357 1,593 1,640 Shareholder Service Fee - K Shares 3,357 1,593 1,640 -------------------------------------------------- Total Expenses 116,231 147,833 68,590 Less reimbursement from manager (Note 2) (13,895) (64,717) (24,535) -------------------------------------------------- Net Expenses 102,336 83,116 44,055 -------------------------------------------------- Net Investment Income (loss) 504,689 291,000 140,027 -------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) from security transactions (67,881) (292) (28,221) Change in unrealized appreciation (depreciation) of investments (153,291) -- (176,000) -------------------------------------------------- Net realized and unrealized gain (loss) on investments (221,172) (292) (204,221) -------------------------------------------------- Net increase (decrease) in net assets resulting from operations $ 283,517 $ 290,708 $ (64,194) ==================================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 28 -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2005 (UNAUDITED) --------------------------------------------------------------------------------
S&P 500 S&P MidCap S&P SmallCap Index Fund Index Fund Index Fund --------------------------------------------- Investment Income Interest income $ 48,003 $ 125,246 $ 22,964 Dividend income 1,336,910 782,892 146,098 --------------------------------------------- Total 1,384,913 908,138 169,062 --------------------------------------------- Expenses Management fees (Note 2) 138,240 285,970 66,290 Transfer agent fees 37,030 37,666 14,872 Accounting services 31,132 37,948 10,091 Custodian fees 6,116 8,315 4,356 Legal and audit fees 18,358 23,444 4,649 Trustees fees 995 1,055 1,034 Insurance 2,000 2,419 448 Printing 4,972 4,699 1,665 Registration & dues 4,444 4,888 2,330 12b-1 Fees - K Shares 3,922 4,153 4,667 Shareholder Service Fee - K Shares 3,922 4,153 4,667 Licensing fee 5,651 6,384 1,141 --------------------------------------------- Total Expenses 256,782 421,094 116,210 Less reimbursement from manager (Note 2) (99,662) (62,473) (20,700) --------------------------------------------- Net Expenses 157,120 358,621 95,510 --------------------------------------------- Net Investment Income (loss) 1,227,793 549,517 73,552 --------------------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions 1,318,663 2,536,279 375,876 Net realized gain from futures contracts 91,481 1,014,046 215,054 Change in unrealized appreciation (depreciation) of investments 7,880,370 13,708,431 3,944,651 Change in unrealized appreciation (depreciation) of futures contracts (829) 375,691 15,710 --------------------------------------------- Net realized and unrealized gain (loss) on investments 9,289,685 17,634,447 4,551,291 --------------------------------------------- Net increase (decrease) in net assets resulting from operations $ 10,517,478 $ 18,183,964 $ 4,624,843 ============================================= European Equity Income Growth & Nasdaq-100 Fund Income Fund Index Fund --------------------------------------------- Investment Income Interest income $ 26,679 $ 2,363 $ 10,269 Dividend income 179,271 55,490 192,808 --------------------------------------------- Total 205,950 57,853 203,077 --------------------------------------------- Expenses Management fees (Note 2) 40,304 24,960 43,746 Transfer agent fees 11,888 8,793 14,923 Accounting services 8,809 5,224 7,923 Custodian fees 1,042 856 2,189 Legal and audit fees 2,938 1,327 3,188 Trustees fees 585 1,059 1,014 Insurance 199 97 308 Printing 975 631 1,804 Registration & dues 1,375 1,165 3,233 12b-1 Fees - K Shares 2,323 2,185 2,762 Shareholder Service Fee - K Shares 2,323 2,185 2,762 Licensing fee -- -- 2,604 --------------------------------------------- Total Expenses 72,761 48,482 86,456 Less reimbursement from manager (Note 2) (3,628) (16,216) (24,063) --------------------------------------------- Net Expenses 69,133 32,266 62,393 --------------------------------------------- Net Investment Income (loss) 136,817 25,587 140,684 --------------------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions 21 (7,260) (735,600) Net realized gain from futures contracts 523,250 -- 41,470 Change in unrealized appreciation (depreciation) of investments 1,273,366 1,044,380 2,260,528 Change in unrealized appreciation (depreciation) of futures contracts (29,071) -- (33,709) --------------------------------------------- Net realized and unrealized gain (loss) on investments 1,767,566 1,037,120 1,532,689 --------------------------------------------- Net increase (decrease) in net assets resulting from operations $ 1,904,383 $ 1,062,707 $ 1,673,373 =============================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 29 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
California Tax-Free Money California Insured Market Fund Intermediate Fund ------------------------------ ------------------------------ Six Months Six Months Ended February Year Ended Ended February Year Ended 28, 2005 August 31, 28, 2005 August 31, (Unaudited) 2004 (Unaudited) 2004 ----------------------------------------------------------------- Operations Net investment income $ 486,291 $ 461,912 $ 404,120 $ 831,112 Net realized gain (loss) on investments -- -- 144,059 54,419 Change in unrealized appreciation of investments -- -- (367,056) 388,836 ----------------------------------------------------------------- Net increase in net assets resulting from operations 486,291 461,912 181,123 1,274,367 Distributions to Shareholders Distributions from net investment income (486,524) (461,912) (399,340) (835,074) Distributions from realized capital gains on investments -- -- (54,421) (78,682) Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions (13,177,981) 4,376,024 (938,032) (1,913,347) ----------------------------------------------------------------- Total increase (decrease) (13,178,214) 4,376,024 (1,210,670) (1,552,736) Net Assets Beginning of period 93,179,830 88,803,806 26,353,008 27,905,744 ----------------------------------------------------------------- End of period * $ 80,001,616 $ 93,179,830 $ 25,142,338 $ 26,353,008 ================================================================= *Including undistributed net investment income of: $ (233) $ -- $ 8,175 $ 3,395 ================================================================= California Tax-Free Income Fund ------------------------------- Six Months Ended February Year Ended 28, 2005 August 31, (Unaudited) 2004 ------------------------------- Operations Net investment income $ 2,946,823 $ 6,558,702 Net realized gain (loss) on investments 952,367 2,804,832 Change in unrealized appreciation of investments (2,177,931) 184,057 ------------------------------- Net increase in net assets resulting from operations 1,721,259 9,547,591 Distributions to Shareholders Distributions from net investment income (2,908,509) (6,615,271) Distributions from realized capital gains on investments (2,641,617) (1,385,238) Capital Share Transactions Increase (decrease) in net assetsresulting from capital share transactions (8,437,626) (15,708,184) ------------------------------- Total increase (decrease) (12,266,493) (14,161,102) Net Assets Beginning of period 158,327,311 172,488,413 ------------------------------- End of period * $ 146,060,818 $ 158,327,311 =============================== *Including undistributed net investment income of: $ 367,349 $ 329,035 ===============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 30 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
U.S. Government The United States Securities Fund Treasury Trust ---------------------------- --------------------------- Six Months Six Months Ended February Year Ended Ended February Year Ended 28, 2005 August 31, 28, 2005 August 31, (Unaudited) 2004 (Unaudited) 2004 ------------------------------------------------------------- Operations Net investment income $ 504,689 $ 921,273 $ 291,000 $ 255,414 Net realized gain (loss) on investments (67,881) 263,551 (292) 2,510 Change in unrealized appreciation (depreciation) of investments (153,291) 10,691 -- -- ------------------------------------------------------------- Net increase in net assets resulting from operations 283,517 1,195,515 290,708 257,924 Distributions to Shareholders Distributions from net investment income Direct Shares (459,453) (898,759) (284,897) (254,691) K Shares (39,462) (19,496) (6,363) (723) Distributions from realized capital gains on investments Direct Shares (223,713) (224,970) (2,308) (5,459) K Shares (22,198) (190) (96) (28) Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions 985,125 (2,494,552) 2,662,666 (544,900) ------------------------------------------------------------- Total increase (decrease) 523,816 (2,442,452) 2,659,710 (547,877) Net Assets Beginning of period 29,142,969 31,585,421 40,086,633 40,634,510 ------------------------------------------------------------- End of period * $ 29,666,785 $ 29,142,969 $ 42,746,343 $ 40,086,633 ============================================================= *Including undistributed net investment income (loss) of: $ 8,792 $ 3,018 $ (260) $ -- ============================================================= Short-Term U.S. Government Bond Fund ---------------------------- Six Months Ended February Year Ended 28, 2005 August 31, (Unaudited) 2004 ---------------------------- Operations Net investment income $ 140,027 $ 206,621 Net realized gain (loss) on investments (28,221) 8,934 Change in unrealized appreciation (depreciation) of investments (176,000) (19,364) ---------------------------- Net increase in net assets resulting from operations (64,194) 196,191 Distributions to Shareholders Distributions from net investment income Direct Shares (129,438) (203,269) K Shares (8,131) (4,384) Distributions from realized capital gains on investments Direct Shares (7,254) (14,053) K Shares (669) (4) Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions 1,131,965 (5,141,433) ---------------------------- Total increase (decrease) 922,279 (5,166,952) Net Assets Beginning of period 16,333,429 21,500,381 ---------------------------- End of period * $ 17,255,708 $ 16,333,429 ============================ *Including undistributed net investment income (loss) of: $ 3,752 $ 1,294 ============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 31 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
S&P 500 S&P MidCap Index Fund Index Fund ------------------------------- ------------------------------ Six Months Six Months Ended February Year Ended Ended February Year Ended 28, 2005 August 31, 28, 2005 August 31, (Unaudited) 2004 (Unaudited) 2004 ----------------------------------------------------------------- Operations Net investment income $ 1,227,793 $ 1,550,898 $ 549,517 $ 829,851 Net realized gain (loss) on investments 1,318,663 (187,936) 2,536,279 759,259 Net realized gain (loss) on futures contracts 91,481 454,361 1,014,046 903,501 Change in unrealized appreciation (depreciation) of investments 7,880,370 9,198,454 13,708,431 10,585,959 Change in unrealized appreciation (depreciation) of futures contracts (829) (60,572) 375,691 (206,760) ----------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations 10,517,478 10,955,205 18,183,964 12,871,810 Distributions to Shareholders Distributions from net investment income Direct Shares (1,162,790) (1,490,099) (511,309) (786,784) K Class (23,252) (4,752) (3,896) (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 (4,347,302) 842,061 10,554,202 13,281,899 ----------------------------------------------------------------- Total increase (decrease) 4,984,134 10,302,415 28,222,961 25,365,678 Net Assets Beginning of year 108,566,440 98,264,025 129,136,687 103,771,009 ----------------------------------------------------------------- End of year* $ 113,550,574 $ 108,566,440 $ 157,359,648 $ 129,136,687 ================================================================= *Including undistributed net investment income of: $ 330,041 $ 288,290 $ 194,577 $ 160,265 ================================================================= S&P SmallCap Index Fund ------------------------------ Six Months Ended February Year Ended 28, 2005 August 31, (Unaudited) 2004 ------------------------------ Operations Net investment income $ 73,552 $ 53,380 Net realized gain (loss) on investments 375,876 1,262,635 Net realized gain (loss) on futures contracts 215,054 44,823 Change in unrealized appreciation (depreciation) of investments 3,944,651 1,277,943 Change in unrealized appreciation (depreciation) of futures contracts 15,710 (20,844) ------------------------------ Net increase (decrease) in net assets resulting from operations 4,624,843 2,617,937 Distributions to Shareholders Distributions from net investment income Direct Shares (60,222) (52,258) K Class -- -- Distributions from realized capital gains on investments Direct Shares (986,194) (182,877) K Class (155,275) (312) Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions 2,095,526 2,534,475 ------------------------------ Total increase (decrease) 5,518,678 4,916,965 Net Assets Beginning of year 23,442,687 18,525,722 ------------------------------ End of year* $ 28,961,365 $ 23,442,687 ============================== *Including undistributed net investment income of: $ 21,031 $ 7,701 ==============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 32 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
