N-CSR 1 v056638_n-csr.txt ============================= OMB APPROVAL ============================= OMB Number: 3235-0570 Expires: September 30, 2007 Estimated average burden hours per response: 19.4 ============================= 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, 2006 --------------- Date of reporting period: August 31, 2006 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. The Report to Shareholders is attached herewith. CALIFORNIA INVESTMENT TRUST ---------------- FUND GROUP Annual Report ============= AUGUST 31, 2006 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 (800) 225-8778 WWW.CALTRUST.COM EMAIL US AT INFO@CALTRUST.COM ================================================================================ 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 PERFORMANCES AND MANAGER'S DISCUSSION AUGUST 31, 2006 -------------------------------------------------------------------------------- On the following pages are line graphs comparing each Funds' performance to a comparable broad based securities market index for the 10 years ended August 31, 2006, or since the inception of the Fund if less than 10 years. Each graph assumes a hypothetical $10,000 initial investment in the respective Funds. The object of the graph is to permit a comparison of the performance of the funds with a benchmark and to provide perspective on market conditions and investment strategies and techniques that materially affected the performance of each Fund. With each graph is a table presenting each of the respective Fund's average annual total return for the one-year, five-year, ten-year, and/or inception period through August 31, 2006. BOND FUNDS Over the course of the fiscal year, the Federal Reserve Bank (the "Fed") continued to increase the Fed Funds Rate from 3.5% to 5.25% in seven consecutive rate hikes of 0.25% each time. During this time, at the beginning of 2006, the leadership of the Fed changed, with long-time chairman Alan Greenspan stepping down and being replaced by Ben Bernanke. At its August 8, 2006 meeting, the final one before the end of our fiscal year, the Fed chose to take no action. As a result of these rate increases in Fed Funds, interest rates across the entire yield curve rose, with short-term rates rising higher than long-term rates. Whereas at August 31, 2005 the US Treasury yield curve was positively sloped, with short-term rates lower than long-term rates, by the end of the fiscal year the yield curve had become inverted, with two-year rates higher than ten-year rates. In the past, such an inversion has typically presaged a slowdown, if not outright recession in the economy. There has been a great deal of discussion amongst economists and market observers as to whether this most recent inversion does in fact presage such a slowdown. Recent economic data indicates that the economy is slowing, lead by a softer housing market, but it remains to be seen if this is the beginning of a "soft landing" or a more serious recession. The inversion of the yield curve can also be viewed as the market believing that inflation will be kept under control and at low levels. Generally, low inflation rates are good for bond investors because this results in a preservation of the value of future cash flows from fixed income investments. The relative stability in the long end of the yield curve can be interpreted as an indication that bond investors believe inflation will be less of a factor over the long term. Still, there continue to be risks to inflation and the bond market, among which are US fiscal policy, international conflicts/terrorism and global economic factors. The California municipal market yield curve does not necessarily move in lock step with US Treasury yields. Yields rose only slightly at the long end of the curve, while short rates rose much more dramatically. The California municipal market yield curve has always been positively sloped, but at August 31, 2006 was at historically flat levels. The California Tax-Free Income Fund's duration was modestly increased in the summer of 2006 in anticipation of a weaker economy, which is beginning to materialize in the expected time frame. The Fund's duration was subsequently extended to be in line with its benchmark, the Lehman Brothers Municipal Bond Index. As of August 31, 2006, the Fund had an average coupon of 5.43%, an average maturity of 7.68 years, an average duration of 5.49 years, and an average quality of Aa+. Duration adjustments to the California Intermediate Insured Fund followed a similar pattern to those in the Income Fund. The Fund's portfolio profile at fiscal year-end was as follows: average coupon, 5.40%; average maturity, 4.39 years; and average duration, 3.32 years. During the fiscal year the U.S. Government Securities Fund's duration was lengthened significantly. At the close of the year, the Fund's profile showed an average coupon of 5.31%, an average maturity of 8.11 years and average duration of 5.32 years. As of August 31, 2006, the Short-term U.S. Government Bond Fund's average coupon was 3.80%, its average maturity was 2 years and its average duration was 1.86 years. Again, during the course of the fiscal year, the Fund's duration was lengthened in anticipation of a weaker economy and an expected decline in interest rates. -------------------------------------------------------------------------------- California Tax-Free Income Fund versus the Lehman Bros. Municpal Bond Index [LINE CHART] California Tax-Free Income Lehman Bros. Municpal Date Fund Bond Index 08/31/96 $10,000.00 $10,000.00 09/30/96 $10,151.18 $10,140.00 10/31/96 $10,302.54 $10,254.58 11/30/96 $10,545.10 $10,442.24 12/31/96 $10,433.46 $10,398.38 01/31/97 $10,426.39 $10,418.14 02/28/97 $10,530.72 $10,513.99 03/31/97 $10,336.24 $10,374.15 04/30/97 $10,437.84 $10,461.29 05/31/97 $10,613.28 $10,618.21 06/30/97 $10,722.42 $10,731.83 07/31/97 $11,130.55 $11,029.10 08/31/97 $10,947.73 $10,925.43 09/30/97 $11,095.50 $11,055.44 10/31/97 $11,138.27 $11,126.19 11/30/97 $11,189.96 $11,191.84 12/31/97 $11,403.12 $11,355.24 01/31/98 $11,568.01 $11,472.20 02/28/98 $11,545.13 $11,475.64 03/31/98 $11,493.24 $11,485.97 04/30/98 $11,394.19 $11,434.28 05/31/98 $11,622.23 $11,614.94 06/30/98 $11,651.00 $11,660.24 07/31/98 $11,649.71 $11,689.39 08/31/98 $11,906.01 $11,870.58 09/30/98 $12,131.67 $12,018.96 10/31/98 $12,091.05 $12,018.96 11/30/98 $12,131.07 $12,061.03 12/31/98 $12,123.47 $12,091.18 01/31/99 $12,313.38 $12,235.06 02/28/99 $12,189.38 $12,181.23 03/31/99 $12,209.44 $12,198.28 04/30/99 $12,195.63 $12,228.78 05/31/99 $12,058.06 $12,157.85 06/30/99 $11,824.29 $11,982.78 07/31/99 $11,877.92 $12,025.92 08/31/99 $11,780.91 $11,929.71 09/30/99 $11,803.99 $11,934.48 10/31/99 $11,662.51 $11,805.59 11/30/99 $11,797.39 $11,930.73 12/31/99 $11,690.21 $11,841.25 01/31/00 $11,702.25 $11,790.33 02/29/00 $11,824.80 $11,927.10 03/31/00 $12,075.65 $12,188.30 04/30/00 $11,961.46 $12,116.39 05/31/00 $11,960.57 $12,053.39 06/30/00 $12,272.17 $12,372.80 07/31/00 $12,434.16 $12,544.78 08/31/00 $12,731.71 $12,737.97 09/30/00 $12,637.33 $12,671.73 10/31/00 $12,715.29 $12,809.86 11/30/00 $12,784.52 $12,907.21 12/31/00 $13,142.22 $13,226.02 01/31/01 $13,257.22 $13,356.96 02/28/01 $13,238.62 $13,399.70 03/31/01 $13,286.33 $13,520.30 04/30/01 $12,953.57 $13,374.28 05/31/01 $13,077.44 $13,518.72 06/30/01 $13,227.10 $13,609.29 07/31/01 $13,410.80 $13,810.71 08/31/01 $13,748.29 $14,038.59 09/30/01 $13,694.00 $13,990.86 10/31/01 $13,890.24 $14,157.35 11/30/01 $13,669.85 $14,038.43 12/31/01 $13,480.66 $13,905.06 01/31/02 $13,734.06 $14,145.62 02/28/02 $13,937.86 $14,316.78 03/31/02 $13,519.28 $14,036.17 04/30/02 $13,840.20 $14,309.88 05/31/02 $13,974.53 $14,397.17 06/30/02 $14,064.77 $14,549.78 07/31/02 $14,278.78 $14,737.47 08/31/02 $14,511.03 $14,914.32 09/30/02 $14,951.86 $15,240.94 10/31/02 $14,464.50 $14,987.94 11/30/02 $14,369.38 $14,924.99 12/31/02 $14,756.08 $15,239.91 01/31/03 $14,555.21 $15,201.81 02/28/03 $14,789.47 $15,414.64 03/31/03 $14,787.45 $15,423.89 04/30/03 $14,903.42 $15,525.68 05/31/03 $15,336.75 $15,888.99 06/30/03 $15,176.96 $15,820.66 07/31/03 $14,461.50 $15,266.94 08/31/03 $14,599.67 $15,381.44 09/30/03 $15,087.35 $15,833.66 10/31/03 $14,985.75 $15,754.49 11/30/03 $15,138.61 $15,918.33 12/31/03 $15,264.74 $16,050.46 01/31/04 $15,361.11 $16,141.94 02/29/04 $15,606.17 $16,385.69 03/31/04 $15,445.04 $16,328.34 04/30/04 $14,981.71 $15,941.36 05/31/04 $14,957.51 $15,883.97 06/30/04 $15,004.31 $15,941.15 07/31/04 $15,182.14 $16,149.98 08/31/04 $15,448.67 $16,472.98 09/30/04 $15,495.46 $16,560.28 10/31/04 $15,603.98 $16,702.70 11/30/04 $15,458.42 $16,565.74 12/31/04 $15,622.22 $16,767.84 01/31/05 $15,696.41 $16,925.46 02/28/05 $15,587.61 $16,869.61 03/31/05 $15,456.55 $16,763.33 04/30/05 $15,697.03 $17,028.19 05/31/05 $15,797.58 $17,149.09 06/30/05 $15,892.38 $17,255.41 07/31/05 $15,736.64 $17,177.76 08/31/05 $15,906.13 $17,351.26 09/30/05 $15,791.03 $17,235.01 10/31/05 $15,672.70 $17,129.87 11/30/05 $15,735.53 $17,212.10 12/31/05 $15,867.88 $17,360.12 01/31/06 $15,897.60 $17,406.99 02/28/06 $15,993.28 $17,523.62 03/31/06 $15,835.37 $17,402.71 04/30/06 $15,807.05 $17,397.48 05/31/06 $15,879.64 $17,475.77 06/30/06 $15,787.32 $17,409.37 07/31/06 $15,964.16 $17,616.54 08/31/06 $16,199.48 $17,877.26 -------------------------------------------------------------------------------- Average Annual Total Returns* for periods ended 8/31/2006 1 year 5 year 10 year -------------------------------------------- -------- -------- -------- California Tax-Free Income Fund 1.84% 3.34% 4.94% Lehman Bros. Municipal Bond Fund Index 3.03% 4.95% 5.98% -------------------------------------------------------------------------------- California Insured Intermediate Fund versus the Lehman Bros. 5 Year Municipal Bond Index [LINE CHART] California Insured Lehman Municipal Date Intermediate Fund 5 Yr Index 08/31/96 $10,000.00 $10,000.00 09/30/96 $10,082.66 $10,082.00 10/31/96 $10,198.98 $10,169.71 11/30/96 $10,387.65 $10,301.92 12/31/96 $10,340.61 $10,282.35 01/31/97 $10,388.55 $10,317.31 02/28/97 $10,441.92 $10,392.62 03/31/97 $10,299.40 $10,279.34 04/30/97 $10,340.44 $10,323.54 05/31/97 $10,465.36 $10,450.52 06/30/97 $10,560.11 $10,529.95 07/31/97 $10,819.11 $10,715.27 08/31/97 $10,734.26 $10,660.63 09/30/97 $10,833.31 $10,755.51 10/31/97 $10,871.59 $10,811.43 11/30/97 $10,905.18 $10,844.95 12/31/97 $11,001.87 $10,938.22 01/31/98 $11,121.11 $11,037.75 02/28/98 $11,124.84 $11,055.42 03/31/98 $11,102.53 $11,065.36 04/30/98 $11,026.04 $11,018.89 05/31/98 $11,186.16 $11,151.12 06/30/98 $11,215.93 $11,189.03 07/31/98 $11,264.52 $11,228.19 08/31/98 $11,446.79 $11,366.30 09/30/98 $11,612.43 $11,483.37 10/31/98 $11,617.29 $11,516.67 11/30/98 $11,651.52 $11,537.40 12/31/98 $11,659.07 $11,577.78 01/31/99 $11,803.62 $11,700.51 02/28/99 $11,742.13 $11,688.81 03/31/99 $11,773.60 $11,699.33 04/30/99 $11,768.09 $11,734.43 05/31/99 $11,716.82 $11,686.32 06/30/99 $11,551.67 $11,554.26 07/31/99 $11,655.50 $11,625.90 08/31/99 $11,619.73 $11,621.25 09/30/99 $11,681.62 $11,663.08 10/31/99 $11,606.67 $11,633.93 11/30/99 $11,673.75 $11,702.57 12/31/99 $11,580.63 $11,663.95 01/31/00 $11,641.87 $11,659.28 02/29/00 $11,693.95 $11,697.76 03/31/00 $11,826.25 $11,804.21 04/30/00 $11,753.73 $11,777.06 05/31/00 $11,786.91 $11,773.52 06/30/00 $12,021.25 $11,988.98 07/31/00 $12,163.53 $12,114.86 08/31/00 $12,345.72 $12,245.70 09/30/00 $12,268.82 $12,224.89 10/31/00 $12,347.66 $12,310.46 11/30/00 $12,388.95 $12,363.40 12/31/00 $12,591.74 $12,562.45 01/31/01 $12,825.11 $12,778.52 02/28/01 $12,817.33 $12,813.02 03/31/01 $12,859.02 $12,918.09 04/30/01 $12,643.58 $12,845.75 05/31/01 $12,819.60 $12,978.06 06/30/01 $12,918.88 $13,044.25 07/31/01 $13,070.08 $13,185.12 08/31/01 $13,290.88 $13,363.12 09/30/01 $13,253.73 $13,403.21 10/31/01 $13,416.37 $13,514.46 11/30/01 $13,283.10 $13,407.70 12/31/01 $13,150.55 $13,342.00 01/31/02 $13,391.30 $13,556.80 02/28/02 $13,552.24 $13,710.00 03/31/02 $13,157.12 $13,417.97 04/30/02 $13,473.88 $13,727.93 05/31/02 $13,626.14 $13,819.91 06/30/02 $13,704.33 $13,970.54 07/31/02 $13,896.82 $14,121.42 08/31/02 $14,110.89 $14,256.99 09/30/02 $14,447.92 $14,455.16 10/31/02 $14,010.93 $14,307.72 11/30/02 $14,004.06 $14,293.41 12/31/02 $14,326.49 $14,577.85 01/31/03 $14,179.43 $14,602.63 02/28/03 $14,326.90 $14,761.80 03/31/03 $14,332.09 $14,741.14 04/30/03 $14,420.99 $14,810.42 05/31/03 $14,743.35 $15,047.39 06/30/03 $14,645.77 $15,008.26 07/31/03 $14,131.73 $14,681.08 08/31/03 $14,256.89 $14,783.85 09/30/03 $14,677.08 $15,159.36 10/31/03 $14,608.37 $15,059.31 11/30/03 $14,695.17 $15,121.05 12/31/03 $14,776.20 $15,180.02 01/31/04 $14,865.27 $15,251.37 02/29/04 $15,059.13 $15,437.44 03/31/04 $14,935.51 $15,372.60 04/30/04 $14,566.35 $15,065.15 05/31/04 $14,532.04 $14,988.31 06/30/04 $14,601.64 $15,043.77 07/31/04 $14,760.87 $15,182.17 08/31/04 $14,977.61 $15,447.86 09/30/04 $15,002.11 $15,467.94 10/31/04 $15,066.35 $15,553.02 11/30/04 $14,960.74 $15,450.37 12/31/04 $15,097.66 $15,590.97 01/31/05 $15,148.20 $15,587.85 02/28/05 $15,049.81 $15,509.91 03/31/05 $14,953.52 $15,410.65 04/30/05 $15,113.08 $15,589.41 05/31/05 $15,150.88 $15,634.62 06/30/05 $15,221.28 $15,706.54 07/31/05 $15,116.56 $15,621.72 08/31/05 $15,214.07 $15,720.14 09/30/05 $15,182.92 $15,691.84 10/31/05 $15,106.75 $15,625.94 11/30/05 $15,138.71 $15,663.44 12/31/05 $15,205.71 $15,738.62 01/31/06 $15,246.11 $15,774.82 02/28/06 $15,272.71 $15,803.22 03/31/06 $15,194.60 $15,741.58 04/30/06 $15,217.80 $15,776.22 05/31/06 $15,259.82 $15,831.43 06/30/06 $15,197.68 $15,757.02 07/31/06 $15,322.92 $15,903.57 08/31/06 $15,468.20 $16,075.32 -------------------------------------------------------------------------------- Average Annual Total Returns* for periods ended 8/31/2006 1 year 5 year 10 year -------------------------------------------- -------- -------- -------- California Insured Intermediate Fund 1.67% 3.08% 4.46% Lehman Bros. Municipal Bond Fund Index 2.26% 3.76% 4.86% * 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 8/31/2006 1 year 5 year 10 year -------- -------- -------- US Government Securities Fund 1.00% 3.58% 5.77% Lehman Bros. Composite Treasury Index 0.79% 4.39% 6.24% Lehman Bros GNMA Index 3.08% 4.60% 6.57% -------------------------------------------------------------------------------- U.S. Government Securities Fund versus the Lehman Bros. Treasury and GNMA Indicies [LINE CHART] U.S. Government Lehman Bros. Lehman Bros. Date Securities Fund GNMA Index Treasury Index 08/31/96 $10,000.00 $10,000.00 $10,000.00 09/30/96 $10,259.54 $10,167.00 $10,164.00 10/31/96 $10,614.98 $10,372.37 $10,387.61 11/30/96 $10,955.46 $10,522.77 $10,567.31 12/31/96 $10,699.19 $10,467.00 $10,458.47 01/31/97 $10,680.75 $10,547.60 $10,468.93 02/28/97 $10,691.30 $10,585.57 $10,481.49 03/31/97 $10,544.26 $10,690.37 $10,368.29 04/30/97 $10,705.30 $10,865.69 $10,517.59 05/31/97 $10,779.20 $10,977.61 $10,608.05 06/30/97 $10,903.73 $11,107.14 $10,726.86 07/31/97 $11,182.43 $11,308.18 $11,034.72 08/31/97 $11,000.49 $11,284.43 $10,923.27 09/30/97 $11,218.39 $11,434.52 $11,089.30 10/31/97 $11,454.56 $11,553.43 $11,282.25 11/30/97 $11,517.87 $11,589.25 $11,340.92 12/31/97 $11,697.22 $11,693.55 $11,460.00 01/31/98 $11,912.66 $11,806.98 $11,635.34 02/28/98 $11,842.36 $11,832.96 $11,600.43 03/31/98 $11,866.40 $11,882.66 $11,631.75 04/30/98 $11,909.14 $11,951.57 $11,684.10 05/31/98 $12,093.67 $12,032.85 $11,805.61 06/30/98 $12,308.22 $12,083.38 $11,941.38 07/31/98 $12,284.01 $12,151.05 $11,960.48 08/31/98 $12,751.18 $12,247.04 $12,285.81 09/30/98 $13,190.84 $12,391.56 $12,628.58 10/31/98 $13,038.53 $12,380.41 $12,588.17 11/30/98 $13,097.90 $12,450.97 $12,585.65 12/31/98 $13,110.40 $12,502.02 $12,610.82 01/31/99 $13,173.92 $12,590.79 $12,683.97 02/28/99 $12,720.74 $12,550.50 $12,360.53 03/31/99 $12,745.25 $12,627.06 $12,407.50 04/30/99 $12,776.96 $12,687.67 $12,437.27 05/31/99 $12,599.13 $12,624.23 $12,321.61 06/30/99 $12,527.43 $12,573.73 $12,295.73 07/31/99 $12,473.54 $12,490.74 $12,285.89 08/31/99 $12,446.96 $12,487.00 $12,288.35 09/30/99 $12,589.25 $12,688.04 $12,382.97 10/31/99 $12,581.07 $12,762.90 $12,396.59 11/30/99 $12,551.73 $12,768.00 $12,373.04 12/31/99 $12,462.73 $12,742.47 $12,291.38 01/31/00 $12,393.06 $12,627.78 $12,323.34 02/29/00 $12,506.74 $12,789.42 $12,508.19 03/31/00 $12,795.83 $12,991.49 $12,755.85 04/30/00 $12,752.41 $12,979.80 $12,715.03 05/31/00 $12,794.14 $13,026.53 $12,734.10 06/30/00 $13,022.63 $13,267.52 $12,949.31 07/31/00 $13,133.38 $13,337.83 $13,082.69 08/31/00 $13,361.67 $13,539.24 $13,275.00 09/30/00 $13,376.43 $13,665.15 $13,285.62 10/31/00 $13,495.49 $13,766.27 $13,414.49 11/30/00 $13,794.25 $13,960.38 $13,689.49 12/31/00 $14,077.99 $14,157.22 $13,950.96 01/31/01 $14,185.73 $14,389.40 $14,063.96 02/28/01 $14,338.42 $14,452.71 $14,234.13 03/31/01 $14,359.83 $14,539.43 $14,279.68 04/30/01 $14,150.71 $14,562.69 $14,102.62 05/31/01 $14,135.45 $14,685.02 $14,146.33 06/30/01 $14,221.60 $14,729.07 $14,222.72 07/31/01 $14,543.34 $14,980.94 $14,578.29 08/31/01 $14,689.46 $15,090.30 $14,770.73 09/30/01 $14,845.36 $15,294.02 $15,005.58 10/31/01 $15,324.71 $15,497.43 $15,421.24 11/30/01 $14,906.93 $15,367.25 $15,038.79 12/31/01 $14,729.48 $15,321.15 $14,892.91 01/31/02 $14,847.70 $15,475.89 $14,992.69 02/28/02 $14,987.53 $15,633.75 $15,081.15 03/31/02 $14,767.05 $15,485.23 $14,717.70 04/30/02 $15,029.34 $15,757.77 $15,084.17 05/31/02 $15,116.77 $15,860.19 $15,168.64 06/30/02 $15,241.18 $15,987.07 $15,382.52 07/31/02 $15,441.90 $16,172.52 $15,747.08 08/31/02 $15,665.82 $16,285.73 $16,087.22 09/30/02 $15,960.42 $16,420.90 $16,521.57 10/31/02 $15,793.65 $16,471.81 $16,338.18 11/30/02 $15,674.26 $16,486.63 $16,176.44 12/31/02 $16,051.08 $16,649.85 $16,597.02 01/31/03 $16,008.04 $16,691.47 $16,547.23 02/28/03 $16,239.17 $16,774.93 $16,831.84 03/31/03 $16,154.03 $16,786.67 $16,761.15 04/30/03 $16,210.50 $16,825.28 $16,839.93 05/31/03 $16,607.04 $16,825.28 $17,324.92 06/30/03 $16,547.25 $16,875.76 $17,219.24 07/31/03 $16,004.56 $16,597.31 $16,463.31 08/31/03 $16,060.11 $16,706.85 $16,560.44 09/30/03 $16,377.52 $16,947.43 $17,060.57 10/31/03 $16,209.91 $16,903.37 $16,799.54 11/30/03 $16,218.60 $16,962.53 $16,821.38 12/31/03 $16,330.07 $17,120.28 $16,971.09 01/31/04 $16,423.74 $17,205.88 $17,115.35 02/29/04 $16,526.98 $17,319.44 $17,327.58 03/31/04 $16,623.06 $17,390.45 $17,490.46 04/30/04 $16,298.70 $17,117.42 $16,927.26 05/31/04 $16,250.49 $17,083.19 $16,869.71 06/30/04 $16,354.50 $17,236.93 $16,937.19 07/31/04 $16,497.81 $17,376.55 $17,098.09 08/31/04 $16,739.33 $17,618.09 $17,452.02 09/30/04 $16,773.08 $17,655.09 $17,497.40 10/31/04 $16,851.35 $17,794.56 $17,635.63 11/30/04 $16,803.86 $17,753.63 $17,399.31 12/31/04 $16,900.58 $17,869.03 $17,571.56 01/31/05 $16,961.34 $17,972.67 $17,699.84 02/28/05 $16,910.92 $17,916.96 $17,554.70 03/31/05 $16,848.72 $17,882.91 $17,496.77 04/30/05 $17,044.70 $18,065.32 $17,804.71 05/31/05 $17,192.34 $18,195.39 $18,021.93 06/30/05 $17,250.47 $18,248.16 $18,131.86 07/31/05 $17,136.67 $18,178.81 $17,885.27 08/31/05 $17,342.40 $18,329.70 $18,169.64 09/30/05 $17,132.81 $18,256.38 $17,927.99 10/31/05 $16,985.68 $18,177.88 $17,788.15 11/30/05 $17,046.78 $18,216.05 $17,873.53 12/31/05 $17,218.75 $18,445.57 $18,059.42 01/31/06 $17,178.81 $18,506.44 $18,005.24 02/28/06 $17,236.18 $18,543.46 $18,032.25 03/31/06 $17,194.04 $18,424.78 $17,837.50 04/30/06 $17,147.65 $18,362.13 $17,764.37 05/31/06 $17,144.43 $18,325.41 $17,769.70 06/30/06 $17,152.78 $18,347.40 $17,826.56 07/31/06 $17,347.06 $18,607.93 $18,047.61 08/31/06 $17,515.90 $18,894.49 $18,312.91 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year Inception** ---------- ---------- US Government Securities Fund 0.55% 2.53% Lehman Bros. Composite Treasury Index 0.79% 2.50% Lehman Bros GNMA Index 3.08% 3.86% -------------------------------------------------------------------------------- U.S. Government Securities Fund versus the Lehman Bros. Treasury and GNMA Indicies [LINE CHART] U.S. Government Lehman Bros. Lehman Bros. Date Securities Fund GNMA Index Tresury Index 10/31/03 $10,000.00 $10,000.00 $10,000.00 11/30/03 $10,002.33 $10,035.00 $10,013.00 12/31/03 $10,068.77 $10,128.33 $10,102.12 01/31/04 $10,121.48 $10,178.97 $10,187.98 02/29/04 $10,189.40 $10,246.15 $10,314.31 03/31/04 $10,235.12 $10,288.16 $10,411.27 04/30/04 $10,038.05 $10,126.63 $10,076.03 05/31/04 $10,002.93 $10,106.38 $10,041.77 06/30/04 $10,057.51 $10,197.34 $10,081.93 07/31/04 $10,147.41 $10,279.94 $10,177.71 08/31/04 $10,290.21 $10,422.83 $10,388.39 09/30/04 $10,303.84 $10,444.72 $10,415.40 10/31/04 $10,357.11 $10,527.23 $10,497.68 11/30/04 $10,312.65 $10,503.02 $10,357.01 12/31/04 $10,367.10 $10,571.29 $10,459.55 01/31/05 $10,408.71 $10,632.60 $10,535.90 02/28/05 $10,364.04 $10,599.64 $10,449.51 03/31/05 $10,331.13 $10,579.50 $10,415.03 04/30/05 $10,444.55 $10,687.41 $10,598.33 05/31/05 $10,530.04 $10,764.36 $10,727.63 06/30/05 $10,560.69 $10,795.58 $10,793.07 07/31/05 $10,486.54 $10,754.55 $10,646.28 08/31/05 $10,606.32 $10,843.81 $10,815.56 09/30/05 $10,474.17 $10,800.44 $10,671.71 10/31/05 $10,380.79 $10,754.00 $10,588.47 11/30/05 $10,412.77 $10,776.58 $10,639.30 12/31/05 $10,512.74 $10,912.37 $10,749.95 01/31/06 $10,492.96 $10,948.38 $10,717.70 02/28/06 $10,522.98 $10,970.27 $10,733.77 03/31/06 $10,482.86 $10,900.06 $10,617.85 04/30/06 $10,450.52 $10,863.00 $10,574.31 05/31/06 $10,443.22 $10,841.28 $10,577.49 06/30/06 $10,444.56 $10,854.29 $10,611.33 07/31/06 $10,557.79 $11,008.42 $10,742.92 08/31/06 $10,665.14 $11,177.95 $10,900.84 -------------------------------------------------------------------------------- REGULAR SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year 5 year Inception ---------- ---------- ---------- Short-Term U.S. Government Bond Fund 2.43% 1.87% 3.17% Lehman Bros. 1-3 Year Treasury Index 2.92% 3.03% 4.37% -------------------------------------------------------------------------------- Short-Term U.S. Government Bond Fund versus the Lehman 1-3 Year Treasury Index [LINE CHART] Short-Term U.S. Government Lehman 1-3 yr Date Bond Fund Treasury 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 09/30/05 $11,969.62 $12,861.28 10/31/05 $11,963.70 $12,858.70 11/30/05 $11,996.52 $12,901.14 12/31/05 $12,027.61 $12,951.45 01/31/06 $12,037.47 $12,970.88 02/28/06 $12,045.16 $12,981.26 03/31/06 $12,057.89 $12,996.83 04/30/06 $12,101.60 $13,037.12 05/31/06 $12,105.04 $13,055.38 06/30/06 $12,129.12 $13,078.87 07/31/06 $12,213.87 $13,176.97 08/31/06 $12,292.27 $13,271.84 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year Inception** ---------- ---------- Short-Term U.S. Government Bond Fund 1.98% 0.90% Lehman Bros. 1-3 Year Treasury Index 2.92% 1.80% * 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. ** K Share commencement of operations was 10/16/03. -------------------------------------------------------------------------------- Short-Term U.S. Government Bond Fund versus the Lehman 1-3 Year Treasury Index [LINE CHART] Short-Term U.S. Government Lehman 1-3 yr Date Bond Fund Treasury 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 09/30/05 $10,020.06 $10,238.84 10/31/05 $10,019.75 $10,236.79 11/30/05 $10,042.54 $10,270.57 12/31/05 $10,063.77 $10,310.63 01/31/06 $10,067.94 $10,326.09 02/28/06 $10,070.39 $10,334.35 03/31/06 $10,086.23 $10,346.75 04/30/06 $10,099.86 $10,378.83 05/31/06 $10,106.63 $10,393.36 06/30/06 $10,122.29 $10,412.07 07/31/06 $10,188.91 $10,490.16 08/31/06 $10,248.97 $10,565.69 -------------------------------------------------------------------------------- 2 -------------------------------------------------------------------------------- HISTORICAL PERFORMANCES AND MANAGER'S DISCUSSION - (CONTINUED) AUGUST 31, 2006 -------------------------------------------------------------------------------- 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 the 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, S&P MidCap Index Fund, SmallCap Index Fund and S&P 500 Index Fund each had a correlation coefficient of .998 or greater. For the first time since 1999, the S&P 500 Index outperformed the SmallCap and MidCap sectors during the fiscal year period. The S&P 500 "caught up" in the last part of the period, due largely to less downside volatility during the equity slide that began at the beginning of May. During this period the smaller indices fell roughly 8% while the S&P 500 fell roughly 1%. The smaller sectors have demonstrated higher volatility, and what remains unclear at this point is whether we have seen a shift in market leadership or whether we are looking at a short-term phenomenon related to the downside volatility. 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 very small piece of the massive Wilshire 5000. Therefore, their performance does not factor significantly into the total return. If an investor balances an investment in each of these Funds, the performance of the SmallCaps will have a meaningful impact on their overall total return. Keep in mind that during periods where LargeCap stocks out-perform their smaller counterparts, this strategy will result in underperformance because SmallCap sectors will be over-weighted relative to the Wilshire 5000 . So why balance these three sectors? 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. As an investor, you can reduce holdings from any of the three holdings based on relative valuations. This can prove handy for a number of reasons. Second, history is on our side in that although more volatile, SmallCap stocks have returned more to investors over the long haul. The Nasdaq-100 Index Fund finished down 0.24%, almost flat for the fiscal period versus a benchmark performance of 0.31%. While the performance of this Fund was hurt during the market slide that began in May, this Fund remains an effective tool for investors who want to take a more aggressive position. Our European Growth & Income Fund is managed using American Depository Receipts ("ADRs") for many of the stocks that make up the Dow Stoxx 50, a European LargeCap Index. The Fund uses the weightings of this benchmark as an approximation for weighting its holdings. The Fund was up 17.97% for the period and tracked its benchmark, which returned 21.11%. This Fund generally provides investors a low-cost, efficient tool to diversify internationally. 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 a value fund that focuses on income as well as potential for capital appreciation. The S Class shares were up 6.50% for the year. The performance lagged the gains of the U.S. stock market as measured by the S&P 500 Index by 2.38%. The Fund also under performed the S&P/Citigroup Value Index, by 6.37% for the year. The Fund invested a portion of its holdings in either S&P 500 or Russell 2000 futures contracts through the year to maintain equity exposure and minimize transaction costs due to shareholder activity. The Fund maintained a focus on Financial Services, Consumer Non-Cyclical and Consumer Cyclical over the year. The Fund's sector allocations were similar to the S&P 500 at year-end, other than an over-weight in Consumer Non-Cyclical stocks and an under-weighting of Industrial stocks. The US economy performed well against a headwind of high commodity prices, soft housing and a continued Fed tightening of interest rates over the past year. Tight unemployment and high commodity prices, particularly oil, are considered potential precursors to inflation. The Fed Funds Target Rate was increased from 3.50% to 5.25% through 7 tightening decisions and the prime-lending rate increased from 6.5% to 8.25%. The Fed has paused in its rate increases recently, and there is considerable debate as to what the Fed will do next. Equity prices, as measured by the price earnings ratio of the S&P 500, are at their lowest levels since 1996. These low levels reflect investors' concerns over slowing profit growth, a slowing economy and headlines regarding very serious international political risks. Stock prices appear to be moderately inexpensive as a whole, especially in light of the low interest rate environment we are in. On balance, I feel that the economic opportunity in equities outweighs the economic risks moving forward. 