==========================
OMB APPROVAL
==========================
OMB Number: 3235-0570
Expires: Nov. 30, 2005
Estimated average burden
hours per response: 5.0
==========================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4418
--------------------------------------------
California Investment Trust II
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
44 Montgomery Street, Suite 2100, San Francisco, CA 94104
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (415) 398-2727
--------------
Date of fiscal year end: August 31, 2003
---------------
Date of reporting period: August 31, 2003
---------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. ANNUAL REPORT
CALIFORNIA -------------
INVESTMENT TRUST PRSRT STD
---------------- U.S. Postage
FUND GROUP PAID
44 Montgomery Street #2100 Permit #688
San Francisco, CA 94104 Redwood City,
CA
-------------
- ----------------------------------------
CALIFORNIA
INVESTMENT TRUST
California Tax-Free Income Fund ----------------
FUND GROUP
California Insured Intermediate Fund
California Tax-Free Money Market Fund ANNUAL REPORT
AUGUST 31, 2003
U.S. Government Securities Fund (800) 225-8778
www.citfunds.com
Short-Term U.S. Government Bond Fund
NO-LOAD FUNDS
The United States Treasury Trust
This report is intended only for the
information of shareholders or those who
have received the offering prospectus
S&P 500 Index Fund covering shares of beneficial interest
of California Investment Trust Fund
S&P MidCap Index Fund Group which contains information about
the management fee and other costs.
S&P SmallCap Index Fund Investments in shares of the funds of
California Investment Trust Fund Group
Equity Income Fund are neither insured nor guaranteed by
the U.S. Government, and there is no
European Growth & Income Fund assurance that any Fund which is a Money
Market Fund will be able to maintain a
Nasdaq-100 Index Fund stable net asset value of $1.00 per
share.
- ----------------------------------------
HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION
On the following pages are line graphs comparing each of the Funds performance
to a comparable broad based securities market index for the 10 years ended
August 31, 2003, or the inception of the Fund if less than 10 years. Each graph
assumes a hypothetical $10,000 initial investment in the respective funds.
The object of the graph is to permit a comparison of the performance of the
funds with a benchmark and to provide perspective on market conditions and
investment strategies and techniques that materially affected the performance of
each Fund. With each graph is a table presenting each of the respective Fund's
average annual total return for the one-year, five-year, ten-year, and/or
inception period through August 31, 2003.
BOND FUNDS
During the first eight months of the fiscal year, long-term 10-year treasury
bonds traded in a highly volatile 75 basis point range, from roughly 3.50% to
4.25%. Uncertainty as to the economic outlook and the war in Iraq were the main
factors influencing volatility. From early May to mid-June 10 year bond yields
plummeted eight-five basis points to a low 3.025 % reflecting investors worries
about deflation. As deflation concerns diminished and confidence in an
improvement in the level of economic activity increased, yields on the 10-year
bond rose about 1 3/8% from the low to end the fiscal year at 4.375%. Yields on
municipal bonds followed a similar pattern.
The California Tax-Free Income Fund's duration, while remaining longer than it's
- --------------------------------------------------------------------------------
California Insured Intermediate Fund
versus the Lehman Bros. 5 Year Municipal Bond Index
[GRAPHIC OMITTED]
California
Insured Lehman
Intermediate Municipal
Date Fund 5 Yr Index
---- ---- ----------
08/31/93 10,000 10,000
09/30/93 10,097 10,076
10/31/93 10,113 10,102
11/30/93 10,034 10,051
12/31/93 10,237 10,199
01/31/94 10,333 10,140
02/28/94 10,084 9,975
03/31/94 9,741 9,767
04/30/94 9,796 9,828
05/31/94 9,889 9,877
06/30/94 9,858 9,872
07/31/94 10,185 9,987
08/31/94 10,024 10,035
09/30/94 9,892 9,967
10/31/94 9,818 9,902
11/30/94 9,637 9,811
12/31/94 9,726 9,922
01/31/95 9,863 10,045
02/28/95 10,167 10,221
03/31/95 10,275 10,325
04/30/95 10,330 10,365
05/31/95 10,554 10,582
06/30/95 10,509 10,591
07/31/95 10,628 10,720
08/31/95 10,772 10,818
09/30/95 10,840 10,845
10/31/95 10,974 10,911
11/30/95 11,106 11,010
12/31/95 11,123 11,067
01/31/96 11,240 11,178
02/29/96 11,205 11,147
03/31/96 11,044 11,069
04/30/96 11,023 11,068
05/31/96 10,991 11,063
06/30/96 11,071 11,128
07/31/96 11,168 11,210
08/31/96 11,176 11,220
09/30/96 11,268 11,312
10/31/96 11,398 11,410
11/30/96 11,609 11,558
12/31/96 11,556 11,536
01/31/97 11,610 11,576
02/28/97 11,670 11,660
03/31/97 11,510 11,533
04/30/97 11,556 11,583
05/31/97 11,696 11,725
06/30/97 11,802 11,814
07/31/97 12,091 12,022
08/31/97 11,996 11,961
09/30/97 12,107 12,067
10/31/97 12,150 12,130
11/30/97 12,187 12,168
12/31/97 12,295 12,272
01/31/98 12,429 12,384
02/28/98 12,433 12,404
03/31/98 12,408 12,415
04/30/98 12,322 12,363
05/31/98 12,501 12,511
06/30/98 12,535 12,554
07/31/98 12,589 12,598
08/31/98 12,793 12,753
09/30/98 12,978 12,884
10/31/98 12,983 12,921
11/30/98 13,021 12,945
12/31/98 13,030 12,990
01/31/99 13,191 13,128
02/28/99 13,123 13,114
03/31/99 13,158 13,126
04/30/99 13,152 13,166
05/31/99 13,094 13,112
06/30/99 12,910 12,964
07/31/99 13,026 13,044
08/31/99 12,986 13,039
09/30/99 13,055 13,086
10/31/99 12,971 13,053
11/30/99 13,046 13,130
12/31/99 12,942 13,087
01/31/00 13,011 13,081
02/29/00 13,069 13,125
03/31/00 13,217 13,244
04/30/00 13,136 13,213
05/31/00 13,173 13,210
06/30/00 13,435 13,451
07/31/00 13,594 13,592
08/31/00 13,797 13,739
09/30/00 13,711 13,716
10/31/00 13,799 13,812
11/30/00 13,846 13,871
12/31/00 14,072 14,095
01/31/01 14,333 14,337
02/28/01 14,324 14,376
03/31/01 14,371 14,494
04/30/01 14,130 14,413
05/31/01 14,327 14,561
06/30/01 14,438 14,635
07/31/01 14,607 14,793
08/31/01 14,854 14,993
09/30/01 14,812 15,038
10/31/01 14,994 15,163
11/30/01 14,845 15,043
12/31/01 14,697 14,969
01/31/02 14,966 15,210
02/28/02 15,146 15,382
03/31/02 14,704 15,055
04/30/02 15,058 15,402
05/31/02 15,228 15,505
06/30/02 15,316 15,675
07/31/02 15,531 15,844
08/31/02 15,770 15,996
09/30/02 16,147 16,218
10/31/02 15,658 16,053
11/30/02 15,651 16,037
12/31/02 16,011 16,356
01/31/03 15,847 16,384
02/28/03 16,011 16,562
03/31/03 16,017 16,539
04/30/03 16,117 16,617
05/31/03 16,477 16,883
06/30/03 16,368 16,839
07/31/03 15,793 16,472
08/31/03 15,933 16,587
AVERAGE ANNUAL TOTAL RETURNS*
for periods ended 8/31/2003 1 year 5 year 10 year
- --------------------------- ------ ------ -------
California Insured Intermediate Fund 1.03% 4.49% 4.77%
Lehman Bros. Municipal Bond Index 3.70% 5.40% 5.19%
- --------------------------------------------------------------------------------
* The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares
- --------------------------------------------------------------------------------
California Tax-Free Income Fund
versus the Lehman Bros. Municipal Bond Index
[GRAPHIC OMITTED]
California Lehman Brothers
Tax-Free Municpal
Date Income Fund Bond Index
---- ----------- ----------
08/31/93 10,000 10,000
09/30/93 10,136 10,114
10/31/93 10,134 10,133
11/30/93 9,995 10,044
12/31/93 10,279 10,256
01/31/94 10,412 10,373
02/28/94 10,051 10,104
03/31/94 9,517 9,693
04/30/94 9,577 9,775
05/31/94 9,666 9,860
06/30/94 9,558 9,800
07/31/94 9,791 9,980
08/31/94 9,786 10,014
09/30/94 9,593 9,867
10/31/94 9,449 9,692
11/30/94 9,190 9,516
12/31/94 9,392 9,726
01/31/95 9,722 10,004
02/28/95 10,115 10,295
03/31/95 10,201 10,413
04/30/95 10,223 10,426
05/31/95 10,542 10,758
06/30/95 10,404 10,665
07/31/95 10,488 10,766
08/31/95 10,568 10,903
09/30/95 10,670 10,971
10/31/95 10,895 11,130
11/30/95 11,165 11,315
12/31/95 11,322 11,424
01/31/96 11,396 11,511
02/29/96 11,255 11,432
03/31/96 11,023 11,286
04/30/96 10,956 11,254
05/31/96 10,931 11,250
06/30/96 11,071 11,373
07/31/96 11,203 11,476
08/31/96 11,188 11,474
09/30/96 11,357 11,634
10/31/96 11,527 11,766
11/30/96 11,798 11,981
12/31/96 11,673 11,931
01/31/97 11,665 11,954
02/28/97 11,782 12,064
03/31/97 11,564 11,903
04/30/97 11,678 12,003
05/31/97 11,874 12,183
06/30/97 11,996 12,313
07/31/97 12,453 12,655
08/31/97 12,249 12,536
09/30/97 12,414 12,685
10/31/97 12,462 12,766
11/30/97 12,520 12,841
12/31/97 12,758 13,029
01/31/98 12,942 13,163
02/28/98 12,917 13,167
03/31/98 12,859 13,179
04/30/98 12,748 13,119
05/31/98 13,003 13,327
06/30/98 13,035 13,379
07/31/98 13,034 13,412
08/31/98 13,321 13,620
09/30/98 13,573 13,790
10/31/98 13,528 13,790
11/30/98 13,572 13,839
12/31/98 13,564 13,873
01/31/99 13,776 14,038
02/28/99 13,638 13,977
03/31/99 13,660 13,996
04/30/99 13,645 14,031
05/31/99 13,491 13,950
06/30/99 13,229 13,749
07/31/99 13,289 13,798
08/31/99 13,181 13,688
09/30/99 13,207 13,693
10/31/99 13,048 13,546
11/30/99 13,199 13,689
12/31/99 13,079 13,586
01/31/00 13,093 13,528
02/29/00 13,230 13,685
03/31/00 13,510 13,985
04/30/00 13,383 13,902
05/31/00 13,382 13,830
06/30/00 13,730 14,196
07/31/00 13,912 14,394
08/31/00 14,244 14,615
09/30/00 14,139 14,539
10/31/00 14,226 14,698
11/30/00 14,304 14,809
12/31/00 14,704 15,175
01/31/01 14,832 15,326
02/28/01 14,812 15,375
03/31/01 14,865 15,513
04/30/01 14,493 15,345
05/31/01 14,631 15,511
06/30/01 14,799 15,615
07/31/01 15,004 15,846
08/31/01 15,382 16,108
09/30/01 15,321 16,053
10/31/01 15,541 16,244
11/30/01 15,294 16,107
12/31/01 15,082 15,954
01/31/02 15,366 16,230
02/28/02 15,594 16,427
03/31/02 15,126 16,105
04/30/02 15,485 16,419
05/31/02 15,635 16,519
06/30/02 15,736 16,694
07/31/02 15,975 16,909
08/31/02 16,235 17,112
09/30/02 16,728 17,487
10/31/02 16,183 17,197
11/30/02 16,077 17,125
12/31/02 16,509 17,486
01/31/03 16,285 17,442
02/28/03 16,547 17,686
03/31/03 16,544 17,697
04/30/03 16,674 17,814
05/31/03 17,159 18,231
06/30/03 16,980 18,152
07/31/03 16,180 17,517
08/31/03 16,334 17,648
AVERAGE ANNUAL TOTAL RETURNS*
for periods ended 8/31/2003 1 year 5 year 10 year
- --------------------------- ------ ------ -------
California Tax-Free Income 0.61% 4.16% 5.03%
Lehman Bros. Municipal Bond Index 3.13% 5.32% 5.85%
- --------------------------------------------------------------------------------
1
bogey, was modestly decreased in the fall of 2002 in anticipation of a stronger
economy, which failed to materialize. The Fund's duration was subsequently kept
in a narrow range somewhat longer than its bogey. In other actions, holdings of
the State's bonds were reduced in the September because of credit downgrade
concerns. As of August 31, 2003, the Fund had an average coupon of 5.47%, an
average maturity of 8.4 years, duration of 6.5 years, and an average quality of
Aa1.
Duration adjustments to the California Intermediate Insured Fund followed a
similar pattern to those in the Income Fund except that it's overall duration
about matched that of its bogey. The Fund's portfolio profile at fiscal year-end
was as follows: average coupon, 5.1%; average maturity, 6.2 years; and average
duration, 5.2 years.
During the fiscal year the U.S. Government Securities Fund's duration was
shortened significantly. At the close of the year, the Fund's profile showed an
average coupon of 4.54%, an average maturity of 5.5 years and duration of 3.8
years.
As of August 31, 2003, the Short-term U.S. Government Bond Fund's average coupon
was 4.6%, its average maturity was 1.1 year and it's duration 1 year. Again,
during the course of the fiscal year, the Fund's duration was shortened in
anticipation of a stronger economy and an expected rise in interest rates.
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
- --------------------------------------------------------------------------------
U.S. Government Securities Fund
versus the Lehman Bros. Treasury and GNMA Indicies
[GRAPHIC OMITTED]
U.S.
Government
Securities Lehman Bros. Lehman Bros.
Date Fund GNMA Index Tresury Index
---- ---- ---------- -------------
08/31/93 10,000 10,000 10,000
09/30/93 10,035 10,008 10,039
10/31/93 10,085 10,025 10,076
11/30/93 9,856 10,011 9,965
12/31/93 9,891 10,104 10,004
01/31/94 10,093 10,184 10,142
02/28/94 9,733 9,675 9,924
03/31/94 9,405 9,413 9,702
04/30/94 9,302 9,349 9,626
05/31/94 9,250 9,376 9,511
06/30/94 9,194 9,362 9,490
07/31/94 9,422 9,544 9,662
08/31/94 9,355 9,574 9,664
09/30/94 9,126 9,439 9,528
10/31/94 9,089 9,424 9,521
11/30/94 9,096 9,397 9,504
12/31/94 9,200 9,502 9,562
01/31/95 9,390 9,698 9,740
02/28/95 9,613 9,954 9,950
03/31/95 9,661 10,003 10,012
04/30/95 9,799 10,151 10,143
05/31/95 10,223 10,461 10,553
06/30/95 10,305 10,532 10,637
07/31/95 10,220 10,554 10,597
08/31/95 10,424 10,663 10,720
09/30/95 10,583 10,767 10,823
10/31/95 10,837 10,855 10,991
11/30/95 11,078 10,980 11,161
12/31/95 11,348 11,121 11,321
01/31/96 11,337 11,199 11,392
02/29/96 10,868 11,115 11,159
03/31/96 10,680 11,087 11,061
04/30/96 10,516 11,058 10,991
05/31/96 10,449 11,020 10,973
06/30/96 10,655 11,165 11,112
07/31/96 10,665 11,207 11,139
08/31/96 10,556 11,212 11,116
09/30/96 10,830 11,399 11,298
10/31/96 11,205 11,629 11,547
11/30/96 11,564 11,798 11,746
12/31/96 11,294 11,735 11,625
01/31/97 11,274 11,826 11,637
02/28/97 11,285 11,868 11,651
03/31/97 11,130 11,986 11,525
04/30/97 11,300 12,182 11,691
05/31/97 11,378 12,308 11,792
06/30/97 11,510 12,453 11,924
07/31/97 11,804 12,678 12,266
08/31/97 11,612 12,652 12,142
09/30/97 11,842 12,820 12,327
10/31/97 12,091 12,953 12,541
11/30/97 12,158 12,994 12,606
12/31/97 12,347 13,111 12,739
01/31/98 12,575 13,238 12,934
02/28/98 12,500 13,267 12,895
03/31/98 12,526 13,323 12,930
04/30/98 12,571 13,400 12,988
05/31/98 12,766 13,491 13,123
06/30/98 12,992 13,548 13,274
07/31/98 12,967 13,623 13,295
08/31/98 13,460 13,731 13,657
09/30/98 13,924 13,893 14,038
10/31/98 13,763 13,881 13,993
11/30/98 13,826 13,960 13,990
12/31/98 13,839 14,017 14,018
01/31/99 13,906 14,116 14,099
02/28/99 13,428 14,071 13,740
03/31/99 13,453 14,157 13,792
04/30/99 13,487 14,225 13,825
05/31/99 13,299 14,154 13,696
06/30/99 13,224 14,097 13,668
07/31/99 13,167 14,004 13,657
08/31/99 13,139 14,000 13,659
09/30/99 13,289 14,226 13,765
10/31/99 13,280 14,309 13,780
11/30/99 13,249 14,315 13,754
12/31/99 13,155 14,287 13,663
01/31/00 13,082 14,158 13,698
02/29/00 13,202 14,339 13,904
03/31/00 13,507 14,566 14,179
04/30/00 13,461 14,553 14,134
05/31/00 13,505 14,605 14,155
06/30/00 13,746 14,875 14,394
07/31/00 13,863 14,954 14,542
08/31/00 14,104 15,180 14,756
09/30/00 14,120 15,321 14,768
10/31/00 14,245 15,434 14,911
11/30/00 14,561 15,652 15,217
12/31/00 14,860 15,873 15,508
01/31/01 14,974 16,133 15,633
02/28/01 15,135 16,204 15,822
03/31/01 15,158 16,301 15,873
04/30/01 14,937 16,327 15,676
05/31/01 14,921 16,464 15,725
06/30/01 15,012 16,514 15,810
07/31/01 15,351 16,796 16,205
08/31/01 15,506 16,919 16,419
09/30/01 15,670 17,147 16,680
10/31/01 16,176 17,375 17,142
11/30/01 15,735 17,229 16,717
12/31/01 15,548 17,178 16,555
01/31/02 15,673 17,351 16,666
02/28/02 15,820 17,528 16,764
03/31/02 15,588 17,362 16,360
04/30/02 15,864 17,667 16,767
05/31/02 15,957 17,782 16,861
06/30/02 16,088 17,924 17,099
07/31/02 16,300 18,132 17,504
08/31/02 16,536 18,259 17,882
09/30/02 16,847 18,411 18,365
10/31/02 16,671 18,468 18,161
11/30/02 16,545 18,484 17,981
12/31/02 16,943 18,667 18,449
01/31/03 16,898 18,714 18,393
02/28/03 17,142 18,808 18,710
03/31/03 17,052 18,821 18,631
04/30/03 17,111 18,864 18,719
05/31/03 17,530 18,864 19,258
06/30/03 17,467 18,921 19,140
07/31/03 16,894 18,608 18,300
08/31/03 16,952 18,731 18,408
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2003 1 year 5 year 10 year
- --------------------------- ------ ------ -------
U.S. Government Securities Fund 2.52% 4.72% 5.42%
Lehman Bros. Composite Treasury Index 2.94% 6.15% 6.29%
Lehman Bros. GNMA Index 2.59% 6.41% 6.48%
- --------------------------------------------------------------------------------
* The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares
- --------------------------------------------------------------------------------
Short-Term U.S. Government Bond Fund
versus the Lehman 1-3 Year Treasury Index
[GRAPHIC OMITTED]
Short-Term
U.S. Government Lehman 1-3 yr
Date Bond Fund Treasury Index
---- --------- --------------
01/18/00 10,000 10,000
01/31/00 10,006 9,996
02/29/00 10,056 10,062
03/31/00 10,119 10,126
04/30/00 10,157 10,149
05/31/00 10,204 10,191
06/30/00 10,294 10,298
07/31/00 10,352 10,364
08/31/00 10,415 10,441
09/30/00 10,479 10,518
10/31/00 10,532 10,574
11/30/00 10,608 10,675
12/31/00 10,712 10,805
01/31/01 10,812 10,942
02/28/01 10,871 11,014
03/31/01 10,937 11,105
04/30/01 10,971 11,134
05/31/01 11,031 11,194
06/30/01 11,060 11,234
07/31/01 11,154 11,363
08/31/01 11,205 11,433
09/30/01 11,369 11,622
10/31/01 11,477 11,733
11/30/01 11,408 11,705
12/31/01 11,393 11,709
01/31/02 11,417 11,732
02/28/02 11,477 11,790
03/31/02 11,400 11,702
04/30/02 11,495 11,841
05/31/02 11,520 11,886
06/30/02 11,571 11,990
07/31/02 11,630 12,140
08/31/02 11,642 12,183
09/30/02 11,686 12,287
10/31/02 11,712 12,316
11/30/02 11,699 12,274
12/31/02 11,734 12,394
01/31/03 11,745 12,391
02/28/03 11,752 12,446
03/31/03 11,767 12,468
04/30/03 11,768 12,491
05/31/03 11,781 12,538
06/30/03 11,792 12,558
07/31/03 11,780 12,486
08/31/03 11,777 12,492
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2003 1 year Inception
- --------------------------- ------ ---------
Short-Term U.S. Government Bond Fund 1.17% 4.63%
Lehman 1-3 Year Treasury Index 2.54% 6.35%
- --------------------------------------------------------------------------------
2
their respective benchmarks tightly during this last fiscal year. We measure the
index fund performance by using a correlation coefficient. This is a statistical
measure that compares daily performance of the fund against it's 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. Each of the four
index funds had a correlation coefficient of 1.000 for the past fiscal year.
The small and mid-cap market sectors continued to outperform the largecap sector
through this last fiscal year. These segments came out of the 2000 market bubble
with much more attractive earning multiples and the momentum has continued to
carry these segments through what appears to be the early stages of a US
Economic Recovery. We continue to believe that the relative value imbalance in
these sectors is largely corrected but as has been the case in the past,
performance draws investors into segments late and I tend to believe this
momentum carries valuations through levels where we would expect them to peak.
Predicting how long this momentum will last and thus, 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. It is important to note that at the time of this printing, earnings
multiples for each index are higher than the historical norms. Whether the
market is overvalued or it is accurately reflecting an earnings recovery remains
to be seen.