European Growth & Equity Income Fund Income Fund --------------------------- ---------------------------- Six Months Six Months Ended February Year Ended Ended February Year Ended 28, 2005 August 31, 28, 2005 August 31, (Unaudited) 2004 (Unaudited) 2004 -------------------------------------------------------------- Operations Net investment income (loss) $ 136,817 $ 144,827 $ 25,587 $ 84,165 Net realized gain (loss) on investments 21 371,115 (7,260) (32,592) Net realized gain on futures contracts 523,250 194,491 -- (28,906) Change in unrealized appreciation (depreciation) of investments 1,273,366 914,863 1,044,380 540,073 Change in unrealized appreciation (depreciation) of future contracts (29,071) 3,000 -- -- -------------------------------------------------------------- Net increase in net assets resulting from operations 1,904,383 1,628,296 1,062,707 562,740 Distributions to Shareholders Distributions from net investment income Direct Shares (124,490) (133,721) (17,947) (72,550) K Shares (10,540) (956) (2,653) (6,306) Capital Share Transactions Increase in net assets resulting from capital share transactions 1,365,357 3,295,317 698,318 1,251,172 -------------------------------------------------------------- Total increase 3,134,710 4,788,936 1,740,425 1,735,056 Net Assets Beginning of period 14,606,769 9,817,833 5,099,454 3,364,398 -------------------------------------------------------------- End of period * $ 17,741,479 $ 14,606,769 $ 6,839,879 $ 5,099,454 ============================================================== *Including undistributed net investment income of: $ 38,525 $ 36,738 $ 23,478 $ 18,491 ============================================================== Nasdaq-100 Index Fund ----------------------------- Six Months Ended February Year Ended 28, 2005 August 31, (Unaudited) 2004 ----------------------------- Operations Net investment income (loss) $ 140,684 $ (68,157) Net realized gain (loss) on investments (735,600) (1,764,906) Net realized gain on futures contracts 41,470 230,041 Change in unrealized appreciation (depreciation) of investments 2,260,528 1,764,736 Change in unrealized appreciation (depreciation) of future contracts (33,709) -- ----------------------------- Net increase in net assets resulting from operations 1,673,373 161,714 Distributions to Shareholders Distributions from net investment income Direct Shares (61,994) -- K Shares (7,378) -- Capital Share Transactions Increase in net assets resulting from capital share transactions 469,349 909,458 ----------------------------- Total increase 2,073,350 1,071,172 Net Assets Beginning of period 15,999,232 14,928,060 ----------------------------- End of period * $ 18,072,582 $ 15,999,232 ============================= *Including undistributed net investment income of: $ 71,312 $ -- =============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 33 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
California Tax-Free Income Fund -------------------------------------------------------------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ------------------------------ ------------------------------ Shares Value Shares Value ------------------------------ ------------------------------ Shares sold .......................... 500,209 $ 4,121,718 2,319,440 $ 29,827,911 Shares issued in reinvestment of distributions ..................... 308,689 2,947,016 476,675 6,120,489 ------------------------------ ------------------------------ 808,898 7,068,734 2,796,115 35,948,400 Shares repurchased ................... (1,441,994) (15,506,360) (4,027,520) (51,656,584) ------------------------------ ------------------------------ Net increase (decrease) ........... (633,096) $ (8,437,626) (1,231,405) $(15,708,184) ============================== ============================== California Insured Intermediate Fund ------------------------------------------------------------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ---------------------------- Shares Value Shares Value ----------------------------- ---------------------------- Shares sold .......................... 96,408 $ 548,922 257,322 $ 2,849,192 Shares issued in reinvestment of distributions ..................... 26,436 205,417 61,776 678,067 ----------------------------- ---------------------------- 122,844 754,339 319,098 3,527,259 Shares repurchased ................... (203,099) (1,692,371) (502,444) (5,440,606) ----------------------------- ---------------------------- Net increase (decrease) ........... (80,255) $ (938,032) (183,346) $ (1,913,347) ============================= ============================
California Tax-Free Money Market ------------------- Six Months Ended February 28, 2005 Year Ended (Unaudited) August 31, 2004 ------------ ------------- Shares/Value Shares/Value ------------ ------------- Shares sold ......................... 30,600,806 76,522,931 Shares issued in reinvestment of distributions .................... 382,297 396,128 ------------ ------------- 30,983,103 76,919,059 Shares repurchased .................. (44,161,084) (72,543,035) ------------ ------------- Net increase (decrease) .......... (13,177,981) 4,376,024 ============ ============= The United States Treasury Trust Direct Shares K Shares ------------- -------- Six Months Ended Six Months Ended February 28, 2005 Year Ended February 28, 2005 October 16, 2003* (Unaudited) August 31, 2004 (Unaudited) to August 31, 2004 ------------ ------------- -------------- ------------------ Shares/Value Shares/Value Shares/Value Shares/Value ------------ ------------- -------------- ------------- Shares sold .......................... 26,640,577 61,066,006 1,483,992 1,547,451 Shares issued in reinvestment of distributions ..................... 222,394 249,705 4,624 740 ------------ ------------- -------------- ------------- 26,862,971 61,315,711 1,488,616 1,548,191 Shares repurchased ................... (25,016,301) (62,804,178) (672,620) (604,624) ------------ ------------- -------------- ------------- Net increase (decrease) ........... 1,846,670 (1,488,467) 815,996 943,567 ============ ============= ============== =============
Short-Term U.S. Government Bond Fund
Direct Shares ------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ---------------------------- ----------------------------- Shares sold .......................... 432,016 $ 4,342,345 481,018 $ 4,867,152 ---------------------------- ----------------------------- Shares issued in reinvestment of distributions ...................... 10,442 104,527 20,567 207,999 ---------------------------- ----------------------------- 442,458 4,446,872 501,585 5,075,151 Shares repurchased ................... (351,556) (3,535,743) (1,131,001) (11,455,015) ---------------------------- ----------------------------- Net increase (decrease) ........... 90,902 $ 911,129 (629,416) $ (6,379,864) ============================ ============================= K Shares -------- Six Months Ended October 16, 2003* February 28, 2005 (Unaudited) to August 31, 2004 ----------------------------- -------------------------- Shares Value Shares Value -------------------------- -------------------------- Shares sold .......................... 30,793 $ 303,175 134,312 $ 1,359,505 -------------------------- -------------------------- Shares issued in reinvestment of distributions ...................... 698 6,993 434 4,388 -------------------------- -------------------------- 31,491 310,168 134,746 1,363,893 Shares repurchased ................... (9,123) (89,332) (12,374) (125,462) -------------------------- -------------------------- Net increase (decrease) ........... 22,368 $ 220,836 122,372 $ 1,238,431 ========================== ==========================
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 34 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------- U.S. Government Securities Fund
Direct Shares ------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ---------------------------- ----------------------------- Shares sold .................... 250,592 $ 2,382,232 519,310 $ 5,527,064 Shares issued in reinvestment of distributions ............... 30,258 461,409 92,069 971,074 ---------------------------- ----------------------------- 280,850 2,843,641 611,379 6,498,138 Shares repurchased ............. (345,059) (3,627,489) (1,012,163) (10,666,564) ---------------------------- ----------------------------- Net increase (decrease) ..... (64,209) $ (783,848) (400,784) $ (4,168,426) ============================ ============================= K Shares -------- Six Months Ended October 16, 2003* February 28, 2005 (Unaudited) to August 31, 2004 ----------------------------- --------------------------- Shares Value Shares Value --------------------------- --------------------------- Shares sold .................... 178,738 $ 1,988,699 168,080 $ 1,774,698 Shares issued in reinvestment of distributions ............... 5,109 53,899 1,864 19,687 --------------------------- --------------------------- 183,847 2,042,598 169,944 1,794,385 Shares repurchased ............. (27,153) (273,625) (11,353) (120,511) --------------------------- --------------------------- Net increase (decrease) ..... 156,694 $ 1,768,973 158,591 $ 1,673,874 =========================== ===========================
S&P 500 Index Fund
Direct Shares ------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ---------------------------- ----------------------------- Shares sold .................... 152,720 $ 2,389,204 605,048 $ 13,414,804 Shares issued in reinvestment of distributions ............... 39,098 836,509 53,064 1,168,686 ---------------------------- ----------------------------- 191,818 3,225,713 658,112 14,583,490 Shares repurchased ............. (434,723) (8,778,178) (721,895) (16,024,303) ---------------------------- ----------------------------- Net increase (decrease) ..... (242,905) $ (5,552,465) (63,783) $ (1,440,813) ============================ ============================= K Shares -------- Six Months Ended October 16, 2003* February 28, 2005 (Unaudited) to August 31, 2004 ----------------------------- --------------------------- Shares Value Shares Value --------------------------- --------------------------- Shares sold .................... 65,446 $ 1,464,099 111,723 $ 2,520,819 Shares issued in reinvestment of distributions ............... 961 22,956 203 4,657 --------------------------- --------------------------- 66,407 1,487,055 111,926 2,525,476 Shares repurchased ............. (12,169) (281,892) (10,848) (242,602) --------------------------- --------------------------- Net increase (decrease) ..... 54,238 $ 1,205,163 101,078 $ 2,282,874 =========================== ===========================
S&P MidCap Index Fund
Direct Shares ------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ---------------------------- ----------------------------- Shares sold .................... 811,195 $ 15,486,397 1,579,147 $ 29,686,218 Shares issued in reinvestment of distributions ............... 20,927 401,892 35,605 672,431 ---------------------------- ----------------------------- 832,122 15,888,289 1,614,752 30,358,649 Shares repurchased ............. (496,674) (6,372,235) (1,048,847) (19,578,331) ---------------------------- ----------------------------- Net increase (decrease) ..... 335,448 $ 9,516,054 565,905 $ 10,780,318 ============================ ============================= K Shares -------- Six Months Ended October 16, 2003* February 28, 2005 (Unaudited) to August 31, 2004 ----------------------------- --------------------------- Shares Value Shares Value --------------------------- --------------------------- Shares sold .................... 68,409 $ 1,369,173 136,362 $ 2,636,585 Shares issued in reinvestment of distributions ............... 177 3,663 59 1,172 --------------------------- --------------------------- 68,586 1,372,836 136,421 2,637,757 Shares repurchased ............. (16,537) (328,854) (7,017) (136,176) --------------------------- --------------------------- Net increase (decrease) ..... 52,049 $ 1,043,982 129,404 $ 2,501,581 =========================== ===========================
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 35 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------- S&P SmallCap Index Fund
