N-CSR 1 v028404_n-csr.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: August 31, 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. Annual Report to Shareholders. ------------------------------------- California Tax-Free Income Fund California Insured Intermediate Fund California Tax-Free Money Market Fund U.S. Government Securities Fund Short-Term U.S. Government Bond Fund The United States Treasury Trust S&P 500 Index Fund S&P MidCap Index Fund S&P SmallCap Index Fund Equity Income Fund European Growth & Income Fund Nasdaq-100 Index Fund ------------------------------------- [LOGO] CALIFORNIA INVESTMENT TRUST ---------------- FUND GROUP ANNUAL REPORT August 31, 2005 (800) 225-8778 www.caltrust.com NO-LOAD FUNDS This report is intended only for the information of shareholders or those who have received the offering prospectus covering shares of beneficial interest of California Investment Trust Fund Group which contains information about the management fee and other costs. Investments in shares of the funds of California Investment Trust Fund Group are neither insured nor guaranteed by the U.S. Government, and there is no assurance that any Fund which is a Money Market Fund will be able to maintain a stable net asset value of $1.00 per share. Historical Performance and Manager's Discussion On the following pages are line graphs comparing each of the Funds' performance to a comparable broad based securities market index for the 10 years ended August 31, 2005, or the inception of the Fund if less than 10 years. Each graph assumes a hypothetical $10,000 initial investment in the respective funds. The objective of the graphs is to furnish comparisons of the performance of the Funds with a benchmark and to provide perspective on market conditions, risks and investment strategies and techniques that materially affected the performance of each Fund. With each graph is a table presenting each of the respective Fund's average annual total return for the one-year, five-year, ten-year, and/or inception period through August 31, 2005. Bond Funds Over the course of the fiscal year, the treasury yield curve continued to flatten, with short term interest rates increasing and long term rates decreasing. The pivot point, the point on the yield curve where yields finished at the same level from the prior year, was roughly nine years. Throughout the year, the Federal Reserve Bank ("The Fed") increased the Federal Funds Rates by 25 basis points (a basis point being a one-hundredth of one percent) at each of its eight meetings over the fiscal year. This brought the Federal Funds Rate from 1.50% to 3.50%. Even with this rise of 2.00% in a year, the Fed maintains that this rate remains accommodative to the economy, and will continue stimulate economic growth. The Fed has signaled that it will continue to raise the Federal Funds Rate at "a pace that is likely to be measured" until it reaches a level that neither stimulates nor restrains economic growth. The Fed has given no indication as to the specifics of what that level might be. The Fed has also commented that inflation remains "well contained". During this time longer term interest rates remained low. Federal Reserve Chairman Alan Greenspan noted that this situation appeared to be a "conundrum", and that "rising interest rates have been advertised for so long and in so many places that anyone who has not appropriately hedged his position by now, obviously, is desirous of losing money." With this as a backdrop, the durations of the bond portfolios were held at or below their representative benchmarks. Duration is a time-weighted measurement of a bond's cash flows. A duration shortening strategy ahead of an anticipated rising interest rate environment is designed to protect principal. When rates go up, bond prices go down. Prices for bonds with shorter durations tend to experience less price volatility than those with longer durations. A discussion of specific fund duration targets appears below. The California Tax-Free Income Fund's duration was kept in a narrow range somewhat shorter than its benchmark. As of August 31, 2004 the Fund had an average coupon of 5.58%, and average maturity of 9.98 years, duration of 5.43 years and an average credit rating of AA+. The fund's duration has been kept shorter than it's benchmark in anticipation of rising interest rates, thereby offering more protection against such a rise. As of August 31, 2005 the California Intermediate Insured Fund's had an average coupon of 5.36%, and average maturity of 5.32 years, duration of 3.94 years and an average credit rating of AAA. The duration of the intermediate fund has been kept very close to that of its benchmark. As such, its performance has closely tracked the performance of its benchmark, the Lehman Brothers 5 Year Municipal Index. Unfortunately, this area of the yield curve has experienced less performance than at the longer end of the yield curve. As of August 31, 2005 the U.S. Government Securities Fund had an average coupon of 4.60%, average maturity of 7.13 years, and a duration of 5.05 years. The duration of the fund has been slightly shorter than its benchmarks, and as a result has underperformed those benchmarks in the curve-flattening environment. The Short-Term U.S. Government Bond Fund's average coupon of 3.48%, and average maturity of 1.80 years, duration of 1.64 years. The fund's duration has been kept shorter than it's benchmark, the Lehman Brothers 1-3 Year Treasury Index. At the front end of the yield curve, where the Federal Reserve has been raising rates, this has been beneficial to performance relative to the benchmark. -------------------------------------------------------------------------------- California Insured Intermediate Fund versus the Lehman Bros. 5 Year Municipal Bond Index [Line Chart] California Lehman Insured Municipal Intermediate 5 Year Fund Index ---------- ------------ 08/31/95 $10,000.00 $10,000.00 09/30/95 $10,063.12 $10,025.00 10/31/95 $10,187.51 $10,086.15 11/30/95 $10,310.30 $10,177.94 12/31/95 $10,326.71 $10,230.86 01/31/96 $10,434.77 $10,333.17 02/29/96 $10,402.45 $10,304.24 03/31/96 $10,253.15 $10,232.11 04/30/96 $10,233.80 $10,231.08 05/31/96 $10,203.50 $10,226.99 06/30/96 $10,277.56 $10,287.33 07/31/96 $10,368.37 $10,362.43 08/31/96 $10,375.27 $10,371.76 09/30/96 $10,461.03 $10,456.80 10/31/96 $10,581.72 $10,547.78 11/30/96 $10,777.47 $10,684.90 12/31/96 $10,728.66 $10,664.60 01/31/97 $10,778.40 $10,700.86 02/28/97 $10,833.78 $10,778.97 03/31/97 $10,685.91 $10,661.48 04/30/97 $10,728.49 $10,707.33 05/31/97 $10,858.10 $10,839.03 06/30/97 $10,956.40 $10,921.40 07/31/97 $11,225.12 $11,113.62 08/31/97 $11,137.09 $11,056.94 09/30/97 $11,239.85 $11,155.35 10/31/97 $11,279.57 $11,213.36 11/30/97 $11,314.41 $11,248.12 12/31/97 $11,414.73 $11,344.85 01/31/98 $11,538.45 $11,448.09 02/28/98 $11,542.32 $11,466.41 03/31/98 $11,519.18 $11,476.73 04/30/98 $11,439.81 $11,428.52 05/31/98 $11,605.95 $11,565.67 06/30/98 $11,636.83 $11,604.99 07/31/98 $11,687.24 $11,645.61 08/31/98 $11,876.35 $11,788.85 09/30/98 $12,048.21 $11,910.27 10/31/98 $12,053.26 $11,944.81 11/30/98 $12,088.77 $11,966.31 12/31/98 $12,096.60 $12,008.19 01/31/99 $12,246.57 $12,135.48 02/28/99 $12,182.78 $12,123.35 03/31/99 $12,215.43 $12,134.26 04/30/99 $12,209.71 $12,170.66 05/31/99 $12,156.52 $12,120.76 06/30/99 $11,985.17 $11,983.80 07/31/99 $12,092.90 $12,058.10 08/31/99 $12,055.78 $12,053.27 09/30/99 $12,120.00 $12,096.66 10/31/99 $12,042.23 $12,066.42 11/30/99 $12,111.83 $12,137.61 12/31/99 $12,015.22 $12,097.56 01/31/00 $12,078.76 $12,092.72 02/29/00 $12,132.79 $12,132.63 03/31/00 $12,270.05 $12,243.03 04/30/00 $12,194.81 $12,214.87 05/31/00 $12,229.24 $12,211.21 06/30/00 $12,472.37 $12,434.68 07/31/00 $12,619.99 $12,565.24 08/31/00 $12,809.02 $12,700.94 09/30/00 $12,729.23 $12,679.35 10/31/00 $12,811.04 $12,768.11 11/30/00 $12,853.87 $12,823.01 12/31/00 $13,064.27 $13,029.46 01/31/01 $13,306.40 $13,253.57 02/28/01 $13,298.32 $13,289.35 03/31/01 $13,341.58 $13,398.33 04/30/01 $13,118.05 $13,323.29 05/31/01 $13,300.68 $13,460.52 06/30/01 $13,403.69 $13,529.17 07/31/01 $13,560.57 $13,675.29 08/31/01 $13,789.65 $13,859.91 09/30/01 $13,751.10 $13,901.48 10/31/01 $13,919.85 $14,016.87 11/30/01 $13,781.57 $13,906.13 12/31/01 $13,644.05 $13,837.99 01/31/02 $13,893.84 $14,060.79 02/28/02 $14,060.81 $14,219.67 03/31/02 $13,650.87 $13,916.79 04/30/02 $13,979.52 $14,238.27 05/31/02 $14,137.48 $14,333.67 06/30/02 $14,218.61 $14,489.90 07/31/02 $14,418.33 $14,646.40 08/31/02 $14,640.43 $14,787.00 09/30/02 $14,990.11 $14,992.54 10/31/02 $14,536.71 $14,839.62 11/30/02 $14,529.59 $14,824.78 12/31/02 $14,864.12 $15,119.79 01/31/03 $14,711.54 $15,145.49 02/28/03 $14,864.54 $15,310.58 03/31/03 $14,869.93 $15,289.14 04/30/03 $14,962.17 $15,361.00 05/31/03 $15,296.62 $15,606.78 06/30/03 $15,195.38 $15,566.20 07/31/03 $14,662.05 $15,226.86 08/31/03 $14,791.91 $15,333.45 09/30/03 $15,227.86 $15,722.92 10/31/03 $15,156.58 $15,619.15 11/30/03 $15,246.63 $15,683.18 12/31/03 $15,330.71 $15,744.35 01/31/04 $15,423.12 $15,818.35 02/29/04 $15,624.26 $16,011.33 03/31/04 $15,496.00 $15,944.08 04/30/04 $15,112.99 $15,625.20 05/31/04 $15,077.39 $15,545.51 06/30/04 $15,149.59 $15,603.03 07/31/04 $15,314.80 $15,746.58 08/31/04 $15,539.68 $16,022.14 09/30/04 $15,565.09 $16,042.97 10/31/04 $15,631.75 $16,131.21 11/30/04 $15,522.17 $16,024.74 12/31/04 $15,664.23 $16,170.57 01/31/05 $15,716.67 $16,167.33 02/28/05 $15,614.58 $16,086.50 03/31/05 $15,514.68 $15,983.54 04/30/05 $15,680.22 $16,168.95 05/31/05 $15,719.44 $16,215.84 06/30/05 $15,792.49 $16,290.44 07/31/05 $15,683.84 $16,202.47 08/31/05 $15,785.00 $16,304.54 -------------------------------------------------------------------------------- Average Annual Total Returns* for periods ended 8/31/2005 1 year 5 year 10 year --------------------------- ------ ------ ------- California Insured Intermediate Fund 1.58% 4.27% 4.67% Lehman Bros. Municipal Bond Index 1.76% 5.12% 5.01% -------------------------------------------------------------------------------- California Tax-Free Income Fund versus the Lehman Bros. Municipal Bond Index [Line Chart] California Lehman Bros. Tax-Free Municipal Income Bond Fund Index ---------- ------------ 08/31/95 $10,000.00 $10,000.00 09/30/95 $10,096.37 $10,063.00 10/31/95 $10,308.87 $10,208.91 11/30/95 $10,564.82 $10,378.38 12/31/95 $10,713.02 $10,478.01 01/31/96 $10,783.33 $10,557.65 02/29/96 $10,649.44 $10,485.85 03/31/96 $10,430.30 $10,351.64 04/30/96 $10,366.27 $10,322.65 05/31/96 $10,342.65 $10,318.52 06/30/96 $10,475.97 $10,430.99 07/31/96 $10,600.26 $10,525.92 08/31/96 $10,586.37 $10,523.81 09/30/96 $10,746.42 $10,671.14 10/31/96 $10,906.65 $10,791.73 11/30/96 $11,163.44 $10,989.22 12/31/96 $11,045.25 $10,943.06 01/31/97 $11,037.76 $10,963.85 02/28/97 $11,148.22 $11,064.72 03/31/97 $10,942.33 $10,917.56 04/30/97 $11,049.89 $11,009.27 05/31/97 $11,235.61 $11,174.41 06/30/97 $11,351.16 $11,293.97 07/31/97 $11,783.21 $11,606.82 08/31/97 $11,589.68 $11,497.71 09/30/97 $11,746.11 $11,634.54 10/31/97 $11,791.39 $11,709.00 11/30/97 $11,846.11 $11,778.08 12/31/97 $12,071.77 $11,950.04 01/31/98 $12,246.33 $12,073.12 02/28/98 $12,222.10 $12,076.75 03/31/98 $12,167.18 $12,087.62 04/30/98 $12,062.32 $12,033.22 05/31/98 $12,303.73 $12,223.35 06/30/98 $12,334.18 $12,271.02 07/31/98 $12,332.82 $12,301.69 08/31/98 $12,604.15 $12,492.37 09/30/98 $12,843.04 $12,648.53 10/31/98 $12,800.04 $12,648.53 11/30/98 $12,842.41 $12,692.80 12/31/98 $12,834.36 $12,724.53 01/31/99 $13,035.40 $12,875.95 02/28/99 $12,904.14 $12,819.30 03/31/99 $12,925.37 $12,837.24 04/30/99 $12,910.75 $12,869.34 05/31/99 $12,765.11 $12,794.69 06/30/99 $12,517.64 $12,610.45 07/31/99 $12,574.41 $12,655.85 08/31/99 $12,471.72 $12,554.60 09/30/99 $12,496.14 $12,559.62 10/31/99 $12,346.37 $12,423.98 11/30/99 $12,489.16 $12,555.67 12/31/99 $12,375.69 $12,461.51 01/31/00 $12,388.44 $12,407.92 02/29/00 $12,518.18 $12,551.85 03/31/00 $12,783.74 $12,826.74 04/30/00 $12,662.85 $12,751.06 05/31/00 $12,661.91 $12,684.75 06/30/00 $12,991.78 $13,020.90 07/31/00 $13,163.27 $13,201.89 08/31/00 $13,478.26 $13,405.20 09/30/00 $13,378.35 $13,335.49 10/31/00 $13,460.88 $13,480.85 11/30/00 $13,534.17 $13,583.30 12/31/00 $13,912.84 $13,918.81 01/31/01 $14,034.59 $14,056.61 02/28/01 $14,014.90 $14,101.59 03/31/01 $14,065.41 $14,228.50 04/30/01 $13,713.13 $14,074.84 05/31/01 $13,844.27 $14,226.84 06/30/01 $14,002.70 $14,322.16 07/31/01 $14,197.18 $14,534.13 08/31/01 $14,554.46 $14,773.95 09/30/01 $14,496.98 $14,723.71 10/31/01 $14,704.73 $14,898.93 11/30/01 $14,471.41 $14,773.78 12/31/01 $14,271.13 $14,633.42 01/31/02 $14,539.39 $14,886.58 02/28/02 $14,755.14 $15,066.71 03/31/02 $14,312.02 $14,771.40 04/30/02 $14,651.75 $15,059.45 05/31/02 $14,793.96 $15,151.31 06/30/02 $14,889.49 $15,311.91 07/31/02 $15,116.05 $15,509.44 08/31/02 $15,361.92 $15,695.55 09/30/02 $15,828.60 $16,039.28 10/31/02 $15,312.66 $15,773.03 11/30/02 $15,211.97 $15,706.78 12/31/02 $15,621.34 $16,038.20 01/31/03 $15,408.69 $15,998.10 02/28/03 $15,656.68 $16,222.07 03/31/03 $15,654.55 $16,231.81 04/30/03 $15,777.32 $16,338.94 05/31/03 $16,236.06 $16,721.27 06/30/03 $16,066.90 $16,649.37 07/31/03 $15,309.49 $16,066.64 08/31/03 $15,455.76 $16,187.14 09/30/03 $15,972.03 $16,663.04 10/31/03 $15,864.48 $16,579.72 11/30/03 $16,026.30 $16,752.15 12/31/03 $16,159.82 $16,891.20 01/31/04 $16,261.85 $16,987.48 02/29/04 $16,521.27 $17,243.99 03/31/04 $16,350.70 $17,183.63 04/30/04 $15,860.20 $16,776.38 05/31/04 $15,834.58 $16,715.99 06/30/04 $15,884.12 $16,776.16 07/31/04 $16,072.38 $16,995.93 08/31/04 $16,354.54 $17,335.85 09/30/04 $16,404.08 $17,427.73 10/31/04 $16,518.96 $17,577.61 11/30/04 $16,364.86 $17,433.47 12/31/04 $16,538.27 $17,646.16 01/31/05 $16,616.81 $17,812.03 02/28/05 $16,501.62 $17,753.25 03/31/05 $16,362.88 $17,641.41 04/30/05 $16,617.47 $17,920.14 05/31/05 $16,723.91 $18,047.38 06/30/05 $16,824.27 $18,159.27 07/31/05 $16,659.39 $18,077.55 08/31/05 $16,838.83 $18,260.14 -------------------------------------------------------------------------------- Average Annual Total Returns* for periods ended 8/31/2005 1 year 5 year 10 year --------------------------- ------ ------ ------- California Tax-Free Income 2.96% 4.55% 5.35% Lehman Bros. Municipal Bond Index 5.33% 6.38% 6.21% * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares 1 REGULAR SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year 5 year 10 year --------------------------- ------ ------ ------- U.S. Government Securities Fund 3.60% 5.35% 5.79% Lehman Bros. Composite Treasury Index 4.11% 6.48% 6.54% Lehman Bros. GNMA Index 4.04% 6.25% 6.78% -------------------------------------------------------------------------------- U.S. Government Securities Fund versus the Lehman Bros. Treasury and GNMA Indicies [Line Chart] U.S. Government Lehman Bros. Securities Treasury Lehman Bros. Fund Index GNMA Index ---------- -------- ------------ 08/31/95 $10,000.00 $10,000.00 $10,000.00 09/30/95 $10,152.81 $10,096.00 $10,098.00 10/31/95 $10,395.92 $10,252.49 $10,180.80 11/30/95 $10,627.39 $10,411.40 $10,297.88 12/31/95 $10,886.25 $10,560.28 $10,429.70 01/31/96 $10,875.39 $10,626.81 $10,502.70 02/29/96 $10,426.23 $10,408.96 $10,423.93 03/31/96 $10,245.34 $10,318.41 $10,397.87 04/30/96 $10,088.11 $10,252.37 $10,370.84 05/31/96 $10,023.74 $10,235.97 $10,335.58 06/30/96 $10,221.42 $10,365.96 $10,470.97 07/31/96 $10,231.38 $10,390.84 $10,510.76 08/31/96 $10,126.28 $10,369.02 $10,514.97 09/30/96 $10,389.09 $10,539.07 $10,690.57 10/31/96 $10,749.02 $10,770.93 $10,906.52 11/30/96 $11,093.80 $10,957.27 $11,064.66 12/31/96 $10,834.30 $10,844.41 $11,006.02 01/31/97 $10,815.62 $10,855.25 $11,090.77 02/28/97 $10,826.31 $10,868.28 $11,130.69 03/31/97 $10,677.41 $10,750.90 $11,240.89 04/30/97 $10,840.48 $10,905.71 $11,425.24 05/31/97 $10,915.32 $10,999.50 $11,542.92 06/30/97 $11,041.42 $11,122.70 $11,679.12 07/31/97 $11,323.64 $11,441.92 $11,890.52 08/31/97 $11,139.40 $11,326.36 $11,865.55 09/30/97 $11,360.05 $11,498.52 $12,023.36 10/31/97 $11,599.21 $11,698.59 $12,148.40 11/30/97 $11,663.31 $11,759.42 $12,186.06 12/31/97 $11,844.93 $11,882.90 $12,295.73 01/31/98 $12,063.09 $12,064.71 $12,415.00 02/28/98 $11,991.90 $12,028.51 $12,442.32 03/31/98 $12,016.25 $12,060.99 $12,494.57 04/30/98 $12,059.53 $12,115.26 $12,567.04 05/31/98 $12,246.39 $12,241.26 $12,652.50 06/30/98 $12,463.64 $12,382.04 $12,705.64 07/31/98 $12,439.13 $12,401.85 $12,776.79 08/31/98 $12,912.20 $12,739.18 $12,877.73 09/30/98 $13,357.41 $13,094.60 $13,029.68 10/31/98 $13,203.18 $13,052.70 $13,017.96 11/30/98 $13,263.29 $13,050.09 $13,092.16 12/31/98 $13,275.96 $13,076.19 $13,145.84 01/31/99 $13,340.27 $13,152.03 $13,239.17 02/28/99 $12,881.37 $12,816.65 $13,196.81 03/31/99 $12,906.19 $12,865.36 $13,277.31 04/30/99 $12,938.30 $12,896.23 $13,341.04 05/31/99 $12,758.23 $12,776.30 $13,274.33 06/30/99 $12,685.62 $12,749.47 $13,221.24 07/31/99 $12,631.05 $12,739.27 $13,133.98 08/31/99 $12,604.13 $12,741.82 $13,130.04 09/30/99 $12,748.23 $12,839.93 $13,341.43 10/31/99 $12,739.94 $12,854.05 $13,420.14 11/30/99 $12,710.23 $12,829.63 $13,425.51 12/31/99 $12,620.10 $12,744.95 $13,398.66 01/31/00 $12,549.56 $12,778.09 $13,278.07 02/29/00 $12,664.67 $12,969.76 $13,448.03 03/31/00 $12,957.41 $13,226.56 $13,660.51 04/30/00 $12,913.44 $13,184.24 $13,648.22 05/31/00 $12,955.69 $13,204.01 $13,697.35 06/30/00 $13,187.08 $13,427.16 $13,950.75 07/31/00 $13,299.23 $13,565.46 $14,024.69 08/31/00 $13,530.40 $13,764.87 $14,236.46 09/30/00 $13,545.34 $13,775.89 $14,368.86 10/31/00 $13,665.90 $13,909.51 $14,475.19 11/30/00 $13,968.43 $14,194.66 $14,679.29 12/31/00 $14,255.76 $14,465.78 $14,886.27 01/31/01 $14,364.86 $14,582.95 $15,130.41 02/28/01 $14,519.48 $14,759.40 $15,196.98 03/31/01 $14,541.16 $14,806.63 $15,288.16 04/30/01 $14,329.40 $14,623.03 $15,312.62 05/31/01 $14,313.94 $14,668.36 $15,441.25 06/30/01 $14,401.19 $14,747.57 $15,487.57 07/31/01 $14,726.99 $15,116.26 $15,752.41 08/31/01 $14,874.95 $15,315.79 $15,867.40 09/30/01 $15,032.82 $15,559.32 $16,081.61 10/31/01 $15,518.22 $15,990.31 $16,295.50 11/30/01 $15,095.17 $15,593.75 $16,158.62 12/31/01 $14,915.48 $15,442.49 $16,110.14 01/31/02 $15,035.19 $15,545.95 $16,272.85 02/28/02 $15,176.79 $15,637.68 $16,438.84 03/31/02 $14,953.52 $15,260.81 $16,282.67 04/30/02 $15,219.13 $15,640.80 $16,569.24 05/31/02 $15,307.66 $15,728.39 $16,676.94 06/30/02 $15,433.64 $15,950.16 $16,810.36 07/31/02 $15,636.90 $16,328.18 $17,005.36 08/31/02 $15,863.64 $16,680.87 $17,124.39 09/30/02 $16,161.96 $17,131.25 $17,266.53 10/31/02 $15,993.08 $16,941.09 $17,320.05 11/30/02 $15,872.19 $16,773.38 $17,335.64 12/31/02 $16,253.76 $17,209.49 $17,507.26 01/31/03 $16,210.18 $17,157.86 $17,551.03 02/28/03 $16,444.23 $17,452.97 $17,638.79 03/31/03 $16,358.01 $17,379.67 $17,651.13 04/30/03 $16,415.20 $17,461.35 $17,691.73 05/31/03 $16,816.74 $17,964.24 $17,691.73 06/30/03 $16,756.20 $17,854.66 $17,744.81 07/31/03 $16,206.66 $17,070.84 $17,452.02 08/31/03 $16,262.91 $17,171.56 $17,567.20 09/30/03 $16,584.33 $17,690.14 $17,820.17 10/31/03 $16,414.60 $17,419.48 $17,773.84 11/30/03 $16,423.40 $17,442.12 $17,836.04 12/31/03 $16,536.28 $17,597.36 $18,001.92 01/31/04 $16,631.13 $17,746.94 $18,091.93 02/29/04 $16,735.68 $17,967.00 $18,211.34 03/31/04 $16,832.97 $18,135.89 $18,286.00 04/30/04 $16,504.51 $17,551.91 $17,998.91 05/31/04 $16,455.69 $17,492.24 $17,962.91 06/30/04 $16,561.01 $17,562.21 $18,124.58 07/31/04 $16,706.14 $17,729.05 $18,271.39 08/31/04 $16,950.70 $18,096.04 $18,525.36 09/30/04 $16,984.88 $18,143.09 $18,564.27 10/31/04 $17,064.14 $18,286.42 $18,710.92 11/30/04 $17,016.05 $18,041.38 $18,667.89 12/31/04 $17,113.99 $18,219.99 $18,789.23 01/31/05 $17,175.52 $18,353.00 $18,898.21 02/28/05 $17,124.47 $18,202.50 $18,839.62 03/31/05 $17,061.48 $18,142.43 $18,803.83 04/30/05 $17,259.93 $18,461.74 $18,995.63 05/31/05 $17,409.44 $18,686.97 $19,132.40 06/30/05 $17,468.30 $18,800.96 $19,187.88 07/31/05 $17,353.06 $18,545.27 $19,114.97 08/31/05 $17,561.39 $18,840.14 $19,273.62 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year Inception --------------------------- ------ --------- U.S. Government Securities Fund 3.07% 3.59% Lehman Bros. Composite Treasury Index 4.11% 3.42% ** Lehman Bros. GNMA Index 4.04% 4.27% ** ** Due to data limitations the benchmark performance information reflects the period 10/1/03 - 8/31/04. Share class commencement of operations was 10/16/03. -------------------------------------------------------------------------------- U.S. Government Securities Fund versus the Lehman Bros. Treasury and GNMA Indicies [Line Chart] U.S. Government Lehman Bros. Securities Treasury Lehman Bros. Fund Index GNMA Index ---------- -------- ------------ 10/31/03 $10,000.00 $10,000.00 $10,000.00 11/30/03 $10,002.33 $10,013.00 $10,035.00 12/31/03 $10,068.77 $10,102.12 $10,128.33 01/31/04 $10,121.48 $10,187.98 $10,178.97 02/29/04 $10,189.40 $10,314.31 $10,246.15 03/31/04 $10,235.12 $10,411.27 $10,288.16 04/30/04 $10,038.05 $10,076.03 $10,126.63 05/31/04 $10,002.93 $10,041.77 $10,106.38 06/30/04 $10,057.51 $10,081.93 $10,197.34 07/31/04 $10,147.41 $10,177.71 $10,279.94 08/31/04 $10,290.21 $10,388.39 $10,422.83 09/30/04 $10,303.84 $10,415.40 $10,444.72 10/31/04 $10,357.11 $10,497.68 $10,527.23 11/30/04 $10,312.65 $10,357.01 $10,503.02 12/31/04 $10,367.10 $10,459.55 $10,571.29 01/31/05 $10,408.71 $10,535.90 $10,632.60 02/28/05 $10,364.04 $10,449.51 $10,599.64 03/31/05 $10,331.13 $10,415.03 $10,579.50 04/30/05 $10,444.55 $10,598.33 $10,687.41 05/31/05 $10,530.04 $10,727.63 $10,764.36 06/30/05 $10,560.69 $10,793.07 $10,795.58 07/31/05 $10,486.54 $10,646.28 $10,754.55 08/31/05 $10,606.32 $10,815.56 $10,843.81 -------------------------------------------------------------------------------- * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares REGULAR SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year 5 year Inception --------------------------- ------ ------ --------- Short-Term U.S. Government Bond Fund 0.82% 2.87% 3.30% Lehman 1-3 Year Treasury Index 1.14% 4.31% 4.63% -------------------------------------------------------------------------------- Short-Term U.S. Government Bond Fund versus the Lehman 1-3 Year Treasury Index [Line Chart] Lehman Short-Term 1-3 Year U.S. Government Treasury Bond Fund Index --------------- -------- 01/18/00 $10,000.00 $10,000.00 01/31/00 $10,005.50 $9,996.00 02/29/00 $10,055.58 $10,061.97 03/31/00 $10,118.70 $10,126.37 04/30/00 $10,157.21 $10,148.65 05/31/00 $10,203.74 $10,191.27 06/30/00 $10,293.62 $10,298.28 07/31/00 $10,352.01 $10,364.19 08/31/00 $10,414.70 $10,440.88 09/30/00 $10,478.54 $10,518.15 10/31/00 $10,532.34 $10,573.89 11/30/00 $10,607.69 $10,675.40 12/31/00 $10,711.54 $10,804.58 01/31/01 $10,812.31 $10,941.79 02/28/01 $10,871.37 $11,014.01 03/31/01 $10,937.22 $11,105.43 04/30/01 $10,971.36 $11,134.30 05/31/01 $11,030.53 $11,194.42 06/30/01 $11,060.09 $11,233.61 07/31/01 $11,154.18 $11,362.79 08/31/01 $11,204.55 $11,433.24 09/30/01 $11,368.56 $11,621.89 10/31/01 $11,477.31 $11,733.46 11/30/01 $11,407.80 $11,705.30 12/31/01 $11,392.97 $11,708.81 01/31/02 $11,417.28 $11,732.23 02/28/02 $11,476.69 $11,789.72 03/31/02 $11,399.61 $11,702.47 04/30/02 $11,495.23 $11,840.56 05/31/02 $11,519.68 $11,885.56 06/30/02 $11,570.96 $11,990.15 07/31/02 $11,630.47 $12,140.03 08/31/02 $11,641.78 $12,182.52 09/30/02 $11,686.42 $12,287.29 10/31/02 $11,711.77 $12,315.55 11/30/02 $11,698.56 $12,273.67 12/31/02 $11,733.79 $12,393.96 01/31/03 $11,744.86 $12,391.48 02/28/03 $11,751.80 $12,446.00 03/31/03 $11,767.08 $12,468.40 04/30/03 $11,768.35 $12,490.85 05/31/03 $11,781.23 $12,538.31 06/30/03 $11,792.15 $12,558.37 07/31/03 $11,779.82 $12,485.53 08/31/03 $11,777.49 $12,491.78 09/30/03 $11,846.21 $12,610.45 10/31/03 $11,821.50 $12,561.27 11/30/03 $11,815.42 $12,554.99 12/31/03 $11,851.29 $12,627.81 01/31/04 $11,864.04 $12,654.32 02/29/04 $11,907.50 $12,717.60 03/31/04 $11,924.38 $12,758.29 04/30/04 $11,843.04 $12,629.43 05/31/04 $11,842.33 $12,615.54 06/30/04 $11,831.63 $12,614.28 07/31/04 $11,854.95 $12,659.69 08/31/04 $11,902.56 $12,749.57 09/30/04 $11,891.23 $12,739.37 10/31/04 $11,916.15 $12,778.87 11/30/04 $11,856.93 $12,713.69 12/31/04 $11,876.11 $12,741.66 01/31/05 $11,871.97 $12,736.57 02/28/05 $11,856.27 $12,706.00 03/31/05 $11,854.85 $12,706.00 04/30/05 $11,896.83 $12,779.69 05/31/05 $11,954.04 $12,828.26 06/30/05 $11,968.05 $12,852.63 07/31/05 $11,919.24 $12,814.07 08/31/05 $12,000.22 $12,894.80 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year Inception --------------------------- ------ --------- Short-Term U.S. Government Bond Fund 0.20% 0.33% Lehman 1-3 Year Treasury Index 1.14% 1.20% ** ** Due to data limitations the benchmark performance information reflects the period 10/1/03 - 8/31/04. Share class commencement of operations was 10/16/03. -------------------------------------------------------------------------------- Short-Term U.S. Government Bond Fund versus the Lehman 1-3 Year Treasury Index [Line Chart] Lehman Short-Term 1-3 Year U.S. Government Treasury Bond Fund Index --------------- -------- 10/31/03 $10,000.00 $10,000.00 11/30/03 $9,991.20 $9,995.00 12/31/03 $10,024.30 $10,052.97 01/31/04 $10,030.14 $10,074.08 02/29/04 $10,053.68 $10,124.45 03/31/04 $10,070.00 $10,156.85 04/30/04 $9,996.93 $10,054.27 05/31/04 $9,982.27 $10,043.21 06/30/04 $9,978.50 $10,042.20 07/31/04 $9,993.66 $10,078.35 08/31/04 $10,029.39 $10,149.91 09/30/04 $10,015.68 $10,141.79 10/31/04 $10,022.73 $10,173.23 11/30/04 $9,977.92 $10,121.35 12/31/04 $9,989.38 $10,143.61 01/31/05 $9,981.81 $10,139.56 02/28/05 $9,964.34 $10,115.22 03/31/05 $9,958.54 $10,115.22 04/30/05 $9,989.46 $10,173.89 05/31/05 $10,023.32 $10,212.55 06/30/05 $10,040.18 $10,231.95 07/31/05 $9,997.37 $10,201.26 08/31/05 $10,049.72 $10,265.53 -------------------------------------------------------------------------------- 2 Stock Funds By definition, the objective for managing the index funds is to match the performance of the funds to their index benchmarks. Each of our index funds tracked their respective benchmarks tightly during this last fiscal year. We measure the index fund performance by using a correlation coefficient. This is a statistical measure that compares daily performance of a fund against its benchmark index. A measure of 1.000 indicates that the performance is perfectly correlated and a measure of -1.000 implies they are negatively correlated. According to Bloomberg, LLC, The Nasdaq-100 Index Fund and S&P MidCap Index Fund each had a correlation coefficient of 1.000 for the past fiscal year. The SmallCap Index Fund and S&P 500 Index Fund each had a correlation coefficient of .991 and .998, respectively. The small and mid-cap market sectors continued to outperform the large-cap sector through this last fiscal year, albeit with more volatility. These segments came out of the 2000 market bubble with much more attractive earning multiples and continued momentum has resulted in significant out-performance for the past three and five-year periods. These smaller sectors have demonstrated higher volatility recently but investors of the SmallCap and MidCap Index Funds have been well compensated for the risk. These trends inevitably shift. Predicting market momentum and relative performance is a guessing game at best. As such, we strongly encourage shareholders to consider a balanced approach for the portion of their portfolios dedicated to stock funds. By this, we mean owning equal balances of each of the three core index funds (S&P 500, MidCap and SmallCap Funds) to achieve a more diversified equity portfolio. Over the past several years, a balanced portfolio like this has outperformed a total market index such as the Wilshire 5000. The reason for this is that smaller companies represent a small element of such a massive index, their performance does not factor significantly into the total return. During periods where large cap stocks out perform their smaller counterparts, this strategy will result in underperformance. So why do it? Two reasons. First, at times we need access to our capital. By employing this method, we maintain a degree of flexibility where we can draw from and an investor can reduce holdings from any of the three holdings. This can prove handy for a number of reasons. Second, history is on our side in that although more volatile, small cap stocks have returned more to investors over the long haul. The Nasdaq-100 Index Fund, which is largely a technology fund, had excellent investment performance for the fiscal year. The three-year "look back" performance is compelling and I believe interest in this area will begin to solidify as investors come to realize that it is safe to get back in. This fund is likely to continue to be volatile for investors and will generally perform better during times of corporate prosperity. Conversely, as we all clearly remember the year 2000, these stocks suffer during times of economic retreat. Our European Growth & Income Fund is managed using ADRs for many of the stocks that make up the Dow Stoxx 50, a European large cap Index. The Fund uses the weightings of this benchmark as an approximation for weighting its holdings. This fund generally provides investors a low-cost, highly efficient tool to diversify internationally. The Fund significantly exceeded the performance of the U.S. markets, as measured against the S&P 500 Index for the fiscal year. We did not hedge the currency risk during the previous fiscal year and do not plan to do so this year. The Manager does not invest in all members of the benchmark because in some cases, ADRs are not available or do not provide sufficient liquidity. It is conceivable that the manager may invest in the foreign stocks directly in the future as the fund grows, international custody becomes more economical or the availability of ADRs is insufficient. The Equity Income Fund is actively managed as a value fund. The Equity Income Fund S and K shares were up 16.51% and 16.00%, respectively for the year. The S and K shares outperformed gains of the U.S. stock market as measured by the S&P 500 Index by 3.95% and 3.44%, respectively. The S and K shares also out-performed the benchmark, the BARRA/Value Index, by 1.73% and 1.22%, respectively for the year. The fund has invested a portion of its holdings in either the S&P 500 or Russell 2000 futures contracts through the year. The fund currently maintains an overweight focus in Consumer Cyclical, Utility, Energy and Financial Service/Banking, relative to the S&P 500 Index. The past fiscal year reflected a period where the economy had robust growth, corporate profits were strong and general employment grew at a steady pace without introducing substantially higher labor costs into the economy. This is an ideal environment to invest in equities and the double-digit gains in all stock funds reflect that. As previously discussed, the Fed Funds Rate increased from 1.50% to 3.50% during the fiscal year. Monetary policy is still accommodative according to Fed comments, and that is a positive for equities. At the same time, the fiscal stimulus (congressional spending) has been substantial and appears to be growing rapidly. Investors should look to the Fed to take fiscal policy into consideration as they seek a neutral monetary policy. In my judgment, this means higher rates than we normally would expect for a neutral policy and there is a risk that the fed may overshoot a neutral policy. If we see congressional spending controls introduced to appease voter concerns and/or a signal from the Fed that they are nearing the end of their tightening, this will be a strong signal to the equity markets. On the other hand, if the economy falls under the weight of higher energy costs and the markets perceive this as a long-term structural change, there should be downward price pressure on most sectors. While we cannot predict what the future holds, we can easily make the case that investors who have continued to invest through troubled markets in the past have been rewarded for their tenacity. We encourage you to maintain a diversified portfolio using both stock and bond funds, in a balance which is appropriate for your particular investment objectives. 