- --------------------------------------------------------------------------------
CIT S&P 500 Index Fund
versus the S&P 500 Composite Stock Price Index
[GRAPHIC OMITTED]
S&P 500
Composite
CIT S&P 500 Stock Price
Date Index Fund Index
---- ---------- -----
08/31/93 10,000 10,000
09/30/93 9,920 9,921
10/31/93 10,128 10,126
11/30/93 10,038 10,030
12/31/93 10,157 10,151
01/31/94 10,494 10,496
02/28/94 10,203 10,211
03/31/94 9,756 9,767
04/30/94 9,880 9,892
05/31/94 10,035 10,054
06/30/94 9,788 9,808
07/31/94 10,111 10,130
08/31/94 10,517 10,544
09/30/94 10,259 10,287
10/31/94 10,506 10,517
11/30/94 10,114 10,135
12/31/94 10,263 10,285
01/31/95 10,527 10,551
02/28/95 10,941 10,962
03/31/95 11,264 11,285
04/30/95 11,586 11,617
05/31/95 12,032 12,081
06/30/95 12,302 12,361
07/31/95 12,704 12,771
08/31/95 12,732 12,803
09/30/95 13,271 13,343
10/31/95 13,242 13,295
11/30/95 13,818 13,878
12/31/95 14,081 14,145
01/31/96 14,545 14,626
02/29/96 14,666 14,762
03/31/96 14,802 14,904
04/30/96 15,045 15,124
05/31/96 15,430 15,513
06/30/96 15,482 15,572
07/31/96 14,799 14,885
08/31/96 15,104 15,199
09/30/96 15,946 16,054
10/31/96 16,387 16,497
11/30/96 17,620 17,742
12/31/96 17,268 17,391
01/31/97 18,339 18,477
02/28/97 18,475 18,622
03/31/97 17,704 17,858
04/30/97 18,748 18,923
05/31/97 19,886 20,075
06/30/97 20,757 20,974
07/31/97 22,399 22,642
08/31/97 21,170 21,375
09/30/97 22,318 22,544
10/31/97 21,583 21,792
11/30/97 22,578 22,800
12/31/97 22,966 23,192
01/31/98 23,216 23,448
02/28/98 24,879 25,138
03/31/98 26,146 26,424
04/30/98 26,419 26,690
05/31/98 25,961 26,232
06/30/98 26,998 27,297
07/31/98 26,702 27,007
08/31/98 22,891 23,106
09/30/98 24,336 24,587
10/31/98 26,372 26,585
11/30/98 27,951 28,195
12/31/98 29,568 29,819
01/31/99 30,845 31,065
02/28/99 29,895 30,100
03/31/99 31,067 31,304
04/30/99 32,212 32,517
05/31/99 31,418 31,750
06/30/99 33,152 33,511
07/31/99 32,140 32,465
08/31/99 31,992 32,304
09/30/99 31,114 31,420
10/31/99 33,080 33,407
11/30/99 33,744 34,086
12/31/99 35,782 36,093
01/31/00 33,982 34,280
02/29/00 33,321 33,631
03/31/00 36,547 36,919
04/30/00 35,415 35,809
05/31/00 34,717 35,074
06/30/00 35,567 35,939
07/31/00 35,084 35,377
08/31/00 37,233 37,574
09/30/00 35,306 35,590
10/31/00 35,173 35,439
11/30/00 32,415 32,647
12/31/00 32,596 32,808
01/31/01 33,719 33,971
02/28/01 30,745 30,875
03/31/01 28,840 28,920
04/30/01 31,032 31,166
05/31/01 31,255 31,375
06/30/01 30,496 30,612
07/31/01 30,198 30,310
08/31/01 28,322 28,415
09/30/01 26,060 26,120
10/31/01 26,522 26,619
11/30/01 28,518 28,660
12/31/01 28,746 28,911
01/31/02 28,333 28,490
02/28/02 27,819 27,940
03/31/02 28,828 28,991
04/30/02 27,095 27,234
05/31/02 26,894 27,034
06/30/02 24,985 25,109
07/31/02 23,134 23,152
08/31/02 23,273 23,304
09/30/02 20,716 20,774
10/31/02 22,551 22,600
11/30/02 23,918 23,929
12/31/02 22,498 22,524
01/31/03 21,887 21,935
02/28/03 21,557 21,606
03/31/03 21,757 21,815
04/30/03 23,543 23,611
05/31/03 24,806 24,854
06/30/03 25,126 25,171
07/31/03 25,562 25,615
08/31/03 26,074 26,114
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2003 1 year 5 year 10 year
- --------------------------- ------ ------ -------
CIT S&P 500 Index Fund 12.03% 2.64% 10.06%
S&P 500 Composite Stock Price Index 12.06% 2.48% 10.07%
- --------------------------------------------------------------------------------
* The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares
- --------------------------------------------------------------------------------
CIT S&P MidCap Index Fund
versus the S&P MidCap 400 Index
[GRAPHIC OMITTED]
CIT S&P
MidCap S&P MidCap
Date Index Fund 400 Index
---- ---------- ---------
08/31/93 10,000 10,000
09/30/93 10,090 10,105
10/31/93 10,109 10,138
11/30/93 9,887 9,914
12/31/93 10,326 10,373
01/31/94 10,570 10,613
02/28/94 10,427 10,462
03/31/94 9,922 9,978
04/30/94 9,988 10,052
05/31/94 9,895 9,957
06/30/94 9,549 9,614
07/31/94 9,866 9,939
08/31/94 10,375 10,460
09/30/94 10,180 10,264
10/31/94 10,290 10,378
11/30/94 9,829 9,910
12/31/94 9,916 10,000
01/31/95 10,015 10,105
02/28/95 10,542 10,634
03/31/95 10,733 10,819
04/30/95 10,948 11,037
05/31/95 11,209 11,303
06/30/95 11,663 11,764
07/31/95 12,258 12,377
08/31/95 12,475 12,605
09/30/95 12,788 12,911
10/31/95 12,453 12,579
11/30/95 12,985 13,125
12/31/95 12,952 13,093
01/31/96 13,144 13,283
02/29/96 13,584 13,733
03/31/96 13,750 13,898
04/30/96 14,163 14,322
05/31/96 14,346 14,516
06/30/96 14,126 14,298
07/31/96 13,181 13,333
08/31/96 13,943 14,103
09/30/96 14,555 14,718
10/31/96 14,584 14,761
11/30/96 15,411 15,591
12/31/96 15,394 15,608
01/31/97 15,984 16,194
02/28/97 15,852 16,061
03/31/97 15,175 15,378
04/30/97 15,543 15,776
05/31/97 16,892 17,156
06/30/97 17,379 17,637
07/31/97 19,092 19,382
08/31/97 19,051 19,359
09/30/97 20,140 20,471
10/31/97 19,296 19,581
11/30/97 19,571 19,871
12/31/97 20,302 20,640
01/31/98 19,946 20,247
02/28/98 21,562 21,924
03/31/98 22,559 22,912
04/30/98 22,961 23,329
05/31/98 21,922 22,281
06/30/98 22,073 22,420
07/31/98 21,210 21,551
08/31/98 17,266 17,542
09/30/98 18,861 19,179
10/31/98 20,524 20,890
11/30/98 21,542 21,932
12/31/98 24,056 24,580
01/31/99 23,174 23,623
02/28/99 21,942 22,387
03/31/99 22,562 23,012
04/30/99 24,343 24,826
05/31/99 24,460 24,934
06/30/99 25,774 26,269
07/31/99 25,227 25,706
08/31/99 24,367 24,825
09/30/99 23,622 24,060
10/31/99 24,850 25,285
11/30/99 26,093 26,612
12/31/99 27,595 28,192
01/31/00 26,841 27,398
02/29/00 28,644 29,315
03/31/00 31,381 31,767
04/30/00 30,379 30,657
05/31/00 29,951 30,278
06/30/00 30,461 30,723
07/31/00 30,988 31,209
08/31/00 34,221 34,692
09/30/00 34,010 34,454
10/31/00 32,952 33,285
11/30/00 30,530 30,774
12/31/00 32,973 33,128
01/31/01 33,622 33,867
02/28/01 31,754 31,935
03/31/01 29,548 29,562
04/30/01 32,724 32,822
05/31/01 33,513 33,587
06/30/01 33,438 33,451
07/31/01 32,963 32,952
08/31/01 31,975 31,875
09/30/01 28,179 27,911
10/31/01 29,289 29,147
11/30/01 31,466 31,315
12/31/01 33,082 32,930
01/31/02 32,942 32,761
02/28/02 32,982 32,801
03/31/02 35,311 35,145
04/30/02 35,152 34,981
05/31/02 34,593 34,391
06/30/02 32,109 31,875
07/31/02 28,992 28,786
08/31/02 29,172 28,931
09/30/02 26,801 26,601
10/31/02 27,962 27,752
11/30/02 29,563 29,356
12/31/02 28,379 28,150
01/31/03 27,596 27,328
02/28/03 26,894 26,677
03/31/03 27,050 26,902
04/30/03 28,981 28,853
05/31/03 31,334 31,243
06/30/03 31,708 31,641
07/31/03 32,836 32,764
08/31/03 34,267 34,248
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2003 1 year 5 year 10 year
- --------------------------- ------ ------ -------
CIT S&P MidCap Index Fund 17.46% 14.69% 13.11%
S&P MidCap 400 Index 18.38% 14.32% 13.10%
- --------------------------------------------------------------------------------
3
The Nasdaq-100 Index Fund, which is largely a technology fund, was up a dramatic
41.49% for the fiscal year. However, this performance masks the significant
declines in this market segment and only partially recoups the losses of the
past few years. We have seen a strong resurgence in LargeCap growth stocks,
driven largely by expectations of the changing economy and solid profit growth
in this segment. We await significant growth in corporate spending. However,
cost cutting measures and low hurdles in comparative numbers should give this
segment a continued boost.
Our European Growth & Income Fund is managed using the Dow Stoxx 50, a European
LargeCap Index, as a benchmark for its holdings. The fund was up 8.17% and
outperformed its benchmark by 2.86% this past year. This fund gives investors a
low-cost, highly efficient tool to diversify internationally. European markets
lagged the performance of the U.S. Markets for much of the year as the European
Economy was seen as growing slower than the US economy. We did not hedge the
currency risk during the previous fiscal year and do not plan to do so this
year. The Fund experienced large purchases and sales in relation to the assets
under management. Market timers created a situation where the fund had excess
cash positions during down markets and thus benefited from these flows. We do
not anticipate further assets coming into the funds from investors using timing
strategies.
The Equity Income Fund is actively managed as a value fund and continues to
focus on stocks that have high dividend yields relative to the S&P 500 Composite
Stock Index. This is an investment strategy that was largely out of favor during
- --------------------------------------------------------------------------------
CIT S&P SmallCap Index Fund
versus the S&P SmallCap 600 Index
[GRAPHIC OMITTED]
CIT S&P S&P
SmallCap SmallCap
Date Index Fund 600 Index
- ---- ---------- ---------
10/02/96 10,000 10,000
10/31/96 9,850 9,865
11/30/96 10,240 10,377
12/31/96 10,373 10,499
01/31/97 10,635 10,673
02/28/97 10,383 10,452
03/31/97 9,839 9,916
04/30/97 10,002 10,037
05/31/97 11,110 11,216
06/30/97 11,578 11,712
07/31/97 12,200 12,448
08/31/97 12,486 12,762
09/30/97 13,284 13,605
10/31/97 12,712 13,018
11/30/97 12,642 12,924
12/31/97 12,868 13,184
01/31/98 12,592 12,927
02/28/98 13,672 14,104
03/31/98 14,191 14,642
04/30/98 14,286 14,728
05/31/98 13,490 13,948
06/30/98 13,503 13,988
07/31/98 12,439 12,919
08/31/98 10,066 10,429
09/30/98 10,699 11,065
10/31/98 11,179 11,578
11/30/98 11,779 12,229
12/31/98 12,493 13,009
01/31/99 12,374 12,847
02/28/99 11,260 11,689
03/31/99 11,425 11,840
04/30/99 12,151 12,622
05/31/99 12,389 12,929
06/30/99 13,108 13,665
07/31/99 12,978 13,545
08/31/99 12,435 12,949
09/30/99 12,472 13,004
10/31/99 12,483 12,971
11/30/99 13,011 13,520
12/31/99 14,172 14,624
01/31/00 13,784 14,170
02/29/00 15,745 16,068
03/31/00 15,080 15,474
04/30/00 14,771 15,208
05/31/00 14,280 14,759
06/30/00 15,239 15,632
07/31/00 14,827 15,248
08/31/00 16,120 16,599
09/30/00 15,632 16,147
10/31/00 15,586 16,248
11/30/00 14,034 14,557
12/31/00 15,722 16,351
01/31/01 16,232 17,051
02/28/01 15,261 16,011
03/31/01 14,584 15,278
04/30/01 15,654 16,442
05/31/01 15,910 16,757
06/30/01 16,458 17,370
07/31/01 16,093 17,080
08/31/01 15,703 16,691
09/30/01 13,658 14,436
10/31/01 14,378 15,205
11/30/01 15,367 16,317
12/31/01 16,391 17,421
01/31/02 16,489 17,573
02/28/02 16,233 17,271
03/31/02 17,435 18,635
04/30/02 17,899 19,161
05/31/02 17,154 18,369
06/30/02 16,247 17,419
07/31/02 14,034 14,958
08/31/02 14,181 15,101
09/30/02 13,297 14,177
10/31/02 13,749 14,630
11/30/02 14,496 15,392
12/31/02 13,991 14,873
01/31/03 13,499 14,362
02/28/03 13,094 13,902
03/31/03 13,179 14,011
04/30/03 14,225 15,148
05/31/03 15,343 16,368
06/30/03 15,696 16,794
07/31/03 16,520 17,667
08/31/03 17,307 18,527
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2003 1 year 5 year Inception
- --------------------------- ------ ------ ---------
CIT S&P SmallCap Index Fund 22.04% 11.45% 8.26%
S&P SmallCap 600 Index 22.68% 12.18% 9.33%
- --------------------------------------------------------------------------------
* The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares
- --------------------------------------------------------------------------------
Equity Income Fund
versus the S&P BARRA/Value Index
& the S&P Composite Stock Price Index
[GRAPHIC OMITTED]
S&P 500
Composite
CIT Equity Stock
Income S&P/BARRA Price
Date Fund Value Index Index1
---- ---- ----------- ------
09/04/96 10,000 10,000 10,000
09/30/96 10,207 10,366 10,562
10/31/96 10,528 10,717 10,854
11/30/96 11,209 11,534 11,673
12/31/96 11,097 11,344 11,442
01/31/97 11,574 11,869 12,156
02/28/97 11,668 11,955 12,252
03/31/97 11,245 11,546 11,749
04/30/97 11,737 11,979 12,450
05/31/97 12,354 12,729 13,208
06/30/97 12,801 13,215 13,799
07/31/97 13,824 14,275 14,897
08/31/97 13,329 13,631 14,063
09/30/97 14,064 14,430 14,833
10/31/97 13,618 13,900 14,338
11/30/97 14,079 14,428 15,001
12/31/97 14,348 14,748 15,258
01/31/98 14,204 14,566 15,427
02/28/98 15,220 15,658 16,539
03/31/98 16,087 16,450 17,385
04/30/98 16,220 16,645 17,560
05/31/98 16,076 16,411 17,259
06/30/98 16,229 16,536 17,959
07/31/98 15,793 16,177 17,768
08/31/98 13,390 13,579 15,202
09/30/98 13,866 14,406 16,176
10/31/98 14,846 15,532 17,491
11/30/98 15,431 16,340 18,550
12/31/98 16,234 16,912 19,619
01/31/99 16,449 17,253 20,439
02/28/99 16,132 16,884 19,804
03/31/99 16,446 17,395 20,596
04/30/99 17,494 18,897 21,394
05/31/99 16,902 18,556 20,889
06/30/99 17,588 19,268 22,047
07/31/99 17,062 18,676 21,360
08/31/99 16,455 18,202 21,254
09/30/99 15,682 17,492 20,672
10/31/99 16,291 18,480 21,980
11/30/99 16,253 18,372 22,426
12/31/99 16,868 19,062 23,746
01/31/00 16,249 18,456 22,553
02/29/00 15,927 17,303 22,127
03/31/00 17,177 19,105 24,290
04/30/00 16,710 18,978 23,560
05/31/00 16,554 19,036 23,076
06/30/00 16,355 18,285 23,645
07/31/00 16,475 18,651 23,276
08/31/00 17,810 19,901 24,721
09/30/00 17,387 19,896 23,416
10/31/00 17,338 20,267 23,317
11/30/00 16,304 19,230 21,480
12/31/00 16,668 20,219 21,585
01/31/01 16,029 21,072 22,350
02/28/01 15,882 19,677 20,314
03/31/01 15,317 18,900 19,027
04/30/01 16,256 20,181 20,505
05/31/01 16,429 20,392 20,643
06/30/01 15,894 19,732 20,140
07/31/01 15,534 19,390 19,942
08/31/01 15,150 18,271 18,695
09/30/01 14,332 16,537 17,185
10/31/01 14,382 16,537 17,513
11/30/01 15,242 17,587 18,856
12/31/01 15,700 17,856 19,022
01/31/02 15,562 17,366 18,744
02/28/02 15,512 17,210 18,383
03/31/02 16,147 18,092 19,074
04/30/02 15,984 17,186 17,918
05/31/02 15,733 17,256 17,787
06/30/02 15,077 16,168 16,520
07/31/02 14,171 14,421 15,233
08/31/02 14,322 14,520 15,332
09/30/02 13,201 12,862 13,668
10/31/02 13,542 13,930 14,869
11/30/02 13,858 14,907 15,744
12/31/02 13,717 14,132 14,819
01/31/03 13,222 13,747 14,432
02/28/03 13,044 13,372 14,215
03/31/03 13,246 13,355 14,353
04/30/03 14,073 14,674 15,534
05/31/03 14,925 15,753 16,352
06/30/03 15,197 15,868 16,561
07/31/03 15,414 16,221 16,853
08/31/03 15,721 16,571 17,181
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2003 1 year 5 year Inception
- --------------------------- ------ ------ ---------
CIT Equity Income Fund 9.77% 3.26% 6.69%
S&P BARRA/Value Index 14.13% 4.06% 7.49%
S&P 500 Composite Stock Price Index 12.06% 2.48% 7.96%
- --------------------------------------------------------------------------------
4
the tech boom. In light of recent concerns about earnings quality and the lower
dividend tax rates, stocks paying dividends should continue to attract the
attention of investors. We have seen a number of companies adjust their dividend
payout rate and as earnings improve, I believe this trend will continue. The
Equity Income Fund was up 9.77% for the year and trailed the gains the U.S.
stock market as measured by the S&P 500 Index by 2.29%. The fund under performed
its benchmark, the BARRA/Value Index, by 4.36% for the year. The fund has been
100% invested since we determined the use of weapons of mass destruction were
unlikely to be used by the Iraqi military. The fund maintains a focus in energy
and financials and these sectors have lagged for much of the past 6 months but
are priced at attractive earnings multiples.
Investing in stocks has become much easier these days and at the time of this
print, the economy looks like it is on the road to what I term a profit-driven
recovery. Corporate spending on new initiatives should grow slowly as the pain
of cutting remains fresh on the minds of Corporate America. Additionally, I
expect to see conservative management styles to be in vogue with Corporate
Boards whose responsibilities to investors have been more clearly defined over
the past few years. This should be good for investors. While we can not 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 strongly encourage you to maintain a diversified portfolio
using both stock and bond funds, in a balance which is appropriate for your
particular investment objectives.