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 8/31/2006 1 year 5 year 10 year ---------- ---------- ---------- CIT S&P 500 Index Fund 8.61% 4.54% 8.88% S&P 500 Composite Stock Price Index 8.87% 4.65% 8.90% -------------------------------------------------------------------------------- CIT S&P 500 Index Fund versus the S&P 500 Composite Stock Price Index [LINE CHART] CIT S&P 500 S&P 500 Composite Date Index Fund Stock Price Index 08/31/96 $10,000.00 $10,000.00 09/30/96 $10,556.85 $10,562.34 10/31/96 $10,848.96 $10,853.55 11/30/96 $11,665.41 $11,673.23 12/31/96 $11,432.66 $11,441.99 01/31/97 $12,141.12 $12,156.43 02/28/97 $12,231.41 $12,251.86 03/31/97 $11,720.84 $11,749.42 04/30/97 $12,411.94 $12,450.24 05/31/97 $13,165.87 $13,207.75 06/30/97 $13,742.14 $13,799.15 07/31/97 $14,829.45 $14,896.80 08/31/97 $14,015.72 $14,062.90 09/30/97 $14,775.64 $14,832.61 10/31/97 $14,289.23 $14,337.83 11/30/97 $14,947.79 $15,001.00 12/31/97 $15,204.67 $15,258.43 01/31/98 $15,370.17 $15,427.02 02/28/98 $16,471.13 $16,539.04 03/31/98 $17,310.16 $17,385.31 04/30/98 $17,490.69 $17,560.16 05/31/98 $17,187.39 $17,258.72 06/30/98 $17,873.94 $17,959.22 07/31/98 $17,678.16 $17,768.47 08/31/98 $15,154.79 $15,202.17 09/30/98 $16,111.49 $16,176.13 10/31/98 $17,459.58 $17,490.75 11/30/98 $18,505.14 $18,550.39 12/31/98 $19,575.34 $19,618.67 01/31/99 $20,420.91 $20,438.77 02/28/99 $19,792.35 $19,803.88 03/31/99 $20,568.03 $20,595.99 04/30/99 $21,326.19 $21,393.57 05/31/99 $20,800.73 $20,889.09 06/30/99 $21,948.63 $22,047.46 07/31/99 $21,278.28 $21,359.69 08/31/99 $21,180.36 $21,253.98 09/30/99 $20,599.41 $20,672.00 10/31/99 $21,900.58 $21,979.61 11/30/99 $22,340.48 $22,426.41 12/31/99 $23,689.70 $23,746.43 01/31/00 $22,497.66 $22,553.48 02/29/00 $22,060.58 $22,126.97 03/31/00 $24,196.15 $24,290.26 04/30/00 $23,446.75 $23,559.75 05/31/00 $22,984.35 $23,076.09 06/30/00 $23,547.28 $23,645.08 07/31/00 $23,227.56 $23,275.72 08/31/00 $24,650.31 $24,720.65 09/30/00 $23,374.47 $23,415.85 10/31/00 $23,286.30 $23,316.54 11/30/00 $21,460.51 $21,479.62 12/31/00 $21,580.27 $21,584.98 01/31/01 $22,323.57 $22,350.31 02/28/01 $20,355.05 $20,313.66 03/31/01 $19,093.72 $19,027.48 04/30/01 $20,544.81 $20,504.93 05/31/01 $20,692.37 $20,642.52 06/30/01 $20,190.23 $20,140.29 07/31/01 $19,992.77 $19,941.92 08/31/01 $18,750.42 $18,694.82 09/30/01 $17,253.02 $17,185.28 10/31/01 $17,558.75 $17,513.16 11/30/01 $18,880.82 $18,856.23 12/31/01 $19,031.38 $19,021.54 01/31/02 $18,757.84 $18,744.11 02/28/02 $18,417.99 $18,382.56 03/31/02 $19,085.41 $19,073.98 04/30/02 $17,938.30 $17,918.08 05/31/02 $17,805.30 $17,786.54 06/30/02 $16,541.64 $16,520.07 07/31/02 $15,316.02 $15,232.63 08/31/02 $15,407.74 $15,332.35 09/30/02 $13,715.38 $13,667.57 10/31/02 $14,930.25 $14,869.38 11/30/02 $15,835.11 $15,743.73 12/31/02 $14,894.64 $14,819.31 01/31/03 $14,490.71 $14,431.84 02/28/03 $14,271.93 $14,214.99 03/31/03 $14,404.13 $14,352.62 04/30/03 $15,586.87 $15,534.29 05/31/03 $16,423.24 $16,351.96 06/30/03 $16,635.04 $16,560.86 07/31/03 $16,923.30 $16,852.98 08/31/03 $17,262.45 $17,181.00 09/30/03 $17,068.04 $16,999.09 10/31/03 $18,038.01 $17,960.22 11/30/03 $18,199.66 $18,118.05 12/31/03 $19,138.66 $19,067.59 01/31/04 $19,480.28 $19,417.51 02/29/04 $19,745.02 $19,687.32 03/31/04 $19,449.53 $19,390.36 04/30/04 $19,141.08 $19,086.35 05/31/04 $19,398.12 $19,347.74 06/30/04 $19,773.31 $19,723.84 07/31/04 $19,111.34 $19,070.17 08/31/04 $19,188.71 $19,146.78 09/30/04 $19,384.30 $19,354.01 10/31/04 $19,686.37 $19,649.68 11/30/04 $20,480.38 $20,444.47 12/31/04 $21,175.15 $21,139.95 01/31/05 $20,662.49 $20,624.66 02/28/05 $21,096.94 $21,058.46 03/31/05 $20,723.31 $20,685.96 04/30/05 $20,321.94 $20,293.81 05/31/05 $20,958.90 $20,938.95 06/30/05 $20,991.19 $20,968.96 07/31/05 $21,761.83 $21,748.44 08/31/05 $21,551.66 $21,549.87 09/30/05 $21,721.90 $21,724.32 10/31/05 $21,361.62 $21,361.98 11/30/05 $22,161.26 $22,169.12 12/31/05 $22,168.29 $22,177.57 01/31/06 $22,750.74 $22,764.76 02/28/06 $22,803.68 $22,826.34 03/31/06 $23,085.81 $23,110.44 04/30/06 $23,387.01 $23,420.56 05/31/06 $22,704.89 $22,747.33 06/30/06 $22,730.58 $22,777.54 07/31/06 $22,864.03 $22,917.94 08/31/06 $23,406.72 $23,462.40 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year Inception** ---------- ---------- CIT S&P 500 Index Fund 8.04% 8.99% S&P 500 Composite Stock Price Index 8.87% 9.78% -------------------------------------------------------------------------------- CIT S&P 500 Index Fund versus the S&P 500 Composite Stock Price Index [LINE CHART] CIT S&P 500 S&P 500 Composite Date Index Fund Stock Price 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 09/30/05 $11,928.89 $12,095.84 10/31/05 $11,727.11 $11,894.09 11/30/05 $12,164.29 $12,343.50 12/31/05 $12,156.80 $12,348.20 01/31/06 $12,474.81 $12,675.14 02/28/06 $12,498.91 $12,709.43 03/31/06 $12,645.92 $12,867.61 04/30/06 $12,805.32 $13,040.28 05/31/06 $12,428.54 $12,665.44 06/30/06 $12,434.98 $12,682.26 07/31/06 $12,502.79 $12,760.43 08/31/06 $12,793.44 $13,063.58 -------------------------------------------------------------------------------- REGULAR SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year 5 year 10 year ---------- ---------- ---------- CIT S&P MidCap Index Fund 5.80% 9.57% 13.73% S&P MidCap 400 Index 6.66% 9.96% 13.77% -------------------------------------------------------------------------------- CIT S&P MidCap Index Fund versus the S&P MidCap 400 Index [LINE CHART] Date CIT S&P MidCap Index Fund S&P MidCap 400 Index 08/31/96 $10,000.00 $10,000.00 09/30/96 $10,438.61 $10,435.93 10/31/96 $10,459.45 $10,466.43 11/30/96 $11,052.56 $11,055.18 12/31/96 $11,040.25 $11,067.26 01/31/97 $11,464.03 $11,482.52 02/28/97 $11,369.04 $11,388.43 03/31/97 $10,883.23 $10,903.63 04/30/97 $11,147.24 $11,186.19 05/31/97 $12,115.30 $12,164.33 06/30/97 $12,464.16 $12,505.74 07/31/97 $13,692.92 $13,742.70 08/31/97 $13,663.49 $13,726.38 09/30/97 $14,444.59 $14,515.03 10/31/97 $13,839.35 $13,883.76 11/30/97 $14,036.58 $14,089.42 12/31/97 $14,560.91 $14,635.08 01/31/98 $14,305.18 $14,356.42 02/28/98 $15,463.98 $15,545.14 03/31/98 $16,179.48 $16,245.90 04/30/98 $16,467.97 $16,541.85 05/31/98 $15,722.71 $15,798.32 06/30/98 $15,830.73 $15,897.24 07/31/98 $15,211.96 $15,280.68 08/31/98 $12,383.32 $12,438.47 09/30/98 $13,526.92 $13,598.97 10/31/98 $14,719.99 $14,812.07 11/30/98 $15,449.90 $15,551.25 12/31/98 $17,252.97 $17,428.66 01/31/99 $16,620.52 $16,750.42 02/28/99 $15,736.94 $15,873.62 03/31/99 $16,181.34 $16,317.10 04/30/99 $17,459.06 $17,603.49 05/31/99 $17,543.00 $17,680.03 06/30/99 $18,485.33 $18,626.17 07/31/99 $18,092.83 $18,227.42 08/31/99 $17,476.02 $17,602.70 09/30/99 $16,941.37 $17,059.95 10/31/99 $17,822.17 $17,928.66 11/30/99 $18,714.26 $18,869.54 12/31/99 $19,791.04 $19,990.02 01/31/00 $19,250.10 $19,427.08 02/29/00 $20,543.63 $20,786.27 03/31/00 $22,506.75 $22,525.02 04/30/00 $21,787.57 $21,737.39 05/31/00 $21,481.03 $21,469.02 06/30/00 $21,846.40 $21,784.70 07/31/00 $22,224.90 $22,129.18 08/31/00 $24,543.19 $24,598.53 09/30/00 $24,392.26 $24,430.13 10/31/00 $23,633.34 $23,601.29 11/30/00 $21,896.36 $21,820.98 12/31/00 $23,648.49 $23,489.97 01/31/01 $24,113.84 $24,013.54 02/28/01 $22,774.19 $22,643.91 03/31/01 $21,191.98 $20,961.55 04/30/01 $23,469.62 $23,273.09 05/31/01 $24,035.49 $23,814.93 06/30/01 $23,981.45 $23,718.77 07/31/01 $23,641.29 $23,365.27 08/31/01 $22,932.62 $22,601.38 09/30/01 $20,209.90 $19,790.68 10/31/01 $21,005.79 $20,666.71 11/30/01 $22,567.22 $22,204.07 12/31/01 $23,726.12 $23,349.44 01/31/02 $23,626.06 $23,229.49 02/28/02 $23,654.65 $23,257.76 03/31/02 $25,325.34 $24,920.14 04/30/02 $25,210.81 $24,803.59 05/31/02 $24,809.96 $24,385.57 06/30/02 $23,028.45 $22,600.96 07/31/02 $20,792.96 $20,411.22 08/31/02 $20,921.93 $20,513.93 09/30/02 $19,221.80 $18,861.49 10/31/02 $20,054.42 $19,678.10 11/30/02 $21,202.84 $20,815.34 12/31/02 $20,353.30 $19,960.37 01/31/03 $19,791.93 $19,377.49 02/28/03 $19,288.13 $18,915.78 03/31/03 $19,400.54 $19,074.94 04/30/03 $20,785.27 $20,458.78 05/31/03 $22,472.90 $22,153.30 06/30/03 $22,741.19 $22,435.45 07/31/03 $23,550.28 $23,231.77 08/31/03 $24,576.09 $24,283.96 09/30/03 $24,194.38 $23,912.61 10/31/03 $26,003.16 $25,720.45 11/30/03 $26,929.26 $26,616.25 12/31/03 $27,386.09 $27,065.00 01/31/04 $27,966.00 $27,651.22 02/29/04 $28,661.89 $28,315.32 03/31/04 $28,775.11 $28,435.18 04/30/04 $27,816.91 $27,502.48 05/31/04 $28,383.12 $28,072.25 06/30/04 $29,028.75 $28,710.61 07/31/04 $27,690.75 $27,371.40 08/31/04 $27,632.58 $27,299.17 09/30/04 $28,464.61 $28,107.55 10/31/04 $28,814.22 $28,556.68 11/30/04 $30,474.90 $30,256.66 12/31/04 $31,746.48 $31,523.36 01/31/05 $30,914.51 $30,718.73 02/28/05 $31,980.02 $31,748.76 03/31/05 $31,601.98 $31,397.42 04/30/05 $30,357.23 $30,177.51 05/31/05 $32,173.10 $31,993.83 06/30/05 $32,936.65 $32,735.42 07/31/05 $34,637.74 $34,454.39 08/31/05 $34,227.13 $34,070.12 09/30/05 $34,442.70 $34,331.88 10/31/05 $33,693.63 $33,593.78 11/30/05 $35,318.23 $35,234.53 12/31/05 $35,564.47 $35,480.36 01/31/06 $37,595.38 $37,570.62 02/28/06 $37,264.77 $37,255.66 03/31/06 $38,181.67 $38,184.85 04/30/06 $38,654.99 $38,721.81 05/31/06 $36,887.91 $36,976.50 06/30/06 $36,875.13 $36,983.49 07/31/06 $35,815.22 $35,929.05 08/31/06 $36,210.71 $36,338.75 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year Inception** ---------- ---------- CIT S&P MidCap Index Fund 5.23% 12.08% S&P MidCap 400 Index 6.66% 13.16% * 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. ** K Share commencement of operations was 10/16/03. -------------------------------------------------------------------------------- CIT S&P MidCap Index Fund versus the S&P MidCap 400 Index [LINE CHART] Date CIT S&P MidCap Index Fund S&P MidCap 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 $13,051.74 $13,246.44 09/30/05 $13,129.08 $13,348.21 10/31/05 $12,832.60 $13,061.24 11/30/05 $13,451.35 $13,699.16 12/31/05 $13,534.61 $13,794.74 01/31/06 $14,307.15 $14,607.43 02/28/06 $14,169.42 $14,484.97 03/31/06 $14,519.88 $14,846.24 04/30/06 $14,687.74 $15,055.01 05/31/06 $14,010.31 $14,376.44 06/30/06 $13,998.50 $14,379.15 07/31/06 $13,590.30 $13,969.19 08/31/06 $13,734.37 $14,128.48 -------------------------------------------------------------------------------- 4 REGULAR SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year 5 year Inception ---------- ---------- ---------- CIT SmallCap Index Fund 6.94% 11.12% 10.38% S&P SmallCap 600 Index 7.13% 11.56% 11.35% -------------------------------------------------------------------------------- CIT S&P SmallCap Index Fund versus the S&P SmallCap 600 Index [LINE CHART] Date CIT S&P SmallCap Index Fund S&P SmallCap 600 Index 10/02/96 $10,000.00 $10,000.00 10/31/96 $9,850.00 $9,930.87 11/30/96 $10,240.00 $10,446.37 12/31/96 $10,372.50 $10,568.60 01/31/97 $10,635.09 $10,744.41 02/28/97 $10,382.60 $10,522.11 03/31/97 $9,839.13 $9,982.35 04/30/97 $10,001.76 $10,104.43 05/31/97 $11,109.68 $11,291.22 06/30/97 $11,578.46 $11,790.12 07/31/97 $12,200.19 $12,531.24 08/31/97 $12,485.57 $12,846.77 09/30/97 $13,284.45 $13,696.24 10/31/97 $12,711.75 $13,105.40 11/30/97 $12,642.28 $13,010.10 12/31/97 $12,867.56 $13,272.04 01/31/98 $12,592.20 $13,013.24 02/28/98 $13,672.44 $14,198.35 03/31/98 $14,190.54 $14,740.09 04/30/98 $14,286.06 $14,826.45 05/31/98 $13,490.03 $14,041.36 06/30/98 $13,503.30 $14,081.84 07/31/98 $12,439.21 $13,004.94 08/31/98 $10,066.29 $10,498.37 09/30/98 $10,698.78 $11,139.22 10/31/98 $11,178.79 $11,655.74 11/30/98 $11,778.62 $12,311.07 12/31/98 $12,493.43 $13,096.16 01/31/99 $12,374.45 $12,932.55 02/28/99 $11,260.31 $11,767.17 03/31/99 $11,424.62 $11,919.17 04/30/99 $12,150.85 $12,706.46 05/31/99 $12,389.32 $13,015.81 06/30/99 $13,107.97 $13,756.20 07/31/99 $12,977.75 $13,635.06 08/31/99 $12,435.21 $13,035.23 09/30/99 $12,472.42 $13,090.45 10/31/99 $12,483.30 $13,057.37 11/30/99 $13,011.35 $13,609.93 12/31/99 $14,172.02 $14,721.16 01/31/00 $13,784.37 $14,265.06 02/29/00 $15,745.42 $16,174.87 03/31/00 $15,079.69 $15,577.09 04/30/00 $14,771.24 $15,309.96 05/31/00 $14,280.01 $14,857.49 06/30/00 $15,239.17 $15,736.75 07/31/00 $14,827.30 $15,349.74 08/31/00 $16,120.11 $16,710.02 09/30/00 $15,632.16 $16,255.16 10/31/00 $15,586.25 $16,356.51 11/30/00 $14,034.28 $14,654.45 12/31/00 $15,722.03 $16,460.06 01/31/01 $16,231.93 $17,165.25 02/28/01 $15,260.69 $16,118.21 03/31/01 $14,583.85 $15,379.91 04/30/01 $15,654.23 $16,551.79 05/31/01 $15,909.66 $16,868.63 06/30/01 $16,458.25 $17,486.39 07/31/01 $16,092.79 $17,194.54 08/31/01 $15,702.95 $16,802.82 09/30/01 $13,658.04 $14,531.92 10/31/01 $14,378.16 $15,306.80 11/30/01 $15,366.82 $16,425.87 12/31/01 $16,391.35 $17,537.34 01/31/02 $16,489.06 $17,690.30 02/28/02 $16,232.57 $17,385.94 03/31/02 $17,434.56 $18,759.10 04/30/02 $17,898.83 $19,289.21 05/31/02 $17,153.55 $18,491.39 06/30/02 $16,247.13 $17,534.91 07/31/02 $14,034.39 $15,058.28 08/31/02 $14,181.09 $15,201.89 09/30/02 $13,296.73 $14,271.67 10/31/02 $13,749.33 $14,727.69 11/30/02 $14,495.50 $15,494.40 12/31/02 $13,990.55 $14,972.31 01/31/03 $13,499.22 $14,457.67 02/28/03 $13,093.88 $13,994.75 03/31/03 $13,179.49 $14,104.44 04/30/03 $14,224.51 $15,249.14 05/31/03 $15,343.29 $16,477.69 06/30/03 $15,695.89 $16,906.44 07/31/03 $16,520.05 $17,785.20 08/31/03 $17,307.30 $18,650.34 09/30/03 $16,824.74 $18,102.34 10/31/03 $18,252.44 $19,671.30 11/30/03 $18,935.71 $20,415.72 12/31/03 $19,255.20 $20,777.29 01/31/04 $19,826.64 $21,374.28 02/29/04 $20,186.90 $21,785.42 03/31/04 $20,431.63 $22,071.96 04/30/04 $19,748.09 $21,340.15 05/31/04 $20,021.50 $21,666.42 06/30/04 $21,049.30 $22,866.41 07/31/04 $19,917.21 $21,613.17 08/31/04 $19,718.17 $21,424.23 09/30/04 $20,756.45 $22,553.99 10/31/04 $21,154.89 $22,974.51 11/30/04 $22,955.96 $24,937.59 12/31/04 $23,488.57 $25,485.69 01/31/05 $22,903.31 $24,907.88 02/28/05 $23,540.59 $25,621.89 03/31/05 $22,918.91 $24,960.26 04/30/05 $21,629.72 $23,566.70 05/31/05 $23,088.20 $25,126.94 06/30/05 $23,861.84 $25,943.81 07/31/05 $25,283.12 $27,505.35 08/31/05 $24,878.91 $27,099.67 09/30/05 $25,093.79 $27,337.71 10/31/05 $24,349.98 $26,481.88 11/30/05 $25,433.07 $27,697.48 12/31/05 $25,201.02 $27,447.34 01/31/06 $27,295.40 $29,745.07 02/28/06 $27,090.07 $29,522.37 03/31/06 $28,394.61 $30,970.47 04/30/06 $28,394.61 $30,967.46 05/31/06 $27,064.68 $29,553.89 06/30/06 $27,085.52 $29,558.17 07/31/06 $26,152.01 $28,542.46 08/31/06 $26,605.04 $29,033.19 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year Inception** ---------- ---------- CIT S&P SmallCap Index Fund 6.38% 13.60% S&P SmallCap 600 Index 7.13% 14.66% -------------------------------------------------------------------------------- CIT S&P SmallCap Index Fund versus the S&P SmallCap 600 Index [LINE CHART] Date CIT S&P SmallCap Index Fund S&P SmallCap 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 09/30/05 $13,623.72 $13,897.22 10/31/05 $13,212.17 $13,462.16 11/30/05 $13,794.01 $14,080.11 12/31/05 $13,660.24 $13,952.95 01/31/06 $14,789.93 $15,121.01 02/28/06 $14,678.44 $15,007.80 03/31/06 $15,375.49 $15,743.95 04/30/06 $15,368.06 $15,742.43 05/31/06 $14,646.87 $15,023.83 06/30/06 $14,646.87 $15,026.02 07/31/06 $14,133.86 $14,509.67 08/31/06 $14,371.78 $14,759.14 -------------------------------------------------------------------------------- REGULAR SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year 5 year Inception ---------- ---------- ---------- CIT Equity Income Fund 6.50% 8.26% 8.47% S&P/Citigroup Value Index 12.83% 6.39% 9.56% S&P 500 Composite Stock Price Index 8.87% 4.65% 8.85% -------------------------------------------------------------------------------- CIT Equity Income Fund versus the S&P/Citigroup Value Index and the S&P 500 Composite Stock Price Index [LINE CHART] CIT Equity S&P/Citigroup S&P 500 Composite Date Income Fund Value Index Stock Price 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 09/30/05 $21,271.10 $22,301.93 $21,724.32 10/31/05 $20,704.75 $21,912.42 $21,361.98 11/30/05 $21,322.07 $22,737.14 $22,169.12 12/31/05 $21,279.67 $22,799.08 $22,177.57 01/31/06 $22,024.19 $23,479.29 $22,764.76 02/28/06 $21,970.04 $23,734.13 $22,826.34 03/31/06 $22,262.03 $24,138.94 $23,110.44 04/30/06 $22,452.19 $24,811.43 $23,420.56 05/31/06 $21,800.22 $24,207.09 $22,747.33 06/30/06 $21,918.66 $24,287.70 $22,777.54 07/31/06 $22,068.69 $24,530.99 $22,917.94 08/31/06 $22,532.44 $24,904.75 $23,462.40 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year Inception** ---------- ---------- CIT Equity Income Fund 5.92% 10.87% S&P/Citigroup Value Index 12.83% 13.48% S&P 500 Composite Stock Price Index 8.87% 9.78% * 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. ** K Share commencement of operations was 10/16/03. -------------------------------------------------------------------------------- CIT Equity Income Fund versus the S&P/Citigroup Value Index and the S&P 500 Composite Stock Price Index [LINE CHART] CIT Equity S&P/Citigroup S&P 500 Composite Date Income Fund Value Index Stock Price 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 09/30/05 $12,807.52 $12,829.70 $12,095.84 10/31/05 $12,459.87 $12,605.63 $11,894.09 11/30/05 $12,830.20 $13,080.07 $12,343.50 12/31/05 $12,797.89 $13,115.70 $12,348.20 01/31/06 $13,235.85 $13,507.01 $12,675.14 02/28/06 $13,203.41 $13,653.61 $12,709.43 03/31/06 $13,365.20 $13,886.49 $12,867.61 04/30/06 $13,479.02 $14,273.35 $13,040.28 05/31/06 $13,080.67 $13,925.70 $12,665.44 06/30/06 $13,143.59 $13,972.07 $12,682.26 07/31/06 $13,225.13 $14,112.03 $12,760.43 08/31/06 $13,502.35 $14,327.04 $13,063.58 -------------------------------------------------------------------------------- 5 REGULAR SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year 5 year Inception ---------- ---------- ---------- CIT European Growth & Income Fund 17.97% 8.70% 1.44% Dow Jones Stoxx 50 Index (U.S. Dollars) 21.11% 9.15% 1.58% -------------------------------------------------------------------------------- European Growth & Income Fund versus the Dow Jones Stoxx 50 Index (U.S. Dollars) [LINE CHART] CIT European Dow Jones Growth & Stoxx 50 Index Date Income Fund (U.S. dollars) 12/31/99 $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 09/30/05 $9,499.16 $9,404.41 10/31/05 $9,292.18 $9,176.17 11/30/05 $9,324.86 $9,236.66 12/31/05 $9,551.34 $9,482.50 01/31/06 $10,097.13 $10,048.85 02/28/06 $9,900.65 $9,954.56 03/31/06 $10,234.02 $10,266.63 04/30/06 $10,781.88 $10,799.60 05/31/06 $10,496.99 $10,533.55 06/30/06 $10,502.80 $10,575.38 07/31/06 $10,724.61 $10,775.69 08/31/06 $10,990.78 $11,090.60 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year Inception** ---------- ---------- CIT European Growth & Income Fund 17.31% 16.80% Dow Jones Stoxx 50 Index (U.S. Dollars) 21.11% 19.28% -------------------------------------------------------------------------------- European Growth & Income Fund versus the Dow Jones Stoxx 50 Index (U.S. Dollars) [LINE CHART] CIT European Dow Jones Growth & Stoxx 50 Index Date Income 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 09/30/05 $13,597.92 $14,118.08 10/31/05 $13,302.64 $13,775.43 11/30/05 $13,333.73 $13,866.24 12/31/05 $13,655.41 $14,235.30 01/31/06 $14,433.05 $15,085.52 02/28/06 $14,153.11 $14,943.97 03/31/06 $14,623.27 $15,412.45 04/30/06 $15,402.76 $16,212.56 05/31/06 $14,981.84 $15,813.15 06/30/06 $14,972.64 $15,875.95 07/31/06 $15,287.85 $16,176.67 08/31/06 $15,666.11 $16,649.42 -------------------------------------------------------------------------------- REGULAR SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year 5 year Inception ---------- ---------- ---------- CIT Nasdaq-100 Index Fund -0.24% 1.27% -12.69% Nasdaq-100 Index 0.33% 1.73% -11.90% -------------------------------------------------------------------------------- CIT Nasdaq-100 Index Fund versus the Nasdaq-100 Index [LINE CHART] Date CIT Nasdaq-100 Index Fund Nasdaq-100 Index 12/31/99 $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 09/30/05 $4,134.19 $4,362.27 10/31/05 $4,072.64 $4,301.45 11/30/05 $4,308.59 $4,558.67 12/31/05 $4,236.78 $4,486.11 01/31/06 $4,411.17 $4,666.26 02/28/06 $4,308.59 $4,560.12 03/31/06 $4,391.78 $4,651.06 04/30/06 $4,381.50 $4,643.69 05/31/06 $4,072.94 $4,316.68 06/30/06 $4,062.66 $4,305.15 07/31/06 $3,887.81 $4,126.00 08/31/06 $4,072.94 $4,322.09 -------------------------------------------------------------------------------- K SHARES Average Annual Total Returns* for periods ended 8/31/2006 1 year Inception** ---------- ---------- CIT Nasdaq-100 Index Fund -0.76% 3.01% Nasdaq-100 Index 0.33% 3.99% * 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. ** K Share commencement of operations was 10/16/03. -------------------------------------------------------------------------------- CIT Nasdaq-100 Index Fund versus the Nasdaq-100 Index [LINE CHART] Date CIT Nasdaq-100 Index Fund Nasdaq-100 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 $10,074.60 05/31/05 $10,812.60 $10,946.41 06/30/05 $10,477.33 $10,598.61 07/31/05 $11,231.70 $11,391.99 08/31/05 $11,064.06 $11,234.31 09/30/05 $11,203.76 $11,376.19 10/31/05 $11,036.12 $11,217.58 11/30/05 $11,678.72 $11,888.37 12/31/05 $11,483.15 $11,699.15 01/31/06 $11,902.24 $12,168.97 02/28/06 $11,650.79 $11,892.18 03/31/06 $11,874.30 $12,129.32 04/30/06 $11,846.36 $12,110.09 05/31/06 $11,008.17 $11,257.31 06/30/06 $10,952.30 $11,227.24 07/31/06 $10,505.27 $10,760.05 08/31/06 $10,980.23 $11,271.42 -------------------------------------------------------------------------------- 6 -------------------------------------------------------------------------------- ABOUT YOUR FUND'S EXPENSES AUGUST 31, 2006 -------------------------------------------------------------------------------- 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 in 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 the 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 seven days. 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 Ending Account Value Account Value Expenses Paid March 1, 2006 August 31, 2006 During Period ---------------------------------------------------------- CALIFORNIA TAX-FREE INCOME FUND Direct Shares Based on actual fund return $ 1,000 $ 1,013 $ 3.35(1) Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 3.36(1) CALIFORNIA INSURED INTERMEDIATE FUND Direct Shares Based on actual fund return $ 1,000 $ 1,013 $ 3.45(2) Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 3.47(2) CALIFORNIA TAX-FREE MONEY MARKET FUND Direct Shares Based on actual fund return $ 1,000 $ 1,014 $ 2.69(3) Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 2.70(3) US GOVERNMENT SECURITIES FUND Direct Shares Based on actual fund return $ 1,000 $ 1,016 $ 3.76(4) Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 3.77(4) K Shares Based on actual fund return $ 1,000 $ 1,014 $ 6.29(4) Based on hypothetical 5% return before expenses $ 1,000 $ 1,019 $ 6.31(4) SHORT-TERM US GOVERNMENT BOND FUND Direct Shares Based on actual fund return $ 1,000 $ 1,021 $ 3.01(5) Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 3.01(5) K Shares Based on actual fund return $ 1,000 $ 1,018 $ 5.54(5) Based on hypothetical 5% return before expenses $ 1,000 $ 1,020 $ 5.55(5) THE UNITED STATES TREASURY TRUST Direct Shares Based on actual fund return $ 1,000 $ 1,021 $ 2.70(6) Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 2.70(6) K Shares Based on actual fund return $ 1,000 $ 1,019 $ 5.24(6) Based on hypothetical 5% return before expenses $ 1,000 $ 1,020 $ 5.24(6)
7 ABOUT YOUR FUND'S EXPENSES -(CONTINUED)
Beginning Ending Account Value Account Value Expenses Paid March 1, 2006 August 31, 2006 During Period ---------------------------------------------------------- S&P 500 INDEX Direct Shares Based on actual fund return $ 1,000 $ 1,026 $ 1.84(7) Based on hypothetical 5% return before expenses $ 1,000 $ 1,023 $ 1.84(7) K Shares Based on actual fund return $ 1,000 $ 1,024 $ 4.39(7) Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 4.38(7) S&P MIDCAP INDEX FUND Direct Shares Based on actual fund return $ 1,000 $ 972 $ 2.88(8) Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 2.96(8) K Shares Based on actual fund return $ 1,000 $ 969 $ 5.36(8) Based on hypothetical 5% return before expenses $ 1,000 $ 1,020 $ 5.50(8) S&P SMALLCAP INDEX FUND Direct Shares Based on actual fund return $ 1,000 $ 982 $ 3.70(9) Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 3.77(9) K Shares Based on actual fund return $ 1,000 $ 979 $ 6.19(9) Based on hypothetical 5% return before expenses $ 1,000 $ 1,019 $ 6.31(9) EQUITY INCOME FUND Direct Shares Based on actual fund return $ 1,000 $ 1,026 $ 4.44(10) Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 4.43(10) K Shares Based on actual fund return $ 1,000 $ 1,023 $ 6.99(10) Based on hypothetical 5% return before expenses $ 1,000 $ 1,018 $ 6.97(10) EUROPEAN GROWTH & INCOME FUND Direct Shares Based on actual fund return $ 1,000 $ 1,110 $ 5.32(11) Based on hypothetical 5% return before expenses $ 1,000 $ 1,020 $ 5.09(11) K Shares Based on actual fund return $ 1,000 $ 1,107 $ 7.97(11) Based on hypothetical 5% return before expenses $ 1,000 $ 1,017 $ 7.63(11) NASDAQ-100 INDEX FUND Direct Shares Based on actual fund return $ 1,000 $ 945 $ 3.63(12) Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 3.77(12) K Shares Based on actual fund return $ 1,000 $ 942 $ 6.07(12) Based on hypothetical 5% return before expenses $ 1,000 $ 1,019 $ 6.31(12)
(1) Expenses are equal to the Fund's expense ratio (0.66%), 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. (2) 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. (3) 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. (4) 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 (5) 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. (6) 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. (7) 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. (8) 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. (9) 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) Expenses are equal to the Fund's expense ratio (Direct Shares 0.87%; K Shares 1.37%), 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) 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. (12) 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. 8 -------------------------------------------------------------------------------- TOP HOLDINGS AND SECTOR BREAKDOWNS AUGUST 31, 2006 -------------------------------------------------------------------------------- CALIFORNIA TAX-FREE INCOME FUND
Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1. CALIFORNIA STATE PUBLIC WORKS BOARD University of California Projects; 1993 Series A $ 5,449,650 4.3% 2. LOS ANGELES COMMUNITIES REDEVELOPMENT AGENCY Bunker Hill Project; Series A 4,189,640 3.3% 3. CALIFORNIA, STATE OF General Obligation Bonds; 2005 4,188,760 3.3% 4. SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 4,159,819 3.3% 5. LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 3,764,259 3.0% 6. SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refund Bonds 3,545,619 2.8% 7. SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 3,364,298 2.7% 8. CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Stanford University Revenue Bonds; Series P 3,340,140 2.7% 9. CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Revenue Bonds (Occidental College); Series 2005A 3,332,460 2.6% 10. CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY John Muir Health: Series A 3,078,030 2.4%
CALIFORNIA INSURED INTERMEDIATE FUND
Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1. MONTEREY, COUNTY OF Certificates of Participation $ 643,056 3.3% 2. EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 589,650 3.0% 3. IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 555,949 2.9% 4. SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 554,245 2.9% 5. FRESNO, CITY OF Water System Revenue Refunding; Series A 553,540 2.9% 6. CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 2001A 553,455 2.9% 7. FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 20025 551,830 2.8% 8. OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 551,040 2.8% 9. BEVERLY HILLS PUBLIC FINANCIAL AUTHORITY Lease Revenue Refunding; Series A 548,485 2.8% 10. NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT 2005 General Obligation Refunding Bonds 545,925 2.8%
CALIFORNIA TAX-FREE MONEY MARKET FUND
Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1. CALIFORNIA, STATE OF Series C-3 $ 3,600,000 4.4% 2. LOS ANGLES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds; 1992; Series A 3,000,000 3.7% 3. CALIFORNIA, STATE OF Kindergarten-Univ; Series B-3 2,700,000 3.3% 4. RAMONA UNIFIED SCHOOL DISTRICT School Facility Program; 2004 2,500,000 3.1% 5. EAST BAY MUNICIPAL UTILITY DISTRICT Certificates of Participation 2,250,000 2.8% 6. CALIFORNIA SCHOOL CASH RESERVE PROGRAM AUTHORITY 2006-2007; Series A 2,016,303 2.5% 7 LOS ANGELES, COUNTY OF Series A 2,015,925 2.5% 8. SANTA CLARA UNIFIED SCHOOL DISTRICT Tax and Revenue Anticipation Notes 2,015,768 2.5% 9. SACRAMENTO, COUNTY OF Tax and Revenue Anticipation Notes 2,015,154 2.5% 10. FRESNO, COUNTY OF Tax and Revenue Anticipation Notes 2,014,808 2.5%
[BAR CHART] Long Term Securities 97.5% Variable Rate Demand Notes 1.5% Other Net Assets 1.0% [BAR CHART] Long Term Securities 94.2% Variable Rate Demand Notes 4.6% Other Net Assets 1.2% [BAR CHART] Variable Rate Demand Notes 78.3% Tax and Revenue Anticipation 14.8% Commercial Paper 6.4% Other Net Assets 0.6% 9 -------------------------------------------------------------------------------- TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED) AUGUST 31, 2006 -------------------------------------------------------------------------------- U.S. GOVERNMENT SECURITIES FUND
Percentage of Total Security Maturity Value Investment -------------------------------------------------------------------------------------------- 1. Government National Mortgage Association 4/15/2036 $ 3,943,091 14.9% 2. United States Treasury Notes 5/15/2016 3,572,229 13.5% 3. United States Treasury Notes 7/31/2008 3,011,721 11.3% 4. Government National Mortgage Association 12/20/2034 2,090,783 7.9% 5. Government National Mortgage Association 7/20/2035 1,920,323 7.2% 6. Government National Mortgage Association 2/15/2019 1,546,670 5.8% 7. Government National Mortgage Association 7/15/2020 1,496,971 5.6% 8. Government National Mortgage Association 1/15/2019 1,236,882 4.7% 9. Government National Mortgage Association 9/15/2018 1,167,862 4.4% 10. Government National Mortgage Association 2/15/2018 1,023,738 3.9%
[BAR CHART] Government National Mortgage Association 70.3% United States Treasury Bills 4.4% United States Treasury Notes 24.7% Other Net Assets 0.6% SHORT-TERM U.S. GOVERNMENT BOND FUND
Percentage of Total Security Maturity Value Investment -------------------------------------------------------------------------------------------- 1. United States Treasury Notes 5/15/2008 $ 1,572,501 10.8% 2. United States Treasury Notes 8/15/2007 1,469,064 10.1% 3. United States Treasury Notes 7/15/2009 1,068,891 7.3% 4. United States Treasury Notes 2/15/2008 974,219 6.7% 5. United States Treasury Notes 8/15/2008 890,438 6.1% 6. United States Treasury Notes 9/30/2007 693,028 4.8% 7. Government National Mortgage Association II 11/20/2034 673,222 4.6% 8. United States Treasury Notes 5/15/2009 602,461 4.1% 9. United States Treasury Notes 11/15/2008 600,141 4.1% 10. United States Treasury Notes 5/15/2008 578,836 4.0%
[BAR CHART] Government National Mortgage Association 8.2% United States Treasury Bills 1.4% United States Treasury Notes 89.7% Other Net Assets 0.7% THE UNITED STATES TREASURY TRUST
Percentage of Total Security Maturity Value Investment -------------------------------------------------------------------------------------------- 1. United States Treasury Bills 10/12/2006 $17,204,912 33.6% 2. United States Treasury Bills 9/14/2006 12,077,893 23.6% 3. United States Treasury Bills 12/14/2006 11,727,080 22.9% 4. United States Treasury Bills 11/16/2006 10,191,468 19.9%
[BAR CHART] United States Treasury Bills 100.2% Other Liabilities -0.2% 10 -------------------------------------------------------------------------------- TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED) AUGUST 31, 2006 -------------------------------------------------------------------------------- S&P 500 INDEX FUND Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1. Exxon Mobil Corp $ 3,696,812 3.5% 2. General Electric Co 3,173,336 3.0% 3. Citigroup Inc 2,201,553 2.1% 4. Bank of America Corp 2,138,373 2.0% 5. Microsoft Corp 2,041,893 1.9% 6. Procter & Gamble Co 1,822,150 1.7% 7. Pfizer Inc 1,812,125 1.7% 8. Johnson & Johnson 1,720,926 1.6% 9. Altria Group Inc 1,561,176 1.5% 10. American Int'l Group Inc 1,480,369 1.4% [BAR CHART] Basic Materials 3.0% Communications 10.7% Consumer Cyclical 8.2% Consumer Non-Cyclical 21.4% Energy 9.8% Financial 21.4% Industrial 11.0% Technology 10.5% Utilities 3.6% S&P MIDCAP INDEX FUND Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1. Peabody Energy Corp $ 1,727,544 1.0% 2. Cognizant Technology Solutions Corp 1,541,446 0.9% 3. Noble Energy Inc 1,389,592 0.8% 4. Smith International Inc 1,348,076 0.8% 5. Precision Castparts Corp 1,252,019 0.7% 6. CH Robinson Worldwide Inc 1,250,978 0.7% 7. Questar Corp 1,186,290 0.7% 8. Microchip Technology Inc 1,174,967 0.7% 9. Expeditors Int'l Washington Inc 1,167,713 0.7% 10. Varian Medical Systems Inc 1,137,369 0.7% [BAR CHART] Basic Materials 3.6% Communications 4.7% Consumer Cyclical 13.4% Consumer Non-Cyclical 16.1% Diversified 0.4% Energy 11.5% Financial 17.4% Industrial 15.0% Technology 10.5% Utilities 6.9% S&P SMALLCAP INDEX FUND Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1. Frontier Oil Corp $ 204,179 0.6% 2. Helix Energy Solutions Group Inc 197,146 0.6% 3. Public Storage Inc 195,916 0.6% 4. Cimarex Energy Co 184,721 0.6% 5. Energen Corp 184,597 0.6% 6. Resmed Inc 169,636 0.5% 7. Cerner Corp 164,434 0.5% 8. Idexx Laboratories Inc 163,962 0.5% 9. Essex Property Trust Inc 159,849 0.5% 10. Southern Union Co 157,769 0.5% [BAR CHART] Basic Materials 3.4% Communications 3.4% Consumer Cyclical 15.0% Consumer Non-Cyclical 16.0% Energy 7.8% Financial 15.2% Industrial 18.2% Technology 9.1% Utilities 4.8% 11 -------------------------------------------------------------------------------- TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED) AUGUST 31, 2006 -------------------------------------------------------------------------------- EQUITY INCOME FUND Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1. Bank of America Corp $ 669,934 3.2% 2. McGraw-Hill Cos Inc/The 597,007 2.9% 3. Wells Fargo & Co 576,641 2.8% 4. Citigroup Inc 513,783 2.5% 5. Coca-Cola Co/The 470,505 2.3% 6. Baxter International Inc 462,040 2.2% 7. McDonald's Corp 444,011 2.1% 8. Exxon Mobil Corp 421,990 2.0% 9. Moody's Corp 372,709 1.8% 10. First Data Corp 369,929 1.8% [BAR CHART] Basic Materials 3.1% Communications 4.5% Consumer Cyclical 9.8% Consumer Non-Cyclical 16.6% Energy 9.6% Financial 25.0% Industrial 4.9% Technology 7.7% Utilities 4.7% EUROPEAN GROWTH & INCOME FUND Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1. BP PLC ADR $ 495,132 4.8% 2. GlaxoSmithKline PLC ADR 459,237 4.5% 3. Total SA ADR 435,462 4.2% 4. HSBC Holdings PLC ADR 432,329 4.2% 5. Barclays PLC ADasaR 387,141 3.8% 6. Nestle SA ADR 374,081 3.6% 7. Royal Dutch Shell PLC ADR 366,761 3.6% 8. Novartis AG ADR 363,112 3.5% 9. Roche Holding AG ADR 350,690 3.4% 10. UBS AG 337,781 3.3% [BAR CHART] Basic Materials 3.3% Communications 13.6% Consumer Cyclical 1.3% Consumer Non-Cyclical 21.0% Energy 17.3% Financial 32.6% Industrial 3.0% Technology 1.1% Utilities 3.8% NASDAQ-100 INDEX FUND Percentage of Total Security Value Investment -------------------------------------------------------------------------------- 1. Microsoft Corp $ 1,022,719 6.4% 2. Apple Computer Inc 898,877 5.6% 3. Qualcomm Inc 838,308 5.2% 4. Google Inc 554,168 3.5% 5. Cisco Systems Inc 540,514 3.4% 6. Intel Corp 449,537 2.8% 7. Amgen Inc 435,635 2.7% 8. Oracle Corp 376,883 2.4% 9. Comcast Corp 374,360 2.3% 10. Starbucks Corp 368,275 2.3% [BAR CHART] Basic Materials 0.4% Communications 27.8% Consumer Cyclical 10.3% Consumer Non-Cyclical 16.3% Energy 0.4% Industrial 3.0% Technology 38.1% 12
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ LONG TERM SECURITIES (97.50%) BAY AREA TOLL AUTHORITY Series F $ 500,000 5.00% 4/1/2031 $ 526,835 CALIFORNIA DEPARTMENT OF WATER RESOURCES Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.00% 12/1/2011 1,964,980 Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.00% 12/1/2011 2,399,710 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.25% 1/1/2017 2,614,400 Revenue Bonds (Occidental College); Series 2005A 3,165,000 5.00% 10/1/2030 3,332,460 Stanford University Revenue Bonds; Series P 3,000,000 5.25% 12/1/2013 3,340,140 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison--Imperial County; 1991 Series A 2,500,000 6.50% 9/1/2017 2,880,600 University of California Projects; 1993 Series A 5,000,000 5.50% 6/1/2014 5,449,650 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTH. John Muir Health: Series A 3,000,000 5.00% 8/15/2036 3,078,030 UniHealth America; Certificates of Participation; 1993 Series A 2,160,000 5.50% 10/1/2014 2,385,504 CALIFORNIA, STATE OF Economic Recovery Bonds; Series 2004A & B 2,000,000 5.00% 7/1/2016 2,119,460 General Obligation Bonds 2,000,000 5.00% 6/1/2033 2,074,460 General Obligation Bonds; 2005 4,000,000 5.00% 5/1/2027 4,188,760 Variable Purpose 2,000,000 5.00% 3/1/2028 2,097,100 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 2,090,000 7.25% 8/1/2009 2,297,203 CONTRA COSTA WATER DISTRICT Water Revenue Bonds; Series E 2,000,000 6.25% 10/1/2012 2,177,720 CUCAMONGA COUNTY WATER DISTRICT Water Facilities and Refinancing, 2001 1,080,000 5.00% 9/1/2016 1,143,763 ELSINORE VALLEY MUNICIPAL WATER DISTRICT Certificates of Participation 1,000,000 6.00% 7/1/2012 1,122,970 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT Election 1999; Series C 2,000,000 0.00% 8/1/2027 769,340 KERN HIGH SCHOOL DISTRICT General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.60% 8/1/2016 2,870,568 Series General Obligation Refunding Bonds; 2004 Series A 2,890,000 5.00% 8/1/2026 3,058,169 LA QUINTA REDEVELOPMENT AGENCY Redevelopment Project Area No.2; Series 1994 1,015,000 7.30% 9/1/2009 1,120,103 LOS ANGELES COMMUNITIES REDEVELOPMENT AGENCY Bunker Hill Project; Series A 4,000,000 5.00% 12/1/2027 4,189,640 LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY Lease Revenue Bonds; 1993 Series A 2,500,000 6.00% 8/15/2010 2,721,050 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.50% 7/1/2010 3,764,259 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 2,450,000 6.00% 7/1/2014 2,830,020 LOS ANGELES WASTEWATER SYSTEMS Series A 2,000,000 5.00% 6/1/2028 2,072,080 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water System Revenue Bonds, 2005 Series A 2,000,000 5.00% 3/1/2016 2,181,600 M-S-R PUBLIC POWER AGENCY SAN JUAN PROJECT REVENUE San Juan Project Refunding Revenue Bonds; Series F 1,500,000 6.13% 7/1/2013 1,660,995 NOVATO UNIFIED SCHOOL DISTRICT General Obligation bonds; Election 2001; Series 2005 2,000,000 5.00% 8/1/2028 2,102,620 OAKLAND REDEVELOPMENT AGENCY Central District Redevelopment Project; Series 1992 2,000,000 5.50% 2/1/2014 2,143,440 Central District Redevelopment Project; Series 2005 1,000,000 5.00% 9/1/2022 1,061,750 RIVERSIDE, COUNTY OF Leasehold Revenue Bonds; 1997 Series C 1,635,000 5.00% 6/1/2008 1,675,074 ROSEVILLE WOODCREEK WEST Special Tax Refunding; Series 2005 1,000,000 5.00% 9/1/2030 1,044,950 SACRAMENTO CITY FINANCING AUTHORITY Capital Improvement: Series A 2,000,000 5.00% 12/1/2036 2,098,020 SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH. Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.00% 9/1/2016 1,843,868 SAN DIEGO COUNTY AND SCHOOL DISTRICT Series A 2,000,000 4.50% 7/27/2007 2,019,600 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.75% 7/1/2011 3,364,298 SAN MARINO UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1998 Series B 1,440,000 5.25% 7/1/2016 1,604,290
See accompanying notes to financial statements 13
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE INCOME FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ SANTA ANA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series 2000 $ 2,500,000 5.70% 8/1/2022 $ 2,700,425 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.00% 11/15/2012 2,260,300 Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.75% 11/15/2013 1,975,575 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds 3,300,000 7.00% 7/1/2010 3,545,619 SANTA MARGARITA-DANA POINT AUTHORITY Improvement District; 1994 Series A 1,045,000 7.25% 8/1/2010 1,182,323 SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT Election 2004; Capital Appreciation Bonds 2,500,000 0.00% 8/1/2029 862,150 SONOMA COUNTY JUNIOR COLLEGE DISTRICT Election 2002; Series B 1,000,000 5.00% 8/1/2027 1,057,430 SONOMA, COUNTY OF Certificates of Participation; 2002 Series A 1,815,000 5.00% 11/15/2012 1,952,268 SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT Installment Sale Revenue Bonds; Series 1992 2,400,000 6.00% 8/1/2011 2,657,112 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 3,585,000 6.75% 7/1/2013 4,159,819 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA UC San Diego Medical Center; Series 2000 2,500,000 5.13% 12/1/2016 2,657,225 TURLOCK IRRIGATION DISTRICT Revenue Refunding Bonds; Series A 2,000,000 6.25% 1/1/2012 2,164,580 VAL VERDE UNIFIED SCHOOL DISTRICT School Construction Project; Series B 1,980,000 5.00% 1/1/2024 2,081,772 WEST VALLEY MISSION COMMUNITY COLLEGE DISTRICT Election 2004; Series A 2,000,000 5.00% 8/1/2030 2,113,640 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT Election 2001; Capital Appreciation Bonds, Series B 3,595,000 0.00% 9/1/2029 1,233,049 ------------ Total-Long Term Securities (Cost $117,484,422) 123,992,766 ------------ VARIABLE RATE DEMAND NOTES* (1.49%) CALIFORNIA, STATE OF Series C-3 1,200,000 3.47% 9/1/2006 1,200,000 IRVINE RANCH WATER DISTRICT General Obligation; Consolidated Series 1993 100,000 3.25% 9/1/2006 100,000 NEWPORT BEACH, CITY OF Hoag Memorial Hospital Presbyterian; Series 1996 Series B 200,000 3.45% 9/1/2006 200,000 Hoag Memorial Hospital Presbyterian; Series 1996 Series C 400,000 3.45% 9/1/2006 400,000 ------------ Total Variable Rate Demand Notes (Cost $1,900,000) 1,900,000 ------------ Total Investments (Cost $119,384,422) (a) (98.99%) 125,892,766 Other Net Assets (1.01%) 1,284,829 ------------ Net Assets (100.00%) $127,177,595 ============ (a) Aggregate cost for federal income tax purposes is $119,140,213. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 6,878,230 Unrealized depreciation (125,677) ------------ Net unrealized appreciation $ 6,752,553 ============
* Stated maturity reflects next reset date.
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED INTERMEDIATE FUND PORTFOLIO OF INVESTMENTS 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ LONG-TERM SECURITIES (94.19%) ANAHEIM PUBLIC FINANCIAL AUTHORITY Convention Center Project; Series A $ 500,000 5.25% 8/1/2013 $ 542,600 BEVERLY HILLS PUBLIC FINANCIAL AUTHORITY Lease Revenue Refunding; Series A 500,000 5.25% 6/1/2013 548,485 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY University of San Francisco Revenue Bonds; Series 1996 500,000 5.60% 10/1/2010 538,725 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison -- Lassen County; 2001 Series A 400,000 5.25% 6/1/2011 429,100 Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.25% 6/1/2012 542,530
See accompanying notes to financial statements 14
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED INTERMEDIATE FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA, STATE OF General Obligation Bonds; 1996 $ 500,000 5.20% 6/1/2007 $ 506,285 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 300,000 7.25% 8/1/2009 329,742 Water System Improvement Projects; Series 2001A 500,000 6.00% 8/1/2012 553,455 CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY General Obligation Refi. Bonds; Series C 400,000 6.15% 2/1/2009 423,908 CHAFFEY UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series C 500,000 5.00% 5/1/2012 537,240 CHICO UNIFIED SCHOOL DISTRICT General Obligation Refunding Bonds 400,000 8.50% 8/1/2007 417,560 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 550,000 5.25% 7/1/2012 589,650 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 2002 500,000 5.50% 8/1/2012 551,830 FRESNO, CITY OF Water System Revenue Refunding; Series A 500,000 6.00% 6/1/2011 553,540 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 530,000 5.20% 11/1/2009 555,949 INDUSTRY CITY URBAN DEVELOPMENT AGENCY 2002 Tax Allocation; Refunding, Project 1 300,000 5.38% 5/1/2012 305,172 LOS ANGELES, CITY OF Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.00% 2/1/2008 510,470 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTH. Sales Tax Revenue Bonds; Series A 500,000 5.50% 7/1/2008 517,855 LOS ANGELES DEPARTMENT OF WATER AND POWER Power Project Revenue Bond; 2001 Series A 500,000 5.25% 7/1/2014 535,360 LOS ANGELES UNIFIED SCHOOL DISTRICT Election of 2004; Series F 500,000 5.00% 7/1/2010 526,845 General Obligation Bonds; 1997 Series A 400,000 6.00% 7/1/2007 408,052 LOS ANGELES, COUNTY OF Pension Obligation Certificates; Series A 400,000 6.90% 6/30/2008 423,116 MONTEREY, COUNTY OF Certificates of Participation 600,000 5.25% 8/1/2014 643,056 NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT 2005 General Obligation Refunding Bonds 500,000 5.00% 8/1/2014 545,925 General Obligation Bonds; 2002 Series A 500,000 5.00% 8/1/2012 538,590 OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 500,000 5.50% 10/1/2012 551,040 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY Measure M Sales Tax Revenue 2nd Series, Series A 325,000 5.00% 2/15/2009 336,525 Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.50% 2/15/2007 504,555 RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY Eisenhower Medical Center; Series 1997A 385,000 5.25% 7/1/2012 397,074 SAN BERNARDINO, COUNTY OF Certificates of Participation; Series 2002 A 500,000 5.00% 7/1/2015 545,030 SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY Sewer Revenue Refunding Bonds; Series A 500,000 5.10% 5/15/2010 509,955 SAN FRANCISCO AIRPORT COMMISSION San Francisco International Airport Revenue Second; Series B 450,000 5.50% 5/1/2009 466,961 SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION Water Revenue Refunding Bonds; Series B 500,000 5.00% 11/1/2013 538,290 SANTA CLARA COUNTY FINANCING AUTHORITY Water Revenue Refunding Bonds; Series B 400,000 5.50% 5/15/2010 426,692 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 500,000 5.50% 1/1/2013 554,245 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Multiple Purpose Projects; Series O 500,000 5.75% 9/1/2010 541,400 WALNUT, CITY OF Public Financing Authority Tax Allocation 500,000 5.38% 9/1/2013 543,193 ------------ Total Long-Term Securities (Cost $18,389,400) 18,490,000 ------------
See accompanying notes to financial statements 15
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED INTERMEDIATE FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ VARIABLE RATE DEMAND NOTES* (4.58%) CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series 2002B6 $ 100,000 3.25% 9/1/2006 $ 100,000 Power Supply Revenue Bonds; Series B5 200,000 3.47% 9/1/2006 200,000 IRVINE RANCH WATER DISTRICT Consolidated Series 1991; Districts 105, 250, 290 100,000 3.30% 9/1/2006 100,000 IRVINE, CITY OF Assessment District 94-13 100,000 3.25% 9/1/2006 100,000 Assessment District 94-15 400,000 3.25% 9/1/2006 400,000 ------------ Total Variable Rate Demand Notes (Cost $900,000) 900,000 ------------ Total Investments (Cost $19,289,400) (a) (98.77%) 19,390,000 Other Net Assets (1.23%) 240,873 ------------ Net Assets (100.00%) $ 19,630,873 ============ (a) Aggregate cost for federal income tax purposes is $19,289,400. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 188,628 Unrealized depreciation (88,028) ------------ Net unrealized appreciation $ 100,600 ============
* Stated maturity reflects next reset date.
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ VARIABLE RATE DEMAND NOTES* (78.27%) ABAG FINANCIAL AUTHORITY FOR NON-PROFIT CORPS Revenue Bonds $ 1,500,000 3.30% 9/7/2006 $ 1,500,000 AZUSA UNIFIED SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 3.27% 9/7/2006 2,000,000 BAY AREA TOLL AUTHORITY San Francisco Bay Toll; Series D-1 2,000,000 3.18% 9/6/2006 2,000,000 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series 2002-B6 500,000 3.25% 9/1/2006 500,000 Power Supply Revenue Bonds; Series B5 1,300,000 3.47% 9/1/2006 1,300,000 Power Supply Revenue Bonds; Series C-8 2,000,000 3.25% 9/7/2006 2,000,000 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Sutter Hospital; Series B 150,000 3.30% 9/1/2006 150,000 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK Rand Corporation; Series B 480,000 3.30% 9/1/2006 480,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY Cathedral High School Project 1,000,000 3.25% 9/6/2006 1,000,000 Certificates of Participation: Sutter Health Group 1,000,000 3.26% 9/1/2006 1,000,000 Gemological Institute of America; Special Tax; Series 2001 1,800,000 3.28% 9/7/2006 1,800,000 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 3.25% 9/7/2006 2,000,000 General Obligation: Series A-3 1,800,000 3.47% 9/1/2006 1,800,000 Kindergarten-Univ; Series B-3 2,700,000 3.25% 9/1/2006 2,700,000 Series C-2 240,000 3.47% 9/1/2006 240,000 Series C-3 3,600,000 3.47% 9/1/2006 3,600,000 Series C-6 100,000 3.30% 9/1/2006 100,000 CHINO BASIN REGIONAL FINANCING AUTHORITY Inland Empire Utilities Agency; Series 2002A 2,000,000 3.25% 9/6/2006 2,000,000 IRVINE RANCH WATER DISTRICT Certificates of Participation; 1986 Capital Improvements Projects 1,200,000 3.32% 9/1/2006 1,200,000 Consolidated Series 1991; Districts 105, 250, 290 400,000 3.30% 9/1/2006 400,000 General Obligation; Consolidated Series 200,000 3.30% 9/1/2006 200,000 General Obligation; Consolidated Series 1993 50,000 3.25% 9/1/2006 50,000 Series 105 140 240 & 250 600,000 3.47% 9/1/2006 600,000 Sewer Bonds; 1988 Series A; District 282 400,000 3.47% 9/1/2006 400,000 Waterworks Bonds; 1998 Series A, District 182 400,000 3.47% 9/1/2006 400,000
See accompanying notes to financial statements 16
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ IRVINE, CITY OF Assessment District 93-14 $ 1,500,000 3.47% 9/1/2006 $ 1,500,000 Assessment District 94-13 200,000 3.25% 9/1/2006 200,000 Assessment District 94-15 800,000 3.25% 9/1/2006 800,000 Assessment District 00-18; Series A 1,210,000 3.25% 9/1/2006 1,210,000 LOS ANGELES COUNTY HOUSING AUTHORITY Rowland Heights Preservation; Series A 1,400,000 3.42% 9/6/2006 1,400,000 LOS ANGELES DEPARTMENT OF WATER AND POWER Water System Revenue Bonds; 2001 Series B-2 300,000 3.25% 9/1/2006 300,000 LOS ANGELES WASTEWATER SYSTEMS Series A 1,000,000 3.27% 9/7/2006 1,000,000 Series B-1 2,000,000 3.30% 9/7/2006 2,000,000 LOS ANGELES, COUNTY OF Pension Obligation, Refunding Bonds 800,000 3.25% 9/6/2006 800,000 LOS ANGLES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds; 1992; Series A 3,000,000 3.27% 9/7/2006 3,000,000 Tax Refunding Bonds; Series A 700,000 3.25% 9/6/2006 700,000 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water Revenue Bonds; Series 2000 B-3 1,200,000 3.47% 9/1/2006 1,200,000 Water Revenue Bonds; Series 2001 C-2 600,000 3.30% 9/1/2006 600,000 Water Revenue Refunding Bonds; 1996 Series A 1,785,000 3.24% 9/7/2006 1,785,000 NEWPORT BEACH, CITY OF Hoag Memorial Hospital Presbyterian; Series 1996 Series B 1,950,000 3.45% 9/1/2006 1,950,000 Hoag Memorial Hospital Presbyterian; Series 1996 Series C 100,000 3.45% 9/1/2006 100,000 ORANGE COUNTY HOUSING AUTHORITY Revenue Bonds, Village Niguel, Issue AA of 1985 1,900,000 3.35% 9/6/2006 1,900,000 ORANGE COUNTY SANITATION DISTRICT Refunding Certificates of Participation; Series 1993 1,300,000 3.26% 9/1/2006 1,300,000 Series A 200,000 3.26% 9/1/2006 200,000 ORANGE COUNTY WATER DISTRICT Certificates of Participation; Series A 2,000,000 3.25% 9/6/2006 2,000,000 RAMONA UNIFIED SCHOOL DISTRICT School Facility Program; 2004 2,500,000 3.35% 9/7/2006 2,500,000 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 2,000,000 3.30% 9/6/2006 2,000,000 SANTA ANA HOUSING AUTHORITY Harbor Pointe Apartments; 1995 Series A 1,720,000 3.28% 9/7/2006 1,720,000 TRACY, CITY OF Sycamore: 7/03 1,000,000 3.30% 9/7/2006 1,000,000 TUSTIN, CITY OF Reassessment District No. 95-2; Series A 1,500,000 3.25% 9/1/2006 1,500,000 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 3.27% 9/7/2006 2,000,000 ------------ Total Variable Rate Demand Notes (Cost $64,085,000) 64,085,000 ------------ TAX AND REVENUE ANTICIPATION NOTES (14.77%) CALIFORNIA SCHOOL CASH RESERVE PROGRAM AUTHORITY 2006-2007; Series A 2,000,000 4.50% 7/6/2007 2,016,303 FRESNO, COUNTY OF Tax and Revenue Anticipation Notes 2,000,000 4.50% 6/29/2007 2,014,808 LOS ANGELES, COUNTY OF Series A 2,000,000 4.50% 6/29/2007 2,015,925 SACRAMENTO, COUNTY OF Tax and Revenue Anticipation Notes 2,000,000 4.50% 7/17/2007 2,015,154 SAN DIEGO COUNTY AND SCHOOL DISTRICT Series A 2,000,000 4.50% 7/27/2007 2,014,598 SANTA CLARA UNIFIED SCHOOL DISTRICT Tax and Revenue Anticipation Notes 2,000,000 4.50% 7/2/2007 2,015,768 ------------ Total Tax and Revenue Anticipation Notes (Cost $12,092,556) 12,092,556 ------------
See accompanying notes to financial statements 17
------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX-FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL PAPER (6.41%) CHINO BASIN Certificates of Participation $ 1,000,000 3.52% 10/4/2006 $ 1,000,000 EAST BAY MUNICIPAL UTILITY DISTRICT Certificates of Participation 2,250,000 3.52% 9/6/2006 2,250,000 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commercial Paper Notes; Series A 2,000,000 3.52% 10/11/2006 2,000,000 ------------ Total Commercial Paper (Cost $5,250,000) 5,250,000 ============ Total Investments (Cost $81,427,556) (a) (99.45%) 81,427,556 Other Net Assets (0.55%) 447,944 ------------ Net Assets (100.00%) $ 81,875,500 ============
(a) Aggregate cost for federal income tax purposes is $81,427,556. * Stated maturity reflects next reset date.