3 REGULAR SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year 5 year 10 year --------------------------- ------ ------ ------- CIT S&P 500 Index Fund 12.31% -2.65% 9.84% S&P 500 Composite Stock Price Index 12.55% -2.71% 9.85% -------------------------------------------------------------------------------- CIT S&P 500 Index Fund versus the S&P 500 Composite Stock Price Index [Line Chart] S&P 500 Composite CIT S&P 500 Stock Price Index Fund Index ----------- ----------- 08/31/95 $10,000.00 $10,000.00 09/30/95 $10,422.91 $10,421.79 10/31/95 $10,400.21 $10,384.57 11/30/95 $10,852.36 $10,839.99 12/31/95 $11,059.35 $11,048.79 01/31/96 $11,423.50 $11,424.39 02/29/96 $11,518.50 $11,530.61 03/31/96 $11,625.29 $11,641.65 04/30/96 $11,816.39 $11,813.10 05/31/96 $12,118.97 $12,117.28 06/30/96 $12,159.42 $12,163.46 07/31/96 $11,622.74 $11,626.36 08/31/96 $11,863.05 $11,871.95 09/30/96 $12,523.64 $12,539.56 10/31/96 $12,870.17 $12,885.29 11/30/96 $13,838.73 $13,858.40 12/31/96 $13,562.62 $13,583.88 01/31/97 $14,403.07 $14,432.05 02/28/97 $14,510.18 $14,545.34 03/31/97 $13,904.48 $13,948.85 04/30/97 $14,724.34 $14,780.86 05/31/97 $15,618.73 $15,680.17 06/30/97 $16,302.36 $16,382.28 07/31/97 $17,592.24 $17,685.41 08/31/97 $16,626.91 $16,695.40 09/30/97 $17,528.41 $17,609.21 10/31/97 $16,951.38 $17,021.80 11/30/97 $17,732.63 $17,809.11 12/31/97 $18,037.37 $18,114.73 01/31/98 $18,233.71 $18,314.88 02/28/98 $19,539.77 $19,635.07 03/31/98 $20,535.12 $20,639.76 04/30/98 $20,749.29 $20,847.33 05/31/98 $20,389.48 $20,489.47 06/30/98 $21,203.94 $21,321.09 07/31/98 $20,971.69 $21,094.64 08/31/98 $17,978.19 $18,047.94 09/30/98 $19,113.14 $19,204.22 10/31/98 $20,712.38 $20,764.93 11/30/98 $21,952.74 $22,022.93 12/31/98 $23,222.32 $23,291.19 01/31/99 $24,225.42 $24,264.81 02/28/99 $23,479.75 $23,511.07 03/31/99 $24,399.94 $24,451.46 04/30/99 $25,299.36 $25,398.35 05/31/99 $24,676.00 $24,799.43 06/30/99 $26,037.76 $26,174.63 07/31/99 $25,242.52 $25,358.11 08/31/99 $25,126.36 $25,232.62 09/30/99 $24,437.17 $24,541.70 10/31/99 $25,980.76 $26,094.08 11/30/99 $26,502.61 $26,624.52 12/31/99 $28,103.20 $28,191.64 01/31/00 $26,689.08 $26,775.38 02/29/00 $26,170.57 $26,269.03 03/31/00 $28,704.00 $28,837.27 04/30/00 $27,814.99 $27,970.02 05/31/00 $27,266.44 $27,395.82 06/30/00 $27,934.25 $28,071.32 07/31/00 $27,554.96 $27,632.82 08/31/00 $29,242.78 $29,348.24 09/30/00 $27,729.25 $27,799.18 10/31/00 $27,624.64 $27,681.28 11/30/00 $25,458.70 $25,500.50 12/31/00 $25,600.77 $25,625.58 01/31/01 $26,482.55 $26,534.18 02/28/01 $24,147.28 $24,116.28 03/31/01 $22,650.97 $22,589.34 04/30/01 $24,372.40 $24,343.35 05/31/01 $24,547.46 $24,506.70 06/30/01 $23,951.76 $23,910.45 07/31/01 $23,717.52 $23,674.95 08/31/01 $22,243.71 $22,194.39 09/30/01 $20,467.34 $20,402.29 10/31/01 $20,830.03 $20,791.54 11/30/01 $22,398.41 $22,386.02 12/31/01 $22,577.01 $22,582.28 01/31/02 $22,252.51 $22,252.92 02/28/02 $21,849.35 $21,823.68 03/31/02 $22,641.11 $22,644.54 04/30/02 $21,280.28 $21,272.25 05/31/02 $21,122.51 $21,116.10 06/30/02 $19,623.42 $19,612.54 07/31/02 $18,169.47 $18,084.10 08/31/02 $18,278.27 $18,202.50 09/30/02 $16,270.62 $16,226.07 10/31/02 $17,711.82 $17,652.86 11/30/02 $18,785.26 $18,690.88 12/31/02 $17,669.58 $17,593.41 01/31/03 $17,190.40 $17,133.41 02/28/03 $16,930.85 $16,875.97 03/31/03 $17,087.68 $17,039.36 04/30/03 $18,490.77 $18,442.23 05/31/03 $19,482.96 $19,412.97 06/30/03 $19,734.22 $19,660.97 07/31/03 $20,076.19 $20,007.77 08/31/03 $20,478.53 $20,397.20 09/30/03 $20,247.89 $20,181.24 10/31/03 $21,398.57 $21,322.28 11/30/03 $21,590.34 $21,509.67 12/31/03 $22,704.28 $22,636.94 01/31/04 $23,109.54 $23,052.38 02/29/04 $23,423.61 $23,372.69 03/31/04 $23,073.06 $23,020.14 04/30/04 $22,707.15 $22,659.23 05/31/04 $23,012.08 $22,969.54 06/30/04 $23,457.17 $23,416.05 07/31/04 $22,671.87 $22,640.02 08/31/04 $22,763.66 $22,730.96 09/30/04 $22,995.68 $22,976.98 10/31/04 $23,354.03 $23,328.00 11/30/04 $24,295.97 $24,271.57 12/31/04 $25,120.17 $25,097.24 01/31/05 $24,512.01 $24,485.50 02/28/05 $25,027.40 $25,000.50 03/31/05 $24,584.16 $24,558.27 04/30/05 $24,108.01 $24,092.71 05/31/05 $24,863.64 $24,858.62 06/30/05 $24,901.94 $24,894.24 07/31/05 $25,816.16 $25,819.64 08/31/05 $25,566.83 $25,583.90 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year Inception** --------------------------- ------ ----------- CIT S&P 500 Index Fund 11.77% 9.51% S&P 500 Composite Stock Price Index 12.55% 10.26% -------------------------------------------------------------------------------- CIT S&P 500 Index Fund versus the S&P 500 Composite Stock Price Index [Line Chart] S&P 500 Composite CIT S&P 500 Stock Price Index Fund Index ----------- ----------- 10/31/03 $10,000.00 $10,000.00 11/30/03 $10,084.94 $10,087.88 12/31/03 $10,605.66 $10,616.57 01/31/04 $10,794.54 $10,811.40 02/29/04 $10,936.20 $10,961.63 03/31/04 $10,762.53 $10,796.28 04/30/04 $10,587.56 $10,627.02 05/31/04 $10,729.42 $10,772.55 06/30/04 $10,931.20 $10,981.96 07/31/04 $10,561.77 $10,618.01 08/31/04 $10,594.93 $10,660.66 09/30/04 $10,703.14 $10,776.04 10/31/04 $10,859.78 $10,940.67 11/30/04 $11,291.71 $11,383.19 12/31/04 $11,672.46 $11,770.43 01/31/05 $11,386.25 $11,483.52 02/28/05 $11,619.99 $11,725.06 03/31/05 $11,409.54 $11,517.65 04/30/05 $11,184.69 $11,299.35 05/31/05 $11,533.91 $11,658.55 06/30/05 $11,544.53 $11,675.26 07/31/05 $11,961.63 $12,109.26 08/31/05 $11,841.78 $11,998.71 -------------------------------------------------------------------------------- * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares REGULAR SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year 5 year 10 year --------------------------- ------ ------ ------- CIT S&P MidCap Index Fund 23.81% 6.87% 14.35% S&P MidCap 400 Index 23.87% 6.73% 14.32% -------------------------------------------------------------------------------- CIT S&P MidCap Index Fund versus the S&P MidCap 400 Index [Line Chart] CIT S&P MidCap S&P MidCap Index Fund 400 Index ----------- ----------- 08/31/95 $10,000.00 $10,000.00 09/30/95 $10,251.08 $10,242.96 10/31/95 $9,982.08 $9,979.32 11/30/95 $10,409.08 $10,412.90 12/31/95 $10,382.65 $10,386.98 01/31/96 $10,536.13 $10,537.76 02/29/96 $10,889.12 $10,895.14 03/31/96 $11,022.18 $11,025.79 04/30/96 $11,353.39 $11,362.72 05/31/96 $11,499.74 $11,516.15 06/30/96 $11,323.74 $11,343.37 07/31/96 $10,565.73 $10,577.86 08/31/96 $11,176.78 $11,188.77 09/30/96 $11,667.00 $11,676.52 10/31/96 $11,690.29 $11,710.65 11/30/96 $12,353.20 $12,369.38 12/31/96 $12,339.44 $12,382.90 01/31/97 $12,813.09 $12,847.52 02/28/97 $12,706.93 $12,742.25 03/31/97 $12,163.95 $12,199.81 04/30/97 $12,459.03 $12,515.97 05/31/97 $13,541.00 $13,610.38 06/30/97 $13,930.91 $13,992.38 07/31/97 $15,304.27 $15,376.38 08/31/97 $15,271.37 $15,358.13 09/30/97 $16,144.40 $16,240.53 10/31/97 $15,467.93 $15,534.21 11/30/97 $15,688.37 $15,764.32 12/31/97 $16,274.41 $16,374.84 01/31/98 $15,988.58 $16,063.07 02/28/98 $17,283.75 $17,393.09 03/31/98 $18,083.44 $18,177.15 04/30/98 $18,405.88 $18,508.28 05/31/98 $17,572.92 $17,676.37 06/30/98 $17,693.65 $17,787.05 07/31/98 $17,002.07 $17,097.19 08/31/98 $13,840.57 $13,917.12 09/30/98 $15,118.73 $15,215.57 10/31/98 $16,452.21 $16,572.87 11/30/98 $17,268.01 $17,399.93 12/31/98 $19,283.27 $19,500.51 01/31/99 $18,576.39 $18,741.65 02/28/99 $17,588.83 $17,760.62 03/31/99 $18,085.52 $18,256.82 04/30/99 $19,513.60 $19,696.13 05/31/99 $19,607.42 $19,781.77 06/30/99 $20,660.65 $20,840.39 07/31/99 $20,221.95 $20,394.24 08/31/99 $19,532.56 $19,695.25 09/30/99 $18,935.00 $19,087.98 10/31/99 $19,919.44 $20,059.96 11/30/99 $20,916.51 $21,112.69 12/31/99 $22,120.00 $22,366.36 01/31/00 $21,515.41 $21,736.50 02/29/00 $22,961.16 $23,257.27 03/31/00 $25,155.29 $25,202.72 04/30/00 $24,351.48 $24,321.46 05/31/00 $24,008.87 $24,021.18 06/30/00 $24,417.23 $24,374.39 07/31/00 $24,840.27 $24,759.82 08/31/00 $27,431.38 $27,522.72 09/30/00 $27,262.69 $27,334.30 10/31/00 $26,414.46 $26,406.93 11/30/00 $24,473.07 $24,414.98 12/31/00 $26,431.39 $26,282.38 01/31/01 $26,951.51 $26,868.19 02/28/01 $25,454.20 $25,335.74 03/31/01 $23,685.80 $23,453.39 04/30/01 $26,231.47 $26,039.71 05/31/01 $26,863.93 $26,645.97 06/30/01 $26,803.53 $26,538.38 07/31/01 $26,423.35 $26,142.85 08/31/01 $25,631.28 $25,288.16 09/30/01 $22,588.16 $22,143.32 10/31/01 $23,477.70 $23,123.50 11/30/01 $25,222.88 $24,843.61 12/31/01 $26,518.15 $26,125.14 01/31/02 $26,406.33 $25,990.94 02/28/02 $26,438.28 $26,022.57 03/31/02 $28,305.57 $27,882.56 04/30/02 $28,177.56 $27,752.15 05/31/02 $27,729.54 $27,284.44 06/30/02 $25,738.39 $25,287.69 07/31/02 $23,239.83 $22,837.64 08/31/02 $23,383.97 $22,952.56 09/30/02 $21,483.78 $21,103.68 10/31/02 $22,414.38 $22,017.37 11/30/02 $23,697.95 $23,289.79 12/31/02 $22,748.43 $22,333.19 01/31/03 $22,120.99 $21,681.01 02/28/03 $21,557.91 $21,164.42 03/31/03 $21,683.56 $21,342.50 04/30/03 $23,231.24 $22,890.85 05/31/03 $25,117.46 $24,786.81 06/30/03 $25,417.33 $25,102.50 07/31/03 $26,321.62 $25,993.49 08/31/03 $27,468.15 $27,170.76 09/30/03 $27,041.52 $26,755.26 10/31/03 $29,063.16 $28,778.01 11/30/03 $30,098.24 $29,780.29 12/31/03 $30,608.83 $30,282.39 01/31/04 $31,256.98 $30,938.30 02/29/04 $32,034.75 $31,681.35 03/31/04 $32,161.30 $31,815.46 04/30/04 $31,090.34 $30,771.88 05/31/04 $31,723.18 $31,409.38 06/30/04 $32,444.78 $32,123.63 07/31/04 $30,949.33 $30,625.22 08/31/04 $30,884.31 $30,544.40 09/30/04 $31,814.26 $31,448.88 10/31/04 $32,205.01 $31,951.40 11/30/04 $34,061.12 $33,853.47 12/31/04 $35,482.34 $35,270.75 01/31/05 $34,552.46 $34,370.46 02/28/05 $35,743.36 $35,522.94 03/31/05 $35,320.83 $35,129.84 04/30/05 $33,929.61 $33,764.91 05/31/05 $35,959.16 $35,797.15 06/30/05 $36,812.56 $36,626.89 07/31/05 $38,713.83 $38,550.20 08/31/05 $38,238.51 $38,120.25 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year Inception** --------------------------- ------ ----------- CIT S&P MidCap Index Fund 23.20% 15.89% S&P MidCap 400 Index 23.26% 16.79% ** K Share commencement of operations was 10/16/03. -------------------------------------------------------------------------------- CIT S&P MidCap Index Fund versus the S&P MidCap 400 Index [Line Chart] CIT S&P MidCap S&P MidCap Index Fund 400 Index ----------- ----------- 10/31/03 $10,000.00 $10,000.00 11/30/03 $10,356.35 $10,348.28 12/31/03 $10,532.52 $10,522.75 01/31/04 $10,749.74 $10,750.67 02/29/04 $11,011.52 $11,008.87 03/31/04 $11,053.13 $11,055.47 04/30/04 $10,679.87 $10,692.84 05/31/04 $10,891.56 $10,914.37 06/30/04 $11,129.62 $11,162.56 07/31/04 $10,616.89 $10,641.88 08/31/04 $10,589.03 $10,613.80 09/30/04 $10,905.41 $10,928.09 10/31/04 $11,033.65 $11,102.71 11/30/04 $11,663.67 $11,763.66 12/31/04 $12,140.86 $12,256.14 01/31/05 $11,822.83 $11,943.31 02/28/05 $12,224.55 $12,343.78 03/31/05 $12,076.70 $12,207.18 04/30/05 $11,595.86 $11,732.99 05/31/05 $12,283.56 $12,439.18 06/30/05 $12,570.83 $12,727.51 07/31/05 $13,213.91 $13,395.84 08/31/05 $13,046.15 $13,246.44 -------------------------------------------------------------------------------- 4 REGULAR SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year 5 year Inception --------------------------- ------ ------ --------- CIT S&P SmallCap Index Fund 26.17% 9.07% 10.77% S&P SmallCap 600 Index 26.49% 10.15% 11.75% -------------------------------------------------------------------------------- CIT S&P SmallCap Index Fund versus the S&P SmallCap 600 Index [Line Chart] CIT S&P SmallCap S&P SmallCap Index Fund 600 Index ----------- ----------- 10/02/96 $10,000.00 $10,000.00 10/31/96 $9,850.00 $9,865.00 11/30/96 $10,240.00 $10,377.08 12/31/96 $10,372.50 $10,498.50 01/31/97 $10,635.09 $10,673.14 02/28/97 $10,382.60 $10,452.33 03/31/97 $9,839.13 $9,916.14 04/30/97 $10,001.76 $10,037.40 05/31/97 $11,109.68 $11,216.33 06/30/97 $11,578.46 $11,711.91 07/31/97 $12,200.19 $12,448.12 08/31/97 $12,485.57 $12,761.55 09/30/97 $13,284.45 $13,605.40 10/31/97 $12,711.75 $13,018.47 11/30/97 $12,642.28 $12,923.80 12/31/97 $12,867.56 $13,184.01 01/31/98 $12,592.20 $12,926.92 02/28/98 $13,672.44 $14,104.17 03/31/98 $14,190.54 $14,642.32 04/30/98 $14,286.06 $14,728.11 05/31/98 $13,490.03 $13,948.22 06/30/98 $13,503.30 $13,988.44 07/31/98 $12,439.21 $12,918.67 08/31/98 $10,066.29 $10,428.73 09/30/98 $10,698.78 $11,065.33 10/31/98 $11,178.79 $11,578.43 11/30/98 $11,778.62 $12,229.41 12/31/98 $12,493.43 $13,009.29 01/31/99 $12,374.45 $12,846.77 02/28/99 $11,260.31 $11,689.12 03/31/99 $11,424.62 $11,840.10 04/30/99 $12,150.85 $12,622.18 05/31/99 $12,389.32 $12,929.48 06/30/99 $13,107.97 $13,664.96 07/31/99 $12,977.75 $13,544.63 08/31/99 $12,435.21 $12,948.77 09/30/99 $12,472.42 $13,003.62 10/31/99 $12,483.30 $12,970.76 11/30/99 $13,011.35 $13,519.66 12/31/99 $14,172.02 $14,623.52 01/31/00 $13,784.37 $14,170.44 02/29/00 $15,745.42 $16,067.58 03/31/00 $15,079.69 $15,473.77 04/30/00 $14,771.24 $15,208.41 05/31/00 $14,280.01 $14,758.94 06/30/00 $15,239.17 $15,632.38 07/31/00 $14,827.30 $15,247.93 08/31/00 $16,120.11 $16,599.18 09/30/00 $15,632.16 $16,147.33 10/31/00 $15,586.25 $16,248.01 11/30/00 $14,034.28 $14,557.24 12/31/00 $15,722.03 $16,350.87 01/31/01 $16,231.93 $17,051.39 02/28/01 $15,260.69 $16,011.29 03/31/01 $14,583.85 $15,277.90 04/30/01 $15,654.23 $16,442.00 05/31/01 $15,909.66 $16,756.73 06/30/01 $16,458.25 $17,370.39 07/31/01 $16,092.79 $17,080.48 08/31/01 $15,702.95 $16,691.36 09/30/01 $13,658.04 $14,435.52 10/31/01 $14,378.16 $15,205.26 11/30/01 $15,366.82 $16,316.91 12/31/01 $16,391.35 $17,421.01 01/31/02 $16,489.06 $17,572.96 02/28/02 $16,232.57 $17,270.61 03/31/02 $17,434.56 $18,634.66 04/30/02 $17,898.83 $19,161.26 05/31/02 $17,153.55 $18,368.73 06/30/02 $16,247.13 $17,418.59 07/31/02 $14,034.39 $14,958.39 08/31/02 $14,181.09 $15,101.05 09/30/02 $13,296.73 $14,177.00 10/31/02 $13,749.33 $14,630.00 11/30/02 $14,495.50 $15,391.62 12/31/02 $13,990.55 $14,873.01 01/31/03 $13,499.22 $14,361.78 02/28/03 $13,093.88 $13,901.93 03/31/03 $13,179.49 $14,010.89 04/30/03 $14,224.51 $15,148.00 05/31/03 $15,343.29 $16,368.40 06/30/03 $15,695.89 $16,794.31 07/31/03 $16,520.05 $17,667.24 08/31/03 $17,307.30 $18,526.65 09/30/03 $16,824.74 $17,982.28 10/31/03 $18,252.44 $19,540.85 11/30/03 $18,935.71 $20,280.33 12/31/03 $19,255.20 $20,639.50 01/31/04 $19,826.64 $21,232.53 02/29/04 $20,186.90 $21,640.93 03/31/04 $20,431.63 $21,925.58 04/30/04 $19,748.09 $21,198.61 05/31/04 $20,021.50 $21,522.72 06/30/04 $21,049.30 $22,714.75 07/31/04 $19,917.21 $21,469.82 08/31/04 $19,718.17 $21,282.14 09/30/04 $20,756.45 $22,404.40 10/31/04 $21,154.89 $22,822.13 11/30/04 $22,955.96 $24,772.20 12/31/04 $23,488.57 $25,316.67 01/31/05 $22,903.31 $24,742.69 02/28/05 $23,540.59 $25,451.97 03/31/05 $22,918.91 $24,794.72 04/30/05 $21,629.72 $23,410.41 05/31/05 $23,088.20 $24,960.29 06/30/05 $23,861.84 $25,771.75 07/31/05 $25,283.12 $27,322.93 08/31/05 $24,878.91 $26,919.95 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year Inception ** --------------------------- ------ ------------ CIT S&P SmallCap Index Fund 25.53% 17.65% S&P SmallCap 600 Index 26.49% 18.90% -------------------------------------------------------------------------------- CIT S&P SmallCap Index Fund versus the S&P SmallCap 600 Index [Line Chart] CIT S&P SmallCap S&P SmallCap Index Fund 600 Index ----------- ----------- 10/31/03 $10,000.00 $10,000.00 11/30/03 $10,367.60 $10,378.43 12/31/03 $10,544.48 $10,562.23 01/31/04 $10,843.81 $10,865.72 02/29/04 $11,047.89 $11,074.72 03/31/04 $11,170.34 $11,220.39 04/30/04 $10,789.38 $10,848.36 05/31/04 $10,939.04 $11,014.22 06/30/04 $11,496.88 $11,624.24 07/31/04 $10,871.01 $10,987.15 08/31/04 $10,762.16 $10,891.10 09/30/04 $11,320.00 $11,465.42 10/31/04 $11,537.70 $11,679.19 11/30/04 $12,508.12 $12,677.13 12/31/04 $12,791.90 $12,955.75 01/31/05 $12,536.49 $12,662.02 02/28/05 $12,877.05 $13,024.99 03/31/05 $12,529.68 $12,688.64 04/30/05 $11,827.28 $11,980.22 05/31/05 $12,558.07 $12,773.37 06/30/05 $12,970.92 $13,188.63 07/31/05 $13,730.15 $13,982.44 08/31/05 $13,510.19 $13,776.21 -------------------------------------------------------------------------------- * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares REGULAR SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year 5 year Inception --------------------------- ------ ------ --------- CIT Equity Income Fund 16.51% 3.50% 8.69% S&P BARRA/Value Index 14.77% 2.09% 9.21% S&P 500 Composite Stock Price Index 12.55% -2.71% 8.84% -------------------------------------------------------------------------------- Equity Income Fund versus the S&P BARRA/Value Index & the S&P 500 Composite Stock Price Index [Line Chart] CIT S&P 500 Equity S&P Composite Income BARRA/Value Stock Price Fund Index Index ---------- ---------- ---------- 09/04/96 $10,000.00 $10,000.00 $10,000.00 09/30/96 $10,206.90 $10,366.00 $10,562.34 10/31/96 $10,527.75 $10,716.60 $10,853.55 11/30/96 $11,208.65 $11,533.54 $11,673.23 12/31/96 $11,096.97 $11,344.34 $11,441.99 01/31/97 $11,574.49 $11,868.70 $12,156.43 02/28/97 $11,667.91 $11,954.63 $12,251.86 03/31/97 $11,245.42 $11,546.17 $11,749.42 04/30/97 $11,737.08 $11,978.54 $12,450.24 05/31/97 $12,354.27 $12,728.84 $13,207.75 06/30/97 $12,801.36 $13,215.15 $13,799.15 07/31/97 $13,824.21 $14,275.12 $14,896.80 08/31/97 $13,328.60 $13,630.99 $14,062.90 09/30/97 $14,064.00 $14,429.56 $14,832.61 10/31/97 $13,617.86 $13,899.93 $14,337.83 11/30/97 $14,079.12 $14,428.22 $15,001.00 12/31/97 $14,347.76 $14,747.90 $15,258.43 01/31/98 $14,204.29 $14,566.05 $15,427.02 02/28/98 $15,219.67 $15,657.62 $16,539.04 03/31/98 $16,086.82 $16,450.20 $17,385.31 04/30/98 $16,220.05 $16,644.84 $17,560.16 05/31/98 $16,075.72 $16,411.09 $17,258.72 06/30/98 $16,228.60 $16,535.54 $17,959.22 07/31/98 $15,792.70 $16,176.93 $17,768.47 08/31/98 $13,389.71 $13,579.24 $15,202.17 09/30/98 $13,865.61 $14,405.61 $16,176.13 10/31/98 $14,845.56 $15,531.53 $17,490.75 11/30/98 $15,431.27 $16,339.96 $18,550.39 12/31/98 $16,233.81 $16,911.80 $19,618.67 01/31/99 $16,449.05 $17,253.42 $20,438.77 02/28/99 $16,131.85 $16,883.59 $19,803.88 03/31/99 $16,445.99 $17,395.26 $20,595.99 04/30/99 $17,493.80 $18,896.63 $21,393.57 05/31/99 $16,901.56 $18,556.30 $20,889.09 06/30/99 $17,588.21 $19,268.48 $22,047.46 07/31/99 $17,061.83 $18,676.01 $21,359.69 08/31/99 $16,455.34 $18,202.03 $21,253.98 09/30/99 $15,681.66 $17,492.17 $20,672.00 10/31/99 $16,291.44 $18,480.41 $21,979.61 11/30/99 $16,253.45 $18,372.46 $22,426.41 12/31/99 $16,868.26 $19,062.26 $23,746.43 01/31/00 $16,248.80 $18,455.75 $22,553.48 02/29/00 $15,927.16 $17,302.86 $22,126.97 03/31/00 $17,176.79 $19,105.47 $24,290.26 04/30/00 $16,709.97 $18,977.54 $23,559.75 05/31/00 $16,554.36 $19,036.18 $23,076.09 06/30/00 $16,354.58 $18,285.13 $23,645.08 07/31/00 $16,474.84 $18,651.20 $23,275.72 08/31/00 $17,809.66 $19,900.84 $24,720.65 09/30/00 $17,386.60 $19,895.95 $23,415.85 10/31/00 $17,337.90 $20,266.71 $23,316.54 11/30/00 $16,303.59 $19,230.01 $21,479.62 12/31/00 $16,667.74 $20,218.87 $21,584.98 01/31/01 $16,029.03 $21,071.89 $22,350.31 02/28/01 $15,881.64 $19,676.61 $20,313.66 03/31/01 $15,316.88 $18,900.49 $19,027.48 04/30/01 $16,255.66 $20,181.16 $20,504.93 05/31/01 $16,428.59 $20,392.08 $20,642.52 06/30/01 $15,894.23 $19,731.64 $20,140.29 07/31/01 $15,534.40 $19,390.46 $19,941.92 08/31/01 $15,149.77 $18,271.03 $18,694.82 09/30/01 $14,332.47 $16,536.74 $17,185.28 10/31/01 $14,382.32 $16,537.29 $17,513.16 11/30/01 $15,242.27 $17,587.21 $18,856.23 12/31/01 $15,699.92 $17,855.87 $19,021.54 01/31/02 $15,562.20 $17,366.30 $18,744.11 02/28/02 $15,512.12 $17,209.78 $18,382.56 03/31/02 $16,146.87 $18,091.79 $19,073.98 04/30/02 $15,983.77 $17,186.06 $17,918.08 05/31/02 $15,732.85 $17,255.55 $17,786.54 06/30/02 $15,077.19 $16,167.65 $16,520.07 07/31/02 $14,171.05 $14,421.22 $15,232.63 08/31/02 $14,322.07 $14,519.61 $15,332.35 09/30/02 $13,201.10 $12,862.34 $13,667.57 10/31/02 $13,542.18 $13,929.78 $14,869.38 11/30/02 $13,858.00 $14,906.92 $15,743.73 12/31/02 $13,716.89 $14,132.49 $14,819.31 01/31/03 $13,222.02 $13,746.81 $14,431.84 02/28/03 $13,044.37 $13,371.84 $14,214.99 03/31/03 $13,245.75 $13,354.58 $14,352.62 04/30/03 $14,072.81 $14,674.04 $15,534.29 05/31/03 $14,925.32 $15,752.62 $16,351.96 06/30/03 $15,197.49 $15,868.23 $16,560.86 07/31/03 $15,414.41 $16,220.69 $16,852.98 08/31/03 $15,720.66 $16,570.74 $17,181.00 09/30/03 $15,679.57 $16,271.29 $16,999.09 10/31/03 $16,447.55 $17,383.04 $17,960.22 11/30/03 $16,805.94 $17,538.93 $18,118.05 12/31/03 $17,489.19 $18,621.35 $19,067.59 01/31/04 $17,720.49 $18,950.61 $19,417.51 02/29/04 $18,247.35 $19,378.42 $19,687.32 03/31/04 $18,259.30 $19,243.97 $19,390.36 04/30/04 $17,744.23 $18,769.49 $19,086.35 05/31/04 $17,988.89 $18,984.91 $19,347.74 06/30/04 $18,378.67 $19,397.05 $19,723.84 07/31/04 $18,068.92 $19,027.81 $19,070.17 08/31/04 $18,159.26 $19,232.15 $19,146.78 09/30/04 $18,582.07 $19,596.06 $19,354.01 10/31/04 $18,569.12 $19,892.02 $19,649.68 11/30/04 $19,592.11 $20,861.97 $20,444.47 12/31/04 $20,190.10 $21,540.78 $21,139.95 01/31/05 $19,838.63 $21,017.41 $20,624.66 02/28/05 $20,437.44 $21,397.72 $21,058.46 03/31/05 $19,956.70 $21,017.76 $20,685.96 04/30/05 $19,446.33 $20,588.78 $20,293.81 05/31/05 $20,153.00 $21,239.97 $20,938.95 06/30/05 $20,500.31 $21,560.69 $20,968.96 07/31/05 $21,300.90 $22,239.79 $21,748.44 08/31/05 $21,156.53 $22,072.81 $21,549.87 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year Inception** --------------------------- ------ ----------- CIT Equity Income Fund 16.00% 13.62% S&P BARRA/Value Index 14.77% 13.82% S&P 500 Composite Stock Price Index 12.55% 10.26% ** K Share commencement of operations was 10/16/03. -------------------------------------------------------------------------------- Equity Income Fund versus the S&P BARRA/Value Index & the S&P 500 Composite Stock Price Index [Line Chart] CIT S&P 500 Equity S&P Composite Income BARRA/Value Stock Price Fund Index Index ---------- ---------- ---------- 10/31/03 $10,000.00 $10,000.00 $10,000.00 11/30/03 $10,217.90 $10,089.68 $10,087.88 12/31/03 $10,627.08 $10,712.36 $10,616.57 01/31/04 $10,751.65 $10,901.78 $10,811.40 02/29/04 $11,070.85 $11,147.89 $10,961.63 03/31/04 $11,077.40 $11,070.54 $10,796.28 04/30/04 $10,758.00 $10,797.59 $10,627.02 05/31/04 $10,898.22 $10,921.51 $10,772.55 06/30/04 $11,137.53 $11,158.61 $10,981.96 07/31/04 $10,934.89 $10,946.19 $10,618.01 08/31/04 $10,989.45 $11,063.74 $10,660.66 09/30/04 $11,244.69 $11,273.09 $10,776.04 10/31/04 $11,229.08 $11,443.35 $10,940.67 11/30/04 $11,838.16 $12,001.34 $11,383.19 12/31/04 $12,196.36 $12,391.84 $11,770.43 01/31/05 $11,984.72 $12,090.75 $11,483.52 02/28/05 $12,345.29 $12,309.54 $11,725.06 03/31/05 $12,049.15 $12,090.96 $11,517.65 04/30/05 $11,734.35 $11,844.18 $11,299.35 05/31/05 $12,159.34 $12,218.79 $11,658.55 06/30/05 $12,353.88 $12,403.29 $11,675.26 07/31/05 $12,834.80 $12,793.96 $12,109.26 08/31/05 $12,748.07 $12,697.90 $11,998.71 -------------------------------------------------------------------------------- 5 REGULAR SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year 5 year Inception --------------------------- ------ ------ --------- CIT European Growth & Income Fund 23.15% -0.68% -1.25% Dow Jones Stoxx 50 Index (U.S. Dollars) 23.71% -0.67% -1.56% -------------------------------------------------------------------------------- European Growth & Income Fund versus the Dow Jones Stoxx 50 Index (U.S. Dollars) [Line Chart] CIT European Dow Jones Growth & Stoxx 50 Income Index Fund (U.S. Dollars) ---------- ----------- 01/18/00 $10,000.00 $10,000.00 01/31/00 $9,720.00 $9,288.76 02/29/00 $10,060.00 $9,906.66 03/31/00 $10,298.80 $10,212.79 04/30/00 $9,918.48 $9,769.41 05/31/00 $9,858.42 $9,751.62 06/30/00 $9,892.45 $9,778.92 07/31/00 $9,641.12 $9,581.25 08/31/00 $9,641.12 $9,468.26 09/30/00 $8,996.80 $8,974.88 10/31/00 $9,067.41 $8,946.49 11/30/00 $8,593.36 $8,565.10 12/31/00 $9,047.23 $9,116.20 01/31/01 $9,037.15 $9,052.06 02/28/01 $8,119.31 $8,082.22 03/31/01 $7,664.53 $7,535.40 04/30/01 $8,281.33 $8,135.13 05/31/01 $7,927.43 $7,727.48 06/30/01 $7,517.41 $7,409.36 07/31/01 $7,476.77 $7,402.44 08/31/01 $7,243.12 $7,158.56 09/30/01 $6,711.12 $6,564.75 10/31/01 $6,915.10 $6,748.01 11/30/01 $7,108.89 $6,926.47 12/31/01 $7,272.07 $7,087.30 01/31/02 $6,904.90 $6,672.46 02/28/02 $6,853.90 $6,687.78 03/31/02 $7,143.87 $7,004.56 04/30/02 $7,072.33 $6,894.81 05/31/02 $7,000.79 $6,850.26 06/30/02 $6,696.64 $6,646.74 07/31/02 $6,016.67 $5,874.98 08/31/02 $5,975.46 $5,859.81 09/30/02 $5,266.96 $5,034.40 10/31/02 $5,763.64 $5,595.70 11/30/02 $6,043.03 $5,847.76 12/31/02 $5,777.72 $5,567.07 01/31/03 $5,653.46 $5,310.24 02/28/03 $5,446.38 $5,178.73 03/31/03 $5,405.48 $5,094.98 04/30/03 $6,040.80 $5,793.74 05/31/03 $6,415.75 $6,124.28 06/30/03 $6,411.48 $6,191.10 07/31/03 $6,463.78 $6,263.66 08/31/03 $6,463.78 $6,161.35 09/30/03 $6,562.20 $6,297.49 10/31/03 $6,919.18 $6,661.26 11/30/03 $7,202.67 $6,987.91 12/31/03 $7,812.38 $7,621.51 01/31/04 $7,864.95 $7,610.82 02/29/04 $8,033.18 $7,778.23 03/31/04 $7,707.44 $7,489.40 04/30/04 $7,644.09 $7,455.51 05/31/04 $7,718.00 $7,524.34 06/30/04 $7,810.06 $7,561.16 07/31/04 $7,511.73 $7,382.68 08/31/04 $7,565.00 $7,402.34 09/30/04 $7,817.74 $7,708.15 10/31/04 $8,138.57 $7,966.29 11/30/04 $8,619.83 $8,486.55 12/31/04 $8,927.19 $8,800.45 01/31/05 $8,691.70 $8,576.98 02/28/05 $9,087.75 $8,989.61 03/31/05 $8,824.65 $8,756.93 04/30/05 $8,717.03 $8,595.24 05/31/05 $8,706.27 $8,612.81 06/30/05 $8,794.51 $8,749.60 07/31/05 $9,131.51 $9,077.25 08/31/05 $9,316.31 $9,157.24 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year Inception** --------------------------- ------ ----------- CIT European Growth & Income Fund 22.78% 16.53% Dow Jones Stoxx 50 Index (U.S. Dollars) 23.71% 18.32% -------------------------------------------------------------------------------- European Growth & Income Fund versus the Dow Jones Stoxx 50 Index (U.S. Dollars) [Line Chart] CIT European Dow Jones Growth & Stoxx 50 Income Index Fund (U.S. Dollars) ---------- ----------- 10/31/03 $10,000.00 $10,000.00 11/30/03 $10,409.71 $10,490.38 12/31/03 $11,290.44 $11,441.55 01/31/04 $11,366.31 $11,425.50 02/29/04 $11,593.94 $11,676.82 03/31/04 $11,111.97 $11,243.22 04/30/04 $11,020.65 $11,192.35 05/31/04 $11,111.97 $11,295.67 06/30/04 $11,243.04 $11,350.95 07/31/04 $10,814.74 $11,083.01 08/31/04 $10,875.92 $11,112.53 09/30/04 $11,249.62 $11,571.62 10/31/04 $11,709.41 $11,959.14 11/30/04 $12,383.77 $12,740.16 12/31/04 $12,812.91 $13,211.40 01/31/05 $12,491.06 $12,875.93 02/28/05 $13,058.13 $13,495.36 03/31/05 $12,681.56 $13,146.06 04/30/05 $12,527.67 $12,903.33 05/31/05 $12,496.89 $12,929.71 06/30/05 $12,624.16 $13,135.06 07/31/05 $13,105.53 $13,626.94 08/31/05 $13,353.97 $13,747.02 -------------------------------------------------------------------------------- * Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares REGULAR SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year 5 year Inception --------------------------- ------ ------ --------- CIT Nasdaq-100 Index Fund 15.47% -17.53% -14.74% Nasdaq-100 Index 16.01% -17.10% -13.91% -------------------------------------------------------------------------------- Nasdaq-100 Index Fund versus the Nasdaq-100 Index [Line Chart] CIT Nasdaq-100 Index Nasdaq-100 Fund Index ---------- ----------- 01/18/00 $10,000.00 $10,000.00 01/31/00 $9,380.00 $9,628.57 02/29/00 $11,050.00 $11,508.66 03/31/00 $11,508.20 $11,861.76 04/30/00 $9,865.60 $10,177.39 05/31/00 $8,743.83 $8,966.38 06/30/00 $9,889.24 $10,152.48 07/31/00 $9,498.08 $9,736.12 08/31/00 $10,701.64 $10,999.62 09/30/00 $9,358.67 $9,632.04 10/31/00 $8,601.50 $8,854.49 11/30/00 $6,537.34 $6,762.09 12/31/00 $6,149.17 $6,317.43 01/31/01 $6,790.55 $6,995.76 02/28/01 $4,998.74 $5,148.81 03/31/01 $4,108.54 $4,244.99 04/30/01 $4,842.57 $5,005.81 05/31/01 $4,699.84 $4,856.99 06/30/01 $4,783.54 $4,938.78 07/31/01 $4,385.77 $4,543.49 08/31/01 $3,824.80 $3,966.55 09/30/01 $3,035.26 $3,153.33 10/31/01 $3,546.24 $3,683.65 11/30/01 $4,149.21 $4,308.15 12/31/01 $4,098.11 $4,256.88 01/31/02 $4,036.79 $4,184.54 02/28/02 $3,546.24 $3,669.55 03/31/02 $3,781.30 $3,922.23 04/30/02 $3,321.41 $3,448.00 05/31/02 $3,147.67 $3,262.70 06/30/02 $2,718.44 $2,838.97 07/31/02 $2,503.83 $2,598.21 08/31/02 $2,462.95 $2,545.22 09/30/02 $2,176.80 $2,248.52 10/31/02 $2,575.37 $2,672.83 11/30/02 $2,912.62 $3,015.03 12/31/02 $2,565.15 $2,659.52 01/31/03 $2,554.93 $2,656.20 02/28/03 $2,616.25 $2,729.94 03/31/03 $2,646.91 $2,754.28 04/30/03 $2,871.74 $2,990.82 05/31/03 $3,117.01 $3,239.73 06/30/03 $3,127.23 $3,250.08 07/31/03 $3,311.19 $3,454.00 08/31/03 $3,484.92 $3,628.59 09/30/03 $3,382.73 $3,527.32 10/31/03 $3,668.88 $3,834.56 11/30/03 $3,699.54 $3,856.65 12/31/03 $3,801.73 $3,975.50 01/31/04 $3,863.05 $4,043.98 02/29/04 $3,801.73 $3,983.71 03/31/04 $3,719.98 $3,897.16 04/30/04 $3,617.78 $3,797.34 05/31/04 $3,791.51 $3,974.39 06/30/04 $3,914.15 $4,111.25 07/31/04 $3,617.78 $3,796.78 08/31/04 $3,536.02 $3,713.20 09/30/04 $3,638.22 $3,832.80 10/31/04 $3,832.39 $4,033.86 11/30/04 $4,047.01 $4,266.08 12/31/04 $4,185.49 $4,402.66 01/31/05 $3,929.02 $4,127.37 02/28/05 $3,908.50 $4,107.46 03/31/05 $3,836.69 $4,030.38 04/30/05 $3,672.56 $3,863.17 05/31/05 $3,990.57 $4,197.47 06/30/05 $3,857.21 $4,064.10 07/31/05 $4,144.45 $4,368.33 08/31/05 $4,082.90 $4,307.86 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* For periods ended 8/31/2005 1 year Inception ** --------------------------- ------ ------------ CIT Nasdaq-100 Index Fund 15.13% 5.08% Nasdaq-100 Index 16.01% 6.01% ** K Share commencement of operations was 10/16/03. -------------------------------------------------------------------------------- Nasdaq-100 Index Fund versus the Nasdaq-100 Index [Line Chart] CIT Nasdaq-100 Index Nasdaq-100 Fund Index ---------- ----------- 10/31/03 $10,000.00 $10,000.00 11/30/03 $10,083.56 $10,057.61 12/31/03 $10,362.11 $10,367.53 01/31/04 $10,529.25 $10,546.13 02/29/04 $10,362.11 $10,388.95 03/31/04 $10,139.27 $10,163.24 04/30/04 $9,860.73 $9,902.93 05/31/04 $10,306.40 $10,364.64 06/30/04 $10,640.67 $10,721.56 07/31/04 $9,832.86 $9,901.45 08/31/04 $9,610.03 $9,683.49 09/30/04 $9,888.58 $9,995.40 10/31/04 $10,389.97 $10,519.75 11/30/04 $10,974.93 $11,125.34 12/31/04 $11,343.45 $11,481.53 01/31/05 $10,672.91 $10,763.61 02/28/05 $10,617.02 $10,711.69 03/31/05 $10,421.44 $10,510.66 04/30/05 $9,974.42 $10,074.94 05/31/05 $10,812.60 $10,946.78 06/30/05 $10,477.33 $10,598.96 07/31/05 $11,231.70 $11,392.37 08/31/05 $11,064.06 $11,234.69 -------------------------------------------------------------------------------- 6
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE MONEY MARKET FUND 8/31/2005 Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 SACRAMENTO, COUNTY OF Series A $2,024,383 3.6% 2 CALIFORNIA COMMUNITY COLLEGE FINANCING AUTHORITY Series A 2,022,316 3.6% 3 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series C-8 2,000,000 3.6% 4 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 3.6% 5 CHINO BASIN REGIONAL FINANCING AUTHORITY Inland Empire Utilities Agency; Series 2002A 2,000,000 3.6% 6 KERN, COUNTY OF Tax revenue Refunding Bonds; 1993 Series A 2,000,000 3.6% 7 ORANGE COUNTY WATER DISTRICT Certificates of Participation; Series A 2,000,000 3.6% 8 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 2,000,000 3.6% 9 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 3.6% 10 CAPITAL ASSET LEASING CORP Certificates of Participation 2,000,000 3.6% 11 EAST BAY MUNICIPAL UTILITY DISTRICT Certificates of Participation 2,000,000 3.6% 12 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commercial Paper Notes; Series A 2,000,000 3.6%
[Bar Chart] Variable Rate Demand Notes 72.2% Tax and Revenue Anticipation Notes 16.7% Commercial Paper 10.8% Other Net Assets 0.3% 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.