- --------------------------------------------------------------------------------
European Growth & Income Fund
versus the Dow Jones Stoxx 50 Index (U.S. Dollars)
[GRAPHIC OMITTED]
Dow Jones
CIT European Stoxx 50
Growth & Index
Date Income Fund (U.S. dollars)
---- ----------- --------------
12/31/95 10,000 10,000
01/31/96 10,000 10,014
02/29/96 10,000 10,188
03/31/96 10,000 10,255
04/30/96 10,000 10,292
05/31/96 10,000 10,441
06/30/96 10,000 10,484
07/31/96 10,000 10,461
08/31/96 10,000 10,710
09/30/96 10,000 11,033
10/31/96 10,000 11,279
11/30/96 10,000 11,975
12/31/96 10,000 12,210
01/31/97 10,000 12,199
02/28/97 10,000 12,391
03/31/97 10,000 12,957
04/30/97 10,000 13,006
05/31/97 10,000 13,669
06/30/97 10,000 14,601
07/31/97 10,000 15,301
08/31/97 10,000 14,226
09/30/97 10,000 15,758
10/31/97 10,000 14,898
11/30/97 10,000 15,186
12/31/97 10,000 15,575
01/31/98 10,000 16,240
02/28/98 10,000 17,617
03/31/98 10,000 18,759
04/30/98 10,000 19,273
05/31/98 10,000 19,913
06/30/98 10,000 20,487
07/31/98 10,000 21,110
08/31/98 10,000 18,495
09/30/98 10,000 17,500
10/31/98 10,000 18,977
11/30/98 10,000 20,368
12/31/98 10,000 21,355
01/31/99 10,000 21,518
02/28/99 10,000 20,889
03/31/99 10,000 21,225
04/30/99 10,000 21,927
05/31/99 10,000 20,828
06/30/99 10,000 21,423
07/31/99 10,000 21,480
08/31/99 10,000 21,740
09/30/99 10,000 21,458
10/31/99 10,000 22,912
11/30/99 10,000 24,028
01/18/00 10,000 10,000
01/31/00 9,720 9,289
02/29/00 10,060 9,907
03/31/00 10,299 10,213
04/30/00 9,918 9,769
05/31/00 9,858 9,752
06/30/00 9,892 9,779
07/31/00 9,641 9,581
08/31/00 9,641 9,468
09/30/00 8,997 8,975
10/31/00 9,067 8,946
11/30/00 8,593 8,565
12/31/00 9,047 9,116
01/31/01 9,037 9,052
02/28/01 8,119 8,082
03/31/01 7,665 7,535
04/30/01 8,281 8,135
05/31/01 7,927 7,727
06/30/01 7,517 7,409
07/31/01 7,477 7,402
08/31/01 7,243 7,159
09/30/01 6,711 6,565
10/31/01 6,915 6,748
11/30/01 7,109 6,926
12/31/01 7,272 7,087
01/31/02 6,905 6,672
02/28/02 6,854 6,688
03/31/02 7,144 7,005
04/30/02 7,072 6,895
05/31/02 7,001 6,850
06/30/02 6,697 6,647
07/31/02 6,017 5,875
08/31/02 5,975 5,860
09/30/02 5,267 5,034
10/31/02 5,764 5,596
11/30/02 6,043 5,848
12/31/02 5,778 5,567
01/31/03 5,653 5,310
02/28/03 5,446 5,179
03/31/03 5,405 5,095
04/30/03 6,041 5,794
05/31/03 6,416 6,124
06/30/03 6,411 6,191
07/31/03 6,464 6,264
08/31/03 6,464 6,161
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2003 1 year Inception
- --------------------------- ------ ---------
CIT European Growth & Income Fund 8.17% -11.37%
Dow Jones Stoxx 50 Index (U.S. Dollars) 5.15% -12.53%
- --------------------------------------------------------------------------------
* The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares
- --------------------------------------------------------------------------------
Nasdaq-100 Index Fund
versus the Nasdaq-100 Index
[GRAPHIC OMITTED]
CIT
Nasdaq-100 Nasdaq-100
Date Index Fund Index
---- ---------- -----
12/31/95 10,000 10,000
01/31/96 10,000 10,272
02/29/96 10,000 10,812
03/31/96 10,000 10,584
04/30/96 10,000 11,576
05/31/96 10,000 12,024
06/30/96 10,000 11,764
07/31/96 10,000 11,049
08/31/96 10,000 11,529
09/30/96 10,000 12,816
10/31/96 10,000 13,068
11/30/96 10,000 14,496
12/31/96 10,000 14,278
01/31/97 10,000 16,021
02/28/97 10,000 14,787
03/31/97 10,000 13,859
04/30/97 10,000 15,212
05/31/97 10,000 16,676
06/30/97 10,000 16,650
07/31/97 10,000 19,256
08/31/97 10,000 18,686
09/30/97 10,000 19,087
10/31/97 10,000 17,740
11/30/97 10,000 18,278
12/31/97 10,000 17,243
01/31/98 10,000 18,643
02/28/98 10,000 20,785
03/31/98 10,000 21,252
04/30/98 10,000 21,731
05/31/98 10,000 20,756
06/30/98 10,000 23,287
07/31/98 10,000 23,983
08/31/98 10,000 19,859
09/30/98 10,000 23,433
10/31/98 10,000 24,392
11/30/98 10,000 27,136
12/31/98 10,000 31,982
01/31/99 10,000 37,056
02/28/99 10,000 33,542
03/31/99 10,000 36,703
04/30/99 10,000 37,227
05/31/99 10,000 36,417
06/30/99 10,000 40,026
07/31/99 10,000 39,578
08/31/99 10,000 41,776
09/30/99 10,000 41,969
10/31/99 10,000 45,971
11/30/99 10,000 51,712
01/18/00 10,000 10,000
01/31/00 9,380 9,629
02/29/00 11,050 11,509
03/31/00 11,508 11,862
04/30/00 9,866 10,177
05/31/00 8,744 8,966
06/30/00 9,889 10,152
07/31/00 9,498 9,736
08/31/00 10,702 11,000
09/30/00 9,359 9,632
10/31/00 8,602 8,854
11/30/00 6,537 6,762
12/31/00 6,149 6,317
01/31/01 6,791 6,996
02/28/01 4,999 5,149
03/31/01 4,109 4,245
04/30/01 4,843 5,006
05/31/01 4,700 4,857
06/30/01 4,784 4,939
07/31/01 4,386 4,543
08/31/01 3,825 3,967
09/30/01 3,035 3,153
10/31/01 3,546 3,684
11/30/01 4,149 4,308
12/31/01 4,098 4,257
01/31/02 4,037 4,185
02/28/02 3,546 3,670
03/31/02 3,781 3,922
04/30/02 3,321 3,448
05/31/02 3,148 3,263
06/30/02 2,718 2,839
07/31/02 2,504 2,598
08/31/02 2,463 2,545
09/30/02 2,177 2,249
10/31/02 2,575 2,673
11/30/02 2,913 3,015
12/31/02 2,565 2,660
01/31/03 2,555 2,656
02/28/03 2,616 2,730
03/31/03 2,647 2,754
04/30/03 2,872 2,991
05/31/03 3,117 3,240
06/30/03 3,127 3,250
07/31/03 3,311 3,454
08/31/03 3,485 3,629
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2003 1 year Inception
- --------------------------- ------ ---------
CIT Nasdaq-100 Index Fund 41.49% -25.28%
Nasdaq-100 Index 42.57% -24.43%
- --------------------------------------------------------------------------------
5
- ------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2003
MONEY MARKET FUND
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE DEMAND NOTES* (77.98%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series 2002A $ 2,000,000 0.830% 09/04/03 $ 2,000,000
Power Supply Revenue Bonds; Series B4 100,000 0.800% 09/02/03 100,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
Cottage Hospital Santa Barbara 1985 Series B 1,600,000 0.750% 09/04/03 1,600,000
Scripps Hospital; Series B 2,000,000 0.780% 09/03/03 2,000,000
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
ExxonMobil; Series 2000 200,000 0.700% 09/02/03 200,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
Gemological Institute of America; Special Tax Series 2001 2,300,000 0.800% 09/04/03 2,300,000
Sutter Health Variable Rate Bonds 1,600,000 0.750% 09/02/03 1,600,000
CALIFORNIA, STATE OF
General Obligation Bonds; Series 2003C-1 2,000,000 0.850% 09/04/03 2,000,000
CHINO BASIN REGIONAL FINANCING AUTHORITY
Inland Empire Utilities Agency; Series 2002A 1,900,000 0.740% 09/03/03 1,900,000
HAYWARD, CITY OF
Shorewood Apartments; 1984 Series A 3,000,000 0.850% 09/04/03 3,000,000
IRVINE RANCH WATER DISTRICT
Consolidated Refunding Bonds; Series 1985 1,400,000 0.710% 09/02/03 1,400,000
Sewer Bonds; 1988 Series A; District 284 200,000 0.850% 09/02/03 200,000
Sewer Bonds; 1988 Series A; District 282 1,500,000 0.850% 09/02/03 1,500,000
Waterworks Bonds; 1988 Series A, District 182 1,200,000 0.850% 09/02/03 1,200,000
Certificates of Participation; 1986 Capital Improvement Projects 1,300,000 0.850% 09/02/03 1,300,000
IRVINE, CITY OF
Assessment District 93-14 2,100,000 0.850% 09/02/03 2,100,000
Assessment District 94-13 929,000 0.750% 09/02/03 929,000
Assessment District 00-18; Series A 750,000 0.750% 09/02/03 750,000
KERN, COUNTY OF
Tax revenue Refunding Bonds; 1993 Series A 2,500,000 0.850% 09/04/03 2,500,000
Certificates of Participation; 1986 Series C 1,400,000 0.850% 09/03/03 1,400,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power System Revenue Bonds; Series A-3 2,500,000 0.790% 09/04/03 2,500,000
Water System Revenue Bonds; 2001 Series B-2 1,900,000 0.750% 09/02/03 1,900,000
LOS ANGELES, COUNTY OF
Pension Obligation Refunding Bonds 1,800,000 0.740% 09/03/03 1,800,000
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water Revenue Bonds; Series 2001 C-2 500,000 0.750% 09/02/03 500,000
Water Revenue Bonds; Series 2000 B-3 200,000 0.850% 09/02/03 200,000
Water Revenue Bonds, Series 2000 B-1 400,000 0.750% 09/02/03 400,000
Water Revenue Refunding Bonds; 1996 Series A 2,700,000 0.800% 09/04/03 2,700,000
NEWPORT BEACH
Hoag Memorial Hospital Presbyterian, Series 1992 1,000,000 0.760% 09/02/03 1,000,000
NORTHERN CALIFORNIA POWER AGENCY
Hydroelectric Project No. 1; Revenue Bonds 1,500,000 0.740% 09/03/03 1,500,000
ORANGE COUNTY HOUSING AUTHORITY
Revenue Bonds; Village Niguel; Issue AA of 1985 2,900,000 0.800% 09/03/03 2,900,000
ORANGE COUNTY SANITATION DISTRICT
Refunding Certificates of Participation; Series 1993 1,950,000 0.750% 09/02/03 1,950,000
Certificates of Participation; Series 2000-A 300,000 0.750% 09/02/03 300,000
Certificates of Participation; Series 2000 1,100,000 0.750% 09/02/03 1,100,000
ORANGE, COUNTY OF
Revenue Bonds; Niguel Summit II; Issue U of 1985; Series B 1,900,000 0.800% 09/16/03 1,900,000
RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY
Eisenhower Medical Center; Series 2001A 1,500,000 0.760% 09/02/03 1,500,000
Eisenhower Medical Center; Series 2001B 100,000 0.760% 09/02/03 100,000
RIVERSIDE, CITY OF
First Nationwide Savings Program; 1985 Issue G 2,500,000 0.800% 09/03/03 2,500,000
RIVERSIDE, COUNTY OF
Community Facilities District 89-5; Special Tax 3,000,000 0.850% 09/03/03 3,000,000
SAN DIEGO COUNTY WATER AUTHORITY
Water Revenue Certificates of Participation; Series B 2,000,000 0.850% 04/21/11 2,000,000
6
- ------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2003
MONEY MARKET FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
SAN FRANCISCO CITY & COUNTY FINANCE CORP
Moscone Center Expansion Project; Series 2000-3 $ 3,000,000 0.750% 09/04/03 $ 3,000,000
SANTA ANA HOUSING AUTHORITY
Harbor Pointe Apartments; 1995 Series A 2,720,000 0.750% 09/04/03 2,720,000
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
Palo Verde Project; 1996 Series C 2,000,000 0.740% 09/03/03 2,000,000
WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY
Variable Rate Revenue Bonds; 1996 1,800,000 0.750% 09/02/03 1,800,000
------------
Total Variable Rate Demand Notes (Cost $69,249,000) 69,249,000
------------
TAX AND REVENUE ANTICIPATION NOTES (7.95%)
Los Angeles Unified School District 2,000,000 2.000% 07/01/04 2,017,609
San Diego School District 3,000,000 2.000% 06/30/04 3,027,320
San Diego, County of 1,000,000 1.750% 06/30/04 1,006,973
Santa Barbara, County of 1,000,000 2.000% 07/23/04 1,010,603
------------
Total Tax and Revenue Anticipation Notes (Cost $7,062,505) 7,062,505
------------
COMMERCIAL PAPER (14.07%)
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
Carnegie Institution; 1993 Series A & B 3,000,000 0.850% 09/03/03 3,000,000
EAST BAY MUNICIPAL UTILTIY DISTRICT
Water System Series Commercial Paper 3,500,000 0.750% 10/21/03 3,500,000
SAN DIEGO REGIONAL TRANSPORTATION COMMISSION
Sales Tax Revenue Commercial Paper 2,500,000 0.860% 12/02/03 2,500,000
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Commercial Paper Notes; Series A 3,500,000 0.750% 10/07/03 3,500,000
------------
Total Commercial Paper (Cost $12,500,000) 12,500,000
------------
Total Investments (Cost $88,811,505) (a) (100.00%) 88,811,505
Net Liabilities (0.00%) (7,699)
------------
Total Net Assets (100.00%) $ 88,803,806
============
(a) Aggregate cost for federal income tax purposes is $88,811,505.
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
- ------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2003
INTERMEDIATE FUND
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
LONG-TERM SECURITIES (88.55%)
ANAHEIM PUBLIC FINANCING AUTHORITY
Convention Center Project; Series A $ 500,000 5.250% 08/01/13 $ 545,085
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
University of San Francisco Revenue Bonds; Series 1996 500,000 5.600% 10/01/10 564,295
CALIFORNIA STATE PUBLIC WORKS BOARD
Lease Revenue Refunding Bonds, 2001 Series A 500,000 5.250% 06/01/12 545,985
CA State Prison--Lassen County; 2001 Series A 400,000 5.250% 06/01/11 438,676
CALIFORNIA, STATE OF
General Obligation Bonds 600,000 5.750% 12/01/10 683,004
CAMARILLO PUBLIC FINANCE AUTHORITY
Revenue Refunding Bonds; 1999 Series A 500,000 5.000% 12/01/12 540,380
CAMPBELL UNION HIGH SCHOOL DISTRICT
General Obligation Bonds. Series 2000 425,000 5.250% 08/01/09 474,640
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects, Series 1994A 300,000 7.250% 08/01/09 365,661
CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY
General Obligation Refi. Bonds, Series A 400,000 6.150% 02/01/09 460,124
CHAFFEY UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; Series C 725,000 5.000% 05/01/12 783,000
CHICO UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds 400,000 8.500% 08/01/07 490,804
CONTRA COSTA WATER DISTRICT
Water Revenue Refunding Bonds, Series K 400,000 5.000% 10/01/09 442,732
DESERT SANDS UNIFIED SCHOOL DISTRICT
Certificates of Participation, Series 1995 500,000 5.300% 03/01/07 539,900
7
- ------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2003
INTERMEDIATE FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
EASTERN MUNICIPAL WATER DISTRICT
Certificates of Participation; Series A $ 550,000 5.250% 07/01/12 $ 597,960
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT
General Obligation Refunding Bonds 2002 500,000 5.500% 08/01/12 559,140
IMPERIAL IRRIGATION DISTRICT
Certificates of Participation; 1997 Capital Projects 600,000 5.200% 11/01/09 670,014
INTERMODAL CONTAINER TRANSFER FACILITIES JOINT POWERS AUTHORITY
Refunding Revenue Bonds; 1999 Series A 490,000 5.125% 11/01/13 534,046
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY
Sales Tax Revenue Bonds, Series A 500,000 5.500% 07/01/08 563,330
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power Project Revenue Bond; 2001 Series A 500,000 5.250% 07/01/14 537,635
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds, 1997 Series A 400,000 6.000% 07/01/07 454,068
LOS ANGELES, CITY OF
Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.000% 02/01/08 549,285
LOS ANGELES, COUNTY OF
Pension Obligation Certificates; Series A 400,000 6.900% 06/30/08 475,028
MONTEREY, COUNTY OF
Certificates of Participation 600,000 5.250% 08/01/14 645,450
NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; 2002 Series A 500,000 5.000% 08/01/12 540,860
NORWALK COMMUNITY FACILITIES FINANCING AUTHORITY
City Hall Lease Revenue Refunding Bonds; 1999 200,000 5.000% 02/01/09 219,110
OAK PARK UNIFIED SCHOOL DISTRICT
General Obligation, Refunding Bonds 600,000 5.150% 05/01/07 660,978
OAKLAND JOINT POWERS FINANCING AUTHORITY
Convention Centers; Series 2001 500,000 5.500% 10/01/12 559,980
OAKLAND, PORT OF
Revenue Bonds; 2002 Series M 500,000 5.000% 11/01/12 541,720
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.500% 02/15/07 553,815
PASADENA UNIFIED SCHOOL DISTRICT
General Obligation Series B 400,000 5.000% 07/01/07 439,916
PITTSBURG REDEVELOPMENT AGENCY
Los Medanos Community Development Project; Series 2002A 500,000 5.000% 08/01/11 542,765
RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY
Eisenhower Medical Center; Series 1997A 385,000 5.250% 07/01/12 412,512
SACRAMENTO REDEVELOPMENT AGENCY
Downtown Sacramento Project, Series 1998C 500,000 4.750% 11/01/08 548,470
SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY
Sewer Revenue Refunding Bonds, Series A 500,000 5.100% 05/15/10 541,235
SAN FRANCISCO AIRPORT COMMISSION
SF Intl. Airport Revenue, Second Series B 450,000 5.500% 05/01/09 499,064
SAN FRANCISCO CITY & COUNTY REDEVELPMENT FINANCING AUTHORITY
Redevelopment Project; Series B 560,000 5.250% 08/01/14 609,666
SAN FRANCISCO STATE BUILDING AUTHORITY
Civic Center Complex; 1996 Series A 400,000 6.000% 12/01/09 464,788
SAN JOSE FINANCING AUTHORITY
Lease Revenue Bonds Series 2001F 480,000 4.500% 09/01/09 517,656
SAN MATEO COUNTY JOINT POWERS FINANCING AUTHORITY
Lease Revenue Bonds; Series A 510,000 4.000% 07/15/10 527,156
SAN MATEO COUNTY TRANSIT DISTRICT
Limited Tax Bonds; 1993 Series A 300,000 5.000% 06/01/11 325,899
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Bonds, 2000 Series A 400,000 5.500% 05/15/10 448,448
SANTA ROSA HIGH SCHOOL DISTRICT
General Obligation Bonds, Series 2001 390,000 4.625% 05/01/08 423,501
SARATOGA UNION SCHOOL DISTRICT
1997 General Obligation Series A 600,000 4.900% 09/01/09 670,320
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
San Juan Power Project; 2002 Refunding Series A 500,000 5.500% 01/01/13 556,290
Southern Transmission Project; 2002 Series B 500,000 5.000% 07/01/12 540,570
8
- ------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2003
INTERMEDIATE FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Hospital Revenue Bonds, Series 2000 $ 500,000 4.375% 12/01/09 $ 533,980
Multiple Purpose Projects; Series O 500,000 5.750% 09/01/10 570,360
------------
Total Long-Term Securities (Cost $24,014,066) 24,709,301
------------
VARIABLE RATE DEMAND NOTES* (10.39%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series B4 200,000 0.800% 09/02/03 200,000
IRVINE RANCH WATER DISTRICT
Sewer Bonds; Series A 1,300,000 0.850% 09/02/03 1,300,000
Special Assessment; Consolidated Series 1985 100,000 0.750% 09/02/03 100,000
IRVINE, CITY OF
Assessment District 94-13 200,000 0.750% 09/02/03 200,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Water System Revenue Bonds; 2001 Series B-2 1,000,000 0.750% 09/02/03 1,000,000
ORANGE COUNTY SANITATION DISTRICT
Certificates of Participation; Series 2000 100,000 0.750% 09/02/03 100,000
------------
Total Variable Rate Demand Notes (Cost $2,900,000) 2,900,000
------------
Total Investments (Cost $26,914,066) (a) (98.94%) 27,609,301
Other Net Assets (1.06%) 296,443
------------
Net Assets (100.00%) $ 27,905,744
============
(a) Aggregate cost for federal income tax purposes is $26,911,069. At August
31, 2003, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 917,357
Unrealized depreciation (219,125)
------------
Net unrealized appreciation $ 698,232
============
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
- ------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2003
INCOME FUND
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
LONG-TERM SECURITIES (92.28%)
ANAHEIM PUBLIC FINANCING AUTHORITY
Public Improvement Project; Series C $ 2,250,000 6.000% 09/01/12 $ 2,586,195
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.000% 12/01/11 2,073,714
Water System Revenue Bonds, Central Valley J-3; Prerefunded 765,000 7.000% 12/01/11 945,639
Water System Revenue Bonds, Central Valley J-1; Prerefunded 625,000 7.000% 12/01/11 772,581
Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.000% 12/01/11 2,532,500
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.250% 01/01/17 2,640,050
Stanford University Revenue Bonds; Series P 3,000,000 5.250% 12/01/13 3,321,000
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK
Asian Art Museum of San Francisco, Series 2000 2,565,000 5.500% 06/01/13 2,810,111
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
San Diego Gas & Electric; 1996 Series A 3,000,000 5.900% 06/01/14 3,131,340
CALIFORNIA POLYTECHNIC STATE UNIVERSITY
Student Union Revenue Bonds, Series C 2,390,000 5.625% 07/01/26 2,514,806
CALIFORNIA STATE PUBLIC WORKS BOARD
University of California Projects; 1993 Series A 5,000,000 5.500% 06/01/14 5,502,950
CA State Prison--Imperial County; 1991 Series A 4,000,000 6.500% 09/01/17 4,517,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
UniHealth America; Certificates of Participation 1993 Series A 1,005,000 5.500% 10/01/14 1,123,238
CALIFORNIA, STATE OF
General Obligation Bonds 3,000,000 6.250% 09/01/12 3,419,280
CARSON REDEVELOPMENT AGENCY
Redevelopment Project Area No. 1; Series 2001 1,635,000 5.500% 10/01/15 1,829,876
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects, Series 1994A 2,090,000 7.250% 08/01/09 2,547,438
CONTRA COSTA WATER DISTRICT
Water Revenue Bonds, Series E 2,000,000 6.250% 10/01/12 2,324,260
9
- ------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2003
INCOME FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
CUCAMONGA COUNTY WATER DISTRICT
Water Facilities and Refinancing; 2001 $ 1,080,000 5.000% 09/01/16 $ 1,126,937
CULVER CITY REDEVELOPMENT FINANCE AUTHORITY
Tax Allocation Refunding Revenue Bonds, 1993 3,150,000 5.500% 11/01/14 3,530,678
EAST BAY MUNICIPAL UTILITY DISTRICT
Water Revenue Refunding Bonds, Series 2001 2,000,000 5.250% 06/01/13 2,160,460
Water Revenue Refunding Bonds, Series 2001 2,000,000 5.250% 06/01/14 2,149,620
FRESNO UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1999 Series C 1,665,000 5.800% 02/01/16 1,895,786
FRESNO, CITY OF
Sewer System Revenue Bonds ; 1993 Series A 3,000,000 5.250% 09/01/19 3,205,110
GOLDEN WEST SCHOOLS FINANCING AUTHORITY
Refunding Revenue Bonds; 1998 Series A 1,090,000 6.600% 08/01/16 1,298,005
KERN HIGH SCHOOL DISTRICT
General Obligation Refunding Bonds, 1996 Series A 2,555,000 6.600% 08/01/16 2,995,278
LA QUINTA REDEVELOPMENT AGENCY
Redevelopment Project Area No.2; Series 1994 1,015,000 7.300% 09/01/09 1,238,138
LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY
Lease Revenue Bonds, 1993 Series A 2,500,000 6.000% 08/15/10 2,881,625
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY
Sales Tax Revenue Refunding Bonds; Series 2001-B 3,000,000 5.250% 07/01/13 3,264,630
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds, 1991 Series B 3,540,000 6.500% 07/01/10 4,165,447
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power System Revenue Bonds; 2001 Series A, Subseries A-1 3,000,000 5.250% 07/01/13 3,242,700
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds, 1997 Series A 2,450,000 6.000% 07/01/14 2,830,681
LOS ANGELES, CITY OF
Wastewater System Revenue Bonds; Series 1998-C 3,000,000 5.375% 06/01/12 3,322,080
M-S-R PUBLIC POWER AGENCY SAN JUAN PROJECT REVENUE
San Juan Project Refunding Revenue Bonds; Series F 1,500,000 6.125% 07/01/13 1,747,065
NORTHERN CALIFORNIA TRANSMISSION REVENUE
CA-Oregon Transmission Project, 1990 Series A 1,000,000 7.000% 05/01/13 1,224,730
CA-Oregon Transmission Project; 1993 Series A 2,500,000 5.300% 05/01/09 2,788,100
OAKLAND JOINT POWERS FINANCING AUTHORITY
Convention Center; Lease Revenue Bonds 1,000,000 5.500% 10/01/14 1,117,090
OAKLAND REDEVELOPMENT AGENCY
Central District Redevelopment Project; Series 1992 4,000,000 5.500% 02/01/14 4,445,840
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
General Obligation Bonds, 1998 Series A 1,050,000 5.500% 02/15/11 1,171,359
OXNARD SCHOOL DISTRICT
General Obligation Refunding Bonds; 1997 1,485,000 5.625% 08/01/14 1,672,956
RIVERSIDE COUNTY TRANSPORTATION COMMISSION
Revenue Bonds; 1993 Series A 2,000,000 5.750% 06/01/09 2,274,820
RIVERSIDE, CITY OF
Sewer Refunding Revenue Bonds; Series 1993 2,000,000 5.000% 08/01/12 2,163,440
SACRAMENTO COUNTY SANITATION DISTRICT
Revenue Bonds; Refunding Series 2001 1,800,000 5.500% 12/01/21 1,965,744
SACRAMENTO MUNICIPAL UTILITY DISTRICT
Refunding Revenue Bonds; Series A 4,000,000 6.250% 08/15/10 4,663,840
SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH
Special Tax Revenue Bonds, 1996 Series A 1,575,000 6.000% 09/01/16 1,829,347
SAN BERNARDINO, COUNTY OF
Justice Center / Airport Improvements; Series 2002A 2,890,000 5.000% 07/01/16 3,061,464
SAN DIEGO UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1998 Series E 1,500,000 5.000% 07/01/26 1,483,785
SAN DIEGO, COUNTY OF
2001 MTS Tower Refunding Bonds 1,000,000 5.250% 11/01/14 1,077,070
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT
Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.750% 07/01/11 3,539,410
SAN JOSE REDEVELOPMENT AGENCY
Merged Area Redevelopment Project; Series 1993 4,000,000 6.000% 08/01/10 4,608,040
SAN MARINO UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1998 Series B 1,440,000 5.250% 07/01/16 1,569,341
10
- ------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2003
INCOME FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------
SAN MATEO COUNTY TRANSIT DISTRICT
Limited Tax Bonds; 1993 Series A $ 4,000,000 5.250% 06/01/19 $ 4,293,520
SANTA ANA UNIFIED SCHOOL DISTRICT
General Obligation Bonds; Series 2000 2,500,000 5.700% 08/01/22 2,697,700
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.750% 11/15/13 1,990,538
Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.000% 11/15/12 2,315,720
SANTA CLARA REDEVELOPMENT AGENCY
Bayshore North Project; 1992 Tax Allocation Refunding Bonds 4,000,000 7.000% 07/01/10 4,765,080
SANTA MARGARITA-DANA POINT AUTHORITY
Improvement District; 1994 Series A 1,045,000 7.250% 08/01/10 1,282,069
SONOMA, COUNTY OF
Certificates of Participation; 2002 Series A 1,815,000 5.000% 11/15/12 1,960,999
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT
Installment Sale Revenue Bonds; Series 1992 2,400,000 6.000% 08/01/11 2,768,496
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
Multiple Project Revenue Bonds; Series 1989 3,585,000 6.750% 07/01/13 4,297,698
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
UC San Diego Medical Center; Series 2000 2,500,000 5.125% 12/01/16 2,604,273
TURLOCK IRRIGATION DISTRICT
Revenue Refunding Bonds; Series A 2,000,000 6.250% 01/01/12 2,316,280
WESTLANDS WATER DISTRICT
Revenue Certificates of Participation; Series 2002A 1,500,000 5.250% 09/01/19 1,568,910
------------
Total Long-Term Securities ($144,366,341) 159,163,877
------------
VARIABLE RATE DEMAND NOTES* (6.75%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series B4 200,000 0.800% 09/02/03 200,000
Power Supply Revenue Bonds; Series B5 100,000 0.850% 09/02/03 100,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
John Muir/Mt. Diablo Health System 200,000 0.710% 09/02/03 200,000
Sutter Health Variable Rate Bonds 800,000 0.750% 09/02/03 800,000
IRVINE RANCH WATER DISTRICT
General Obligation; Consolidated Series 1993 1,900,000 0.750% 09/02/03 1,900,000
Waterworks Bonds; 1988 Series A, District 182 800,000 0.850% 09/02/03 800,000
Sewer Bonds; Series A 200,000 0.850% 09/02/03 200,000
General Obligation; Consolidated Series 1991 400,000 0.750% 09/02/03 400,000
Special Assessment; Consolidated Series 1985 1,500,000 0.750% 09/02/03 1,500,000
IRVINE, CITY OF
Assessment District 89-10 600,000 0.750% 09/02/03 600,000
Assessment District 94-15 400,000 0.750% 09/02/03 400,000
Assessment District 94-13 1,000,000 0.750% 09/02/03 1,000,000
Assessment District 87-8 1,500,000 0.750% 09/02/03 1,500,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Water System Revenue Bonds; 2001 Series B-2 300,000 0.750% 09/02/03 300,000
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water Revenue Bonds; Series 2000 B-3 600,000 0.850% 09/02/03 600,000
ORANGE COUNTY SANITATION DISTRICT
Certificates of Participation; Series 2000 950,000 0.750% 09/02/03 950,000
Certificates of Participation; Series 2000-A 200,000 0.750% 09/02/03 200,000
------------
Total Variable Rate Demand Notes (Cost $11,650,000) 11,650,000
------------
Total Investments (Cost $156,016,341) (a) (99.03%) 170,813,877
Other Net Assets (0.97%) 1,674,536
------------
Net Assets (100.00%) $172,488,413
============
(a) Aggregate cost for federal income tax purposes is $155,573,483. At August
31, 2003, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 15,293,171
Unrealized depreciation (52,777)
------------
Net unrealized appreciation $ 15,240,394
============
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
11
- --------------------------------------------------------------------------------
U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 8/31/2003
SECURITIES FUND
PAR VALUE RATE MATURITY VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Government National Mortgage Association (30.71%)
$ 352,531 6.000% 04/15/14 $ 367,576
504,782 6.000% 04/15/14 526,325
146,587 7.000% 08/15/14 156,421
548,943 7.000% 08/15/14 585,768
698,831 7.500% 03/15/16 751,284
508,302 6.000% 04/15/16 529,102
576,400 7.500% 04/15/16 619,663
621,873 6.500% 04/15/16 656,860
618,738 6.000% 05/15/16 644,057
364,178 6.500% 08/15/16 384,667
387,757 6.500% 08/15/16 409,573
598,469 7.000% 08/15/16 638,438
969,046 5.000% 04/15/18 980,945
1,090,258 5.000% 04/15/18 1,103,645
11,015 10.000% 09/15/18 12,320
33,847 9.000% 10/15/18 37,555
335,931 7.500% 06/15/31 357,402
538,568 7.500% 09/15/31 572,990
344,601 7.500% 10/15/31 366,623
------------
Total Government National Mortgage Association
(Cost $9,494,384) 9,701,214
------------
United States Treasury Bills (26.89%)
2,500,000 1.140% 09/18/03 2,498,958
4,700,000 0.850% 10/02/03 4,696,475
1,300,000 0.796% 12/11/03 1,296,535
------------
Total United States Treasury Bills (Cost $8,491,968) 8,491,968
------------
United States Treasury Bonds (24.47%)
1,500,000 4.375% 08/15/12 1,500,938
3,000,000 7.250% 05/15/16 3,667,266
2,000,000 7.625% 11/15/22 2,559,610
------------
Total United States Treasury Bonds (Cost $7,708,835) 7,727,814
------------
United States Treasury Notes (17.13%)
4,000,000 3.000% 02/15/08 3,957,656
1,500,000 4.000% 11/15/12 1,454,414
------------
Total United States Treasury Notes (Cost $5,537,984) 5,412,070
------------
Total Investments (Cost $31,233,171) (a) (99.20%) 31,333,066
Other Net Assets (0.80%) 252,355
------------
Net Assets (100.00%) $ 31,585,421
============
(a) Aggregate cost for federal income tax purposes is $31,233,171. At August
31, 2003, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 308,771
Unrealized depreciation (208,876)
------------
Net unrealized appreciation $ 99,895
============
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
THE UNITED STATES PORTFOLIO OF INVESTMENTS 8/31/2003
TREASURY TRUST
PAR VALUE RATE MATURITY VALUE (NOTE 1)
- --------------------------------------------------------------------------------
United States Treasury Bill (100.00%)
$ 4,200,000 0.810% 09/04/03 $ 4,199,651
4,800,000 1.020% 09/11/03 4,798,767
5,300,000 1.140% 09/18/03 5,297,765
4,600,000 1.090% 09/25/03 4,596,743
2,600,000 0.850% 10/02/03 2,598,097
1,100,000 0.860% 10/09/03 1,099,001
2,200,000 1.100% 10/30/03 2,196,809
5,200,000 0.855% 11/20/03 5,190,089
2,000,000 0.796% 12/11/03 1,994,650
3,300,000 0.000% 01/22/04 3,286,965
5,400,000 1.030% 02/05/04 5,376,156
------------
Total Investments (Cost $40,634,693) (a) (100.00%) 40,634,693
Net Liabilities (0.00%) (183)
------------
Net Assets (100.00%) $ 40,634,510
============
(a) Aggregate cost for federal income tax purposes is $40,634,693.