Direct Shares ------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ---------------------------- ----------------------------- Shares sold .................... 132,903 $ 1,811,865 355,453 $ 5,543,894 Shares issued in reinvestment of distributions ............... 58,120 1,010,109 15,052 231,361 ---------------------------- ----------------------------- 191,023 2,821,974 370,505 5,775,255 Shares repurchased ............. (169,740) (2,379,674) (379,065) (5,979,330) ---------------------------- ----------------------------- Net increase (decrease) .. 21,283 $ 442,300 (8,560) $ (204,075) ============================ ============================= K Shares -------- Six Months Ended October 16, 2003* February 28, 2005 (Unaudited) to August 31, 2004 ----------------------------- --------------------------- Shares Value Shares Value --------------------------- --------------------------- Shares sold .................... 111,378 $ 1,870,067 176,552 $ 2,833,369 Shares issued in reinvestment of distributions ............... 8,807 155,275 20 312 --------------------------- --------------------------- 120,185 2,025,342 176,572 2,833,681 Shares repurchased ............. (21,520) (372,116) (5,888) (95,131) --------------------------- --------------------------- Net increase (decrease) .. 98,665 $ 1,653,226 170,684 $ 2,738,550 =========================== ===========================
Equity Income Fund
Direct Shares ------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ---------------------------- ----------------------------- Shares sold .................... 120,385 $ 1,772,907 285,655 $ 3,895,111 Shares issued in reinvestment of distributions ............... 7,699 112,868 9,514 128,543 ---------------------------- ----------------------------- 128,084 1,885,775 295,169 4,023,654 Shares repurchased ............. (85,388) (1,234,307) (158,103) (2,170,526) ---------------------------- ----------------------------- Net increase (decrease) ..... 42,696 $ 651,468 137,066 $ 1,853,128 ============================ ============================= K Shares -------- Six Months Ended October 16, 2003* February 28, 2005 (Unaudited) to August 31, 2004 ----------------------------- --------------------------- Shares Value Shares Value --------------------------- --------------------------- Shares sold .................... 60,723 $ 878,384 110,644 $ 1,531,478 Shares issued in reinvestment of distributions ............... 693 10,540 67 956 --------------------------- --------------------------- 61,416 888,924 110,711 1,532,434 Shares repurchased ............. (12,346) (175,035) (6,487) (90,245) --------------------------- --------------------------- Net increase (decrease) ..... 49,070 $ 713,889 104,224 $ 1,442,189 =========================== ===========================
European Growth & Income Fund
Direct Shares ------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ---------------------------- ----------------------------- Shares sold .................... 87,590 $ 608,420 468,370 $ 3,190,388 Shares issued in reinvestment of distributions ............... 2,360 17,527 10,048 71,466 ---------------------------- ----------------------------- 89,950 625,947 478,418 3,261,854 Shares repurchased ............. (111,701) (747,723) (470,211) (3,215,473) ---------------------------- ----------------------------- Net increase (decrease) ..... (21,751) $ (121,776) 8,207 $ 46,381 ============================ ============================= K Shares -------- Six Months Ended October 16, 2003* February 28, 2005 (Unaudited) to August 31, 2004 ----------------------------- --------------------------- Shares Value Shares Value --------------------------- --------------------------- Shares sold .................... 141,683 $ 1,037,072 175,871 $ 1,282,465 Shares issued in reinvestment of distributions ............... 365 2,681 860 6,308 --------------------------- --------------------------- 142,048 1,039,753 176,731 1,288,773 Shares repurchased ............. (33,910) (219,659) (11,271) (83,982) --------------------------- --------------------------- Net increase (decrease) ..... 108,138 $ 820,094 165,460 $ 1,204,791 =========================== ===========================
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 36 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------- Nasdaq-100 Index Fund
Direct Shares ------------- Six Months Ended Year Ended February 28, 2005 (Unaudited) August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ---------------------------- ----------------------------- Shares sold .................... 364,420 $ 925,831 1,956,544 $ 7,041,214 Shares issued in reinvestment of distributions ............... 15,068 68,857 -- -- ---------------------------- ----------------------------- 379,488 994,688 1,956,544 7,041,214 Shares repurchased ............. (490,369) (1,353,477) (2,189,504) (7,878,485) ---------------------------- ----------------------------- Net increase (decrease) ..... (110,881) $ (358,789) (232,960) $ (837,271) ============================ ============================= K Shares -------- Six Months Ended October 16, 2003* February 28, 2005 (Unaudited) to August 31, 2004 ----------------------------- --------------------------- Shares Value Shares Value --------------------------- --------------------------- Shares sold .................... 307,216 $ 1,133,884 514,305 $ 1,877,933 Shares issued in reinvestment of distributions ............... 1,817 7,378 -- -- --------------------------- --------------------------- 309,033 1,141,262 514,305 1,877,933 Shares repurchased ............. (84,060) (313,124) (35,479) (131,204) --------------------------- --------------------------- Net increase (decrease) ..... 224,973 $ 828,138 478,826 $ 1,746,729 =========================== ===========================
* Commencement of operations SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 37 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
California Tax-Free Money Market Fund Six Months Ended February 28, Year Ended Year Ended Year Ended Year Ended Year Ended 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.006 0.005 0.007 0.011 0.026 0.029 LESS DISTRIBUTIONS Dividends from net investment income (0.006) (0.005) (0.007) (0.011) (0.026) (0.029) --------------------------------------------------------------------------------- Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ================================================================================= Total Return 0.59% 0.54% 0.70% 1.15% 2.66% 2.92% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 80,002 $ 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% 0.65% 0.63% 0.66% After expense reimbursements 0.44%* 0.44% 0.43% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 0.98%* 0.33% 0.48% 0.90% 2.36% 2.63% After expense reimbursements 1.19%* 0.54% 0.70% 1.15% 2.59% 2.89% California Insured Intermediate Fund Six Months Ended February 28, Year Ended Year Ended Year Ended Year Ended Year Ended 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.98 $ 10.80 $ 11.22 $ 11.09 $ 10.72 $ 10.54 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.17 0.33 0.33 0.39 0.43 0.44 Net gain (loss) on securities (both realized and unrealized) (0.12) 0.21 (0.21) 0.27 0.37 0.20 --------------------------------------------------------------------------------- Total from Investment Operations 0.05 0.54 0.12 0.66 0.80 0.64 --------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.17) (0.33) (0.33) (0.39) (0.43) (0.44) Distributions from capital gains (0.02) (0.03) (0.21) (0.14) -- (0.02) --------------------------------------------------------------------------------- Total distributions (0.19) (0.36) (0.54) (0.53) (0.43) (0.46) --------------------------------------------------------------------------------- Net asset value, end of period $ 10.84 $ 10.98 $ 10.80 $ 11.22 $ 11.09 $ 10.72 ================================================================================= Total Return 0.48% 5.06% 1.03% 6.17% 7.66% 6.25% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 25,142 $ 26,353 $ 27,906 $ 27,105 $ 22,949 $ 22,878 Ratio of expenses to average net assets: Before expense reimbursements 0.71%* 0.71% 0.71% 0.72% 0.71% 0.72% After expense reimbursements 0.59%* 0.59% 0.58% 0.55% 0.55% 0.55% Ratio of net investment income to average net assets Before expense reimbursements 3.03%* 2.85% 2.83% 3.43% 3.82% 3.93% After expense reimbursements 3.16%* 2.97% 2.96% 3.60% 3.98% 4.10% Portfolio Turnover -- 21.62% 22.45% 29.28% 24.35% 24.24%
* Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 38 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
California Tax-Free Income Fund Six Months Ended February 28, Year Ended Year Ended Year Ended Year Ended Year Ended 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.78 $ 12.66 $ 13.24 $ 13.17 $ 12.75 $ 12.40 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.25 0.50 0.50 0.52 0.55 0.55 Net gain (loss) on securities (both realized and unrealized) (0.13) 0.22 (0.42) 0.18 0.44 0.41 --------------------------------------------------------------------------------- Total from Investment Operations 0.12 0.72 0.08 0.70 0.99 0.96 --------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.25) (0.50) (0.50) (0.52) (0.56) (0.55) Distributions from capital gains (0.23) (0.10) (0.16) (0.11) (0.01) (0.06) --------------------------------------------------------------------------------- Total distributions (0.48) (0.60) (0.66) (0.63) (0.57) (0.61) --------------------------------------------------------------------------------- Net asset value, end of period $ 12.42 $ 12.78 $ 12.66 $ 13.24 $ 13.17 $ 12.75 ================================================================================= Total Return 0.90% 5.82% 0.61% 5.55% 7.98% 8.07% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 146,061 $ 158,327 $ 172,488 $ 206,909 $ 201,286 $ 196,786 Ratio of expenses to average net assets: 0.62%* 0.62% 0.61% 0.61% 0.63% 0.64% Ratio of net investment income to average net assets 3.95%* 3.86% 3.82% 4.11% 4.30% 4.54% Portfolio Turnover 5.17% 11.64% 1.44% 22.94% 28.96% 18.05%
* Annualized. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 39 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
U.S. Government Securities Fund Six Months Ended February 28, Year Ended Year Ended Year Ended Year Ended Year Ended Direct Shares 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.60 $ 10.56 $ 10.73 $ 10.77 $ 10.33 $ 10.24 -------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.18 0.35 0.35 0.50 0.58 0.58 Net gain (loss) on securities (both realized and unrealized) (0.07) 0.09 (0.08) 0.19 0.42 0.14 -------------------------------------------------------------------------------- Total from Investment Operations 0.11 0.44 0.27 0.69 1.00 0.72 -------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.18) (0.32) (0.44) (0.59) (0.56) (0.58) Distributions from capital gains (0.09) (0.08) -- (0.14) -- (0.05) -------------------------------------------------------------------------------- Total distributions (0.27) (0.40) (0.44) (0.73) (0.56) (0.63) -------------------------------------------------------------------------------- Net asset value, end of period $ 10.44 $ 10.60 $ 10.56 $ 10.73 $ 10.77 $ 10.33 ================================================================================ Total Return 1.03% 4.23% 2.52% 6.65% 9.94% 7.35% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period (in 000's) $ 26,359 $ 27,454 $ 31,585 $ 33,275 $ 27,265 $ 24,476 Ratio of expenses to average net assets: Before expense reimbursements 0.74%* 0.75% 0.71% 0.71% 0.71% 0.72% After expense reimbursements 0.65%* 0.65% 0.65% 0.65% 0.65% 0.65% Ratio of net investment income to average net assets Before expense reimbursements 3.38%* 2.92% 3.22% 4.59% 5.32% 5.82% After expense reimbursements 3.48%* 3.02% 3.28% 4.65% 5.38% 5.89% Portfolio Turnover 6.83% 103.98% 39.29% 150.35% 209.58% 184.60% Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 10.65 $ 10.55 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.13 0.23 Net gain (loss) on securities (both realized and unrealized) (0.05) 0.15 ---------------------------- Total from Investment Operations 0.08 0.38 ---------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.15) (0.20) Distributions from capital gains (0.09) (0.08) ---------------------------- Total distributions (0.24) (0.28) ---------------------------- Net asset value, end of period $ 10.49 $ 10.65 ============================ Total Return 0.72% 3.66% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 3,308 $ 1,689 Ratio of expenses to average net assets: Before expense reimbursements 1.24%* 1.25%* After expense reimbursements 1.15%* 1.15%* Ratio of net investment income to average net assets Before expense reimbursements 2.88%* 2.42%* After expense reimbursements 2.98%* 2.52%* Portfolio Turnover 6.83% 103.98%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 40 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