-------------------------------------------------------------------------------------------------------------------- Beginning DIRECT SHARES Account Value Ending Account Value Expenses March 1, 2005 August 31, 2005 Paid During Period* -------------------------------------------------------------------------------------------------------------------- Based on Actual Fund Return $1,000 $1,009 $2.68 -------------------------------------------------------------------------------------------------------------------- Based on Hypothetical 5% Return before expenses $1,000 $1,023 $2.70 --------------------------------------------------------------------------------------------------------------------
* 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. 7
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED INTERMEDIATE FUND 8/31/2005 Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 MONTEREY, COUNTY OF Certificates of Participation $659,862 3.0% 2 CALIFORNIA STATE ECONOMIC RECOVERY General Obligation; Series A 655,026 3.0% 3 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 648,456 3.0% 4 OAK PARK UNIFIED SCHOOL DISTRICT General Obligation, Refunding Bonds 623,052 2.9% 5 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 605,847 2.8% 6 FRESNO, CITY OF Water System Revenue Refunding; Series A 571,925 2.6% 7 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 2001A 571,570 2.6% 8 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 566,580 2.6% 9 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 20025 566,360 2.6% 10 OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 565,085 2.6%
[Bar Chart] Long Term Securities 96.5% Variable Rate Demand Notes 2.2% Other Net Assets 1.3% 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.
------------------------------------------------------------------------------------------------------------------------ Beginning DIRECT SHARES Account Value Ending Account Value Expenses March 1, 2005 August 31, 2005 Paid During Period* ------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,011 $3.45 ------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,022 $3.47 ------------------------------------------------------------------------------------------------------------------------
* 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. 8
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE INCOME FUND 8/31/2005 Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 CALIFORNIA STATE PUBLIC WORKS BOARD University of California Projects; 1993 Series A $5,619,700 4.0% 2 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds 4,439,840 3.1% 3 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 4,276,726 3.0% 4 CALIFORNIA, STATE OF General Obligation Bonds; 2005 4,255,160 3.0% 5 LOS ANGELES COMMUNITIES REDEVLOPMENT AGENCY Bunker Hill Project; Series A 4,252,400 3.0% 6 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series B5 4,200,000 3.0% 7 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 3,941,932 2.8% 8 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 3,491,030 2.5% 9 SAN MARINO UNIFIED SCHOOL DISTRICT General Obligation Bonds 3,412,920 2.4% 10 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Stanford University Revenue Bonds; Series P 3,408,450 2.4%
[Bar Chart] Long Term Securities 91.1% Variable Rate Demand Notes 5.6% Other Net Assets 3.3% 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.
--------------------------------------------------------------------------------------------------------------------- Beginning DIRECT SHARES Account Value Ending Account Value Expenses March 1, 2005 August 31, 2005 Paid During Period* --------------------------------------------------------------------------------------------------------------------- Based on Actual Fund Return $1,000 $1,020 $3.56 --------------------------------------------------------------------------------------------------------------------- Based on Hypothetical 5% Return before expenses $1,000 $1,021 $3.57 ---------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.70%) 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. 9
------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT SECURITIES FUND 8/31/2005 Percentage of Total Security Description Maturity Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 United States Treasury Bonds 11/15/2022 $2,802,970 10.1% 2 Government National Mortgage Association 12/20/2034 2,711,992 9.8% 3 United States Treasury Bonds 11/15/2028 2,273,438 8.2% 4 Government National Mortgage Association 02/15/2019 1,787,725 6.5% 5 Government National Mortgage Association 07/15/2020 1,735,658 6.3% 6 United States Treasury Bonds 05/15/2016 1,650,442 6.0% 7 Government National Mortgage Association 01/15/2019 1,612,124 5.8% 8 Government National Mortgage Association 09/15/2018 1,598,777 5.8% 9 United States Treasury Bills 10/06/2005 1,595,064 5.8% 10 Government National Mortgage Association 02/15/2019 1,487,837 5.4%
[Bar Chart] Government National Mortgage Assoc. 55.9% United States Treasury Bills 15.6% United States Tresury Bonds 22.9% Other Net Assets 5.6% 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. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,026 $3.78 $1,000 $1,023 $6.32 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,021 $3.77 $1,000 $1,019 $6.31 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 10 -------------------------------------------------------------------------------- THE UNITED STATES TREASURY TRUST 8/31/2005 Percentage of Total Security Description Maturity Value Investment -------------------------------------------------------------------------------- 1 United States Treasury Bills 09/15/2005 $11,885,866 30.1% 2 United States Treasury Bills 10/06/2005 9,716,699 24.6% 3 United States Treasury Bills 10/27/2005 7,562,970 19.1% 4 United States Treasury Bills 11/17/2005 5,559,000 14.1% 5 United States Treasury Bills 12/01/2005 4,761,962 12.1% [Bar Chart] United States Treasury Bills 100.2% Other Liabilities -0.2% 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: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,010 $2.69 $1,000 $1,008 $5.21 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,023 $2.70 $1,000 $1,020 $5.24 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 11 -------------------------------------------------------------------------------- SHORT-TERM U.S. GOVERNMENT BOND FUND 8/31/2005 Percentage of Total Security Description Maturity Value Investment -------------------------------------------------------------------------------- 1 United States Treasury Notes 10/15/06 $ 2,368,013 14.4% 2 United States Treasury Notes 11/15/06 1,874,322 11.4% 3 United States Treasury Notes 05/15/08 1,596,563 9.7% 4 United States Treasury Notes 05/15/07 1,582,064 9.6% 5 United States Treasury Notes 08/15/07 1,470,060 8.9% 6 United States Treasury Notes 02/28/07 1,291,876 7.9% 7 United States Treasury Notes 02/15/07 1,173,938 7.1% 8 United States Treasury Notes 02/15/08 980,938 6.0% 9 Government National Mortgage Association 11/20/34 880,637 5.4% 10 United States Treasury Notes 12/31/06 791,688 4.8% [Bar Chart] Government National Mortgage Assoc. 9.9% United States Treasury Bills 4.2% United States Tresury Notes 84.9% Other Net Assets 1.0% 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. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,012 $2.99 $1,000 $1,009 $5.52 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,022 $3.01 $1,000 $1,020 $5.55 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 12 -------------------------------------------------------------------------------- S&P 500 INDEX FUND 8/31/2005 Percentage of Security Value Total Investment -------------------------------------------------------------------------------- 1 Exxon Mobil Corp $ 3,541,887 3.3% 2 General Electric Co 3,309,543 3.1% 3 Microsoft Corp 2,555,927 2.4% 4 Citigroup Inc 2,114,572 2.0% 5 Pfizer Inc 1,758,754 1.6% 6 Johnson & Johnson 1,750,515 1.6% 7 Bank of America Corp 1,606,310 1.5% 8 Intel Corp 1,473,473 1.4% 9 American International Group Inc 1,426,483 1.3% 10 Wal-Mart Stores Inc 1,396,907 1.3% [Bar Chart] S&P 500 CIT ----- --- Basic Materials 2.6% 2.7% Communications 10.6% 10.6% Consumer Cyclical 9.1% 9.2% Consumer Non-Cyclical 21.5% 21.9% Energy 9.6% 9.5% Financial 20.2% 19.7% Industrial 11.1% 11.1% Technology 11.8% 11.9% Utility 3.5% 3.4% 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: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,022 $1.83 $1,000 $1,019 $4.38 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,023 $1.84 $1,000 $1,021 $4.38 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 13 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND 8/31/2005 Percentage of Security Value Total Investment -------------------------------------------------------------------------------- 1 Legg Mason Inc $ 1,698,194 1.0% 2 Lennar Corp 1,350,737 0.8% 3 Peabody Energy Corp 1,290,060 0.8% 4 Whole Foods Market Inc 1,250,203 0.8% 5 Noble Energy Inc 1,151,020 0.7% 6 Smith International Inc 1,105,427 0.7% 7 Pioneer Natural Resources Co 1,073,462 0.7% 8 SanDisk Corp 1,053,691 0.6% 9 Fidelity National Financial Inc 1,021,071 0.6% 10 Harman International Industries Inc 998,741 0.6% [Bar Chart] S&P 400 CIT ----- --- Basic Materials 3.7% 3.7% Communications 5.4% 5.4% Consumer Cyclical 16.0% 16.1% Consumer Non-Cyclical 19.1% 19.1% Diversified 0.4% 0.4% Energy 9.5% 9.4% Financial 17.1% 17.1% Industrial 12.2% 12.3% Technology 10.2% 10.2% Utility 6.5% 6.4% 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: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
----------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES ----------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,070 $3.03 $1,000 $1,067 $5.63 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,022 $2.96 $1,000 $1,020 $5.50 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 14 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND 8/31/2005 Percentage of Security Value Total Investment -------------------------------------------------------------------------------- 1 Southwestern Energy Co $ 225,926 0.7% 2 NVR Inc 212,400 0.7% 3 Massey Energy Co 197,815 0.7% 4 Cimarex Energy Co 184,765 0.6% 5 Roper Industries Inc 177,500 0.6% 6 Florida Rock Industries Inc 165,725 0.5% 7 Cooper Cos Inc/The 162,922 0.5% 8 Pharmaceutical Product Development Inc 162,339 0.5% 9 Oshkosh Truck Corp 161,162 0.5% 10 Standard-Pacific Corp 153,316 0.5% [Bar Chart] S&P 600 CIT ----- --- Basic Materials 3.2% 3.1% Communications 2.9% 2.8% Consumer Cyclical 19.4% 19.5% Consumer Non-Cyclical 18.4% 18.2% Energy 8.6% 8.7% Financial 14.7% 14.7% Industrial 19.1% 19.5% Technology 9.2% 9.1% Utility 4.5% 4.4% 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: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
----------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES ----------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,057 $3.84 $1,000 $1,049 $6.40 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,021 $3.77 $1,000 $1,019 $6.31 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 15 -------------------------------------------------------------------------------- EQUITY INCOME FUND 8/31/2005 Percentage of Security Value Total Investment -------------------------------------------------------------------------------- 1 McGraw-Hill Cos Inc/The $514,893 2.6% 2 Wells Fargo & Co 494,667 2.5% 3 ConocoPhillips 484,527 2.4% 4 Citigroup Inc 455,689 2.3% 5 Bank of America Corp 424,448 2.1% 6 Baxter International Inc 419,876 2.1% 7 McDonald's Corp 401,342 2.0% 8 Ford Motor Co 399,797 2.0% 9 Exxon Mobil Corp 373,536 1.9% 10 Lowe's Cos Inc 369,783 1.9% [Bar Chart] S&P BARRA/Value CIT ----- --- Basic Materials 3.8% 3.4% Communications 13.9% 4.4% Consumer Cyclical 7.2% 12.2% Consumer Non-Cyclical 9.8% 17.6% Energy 9.4% 14.1% Financial 36.0% 27.1% Industrial 8.6% 5.5% Technology 5.1% 9.5% Utility 6.2% 6.2% 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: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. charge transaction fees, such as purchase or redemption fees, nor does it carry a "sales load." The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
-------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES -------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,035 $4.57 $1,000 $1,033 $7.12 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,021 $4.53 $1,000 $1,018 $7.07 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 16 -------------------------------------------------------------------------------- EUROPEAN GROWTH & INCOME FUND 8/31/2005 Percentage of Security Value Total Investment -------------------------------------------------------------------------------- 1 BP PLC ADR $559,075 7.0% 2 HSBC Holdings PLC ADR 424,329 5.3% 3 Vodafone Group PLC ADR 403,573 5.1% 4 Total SA ADR 379,567 4.8% 5 Royal Dutch Shell PLC ADR 332,595 4.2% 6 GlaxoSmithKline PLC ADR 330,711 4.1% 7 Barclays PLC ADR 308,335 3.9% 8 Novartis AG ADR 305,029 3.8% 9 Roche Holding AG ADR 242,077 3.0% 10 Nestle SA ADR 242,030 3.0% [Bar Chart] DJ STOXX 50 CIT ----- --- Basic Materials 2.2% 1.9% Communications 14.0% 16.9% Consumer Cyclical 1.3% 1.2% Consumer Non-Cyclical 19.7% 20.8% Energy 18.1% 21.7% Financial 34.7% 30.5% Industrial 3.9% 3.1% Technology 1.9% 1.0% Utility 4.2% 2.9% 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 During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,025 $5.10 $1,000 $1,023 $7.65 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,020 $5.09 $1,000 $1,018 $7.63 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 17 -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND 8/31/2005 Percentage of Security Value Total Investment -------------------------------------------------------------------------------- 1 Microsoft Corp $ 1,450,063 7.8% 2 Qualcomm Inc 1,114,580 6.0% 3 Intel Corp 791,456 4.3% 4 Apple Computer Inc 764,959 4.1% 5 Amgen Inc 647,270 3.5% 6 eBay Inc 580,303 3.1% 7 Cisco Systems Inc 571,258 3.1% 8 Dell Inc 450,660 2.4% 9 Comcast Corp 415,648 2.2% 10 Oracle Corp 395,922 2.1% [Bar Chart] Nasdaq 100 CIT ----- --- Basic Materials 0.5% 0.5% Communications 27.0% 27.1% Consumer Cyclical 10.4% 10.5% Consumer Non-Cyclical 17.9% 17.8% Industrial 2.8% 2.7% Technology 41.4% 41.4% 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: Actual fund return- This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% return- This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The Fund does not carry a "sales load", nor does it charge redemption fees on shares held over one month. charge transaction fees, such as purchase or redemption fees, nor does it carry a "sales load." The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
--------------------------------------------------------------------------------------------------- DIRECT SHARES K SHARES --------------------------------------------------------------------------------------------------- Beginning Ending Account Expenses Beginning Ending Account Expenses Account Value Value Paid During Account Value Value Paid During March 1, 2005 August 31, 2005 Period* March 1, 2005 August 31, 2005 Period* ------------------------------------------------------------------------------------------------------------------------------------ Based on Actual Fund Return $1,000 $1,045 $3.81 $1,000 $1,042 $6.38 ------------------------------------------------------------------------------------------------------------------------------------ Based on Hypothetical 5% Return before expenses $1,000 $1,021 $3.77 $1,000 $1,019 $6.31 ------------------------------------------------------------------------------------------------------------------------------------
* 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. 18
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2005 MONEY MARKET FUND Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ VARIABLE RATE DEMAND NOTES* (72.16%) ABAG FINANCIAL AUTHORITY FOR NON-PROFIT CORPS Revenue Bonds $ 1,500,000 2.350% 09/01/05 $ 1,500,000 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series 2002B6 100,000 2.240% 09/01/05 100,000 Power Supply Revenue Bonds; Series C-8 2,000,000 2.300% 09/01/05 2,000,000 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Sutter Hospital; Series B 950,000 2.230% 09/01/05 950,000 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK Rand Corportation; Series B 500,000 1.060% 09/01/05 500,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY Certificates of Participation; John Muir / Mt. Diablo Health 900,000 2.200% 09/01/05 900,000 Certificates of Participation; Sutter Health Group 400,000 2.240% 09/01/05 400,000 Gemological Institute of America; Special Tax; Series 2001 1,800,000 2.280% 09/01/05 1,800,000 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 2.350% 09/01/05 2,000,000 CHINO BASIN REGIONAL FINANCING AUTHORITY Inland Empire Utilities Agency; Series 2002A 2,000,000 2.300% 09/07/05 2,000,000 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series B 1,500,000 2.340% 09/01/05 1,500,000 IRVINE RANCH WATER DISTRICT Certificates of Participation, 1986 Capital Improvement Projects 500,000 2.250% 09/01/05 500,000 Sewer Bonds; 1988 Series A; District 282 500,000 2.250% 09/01/05 500,000 Waterworks Bonds; 1988 Series A, District 182 500,000 2.250% 09/01/05 500,000 IRVINE UNIFIED SCHOOL DISTRICT Community Facilities District No. 01-01; Series 2003 400,000 1.000% 09/01/05 400,000 IRVINE, CITY OF Assessment District 87-8 700,000 2.200% 09/01/05 700,000 Assessment District 89-10 100,000 2.290% 09/01/05 100,000 KERN, COUNTY OF Tax revenue Refunding Bonds; 1993 Series A 2,000,000 2.340% 09/01/05 2,000,000 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1992; Series A 1,000,000 2.300% 09/07/05 1,000,000 LOS ANGELES DEPARTMENT OF WATER AND POWER Water System Revenue Bonds; 2001 Series B-2 600,000 2.240% 09/01/05 600,000 LOS ANGELES, COUNTY OF Pension Obligation Refunding Bonds 1,400,000 2.300% 09/07/05 1,400,000 Rowland Heights Preservation 1,400,000 1.280% 09/07/05 1,400,000 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water Revenue Bonds, Series 2000 B-1 200,000 2.240% 09/01/05 200,000 Water Revenue Refunding Bonds; 1996 Series A 1,885,000 2.340% 09/01/05 1,885,000 NEWPORT BEACH, CITY OF Hoag Memorial Hospital Presbyterian, Series 1996 Series B 400,000 2.220% 09/01/05 400,000 Hoag Memorial Hospital Presbyterian; Series C 400,000 2.250% 09/01/05 400,000 ORANGE COUNTY HOUSING AUTHORITY Revenue Bonds, Village Niguel, Issue AA of 1985 1,900,000 2.300% 09/07/05 1,900,000 ORANGE COUNTY SANITATION DISTRICT Certificates of Participation; Series 2000 600,000 2.240% 09/01/05 600,000 Certificates of Participation; Series 2000-A 600,000 2.240% 09/01/05 600,000 Refunding Certificates of Participation; Series 1993 600,000 2.240% 09/01/05 600,000 ORANGE COUNTY WATER DISTRICT Certificates of Participation; Series A 2,000,000 1.000% 09/07/05 2,000,000 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 2,000,000 2.370% 09/07/05 2,000,000 SAN FRANCISCO CITY & COUNTY FINANCE CORP Moscone Center Expansion Project; Series 2000-3 1,900,000 2.290% 09/01/05 1,900,000 SANTA ANA HOUSING AUTHORITY Harbor Pointe Apartments; 1995 Series A 1,720,000 2.330% 09/01/05 1,720,000 TUSTIN, CITY OF Reassessment District No. 95-2; Series A 600,000 2.240% 09/01/05 600,000 WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY Variable Rate Revenue Bonds, 1996 700,000 2.240% 09/01/05 700,000 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 2.340% 09/01/05 2,000,000 ------------ Total Variable Rate Demand Notes (Cost $ 40,255,000) 40,255,000 ------------ TAX AND REVENUE ANTICIPATION NOTES (16.74%) CALIFORNIA COMMUNITY COLLEGE FINANCING AUTHORITY Series A 2,000,000 4.000% 06/30/06 2,022,316
19
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2005 MONEY MARKET FUND CONTINUED Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK J Paul Getty Trust; Series B $ 1,500,000 2.250% 02/02/06 $ 1,500,000 CALIFORNIA SCHOOL CASH RESERVE PROGRAM FINANCING AUTHORITY Series A 1,750,000 4.000% 07/06/06 1,770,142 LOS ANGELES, COUNTY OF Series A 1,000,000 4.000% 06/30/06 1,011,773 SACRAMENTO, COUNTY OF Series A 2,000,000 4.000% 07/10/06 2,024,383 SAN DIEGO COUNTY AND SCHOOL DISTRICT Series B 1,000,000 4.000% 07/14/06 1,011,065 ------------ Total Tax and Revenue Anticipation Notes (Cost $9,339,679) 9,339,679 ------------ COMMERCIAL PAPER (10.76%) CAPITAL ASSET LEASING CORP Certificates of Participation 2,000,000 2.500% 09/01/05 2,000,000 EAST BAY MUNICIPAL UTILITY DISTRICT Certificates of Participation 2,000,000 2.370% 09/01/05 2,000,000 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commercial Paper Notes; Series A 2,000,000 2.500% 09/14/05 2,000,000 ------------ Total Commercial Paper (Cost $6,000,000) 6,000,000 ------------ Total Investments (Cost $55,594,679) (a) (99.66%) 55,594,679 Other Net Assets (0.34%) 190,175 ------------ Net Assets (100.00%) $ 55,784,854 ============
(a) Aggregate cost for federal income tax purposes is $55,594,679. * Stated maturity reflects next reset date. See accompanying notes to financial statements.
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2005 INTERMEDIATE FUND Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ LONG TERM SECURITIES (96.49%) ANAHEIM PUBLIC FINANCIAL AUTHORITY Convention Center Project; Series A $ 500,000 5.250% 08/01/13 $ 555,955 BEVERLY HILLS PUBLIC FINANCIAL AUTHORITY Lease Revenue Refunding; Series A 500,000 5.250% 06/01/13 560,540 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY University of San Francisco Revenue Bonds; Series 1996 500,000 5.600% 10/01/10 556,865 CALIFORNIA STATE ECONOMIC RECOVERY General Obligation; Series A 600,000 5.000% 07/01/11 655,026 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison -- Lassen County; 2001 Series A 400,000 5.250% 06/01/11 441,256 Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.250% 06/01/12 556,140 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY Revenue Anticipation Notes; Series 2005 A-C 500,000 4.000% 11/15/06 506,585 CALIFORNIA, STATE OF General Obligation Bonds; 1996 500,000 5.200% 06/01/07 519,870 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 300,000 7.250% 08/01/09 344,595 Water System Improvement Projects; Series 2001A 500,000 6.000% 08/01/12 571,570 CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY General Obligation Refi. Bonds; Series C 400,000 6.150% 02/01/09 439,948 CHAFFEY UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series C 500,000 5.000% 05/01/12 549,845 CHICO UNIFIED SCHOOL DISTRICT General Obligation Refunding Bonds 400,000 8.500% 08/01/07 441,160 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 550,000 5.250% 07/01/12 605,847 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 20025 500,000 5.500% 08/01/12 566,360 FRESNO, CITY OF Water System Revenue Refunding; Series A 500,000 6.000% 06/01/11 571,925 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 600,000 5.200% 11/01/09 648,456 INDUSTRY CITY URBAN DEVELOPMENT AGENCY 2002 Tax Allocation; Refunding, Project 1 300,000 5.375% 05/01/12 313,386 LOS ANGELES , CITY OF Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.000% 02/01/08 524,600
20
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2005 INTERMEDIATE FUND CONTINUED Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Bonds; Series A $ 500,000 5.500% 07/01/08 $ 534,815 LOS ANGELES DEPARTMENT OF WATER AND POWER Power Project Revenue Bond; 2001 Series A 500,000 5.250% 07/01/14 549,380 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 400,000 6.000% 07/01/07 422,332 LOS ANGELES, COUNTY OF Pension Obligation Certificates; Series A 400,000 6.900% 06/30/08 441,476 MONTEREY, COUNTY OF Certificates of Participation 600,000 5.250% 08/01/14 659,862 NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT 2005 General Obligation Refunding Bonds 500,000 5.000% 08/01/14 556,520 General Obligation Bonds; 2002 Series A 500,000 5.000% 08/01/12 551,030 NORWALK COMMUNITY FACILITIES FINANCING AUTHORITY City Hall Lease Revenue Refunding Bonds; 1999 200,000 5.000% 02/01/09 212,538 OAK PARK UNIFIED SCHOOL DISTRICT General Obligation, Refunding Bonds 600,000 5.150% 05/01/07 623,052 OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 500,000 5.500% 10/01/12 565,085 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY Measure M Sales Tax Revenue 2nd Series, Series A 325,000 5.000% 02/15/09 346,346 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.500% 02/15/07 519,300 PASADENA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series B 400,000 5.000% 07/01/07 415,460 RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY Eisenhower Medical Center; Series 1997A 385,000 5.250% 07/01/12 406,760 SAN BERNARDINO, COUNTY OF Certificates of Participation; Series 2002 A 500,000 5.000% 07/01/15 553,150 SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY Sewer Revenue Refunding Bonds; Series A 500,000 5.100% 05/15/10 522,285 SAN FRANCISCO AIRPORT COMMISSION San Francisco International Airport Revenue Second; Series B 450,000 5.500% 05/01/09 480,762 SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION Water Revenue Refunding Bonds; Series B 500,000 5.000% 11/01/13 548,050 SAN MATEO COUNTY TRANSIT DISTRICT Limited Tax Bonds; 1993 Series A 300,000 5.000% 06/01/11 327,861 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Bonds; 2000 Series A 400,000 5.500% 05/15/10 440,572 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 500,000 5.500% 01/01/13 566,580 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Multiple Purpose Projects; Series O 500,000 5.750% 09/01/10 560,100 WALNUT, CITY OF Public Financing Authority Tax Allocation 500,000 5.375% 09/01/13 557,850 ------------ Total Long -Term Securities (Cost $20,827,093) 21,291,095 ------------ VARIABLE RATE DEMAND NOTES* (2.19%) CALIFORNIA, STATE OF General Obligation; Series A 200,000 2.250% 09/01/05 200,000 IRVINE, CITY OF Assessment District 87-8 84,000 2.200% 09/01/05 84,000 Assessment District 93-14 100,000 2.250% 09/01/05 100,000 NEWPORT BEACH Hoag Memorial Hospital Presbyterian; Series C 100,000 2.250% 09/01/05 100,000 ------------ Total Variable Rate Demand Notes (Cost $484,000) 484,000 ------------ Total Investments (Cost $21,311,093) (a) (98.68%) 21,775,095 Other Net Assets (1.32%) 290,824 ------------ Net Assets (100.00%) $ 22,065,919 ============ (a) Aggregate cost for federal income tax purposes is $21,311,093. At August 31,2005, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 497,224 Unrealized depreciation (33,222) ------------ Net unrealized appreciation $ 464,002 ============
* Stated maturity reflects next reset date. See accompanying notes to financial statements 21
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2005 INCOME FUND Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ LONG TERM SECURITIES (91.10%) CALIFORNIA DEPARTMENT OF WATER RESOURCES Water System Revenue Bonds, Central Valley AC $ 2,500,000 5.000% 12/01/16 $ 2,758,675 Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.000% 12/01/11 2,041,678 Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.000% 12/01/11 2,493,377 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.250% 01/01/17 2,688,950 Revenue Bonds (Occidental College); Series 2005A 3,165,000 5.000% 10/01/30 3,390,126 Stanford University Revenue Bonds; Series P 3,000,000 5.250% 12/01/13 3,408,450 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison--Imperial County; 1991 Series A 2,500,000 6.500% 09/01/17 2,964,750 University of California Projects; 1993 Series A 5,000,000 5.500% 06/01/14 5,619,700 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY UniHealth America; Certificates of Participation; 1993 Series A 2,160,000 5.500% 10/01/14 2,467,692 CALIFORNIA, STATE OF Economic Recovery Bonds; Series 2004A & B 2,000,000 5.000% 07/01/16 2,155,860 General Obligation Bonds 3,000,000 6.250% 09/01/12 3,412,920 General Obligation Bonds 2,000,000 5.000% 06/01/07 2,067,860 General Obligation Bonds 2,000,000 5.000% 06/01/33 2,108,780 General Obligation Bonds; 2005 4,000,000 5.000% 05/01/27 4,255,160 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 2,090,000 7.250% 08/01/09 2,400,679 CONTRA COSTA WATER DISTRICT Water Revenue Bonds; Series E 2,000,000 6.250% 10/01/12 2,266,380 CUCAMONGA COUNTY WATER DISTRICT Water Facilities and Refinancing, 2001 1,080,000 5.000% 09/01/16 1,158,775 EAST BAY MUNICIPAL UTILITY DISTRICT Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/14 2,195,500 ELSINORE VALLEY MUNICIPAL WATER DISTRICT Certificates of Participation 1,000,000 6.000% 07/01/12 1,153,340 KERN HIGH SCHOOL DISTRICT General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.600% 08/01/16 2,976,677 Series General Obligation Refunding Bonds; 2004 Series A 2,890,000 5.000% 08/01/26 3,109,871 LA QUINTA REDEVELOPMENT AGENCY Redevelopment Project Area No. 2; Series 1994 1,015,000 7.300% 09/01/09 1,171,361 LOS ANGELES COMMUNITIES REDEVLOPMENT AGENCY Bunker Hill Project; Series A 4,000,000 5.000% 12/01/27 4,252,400 LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY Lease Revenue Bonds; 1993 Series A 2,500,000 6.000% 08/15/10 2,818,400 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.500% 07/01/10 3,941,932 LOS ANGELES DEPARTMENT OF WATER AND POWER Power System Revenue Bonds; 2001 Series A 2,000,000 5.250% 07/01/15 2,182,020 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 2,450,000 6.000% 07/01/14 2,909,767 General Obligation Refunding Bonds; Series 2004 A2 500,000 5.000% 07/01/18 545,815 M-S-R PUBLIC POWER AGENCY SAN JUAN PROJECT REVENUE San Juan Project Refunding Revenue Bonds; Series F 1,500,000 6.125% 07/01/13 1,722,840 NORTHERN CALIFORNIA TRANSMISSION REVENUE CA-Oregon Transmission Project; 1990 Series A 1,000,000 7.000% 05/01/13 1,203,280 NOVATO UNIFIED SCHOOL DISTRICT General Obligation bonds; Election 2001; Series 2005 2,000,000 5.000% 08/01/28 2,133,240 OAKLAND REDEVELOPMENT AGENCY Central District Redevelopment Project; Series 1992 2,000,000 5.500% 02/01/14 2,231,620 Central District Redevelopment Project; Series 2005 1,000,000 5.000% 09/01/22 1,082,610 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY General Obligation Bonds; 1998 Series A 1,050,000 5.500% 02/15/11 1,169,721 RIVERSIDE, COUNTY OF Leasehold Revenue Bonds; 1997 Series C 1,635,000 5.000% 06/01/08 1,719,301 ROSEVILLE WOODCREEK WEST Special Tax Refunding; Series 2005 1,000,000 5.000% 09/01/30 1,060,580
22
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2005 INCOME FUND CONTINUED Security Description Par Value Rate Maturity Value (Note 1) ------------------------------------------------------------------------------------------------------------------------------------ SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH Special Tax Revenue Bonds; 1996 Series A $ 1,575,000 6.000% 09/01/16 $ 1,885,732 SAN BERNARDINO, COUNTY OF Justice Center / Airport Improvements; Series 2002A 2,890,000 5.000% 07/01/16 3,200,906 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.750% 07/01/11 3,491,030 SAN JOSE REDEVELOPMENT AGENCY Unrefunded Balanced Merged Area 2,685,000 6.000% 08/01/10 3,024,814 SAN MARINO UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1998 Series B 1,440,000 5.250% 07/01/16 1,640,419 SANTA ANA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series 2000 2,500,000 5.700% 08/01/22 2,778,225 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.000% 11/15/12 2,323,900 Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.750% 11/15/13 2,022,563 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds 4,000,000 7.000% 07/01/10 4,439,840 SANTA MARGARITA-DANA POINT AUTHORITY Improvement District; 1994 Series A 1,045,000 7.250% 08/01/10 1,234,793 SONOMA, COUNTY OF Certificates of Participation; 2002 Series A 1,815,000 5.000% 11/15/12 1,991,581 SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT Installment Sale Revenue Bonds; Series 1992 2,400,000 6.000% 08/01/11 2,743,560 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 3,585,000 6.750% 07/01/13 4,276,726 Water System Revenue Bonds, 2005 Series A 2,000,000 5.000% 03/01/16 2,216,800 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA UC San Diego Medical Center; Series 2000 2,500,000 5.125% 12/01/16 2,719,024 TURLOCK IRRIGATION DISTRICT Revenue Refunding Bonds; Series A 2,000,000 6.250% 01/01/12 2,251,220 ------------ Total Long-Term Securities (Cost $119,050,906) 129,481,220 ------------ VARIABLE RATE DEMAND NOTES* (5.56%) CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series 2002B6 100,000 2.240% 09/01/05 100,000 Power Supply Revenue Bonds; Series B5 4,200,000 2.250% 09/01/05 4,200,000 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Sutter Hospital; Series B 550,000 2.230% 09/01/05 550,000 CALIFORNIA, STATE OF General Obligation; Series A 600,000 2.250% 09/01/05 600,000 IRVINE RANCH WATER DISTRICT General Obligation; Consolidated Series 1993 100,000 2.240% 09/01/05 100,000 NEWPORT BEACH, CITY OF Hoag Memorial Hospital Presbyterian, Series 1996 Series B 700,000 2.220% 09/01/05 700,000 Hoag Memorial Hospital Presbyterian; Series 1996 Series A 300,000 2.250% 09/01/05 300,000 Hoag Memorial Hospital Presbyterian; Series C 1,350,000 2.250% 09/01/05 1,350,000 ------------ Total Variable Rate Demand Notes (Cost $7,900,000) 7,900,000 ------------ Total Investments (Cost $126,950,906) (a) (96.66%) 137,381,220 Other Net Assets (3.34%) 4,743,635 ------------ Net Assets (100.00%) $142,124,855 ============ (a) Aggregate cost for federal income tax purposes is $126,724,628. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 10,682,327 Unrealized depreciation (25,735) ------------ Net unrealized appreciation $ 10,656,592 ============
* Stated maturity reflects next reset date See accompanying notes to financial statements 23
----------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 8/31/2005 SECURITIES FUND Par Value Rate Maturity Value (Note 1) ----------------------------------------------------------------------------------------------------------------------- Government National Mortgage Association (55.93%) $ 163,983 6.000% 04/15/14 $170,247 260,737 6.000% 04/15/14 270,698 215,420 6.000% 04/15/16 223,563 272,478 6.500% 04/15/16 284,221 272,355 6.000% 05/15/16 282,650 1,346,742 5.000% 02/15/18 1,370,061 682,463 5.000% 04/15/18 694,279 749,172 5.000% 04/15/18 762,144 1,571,566 5.000% 09/15/18 1,598,777 10,346 10.000% 09/15/18 11,712 31,538 9.000% 10/15/18 34,517 1,585,171 5.000% 01/15/19 1,612,124 1,462,962 5.000% 02/15/19 1,487,837 1,757,837 5.000% 02/15/19 1,787,725 1,706,439 5.000% 07/15/20 1,735,658 1,327,002 5.500% 01/15/25 1,367,997 2,710,672 4.500% 12/20/34 2,711,992 ----------- Total Government National Mortgage Association (Cost $16,504,362) 16,406,202 ----------- United States Treasury Bills (15.62%) 800,000 2.99%-3.32% 09/15/05 799,068 1,600,000 3.06%-3.38% 10/06/05 1,595,064 1,100,000 3.15%-3.44% 10/27/05 1,094,693 1,100,000 3.50% 11/17/05 1,091,946 ----------- Total United States Treasury Bills (Cost $4,580,772) 4,580,771 ----------- United States Treasury Bonds (22.93%) 1,300,000 7.250% 05/15/16 1,650,442 2,000,000 7.625% 11/15/22 2,802,970 2,000,000 5.250% 11/15/28 2,273,439 ----------- Total United States Treasury Bonds (Cost $6,295,354) 6,726,851 ----------- Total Investments (Cost $27,380,488) (a) (94.48%) 27,713,824 Other Net Assets (5.52%) 1,618,451 ----------- Net Assets (100.00%) $29,332,275 =========== (a) Aggregate cost for federal income tax purposes is $27,380,488. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 493,497 Unrealized depreciation (160,161) ----------- Net unrealized appreciation $ 333,336 ===========
See accompanying notes to financial statements
----------------------------------------------------------------------------------------------------------------------- THE UNITED STATES PORTFOLIO OF INVESTMENTS 8/31/2005 TREASURY TRUST Par Value Rate Maturity Value (Note 1) ----------------------------------------------------------------------------------------------------------------------- United States Treasury Bills (100.34%) $ 11,900,000 2.99%-3.38% 09/15/05 $11,885,866 9,800,000 3.06%-3.39% 10/06/05 9,770,853 7,600,000 3.15%-3.44% 10/27/05 7,562,970 5,600,000 3.50% 11/17/05 5,559,000 4,800,000 3.22%-3.52% 12/01/05 4,761,962 ----------- Total Investments (Cost $39,540,651) (a) (100.34%) 39,540,651 Other Net Assets (-0.34%) (134,840) ----------- Net Assets (100.00%) $39,405,811 ===========
(a) Aggregate cost for federal income tax purposes is $39,540,651. See accompanying notes to financial statements 24