See accompanying notes to financial statements
12
- --------------------------------------------------------------------------------
SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 8/31/2003
GOVERNMENT BOND FUND
PAR VALUE RATE MATURITY VALUE (NOTE 1)
- --------------------------------------------------------------------------------
United States Treasury Bills (22.27%)
$ 1,000,000 0.860% 10/09/03 $ 999,092
3,800,000 0.796% 12/11/03 3,790,149
------------
Total United States Treasury Bills (Cost $4,789,241) 4,789,241
------------
United States Treasury Notes (76.70%)
2,000,000 4.250% 11/15/03 2,012,890
1,000,000 4.750% 02/15/04 1,016,445
1,000,000 3.625% 03/31/04 1,014,688
2,000,000 5.250% 05/15/04 2,056,796
2,000,000 6.000% 08/15/04 2,089,218
1,600,000 7.500% 02/15/05 1,735,626
2,000,000 6.750% 05/15/05 2,167,188
2,000,000 5.625% 02/15/06 2,164,140
2,000,000 6.500% 10/15/06 2,232,812
------------
Total United States Treasury Notes (Cost $16,499,002) 16,489,803
------------
Total Investments (Cost $21,288,243) (a) (98.97%) 21,279,044
Other Net Assets (1.03%) 221,337
------------
Net Assets (100.00%) $ 21,500,381
============
(a) Aggregate cost for federal income tax purposes is $21,288,243. At August
31, 2003, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 21,302
Unrealized depreciation (30,501)
------------
Net unrealized depreciation $ (9,199)
============
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (96.94%)
Banking & Financial Service (19.71%)
ACE Ltd. 2,873 $ 92,511
Aetna Inc. 1,676 95,532
Aflac Inc. 5,077 162,515
Allstate Corp. 7,167 256,220
AMBAC Financial Group 1,155 74,983
American Express Company 13,117 590,921
American International Group 26,003 1,548,999
Amsouth Bancorporation 3,095 66,666
Anthem Inc.* 1,400 102,480
AON Corp. 3,164 70,241
Apartment Investment & Management Co. 900 34,695
Bank of America Corp. 14,931 1,183,282
Bank of New York Co Inc. 7,326 215,531
Bank One Corp. 11,587 457,339
BB&T Corporation 5,730 209,260
Bear Stearns Companies Inc. 1,084 75,858
Capital One Financial Corp. 2,464 131,578
Charter One Financial Inc. 2,565 79,515
Chubb Corp. 1,862 126,504
Cigna Corp. 1,533 73,093
Cincinnati Financial Corp. 1,866 75,293
Citigroup Inc. 51,868 2,248,478
Comerica Inc. 1,912 94,338
Countrywide Credit Ind Inc. 1,184 80,334
Equity Office Properties Trust 4,590 127,694
Equity Residential Properties Trust 2,884 83,867
Fannie Mae 9,765 632,674
Fifth Third Bancorp 5,819 340,993
First Tennesse Ntl., Corp. 1,382 57,146
Fleet Boston Financial Corp. 10,401 307,766
Franklin Resources Inc. 2,829 122,185
Freddie Mac 6,824 362,696
Golden West Financial Corp. 1,679 144,847
Goldman Sachs Group Inc. 4,732 $ 418,735
Hartford Financial Services 2,700 143,694
Huntington Bancshares 1,696 33,920
Jefferson-Pilot Corp. 1,754 77,650
John Hancock Financial Svcs 3,220 98,307
JP Morgan Chase & Co. 20,096 687,685
Keycorp 4,642 126,402
Lehman Brothers Holdings Inc. 2,342 153,940
Lincoln National Corp. 1,799 63,721
Marsh & McLennan Cos 5,212 260,600
Marshall and Isley Corp. 2,304 71,424
MBIA Inc. 1,761 99,426
MBNA Corp. 13,057 304,750
Mellon Financial Corp. 4,816 150,982
Merrill Lynch & Co. 9,358 503,273
Metlife Inc. 6,760 192,119
MGIC Investment Corp. 1,156 65,164
Morgan Stanley Dean Witter & Company 10,930 533,275
National City Corp. 6,628 209,975
North Fork Bancorp 1,791 60,482
Northern Trust Corp. 2,372 100,193
Pinnacle West Capital Corp. 1,114 38,210
PNC Financial Services Group 3,091 147,132
Principal Financial Group 3,797 119,454
Progressive Corp-Ohio 2,404 170,059
Providian Financial Corp.* 4,116 42,189
Prudential Financial Inc. 5,729 208,593
Regions Financial Corp. 2,494 87,938
Safeco Corp. 1,410 50,845
Schwab (Charles) Corp. 14,907 161,890
SLM Corp 4,683 188,163
SouthTrust Corp. 3,438 99,668
St. Paul Companies 2,563 89,090
Starwood Hotels & Resorts Worldwide Inc. 1,936 65,495
State Street Corp. 3,324 146,090
13
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Suntrust Banks Inc. 3,094 $ 189,136
Synovus Financial Corp. 3,382 82,690
T Rowe Price Group Inc. 1,659 70,640
Torchmark Corp. 1,148 46,333
Travelers Property Casualty Corp. 10,157 157,332
U.S. Bancorp 18,998 454,052
Union Planters Corp. 2,193 69,957
UnumProvident Corp. 1,922 27,100
Wachovia Corp. 13,665 575,980
Washington Mutual Inc. 9,707 378,379
Wells Fargo & Company 16,711 837,890
XL Capital Ltd. 1,518 114,989
Zions Bancorporation 1,200 66,840
------------
Total Banking & Financial Service 19,367,885
------------
Capital Good (5.74%)
3M Co. 3,812 543,096
Allied Waste Industries Inc.* 491 5,430
Caterpillar Inc. 3,738 268,501
Cooper Industries Ltd. 1,003 51,043
Cummins Engine 482 24,023
Danaher Corp. 1,630 125,918
Deere & Co. 2,593 146,530
Dover Corp. 2,243 85,279
Emerson Electric Co. 4,153 231,571
Fluor Corp. 907 33,414
General Electric Company 100,329 2,966,729
Grainger (W.W.) Inc. 1,003 49,979
Illinois Tool Works 3,017 218,099
Ingersoll-Rand Co. 1,790 106,541
Johnson Controls Inc. 906 89,694
Molex Inc. 2,073 60,884
Pall Corporation 1,325 33,125
Parker Hannifin Corp. 1,273 63,039
Power-One Inc.* 1,000 11,810
Teradyne Inc.* 2,473 44,094
Thermo Electron Corp.* 740 16,865
Tyco International Ltd. 20,300 417,774
Vulcan Materials Co. 1,192 49,361
------------
Total Capital Good 5,642,799
------------
Consumer Cyclical (8.11%)
American Greetings* 815 15,078
Autozone Inc.* 946 86,843
Bed Bath & Beyond Inc.* 2,882 124,301
Best Buy Co. Inc.* 3,317 172,517
Big Lots Inc* 312 5,710
Black & Decker Corporation 886 37,903
Circuit City Stores-Circuit 2,205 22,998
Cooper Tire & Rubber 907 16,326
Costco Wholesale Corp.* 4,957 159,863
Dana Corp. 1,710 26,368
Delphi Automotive Systems 5,987 54,242
Dillards Inc. - Class A 1,198 18,126
Dollar General Corp. 3,773 86,515
Eaton Corp. 750 70,230
Family Dollar Stores 1,908 76,549
Federated Department Stores 2,316 101,209
Ford Motor Company 17,954 207,548
Gap Inc. 9,475 197,933
General Motors Corp. 5,501 226,091
Genuine Parts Co. 2,055 65,801
Goodrich (B.F.) Co. 1,421 36,989
Goodyear Tire & Rubber Co. 1,878 13,371
Hasbro Inc. 2,183 40,386
Home Depot Inc. 23,266 748,235
ITT Industries Inc. 997 64,885
Kohls Corp.* 3,278 207,334
Limited Inc. 5,944 100,810
Liz Claiborne Inc. 1,176 40,537
Lowe's Companies 7,786 427,140
Marriott International Inc. - Class A 2,604 106,321
Masco Corp. 5,365 132,998
Mattel Inc. 4,007 $ 77,415
May Department Stores Co. 3,114 85,884
Maytag Corp. 1,065 28,862
Newell Rubbermaid Inc. 2,876 68,305
Nike Inc. - Class B 2,928 166,837
Nordstrom Inc. 1,760 45,883
Paccar Inc. 1,273 108,676
Penney (J.C.) Co. 3,183 67,543
RadioShack Corporation 1,813 55,115
Reebok International Ltd. 657 21,977
Sears, Roebuck And Co. 3,432 151,077
Snap-On Inc. 689 20,326
Stanley Works 960 29,059
Target Corporation 8,945 363,167
Tiffany & Co. 1,860 72,391
TJX Companies Inc. 5,853 126,776
Toys R US Inc.* 2,252 30,672
V.F. Corporation 1,419 56,902
Visteon Corp. 2,259 15,248
Wal-Mart Stores Inc. 44,494 2,632,710
Whirlpool Corp. 825 57,404
------------
Total Consumer Cyclical 7,973,386
------------
Consumer Non-Durable (24.93%)
Abbott Laboratories 15,168 611,270
Alberto-Culver Co. - Class B 636 36,302
Albertson's Inc. 3,672 77,185
Allergan Inc. 1,473 117,045
Altria Group Inc. 20,616 849,792
AmerisourceBergen Corp. 1,143 66,534
Anheuser-Busch Companies Inc. 8,643 445,460
Archer-Daniels-Midland Co. 7,123 98,796
Autodesk Inc. 1,124 20,120
Avery Dennison Corp. 1,191 65,207
Avon Products 2,268 145,379
Bard (C.R.) Inc. 642 43,014
Bausch & Lomb Inc. 648 27,320
Baxter International Inc. 5,940 166,914
Becton Dickinson & Co. 2,828 103,335
Biomet Inc. 2,906 86,395
Boston Scientific Corp.* 3,997 240,220
Bristol-Myers Squibb Co. 19,560 496,237
Brown-Forman Corp. - Class B 769 60,782
Brunswick Corp. 1,043 28,140
Campbell Soup Company 4,463 108,004
Cardinal Health Inc. 4,366 248,556
Carnival Corp. 5,710 197,509
Cintas Group 1,853 73,972
Clear Channel Communications* 6,129 276,540
Clorox Company 2,518 107,896
Coca-Cola Co. 24,950 1,085,824
Coca-Cola Enterprises 4,851 89,695
Colgate-Palmolive Company 5,222 288,672
Comcast Corp.* 22,994 684,301
Computer Associates International Inc. 6,322 162,033
Computer Sciences Corp.* 1,723 73,348
Conagra Inc. 5,861 128,942
Concord EFS Inc.* 4,990 69,112
Coors (Adolph) - Class B 388 21,398
CVS Corp. 4,259 138,843
Darden Restaurants Inc. 1,782 38,848
Deluxe Corp. 682 29,121
Disney (Walt) Co 20,250 415,125
Donnelley (R.R.) & Sons Co. 1,658 41,682
Dow Jones & Co. Inc. 1,030 43,744
Eli Lilly & Co. 10,944 728,104
Forest Labs CL A* 3,560 167,320
Fortune Brands Inc. 1,638 92,383
Gannett Co. Inc. 2,613 204,911
General Mills Inc. 3,595 166,664
Gillette Company 10,172 330,183
Guidant Corp. 3,090 155,117
Harrah's Entertainment Inc. 1,220 50,532
14
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
HCA - The Healthcare Company 5,062 $ 192,305
Health Mgmt. Assoc. Cl.A 2,507 55,856
Heinz (H.J.) Co. 3,823 123,712
Hershey Foods Corp. 1,319 92,198
Hilton Hotels Corp. 3,362 51,371
Humana Inc.* 1,779 31,293
IMS Health Inc. 3,128 60,902
International Flavors & Fragrances 1,166 36,729
Interpublic Group Cos. Inc. 4,018 60,873
Johnson & Johnson 29,902 1,482,540
Jones Apparel Group 1,602 49,486
Kellogg Co. 3,931 131,806
Knight Ridder Inc. 1,015 68,878
Kroger Co.* 7,448 143,075
Loews Corp. 2,055 84,584
Manor Care Inc. 1,154 31,850
McCormick & Co. 1,400 37,380
McDonald's Corp. 12,286 275,452
McGraw-Hill Companies Inc. 2,115 129,015
Mckesson HBOC Inc. 3,121 102,182
Medco Health Solutions Inc.* 2,728 72,837
Medimmune, Inc.* 2,310 80,157
Medtronic Inc. 11,913 590,647
Merck & Co., Inc. 22,622 1,138,339
Meredith Corp. 552 26,176
New York Times Co. - Class A 1,654 73,421
Office Depot Inc.* 3,972 72,449
Omnicom Group 1,816 141,830
Paychex Inc. 3,957 142,610
Pepsi Bottling Group Inc. 3,084 74,386
Pepsico Inc. 17,323 771,566
Pfizer Inc. 80,353 2,404,162
Procter & Gamble Co. 13,078 1,141,579
Quest Diagnostics, Inc.* 1,011 60,660
Qwest Communications International* 17,348 77,199
RJ Reynolds Tobacco Hldgs 1,064 36,336
Sabre Holdings Corp. 1,810 40,942
Safeway Inc.* 4,733 115,533
Sara Lee Corp. 7,568 143,641
Schering-Plough Corporation 14,425 219,116
Simon Property Group Inc. 1,811 77,348
ST Jude Medical Inc.* 1,919 99,922
Staples Inc.* 5,056 124,984
Starbucks Corp.* 4,235 120,232
Stryker Corp. 2,143 162,439
Sungard D.S., Inc.* 3,077 86,771
Supervalu Inc. 1,939 46,730
Sysco Corp. 6,498 204,427
Tenet Healthcare Corporation* 3,436 55,148
Tribune Co. 3,040 140,600
Tupperware Corp. 698 11,398
UnitedHealth Group Incorporated 5,914 292,329
Univision Communications, Inc.- Class A* 2,180 81,728
UST Inc. 2,003 66,900
Viacom Inc. - Class B 17,652 794,340
Walgreen Co. 9,764 318,013
Watson Pharmaceutical Inc.* 1,394 57,293
Wellpoint Health Networks* 1,428 111,384
Wendy's International Inc. 1,441 45,464
Winn-Dixie Stores Inc. 1,670 16,784
Wrigley (WM.) JR Co. 2,459 130,450
Wyeth 13,381 573,376
Yum! Brands Inc.* 3,202 94,939
Zimmer Holdings Inc.* 2,187 113,155
------------
Total Consumer Non-Durable 24,495,053
------------
Energy (5.67%)
AES Corp.* 7,142 46,280
Amerada Hess Corp. 1,072 50,545
Anadarko Petroleum Corp. 2,369 103,052
Apache Corp. 1,670 115,197
Ashland Inc 823 27,208
Baker Hughes Inc. 3,644 121,928
BJ Services* 1,527 $ 57,064
Burlington Resources Inc. 2,067 100,084
ChevronTexaco Corp. 10,468 762,803
ConocoPhillips 6,645 371,057
Devon Energy Corporation 2,290 118,508
Dynegy, Inc.* 3,790 11,711
EL Paso Corp. 6,523 47,879
EOG Resources Inc. 1,122 47,573
Exxon Mobil Corp. 67,784 2,555,457
Halliburton Co. 4,752 114,903
Kerr-McGee Corp. 960 42,192
Kinder Morgan, Inc. 1,319 70,237
Marathon Oil Corp. 3,704 103,305
McDermott International Inc.* 640 3,238
Nabors Industries Ltd.* 1,417 56,893
Occidental Petroleum Corp. 4,101 140,787
Rowan Companies Inc.* 884 22,135
Schlumberger Ltd. 5,684 281,415
Sunoco Inc. 1,101 44,734
Transocean Inc.* 3,421 72,252
Unocal Corp. 2,758 84,450
------------
Total Energy 5,572,887
------------
Manufacturing (5.46%)
Air Products & Chemicals Inc. 2,480 117,354
Alcoa Inc. 8,547 244,102
Allegheny Technologies Inc. 1,185 8,828
American Standard Co.* 775 62,147
Applied Materials Inc.* 16,547 357,912
Applied Micro Circuits Corp.* 4,000 23,280
Ball Corp. 682 36,010
Bemis Co. 613 27,751
Boise Cascade Corp. 578 15,751
Cavco Industries Inc.* 33 629
Centex Corp. 660 49,777
Citrix Systems Inc.* 2,280 46,945
Comverse Technology Inc.* 2,372 38,925
Corning Inc.* 11,639 96,022
Crane Co. 632 16,173
Dell Inc.* 25,916 845,380
Dow Chemical Company 9,035 311,979
Du Pont (E.I.) de Nemours & Co. 9,859 441,092
Eastman Chemical Company 859 30,761
Eastman Kodak Co. 3,169 88,383
Ecolab Inc. 2,902 74,843
EMC Corp-Mass* 21,255 271,001
Engelhard Corp. 1,577 44,266
Freeport-McMoran Copper & Gold Inc. 1,414 42,420
Gateway Inc.* 4,420 25,503
Georgia-Pacific Corp. 2,940 68,120
Great Lakes Chemical Corp. 708 15,003
Hercules Inc.* 1,237 13,854
International Game Tech 3,724 96,228
International Paper Co. 4,781 193,870
KB Home 488 27,923
Kimberly-Clark Corp. 5,042 257,697
Leggett & Platt Inc. 2,122 49,146
Louisiana-Pacific Corp.* 1,247 16,398
MeadWestvaco Corp. 2,255 57,164
Millipore Corp.* 523 23,744
Newmont Mining Corp. 4,265 167,444
Novellus Systems Inc.* 1,757 70,210
Nucor Corp. 948 48,737
Pactiv Corporation* 2,123 42,630
Phelps Dodge Corp.* 1,035 49,670
Plum Creek Timber Co. Inc. (REIT) 2,001 52,326
PPG Industries Inc. 1,840 101,034
Praxair Inc. 1,710 109,132
15
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Pulte Homes, Inc. 669 $ 44,529
Rohm & Haas Co. 2,398 87,119
Sealed Air Corp.* 891 43,356
Sherwin-Williams Co./ The 1,867 56,159
Sigma-Aldrich 780 42,697
Temple-Inland Inc. 636 31,660
Textron Inc. 1,524 68,580
United States Steel Corp. 919 16,919
Waters Corp.* 1,409 42,975
Weyerhaeuser Co. 2,379 141,551
Worthington Industries 980 14,798
------------
Total Manufacturing 5,367,907
------------
Service (1.65%)
Apollo Group Inc. - Class A* 1,865 119,491
Automatic Data Processing 5,959 237,824
Autonation Inc.* 2,900 54,491
Block H & R Inc. 1,983 87,450
Cendant Corporation* 10,837 194,849
Convergys Corp.* 2,000 36,000
Equifax Inc. 1,543 35,396
First Data Corp. 7,503 288,115
Fiserv, Inc.* 2,071 80,376
Jabil Circuits, Inc.* 2,500 70,375
Mercury Interactive Corp.* 1,100 48,213
Monster Worldwide Inc.* 1,500 40,860
Moody's Corp. 1,842 95,526
Quintiles Transnational Corp.* 1,300 18,512
Robert Half Intl.* 2,416 53,732
Waste Management Inc. 6,026 160,352
------------
Total Service 1,621,562
------------
Technology (18.43%)
ADC Telecommunications Inc.* 8,684 22,057
Adobe Systems Inc 2,966 115,437
Advanced Micro Devices* 3,138 35,428
Agilent Technologies Inc.* 4,569 111,118
Altera Corp.* 4,041 90,559
American Power Conversion 2,500 44,800
Amgen Inc.* 12,963 854,780
Analog Devices Inc.* 3,851 157,891
Andrew Corp.* 963 11,922
AOL Time Warner Inc.* 43,733 715,472
Apple Computer Inc.* 4,384 99,166
Applied Biosystems Group - Applera Corp 2,828 61,537
AT&T Wireless Services Inc.* 29,463 253,971
Avaya Inc.* 3,678 38,435
Biogen Inc.* 1,607 63,412
BMC Software Inc.* 3,225 47,343
Boeing Co. 8,229 307,682
Broadcom Corp.* 3,000 81,810
Chiron Corp.* 2,056 104,548
Ciena Corp.* 4,300 27,950
Cisco Systems Inc.* 72,296 1,383,745
Compuware Corp.* 5,561 33,477
Ebay, Inc.* 6,114 338,777
Electronic Arts* 1,498 134,446
Electronic Data Systems Corp. 5,220 113,953
Federated Investors Inc. 1,100 32,296
General Dynamics Corp. 1,975 170,067
Genzyme Corp.* 2,274 107,174
Hewlett-Packard Co. 30,125 600,090
Honeywell International Inc. 8,200 237,718
Intel Corp. 65,760 1,880,078
International Business Machines Corp. 17,045 1,397,860
Intuit Inc.* 2,313 105,172
JDS Uniphase Corp.* 17,850 61,583
King Pharmaceuticals Inc.* 3,066 43,077
Kla-Tencor Corp.* 2,282 135,665
Lexmark International Inc.* 1,374 92,113
Linear Technology Corp. 3,335 137,535
Lockheed Martin Corporation 4,417 $ 226,283
LSI Logic Corp.* 5,628 64,947
Lucent Technologies Inc.* 43,182 82,478
Maxim Integrated Products 3,529 158,487
Micron Technology Inc.* 6,477 93,010
Microsoft Corp. 107,970 2,863,364
Monsanto Co. 2,997 77,053
Motorola Inc. 22,973 246,500
National Semiconductor Corp.* 2,073 60,407
Network Appliance Inc.* 4,002 89,485
Nextel Communications Inc.* 10,122 195,658
Northrop Grumman Corp. 1,785 170,432
Novell Inc.* 4,346 21,860
Nvidia Corp.* 1,900 34,523
Oracle Corporation* 53,556 687,123
Parametric Technology Corp.* 672 2,238
Peoplesoft Inc.* 3,878 69,998
PerkinElmer Inc. 1,114 18,426
Pitney Bowes Inc. 2,613 101,907
PMC - Sierra Inc.* 2,150 30,638
Qlogic Corp.* 1,200 58,872
Qualcomm Inc. 7,818 323,118
Raytheon Company 4,338 139,076
Rockwell Automation, Inc. 1,881 51,201
Rockwell Collins 1,954 52,856
Sanmina Corp.* 4,124 37,157
Scientific-Atlanta Inc. 1,698 57,732
Siebel Systems Inc* 5,320 53,732
Solectron Corp.* 10,512 62,336
Sun Microsystems Inc.* 29,805 116,240
Symantec Corp.* 1,500 86,130
Symbol Technologies, Inc. 3,292 44,574
Tektronix Inc.* 1,546 36,547
Tellabs Inc.* 5,486 35,604
Texas Instruments Inc. 17,171 409,528
Thomas & Betts Corp.* 758 12,947
Unisys Corporation* 2,323 30,153
United Technologies Corp. 4,677 375,329
Veritas Software Corp.* 4,915 169,666
Xerox Corp.* 7,311 78,813
Xilinx Inc.* 3,588 110,797
Yahoo Inc* 6,480 216,432
------------
Total Technology 18,103,801
------------
Transportation (1.78%)
Burlington Northern Santa Fe Corp. 4,184 118,616
CSX Corporation 2,297 74,147
Delta Air Lines Inc. 1,874 24,118
FedEx Corporation 2,939 197,207
Harley-Davidson Inc. 2,934 146,172
Janus Capital Group Inc. 2,924 50,497
Navistar International* 734 32,832
Norfolk Southern Corp. 4,212 80,196
Ryder System Inc. 875 26,276
Southwest Airlines 8,241 140,839
United Parcel Service Inc. 10,949 687,159
Union Pacific Corp. 2,738 166,854
------------
Total Transportation 1,744,913
------------
Utility (5.46%)
Allegheny Energy Inc* 1,570 14,554
Alltel Corp. 3,381 154,850
Ameren Corporation 1,719 73,058
American Electric Power 3,883 109,928
AT&T Corp. 7,319 163,213
Bellsouth Corporation 18,959 477,766
Calpine Corp.* 3,690 20,812
Centerpoint Energy Inc. 4,090 34,724
CenturyTel Inc. 1,881 65,384
Cinergy Corp. 1,734 59,336
Citizens Communications Company* 3,500 39,900
CMS Energy Corp. 317 2,114
Consolidated Edison Inc. 2,309 91,275
16
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Constellation Energy Group Inc. 1,631 $ 59,352
Dominion Resources Inc/Va 3,077 186,405
DTE Energy Company 1,656 57,811
Duke Energy Corp 9,034 154,301