------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT SECURITIES FUND PORTFOLIO OF INVESTMENTS 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Association (70.26%) $ 129,563 6.00% 04/15/2014 $ 131,625 202,154 6.00% 04/15/2014 205,370 166,742 6.00% 04/15/2016 169,343 140,124 6.50% 04/15/2016 142,913 123,799 6.00% 05/15/2016 125,731 1,038,633 5.00% 02/15/2018 1,023,738 622,923 5.00% 04/15/2018 613,989 1,184,854 5.00% 09/15/2018 1,167,862 9,954 10.00% 09/15/2018 11,056 30,219 9.00% 10/15/2018 32,483 1,255,628 5.00% 01/15/2019 1,236,882 1,570,112 5.00% 02/15/2019 1,546,670 1,520,606 5.00% 07/15/2020 1,496,971 930,209 5.50% 01/15/2025 932,440 976,995 6.00% 01/15/2026 988,765 2,112,252 4.50% 12/20/2034 2,090,783 1,967,964 4.75% 07/20/2035 1,920,323 1,029,098 4.50% 08/20/2035 989,158 3,979,571 5.50% 04/15/2036 3,943,091 ------------ Total Government National Mortgage Association (Cost $19,157,106) 18,769,193 ------------ United States Treasury Bills (4.45%) 400,000 5.14% - 5.18% 09/14/2006 399,266 300,000 5.17% 11/16/2006 296,944 500,000 5.11% - 5.21% 12/14/2006 493,084 ------------ Total United States Treasury Bills (Cost $1,188,829) 1,189,294 ------------ United States Treasury Notes (24.65%) 3,000,000 7.25% 5/15/2016 3,572,229 3,000,000 5.00% 7/31/2008 3,011,721 ------------ Total United States Treasury Notes (Cost $6,611,382) 6,583,950 ------------ Total Investments (Cost $26,957,317) (a) (99.36%) 26,542,437 Other Net Assets (0.64%) 172,545 ------------ Net Assets (100%) $ 26,714,982 ============ (a) Aggregate cost for federal income tax purposes is $26,957,317. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 70,885 Unrealized depreciation (485,765) ------------ Net unrealized appreciation (depreciation) $ (414,880) ============
See accompanying notes to financial statements 18
------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM U.S. GOVERNMENT BOND FUND PORTFOLIO OF INVESTMENTS 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Association (8.22%) $ 542,970 4.00% 06/20/2034 $ 532,915 680,074 4.50% 11/20/2034 673,222 ------------ Total Government National Mortgage Association (Cost $1,231,383) 1,206,137 ------------ United States Treasury Bills (1.36%) 100,000 5.14% 09/14/2006 99,817 100,000 5.09% 11/16/2006 98,982 ------------ Total United States Treasury Bills (Cost $198,773) 198,799 ------------ Total United States Treasury Notes (89.67%) 1,500,000 2.75% 08/15/2007 1,469,064 700,000 4.00% 09/30/2007 693,028 500,000 4.25% 10/31/2007 496,172 100,000 4.25% 11/30/2007 99,211 400,000 4.38% 01/31/2008 397,313 1,000,000 3.00% 02/15/2008 974,219 300,000 4.63% 02/29/2008 299,016 200,000 4.88% 04/30/2008 200,149 600,000 2.63% 05/15/2008 578,836 1,600,000 3.75% 05/15/2008 1,572,501 200,000 4.88% 05/31/2008 200,188 200,000 3.25% 08/15/2008 194,438 900,000 4.13% 08/15/2008 890,438 400,000 3.13% 09/15/2008 387,563 300,000 3.13% 10/15/2008 290,309 600,000 4.75% 11/15/2008 600,141 400,000 3.38% 12/15/2008 388,438 200,000 3.25% 01/15/2009 193,469 500,000 4.50% 02/15/2009 497,305 600,000 2.63% 03/15/2009 570,516 600,000 4.88% 05/15/2009 602,461 500,000 4.00% 06/15/2009 491,016 1,100,000 3.63% 07/15/2009 1,068,889 ------------ Total United States Treasury Notes (Cost $13,217,103) 13,154,680 ------------ Total Investments (Cost $14,647,259) (a) (99.25%) 14,559,616 Other Net Assets (0.75%) 110,074 ------------ Net Assets (100.00%) $ 14,669,690 ============ (a) Aggregate cost for federal income tax purposes is $14,647,259. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 20,432 Unrealized depreciation (108,075) ------------ Net unrealized appreciation (depreciation) $ (87,643) ============
------------------------------------------------------------------------------------------------------------------------------------ THE UNITED STATES TREASURY TRUST PORTFOLIO OF INVESTMENTS 8/31/2006 ------------------------------------------------------------------------------------------------------------------------------------ The United States Treasury Bills (100.22%) PAR VALUE RATE MATURITY VALUE (NOTE 1) $ 12,100,000 4.86% - 5.19% 09/14/2006 $ 12,077,893 17,300,000 4.94% - 5.10% 10/12/2006 17,204,912 10,300,000 5.09% - 5.19% 11/16/2006 10,191,468 11,900,000 5.09% - 5.21% 12/14/2006 11,727,080 Total Investments (Cost $51,201,353)(a)(100.22%) $ 51,201,353 Other Net Liabilities (-0.22%) (110,065) ------------ Net Assets (100.0%) $ 51,091,288 ============
(a) Aggregate cost for federal income tax purposes is $51,201,353 See accompanying notes to financial statements 19 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Common Stock (99.57%) Basic Materials (2.98%) Air Products & Chemicals Inc 2,087 $ 138,347 Alcoa Inc 8,134 232,551 Allegheny Technologies Inc 854 48,977 Ashland Inc 631 39,841 Dow Chemical Co/The 8,885 338,785 Eastman Chemical Co 810 42,485 Ecolab Inc 1,753 78,149 EI Du Pont de Nemours & Co 8,223 328,673 Freeport-McMoRan Copper & Gold Inc 1,812 105,477 Hercules Inc* 1,129 17,612 International Flavors & Fragrances Inc 783 31,140 International Paper Co 4,595 159,768 Louisiana-Pacific Corp 1,130 22,103 MeadWestvaco Corp 1,712 43,742 Monsanto Co 4,920 233,405 Newmont Mining Corp 3,966 203,258 Nucor Corp 2,904 141,918 Phelps Dodge Corp 1,884 168,618 Plum Creek Timber Co Inc (REIT) 1,837 63,983 PPG Industries Inc 1,587 100,552 Praxair Inc 2,967 170,335 Rohm & Haas Co 1,396 61,564 Sherwin-Williams Co/The 1,034 53,396 Sigma-Aldrich Corp 627 45,539 Temple-Inland Inc 1,152 51,287 United States Steel Corp 991 57,646 Vulcan Materials Co 968 76,094 Weyerhaeuser Co 2,267 140,554 ------------ Total Basic Materials 3,195,799 ------------ Communications (10.66%) ADC Telecommunications Inc* 1,162 15,861 Alltel Corp 3,496 189,518 Amazon.Com Inc* 2,900 89,407 Andrew Corp* 1,650 15,263 AT&T Inc 34,736 1,081,332 Avaya Inc* 4,387 45,844 BellSouth Corp 16,097 655,470 CBS Corp 6,861 195,882 CenturyTel Inc 1,054 41,970 Ciena Corp* 5,753 22,724 Cisco Systems Inc* 54,969 1,208,768 Citizens Communications Co 3,037 41,880 Comcast Corp* 19,075 667,625 Comverse Technology Inc* 1,834 38,331 Corning Inc* 13,853 308,091 Dow Jones & Co Inc 653 23,521 eBay Inc* 10,303 287,042 Embarq Corp* 1,381 65,114 EW Scripps Co 800 36,376 Gannett Co Inc 2,273 129,220 Google Inc* 1,800 681,354 Interpublic Group of Cos Inc* 4,290 39,382 JDS Uniphase Corp* 14,529 32,981 Juniper Networks Inc* 5,200 76,284 Lucent Technologies Inc* 41,152 95,884 McClatchy Co 328 13,307 McGraw-Hill Cos Inc/The 3,316 185,398 Meredith Corp 427 20,214 Motorola Inc 22,335 522,192 New York Times Co 1,459 32,857 News Corp 21,461 408,403 Omnicom Group Inc 1,681 146,953 Qualcomm Inc 14,810 557,893 Qwest Communications International Inc* 13,871 122,204 Sprint Nextel Corp 26,544 449,124 Symantec Corp* 9,368 174,620 Tellabs Inc* 4,380 44,632 Time Warner Inc 20,221 336,073 Tribune Co 2,508 78,275 Univision Communications Inc* 2,146 74,166 VeriSign Inc* 2,300 46,552 Verizon Communications Inc 26,143 919,711 Viacom Inc* 6,661 241,794 Walt Disney Co 19,706 584,283 Windstream Corp 3,613 47,692 Yahoo! Inc* 11,316 326,125 ------------ Total Communications 11,417,592 ------------ Consumer, Cyclical (8.22%) Autonation Inc* 1,702 33,070 Autozone Inc* 560 50,568 Bed Bath & Beyond Inc* 2,727 91,982 Best Buy Co Inc 3,766 177,002 Big Lots Inc* 1,135 20,827 Brunswick Corp 956 27,437 Carnival Corp 4,038 169,192 Centex Corp 1,220 62,159 Cintas Corp 1,457 53,953 Circuit City Stores Inc 1,466 34,612 Coach Inc* 3,480 105,061 Cooper Tire & Rubber Co 779 7,658 Costco Wholesale Corp 4,233 198,062 CVS Corp 7,650 256,658 Darden Restaurants Inc 1,381 48,887 Dillard's Inc 852 26,565 Dollar General Corp 2,796 35,957 DR Horton Inc 2,596 56,930 Family Dollar Stores Inc 1,687 43,137 Federated Department Stores Inc 4,940 187,621 Ford Motor Co 17,383 145,496 Gap Inc/The 5,441 91,463 General Motors Corp 5,203 151,824 Genuine Parts Co 1,739 71,873 Goodyear Tire & Rubber Co/The* 1,764 23,990 Harley-Davidson Inc 2,464 144,169 Harman International Industries Inc 600 48,672 Harrah's Entertainment Inc 1,735 108,195 Hasbro Inc 1,549 31,445 Hilton Hotels Corp 3,084 78,549 Home Depot Inc 18,710 641,566 International Game Technology 3,167 122,500 JC Penney Co Inc 2,136 134,653 Johnson Controls Inc 1,812 130,337 Jones Apparel Group Inc 1,220 38,186 KB Home 776 33,182 Kohl's Corp* 3,078 192,406 Lennar Corp 1,300 58,292 Liz Claiborne Inc 1,076 40,210 Lowe's Cos Inc 13,962 377,812 Ltd Brands Inc 3,233 83,185 Marriott International Inc 2,918 109,892 Mattel Inc 3,813 71,837 McDonald's Corp 11,212 402,511 Navistar International Corp* 734 16,838 Newell Rubbermaid Inc 2,765 74,627 Nike Inc 1,840 148,598 Nordstrom Inc 1,958 73,131 Office Depot Inc* 2,643 97,368 OfficeMax Inc 700 29,071 Paccar Inc 2,345 128,201 Pulte Homes Inc 2,110 62,604 RadioShack Corp 1,294 23,370 Sabre Holdings Corp 1,363 29,877 Sears Holdings Corp* 877 126,384 Southwest Airlines Co 6,485 112,320 Staples Inc 6,539 147,520 Starbucks Corp* 6,848 212,356 Starwood Hotels & Resorts Worldwide Inc 2,046 108,970 Target Corp 7,841 379,426 Tiffany & Co 1,341 42,376 TJX Cos Inc 4,410 117,968 VF Corp 775 54,165 Walgreen Co 9,061 448,157 Wal-Mart Stores Inc 22,370 1,000,386 Wendy's International Inc 996 63,644 Whirlpool Corp 742 60,035 WW Grainger Inc 797 53,240 Wyndham Worldwide Corp* 1,809 52,931 Yum! Brands Inc 2,468 120,635 ------------ Total Consumer, Cyclical 8,803,781 ------------ Consumer, Non-Cyclical (21.37%) Abbott Laboratories 13,718 668,067 Aetna Inc 5,050 188,214 Alberto-Culver Co 754 37,119 Allergan Inc 1,379 157,978 Altria Group Inc 18,690 1,561,176 AmerisourceBergen Corp 2,054 90,705 Amgen Inc* 10,425 708,170 Anheuser-Busch Cos Inc 7,177 354,400 Apollo Group Inc* 1,316 66,076 Archer-Daniels-Midland Co 5,877 241,956 Avery Dennison Corp 991 61,383 Avis Budget Group Inc 9,048 17,463 Avon Products Inc 4,058 116,505 Barr Pharmaceuticals Inc* 1,000 56,500 Bausch & Lomb Inc 546 26,432 Baxter International Inc 6,031 267,656 Becton Dickinson & Co 2,348 163,656 Biogen Idec Inc* 3,156 139,306 Biomet Inc 2,347 76,770 Boston Scientific Corp* 10,863 189,451 Bristol-Myers Squibb Co 17,557 381,865 Brown-Forman Corp 879 67,665 Campbell Soup Co 1,775 66,687 Cardinal Health Inc 3,792 255,657 Caremark Rx Inc 4,202 243,464 Clorox Co 1,428 85,409 Coca-Cola Co/The 18,428 825,759 Coca-Cola Enterprises Inc 2,839 63,310 Colgate-Palmolive Co 4,625 276,853 ConAgra Foods Inc 4,822 114,764 Constellation Brands Inc* 1,869 51,005 Convergys Corp* 1,500 31,305 Coventry Health Care Inc* 1,500 81,360 CR Bard Inc 984 73,977 Dean Foods Co* 1,300 51,506 Eli Lilly & Co 10,127 566,403 Equifax Inc 1,159 36,845 Estee Lauder Cos Inc/The 1,100 40,546 Express Scripts Inc* 1,382 116,199 Forest Laboratories Inc* 3,126 156,237 Fortune Brands Inc 1,341 97,357 General Mills Inc 3,199 173,482 Genzyme Corp* 2,372 157,098 Gilead Sciences Inc* 4,125 261,525 H&R Block Inc 3,212 67,548 HCA Inc 3,614 178,242 Health Management Associates Inc 2,507 52,421 Hershey Co/The 1,733 93,513 HJ Heinz Co 2,947 123,302 Hospira Inc* 1,550 56,777 Humana Inc* 1,588 96,757 Johnson & Johnson 26,615 1,720,926 Kellogg Co 2,422 122,795 Kimberly-Clark Corp 4,093 259,906 King Pharmaceuticals Inc* 2,430 39,415 Kroger Co/The 6,936 165,146 Laboratory Corp of America Holdings* 1,202 82,241 See accompanying notes to financial statements 20 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Manor Care Inc 938 $ 48,964 McCormick & Co Inc/MD 1,375 50,078 McKesson Corp 2,757 140,056 Medco Health Solutions Inc* 2,741 173,697 Medimmune Inc* 2,295 63,434 Medtronic Inc 10,758 504,550 Merck & Co Inc 19,553 792,874 Millipore Corp* 423 27,148 Molson Coors Brewing Co 550 38,665 Monster Worldwide Inc* 1,196 48,725 Moody's Corp 2,175 133,067 Mylan Laboratories Inc 2,107 42,814 Patterson Cos Inc* 1,300 40,066 Paychex Inc 3,099 111,285 Pepsi Bottling Group Inc 1,328 46,493 PepsiCo Inc 14,802 966,275 Pfizer Inc 65,752 1,812,125 Procter & Gamble Co 29,437 1,822,150 Quest Diagnostics Inc 1,480 95,134 Reynolds American Inc 1,470 95,653 Robert Half International Inc 1,510 46,719 RR Donnelley & Sons Co 1,958 63,478 Safeway Inc 4,202 129,968 Sara Lee Corp 7,296 121,332 Schering-Plough Corp 13,695 286,910 St Jude Medical Inc* 3,342 121,682 Stryker Corp 2,754 132,275 Supervalu Inc 1,839 52,522 Sysco Corp 5,849 183,600 Tenet Healthcare Corp* 4,695 36,997 Tyson Foods Inc 2,300 33,879 UnitedHealth Group Inc 12,099 628,543 UST Inc 1,650 87,219 Watson Pharmaceuticals Inc* 1,136 29,127 WellPoint Inc* 5,922 458,422 Whole Foods Market Inc 1,300 69,706 WM Wrigley Jr Co 1,958 90,890 Wyeth 12,029 585,812 Zimmer Holdings Inc* 2,250 152,996 ------------ Total Consumer, Non-Cyclical 22,889,580 ------------ Energy (9.81%) Anadarko Petroleum Corp 4,118 193,175 Apache Corp 3,084 201,324 Baker Hughes Inc 3,175 225,997 BJ Services Co 2,948 101,146 Chesapeake Energy Corp 3,500 110,495 Chevron Corp 19,877 1,280,079 ConocoPhillips 14,781 937,559 Devon Energy Corp 3,975 248,398 El Paso Corp 5,972 86,713 EOG Resources Inc 2,186 141,697 Exxon Mobil Corp 54,630 3,696,812 Halliburton Co 9,462 308,650 Hess Corp 2,193 100,396 Kinder Morgan Inc 971 101,334 Marathon Oil Corp 3,391 283,149 Murphy Oil Corp 1,500 73,365 Nabors Industries* 3,004 98,772 National Oilwell Varco Inc* 1,644 107,353 Noble Corp 1,308 85,530 Occidental Petroleum Corp 7,610 388,034 Rowan Cos Inc 1,121 38,338 Schlumberger Ltd 10,600 649,780 Sunoco Inc 1,306 93,914 Transocean Inc* 3,035 202,586 Valero Energy Corp 5,552 318,685 Weatherford International Ltd* 3,300 141,900 Williams Cos Inc 5,523 136,031 XTO Energy Inc 3,449 157,859 ------------ Total Energy 10,509,071 ------------ Financial (21.44%) ACE Ltd 2,936 158,133 Aflac Inc 4,494 202,545 Allstate Corp/The 5,785 335,183 AMBAC Financial Group Inc 1,027 88,928 American Express Co 11,091 582,721 American International Group Inc 23,196 1,480,369 Ameriprise Financial Inc 2,178 99,600 AmSouth Bancorp 3,273 93,771 AON Corp 2,984 103,157 Apartment Investment & Management Co 995 50,984 Archstone-Smith Trust 1,800 95,724 Bank of America Corp 41,546 2,138,373 Bank of New York Co Inc/The 7,238 244,283 BB&T Corp 4,920 210,576 Bear Stearns Cos Inc/The 1,041 135,694 Boston Properties Inc 800 81,304 Capital One Financial Corp 2,744 200,586 Charles Schwab Corp/The 9,795 159,756 Chubb Corp 3,556 178,369 Cigna Corp 1,182 133,649 Cincinnati Financial Corp 1,551 72,370 CIT Group Inc 1,917 86,380 Citigroup Inc 44,611 2,201,553 Comerica Inc 1,531 87,650 Commerce Bancorp Inc/NJ 1,700 56,627 Compass Bancshares Inc 1,184 68,672 Countrywide Financial Corp 5,526 186,779 E*Trade Financial Corp* 3,742 88,274 Equity Office Properties Trust 3,457 128,220 Equity Residential 2,684 133,851 Fannie Mae 8,649 455,370 Federated Investors Inc 848 28,391 Fifth Third Bancorp 4,972 195,598 First Horizon National Corp 1,238 47,267 Franklin Resources Inc 1,429 140,628 Freddie Mac 6,209 394,892 Genworth Financial Inc 3,500 120,505 Golden West Financial Corp 2,253 170,079 Goldman Sachs Group Inc 3,922 583,005 Hartford Financial Services Group Inc 2,734 234,741 Huntington Bancshares Inc/OH 2,325 55,614 Janus Capital Group Inc 2,377 42,263 JPMorgan Chase & Co 31,124 1,421,122 Keycorp 3,787 139,324 Kimco Realty Corp 1,900 78,945 Legg Mason Inc 1,100 100,386 Lehman Brothers Holdings Inc 4,786 305,395 Lincoln National Corp 2,689 163,222 Loews Corp 3,768 144,993 M&T Bank Corp 659 80,701 Marsh & McLennan Cos Inc 4,930 128,969 Marshall & Ilsley Corp 1,948 90,835 MBIA Inc 1,215 74,880 Mellon Financial Corp 3,900 145,197 Merrill Lynch & Co Inc 8,177 601,255 Metlife Inc 6,747 371,287 MGIC Investment Corp 844 48,842 Morgan Stanley 9,569 629,545 National City Corp 4,895 169,269 North Fork Bancorporation Inc 4,563 125,209 Northern Trust Corp 1,683 94,231 PNC Financial Services Group Inc 2,626 185,895 Principal Financial Group Inc 2,607 138,797 Progressive Corp/The 7,008 172,327 Prologis 2,148 121,276 Prudential Financial Inc 4,388 322,123 Public Storage Inc 800 69,320 Realogy Corp* 2,261 48,385 Regions Financial Corp 4,076 146,695 Safeco Corp 1,187 68,502 Simon Property Group Inc 1,750 148,383 SLM Corp 3,709 179,998 Sovereign Bancorp Inc 3,620 75,441 St Paul Travelers Cos Inc/The 6,238 273,848 State Street Corp 2,954 182,557 SunTrust Banks Inc 3,246 247,994 Synovus Financial Corp 2,906 84,506 T Rowe Price Group Inc 2,226 98,078 Torchmark Corp 987 61,401 UnumProvident Corp 2,983 56,528 US Bancorp 16,113 516,744 Vornado Realty Trust 1,100 116,501 Wachovia Corp 14,464 790,168 Washington Mutual Inc 8,897 372,695 Wells Fargo & Co 30,048 1,044,168 XL Capital Ltd 1,649 108,240 Zions Bancorporation 853 67,378 ------------ Total Financial 22,963,989 ------------ Industrial (11.01%) 3M Co 6,754 484,262 Agilent Technologies Inc* 3,915 125,906 Allied Waste Industries Inc* 2,502 25,871 American Power Conversion Corp 1,724 30,291 American Standard Cos Inc 1,757 73,390 Applera Corp - Applied Biosystems Group 1,972 60,442 Ball Corp 990 39,937 Bemis Co 1,106 35,724 Black & Decker Corp 725 53,389 Boeing Co 7,196 538,980 Burlington Northern Santa Fe Corp 3,282 219,730 Caterpillar Inc 5,988 397,304 Cooper Industries Lt 903 73,938 CSX Corp 3,918 118,402 Cummins Inc 447 51,325 Danaher Corp 2,083 138,082 Deere & Co 2,255 176,116 Dover Corp 1,842 89,558 Eastman Kodak Co 2,684 57,089 Eaton Corp 1,440 95,760 Emerson Electric Co 3,681 302,394 FedEx Corp 2,738 276,620 Fisher Scientific International Inc* 1,154 90,277 Fluor Corp 774 66,889 General Dynamics Corp 3,702 250,070 General Electric Co 93,169 3,173,336 Goodrich Corp 1,231 47,947 Honeywell International Inc 7,397 286,412 Illinois Tool Works Inc 3,758 164,976 Ingersoll-Rand Co 3,052 116,037 ITT Corp 1,798 88,012 Jabil Circuit Inc 1,699 45,584 L-3 Communications Holdings Inc 1,134 85,492 Leggett & Platt Inc 1,920 44,256 Lockheed Martin Corp 3,215 265,559 Masco Corp 3,684 100,978 Molex Inc 1,295 47,229 Norfolk Southern Corp 3,784 161,690 Northrop Grumman Corp 3,131 209,182 Pactiv Corp* 1,493 39,908 Pall Corp 1,225 33,345 Parker Hannifin Corp 1,073 79,456 PerkinElmer Inc 1,321 24,346 Raytheon Co 3,948 186,385 Rockwell Automation Inc 1,670 94,155 Rockwell Collins Inc 1,557 81,634 Ryder System Inc 677 33,457 Sanmina-SCI Corp* 5,243 17,774 Sealed Air Corp 791 41,029 See accompanying notes to financial statements 21 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Snap-On Inc 609 $ 26,613 Solectron Corp* 9,768 30,672 Stanley Works/The 670 31,644 Symbol Technologies Inc 2,853 34,265 Tektronix Inc 880 24,939 Textron Inc 1,233 103,399 Thermo Electron Corp* 1,602 62,798 Tyco International Ltd 18,034 471,589 Union Pacific Corp 2,402 193,001 United Parcel Service Inc 9,744 682,567 United Technologies Corp 9,081 569,470 Waste Management Inc 4,928 168,932 Waters Corp* 1,083 46,188 ------------ Total Industrial 11,786,002 ------------ Technology (10.52%) Adobe Systems Inc* 5,634 182,767 Advanced Micro Devices Inc* 4,487 112,130 Affiliated Computer Services Inc* 1,205 61,865 Analog Devices Inc 3,480 106,627 Apple Computer Inc* 7,568 513,489 Applied Materials Inc 14,709 248,288 Autodesk Inc* 2,088 72,579 Automatic Data Processing Inc 5,374 253,653 BMC Software Inc* 2,233 59,442 Broadcom Corp* 4,253 125,208 CA Inc 4,390 103,472 Citrix Systems Inc* 1,744 53,506 Computer Sciences Corp* 1,690 80,072 Compuware Corp* 3,895 29,602 Dell Inc* 20,535 463,064 Electronic Arts Inc* 2,829 144,194 Electronic Data Systems Corp 4,789 114,122 EMC Corp/Massachusetts* 21,260 247,679 First Data Corp 6,840 293,915 Fiserv Inc* 1,768 78,093 Freescale Semiconductor Inc* 3,839 118,663 Gateway Inc* 3,760 7,520 Hewlett-Packard Co 25,281 924,273 IMS Health Inc 1,733 47,294 Intel Corp 52,589 1,027,589 International Business Machines Corp 14,022 1,135,361 Intuit Inc* 3,006 90,841 Kla-Tencor Corp 1,959 86,020 Lexmark International Inc* 1,056 59,210 Linear Technology Corp 2,817 95,806 LSI Logic Corp* 3,860 31,073 Maxim Integrated Products Inc 3,002 87,358 Micron Technology Inc* 6,262 108,207 Microsoft Corp 79,482 2,041,893 National Semiconductor Corp 3,203 77,801 NCR Corp* 1,875 65,231 Network Appliance Inc* 3,359 115,012 Novell Inc* 3,782 25,226 Novellus Systems Inc* 1,406 39,256 Nvidia Corp* 3,048 88,727 Oracle Corp* 33,652 526,654 Parametric Technology Corp* 1,082 17,431 Pitney Bowes Inc 2,120 92,411 PMC - Sierra Inc* 1,841 12,592 QLogic Corp* 1,486 27,313 SanDisk Corp* 1,700 100,164 Sun Microsystems Inc* 31,638 157,874 Teradyne Inc* 2,030 28,501 Texas Instruments Inc 14,283 465,483 Unisys Corp* 3,371 18,035 Xerox Corp* 8,356 123,752 Xilinx Inc 3,304 75,563 ------------ Total Technology 11,261,901 ------------ Utilities (3.55%) AES Corp/The* 6,111 129,798 Allegheny Energy Inc* 1,381 57,643 Ameren Corp 1,912 102,388 American Electric Power Co Inc 3,669 133,845 Centerpoint Energy Inc 2,697 38,972 CMS Energy Corp* 2,062 30,188 Consolidated Edison Inc 2,227 102,887 Constellation Energy Group Inc 1,672 100,470 Dominion Resources Inc/VA 3,130 250,056 DTE Energy Co 1,568 65,448 Duke Energy Corp 11,082 332,460 Dynegy Inc* 3,790 23,498 Edison International 2,978 129,960 Entergy Corp 1,978 153,592 Exelon Corp 5,994 365,514 FirstEnergy Corp 2,918 166,501 FPL Group Inc 3,678 163,487 KeySpan Corp 1,600 65,600 Nicor Inc 460 20,084 NiSource Inc 2,493 52,777 Peoples Energy Corp 383 16,232 PG&E Corp 3,092 129,648 Pinnacle West Capital Corp 969 44,516 PPL Corp 3,632 127,011 Progress Energy Inc 2,285 101,294 Public Service Enterprise Group Inc 2,191 153,414 Sempra Energy 2,396 119,129 Southern Co/The 6,912 236,874 TECO Energy Inc 1,982 31,256 TXU Corp 4,180 276,759 Xcel Energy Inc 3,728 77,542 ------------ Total Utilities 3,798,843 ------------ Total Common Stock (Cost $78,264,050) 106,626,558 ------------ Short Term Investments (0.19%) Par Value --------- $ 100,000 United States Treasury Bill 09/14/2006 99,816 100,000 United States Treasury Bill 11/16/2006 (b) 98,981 ------------ Total Short-Term Investments (Cost $198,772) 198,797 ------------ Total Investments (Cost $78,462,822) (a) (99.76%) 106,825,355 Other Net Assets (0.24%) 261,165 ------------ Net Assets (100.00%) $107,086,520 ============ * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $78,889,525. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 36,240,071 Unrealized depreciation (8,304,241) ------------ Net unrealized appreciation $ 27,935,830 ============ (b) At August 31, 2006, certain United States Treasury Bills with a market value of $98,981 were pledged to cover margin requirements for futures contracts. (c) Futures contracts at August 31, 2006: Contracts - $250 times premium/delivery month/commitment) S&P 500 Index: Unrealized Appreciation 1/Sept 06/Long $ 6,175 ============ -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Common Stock (99.28%) Basic Materials (3.57%) Airgas Inc 10,848 $ 388,575 Albemarle Corp 6,186 339,611 Cabot Corp 10,235 340,109 Cytec Industries Inc 6,464 344,854 Ferro Corp 6,436 109,927 FMC Corp 6,234 381,022 Glatfelter 7,014 100,651 Lubrizol Corp 10,801 469,735 Lyondell Chemical Co 33,054 858,743 Minerals Technologies Inc 3,079 160,077 Olin Corp 11,342 170,470 Potlatch Corp 6,163 236,105 Rayonier Inc 12,296 485,692 Reliance Steel & Aluminum Co 10,000 327,700 RPM International Inc 18,683 351,427 Sensient Technologies Corp 7,564 152,188 Steel Dynamics Inc 6,991 369,055 Valspar Corp 16,048 426,878 ------------ Total Basic Materials 6,012,819 ------------ Communications (4.65%) 3Com Corp* 61,772 273,650 Adtran Inc 10,717 266,532 Avocent Corp* 7,775 235,038 Belo Corp 14,813 241,452 Catalina Marketing Corp 6,181 177,086 Checkfree Corp* 14,694 526,045 Cincinnati Bell Inc* 39,100 197,455 CommScope Inc* 9,175 268,002 Emmis Communications Corp* 5,627 68,818 Entercom Communications Corp 5,443 138,307 F5 Networks Inc* 6,301 315,617 Harris Corp 21,574 947,530 Harte-Hanks Inc 8,984 238,076 Lee Enterprises Inc 7,207 178,445 McAfee Inc* 26,635 606,213 Media General Inc 3,793 149,141 Newport Corp* 5,975 105,339 Plantronics Inc 7,361 131,909 Polycom Inc* 13,723 326,470 Powerwave Technologies Inc* 17,848 135,288 Reader's Digest Association Inc/The 15,639 200,336 RF Micro Devices Inc* 30,036 198,838 RSA Security Inc* 11,487 319,913 Scholastic Corp* 5,526 166,112 Telephone & Data Systems Inc 16,593 703,709 Washington Post Co/The 935 717,865 Westwood One Inc 373 2,733 ------------ Total Communications 7,835,919 ------------ Consumer, Cyclical (13.36%) 99 Cents Only Stores* 7,381 83,848 Abercrombie & Fitch Co 13,975 901,807 Advance Auto Parts Inc 17,448 525,534 Aeropostale Inc* 8,752 222,301 Airtran Holdings Inc* 14,141 161,914 Alaska Air Group Inc* 6,245 236,498 American Eagle Outfitters 20,906 807,599 AnnTaylor Stores Corp* 11,487 457,183 Applebees International Inc 12,164 252,403 ArvinMeritor Inc 11,108 164,954 See accompanying notes to financial statements 22 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Bandag Inc 1,801 $ 68,546 Barnes & Noble Inc 8,363 304,079 BJ's Wholesale Club Inc* 10,926 287,900 Bob Evans Farms Inc 5,816 164,825 Borders Group Inc 10,565 202,108 BorgWarner Inc 9,227 523,263 Boyd Gaming Corp 6,937 250,842 Brinker International Inc 13,642 524,808 Callaway Golf Co 10,626 142,495 Carmax Inc* 16,938 638,393 CBRL Group Inc 4,929 186,513 CDW Corp 9,976 581,601 Cheesecake Factory/The* 12,471 310,403 Chico's FAS Inc* 29,196 538,374 Claire's Stores Inc 16,050 438,647 Copart Inc* 11,034 309,724 Dollar Tree Stores Inc* 16,845 484,799 Fastenal Co 19,938 731,326 Foot Locker Inc 24,793 597,511 Furniture Brands International Inc 7,964 152,511 GameStop Corp* 9,100 397,488 Herman Miller Inc 10,988 310,301 HNI Corp 8,207 327,459 Hovnanian Enterprises Inc* 5,759 152,671 Ingram Micro Inc* 18,400 331,200 International Speedway Corp 5,433 262,957 JetBlue Airways Corp* 24,346 249,303 Lear Corp 10,672 217,068 Macrovision Corp* 8,061 187,660 MDC Holdings Inc 5,200 222,508 Michaels Stores Inc 21,523 926,565 Modine Manufacturing Co 5,317 123,833 Mohawk Industries Inc* 8,387 594,471 MSC Industrial Direct Co 8,600 338,496 O'Reilly Automotive Inc* 18,098 537,330 OSI Restaurant Partners Inc 10,575 327,508 Pacific Sunwear Of California* 11,738 156,820 Payless Shoesource Inc* 10,916 256,089 PetSmart Inc 22,289 559,454 Pier 1 Imports Inc 13,956 89,179 Polo Ralph Lauren Corp 9,800 578,102 Regis Corp 7,209 264,498 Ross Stores Inc 23,324 571,205 Ruby Tuesday Inc 9,222 238,112 Ryland Group Inc 7,433 317,166 Saks Inc 21,865 315,512 Scientific Games Corp* 10,500 305,235 Tech Data Corp* 9,152 319,313 Thor Industries Inc 5,515 232,623 Timberland Co* 8,882 252,338 Toll Brothers Inc* 18,742 495,164 Urban Outfitters Inc* 17,524 274,952 Williams-Sonoma Inc 18,564 546,894 ------------ Total Consumer, Cyclical 22,532,183 ------------ Consumer, Non-Cyclical (16.10%) Adesa Inc 14,253 314,849 Advanced Medical Optics Inc* 10,544 507,694 Alliance Data Systems Corp* 10,716 541,587 American Greetings Corp 10,349 253,757 Apria Healthcare Group Inc* 6,872 140,120 Banta Corp 3,940 185,377 Beckman Coulter Inc 10,187 557,942 Blyth Inc 4,097 88,004 Career Education Corp* 15,878 304,064 Cephalon Inc* 9,705 553,379 Charles River Laboratories International Inc* 11,519 468,132 ChoicePoint Inc* 14,210 513,692 Church & Dwight Co Inc 10,209 393,047 Community Health Systems Inc* 15,698 608,454 Corinthian Colleges Inc* 13,615 165,014 Corporate Executive Board Co 6,318 553,710 Covance Inc* 10,120 636,244 Cytyc Corp* 18,618 444,784 Deluxe Corp 8,036 144,005 Dentsply International Inc 25,278 823,557 DeVry Inc* 9,001 201,172 Edwards Lifesciences Corp* 9,539 445,376 Gartner Inc* 8,831 137,675 Gen-Probe Inc* 8,275 402,248 Health Net Inc* 18,559 775,952 Henry Schein Inc* 14,092 702,768 Hillenbrand Industries Inc 9,917 565,963 Hormel Foods Corp 11,548 423,234 Intuitive Surgical Inc* 5,651 533,454 Invitrogen Corp* 8,540 519,659 ITT Educational Services Inc* 5,992 396,011 JM Smucker Co/The 9,268 450,703 Kelly Services Inc 3,006 82,094 Korn/Ferry International* 6,830 139,469 Laureate Education Inc* 7,897 379,214 LifePoint Hospitals Inc* 9,093 309,617 Lincare Holdings Inc* 15,456 572,336 Manpower Inc 14,187 838,594 Martek Biosciences Corp* 5,056 152,034 Medicis Pharmaceutical Corp 8,600 251,894 Millennium Pharmaceuticals Inc* 25,316 274,932 MPS Group Inc* 16,086 226,169 Navigant Consulting Inc* 7,700 151,613 Omnicare Inc 19,330 875,842 Par Pharmaceutical Cos Inc* 5,482 98,402 PDL BioPharma Inc* 17,908 352,788 PepsiAmericas Inc 9,593 220,543 Perrigo Co 13,259 214,000 Pharmaceutical Product Development Inc 16,000 609,920 Quanta Services Inc* 19,028 337,366 Rent-A-Center Inc* 10,943 296,555 Rollins Inc 4,584 97,364 Ruddick Corp 5,308 136,893 Scotts Miracle-Gro Co/The 7,160 307,307 Sepracor Inc* 17,138 805,657 Smithfield Foods Inc* 15,960 479,279 Sotheby's 7,243 201,355 STERIS Corp 10,796 256,729 Techne Corp* 6,354 323,419 Tootsie Roll Industries Inc 4,009 116,301 Triad Hospitals Inc* 13,692 603,270 Tupperware Brands Corp 8,657 155,913 United Rentals Inc* 10,643 230,527 Universal Corp/Richmond VA 4,144 160,083 Universal Health Services Inc 8,652 489,876 Valassis Communications Inc* 7,692 151,686 Valeant Pharmaceuticals International 14,717 289,336 Varian Medical Systems Inc* 21,339 1,137,369 VCA Antech Inc* 13,129 465,029 Vertex Pharmaceuticals Inc* 17,686 609,282 ------------ Total Consumer, Non-Cyclical 27,151,684 ------------ Diversified (0.40%) Leucadia National Corp 26,170 673,354 ------------ Total Diversified 673,354 ------------ Energy (11.50%) Arch Coal Inc 22,720 744,080 Cameron International Corp* 18,712 896,492 Denbury Resources Inc* 18,632 577,778 ENSCO International Inc 24,491 1,094,503 Equitable Resources Inc 19,316 711,988 FMC Technologies Inc* 10,960 644,667 Forest Oil Corp* 8,659 293,280 Grant Prideco Inc* 21,038 873,708 Hanover Compressor Co* 14,781 278,178 Helmerich & Payne Inc 16,828 412,791 National Fuel Gas Co 13,402 511,554 Newfield Exploration Co* 20,736 896,625 Noble Energy Inc 28,118 1,389,592 Oneok Inc 18,934 724,604 Patterson-UTI Energy Inc 27,904 764,570 Peabody Energy Corp 39,200 1,727,544 Pioneer Natural Resources Co 20,730 864,648 Plains Exploration & Production Co* 12,468 548,717 Pogo Producing Co 9,542 423,760 Pride International Inc* 26,080 676,254 Questar Corp 13,708 1,186,290 Quicksilver Resources Inc* 10,600 398,772 Smith International Inc 32,120 1,348,076 Southwestern Energy Co* 27,000 927,450 Tidewater Inc 9,797 466,437 ------------ Total Energy 19,382,358 ------------ Financial (17.38%) AG Edwards Inc 12,208 644,827 AMB Property Corp 14,092 786,756 American Financial Group Inc/OH 7,455 348,298 AmeriCredit Corp* 20,793 488,428 AmerUs Group Co 6,117 414,733 Arthur J Gallagher & Co 15,122 405,270 Associated Banc-Corp 21,923 691,451 Astoria Financial Corp 13,782 423,107 Bank of Hawaii Corp 8,321 406,231 Brown & Brown Inc 17,664 528,860 Cathay General Bancorp 8,000 298,320 City National Corp/Beverly Hills CA 6,750 444,150 Colonial BancGroup Inc/The 24,837 608,258 Cullen/Frost Bankers Inc 7,658 451,516 Developers Diversified Realty Corp 17,376 940,042 Eaton Vance Corp 20,682 549,934 Everest Re Group Ltd 10,420 979,272 Fidelity National Financial Inc 27,701 1,114,411 First American Corp 15,183 616,733 First Niagara Financial Group Inc 17,934 268,293 FirstMerit Corp 12,623 290,455 Greater Bay Bancorp 8,051 229,212 Hanover Insurance Group Inc/The 8,107 360,762 HCC Insurance Holdings Inc 17,892 581,311 Highwoods Properties Inc 8,559 323,017 Horace Mann Educators Corp 6,562 120,478 Hospitality Properties Trust 11,361 526,242 IndyMac Bancorp Inc 10,227 399,876 Investors Financial Services Corp 10,581 490,535 Jefferies Group Inc 16,328 406,894 Liberty Property Trust 14,028 671,520 Longview Fibre Co 10,958 228,365 Macerich Co/The 11,541 861,651 Mack-Cali Realty Corp 9,777 519,648 Mercantile Bankshares Corp 19,871 733,836 Mercury General