----------------------------------------------------------------------------------------------------------------------- SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 8/31/2005 GOVERNMENT BOND FUND Par Value Rate Maturity Value (Note 1) ----------------------------------------------------------------------------------------------------------------------- Government National Mortgage Association (9.89%) $ 765,756 4.000% 06/20/34 $ 763,938 880,214 4.500% 11/20/34 880,637 ----------- Total Government National Mortgage Association (Cost $1,657,060) 1,644,575 ----------- United States Treasury Bills (4.20%) 300,000 3.02%-3.32% 09/15/05 299,635 200,000 3.06%-3.35% 10/06/05 199,361 200,000 3.25% 10/27/05 199,012 ----------- Total United States Treasury Bills (Cost $698,008) 698,008 ----------- United States Treasury Notes (84.86%) 2,300,000 6.500% 10/15/06 2,368,013 500,000 2.500% 10/31/06 492,793 1,900,000 2.625% 11/15/06 1,874,322 800,000 3.000% 12/31/06 791,688 1,200,000 2.250% 02/15/07 1,173,938 1,300,000 3.375% 02/28/07 1,291,876 1,600,000 3.125% 05/15/07 1,582,064 1,500,000 2.750% 08/15/07 1,470,060 500,000 3.000% 11/15/07 491,485 1,000,000 3.000% 02/15/08 980,938 1,600,000 3.750% 05/15/08 1,596,563 ----------- Total United States Treasury Notes (Cost $14,149,323) 14,113,740 ----------- Total Investments (Cost $16,504,391) (a) (98.95%) 16,456,323 Other Net Assets (1.05%) 174,639 ----------- Net Assets (100.00%) $16,630,962 =========== (a) Aggregate cost for federal income tax purposes is $16,504,391. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 25,151 Unrealized depreciation (73,219) ----------- Net unrealized appreciation $ (48,068) ===========
See accompanying notes to financial statements -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (96.81%) Basic Materials (2.59%) Air Products & Chemicals Inc 2,087 $ 115,620 Alcoa Inc 8,134 217,910 Allegheny Technologies Inc 854 23,587 Ashland Inc 631 38,358 Dow Chemical Co/The 8,885 383,832 EI Du Pont de Nemours & Co 9,223 364,954 Eastman Chemical Co 810 38,856 Ecolab Inc 2,153 71,049 Engelhard Corp 1,218 34,652 Freeport-McMoRan Copper & Gold Inc 1,812 76,412 Georgia-Pacific Corp 2,372 76,117 Hercules Inc* 1,129 14,395 International Flavors & Fragrances Inc 783 28,266 International Paper Co 4,595 141,756 Louisiana-Pacific Corp 1,130 28,578 MeadWestvaco Corp 1,712 49,597 Newmont Mining Corp 4,166 164,890 Nucor Corp 1,452 82,009 PPG Industries Inc 1,587 99,949 Phelps Dodge Corp 942 101,293 Plum Creek Timber Co Inc (REIT) 1,837 67,510 Praxair Inc 2,967 143,306 Rohm & Haas Co 1,896 82,305 Sherwin-Williams Co/The 1,234 57,208 Sigma-Aldrich Corp 627 39,125 Temple-Inland Inc 1,152 44,340 United States Steel Corp 1,191 49,927 Weyerhaeuser Co 2,267 147,400 ----------- Total Basic Materials 2,783,201 ----------- Communications (10.22%) ADC Telecommunications Inc* 1,162 24,332 AT&T Corp 7,407 145,770 Alltel Corp 3,496 216,717 Andrew Corp* 1,650 19,025 Avaya Inc* 4,387 44,747 BellSouth Corp 16,997 446,851 CenturyTel Inc 1,354 48,609 Ciena Corp* 5,753 12,944 Cisco Systems Inc* 59,369 1,046,082 Citizens Communications Co 3,037 41,425 Clear Channel Communications Inc 4,740 157,842 Comcast Corp* 20,475 629,606 Comverse Technology Inc* 1,834 47,281 Corning Inc* 13,453 268,522 Walt Disney Co 18,906 476,242 Dow Jones & Co Inc 653 26,675 eBay Inc* 11,303 457,658 Gannett Co Inc 2,273 165,293 Interpublic Group of Cos Inc* 4,255 51,613 JDS Uniphase Corp* 14,529 23,101 Knight Ridder Inc 142 9,099 Lucent Technologies Inc* 41,152 126,748 McGraw-Hill Cos Inc/The 3,516 169,542 Meredith Corp 427 20,966 Monster Worldwide Inc* 1,196 37,363 Motorola Inc 22,735 497,442 New York Times Co 1,459 46,586 News Corp 26,761 433,796 Omnicom Group Inc 1,681 135,220 Qualcomm Inc 15,210 603,989 Qwest Communications International Inc* 15,571 60,727 SBC Communications Inc 30,664 738,389 Scientific-Atlanta Inc 1,520 58,155 Sprint Nextel Corp 27,144 703,844 Symantec Corp* 11,268 236,403 Tellabs Inc* 4,380 38,938 Time Warner Inc 43,521 779,896 25 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Tribune Co 2,908 $ 109,254 Univision Communications Inc* 2,846 76,557 Verizon Communications Inc 25,743 842,054 Viacom Inc 14,924 507,267 Yahoo! Inc* 12,216 407,281 ----------- Total Communications 10,989,851 ----------- Consumer, Cyclical (8.92%) Autonation Inc* 2,202 45,824 Autozone Inc* 560 52,920 Bed Bath & Beyond Inc* 2,727 110,580 Best Buy Co Inc 4,166 198,552 Big Lots Inc 1,135 13,404 Brunswick Corp 956 42,064 CVS Corp 7,650 224,681 Carnival Corp 4,938 243,641 Centex Corp 1,220 82,655 Circuit City Stores Inc 1,966 33,206 Cintas Corp 1,457 60,101 Coach Inc* 3,480 115,501 Cooper Tire & Rubber Co 779 13,165 Costco Wholesale Corp 4,433 192,570 DR Horton Inc 2,596 95,844 Dana Corp 1,495 20,123 Darden Restaurants Inc 1,381 43,377 Delphi Corp 5,646 31,335 Delta Air Lines Inc* 1,352 1,568 Dillard's Inc 852 19,179 Dollar General Corp 2,796 53,292 Family Dollar Stores Inc 1,687 33,538 Federated Department Stores Inc 2,471 170,420 Ford Motor Co 17,383 173,309 Gap Inc/The 7,241 137,651 General Motors Corp 5,203 177,891 Genuine Parts Co 1,739 79,681 Goodyear Tire & Rubber Co/The* 1,764 29,635 WW Grainger Inc 797 51,263 Harley-Davidson Inc 2,664 131,229 Harrah's Entertainment Inc 1,735 120,687 Hasbro Inc 1,549 32,064 Hilton Hotels Corp 3,584 83,041 Home Depot Inc 19,910 802,771 International Game Technology 3,167 87,789 Johnson Controls Inc 1,812 108,684 Jones Apparel Group Inc 1,220 34,380 KB Home 776 57,548 Kohl's Corp* 3,078 161,441 Ltd Brands 3,633 79,853 Liz Claiborne Inc 1,076 44,148 Lowe's Cos Inc 7,181 461,810 Marriott International Inc 1,859 117,507 Mattel Inc 3,813 68,748 Maytag Corp 844 15,952 McDonald's Corp 11,812 383,299 Navistar International Corp 734 23,459 Newell Rubbermaid Inc 2,765 64,784 Nike Inc 2,140 168,867 Nordstrom Inc 2,258 75,824 Office Depot Inc* 2,943 88,290 OfficeMax Inc 700 20,685 Paccar Inc 1,564 109,605 JC Penney Co Inc Holding Co 2,436 118,463 Pulte Homes Inc 1,055 90,941 RadioShack Corp 1,294 32,428 Reebok International Ltd 519 29,220 Sabre Holdings Corp 1,363 26,142 Sears Holdings Corp* 977 132,735 Southwest Airlines Co 7,185 95,704 Staples Inc 7,039 154,576 Starbucks Corp* 3,624 177,721 Starwood Hotels & Resorts Worldwide Inc 2,046 119,282 TJX Cos Inc 4,410 92,213 Target Corp 8,241 442,954 Tiffany & Co 1,341 50,180 VF Corp 975 57,827 Visteon Corp* 1,369 13,526 Wal-Mart Stores Inc 31,070 1,396,907 Walgreen Co 9,461 438,328 Wendy's International Inc 1,196 56,379 Whirlpool Corp 642 48,824 Yum! Brands Inc 2,668 126,410 ----------- Total Consumer, Cyclical 9,590,195 ----------- Consumer, Non-cyclical (21.17%) ACCO Brands Corp* 338 8,822 Abbott Laboratories 14,418 650,684 Aetna Inc 2,675 213,117 Alberto-Culver Co 754 32,384 Albertson's Inc 3,403 68,502 Allergan Inc 1,179 108,527 Altria Group Inc 19,190 1,356,733 AmerisourceBergen Corp 1,027 76,686 Amgen Inc 11,525 920,848 Anheuser-Busch Cos Inc 7,177 318,013 Apollo Group Inc* 1,516 119,249 Archer-Daniels-Midland Co 5,777 130,040 Avery Dennison Corp 991 52,959 Avon Products Inc 4,458 146,312 CR Bard Inc 984 63,301 Bausch & Lomb Inc 546 41,381 Baxter International Inc 5,731 231,131 Becton Dickinson & Co 2,348 123,575 Biomet Inc 2,347 86,581 Biogen Idec Inc* 3,156 133,025 H&R Block Inc 3,212 86,563 Boston Scientific Corp* 6,912 185,795 Bristol-Myers Squibb Co 18,157 444,302 Brown-Forman Corp 879 49,778 Campbell Soup Co 2,975 87,465 Cardinal Health Inc 3,992 237,963 Caremark Rx Inc* 4,202 196,359 Cendant Corp 9,748 198,274 Chiron Corp* 1,439 52,437 Clorox Co 1,428 82,210 Coca-Cola Co/The 21,028 925,232 Coca-Cola Enterprises Inc 3,439 76,862 Colgate-Palmolive Co 4,825 253,313 ConAgra Foods Inc 4,822 110,086 Constellation Brands Inc* 1,869 51,435 Convergys Corp* 1,500 21,330 RR Donnelley & Sons Co 1,958 73,151 Equifax Inc 1,159 38,293 Express Scripts Inc* 1,382 79,963 Forest Laboratories Inc* 3,126 138,794 Fortune Brands Inc 1,341 116,640 General Mills Inc 3,399 156,762 Genzyme Corp* 2,372 168,815 Gilead Sciences Inc* 4,325 185,975 Gillette Co/The 9,268 499,267 Guidant Corp 2,986 210,931 HCA Inc 4,014 197,890 Health Management Associates Inc 2,507 60,970 HJ Heinz Co 3,247 116,632 Hershey Co/The 2,033 120,130 Hospira Inc* 1,550 61,752 Humana Inc* 1,588 76,478 Johnson & Johnson 27,615 1,750,515 Kellogg Co 3,222 146,053 Kimberly-Clark Corp 4,393 273,772 King Pharmaceuticals Inc* 2,430 35,721 Kroger Co/The 6,936 136,917 Laboratory Corp of America Holdings* 1,202 59,283 Eli Lilly & Co 10,527 579,196 Manor Care Inc 938 37,023 McCormick & Co Inc 1,375 46,626 McKesson Corp 2,757 128,669 Medco Health Solutions Inc* 2,741 135,049 Medimmune Inc* 2,295 68,689 Medtronic Inc 11,258 641,706 Merck & Co Inc 20,453 577,388 Millipore Corp* 423 27,051 Molson Coors Brewing Co 750 48,083 Monsanto Co 2,460 157,046 Moody's Corp 2,675 131,369 26 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Mylan Laboratories Inc 1,407 $ 25,875 Paychex Inc 3,399 116,008 Pepsi Bottling Group Inc 1,928 56,837 PepsiCo Inc 15,502 850,285 Pfizer Inc 69,052 1,758,754 Procter & Gamble Co 23,001 1,276,095 Quest Diagnostics Inc 1,680 83,966 Reynolds American Inc 1,035 86,878 Robert Half International Inc 1,510 50,857 Safeway Inc 4,202 99,713 St Jude Medical Inc 3,342 153,398 Sara Lee Corp 7,296 138,624 Schering-Plough Corp 13,695 293,210 Stryker Corp 3,454 188,416 Supervalu Inc 1,221 42,491 Sysco Corp 5,849 195,240 Tenet Healthcare Corp 4,695 57,185 Tyson Foods Inc 2,300 40,894 UST Inc 1,650 70,224 UnitedHealth Group Inc 11,799 607,649 Watson Pharmaceuticals Inc* 1,136 39,169 WellPoint Inc* 5,722 424,859 WM Wrigley Jr Co 1,807 128,387 Wyeth 12,429 569,124 Zimmer Holdings Inc* 2,250 184,883 ----------- Total Consumer, Non-cyclical 22,762,894 ----------- Energy (9.20%) Amerada Hess Corp 831 105,620 Anadarko Petroleum Corp 2,209 200,732 Apache Corp 3,084 220,876 BJ Services Co 1,474 92,980 Baker Hughes Inc 3,175 186,531 Burlington Resources Inc 3,573 263,652 Chevron Corp 19,077 1,171,328 ConocoPhillips 12,904 850,890 Devon Energy Corp 4,375 265,869 Dynegy Inc* 3,790 16,524 EOG Resources Inc 2,186 139,532 El Paso Corp 5,972 69,275 Exxon Mobil Corp 59,130 3,541,887 Halliburton Co 4,731 293,180 Kerr-McGee Corp 1,069 94,104 Kinder Morgan Inc 971 92,701 Marathon Oil Corp 3,391 218,075 Murphy Oil Corp 1,500 81,975 National Oilwell Varco Inc* 1,644 105,561 Occidental Petroleum Corp 3,705 307,626 Rowan Cos Inc 1,121 41,701 Schlumberger Ltd 5,450 469,954 Sunoco Inc 1,306 94,946 Valero Energy Corp 2,376 253,044 Williams Cos Inc 5,523 123,936 XTO Energy Inc 3,449 137,270 Nabors Industries Ltd* 1,352 90,584 Noble Corp 1,308 93,260 Transocean Inc* 3,035 179,186 Weatherford International Ltd* 1,300 88,023 ----------- Total Energy 9,890,822 ----------- Financial (19.12%) Aflac Inc 4,794 207,197 Allstate Corp/The 6,185 347,659 AMBAC Financial Group Inc 1,027 70,432 American Express Co 10,891 601,619 American International Group Inc 24,096 1,426,483 AmSouth Bancorp 3,273 86,145 AON Corp 2,984 89,281 Apartment Investment & Management Co 995 39,701 Archstone-Smith Trust 1,800 72,540 BB&T Corp 5,220 211,775 Bank of America Corp 37,330 1,606,310 Bank of New York Co Inc/The 7,238 221,266 Bear Stearns Cos Inc/The 1,041 104,621 Cigna Corp 1,182 136,308 CIT Group Inc 1,917 86,802 Capital One Financial Corp 2,344 192,771 Chubb Corp 1,778 154,615 Cincinnati Financial Corp 1,551 63,560 Citigroup Inc 48,311 2,114,572 Comerica Inc 1,531 92,610 Compass Bancshares Inc 1,184 55,423 Countrywide Financial Corp 5,526 186,724 E*Trade Financial Corp* 3,742 59,872 Equity Office Properties Trust 3,757 125,108 Equity Residential 2,684 101,375 Freddie Mac 6,409 386,975 Fannie Mae 8,949 456,757 Federated Investors Inc 848 26,339 Fifth Third Bancorp 4,872 201,750 First Horizon National Corp 1,238 48,381 Franklin Resources Inc 1,829 147,125 Golden West Financial Corp 2,653 161,806 Goldman Sachs Group Inc 4,122 458,284 Hartford Financial Services Group Inc 2,734 199,719 Huntington Bancshares Inc 2,325 55,777 JPMorgan Chase & Co 32,624 1,105,627 Janus Capital Group Inc 2,377 33,587 Jefferson-Pilot Corp 1,373 68,279 Keycorp 3,787 125,425 Lehman Brothers Holdings Inc 2,543 268,693 Lincoln National Corp 1,656 82,121 Loews Corp 1,456 127,677 M&T Bank Corp 859 91,587 MBIA Inc 1,215 70,434 MBNA Corp 11,813 297,688 MGIC Investment Corp 844 52,691 Marsh & McLennan Cos Inc 4,930 138,287 Marshall & Ilsley Corp 1,948 85,264 Mellon Financial Corp 3,900 126,555 Merrill Lynch & Co Inc 8,777 501,693 Metlife Inc 6,847 335,366 Morgan Stanley 10,169 517,297 National City Corp 5,495 201,282 North Fork Bancorporation Inc 4,563 125,437 Northern Trust Corp 1,883 93,849 PNC Financial Services Group Inc 2,626 147,660 T Rowe Price Group Inc 1,113 70,119 Principal Financial Group 2,807 128,561 Progressive Corp/The 1,852 178,551 Prologis 1,848 80,406 Providian Financial Corp* 2,949 54,851 Prudential Financial Inc 4,888 314,641 Public Storage Inc 1,000 67,520 Regions Financial Corp 4,376 143,183 SLM Corp 3,909 194,473 Safeco Corp 1,187 61,890 St Paul Travelers Cos Inc/The 6,238 268,296 Charles Schwab Corp/The 10,595 143,350 Simon Property Group Inc 2,050 155,944 Sovereign Bancorp Inc 3,448 80,407 State Street Corp 3,154 152,433 SunTrust Banks Inc 3,146 221,101 Synovus Financial Corp 2,906 83,606 Torchmark Corp 987 52,054 US Bancorp 17,013 497,120 UnumProvident Corp 2,983 57,632 Vornado Realty Trust 1,100 94,622 Wachovia Corp 14,664 727,628 Washington Mutual Inc 8,116 337,463 Wells Fargo & Co 15,624 931,503 Zions Bancorporation 853 59,591 ACE Ltd 2,636 117,065 XL Capital Ltd 1,349 93,756 ----------- Total Financial 20,561,947 ----------- Industrial (10.77%) Agilent Technologies Inc* 4,015 129,122 Allied Waste Industries Inc* 2,502 19,966 American Power Conversion Corp 1,724 45,117 American Standard Cos Inc 1,757 80,119 Applera Corp - Applied Biosystems Group 1,972 42,398 Ball Corp 990 37,135 27 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Bemis Co 1,106 $ 28,922 Black & Decker Corp 725 61,843 Boeing Co 7,696 515,786 Burlington Northern Santa Fe Corp 3,482 184,616 CSX Corp 2,159 94,845 Caterpillar Inc 6,388 354,470 Cummins Inc 447 38,652 Danaher Corp 2,583 138,345 Deere & Co 2,255 147,432 Dover Corp 1,842 74,969 Eastman Kodak Co 2,684 65,409 Eaton Corp 1,440 92,045 Emerson Electric Co 3,881 261,114 FedEx Corp 2,838 231,127 Fisher Scientific International Inc 1,154 74,410 Fluor Corp 774 47,918 General Dynamics Corp 1,851 212,106 General Electric Co 98,469 3,309,543 Goodrich Corp 1,231 56,404 Honeywell International Inc 7,897 302,297 ITT Industries Inc 899 98,099 Illinois Tool Works Inc 2,579 217,358 Jabil Circuit Inc* 1,699 50,019 L-3 Communications Holdings Inc 1,134 92,852 Leggett & Platt Inc 1,920 46,483 Lockheed Martin Corp 3,715 231,222 Masco Corp 4,084 125,297 Molex Inc 1,595 42,682 Norfolk Southern Corp 3,784 134,748 Northrop Grumman Corp 3,331 186,836 Pactiv Corp* 1,493 28,979 Pall Corp 1,225 35,035 Parker Hannifin Corp 1,073 69,144 PerkinElmer Inc 1,321 27,345 Power-One Inc* 892 4,317 Raytheon Co 4,248 166,607 Rockwell Automation Inc 1,670 86,907 Rockwell Collins Inc 1,757 84,564 Ryder System Inc 677 23,756 Sanmina-SCI Corp* 5,243 26,582 Sealed Air Corp* 791 40,143 Snap-On Inc 609 21,620 Solectron Corp* 9,768 40,049 Stanley Works/The 670 30,653 Symbol Technologies Inc 2,853 26,191 Tektronix Inc 880 22,238 Textron Inc 1,233 87,913 Thermo Electron Corp 1,602 44,696 3M Co 7,154 509,007 Tyco International Ltd 18,734 521,367 Union Pacific Corp 2,402 163,985 United Parcel Service Inc 10,344 733,286 United Technologies Corp 9,481 474,050 Vulcan Materials Co 968 69,551 Waste Management Inc 5,228 143,404 Waters Corp* 1,083 49,244 Cooper Industries Ltd 903 59,995 Ingersoll-Rand Co Ltd 1,526 121,500 ----------- Total Industrial 11,583,834 ----------- Technology (11.48%) Adobe Systems Inc 4,534 122,599 Advanced Micro Devices Inc 3,687 76,579 Affiliated Computer Services Inc* 1,205 62,600 Altera Corp* 3,445 75,342 Analog Devices Inc 3,480 126,846 Apple Computer Inc* 7,668 359,859 Applied Materials Inc 15,309 280,308 Applied Micro Circuits Corp* 3,100 8,525 Autodesk Inc* 2,088 90,202 Automatic Data Processing Inc 5,374 229,739 BMC Software Inc* 2,233 44,660 Broadcom Corp* 2,836 123,366 Citrix Systems Inc* 1,744 41,507 Computer Associates International Inc 4,990 134,530 Computer Sciences Corp 1,690 75,290 Compuware Corp* 3,895 35,289 Dell Inc* 22,435 798,686 EMC Corp 22,360 287,550 Electronic Arts Inc* 2,829 162,045 Electronic Data Systems Corp 4,789 107,274 First Data Corp 7,240 300,822 Fiserv Inc* 1,768 79,330 Freescale Semiconductor Inc* 3,839 92,443 Gateway Inc* 3,760 11,430 Hewlett-Packard Co 26,781 743,441 IMS Health Inc 2,133 58,018 Intel Corp 57,289 1,473,473 International Business Machines Corp 15,022 1,211,074 Intuit Inc* 1,703 78,066 Kla-Tencor Corp 1,959 99,439 LSI Logic Corp* 3,860 37,210 Lexmark International Inc* 1,056 66,507 Linear Technology Corp 2,817 106,849 Maxim Integrated Products Inc 3,002 128,035 Mercury Interactive Corp* 849 31,133 Microsoft Corp 93,282 2,555,927 Micron Technology Inc 5,662 67,434 NCR Corp* 1,875 64,163 National Semiconductor Corp 3,203 79,851 Network Appliance Inc* 3,359 79,743 Novell Inc* 3,782 24,886 Novellus Systems Inc* 1,406 37,695 Nvidia Corp* 1,524 46,756 Oracle Corp* 41,052 532,444 PMC - Sierra Inc* 1,841 15,612 Parametric Technology Corp* 2,707 16,404 Pitney Bowes Inc 2,120 91,690 QLogic Corp* 993 34,318 Siebel Systems Inc 5,112 42,174 Sun Microsystems Inc* 31,638 120,224 Teradyne Inc* 2,030 34,104 Texas Instruments Inc 15,483 505,984 Unisys Corp* 3,371 22,417 Xilinx Inc 3,304 92,809 Xerox Corp* 9,156 122,782 ----------- Total Technology 12,347,483 ----------- Utilities (3.34%) AES Corp/The* 6,111 96,187 Allegheny Energy Inc* 1,381 41,651 Ameren Corp 1,912 105,026 American Electric Power Co Inc 3,669 136,413 CMS Energy Corp* 2,062 33,198 Calpine Corp* 4,357 13,376 Centerpoint Energy Inc 2,697 38,324 Cinergy Corp 1,882 82,883 Consolidated Edison Inc 2,227 104,469 Constellation Energy Group Inc 1,672 98,230 DTE Energy Co 1,568 71,767 Dominion Resources Inc 3,130 239,382 Duke Energy Corp 8,747 253,576 Edison International 2,978 134,099 Entergy Corp 1,978 148,172 Exelon Corp 6,194 333,795 FPL Group Inc 3,678 158,485 FirstEnergy Corp 3,118 159,112 KeySpan Corp 1,600 61,072 Nicor Inc 460 19,049 NiSource Inc 2,493 60,181 PG&E Corp 3,392 127,268 PPL Corp 3,632 116,079 Peoples Energy Corp 383 15,921 Pinnacle West Capital Corp 969 43,537 Progress Energy Inc 2,285 99,603 Public Service Enterprise Group Inc 2,191 141,429 Sempra Energy 2,396 107,389 Southern Co/The 6,912 237,772 TECO Energy Inc 1,982 34,506 TXU Corp 2,190 212,473 Xcel Energy Inc 3,728 71,726 ----------- Total Utilities 3,596,150 ----------- Total Common Stock (Cost $81,308,617) 104,106,377 ----------- 28 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED -------------------------------------------------------------------------------- Par Value --------- Short-Term Investments (2.95%) $ 100,000 United States Treasury Bills 09/08/05 (b) $ 99,940 3,100,000 United States Treasury Bills 11/17/05 3,077,213 ------------ Total Short-Term Investments (Cost $3,177,153) 3,177,153 ------------ Total Investments (Cost $84,485,770)(a)(99.76%) 107,283,530 Other Assets (0.24%) 256,482 ------------ Net Assets (100.00%) $107,540,012 ============ * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $84,485,770. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 32,919,550 Unrealized depreciation (10,121,790) ------------ Net unrealized appreciation $ 22,797,760 ============ (b) At August 31, 2005, certain United States Treasury Bills with a market value of $199,219 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2005: (Contracts-$250 times premium/delivery month/commitment) Unrealized Appreciation S&P 500 Index: 11/Sept 05/Long $ 38,350 ============ See accompanying notes to financial statements -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stocks (98.06%) Basic Materials (3.63%) Airgas Inc 10,448 $ 293,902 Albemarle Corp 6,886 250,031 Bowater Inc 8,349 259,069 Cabot Corp 9,435 311,355 Chemtura Corp 34,919 599,210 Cytec Industries Inc 6,464 307,686 FMC Corp* 5,534 315,217 Ferro Corp 5,836 110,767 Glatfelter 6,114 83,823 Longview Fibre Co 7,663 154,793 Lubrizol Corp 10,101 417,676 Lyondell Chemical Co 33,654 868,273 Minerals Technologies Inc 3,079 187,665 Olin Corp 10,642 198,793 Potlatch Corp 4,140 223,560 RPM International Inc 17,583 333,198 Rayonier Inc 7,531 408,557 Sensient Technologies Corp 7,064 132,591 Steel Dynamics Inc 6,691 210,967 Valspar Corp 7,724 373,146 ----------- Total Basic Materials 6,040,279 ----------- Communications (5.25%) Adtran Inc 10,817 279,295 Avocent Corp* 7,475 249,067 Belo Corp 16,013 393,279 Catalina Marketing Corp 7,281 174,307 Checkfree Corp* 12,594 463,333 Cincinnati Bell Inc* 36,800 159,344 CommScope Inc* 7,575 141,653 Emmis Communications Corp* 5,027 120,447 Entercom Communications Corp* 6,943 232,243 F5 Networks Inc* 5,501 227,136 Harris Corp 19,974 771,196 Harte-Hanks Inc 10,584 271,585 Lee Enterprises Inc 6,807 295,424 Macromedia Inc* 11,043 408,039 McAfee Inc* 24,035 736,673 Media General Inc 3,593 236,383 Newport Corp* 5,975 79,707 Plantronics Inc 7,361 239,969 Polycom Inc* 14,723 262,217 Powerwave Technologies Inc* 14,548 152,463 RSA Security Inc* 9,687 127,287 RF Micro Devices Inc* 28,136 184,291 Reader's Digest Association Inc/The 14,939 242,908 Scholastic Corp* 5,526 201,533 Telephone & Data Systems Inc 8,193 334,684 Telephone & Data Systems Inc 8,193 315,431 3Com Corp* 57,072 194,045 Utstarcom Inc* 15,917 122,561 Washington Post Co/The 1,035 861,120 Westwood One Inc 13,373 271,873 ----------- Total Communications 8,749,493 ----------- Consumer, Cyclical (15.76%) Abercrombie & Fitch Co 13,075 727,101 Advance Auto Parts* 11,032 672,180 Aeropostale Inc* 8,352 213,310 Airtran Holdings Inc* 11,941 123,351 Alaska Air Group Inc* 3,745 126,281 American Eagle Outfitters 20,006 572,772 AnnTaylor Stores Corp* 10,587 271,027 Applebees International Inc 12,164 268,946 ArvinMeritor Inc 10,508 194,923 BJ's Wholesale Club Inc* 10,426 297,662 Bandag Inc 2,701 116,953 Barnes & Noble Inc 9,763 368,749 Bob Evans Farms Inc 4,916 118,918 Borders Group Inc 11,265 257,180 BorgWarner Inc 8,427 492,642 Boyd Gaming Corp 9,937 462,369 Brinker International Inc* 13,242 491,940 CBRL Group Inc 7,129 257,785 CDW Corp 10,876 642,554 Callaway Golf Co 10,626 158,434 Carmax Inc* 15,638 498,227 Cheesecake Factory/The* 11,671 369,621 Chico's FAS Inc* 26,796 930,089 Claire's Stores Inc 14,850 348,678 Copart Inc* 12,534 309,464 Dollar Tree Stores Inc* 16,945 385,838 Fastenal Co 10,569 640,270 Foot Locker Inc 23,393 510,903 29 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Furniture Brands International Inc 7,964 $ 152,192 GTECH Holdings Corp 17,374 496,549 HNI Corp 7,807 450,074 Harman International Industries Inc 9,659 998,741 Hovnanian Enterprises Inc* 7,259 436,629 International Speedway Corp 6,633 371,912 JetBlue Airways Corp* 14,431 274,911 Krispy Kreme Doughnuts Inc* 8,602 59,784 Lear Corp 10,072 379,714 Lennar Corp 21,751 1,350,737 Macrovision Corp* 7,461 138,029 Michaels Stores Inc 20,223 734,095 Herman Miller Inc 10,488 313,591 Modine Manufacturing Co 4,817 169,366 Mohawk Industries Inc* 8,887 758,772 Neiman-Marcus Group Inc 7,343 726,223 99 Cents Only Stores* 9,681 102,135 O'Reilly Automotive Inc* 15,798 435,551 Outback Steakhouse Inc 10,275 427,543 Pacific Sunwear Of California* 11,138 265,975 Payless Shoesource Inc* 10,216 189,405 Petsmart Inc 21,889 564,080 Pier 1 Imports Inc 12,956 161,302 Polo Ralph Lauren Corp 9,000 445,950 Proliance International Inc* 1,135 6,435 Regis Corp 6,709 274,734 Ross Stores Inc 22,024 547,957 Ruby Tuesday Inc 9,622 212,646 Ryland Group Inc 7,133 516,144 Saks Inc 20,965 455,150 Tech Data Corp* 8,752 320,411 Thor Industries Inc 6,715 222,938 Timberland Co* 9,582 316,110 Toll Brothers Inc* 18,542 890,943 Urban Outfitters Inc* 9,762 543,353 Williams-Sonoma Inc* 17,564 706,951 ----------- Total Consumer, Cyclical 26,245,199 ----------- Consumer, Non-cyclical (18.76%) Adesa Inc 13,753 313,568 Advanced Medical Optics Inc* 9,644 379,588 Alliance Data Systems Corp* 9,916 417,166 American Greetings Corp 10,349 262,761 Apria Healthcare Group Inc* 7,272 248,921 Banta Corp 3,740 183,073 Barr Pharmaceuticals Inc* 14,277 651,174 Beckman Coulter Inc 9,287 518,122 Blyth Inc 5,697 141,570 Career Education Corp* 15,378 602,818 Cephalon Inc* 8,705 352,727 Charles River Laboratories International Inc* 9,919 504,084 ChoicePoint Inc* 13,310 571,398 Church & Dwight Co Inc 9,509 362,863 Community Health Systems Inc* 9,998 368,226 Corinthian Colleges Inc* 13,615 172,638 Corporate Executive Board Co 5,618 453,766 Covance Inc* 9,420 492,666 Cytyc Corp* 17,018 424,599 Dean Foods Co* 22,360 825,978 Deluxe Corp 7,536 299,481 Dentsply International Inc 11,239 595,330 DeVry Inc* 9,801 181,024 Education Management Corp* 10,239 346,795 Edwards Lifesciences Corp* 8,939 393,316 Gartner Inc 15,431 173,444 Gen-Probe Inc* 7,475 340,262 Health Net Inc* 16,659 768,146 Hillenbrand Industries Inc 8,817 438,822 Hormel Foods Corp 15,748 502,204 ITT Educational Services Inc 6,892 350,389 Inamed Corp* 5,375 389,688 Intuitive Surgical Inc* 5,151 383,234 Invitrogen Corp* 7,740 655,810 IVAX Corp* 34,925 904,558 Kelly Services Inc 4,906 143,402 Korn/Ferry International* 5,430 107,623 Laureate Education Inc* 7,397 309,564 LifePoint Hospitals Inc* 7,693 349,878 Lincare Holdings Inc* 15,056 637,471 MPS Group Inc* 15,386 170,169 Manpower Inc 13,487 607,724 Martek Biosciences Corp* 4,656 237,456 Millennium Pharmaceuticals Inc* 46,016 460,620 Omnicare Inc 15,630 821,357 Pacificare Health Systems* 12,936 975,116 Par Pharmaceutical Cos Inc* 5,082 122,832 Patterson Cos Inc* 20,610 825,637 PepsiAmericas Inc 15,893 400,821 Perrigo Co 13,259 190,001 Protein Design Labs Inc* 15,808 422,706 Quanta Services Inc* 16,328 195,936 Renal Care Group Inc* 10,176 479,188 Rent-A-Center Inc* 10,743 217,009 Rollins Inc 7,384 145,169 Ruddick Corp 6,508 152,092 Henry Schein Inc* 12,992 541,636 Scotts Miracle-Gro Co/The 4,580 375,468 Sepracor Inc* 15,738 790,048 Smithfield Foods Inc* 15,460 430,561 JM Smucker Co/The 8,768 418,409 Sotheby's Holdings* 8,843 153,780 STERIS Corp 10,396 259,276 Techne Corp* 5,754 327,805 Tootsie Roll Industries Inc 7,493 238,727 Triad Hospitals Inc* 12,892 620,621 Tupperware Corp 8,157 178,801 United Rentals Inc* 10,843 195,716 Universal Corp 3,844 159,987 Universal Health Services Inc 8,752 447,315 VCA Antech Inc* 11,429 274,182 Valassis Communications Inc* 7,692 303,296 Valeant Pharmaceuticals International 13,717 274,066 Varian Medical Systems Inc 20,039 797,953 Vertex Pharmaceuticals Inc* 13,986 257,342 Whole Foods Market Inc 9,672 1,250,203 ----------- Total Consumer, Non-cyclical 31,237,172 ----------- Diversified (0.37%) Leucadia National Corp 14,985 610,189 ----------- Total Diversified 610,189 ----------- Energy (9.25%) Arch Coal Inc 9,410 604,122 Cooper Cameron Corp* 8,106 584,848 Denbury Resources Inc* 8,416 380,656 ENSCO International Inc 22,691 927,154 Equitable Resources Inc 9,158 690,513 FMC Technologies Inc* 10,260 412,555 Forest Oil Corp* 8,259 371,242 Grant Prideco Inc* 18,538 683,311 Hanover Compressor Co* 10,880 164,506 Helmerich & Payne Inc 7,614 452,424 National Fuel Gas Co 11,502 346,325 Newfield Exploration Co* 18,936 894,158 Noble Energy Inc 13,059 1,151,020 Patterson-UTI Energy Inc 25,304 860,842 Peabody Energy Corp 18,000 1,290,060 Pioneer Natural Resources Co 21,730 1,073,462 Plains Exploration & Production Co* 11,568 428,594 Pogo Producing Co 9,542 534,352 Pride International Inc* 21,980 556,094 Questar Corp 12,708 991,478 Smith International Inc 31,820 1,105,427 Tidewater Inc 9,097 405,180 Western Gas Resources Inc 10,301 494,448 ----------- Total Energy 15,402,771 ----------- Financial (16.72%) AMB Property Corp 12,592 558,203 Allmerica Financial Corp* 8,007 325,965 American Financial Group Inc 8,755 293,555 AmeriCredit Corp* 22,793 568,457 AmerUs Group Co 5,917 327,328 30 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Associated Banc-Corp 19,423 $ 632,024 Astoria Financial Corp 15,582 435,205 Bank of Hawaii Corp 8,021 407,066 WR Berkley Corp 17,580 623,914 Brown & Brown Inc 9,632 457,231 City National Corp 6,850 493,474 Colonial BancGroup Inc/The 21,837 507,929 Commerce Bancorp Inc 23,807 802,772 Cullen/Frost Bankers Inc 7,258 354,698 Developers Diversified Realty Corp 16,176 776,286 Eaton Vance Corp 19,982 510,940 AG Edwards Inc 11,408 515,756 Fidelity National Financial Inc 26,101 1,021,071 First American Corp 12,483 519,418 FirstMerit Corp 12,623 352,939 Arthur J Gallagher & Co 13,822 394,756 Greater Bay Bancorp 7,651 192,805 HCC Insurance Holdings Inc 15,292 407,532 Hibernia Corp 23,279 739,108 Highwoods Properties Inc 8,059 248,862 Horace Mann Educators Corp 5,962 116,736 Hospitality Properties Trust 9,361 405,893 Independence Community Bank Corp 11,793 403,321 IndyMac Bancorp Inc 9,327 371,494 Investors Financial Services Corp 9,981 350,533 Jefferies Group Inc 7,964 314,419 LaBranche & Co Inc* 8,363 71,755 Legg Mason Inc 16,246 1,698,194 Liberty Property Trust 12,928 561,075 Macerich Co/The 8,841 575,372 Mack-Cali Realty Corp 8,477 373,412 Mercantile Bankshares Corp 11,881 639,554 New Plan Excel Realty Trust 15,455 370,147 New York Community Bancorp Inc 36,934 649,300 Ohio Casualty Corp 9,369 236,661 Old Republic International Corp 27,357 688,576 PMI Group Inc/The 14,114 571,052 Protective Life Corp 10,418 427,451 Radian Group Inc 13,270 679,159 Raymond James Financial Inc 10,274 311,610 Regency Centers Corp 9,359 545,910 SVB Financial Group* 5,420 254,957 Stancorp Financial Group Inc 4,267 344,987 TCF Financial Corp 19,328 547,176 Texas Regional Bancshares Inc 6,175 182,842 United Dominion Realty Trust Inc 20,559 486,837 Unitrin Inc 8,651 399,417 Waddell & Reed Financial Inc 12,404 240,390 Washington Federal Inc 12,998 304,543 Webster Financial Corp 8,067 370,437 Weingarten Realty Investors 12,387 477,519 Westamerica Bancorporation 5,020 262,094 Wilmington Trust Corp 10,106 368,465 Everest Re Group Ltd 8,420 779,608 ----------- Total Financial 27,848,190 ----------- Industrial (12.02%) AGCO Corp* 13,548 278,140 Alexander & Baldwin Inc 6,522 341,818 Alliant Techsystems Inc* 5,672 436,347 Ametek Inc 10,360 417,404 Amphenol Corp 13,276 563,035 Arrow Electronics Inc 17,383 518,361 Avnet Inc* 21,698 543,535 Brink's Co/The 8,513 342,052 CH Robinson Worldwide Inc 12,801 790,462 CNF Inc 7,752 391,243 Carlisle Cos Inc 4,658 287,958 Crane Co 8,309 246,029 Donaldson Co Inc 11,728 359,346 Dycom Industries Inc* 7,301 129,374 Energizer Holdings Inc* 10,589 687,226 Expeditors International Washington Inc 15,944 885,051 Federal Signal Corp 6,704 114,638 Flowserve Corp* 8,293 308,002 GATX Corp 7,418 300,652 Gentex Corp 23,370 400,094 Graco Inc 10,349 385,086 Granite Construction Inc 5,796 216,075 Harsco Corp 6,227 365,214 Hubbell Inc 9,223 416,880 JB Hunt Transport Services Inc 20,652 373,182 Jacobs Engineering Group Inc 8,532 532,397 Kemet Corp* 12,051 97,854 Kennametal Inc 5,627 262,443 Lancaster Colony Corp 4,889 223,672 Martin Marietta Materials Inc 7,076 511,736 Nordson Corp 5,052 179,447 Overseas Shipholding Group 5,484 335,347 Packaging Corp of America 12,725 266,716 Pentair Inc 15,195 599,899 Plexus Corp* 6,012 102,685 Precision Castparts Corp 9,912 958,292 Republic Services Inc 19,303 699,348 SPX Corp 11,273 513,372 Sequa Corp* 1,459 99,942 Sonoco Products Co 14,851 422,214 Stericycle Inc* 6,730 391,215 Swift Transportation Co Inc* 10,857 216,489 Tecumseh Products Co* 2,574 68,494 Teleflex Inc 5,612 386,386 Thomas & Betts Corp 8,939 317,692 Timken Co 13,700 402,369 Trinity Industries Inc 6,624 247,936 Varian Inc* 5,271 187,648 Vishay Intertechnology Inc* 24,921 321,481 Werner Enterprises Inc 10,985 196,082 Worthington Industries 11,993 217,073 Yellow Roadway Corp* 8,589 402,395 York International Corp 6,234 357,707 Zebra Technologies Corp* 10,784 402,890 ----------- Total Industrial 20,018,425 ----------- Technology (9.99%) Activision Inc* 28,472 636,349 Acxiom Corp 12,866 255,004 Advent Software Inc* 4,509 124,268 Anteon International Corp* 4,800 220,560 Atmel Corp* 66,492 136,974 BISYS Group Inc/The* 18,125 270,606 CSG Systems International* 7,066 144,076 Cabot Microelectronics Corp* 3,453 102,934 Cadence Design Systems Inc* 40,561 649,382 Ceridian Corp* 22,386 454,436 Certegy Inc 9,361 321,831 Cognizant Technology Solutions Corp* 19,949 908,278 Credence Systems Corp* 13,279 117,785 Cree Inc* 11,481 294,373 Cypress Semiconductor Corp* 19,279 301,331 DST Systems Inc* 11,668 626,572 Diebold Inc 10,758 516,384 Dun & Bradstreet Corp* 10,357 659,430 Fair Isaac Corp 10,098 412,705 Fairchild Semiconductor International Inc* 17,960 302,626 Jack Henry & Associates Inc 12,601 246,728 Imation Corp 4,829 203,349 Integrated Device Technology Inc* 15,774 168,782 Integrated Circuit Systems Inc* 10,541 221,993 International Rectifier Corp* 10,155 488,456 Intersil Corp 22,584 474,264 Keane Inc 8,639 99,349 LTX Corp* 8,519 36,291 Lam Research Corp* 20,954 664,242 Lattice Semiconductor Corp* 15,799 70,148 MEMC Electronic Materials Inc* 19,800 333,828 McData Corp* 16,449 88,496 Mentor Graphics Corp* 10,632 90,691 Micrel Inc* 12,545 158,067 Microchip Technology Inc 31,096 967,708 MoneyGram International Inc 12,335 256,075 National Instruments Corp 11,025 313,000 Reynolds & Reynolds Co/The 9,000 256,860 SEI Investments Co 12,611 456,014 SanDisk Corp* 27,136 1,053,691 31 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Semtech Corp* 11,112 $ 181,681 Silicon Laboratories Inc* 7,236 224,533 Storage Technology Corp* 15,989 590,794 Sybase Inc* 14,271 318,671 Synopsys Inc* 21,775 413,725 Transaction Systems Architects Inc* 5,505 147,424 Triquint Semiconductor Inc* 19,158 73,950 Western Digital Corp* 31,567 437,203 Wind River Systems Inc* 11,457 150,545 ------------ Technology 16,642,462 ------------ Utilities (6.31%) AGL Resources Inc 11,546 431,243 Alliant Energy Corp 17,432 523,832 Aqua America Inc 13,991 479,332 Aquila Inc* 55,970 224,999 Black Hills Corp 4,871 202,877 DPL Inc 18,980 512,270 Duquesne Light Holdings Inc 11,535 209,360 Energy East Corp 22,042 577,941 Great Plains Energy Inc 11,168 347,213 Hawaiian Electric Industries Inc 12,109 321,010 Idacorp Inc 6,334 194,454 MDU Resources Group Inc 17,748 571,131 Northeast Utilities 19,262 383,699 NSTAR 15,986 472,546 OGE Energy Corp 13,500 391,905 Oneok Inc 15,634 531,556 PNM Resources Inc 9,582 283,436 Pepco Holdings Inc 28,196 643,997 Puget Energy Inc 14,987 341,254 SCANA Corp 16,941 718,129 Sierra Pacific Resources* 17,619 256,884 Vectren Corp 11,415 319,619 WGL Holdings Inc 7,305 240,114 WPS Resources Corp 5,654 325,896 Westar Energy Inc 12,885 309,497 Wisconsin Energy Corp 17,552 687,511 ------------ Total Utilities 10,501,705 ------------ Total Common Stock (Cost $121,021,505) 163,295,885 ------------ Par Value --------- Short-Term Investments (1.01%) $ 100,000 United States Treasury Bills 09/08/05(b) $ 99,938 200,000 United States Treasury Bills 10/06/05 199,364 500,000 United States Treasury Bills 10/27/05 497,398 900,000 United States Treasury Bills 11/17/05 893,395 ------------ Total Short-Term Investments (Cost $1,690,095) 1,690,095 ------------ Total Investments (Cost $122,711,600)(a)(99.07%) 164,985,980 Other Assets (0.93%) 1,549,287 ------------ Net Assets (100.00%) $166,535,267 ============ * Non- Income Producing Security (a) Aggregate cost for federal income tax purposes is $122,711,600. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 49,695,028 Unrealized depreciation (7,420,648) ------------ Net unrealized appreciation 42,274,380 ============ (b) At August 31, 2005, certain United States Treasury Bills with a market value of $99,936 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2005: (Contracts-$500 times premium/delivery month/commitment) Unrealized Appreciation (Depreciation) S&P MidCap 400 Index: 8/Sept 05/Long $ 35,692 ============ See accompanying notes to financial statements -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (93.18%) Basic Materials (2.86%) AMCOL International Corp 1,466 $ 27,854 Arch Chemicals Inc 1,194 29,563 Brush Engineered Materials Inc* 769 12,350 Buckeye Technologies Inc* 1,716 15,032 Caraustar Industries Inc* 1,296 15,047 Carpenter Technology Corp 1,324 73,747 Century Aluminum Co* 1,551 37,534 Chaparral Steel Co* 1,086 24,240 Cleveland-Cliffs Inc 1,096 77,904 Deltic Timber Corp 590 24,544 HB Fuller Co 1,462 47,968 Georgia Gulf Corp 1,693 47,235 MacDermid Inc 1,555 46,028 Material Sciences Corp 683 10,388 Neenah Paper Inc 750 22,725 OM Group Inc* 1,455 28,343 Omnova Solutions Inc* 1,854 8,714 Penford Corp 400 5,800 PolyOne Corp* 4,408 29,930 Pope & Talbot Inc 726 8,131 Quaker Chemical Corp 439 7,788 RTI International Metals Inc* 966 33,501 Reliance Steel & Aluminum Co 1,663 79,824 Rock-Tenn Co 1,817 27,691 Ryerson Tull Inc 1,152 23,662 Schulman A Inc 1,547 28,171 Schweitzer-Mauduit International Inc 770 17,725 Steel Technologies Inc 654 15,310 Wausau Paper Corp 2,594 30,869 Wellman Inc 1,480 10,286 ----------- Total Basic Materials 867,904 ----------- Communications (2.60%) Adaptec Inc* 5,637 18,715 Advo Inc 1,557 50,976 Aeroflex Inc* 3,808 35,376 Anixter International Inc 1,885 71,969 Applied Signal Technology Inc 560 10,690 Black Box Corp 903 38,802 Boston Communications Group* 889 1,671 C-COR Inc* 2,207 16,530 Commonwealth Telephone Enterprises Inc 1,151 46,316 Digital Insight Corp* 1,774 47,969 Ditech Communications Corp* 1,700 12,512 4Kids Entertainment Inc* 613 10,556 General Communication* 2,942 31,715 32 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Harmonic Inc* 3,354 $ 19,789 Internet Security Systems* 2,484 56,436 Intrado Inc* 772 11,580 j2 Global Communications Inc* 1,188 44,586 MIVA Inc* 1,508 8,294 Napster Inc* 1,603 6,508 Thomas Nelson Inc 657 13,495 Netgear Inc* 1,200 26,604 Network Equipment Technologies Inc* 1,066 5,287 PC-Tel Inc* 942 8,214 Symmetricom Inc* 2,100 18,228 Tollgrade Communications Inc* 630 6,930 Verity Inc* 1,734 17,375 Viasat Inc* 1,352 32,096 WebEx Communications Inc* 2,260 58,263 Websense Inc* 1,177 58,721 Zix Corp 1,342 3,234 ----------- Total Communications 789,437 ----------- Consumer, Cyclical (18.18%) Action Performance Cos Inc* 824 10,432 Advanced Marketing Services* 884 4,420 Angelica Corp 425 9,388 Applica Inc 1,097 2,216 Arctic Cat Inc 1,013 21,850 Argosy Gaming Co* 1,511 70,503 Ashworth Inc* 600 4,950 Audiovox Corp* 1,050 18,984 Aztar Corp* 1,772 59,185 Bally Total Fitness Holding Corp* 1,577 5,661 Bassett Furniture Industries Inc 556 10,542 Bell Microproducts Inc* 1,276 12,926 Brown Shoe Co Inc 932 33,366 Building Material Holding Corp 640 59,827 Burlington Coat Factory Warehouse Corp 1,690 64,828 CEC Entertainment Inc* 1,917 65,734 Casey's General Stores Inc 2,565 51,941 Cash America International Inc 1,344 28,184 Cato Corp/The 1,462 28,363 Champion Enterprises Inc* 3,614 48,175 Childrens Place Retail Stores Inc/The* 1,078 44,101 Christopher & Banks Corp 1,875 30,131 Coachmen Industries Inc 746 10,049 Cost Plus Inc* 1,125 24,199 Department 56* 632 8,210 Dress Barn Inc* 1,408 33,792 Electronics Boutique Holdings Corp* 954 61,151 Enesco Group Inc* 652 1,089 Ethan Allen Interiors Inc 1,913 61,637 Fedders Corp 1,460 3,314 Finish Line 2,500 36,050 Fleetwood Enterprises Inc* 2,730 27,600 Fred's Inc 2,010 28,160 Frontier Airlines Inc* 1,612 17,490 G&K Services Inc 1,071 46,021 GameStop Corp* 2,600 78,364 Genesco Inc* 1,118 44,396 Goody's Family Clothing Inc 1,499 10,388 Group 1 Automotive Inc* 1,153 34,129 Guitar Center Inc* 1,249 71,693 Gymboree Corp* 1,569 24,116 Haggar Corp 300 6,942 Hancock Fabrics Inc 863 4,919 Haverty Furniture Cos Inc 1,157 14,416 Hibbett Sporting Goods Inc* 1,203 40,469 HOT Topic Inc* 2,397 37,154 Hughes Supply Inc 3,542 112,104 Ihop Corp 1,098 44,096 Insight Enterprises Inc* 2,482 46,736 Interface Inc* 2,381 24,167 J Jill Group Inc/The* 1,026 18,181 Jack in the Box Inc* 1,872 66,025 Jakks Pacific Inc* 1,204 19,998 Jo-Ann Stores Inc* 1,070 23,005 K-Swiss Inc 1,813 55,550 K2 Inc* 1,826 22,734 Kellwood Co 1,393 34,101 La-Z-Boy Inc 2,673 38,464 Landry's Restaurants Inc 1,426 41,682 Libbey Inc 640 11,270 Linens 'n Things Inc* 2,240 52,864 Lone Star Steakhouse & Saloon Inc 1,092 28,818 Longs Drug Stores Corp 1,914 81,154 MDC Holdings Inc 1,974 150,774 M/I Homes Inc 700 39,445 Marcus Corp 1,435 27,667 Men's Wearhouse Inc* 2,743 83,607 Meritage Homes Corp 1,350 105,692 Mesa Air Group Inc* 1,462 11,550 Mobile Mini Inc* 664 27,835 Monaco Coach Corp 1,505 23,132 Movie Gallery Inc 1,719 30,925 Multimedia Games Inc* 1,431 14,439 NVR Inc* 240 212,400 National Presto Industries Inc 327 14,581 Nautilus Inc 1,674 43,072 O'Charleys Inc* 966 15,833 Oshkosh Truck Corp 4,018 161,162 Owens & Minor Inc 2,015 57,750 Oxford Industries Inc 832 38,813 PF Chang's China Bistro Inc* 1,312 67,148 Panera Bread Co* 1,547 86,230 Papa John's International Inc* 832 39,786 Pegasus Solutions Inc* 1,159 11,358 PEP Boys-Manny Moe & Jack 3,075 40,160 Phillips-Van Heusen 1,978 66,243 Pinnacle Entertainment Inc* 1,726 34,416 Polaris Industries Inc 2,204 116,107 Quiksilver Inc* 5,824 88,816 Rare Hospitality International Inc* 1,744 46,635 Red Robin Gourmet Burgers Inc* 800 38,464 Russell Corp 1,674 30,450 Ryan's Restaurant Group Inc* 2,086 26,722 SCP Pool Corp 2,736 100,138 Scansource Inc* 643 28,716 School Specialty Inc* 975 46,712 Select Comfort Corp* 1,867 36,089 ShopKo Stores Inc 1,351 33,599 Shuffle Master Inc* 1,755 42,910 Skyline Corp 400 15,748 Skywest Inc 2,979 70,632 Sonic Corp* 3,046 93,177 Sonic Automotive Inc 2,073 48,612 Stage Stores Inc 1,338 37,210 Standard Motor Products Inc 916 9,481 Standard-Pacific Corp 3,490 153,316 Steak N Shake Co/The 1,277 24,978 Stein Mart Inc 2,160 52,834 Stride Rite Corp 1,831 23,620 Superior Industries International 1,200 26,700 TBC Corp* 1,135 30,248 Too Inc* 1,767 47,108 Toro Co 2,494 96,842 Tractor Supply Co* 1,961 100,913 Triarc Cos Inc 3,265 48,975 Ultimate Electronics Inc* 680 20 United Stationers Inc 1,737 81,465 WMS Industries Inc 1,545 44,743 Wabash National Corp 1,723 35,873 Watsco Inc 1,366 66,606 Winnebago Industries 1,700 51,799 Wolverine World Wide Inc 3,060 64,474 World Fuel Services Corp 1,200 39,240 Zale Corp* 2,667 74,409 ----------- Total Consumer, Cyclical 5,510,803 ----------- Consumer, Non-cyclical (16.99%) ABM Industries Inc 2,508 49,734 Aaron Rents Inc 2,547 56,416 Administaff Inc 1,236 44,459 Advanced Neuromodulation Systems Inc 1,100 56,639 Advanced Medical Optics Inc* 100 3,936 Alliance One International Inc 4,676 18,704 Alpharma Inc 2,687 71,528 Amedisys Inc* 743 29,066 American Healthways Inc* 1,671 73,023 American Italian Pasta Co 860 9,486 American Medical Systems Holdings Inc* 3,420 70,110 AMERIGROUP Corp* 2,538 86,698 Amsurg Corp* 1,551 43,180 Arbitron Inc 1,587 66,654 Arqule Inc* 1,302 9,947 Arthrocare Corp* 1,179 42,880 Biolase Technology Inc* 1,245 6,972 33 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Biosite Inc* 803 $ 48,011 Bowne & Co Inc 1,795 25,489 Bradley Pharmaceuticals Inc* 786 8,363 CDI Corp 1,007 27,139 CPI Corp 380 6,574 Cambrex Corp 1,239 23,566 Centene Corp* 2,078 63,337 Central Parking Corp 1,868 29,683 Chemed Corp 1,244 50,332 Coinstar Inc* 1,000 19,190 Conmed Corp* 1,525 44,622 Connetics Corp* 1,800 34,308 Consolidated Graphics Inc* 696 26,873 Cooper Cos Inc/The 2,376 162,922 Corn Products International Inc 3,742 84,270 Cross Country Healthcare Inc* 1,640 31,816 CryoLife Inc* 1,113 8,681 Curative Health Services Inc* 589 1,331 Cyberonics Inc* 1,199 45,898 DJ Orthopedics Inc* 1,097 30,442 Datascope Corp 759 24,554 Delta & Pine Land Co 1,965 50,363 Diagnostic Products Corp 1,491 80,514 Enzo Biochem Inc* 1,519 24,061 Flowers Foods Inc 2,891 78,722 Fossil Inc* 3,020 66,410 Gentiva Health Services Inc 1,227 23,239 Great Atlantic & Pacific Tea Co* 1,519 38,552 Haemonetics Corp* 1,291 57,372 Hain Celestial Group Inc* 1,870 35,287 John H Harland Co 1,445 60,618 Healthcare Services Group 1,200 22,140 Heidrick & Struggles International Inc* 972 32,095 Hologic Inc* 1,046 50,449 Hooper Holmes Inc 3,007 12,690 ICU Medical Inc* 655 19,892 Idexx Laboratories Inc* 1,782 114,119 Immucor Inc 2,227 52,713 Integra LifeSciences Holdings Corp* 1,465 50,660 Invacare Corp 1,604 66,726 iPayment Inc* 600 23,310 J&J Snack Foods Corp 417 25,003 Kensey Nash Corp* 574 17,392 LCA-Vision Inc 973 39,942 Labor Ready Inc* 2,823 64,139 LabOne Inc* 856 37,005 Lance Inc 1,352 22,984 MGI Pharma Inc* 3,614 97,433 MAXIMUS Inc 1,113 41,916 Medicis Pharmaceutical Corp 2,912 99,037 Mentor Corp 1,955 102,833 Merit Medical Systems Inc* 1,295 22,624 Midas Inc* 700 14,770 NBTY Inc* 3,425 74,973 NCO Group Inc* 1,615 33,883 Nash Finch Co 581 24,402 Natures Sunshine Prods Inc 669 14,450 Noven Pharmaceuticals Inc* 1,200 19,992 OCA Inc* 2,332 3,032 Odyssey HealthCare Inc* 1,878 31,363 On Assignment Inc* 1,167 8,087 Osteotech Inc* 821 4,581 PRG-Schultz International Inc* 2,943 9,624 Parexel International Corp* 1,339 25,950 Pediatrix Medical Group Inc* 1,257 93,181 Peet's Coffee & Tea Inc* 600 18,762 Performance Food Group Co* 1,978 61,259 Pharmaceutical Product Development Inc* 2,885 162,339 PolyMedica Corp 1,391 49,728 Possis Medical Inc* 932 12,144 Pre-Paid Legal Services Inc 840 34,012 Priority Healthcare Corp* 2,227 62,111 Ralcorp Holdings Inc 1,500 66,525 Regeneron Pharmaceuticals Inc* 2,656 19,840 RehabCare Group Inc* 746 16,763 Resmed Inc* 1,735 125,510 Respironics Inc* 3,574 139,958 Rewards Network Inc 1,161 7,349 Russ Berrie & Co Inc 958 16,047 SFBC International Inc* 739 30,055 Sanderson Farms Inc 1,018 37,595 Savient Pharmaceuticals Inc* 2,760 11,150 Sierra Health Services Inc* 1,532 103,104 Sourcecorp* 750 15,368 Spectrum Brands Inc* 2,267 63,816 Spherion Corp* 3,098 22,832 Standard Register Co/The 1,313 20,601 Startek Inc 740 9,923 Sunrise Senior Living Inc* 1,050 62,360 SurModics Inc* 809 30,046 Sybron Dental Specialties Inc* 1,978 76,687 Theragenics Corp* 1,389 4,306 TreeHouse Foods Inc* 1,600 48,160 USANA Health Sciences Inc* 500 26,000 United Natural Foods Inc* 2,000 68,000 United Surgical Partners International Inc* 2,163 82,865 Vertrue Inc* 521 17,990 Viad Corp 1,109 32,239 Viasys Healthcare Inc* 1,579 42,522 Vital Signs Inc 595 26,757 Volt Information Sciences Inc* 731 16,594 WD-40 Co 826 23,822 Watson Wyatt & Co Holdings 2,252 61,412 ----------- Total Consumer, Non-cyclical 5,151,912 ----------- Energy (8.11%) Atwood Oceanics Inc* 711 53,489 Cabot Oil & Gas Corp 2,532 109,357 Cal Dive International Inc* 1,961 122,484 CARBO Ceramics Inc 1,224 73,636 Cimarex Energy Co* 4,323 184,765 Dril-Quip Inc* 800 33,616 Frontier Oil Corp 2,722 99,761 Headwaters Inc* 2,223 85,586 Hydril* 1,174 80,419 Input/Output Inc* 3,753 32,426 Lone Star Technologies Inc* 1,476 81,623 Massey Energy Co 3,894 197,815 Maverick Tube Corp* 2,172 69,178 Oceaneering International Inc* 1,280 63,642 Penn Virginia Corp 900 50,472 Petroleum Development Corp* 815 30,970 Remington Oil & Gas Corp* 1,386 53,403 St Mary Land & Exploration Co 2,928 100,928 SEACOR Holdings Inc* 1,351 96,597 Southwestern Energy Co* 3,902 225,926 Spinnaker Exploration Co* 1,730 77,798 Stone Energy Corp* 1,367 71,617 Swift Energy Co* 1,422 65,312 Tetra Technologies Inc* 1,718 48,949 Unit Corp 2,346 122,133 Veritas DGC Inc* 1,715 55,154 Vintage Petroleum Inc 3,319 127,549 W-H Energy Services Inc* 1,408 45,690 ----------- Total Energy 2,460,295 ----------- Financial (13.66%) Acadia Realty Trust 1,700 30,090 Amegy Bancorp Inc 3,522 79,139 Anchor Bancorp Wisconsin Inc 1,149 35,010 BankAtlantic Bancorp Inc 3,100 52,855 Bankunited Financial Corp 1,538 36,297 Boston Private Financial Holdings Inc 1,401 37,225 Brookline Bancorp Inc 3,028 46,752 Capital Automotive REIT 2,257 80,959 Central Pacific Financial Corp 1,600 55,328 Chittenden Corp 2,361 63,653 Colonial Properties Trust 2,086 91,993 Commercial Federal Corp 2,035 69,007 Commercial Net Lease Realty 2,652 52,960 Community Bank System Inc 1,600 37,808 CRT Properties Inc 1,345 37,620 Delphi Financial Group 1,614 76,019 Dime Community Bancshares 1,914 29,112 Downey Financial Corp 1,234 78,211 East West Bancorp Inc 2,806 95,236 EastGroup Properties Inc 1,200 51,768 Entertainment Properties Trust 1,184 53,943 Essex Property Trust Inc 1,174 103,253 Financial Federal Corp 859 33,544 First Bancorp 4,128 76,203 First Midwest Bancorp Inc 2,389 90,639 First Republic Bank 1,219 43,884 FirstFed Financial Corp 870 50,069 34 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- Flagstar Bancorp Inc 2,522 $ 43,505 Fremont General Corp 3,956 90,276 Gables Residential Trust 1,501 65,384 Glenborough Realty Trust Inc 1,638 32,842 Gold Banc Corp Inc 2,056 31,169 Hilb Rogal & Hobbs Co 1,850 65,157 Hudson United Bancorp 2,303 97,302 Infinity Property & Casualty Corp 1,100 35,772 Investment Technology Group Inc* 2,351 64,535 Irwin Financial Corp 1,450 30,450 Kilroy Realty Corp 1,457 76,798 LandAmerica Financial Group Inc 971 57,406 Lexington Corporate Properties Trust 2,470 56,810 MAF Bancorp Inc 1,677 71,994 Nara Bancorp Inc 1,163 16,201 New Century Financial Corp 2,782 119,598 Parkway Properties Inc 565 27,312 Philadelphia Consolidated Holding Co* 1,130 87,790 Piper Jaffray Cos* 1,018 31,039 Presidential Life Corp 1,505 26,473 ProAssurance Corp* 1,496 65,899 PrivateBancorp Inc 1,017 34,934 Provident Bankshares Corp 1,686 57,577 RLI Corp 1,292 59,561 Republic Bancorp Inc 3,613 53,039 SCPIE Holdings Inc* 473 6,650 SWS Group Inc 787 12,820 Selective Insurance Group 1,422 67,317 Shurgard Storage Centers Inc 2,359 130,689 South Financial Group Inc/The 3,940 114,733 Sovran Self Storage Inc 759 35,218 Sterling Bancshares Inc 2,297 34,432 Sterling Financial Corp 1,159 44,703 Stewart Information Services Corp 928 44,609 Susquehanna Bancshares Inc 2,363 59,548 Trustco Bank Corp 3,818 50,779 UCBH Holdings Inc 4,634 88,370 UICI 2,373 73,231 Umpqua Holdings Corp 2,193 53,400 United Bankshares Inc 2,234 79,084 Whitney Holding Corp 3,126 96,656 Wintrust Financial Corp 1,238 63,807 World Acceptance Corp* 952 24,362 Zenith National Insurance Corp 1,182 74,643 ----------- Total Financial 4,142,451 ----------- Industrial (18.19%) AAR Corp* 1,478 26,013 Acuity Brands Inc 2,185 64,523 Advanced Energy Industries Inc* 1,553 18,512 Albany International Corp 1,699 61,198 Aleris International Inc* 1,365 32,337 Analogic Corp 700 34,895 Apogee Enterprises Inc 1,275 20,477 Applied Industrial Technologies Inc 1,491 53,542 Aptargroup Inc 1,875 93,244 Arkansas Best Corp 1,281 43,131 Armor Holdings Inc* 1,673 70,952 Artesyn Technologies Inc* 1,796 16,487 Astec Industries Inc* 914 28,380 BEI Technologies Inc 675 23,551 Baldor Electric Co 1,689 41,668 Barnes Group Inc 1,185 40,883 Bel Fuse Inc 579 18,626 Belden CDT Inc 2,364 50,708 Benchmark Electronics Inc* 2,106 61,306 Brady Corp 2,444 76,277 Briggs & Stratton Corp 2,704 99,778 C&D Technologies Inc 1,187 12,119 CTS Corp 1,721 21,409 AM Castle & Co 759 11,537 Ceradyne Inc* 1,221 38,559 Checkpoint Systems Inc 1,928 42,127 Chesapeake Corp 1,001 19,520 Clarcor Inc 2,604 73,693 Cognex Corp 2,320 69,020 Coherent Inc* 1,549 49,243 Commercial Metals Co 2,978 89,132 Cubic Corp 1,371 25,295 Curtiss-Wright Corp 1,077 69,531 Cymer Inc* 1,886 63,181 DRS Technologies Inc 1,487 76,506 Daktronics Inc 943 20,623 Dionex Corp* 1,077 56,758 EGL Inc* 2,382 59,764 EDO Corp 1,023 28,736 Electro Scientific Industries Inc* 1,341 29,743 ElkCorp 1,011 35,992 EMCOR Group Inc* 776 42,789 Engineered Support Systems Inc 2,004 68,336 EnPro Industries Inc* 1,100 37,840 Esterline Technologies Corp* 1,086 47,404 FEI Co* 1,705 35,686 Flir Systems Inc* 3,450 111,401 Florida Rock Industries Inc 2,928 165,725 Forward Air Corp 1,656 58,424 Gardner Denver Inc* 1,313 54,910 GenCorp Inc* 2,284 43,053 Gerber Scientific Inc* 1,029 7,100 Greatbatch Inc* 1,017 25,425 Griffon Corp* 1,420 36,409 Heartland Express Inc 3,249 64,720 IDEX Corp 2,573 111,926 Insituform Technologies Inc* 1,227 25,399 Intermagnetics General Corp* 1,294 37,798 Intermet Corp* 1,230 49 Itron Inc* 1,270 58,763 JLG Industries Inc 2,741 89,877 Kaman Corp 1,048 25,142 Kansas City Southern* 4,315 86,775 Kaydon Corp 1,447 41,833 Keithley Instruments Inc 720 10,404 Kirby Corp* 1,258 59,126 Knight Transportation Inc 2,890 68,464 Landstar System Inc 3,058 111,067 Lawson Products 456 17,738 Lennox International Inc 3,019 73,633 Lindsay Manufacturing Co 549 13,890 Littelfuse Inc* 1,132 31,492 Lydall Inc* 745 6,534 Magnetek Inc* 1,366 4,412 Manitowoc Co 1,371 63,889 Meade Instruments Corp* 955 2,311 Methode Electronics Inc 1,654 20,377 Milacron Inc* 3,713 7,092 Moog Inc* 2,002 63,083 Mueller Industries Inc 1,795 47,047 Myers Industries Inc 1,536 18,893 NCI Building Systems Inc* 1,100 41,470 Offshore Logistics Inc 1,161 42,040 Old Dominion Freight Line* 1,000 31,980 Park Electrochemical Corp 1,018 24,585 Paxar Corp* 2,034 38,260 Photon Dynamics Inc* 781 15,230 Planar Systems Inc* 664 5,093 Quanex Corp 1,264 77,749 Regal-Beloit Corp 1,574 52,524 Robbins & Myers Inc 666 14,605 Rogers Corp* 850 33,210 Roper Industries Inc 4,608 177,500 SBS Technologies Inc* 723 6,984 Shaw Group Inc/The* 4,144 87,438 Simpson Manufacturing Co Inc 2,190 81,534 AO Smith Corp 1,508 42,435 Sonic Solutions Inc* 1,173 23,178 Standex International Corp 564 15,025 Stewart & Stevenson Services Inc 1,474 35,921 Sturm Ruger & Co Inc 1,292 12,313 Technitrol Inc 2,070 30,367 Teledyne Technologies Inc* 1,666 64,358 Tetra Tech Inc* 2,868 45,228 Texas Industries Inc 1,086 64,954 Timken Co 4,588 134,750 Tredegar Corp 1,971 24,480 Trimble Navigation Ltd* 2,600 94,952 Triumph Group Inc* 814 31,966 URS Corp 2,204 83,047 Universal Forest Products Inc 881 47,953 Valmont Industries Inc 1,224 35,190 Vicor Corp 2,151 34,308 Waste Connections Inc* 2,239 79,126 Watts Water Technologies Inc 1,655 56,038 Wolverine Tube Inc* 570 4,007 Woodward Governor Co 579 47,217 35 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- X-Rite Inc 987 $ 12,426 ----------- Total Industrial 5,514,653 ----------- Technology (8.44%) ATMI Inc* 2,001 61,691 Actel Corp* 1,218 16,760 Agilysys Inc 1,491 26,763 Alliance Semiconductor Corp* 1,688 4,524 Altiris Inc* 1,400 18,270 Ansys Inc* 1,576 59,494 Avid Technology Inc* 2,199 82,133 Axcelis Technologies Inc* 5,102 30,102 Brooks Automation Inc* 2,287 32,475 Brooktrout Inc* 598 7,654 CACI International Inc* 1,495 93,647 Captaris Inc* 1,544 5,759 Carreker Corp* 1,093 6,962 Catapult Communications Corp* 597 9,504 Cerner Corp* 1,835 144,525 Ciber Inc* 2,938 23,034 Cohu Inc 984 24,029 DSP Group Inc* 1,496 38,103 Dendrite International Inc* 2,129 38,556 Digi International Inc* 989 10,493 EPIQ Systems Inc* 854 15,679 ESS Technology* 1,795 6,857 eFunds Corp* 2,455 47,873 Exar Corp* 1,952 30,471 Factset Research Systems Inc 2,034 71,190 Filenet Corp* 1,998 53,087 Global Imaging Systems Inc* 1,177 38,900 Global Payments Inc 1,943 127,811 Helix Technology Corp 1,211 18,964 Hutchinson Technology Inc* 1,338 35,323 Hyperion Solutions Corp* 2,001 86,783 Imagistics International Inc* 812 27,161 Inter-Tel Inc 1,318 29,194 JDA Software Group Inc* 1,393 19,711 Kopin Corp* 3,225 20,866 Kronos Inc* 1,593 69,025 Kulicke & Soffa Industries Inc* 2,607 21,795 MRO Software Inc* 1,139 19,215 MTS Systems Corp 1,024 42,209 Manhattan Associates Inc* 1,548 32,725 Mantech International Corp* 1,539 47,724 Mapinfo Corp* 1,036 11,728 Mercury Computer Systems Inc* 1,010 26,391 Micros Systems Inc* 1,900 84,721 Microsemi Corp 3,051 73,499 NDCHealth Corp* 1,848 34,761 NYFIX Inc* 1,527 9,910 Pericom Semiconductor Corp* 1,192 10,502 Phoenix Technologies Ltd* 1,166 8,710 Photronics Inc* 2,089 43,389 Power Integrations Inc* 1,578 34,905 Progress Software Corp* 1,849 56,690 Radiant Systems Inc* 1,286 15,188 Radisys Corp* 829 15,477 Rudolph Technologies Inc* 760 11,149 SPSS Inc* 804 17,527 Serena Software Inc* 2,279 43,028 Skyworks Solutions Inc 7,682 57,922 SS&C Technologies Inc 900 32,841 Standard Microsystems Corp* 864 22,507 Supertex Inc* 590 17,110 Synaptics Inc* 1,300 21,450 THQ Inc* 1,990 66,884 Take-Two Interactive Software Inc* 3,454 82,205 Talx Corp 940 33,520 Ultratech Inc* 1,126 17,205 Varian Semiconductor Equipment Assoc. Inc* 1,863 84,413 Veeco Instruments Inc* 1,520 27,922 ----------- Total Technology 2,558,595 ----------- Utilities (4.15%) Allete Inc 1,480 66,970 American States Water Co 745 23,862 Atmos Energy Corp 4,238 125,402 Avista Corp 2,483 48,270 CH Energy Group Inc 808 38,865 Cleco Corp 2,440 56,120 Cascade Natural Gas Corp 520 10,873 Central Vermont Public Service Corp 573 10,944 El Paso Electric Co* 2,442 51,184 Energen Corp 3,730 142,934 Green Mountain Power Corp 231 7,011 Laclede Group Inc/The 1,063 34,356 New Jersey Resources Corp 1,414 66,430 Northwest Natural Gas Co 1,401 51,529 Piedmont Natural Gas Co 3,920 96,275 Southern Union Co 5,507 135,589 Southwest Gas Corp 1,779 48,780 UGI Corp 5,210 144,035 UIL Holdings Corp 744 39,402 Unisource Energy Corp 1,752 58,310 ----------- Total Utilities 1,257,141 ----------- Total Common Stock (Cost $19,521,876) 28,253,191 ----------- Par Value --------- Corporate Debt (0.05%) 15,000 Mueller Industries 11/01/14 $ 14,944 ----------- Total Corporate Debt (Cost $15,000) 14,944 ----------- Short-Term Investments (6.58%) $ 300,000 United States Treasury Bills 09/08/05(b) 299,824 1,600,000 United States Treasury Bills 10/06/05 1,594,894 100,000 United States Treasury Bills 11/17/05 99,260 ----------- Total Short-Term Investments (Cost $1,993,978) 1,993,978 ----------- Total Investments (Cost $21,530,854)(a)(99.81%) 30,262,113 Other Assets (0.19%) 57,526 ----------- Net Assets (100.00%) $30,319,639 =========== * Non-Income Producing Securit (a) Aggregate cost for federal income tax purposes is $21,530,854. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $10,417,225 Unrealized depreciation (1,685,966) ----------- Net unrealized appreciation $ 8,731,259 =========== (b) At August 31, 2005, certain United States Treasury Bills with a market value of $199,872 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2005: (Contracts-$500 times premium/delivery month/commitment) Unrealized Appreciation (Depreciation) Russell 2000 Stock Index: 6/Sept 05/Long $ 113,447 =========== See accompanying notes to financial statements 36 -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2005 Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (88.67%) Basic Materials (2.99%) Chemicals (1.30%) Praxair Inc 3,692 $ 178,324 Sherwin-Williams Co/The 1,746 80,945 ----------- 259,269 ----------- Forest Products&Paper (0.92%) Plum Creek Timber Co Inc 4,950 181,913 Mining (0.77%) Alcoa Inc 5,750 154,043 ----------- Total Basic Materials 595,225 ----------- Communications (3.89%) Media (2.59%) McGraw-Hill Cos Inc/The 10,678 514,893 Telecommunications (1.30%) SBC Communications Inc 10,744 258,716 ----------- Total Communications 773,609 ----------- Consumer, Cyclical (10.79%) Apparel (0.63%) Liz Claiborne Inc 3,036 124,567 Auto Manufacturers (2.01%) Ford Motor Co 40,100 399,797 Retail (8.15%) Gap Inc/The 4,450 84,595 Lowe's Cos Inc 5,750 369,783 McDonald's Corp 12,368 401,342 Ross Stores Inc 3,692 91,857 Sears Holdings Corp* 717 97,412 TJX Cos Inc 5,750 120,233 Target Corp 5,639 303,096 Wal-Mart Stores Inc 3,381 152,010 ----------- 1,620,328 ----------- Total Consumer, Cyclical 2,144,692 ----------- Consumer, Non-cyclical (15.61%) Agriculture (1.03%) Reynolds American Inc 2,446 205,317 Beverages (2.44%) Anheuser-Busch Cos Inc 3,036 134,525 Coca-Cola Co/The 8,000 352,000 ----------- 486,525 ----------- Commercial Services (1.51%) Moody's Corp 6,092 299,178 Cosmetics/Personal Care (0.89%) Procter & Gamble Co 3,180 176,426 Food (2.56%) Sara Lee Corp 12,300 233,700 Tyson Foods Inc 15,472 275,092 ----------- 508,792 ----------- Healthcare-Products (2.11%) Baxter International Inc 10,411 419,876 Healthcare-Services (1.40%) Aetna Inc 3,492 278,208 Household Products/Wares (1.17%) ACCO Brands Corp* 410 10,701 Clorox Co 1,201 69,142 Fortune Brands Inc 1,746 151,867 ----------- 231,710 ----------- Pharmaceuticals (2.50%) AmerisourceBergen Corp 2,803 209,300 Pfizer Inc 11,300 287,811 ----------- 497,111 ----------- Total Consumer, Non-cyclical 3,103,143 ----------- Energy (12.54%) Oil&Gas (11.38%) Apache Corp 4,126 295,504 Chevron Corp 3,140 192,796 ConocoPhillips 7,348 484,527 Devon Energy Corp 4,752 288,779 ENSCO International Inc 3,370 137,698 Exxon Mobil Corp 6,236 373,536 Valero Energy Corp 3,386 360,609 GlobalSantaFe Corp 2,725 127,748 ----------- 2,261,197 ----------- Oil&Gas Services (1.16%) Baker Hughes Inc 2,280 133,950 Tidewater Inc 2,180 97,097 ----------- 231,047 ----------- Total Energy 2,492,244 ----------- Financial (24.01%) Banks (6.98%) Bank of America Corp 9,864 424,448 Fifth Third Bancorp 7,723 319,809 SunTrust Banks Inc 2,102 147,729 Wells Fargo & Co 8,297 494,667 ----------- 1,386,653 ----------- Diversified Finan Serv (3.09%) Citigroup Inc 10,411 455,689 MBNA Corp 6,295 158,634 ----------- 614,323 ----------- Insurance (6.98%) American International Group Inc 4,225 250,120 Fidelity National Financial Inc 2,994 117,125 Arthur J Gallagher & Co 6,200 177,072 Marsh & McLennan Cos Inc 8,600 241,230 Metlife Inc 5,928 290,353 Stancorp Financial Group Inc 2,825 228,401 XL Capital Ltd 1,201 83,470 ----------- 1,387,771 ----------- REITS (6.96%) Annaly Mortgage Management Inc 7,408 112,602 Boston Properties Inc 1,746 124,228 iStar Financial Inc 3,704 153,605 Kimco Realty Corp 4,026 127,302 Mills Corp/The 3,804 222,686 Realty Income Corp 7,408 176,533 SL Green Realty Corp 2,280 150,776 Simon Property Group Inc 2,180 165,833 Vornado Realty Trust 1,746 150,191 ----------- 1,383,756 ----------- Total Financial 4,772,503 ----------- Industrial (4.93%) Building Materials (0.59%) Masco Corp 3,804 116,707 Hand/Machine Tools (0.52%) Stanley Works/The 2,280 104,310 Machinery-Constr&Mining (1.20%) Caterpillar Inc 4,292 238,163 Metal Fabricate/Hardware (0.77%) Worthington Industries 8,400 152,040 Miscellaneous Manufacturer (1.85%) ITT Industries Inc 1,067 116,431 Leggett & Platt Inc 2,725 65,972 3M Co 2,612 185,844 ----------- 368,247 ----------- Total Industrial 979,467 ----------- 37 -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2005 Company Shares Value (Note 1) -------------------------------------------------------------------------------- Technology (8.39%) Computers (3.55%) Dell Inc* 9,949 $ 354,184 Diebold Inc 1,746 83,808 Hewlett-Packard Co 5,750 159,620 Reynolds & Reynolds Co/The 3,804 108,566 ----------- 706,178 ----------- Office/Business Equip (0.50%) Pitney Bowes Inc 2,280 98,610 Semiconductors (1.72%) Intel Corp 13,263 341,124 Software (2.62%) First Data Corp 8,609 357,704 Microsoft Corp 5,973 163,660 ----------- 521,364 ----------- Total Technology 1,667,276 ----------- Utilities (5.52%) Electric (5.52%) Calpine Corp* 43,241 132,750 Cinergy Corp 2,180 96,007 Consolidated Edison Inc 6,200 290,842 Entergy Corp 1,746 130,793 Exelon Corp 3,146 169,538 Progress Energy Inc 1,579 68,829 SCANA Corp 4,900 207,711 ----------- 1,096,470 ----------- Total Utilities 1,096,470 ----------- Total Common Stock (Cost $13,815,896) 17,624,629 ----------- Par Value --------- Short-Term Investments (11.04%) $ 400,000 United States Treasury Bills 09/08/05(b) 399,763 1,600,000 United States Treasury Bills 10/06/05 1,594,947 100,000 United States Treasury Bills 10/27/05 99,476 100,000 United States Treasury Bills 11/17/05 99,260 ----------- Total Short-Term Investments (Cost $2,193,447) 2,193,446 ----------- Total Investments (Cost $16,009,343)(a)(99.71%) 19,818,075 Other Assets (0.29%) 57,557 ----------- Net Assets (100.00%) $19,875,632 =========== * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $16,009,343. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 4,546,559 Unrealized depreciation (737,827) ----------- Net unrealized appreciation $ 3,808,732 =========== (b) At August 31, 2005, certain United States Treasury Bills with a market value of $199,872 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2005: (Contracts-$250 times premium/delivery month/commitment) Unrealized Appreciation (Depreciation) Russell 2000 Index: 4/Sept 05/Long $ 22,282 =========== See accompanying notes to financial statements -------------------------------------------------------------------------------- EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 8/31/2005 INCOME FUND Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stocks (98.72%) Basic Materials (1.84%) Chemicals (1.84%) BASF AG ADR 1,344 $ 94,806 Bayer AG ADR 1,515 53,798 ----------- 148,604 ----------- Total Basic Materials 148,604 ----------- Communications (16.65%) Media (0.79%) Vivendi Universal SA ADR 2,033 64,141 ----------- Telecommunications (15.86%) Alcatel SA ADR* 1,772 20,679 BT Group PLC ADR 1,960 76,656 Deutsche Telekom AG ADR 6,525 124,497 Telefonaktiebolaget LM Ericsson ADR 3,694 128,921 Nokia OYJ ADR 15,228 240,146 Telecom Italia SpA ADR 2,647 83,804 Telefonica SA ADR 4,065 202,356 Vodafone Group PLC ADR 14,810 403,573 ----------- 1,280,632 ----------- Total Communications 1,344,773 ----------- Consumer, Cycllical (1.24%) Auto Manufacturers (1.24%) DaimlerChrysler AG 1,935 100,001 ----------- Total Consumer, Cyclical 100,001 ----------- Consumer, Non-cyclical (20.51%) Beverages (1.45%) Diageo PLC ADR 2,035 117,440 ----------- Cosmetics/Personal Care (0.59%) L'Oreal SA ADR 3,005 47,780 ----------- Food (5.31%) Koninklijke Ahold NV ADR 9,773 87,273 Nestle SA ADR 3,465 242,030 Unilever NV 1,436 99,371 ----------- 428,674 ----------- 38 -------------------------------------------------------------------------------- EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 8/31/2005 INCOME FUND Company Shares Value (Note 1) -------------------------------------------------------------------------------- Pharmaceuticals (13.15%) AstraZeneca PLC ADR 3,998 $ 184,388 GlaxoSmithKline PLC ADR 6,788 330,711 Novartis AG ADR 6,257 305,029 Roche Holding AG ADR 3,516 242,077 ----------- 1,062,205 ----------- Total Consumer, Non-cyclical 1,656,099 ----------- Energy (21.41%) Oil&Gas (21.41%) BP PLC ADR 8,176 559,075 ENI SpA ADR 1,613 239,127 Royal Dutch Shell PLC ADR 3,235 219,139 Royal Dutch Shell PLC ADR 5,120 332,595 Total SA ADR 2,879 379,567 ----------- 1,729,503 ----------- Total Energy 1,729,503 ----------- Financial (30.10%) Banks (23.47%) ABN AMRO Holding NV ADR 4,009 96,817 BNP Paribas ADR 3,552 128,050 Banco Bilbao Vizcaya Argentaria SA ADR 8,479 141,769 Banco Santander Central Hispano SA ADR 14,458 178,267 Barclays PLC ADR 7,651 308,335 Credit Suisse Group ADR 3,053 133,172 HSBC Holdings PLC ADR 5,249 424,329 Lloyds TSB Group PLC ADR 3,555 118,595 Deutsche Bank AG 1,496 130,137 UBS AG 2,875 236,038 ----------- 1,895,509 ----------- Insurance (6.63%) Aegon NV 2,886 40,779 Allianz AG ADR 9,057 117,832 AXA SA ADR 3,684 98,363 ING Groep NV ADR 4,832 141,191 Prudential PLC ADR 2,089 38,876 Royal & Sun Alliance Insurance Group ADR 1,727 14,610 Swiss Reinsurance ADR 960 61,392 Zurich Financial Services AG ADR 1,265 22,138 ----------- 535,181 ----------- Total Financial 2,430,690 ----------- Industrial (3.10%) Electronics (0.98%) Koninklijke Philips Electronics NV 2,984 79,225 ----------- Miscellaneous Manufacturer (2.12%) Siemens AG ADR 2,235 170,977 ----------- Total Industrial 250,202 ----------- Technology (1.04%) Software (1.04%) SAP AG ADR 1,967 83,931 ----------- Total Technology 83,931 ----------- Utilities (2.84%) Electric (2.07%) E.ON AG ADR 5,235 166,996 ----------- Water (0.77%) Suez SA ADR 2,137 62,656 ----------- Total Utilities 229,652 ----------- Total Common Stock (Cost $6,994,695) 7,973,455 ----------- Total Investments (Cost $6,994,695)(a)(98.72%) 7,973,455 Other Net Assets (1.28%) 103,045 ----------- Net Assets (100.00%) $ 8,076,500 =========== * Non-Income Producing Security ADR - American Depository Receipts (a) Aggregate cost for federal income tax purposes is $6,995,255. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 1,432,524 Unrealized depreciation (454,324) ----------- Net unrealized appreciation $ 978,200 =========== See accompanying notes to financial statements -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 Company Shares Value (Note 1) -------------------------------------------------------------------------------- Common Stock (98.04%) Basic Materials (0.53%) Sigma-Aldrich Corp 968 $ 60,403 Smurfit-Stone Container Corp* 3,522 38,883 ----------- Total Basic Materials 99,286 ----------- Communications (26.52%) Amazon.Com Inc* 3,825 163,328 Cisco Systems Inc* 32,421 571,258 Comcast Corp* 13,517 415,648 Comverse Technology Inc* 2,942 75,845 eBay Inc* 14,332 580,303 EchoStar Communications Corp 3,155 94,429 Telefonaktiebolaget LM Ericsson ADR 1,600 55,840 IAC/InterActive Corp* 5,869 144,084 JDS Uniphase Corp* 22,545 35,847 Juniper Networks Inc* 4,839 110,039 Lamar Advertising Co* 1,224 49,229 Level 3 Communications Inc* 9,285 18,291 Liberty Global Inc* 3,400 172,550 MCI Inc* 4,700 120,508 NTL Inc* 1,300 83,044 Qualcomm Inc 28,068 1,114,580 Sirius Satellite Radio Inc* 20,400 140,352 Symantec Corp* 17,688 371,094 Tellabs Inc* 3,436 30,546 VeriSign Inc* 3,318 72,332 XM Satellite Radio Holdings Inc* 3,100 109,275 Yahoo! Inc* 9,517 317,297 Check Point Software Technologies* 3,587 80,923 ----------- Total Communications 4,926,642 ----------- Consumer, Cyclical (10.26%) Bed Bath & Beyond Inc* 5,723 232,068 39 -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2005 CONTINUED Company Shares Value (Note 1) -------------------------------------------------------------------------------- CDW Corp 1,224 $ 72,314 Cintas Corp 2,913 120,161 Costco Wholesale Corp 3,439 149,390 Dollar Tree Stores Inc* 1,584 36,068 Fastenal Co 1,054 63,851 Paccar Inc 2,754 193,000 Petsmart Inc 2,060 53,086 Ross Stores Inc 2,056 51,153 Sears Holdings Corp* 2,500 339,650 Staples Inc 7,098 155,872 Starbucks Corp* 7,619 373,636 Wynn Resorts Ltd* 1,400 66,808 ----------- Total Consumer, Cyclical 1,907,057 ----------- Consumer, Non-Cyclical (17.49%) Amgen Inc 8,101 647,270 Apollo Group Inc* 2,622 206,247 Biomet Inc 4,843 178,658 Biogen Idec Inc* 5,289 222,931 Career Education Corp* 1,414 55,429 Celgene Corp* 2,400 120,480 Chiron Corp* 3,717 135,447 Dentsply International Inc 1,094 57,949 Express Scripts Inc* 1,844 106,694 Genzyme Corp* 4,486 319,269 Gilead Sciences Inc* 6,348 272,964 Invitrogen Corp* 742 62,870 Lincare Holdings Inc* 1,389 58,810 Medimmune Inc* 3,776 113,016 Millennium Pharmaceuticals Inc* 4,612 46,166 Patterson Cos Inc* 1,906 76,354 Paychex Inc 5,080 173,380 Sepracor Inc* 1,400 70,280 Teva Pharmaceutical Industries Ltd ADR 6,584 213,585 Whole Foods Market Inc 869 112,327 ----------- Total Consumer, Non-cyclical 3,250,126 ----------- Industrial (2.69%) American Power Conversion Corp 2,777 72,674 CH Robinson Worldwide Inc 1,223 75,520 Expeditors International Washington Inc 1,500 83,265 Molex Inc 1,429 38,240 Sanmina-SCI Corp* 7,670 38,887 Garmin Ltd 1,391 80,539 Flextronics International Ltd* 8,478 110,723 ----------- Total Industrial 499,848 ----------- Technology (40.53%) ATI Technologies Inc* 3,325 40,499 Adobe Systems Inc 6,654 179,924 Altera Corp* 7,208 157,639 Apple Computer Inc* 16,300 764,959 Applied Materials Inc 12,109 221,716 Autodesk Inc* 3,200 138,240 BEA Systems Inc* 5,204 45,899 Broadcom Corp* 3,624 157,644 Citrix Systems Inc* 2,835 67,473 Cognizant Technology Solutions Corp* 1,800 81,954 Dell Inc* 12,659 450,660 Electronic Arts Inc* 4,382 251,001 Fiserv Inc* 3,459 155,205 Intel Corp 30,772 791,456 Intersil Corp 1,947 40,887 Intuit Inc* 3,416 156,589 Kla-Tencor Corp 3,369 171,010 Lam Research Corp* 1,871 59,311 Linear Technology Corp 5,819 220,715 Maxim Integrated Products Inc 6,384 272,278 Mercury Interactive Corp* 1,482 54,345 Microsoft Corp 52,922 1,450,063 Microchip Technology Inc 2,516 78,298 Network Appliance Inc* 5,156 122,403 Novellus Systems Inc* 2,060 55,229 Oracle Corp* 30,526 395,922 Pixar* 1,616 70,942 QLogic Corp* 1,377 47,589 Research In Motion Ltd* 2,578 201,832 SanDisk Corp* 2,324 90,241 Siebel Systems Inc 8,163 67,345 Sun Microsystems Inc* 20,014 76,053 Synopsys Inc* 2,087 39,653 Xilinx Inc 6,348 178,315 Marvell Technology Group Ltd* 3,756 177,246 ----------- Total Technology 7,530,535 ----------- Total Common Stock (Cost $20,186,830) 18,213,494 ----------- Par Value --------- Short-Term Investments (1.61%) $ 200,000 United States Treasury Bills 10/06/05 $ 199,362 100,000 United States Treasury Bills 11/17/05 99,265 ----------- Total Short-Term Investments (Cost $298,627) 298,627 ----------- Total Investments (Cost $20,485,457)(a)(99.64%) 18,512,121 Other Assets (0.36%) 66,256 ----------- Net Assets (100.00%) $18,578,377 =========== * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $20,492,500. At August 31, 2005, unrealized appreciation (depreciation) of securities for federal income tax purpose is as follows: Unrealized appreciation $ 3,893,514 Unrealized depreciation (5,873,893) ----------- Net unrealized depreciation $(1,980,379) =========== (b) At August 31, 2005, certain United States Treasury Bills with a market value of $99,683 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2005: (Contracts-$100 times premium/delivery month/commitment) Unrealized Appreciation (Depreciation) Nasdaq 100 Futures: 2/Sept 05/Long $ 7,246 =========== See accompanying notes to financial statements 40 -------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES AUGUST 31, 2005 --------------------------------------------------------------------------------