Edison International* 3,462 65,293
Entergy Corp. 2,529 132,646
Exelon Corp. 3,120 183,768
FirstEnergy Corporation 3,247 95,007
FPL Group Inc. 1,917 118,585
KeySpan Corporation 1,700 57,375
Mirant Corp.* 4,099 2,910
NCR Corporation* 1,197 34,725
NI Source, Inc. 1,784 34,503
Nicor Inc. 577 19,611
Noble Corp.* 1,760 63,677
Peoples Energy Corp. 436 17,505
PG&E Corp.* 4,198 $ 93,070
PPL Corporation 1,745 69,224
Progress Energy Inc. 2,418 97,905
Public Service Enterprise Group 2,641 111,820
SBC Communications Inc. 33,910 762,636
Sempra Energy 2,248 66,878
Southern Co. 6,835 193,976
Sprint Corp. (FON Group) 9,707 143,372
Sprint Corp. (PCS Group)* 11,740 60,931
Teco Energy, Inc. 2,200 26,026
TXU Corporation 2,910 64,020
Verizon Communications 27,210 961,057
Williams Cos. Inc. 6,979 63,718
XCEL Energy Inc. 4,390 64,314
------------
Total Utility 5,369,335
------------
Total Common Stock (Cost $91,739,732) 95,259,528
------------
Par Value
---------
Short-Term Investments (2.87%)
$ 700,000 United States Treasury Bills 09/18/03 (b) 699,717
1,061,736 First American Prime Obligation Fund 1,061,736
1,061,736 First American Government Obligation Fund 1,061,736
------------
Total Short-Term Investments (Cost $2,823,189) 2,823,189
------------
Total Investments (Cost $94,562,921)
(a) (99.81%) 98,082,717
Other Net Assets (0.19%) 181,308
------------
Net Assets (100.00%) $ 98,264,025
============
* Non- Income Producing Security
(a) Aggregate cost for federal income tax purposes is $94,562,921. At August
31, 2003, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 15,872,421
Unrealized depreciation (12,352,625)
------------
Net unrealized appreciation $ 3,519,796
============
(b At August 31, 2003, certain United States Treasury Bills with a market
value of $399,788 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2003: (Contracts-$250 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
S&P 500 Index:
12/Sept 03/Long $ 66,217
============
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (96.96%)
Banking & Financial Service (18.95%)
Allmerica Financial Corp.* 6,557 $ 155,204
AMB Property Corp. 9,500 270,750
American Fin. Group, Inc. 8,106 177,359
Americredit Corp.* 10,707 114,885
AmerUs Group Co. 4,470 144,068
Associated Banc Corp. 8,806 336,213
Astoria Financial Corp. 9,477 304,591
Bank of Hawaii Corp. 7,048 238,927
Banknorth Group Inc. 18,668 524,571
BB&T Corporation 10,116 369,436
Brown & Brown Inc. 8,000 248,000
Certegy Inc.* 7,612 230,263
Charles River Laboratories* 5,200 185,900
Check Free Corp.* 9,745 223,745
City National Corp. 6,229 322,038
Commerce Bancorp Inc./NJ 8,323 337,082
Compass Bancshares, Inc. 14,792 507,957
E-Trade Group, Inc.* 41,938 387,088
Eaton Vance Corp. 8,806 299,932
Edwards (AG), Inc. 9,188 330,768
Everest Re Group, LTD 6,360 466,188
Fidelity National, Inc. 14,402 416,218
First American Corp. 8,300 200,694
FirstMerit Corp. 9,724 $ 246,309
Gallagher, Arthur J. & Co. 10,291 277,856
Gartner, Inc. Cl B* 9,315 97,249
Greater Bay Bancorp 6,126 126,073
Greenpoint Fin. Corp. 16,849 570,844
HCC Insurance Holdings Inc. 7,603 222,616
Hibernia Corp.- Cl. A 18,146 376,530
Horace Mann Educators 5,085 76,682
Hospitality Properties Trust 6,943 216,205
Independence Community Bank 7,132 235,713
IndyMac Bancorp Inc. 6,377 147,054
Investment Tech., Inc.* 5,920 107,980
Investors Financial Services Corp. 7,880 235,533
LaBranche & Co Inc. 6,641 115,753
Legg Mason, Inc. 7,861 564,656
Liberty Property Trust 8,800 306,504
M&T Bank Corporation 13,678 1,152,235
Mack-Cali Realty Corp. 6,600 242,880
Mercantile Bankshares Corp. 7,952 324,839
Mony Group Inc. 6,040 169,362
National Commerce Financial Corp. 23,729 593,225
Neuberger Berman Inc. 8,078 334,914
New Plan Excel Realty Trust 10,319 235,892
New York Community Bancorp 16,516 508,032
Ohio Causualty Corp.* 8,587 118,500
17
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Old Republic Intl. Corp. 13,949 $ 468,547
PMI Group, Inc./ The 10,432 369,084
Protective Life Corp. 8,518 247,789
Provident Financial Group 6,197 166,080
Radian Group Inc. 11,390 542,050
Roslyn Bancorp, Inc. 9,075 208,634
RSA Security Inc.* 7,178 86,710
SEI Investments Co. 12,213 425,745
Silicon Valley Bancshares* 5,305 124,773
Sovereign Bancorp, Inc. 30,189 594,120
Stancorp Financial Group 3,727 211,284
TCF Financial Corp. 8,525 392,065
United Dominion Realty Trust 12,400 227,168
Unitrin, Inc. 8,487 251,384
Waddell & Reed Financial- Cl. A 8,674 223,356
West America Bancorp 3,868 170,501
Wilmington Trust Corp. 7,574 241,914
WR Berkley Corp. 9,600 317,568
------------
Total Banking & Financial Service 19,664,085
------------
Capital Good (6.22%)
AGCO Corp.* 8,696 192,008
Ametek, Inc. 4,428 185,799
Borg-Warner, Inc. 3,298 234,884
Credence Systems Corp* 7,209 82,831
Donaldson Co. Inc. 5,042 276,806
Dycom Industries* 4,822 109,218
Federal Signal Corp. 5,772 116,017
Flowserve Corp.* 5,630 118,512
Hubbell, Inc. Cl. B 7,280 290,909
Integrated Device Tech, Inc.* 11,249 156,924
International Rectifier Corp.* 7,566 314,670
Intersil Corp - Cl. A* 15,836 458,769
Jacobs Engineering Group* 6,888 322,565
L-3 Communications Holdings* 9,886 505,076
Modine Manufacturing Co. 4,344 107,384
Packaging Corporation Of America* 12,073 243,150
Plexus Corp.* 4,613 76,114
Rayonier, Inc. 4,752 188,322
Republic Services Inc.* 18,916 465,712
SPX Corp.* 9,920 489,552
Stericycle Inc.* 4,700 225,553
Tecumseh Prod. Co. Cl. A 2,522 98,913
Trinity Industries 5,350 140,812
Varian Inc.* 3,900 132,600
Varian Medical Systems Inc.* 7,920 442,332
Vishay Intertech., Inc.* 18,563 305,733
York Intl. Corp. 5,395 174,151
------------
Total Capital Good 6,455,316
------------
Consumer Cyclical (8.21%)
Abercrombie & Fitch Co. Cl. A* 11,219 341,505
Bandag Inc. 2,365 82,728
Barnes & Noble, Inc.* 7,474 195,819
BJ'S Wholesale Club* 9,319 203,527
Cabot Microelectronics Corp.* 2,776 180,967
Callaway Golf Co. 9,890 148,647
Carlisle Cos., Inc. 4,050 184,235
Carmax Inc.* 11,900 458,745
Chico's FAS Inc.* 9,800 318,402
Claire's Stores, Inc. 5,703 197,039
Clayton Homes, Inc.* 15,774 197,175
Copart Inc.* 9,479 95,169
D.R. Horton, Inc. 16,958 527,733
Dollar Tree Stores Inc.* 13,176 516,763
Fastenal Co. 8,728 352,873
Furniture Brands Intl. Inc.* 6,726 192,700
Gentex Corp.* 8,966 336,315
Lear Corp.* 7,551 419,458
Martin Marietta Materials 5,770 220,587
Michaels Stores, Inc. 8,242 374,599
Mohawk Inds. Inc.* 7,706 562,230
Neiman-Marcus Group, Inc.- Cl. A* 6,051 $ 257,773
Payless Shoesource, Inc.* 8,421 124,126
Petsmart Inc.* 16,000 382,400
Pier 1 Imports, Inc. 11,355 233,572
Superior Industries Intl 3,833 165,854
Teleflex, Inc. 4,884 231,648
Timberland Co.- Cl. A* 4,232 198,354
UNIFI, Inc.* 6,208 42,773
VISX, Inc.* 6,630 132,733
Webster Financial Corp. 5,888 229,338
Williams Sonoma, Inc.* 13,482 412,684
------------
Total Consumer Cyclical 8,518,471
------------
Consumer Non-Durable (25.97%)
99 Cents Only Stores* 8,797 315,197
Activision Inc.* 10,324 133,283
AdvancePCS* 10,440 417,913
American Eagle Outfitters* 8,205 140,798
Apogent Technologies Inc.* 11,482 250,767
Applebee's Intl., Inc. 6,400 205,696
Appria Healthcare Group* 6,985 180,912
Banta Corp. 2,890 100,370
Barr Laboratories Inc.* 7,654 517,946
Belo (A.H.) Corp. Sr. A 13,702 319,531
Bisys Group Inc./ The* 14,846 272,424
Bob Evans Farms 4,682 126,929
Brinker International* 11,156 381,535
Brink's Co./The 6,662 108,924
Catalina Marketing Corp.* 6,784 94,365
CBRL Group Inc. 5,748 200,490
Ceridian Corp.* 17,103 332,482
Cheesecake Factory (The)* 6,098 222,210
Church and Dwight 4,797 153,264
Colonial Bancgroup Inc 14,248 208,733
Community Health Systems Inc.* 11,400 262,086
Constellation Brands Inc.- Cl. A* 11,208 322,230
Covance, Inc.* 7,889 164,486
Coventry Health Care, Inc.* 6,900 323,886
Dentsply Intl., Inc. 9,030 395,063
Devry, Inc.* 9,126 236,820
Dial Corp. 11,516 233,429
Dreyer's Grand Ice Cream Holdings Inc. 3,776 291,885
Dun & Bradstreet Corp.* 8,630 363,323
Education Management Corp.* 3,969 242,744
Edwards Lifesciences Corp.* 7,752 220,467
Emmis Communications - Cl. A* 6,332 135,821
Energizer Holdings, Inc.* 10,880 400,166
Entercom Communications Corp.* 5,863 295,085
Express Scripts, Inc.* 8,986 582,383
Extended Stay America Inc.* 11,291 172,414
First Health Group Corp.* 10,978 287,843
Gilead Services, Inc.* 22,761 1,516,110
Glatfelter (P.H.) Co. 5,596 72,356
Gtech Holdings Corp. 6,572 278,521
Harte Hanks, Inc. 11,202 212,837
Health Net Inc.* 13,369 425,535
Henry Schein Inc.* 5,196 299,965
Hispanic Broadcasting Corp.* 12,564 394,510
Hon Inds 7,570 277,970
Hormel Foods Corp. 17,124 369,878
ICN Pharmeceuticals 10,028 175,490
Idec Pharmaceuticals Corp.* 16,175 561,595
Int'l Speedway Corp. Cl. A 6,500 260,650
Interstate Bakeries Corp. 5,815 77,340
IVAX Corp.* 21,317 422,077
JM Smucker Co/The 3,625 146,740
Krispy Kreme Doughnuts Inc.* 6,600 291,258
Lancaster Colony Corp. 4,163 164,439
Lee Enterprises 5,842 229,240
LifePoint Hospitals Inc* 4,889 140,852
Lincare Holdings Inc.* 12,212 422,535
18
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Longs Drug Stores Corp. 4,644 $ 106,348
Mandalay Resorts Group 6,893 261,934
Media General, Inc. Cl. A 2,661 161,283
Miller (Herman), Inc. 8,507 198,894
Millinium Pharmeceuticals* 29,947 416,563
MPS Group Inc.* 11,672 111,468
Mylan Laboratories 21,221 772,444
Noble Energy Inc 7,178 284,177
NSTAR 6,089 271,569
Omnicare, Inc. 10,850 367,815
Outback Steakhouse, Inc. 8,746 338,033
Overture Services Inc.* 7,300 181,989
Oxford Health Plans* 9,636 349,305
Pacificare Health Systems* 4,233 210,803
Park Place Entertainment* 36,719 322,393
Patterson Dental Co.* 8,281 450,404
Perrigo Co. 8,921 125,340
Pharmaceutical Resources Inc.* 3,800 212,572
Price Communications Corp.* 6,829 90,006
Readers Digest Assoc 9,987 121,542
Ross Stores, Inc. 8,984 451,625
Ruby Tuesday, Inc. 7,400 168,498
Ruddick Corp. 5,696 94,497
Saks, Inc.* 16,520 207,987
Sensient Technologies Corp. 6,127 127,441
Sepracor Inc.* 8,651 232,884
Six Flags, Inc.* 10,999 58,845
Smithfield Foods, Inc.* 12,630 255,758
Steris Corp.* 8,728 204,410
Tootsie Roll Industries 6,733 204,279
Triad Hospitals Inc.* 8,774 284,278
Tyson Foods, Inc. Cl. A 40,638 455,145
Universal Corp./VA 2,938 123,102
Universal Hlth Srvs-B* 6,984 347,664
Valassis Communications* 6,023 176,956
Vertex Pharmaceuticals Inc.* 8,356 105,286
Viad Corp. 10,201 243,600
Washington Post, Class B 1,091 759,369
Westwood One, Inc.* 12,221 392,294
Whole Foods Market, Inc.* 6,488 351,974
------------
Total Consumer Non-Durable 26,954,572
------------
Energy (5.42%)
Cross Timbers Royalty Trust 155 3,456
Ensco Intl., Inc. 16,760 468,442
Equitable Resources Inc. 7,098 280,158
Grant Prideco, Inc.* 12,930 149,988
Hanover Compressor Co.* 7,860 81,587
Helmerich & Payne 6,434 188,195
Murphy Oil Corp. 10,730 619,443
National Fuel Gas Co. 9,539 220,828
Patterson-UTI Energy Inc.* 9,914 295,834
Pioneer Nat. Resources* 13,036 330,593
Pride International Inc.* 14,611 249,702
Questar 9,899 317,560
Sequa Corp. Cl. A 1,200 52,680
Smith International, Inc.* 12,358 483,074
Tidewater, Inc. 6,961 199,920
Valero Energy Corp. 13,419 528,709
Weatherford International Ltd.* 14,539 546,376
Western Gas Resources Inc 4,227 165,867
XTO Energy Inc. 20,904 438,775
------------
Total Energy 5,621,187
------------
Manufacturing (9.31%)
Advanced Fibre Communication* 9,295 215,458
Airgas, Inc. 8,422 157,744
AK Steel Holding Corp.* 13,306 35,128
Albemarle Corp. 4,807 134,356
Arch Coal Inc 6,732 154,499
Avocent Corp.* 5,203 151,928
Bowater, Inc. 6,537 283,117
Cabot Corp. 7,129 193,838
Carpenter Technology 2,622 54,590
CDW Corp. 9,734 $ 502,372
Coach Inc.* 10,384 602,687
Cooper Cameron Corp.* 5,609 272,373
Crompton Corp. 13,203 78,030
Cytec Inds.* 4,803 180,064
Dean Foods Co.* 16,254 472,179
Ferro Corp. 4,724 107,377
FMC Corp.* 3,962 98,614
FMC Technologies Inc.* 8,426 199,443
Harsco Corp. 4,726 184,267
Hillenbrand Industries 7,155 387,443
IMC Global, Inc. 14,055 110,051
Kemet Corp.* 10,913 133,793
Kennametal, Inc. 3,729 146,624
Lam Research Corp.* 14,994 385,196
Legato Systems Inc.* 10,377 117,468
Lennar Corp. Cl. A 7,931 533,360
Longview Fibre Co. 7,028 69,085
Lubrizol Corp. 5,928 201,552
Lyondell Chemical Co. 13,944 199,399
Macromedia, Inc.* 7,732 182,939
McData Corp. - Cl. A* 14,037 142,335
Minerals Technology, Inc. 2,844 143,764
National-Oilwell Inc.* 7,883 154,349
Nordson Corp. 4,332 107,737
Olin Corporation 6,294 114,614
Peabody Energy Corp. 6,000 189,900
Pentair, Inc. 5,976 255,773
Plantronics Inc.* 5,006 126,502
Pogo Producing Co. 7,100 326,316
Potlatch Corp. 3,818 112,593
Quantum Corp.* 18,340 55,387
RPM International, Inc. 13,466 183,676
Sonoco Products Co. 12,045 274,265
Storage Tech. Corp.* 12,416 317,974
Toll Bros., Inc.* 8,100 240,732
Valspar Corp. 5,992 278,448
Wausau Mosinee Paper Corp. 7,604 96,951
------------
Total Manufacturing 9,666,290
------------
Service (2.43%)
Alexander & Baldwin, Inc. 5,542 161,106
Career Education Corp.* 10,600 477,424
Corinthian Colleges Inc* 5,000 287,650
Forest Oil Corp.* 5,920 137,640
Kelly Services, Inc. Cl. A 4,702 123,286
ManPower, Inc. 9,550 371,590
Newport Corp.* 3,800 67,906
Rollins, Inc. 6,522 116,939
Scholastic Corp.* 4,258 123,439
Sotheby's Holdings - Cl. A* 7,499 66,591
Tech Data Corp.* 6,981 232,886
United Rentals Inc.* 8,860 149,557
Varco Intl., Inc.* 11,640 200,790
------------
Total Service 2,516,804
------------
Technology (12.20%)
3COM Corp.* 42,705 243,419
Acxiom Corp.* 10,782 174,237
Adtran, Inc. 4,341 238,060
Advent Software Inc* 3,469 58,626
Affiliated Computer Svcs.* 15,333 760,670
Arrow Electronics, Inc.* 12,282 253,500
Arvinmeritor, Inc. 7,997 150,504
Ascential Software Corp.* 7,855 137,463
Atmel Corp.* 52,903 242,296
Avnet, Inc.* 14,332 258,693
Beckman Coulter, Inc. 7,120 315,772
Borders Group* 10,290 199,009
Cadence Design Sys., Inc.* 31,320 445,370
Choicepoint Inc.* 9,920 389,360
Commscope, Inc.* 6,534 67,170
Cree Inc.* 9,273 146,699
CSG Systems International, Inc.* 5,679 88,308
19
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Cypress Semiconductor* 15,343 $ 284,920
Cytyc Corporation* 14,458 189,111
Diebold, Inc. 8,310 406,359
DST Systems, Inc.* 13,774 545,450
Fair Issac Corp. 5,700 334,020
Fairchild Semiconductor International Inc.* 12,809 226,719
Granite Construction, Inc. 5,496 106,952
Harris Corp. 8,432 279,942
Henry (Jack) & Associates 10,167 190,021
Imation Corp. 4,072 146,388
InFocus Corporation* 3,981 20,622
Internet Security Systems* 5,822 72,484
Keane, Inc.* 9,514 140,141
Korn/Ferry International* 4,213 43,183
Lattice Semiconductor Corp.* 13,634 119,979
Leucadia National Corp. 6,964 265,677
LTX Corp.* 5,330 79,470
Macrovision Corp.* 5,453 102,135
Mentor Graphics Corp.* 8,504 172,036
Microchip Technology, Inc. 24,309 680,895
National Instruments Corp. 6,516 258,099
Network Associates, Inc.* 18,706 260,388
Polycom* 12,760 218,962
Powerwave Technologies, Inc.* 8,112 68,546
Precision Castparts Corp 6,576 232,790
Protein Design Labs Inc.* 9,656 118,769
Quanta Services, Inc.* 8,413 80,008
Retek, Inc.* 5,488 39,294
Reynolds & Reynolds Class A 7,765 225,573
RF Micro Devices Inc.* 17,827 157,412
Sandisk Corp.* 7,846 474,291
Semtech Corp.* 8,749 184,604
SICOR Inc* 13,500 267,435
Silicon Laboratories Inc.* 5,700 253,137
Sybase, Inc.* 10,908 184,454
Sylvan Learning Systems, Inc.* 4,683 134,402
Synopsys, Inc.* 8,597 586,401
Titan Corp.* 8,028 129,090
Transaction Systems Archit A* 4,586 65,305
Triquint Semiconductor* 13,659 75,398
Wind River Systems* 8,852 65,947
------------
Total Technology 12,655,965
------------
Transportation (2.28%)
ABX Air Inc.* 5,625 13,219
Alaska Airgroup, Inc.* 3,280 90,495
C.H. Robinson Worldwide, Inc. 10,193 $ 386,417
CNF, Inc. 5,973 177,398
EGL Inc.* 5,272 93,420
Expeditors International Washington Inc. 11,896 447,884
Gatx Corp. 6,261 132,608
Hunt (J.B.) Transportation Svcs., Inc.* 4,943 245,667
Overseas Shipholding Grp 4,244 109,962
PepsiAmericas Inc. 19,122 266,178
Swift Transportation, Inc.* 10,200 217,668
Werner Enterprises, Inc. 7,400 183,372
------------
Total Transportation 2,364,288
------------
Utility (5.97%)
AGL Resources 6,867 191,109
Allete 9,958 266,974
Alliant Energy Corp. 11,012 230,481
Aquila Inc* 13,734 33,236
Black Hills Corp. 3,149 102,059
Blyth Industries, Inc. 5,864 164,661
Cincinnati Bell Inc.* 22,068 124,684
DPL Inc. 15,981 246,906
DQE, Inc. 5,920 87,320
Energy East Corporation 16,749 361,611
Great Plains Energy Inc. 8,336 241,411
Hawaiian Electric Inds 4,090 175,788
Idacorp Inc. 4,559 110,510
MDU Resources Group Inc 7,663 260,159
Micrel, Inc.* 11,204 152,374
Northeast Utilities 16,910 292,036
OGE Energy Corp. 8,991 195,374
Oneok Inc. 7,326 153,773
PNM Resources Inc. 4,907 134,452
Pepco Holdings Inc. 18,918 328,606
Philadelphia Suburban Corp. 7,800 184,470
Puget Energy Inc. 11,084 241,631
SCANA Corp. 13,216 449,344
Sierra Pacific Resources* 9,049 45,516
Telephone & Data Systems 6,809 390,973
Vectren Corp. 8,089 183,620
WGL Holdings Inc. 5,550 149,240
WPS Resources Corp. 3,916 152,019
Westar Energy Inc. 8,985 157,866
Wisc. Energy Corp. 13,382 389,951
------------
Total Utility 6,198,154
------------
Total Common Stock (Cost $86,827,688) 100,615,132
------------
Short-Term Investments (2.89%)
$ 300,000 United States Treasury Bills 09/18/03 (b) $ 299,879
1,351,347 First American Prime Obligation Fund 1,351,347
1,351,347 First American Government Obligation Fund 1,351,347
------------
Total Short-Term Investments (Cost $3,002,573) 3,002,573
------------
Total Investments (Cost $89,830,261)
(a) (99.85%) 103,617,705
Other Net Assets (0.15%) 153,304
------------
Net Assets (100.00%) $103,771,009
============
* Non- Income Producing Security
(a) Aggregate cost for federal income tax purposes is $89,830,261. At August
31, 2003, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 21,103,719
Unrealized depreciation (7,316,275)
------------
Net unrealized appreciation $ 13,787,444
============
(b) At August 31, 2003, certain United States Treasury Bills with a market
value of $299,841 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2003: (Contracts-$500 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
S&P MidCap 400 Index:
12/Sept 03/Long $ 149,817
============
See accompanying notes to financial statements
20
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (93.67%)
Banking & Financial Service (13.04%)
Anchor Bancorp WI, Inc. 1,149 $ 27,576
Bankunited Financial Corp.* 1,300 28,262