The United States Treasury Trust Six Months Ended Direct Shares February 28, Year Ended Year Ended Year Ended Year Ended Year Ended 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.007 0.006 0.008 0.017 0.047 0.050 LESS DISTRIBUTIONS Dividends from net investment income (0.007) (0.006) (0.008) (0.017) (0.047) (0.050) Distributions from capital gains 0.000(a) 0.000(a) 0.000(a) 0.000(a) -- -- Net asset value, end of period --------------------------------------------------------------------------------- $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ================================================================================= Total Return 0.71% 0.63% 0.86% 1.70% 4.87% 5.12% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 40,987 $ 39,143 $ 40,635 $ 51,013 $ 59,760 $ 56,464 Ratio of expenses to average net assets: Before expense reimbursements 0.70%* 0.71% 0.70% 0.67% 0.65% 0.66% After expense reimbursements 0.39%* 0.36% 0.42% 0.42% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 1.12%* 0.28% 0.56% 1.45% 4.48% 4.76% After expense reimbursements 1.43%* 0.63% 0.84% 1.70% 4.73% 5.02% Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 1.000 $ 1.000 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.004 0.001 LESS DISTRIBUTIONS Dividends from net investment income (0.004) (0.001) Distributions from capital gains 0.000(a) 0.000(a) ---------------------------- Net asset value, end of period $ 1.000 $ 1.000 ============================ Total Return 0.46% 0.12% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 1,760 $ 944 Ratio of expenses to average net assets: Before expense reimbursements 1.20%* 1.21%* After expense reimbursements 0.89%* 0.86%* Ratio of net investment income to average net assets Before expense reimbursements 0.62%* (0.22)%* After expense reimbursements 0.93%* 0.13%*
* Annualized. ** Commencement of operations. (a) Represents less than $0.001 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 41 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
Short-Term U.S. Government Bond Fund Six Months Ended January 18, Direct Shares February 28, Year Ended Year Ended Year Ended Year Ended 2000** to 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.09 $ 10.11 $ 10.17 $ 10.24 $ 10.05 $ 10.00 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.08 0.11 0.18 0.30 0.53 0.36 Net gain on securities (both realized and unrealized) (0.12) -- (0.06) 0.09 0.21 0.05 --------------------------------------------------------------------------------- Total from Investment Operations (0.04) 0.11 0.12 0.39 0.74 0.41 --------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.09) (0.12) (0.18) (0.30) (0.55) (0.36) Distributions from capital gains (0.00)(a) (0.01) -- (0.16) (0.00) -- --------------------------------------------------------------------------------- Total distributions (0.09) (0.13) (0.18) (0.46) (0.55) (0.36) --------------------------------------------------------------------------------- Net asset value, end of period $ 9.96 $ 10.09 $ 10.11 $ 10.17 $ 10.24 $ 10.05 ================================================================================= Total Return -0.39% 1.06% 1.17% 3.90% 7.58% 4.15% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 15,813 $ 15,098 $ 21,500 $ 10,942 $ 11,623 $ 5,432 Ratio of expenses to average net assets: Before expense reimbursements 0.80%* 0.80% 0.80% 0.82% 0.86% 1.26%* After expense reimbursements 0.50%* 0.50% 0.49% 0.43% 0.30% 0.09%* Ratio of net investment income to average net assets Before expense reimbursements 1.45%* 0.85% 1.35% 2.57% 4.63% 5.02%* After expense reimbursements 1.76%* 1.15% 1.66% 2.96% 5.19% 6.19%* Portfolio Turnover 59.19% 62.58% 74.45% 119.61% 64.56% -- Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 10.10 $ 10.12 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.06 0.05 Net gain on securities (both realized and unrealized) (0.13) (0.01) ---------------------------- Total from Investment Operations (0.07) 0.04 ---------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.06) (0.05) Distributions from capital gains (0.00)(a) (0.01) ---------------------------- Total distributions (0.06) (0.06) ---------------------------- Net asset value, end of period $ 9.97 $ 10.10 ============================ Total Return -0.65% 0.41% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 1,443 $ 1,235 Ratio of expenses to average net assets: Before expense reimbursements 1.30%* 1.30%* After expense reimbursements 1.00%* 1.00%* Ratio of net investment income to average net assets Before expense reimbursements 0.95%* 0.35%* After expense reimbursements 1.26%* 0.65%* Portfolio Turnover 59.19% 62.58%
* Annualized. ** Commencement of operations. (a) Represents less than $0.01 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 42 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
S&P 500 Index Fund Six Months Ended Direct Shares February 28, Year Ended Year Ended Year Ended Year Ended Year Ended 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 22.32 $ 20.36 $ 18.48 $ 22.79 $ 30.84 $ 28.12 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.27 0.32 0.29 0.29 0.34 0.38 Net gain (loss) on securities (both realized and unrealized) 1.94 1.95 1.89 (4.31) (7.64) 4.06 --------------------------------------------------------------------------------- Total from Investment Operations 2.21 2.27 2.18 (4.02) (7.30) 4.44 --------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.25) (0.31) (0.30) (0.29) (0.34) (0.40) Distributions from capital gains -- -- -- -- (0.41) (1.32) --------------------------------------------------------------------------------- Total distributions (0.25) (0.31) (0.30) (0.29) (0.75) (1.72) --------------------------------------------------------------------------------- Net asset value, end of period $ 24.28 $ 22.32 $ 20.36 $ 18.48 $ 22.79 $ 30.84 ================================================================================= Total Return 9.94% 11.16% 12.03% (17.83)% (23.93)% 16.38% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 109,767 $ 106,305 $ 98,264 $ 93,961 $ 141,390 $ 165,891 Ratio of expenses to average net assets: Before expense reimbursements 0.45%* 0.43% 0.45% 0.41% 0.39% 0.40% After expense reimbursements 0.27%* 0.27% 0.25% 0.20% 0.20% 0.20% Ratio of net investment income to average net assets Before expense reimbursements 2.05%* 1.27% 1.35% 1.30% 1.16% 1.11% After expense reimbursements 2.23%* 1.43% 1.55% 1.51% 1.35% 1.31% Portfolio Turnover 1.18% 2.00% 3.63% 31.12% 6.26% 9.00% Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 22.37 $ 21.17 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.18 0.12 Net gain on securities (both realized and unrealized) 1.98 1.16 ---------------------------- Total from Investment Operations 2.16 1.28 ---------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.17) (0.08) Distributions from capital gains -- -- ---------------------------- Total distributions (0.17) (0.08) ---------------------------- Net asset value, end of period $ 24.36 $ 22.37 ============================ Total Return 9.68% 6.05% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 3,784 $ 2,261 Ratio of expenses to average net assets: Before expense reimbursements 0.95%* 0.93%* After expense reimbursements 0.77%* 0.77%* Ratio of net investment income to average net assets Before expense reimbursements 1.55%* 0.77%* After expense reimbursements 1.73%* 0.93%* Portfolio Turnover 1.18% 2.00%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 43 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
S&P MidCap Index Fund Six Months Ended Direct Shares February 28, Year Ended Year Ended Year Ended Year Ended Year Ended 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 19.00 $ 17.01 $ 14.60 $ 16.18 $ 20.75 $ 18.70 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.08 0.13 0.12 0.05 0.17 0.22 Net gain on securities (both realized and unrealized) 2.91 1.98 2.41 (1.54) (1.66) 6.05 --------------------------------------------------------------------------------- Total from Investment Operations 2.99 2.11 2.53 (1.49) (1.49) 6.27 --------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.08) (0.12) (0.12) (0.03) (0.18) (0.21) Distributions from capital gains -- -- -- (0.06) (2.90) (4.01) --------------------------------------------------------------------------------- Total distributions (0.08) (0.12) (0.12) (0.09) (3.08) (4.22) --------------------------------------------------------------------------------- Net asset value, end of period $ 21.91 $ 19.00 $ 17.01 $ 14.60 $ 16.18 $ 20.75 ================================================================================= Total Return 15.73% 12.44% 17.46% (8.77)% (6.56)% 40.44% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 153,385 $ 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% 0.58% 0.56% 0.57% After expense reimbursements 0.49%* 0.49% 0.46% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 0.69%* 0.60% 0.66% 0.78% 0.84% 1.03% After expense reimbursements 0.78%* 0.69% 0.78% 0.96% 1.00% 1.20% Portfolio Turnover 8.75% 12.75% 8.33% 21.73% 39.41% 46.23% Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 19.00 $ 17.78 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.03 0.05 Net gain (loss) on securities (both realized and unrealized) 2.90 1.19 ---------------------------- Total from Investment Operations 2.93 1.24 ---------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.02) (0.02) Distributions from capital gains -- -- ---------------------------- Total distributions (0.02) (0.02) ---------------------------- Net asset value, end of period $ 21.91 $ 19.00 ============================ Total Return 15.45% 6.96% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 3,975 $ 2,459 Ratio of expenses to average net assets: Before expense reimbursements 1.08%* 1.08%* After expense reimbursements 0.99%* 0.99%* Ratio of net investment income to average net assets Before expense reimbursements 0.19%* 0.10%* After expense reimbursements 0.28%* 0.19%* Portfolio Turnover 8.75% 12.75%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 44 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
S&P SmallCap Index Fund Six Months Ended Direct Shares February 28, Year Ended Year Ended Year Ended Year Ended Year Ended 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 15.85 $ 14.07 $ 11.60 $ 12.89 $ 14.09 $ 11.46 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.05 0.04 0.03 0.03 0.11 0.12 Net gain (loss) on securities (both realized and unrealized) 3.00 1.92 2.51 (1.28) (0.55) 3.14 --------------------------------------------------------------------------------- Total from Investment Operations 3.05 1.96 2.54 (1.25) (0.44) 3.26 --------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.04) (0.04) (0.03) (0.04) (0.12) (0.10) Distributions from capital gains (0.76) (0.14) (0.04) -- (0.64) (0.53) --------------------------------------------------------------------------------- Total distributions (0.80) (0.18) (0.07) (0.04) (0.76) (0.63) --------------------------------------------------------------------------------- Net asset value, end of period $ 18.10 $ 15.85 $ 14.07 $ 11.60 $ 12.89 $ 14.09 ================================================================================= Total Return 19.39% 13.93% 22.04% (9.69)% (2.59)% 29.63% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 24,072 $ 20,742 $ 18,526 $ 15,813 $ 14,226 $ 12,863 Ratio of expenses to average net assets: Before expense reimbursements 0.80%* 0.82% 0.88% 0.88% 0.92% 1.00%* After expense reimbursements 0.65%* 0.65% 0.65% 0.65% 0.65% 0.65%* Ratio of net investment income (loss) to average net assets Before expense reimbursements 0.47%* 0.09% 0.08% 0.00% 0.54% 0.58%* After expense reimbursements 0.63%* 0.26% 0.31% 0.23% 0.81% 0.93%* Portfolio Turnover 2.94% 14.60% 16.51% 17.64% 41.91% 37.21% Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 15.82 $ 14.78 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.01 (0.01) Net gain on securities (both realized and unrealized) 3.08 1.19 ---------------------------- Total from Investment Operations 3.09 1.18 ---------------------------- LESS DISTRIBUTIONS Dividends from net investment income -- -- Distributions from capital gains (0.76) (0.14) ---------------------------- Total distributions (0.76) (0.14) ---------------------------- Net asset value, end of period $ 18.15 $ 15.82 ============================ Total Return 19.65% 7.99% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 4,890 $ 2,700 Ratio of expenses to average net assets: Before expense reimbursements 1.30%* 1.32%* After expense reimbursements 1.15%* 1.15%* Ratio of net investment income to average net assets Before expense reimbursements (0.03)%* (0.41)%* After expense reimbursements 0.13%* (0.24)%* Portfolio Turnover 2.94% 14.60%
* Annualized. ** Commencement of operations. (a) Represents less than $0.01 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 45 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