California California Tax- Insured California Tax- Free Money Intermediate Free Income Market Fund Fund Fund ---------------------------------------------------- ASSETS Investments at market value (identified cost $55,594,679; 21,311,093; 126,950,906; 27,380,488; 39,540,651 and $16,504,391 respectively)(Note 1) $ 55,594,679 $ 21,775,095 $137,381,220 Cash 59,302 87,309 1,030 Interest receivable 168,161 227,176 1,618,314 Receivable for securities sold -- -- 3,308,289 Receivable for fund shares sold 8,588 -- 36,849 ---------------------------------------------------- Total Assets 55,830,730 22,089,580 142,345,702 ---------------------------------------------------- LIABILITIES Payable for fund shares repurchased 22,394 919 15,841 Payable to Investment Advisor 11,474 6,705 58,212 Distribution Payable 1,425 10,076 120,626 Accrued 12b-1 fee - K Shares -- -- -- Accrued shareholder service fee - K Shares -- -- -- Accrued Administration Fee 3,910 1,567 9,380 Accrued expenses 6,673 4,394 16,788 ---------------------------------------------------- Total Liabilities 45,876 23,661 220,847 ---------------------------------------------------- NET ASSETS: $ 55,784,854 $ 22,065,919 $142,124,855 ==================================================== Net Assets at August 31, 2005 consist of Paid-in capital $ 55,788,112 $ 21,350,987 $128,505,512 Undistributed net investment income -- -- 223,687 Accumulated net realized gains (losses) (3,258) 250,930 2,965,342 Unrealized appreciation (depreciation) of investments -- 464,002 10,430,314 ---------------------------------------------------- $ 55,784,854 $ 22,065,919 $142,124,855 ==================================================== NET ASSETS Direct Shares $ 55,784,854 $ 22,065,919 $142,124,855 ==================================================== K Shares -- -- -- ==================================================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 55,851,482 2,044,640 11,456,853 ==================================================== K Shares (no par value, unlimited shares authorized) -- -- -- ==================================================== NET ASSET VALUE PER SHARE Direct Shares $ 1.00 $ 10.79 $ 12.41 ==================================================== K Shares -- -- -- ==================================================== U.S. The United Short-Term U.S Government States Treasury Government Securities Fund Trust Bond Fund ------------------------------------------------ ASSETS Investments at market value (identified cost $55,594,679; 21,311,093; 126,950,906; 27,380,488; 39,540,651 and $16,504,391 respectively)(Note 1) $ 27,713,824 $ 39,540,651 $ 16,456,323 Cash 70,763 31,730 94,830 Interest receivable 177,291 -- 127,343 Receivable for securities sold 1,401,581 -- -- Receivable for fund shares sold 7,005 91,515 424 ------------------------------------------------ Total Assets 29,370,464 39,663,896 16,678,920 ------------------------------------------------ LIABILITIES Payable for fund shares repurchased 2,934 181,304 36,623 Payable to Investment Advisor 11,035 7,735 3,339 Distribution Payable 13,110 58,640 2,171 Accrued 12b-1 fee - K Shares 1,644 911 534 Accrued shareholder service fee - K Shares 844 490 261 Accrued Administration Fee 2,052 2,736 1,188 Accrued expenses 6,570 6,269 3,842 ------------------------------------------------ Total Liabilities 38,189 258,085 47,958 ------------------------------------------------ NET ASSETS: $ 29,332,275 $ 39,405,811 $ 16,630,962 ================================================ Net Assets at August 31, 2005 consist of Paid-in capital $ 29,225,115 $ 39,408,414 $ 16,870,422 Undistributed net investment income 2,997 105 1,999 Accumulated net realized gains (losses) (229,173) (2,708) (193,391) Unrealized appreciation (depreciation) of investments 333,336 -- (48,068) ------------------------------------------------ $ 29,332,275 $ 39,405,811 $ 16,630,962 ================================================ NET ASSETS Direct Shares $ 25,023,848 $ 36,916,310 $ 15,354,033 ================================================ K Shares $ 4,308,427 $ 2,489,501 $ 1,276,929 ================================================ SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 2,381,227 36,918,724 1,542,332 ================================================ K Shares (no par value, unlimited shares authorized) 407,584 2,489,611 128,163 ================================================ NET ASSET VALUE PER SHARE Direct Shares $ 10.51 $ 1.00 $ 9.96 ================================================ K Shares $ 10.57 $ 1.00 $ 9.96 ================================================
See accompanying notes to financial statements 41 -------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES AUGUST 31, 2005 --------------------------------------------------------------------------------
S&P 500 Index S&P MidCap S&P SmallCap Fund Index Fund Index Fund ---------------------------------------------------- ASSETS Investments at market value (identified cost $84,485,770; $122,711,600; $21,530,854; $16,009,343; $6,994,695 and $20,485,457 respectively)(Note 1) $107,283,530 $164,985,980 $ 30,262,113 Cash 2,809 79,104 26,347 Interest receivable -- -- 300 Dividend receivable 220,121 202,627 14,116 Receivable for securities sold 48,582 3,466,440 -- Receivable for fund shares sold 17,197 196,721 3,204 Variation margin receivable 39,387 39,071 39,957 ---------------------------------------------------- Total Assets 107,611,626 168,969,943 30,346,037 ---------------------------------------------------- LIABILITIES Payable for securities purchased -- 2,258,185 -- Payable for fund shares repurchased 36,358 90,108 1,662 Payable to Investment Advisor 12,487 56,863 8,223 Miscellaneous Payable -- -- -- Accrued 12b-1 fee - K Shares 1,828 1,879 2,280 Accrued shareholder service fee - K Shares 807 832 1,201 Accrued Administration Fee 7,671 11,666 2,129 Accrued expenses 12,463 15,143 10,903 ---------------------------------------------------- Total Liabilities 71,614 2,434,676 26,398 ---------------------------------------------------- NET ASSETS: $107,540,012 $166,535,267 $ 30,319,639 ==================================================== Net Assets at August 31, 2005 consist of Paid-in capital $ 93,831,357 $113,708,615 $ 20,329,760 Undistributed net investment income 263,477 170,489 9,042 Accumulated net realized gains (losses) (9,390,932) 10,346,091 1,136,131 Unrealized appreciation (depreciation) of investments 22,797,760 42,274,380 8,731,259 Unrealized appreciation (depreciation) of futures contracts 38,350 35,692 113,447 ---------------------------------------------------- $107,540,012 $166,535,267 $ 30,319,639 ==================================================== NET ASSETS Direct Shares $102,899,452 $161,654,578 $ 24,250,063 ==================================================== K Shares $ 4,640,560 $ 4,880,689 $ 6,069,576 ==================================================== SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 4,180,706 6,927,433 1,270,713 ==================================================== K Shares (no par value, unlimited shares authorized) 187,858 209,154 318,703 ==================================================== NET ASSET VALUE PER SHARE Direct Shares $ 24.61 $ 23.34 $ 19.08 ==================================================== K Shares $ 24.70 $ 23.34 $ 19.04 ==================================================== European Equity Income Growth & Nasdaq-100 Fund Income Fund Index Fund ------------------------------------------------ ASSETS Investments at market value (identified cost $84,485,770; $122,711,600; $21,530,854; $16,009,343; $6,994,695 and $20,485,457 respectively)(Note 1) $ 19,818,075 $ 7,973,455 $ 18,512,121 Cash 17,124 81,850 57,938 Interest receivable -- -- -- Dividend receivable 42,722 27,458 12,194 Receivable for securities sold -- -- -- Receivable for fund shares sold 2,882 3,484 13,475 Variation margin receivable 12,800 -- 2,800 ------------------------------------------------ Total Assets 19,893,603 8,086,247 18,598,528 ------------------------------------------------ LIABILITIES Payable for securities purchased -- -- -- Payable for fund shares repurchased -- -- 3,555 Payable to Investment Advisor 8,956 2,387 4,625 Miscellaneous Payable 700 -- -- Accrued 12b-1 fee - K Shares 1,239 1,138 1,287 Accrued shareholder service fee - K Shares 643 599 675 Accrued Administration Fee 1,401 566 1,320 Accrued expenses 5,032 5,057 8,689 ------------------------------------------------ Total Liabilities 17,971 9,747 20,151 ------------------------------------------------ NET ASSETS: $ 19,875,632 $ 8,076,500 $ 18,578,377 ================================================ Net Assets at August 31, 2005 consist of Paid-in capital $ 15,590,481 $ 7,352,301 $ 30,616,534 Undistributed net investment income 42,664 16,444 33,047 Accumulated net realized gains (losses) 411,473 (271,005) (10,105,114) Unrealized appreciation (depreciation) of investments 3,808,732 978,760 (1,973,336) Unrealized appreciation (depreciation) of futures contracts 22,282 -- 7,246 ------------------------------------------------ $ 19,875,632 $ 8,076,500 $ 18,578,377 ================================================ NET ASSETS Direct Shares $ 16,641,343 $ 5,024,085 $ 15,161,092 ================================================ K Shares $ 3,234,289 $ 3,052,415 $ 3,417,285 ================================================ SHARES OUTSTANDING Direct Shares (no par value, unlimited shares authorized) 1,032,126 586,244 3,804,973 ================================================ K Shares (no par value, unlimited shares authorized) 200,064 355,052 862,345 ================================================ NET ASSET VALUE PER SHARE Direct Shares $ 16.12 $ 8.57 $ 3.98 ================================================ K Shares $ 16.17 $ 8.60 $ 3.96 ================================================
See accompanying notes to financial statements 42 -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2005 --------------------------------------------------------------------------------
California California Tax- Insured California Tax- Free Money Intermediate Free Income Market Fund Fund Fund ---------------------------------------------------- Investment Income Interest income $ 1,434,180 $ 918,443 $ 6,913,701 ---------------------------------------------------- Expenses Management fees (Note 2) 375,619 123,272 710,619 Administration fees (Note 2) 26,972 9,290 56,720 Transfer agent fees 28,190 17,517 59,753 Accounting services 37,322 18,519 63,740 Custodian fees 6,700 2,010 10,397 Legal, audit and compliance (Note 2) 27,136 11,643 43,891 Trustees fees 6,335 6,238 6,244 Insurance 3,243 1,010 6,056 Printing 6,843 1,490 10,177 Registration & dues 2,190 862 1,980 12b-1 Fees - K Shares (Note 2) -- -- -- Shareholder Service Fee - K Shares (Note 2) -- -- -- ---------------------------------------------------- Total Expenses 520,550 191,851 969,577 Less reimbursement from manager (Note 2) (148,649) (32,208) -- ---------------------------------------------------- Net Expenses 371,901 159,643 969,577 ---------------------------------------------------- Net Investment Income 1,062,279 758,800 5,944,124 ---------------------------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions -- 247,778 2,835,298 Change in unrealized appreciation (depreciation) of investments -- (620,069) (4,551,279) ---------------------------------------------------- Net realized and unrealized gain (loss) on investments -- (372,291) (1,715,981) ---------------------------------------------------- Net increase in net assets resulting from operations $ 1,062,279 $ 386,509 $ 4,228,143 ==================================================== Short-Term U.S. The United U.S. Government States Treasury Government Securities Fund Trust Bond Fund ------------------------------------------------- Investment Income Interest income $ 1,248,191 $ 984,194 $ 442,661 ------------------------------------------------ Expenses Management fees (Note 2) 146,870 211,178 84,377 Administration fees (Note 2) 11,500 17,076 6,839 Transfer agent fees 25,259 25,917 18,611 Accounting services 20,603 24,960 15,104 Custodian fees 3,522 4,045 1,944 Legal, audit and compliance (Note 2) 12,934 17,637 9,254 Trustees fees 2,084 2,069 2,083 Insurance 1,117 1,525 617 Printing 3,362 3,232 1,357 Registration & dues 4,606 5,284 2,767 12b-1 Fees - K Shares (Note 2) 7,999 4,192 3,444 Shareholder Service Fee - K Shares (Note 2) 7,999 4,192 3,444 ------------------------------------------------ Total Expenses 247,855 321,307 149,841 Less reimbursement from manager (Note 2) (23,631) (111,758) (48,289) ------------------------------------------------ Net Expenses 224,224 209,549 101,552 ------------------------------------------------ Net Investment Income 1,023,967 774,645 341,109 ------------------------------------------------ Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions (229,173) (2,708) (192,092) Change in unrealized appreciation (depreciation) of investments 222,750 -- (19,505) ------------------------------------------------ Net realized and unrealized gain (loss) on investments (6,423) (2,708) (211,597) ------------------------------------------------ Net increase in net assets resulting from operations $ 1,017,544 $ 771,937 $ 129,512 ================================================
See accompanying notes to financial statements 43 -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2005 --------------------------------------------------------------------------------
S&P 500 S&P MidCap S&P SmallCap Index Fund Index Fund Index Fund --------------------------------------------------- Investment Income Interest income $ 10,725 $ 110,060 $ 53,267 Dividend income (Net of foreign tax withheld, $0; $0; $0; $0; $22,828; $419, respectively) 2,351,120 1,977,822 286,351 Other Income 21,493 17,499 3,515 --------------------------------------------------- Total 2,383,338 2,105,381 343,133 --------------------------------------------------- Expenses Management fees (Note 2) 276,585 607,173 139,183 Administration fees 43,406 62,972 11,433 Transfer agent fees 44,405 46,899 28,444 Accounting services 61,294 74,877 30,327 Custodian fees 11,410 18,681 5,616 Legal, audit and compliance (Note 2) 35,940 37,581 10,981 Trustees fees 2,086 2,084 2,087 Insurance 4,097 4,847 894 Printing 12,073 11,446 4,193 Registration & dues 10,980 12,911 4,893 12b-1 Fees - K Shares (Note 2) 9,118 9,448 11,083 Shareholder Service Fee - K Shares (Note 2) 9,118 9,448 11,083 Licensing fee 10,862 12,105 2,219 --------------------------------------------------- Total Expenses 531,374 910,472 262,436 Less reimbursement from manager (Note 2) (149,088) (56,893) (42,321) --------------------------------------------------- Net Expenses 382,286 853,579 220,115 --------------------------------------------------- Net Investment Income 2,001,052 1,251,802 123,018 --------------------------------------------------- Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions 586,226 11,202,350 1,016,107 Net realized gain (loss) from futures contracts 87,614 1,327,625 189,103 Change in unrealized appreciation (depreciation) of investments 10,079,510 17,900,980 4,740,302 Change in unrealized appreciation (depreciation) of futures contracts 32,705 92,635 105,266 --------------------------------------------------- Net realized and unrealized gain on investments 10,786,055 30,523,590 6,050,778 --------------------------------------------------- Net increase in net assets resulting from operations $ 12,787,107 $ 31,775,392 $ 6,173,796 =================================================== European Equity Income Growth & Nasdaq-100 Fund Income Fund Index Fund ------------------------------------------------ Investment Income Interest income $ 43,733 $ 4,316 $ 11,695 Dividend income (Net of foreign tax withheld, $0; $0; $0; $0; $22,828; $419, respectively) 402,387 197,569 226,941 Other Income 2,548 665 3,104 ------------------------------------------------ Total 448,668 202,550 241,740 ------------------------------------------------ Expenses Management fees (Note 2) 87,331 56,851 89,140 Administration fees 7,375 2,941 7,121 Transfer agent fees 22,435 19,168 28,284 Accounting services 16,241 11,624 16,826 Custodian fees 2,141 1,977 3,101 Legal, audit and compliance (Note 2) 9,076 6,879 9,403 Trustees fees 2,093 2,091 2,086 Insurance 550 192 621 Printing 2,493 1,686 4,415 Registration & dues 1,890 1,311 3,584 12b-1 Fees - K Shares (Note 2) 5,747 5,405 6,375 Shareholder Service Fee - K Shares (Note 2) 5,747 5,405 6,375 Licensing fee -- -- 5,007 ------------------------------------------------ Total Expenses 163,119 115,530 182,338 Less reimbursement from manager (Note 2) (2,762) (38,812) (43,017) ------------------------------------------------ Net Expenses 160,357 76,718 139,321 ------------------------------------------------ Net Investment Income 288,311 125,832 102,419 ------------------------------------------------ Realized and Unrealized Gain (Loss) on Investments Net realized gain (loss) from security transactions 348,651 (10,275) (597,383) Net realized gain (loss) from futures contracts 517,192 -- 18,101 Change in unrealized appreciation (depreciation) of investments 1,456,709 1,155,216 2,942,611 Change in unrealized appreciation (depreciation) of futures contracts (24,378) -- 7,246 ------------------------------------------------ Net realized and unrealized gain on investments 2,298,174 1,144,941 2,370,575 ------------------------------------------------ Net increase in net assets resulting from operations $ 2,586,485 $ 1,270,773 $ 2,472,994 ================================================
See accompanying notes to financial statements 44 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
California Tax-Free California Insured Money Market Fund Intermediate Fund ------------------------------ ----------------------------- Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2005 2004 2005 2004 ------------------------------------------------------------------- Operations Net investment income $ 1,062,279 $ 461,912 $ 758,800 $ 831,112 ------------------------------ ----------------------------- Net realized gain (loss) on investments -- -- 247,778 54,419 Change in unrealized appreciation (depreciation) of investments -- -- (620,069) 388,836 ------------------------------------------------------------------- Net increase in net assets resulting from operations 1,062,279 461,912 386,509 1,274,367 Distributions to Shareholders Distributions from net investment income (1,062,279) (461,912) (759,043) (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 (37,394,976) 4,376,024 (3,860,134) (1,913,347) ------------------------------------------------------------------- Total increase (decrease) (37,394,976) 4,376,024 (4,287,089) (1,552,736) Net Assets Beginning of year 93,179,830 88,803,806 26,353,008 27,905,744 ------------------------------------------------------------------- End of year $ 55,784,854 $ 93,179,830 $ 22,065,919 $ 26,353,008 =================================================================== Including undistributed net investment income of: $ -- $ -- $ -- $ 3,395 =================================================================== California Tax-Free Income Fund ------------------------------ Year Ended Year Ended August 31, August 31, 2005 2004 ------------------------------ Operations Net investment income $ 5,944,124 $ 6,558,702 ------------------------------ Net realized gain (loss) on investments 2,835,298 2,804,832 Change in unrealized appreciation (depreciation) of investments (4,551,279) 184,057 ------------------------------ Net increase in net assets resulting from operations 4,228,143 9,547,591 Distributions to Shareholders Distributions from net investment income (5,919,149) (6,615,271) Distributions from realized capital gains on investments (2,641,599) (1,385,238) Capital Share Transactions Increase (decrease) in net assets resulting from capital share transactions (11,869,851) (15,708,184) ------------------------------ Total increase (decrease) (16,202,456) (14,161,102) Net Assets Beginning of year 158,327,311 172,488,413 ------------------------------ End of year $142,124,855 $158,327,311 ============================== Including undistributed net investment income of: $ 223,687 $ 329,035 ==============================
See accompanying notes to financial statements 45 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
U.S. Government The United States Securities Fund Treasury Trust ------------------------------ ----------------------------- Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2005 2004 2005 2004 ------------------------------------------------------------------- Operations Net investment income $ 1,023,967 $ 921,273 $ 774,645 $ 255,414 Net realized gain on investments (229,173) 263,550 (2,708) 2,510 Change in unrealized appreciation (depreciation) of investments 222,750 10,692 -- -- ------------------------------------------------------------------- Net increase in net assets resulting from operations 1,017,544 1,195,515 771,937 257,924 Undistributed investment income included in price of shares sold and repurchased -- -- -- -- Distributions to Shareholders Distributions from net investment income Direct Shares (926,065) (898,759) (751,092) (254,691) K Shares (97,919) (19,496) (23,553) (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 441,657 (2,494,552) (675,710) (544,900) ------------------------------------------------------------------- Total increase (decrease) 189,306 (2,442,452) (680,822) (547,877) Net Assets Beginning of year 29,142,969 31,585,421 40,086,633 40,634,510 ------------------------------------------------------------------- End of year $ 29,332,275 $ 29,142,969 $ 39,405,811 $ 40,086,633 =================================================================== Including undistributed net investment income of: $ 2,997 $ 3,018 $ 105 $ -- =================================================================== Short-Term U.S. Government Bond Fund ------------------------------ Year Ended Year Ended August 31, August 31, 2005 2004 ------------------------------ Operations Net investment income $ 341,109 $ 206,621 Net realized gain on investments (192,092) 8,934 Change in unrealized appreciation (depreciation) of investments (19,505) (19,364) ------------------------------ Net increase in net assets resulting from operations 129,512 196,191 Undistributed investment income included in price of shares sold and repurchased -- -- Distributions to Shareholders Distributions from net investment income Direct Shares (318,935) (203,269) K Shares (21,469) (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 516,348 (5,141,433) ------------------------------ Total increase (decrease) 297,533 (5,166,952) Net Assets Beginning of year 16,333,429 21,500,381 ------------------------------ End of year $ 16,630,962 $ 16,333,429 ============================== Including undistributed net investment income of: $ 1,999 $ 1,294 ==============================
See accompanying notes to financial statements 46 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
S&P 500 Index Fund S&P MidCap Index Fund ------------------------------ ----------------------------- Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2005 2004 2005 2004 ------------------------------------------------------------------- Operations Net investment income $ 2,001,052 $ 1,550,898 $ 1,251,802 $ 829,851 Net realized gain (loss) on investments 586,226 (187,936) 11,202,350 759,259 Net realized gain (loss) on futures contracts 87,614 454,361 1,327,625 903,501 Change in unrealized appreciation of investments 10,079,510 9,198,454 17,900,980 10,585,959 Change in unrealized appreciation of futures contracts 32,705 (60,572) 92,635 (206,760) ------------------------------------------------------------------- Net increase (decrease) in net assets resulting from operations 12,787,107 10,955,205 31,775,392 12,871,810 Distributions to Shareholders Distributions from net investment income Direct Shares (1,982,660) (1,490,099) (1,228,758) (786,784) K Class (43,205) (4,752) (12,820) (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 (11,787,670) 842,061 6,864,766 13,281,899 ------------------------------------------------------------------- Total increase (decrease) (1,026,428) 10,302,415 37,398,580 25,365,678 Net Assets Beginning of year 108,566,440 98,264,025 129,136,687 103,771,009 ------------------------------------------------------------------- End of year $107,540,012 $108,566,440 $166,535,267 $129,136,687 =================================================================== Including undistributed net investment income of: $ 263,477 $ 288,290 $ 170,489 $ 160,265 =================================================================== S&P SmallCap Index Fund ------------------------------ Year Ended Year Ended August 31, August 31, 2005 2004 ------------------------------ Operations Net investment income $ 123,018 $ 53,380 Net realized gain (loss) on investments 1,016,107 1,262,635 Net realized gain (loss) on futures contracts 189,103 44,823 Change in unrealized appreciation of investments 4,740,302 1,277,943 Change in unrealized appreciation of futures contracts 105,266 (20,844) ------------------------------ Net increase (decrease) in net assets resulting from operations 6,173,796 2,617,937 Distributions to Shareholders Distributions from net investment income Direct Shares (121,035) (52,258) K Class (642) -- 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 1,966,302 2,534,475 ------------------------------ Total increase (decrease) 6,876,952 4,916,965 Net Assets Beginning of year 23,442,687 18,525,722 ------------------------------ End of year $ 30,319,639 $ 23,442,687 ============================== Including undistributed net investment income of: $ 9,042 $ 7,701 ==============================
See accompanying notes to financial statements 47 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
European Growth Equity Income Fund & Income Fund ------------------------------ ----------------------------- Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2005 2004 2005 2004 ------------------------------------------------------------------ Operations Net investment income (loss) $ 288,311 $ 144,827 $ 125,832 $ 84,165 Net realized gain (loss) on investments 348,651 371,115 (10,275) (32,592) Net realized gain (loss) on futures contracts 517,192 194,491 -- (28,906) Change in unrealized appreciation of investments 1,456,709 914,863 1,155,216 540,073 Change in unrealized appreciation of futures contracts (24,378) 3,000 -- -- ------------------------------------------------------------------ Net increase (decrease) in net assets resulting from operations 2,586,485 1,628,296 1,270,773 562,740 Distributions to Shareholders Distributions from net investment income Direct Shares (252,103) (133,721) (93,107) (72,550) K Shares (25,166) (956) (34,772) (6,306) Capital Share Transactions Increase in net assets resulting from capital share transactions 2,959,647 3,295,317 1,834,152 1,251,172 ------------------------------------------------------------------ Total increase (decrease) 5,268,863 4,788,936 2,977,046 1,735,056 Net Assets Beginning of year 14,606,769 9,817,833 5,099,454 3,364,398 ------------------------------------------------------------------ End of year $ 19,875,632 $ 14,606,769 $ 8,076,500 $ 5,099,454 ================================================================== Including undistributed net investment income of: $ 42,664 $ 36,738 $ 16,444 $ 18,491 ================================================================== Nasdaq-100 Index Fund --------------------------------- Year Ended Year Ended August 31, August 31, 2005 2004 --------------------------------- Operations Net investment income (loss) $ 102,419 $ (68,157) Net realized gain (loss) on investments (597,383) (1,764,906) Net realized gain (loss) on futures contracts 18,101 230,041 Change in unrealized appreciation of investments 2,942,611 1,764,736 Change in unrealized appreciation of futures contracts 7,246 -- --------------------------------- Net increase (decrease) in net assets resulting from operations 2,472,994 161,714 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 175,523 909,458 --------------------------------- Total increase (decrease) 2,579,145 1,071,172 Net Assets Beginning of year 15,999,232 14,928,060 --------------------------------- End of year $ 18,578,377 $ 15,999,232 ================================= Including undistributed net investment income of: $ 33,047 $ -- =================================
See accompanying notes to financial statements 48 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
California Tax-Free Income Fund ---------------------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 --------------------------------- --------------------------------- Shares Value Shares Value --------------------------------- --------------------------------- Shares sold ....................... 723,431 $ 9,046,298 2,319,440 $ 29,827,911 Shares issued in reinvestment of distributions ................... 516,415 6,440,138 476,675 6,120,489 --------------------------------- --------------------------------- 1,239,846 15,486,436 2,796,115 35,948,400 Shares repurchased ................ (2,175,284) (27,356,287)(a) (4,027,520) (51,656,584) --------------------------------- --------------------------------- Net increase (decrease) .... (935,438) $ (11,869,851) (1,231,405) $ (15,708,184) ================================= ================================= California Insured Intermediate Fund ---------------------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 --------------------------------- --------------------------------- Shares Value Shares Value --------------------------------- --------------------------------- Shares sold ....................... 98,808 $ 1,075,273 257,322 $ 2,849,192 Shares issued in reinvestment of distributions ................... 57,857 628,268 61,776 678,067 --------------------------------- --------------------------------- 156,665 1,703,541 319,098 3,527,259 Shares repurchased ................ (512,642) (5,563,675) (502,444) (5,440,606) --------------------------------- --------------------------------- Net increase (decrease) .... (355,977) $ (3,860,134) (183,346) $ (1,913,347) ================================= =================================
California Tax-Free Money Market ------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------- ----------- Shares/Value Shares/Value ----------- ----------- Shares sold .................... 60,780,393 76,522,931 Shares issued in reinvestment of distributions ............... 1,032,811 396,128 ----------- ----------- 61,813,204 76,919,059 Shares repurchased ............. (99,208,180) (72,543,035) ----------- ----------- Net increase (decrease) ..... (37,394,976) 4,376,024 =========== =========== The United States Treasury Trust Direct Shares K Shares ------------------------------- ------------------------------- Year Ended Year Ended Year Ended October 16, 2003* August 31, 2005 August 31, 2004 August 31, 2005 to August 31, 2004 ----------- ----------- ----------- ----------- Shares/Value Shares/Value Shares/Value Shares/Value ----------- ----------- ----------- ----------- Shares sold .................... 58,408,974 61,066,006 2,829,000 1,547,451 Shares issued in reinvestment of distributions ............... 675,688 249,705 23,677 740 ----------- ----------- ----------- ----------- 59,084,662 61,315,711 2,852,677 1,548,191 Shares repurchased ............. (61,306,417) (62,804,178) (1,306,632) (604,624) ----------- ----------- ----------- ----------- Net increase (decrease) ..... (2,221,755) (1,488,467) 1,546,045 943,567 =========== =========== =========== ===========
Short-Term U.S. Government Bond Fund
Direct Shares --------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 617,962 $ 6,185,003 481,018 $ 4,867,152 Shares issued in reinvestment of distributions ............... 31,075 310,145 20,567 207,999 ----------------------------- ----------------------------- 649,037 6,495,148 501,585 5,075,151 Shares repurchased ............. (603,266) (6,037,432) (1,131,001) (11,455,015) ----------------------------- ----------------------------- Net increase (decrease) ..... 45,771 $ 457,716 (629,416) $ (6,379,864) ============================= ============================= K Shares --------------------------------------------------------------- Year Ended October 16, 2003* August 31, 2005 to August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 58,915 $ 589,277 134,312 $ 1,359,505 Shares issued in reinvestment of distributions ............... 2,217 22,140 434 4,388 ----------------------------- ----------------------------- 61,132 611,417 134,746 1,363,893 Shares repurchased ............. (55,341) (552,785) (12,374) (125,462) ----------------------------- ----------------------------- Net increase (decrease) ..... 5,791 $ 58,632 122,372 $ 1,238,431 ============================= =============================
See accompanying notes to financial statements * Commencement of operations (a) Net of redemption fees of $342 49 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------- U.S. Government Securities Fund
Direct Shares --------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 336,278 $ 3,539,744 519,310 $ 5,527,064 Shares issued in reinvestment of distributions ............... 93,062 975,781 92,069 971,074 ----------------------------- ----------------------------- 429,340 4,515,525 611,379 6,498,138 Shares repurchased ............. (638,215) (6,705,485)(a) (1,012,163) (10,666,564) ----------------------------- ----------------------------- Net increase (decrease) ..... (208,875) $ (2,189,960) (400,784) $ (4,168,426) ============================= ============================= K Shares --------------------------------------------------------------- Year Ended October 16, 2003* August 31, 2005 to August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 289,030 $ 3,054,854 168,080 $ 1,774,698 Shares issued in reinvestment of distributions ............... 11,439 120,529 1,864 19,687 ----------------------------- ----------------------------- 300,469 3,175,383 169,944 1,794,385 Shares repurchased ............. (51,476) (543,766) (11,353) (120,511) ----------------------------- ----------------------------- Net increase (decrease) ..... 248,993 $ 2,631,617 158,591 $ 1,673,874 ============================= =============================
S&P 500 Index Fund
Direct Shares --------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 228,945 $ 5,451,938 605,048 $ 13,414,804 Shares issued in reinvestment of distributions ............... 66,663 1,582,799 53,064 1,168,686 ----------------------------- ----------------------------- 295,608 7,034,737 658,112 14,583,490 Shares repurchased ............. (878,422) (20,867,030)(b) (721,895) (16,024,303) ----------------------------- ----------------------------- Net increase (decrease) ..... (582,814) $(13,832,293) (63,783) $ (1,440,813) ============================= ============================= K Shares --------------------------------------------------------------- Year Ended October 16, 2003* August 31, 2005 to August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 110,280 $ 2,599,667 111,723 $ 2,520,819 Shares issued in reinvestment of distributions ............... 1,782 42,835 203 4,657 ----------------------------- ----------------------------- 112,062 2,642,502 111,926 2,525,476 Shares repurchased ............. (25,282) (597,879) (10,848) (242,602) ----------------------------- ----------------------------- Net increase (decrease) ..... 86,780 $ 2,044,623 101,078 $ 2,282,874 ============================= =============================
S&P MidCap Index Fund