Boston Private Financial Holdings Inc. 1,026 23,947
Brookline Bancorp Inc. 2,566 39,234
Capital Automotive REIT 1,265 36,141
Cash American Intl., Inc. 992 17,211
Chittenden Corp. 1,481 42,712
Coinstar Inc.* 1,000 15,350
Colonial Properties Trust 1,009 34,407
Commercial Federal Corp. 2,035 50,468
Community First Bankshares 1,814 51,246
Cullen/Frost Bankers, Inc. 2,590 98,601
Delphi Financial Group, Inc. 943 45,321
Dime Community Bancshares 915 21,777
Downey Financial Corp. 1,262 53,345
East-West Bancorp Inc. 1,086 48,175
Essex Property Trust Inc. 890 55,937
Financial Federal Corp.* 740 23,784
Firstbank Puerto Rico 1,674 51,409
First Midwest Bancorp Inc./IL 2,187 66,704
First Republic Bank 630 19,738
Firstfed Financial Corp* 795 31,562
Flagstar Bancorp Inc. 2,600 50,778
Fremont General Corp. 3,372 43,431
GBC Bancorp/California 440 17,098
Gables Residential Trust 1,068 34,582
Glenborough Realty Trust Inc 1,268 23,268
Hudson United Bancorp 2,083 82,258
Irwin Financial Corp. 1,200 27,012
Jefferies Group, Inc. 2,540 75,438
Kilroy Realty Corp 1,277 35,756
Landamerica Financial Group Inc. 750 34,425
MAF Bancorp, Inc. 1,130 43,166
Macdermid, Inc. 1,240 35,452
Mercury Computer Systems Inc.* 1,210 26,620
NCO Group, Inc.* 1,126 23,871
Oshkosh Truck Corp. 1,840 71,999
PRG-Schultz International Inc.* 2,943 18,541
Philadelphia Consolidated Holding Co.* 991 39,739
Presidential Life Corp. 1,220 19,630
Provident Bankshares Corp. 1,175 33,605
RLI Corp. 1,040 34,278
Raymond James Financial Inc. 2,505 89,604
Riggs Natl Corp. Wash. D.C 1,308 20,588
Scpie Holdings Inc. 600 6,480
SWS Group Inc. 714 13,495
Seacoast Financial Services Corp. 1,100 22,715
Selective Insurance Group 1,077 31,675
Shurgard Storage Centers 1,642 55,335
South Financial Group Inc. 2,058 50,606
Southwest Bancorp Of Texas 1,500 55,440
Staten Island Bancorp Inc. 2,830 58,807
Sterling Bancshares Inc./Tx 2,017 25,192
Stewart Information Services* 570 16,678
Trustco Bank Corp. NY 3,796 48,892
UCBH Holdings Inc. 1,980 63,340
UICI* 2,203 27,538
United Bankshares Inc. 1,949 59,854
Whitney Holding Corp. 1,777 61,751
Wintrust Financial Corp. 800 28,288
Zenith Ntnl. Ins. Corp. 880 25,476
------------
Total Banking & Financial Service 2,415,608
------------
Capital Good (6.38%)
Aeroflex Inc.* 2,640 24,050
Albany Intl. Corp. Cl A 1,428 43,640
Applied Industrial Tech 723 16,376
Astec Industries Inc.* 830 9,321
Audiovox Corp.* 1,050 14,385
Belden, Inc. 894 16,396
Benchmark Electronics. Inc.* 1,109 49,217
Briggs & Stratton 1,103 64,856
Brooks Automation Inc.* 1,547 37,824
CDI Corp. 845 21,505
CTS Corp. 1,248 16,074
Cable Design Tech.* 1,035 7,763
Cymer Inc.* 1,690 77,351
EMCOR Group Inc.* 610 26,883
Exar Corp.* 2,060 33,681
Gardner Denver, Inc.* 840 $ 19,774
Ionics, Inc.* 620 13,640
JLG Industries, Inc. 1,780 18,690
Lawson Products, Inc. 550 15,334
Lindsay Manufacturing Co. 549 12,133
Manitowoc Company, Inc. 1,347 34,416
Massey Energy Co. 2,197 27,792
Milacron Inc. 537 1,203
PAXAR Corp.* 1,675 21,624
Pioneer Standard Elec 1,212 11,744
Polaris Industries, Inc. 1,060 81,896
Radisys Corp.* 620 11,005
Robbins & Myers Inc. 666 15,138
Shaw Group Inc.* 1,260 11,164
Steel Dynamics Inc.* 1,760 28,442
Stewart & Stevenson Svcs 1,250 22,375
Technitrol Inc.* 1,428 28,874
Timken Co. 3,823 63,844
Trimble Navigation Ltd.* 1,167 31,217
Triumph Group Inc.* 680 21,474
URS Corp.* 1,446 33,012
Ultimate Electronics Inc.* 400 5,132
Unisource Energy Corp. Co. 1,290 24,175
Varian Semiconductor Equipment* 1,750 70,998
Vicor Corp.* 1,086 13,304
Wabash Natl. Corp.* 988 17,636
Waste Connections Inc.* 1,170 41,219
Watts Industries Inc. 990 18,176
Woodward Governor Co. 150 7,332
------------
Total Capital Good 1,182,085
------------
Consumer Cyclical (11.56%)
ABM Industries, Inc. 2,200 34,430
Apogee Enterprises, Inc. 1,150 13,064
Aptargroup, Inc. 1,780 69,705
Brown Shoe Company Inc. 821 25,451
Burlington Coat Factory Wrhs 1,930 40,125
Cascade Natural Gas Corp. 520 9,890
Cato Corp. Cl. A 1,108 26,315
Christopher & Banks Corporation* 1,875 55,688
Clarcor, Inc. 974 41,726
Coachmen Industries Inc. 840 10,979
Cost Plus Inc. /California* 790 31,790
Department 56 Inc.* 593 8,243
Dress Barn, Inc.* 1,542 19,892
Dupont Photomasks Inc.* 380 9,732
ElkCorp 805 19,401
Enesco Group Inc.* 600 5,244
Fedders Corp. 1,809 6,965
Footstar, Inc.* 1,067 11,342
Fred's Inc. 1,758 62,849
G & K Services Inc., Cl. A 792 26,176
Griffon Corp.* 1,494 28,162
Group 1 Automotive Inc.* 1,057 39,796
Haggar Corp. 300 4,344
Hancock Fabrics Inc /DE 863 14,688
Haverty Furniture 992 17,221
HOT Topic Inc.* 1,270 44,971
Imagistics International Inc.* 812 23,223
Interface, Inc.* 1,854 10,586
Jakks Pacific Inc.* 820 9,840
Jo-Ann Stores Inc - Cl. A* 866 26,153
K-Swiss Inc - Cl. A 740 29,408
Kellwood Co. 1,165 42,534
Lennox Intl Inc. 2,625 42,420
Linens `N Things* 2,240 64,736
MDC Holdings Inc. 1,491 76,175
Marcus Corp. 1,435 20,363
Midas Inc.* 700 8,750
Monaco Coach Corp.* 1,200 22,284
Movie Gallery Inc.* 1,400 29,988
NVR Inc.* 340 147,390
National Presto Industries Inc. 410 14,986
O'Reilly Automotive, Inc.* 2,648 101,551
Oshkosh B Gosh Inc. - Cl. A 590 14,213
Oxford Industries, Inc. 416 24,794
Pacific Sunwear of Cal* 2,070 69,449
PEP Boys-Manny Moe & Jack 2,013 35,429
PolyMedica Corporation 590 26,562
Prime Hospitality Corp.* 1,801 16,119
Quiksilver Inc.* 2,000 36,300
21
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Reliance Steel & Aluminum 1,695 $ 39,104
Russell Corp. 1,479 28,515
Ryland Group, Inc. 1,260 84,622
Salton Inc.* 500 5,320
School Specialty Inc.* 770 21,676
Shopko Stores, Inc.* 1,170 16,111
Skyline Corp. 400 12,932
Smith (A.O.) Corp. 1,286 46,167
Stein Mart, Inc.* 1,816 10,279
Texas Industries, Inc. 782 19,996
Thor Industries Inc. 1,304 70,664
Too Inc.* 460 7,461
Toro Co. 1,098 51,584
Tower Automotive Inc.* 3,026 13,193
Tractor Supply Co.* 1,596 55,062
Winnebago Industries 850 41,863
Wolverine World Wide, Inc. 1,591 31,979
X-Rite, Inc. 1,236 14,090
------------
Total Consumer Cyclical 2,142,060
------------
Consumer Non-Durable (21.01%)
4 Kids Entertainment Inc.* 480 10,517
Aaron Rents Inc. 1,200 25,176
Accredo Health Inc.* 2,092 49,413
Action Performance Cos Inc. 824 18,350
Advanced Marketing Services 570 5,843
Advanced Medical Optics* 1,227 20,356
Advo, Inc.* 900 39,735
AFC Enterprises* 1,300 21,320
American Italian Pasta Company* 950 39,634
American Medical Systems Holdings* 1,400 29,064
AMERIGROUP Corp.* 900 36,648
Angelica Corp. 393 7,648
Ann Taylor Stores Corp.* 2,298 78,132
Arbitron Inc* 1,585 58,613
Argosy Gaming Co* 1,490 35,984
Aztar Corp.* 1,533 26,444
Bally Total Fitness Holding* 420 4,066
Bowne & Co. Inc. 1,582 22,986
Casey's General Stores Inc. 2,214 34,317
CEC Entertainment, Inc.* 1,523 59,732
Centene Corp.* 750 21,000
Childrens Place* 120 2,491
Ciber, Inc.* 2,254 24,028
Cima Labs Inc.* 600 16,194
Coca-Coca Bottling Co. 463 23,497
Coherent, Inc.* 1,520 39,824
Cooper Cos. Inc. 1,240 45,992
Corn Products Intl. Inc. 1,882 59,339
CPI Corp. 380 6,327
Cross Country Healthcare Inc.* 1,439 22,448
Curative Health Services Inc.* 310 5,317
Datascope Corp. 600 17,820
Diagnostic Products Corp. 1,310 49,649
DIMON Inc. 1,480 10,212
Duane Reade Inc.* 1,100 18,766
eFunds Corp.* 2,220 28,349
Electronics Boutique Holdings* 1,106 36,752
Fleetwood Enterprises* 1,410 15,510
Flowers Foods Inc. 1,950 41,282
Fossil Inc.* 1,845 51,752
Genesco Inc.* 850 14,935
Global Imaging Systems Inc.* 900 23,139
Global Payments Inc. 1,852 69,913
Goody's Family Clothing Inc. 1,499 14,525
Great Atlantic & Pacific Tea Co.* 1,919 18,365
Gymboree Corp.* 1,008 16,420
Haemonetics Corp/Mass* 1,000 21,210
Hain Celestial Group Inc.* 1,390 27,244
Harland, John H. Co. 1,100 27,709
Harman International 1,560 155,454
Heidrick & Struggles Int'l.* 780 14,555
Hologic Inc.* 887 14,636
Idexx Laboratories Inc.* 1,525 63,455
IHOP Corp. 912 32,139
Instituform Tech. CL A* 1,170 20,697
Int'l. Multifoods, Inc.* 630 15,756
Invacare Corp. 1,640 62,271
J Jill Group Inc.* 900 13,491
J&J Snack Foods Corp.* 480 16,853
j2 Global Communications Inc.* 502 $ 31,485
Jack in the Box Inc.* 2,144 45,431
Lance, Inc. 1,220 12,273
Landry's Restaurant Inc. 1,282 27,371
Lone Star Steakhouse 970 20,981
Manhattan Associates Inc.* 1,110 32,889
Medicis Pharmaceutical - Cl. A 1,228 75,006
Mens Wearhouse, Inc.* 2,090 58,834
Mentor Corp./Minn 1,842 42,569
MGI Pharma Inc.* 1,326 51,210
MID Atlantic Medical Svcs* 2,136 104,792
Nash-Finch Co. 550 8,800
Natures Sunshine Prod., Inc. 831 7,039
Nautilus Group Inc. 1,400 16,380
NBTY, Inc.* 3,045 80,540
NDCHealth Corp 1,863 39,458
New England Bus. Srvc 564 16,976
Noven Pharmaceuticals Inc.* 940 10,490
O'Charleys Inc.* 590 10,006
Odyssey HealthCare Inc.* 1,053 32,211
On Assignment Inc.* 710 3,408
Orthodontic Centers of America* 2,091 14,595
Osteotech Inc.* 773 8,511
Owens & Minor Inc. 1,321 30,779
Panera Bread Co.- Cl. A* 1,323 58,410
Papa Johns Int'l., Inc.* 800 20,160
Parexel Intl. Corp.* 840 14,162
Pediatrix Med. Grp., Inc.* 1,230 55,006
Penford Corp. 400 5,364
Performance Food Group Co.* 1,910 74,891
PF Chang's China Bistro Inc.* 1,116 51,894
Phillips-Van Heusen 1,301 19,775
Pinnacle Entertainment Inc.* 1,215 7,460
Possis Medical Inc.* 800 14,896
Prepaid Legal Srvs., Inc.* 840 18,833
Priority Healthcare Corp B* 2,430 51,322
Province Healthcare Co.* 975 14,011
Radiant Systems Inc.* 280 1,509
Ralcorp Holdings, Inc.* 1,170 33,251
Rare Hospitality International Inc.* 870 33,173
Regis Corp. 2,232 77,205
RehabCare Group Inc.* 200 3,160
Renal Care Group, Inc.* 2,161 78,466
Republic Bancorp 2,500 34,350
Resmed Inc.* 1,690 73,177
Respironics* 1,752 72,988
Russ Berrie & Co., Inc. 906 32,716
Ryan's Family Steak Houses, Inc.* 2,086 27,911
Savient Pharmaceuticals Inc.* 2,224 9,786
Schweitzer-Mauduit Int'l., Inc. 543 13,113
Shuffle Master Inc* 780 22,589
Sierra Health Srvs., Inc.* 1,072 20,915
Sola International* 807 13,800
Sonic Corp.* 1,782 41,698
Standard Register Co. 1,100 19,635
Steak N Shake Co./The* 1,277 18,453
Stride Rite Corp. 1,410 14,622
Sunrise Assisted Living Inc.* 890 22,214
Sybron Dental Specialties Inc.* 1,583 37,897
Thomas Nelson Inc.* 657 8,048
Triarc Co. 940 29,375
United Stationers Inc.* 1,800 73,152
Urban Outfitters Inc.* 900 44,127
Vital Signs, Inc. 595 16,357
Volt Info Sciences, Inc.* 830 14,525
Wet Seal Inc.* 1,100 12,331
------------
Total Consumer Non-Durable 3,892,055
------------
Energy (4.93%)
Ashworth Inc.* 600 4,433
Atwood Oceanics, Inc.* 550 13,750
Brown (Tom) Inc.* 1,990 54,705
Cabot Oil & Gas Corp. 1,225 33,014
CAL Dive International Inc.* 1,420 30,033
Cimarex Energy Co.* 1,845 40,129
Dril-Quip* 800 15,016
Energen Corp. 1,340 47,811
Evergreen Resources, Inc.* 770 43,020
Frontier Oil Corp 1,220 18,800
Hydril Co.* 1,000 23,400
22
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Input/Output, Inc.* 1,804 $ 7,974
Lone Star Technologies, Inc.* 260 4,355
Maverick Tube Corp.* 1,700 28,883
New Jersey Resources Corp. 1,497 54,042
Newfield Exploration Co.* 2,422 95,160
Northwest Natural Gas Co. 1,027 29,259
Oceaneering International, Inc.* 978 24,039
Patina Oil & Gas Corp. 1,288 47,720
Plains Resources, Inc.* 1,097 14,930
Prima Energy Corp.* 520 13,364
St. Mary Land & Exploration 1,136 32,149
Seacor Smit Inc.* 1,130 44,432
Southern Union Company* 3,144 53,008
Southwest Gas Corp. 1,282 28,960
Spinnaker Exploration Co.* 1,500 33,330
Stone Energy Corp.* 1,280 49,536
Veritas DGC Inc.* 710 6,489
W-H Energy Services Inc.* 1,200 22,380
------------
Total Energy 914,121
------------
Manufacturing (13.46%)
Actel Corp.* 910 26,663
Acuity Brands Inc. 1,903 34,083
Adaptec Inc.* 4,403 32,186
Alpharma, Inc. Class A 1,994 41,814
Applica Inc.* 1,000 7,840
Arch Chemicals Inc. 1,000 21,420
Arctic Cat, Inc. 1,301 28,414
Arqule Inc* 1,000 4,100
AT Cross Co.* 700 4,235
Baldor Electric Co. 1,486 33,019
Barnes Group, Inc. 802 20,251
Bell Microproducts Inc.* 900 6,471
Brady Corp. - Cl. A 1,256 44,739
Brush Engineered Materials 670 6,003
Buckeye Tech, Inc.* 1,414 11,100
Building Material Holding Corp 596 7,188
Butler Manufacturing 373 5,491
CACI International Inc.- Cl. A* 1,240 55,316
Cambrex Corp. 1,320 27,918
CARBO Ceramics Inc. 693 26,854
Caraustar Industries, Inc.* 990 8,445
Carreker Corporation* 1,000 4,980
Castle (A.M.) & Co.* 829 4,012
Century Aluminum Company 800 7,400
Champion Enterprises, Inc.* 1,554 11,267
Chesapeake Corp. 550 13,090
Cleveland Cliffs, Inc.* 320 8,288
Commercial Metals Co. 1,260 24,923
Commonwealth Industries Inc. 700 3,535
Concord Camera Corp.* 1,200 14,376
Conmed Corp.* 1,310 27,864
Cuno Incorporated* 670 28,234
Curtiss-Wright Corp. 467 31,756
Delta & Pine Land Co. 1,496 37,250
Deltic Timber Corp. 590 19,010
Electro Scientific Inds., Inc.* 1,434 29,096
Esterline Technologies Corp.* 780 15,413
Ethan Allen Interiors, Inc. 1,778 68,825
FEI Company* 1,452 39,901
Flir Systems Inc.* 1,340 35,188
Factset Research Sys. Inc. 1,700 82,535
Florida Rock Inds 1,545 80,263
Fuller (H.B.) Corp. 1,251 33,139
Georgia Gulf Corp. 1,370 30,620
Gerber Scientific, Inc.* 801 5,863
Huffy Corp.* 700 5,145
ICU Medical Inc.* 700 20,580
Idex Corp. 1,630 63,211
Intermagnetics General Corp* 540 13,133
Intermet Corp. 1,323 5,054
K2, Inc.* 669 11,968
Kaydon Corp. 1,288 33,114
Kopin Corp.* 2,510 21,862
Kronos, Inc.* 992 57,331
Kulicke & Soffa Ind.* 1,874 22,001
La-Z-Boy, Inc. 2,673 59,742
Libbey Inc. 640 17,605
Lydall, Inc.* 745 8,568
Magnetek, Inc.* 190 961
Material Sciences Corp. 808 8,177
Meade Instruments Corp.* 900 $ 2,925
Methode Electronics CL A 1,613 19,437
Midway Games Inc.* 1,517 4,081
Mobile Mini Inc* 640 12,422
Mueller Industries* 1,958 56,547
Myers Industries, Inc. 1,258 13,209
Network Equip. Tech., Inc.* 1,000 9,270
OM Group, Inc.* 1,012 13,642
Omnova Solutions Inc.* 1,410 5,457
Pericom Semiconductor Corp.* 470 4,911
PolyOne Corp. 5,087 22,485
Pope & Talbot, Inc. 1,121 14,405
QRS Corp.* 510 4,361
Quaker Chemical Corp. 421 10,293
Quanex Corp. 619 21,634
RTI International Metals, Inc.* 720 7,560
Regal-Beloit 1,174 26,556
Regeneron Pharm.* 2,249 34,207
Rock-Tenn Co.- Cl. A 1,568 25,323
Roper Industries, Inc. 1,638 69,910
Roto-Rooter Inc. 411 15,836
Roxio Inc.* 634 6,182
Ryerson Tull, Inc. 1,050 9,125
SBS Technologies Inc.* 630 7,308
SPS Technologies, Inc.* 600 27,018
Schulman (A.), Inc. 1,300 20,826
Scotts Company (The) - Cl. A* 1,344 76,044
Simpson Manufacturing Co. Inc.* 980 46,648
Skywest, Inc. 2,952 51,601
Standard Motor Products 578 5,647
Standard Pacific Corp. 1,484 52,741
Standex International Corp. 564 12,916
Sturm Ruger & Co., Inc. 1,223 13,661
Susquehanna Bancshares Inc. 2,040 53,774
Thomas Industries Inc. 680 18,904
Tredegar Corp. 1,643 26,863
Universal Forest Products 881 21,733
Valmont Industries 1,037 22,057
W D-40 Co. 826 24,078
WMS Industries Inc.* 1,310 31,375
Watsco, Inc. 1,025 18,963
Wellman, Inc. 1,340 10,854
Wolverine Tube, Inc.* 407 1,872
Zale Corp.* 1,564 79,686
------------
Total Manufacturing 2,493,177
------------
Service (3.87%)
Administaff Inc.* 430 4,428
Avid Technology Inc* 1,259 62,572
Bassett Furniture Inds 637 8,867
Central Parking Corp. 1,429 21,721
Hilb, Rogal & Hamilton Co . 1,440 43,200
Hooper Holmes Inc. 2,280 15,481
Hughes Supply, Inc. 979 34,755
IMCO Recycling, Inc.* 930 6,863
ITT Educational Services Inc.* 2,550 110,543
Insurance Auto Auctions Inc.* 580 7,204
Kroll Inc.* 1,419 35,305
Labor Ready Inc.* 1,892 17,539
Maximus Inc.* 1,130 40,477
Memberworks Inc.* 530 19,133
SCP Pool Corp.* 1,005 41,205
Spherion Corporation* 2,363 16,423
Startek Inc. 610 21,716
TBC Corp.* 973 21,104
Tetra Technologies, Inc.* 891 20,048
Tetra Tech Inc.* 2,633 50,343
US Oncology Inc.* 3,770 29,972
United Natural Foods Inc.* 825 24,544
Watson Wyatt & Co Holdings* 1,400 32,354
Waypoint Financial Corp 1,711 31,773
------------
Total Service 717,570
------------
Technology (14.16%)
ATMI Inc.* 1,230 34,414
Advanced Energy Industries* 1,700 40,902
Alliance Semiconductor Corp.* 1,590 9,015
Alliant Techsystems, Inc.* 1,688 85,987
American Healthways Inc.* 689 24,170
American Mgmt. Systems* 2,241 32,157
Amsurg Corp.* 900 27,180
23
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Analogic Corp. 586 $ 29,886
Anixter Intl.* 2,151 48,892
Ansys Inc.* 677 23,966
Armor Holdings Inc* 1,353 20,511
Artesyn Technologies Inc.* 780 6,278
Arthrocare Corp.* 950 15,998
Axcelis Technologies Inc.* 4,218 36,697
BEI Technologies Inc. 590 9,534
Barra Inc.* 1,100 44,044
Bel Fuse Inc.- Cl. B 400 10,684
Biosite Inc.* 677 31,413
Black Box Corporation 990 46,629
Brooktrout Inc.* 650 4,875
C&D Technologies Inc. 1,110 22,133
C-COR.net Corporation* 1,210 6,582
Captaris Inc.* 1,740 8,578
Catapult Communications Corp.* 470 6,256
Cephalon, Inc.* 2,051 90,962
Cerner Corp.* 1,848 65,253
Checkpoint Systems, Inc.* 1,184 19,062
Cognex Corp. 2,399 73,553
Cohu Inc. 740 16,354
Concerto Software Inc.* 500 4,430
Concord Communications Inc.* 800 10,312
Consolidated Graphics* 549 13,577
Cryolife Inc.* 320 1,792
Cubic Corp. 1,200 31,644
DRS Technologies Inc.* 670 17,420
DSP Group, Inc.* 1,213 33,018
Dendrite Intl. Inc.* 1,440 20,952
Digi International Inc.* 900 5,733
Dionex Corp.* 990 38,788
ESS Technology* 2,350 24,674
EDO Corp. 670 13,748
EL Paso Electric Co.* 1,780 19,847
Engineered Support Systems Inc. 750 43,995
Enzo Biochem, Inc.* 1,447 25,757
Filenet Corp.* 1,398 29,484
Gencorp Inc. 1,430 14,672
General Communication - Cl. A* 2,232 19,084
Harmonic Inc.* 2,540 10,922
Helix Technology Corp. 1,025 18,819
Hutchinson Technology* 1,030 32,558
Hyperion Solutions Corp.* 1,535 50,624
Inamed Corp.* 992 73,248
Information Holdings Inc.* 930 16,191
Insight Enterprises* 2,150 38,657
Integra LifeSciences Holdings Corp.* 1,200 32,412
Inter Tel, Inc. 1,074 27,247
Invision Technologies Inc.* 700 17,612
Itron, Inc.* 683 14,063
Kaman Corp.- Cl. A 850 10,965
Keithley Instruments Inc. 300 4,788
MRO Software Inc* 740 9,672
Mapinfo Corp.* 700 8,428
Metro One Telecommunications* 370 1,480
Micro Systems Inc.* 740 27,062
Microsemi Corp.* 290 5,733
Netegrity Inc.* 1,000 9,670
NYFIX Inc.* 580 3,619
PC-Tel Inc.* 900 10,224
Park Electrochemical Corp. 869 19,917
Pegasus Solutions Inc.* 920 13,294
Pharmaceutical Product Dev.* 2,740 69,897
Phoenix Technologies Ltd.* 1,070 6,762
Photon Dynamics Inc.* 781 25,312
Photronics, Inc.* 1,589 38,581
Pinnacle Systems Inc.* 2,130 19,319
Planar Systems Inc.* 1,110 26,662
Power Integrations Inc.* 1,287 41,416
Progress Software Corp.* 1,390 28,565
Rainbow Technologies Inc.* 710 5,645
Rogers Corp.* 620 $ 19,536