Equity Income Fund Six Months Ended Direct Shares February 28, Year Ended Year Ended Year Ended Year Ended Year Ended 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 ---------------------------------------------------------------------------------- Net asset value, beginning of period $ 14.07 $ 12.32 $ 11.38 $ 12.21 $ 14.81 $ 14.38 ---------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.13 0.20 0.15 0.17 0.28 0.36 Net gain (loss) on securities (both realized and unrealized) 1.63 1.70 0.94 (0.83) (2.46) 0.76 ---------------------------------------------------------------------------------- Total from Investment Operations 1.76 1.90 1.09 (0.66) (2.18) 1.12 ---------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.13) (0.15) (0.15) (0.17) (0.39) (0.27) Distributions from capital gains -- -- -- -- (0.03) (0.42) ---------------------------------------------------------------------------------- Total distributions (0.13) (0.15) (0.15) (0.17) (0.42) (0.69) ---------------------------------------------------------------------------------- Net asset value, end of period $ 15.70 $ 14.07 $ 12.32 $ 11.38 $ 12.21 $ 14.81 ================================================================================== Total Return 12.55% 15.51% 9.77% (5.46)% (14.94)% 8.23% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 15,327 $ 13,137 $ 9,818 $ 8,261 $ 8,794 $ 11,813 Ratio of expenses to average net assets: Before expense reimbursements 0.84%* 0.90% 0.95% 0.91% 0.94% 0.98% After expense reimbursements 0.80%* 0.80% 0.80% 0.80% 0.80% 0.80% Ratio of net investment income to average net assets Before expense reimbursements 1.71%* 1.04% 1.24% 1.33% 1.96% 2.49% After expense reimbursements 1.75%* 1.14% 1.39% 1.44% 2.10% 2.67% Portfolio Turnover -- 14.43% 30.01% 69.43% 73.50% 38.34% Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 14.10 $ 12.90 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.08 0.01 Net gain on securities (both realized and unrealized) 1.66 1.21 ---------------------------- Total from Investment Operations 1.74 1.22 ---------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.09) (0.02) Distributions from capital gains -- -- ---------------------------- Total distributions (0.09) (0.02) ---------------------------- Net asset value, end of period $ 15.75 $ 14.10 ============================ Total Return 12.34% 9.47% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 2,414 $ 1,470 Ratio of expenses to average net assets: Before expense reimbursements 1.34%* 1.40%* After expense reimbursements 1.30%* 1.30%* Ratio of net investment income to average net assets Before expense reimbursements 1.21%* 0.54%* After expense reimbursements 1.25%* 0.64%* Portfolio Turnover -- 14.43%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 46 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
European Growth & Income Fund Six Months Ended January 18, Direct Shares February 28, Year Ended Year Ended Year Ended Year Ended 2000** to 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 7.10 $ 6.18 $ 5.80 $ 7.13 $ 9.59 $ 10.00 -------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.04 0.16 0.11 0.10 0.08 0.09 Net gain (loss) on securities (both realized and unrealized) 1.38 0.89 0.35 (1.34) (2.46) (0.45) -------------------------------------------------------------------------------- Total from Investment Operations 1.42 1.05 0.46 (1.24) (2.38) (0.36) -------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.03) (0.13) (0.08) (0.09) (0.08) (0.05) Distributions from capital gains -- -- -- -- -- -- -------------------------------------------------------------------------------- Total distributions (0.03) (0.13) (0.08) (0.09) (0.08) (0.05) -------------------------------------------------------------------------------- Net asset value, end of period $ 8.49 $ 7.10 $ 6.18 $ 5.80 $ 7.13 $ 9.59 ================================================================================ Total Return 20.13% 17.04% 8.17% (17.50)% (24.87)% (3.59)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 4,508 $ 3,923 $ 3,364 $ 2,357 $ 2,106 $ 1,505 Ratio of expenses to average net assets: Before expense reimbursements 1.47%* 1.72% 1.99% 1.99% 2.17% 3.99%* After expense reimbursements 0.95%* 0.95% 0.95% 0.95% 0.95% 0.95%* Ratio of net investment income (loss) to average net assets Before expense reimbursements 0.45%* 1.17% 0.83% 0.30% (0.18)% (1.53)%* After expense reimbursements 0.96%* 1.94% 1.87% 1.34% 1.04% 1.51%* Portfolio Turnover 1.78% 2.01% 0.00% 9.70% 19.75% 114.30% Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 7.11 $ 6.61 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.02 0.08 Net gain on securities (both realized and unrealized) 1.40 0.48 ---------------------------- Total from Investment Operations 1.42 0.56 ---------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) (0.06) Distributions from capital gains -- -- ---------------------------- Total distributions (0.01) (0.06) ---------------------------- Net asset value, end of period $ 8.52 $ 7.11 ============================ Total Return 20.06% 8.43% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 2,332 $ 1,177 Ratio of expenses to average net assets: Before expense reimbursements 1.97%* 2.22%* After expense reimbursements 1.45%* 1.45%* Ratio of net investment income (loss) to average net assets Before expense reimbursements (0.05)%* 0.67%* After expense reimbursements 0.46%* 1.44%* Portfolio Turnover 1.78% 2.01%
* Annualized. ** Commencement of operations. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 47 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) --------------------------------------------------------------------------------
Nasdaq-100 Index Fund Six Months Ended January 18, Direct Shares February 28, Year Ended Year Ended Year Ended Year Ended 2000** to 2005 August 31, August 31, August 31, August 31, August 31, (Unaudited) 2004 2003 2002 2001 2000 --------------------------------------------------------------------------------- Net asset value, beginning of period $ 3.46 $ 3.41 $ 2.41 $ 3.75 $ 10.67 $ 10.00 --------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.03 (0.01) (0.01) - (a) 0.05 0.03 Net gain (loss) on securities (both realized and unrealized) 0.34 0.06 1.01 (1.33) (6.84) 0.67 --------------------------------------------------------------------------------- Total from Investment Operations 0.37 0.05 1.00 (1.33) (6.79) 0.70 --------------------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.02) -- -- (0.01) (0.08) (0.03) Distributions from capital gains -- -- -- -- (0.05) -- --------------------------------------------------------------------------------- Total distributions (0.02) -- -- (0.01) (0.13) (0.03) --------------------------------------------------------------------------------- Net asset value, end of period $ 3.81 $ 3.46 $ 3.41 $ 2.41 $ 3.75 $ 10.67 ================================================================================= Total Return 10.53% 1.47% 41.49% (35.61)% (64.26)% 7.02% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 15,397 $ 14,349 $ 14,928 $ 9,191 $ 11,390 $ 14,498 Ratio of expenses to average net assets: Before expense reimbursements 0.92%* 0.91% 1.05% 0.99% 0.90% 0.99%* After expense reimbursements 0.65%* 0.65% 0.65% 0.64% 0.65% 0.65%* Ratio of net investment income (loss) to average net assets Before expense reimbursements 1.40%* (0.62)% (0.80)% (0.45)% 0.14% 0.54%* After expense reimbursements 1.67%* (0.36)% (0.40)% (0.10)% 0.39% 0.88%* Portfolio Turnover 5.87% 8.82% 8.64% 4.18% 13.82% 0.62% Six Months Ended K Shares February 28, October 16, 2005 2003** to (Unaudited) August 31, 2004 ---------------------------- Net asset value, beginning of period $ 3.45 $ 3.62 ---------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.02 (0.01) Net gain on securities (both realized and unrealized) 0.34 (0.16) ---------------------------- Total from Investment Operations 0.36 (0.17) ---------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) -- Distributions from capital gains -- -- ---------------------------- Total distributions (0.01) -- ---------------------------- Net asset value, end of period $ 3.80 $ 3.45 ============================ Total Return 10.48% (4.70)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 2,675 $ 1,651 Ratio of expenses to average net assets: Before expense reimbursements 1.42%* 1.41%* After expense reimbursements 1.15%* 1.15%* Ratio of net investment income (loss) to average net assets Before expense reimbursements 0.90%* (1.12)%* After expense reimbursements 1.17%* (0.86)%* Portfolio Turnover 5.87% 8.82%
* Annualized. ** Commencement of operations. (a) Represents less than $0.01 per share SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS 48
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE MONEY MARKET FUND 2/28/2005 Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 CALIFORNIA, STATE OF Revenue Anticipation Notes; Series A $3,010,527 3.8% 2 CALIFORNIA STATE ECONOMIC RECOVERY Revenue Bonds; Series C-6 2,200,000 2.8% 3 SAN DIEGO COUNTY SCHOOL DISTRICT Tax and Revenue Anticipation Notes 2,013,069 2.6% 4 LOS ANGELES, COUNTY OF Tax and Revenue Anticipation Notes 2,009,135 2.5% 5 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY University of Southern California; Series C 2,000,000 2.5% 6 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Scripps Hospital; Series B 2,000,000 2.5% 7 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 2.5% 8 CHINO BASIN REGIONAL FINANCING AUTHORITY Revenue Bonds; Series A 2,000,000 2.5% 9 EAST BAY MUNICIPAL UTILITY DISTRICT Water Series Revenue Bonds 2,000,000 2.5% 10 KERN, COUNTY OF Tax revenue Refunding Bonds; 1993 Series A 2,000,000 2.5% 11 LOS ANGELES, COUNTY OF Pension Obligation Refunding Bonds 2,000,000 2.5% 12 LOS ANGELES, COUNTY OF Pension Obligation Refunding Bonds 2,000,000 2.5% 13 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1992; Series A 2,000,000 2.5% 14 LOS ANGELES DEPARTMENT OF WATER & POWER Power Systems; Subseries A-3 2,000,000 2.5% 15 ORANGE COUNTY WATER DISTRICT Certificates of Participation; Series A 2,000,000 2.5% 16 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 2,000,000 2.5% 17 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue 2,000,000 2.5% 18 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commercial Paper Notes; Series A 2,000,000 2.5% 19 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 2.5%
About Your Fund's Expenses (Unaudited) 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: [BAR CHART OMITTED] ----------------------------------------------------- Variable Rate Demand Notes 76.2% ----------------------------------------------------- Tax and Revenue Anticipation Notes 17.4% ----------------------------------------------------- Commercial Paper 5.0% ----------------------------------------------------- Other Net Assets 1.4% ----------------------------------------------------- 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 Expenses DIRECT SHARES Account Value Ending Account Value Paid During September 1, 2004 February 28, 2005 Period* ------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,006 $2.64 ------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $2.69 ------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.53%) 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 365. 49
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED INTERMEDIATE FUND 2/28/2005 Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 IRVINE, CITY OF Special Assessment; Series A $1,100,000 4.4% 2 MONTEREY, COUNTY OF Certificates of Participation 663,312 2.7% 3 CALIFORNIA STATE ECONOMIC RECOVERY General Obligation; Series A 660,072 2.7% 4 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 659,160 2.7% 5 OAK PARK UNIFIED SCHOOL DISTRICT General Obligation; Refunding Bonds 633,084 2.6% 6 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 608,905 2.5% 7 FRESNO, CITY OF Water System Revenue Refunding; Series A 578,035 2.3% 8 CASTAIC LAKE WATER AGENCY Certificates of Participation; Series A 576,890 2.3% 9 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation 567,850 2.3% 10 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Multiple Purpose Projects; Series O 567,160 2.3%
About Your Fund's Expenses (Unaudited) 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: [BAR CHART OMITTED] ----------------------------------------------------- Long Term Securities 92.3% ----------------------------------------------------- Variable Rate Demand Notes 6.4% ----------------------------------------------------- Other Net Assets 1.3% ----------------------------------------------------- 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 Expenses DIRECT SHARES Account Value Ending Account Value Paid During September 1, 2004 February 28, 2005 Period* ------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,005 $3.38 ------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $3.45 ------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.68%) 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 365. 50