Corp 5,600 281,512 New Plan Excel Realty Trust 16,555 456,752 New York Community Bancorp Inc 42,234 693,060 Ohio Casualty Corp 10,269 266,481 Old Republic International Corp 36,995 773,196 PMI Group Inc/The 14,214 614,613 Protective Life Corp 11,018 507,159 Radian Group Inc 13,370 800,596 Raymond James Financial Inc 14,010 388,357 Regency Centers Corp 10,959 737,212 Stancorp Financial Group Inc 8,834 411,399 SVB Financial Group* 5,620 253,968 TCF Financial Corp 18,028 469,990 Texas Regional Bancshares Inc 7,232 276,769 See accompanying notes to financial statements 23 -------------------------------------------------------------------------------- S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- United Dominion Realty Trust Inc 21,659 $ 660,816 Unitrin Inc 7,251 318,174 Waddell & Reed Financial Inc 13,504 313,563 Washington Federal Inc 13,798 306,592 Webster Financial Corp 8,567 404,705 Weingarten Realty Investors 12,787 542,425 Westamerica Bancorporation 5,020 240,107 Wilmington Trust Corp 10,806 476,004 WR Berkley Corp 27,269 954,411 ------------ Total Financial 29,300,553 ------------ Industrial (14.96%) AGCO Corp* 14,348 356,548 Alexander & Baldwin Inc 6,922 303,599 Alliant Techsystems Inc* 5,872 449,149 Ametek Inc 11,160 478,541 Amphenol Corp 14,176 814,695 Arrow Electronics Inc* 19,483 543,576 Avnet Inc* 23,598 461,577 Brink's Co/The 7,813 445,107 Carlisle Cos Inc 4,658 398,259 CH Robinson Worldwide Inc 27,302 1,250,978 Commercial Metals Co 18,700 403,733 Con-way Inc 7,752 370,933 Crane Co 7,909 316,202 Donaldson Co Inc 10,828 361,439 DRS Technologies Inc 6,400 264,768 Dycom Industries Inc* 6,201 125,570 Energizer Holdings Inc* 10,089 674,551 Expeditors International Washington Inc 29,288 1,167,713 Federal Signal Corp 7,404 115,576 Florida Rock Industries Inc 7,500 278,925 Flowserve Corp* 9,093 465,016 GATX Corp 8,018 297,548 Gentex Corp 24,670 357,222 Graco Inc 10,849 410,092 Granite Construction Inc 5,096 273,400 Harsco Corp 6,627 527,244 Hubbell Inc 9,623 447,470 Jacobs Engineering Group Inc* 9,432 821,433 JB Hunt Transport Services Inc 19,652 386,162 Joy Global Inc 19,850 864,269 Kemet Corp* 13,751 113,171 Kennametal Inc 6,327 333,686 Lancaster Colony Corp 3,989 176,074 Lincoln Electric Holdings Inc 6,800 374,204 Martin Marietta Materials Inc 7,376 607,487 Mine Safety Appliances Co 4,100 145,345 National Instruments Corp 8,825 244,982 Nordson Corp 5,352 214,294 Overseas Shipholding Group 4,784 319,093 Packaging Corp of America 9,625 222,723 Pentair Inc 16,395 490,211 Plexus Corp* 7,012 138,978 Precision Castparts Corp 21,424 1,252,019 Republic Services Inc 19,503 756,326 Roper Industries Inc 13,800 640,044 Sequa Corp* 959 88,036 Sonoco Products Co 15,751 527,343 SPX Corp 9,673 510,734 Stericycle Inc* 7,030 468,831 Swift Transportation Co Inc* 8,557 198,437 Tecumseh Products Co* 2,574 38,224 Teleflex Inc 6,512 363,435 Thomas & Betts Corp* 8,439 381,105 Timken Co 13,500 432,540 Trinity Industries Inc 11,186 373,165 Varian Inc* 4,971 232,046 Vishay Intertechnology Inc* 29,221 409,386 Werner Enterprises Inc 7,985 147,962 Worthington Industries Inc 11,493 219,631 Zebra Technologies Corp* 11,184 378,464 ------------ Total Industrial 25,229,271 ------------ Technology (10.47%) Activision Inc* 44,562 574,850 Acxiom Corp 12,466 302,799 Advent Software Inc* 2,409 78,895 Atmel Corp* 68,592 395,776 BISYS Group Inc/The* 19,125 196,796 Cabot Microelectronics Corp* 3,853 121,138 Cadence Design Systems Inc* 45,661 750,210 Ceridian Corp* 23,086 551,063 Cognizant Technology Solutions Corp* 22,049 1,541,446 Credence Systems Corp* 15,279 38,656 Cree Inc* 12,081 224,948 CSG Systems International Inc* 7,566 203,677 Cypress Semiconductor Corp* 21,479 335,932 Diebold Inc 11,158 467,632 DST Systems Inc* 10,168 600,217 Dun & Bradstreet Corp* 10,757 756,325 Fair Isaac Corp 10,398 364,034 Fairchild Semiconductor International Inc* 19,560 352,667 Fidelity National Information Services Inc 14,861 544,507 Imation Corp 5,529 219,114 Integrated Device Technology Inc* 16,677 287,345 International Rectifier Corp* 11,255 397,302 Intersil Corp 22,884 580,109 Jack Henry & Associates Inc 12,101 231,855 Lam Research Corp* 22,554 965,086 Lattice Semiconductor Corp* 17,999 131,753 McData Corp* 23,849 102,312 MEMC Electronic Materials Inc* 26,600 1,028,888 Mentor Graphics Corp* 12,132 175,914 Micrel Inc* 10,145 101,653 Microchip Technology Inc 34,396 1,174,967 MoneyGram International Inc 13,535 424,999 Palm Inc* 14,600 212,576 Reynolds & Reynolds Co/The 7,900 303,044 SEI Investments Co 10,111 516,065 Semtech Corp* 11,712 153,076 Silicon Laboratories Inc* 7,136 251,687 SRA International Inc* 5,900 165,259 Sybase Inc* 14,271 329,232 Synopsys Inc* 22,875 433,710 Transaction Systems Architects Inc* 5,905 195,869 Triquint Semiconductor Inc* 21,558 106,281 Western Digital Corp* 35,367 647,216 Wind River Systems Inc* 11,457 116,516 ------------ Total Technology 17,653,396 ------------ Utilities (6.89%) AGL Resources Inc 12,346 449,271 Alliant Energy Corp 18,932 692,722 Aqua America Inc 20,421 483,773 Aquila Inc* 59,270 271,457 Black Hills Corp 5,271 183,484 DPL Inc 20,280 563,784 Duquesne Light Holdings Inc 12,335 242,876 Energy East Corp 23,442 568,469 Great Plains Energy Inc 12,668 386,627 Hawaiian Electric Industries Inc 12,809 351,223 Idacorp Inc 6,734 258,720 MDU Resources Group Inc 29,021 711,015 Northeast Utilities 24,762 564,821 NSTAR 16,986 559,349 OGE Energy Corp 14,400 536,256 Pepco Holdings Inc 30,596 776,832 PNM Resources Inc 11,082 317,721 Puget Energy Inc 18,287 413,835 SCANA Corp 18,441 762,535 Sierra Pacific Resources* 31,819 469,330 Vectren Corp 12,115 333,889 Westar Energy Inc 13,785 336,216 WGL Holdings Inc 7,705 239,394 Wisconsin Energy Corp 18,852 810,636 WPS Resources Corp 6,354 326,470 ------------ Total Utilities 11,610,705 ------------ Total Common Stock (Cost $127,491,870) 167,382,242 ------------ Short-Term Investments (0.83%) Par Value --------- $ 1,300,000 United States Treasury Bill 09/14/2006 1,297,606 100,000 United States Treasury Bill 11/16/2006 (b) 98,981 ------------ Total Short-Term Investments (Cost $1,396,565) 1,396,587 ------------ Total Investments (Cost $128,888,435) (a) (100.10%) $168,778,829 Other Net Liabilities (-0.10%) (174,388) ------------ Net Assets(100.00%) $168,604,441 ============ * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $128,888,435. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 48,918,523 Unrealized depreciation (9,028,129) ------------ Net unrealized appreciation $ 39,890,394 ============ (b) At August 31, 2006, certain United States Treasury Bills with a market value of $98,981 were pledged to cover margin requirements for futures contracts. c) Futures contracts at August 31, 2006: Contracts - $100 times premium/delivery month/commitment) S&P MidCap Mini: Unrealized Appreciation 20/Sept. 06/Long $ 16,900 ============ See accompanying notes to financial statements 24 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Common Stock (92.73%) Basic Materials (3.36%) AMCOL International Corp 1,466 $ 34,041 Arch Chemicals Inc 1,194 33,122 Brush Engineered Materials Inc* 769 20,548 Buckeye Technologies Inc* 1,716 13,951 Caraustar Industries Inc* 1,296 9,811 Carpenter Technology Corp 1,224 117,308 Century Aluminum Co* 1,151 39,951 Chaparral Steel Co* 1,286 91,846 Cleveland-Cliffs Inc 2,592 94,530 Deltic Timber Corp 590 27,984 Georgia Gulf Corp 1,993 52,894 HB Fuller Co 3,324 63,921 MacDermid Inc 1,555 44,551 Material Sciences Corp* 683 6,509 Neenah Paper Inc 750 25,178 OM Group Inc* 1,455 58,200 Omnova Solutions Inc* 1,854 10,419 Penford Corp 400 6,256 PolyOne Corp* 5,408 46,887 Pope & Talbot Inc* 726 3,993 Quaker Chemical Corp 439 8,297 Rock-Tenn Co 1,817 35,104 RTI International Metals Inc* 1,366 59,243 Ryerson Inc 1,452 30,753 Schulman A Inc 1,547 36,494 Schweitzer-Mauduit International Inc 770 14,630 Steel Technologies Inc 654 14,545 Tronox Inc 2,300 29,670 Wausau Paper Corp 2,594 35,304 Wellman Inc 1,480 5,313 ----------- Total Basic Materials 1,071,253 ----------- Communications (3.38%) 4Kids Entertainment Inc* 613 9,410 Adaptec Inc* 5,637 23,224 Advo Inc 1,857 53,092 Aeroflex Inc* 3,808 39,679 Anixter International Inc 1,885 102,714 Applied Signal Technology Inc 560 8,232 Black Box Corp 903 34,802 Blue Coat Systems Inc* 700 11,907 C-COR Inc* 2,207 17,546 Commonwealth Telephone Enterprises Inc 1,151 40,584 Comtech Telecommunications Corp* 1,000 32,730 Digital Insight Corp* 1,774 46,142 Ditech Networks Inc* 1,700 14,977 General Communication Inc* 2,942 37,393 Harmonic Inc* 3,354 20,828 Infospace Inc* 1,400 31,122 Internet Security Systems* 1,984 54,877 inVentiv Health Inc* 1,600 49,808 j2 Global Communications Inc* 2,976 74,787 MIVA Inc* 1,508 3,906 Napster Inc* 1,603 5,370 Netgear Inc* 1,900 37,373 Network Equipment Technologies Inc* 1,066 3,891 Novatel Wireless Inc* 1,500 16,725 PC-Tel Inc* 942 9,919 Radio One Inc* 4,400 27,016 Secure Computing Corp* 3,100 19,685 Stamps.com Inc* 1,100 20,944 Symmetricom Inc* 2,100 15,666 Tollgrade Communications Inc* 630 5,765 United Online Inc 3,500 40,145 Viasat Inc* 1,352 36,572 WebEx Communications Inc* 2,060 73,542 Websense Inc* 2,754 56,924 ----------- Total Communications 1,077,297 ----------- Consumer, Cyclical (14.95%) Angelica Corp 425 7,489 Arctic Cat Inc 1,013 16,846 Ashworth Inc* 600 4,170 ASV Inc* 900 13,833 Audiovox Corp* 1,050 15,551 Aztar Corp* 2,072 108,718 Bally Total Fitness Holding Corp* 1,577 4,731 Bassett Furniture Industries Inc 556 9,608 Bell Microproducts Inc* 1,276 6,227 Brightpoint Inc* 2,880 47,923 Brown Shoe Co Inc 1,397 44,634 Building Material Holding Corp 1,680 43,882 Casey's General Stores Inc 2,965 70,093 Cash America International Inc 1,744 64,301 Cato Corp/The 1,862 43,254 CEC Entertainment Inc* 1,917 61,114 Champion Enterprises Inc* 4,414 30,103 Childrens Place Retail Stores Inc/The* 1,278 74,086 Christopher & Banks Corp 1,875 45,656 Coachmen Industries Inc 746 7,467 Cost Plus Inc* 1,125 11,453 Deckers Outdoor Corp* 600 24,606 Dress Barn Inc* 2,616 46,172 Ethan Allen Interiors Inc 1,913 64,564 Finish Line 2,500 27,825 Fleetwood Enterprises Inc* 3,730 26,222 Fred's Inc 2,010 26,351 Frontier Airlines Holdings Inc* 1,612 11,187 G&K Services Inc 1,071 35,536 Genesco Inc* 1,318 36,219 Group I Automotive Inc 1,153 52,231 Guitar Center Inc* 1,549 58,707 Gymboree Corp* 1,569 52,640 Hancock Fabrics Inc /DE 863 2,563 Haverty Furniture Cos Inc 1,157 16,256 Hibbett Sporting Goods Inc* 2,104 51,611 HOT Topic Inc* 2,397 23,682 Ihop Corp 1,098 51,266 Insight Enterprises Inc* 2,482 44,701 Interface Inc* 2,381 30,263 Jack in the Box Inc* 1,872 89,819 Jakks Pacific Inc* 1,604 26,209 Jo-Ann Stores Inc* 1,070 15,847 JOS A Bank Clothiers Inc* 750 17,948 K2 Inc* 2,726 31,758 Kellwood Co 1,393 38,182 K-Swiss Inc 1,313 36,121 Landry's Restaurants Inc 826 22,591 La-Z-Boy Inc 2,673 37,288 Lenox Group Inc* 632 3,590 Libbey Inc 640 5,421 LKQ Corp* 2,600 54,002 Lone Star Steakhouse & Saloon Inc 1,092 29,790 Longs Drug Stores Corp 1,414 64,238 M/I Homes Inc 700 22,652 Marcus Corp 1,435 29,518 MarineMax Inc* 800 18,184 Men's Wearhouse Inc 3,043 107,874 Meritage Homes Corp* 1,350 55,283 Mesa Air Group Inc* 1,462 11,550 Mobile Mini Inc* 1,728 46,518 Monaco Coach Corp 1,505 15,893 Multimedia Games Inc* 1,431 13,709 National Presto Industries Inc 327 17,789 Nautilus Inc 1,674 20,724 NVR Inc* 240 123,276 O'Charleys Inc* 966 17,861 Owens & Minor Inc 2,315 74,474 Oxford Industries Inc 832 34,179 Panera Bread Co* 1,847 95,859 Papa John's International Inc* 1,264 42,976 PEP Boys-Manny Moe & Jack 3,075 39,483 PF Chang's China Bistro Inc* 1,512 53,298 Phillips-Van Heusen 2,578 99,614 Pinnacle Entertainment Inc* 2,726 70,276 Polaris Industries Inc 2,404 91,592 Pool Corp 3,036 115,581 Quiksilver Inc* 6,824 95,536 Rare Hospitality International Inc* 1,744 49,948 Red Robin Gourmet Burgers Inc* 800 33,768 Ryan's Restaurant Group Inc* 2,086 32,875 Scansource Inc* 1,286 39,917 School Specialty Inc* 1,375 49,129 Select Comfort Corp* 2,800 55,580 Shuffle Master Inc* 1,755 48,842 Skechers U.S.A. Inc* 1,400 31,696 Skyline Corp 400 15,604 Skywest Inc 3,379 81,670 Sonic Automotive Inc 1,573 33,269 Sonic Corp* 5,169 113,356 Stage Stores Inc 1,338 35,270 Standard Motor Products Inc 916 10,149 Standard-Pacific Corp 3,990 95,481 Steak N Shake Co/The* 1,277 20,521 Stein Mart Inc 1,360 16,170 Stride Rite Corp 1,831 25,176 Superior Industries International 1,200 20,292 Toro Co 2,494 99,785 Tractor Supply Co* 1,961 83,499 Triarc Cos Inc 3,265 47,538 Tuesday Morning Corp 1,500 20,220 Tween Brands Inc* 1,767 60,184 Ultimate Electronics Inc* 680 -- United Stationers Inc* 1,737 79,607 Wabash National Corp 1,723 23,760 Watsco Inc 1,366 60,022 Winnebago Industries 1,700 49,640 WMS Industries Inc* 1,145 30,686 Wolverine World Wide Inc 3,060 77,204 World Fuel Services Corp 1,600 57,664 Zale Corp* 2,667 71,340 ----------- Total Consumer, Cyclical 4,770,106 ----------- See accompanying notes to financial statements 25 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Consumer, Non-Cyclical (15.99%) Aaron Rents Inc 2,547 $ 59,625 ABM Industries Inc 2,008 36,124 Administaff Inc 1,236 42,704 Alliance One International Inc 4,676 18,844 Alpharma Inc 2,187 45,796 Amedisys Inc* 943 38,163 American Italian Pasta Co* 860 6,992 American Medical Systems Holdings Inc* 4,020 70,591 AMERIGROUP Corp* 3,038 95,819 Amsurg Corp* 1,551 37,333 Arbitron Inc 1,587 59,544 Arqule Inc* 1,302 6,614 Arthrocare Corp* 1,479 67,457 Bankrate Inc* 500 14,210 Biolase Technology Inc* 1,245 8,142 Biosite Inc* 1,003 44,132 Bowne & Co Inc 1,795 27,679 Bradley Pharmaceuticals Inc* 786 11,641 Cambrex Corp 1,239 27,939 CDI Corp 607 12,717 Centene Corp* 2,478 38,285 Central Parking Corp 968 16,108 Chemed Corp 1,544 60,849 CNS Inc 700 19,740 Coinstar Inc* 1,600 42,000 Conmed Corp* 1,525 31,247 Connetics Corp* 1,800 19,512 Consolidated Graphics Inc* 696 43,277 Cooper Cos Inc/The 2,576 128,748 Corn Products International Inc 4,342 149,799 CPI Corp 380 14,983 Cross Country Healthcare Inc* 1,040 17,077 CryoLife Inc* 1,113 6,667 Cyberonics Inc* 1,199 19,520 Datascope Corp 759 24,994 Delta & Pine Land Co 1,965 79,504 DJO Inc* 1,097 42,311 Enzo Biochem Inc* 1,519 19,413 Flowers Foods Inc 2,891 78,491 Fossil Inc* 2,520 47,426 Genesis HealthCare Corp* 1,100 50,094 Gentiva Health Services Inc* 1,227 22,172 Gevity HR Inc 1,500 38,565 Great Atlantic & Pacific Tea Co 919 21,073 Haemonetics Corp/Mass* 1,591 74,109 Hain Celestial Group Inc* 1,870 44,039 Hansen Natural Corp* 2,800 77,056 Healthcare Services Group 1,200 27,228 Healthways Inc* 1,971 101,743 Heidrick & Struggles International Inc* 972 34,564 Hologic Inc* 2,592 111,923 Hooper Holmes Inc 3,007 9,803 ICU Medical Inc* 655 28,827 Idexx Laboratories Inc* 1,782 163,962 Immucor Inc* 3,940 81,834 Integra LifeSciences Holdings Corp* 965 37,114 Invacare Corp 1,604 37,229 J&J Snack Foods Corp 834 26,413 John H Harland Co 1,445 53,985 Kendle International Inc* 700 18,494 Kensey Nash Corp* 574 15,544 Labor Ready Inc* 2,823 48,358 Lance Inc 1,352 30,839 LCA-Vision Inc 1,173 51,647 Live Nation Inc* 4,000 83,920 Matria Healthcare Inc* 1,200 32,400 MAXIMUS Inc 1,113 29,628 Mentor Corp 2,255 109,458 Merit Medical Systems Inc* 1,295 18,156 MGI Pharma Inc* 4,514 68,297 Midas Inc* 700 13,692 Nash Finch Co 581 13,276 NBTY Inc* 2,925 93,191 NCO Group Inc* 1,615 42,313 Noven Pharmaceuticals Inc* 1,200 29,952 Odyssey HealthCare Inc* 1,878 30,123 On Assignment Inc* 1,167 11,122 Osteotech Inc* 821 3,087 Parexel International Corp* 1,339 44,321 Pediatrix Medical Group Inc* 2,714 124,301 Peet's Coffee & Tea Inc* 600 15,126 Performance Food Group Co* 1,978 48,679 PharmaNet Development Group Inc* 739 14,462 Playtex Products Inc* 3,200 42,080 PolyMedica Corp 1,391 56,461 Possis Medical Inc* 932 8,835 Pre-Paid Legal Services Inc 540 20,282 Ralcorp Holdings Inc* 1,500 74,205 Regeneron Pharmaceuticals Inc* 2,656 42,177 RehabCare Group Inc* 746 10,951 Resmed Inc* 4,170 169,636 Respironics Inc* 4,174 154,062 Rewards Network Inc* 1,161 5,050 Russ Berrie & Co Inc* 958 13,153 Sanderson Farms Inc 718 22,445 Savient Pharmaceuticals Inc* 2,760 17,885 Sciele Pharma Inc* 1,600 28,000 Sierra Health Services Inc* 2,964 127,156 Spectrum Brands Inc* 2,267 18,045 Spherion Corp* 3,098 23,142 Standard Register Co/The 613 7,865 Startek Inc 740 8,414 Sunrise Senior Living Inc* 2,100 61,971 SurModics Inc* 809 28,299 Theragenics Corp* 1,389 4,320 TreeHouse Foods Inc* 1,600 40,800 United Natural Foods Inc* 2,400 69,720 United Surgical Partners International Inc* 2,563 72,328 Universal Technical Institute Inc* 1,300 23,985 USANA Health Sciences Inc* 500 22,380 Vertrue Inc* 521 22,085 Viad Corp 1,109 39,292 Viasys Healthcare Inc* 1,879 49,831 Vital Signs Inc 295 16,004 Volt Information Sciences Inc* 431 18,378 Watson Wyatt Worldwide Inc 2,252 89,314 WD-40 Co 826 28,700 ----------- Total Consumer, Non-Cyclical 5,101,387 ----------- Energy (7.81%) Atwood Oceanics Inc* 1,422 61,146 Cabot Oil & Gas Corp 2,832 144,602 CARBO Ceramics Inc 1,024 40,899 Cimarex Energy Co 4,823 184,721 Dril-Quip Inc* 400 30,716 Frontier Oil Corp 6,244 204,179 Headwaters Inc* 2,223 49,173 Helix Energy Solutions Group Inc* 5,126 197,146 Hydril* 1,174 76,838 Input/Output Inc* 3,753 37,417 Lone Star Technologies Inc* 1,776 80,506 Lufkin Industries Inc 900 56,700 Massey Energy Co 4,494 113,429 Maverick Tube Corp* 2,072 133,167 Oceaneering International Inc* 3,160 113,665 Penn Virginia Corp 1,100 78,089 Petroleum Development Corp* 1,015 43,341 SEACOR Holdings Inc* 1,251 108,875 St Mary Land & Exploration Co 3,328 135,782 Stone Energy Corp* 1,567 69,214 Swift Energy Co* 1,722 75,355 Tetra Technologies Inc* 4,034 112,186 Unit Corp* 2,646 139,471 Veritas DGC Inc* 2,015 120,034 W-H Energy Services Inc* 1,708 86,201 ----------- Total Energy 2,492,852 ----------- Financial (15.15%) Acadia Realty Trust 1,700 41,888 Anchor Bancorp Wisconsin Inc 1,149 33,574 Bank Mutual Corp 3,500 43,085 BankAtlantic Bancorp Inc 2,300 32,361 Bankunited Financial Corp 1,838 47,365 Boston Private Financial Holdings Inc 1,801 44,953 Brookline Bancorp Inc 3,628 48,434 Central Pacific Financial Corp 1,600 57,904 Chittenden Corp 2,761 79,655 Colonial Properties Trust 2,586 128,214 Community Bank System Inc 1,600 34,992 Delphi Financial Group 2,421 94,128 Dime Community Bancshares 1,914 27,351 Downey Financial Corp 1,234 75,755 East West Bancorp Inc 3,306 133,893 EastGroup Properties Inc 1,200 61,212 Entertainment Properties Trust 1,484 73,992 Essex Property Trust Inc 1,274 159,849 Fidelity Bankshares Inc 1,100 41,679 Financial Federal Corp 1,588 41,606 First Bancorp/Puerto Rico 4,128 37,936 First Commonwealth Financial Corp 4,000 51,440 First Indiana Corp 700 17,115 First Midwest Bancorp Inc/IL 2,689 100,434 First Republic Bank/San Francisco CA 1,219 51,954 FirstFed Financial Corp* 870 44,248 Flagstar Bancorp Inc 1,822 26,492 Franklin Bank Corp/Houston TX* 1,200 23,856 Fremont General Corp 3,856 55,064 Glacier Bancorp Inc 1,600 51,968 Glenborough Realty Trust Inc 1,638 42,277 Hanmi Financial Corp 2,300 44,896 Harbor Florida Bancshares Inc 1,100 48,719 Hilb Rogal & Hobbs Co 1,850 80,050 Independent Bank Corp/MI 1,155 28,991 Infinity Property & Casualty Corp 1,100 41,745 Investment Technology Group Inc* 2,351 108,640 Irwin Financial Corp 950 18,088 Kilroy Realty Corp 1,657 131,019 LaBranche & Co Inc* 3,500 29,050 LandAmerica Financial Group Inc 971 61,406 26 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Lexington Corporate Properties Trust 3,070 $ 64,531 LTC Properties Inc 1,100 26,202 MAF Bancorp Inc 1,677 69,210 Nara Bancorp Inc 1,163 21,516 National Retail Properties Inc 3,152 70,100 New Century Financial Corp 3,282 127,046 Parkway Properties Inc/Md 865 42,402 Philadelphia Consolidated Holding Co* 3,090 111,734 Piper Jaffray Cos* 1,018 59,634 Portfolio Recovery Associates Inc* 800 31,776 Presidential Life Corp 1,505 35,473 PrivateBancorp Inc 1,017 45,155 ProAssurance Corp* 1,796 90,339 Prosperity Bancshares Inc 1,100 38,808 Provident Bankshares Corp 1,686 63,191 Public Storage Inc 2,261 195,916 Republic Bancorp Inc/MI 3,974 51,384 RLI Corp 1,292 63,179 Safety Insurance Group Inc 800 41,136 SCPIE Holdings Inc* 473 11,262 Selective Insurance Group 1,622 84,376 South Financial Group Inc/The 4,340 117,310 Sovran Self Storage Inc 959 51,863 Sterling Bancorp/NY 1,000 19,430 Sterling Bancshares Inc/TX 2,297 47,640 Sterling Financial Corp/WA 2,038 67,376 Stewart Information Services Corp 928 31,654 Susquehanna Bancshares Inc 2,763 67,611 SWS Group Inc 787 19,360 TradeStation Group Inc* 1,300 19,045 Trustco Bank Corp NY 3,818 41,998 UCBH Holdings Inc 5,434 98,573 Umpqua Holdings Corp 3,193 87,392 United Bankshares Inc 1,934 72,080 United Fire & Casualty Co 900 25,182 Whitney Holding Corp 3,726 131,043 Wilshire Bancorp Inc 800 15,544 Wintrust Financial Corp 1,238 62,284 World Acceptance Corp* 952 38,051 Zenith National Insurance Corp 2,073 78,360 ----------- Total Financial 4,833,444 ----------- Industrial (18.18%) AAR Corp* 2,078 46,360 Acuity Brands Inc 2,585 110,457 Advanced Energy Industries Inc* 1,553 22,317 Albany International Corp 1,699 59,329 Aleris International Inc* 1,765 90,492 AM Castle & Co 759 21,449 Analogic Corp 700 39,781 AO Smith Corp 1,208 48,453 Apogee Enterprises Inc 1,275 19,138 Applied Industrial Technologies Inc 2,236 50,556 Aptargroup Inc 2,075 106,863 Arkansas Best Corp 1,481 65,386 Armor Holdings Inc* 1,673 88,452 Astec Industries Inc* 914 21,561 Baldor Electric Co 1,689 50,011 Barnes Group Inc 1,770 29,063 Bel Fuse Inc 579 21,406 Belden CDT Inc 2,364 84,489 Benchmark Electronics Inc* 3,608 89,984 Brady Corp 2,844 108,641 Briggs & Stratton Corp 3,004 84,563 Bristow Group Inc* 1,161 43,317 C&D Technologies Inc 1,187 9,437 Ceradyne Inc* 1,521 67,030 Checkpoint Systems Inc* 2,228 40,438 Chesapeake Corp 1,001 14,515 Clarcor Inc 3,004 89,970 Cognex Corp 2,720 69,442 Coherent Inc* 1,849 67,045 CTS Corp 1,721 25,299 Cubic Corp 771 15,520 Curtiss-Wright Corp 2,554 79,404 Cymer Inc* 2,086 85,839 Daktronics Inc 1,886 39,361 Dionex Corp* 1,077 54,302 Drew Industries Inc* 800 20,888 EDO Corp 1,023 23,867 EGL Inc* 1,882 57,533 Electro Scientific Industries Inc* 1,341 26,699 ElkCorp 1,011 28,480 EMCOR Group Inc* 1,852 102,675 EnPro Industries Inc* 1,100 34,584 Esterline Technologies Corp* 1,486 52,055 FEI Co* 1,705 35,396 Flir Systems Inc* 4,050 112,185 Forward Air Corp 1,656 53,224 Gardner Denver Inc* 3,026 108,845 GenCorp Inc* 2,884 39,713 Gerber Scientific Inc* 1,029 15,867 Greatbatch Inc* 1,017 24,876 Griffon Corp* 1,420 33,597 Heartland Express Inc 3,131 50,346 HUB Group Inc* 2,200 51,260 IDEX Corp 3,073 129,035 Insituform Technologies Inc* 1,227 28,160 Intermagnetics General Corp* 2,241 61,022 Intermet Corp 1,230 -- Itron Inc* 1,470 82,291 JLG Industries Inc 6,082 106,192 Kaman Corp 1,048 18,770 Kansas City Southern* 4,315 113,700 Kaydon Corp 1,447 55,145 Keithley Instruments Inc 720 8,143 Kirby Corp* 2,916 85,526 Knight Transportation Inc 3,384 58,171 Landstar System Inc 3,458 147,657 Lawson Products 456 17,602 Lennox International Inc 3,319 78,129 Lindsay Manufacturing Co 549 15,657 Littelfuse Inc* 1,132 40,877 LoJack Corp* 1,100 22,968 Lydall Inc* 745 6,355 Magnetek Inc* 1,366 4,453 Manitowoc Co Inc/The 3,542 156,556 Methode Electronics Inc 1,654 13,133 Moog Inc* 2,002 65,365 Mueller Industries Inc 2,095 80,280 Myers Industries Inc 1,536 25,236 NCI Building Systems Inc* 1,100 59,774 NS Group Inc* 1,100 50,072 Old Dominion Freight Line* 1,500 47,880 Park Electrochemical Corp 1,018 26,570 Paxar Corp* 2,034 39,602 Photon Dynamics Inc* 781 10,489 Planar Systems Inc* 664 6,527 Quanex Corp 2,196 75,389 Regal-Beloit Corp 1,574 67,934 Robbins & Myers Inc 666 19,181 Rogers Corp* 850 49,317 Shaw Group Inc/The* 4,644 116,843 Simpson Manufacturing Co Inc 1,890 49,802 Sonic Solutions Inc* 1,173 17,607 Standex International Corp 564 16,610 Sturm Ruger & Co Inc 1,292 9,690 Technitrol Inc 2,070 58,602 Teledyne Technologies Inc* 1,966 75,376 Tetra Tech Inc* 3,368 55,909 Texas Industries Inc 1,386 65,059 Tredegar Corp 1,971 32,522 Trimble Navigation Ltd* 3,100 151,807 Triumph Group Inc 814 35,783 Universal Forest Products Inc 881 42,958 URS Corp* 2,504 101,537 Valmont Industries Inc 824 42,980 Vicor Corp 1,051 13,201 Waste Connections Inc* 2,739 100,713 Watts Water Technologies Inc 1,255 38,918 Wolverine Tube Inc* 570 2,787 Woodward Governor Co 1,737 58,485 X-Rite Inc 987 8,768 ----------- Total Industrial 5,800,875 ----------- Technology (9.08%) Actel Corp* 1,218 18,903 Agilysys Inc 1,491 20,158 Altiris Inc* 1,400 31,640 Ansys Inc* 2,176 101,706 ATMI Inc* 2,001 57,769 Avid Technology Inc* 2,399 95,552 Axcelis Technologies Inc* 5,102 32,092 Brooks Automation Inc* 4,331 60,201 CACI International Inc* 1,795 95,243 Captaris Inc* 1,544 7,998 Carreker Corp* 1,093 7,159 Catapult Communications Corp* 597 5,797 Cerner Corp* 3,570 164,434 Ciber Inc* 2,938 19,420 Cohu Inc 984 16,502 Dendrite International Inc* 2,129 21,333 Digi International Inc* 989 13,114 Diodes Inc* 1,100 41,184 DSP Group Inc* 1,496 36,607 eFunds Corp* 2,455 57,005 Epicor Software Corp* 3,100 38,378 EPIQ Systems Inc* 854 12,708 ESS Technology* 1,795 2,334 Exar Corp* 1,952 27,289 Factset Research Systems Inc 1,734 76,469 Filenet Corp* 2,398 83,786 Global Imaging Systems Inc* 2,354 51,623 Global Payments Inc 3,686 140,252 Hutchinson Technology Inc* 1,338 27,616 Hyperion Solutions Corp* 3,501 115,953 Inter-Tel Inc 1,318 29,049 JDA Software Group Inc* 1,393 23,110 Keane Inc* 2,500 38,700 Komag Inc* 1,700 61,132 Kopin Corp* 3,225 12,094 Kronos Inc/MA* 1,893 57,774 Kulicke & Soffa Industries Inc* 2,607 20,517 Manhattan Associates Inc* 1,548 35,929 See accompanying notes to financial statements 27 -------------------------------------------------------------------------------- S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Mantech International Corp* 939 $ 28,583 Mapinfo Corp* 1,036 12,846 Mercury Computer Systems Inc* 1,010 12,544 Micros Systems Inc* 2,200 105,292 Microsemi Corp* 3,651 101,388 MRO Software Inc* 1,139 29,261 MTS Systems Corp 1,024 34,376 Neoware Inc* 1,100 14,190 Open Solutions Inc* 1,000 29,540 Pericom Semiconductor Corp* 1,192 11,086 Per-Se Technologies Inc* 1,816 41,387 Phoenix Technologies Ltd* 1,166 5,830 Photronics Inc* 2,089 30,311 Power Integrations Inc* 1,578 29,035 Progress Software Corp* 2,349 59,477 Quality Systems Inc 800 32,080 Radiant Systems Inc* 1,286 14,223 Radisys Corp* 829 19,622 Rudolph Technologies Inc* 760 13,604 Skyworks Solutions Inc* 9,282 42,976 SPSS Inc* 804 20,397 Standard Microsystems Corp* 1,264 35,480 Supertex Inc* 590 20,868 Synaptics Inc* 1,300 32,877 Take-Two Interactive Software Inc* 4,154 50,679 Talx Corp 1,909 47,152 THQ Inc* 3,685 95,073 Ultratech Inc* 1,126 16,473 Varian Semiconductor Equipment Associates Inc* 3,244 114,546 Veeco Instruments Inc* 1,520 37,181 ----------- Total Technology 2,896,907 ----------- Utilities (4.82%) Allete Inc 1,780 81,773 American States Water Co 745 28,630 Atmos Energy Corp 4,738 136,454 Avista Corp 2,483 60,188 Cascade Natural Gas Corp 520 13,338 Central Vermont Public Service Corp 573 12,938 CH Energy Group Inc 808 39,689 Cleco Corp 2,940 73,382 El Paso Electric Co* 2,842 67,952 Energen Corp 4,230 184,597 Green Mountain Power Corp 231 7,699 Laclede Group Inc/The 1,063 34,643 New Jersey Resources Corp 1,614 80,151 Northwest Natural Gas Co 1,401 53,588 Piedmont Natural Gas Co 4,420 115,229 South Jersey Industries Inc 1,500 43,485 Southern Union Co 5,708 157,769 Southwest Gas Corp 2,279 76,802 UGI Corp 6,110 151,528 UIL Holdings Corp 1,240 45,310 Unisource Energy Corp 2,052 70,818 ----------- Total Utilities 1,535,963 ----------- Total Common Stock (Cost $21,548,697) 29,580,084 ----------- Corporate Debt (0.04%) Par Value Value --------- $ 15,000 Mueller Industry Inc. (11/01/2014) 13,800 ----------- Total Corporate Debt (Cost $15,000) 13,800 ----------- Short-Term Investments (7.18%) $ 1,000,000 United States Treasury Bill 09/14/2006 998,163 900,000 United States Treasury Bill 10/12/2006 894,936 400,000 United States Treasury Bill 11/16/2006 (b) 395,926 ----------- Total Short-Term Investments (Cost $2,288,930) 2,289,025 ----------- Total Investments (Cost $23,852,627) (a) (99.95%) $31,882,909 Other Net Assets (0.05%) 16,555 ----------- Net Assets (100.00%) $31,899,464 =========== * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $23,852,627. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $10,213,286 Unrealized depreciation (2,183,004) ----------- Net unrealized appreciation $ 8,030,282 =========== (b) At August 31, 2006, certain United States Treasury Bills with a market value of $197,963 were pledged to cover margin requirements for futures contracts. c) Futures contracts at August 31, 2006: Contracts - $500 times premium delivery month/commitment) Russell 2000 Stock Index : Unrealized Appreciation 6/ Sept. 06/Long $ 59,071 =========== -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Common Stock (85.88%) Basic Materials (3.05%) Chemicals (1.44%) Praxair Inc 3,692 $ 211,958 Sherwin-Williams Co/The 1,746 90,163 ----------- 302,121 ----------- Forest Products & Paper (0.82%) Plum Creek Timber Co Inc (REIT) 4,950 172,409 Mining (0.79%) Alcoa Inc 5,750 164,392 ----------- Total Basic Materials 638,922 ----------- Communications (4.45%) Media (2.85%) McGraw-Hill Cos Inc/The 10,678 597,007 Telecommunications (1.60%) AT&T Inc 10,744 334,461 ----------- Total Communications 931,468 ----------- Consumer, Cyclical (9.80%) Apparel (0.54%) Liz Claiborne Inc 3,036 113,455 Auto Manufacturers (1.60%) Ford Motor Co 40,100 335,637 Retail (7.66%) Gap Inc/The 4,450 74,805 Lowe's Cos Inc 11,500 311,190 McDonald's Corp 12,368 444,011 Ross Stores Inc 3,692 90,417 Sears Holdings Corp* 717 103,327 Target Corp 5,639 272,871 TJX Cos Inc 5,750 153,813 Wal-Mart Stores Inc 3,381 151,198 ----------- 1,601,632 ----------- Total Consumer, Cyclical 2,050,724 ----------- Consumer, Non-Cyclical (16.59%) Agriculture (1.52%) Reynolds American Inc 4,892 318,322 Beverages (2.97%) Anheuser-Busch Cos Inc 3,036 149,918 Coca-Cola Co/The 10,500 470,505 ----------- 620,423 ----------- Commercial Services (1.78%) Moody's Corp 6,092 372,709 Cosmetics/Personal Care (0.94%) Procter & Gamble Co 3,180 196,842 Food (2.07%) Sara Lee Corp 12,300 204,549 Tyson Foods Inc 15,472 227,903 ----------- 432,452 ----------- Healthcare Products (2.21%) Baxter International Inc 10,411 462,040 Healthcare Services (1.24%) Aetna Inc 6,984 260,293 Household Products/Wares (0.99%) ACCO Brands Corp* 410 8,881 See accompanying notes to financial statements 28 -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Clorox Co 1,201 $ 71,832 Fortune Brands Inc 1,746 126,759 ----------- 207,472 ----------- Pharmaceuticals (2.87%) AmerisourceBergen Corp 5,606 247,561 Merck & Co Inc 1,000 40,550 Pfizer Inc 11,300 311,428 ----------- 599,539 ----------- Total Consumer, Non-Cyclical 3,470,092 ----------- Energy (9.64%) Oil & Gas (8.37%) GlobalSantaFe Corp 2,725 134,125 Apache Corp 4,126 269,345 Chevron Corp 3,140 202,216 ConocoPhillips 4,348 275,794 Devon Energy Corp 4,752 296,952 ENSCO International Inc 3,370 150,605 Exxon Mobil Corp 6,236 421,990 ----------- 1,751,027 ----------- Oil & Gas Services (1.27%) Baker Hughes Inc 2,280 162,290 Tidewater Inc 2,180 103,791 ----------- 266,081 ----------- Total Energy 2,017,108 ----------- Financial (25.04%) Banks (8.18%) Bank of America Corp 13,016 669,934 Fifth Third Bancorp 7,723 303,823 SunTrust Banks Inc 2,102 160,593 Wells Fargo & Co 16,594 576,641 ----------- 1,710,991 ----------- Diversified Financial Services (2.46%) Citigroup Inc 10,411 513,783 ----------- Insurance (7.29%) American International Group Inc 4,225 269,640 Arthur J Gallagher & Co 6,200 166,160 Fidelity National Financial Inc 2,994 120,449 Fidelity National Title Group Inc 523 10,544 Marsh & McLennan Cos Inc 11,100 290,376 Metlife Inc 5,928 326,218 Stancorp Financial Group Inc 5,650 263,121 XL Capital Ltd 1,201 78,832 ----------- 1,525,340 ----------- REITS (7.12%) Annaly Capital Management Inc 7,408 92,674 Boston Properties Inc 1,746 177,446 iStar Financial Inc 3,704 155,272 Kimco Realty Corp 4,026 167,280 Mills Corp/The 5,000 89,900 Realty Income Corp 7,408 182,163 Simon Property Group Inc 2,180 184,842 SL Green Realty Corp 2,280 254,357 Vornado Realty Trust 1,746 184,918 ----------- 1,488,852 ----------- Total Financial 5,238,966 ----------- Industrial (4.85%) Aerospace/Defense (0.01%) Raytheon Co Warrants 220 3,069 ----------- Building Materials (0.50%) Masco Corp 3,804 104,268 ----------- Hand/Machine Tools (0.51%) Stanley Works/The 2,280 107,684 ----------- Machinery-Construction & Mining (1.36%) Caterpillar Inc 4,292 284,774 ----------- Metal Fabricate/Hardware (0.77%) Worthington Industries Inc 8,400 160,524 ----------- Misc. Manufacturing (1.69%) 3M Co 2,612 187,280 ITT Corp 2,134 104,459 Leggett & Platt Inc 2,725 62,812 ----------- 354,551 ----------- Total Industrial 1,014,870 ----------- Technology (7.71%) Computers (3.12%) Dell Inc* 9,949 224,350 Diebold Inc 1,746 73,175 Hewlett-Packard Co 5,750 210,220 Reynolds & Reynolds Co/The 3,804 145,921 ----------- 653,666 ----------- Office/Business Equipment (0.48%) Pitney Bowes Inc 2,280 99,386 ----------- Semiconductors (1.61%) Intel Corp 17,263 337,319 ----------- Software (2.50%) First Data Corp 8,609 369,929 Microsoft Corp 5,973 153,446 ----------- 523,375 ----------- Total Technology 1,613,746 ----------- Utilities (4.73%) Electric Consolidated Edison Inc 6,200 286,440 Duke Energy Corp 3,400 102,000 Entergy Corp 1,746 135,577 Exelon Corp 3,146 191,843 Progress Energy Inc 1,579 69,997 SCANA Corp 4,900 202,614 ----------- Total Utilities 988,471 ----------- Total Common Stock (Cost $13,792,342) 17,964,367 ----------- Short-Term Investments (13.82%) Par Value --------- $ 2,300,000 United States Treasury Bill 09/14/2006 2,295,781 400,000 United States Treasury Bill 10/12/2006 397,749 200,000 United States Treasury Bill 11/16/2006 (b) 197,963 ----------- Total Short-Term Investments (Cost $2,891,440) 2,891,493 ----------- Total Investments (Cost $16,683,782) (a) (99.70%) 20,855,860 Other Net Assets (0.30%) 62,701 ----------- Net Assets (100.00%) $20,918,561 =========== * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $16,690,359. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 5,215,826 Unrealized depreciation (1,050,325) ----------- Net unrealized appreciation $ 4,165,501 =========== (b) At August 31, 2006, certain United States Treasury Bills with a market value of $197,963 were pledged to cover margin requirements for futures contracts. c) Futures contracts at August 31, 2006: Contracts - $500 times premium/delivery month/commitment) Russell 2000 Stock Index: Unrealized Appreciation 8/Sept. 06/Long $ 124,512 =========== See accompanying notes to financial statements 29 -------------------------------------------------------------------------------- EUROPEAN GROWTH & INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Common Stock (97.00%) Basic Materials (3.31%) Chemicals (1.94%) Arkema ADR* 148 $ 5,765 BASF AG ADR 1,444 119,246 Bayer AG ADR 1,515 75,143 ----------- 200,154 ----------- Mining (1.37%) Rio Tinto PLC ADR 700 141,015 ----------- Total Basic Materials 341,169 ----------- Communications (13.64%) Telecommunications (13.64%) Alcatel SA ADR* 1,772 22,203 BT Group PLC ADR 2,360 111,062 Deutsche Telekom AG ADR 7,025 102,846 France Telecom SA ADR 4,500 100,440 Nokia OYJ ADR 15,428 322,137 Telecom Italia SpA ADR 2,947 81,868 Telefonaktiebolaget LM Ericsson ADR 3,994 133,400 Telefonica SA ADR 4,165 214,206 Vodafone Group PLC ADR 14,533 315,946 ----------- Total Communications 1,404,108 ----------- Consumer, Cyclical (1.30%) Auto Manufacturers (1.30%) DaimlerChrysler AG 2,535 133,797 ----------- Total Consumer, Cyclical 133,797 ----------- Consumer, Non-Cyclical (21.00%) Beverages (1.48%) Diageo PLC ADR 2,135 152,653 Cosmetics/Personal Care (0.81%) L'Oreal SA ADR 4,005 83,768 Food (4.65%) Nestle SA ADR 4,365 374,081 Unilever NV ADR 4,408 105,086 ----------- 479,167 ----------- Pharmaceuticals (14.05%) AstraZeneca PLC ADR 4,198 273,458 GlaxoSmithKline PLC ADR 8,088 459,237 Novartis AG ADR 6,357 363,112 Roche Holding AG ADR 3,816 350,690 ----------- 1,446,497 ----------- Total Consumer, Non-Cyclicals 2,162,085 ----------- Energy (17.31%) Oil & Gas (17.31%) BP PLC ADR 7,276 495,132 ENI SpA ADR 4,132 252,713 Royal Dutch Shell ADR 3,235 231,497 Royal Dutch Shell PLC ADR 5,320 366,761 Total SA ADR 6,458 435,462 ----------- Total Energy 1,781,565 ----------- Financial (32.59%) Banks (23.00%) ABN AMRO Holding NV ADR 5,329 152,196 Banco Bilbao Vizcaya Argentaria SA ADR 9,179 210,199 Banco Santander Central Hispano SA ADR 16,958 264,036 Barclays PLC ADR 7,651 387,141 BNP Paribas ADR 4,752 252,284 Deutsche Bank AG 1,596 182,439 HSBC Holdings PLC ADR 4,754 432,329 Lloyds TSB Group PLC ADR 3,755 148,998 UBS AG 5,950 337,781 ----------- 2,367,403 ----------- Diversified Financial Services (1.71%) Credit Suisse Group ADR 3,153 176,253 Insurance (7.88%) Aegon NV ADR 2,989 53,443 Allianz AG ADR 10,957 186,817 AXA SA ADR 4,384 163,348 ING Groep NV ADR 5,432 235,912 Prudential PLC ADR 2,089 47,128 Royal & Sun Alliance Insurance Group ADR 1,727 22,848 Swiss Reinsurance ADR 960 73,056 Zurich Financial Svs ADR 1,265 28,715 ----------- 811,267 ----------- Total Financial 3,354,923 ----------- Industrial (2.99%) Electronics (1.06%) Koninklijke Philips Electronics NV ADR 3,184 109,275 Misc. Manufacturing (1.93%) Siemens AG ADR 2,335 198,592 ----------- Total Industrial 307,867 ----------- Technology (1.10%) Software SAP AG ADR 2,367 113,001 ----------- Total Technology 113,001 ----------- Utilities (3.76%) Electric (3.76%) E.ON AG ADR 5,835 247,404 Suez SA ADR 3,237 139,256 ----------- Total Utilities 386,660 ----------- Total Common Stock (Cost $7,744,962) 9,985,175 ----------- Short-Term Investments (2.90%) Par Value --------- $ 200,000 United States Treasury Bill 09/14/2006 199,634 100,000 United States Treasury Bill 11/16/2006 98,981 ----------- Total Short-Term Investments (Cost $298,598) 298,615 ----------- Total Investments (Cost $8,043,560) (a) (99.90%) 10,283,790 Other Net Assets (0.10%) 10,657 ----------- Net Assets (100.00%) $10,294,447 =========== * Non-Income Producing Security ADR - American Depository Receipts (a) Aggregate cost for federal income tax purposes is $8,044,120. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 2,631,908 Unrealized depreciation (392,238) ----------- Net unrealized appreciation $ 2,239,670 =========== See accompanying notes to financial statements 30 -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2006 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------------------- Common Stocks (96.34%) Basic Materials (0.39%) Sigma-Aldrich Corp 868 $ 63,043 ----------- Total Basic Materials 63,043 ----------- Communications (27.81%) Akamai Technologies Inc* 1,700 66,640 Amazon.Com Inc* 3,246 100,074 Check Point Software* 3,106 57,741 Checkfree Corp* 1,114 39,881 Cisco Systems Inc* 24,580 540,514 Comcast Corp* 10,696 374,360 Comverse Technology Inc* 2,693 56,284 Discovery Holding Co* 3,067 42,969 eBay Inc* 11,739 327,049 EchoStar Communications Corp* 2,414 76,645 Expedia Inc* 4,416 72,069 Google Inc* 1,464 554,168 IAC/InterActiveCorp* 3,902 111,129 JDS Uniphase Corp* 24,379 55,340 Juniper Networks Inc* 4,139 60,719 Lamar Advertising Co* 1,115 58,315 Liberty Global Inc* 3,112 73,474 Millicom Inter.* 1,100 42,922 NII Holdings Inc* 1,693 90,322 NTL Inc 3,792 100,450 Qualcomm Inc 22,254 838,308 Sirius Satellite Radio Inc* 18,579 75,988 Symantec Corp* 12,673 236,225 Telefonaktiebolaget LM Ericsson ADR 1,200 40,080 Tellabs Inc* 3,293 33,556 VeriSign Inc* 2,614 52,907 XM Satellite Radio Holdings Inc* 2,952 38,258 Yahoo! Inc* 7,888 227,331 ----------- Total Communications 4,443,718 ----------- Consumer, Cyclical (10.27%) Bed Bath & Beyond Inc* 4,244 143,150 CDW Corp 924 53,869 Cintas Corp 2,296 85,021 Costco Wholesale Corp 2,804 131,199 Fastenal Co 1,608 58,981 Paccar Inc 3,367 184,074 PetSmart Inc 1,828 45,883 Ross Stores Inc 1,836 44,964 Sears Holdings Corp* 1,869 269,342 Staples Inc 5,731 129,291 Starbucks Corp* 11,876 368,275 Urban Outfitters Inc* 2,217 34,785 Wynn Resorts Ltd* 1,200 92,892 ----------- Total Consumer, Cyclical 1,641,726 ----------- Consumer, Non-Cyclical (16.34%) Amgen Inc* 6,413 435,635 Amylin Pharmaceuticals Inc* 1,400 63,462 Apollo Group Inc* 1,998 100,320 Biogen Idec Inc* 4,154 183,358 Biomet Inc 3,722 121,747 Celgene Corp* 3,800 154,622 Dentsply International Inc 1,588 51,737 Express Scripts Inc* 1,444 121,412 Genzyme Corp* 3,671 243,130 Gilead Sciences Inc* 5,111 324,037 Intuitive Surgical Inc* 400 37,760 Lincare Holdings Inc* 1,208 44,732 Medimmune Inc* 2,993 82,727 Monster Worldwide Inc* 1,618 65,917 Patterson Cos Inc* 1,704 52,517 Paychex Inc 4,033 144,825 Sepracor Inc* 1,200 56,412 Teva Pharmaceutical Industries Ltd ADR 7,034 244,502 Whole Foods Market Inc 1,538 82,467 ----------- Total Consumer, Non-Cyclical 2,611,319 ----------- Energy (0.39%) Patterson-UTI Energy Inc 2,249 61,623 ----------- Total Energy 61,623 ----------- Industrial (3.03%) American Power Conversion Corp 2,529 44,435 CH Robinson Worldwide Inc 2,046 93,748 Expeditors International Washington Inc 2,400 95,688 Flextronics Intl Ltd* 7,018 82,812 Garmin Ltd 2,180 101,937 Joy Global Inc 1,500 65,309 ----------- Total Industrial 483,929 ----------- Technology (38.11%) Activision Inc* 3,149 40,622 Adobe Systems Inc* 6,640 215,402 Altera Corp* 5,969 120,753 Apple Computer Inc* 13,248 898,877 Applied Materials Inc 9,512 160,563 ATI Technologies Inc* 3,185 68,446 Autodesk Inc* 2,900 100,804 BEA Systems Inc* 4,655 63,913 Broadcom Corp* 4,936 145,316 Cadence Design Systems Inc* 3,830 62,927 Citrix Systems Inc* 2,399 73,601 Cognizant Technology Solutions Corp* 1,600 111,856 Dell Inc* 9,657 217,765 Electronic Arts Inc* 3,404 173,502 Fiserv Inc* 2,673 118,066 Intel Corp 23,006 449,537 Intuit Inc* 5,144 155,452 Kla-Tencor Corp 2,882 126,549 Lam Research Corp* 1,571 67,223 Linear Technology Corp 4,549 154,711 Marvell Technology G* 6,590 115,391 Maxim Integrated Products Inc 5,019 146,053 Microchip Technology Inc 2,016 68,867 Microsoft Corp 39,810 1,022,719 Network Appliance Inc* 4,714 161,407 Nvidia Corp* 3,732 108,639 Oracle Corp* 24,082 376,883 Red Hat Inc* 2,242 52,104 Research In Motion Ltd* 2,063 170,198 SanDisk Corp* 2,024 119,254 Sun Microsystems Inc* 19,139 95,504 Xilinx Inc 5,558 127,109 ----------- Total Technology 6,090,013 ----------- Total Common Stock (Cost $15,299,976) 15,395,371 ----------- Short-Term Investments (3.74%) Par Value --------- $ 500,000 United States Treasury Bill 09/14/2006 499,081 100,000 United States Treasury Bill 11/16/2006 (b) 98,981 ----------- Total Short-Term Investments (Cost $598,036) 598,062 ----------- Total Investments (Cost $15,898,012) (a) (100.08%) 15,993,433 Other Net Liabilities (-0.08%) (13,098) ----------- Net Assets (100.00%) $15,980,335 =========== * Non-Income Producing Security (a) Aggregate cost for federal income tax purposes is $16,004,561. At August 31, 2006, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 3,507,727 Unrealized depreciation (3,518,855) ----------- Net unrealized depreciation $ (11,128) =========== (b) At August 31, 2006, certain United States Treasury Bills with a market value of $98,981 were pledged to cover margin requirements for futures contracts. c) Futures contracts at August 31, 2006: Contracts - $100 times premium/delivery month/commitment) Nasdaq 100 Stock Index: Unrealized Appreciation 3/ Sept 06/Long $ 9,986 =========== See accompanying notes to financial statements 31 ------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES AUGUST 31, 2006 -------------------------------------------------------------------------------
CALIFORNIA CALIFONIA CALIFORNIA U.S. SHORT-TERM THE UNITED TAX-FREE INSURED TAX-FREE GOVERNMENT U.S. STATES INCOME INTERMEDIATE MONEY SECURITIES GOVERNMENT TREASURY FUND FUND MARKET FUND FUND BOND FUND TRUST ------------ ------------ ------------ ------------ ------------ ------------ Assets Investments at market value (identified cost $119,384,422; $19,289,400; $81,427,556; $26,957,317; $14,647,259 and $51,201,353 respectively.) (Note 1) $125,892,766 $ 19,390,000 $ 81,427,556 $ 26,542,437 $ 14,559,616 $ 51,201,353 Cash 61,662 61,176 20,898 52,644 20,435 16,466 Interest receivable 1,445,517 202,485 308,403 158,052 107,392 -- Receivable for fund shares sold 3,408 -- 227,790 2,682 104 4,418 ------------ ------------ ------------ ------------ ------------ ------------ Total Assets $127,403,353 $ 19,653,661 $ 81,984,647 $ 26,755,815 $ 14,687,547 $ 51,222,237 ------------ ------------ ------------ ------------ ------------ ------------ Liabilities Payable for fund shares repurchased 16,356 671 56,248 4,299 4,339 97,342 Payable to Investment Advisor 52,529 4,171 23,285 9,065 2,276 12,857 Distributions Payable 142,370 9,044 7,057 10,543 1,877 5,210 Accrued 12b-1 fee - K Shares -- -- -- 2,083 577 1,003 Accrued shareholder service fee - K Shares -- -- -- 2,116 586 1,032 Accrued administration fee 8,357 1,293 5,439 1,754 969 3,379 Accrued expenses 6,146 7,609 17,118 10,973 7,233 10,126 ------------ ------------ ------------ ------------ ------------ ------------ Total liabilities 225,758 22,788 109,147 40,833 17,857 130,949 ------------ ------------ ------------ ------------ ------------ ------------ Net assets: $127,177,595 $ 19,630,873 $ 81,875,500 $ 26,714,982 $ 14,669,690 $ 51,091,288 ============ ============ ============ ============ ============ ============ Net Assets at August 31, 2006 consist of Paid-in capital $119,828,125 $ 19,508,130 $ 81,878,758 $ 27,460,154 $ 15,071,052 $ 51,104,348 Undistributed net investment income 244,208 1,753 -- 3,091 1,532 105 Accumulated net realized gains (losses) 596,918 20,390 (3,258) (333,383) (315,251) (13,165) Unrealized appreciation (depreciation) of investments 6,508,344 100,600 -- (414,880) (87,643) -- ------------ ------------ ------------ ------------ ------------ ------------ $127,177,595 $ 19,630,873 $ 81,875,500 $ 26,714,982 $ 14,669,690 $ 51,091,288 ============ ============ ============ ============ ============ ============ Net assets: Direct Shares $127,177,595 $ 19,630,873 $ 81,875,500 $ 21,430,188 $ 13,234,771 $ 48,604,025 ============ ============ ============ ============ ============ ============ K Shares -- -- -- $ 5,284,794 $ 1,434,919 $ 2,487,263 ============ ============ ============ ============ ============ ============ Shares outstanding Direct Shares (no par value, unlimited shares authorized) 10,728,774 1,871,151 81,942,128 2,102,041 1,342,469 48,616,077 ============ ============ ============ ============ ============ ============ K Shares (no par value, unlimited shares authorized) -- -- -- 515,027 145,364 2,488,192 ============ ============ ============ ============ ============ ============ Net asset value per share Direct Shares $ 11.85 $ 10.49 $ 1.00 $ 10.19 $ 9.86 $ 1.00 ============ ============ ============ ============ ============ ============ K Shares -- -- -- $ 10.26 $ 9.87 $ 1.00 ============ ============ ============ ============ ============ ============
See accompanying notes to financial statements 32 ------------------------------------------------------------------------------- STATEMENT OF ASSETS & LIABILITIES AUGUST 31, 2006 - (CONTINUED) -------------------------------------------------------------------------------
S&P 500 S&P MIDCAP S&P EQUITY EUROPEAN NASDAQ-100 INDEX INDEX SMALLCAP INCOME GROWTH & INDEX FUND FUND INDEX FUND FUND INCOME FUND FUND ------------ ------------ ------------ ------------ ------------ ------------ Assets Investments at market value (identified cost $78,462,822; $128,888,435; $23,852,627; $16,683,782; $8,043,560 and $15,898,012 respectively.) (Note 1) $106,825,355 $168,778,829 $ 31,882,909 $ 20,855,860 $ 10,283,790 $ 15,993,433 Cash 88,983 44,524 66,593 43,846 146 5,276 Interest receivable -- -- 300 -- -- -- Dividend receivable 228,416 168,878 12,520 44,067 33,943 12,660 Receivable for fund shares sold 1,269 2,944 4,209 141 635 77 Variation margin receivable 125 6,400 -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total Assets 107,144,148 169,001,575 31,966,531 20,943,914 10,318,514 16,011,446 ------------ ------------ ------------ ------------ ------------ ------------ Liabilities Payable for fund shares repurchased 3,353 293,160 34,227 2,607 10,425 15,276 Payable to Investment Advisor 9,993 45,081 9,775 8,712 2,928 1,032 Variation Margin Payable -- -- 1,200 1,600 -- 450 Accrued 12b-1 fee - K Shares 2,371 2,234 2,864 1,514 1,763 1,486 Accrued shareholder service fee - K Shares 2,282 2,127 2,964 1,537 1,784 1,513 Accrued administration fee 7,004 11,049 2,069 1,357 666 1,030 Accrued expenses 32,625 43,483 13,968 8,026 6,501 10,324 ------------ ------------ ------------ ------------ ------------ ------------ Total liabilities 57,628 397,134 67,067 25,353 24,067 31,111 ------------ ------------ ------------ ------------ ------------ ------------ Net assets: $107,086,520 $168,604,441 $ 31,899,464 $ 20,918,561 $ 10,294,447 $ 15,980,335 ============ ============ ============ ============ ============ ============ Net Assets at August 31, 2006 consist of Paid-in capital $ 86,221,169 $119,106,333 $ 21,465,885 $ 16,115,375 $ 8,260,769 $ 28,040,043 Undistributed net investment income 305,899 189,940 961 30,614 70,727 -- Accumulated net realized gains (losses) (7,809,256) 9,400,874 2,343,265 475,982 (277,279) (12,165,115 Unrealized appreciation (depreciation) of investments 28,362,533 39,890,394 8,030,282 4,172,078 2,240,230 95,421 Unrealized appreciation (depreciation) of futures contracts 6,175 16,900 59,071 124,512 -- 9,986 ------------ ------------ ------------ ------------ ------------ ------------ $107,086,520 $168,604,441 $ 31,899,464 $ 20,918,561 $ 10,294,447 $ 15,980,335 ============ ============ ============ ============ ============ ============ Net assets: Direct Shares $100,927,469 $162,987,755 $ 24,609,484 $ 17,089,560 $ 5,718,821 $ 12,072,343 ============ ============ ============ ============ ============ ============ K Shares $ 6,159,051 $ 5,616,686 $ 7,289,980 $ 3,829,001 $ 4,575,626 $ 3,907,992 ============ ============ ============ ============ ============ ============ Shares outstanding Direct Shares (no par value, unlimited shares authorized) 3,836,643 7,120,749 1,270,122 1,034,168 577,036 3,048,227 ============ ============ ============ ============ ============ ============ K Shares (no par value, unlimited shares authorized) 233,213 245,470 377,176 231,212 460,303 994,605 ============ ============ ============ ============ ============ ============ Net asset value per share Direct Shares $ 26.31 $ 22.89 $ 19.38 $ 16.52 $ 9.91 $ 3.96 ============ ============ ============ ============ ============ ============ K Shares $ 26.41 $ 22.88 $ 19.33 $ 16.56 $ 9.94 $ 3.93 ============ ============ ============ ============ ============ ============
See accompanying notes to financial statements 33 ------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2006 -------------------------------------------------------------------------------
CALIFORNIA CALIFONIA CALIFORNIA U.S. SHORT-TERM THE UNITED TAX-FREE INSURED TAX-FREE GOVERNMENT U.S. STATES INCOME INTERMEDIATE MONEY SECURITIES GOVERNMENT TREASURY FUND FUND MARKET FUND FUND BOND FUND TRUST ------------ ------------ ------------ ------------ ------------ ------------ Investment income Interest income $ 6,499,084 $ 767,659 $ 2,000,758 $ 1,288,774 $ 611,038 $ 1,678,170 ------------ ------------ ------------ ------------ ------------ ------------ Expenses Management fees (Note 2) 649,314 100,910 324,827 134,422 76,765 196,893 Administration fees (Note 2) 104,173 15,771 50,762 21,008 11,997 30,747 Transfer agent fees 36,910 16,065 22,790 24,465 17,474 25,074 Accounting services 53,576 19,962 33,277 20,418 14,845 22,525 Custodian fees 9,119 1,709 6,187 3,450 1,830 4,013 Legal, audit, and compliance fees (Note 2) 56,014 12,218 31,664 14,673 10,013 20,466 Trustees fees 9,724 8,692 9,128 3,072 2,970 3,195 Insurance 5,307 831 2,232 1,094 632 1,558 Printing 13,846 1,857 7,315 5,091 1,971 5,085 Registration and dues 3,212 967 1,965 3,106 2,526 3,676 12b-1 fees K-shares (Note 2) -- -- -- 11,788 3,434 6,161 Shareholder service fee - K shares (Note 2) -- -- -- 11,788 3,434 6,161 Licensing fee -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ Total expenses 941,195 178,982 490,147 254,375 147,891 325,554 ------------ ------------ ------------ ------------ ------------ ------------ Less reimbursement from manager (Note 2) -- (41,744) (145,589) (31,857) (50,442) (104,529) ------------ ------------ ------------ ------------ ------------ ------------ Net expenses 941,195 137,238 344,558 222,518 97,449 221,025 ------------ ------------ ------------ ------------ ------------ ------------ Net investment income (loss) 5,557,889 630,421 1,656,200 1,066,256 513,589 1,457,145 ============ ============ ============ ============ ============ ============ Realized and unrealized gain (loss) on investments Net realized gain (loss) from security transactions 705,129 38,444 -- (104,210) (123,159) (10,457) Change in unrealized appreciation (depreciation) of investments (3,921,970) (363,402) -- (748,216) (39,575) -- ------------ ------------ ------------ ------------ ------------ ------------ Net realized and unrealized gain (loss) on investments (3,216,841) (324,958) -- (852,426) (162,734) (10,457) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations $ 2,341,048 $ 305,463 $ 1,656,200 $ 213,830 $ 350,855 $ 1,446,688 ============ ============ ============ ============ ============ ============
See accompanying notes to financial statements 34 ------------------------------------------------------------------------------- STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2006 - (CONTINUED) -------------------------------------------------------------------------------
S&P S&P S&P EQUITY EUROPEAN NASDAQ-100 500 INDEX MIDCAP INDEX SMALLCAP INCOME GROWTH & INDEX FUND FUND INDEX FUND FUND INCOME FUND FUND ------------ ------------ ------------ ------------ ------------ ------------ Investment income Interest income $ 71,578 $ 129,713 $ 88,416 $ 109,499 $ 7,510 $ 17,780 Dividend income (Net of foreign tax witheld: $0; $0; $289; $0; $35,615; $454 respectively) 2,066,355 2,465,342 304,770 405,011 322,385 103,596 ------------ ------------ ------------ ------------ ------------ ------------ Total 2,137,933 2,595,055 393,186 514,510 329,895 121,376 ------------ ------------ ------------ ------------ ------------ ------------ Expenses Management fees (Note 2) 271,598 698,638 157,392 102,059 76,562 88,568 Administration fees (Note 2) 84,882 136,430 24,589 15,947 7,037 13,840 Transfer agent fees 36,302 39,880 30,374 23,310 20,292 29,884 Accounting services 63,800 85,096 35,991 16,076 12,981 16,179 Custodian fees 14,029 16,660 5,009 1,861 1,444 3,090 Legal, audit, and compliance fees (Note 2) 45,582 63,095 15,000 12,984 7,523 10,711 Trustees fees 4,446 6,244 3,090 2,948 2,927 2,986 Insurance 4,079 6,186 1,130 747 303 702 Printing 35,288 45,444 11,728 7,762 4,247 9,691 Registration and dues 7,327 8,920 3,301 1,805 1,118 2,377 12b-1 Fees K-Shares (Note 2) 13,298 13,335 16,750 8,761 9,372 9,133 Shareholder Service Fee - K Shares (Note 2) 13,298 13,335 16,750 8,761 9,372 9,133 Licensing fee 11,073 15,164 2,780 -- -- 5,006 ------------ ------------ ------------ ------------ ------------ ------------ Total expenses 605,002 1,148,427 323,884 203,021 153,178 201,300 Less reimbursement from manager (Note 2) (187,303) (108,736) (57,446) (950) (44,359) (51,952) ------------ ------------ ------------ ------------ ------------ ------------ Net expenses 417,699 1,039,691 266,438 202,071 108,819 149,348 ------------ ------------ ------------ ------------ ------------ ------------ Net investment income (loss) 1,720,234 1,555,364 126,748 312,439 221,076 (27,972) ------------ ------------ ------------ ------------ ------------ ------------ Realized and unrealized gain (loss) on investments Net realized gain (loss) from security transactions 1,425,251 10,284,556 2,405,132 388,509 (6,274) (2,051,337) Net realized gain (loss) from futures contracts 156,425 (84,441) 167,539 109,751 -- (8,664) Change in unrealized appreciation (depreciation) of investments 5,564,773 (2,383,986) (700,977) 363,346 1,261,470 2,068,757 Change in unrealized appreciation (depreciation) of futures contracts (32,175) (18,792) (54,376) 102,230 -- 2,740 ------------ ------------ ------------ ------------ ------------ ------------ Net realized and unrealized gain on investments 7,114,274 7,797,337 1,817,318 963,836 1,255,196 11,496 ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations $ 8,834,508 $ 9,352,701 $ 1,944,066 $ 1,276,275 $ 1,476,272 $ (16,476) ============ ============ ============ ============ ============ ============
See accompanying notes to financial statements 35 ------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------
CALIFORNIA TAX-FREE CALIFORNIA INSURED CALIFORNIA TAX-FREE INCOME FUND INTERMEDIATE FUND MONEY MARKET FUND --------------------------- --------------------------- --------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, August 31, 2006 2005 2006 2005 2006 2005 ------------ ------------ ------------ ------------ ------------ ------------ Operations Net investment income $ 5,557,889 $ 5,944,124 $ 630,421 $ 758,800 $ 1,656,200 $ 1,062,279 Net realized gain (loss) on investments 705,129 2,835,298 38,444 247,778 -- -- Change in unrealized appreciation (depreciation) of investments (3,921,970) (4,551,279) (363,402) (620,069) -- -- ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations 2,341,048 4,228,143 305,463 386,509 1,656,200 1,062,279 Distributions to shareholders Distributions from net investment income (5,530,802) (5,919,149) (628,668) (759,043) (1,656,200) (1,062,279) Distributions from realized capital gains on investments (3,082,710) (2,641,599) (269,416) (54,421) -- -- Capital share transactions Increase (decrease) in net assets resulting from capital share transactions (8,674,796) (11,869,851) (1,842,425) (3,860,134) 26,090,646 (37,394,976) ------------ ------------ ------------ ------------ ------------ ------------ Total increase (decrease) (14,947,260) (16,202,456) (2,435,046) (4,287,089) 26,090,646 (37,394,976) Net assets Beginning of year 142,124,855 158,327,311 22,065,919 26,353,008 55,784,854 93,179,830 ------------ ------------ ------------ ------------ ------------ ------------ End of year $127,177,595 $142,124,855 $ 19,630,873 $ 22,065,919 $ 81,875,500 $ 55,784,854 ============ ============ ============ ============ ============ ============ Including undistributed net investment income of: $ 244,208 $ 223,687 $ 1,753 $ -- $ -- $ -- ============ ============ ============ ============ ============ ============
U.S. GOVERNMENT SHORT-TERM U.S. THE UNITED STATES SECURITIES FUND GOVERNMENT BOND FUND TREASURY TRUST --------------------------- --------------------------- --------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, August 31, 2006 2005 2006 2005 2006 2005 ------------ ------------ ------------ ------------ ------------ ------------ Operations Net investment income $ 1,066,256 $ 1,023,967 $ 513,589 $ 341,109 $ 1,457,145 $ 774,645 Net realized gain (loss) on investments (104,210) (229,173) (123,159) (192,092) (10,457) (2,708) Change in unrealized appreciation (depreciation) of investments (748,216) 222,750 (39,575) (19,505) -- -- ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations 213,830 1,017,544 350,855 129,512 1,446,688 771,937 Distributions to shareholders Distributions from net investment income Direct shares (897,943) (926,065) (472,821) (318,935) (1,377,551) (751,092) K shares (168,219) (97,919) (39,936) (21,469) (79,594) (23,553) Distributions from realized capital gains on investments Direct shares -- (223,713) -- (7,254) -- (2,308) K shares -- (22,198) -- (669) -- (96) Capital share transactions Increase (decrease) in net assets resulting from capital share transactions (1,764,961) 441,657 (1,799,370) 516,348 11,695,934 (675,710) ------------ ------------ ------------ ------------ ------------ ------------ Total increase (decrease) $ (2,617,293) $ 189,306 $ (1,961,272) $ 297,533 $ 11,685,477 $ (680,822) Net assets Beginning of year 29,332,275 29,142,969 16,630,962 16,333,429 39,405,811 40,086,633 ------------ ------------ ------------ ------------ ------------ ------------ End of year $ 26,714,982 $ 29,332,275 $ 14,669,690 $ 16,630,962 $ 51,091,288 $ 39,405,811 ============ ============ ============ ============ ============ ============ Including undistributed net investment income of: $ 3,091 $ 2,997 $ 1,532 $ 1,999 $ 105 $ 105 ============ ============ ============ ============ ============ ============
See accompanying notes to financial statements 36 ------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - (CONTINUED) -------------------------------------------------------------------------------
S&P 500 INDEX FUND S&P MIDCAP INDEX FUND S&P SMALLCAP INDEX FUND -------------------------- --------------------------- --------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, August 31, 2006 2005 2006 2005 2006 2005 ------------ ------------ ------------ ------------ ------------ ------------ Operations Net investment income $ 1,720,234 $ 2,001,052 $ 1,555,364 $ 1,251,802 $ 126,748 $ 123,018 Net realized gain (loss) on investments 1,425,251 586,226 10,284,556 11,202,350 2,405,132 1,016,107 Net realized gain (loss) on futures contracts 156,425 87,614 (84,441) 1,327,625 167,539 189,103 Change in unrealized appreciation (depreciation) of investments 5,564,773 10,079,510 (2,383,986) 17,900,980 (700,977) 4,740,302 Change in unrealized appreciation (depreciation) of futures contracts (32,175) 32,705 (18,792) 92,635 (54,376) 105,266 ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations 8,834,508 12,787,107 9,352,701 31,775,392 1,944,066 6,173,796 Distributions to shareholders Distributions from net investment income Direct shares (1,623,240) (1,982,660) (1,514,324) (1,228,758) (131,970) (121,035) K shares (54,572) (43,205) (21,589) (12,820) (2,859) (642) Distributions from realized capital gains on investments Direct shares -- -- (10,820,857) -- (1,089,895) (986,194) K shares -- -- (324,475) -- (275,642) (155,275) Capital share transactions Increase (decrease) in net assets resulting from capital share transactions (7,610,188) (11,787,670) 5,397,718 6,864,766 1,136,125 1,966,302 ------------ ------------ ------------ ------------ ------------ ------------ Total increase (decrease) (453,492) (1,026,428) 2,069,174 37,398,580 1,579,825 6,876,952 Net assets Beginning of year 107,540,012 108,566,440 166,535,267 129,136,687 30,319,639 23,442,687 ------------ ------------ ------------ ------------ ------------ ------------ End of year $107,086,520 $107,540,012 $168,604,441 $166,535,267 $ 31,899,464 $ 30,319,639 ============ ============ ============ ============ ============ ============ Including undistributed net investment income of: $ 305,899 $ 263,477 $ 189,940 $ 170,489 $ 961 $ 9,042 ============ ============ ============ ============ ============ ============