Rudolph Technologies Inc* 60 1,329
SCM Microsystems Inc.* 700 4,465
SPSS Inc.* 620 12,022
Serena Software Inc.* 1,890 36,666
Skyworks Solutions Inc.* 5,732 65,116
Sourcecorp* 630 16,430
Standard Microsystems Corp.* 650 13,046
Steel Technologies Inc 443 5,316
Supertex Inc.* 430 7,964
SurModics Inc.* 210 7,048
Symmetricom, Inc.* 931 6,024
System & Computer Tech Corp.* 1,330 14,630
THQ Inc.* 1,585 24,837
Take-Two Interactive* 1,760 52,395
Talx Corp. 1,200 25,393
Techne Corp.* 1,905 63,894
Teledyne Technologies Inc.* 1,370 20,893
Theragenics Corp.* 940 4,183
Three-Five Systems Inc.* 370 2,886
Tollgrade Communications Inc.* 550 9,686
Ultratech, Inc.* 853 25,018
Veeco Instruments Inc.* 430 9,181
Verity Inc.* 1,210 14,423
Viasat Inc.* 890 14,160
Viasys Healthcare Inc.* 1,094 24,177
Websense Inc.* 945 22,491
Zebra Tech Corp.- Cl. A* 2,169 116,302
Zix Corporation* 650 2,373
------------
Total Technology 2,622,140
------------
Transportation (2.62%)
AAR Corp.* 1,243 9,955
Arkansas Best Corp 1,141 31,423
Atlantic Coast Airlines Holdings Inc.* 2,240 17,898
Forward Air Corporation* 790 23,984
Frontier Airlines Inc.* 1,250 20,000
Heartland Express, Inc.* 2,660 67,963
Kansas City Southern Industries Inc.* 2,380 28,917
Kirby Corp.* 1,171 34,193
Knight Transportation Inc.* 1,600 43,920
Landstar System, Inc.* 810 49,985
Mesa Air Group Inc.* 1,290 15,312
Offshore Logistics* 836 17,857
Roadway Corp. 880 41,140
USF Corp. 1,395 44,487
Yellow Corp.* 1,336 37,461
------------
Total Transportation 484,495
------------
Utility (2.64%)
American States Water Co. 745 18,640
Atmos Energy Corp. 1,898 46,215
Avista Corp. 2,050 31,919
Boston Communications Group* 590 7,936
CH Energy Group Inc. 915 40,489
Cleco Corporation 2,119 33,141
Central Vermont Public Service Corp 537 11,588
Green Mountain Power Corp. 200 4,274
Laclede Group Inc/The 871 23,848
NUI Corp. 440 7,062
Nuevo Energy Co.* 790 14,307
Piedmont Natural Gas Co. 1,542 59,675
Remington Oil & Gas Corp.* 1,197 22,252
Southwestern Energy Co.* 1,352 24,552
Swift Energy Co.* 430 5,547
UGI Corp. 1,680 51,324
UIL Holdings Corp. 625 22,531
Unit Corp.* 1,650 35,574
Vintage Petroleum, Inc. 2,586 28,911
------------
Total Utility 489,785
------------
Total Common Stock (Cost $14,640,082) 17,353,096
------------
24
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Par Value
---------
Short-Term Investments (6.29%)
$ 300,000 United States Treasury Bills 09/18/03 (b) $ 299,879
432,976 First American Prime Obligation Fund 432,976
432,976 First American Government Obligation Fund 432,976
------------
Total Short-Term Investments (Cost $1,165,831) 1,165,831
------------
Total Investments (Cost $15,805,913)
(a) (99.96%) 18,518,927
Other Net Assets (0.04%) 6,795
------------
Net Assets (100.00%) $ 18,525,722
============
* Non- Income Producing Security
(a) Aggregate cost for federal income tax purposes is $15,805,913. At August
31, 2003, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 4,025,640
Unrealized depreciation (1,312,626)
------------
Net unrealized appreciation $ 2,713,014
============
(b) At August 31, 2003, certain United States Treasury Bills with a market
value of $99,947 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2003: (Contracts-$500 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
Russell 2000 Stock Index:
4/Sept 03/Long $ 29,025
============
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2003
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (86.43%)
Banking & Financial Service (26.94%)
Bank & Bank Holding Company (9.94%)
Bank of America Corp. 3,400 $ 269,450
Citigroup Inc. 7,200 312,120
Fifth Third Bancorp 1,100 64,460
M&T Bank Corporation 500 42,120
Wells Fargo & Company 5,750 288,305
------------
976,455
------------
Financial Company (0.76%)
National Commerce Financial Corp. 3,000 75,000
Financial Service (1.05%)
MBNA Corp. 4,400 102,696
Insurance (8.77%)
Aetna Inc. 1,300 74,100
American International Group 3,079 183,416
Fidelity National Fin., Inc. 1,875 54,188
Marsh & McLennan Cos 5,200 260,000
Metlife Inc. 3,800 107,996
Stancorp Financial Group 2,000 113,380
XL Capital Ltd. 900 68,175
------------
861,255
------------
Real Estate (6.42%)
AMB Property Corp. 1,700 48,450
Annaly Mortgage Management, Inc. 5,400 102,816
Boston Properties Inc. 1,300 55,835
Istar Financial, Inc. 2,700 98,982
Kimco Realty Corp. 1,450 60,436
Mills Corp. 2,700 100,926
Realty Income Corp. 2,700 106,596
SL Green Realty Corp. 1,600 56,272
------------
630,313
------------
Total Banking & Financial Service 2,645,719
------------
Capital Good (2.40%)
Conglomerate (0.72%)
3M Co. 500 71,235
Machinery-Industry (0.95%)
Caterpillar Inc. 1,300 93,379
Pollution Control (0.73%)
Donaldson Co. Inc. 1,300 $ 71,370
------------
Total Capital Good 235,984
------------
Consumer Cyclical (10.88%)
Auto & Truck (0.52%)
ITT Industries Inc. 780 50,762
Housing (1.17%)
Masco Corp. 2,700 66,933
Stanley Works 1,600 48,432
------------
115,365
------------
Retail-General (8.45%)
Central Garden and Pet Co.* 400 11,116
Family Dollar Stores 1,300 52,156
Gap Inc. 4,000 83,560
Lowe's Companies 4,000 219,440
Sears, Roebuck And Co. 1,600 70,432
Target Corporation 3,900 158,340
TJX Companies Inc. 4,000 86,640
Wal-Mart Stores Inc. 2,500 147,925
------------
829,609
------------
Textile & Apparel (0.74%)
Liz Claiborne Inc. 2,100 72,387
------------
Total Consumer Cyclical 1,068,123
------------
Consumer Non-Durable (15.41%)
Apparel (0.67%)
Ross Store, Inc. 1,300 65,351
Business Service (0.56%)
Dial Corp. 2,700 54,729
Communications & Media (2.42%)
McGraw-Hill Companies Inc. 3,900 237,900
Cosmetics & Soap (1.11%)
Clorox Company 900 38,565
Procter & Gamble Co. 800 69,832
------------
108,397
------------
Drugs (3.23%)
AmerisourceBergen Corp. 1,980 115,256
Baxter International Inc. 7,200 202,320
------------
317,576
------------
Entertainment & Leisure (1.96%)
McDonald's Corp. 8,600 192,812
25
- --------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2003
CONTINUED
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Food, Beverage & Tobacco (3.81%)
Fortune Brands Inc. 1,300 $ 73,320
RJ Reynolds Tobacco Hldgs 1,300 44,395
Simon Property Group Inc. 1,600 68,336
Tyson Foods, Inc. Cl. A 11,300 126,560
Vornado Realty Trust 1,300 61,295
------------
373,906
------------
Hospital Supply & Service (0.55%)
Omnicare, Inc. 1,600 54,240
Liquor (1.10%)
Anheuser-Busch Companies Inc. 2,100 108,234
------------
Total Consumer Non-Durable 1,513,145
------------
Energy (12.42%)
Energy Raw Materials (0.55%)
Baker Hughes Inc. 1,600 53,536
Miscellaneous (0.50%)
Valero Energy Corp. 1,252 49,329
Oil & Gas - Domestic (4.33%)
Apache Corp. 1,450 100,021
ConocoPhillips 4,291 239,609
Devon Energy Corporation 1,642 84,974
------------
424,604
------------
Oil & Gas - International (5.89%)
ChevronTexaco Corp. 2,400 174,888
Exxon Mobil Corp. 9,380 353,626
GlobalSantaFe Corp 2,000 49,600
------------
578,114
------------
Oil & Gas - Service (1.15%)
Ensco Intl., Inc. 2,400 67,080
Tidewater, Inc. 1,600 45,952
------------
113,032
------------
Total Energy 1,218,615
------------
Manufacturing (6.57%)
Building & Housing (1.77%)
Lennar Corp. 1,300 87,425
Pulte Corp. 1,300 86,528
------------
173,953
------------
Chemical (1.24%)
Praxair Inc. 1,300 82,966
Sherwin-Williams Co. 1,300 39,104
------------
122,070
------------
Consumer Durable (1.42%)
Coach Inc.* 1,600 $ 92,864
Leggett & Platt Inc. 2,000 46,320
------------
139,184
------------
Non Ferrous Metal (1.17%)
Alcoa Inc. 4,000 114,240
Paper & Forest Product (0.97%)
Plum Creek Timber Co. Inc. (REIT) 3,640 95,186
------------
Total Manufacturing 644,633
------------
Service (3.15%)
Business (0.69%)
Moody's Corp. 1,300 67,418
Consumer (2.46%)
First Data Corp. 6,300 241,920
------------
Total Service 309,338
------------
Technology (4.03%)
Electronic (0.81%)
Hewlett-Packard Co. 4,000 79,680
Office Equipment (0.65%)
Diebold 1,300 63,570
Software (1.93%)
Microsoft Corp. 4,200 111,384
Reynolds & Reynolds Class A 2,700 78,435
------------
189,819
------------
Business - Mechanics & Software (0.64%)
Pitney Bowes Inc. 1,600 62,400
------------
Total Technology 395,469
------------
Utility (4.63%)
Electric (0.56%)
Cinergy Corp. 1,600 54,752
Energy (2.35%)
Dominion Resources Inc/Va 850 51,493
Entergy Corp. 1,300 68,185
Exelon Corp. 1,100 64,790
Progress Energy Inc. 1,150 46,564
------------
231,032
------------
Telephone (1.72%)
SBC Communications Inc. 7,500 168,673
------------
Total Utility 454,457
------------
Total Common Stock (Cost $7,026,569) 8,485,483
------------
Par Value
---------
Short-Term Investments (13.34%)
$ 100,000 United States Treasury Bills 09/18/03 (b) 99,960
400,000 United States Treasury Bills 11/13/03 (b) 399,246
405,401 First American Prime Obligation Fund 405,401
405,401 First American Government Obligation Fund 405,401
------------
Total Short-Term Investments (Cost $1,310,008) 1,310,008
------------
Total Investments (Cost $8,336,576)
(a) (99.77%) 9,795,491
Other Net Assets (0.23%) 22,342
------------
Net Assets (100.00%) $ 9,817,833
============
* Non- Income Producing Security
(a) Aggregate cost for federal income tax purposes is $8,336,576 At August 31,
2003, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 1,539,470
Unrealized depreciation (80,555)
------------
Net unrealized appreciation $ 1,458,915
============
(b At August 31, 2003, certain United States Treasury Bills with a market
value of $99,960 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2003: (Contracts-$250 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
S&P 500 Index:
5/Sept 03/Long $ 24,905
============
See accompanying notes to financial statements
26
- --------------------------------------------------------------------------------
EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 8/31/2003
INCOME FUND
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (91.66%)
Banking & Financial Service (30.18%)
Bank & Bank Holding Company (14.84%)
ABN Amro Holding NV ADR 1,938 $ 34,186
Banco Bilbao Vizcaya Argentaria SA ADR 4,130 44,398
Banco Santander Central Hispano SA ADR 6,300 54,054
Barclays Plc ADR 4,340 128,377
Credit Suisse Group ADR 1,720 54,128
ING Groep NV ADR 2,458 48,496
Deutsche Bank AG ADR 770 44,845
UBS AG ADR 1,670 90,815
------------
499,299
------------
Finance Company (5.35%)
HSBC Holdings Plc ADR 2,800 180,096
Financial Service (4.38%)
Allianz AG ADR 4,240 37,863
BNP Paribas ADR 2,330 58,043
Lloyds TSB Group Plc ADR 1,950 51,539
------------
147,445
------------
Insurance (5.04%)
Aegon NV ADR 1,814 22,602
Axa ADR 3,345 59,474
Royal & Sun Alliance Insurance Group ADR 1,250 13,813
Swiss Reinsurance ADR 615 37,764
Vivendi Universal ADR* 1,412 23,863
Zurich Financial Services AG ADR 930 11,953
------------
169,469
------------
Investment (0.57%)
Prudential Plc ADR 1,359 19,026
------------
Total Banking & Financial Service 1,015,335
------------
Consumer Cylical (1.33%)
Auto & Truck (1.33%)
DaimlerChrysler AG ADR 1,170 44,729
------------
Total Consumer Cylical 44,729
------------
Consumer Non-Durable (22.39%)
Communications & Media (0.38%)
Telefonaktiebolaget LM Ericsson* 826 12,786
Consumer Product (1.20%)
Unilever NV ADR 720 40,306
Cosmetic & Soap (0.88%)
L'OREAL ADR 2,140 29,745
Drugs (13.56%)
AstraZeneca Plc ADR 2,110 83,662
Glaxo SmithKline Plc ADR 3,983 154,660
Novartis ADR 3,690 136,419
Roche Holding AG ADR 1,065 81,555
------------
456,296
------------
Food, Beverage & Tobacco (3.42%)
Nestle SA ADR 2,110 $ 114,875
Retail - Food & Drugs (2.95%)
Diageo Plc ADR 1,170 51,176
Koninklijke Ahold NV ADR 5,172 48,100
------------
99,276
------------
Total Consumer Non-Durable 753,284
------------
Energy (17.94%)
Miscellaneous (4.28%)
Total Fina Elf SA ADR 1,870 144,009
Oil & Gas - International (11.89%)
BP Amoco Plc ADR 4,865 202,963
Royal Dutch Petroleum Company ADR 2,610 117,111
Shell Transport & Trading Co. ADR 2,075 79,763
------------
399,837
------------
Oil & Gas - Service (1.77%)
ENI-Ente Nazionale Idrocarburi SpA ADR 780 59,584
------------
Total Energy 603,430
------------
Manufacturing (2.77%)
Chemical (0.60%)
Bayer AG ADR 940 20,332
Diversified (2.17%)
Siemens AG ADR 1,170 72,868
------------
Total Manufacturing 93,200
------------
Technology (6.71%)
Electronic (1.15%)
Koninklijke Philips Electronics NV ADR 1,590 38,796
Telecommunication (5.56%)
Deutsche Telekom ADR* 3,300 47,322
Nokia OYJ ADR 6,095 99,288
Telecom Italia SpA* 1,716 40,498
------------
187,108
------------
Total Technology 225,904
------------
Utility (10.34%)
Electric (1.31%)
E.ON AG ADR 850 44,149
Telephone (8.44%)
Alcatel SA ADR* 1,200 13,068
BT Group PLC ADR 1,190 34,927
Telefonica SA ADR* 2,124 75,402
Vodafone Group PLC ADR 8,770 160,491
------------
283,888
------------
Water (0.59%)
Suez SA ADR 1,250 19,963
------------
Total Utility 348,000
------------
Total Common Stock (Cost $3,800,412) 3,083,882
------------
Par Value
---------
Short-Term Investments (7.89%)
$ 132,766 First American Government Obligation Fund 132,766
132,766 First American Prime Obligation Fund 132,766
------------
Total Short-Term Investments (Cost $265,532) 265,532
------------
Total Investments (Cost $4,065,943)
(a) (99.55%) 3,349,414
Other Net Assets (0.45%) 14,984
------------
Net Assets (100.00%) $ 3,364,398
============
* Non-Income Producing Security
** Unsponsored ADR
ADR - American Depository Receipts
(a) Aggregate cost for federal income tax purposes is $4,065,943. At August 31,
2003, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 66,616
Unrealized depreciation (783,145)
------------
Net unrealized depreciation $ (716,529)
============
See accompanying notes to financial statements
27
- --------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (90.52%)
Capital Good (0.25%)
Molex Inc. 1,272 $ 37,359
------------
Total Capital Good 37,359
------------
Consumer Cyclical (4.30%)
Bed Bath & Beyond Inc.* 5,128 221,171
Costco Wholesale Corp.* 3,108 100,233
Dollar Tree Stores Inc.* 1,422 55,771
Fastenal Co. 938 37,923
Gentex Corp.* 1,025 38,448
Paccar Inc. 1,683 143,678
Petsmart Inc.* 1,805 43,140
------------
Total Consumer Cyclical 640,364
------------
Consumer Non-Durable (16.73%)
Biomet Inc. 4,494 133,607
Cintas Group 2,657 106,067
Comcast Corp.* 12,247 364,471
Dentsply Intl., Inc. 977 42,744
Echostar Communications Corp.* 3,253 120,524
Ericsson (LM) Tel - SP ADR* 1,589 24,598
Express Scripts, Inc.* 903 58,523
First Health Group Corp.* 1,283 33,640
Gilead Services, Inc.* 2,553 170,055
Human Genome Sciences Inc.* 1,661 23,786
Idec Pharmaceuticals Corp.* 2,179 75,655
InterActiveCorp.* 7,939 293,664
Lincare Holdings Inc.* 1,307 45,222
Medimmune, Inc.* 3,491 121,138
Millinium Pharmeceuticals* 4,219 58,686
PanAmSat Corp.* 2,612 41,296
Patterson Dental Co.* 842 45,796
Paychex Inc. 4,615 166,325
Henry Schein Inc.* 531 30,655
Staples Inc.* 4,226 104,467
Starbucks Corp.* 7,022 199,355
Teva Pharmaceutical Industries Ltd. 2,502 146,717
Whole Foods Market, Inc.* 754 40,905
Ross Store, Inc. 983 49,415
------------
Total Consumer Non-Durable 2,497,311
------------
Energy (0.20%)
Patterson-UTI Energy Inc.* 1,070 31,929
------------
Total Energy 31,929
------------
Manufacturing (6.47%)
Applied Materials Inc.* 11,077 239,596
CDW Corp.* 1,126 58,113
Citrix Systems Inc.* 2,539 52,278
Comverse Technology Inc.* 2,528 41,484
Dell Inc.* 12,213 398,388
Novellus Systems Inc.* 1,975 78,921
Sigma-Aldrich 880 48,171
Smurfit-Stone Container Corp.* 3,108 49,044
------------
Total Manufacturing 965,995
------------
Service (2.65%)
Apollo Group Inc.* 2,286 146,464
Fiserv, Inc.* 3,118 121,010
Lamar Advertising Co.* 1,062 35,481
Mercury Interactive Corp.* 1,174 51,456
Monster Worldwide Inc.* 1,551 42,249
------------
Total Service 396,660
------------
Technology (59.09%)
ADC Telecommunications Inc.* 12,931 $ 32,845
Adobe Systems Inc 2,935 114,230
Altera Corp.* 6,962 156,018
Amazon.com, Inc.* 3,363 155,774
American Power Conversion 2,545 45,606
Amgen Inc.* 7,775 512,684
Apple Computer Inc.* 6,593 149,134
BEA Systems Inc.* 4,800 65,040
Biogen Inc.* 2,359 93,086
Broadcom Corp.* 2,458 67,030
Brocade Communications System* 3,372 19,018
Cephalon, Inc.* 656 29,094
Chiron Corp.* 3,367 171,212
Ciena Corp.* 7,196 46,774
Cisco Systems Inc.* 32,340 618,988
Compuware Corp.* 3,026 18,217
Ebay, Inc.* 6,120 339,109
Electronic Arts* 1,897 170,256
Genzyme Corp.* 3,503 165,096
Icos Corp.* 783 30,459
Intel Corp. 29,616 846,721
Intuit Inc.* 3,342 151,961
Invitrogen Corp* 607 35,127
JDS Uniphase Corp.* 20,747 71,577
Juniper Networks Inc.* 3,206 55,175
Kla-Tencor Corp.* 2,984 177,399
Linear Technology Corp. 5,405 222,902
Maxim Integrated Products 5,865 263,397
Microchip Tech 2,189 61,314
Network Appliance Inc.* 4,567 102,118
Nextel Communications Inc.* 16,532 319,564
Nvidia Corp.* 2,220 40,337
Oracle Corporation* 28,279 362,820
Peoplesoft Inc.* 5,786 104,437
Pixar Inc.* 697 50,763
Qlogic Corp.* 1,237 60,687
Qualcomm Inc. 12,327 509,475
RF Micro Devices Inc.* 2,704 23,876
Samina - SCI Corp.* 7,021 63,259
Siebel Systems Inc* 7,414 74,881
Sun Microsystems Inc.* 18,106 70,613
Symantec Corp.* 1,996 114,610
Synopsys, Inc.* 884 60,298
Tellabs Inc.* 3,037 19,710
Veritas Software Corp.* 5,500 189,860
VeriSign Inc.* 2,915 43,638
Xilinx Inc.* 5,790 178,795
Yahoo Inc* 3,745 125,083
Check Point Software Technologies* 3,140 54,856
Flextronics International Ltd.* 7,316 98,620
Microsoft Corp. 47,771 1,266,887
------------
Total Technology 8,820,430
------------
Transportation (0.83%)
C.H. Robinson Worldwide, Inc. 1,077 40,829
Expeditors International Washington Inc. 1,327 49,962
Ryanair Holdings plc* 784 33,152
------------
Total Transportation 123,943
------------
Total Common Stock (Cost $20,254,035) 13,513,991
------------
28
- --------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2003
COMPANY SHARES VALUE (NOTE 1)
- --------------------------------------------------------------------------------
Short-Term Investments (9.05%)
$ 400,000 United States Treasury Bills 09/18/03 (b) $ 399,839
475,214 First American Prime Obligation Fund 475,214
475,214 First American Government Obligation Fund 475,214
------------
Total Short-Term Investments (Cost $1,350,267) 1,350,267
------------
Total Investments (Cost $21,604,302)
(a) (99.57%) 14,864,258
Other Net Assets (0.43%) 63,802
------------
Net Assets (100.00%) $ 14,928,060
============
* Non- Income Producing Security
ADR- American Depository Receipts.