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE INCOME FUND 2/28/2005 Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 CALIFORNIA STATE PUBLIC WORKS BOARD University of California Projects; 1993 Series A $5,577,950 3.9% 2 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds 4,526,600 3.1% 3 SACRAMENTO MUNICIPAL UTILITY DISTRICT Refunding Revenue Bonds; Series A 4,520,400 3.1% 4 SAN MATEO COUNTY TRANSPORTATION DISTRICT Sales Tax Revenue Bonds; Series A 4,363,760 3.0% 5 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Power Project Revenue Bonds 4,286,585 3.0% 6 LOS ANGELES COMMUNITY REDEVELOPMENT FINANCING AUTHORITY Bunker Hill Project; Series A 4,178,800 2.9% 7 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 4,001,935 2.8% 8 SAN FRANCISCO BAY AREA TRANSIT FINANCING AUTHORITY Sales Tax Revenue Refunding Bonds; Series 1990 3,535,369 2.4% 9 CALIFORNIA, STATE OF General Obligation 3,433,320 2.4% 10 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Stanford University; Series P 3,405,750 2.4%
About Your Fund's Expenses (Unaudited) 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: [BAR CHART OMITTED] ----------------------------------------------------- Long Term Securities 96.9% ----------------------------------------------------- Variable Rate Demand Notes 2.2% ----------------------------------------------------- Other Net Assets 0.9% ----------------------------------------------------- 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 Expenses DIRECT SHARES Account Value Ending Account Value Paid During September 1, 2004 February 28, 2005 Period* ------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,009 $3.54 ------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,046 $3.60 ------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.71%) 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 365. 51
------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT SECURITIES FUND 2/28/2005 Percentage of Total Security Description Maturity Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 United States Treasury Bonds 11/15/2022 $2,682,110 9.1% 2 United States Treasury Bills 3/3/2005 2,599,699 8.8% 3 United States Treasury Notes 5/15/2005 2,016,252 6.9% 4 Government National Mortgage Association 2/15/2019 1,883,437 6.4% 5 Government National Mortgage Association 9/15/2018 1,826,790 6.2% 6 Government National Mortgage Association 2/15/2019 1,786,404 6.1% 7 Government National Mortgage Association 2/15/2019 1,751,147 6.0% 8 Government National Mortgage Association 1/15/2019 1,748,177 5.9% 9 Government National Mortgage Association 1/15/2019 1,735,995 5.9% 10 United States Treasury Bond 5/15/2016 1,613,981 5.5%
About Your Fund's Expenses (Unaudited) 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 invest- ment 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: [BAR CHART OMITTED] ----------------------------------------------------- Government National Mortgage Association 56.9% ----------------------------------------------------- United States Treasury Bills 15.5% ----------------------------------------------------- United States Treasury Notes 12.4% ----------------------------------------------------- United States Treasury Bonds 14.5% ----------------------------------------------------- Other Net Assets 0.7% ----------------------------------------------------- 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,010 $3.69 $1,000 $1,007 $6.17 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,046 $3.75 $1,000 $1,044 $6.28 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K Shares 1.24%) 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 365. 52
------------------------------------------------------------------------------------------------------------------------------------ THE UNITED STATES TREASURY TRUST 2/28/2005 Percentage of Total Security Description Maturity Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 United States Treasury Bills 3/3/2005 $14,298,395 33.5% 2 United States Treasury Bills 4/7/2005 10,974,864 25.7% 3 United States Treasury Bills 6/9/2005 8,936,625 20.9% 4 United States Treasury Bills 5/5/2005 8,463,861 19.8%
About Your Fund's Expenses (Unaudited) 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: [BAR CHART OMITTED] ----------------------------------------------------- United States Treasury Bills 99.8% ----------------------------------------------------- Other Net Assets 0.2% ----------------------------------------------------- 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,007 $2.64 $1,000 $1,005 $5.12 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $2.69 $1,000 $1,045 $5.22 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.53%; K Shares 1.03%) 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 365. 53
------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM U.S. GOVERNMENT BOND FUND 2/28/2005 Percentage of Total Security Description Maturity Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 United States Treasury Notes 11/15/2005 $4,074,064 23.9% 2 United States Treasury Notes 8/15/2007 3,621,812 21.2% 3 United States Treasury Notes 5/15/2007 2,126,876 12.5% 4 United States Treasury Notes 10/15/2006 2,094,376 12.3% 5 United States Treasury Notes 2/15/2006 2,046,172 12.0% 6 Government National Mortgage Association 11/20/2034 975,659 5.7% 7 Government National Mortgage Association 6/20/2034 923,526 5.4% 8 United States Treasury Bills 3/3/2005 699,915 4.1% 9 United States Treasury Bills 6/9/2005 297,888 1.7% 10 United States Treasury Bills 4/7/2005 199,543 1.2%
About Your Fund's Expenses (Unaudited) 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: [BAR CHART OMITTED] ----------------------------------------------------- Government National Mortgage Association 11.0% ----------------------------------------------------- United States Treasury Bills 6.9% ----------------------------------------------------- United States Treasury Notes 80.9% ----------------------------------------------------- Other Net Assets 1.2% ----------------------------------------------------- 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $996 $2.92 $1,000 $994 $5.39 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $2.99 $1,000 $1,045 $5.53 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.59%; K Shares 1.09%) 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 365. 54 -------------------------------------------------------------------------------- S&P 500 INDEX FUND 2/28/2005 Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1 Exxon Mobil Corp. $4,137,815 3.7% 2 General Electric Co. 3,697,866 3.3% 3 Microsoft Corp. 2,750,487 2.4% 4 Citigroup Inc. 2,483,540 2.2% 5 Wal-Mart Stores Inc. 2,199,721 1.9% 6 Pfizer Inc. 1,994,333 1.8% 7 Johnson & Johnson. 1,956,126 1.7% 8 Bank of America Corp. 1,906,352 1.7% 9 American International Group Inc. 1,748,490 1.5% 10 International Business Machines Corp. 1,558,121 1.4% [BAR CHART OMITTED] ----------------------------------------------------- S&P 500 CIT ----------------------------------------------------- Basic Materials 3.1% 3.1% ----------------------------------------------------- Communications 10.3% 10.0% ----------------------------------------------------- Consumer Cyclical 9.8% 9.9% ----------------------------------------------------- Consumer Non-Cyclical 21.4% 21.6% ----------------------------------------------------- Energy 8.7% 8.7% ----------------------------------------------------- Financial 20.1% 20.0% ----------------------------------------------------- Industrial 11.5% 11.5% ----------------------------------------------------- Technology 12.1% 12.1% ----------------------------------------------------- Utility 3.1% 3.1% ----------------------------------------------------- About Your Fund's Expenses (Unaudited) 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,099 $1.87 $1,000 $1,097 $4.47 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,048 $1.83 $1,000 $1,046 $4.36 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.36%; K Shares 0.86%) 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 365. 55 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND 2/28/2005 Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1 DR Horton Inc. $1,385,923 0.9% 2 Lennar Corp. 1,288,897 0.9% 3 Murphy Oil Corp. 1,249,900 0.8% 4 Washington Post Co./The 1,166,502 0.8% 5 Lyondell Chemical Co. 1,109,806 0.7% 6 Legg Mason Inc. 1,103,155 0.7% 7 Weatherford International Ltd. 1,080,610 0.7% 8 Fidelity National Financial, Inc. 1,043,356 0.7% 9 Harman International Industries, Inc. 1,005,941 0.7% 10 Patterson Cos Inc. 921,692 0.6% [BAR CHART OMITTED] ----------------------------------------------------- S&P 400 CIT ----------------------------------------------------- Basic Materials 3.9% 3.8% ----------------------------------------------------- Communications 5.5% 5.5% ----------------------------------------------------- Consumer Cyclical 18.3% 18.5% ----------------------------------------------------- Consumer Non-Cyclical 19.3% 19.2% ----------------------------------------------------- Diversified 0.3% 0.3% ----------------------------------------------------- Energy 9.6% 9.5% ----------------------------------------------------- Financial 16.5% 16.8% ----------------------------------------------------- Industrial 11.6% 11.4% ----------------------------------------------------- Technology 9.2% 9.2% ----------------------------------------------------- Utility 5.8% 5.7% ----------------------------------------------------- About Your Fund's Expenses (Unaudited) 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,157 $3.10 $1,000 $1,155 $5.77 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,047 $2.94 $1,000 $1,045 $5.48 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.58%; K Shares 1.08%) 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 365. 56 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND 2/28/2005 Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1 NVR Inc. $ 269,365 1.0% 2 Cooper Cos Inc./The 179,194 0.7% 3 MDC Holdings Inc. 173,094 0.6% 4 Massey Energy Co. 169,701 0.6% 5 Polaris Industries Inc. 153,817 0.6% 6 Patina Oil & Gas Corp. 145,741 0.5% 7 Florida Rock Industries, Inc 142,393 0.5% 8 Yellow Roadway Corp. 142,296 0.5% 9 Standard-Pacific Corp. 139,600 0.5% 10 Roper Industries Inc. 135,918 0.5% [BAR CHART OMITTED] ----------------------------------------------------- S&P 600 CIT ----------------------------------------------------- Basic Materials 4.8% 4.1% ----------------------------------------------------- Communications 2.4% 3.0% ----------------------------------------------------- Consumer Cyclical 18.9% 20.0% ----------------------------------------------------- Consumer Non-Cyclical 18.6% 18.0% ----------------------------------------------------- Energy 6.5% 7.3% ----------------------------------------------------- Financial 13.8% 14.0% ----------------------------------------------------- Industrial 19.9% 20.3% ----------------------------------------------------- Technology 10.2% 9.1% ----------------------------------------------------- Utility 5.0% 4.3% ----------------------------------------------------- About Your Fund's Expenses (Unaudited) 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,194 $4.03 $1,000 $1,197 $6.75 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,046 $3.75 $1,000 $1,044 $6.28 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K Shares 1.24%) 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 365. 57 -------------------------------------------------------------------------------- EQUITY INCOME FUND 2/28/2005 Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1 Citigroup Inc. $ 496,813 3.0% 2 Wells Fargo & Co. 492,676 3.0% 3 McGraw-Hill Cos Inc./The 490,387 2.9% 4 Bank of America Corp. 460,156 2.8% 5 McDonald's Corp. 409,133 2.5% 6 ConocoPhillips 407,410 2.5% 7 Exxon Mobil Corp. 394,801 2.4% 8 Baxter International, Inc. 371,256 2.2% 9 First Data Corp. 353,141 2.1% 10 Fifth Third Bancorp 345,759 2.1% [BAR CHART OMITTED] ----------------------------------------------------- S&P BARRA/Value CIT ----------------------------------------------------- Basic Materials 3.4% 3.7% ----------------------------------------------------- Communications 13.2% 4.5% ----------------------------------------------------- Consumer Cyclical 7.1% 13.2% ----------------------------------------------------- Consumer Non-Cyclical 10.2% 17.8% ----------------------------------------------------- Energy 8.4% 13.0% ----------------------------------------------------- Financial 38.2% 29.1% ----------------------------------------------------- Industrial 8.3% 6.0% ----------------------------------------------------- Technology 5.8% 6.6% ----------------------------------------------------- Utility 5.5% 6.1% ----------------------------------------------------- About Your Fund's Expenses (Unaudited) 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,126 $4.69 $1,000 $1,123 $7.32 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,046 $4.51 $1,000 $1,043 $7.04 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.89%; K Shares 1.39%) 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 365. 