Direct Shares --------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- 1,329,401 $ 28,263,071 1,579,147 $ 29,686,218 Shares sold Shares issued in reinvestment of distributions ............... 48,867 1,044,383 35,605 672,431 ----------------------------- ----------------------------- 1,378,268 29,307,454 1,614,752 30,358,649 Shares repurchased ............. (1,117,527) (24,116,552)(c) (1,048,847) (19,578,331) ----------------------------- ----------------------------- Net increase (decrease) ..... 260,741 $ 5,190,902 565,905 $ 10,780,318 ============================= ============================= K Shares --------------------------------------------------------------- Year Ended October 16, 2003* August 31, 2005 to August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- 112,187 $ 2,357,193 136,362 $ 2,636,585 Shares sold Shares issued in reinvestment of distributions ............... 578 12,418 59 1,172 ----------------------------- ----------------------------- 112,765 2,369,611 136,421 2,637,757 Shares repurchased ............. (33,015) (695,747) (7,017) (136,176) ----------------------------- ----------------------------- Net increase (decrease) ..... 79,750 $ 1,673,864 129,404 $ 2,501,581 ============================= =============================
* Commencement of operations (a) Net of redemption fees of $30 (b) Net of redemption fees of $1,911 (c) Net of redemption fees of $956 See accompanying notes to financial statements 50 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------- S&P SmallCap Index Fund
Direct Shares --------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 215,853 $ 3,826,293 355,453 $ 5,543,894 Shares issued in reinvestment of distributions ............... 61,416 1,086,452 15,052 231,361 ----------------------------- ----------------------------- 277,269 4,912,745 370,505 5,775,255 Shares repurchased ............. (314,934) (5,581,158)(a) (379,065) (5,979,330) ----------------------------- ----------------------------- Net increase (decrease) ..... (37,665) $ (668,413) (8,560) $ (204,075) ============================= ============================= K Shares --------------------------------------------------------------- Year Ended October 16, 2003* August 31, 2005 to August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 180,225 $ 3,201,964 176,552 $ 2,833,369 Shares issued in reinvestment of distributions ............... 8,843 155,917 20 312 ----------------------------- ----------------------------- 189,068 3,357,881 176,572 2,833,681 Shares repurchased ............. (41,049) (723,166) (5,888) (95,131) ----------------------------- ----------------------------- Net increase (decrease) ..... 148,019 $ 2,634,715 170,684 $ 2,738,550 ============================= =============================
Equity Income Fund
Direct Shares --------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 348,695 $ 5,284,387 285,655 $ 3,895,111 Shares issued in reinvestment of distributions ............... 15,372 234,049 9,514 128,543 ----------------------------- ----------------------------- 364,067 5,518,436 295,169 4,023,654 Shares repurchased ............. (265,628) (4,028,317)(b) (158,103) (2,170,526) ----------------------------- ----------------------------- Net increase (decrease) ..... 98,439 $ 1,490,119 137,066 $ 1,853,128 ============================= ============================= K Shares --------------------------------------------------------------- Year Ended October 16, 2003* August 31, 2005 to August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 122,841 $ 1,876,427 110,644 $ 1,531,478 Shares issued in reinvestment of distributions ............... 1,649 25,285 67 956 ----------------------------- ----------------------------- 124,490 1,901,712 110,711 1,532,434 Shares repurchased ............. (28,650) (432,184) (6,487) (90,245) ----------------------------- ----------------------------- Net increase (decrease) ..... 95,840 $ 1,469,528 104,224 $ 1,442,189 ============================= =============================
European Growth & Income Fund
Direct Shares --------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 200,192 $ 1,634,738 468,370 $ 3,190,388 Shares issued in reinvestment of distributions ............... 11,452 91,607 10,048 71,466 ----------------------------- ----------------------------- 211,644 1,726,345 478,418 3,261,854 Shares repurchased ............. (178,134) (1,428,679)(c) (470,211) (3,215,473) ----------------------------- ----------------------------- Net increase (decrease) ..... 33,510 $ 297,666 8,207 $ 46,381 ============================= ============================= K Shares --------------------------------------------------------------- Year Ended October 16, 2003* August 31, 2005 to August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 241,874 $ 1,956,833 175,871 $ 1,282,465 Shares issued in reinvestment of distributions ............... 4,300 34,800 860 6,308 ----------------------------- ----------------------------- 246,174 1,991,633 176,731 1,288,773 Shares repurchased ............. (56,580) (455,147) (11,271) (83,982) ----------------------------- ----------------------------- Net increase (decrease) ..... 189,594 $ 1,536,486 165,460 $ 1,204,791 ============================= =============================
* Commencement of operations (a) Net of redemption fees of $83 (b) Net of redemption fees of $24 (c) Net of redemption fees of $46 See accompanying notes to financial statements 51 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------- Nasdaq-100 Index Fund
Direct Shares --------------------------------------------------------------- Year Ended Year Ended August 31, 2005 August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 619,200 $ 2,368,771 1,956,544 $ 7,041,214 Shares issued in reinvestment of distributions ............... 14,943 60,976 -- -- ----------------------------- ----------------------------- 634,143 2,429,747 1,956,544 7,041,214 Shares repurchased ............. (979,336) (3,734,072)(a) (2,189,504) (7,878,485) ----------------------------- ----------------------------- Net increase (decrease) ..... (345,193) $ (1,304,325) (232,960) $ (837,271) ============================= ============================= K Shares --------------------------------------------------------------- Year Ended October 16, 2003* August 31, 2005 to August 31, 2004 ----------------------------- ----------------------------- Shares Value Shares Value ----------------------------- ----------------------------- Shares sold .................... 522,499 $ 2,003,324 514,305 $ 1,877,933 Shares issued in reinvestment of distributions ............... 1,918 7,785 -- -- ----------------------------- ----------------------------- 524,417 2,011,109 514,305 1,877,933 Shares repurchased ............. (140,898) (531,261) (35,479) (131,204) ----------------------------- ----------------------------- Net increase (decrease) ..... 383,519 $ 1,479,848 478,826 $ 1,746,729 ============================= =============================
* Commencement of operations (a) Net of redemption fees of $50 See accompanying notes to financial statements 52 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) -------------------------------------------------------------------------------- California Tax-Free Money Market Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.014 0.005 0.007 0.011 0.026 LESS DISTRIBUTIONS Dividends from net investment income (0.014) (0.005) (0.007) (0.011) (0.026) -------------------------------------------------------------------- Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ==================================================================== Total Return 1.46% 0.54% 0.70% 1.15% 2.66% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 55,785 $ 93,180 $ 88,804 $ 93,371 $ 99,520 Ratio of expenses to average net assets: Before expense reimbursements 0.69% 0.65% 0.65% 0.65% 0.63% After expense reimbursements 0.50% 0.44% 0.43% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 1.22% 0.33% 0.48% 0.90% 2.36% After expense reimbursements 1.41% 0.54% 0.70% 1.15% 2.59%
California Insured Intermediate Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 10.98 $ 10.80 $ 11.22 $ 11.09 $ 10.72 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.34 0.33 0.33 0.39 0.43 Net gain (loss) on securities (both realized and unrealized) (0.17) 0.21 (0.21) 0.27 0.37 -------------------------------------------------------------------- Total from Investment Operations 0.17 0.54 0.12 0.66 0.80 -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.34) (0.33) (0.33) (0.39) (0.43) Distributions from capital gains (0.02) (0.03) (0.21) (0.14) -- -------------------------------------------------------------------- Total distributions (0.36) (0.36) (0.54) (0.53) (0.43) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 10.79 $ 10.98 $ 10.80 $ 11.22 $ 11.09 ==================================================================== Total Return 1.58% 5.06% 1.03% 6.17% 7.66% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 22,066 $ 26,353 $ 27,906 $ 27,105 $ 22,949 Ratio of expenses to average net assets: Before expense reimbursements 0.78% 0.71% 0.71% 0.72% 0.71% After expense reimbursements 0.65% 0.59% 0.58% 0.55% 0.55% Ratio of net investment income to average net assets Before expense reimbursements 2.95% 2.85% 2.83% 3.43% 3.82% After expense reimbursements 3.08% 2.97% 2.96% 3.60% 3.98% Portfolio Turnover 9.18% 21.62% 22.45% 29.28% 24.35%
(a) Less than $0.01 per share See accompanying notes to financial statements 53 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) (CONTINUED) -------------------------------------------------------------------------------- California Tax-Free Income Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 12.78 $ 12.66 $ 13.24 $ 13.17 $ 12.75 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.50 0.50 0.50 0.52 0.55 Net gain (loss) on securities (both realized and unrealized) (0.13) 0.22 (0.42) 0.18 0.44 -------------------------------------------------------------------- Total from Investment Operations 0.37 0.72 0.08 0.70 0.99 -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.51) (0.50) (0.50) (0.52) (0.56) Distributions from capital gains (0.23) (0.10) (0.16) (0.11) (0.01) -------------------------------------------------------------------- Total distributions (0.74) (0.60) (0.66) (0.63) (0.57) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 12.41 $ 12.78 $ 12.66 $ 13.24 $ 13.17 ==================================================================== Total Return 2.96% 5.82% 0.61% 5.55% 7.98% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $142,125 $158,327 $172,488 $206,909 $201,286 Ratio of expenses to average net assets: Before expense reimbursements 0.66% 0.62% 0.61% 0.61% 0.63% Ratio of net investment income to average net assets Before expense reimbursements 4.05% 3.86% 3.82% 4.11% 4.30% Portfolio Turnover 31.95% 11.64% 1.44% 22.94% 28.96%
(a) Less than $0.01 per share See accompanying notes to financial statements 54 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- U.S. Government Securities Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 10.60 $ 10.56 $ 10.73 $ 10.77 $ 10.33 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.37 0.35 0.35 0.50 0.58 Net gain (loss) on securities (both realized and unrealized) (0.00)(a) 0.09 (0.08) 0.19 0.42 Total from Investment Operations 0.37 0.44 0.27 0.69 1.00 LESS DISTRIBUTIONS Dividends from net investment income (0.37) (0.32) (0.44) (0.59) (0.56) Distributions from capital gains (0.09) (0.08) -- (0.14) -- -------------------------------------------------------------------- Total distributions (0.46) (0.40) (0.44) (0.73) (0.56) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 10.51 $ 10.60 $ 10.56 $ 10.73 $ 10.77 ==================================================================== Total Return 3.60% 4.23% 2.52% 6.65% 9.94% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 25,024 $ 27,454 $ 31,585 $ 33,275 $ 27,265 Ratio of expenses to average net assets: Before expense reimbursements 0.79% 0.75% 0.71% 0.71% 0.71% After expense reimbursements 0.71% 0.65% 0.65% 0.65% 0.65% Ratio of net investment income to average net assets Before expense reimbursements 3.46% 2.92% 3.22% 4.59% 5.32% After expense reimbursements 3.54% 3.02% 3.28% 4.65% 5.38% Portfolio Turnover 39.85% 103.98% 39.29% 150.35% 209.58%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 10.65 $ 10.55 ----------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.31 0.23 Net gain (loss) on securities (both realized and unrealized) 0.01 0.15 ----------------------------- Total from Investment Operations 0.32 0.38 ----------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.31) (0.20) Distributions from capital gains (0.09) (0.08) ----------------------------- Total distributions (0.40) (0.28) ----------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A ----------------------------- Net asset value, end of period $ 10.57 $ 10.65 ============================= Total Return 3.07% 3.66% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 4,308 $ 1,689 Ratio of expenses to average net assets: Before expense reimbursements 1.30% 1.25%** After expense reimbursements 1.22% 1.15%** Ratio of net investment income to average net assets Before expense reimbursements 2.95% 2.42%** After expense reimbursements 3.03% 2.52%** Portfolio Turnover 39.85% 103.98%
* Commencement of operations. ** Annualized. (a) Less than $0.01 per share See accompanying notes to financial statements 55 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- The United States Treasury Trust
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.017 0.006 0.008 0.017 0.047 LESS DISTRIBUTIONS Dividends from net investment income (0.017) (0.006) (0.008) (0.017) (0.047) -------------------------------------------------------------------- Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ==================================================================== Total Return 1.72% 0.63% 0.86% 1.70% 4.87% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 36,919 $ 39,143 $ 40,635 $ 51,013 $ 59,760 Ratio of expenses to average net assets: Before expense reimbursements 0.74% 0.71% 0.70% 0.67% 0.65% After expense reimbursements 0.48% 0.36% 0.42% 0.42% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 1.59% 0.28% 0.56% 1.45% 4.48% After expense reimbursements 1.85% 0.63% 0.84% 1.70% 4.73%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 1.000 $ 1.000 ----------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.012 0.001 LESS DISTRIBUTIONS Dividends from net investment income (0.012) (0.001) ----------------------------- Net asset value, end of period $ 1.000 $ 1.000 ============================= Total Return 1.22% 0.12% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 2,490 $ 944 Ratio of expenses to average net assets: Before expense reimbursements 1.25% 1.21%** After expense reimbursements 0.99% 0.86%** Ratio of net investment income to average net assets Before expense reimbursements 1.08% (0.22)%** After expense reimbursements 1.34% 0.13%**
* Commencement of operations. ** Annualized. See accompanying notes to financial statements 56 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- Short-Term U.S. Government Bond Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 10.09 $ 10.11 $ 10.17 $ 10.24 $ 10.05 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.21 0.11 0.18 0.30 0.53 Net gain on securities (both realized and unrealized) (0.13) -- (0.06) 0.09 0.21 -------------------------------------------------------------------- Total from Investment Operations 0.08 0.11 0.12 0.39 0.74 -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.21) (0.12) (0.18) (0.30) (0.55) Distributions from capital gains (0.00)(a) (0.01) -- (0.16) (0.00) -------------------------------------------------------------------- Total distributions (0.21) (0.13) (0.18) (0.46) (0.55) -------------------------------------------------------------------- Net asset value, end of year $ 9.96 $ 10.09 $ 10.11 $ 10.17 $ 10.24 ==================================================================== Total Return 0.82% 1.06% 1.17% 3.90% 7.58% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 15,354 $ 15,098 $ 21,500 $ 10,942 $ 11,623 Ratio of expenses to average net assets: Before expense reimbursements 0.85% 0.80% 0.80% 0.82% 0.86% After expense reimbursements 0.56% 0.50% 0.49% 0.43% 0.30% Ratio of net investment income to average net assets Before expense reimbursements 1.77% 0.85% 1.35% 2.57% 4.63% After expense reimbursements 2.06% 1.15% 1.66% 2.96% 5.19% Portfolio Turnover 159.11% 62.58% 74.45% 119.61% 64.56%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 10.10 $ 10.12 ----------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.15 0.05 Net gain on securities (both realized and unrealized) (0.14) (0.01) ----------------------------- Total from Investment Operations 0.01 0.04 ----------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.15) (0.05) Distributions from capital gains (0.00)(a) (0.01) ----------------------------- Total distributions (0.15) (0.06) ----------------------------- Net asset value, end of period $ 9.96 $ 10.10 ============================= Total Return 0.20% 0.41% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 1,277 $ 1,235 Ratio of expenses to average net assets: Before expense reimbursements 1.35% 1.30%** After expense reimbursements 1.06% 1.00%** Ratio of net investment income to average net assets Before expense reimbursements 1.27% 0.35%** After expense reimbursements 1.56% 0.65%** Portfolio Turnover 159.11% 62.58%
* Commencement of operations. ** Annualized. (a) Less than $0.01 per share See accompanying notes to financial statements 57 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- S&P 500 Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 22.32 $ 20.36 $ 18.48 $ 22.79 $ 30.84 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.44 0.32 0.29 0.29 0.34 Net gain (loss) on securities (both realized and unrealized) 2.29 1.95 1.89 (4.31) (7.64) -------------------------------------------------------------------- Total from Investment Operations 2.73 2.27 2.18 (4.02) (7.30) -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.44) (0.31) (0.30) (0.29) (0.34) Distributions from capital gains -- -- -- -- (0.41) -------------------------------------------------------------------- Total distributions (0.44) (0.31) (0.30) (0.29) (0.75) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 24.61 $ 22.32 $ 20.36 $ 18.48 $ 22.79 ==================================================================== Total Return 12.31% 11.16% 12.03% (17.83)% (23.93)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $102,899 $106,305 $ 98,264 $ 93,961 $141,390 Ratio of expenses to average net assets: Before expense reimbursements 0.46% 0.43% 0.45% 0.41% 0.39% After expense reimbursements 0.33% 0.27% 0.25% 0.20% 0.20% Ratio of net investment income to average net assets Before expense reimbursements 1.35% 1.27% 1.35% 1.30% 1.16% After expense reimbursements 1.48% 1.43% 1.55% 1.51% 1.35% Portfolio Turnover 3.36% 2.00% 3.63% 31.12% 6.26%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 22.37 $ 21.17 ----------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.29 0.12 Net gain (loss) on securities (both realized and unrealized) 2.33 1.16 ----------------------------- Total from Investment Operations 2.62 1.28 ----------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.29) (0.08) Distributions from capital gains -- -- ----------------------------- Total distributions (0.29) (0.08) ----------------------------- Paid in capital from redemption fee (Note 1) (0.00) N/A ----------------------------- Net asset value, end of period $ 24.70 $ 22.37 ============================= Total Return 11.77% 6.05% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 4,641 $ 2,261 Ratio of expenses to average net assets: Before expense reimbursements 0.97% 0.93%** After expense reimbursements 0.84% 0.77%** Ratio of net investment income to average net assets Before expense reimbursements 0.84% 0.77%** After expense reimbursements 0.97% 0.93%** Portfolio Turnover 3.36% 2.00%
* Commencement of operations. ** Annualized. (a) Less than $0.01 per share See accompanying notes to financial statements 58 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- S&P MidCap Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 19.00 $ 17.01 $ 14.60 $ 16.18 $ 20.75 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.18 0.13 0.12 0.05 0.17 Net gain (loss) on securities (both realized and unrealized) 4.34 1.98 2.41 (1.54) (1.66) -------------------------------------------------------------------- Total from Investment Operations 4.52 2.11 2.53 (1.49) (1.49) -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.18) (0.12) (0.12) (0.03) (0.18) Distributions from capital gains -- -- -- (0.06) (2.90) -------------------------------------------------------------------- Total distributions (0.18) (0.12) (0.12) (0.09) (3.08) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 23.34 $ 19.00 $ 17.01 $ 14.60 $ 16.18 ==================================================================== Total Return 23.87% 12.44% 17.46% (8.77)% (6.56)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $161,655 $126,678 $103,771 $ 96,590 $ 83,293 Ratio of expenses to average net assets: Before expense reimbursements 0.59% 0.58% 0.58% 0.58% 0.56% After expense reimbursements 0.55% 0.49% 0.46% 0.40% 0.40% Ratio of net investment income to average net assets Before expense reimbursements 0.80% 0.60% 0.66% 0.78% 0.84% After expense reimbursements 0.84% 0.69% 0.78% 0.96% 1.00% Portfolio Turnover 18.07% 12.75% 8.33% 21.73% 39.41%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 19.00 $ 17.78 ----------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.07 0.05 Net gain (loss) on securities (both realized and unrealized) 4.34 1.19 ----------------------------- Total from Investment Operations 4.41 1.24 ----------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.07) (0.02) Distributions from capital gains -- -- ----------------------------- Total distributions (0.07) (0.02) ----------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A ----------------------------- Net asset value, end of period $ 23.34 $ 19.00 ============================= Total Return 23.26% 6.96% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 4,881 $ 2,459 Ratio of expenses to average net assets: Before expense reimbursements 1.09% 1.08%** After expense reimbursements 1.05% 0.99%** Ratio of net investment income to average net assets Before expense reimbursements 0.30% 0.10%** After expense reimbursements 0.34% 0.19%** Portfolio Turnover 18.07% 12.75%
* Commencement of operations. ** Annualized. (a) Less than $0.01 per share See accompanying notes to financial statements 59 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- S&P SmallCap Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 15.85 $ 14.07 $ 11.60 $ 12.89 $ 14.09 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.09 0.04 0.03 0.03 0.11 Net gain (loss) on securities (both realized and unrealized) 3.99 1.92 2.51 (1.28) (0.55) -------------------------------------------------------------------- Total from Investment Operations 4.08 1.96 2.54 (1.25) (0.44) -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.09) (0.04) (0.03) (0.04) (0.12) Distributions from capital gains (0.76) (0.14) (0.04) -- (0.64) -------------------------------------------------------------------- Total distributions (0.85) (0.18) (0.07) (0.04) (0.76) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 19.08 $ 15.85 $ 14.07 $ 11.60 $ 12.89 ==================================================================== Total Return 26.17% 13.93% 22.04% (9.69)% (2.59)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 24,250 $ 20,742 $ 18,526 $ 15,813 $ 14,226 Ratio of expenses to average net assets: Before expense reimbursements 0.86% 0.82% 0.88% 0.88% 0.92% After expense reimbursements 0.71% 0.65% 0.65% 0.65% 0.65% Ratio of net investment income to average net assets Before expense reimbursements 0.37% 0.09% 0.08% 0.00% 0.54% After expense reimbursements 0.52% 0.26% 0.31% 0.23% 0.81% Portfolio Turnover 7.25% 14.60% 16.51% 17.64% 41.91%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 15.82 $ 14.78 ----------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.01 (0.01) Net gain (loss) on securities (both realized and unrealized) 3.97 1.19 ----------------------------- Total from Investment Operations 3.98 1.18 ----------------------------- LESS DISTRIBUTIONS Dividends from net investment income -- -- Distributions from capital gains (0.76) (0.14) ----------------------------- Total distributions (0.76) (0.14) ----------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A ----------------------------- Net asset value, end of period $ 19.04 $ 15.82 ============================= Total Return 25.53% 7.99% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 6,070 $ 2,700 Ratio of expenses to average net assets: Before expense reimbursements 1.36% 1.32%** After expense reimbursements 1.21% 1.15%** Ratio of net investment income to average net assets Before expense reimbursements (0.13)% (0.41)%** After expense reimbursements 0.02% (0.24)%** Portfolio Turnover 7.25% 14.60%
* Commencement of operations. ** Annualized. (a) Less than $0.01 per share See accompanying notes to financial statements 60 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- Equity Income Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 14.07 $ 12.32 $ 11.38 $ 12.21 $ 14.81 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.26 0.20 0.15 0.17 0.28 Net gain (loss) on securities (both realized and unrealized) 2.05 1.70 0.94 (0.83) (2.46) -------------------------------------------------------------------- Total from Investment Operations 2.31 1.90 1.09 (0.66) (2.18) -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.26) (0.15) (0.15) (0.17) (0.39) Distributions from capital gains -- -- -- -- (0.03) -------------------------------------------------------------------- Total distributions (0.26) (0.15) (0.15) (0.17) (0.42) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 16.12 $ 14.07 $ 12.32 $ 11.38 $ 12.21 ==================================================================== Total Return 16.51% 15.51% 9.77% (5.46)% (14.94)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year (in 000's) $ 16,641 $ 13,137 $ 9,818 $ 8,261 $ 8,794 Ratio of expenses to average net assets: Before expense reimbursements 0.87% 0.90% 0.95% 0.91% 0.94% After expense reimbursements 0.85% 0.80% 0.80% 0.80% 0.80% Ratio of net investment income to average net assets Before expense reimbursements 1.70% 1.04% 1.24% 1.33% 1.96% After expense reimbursements 1.72% 1.14% 1.39% 1.44% 2.10% Portfolio Turnover 3.25% 14.43% 30.01% 69.43% 73.50%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 14.10 $ 12.90 ----------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.18 0.01 Net gain (loss) on securities (both realized and unrealized) 2.07 1.21 ----------------------------- Total from Investment Operations 2.25 1.22 ----------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.18) (0.02) Distributions from capital gains -- -- ----------------------------- Total distributions (0.18) (0.02) ----------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A ----------------------------- Net asset value, end of period $ 16.17 $ 14.10 ============================= Total Return 16.00% 9.47% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 3,234 $ 1,470 Ratio of expenses to average net assets: Before expense reimbursements 1.37% 1.40%** After expense reimbursements 1.35% 1.30%** Ratio of net investment income to average net assets Before expense reimbursements 1.20% 0.54%** After expense reimbursements 1.22% 0.64%** Portfolio Turnover 3.25% 14.43%
* Commencement of operations. ** Annualized. (a) Less than $0.01 per share See accompanying notes to financial statements 61 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- European Growth & Income Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of period $ 7.10 $ 6.18 $ 5.80 $ 7.13 $ 9.59 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.15 0.16 0.11 0.10 0.08 Net loss on securities (both realized and unrealized) 1.48 0.89 0.35 (1.34) (2.46) -------------------------------------------------------------------- Total from Investment Operations 1.63 1.05 0.46 (1.24) (2.38) -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.16) (0.13) (0.08) (0.09) (0.08) Distributions from capital gains -- -- -- -- -- -------------------------------------------------------------------- Total distributions (0.16) (0.13) (0.08) (0.09) (0.08) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 8.57 $ 7.10 $ 6.18 $ 5.80 $ 7.13 ==================================================================== Total Return 23.15% 17.04% 8.17% (17.50)% (24.87)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 5,024 $ 3,923 $ 3,364 $ 2,357 $ 2,106 Ratio of expenses to average net assets: Before expense reimbursements 1.55% 1.72% 1.99% 1.99% 2.17% After expense reimbursements 0.98% 0.95% 0.95% 0.95% 0.95% Ratio of net investment income to average net assets Before expense reimbursements 1.41% 1.17% 0.83% 0.30% (0.18)% After expense reimbursements 1.98% 1.94% 1.87% 1.34% 1.04% Portfolio Turnover 1.47% 2.01% 0.00% 9.70% 19.75%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 7.11 $ 6.61 ----------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income 0.10 0.08 Net loss on securities (both realized and unrealized) 1.51 0.48 ----------------------------- Total from Investment Operations 1.61 0.56 ----------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.12) (0.06) Distributions from capital gains -- -- ----------------------------- Total distributions (0.12) (0.06) ----------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A ----------------------------- Net asset value, end of period $ 8.60 $ 7.11 ============================= Total Return 22.78% 8.43% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 3,052 $ 1,177 Ratio of expenses to average net assets: Before expense reimbursements 2.07% 2.22%** After expense reimbursements 1.50% 1.45%** Ratio of net investment income to average net assets Before expense reimbursements 0.89% 0.67%** After expense reimbursements 1.46% 1.44%** Portfolio Turnover 1.47% 2.01%
* Commencement of operations. ** Annualized. (a) Less than $0.01 per share See accompanying notes to financial statements 62 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED) -------------------------------------------------------------------------------- Nasdaq-100 Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, DIRECT SHARES 2005 2004 2003 2002 2001 -------------------------------------------------------------------- Net asset value, beginning of year $ 3.46 $ 3.41 $ 2.41 $ 3.75 $ 10.67 -------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net Investment Income (loss) 0.03 (0.01) (0.01) - (a) 0.05 Net gain (loss) on securities (both realized and unrealized) 0.51 0.06 1.01 (1.33) (6.84) -------------------------------------------------------------------- Total from Investment Operations 0.54 0.05 1.00 (1.33) (6.79) -------------------------------------------------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.02) -- -- (0.01) (0.08) Distributions from capital gains -- -- -- -- (0.05) -------------------------------------------------------------------- Total distributions (0.02) -- -- (0.01) (0.13) -------------------------------------------------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A N/A N/A N/A -------------------------------------------------------------------- Net asset value, end of year $ 3.98 $ 3.46 $ 3.41 $ 2.41 $ 3.75 ==================================================================== Total Return 15.47% 1.47% 41.49% (35.61)% (64.26)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of year ( in 000's) $ 15,161 $ 14,349 $ 14,928 $ 9,191 $ 11,390 Ratio of expenses to average net assets: Before expense reimbursements 0.95% 0.91% 1.05% 0.99% 0.90% After expense reimbursements 0.71% 0.65% 0.65% 0.64% 0.65% Ratio of net investment income to average net assets Before expense reimbursements 0.41% (0.62)% (0.80)% (0.45)% 0.14% After expense reimbursements 0.65% (0.36)% (0.40)% (0.10)% 0.39% Portfolio Turnover 9.94% 8.82% 8.64% 4.18% 13.82%
Year Ended October 16, 2003* August 31, to August 31, K SHARES 2005 2004 ----------------------------- Net asset value, beginning of period $ 3.45 $ 3.62 INCOME FROM INVESTMENT OPERATIONS Net Investment Income (loss) -- (0.01) Net gain (loss) on securities (both realized and unrealized) 0.52 (0.16) ----------------------------- Total from Investment Operations 0.52 (0.17) ----------------------------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) -- Distributions from capital gains -- -- ----------------------------- Total distributions (0.01) -- ----------------------------- Paid in capital from redemption fee (Note 1) (0.00)(a) N/A ----------------------------- Net asset value, end of period $ 3.96 $ 3.45 ============================= Total Return 15.13% (4.70)% RATIOS/SUPPLEMENTAL DATA Net Assets, end of period ( in 000's) $ 3,417 $ 1,651 Ratio of expenses to average net assets: Before expense reimbursements 1.46% 1.41%** After expense reimbursements 1.22% 1.15%** Ratio of net investment income to average net assets Before expense reimbursements (0.10)% (1.12)%** After expense reimbursements 0.14% (0.86)%** Portfolio Turnover 9.94% 8.82%
* Commencement of operations. ** Annualized. (a) Less than $0.01 per share See accompanying notes to financial statements 63 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2005 TRUST STATEMENTS -------------------------------------------------------------------------------- Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES California Tax-Free Money Market Fund, California Tax-Free Income Fund and California Insured Intermediate Fund are separate series of shares of beneficial interest of California Investment Trust. U.S. Government Securities Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate series of shares of beneficial interest of California Investment Trust II. Both Trusts are registered under the Investment Company Act of 1940, as amended, as diversified open-end management investment companies. Both Trusts were organized as Massachusetts business trusts on September 11, 1985 and are authorized to issue an unlimited number of no par value shares in one or more series. The investment objectives of the Funds are as follows: California Tax-Free Income Fund and California Insured Intermediate Fund seek as high a level of income exempt from federal and California personal income taxes as is consistent with prudent investment management and safety of capital. California Tax-Free Money Market Fund seeks capital preservation, liquidity and the highest achievable current income exempt from both federal and California personal income taxes consistent with safety. U.S. Government Securities Fund seeks safety from credit risk, liquidity, and as high a level of income as is consistent with these objectives by investment in full faith and credit obligations of the U.S. Government and its agencies or instrumentalities. The United States Treasury Trust seeks preservation of capital, safety, liquidity and consistent with these objectives, the highest attainable current income exempt from state income taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are diversified mutual funds that seek to provide investment results that correspond to the total return of publicly traded common stocks represented in the Standard & Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income Fund seeks a high level of income and capital appreciation (when consistent with high income) by investing primarily in income-producing U.S. equity securities. European Growth & Income Fund seeks to provide long-term capital appreciation and income. By investing in large-sized European companies Nasdaq-100 Index Fund attempts to replicate the performance of the largest non-financial companies as measured by the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund seeks liquidity, safety from credit risk, preservation of investors principal and has a high level of income as is consistent with these objectives by investing in mainly U.S. government securities. The following is a summary of significant accounting policies followed by the Funds. California Investment Trust II began offering an additional class of shares, Class K, on October 16, 2003. Income and expenses of the Funds are allocated proportionately to the two classes of shares offered based on the daily net assets, except for Rule 12b-1 distribution fees and shareholder service fees, which are charged only to K Shares. (a) Security Valuation --- Portfolio securities of the S&P 500, S&P MidCap and S&P SmallCap Index Funds, Equity Income Fund, European Growth & Income Fund, and Nasdaq-100 Index Fund listed on a national exchange are valued at the last reported sales price. U.S. Treasury Bills are valued at amortized cost which approximates market value. Portfolio securities of the California Tax-Free Income Fund and the California Insured Intermediate Fund are valued by an independent pricing service that uses market quotations, representing the latest available bid price, prices provided by market makers, or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics, in accordance with procedures established by the Board of Trustees. The U.S. Government Securities Fund and the Short-Term U.S. Government Bond Fund are valued by an independent pricing service that uses market quotations representing the latest available mean between the bid and ask price, prices provided by market makers or estimates of market value obtained from yield data relating to instruments or securities with similar characteristics. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. All other securities are valued at their fair value as determined in good faith by the Funds' ("Board of Trustees"). California Tax-Free Money Market Fund and The United States Treasury Trust securities are valued at amortized cost which the Board of Trustees has determined in good faith to constitute fair value. (b) Futures Contracts --- Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash, as collateral, for the account of the broker (a Fund's agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts. (c) Federal Income Taxes --- No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders. Capital loss carry forwards, as of August 31, 2005, available to offset future capital gains, if any, are as follows:
U.S. Govt. Short Term European Expiring Tax Free MM Securities Govt. Bond Fund S&P 500 Growth & Income Nasdaq-100 -------------------------------------------------------------------------------------------------------------------- 2007 -- -- -- -- 806 -- 2008 -- -- -- -- 53,456 537,333 2009 -- -- -- 6,120,424 40,585 2,356,290 2010 -- -- -- -- -- -- 2011 -- -- -- 2,790,405 104,291 3,015,439 2012 3,258 -- -- -- 2,426 1,963,355 2013 -- 19,438 15,901 -- 59,164 2,084,713 -------------------------------------------------------------------------------------------------------------------- Total 3,258 19,438 15,901 8,910,829 260,728 9,957,130 ====================================================================================================================
64 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2005 TRUST STATEMENTS CONTINUED -------------------------------------------------------------------------------- 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, 2005, 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) Undistributed Net Accumulated Paid-in capital Investment Income (Loss) Gain/(Loss) --------------- ------------------------ ----------- California Insured Intermediate Fund -- (3,152) 3,152 California Tax-Free Income Fund -- (130,323) 130,323 U.S. Government Securities Fund 11 (4) (7) The United States Treasury Trust (105) 105 -- Short-Term U.S. Government Bond Fund (8) -- 8 Equity Income Fund 5,116 (5,116) --
(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. (g) Share Valuations --- The net asset value ("NAV") per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund, rounded to the nearest cent. A Fund's shares will not be priced on the days on which the NYSE is closed for trading. Bond and Money Market Funds are closed on Columbus Day(observed) and Veteran's Day (observed)The offering and redemption price per share of each Fund is equal to a Fund's net asset value per share. Shares of certain funds were charged a 1% redemption fee on shares redeemed or exchanged within one month of purchase. These fees were deducted from the redemption proceeds otherwise payable to the shareholder. Each Fund retained the fee charged as paid-in capital and such fees became part of that Fund's daily NAV calculation. The redemption fee was established January 1, 2005. Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS CCM Partners ("CCM"), a California limited partnership, provides each Fund with management and administrative services pursuant to a Management Agreement. In accordance with the terms of the management agreements with California Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust, CCM receives compensation at the annual rate of 0.50% of the Funds' average daily net assets not exceeding $100 million, 0.45% on net assets from $100 million to $500 million, and 0.40% on net assets above $500 million. In accordance with the terms of the management agreements with the S&P 500 Index Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of 0.25% and 0.40%, respectively, of the Funds' average daily net assets. In accordance with the terms of the management agreements with the S&P SmallCap Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund, CCM receives compensation at the annual rate of 0.50% of the first $500 million of net assets, plus 0.45% on net assets from $500 million to $1 billion, and 0.40% of net assets above $1 billion. In accordance with the terms of the management agreement with the European Growth & Income Fund, CCM receives compensation at the annual rate of 0.85% of the Fund's average daily net assets. CCM has agreed to reduce its fee by, or reimburse the respective Funds for, any amount necessary to prevent a Fund's total expenses, excluding extraordinary items, from exceeding 1.00% of that Fund's average daily net assets. CCM has voluntarily reimbursed more expenses than contractually obligated. This voluntary reimbursement is effective for a calendar year, renewal at the end of each calendar year and is not subject to recoupment. Reimbursement from the manager for the year ended August 31, 2005, is as follows:
Voluntary Expense Limitation Direct Shares K Shares Fund Reimburse 9/1/04-1/3/05 Beginning 1/4/05 9/1/04-1/3/05 Beginning 1/4/05 Expiration ---- --------- ------------- ---------------- ------------- ---------------- ---------- California Tax-Free Money Market Fund $ 148,649 0.44% 0.53% N/A N/A 12/31/05 California Insured Intermediate Fund $ 32,208 0.59% 0.68% N/A N/A 12/31/05 Short-Term U.S. Government Bond Fund $ 23,631 0.50% 0.59% 1.00% 1.09% 12/31/05 U.S. Government Securities Fund $ 111,758 0.65% 0.74% 1.15% 1.24% 12/31/05 The United States Treasury Trust $ 48,289 0.44% 0.53% 0.94% 1.03% 12/31/05 S&P 500 Index Fund $ 149,088 0.27% 0.36% 0.77% 0.86% 12/31/05 S&P MidCap Index Fund $ 56,893 0.49% 0.58% 0.99% 1.08% 12/31/05 S&P SmallCap Index Fund $ 42,321 0.65% 0.74% 1.15% 1.24% 12/31/05 Equity Income Fund $ 2,762 0.80% 0.89% 1.30% 1.39% 12/31/05 European Growth & Income Fund $ 38,812 0.95% 1.00% 1.45% 1.50% 12/31/05 Nasdaq-100 Index Fund $ 43,017 0.65% 0.74% 1.15% 1.24% 12/31/05
65 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. Certain officers and trustees of the Trusts are also partners of CCM. Michael O'Callaghan has served as the Chief Compliance Officer ("CCO") of the Trusts since August 2004. Mr. O'Callaghan is also employed by CCM Partners, the Advisor and Administrator to the Trusts. The Trusts are responsible for the portion of his salary allocated to his duties as the CCO of the Trusts and CCM Partners is reimbursed for this portion of his salary. The level of reimbursement is reviewed and determined by the Trustees at least annually. California Investment Trust II has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby each Fund of California Investment Trust II pays the Distributor for expenses that relate to the promotion and distribution of shares. Under the Plan, the Funds will pay the Distributor a fee at an annual rate of 0.25%, payable monthly, of each Fund's daily net assets attributable to such Fund's Class K Shares. California Investment Trust II has adopted a Shareholder Services Plan (the "Services Plan"), whereby each Fund of California Investment Trust II pays CCM Partners, LP, the Funds' Distributor or other service providers, an annual rate of 0.25% of the average daily net assets of Class K Shares. Such amounts are compensation for providing certain services to clients owning Class K shares, including processing purchase and redemption transactions, assisting in other administrative details and providing other information with respect to each Fund. For the year ended August 31, 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 ....... $ 7,999 $ 7,999 The United States Treasury Trust ...... $ 4,192 $ 4,192 Short-Term U.S. Government Bond Fund .. $ 3,444 $ 3,444 S&P 500 Index Fund .................... $ 9,118 $ 9,118 S&P Midcap Index Fund ................. $ 9,448 $ 9,448 S&P SmallCap Index Fund ............... $11,083 $11,083 Equity Income Fund .................... $ 5,747 $ 5,747 European Growth & Income Fund ......... $ 5,405 $ 5,405 Nasdaq-100 Index Fund ................. $ 6,375 $ 6,375 Note 3 --- PURCHASES AND SALES OF SECURITIES Purchases and sales of securities other than short-term investments during the year ended August 31, 2005 were as follows: Purchases Sales --------- ----- California Tax-Free Income Fund ....... $44,051,648 $44,890,723 California Insured Intermediate Fund .. $ 2,127,635 $ 4,674,456 Short-Term U.S. Government Bond Fund .. $26,713,029 $24,214,801 U.S. Government Securities Fund ....... $10,040,897 $11,234,404 S&P 500 Index Fund .................... $ 3,681,397 $17,960,356 S&P Midcap Index Fund ................. $38,197,574 $26,363,879 Equity Income Fund .................... $ 2,565,202 $ 1,857,232 S&P SmallCap Index Fund ............... $ 4,509,830 $ 499,857 European Growth & Income Fund ......... $ 1,870,440 $ 95,062 Nasdaq-100 Index Fund ................. $ 1,917,392 $ 1,714,621 66 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2005 TRUST STATEMENTS CONTINUED -------------------------------------------------------------------------------- Note 4 The tax character of distributions paid during the years ended August 31, 2005 and 2004 were as follows:
Ordinary Long-Term Exempt-Interest Total Income Capital Gains Dividends Distributions California Tax-Free Money Market Fund 2005 -- -- 1,062,279 1,062,279 2004 -- -- 461,912 461,912 California Insured Intermediate Fund 2005 -- 54,421 759,043 813,464 2004 10,062 68,620 835,074 913,756 California Tax Free Income Fund 2005 -- 2,641,599 5,919,149 8,560,748 2004 142,398 1,242,840 6,615,271 8,000,509 U.S. Government Securities Fund 2005 1,023,984 245,911 -- 1,269,895 2004 979,427 163,988 -- 1,143,415 The United States Treasury Trust 2005 777,049 -- -- 777,049 2004 260,901 -- -- 260,901 Short Term U.S. Government Bond Fund 2005 341,703 6,624 -- 348,327 2004 221,710 -- -- 221,710 S&P 500 Index Fund 2005 2,025,865 -- -- 2,025,865 2004 1,494,851 -- -- 1,494,851 S&P MidCap Index Fund 2005 1,241,578 -- -- 1,241,578 2004 788,031 -- -- 788,031 S&P Small Cap Index Fund 2005 222,097 1,041,049 -- 1,263,146 2004 109,483 125,962 -- 235,445 Equity Income Fund 2005 277,269 -- -- 277,269 2004 134,677 -- -- 134,677 European Growth & Income Fund 2005 127,879 -- -- 127,879 2004 78,858 -- -- 78,858 Nasdaq-100 Index Fund 2005 69,372 -- -- 69,372 2004 -- -- -- --
67 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2005 TRUST STATEMENTS CONTINUED -------------------------------------------------------------------------------- The tax character of distributable earnings at August 31, 2005 were as follows:
Undistributed Undistributed Capital Unrealized Post Total Ordinary Long Term Loss Carry Appreciation October Distributable Income Capital Gain Forwards (Depreciation) Losses** Earnings California Tax-Free Money Market Fund -- -- (3,258) -- -- (3,258) California Insured Intermediate Fund -- 250,930 -- 464,002 -- 714,932 California Tax Free Income Fund 104,090 2,858,661 -- 10,656,592 -- 13,619,343 U.S. Government Securities Fund 2,997 -- (19,438) 333,336 (209,735) 107,160 The United States Treasury Trust 105 -- -- -- (2,708) (2,603) Short Term U.S. Government Bond Fund 700 -- (15,901) (48,068) (176,191) (239,460) S&P 500 Index Fund 263,477 -- (8,910,829) 22,797,760 (441,753) 13,708,655 S&P MidCap Index Fund 170,489 10,381,783 -- 42,274,380 -- 52,826,652 S&P Small Cap Index Fund 109,902 1,148,718 -- 8,731,259 -- 9,989,879 Equity Income Fund 42,664 433,755 -- 3,808,732 -- 4,285,151 European Growth & Income Fund 16,444 -- (260,728) 978,200 (9,717) 724,199 Nasdaq-100 Index Fund 33,047 -- (9,957,130) (1,980,379) (133,695) (12,038,157)
The difference between book basis and tax basis unrealized appreciation is attributable primarily to the realization for tax purposes of unrealized gains on future contracts, wash sales, and other deferrals. ** Under the current tax law, capital losses realized after October 31 and prior to the Funds' fiscal year end may be deferred as occuring on the first day of the following fiscal year. -------------------------------------------------------------------------------- (UNAUDITED) Fund Holdings: The Fund holdings shown in this report are as of August 31, 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 will be filed for the quarter ending November 30, 2004. The Funds' Form N-Q will be available on the SEC's web-site at www.sec.gov and may be reviewed and copied at the Commission's Public Reference Room to Washington, DC. Information on the operation of the Public Reference Room may be obtained the information filed in the form N-Q copies of which may be obtained by visiting the Funds' website at www.caltrust.com or by calling 1(800) 225-8778. Proxy Voting Record: The Funds' Statement of Additional Information ("SAI") containing a description of the policies and procedures that the California Investment Trust Fund Group uses to determine how to vote proxies relating to portfolio securities, along with each Fund's proxy voting record relating to portfolio securities held during the 12-month period ended June 30, 2005, is available upon request, at no charge, at the phone number and website below or on the SEC's website at www.sec.gov. This report is submitted for the general information of the shareholders of the California Investment Trust Fund Group. It is authorized for distribution only if preceded or accompanied by a current California Investment Trust Fund Group prospectus. Additional copies of the prospectus may be obtained by calling (800) 225-8778 or can be downloaded from the Funds' website at www.caltrust.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. 68 Report of Independent Registered Public Accounting Firm To the Shareholders and Board of Trustees California Investment Trust California Investment Trust II We have audited the accompanying statements of assets and liabilities of California Tax-Free Money Market Fund, California Insured Intermediate Fund and California Tax-Free Income Fund, each a series of shares of beneficial interest of California Investment Trust, and the U.S. Government Securities Fund, The United States Treasury Trust, Short-Term U.S. Government Bond Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund and Nasdaq-100 Index Fund, each a series of shares of beneficial interest of California Investment Trust II, including the portfolios of investments as of August 31, 2005, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated thereon. These financial statements and financial highlights are the responsibility of the Trusts' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Trusts' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2005, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of California Tax-Free Money Market Fund, California Insured Intermediate Fund, California Tax-Free Income Fund, the U.S. Government Securities Fund, The United States Treasury Trust, Short-Term U.S. Government Bond Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund and Nasdaq-100 Index Fund as of August 31, 2005, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods referred to above, in conformity with accounting principles generally accepted in the United States of America. Tait, Weller & Baker LLP Philadelphia, Pennsylvania October 14, 2005 69 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED) -------------------------------------------------------------------------------- Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise its day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:
Length of Time Trustee Address Date of Birth Position Held with the Trust Served ------------------------------------------------------------------------------------------------------------------------------------ Stephen C. Rogers 44 Montgomery St. #2100 06/27/66 President, Secretary & Trustee Since August 1998 San Francisco, CA 94104 Chief Executive Officer, CCM Partners ------------------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------------------ Christopher P. Browne 44 Montgomery St. #2100 02/07/67 Treasurer Since October 2004 San Francisco, CA 94104 ------------------------------------------------------------------------------------------------------------------------------------
Each Trustee oversees twelve portfolios of the Trusts, including the Funds. The principal occupations of the Trustees and Executive Officers of the Fund during the past five years and public directorships held by the Trustees are set forth below: *Stephen C. Rogers Chief Executive Officer, CCM Partners, 1999 to present; Chief Operating Officer, CCM Partners 1997 to 1999; Administrative Officer, CCM Partners 1993-1997; Marketing Representative, CCM Partners, 1992 to 1993. Harry Holmes Principal, Harry Holmes & Associates (consulting); President and Chief Executive Officer, Aspen Skiing Company, 1982-1984; President and Chief Executive Officer, Pebble Beach Company (property management), 1973-1984. John B. Sias Director Enzo Biochem, Inc., 1982 to present; Chairman, President and CEO, Chronicle Publishing Company, 1993 to 2000; Director, Executive Vice President, Capital Cities/ABC Inc. and President, ABC Network T.V. Group 1986 to 1992. James Miller Vice President, Jones Lange LaSalle Americas, Inc. 1999 to present; Associate, Orrick Herrington & Sutcliffe LLP, 1996-1999; Associate, Gordon & Rees LLP, 1992-1993. Christopher P. Browne Portfolio Manager, CIT Funds, 2004 to present; Manager, Autodesk, 2000-2004; Principal, Baystar Capital, 1998-2000. Additional information on the Trustees may be found in the SAI. * Trustee deemed to be an "interested person" of the Trusts, as defined in the Investment Company Act of 1940. 70 -------------------------------------------------------------------------------- California Investment Trust and California Investment Trust II Proposed 15(c) Disclosure Regarding Approval of the Management Agreement -------------------------------------------------------------------------------- At a meeting held on March 1, 2005, the Boards of Trustees of California Investment Trust and California Investment Trust II, on behalf of the Trusts' California Tax-Free Income Fund, California Insured Intermediate Fund, California Tax-Free Money Market Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, Nasdaq-100 Index Fund, European Growth & Income Fund, U.S. Government Securities Fund, Short-Term U.S. Govt. Bond Fund and The United States Treasury Trust (each a Fund), considered and approved the continuance of the Management Agreement with respect to each Fund with CCM Partners (CCM) for an additional one-year period ending February 28, 2006. Prior to the meeting, the Independent Trustees had requested detailed information from CCM. This information together with other information provided by CCM and the information provided to the Independent Trustees throughout the course of year formed the primary (but not exclusive) basis for the Board's determinations as summarized below. The information, material factors and conclusions that formed the basis for the Board's subsequent approval are described below. 1. Information Received Materials reviewed - During the course of each year, the independent Trustees receive a wide variety of materials relating to the services provided by CCM, including reports on each Fund's investment results; portfolio composition; portfolio trading practices; shareholder services; and other information relating to the nature, extent and quality of services provided by CCM to the Funds. In addition, the Board requests and reviews supplementary information that includes materials regarding each Fund's investment results, advisory fee and expense comparisons, financial and profitability information regarding CCM, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management and administrative services to each Fund. Review Process. The Board received assistance and advice regarding legal and industry standards from independent counsel to the independent Trustees. The Board discussed the renewal of the agreement with CCM representatives and in a private session with independent legal counsel at which no representatives of CCM were present. In deciding to recommend the renewal of the agreement, the committee did not identify any single issue or particular information that, in isolation, was the controlling factor. This summary describes the most important, but not all, of the factors considered by the Board. 2. Nature, Extent and Quality of Services CCM, its personnel and its resources. The Board considered the depth and quality of CCM's investment management process; the experience, capability and integrity of its senior management and other personnel; the turnover rates of its personnel; and the overall financial strength and stability of its organization. The Board also considered that CCM made available to its investment professionals a variety of resources relating to investment management, compliance, trading, performance and portfolio accounting. The Board further considered CCM's continuing need to attract and retain qualified personnel and determined that, although CCM faced a challenging environment with respect to staffing during the past year, CCM was adequately managing matters related to the Funds. Other Services. The Board considered CCM's policies, procedures and systems to ensure compliance with applicable laws and regulations and its commitment to these programs; its efforts to keep the Trustees informed; and its attention to matters that may involve conflicts of interest with the Funds. The Board also considered the nature, extent, quality and cost of certain administrative services provided by CCM not covered by the Funds' agreements with its other service providers. The Board concluded that the CCM had the quality and depth of personnel and investment methods essential to performing its duties under the Management Agreement, and that the nature, extent and overall quality of such services are satisfactory and reliable. 3. Investment Performance The Board considered each Fund's unique, balanced pursuit of its investment objectives and the investment results of each Fund in light of its objectives. The Trustees reviewed the short-term and long-term performance of each of the Funds on both an absolute basis and in comparison to benchmark indices. The Trustees also reviewed the Morningstar or iMoneyNet rankings for each of the Funds, as applicable. In assessing performance of certain Funds, the Trustees took into consideration the fact that Fund performance is expected to mirror the appropriate benchmarks as closely as possible given certain practical constraints imposed by the Investment Company Act, the Fund's investment restrictions, the Fund's size and similar factors. o For the California Insured Intermediate Fund, it was noted that the performance of the Fund was in the third quartile for the 1-year and 5-year periods and in the second quartile for the 3-year (annualized) and 10-year (annualized) periods. The Board took into consideration the fact that the Fund's investment restrictions require it to maintain a higher credit quality portfolio than the Morningstar comparison group for the Fund, and accordingly that the Fund's ranking may reflect a comparison to certain other funds with lower credit quality portfolios. o For the California Tax-Free Money Market Fund, it was noted that the performance of the Fund was in the top quartile for the 1-month (annualized) and 12-month-to-date periods. o For the California Tax-Free Income Fund, it was noted that although the performance of the Fund was in the bottom quartile for the 1-year period, Fund performance was ranked in the third quartile for the 3-year (annualized) and 5-year (annualized) periods and in the second quartile for the 10-year (annualized) and 15-year (annualized) periods. The Trustees also observed that the Morningstar comparison group for the Fund may not provide the most suitable category for peer analysis and considered whether the Lehman municipal bond index should be added as a benchmark for Fund performance. The Trustees also took into consideration the change in portfolio manager and the efforts being made to reposition the portfolio with minimal realization of capital gain. o For the Equity Income Fund, it was noted that the performance of the Fund was in the top quartile for the 1-year and 3-year periods. The Board also noted that the Fund outperformed the benchmark index in the 3-year (annualized) and 5-year (annualized) periods. 71 o For the European Growth & Income Fund, it was noted that the performance of the Fund was in the bottom quartile for the 1-year period and in the third quartile for the 3-year period. The Fund underperformed the benchmark index in the 1-year and 3-year (annualized) periods, but outperformed the benchmark index in the quarterly period. The Board also noted the Fund's average annual total return over the year-to-date, 1-year and 3-year periods outperformed the average annual total return of a benchmark index during such periods. o For the Nasdaq-100 Index Fund, it was noted that the performance of the Fund was in the top quartile for the 1-year and 3-year periods. The Board also considered that the Fund outperformed the benchmark index in the quarterly period and noted with approval that the Fund was tracking its asset class tightly. o For the S&P 500 Index Fund, it was noted that the performance of the Fund was in the second quartile over the 1-year, 3-year and 5-year periods and in the top quartile for the 10-year period. The Fund also outperformed the relevant benchmark index in the 3-year (annualized) and the 5-year (annualized) periods. The Trustees noted with approval that the Fund was tracking its asset class tightly. o For the S&P MidCap Index Fund, it was noted that the performance of the Fund was in the third quartile over the 1-year period, in the second quartile over the 3-year and 5-year periods and in the top quartile for the 10-year period. The Fund also outperformed the benchmark index in the 5-year (annualized) and 10-year (annualized) periods. The Board also noted the Fund's positive absolute performance over every annual period measured with one exception. The Trustees noted with approval that the Fund was tracking its asset class tightly. o For the S&P SmallCap Index Fund, it was noted that the performance of the Fund was in the top quartile for the 1-year period and in the second quartile over the 3-year period. The Fund marginally underperformed the benchmark index in the 1-year, 3-year (annualized) and 5-year (annualized) periods, but outperformed the benchmark index in the most recent quarterly period. The Trustees noted that in general the Fund was tracking its asset class tightly. o For the Short-Term U.S. Govt. Bond Fund, it was noted that the performance of the Fund was in the bottom quartile for the 1-year and 3-year (annualized) periods. The Board noted that the Morningstar comparison group for the Fund did not provide the most suitable category for peer analysis, and determined that the Lehman 1 to 3 year index should be added as a benchmark for Fund performance for future evaluations. o For the U.S. Government Securities Fund, it was noted that the performance of the Fund was in the second quartile for the 1-year and 3-year (annualized) periods, the top quartile for the 10-year (annualized) period and the top 5% for the 15-year (annualized) period. o For The United States Treasury Trust, it was noted that the performance of the Fund was in the top quartile for the 1-month (annualized) and 12-month-to-date periods. The Board ultimately concluded that CCM's performance record in managing each Fund was satisfactory and in several cases excellent,suport-ing the determination that CCM's continued management was consistent with the best interests of each Fund and its shareholders. 4. Management Fees and Total Operating Expenses The Board reviewed the management fees and total operating expenses of each Fund and compared such amounts with the industry average fees and expense levels of other Funds in applicable Morningstar categories. The Board considered that the total management fees charged to each Fund, with one exception, were below the industry average and that with respect to two-thirds of the Funds the management fees charged by CCM were significantly lower than the industry averages for such Funds. In the case of the single exception, the Board noted that the management fee charged to such Fund only slightly exceeded the industry average. The Board observed that each Fund's total operating expenses were well below the industry average of the other Funds, except that the operating expenses of the Class K shares of three Funds marginally exceeded industry averages. In such cases, the total operating expenses of such Funds (disregarding the Class K shares) were below the industry average of Funds in comparable peer groups. The Board also noted the voluntary advisory fee limitation that CCM put into effect during 2004 with respect to all but one of the Funds. The Trustees noted that additional administrative services not covered by the Funds' agreements with its other service providers had been provided to the Funds by CCM at its own expense during the year. The Board concluded that the relatively low level of the fees charged by CCM should benefit the Fund and its shareholders. 5. Adviser, Costs, Level of Profits, Economies of Scale and Ancillary Benefits The Board reviewed information regarding CCM's costs of providing services to the Funds, as well as the resulting level of profits to CCM, noting that its profits were not excessive. The Trustees noted that CCM had consistently subsidized low expense ratios for the Funds over the years. The Board considered CCM's need to invest in technology, infrastructure and staff to reinforce and offer new services and to accommodate changing regulatory requirements by dedicating additional resources to its compliance program. They further considered that breakpoints in the advisory fee structure of certain Funds provide for reductions in the level of fees charged by CCM to such Fund as Fund assets increase, reflecting economies of scale in the cost of operations that will be shared with such Fund's shareholders. The Trustees also noted that in certain cases CCM has contractually agreed to limit its advisory fees of certain Funds so that those Funds do not exceed their respective specified operating expense limitations although such limitations currently may be decreased at the option of CCM. The Board also considered that CCM does not receive substantial indirect benefits from managing the Funds. On the basis of the foregoing, the Board concluded that each Fund's cost structure was reasonable and that CCM was committed to sharing economies of scale with each Fund and its shareholders, to their benefit. 6. Conclusions No single factor was determinative of the Board's decision to re-approve the Management Agreement, but rather the Trustees based their determination on the total mix of information available to them. Based on their review, including their consideration of each of the factors referred to above, the Board concluded that the Management Agreement, taking into account the new administration fee, is fair and reasonable to each Fund and its shareholders, that each Fund's shareholders received reasonable value in return for the advisory fees and other amounts paid to CCM by the Fund, and that the amendment and renewal of the agreement was in the best interests of each Fund and its shareholders. 72 [LOGO] ------------- CALIFORNIA PRSRT STD INVESTMENT TRUST U.S. Postage ---------------- PAID FUND GROUP Permit #688 44 Montgomery Street #2100 Redwood City, San Francisco, CA 94104 CA ------------- ITEM 2. CODE OF ETHICS. (a) The Registrant has adopted a code of ethics that applies to its principal executive officers and principal financial and accounting officer. (c) N/A (d) N/A (f) Pursuant to Item 12(a)(1), the Registrant is attaching as an exhibit a copy of its code of ethics that applies to its principal executive officer and principal financial and accounting officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Registrant does not have an audit committee financial expert serving on its audit committee. (a) (2) N/A (a) (3) The Registrant's board of trustees and audit committee have determined that no "audit committee financial expert" is needed because of the collective financial literacy and sophistication possessed by the members of the audit committee as a whole. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees The aggregate fees paid to the principal accountant for professional services rendered by the principal accountant for the audit of the Registrant's annual financial statements or for services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements were $73,700 for the fiscal year ended August 31, 2005 and $71,550 for the fiscal year ended August 31, 2004. (b) Audit-Related Fees There were no fees paid to the principal accountant for assurance and related services rendered by the principal accountant to the Registrant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of Item 4. (c) Tax Fees The aggregate fees paid to the principal accountant for tax compliance, tax advice, and tax planning services rendered by the principal accountant to the Registrant were $13,500 for the fiscal year ended August 31, 2005 and $11,500 for the fiscal year ended August 31, 2004. -2- (d) All Other Fees There were no other fees paid to the principal accountant for services rendered by the principal accountant to the Registrant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraphs (a)-(c) of Item 4. (e) (1) The Registrant's audit committee is directly responsible for approving the services to be provided by the auditors, including: (i) pre-approval of all audit and audit-related services; (ii) pre-approval of all non-audit related services to be provided to the Registrant by the auditors; (iii) pre-approval of all non-audit related services to be provided to the Registrant by the auditors to the Registrant 's investment adviser or to any entity that controls, is controlled by or is under common control with the Registrant 's investment adviser and that provides ongoing services to the Registrant where the non-audit services relate directly to the operations or financial reporting of the Registrant; and (e) (2) All of the services provided to the Registrant described in paragraphs (b)-(d) of Item 4 were pre-approved by the audit committee. (f) N/A (g) The aggregate non-audit fees paid to the principal accountant for services rendered by the principal accountant to the Registrant and the Registrant's investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant were $2,625 for the fiscal year ended August 31, 2005 and $2,500 for the fiscal year ended August 31, 2004. (h) N/A ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. N/A ITEM 6. SCHEDULE OF INVESTMENTS Included under Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. N/A -3- ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. N/A ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVEESTMENT COMPANY AND AFFILIATED PURCHASERS. N/A 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS (a) (1) Code of Ethics (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. (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. -4- 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: November 9, 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: November 9, 2005 By (Signature and Title)* /s/ Christopher P. Browne ------------------------------------ Christopher P. Browne, Treasurer Date: November 9, 2005
* Print the name and title of each signing officer under his or her signature. -5-