------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - (CONTINUED) -------------------------------------------------------------------------------
EUROPEAN EQUITY INCOME FUND GROWTH & INCOME FUND NASDAQ-100 INDEX FUND -------------------------- --------------------------- --------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, August 31, 2006 2005 2006 2005 2006 2005 ------------ ------------ ------------ ------------ ------------ ------------ Operations Net investment income $ 312,439 $ 288,311 $ 221,076 $ 125,832 $ (27,972) $ 102,419 Net realized gain (loss) on investments 388,509 348,651 (6,274) (10,275) (2,051,337) (597,383) Net realized gain (loss) on futures contracts 109,751 517,192 -- -- (8,664) 18,101 Change in unrealized appreciation (depreciation) of investments 363,346 1,456,709 1,261,470 1,155,216 2,068,757 2,942,611 Change in unrealized appreciation (depreciation) of futures contracts 102,230 (24,378) -- -- 2,740 7,246 ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations 1,276,275 2,586,485 1,476,272 1,270,773 (16,476) 2,472,994 Distributions to shareholders Distributions from net investment income Direct shares (283,325) (252,103) (106,253) (93,107) (37,816) (61,994) K shares (41,164) (25,166) (60,540) (34,772) -- (7,378) Distributions from realized capital gains on investments Direct shares (362,886) -- -- -- -- -- K shares (70,865) -- -- -- -- -- Capital share transactions Increase (decrease) in net assets resulting from capital share transactions 524,894 2,959,647 908,468 1,834,152 (2,543,750) 175,523 ------------ ------------ ------------ ------------ ------------ ------------ Total increase (decrease) 1,042,929 5,268,863 2,217,947 2,977,046 (2,598,042) 2,579,145 Net assets Beginning of year 19,875,632 14,606,769 8,076,500 5,099,454 18,578,377 15,999,232 ------------ ------------ ------------ ------------ ------------ ------------ End of year $ 20,918,561 $ 19,875,632 $ 10,294,447 $ 8,076,500 $ 15,980,335 $ 18,578,377 ============ ============ ============ ============ ============ ============ Including undistributed net investment income of: $ 30,614 $ 42,664 $ 70,727 $ 16,444 $ -- $ 33,047 ============ ============ ============ ============ ============ ============
See accompanying notes to financial statements 37 ------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - (CONTINUED) -------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND ------------------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 -------------------------- -------------------------- Shares Value Shares Value ---------- ------------ ---------- ------------ Shares sold 804,867 $ 9,606,780 723,431 $ 9,046,298 Shares issued in reinvestment of distributions 564,912 6,716,371 516,415 6,440,138 ---------- ------------ ---------- ------------ 1,369,779 16,323,151 1,239,846 15,486,436 Shares repurchased (2,097,858) (24,997,947)(a) (2,175,284) (27,356,287)(b) ---------- ------------ ---------- ------------ Net increase (decrease) (728,079) $ (8,674,796) (935,438) $(11,869,851) ========== ============ ========== ============ CALIFORNIA INSURED INTERMEDIATE FUND -------------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ------------------------ ------------------------ Shares Value Shares Value -------- ------------ -------- ------------ Shares sold 73,755 $ 776,417 98,808 $ 1,075,273 Shares issued in reinvestment of distributions 73,269 769,919 57,857 628,268 -------- ------------ -------- ------------ 147,024 1,546,336 156,665 1,703,541 Shares repurchased (320,513) (3,388,761) (512,642) (5,563,675) -------- ------------ -------- ------------ Net increase (decrease) (173,489) $ (1,842,425) (355,977) $ (3,860,134) ======== ============ ======== ============
CALIFORNIA TAX-FREE THE UNITED STATES TREASURY TRUST MONEY MARKET FUND DIRECT SHARES K SHARES ---------------------------- ---------------------------- --------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, August 31, 2006 2005 2006 2005 2006 2005 ------------ ------------ ------------ ------------ ------------ ------------ Shares/Value Shares/Value Shares/Value Shares/Value Shares/Value Shares/Value ------------ ------------ ------------ ------------ ------------ ------------ Shares sold 148,645,438 60,780,393 50,833,278 58,408,974 1,814,100 2,829,000 Shares issued in reinvestment of distributions 1,596,219 1,032,811 1,399,722 675,688 79,314 23,677 ------------ ------------ ------------ ------------ ------------ ------------ 150,241,657 61,813,204 52,233,000 59,084,662 1,893,414 2,852,677 Shares repurchased (124,151,011) (99,208,180) (40,535,647) (61,306,417) (1,894,833) (1,306,632) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) 26,090,646 (37,394,976) 11,697,353 (2,221,755) (1,419) 1,546,045 ============ ============ ============ ============ ============ ============
U.S. GOVERNMENT SECURITIES FUND DIRECT SHARES Year Ended Year Ended August 31, 2006 August 31, 2005 ---------------------- ---------------------- Shares Value Shares Value -------- ----------- -------- ----------- Shares sold 224,509 $ 2,292,005 336,278 $ 3,539,744 Shares issued on reinvestment of distributions 75,760 772,335 93,062 975,781 -------- ----------- -------- ----------- 300,269 3,064,340 429,340 4,515,525 Shares repurchased (579,455) (5,934,947) (638,215) (6,705,485)(c) -------- ----------- -------- ----------- Net increase (decrease) (279,186) $(2,870,607) (208,875) $(2,189,960) ======== =========== ======== =========== U.S. GOVERNMENT SECURITIES FUND K SHARES Year Ended Year Ended August 31, 2006 August 31, 2005 --------------------- --------------------- Shares Value Shares Value ------- ----------- ------- ----------- Shares sold 155,421 $ 1,597,000 289,030 $ 3,054,854 Shares issued on reinvestment of distributions 16,412 168,222 11,439 120,529 ------- ----------- ------- ----------- 171,833 1,765,222 300,469 3,175,383 Shares repurchased (64,390) (659,576) (51,476) (543,766) ------- ----------- ------- ----------- Net increase (decrease) 107,443 $ 1,105,646 248,993 $ 2,631,617 ======= =========== ======= ===========
SHORT-TERM U.S. GOVERNMENT BOND FUND DIRECT SHARES Year Ended Year Ended August 31, 2006 August 31, 2005 ---------------------- ---------------------- Shares Value Shares Value -------- ----------- -------- ----------- Shares sold 330,246 $ 3,260,063 617,962 $ 6,185,003 Shares issued on reinvestment of distributions 45,663 449,656 31,075 310,145 -------- ----------- -------- ----------- 375,909 3,709,719 649,037 6,495,148 Shares repurchased (575,772) (5,679,685) (603,266) (6,037,432) -------- ----------- -------- ----------- Net increase (decrease) (199,863) $(1,969,966) 45,771 $ 457,716 ======== =========== ======== =========== SHORT-TERM U.S. GOVERNMENT BOND FUND K SHARES Year Ended Year Ended August 31, 2006 August 31, 2005 --------------------- --------------------- Shares Value Shares Value ------- ----------- ------- ----------- Shares sold 52,538 $ 518,067 58,915 $ 589,277 Shares issued on reinvestment of distributions 4,053 39,936 2,217 22,140 ------- ----------- ------- ----------- 56,591 558,003 61,132 611,417 Shares repurchased (39,390) (387,407) (55,341) (552,785) ------- ----------- ------- ----------- Net increase (decrease) 17,201 $ 170,596 5,791 $ 58,632 ======= =========== ======= ===========
S&P 500 INDEX FUND DIRECT SHARES Year Ended Year Ended August 31, 2006 August 31, 2005 ----------------------- ----------------------- Shares Value Shares Value -------- ------------ -------- ------------ Shares sold 141,028 $ 3,583,383 228,945 $ 5,451,938 Shares issued on reinvestment of distributions 50,975 1,293,258 66,663 1,582,799 -------- ------------ -------- ------------ 192,003 4,876,641 295,608 7,034,737 Shares repurchased (536,066) (13,667,738)(d) (878,422) (20,867,030)(e) -------- ------------ -------- ------------ Net increase (decrease) (344,063) $ (8,791,097) (582,814) $(13,832,293) ======== ============ ======== ============ S&P 500 INDEX FUND K SHARES Year Ended Year Ended August 31, 2006 August 31, 2005 ---------------------- ---------------------- Shares Value Shares Value ------- ------------ ------- ------------ Shares sold 77,356 $ 1,987,153 110,280 $ 2,599,667 Shares issued on reinvestment of distributions 2,109 53,831 1,782 42,835 ------- ------------ ------- ------------ 79,465 2,040,984 112,062 2,642,502 Shares repurchased (34,110) (860,075) (25,282) (597,879) ------- ------------ ------- ------------ Net increase (decrease) 45,355 $ 1,180,909 86,780 $ 2,044,623 ======= ============ ======= ============
(a) Net of redemption fees of $586 (b) Net of redemption fees of $342 (c) Net of redemption fees of $30 (d) Net of redemption fees of $8 (e) Net of redemption fees of $1,911 See accompanying notes to financial statements 38 ------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS - (CONTINUED) -------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND DIRECT SHARES ---------------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ------------------------- ------------------------- Shares Value Shares Value ---------- ------------ ---------- ------------ Shares sold 1,146,233 $ 26,794,618 1,329,401 $ 28,263,071 Shares issued on reinvestment of distributions 494,292 11,162,906 48,867 1,044,383 ---------- ------------ ---------- ------------ 1,640,525 37,957,524 1,378,268 29,307,454 Shares repurchased (1,447,209) (33,402,615)(a) (1,117,527) (24,116,552)(b) ---------- ------------ ---------- ------------ Net increase (decrease) 193,316 $ 4,554,909 260,741 $ 5,190,902 ========== ============ ========== ============ S&P MIDCAP INDEX FUND K SHARES ---------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ---------------------- ---------------------- Shares Value Shares Value ------- ------------ ------- ------------ Shares sold 61,340 $ 1,428,560 112,187 $ 2,357,193 Shares issued on reinvestment of distributions 15,323 345,380 578 12,418 ------- ------------ ------- ------------ 76,663 1,773,940 112,765 2,369,611 Shares repurchased (40,347) (931,131) (33,015) (695,747) ------- ------------ ------- ------------ Net increase (decrease) 36,316 $ 842,809 79,750 $ 1,673,864 ======= ============ ======= ============
S&P SMALLCAP INDEX FUND DIRECT SHARES ---------------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ------------------------- ------------------------- Shares Value Shares Value ---------- ------------ ---------- ------------ Shares sold 143,624 $ 2,806,976 215,853 $ 3,826,293 Shares issued on reinvestment of distributions 64,291 1,202,550 61,416 1,086,452 ---------- ------------ ---------- ------------ 207,915 4,009,526 277,269 4,912,745 Shares repurchased (208,506) (4,014,170)(c) (314,934) (5,581,158)(d) ---------- ------------ ---------- ------------ Net increase (decrease) (591) $ (4,644) (37,665) $ (668,413) ========== ============ ========== ============ S&P SMALLCAP INDEX FUND K SHARES ---------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ---------------------- ---------------------- Shares Value Shares Value ------- ------------ ------- ------------ Shares sold 106,001 $ 2,053,593 180,225 $ 3,201,964 Shares issued on reinvestment of distributions 14,990 278,502 8,843 155,917 ------- ------------ ------- ------------ 120,991 2,332,095 189,068 3,357,881 Shares repurchased (62,518) (1,191,326) (41,049) (723,166) ------- ------------ ------- ------------ Net increase (decrease) 58,473 $ 1,140,769 148,019 $ 2,634,715 ======= ============ ======= ============
EQUITY INCOME FUND DIRECT SHARES ---------------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ------------------------- ------------------------- Shares Value Shares Value ---------- ------------ ---------- ------------ Shares sold 163,038 $ 2,615,163 348,695 $ 5,284,387 Shares issued on reinvestment of distributions 37,420 595,905 15,372 234,049 ---------- ------------ ---------- ------------ 200,458 3,211,068 364,067 5,518,436 Shares repurchased (198,416) (3,197,763)(e) (265,628) (4,028,317)(f) ---------- ------------ ---------- ------------ Net increase (decrease) 2,042 $ 13,305 98,439 $ 1,490,119 ========== ============ ========== ============ EQUITY INCOME FUND K SHARES ---------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ---------------------- ---------------------- Shares Value Shares Value ------- ------------ ------- ------------ Shares sold 84,693 $ 1,370,498 122,841 $ 1,876,427 Shares issued on reinvestment of distributions 7,019 112,019 1,649 25,285 ------- ------------ ------- ------------ 91,712 1,482,517 124,490 1,901,712 Shares repurchased (60,564) (970,928) (28,650) (432,184) ------- ------------ ------- ------------ Net increase (decrease) 31,148 $ 511,589 95,840 $ 1,469,528 ======= ============ ======= ============
EUROPEAN GROWTH & INCOME FUND DIRECT SHARES ---------------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ------------------------- ------------------------- Shares Value Shares Value ---------- ------------ ---------- ------------ Shares sold 114,178 $ 1,046,475 200,192 $ 1,634,738 Shares issued on reinvestment of distributions 11,169 103,760 11,452 91,607 ---------- ------------ ---------- ------------ 125,347 1,150,235 211,644 1,726,345 Shares repurchased (134,555) (1,212,697) (178,134) (1,428,679)(g) ---------- ------------ ---------- ------------ Net increase (decrease) (9,208) $ (62,462) 33,510 $ 297,666 ========== ============ ========== ============ EUROPEAN GROWTH & INCOME FUND K SHARES ---------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ---------------------- ---------------------- Shares Value Shares Value ------- ------------ ------- ------------ Shares sold 168,613 $ 1,555,807 241,874 $ 1,956,833 Shares issued on reinvestment of distributions 6,431 60,540 4,300 34,800 ------- ------------ ------- ------------ 175,044 1,616,347 246,174 1,991,633 Shares repurchased (69,793) (645,417) (56,580) (455,147) ------- ------------ ------- ------------ Net increase (decrease) 105,251 $ 970,930 189,594 $ 1,536,486 ======= ============ ======= ============
NASDAQ-100 INDEX FUND DIRECT SHARES ---------------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ------------------------- ------------------------- Shares Value Shares Value ---------- ------------ ---------- ------------ Shares sold 290,532 $ 1,190,697 619,200 $ 2,368,771 Shares issued on reinvestment of distributions 8,779 37,486 14,943 60,976 ---------- ------------ ---------- ------------ 299,311 1,228,183 634,143 2,429,747 Shares repurchased (1,056,057) (4,329,951)(h) (979,336) (3,734,072)(i) ---------- ------------ ---------- ------------ Net increase (decrease) (756,746) $ (3,101,768) (345,193) $ (1,304,325) ========== ============ ========== ============ NASDAQ-100 INDEX FUND K SHARES ---------------------------------------------------- Year Ended Year Ended August 31, 2006 August 31, 2005 ----------------------- ---------------------- Shares Value Shares Value -------- ------------ ------- ------------ Shares sold 333,070 $ 1,352,885 522,499 $ 2,003,324 Shares issued on reinvestment of distributions -- -- 1,918 7,785 -------- ------------ ------- ------------ 333,070 1,352,885 524,417 2,011,109 Shares repurchased (200,810) (794,867) (140,898) (531,261) -------- ------------ ------- ------------ Net increase (decrease) 132,260 $ 558,018 383,519 $ 1,479,848 ======== ============ ======= ============
(a) Net of redemption fees of $169 (b) Net of redemption fees of $956 (c) Net of redemption fees of $3 (d) Net of redemption fees of $83 (e) Net of redemption fees of $741 (f) Net of redemption fees of $24 (g) Net of redemption fees of $46 (h) Net of redemption fees of $46 (i) Net of redemption fees of $50 See accompanying notes to financial statements 39 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, CALIFORNIA TAX-FREE INCOME FUND 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 12.41 $ 12.78 $ 12.66 $ 13.24 $ 13.17 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.50 0.50 0.50 0.50 0.52 Net gain (loss) on securities (both realized and unrealized) (0.29) (0.13) 0.22 (0.42) 0.18 ----------- ----------- ----------- ----------- ----------- Total from investment operations 0.21 0.37 0.72 0.08 0.70 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.50) (0.51) (0.50) (0.50) (0.52) Distributions from capital gains (0.27) (0.23) (0.10) (0.16) (0.11) ----------- ----------- ----------- ----------- ----------- Total distributions (0.77) (0.74) (0.60) (0.66) (0.63) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 11.85 $ 12.41 $ 12.78 $ 12.66 $ 13.24 =========== =========== =========== =========== =========== Total return 1.84% 2.96% 5.82% 0.61% 5.55% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 127,178 $ 142,125 $ 158,327 $ 172,488 $ 206,909 Ratio of expenses to average net assets: 0.71% 0.66% 0.62% 0.61% 0.61% Ratio of net investment income to average net assets: 4.17% 4.05% 3.86% 3.82% 4.11% Portfolio turnover 17.01% 31.95% 11.64% 1.44% 22.94%
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, CALIFORNIA INSURED INTERMEDIATE FUND 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 10.79 $ 10.98 $ 10.80 $ 11.22 $ 11.09 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.33 0.34 0.33 0.33 0.39 Net gain (loss) on securities (both realized and unrealized) (0.16) (0.17) 0.21 (0.21) 0.27 ----------- ----------- ----------- ----------- ----------- Total from investment operations 0.17 0.17 0.54 0.12 0.66 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.33) (0.34) (0.33) (0.33) (0.39) Distributions from capital gains (0.14) (0.02) (0.03) (0.21) (0.14) ----------- ----------- ----------- ----------- ----------- Total distributions (0.47) (0.36) (0.36) (0.54) (0.53) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 10.49 $ 10.79 $ 10.98 $ 10.80 $ 11.22 =========== =========== =========== =========== =========== Total return 1.67% 1.58% 5.06% 1.03% 6.17% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 19,631 $ 22,066 $ 26,353 $ 27,906 $ 27,105 Ratio of expenses to average net assets: Before expense reimbursements 0.89% 0.78% 0.71% 0.71% 0.72% After expense reimbursements 0.68% 0.65% 0.59% 0.58% 0.55% Ratio of net investment income to average net assets: Before expense reimbursements 2.92% 2.95% 2.85% 2.83% 3.43% After expense reimbursements 3.12% 3.08% 2.97% 2.96% 3.60% Portfolio turnover 2.75% 9.18% 21.62% 22.45% 29.28%
(a) Less than $0.01 per share. See accompanying notes to financial statements 40 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, August 31, CALIFORNIA TAX-FREE MONEY MARKET FUND 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.025 0.014 0.005 0.007 0.011 LESS DISTRIBUTIONS Dividends from net investment income (0.025) (0.014) (0.005) (0.007) (0.011) ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 =========== =========== =========== =========== =========== Total return 2.52% 1.46% 0.54% 0.70% 1.15% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 81,876 $ 55,785 $ 93,180 $ 88,804 $ 93,371 Ratio of expenses to average net assets: Before expense reimbursements 0.75% 0.69% 0.65% 0.65% 0.65% After expense reimbursements 0.53% 0.50% 0.44% 0.43% 0.40% Ratio of net investment income to average net assets: Before expense reimbursements 2.32% 1.22% 0.33% 0.48% 0.90% After expense reimbursements 2.54% 1.41% 0.54% 0.70% 1.15%
See accompanying notes to financial statements 41 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended U.S. GOVERNMENT SECURITIES FUND August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 10.51 $ 10.60 $ 10.56 $ 10.73 $ 10.77 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.42 0.37 0.35 0.35 0.50 Net gain (loss) on securities (both realized and unrealized) (0.32) (0.00)(a) 0.09 (0.08) 0.19 ----------- ----------- ----------- ----------- ----------- Total from investment operations 0.10 0.37 0.44 0.27 0.69 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.42) (0.37) (0.32) (0.44) (0.59) Distributions from capital gains -- (0.09) (0.08) -- (0.14) ----------- ----------- ----------- ----------- ----------- Total distributions (0.42) (0.46) (0.40) (0.44) (0.73) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 10.19 $ 10.51 $ 10.60 $ 10.56 $ 10.73 =========== =========== =========== =========== =========== Total return 1.00% 3.60% 4.23% 2.52% 6.65% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 21,430 $ 25,024 $ 27,454 $ 31,585 $ 33,275 Ratio of expenses to average net assets: Before expense reimbursements: 0.86% 0.79% 0.75% 0.71% 0.71% After expense reimbursements: 0.74% 0.71% 0.65% 0.65% 0.65% Ratio of net investment income to average net assets: Before expense reimbursements 3.94% 3.46% 2.92% 3.22% 4.59% After expense reimbursements 4.06% 3.54% 3.02% 3.28% 4.65% Portfolio turnover 71.63% 39.85% 103.98% 39.29% 150.35%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 10.57 $ 10.65 $ 10.55 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.36 0.31 0.23 Net gain (loss) on securities (both realized and unrealized) (0.31) 0.01 0.15 ----------- ----------- ----------- Total from investment operations 0.05 0.32 0.38 ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.36) (0.31) (0.20) Distributions from capital gains -- (0.09) (0.08) ----------- ----------- ----------- Total distributions (0.36) (0.40) (0.28) ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) -- -- N/A ----------- ----------- ----------- Net asset value, end of period $ 10.26 $ 10.57 $ 10.65 =========== =========== =========== Total return 0.55% 3.07% 3.66%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 5,285 $ 4,308 $ 1,689 Ratio of expenses to average net assets: Before expense reimbursements: 1.36% 1.30% 1.25%*** After expense reimbursements: 1.24% 1.22% 1.15%*** Ratio of net investment income to average net assets: Before expense reimbursements 3.44% 2.95% 2.42%*** After expense reimbursements 3.56% 3.03% 2.52%*** Portfolio turnover 71.63% 39.85% 103.98%
* Commencement of operations. ** Not Annualized *** Annualized (a) Less than $0.01 per share. See accompanying notes to financial statements 42 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended SHORT-TERM U.S. GOVERNMENT BOND FUND August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 9.96 $ 10.09 $ 10.11 $ 10.17 $ 10.24 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.34 0.21 0.11 0.18 0.30 Net gain (loss) on securities (both realized and unrealized) (0.10) (0.13) -- (0.06) 0.09 ----------- ----------- ----------- ----------- ----------- Total from investment operations 0.24 0.08 0.11 0.12 0.39 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.34) (0.21) (0.12) (0.18) (0.30) Distributions from capital gains -- (0.00)(a) (0.01) -- (0.16) ----------- ----------- ----------- ----------- ----------- Total distributions (0.34) (0.21) (0.13) (0.18) (0.46) ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 9.86 $ 9.96 $ 10.09 $ 10.11 $ 10.17 =========== =========== =========== =========== =========== Total return 2.43% 0.82% 1.06% 1.17% 3.90% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 13,235 $ 15,354 $ 15,098 $ 21,500 $ 10,942 Ratio of expenses to average net assets: Before expense reimbursements: 0.92% 0.85% 0.80% 0.80% 0.82% After expense reimbursements: 0.59% 0.56% 0.50% 0.49% 0.43% Ratio of net investment income to average net assets: Before expense reimbursements 3.06% 1.77% 0.85% 1.35% 2.57% After expense reimbursements 3.39% 2.06% 1.15% 1.66% 2.96% Portfolio turnover 82.25% 159.11% 62.58% 74.45% 119.61%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 9.96 $ 10.10 $ 10.12 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.28 0.15 0.05 Net gain (loss) on securities (both realized and unrealized) (0.09) (0.14) (0.01) ----------- ----------- ----------- Total from investment operations 0.19 0.01 0.04 ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.28) (0.15) (0.05) ----------- ----------- ----------- Distributions from capital gains -- (0.00)(a) (0.01) ----------- ----------- ----------- Total distributions (0.28) (0.15) (0.06) ----------- ----------- ----------- Net asset value, end of period $ 9.87 $ 9.96 $ 10.10 =========== =========== =========== Total return 1.98% 0.20% 0.41%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 1,435 $ 1,277 $ 1,235 Ratio of expenses to average net assets: Before expense reimbursements: 1.42% 1.35% 1.30%*** After expense reimbursements: 1.09% 1.06% 1.00%*** Ratio of net investment income to average net assets: Before expense reimbursements 2.56% 1.27% 0.35%*** After expense reimbursements 2.89% 1.56% 0.65%*** Portfolio turnover 82.25% 159.11% 62.58%
* Commencement of operations. ** Not Annualized *** Annualized (a) Less than $0.01 per share. See accompanying notes to financial statements 43 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended THE UNITED STATES TREASURY TRUST August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.037 0.017 0.006 0.008 0.017 ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.037) (0.017) (0.006) (0.008) (0.017) ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 =========== =========== =========== =========== =========== Total return 3.74% 1.72% 0.63% 0.86% 1.70% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 48,604 $ 36,919 $ 39,143 $ 40,635 $ 51,013 Ratio of expenses to average net assets: Before expense reimbursements: 0.80% 0.74% 0.71% 0.70% 0.67% After expense reimbursements: 0.53% 0.48% 0.36% 0.42% 0.42% Ratio of net investment income to average net assets: Before expense reimbursements 3.61% 1.59% 0.28% 0.56% 1.45% After expense reimbursements 3.88% 1.85% 0.63% 0.84% 1.70%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.032 0.012 0.001 LESS DISTRIBUTIONS Dividends from net investment income (0.032) (0.012) (0.001) ----------- ----------- ----------- Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 =========== =========== =========== Total return 3.22% 1.22% 0.12%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 2,487 $ 2,490 $ 944 Ratio of expenses to average net assets: Before expense reimbursements: 1.30% 1.25% 1.21%*** After expense reimbursements: 1.03% 0.99% 0.86%*** Ratio of net investment income to average net assets: Before expense reimbursements 3.11% 1.08% (0.22)%*** After expense reimbursements 3.38% 1.34% (0.13)%***
* Commencement of operations. ** Not Annualized *** Annualized See accompanying notes to financial statements 44 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended S&P 500 INDEX FUND August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 24.61 $ 22.32 $ 20.36 $ 18.48 $ 22.79 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.42 0.44 0.32 0.29 0.29 Net gain (loss) on securities (both realized and unrealized) 1.68 2.29 1.95 1.89 (4.31) ----------- ----------- ----------- ----------- ----------- Total from investment operations 2.10 2.73 2.27 2.18 (4.02) ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.40) (0.44) (0.31) (0.30) (0.29) Distributions from capital gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total distributions (0.40) (0.44) (0.31) (0.30) (0.29) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 26.31 $ 24.61 $ 22.32 $ 20.36 $ 18.48 =========== =========== =========== =========== =========== Total return 8.61% 12.31% 11.16% 12.03% (17.83)% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 100,927 $ 102,899 $ 106,305 $ 98,264 $ 93,961 Ratio of expenses to average net assets: Before expense reimbursements: 0.53% 0.46% 0.43% 0.45% 0.41% After expense reimbursements: 0.36% 0.33% 0.27% 0.25% 0.20% Ratio of net investment income to average net assets: Before expense reimbursements 1.44% 1.35% 1.27% 1.35% 1.30% After expense reimbursements 1.61% 1.48% 1.43% 1.55% 1.51% Portfolio turnover 3.56% 3.36% 2.00% 3.63% 31.12%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 24.70 $ 22.37 $ 21.17 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.28 0.29 0.12 Net gain (loss) on securities (both realized and unrealized) 1.69 2.33 1.16 ----------- ----------- ----------- Total from investment operations 1.97 2.62 1.28 ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.26) (0.29) (0.08) Distributions from capital gains -- -- -- ----------- ----------- ----------- Total distributions (0.26) (0.29) (0.08) ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) -- -- N/A ----------- ----------- ----------- Net asset value, end of period $ 26.41 $ 24.70 $ 22.37 =========== =========== =========== Total return 8.04% 11.77% 6.05%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 6,159 $ 4,641 $ 2,261 Ratio of expenses to average net assets: Before expense reimbursements: 1.03% 0.97% 0.93%*** After expense reimbursements: 0.86% 0.84% 0.77%*** Ratio of net investment income to average net assets: Before expense reimbursements 0.94% 0.84% 0.77%*** After expense reimbursements 1.11% 0.97% 0.93%*** Portfolio turnover 3.56% 3.36% 2.00%
* Commencement of operations. ** Not Annualized *** Annualized (a) Less than $0.01 per share. See accompanying notes to financial statements 45 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended S&P MIDCAP INDEX FUND August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 23.34 $ 19.00 $ 17.01 $ 14.60 $ 16.18 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.21 0.18 0.13 0.12 0.05 Net gain (loss) on securities (both realized and unrealized) 1.11 4.34 1.98 2.41 (1.54) ----------- ----------- ----------- ----------- ----------- Total from investment operations 1.32 4.52 2.11 2.53 (1.49) ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.21) (0.18) (0.12) (0.12) (0.03) Distributions from capital gains (1.56) -- -- -- (0.06) ----------- ----------- ----------- ----------- ----------- Total distributions (1.77) (0.18) (0.12) (0.12) (0.09) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 22.89 $ 23.34 $ 19.00 $ 17.01 $ 14.60 =========== =========== =========== =========== =========== Total return 5.80% 23.87% 12.44% 17.46% (8.77)% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 162,988 $ 161,655 $ 126,678 $ 103,771 $ 96,590 Ratio of expenses to average net assets: Before expense reimbursements: 0.64% 0.59% 0.58% 0.58% 0.58% After expense reimbursements: 0.58% 0.55% 0.49% 0.46% 0.40% Ratio of net investment income to average net assets: Before expense reimbursements 0.84% 0.80% 0.60% 0.66% 0.78% After expense reimbursements 0.91% 0.84% 0.69% 0.78% 0.96% Portfolio turnover 13.83% 18.07% 12.75% 8.33% 21.73%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 23.34 $ 19.00 $ 17.78 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.09 0.07 0.05 Net gain (loss) on securities (both realized and unrealized) 1.10 4.34 1.19 ----------- ----------- ----------- Total from investment operations 1.19 4.41 1.24 ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.09) (0.07) (0.02) Distributions from capital gains (1.56) -- -- ----------- ----------- ----------- Total distributions (1.65) (0.07) (0.02) ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) -- -- N/A ----------- ----------- ----------- Net asset value, end of period $ 22.88 $ 23.34 $ 19.00 =========== =========== =========== Total return 5.23% 23.26% 6.96%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 5,617 $ 4,881 $ 2,459 Ratio of expenses to average net assets: Before expense reimbursements: 1.14% 1.09% 1.08%*** After expense reimbursements: 1.08% 1.05% 0.99%*** Ratio of net investment income to average net assets: Before expense reimbursements 0.34% 0.30% 0.10%*** After expense reimbursements 0.41% 0.34% 0.19%*** Portfolio turnover 13.83% 18.07% 12.75%