58 -------------------------------------------------------------------------------- EUROPEAN GROWTH & INCOME FUND 2/28/2005 Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1 BP PLC ADR $ 446,390 6.7% 2 HSBC Holdings PLC ADR 361,679 5.5% 3 Vodafone Group PLC ADR 347,291 5.2% 4 Total SA ADR 307,417 4.6% 5 GlaxoSmithKline PLC ADR 293,563 4.4% 6 Barclays PLC ADR 279,126 4.2% 7 Royal Dutch Petroleum Co. ADR 278,858 4.2% 8 Novartis AG ADR 252,698 3.8% 9 Nestle SA ADR 219,651 3.3% 10 UBS AG ADR 206,031 3.1% [BAR CHART OMITTED] ----------------------------------------------------- DJ STOXX 50 CIT ----------------------------------------------------- Basic Materials 2.3% 2.1% ----------------------------------------------------- Communications 16.7% 17.0% ----------------------------------------------------- Consumer Cyclical 1.1% 1.2% ----------------------------------------------------- Consumer Non-Cyclical 20.5% 20.8% ----------------------------------------------------- Energy 15.5% 21.0% ----------------------------------------------------- Financial 34.8% 31.0% ----------------------------------------------------- Industrial 3.0% 3.2% ----------------------------------------------------- Technology 1.9% 1.0% ----------------------------------------------------- Utility 4.1% 2.6% ----------------------------------------------------- About Your Fund's Expenses (Unaudited) 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,201 $5.46 $1,000 $1,201 $8.19 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,045 $5.07 $1,000 $1,043 $7.60 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 1.00%; K Shares 1.50%) 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 365. 59 -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND 2/28/2005 Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1 Microsoft Corp. $1,269,626 7.3% 2 Qualcomm Inc. 977,425 5.6% 3 Intel Corp. 742,709 4.3% 4 Apple Computer Inc. 672,900 3.9% 5 eBay Inc. 571,143 3.3% 6 Nextel Communication Inc. 563,290 3.2% 7 Cisco Systems Inc. 552,580 3.2% 8 Dell Inc. 511,508 3.0% 9 Amgen Inc. 499,103 2.9% 10 Comcast Corp. 426,958 2.5% [BAR CHART OMITTED] ----------------------------------------------------- Nasdaq 100 CIT ----------------------------------------------------- Basic Materials 0.7% 0.7% ----------------------------------------------------- Communications 29.6% 29.3% ----------------------------------------------------- Consumer Cyclical 10.2% 10.2% ----------------------------------------------------- Consumer Non-Cyclical 15.0% 15.0% ----------------------------------------------------- Industrial 2.7% 2.7% ----------------------------------------------------- Technology 41.9% 42.0% ----------------------------------------------------- About Your Fund's Expenses (Unaudited) 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 Account Value Value Paid September 1, February 28, During September 1, February 28, During 2004 2005 Period* 2004 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,105 $3.86 $1,000 $1,105 $6.47 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,046 $3.75 $1,000 $1,044 $6.28 ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K Shares 1.24%) 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 365. 60 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 2/28/2005 TRUST STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES California Tax-Free Money Market Fund, California Tax-Free Income Fund and California Insured Intermediate Fund are separate series of shares of beneficial interest of California Investment Trust. U.S. Government Securities Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate series of shares of beneficial interest of California Investment Trust II. Both Trusts are registered under the Investment Company Act of 1940, as amended, as diversified open-end management investment companies. Both Trusts were organized as Massachusetts business trusts on September 11, 1985 and are authorized to issue an unlimited number of no par value shares in one or more series. The investment objectives of the Funds are as follows: California Tax-Free Income Fund and California Insured Intermediate Fund seek as high a level of income exempt from federal and California personal income taxes as is consistent with prudent investment management and safety of capital. California Tax-Free Money Market Fund seeks capital preservation, liquidity and the highest achievable current income exempt from both federal and California personal income taxes consistent with safety. U.S. Government Securities Fund seeks safety from credit risk, liquidity, and as high a level of income as is consistent with these objectives by investment in full faith and credit obligations of the U.S. Government and its agencies or instrumentalities. The United States Treasury Trust seeks preservation of capital, safety, liquidity and consistent with these objectives, the highest attainable current income exempt from state income taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are diversified mutual funds that seek to provide investment results that correspond to the total return of publicly traded common stocks represented in the Standard & Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income Fund seeks a high level of current income by investing primarily in income producing equity securities. European Growth & Income Fund seeks to provide long-term capital appreciation and income. Nasdaq-100 Index Fund attempts to replicate the performance of the largest non-financial companies as measured by the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund seeks liquidity, safety from credit risk, preservation of investors principal and has a high level of income as is consistent with these objectives by investing in mainly U.S. Government Securities. The following is a summary of significant accounting policies followed by the Funds. California Investment Trust II began offering an additional class of shares, Class K, on October 16, 2003. Income and expenses of the Funds are allocated proportionately to the two classes of shares offered based on the daily net assets, except for Rule 12b-1 distribution fees and shareholder service fees, which are charged only to Class K. (a) Security Valuation --- Portfolio securities of the S&P 500, S&P MidCap and S&P SmallCap Index Funds, Equity Income Fund, European Growth & Income Fund, and Nasdaq-100 Index Fund listed on a national exchange are valued at the last reported sales price. U.S. Treasury Bills are valued at amortized cost which approximates market value. Portfolio securities of the California Tax-Free Income Fund and the California Insured Intermediate Fund are valued by an independent pricing service that uses market quotations, representing the latest available bid price, prices provided by market makers, or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics, in accordance with procedures established by the Board of Trustees. The U.S. Government Securities Fund and the Short-Term U.S. Government Bond Fund are valued by an independent pricing service that uses market quotations representing the latest available mean between the bid and ask price, prices provided by market makers or estimates of market value obtained from yield data relating to instruments or securities with similar characteristics. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. All other securities are valued at their fair value as determined in good faith by the Board of Trustees. California Tax-Free Money Market Fund and The United States Treasury Trust securities are valued at amortized cost which the Board of Trustees has determined in good faith to constitute fair value. (b) Futures Contracts --- Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash, as collateral, for the account of the broker (the Fund's agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts. (c) Federal Income Taxes --- No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders. Capital loss carry forwards, as of August 31, 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 --
61 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 2/28/2005 TRUST STATEMENTS CONTINUED (UNAUDITED) -------------------------------------------------------------------------------- (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 Funds for, any amount necessary to prevent the Funds' total expenses, excluding extraordinary items, from exceeding 1.00% of the Funds' average daily net assets. CCM has voluntarily reimbursed more expenses than contractually obligated. This voluntary reimbursement is effective for a calendar year, renewal at the end of each calendar year. Reimbursement from the manager for the six months ended February 28, 2005, is as follows:
Voluntary Expense Limitation Fund Reimburse Direct Shares K Shares Expiration ----------------------------------------------------------------------------------------------- California Tax-Free Money Market Fund $86,124 0.53% N/A 12/31/05 California Insured Intermediate Fund $15,878 0.68% N/A 12/31/05 U.S. Government Securities Fund $13,895 0.74% 1.24% 12/31/05 The United States Treasury Trust $64,717 0.53% 1.03% 12/31/05 Short-Term U.S. Government Bond Fund $24,535 0.59% 1.09% 12/31/05 S&P 500 Index Fund $99,662 0.36% 0.86% 12/31/05 S&P MidCap Index Fund $62,473 0.58% 1.08% 12/31/05 S&P SmallCap Index Fund $20,700 0.74% 1.24% 12/31/05 Equity Income Fund $ 3,628 0.89% 1.39% 12/31/05 European Growth & Income Fund $16,216 1.00% 1.50% 12/31/05 Nasdaq-100 Index Fund $24,063 0.74% 1.24% 12/31/05
Certain officers and trustees of the Trusts are also partners of CCM. As compensation for administrative duties, CCM receives an administration fee, which became effective February 28, 2005. The administration fee is based on assets held, in aggregate, by the Funds comprising California Investment Trust and California Investment Trust II. The fee rates are 0.10% on the first $100 million, 0.08% on the next $400 million, and 0.06% on combined assets over $500 million. 62 California Investment Trust II has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby each Fund of California Investment Trust II pays the Distributor for expenses that relate to the promotion and distribution of shares. Under the Plan, the Funds will pay the Distributor a fee at an annual rate of 0.25%, payable monthly, of each Fund's daily net assets attributable to such Fund's Class K Shares. California Investment Trust II has adopted a Shareholder Services Plan (the "Services Plan"), whereby each Fund of California Investment Trust II pays CCM Partners, LP, the Funds' Distributor or other service providers, an annual rate of 0.25% of the average daily net assets of Class K Shares. Such amounts are compensation for providing certain services to clients owning Class K shares, including processing purchase and redemption transactions, assisting in other administrative details and providing other information with respect to each Fund. For the six months ended February 28, 2005, the following were paid by each Fund of California Investment Trust II: Fund 12b-1 Fees Shareholder Service Fee ---- ---------- ----------------------- U.S. Government Securities Fund $3,357 $3,357 The United States Treasury Trust $1,593 $1,593 Short-Term U.S. Government Bond Fund $1,640 $1,640 S&P 500 Index Fund $3,922 $3,922 S&P MidCap Index Fund $4,153 $4,153 S&P SmallCap Index Fund $4,667 $4,667 Equity Income Fund $2,323 $2,323 European Growth & Income Fund $2,185 $2,185 Nasdaq-100 Index Fund $2,762 $2,762 Note 3 --- PURCHASES AND SALES OF SECURITIES Purchases and sales of securities other than short-term investments during the six months ended February 28, 2005 were as follows: Purchases Sales ----------- ------------ California Tax-Free Income Fund $16,354,847 $ 7,770,653 California Insured Intermediate Fund $ -- $ 1,360,422 Short-Term U.S. Government Bond Fund $11,999,140 $ 9,736,355 U.S. Government Securities Fund $ 2,025,125 $ 2,027,938 S&P 500 Index Fund $ 1,311,958 $ 5,444,825 S&P Midcap Index Fund $18,445,178 $ 12,633,567 Equity Income Fund $ 3,709,651 $ -- S&P SmallCap Index Fund $ 1,392,697 $ 786,831 European Growth & Income Fund $ 654,614 $ 105,295 Nasdaq-100 Index Fund $ 1,036,512 $ 1,189,498 Fund Holdings: The Fund holdings shown in this report are as of February 28, 2005. 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 was filed for the quarter ending November 30, 2004. The Funds' Form N-Q is available on the SEC's website 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 by calling 1-800-SEC-0330. Copies of Form N-Q may be requested 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") contains 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. Each Fund's proxy voting record relating to portfolio securities held during the 12-month period ended June 30, is filed with the SEC no later than August 31st of each year. The description of the proxy voting policies and procedures and each Fund's proxy voting record are 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. 63 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (Unaudited) -------------------------------------------------------------------------------- Overall responsibility for management of the Funds rests with the Board of Trustees of each trust. Each Trustee serves until his death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Funds to actively supervise their day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:
Length of Time Trustee Address Date of Birth Position Held with the Trust Served ------------------------------------------------------------------------------------------------------------------------------------ Stephen C. Rogers 44 Montgomery St. #2100 06/27/66 Chairman, Secretary & Trustee Since August 1998 San Francisco, CA 94104 ------------------------------------------------------------------------------------------------------------------------------------ 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. The principal occupations of the Trustees and Executive Officers of the Funds during the past five years and public directorships held by the Trustees are set forth below: *Stephen C. Rogers Chief Executive Officer, CCM Partners, 1999-present; Chief Operating Officer, CCM Partners, 1997-1999; Administrative Officer, CCM Partners, 1993-1997; Marketing Representative, CCM Partners, 1992-1993. Harry Holmes Principal, Harry Holmes & Associates (consulting); President and Chief Executive Officer, Aspen Skiing Company, 1982- 1984; President and Chief Executive Officer, Pebble Beach Company (property management), 1973-1984. John B. Sias President and CEO, Chronicle Publishing Company, 1993-2001; Executive Vice President, Capital Cities/ABC Inc. and President, ABC Network T.V. Group. James Miller Vice President, Jones Lange LaSalle Americas, Inc. 1999 - present; Associate, Orrick Herrington & Sutcliffe LLP, 1996- 1999; Associate, Gordon & Rees LLP, 1992-1993 * Trustees deemed to be an "interested person" of the Trusts, as defined in the Investment Company Act of 1940. 64 44 Montgomery Street #2100 BULK RATE San Francisco, CA 94104 U.S. Postage P A I D Permit #688 Redwood City, CA CALIFORNIA INVESTMENT TRUST SUPPLEMENTAL INFORMATION TO SEMI ANNUAL REPORT DATED FEBRUARY 28, 2005 (UNAUDITED) Please replace the information in the Statement of Operations on pages 28 and 29, and in the Statement of Changes in Net Assets on pages 30, 32, 34, 35, 36, and 37 of the Semi-Annual Report to Shareholders dated February 28, 2005 (Unaudited) with the information in the tables below. These financial statements were revised to reflect the correct realized and unrealized gains (loss) on investments, the increase (decrease) in net assets resulting from operations, the increase (decrease) in net assets resulting from capital share transactions. These changes have no effect on total net assets, net asset value per share, and per share information included in the financial highlights. Please retain the revised informatiom for future reference. STATEMENT OF OPERATIONS
California Insured Intermediate Fund California Tax-Free Income Fund ------------------------------------ ----------------------------------------- from to change from to change ------------------------------------ ----------------------------------------- Net realized gain (loss) from security transactions $ 144,059 $ 86,254 $(57,805) $ N/C $ N/C $ N/C Change in unrealized appreciation (depreciation) of investments N/C N/C N/C (2,177,931) (2,506,966) (329,035) Net realized and unrealized gain (loss) on investments (222,997) (280,802) (57,805) (1,225,564) (1,554,599) (329,035) Net increase (decrease) in net assets resulting from operations 181,123 123,318 (57,805) 1,721,259 1,392,224 (329,035) S&P MidCap Index Fund --------------------------------------- from to change --------------------------------------- Net realized gain (loss) from security transactions $ 3,550,325 $ 6,208,335 $ 2,658,010 Change in unrealized appreciation (depreciation) of investments N/C N/C N/C Net realized and unrealized gain (loss) on investments 17,634,447 20,292,457 2,658,010 Net increase (decrease) in net assets resulting from operations 18,183,964 20,841,974 2,658,010
STATEMENT OF CHANGES IN NET ASSETS
California Insured Intermediate Fund California Tax-Free Income Fund ------------------------------------ ----------------------------------------- from to change from to change ------------------------------------ ----------------------------------------- Net realized gain (loss) on investments $ 144,059 $ 86,254 $(57,805) $ N/C $ N/C $ N/C Change in unrealized appreciation (depreciation) of investments N/C N/C N/C (2,177,931) (2,506,966) (329,035) Net increase (decrease) in net assets resulting from operations 181,123 123,318 (57,805) 1,721,259 1,392,224 (329,035) Increase (decrease) in net assets resulting from capital share transactions (938,032) (880,227) 57,805 (8,437,626) (8,108,591) 329,035 S&P MidCap Index Fund ---------------------------------------- from to change ---------------------------------------- Net realized gain (loss) on investments $ 3,550,325 $ 6,208,335 $ 2,658,010 Change in unrealized appreciation (depreciation) of investments N/C N/C N/C Net increase (decrease) in net assets resulting from operations 18,183,964 20,841,974 2,658,010 Increase (decrease) in net assets resulting from capital share transactions 10,554,202 7,896,192 (2,658,010)
N/C - No change STATEMENT OF CHANGES IN NET ASSETS
The United States California Tax-Free California Insured California Tax-Free Treasury Trust Money Market Fund Intermediate Fund Income Fund Direct Shares K Shares ------------------------------------------------------------------------------------------------------ Shares/Value Shares Value Shares Value Shares/Value Shares/Value ------------------------------------------------------------------------------------------------------ Shares sold 28,956,251 54,275 $ 594,296 342,374 $ 4,328,514 25,980,626 1,479,283 Shares issued in reinvestment of distributions 473,840 31,063 338,948 338,317 4,233,361 278,146 6,399 ------------------------------------------------------------------------------------------------------ 29,430,091 85,338 933,244 680,691 8,561,875 26,258,772 1,485,682 Shares repurchased (42,608,072) (165,593) (1,813,471) (1,313,787) (16,670,466) (24,412,103) (669,685) ------------------------------------------------------------------------------------------------------ Net increase (decrease) (13,177,981) (80,255) $ (880,227) (633,096) $ (8,108,591) 1,846,669 815,997 ====================================================================================================== Short-Term U.S. Government Bond Fund U.S. Government Securities Fund Direct Shares K Shares Direct Shares K Shares ------------------------------------------------------------------------------------------------------ Shares Value Shares Value Shares Value Shares Value ------------------------------------------------------------------------------------------------------ Shares sold 432,585 $ 4,337,112 30,613 $ 307,225 226,376 $ 2,389,800 177,959 $1,887,780 Shares issued in reinvestment of distributions 12,986 130,008 878 8,800 55,735 582,220 5,888 62,076 ------------------------------------------------------------------------------------------------------ 445,571 4,467,120 31,491 316,025 282,111 2,972,020 183,847 1,949,856 Shares repurchased (354,669) (3,559,353) (9,123) (91,827) (346,320) (3,648,749) (27,153) (288,002) ------------------------------------------------------------------------------------------------------ Net increase (decrease) 90,902 $ 907,767 22,368 $ 224,198 (64,209) $ (676,729) 156,694 $1,661,854 ====================================================================================================== S&P 500 Index Fund S&P MidCap Index Fund Direct Shares K Shares Direct Shares K Shares ------------------------------------------------------------------------------------------------------ Shares Value Shares Value Shares Value Shares Value ------------------------------------------------------------------------------------------------------ Shares sold 112,264 $ 2,638,011 65,556 $1,524,891 757,694 $15,561,802 68,594 $1,384,013 Shares issued in reinvestment of distributions 39,105 925,596 961 23,033 20,928 434,383 177 3,736 ------------------------------------------------------------------------------------------------------ 151,369 3,563,607 66,517 1,547,924 778,622 15,996,185 68,771 1,387,749 Shares repurchased (394,274) (9,173,251) (12,279) (285,582) (443,174) (9,149,532) (16,722) (338,210) ------------------------------------------------------------------------------------------------------ Net increase (decrease) (242,905) $(5,609,644) 54,238 $1,262,342 335,448 $ 6,846,653 52,049 $1,049,539 ====================================================================================================== S&P SmallCap Index Fund Equity Income Fund Direct Shares K Shares Direct Shares K Shares ------------------------------------------------------------------------------------------------------ Shares Value Shares Value Shares Value Shares Value ------------------------------------------------------------------------------------------------------ Shares sold 104,532 $ 1,822,833 111,378 $1,935,411 112,089 $ 1,663,770 60,230 $ 902,883 Shares issued in reinvestment of distributions 58,115 1,027,193 8,807 155,275 7,688 115,834 701 10,659 ------------------------------------------------------------------------------------------------------ 162,647 2,850,026 120,185 2,090,686 119,777 1,779,604 60,931 913,542 Shares repurchased (141,364) (2,472,442) (21,520) (372,744) (77,081) (1,152,950) (11,861) (174,839) ------------------------------------------------------------------------------------------------------ Net increase (decrease) 21,283 $ 377,584 98,665 $1,717,942 42,696 $ 626,654 49,070 $ 738,703 ====================================================================================================== European Growth & Income Fund Nasdaq-100 Index Fund Direct Shares K Shares Direct Shares K Shares ------------------------------------------------------------------------------------------------------ Shares Value Shares Value Shares Value Shares Value ------------------------------------------------------------------------------------------------------ Shares sold 71,858 $ 567,707 135,682 $1,068,770 342,546 $ 1,314,793 307,116 $1,170,912 Shares issued in reinvestment of distributions 2,350 17,648 365 2,681 14,944 60,976 1,917 7,785 ------------------------------------------------------------------------------------------------------ 74,208 585,355 136,047 1,071,451 357,490 1,375,769 309,033 1,178,697 Shares repurchased (95,959) (740,379) (27,909) (218,109) (468,371) (1,768,922) (84,060) (316,195) ------------------------------------------------------------------------------------------------------ Net increase (decrease) (21,751) $ (155,024) 108,138 $ 853,342 (110,881) $ (393,153) 224,973 $ 862,502 ======================================================================================================
ITEM 2. CODE OF ETHICS. Not applicable for semi-annual reports. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual reports. 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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 10. 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 since the Registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or this Item. ITEM 11. 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 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 12. EXHIBITS (a)(1) Not applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not applicable. (b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES 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 ----------------------------------------------------- Stephen C. Rogers, President Date: May 23, 2005 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 ----------------------------------------------------- Stephen C. Rogers, President Date: May 23, 2005 By (Signature and Title)* /s/ Christopher P. Browne ----------------------------------------------------- Christopher P. Browne, Treasurer Date: May 23, 2005 * Print the name and title of each signing officer under his or her signature.