* Commencement of operations. ** Not Annualized *** Annualized (a) Less than $0.01 per share. See accompanying notes to financial statements 46 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended S&P SMALLCAP INDEX FUND August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 19.08 $ 15.85 $ 14.07 $ 11.60 $ 12.89 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.10 0.09 0.04 0.03 0.03 Net gain (loss) on securities (both realized and unrealized) 1.18 3.99 1.92 2.51 (1.28) ----------- ----------- ----------- ----------- ----------- Total from investment operations 1.28 4.08 1.96 2.54 (1.25) ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.10) (0.09) (0.04) (0.03) (0.04) Distributions from capital gains (0.88) (0.76) (0.14) (0.04) -- ----------- ----------- ----------- ----------- ----------- Total distributions (0.98) (0.85) (0.18) (0.07) (0.04) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 19.38 $ 19.08 $ 15.85 $ 14.07 $ 11.60 =========== =========== =========== =========== =========== Total return 6.94% 26.17% 13.93% 22.04% (9.69)% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 24,609 $ 24,250 $ 20,742 $ 18,526 $ 15,813 Ratio of expenses to average net assets: Before expense reimbursements: 0.92% 0.86% 0.82% 0.88% 0.88% After expense reimbursements: 0.74% 0.71% 0.65% 0.65% 0.65% Ratio of net investment income to average net assets: Before expense reimbursements 0.33% 0.37% 0.09% 0.08% 0.00% After expense reimbursements 0.51% 0.52% 0.26% 0.31% 0.23% Portfolio turnover 11.24% 7.25% 14.60% 16.51% 17.64%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 19.04 $ 15.82 $ 14.78 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income -- 0.01 (0.01) Net gain (loss) on securities (both realized and unrealized) 1.18 3.97 1.19 ----------- ----------- ----------- Total from investment operations 1.18 3.98 1.18 ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) -- -- Distributions from capital gains (0.88) (0.76) (0.14) ----------- ----------- ----------- Total distributions (0.89) (0.76) (0.14) ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) -- -- N/A ----------- ----------- ----------- Net asset value, end of period $ 19.33 $ 19.04 $ 15.82 =========== =========== =========== Total return 6.38% 25.53% 7.99%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 7,290 $ 6,070 $ 2,700 Ratio of expenses to average net assets: Before expense reimbursements: 1.42% 1.36% 1.32%*** After expense reimbursements: 1.24% 1.21% 1.15%*** Ratio of net investment income to average net assets: Before expense reimbursements (0.17)% (0.13)% (0.41)%*** After expense reimbursements 0.01% 0.02% (0.24)%*** Portfolio turnover 11.24% 7.25% 14.60%
* Commencement of operations. ** Not Annualized *** Annualized (a) Less than $0.01 per share. See accompanying notes to financial statements 47 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended EQUITY INCOME FUND August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 16.12 $ 14.07 $ 12.32 $ 11.38 $ 12.21 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.26 0.26 0.20 0.15 0.17 Net gain (loss) on securities (both realized and unrealized) 0.76 2.05 1.70 0.94 (0.83) ----------- ----------- ----------- ----------- ----------- Total from investment operations 1.02 2.31 1.90 1.09 (0.66) ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.27) (0.26) (0.15) (0.15) (0.17) Distributions from capital gains (0.35) -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total distributions (0.62) (0.26) (0.15) (0.15) (0.17) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 16.52 $ 16.12 $ 14.07 $ 12.32 $ 11.38 =========== =========== =========== =========== =========== Total return 6.50% 16.51% 15.51% 9.77% (5.46)% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 17,090 $ 16.641 $ 13,137 $ 9,818 $ 8,261 Ratio of expenses to average net assets: Before expense reimbursements: 0.91% 0.87% 0.90% 0.95% 0.91% After expense reimbursements: 0.90% 0.85% 0.80% 0.80% 0.80% Ratio of net investment income to average net assets: Before expense reimbursements 1.61% 1.70% 1.04% 1.24% 1.33% After expense reimbursements 1.62% 1.72% 1.14% 1.39% 1.44% Portfolio turnover 2.59% 3.25% 14.43% 30.01% 69.43%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 16.17 $ 14.10 $ 12.90 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.18 0.18 0.01 Net gain (loss) on securities (both realized and unrealized) 0.75 2.07 1.21 ----------- ----------- ----------- Total from investment operations 0.93 2.25 1.22 ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.19) (0.18) (0.02) Distributions from capital gains (0.35) -- -- ----------- ----------- ----------- Total distributions (0.54) (0.18) (0.02) ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) -- -- N/A ----------- ----------- ----------- Net asset value, end of period $ 16.56 $ 16.17 $ 14.10 =========== =========== =========== Total return 5.92% 16.00% 9.47%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 3,829 $ 3,234 $ 1,470 Ratio of expenses to average net assets: Before expense reimbursements: 1.41% 1.37% 1.40%*** After expense reimbursements: 1.40% 1.35% 1.30%*** Ratio of net investment income to average net assets: Before expense reimbursements 1.11% 1.20% 0.54%*** After expense reimbursements 1.12% 1.22% 0.64%*** Portfolio turnover 2.59% 3.25% 14.43%
* Commencement of operations. ** Not Annualized *** Annualized (a) Less than $0.01 per share. See accompanying notes to financial statements 48 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended EUROPEAN GROWTH & INCOME FUND August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 8.57 $ 7.10 $ 6.18 $ 5.80 $ 7.13 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.24 0.15 0.16 0.11 0.10 Net gain (loss) on securities (both realized and unrealized) 1.29 1.48 0.89 0.35 (1.34) ----------- ----------- ----------- ----------- ----------- Total from investment operations 1.53 1.63 1.05 0.46 (1.24) ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.19) (0.16) (0.13) (0.08) (0.09) Distributions from capital gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total distributions (0.19) (0.16) (0.13) (0.08) (0.09) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 9.91 $ 8.57 $ 7.10 $ 6.18 $ 5.80 =========== =========== =========== =========== =========== Total return 17.97% 23.15% 17.04% 8.17% (17.50)% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 5,719 $ 5,024 $ 3,923 $ 3,364 $ 2,357 Ratio of expenses to average net assets: Before expense reimbursements: 1.49% 1.55% 1.72% 1.99% 1.99% After expense reimbursements: 1.00% 0.98% 0.95% 0.95% 0.95% Ratio of net investment income to average net assets: Before expense reimbursements 2.48% 1.41% 1.17% 0.83% 0.30% After expense reimbursements 2.97% 1.98% 1.94% 1.87% 1.34% Portfolio turnover 3.24% 1.47% 2.01% 0.00% 9.70%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 8.60 $ 7.11 $ 6.61 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.19 0.10 0.08 Net gain (loss) on securities (both realized and unrealized) 1.29 1.51 0.48 ----------- ----------- ----------- Total from investment operations 1.48 1.61 0.56 ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.14) (0.12) (0.06) Distributions from capital gains -- -- -- ----------- ----------- ----------- Total distributions (0.14) (0.12) (0.06) ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) -- -- N/A ----------- ----------- ----------- Net asset value, end of period $ 9.94 $ 8.60 $ 7.11 =========== =========== =========== Total return 17.31% 22.78% 8.43%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 4,576 $ 3,052 $ 1,177 Ratio of expenses to average net assets: Before expense reimbursements: 1.99% 2.07% 2.22%*** After expense reimbursements: 1.50% 1.50% 1.45%*** Ratio of net investment income to average net assets: Before expense reimbursements 1.98% 0.89% 0.67%*** After expense reimbursements 2.47% 1.46% 1.44%*** Portfolio turnover 3.24% 1.47% 2.01%
* Commencement of operations. ** Not Annualized *** Annualized (a) Less than $0.01 per share. See accompanying notes to financial statements 49 ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED) -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended NASDAQ-100 INDEX FUND August 31, August 31, August 31, August 31, August 31, Direct Shares 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------- Net asset value, beginning of year $ 3.98 $ 3.46 $ 3.41 $ 2.41 $ 3.75 ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income (0.00)(a) 0.03 (0.01) (0.01) (0.00)(a) Net gain (loss) on securities (both realized and unrealized) (0.01) 0.51 0.06 1.01 (1.33) ----------- ----------- ----------- ----------- ----------- Total from investment operations (0.01) 0.54 0.05 1.00 (1.33) ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) (0.02) -- -- (0.01) Distributions from capital gains -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total distributions (0.01) (0.02) -- -- (0.01) ----------- ----------- ----------- ----------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 3.96 $ 3.98 $ 3.46 $ 3.41 $ 2.41 =========== =========== =========== =========== =========== Total return (0.24)% 15.47% 1.47% 41.49% (35.61)% RATIOS/SUPPLEMENTAL DATA Net assets, end of year (in 000's) $ 12,072 $ 15,161 $ 14,349 $ 14,928 $ 9,191 Ratio of expenses to average net assets: Before expense reimbursements: 1.03% 0.95% 0.91% 1.05% 0.99% After expense reimbursements: 0.74% 0.71% 0.65% 0.65% 0.64% Ratio of net investment income to average net assets: Before expense reimbursements (0.34)% 0.41% (0.62)% (0.80)% (0.45)% After expense reimbursements (0.05)% 0.65% (0.36)% (0.40)% (0.10)% Portfolio turnover 14.07% 9.94% 8.82% 8.64% 4.18%
Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, K Shares 2006 2005 2004 --------------------------------------------------- Net asset value, beginning of period $ 3.96 $ 3.45 $ 3.62 ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income (0.02) -- (0.01) Net gain (loss) on securities (both realized and unrealized) (0.01) 0.52 (0.16) ----------- ----------- ----------- Total from investment operations (0.03) 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) -- -- N/A ----------- ----------- ----------- Net asset value, end of period $ 3.93 $ 3.96 $ 3.45 =========== =========== =========== Total return (0.76)% 15.13% (4.70)%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 3,908 $ 3,417 $ 1,651 Ratio of expenses to average net assets: Before expense reimbursements: 1.53% 1.46% 1.41%*** After expense reimbursements: 1.24% 1.22% 1.15%*** Ratio of net investment income to average net assets: Before expense reimbursements (0.84)% (0.10)% (1.12)%*** After expense reimbursements (0.55)% 0.14% (0.86)%*** Portfolio turnover 14.07% 9.94% 8.82%
* Commencement of operations. ** Not Annualized *** Annualized (a) Less than $0.01 per share. See accompanying notes to financial statements 50 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS AUGUST 31, 2006 -------------------------------------------------------------------------------- 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. California Investment Trust II began offering an additional class of shares, Class K, on October 16, 2003. Income, expenses (other than the expenses attributable to a specific class), realized and unrealized gains or losses on investments 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. The following is a summary of significant accounting policies followed by the Funds. (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 Funds' Board of Trustees. The U.S. Government Securities Fund and the Short-Term U.S. Government Bond Fund are valued by an independent pricing service that uses market quotations representing the latest available mean between the bid and ask price, prices provided by market makers or estimates of market value obtained from yield data relating to instruments or securities with similar characteristics. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. All other securities are valued at their fair value as determined in good faith by the Board of Trustees. California Tax-Free Money Market Fund and The United States Treasury Trust securities are valued at amortized cost, which the Board of Trustees has determined in good faith to constitute fair value. (b) Futures Contracts -- Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash, as collateral, for the account of the broker (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, 2006, available to offset future capital gains, if any, are as follows:
California United States Short-Term The United Tax-Free Government United States States European Money Securities Government Treasury S&P 500 Growth & Nasdaq-100 Expiring Market Fund Fund Bond Fund Trust Index Fund Income Fund Index Fund -------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- 2007 $ -- $ -- $ -- $ -- $ -- $ 806 $ -- 2008 -- -- -- -- -- 53,456 537,333 2009 -- -- -- -- 4,585,973 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 60 -- 59,164 2,084,713 2014 -- 266,271 187,828 5,937 -- 9,731 251,077 ------------- ------------- ------------- ------------- ------------- ------------- ------------- Total $ 3,258 $ 285,709 $ 203,729 $ 5,997 $ 7,376,378 $ 270,459 $ 10,208,207 ============= ============= ============= ============= ============= ============= =============
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, 2006, 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) Undistributed Increase (Decrease) Paid-in Capital Net Investment Income (Loss) Accumulated Gain/(Loss) ------------------------------------------------------------------------------------------------------------------------------------ California Tax-Free Income Fund $ (2,591) $ (6,566) $ 9,157 California Insured Intermediate Fund (432) -- 432 Short-Term U.S. Government Bond Fund -- (1,299) 1,299 Nasdaq-100 Index Fund (32,741) 32,741 --
51 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS AUGUST 31, 2006 - (CONTINUED) -------------------------------------------------------------------------------- (d) Security Transactions, Investment Income and Distributions to Shareholders -- Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for, in accordance with the Trusts' understanding of the applicable country's tax rules and rates. 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 issuers' 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 NAV per share. Shares of certain funds were charged a 1% redemption fee on shares redeemed or exchanged within seven days 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. (h) Accounting for Uncertainty in Income Taxes -- On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax return to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management believes that the adoption of FIN 48 will have no impact on the financial statements of the Funds. Note 2 -- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS CCM Partners ("CCM"), a California limited partnership, provides each Fund with management and limited 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% (or 1.50% for Class K shares) 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, with renewal at the end of each calendar year, and is not subject to recoupment. Reimbursement from the manager for the year ended August 31, 2006, is as follows:
Voluntary Expense Limitation ------------------------------------------------------------------------- Fund Reimburse Direct Shares K Shares Expiration -------------------------------------------------------------------------------------------------------------------------------- California Insured Intermediate Fund $ 41,744 0.68% N/A 12/31/06 California Tax-Free Money Market Fund $ 145,589 0.53% N/A 12/31/06 U.S. Government Securities Fund $ 31,857 0.74% 1.24% 12/31/06 Short-Term U.S. Government Bond Fund $ 50,442 0.59% 1.09% 12/31/06 The United States Treasury Trust $ 104,529 0.53% 1.03% 12/31/06 S&P 500 Index Fund $ 187,303 0.36% 0.86% 12/31/06 S&P MidCap Index Fund $ 108,736 0.58% 1.08% 12/31/06 S&P SmallCap Index Fund $ 57,446 0.74% 1.24% 12/31/06 Equity Income Fund * $ 950 N/A N/A N/A European Growth & Income Fund $ 44,359 1.00% 1.50% 12/31/06 Nasdaq-100 Index Fund $ 51,952 0.74% 1.24% 12/31/06 --------------------------------------------------------------------------------------------------------------------------------
*For the period 09/01/2005 through 12/31/2005 the expense limitation was 0.89% and 1.39% for Direct Shares and K Shares respectively. Beginning 01/01/2006 the Fund did not renew its voluntary expense limitation. As compensation for administrative duties not covered by the management agreement, 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 by the Trusts for this portion of his salary. The level of reimbursement is reviewed and determined by the Board of Trustees at least annually. 52 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS AUGUST 31, 2006 - (CONTINUED) -------------------------------------------------------------------------------- California Investment Trust II has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby the Class K Shares of 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 Class K Share of the Funds will pay the Distributor a fee at an annual rate of 0.25%, payable monthly, of the 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 the Class K Shares of each Fund of California Investment Trust II pay 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, 2006, the following were paid by the Class K Shares of each Fund of California Investment Trust II: Fund 12b-1 Fees Shareholder Service Fee -------------------------------------------------------------------------------- U.S. Government Securities Fund $11,788 $11,788 Short-Term U.S. Government Bond Fund $ 3,434 $ 3,434 The United States Treasury Trust $ 6,161 $ 6,161 S&P 500 Index Fund $13,298 $13,298 S&P MidCap Index Fund $13,335 $13,335 S&P SmallCap Index Fund $16,750 $16,750 Equity Income Fund $ 8,761 $ 8,761 European Growth & Income Fund $ 9,372 $ 9,372 Nasdaq-100 Index Fund $ 9,133 $ 9,133 Note 3 - PURCHASES AND SALES OF SECURITIES Purchases and sales of securities other than short-term investments during the year ended August 31, 2006 were as follows: Fund Purchases Sales -------------------------------------------------------------------------------- California Tax-Free Income Fund $21,785,682 $23,146,902 California Insured Intermediate Fund $ 530,785 $ 2,702,315 U.S. Government Securities Fund $22,881,180 $16,591,785 Short-Term U.S. Government Bond Fund $12,261,563 $13,135,816 S&P 500 Index Fund $ 3,798,624 $ 7,289,090 S&P MidCap Index Fund $26,097,923 $23,815,075 S&P SmallCap Index Fund $ 5,089,644 $ 3,321,665 Equity Income Fund $ 461,950 $ 822,513 European Growth & Index Fund $ 1,020,050 $ 286,560 Nasdaq-100 Index Fund $ 2,426,737 $ 5,014,215 Note 4 - TAX CHARACTER The tax character of distributions paid during the years ended August 31, 2006 and 2005 was as follows:
Ordinary Long-Term Exempt-Interest Total Income Capital Gains Dividends Distributions ----------------------------------------------------------------------------------------------------------------------------- California Tax-Free Income Fund 2006 $ 106,681 $ 2,976,029* $ 5,530,802 $ 8,613,512 2005 $ -- $ 2,641,599 $ 5,919,149 $ 8,560,748 California Insured Intermediate Fund 2006 $ -- $ 269,416* $ 628,668 $ 898,084 2005 $ -- $ 54,421 $ 759,043 $ 813,464 California Tax-Free Money Market Fund 2006 $ -- $ -- $ 1,656,200 $ 1,656,200 2005 $ -- $ -- $ 1,062,279 $ 1,062,279 U.S. Government Securities Fund 2006 $ 1,066,162 $ -- $ -- $ 1,066,162 2005 $ 1,023,984 $ 245,911 $ -- $ 1,269,895 Short-Term U.S. Government Bond Fund 2006 $ 512,757 $ -- $ -- $ 512,757 2005 $ 341,703 $ 6,624 $ -- $ 348,327 The United States Treasury Trust 2006 $ 1,457,145 $ -- $ -- $ 1,457,145 2005 $ 777,049 $ -- $ -- $ 777,049 S&P 500 Index Fund 2006 $ 1,677,812 $ -- $ -- $ 1,677,812 2005 $ 2,025,865 $ -- $ -- $ 2,025,865 S&P MidCap Index Fund 2006 $ 1,542,359 $ 11,138,886* $ -- $ 12,681,245 2005 $ 1,241,578 $ -- $ -- $ 1,241,578 S&P SmallCap Index Fund 2006 $ 157,950 $ 1,342,416* $ -- $ 1,500,366 2005 $ 222,097 $ 1,041,049 $ -- $ 1,263,146 Equity Income Fund 2006 $ 324,489 $ 433,751* $ -- $ 758,240 2005 $ 277,269 $ -- $ -- $ 277,269 European Growth & Income Fund 2006 $ 166,793 $ -- $ -- $ 166,793 2005 $ 127,879 $ -- $ -- $ 127,879 Nasdaq-100 Index Fund 2006 $ 37,816 $ -- $ -- $ 37,816 2005 $ 69,372 $ -- $ -- $ 69,372
* The Funds designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Internal Revenue Code for the year ended August 31, 2006. 53 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS AUGUST 31, 2006 - (CONTINUED) -------------------------------------------------------------------------------- The tax character of distributable earnings at August 31, 2006 and 2005 were as follows:
Undistributed Undistributed Capital Loss Unrealized Post Total Ordinary Long-Term Carry Appreciation October Distributable Income Capital Gain Forwards (Depreciation) Losses ** Earnings ------------------------------------------------------------------------------------------------------------------------------------ California Tax-Free Income Fund $ - $ 596,918 $ - $ 6,752,552 $ - $ 7,349,470 California Insured Intermediate Fund $ 1,753 $ 20,390 $ - $ 100,600 $ - $ 122,743 California Tax-Free Money Market Fund $ - $ - $ (3,258) $ - $ - $ (3,258) U.S. Government Securities Fund $ 3,091 $ - $ (285,709) $ (414,880) $ (47,674) $ (745,172) Short-Term U.S. Government Bond Fund $ 1,532 $ - $ (203,729) $ (87,643) $ (111,522) $ (401,362) The United States Treasury Trust $ 105 $ - $ (5,997) $ - $ (7,168) $ (13,060) S&P 500 Index Fund $ 305,899 $ - $ (7,376,378) $ 27,935,830 $ - $ 20,865,351 S&P MidCap Index Fund $ 189,435 $ 9,418,279 $ - $ 39,890,394 $ - $ 49,498,108 S&P SmallCap Index Fund $ 298,332 $ 2,104,965 $ - $ 8,030,282 $ - $ 10,433,579 Equity Income Fund $ 90,493 $ 547,192 $ - $ 4,165,501 $ - $ 4,803,186 European Growth & Income Fund $ 70,727 $ - $ (270,459) $ 2,239,670 $ (6,260) $ 2,033,678 Nasdaq-100 Index Fund $ - $ - $ (10,208,207) $ (11,128) $(1,840,373) $(12,059,708)
** Under the current tax law, capital losses realized after October 31 and prior to the Funds' fiscal year end may be deferred as occurring on the first day of the following fiscal year. 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. -------------------------------------------------------------------------------- (UNAUDITED) Fund Holdings: The Fund holdings shown in this report are as of August 31, 2006. 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 Funds' Form N-Q is available on the SEC's website at www.sec.gov and may be reviewed and copied at the Commission's Public Reference Room to Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The information filed in the form N-Q also may be obtained by visiting the Funds' website at www.caltrust.com or by calling (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, 2006, is available upon request, at no charge, at the phone number below, on the Funds' 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. 54 -------------------------------------------------------------------------------- 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 Income Fund, California Insured Intermediate Fund and California Tax-Free Money Market Fund, each a series of shares of beneficial interest of California Investment Trust, and the 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 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, 2006, 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. The Trusts are not required to, nor were we engaged to perform an audit of their internal control over financial reporting. Our audit 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 includes examining on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2006 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 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 and Nasdaq-100 Index Fund as of August 31, 2006, the results of their operations for the year then ended, the statement of 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 13, 2006 55 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND EXECUTIVE OFFICERS -------------------------------------------------------------------------------- Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trusts and until their 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:
TRUSTEE ADDRESS DATE OF BIRTH POSITION HELD WITH THE TRUST LENGTH OF TIME SERVED Stephen C. Rogers P.O. Box 387 06/27/66 President, Secretary & Trustee Since August 1998 San Francisco, CA 94104 Chief Executive Officer, CCM Partners Harry Holmes P.O. Box 387 12/05/25 Trustee Since September 1985 San Francisco, CA 94104 John B. Sias P.O. Box 387 01/22/27 Trustee Since March 1991 San Francisco, CA 94104 James W. Miller, Jr. P.O. Box 387 05/28/66 Trustee Since August 2001 San Francisco, CA 94104 Kevin T. Kogler P.O. Box 387 02/21/66 Trustee Since May 2006 San Francisco, CA 94104 Stephen H. Sutro P.O. Box 387 04/09/69 Trustee Since May 2006 San Francisco, CA 94104 Christopher P. Browne P.O. Box 387 02/07/67 Treasurer Since October 2004 San Francisco, CA 94104
-------------------------------------------------------------------------------- Each Trustee oversees the Trusts' twelve 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 1994-1997; Marketing Representative, CCM Partners, 1993 to 1994. 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 Com pany, 1993 to 2000; Director, Executive Vice President, Capital Cities/ABC Inc. and President, ABC Network T.V. Group 1986 to 1992. James W. Miller, Jr. Vice President, Jones Lange LaSalle Americas, Inc. 1999 to present; Associate, Orrick Herrington & Sutcliffe LLP (law firm), 1996-1999; Associate, Gordon & Rees LLP (law firm), 1992-1993. Kevin T. Kogler Senior Vice President, Technology Investment Banking, Friedman Billings Ramsey, 2003 to present; Director, Technology Investment Banking, Salomon Smith Barney, 2001-2002; Vice President, Technology Investment Banking, CS First Boston/ Donaldson Lufkin & Jenrette, 1997-2001; Associate, PaineWebber, Inc., 1995-1997. Stephen H. Sutro Partner, Duane Morris LLP (law firm), 2003 to present; Associate, Duane Morris LLP 2000-2002, Associate, Hancock Rothert & Bunshoft LLP (law firm), 1994-1999. 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, which is available, without charge, upon request, by calling (800) 225-8778. * Trustee deemed to be an "interested person" of the Trusts, as defined in the Investment Company Act of 1940. Mr. Rogers is an interested person because he is the CEO of CCM Partners, the Trusts' Advisor and Administrator. 56 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION - SHAREHOLDER VOTE RESULTS (UNAUDITED) -------------------------------------------------------------------------------- A special meeting of shareholders of the California Investment Trust Fund Group which consists of the following twelve separate series which are part of California Investment Trust and California Investment Trust II (collectively the "Trusts"): California Tax-Free Income Fund, California Insured Intermediate Fund, California Tax-Free Money Market Fund, 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 the Nasdaq-100 Index Fund (the "Funds") was held on May 12, 2006 to consider the following proposals (voting results are listed immediately below each proposal): Proposal I: To elect six trustees to serve until their successors are elected and qualified.
CALIFORNIA INVESTMENT TRUST CALIFORNIA INVESTMENT TRUST II TRUSTEE AFFIRMATIVE WITHHELD AFFIRMATIVE WITHHELD --------------------- --------------------- -------------------- ----------------------- --------------------- Stephen C. Rogers 49,982,412.539 809,812.493 36,914,360.586 1,463,880.379 Harry Holmes 49,723,489.986 1,068,735.046 37,789,478.617 588,762.348 John B. Sias 49,720,922.177 1,071,302.855 37,785,793.762 592,447.203 James W. Miller, Jr. 49,999,486.851 792,738.181 38,038,399.775 339,841.190 Kevin T. Kogler 49,987,510.396 804,714.636 38,048,687.005 329,553.960 Steven H. Sutro 49,911,293.179 880,931.853 37,734,985.678 643,255.287 ------------------------------------------------------------------------------------------------------ 50,792,225.032 SHARES VOTED 38,378,240.965 SHARES VOTED
Proposal II: To approve new Investment Advisory Agreements between each Trust, on behalf of their respective Funds, and CCM Partners ("CCM"), with no change in the advisory fee payable to CCM.
FUND VOTES FOR VOTES AGAINST VOTES ABSTAIN TOTAL VOTES ------------------------------------------------------------------------------------------------------------------------------- California Tax-Free Income 5,178,728.503 115,699.924 517,826.963 5,812,255.390 California Insured Intermediate 918,024.537 5,328.489 302,628.710 1,225,981.736 California Tax-Free Money Market 43,181,563.541 508,239.415 64,184.950 43,753,987.906 S&P 500 Index 2,035,064.543 26,690.770 642,474.326 2,704,229.639 S&P MidCap Index 3,472,613.138 13,073.499 1,394,334.772 4,880,021.409 S&P SmallCap Index 839,960.198 2,979.559 240,965.376 1,083,905.133 Equity Income 807,645.283 5,558.661 46,198.605 859,402.549 European Growth & Income 535,495.745 3,448.818 39,503.388 578,447.951 Nasdaq-100 Index 1,773,484.582 21,451.397 412,758.603 2,207,694.582 U.S. Government Securities 1,226,306.307 93,376.349 117,111.736 1,436,794.392 Short-Term U.S. Government Bond 1,233,384.250 2,655.260 43,762.599 1,279,802.109 The United States Treasury Trust 23,038,627.811 96,508.060 212,807.330 23,347,943.201
Proposal III: To approve an Agreement and Plan of Reorganization that provides for the reorganization of each Trust from a Massachusetts business trust into a single Delaware statutory trust.
TRUST VOTES FOR VOTES AGAINST VOTES ABSTAIN TOTAL VOTES ------------------------------------------------------------------------------------------------------------------------------- California Investment Trust 48,275,193.272 585,372.373 1,931,659.387 50,792,225.032 California Investment Trust II 34,686,321.190 536,899.938 3,155,019.837 38,378,240.965
Each of the three proposals passed with the required number of votes. 57 CALIFORNIA INVESTMENT TRUST ---------------- FUND GROUP P.O. Box 387 San Francisco, CA 94104-4708 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 audit committee has determined that no independent trustee meets the criteria of "audit committee financial expert". ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees The aggregate fees paid to the principal accountant for professional services rendered by the principal accountant for the audit of the Registrant's annual financial statements or for services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements were $56,700 for the fiscal year ended August 31, 2006 and $73,700 for the fiscal year ended August 31, 2005. (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, 2006 and $13,500 for the fiscal year ended August 31, 2005. -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 $2,700 for the fiscal year ended August 31, 2006 and $2,625 for the fiscal year ended August 31, 2005. (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 Registrant's last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS (a)(1) 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, 2006 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, 2006 By (Signature and Title)* /s/ Christopher P. Browne ------------------------------------------------------------ Christopher P. Browne, Treasurer Date: November 9, 2006 * Print the name and title of each signing officer under his or her signature. -5-