(a) Aggregate cost for federal income tax purposes is $21,604,302. At August
31, 2003, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 1,069,922
Unrealized depreciation (7,809,966)
------------
Net unrealized depreciation $ (6,740,044)
============
(b) At August 31, 2003, certain United States Treasury Bills with a market
value of $199,894 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2003: (Contracts-$100 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
Nasdaq 100 Futures:
10/Sept 03/Long $ 59,360
============
See accompanying notes to financial statements
29
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
AUGUST 31, 2003
- --------------------------------------------------------------------------------
CALIFORNIA
CALIFORNIA TAX- INSURED CALIFORNIA TAX- U.S.
FREE MONEY INTERMEDIATE FREE INCOME GOVERNMENT
MARKET FUND FUND FUND SECURITIES FUND
----------------------------------------------------------
ASSETS
Investments at market value (identified cost $ 88,811,505,
$ 26,914,066, $ 156,016,341, $ 31,233,171, $40,634,693
and $ 21,288,243 respectively)(Note 1) $ 88,811,505 $ 27,609,301 $170,813,877 $ 31,333,066
Cash 77,461 71,010 40,959 95,674
Interest receivable 84,432 282,319 1,917,260 185,366
Receivable for fund shares sold 208,821 55 16,657 3,650
---------------------------------------------------------
Total Assets 89,182,219 27,962,685 172,788,753 31,617,756
---------------------------------------------------------
LIABILITIES
Payable for fund shares repurchased 335,925 25,921 75,364 2,377
Payable to Investment Advisor 25,706 9,077 71,066 10,934
Accrued expenses 16,511 5,028 25,742 6,624
Distributions payable 271 16,915 128,168 12,400
---------------------------------------------------------
Total Liabilities 378,413 56,941 300,340 32,335
---------------------------------------------------------
NET ASSETS:
(Applicable to 88,870,435, 2,583,964, 13,623,696,
2,990,886, 40,628,945 and 2,125,977 shares of beneficial
interest with no par value, unlimited number of shares
authorized) $ 88,803,806 $ 27,905,744 $172,488,413 $ 31,585,421
=========================================================
PRICING OF SHARES:
Net asset value, offering and redemption price per share
$ 88,803,806 / 88,870,435 shares $ 1.00
============
$ 27,905,744 / 2,583,964 shares $ 10.80
============
$ 172 ,488,413 / 13,623,696 shares $ 12.66
============
$ 31,585,421 / 2,990,886 shares $ 10.56
============
$ 40,634,510 / 40,628,945 shares
$ 21,500,381 / 2,125,977 shares
Net Assets at August 31, 2003 consist of:
Paid-in capital $ 88,821,905 $ 27,122,051 $156,060,267 $ 31,277,999
Undistributed net investment income -- 21,325 506,382 --
Accumulated net realized gains(losses) (18,099) 67,133 1,124,228 207,527
Unrealized appreciation (depreciation) of investments -- 695,235 14,797,536 99,895
---------------------------------------------------------
$ 88,803,806 $ 27,905,744 $172,488,413 $ 31,585,421
=========================================================
THE UNITED SHORT-TERM U.S
STATES TREASURY GOVERNMENT
TRUST BOND FUND
---------------------------
ASSETS
Investments at market value (identified cost $ 88,811,505,
$ 26,914,066, $ 156,016,341, $ 31,233,171, $40,634,693
and $ 21,288,243 respectively)(Note 1) $ 40,634,693 $ 21,279,044
Cash 6,368 52,725
Interest receivable -- 179,366
Receivable for fund shares sold 11,788 448
---------------------------
Total Assets 40,652,849 21,511,583
---------------------------
LIABILITIES
Payable for fund shares repurchased -- --
Payable to Investment Advisor 7,276 5,541
Accrued expenses 11,063 4,835
Distributions payable -- 826
---------------------------
Total Liabilities 18,339 11,202
---------------------------
NET ASSETS:
(Applicable to 88,870,435, 2,583,964, 13,623,696,
2,990,886, 40,628,945 and 2,125,977 shares of beneficial
interest with no par value, unlimited number of shares
authorized) $ 40,634,510 $ 21,500,381
===========================
PRICING OF SHARES:
Net asset value, offering and redemption price per share
$ 88,803,806 / 88,870,435 shares
$ 27,905,744 / 2,583,964 shares
$ 172 ,488,413 / 13,623,696 shares
$ 31,585,421 / 2,990,886 shares
$ 40,634,510 / 40,628,945 shares $ 1.00
============
$ 21,500,381 / 2,125,977 shares $ 10.11
============
Net Assets at August 31, 2003 consist of:
Paid-in capital $ 40,629,129 $ 21,502,952
Undistributed net investment income -- 1,689
Accumulated net realized gains(losses) 5,381 4,939
Unrealized appreciation (depreciation) of investments -- (9,199)
---------------------------
$ 40,634,510 $ 21,500,381
===========================
See accompanying notes to financial statements
30
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
AUGUST 31, 2003
- --------------------------------------------------------------------------------
S&P 500 INDEX S&P MIDCAP S&P SMALLCAP EQUITY INCOME
FUND INDEX FUND INDEX FUND FUND
---------------------------------------------------------
ASSETS
Investments at market value (identified cost $94,562,921,
$ 89,830,261, $ 15,805,913, $ 8,336,576, $ 4,065,943,
and $ 21,604,302 respectively)(Note 1) $ 98,082,717 $103,617,705 $ 18,518,927 $ 9,795,491
Cash 700 -- -- 1,274
Interest receivable 1,084 1,747 427 --
Dividends receivable 150,754 85,432 8,642 16,684
Receivable for fund shares sold 38,563 94,764 6,154 1,918
Receivable for investments sold -- -- 1,511 --
Variation margin receivable 23,660 23,740 6,936 8,125
---------------------------------------------------------
Total Assets 98,297,478 103,823,388 18,542,597 9,823,492
---------------------------------------------------------
LIABILITIES
Payable for fund shares repurchased 3,036 5,185 3,159 --
Cash Overdraft -- -- -- --
Payable to Investment Advisor 12,431 30,766 5,754 2,822
Accrued expenses 17,986 16,428 7,962 2,837
---------------------------------------------------------
Total Liabilities 33,453 52,379 16,875 5,659
---------------------------------------------------------
NET ASSETS:
(Applicable to 4,827,304; 6,100,787; 1,316,938;
796,621; 544,527 and 4,383,126 shares of beneficial
interest with no par value, unlimited number of shares
authorized) $ 98,264,025 $103,771,009 $ 18,525,722 $ 9,817,833
=========================================================
PRICING OF SHARES:
Net asset value, offering and redemption price per share
$ 98,264,025 / 4,827,304 shares $ 20.36
============
$ 103,771,009 / 6,100,787 shares $ 17.01
============
$ 18,525,722 / 1,316,938 shares $ 14.07
============
$ 9,817,833 / 796,621 shares $ 12.32
============
$ 3,364,398 / 544,527 shares
$ 14,928,060 / 4,383,126 shares
Net Assets at August 31, 2003 consist of:
Paid-in capital $104,776,966 $ 93,561,950 $ 15,818,143 $ 9,330,401
Undistributed net investment income 232,243 118,445 6,579 26,588
Accumulated net realized losses (10,331,197) (3,846,647) (41,039) (1,022,976)
Unrealized appreciation (depreciation) of investments 3,519,796 13,787,444 2,713,014 1,458,915
Unrealized appreciation of futures contracts 66,217 149,817 29,025 24,905
---------------------------------------------------------
$ 98,264,025 $103,771,009 $ 18,525,722 $ 9,817,833
=========================================================
EUROPEAN
GROWTH & NASDAQ-100
INCOME FUND INDEX FUND
---------------------------
ASSETS
Investments at market value (identified cost $94,562,921,
$ 89,830,261, $ 15,805,913, $ 8,336,576, $ 4,065,943,
and $ 21,604,302 respectively)(Note 1) $ 3,349,414 $ 14,864,258
Cash 77 --
Interest receivable 138 576
Dividends receivable 16,105 2,761
Receivable for fund shares sold 2,603 96,022
Receivable for investments sold -- --
Variation margin receivable -- 10,500
---------------------------
Total Assets 3,368,337 14,974,117
---------------------------
LIABILITIES
Payable for fund shares repurchased 653 825
Cash Overdraft -- 36,248
Payable to Investment Advisor 516 3,726
Accrued expenses 2,770 5,258
---------------------------
Total Liabilities 3,939 46,057
---------------------------
NET ASSETS:
(Applicable to 4,827,304; 6,100,787; 1,316,938;
796,621; 544,527 and 4,383,126 shares of beneficial
interest with no par value, unlimited number of shares
authorized) $ 3,364,398 $ 14,928,060
===========================
PRICING OF SHARES:
Net asset value, offering and redemption price per share
$ 98,264,025 / 4,827,304 shares
$ 103,771,009 / 6,100,787 shares
$ 18,525,722 / 1,316,938 shares
$ 9,817,833 / 796,621 shares
$ 3,364,398 / 544,527 shares $ 6.18
============
$ 14,928,060 / 4,383,126 shares $ 3.41
============
Net Assets at August 31, 2003 consist of:
Paid-in capital $ 4,266,977 $ 29,599,710
Undistributed net investment income 13,090 --
Accumulated net realized losses (199,140) (7,990,966)
Unrealized appreciation (depreciation) of investments (716,529) (6,740,044)
Unrealized appreciation of futures contracts -- 59,360
---------------------------
$ 3,364,398 $ 14,928,060
===========================
See accompanying notes to financial statements
31
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2003
- --------------------------------------------------------------------------------
CALIFORNIA SHORT-TERM
CALIFORNIA TAX- INSURED CALIFORNIA TAX- U.S. THE UNITED U.S.
FREE MONEY INTERMEDIATE FREE INCOME GOVERNMENT STATES TREASURY GOVERNMENT
MARKET FUND FUND FUND SECURITIES FUND TRUST BOND FUND
---------------------------------------------------------------------------------
Investment Income
Interest income $ 1,035,748 $ 995,525 $ 8,517,184 $ 1,282,000 $ 561,951 $ 294,646
---------------------------------------------------------------------------------
Expenses
Management fees (Note 2) 458,419 140,752 917,528 163,245 224,427 68,389
Transfer agent fees 36,152 15,484 69,423 19,565 23,320 13,099
Accounting services 60,753 22,459 106,760 25,424 34,453 13,267
Custodian fees 10,132 3,095 17,271 5,430 5,032 2,355
Legal and audit fees 20,127 8,948 35,879 9,788 13,383 7,159
Trustees fees 6,044 5,972 5,925 1,994 1,999 2,050
Insurance 2,920 835 1,358 998 1,500 339
Printing 2,722 906 6,471 2,412 2,321 813
Registration & dues 2,015 901 5,228 4,533 5,915 2,210
---------------------------------------------------------------------------------
Total Expenses 599,284 199,352 1,165,843 233,389 312,350 109,681
Less reimbursement from manager (Note 2) (208,650) (36,966) -- (21,171) (121,619) (43,113)
---------------------------------------------------------------------------------
Net Expenses 390,634 162,386 1,165,843 212,218 190,731 66,568
---------------------------------------------------------------------------------
Net Investment Income 645,114 833,139 7,351,341 1,069,782 371,220 228,078
---------------------------------------------------------------------------------
Realized and Unrealized Gain
(Loss) on Investments
Net realized gain (loss)
from security transactions (3,258) 425,965 1,649,847 946,601 5,486 33,884
Change in unrealized appreciation
of investments -- (972,397) (6,385,442) (1,176,844) -- (133,119)
---------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments (3,258) (546,432) (4,735,595) (230,243) 5,486 (99,235)
---------------------------------------------------------------------------------
Net increase in net assets resulting from
Operations $ 641,856 $ 286,707 $ 2,615,746 $ 839,539 $ 376,706 $ 128,843
=================================================================================
See accompanying notes to financial statements
32
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2003
- --------------------------------------------------------------------------------
EUROPEAN
S&P 500 INDEX S&P MIDCAP S&P SMALLCAP EQUITY INCOME GROWTH & NASDAQ-100
FUND INDEX FUND INDEX FUND FUND INCOME FUND INDEX FUND
---------------------------------------------------------------------------------
Investment Income
Interest income $ 24,494 $ 52,556 $ 7,872 $ 24,015 $ 2,503 $ 9,288
Dividend income 1,576,381 1,075,878 140,087 159,227 73,559 16,671
---------------------------------------------------------------------------------
Total 1,600,875 1,128,434 147,959 183,242 76,062 25,959
---------------------------------------------------------------------------------
Expenses
Management fees (Note 2) 222,782 365,329 76,889 41,857 22,952 52,622
Transfer agent fees 42,964 38,720 19,273 12,644 11,079 19,937
Accounting services 58,715 60,012 14,386 9,851 6,864 12,143
Custodian fees 10,456 8,163 5,624 1,701 3,433 4,094
Legal and audit fees 23,739 18,694 7,348 6,437 5,425 6,847
Trustees fees 2,008 2,012 2,014 2,009 1,991 2,023
Insurance 3,608 2,925 504 251 82 304
Printing 9,160 8,171 2,810 1,411 1,108 3,454
Registration & dues 7,703 11,920 5,056 3,629 653 3,491
Licensing fee 13,636 10,173 1,612 -- -- 5,161
---------------------------------------------------------------------------------
Total Expenses 394,771 526,119 135,516 79,790 53,587 110,076
Less reimbursement from manager (Note 2) (174,605) (106,542) (35,560) (12,819) (27,935) (41,697)
---------------------------------------------------------------------------------
Net Expenses 220,166 419,577 99,956 66,971 25,652 68,379
---------------------------------------------------------------------------------
Net Investment Income (loss) 1,380,709 708,857 48,003 116,271 50,410 (42,420)
---------------------------------------------------------------------------------
Realized and Unrealized Gain
(Loss) on Investments
Net realized gain (loss)
from security transactions 1,782,303 54,162 (223,115) (167,786) 1,828 (2,137,456)
Net realized gain (loss)
from futures contracts 285,526 (338,584) 151,045 69,886 -- 171,730
Change in unrealized appreciation
(depreciation) of investments 6,973,080 14,003,959 3,313,167 884,219 172,978 5,700,746
Change in unrealized gain (loss)
of futures contracts 107,430 233,046 49,213 (20,831) -- 59,194
---------------------------------------------------------------------------------
Net realized and unrealized gain on
investments 9,148,339 13,952,583 3,290,310 765,488 174,806 3,794,214
---------------------------------------------------------------------------------
Net increase in net assets resulting from
operations $10,529,048 $14,661,440 $ 3,338,313 $ 881,759 $ 225,216 $ 3,751,794
=================================================================================
See accompanying notes to financial statements
33
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE CALIFORNIA INSURED CALIFORNIA TAX-FREE
MONEY MARKET FUND INTERMEDIATE FUND INCOME 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,
2003 2002 2003 2002 2003 2002
---------------------------------------------------------------------------------------
Operations
Net investment income $ 645,114 $ 1,164,353 $ 833,139 $ 884,604 $ 7,351,341 $ 8,127,685
Net realized gain (loss) on investments (3,258) -- 425,965 334,245 1,649,847 2,155,581
Change in unrealized
appreciation of investments -- -- (972,397) 289,763 (6,385,442) 943,525
---------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 641,856 1,164,353 286,707 1,508,612 2,615,746 11,226,791
Undistributed investment income
included in price of shares sold
and repurchased -- -- (456) 7,021 (65,722) 18,559
Distributions to Shareholders
Distributions from net investment
income (645,114) (1,164,353) (830,980) (883,953) (7,287,147) (8,024,995)
Distributions from realized capital
gains on investments -- -- (511,265) (303,017) (2,384,618) (1,633,202)
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share
transactions (4,563,940) (6,149,358) 1,856,531 3,827,866 (27,298,506) 4,035,715
---------------------------------------------------------------------------------------
Total increase (decrease) (4,567,198) (6,149,358) 800,537 4,156,529 (34,420,247) 5,622,868
Net Assets
Beginning of year 93,371,004 99,520,362 27,105,207 22,948,678 206,908,660 201,285,792
---------------------------------------------------------------------------------------
End of year $ 88,803,806 $ 93,371,004 $ 27,905,744 $ 27,105,207 $172,488,413 $206,908,660
=======================================================================================
Including undistributed net
investment income of: $ -- $ -- $ 21,325 $ 19,166 $ 506,382 $ 442,188
=======================================================================================
See accompanying notes to financial statements
34
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
U.S. GOVERNMENT THE UNITED STATES SHORT-TERM U.S.
SECURITIES FUND TREASURY TRUST GOVERNMENT BOND 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,
2003 2002 2003 2002 2003 2002
---------------------------------------------------------------------------------------
Operations
Net investment income $ 1,069,782 $ 1,386,295 $ 371,220 $ 920,094 $ 228,078 $ 320,180
Net realized gain on investments 946,601 360,470 5,486 11,358 33,884 110,120
Change in unrealized
appreciation of investments (1,176,844) 197,330 -- -- (133,119) (6,627)
---------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 839,539 1,944,095 376,706 931,452 128,843 423,673
Undistributed investment income
included in price of shares sold
and repurchased (4,381) 12,315 -- -- 5,482 (7,175)
Distributions to Shareholders
Distributions from net investment
income (1,332,875) (1,651,229) (371,220) (920,149) (227,749) (318,820)
Distributions from realized capital
gains on investments -- (382,541) (7,280) (13,608) -- (165,875)
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share
transactions (1,191,709) 6,087,346 (10,376,732) (8,744,503) 10,651,423 (612,838)
---------------------------------------------------------------------------------------
Total increase (decrease) (1,689,426) 6,009,986 (10,378,526) (8,746,808) 10,557,999 (681,035)
Net Assets
Beginning of year 33,274,847 27,264,861 51,013,036 59,759,844 10,942,382 11,623,417
---------------------------------------------------------------------------------------
End of year $ 31,585,421 $ 33,274,847 $ 40,634,510 $ 51,013,036 $ 21,500,381 $ 10,942,382
=======================================================================================
Including undistributed net
investment income of: $ -- $ 8,988 $ -- $ -- $ 1,689 $ 1,360
=======================================================================================
* Commencement of operations
See accompanying notes to financial statements
35
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
S&P 500 S&P MIDCAP S&P SMALLCAP
INDEX FUND INDEX FUND 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,
2003 2002 2003 2002 2003 2002
---------------------------------------------------------------------------------------
Operations
Net investment income $ 1,380,709 $ 1,797,392 $ 708,857 $ 735,462 $ 48,003 $ 36,811
Net realized gain (loss)
on investments 1,782,303 10,208,449 54,162 587,063 (223,115) 641,633
Net realized gain (loss)
on futures contracts 285,526 (4,503,980) (338,584) (2,641,626) 151,045 (721,754)
Change in unrealized
appreciation of investments 6,973,080 (35,410,186) 14,003,959 (9,834,750) 3,313,167 (1,897,934)
Change in unrealized appreciation
of futures contracts 107,430 2,150,192 233,046 250,898 49,213 143,320
---------------------------------------------------------------------------------------
Net increase (decrease) in net
assets resulting from operations 10,529,048 (25,758,133) 14,661,440 (10,902,953) 3,338,313 (1,797,924)
Undistributed investment income
included in price of shares sold
and repurchased (10,787) (50,153) (21,908) 23,030 (544) 1,019
Distributions to Shareholders
Distributions from net investment
income (1,437,422) (1,839,168) (721,101) (656,257) (41,424) (51,088)
Distributions from realized capital
gains on investments -- -- -- (308,749) (51,780) --
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share
transactions (4,777,634) (19,781,595) (6,737,660) 25,142,164 (532,095) 3,435,465
---------------------------------------------------------------------------------------
Total increase (decrease) 4,303,205 (47,429,049) 7,180,771 13,297,235 2,712,470 1,587,472
Net Assets
Beginning of year 93,960,820 141,389,869 96,590,238 83,293,003 15,813,252 14,225,780
---------------------------------------------------------------------------------------
End of year $ 98,264,025 $ 93,960,820 $103,771,009 $ 96,590,238 $ 18,525,722 $ 15,813,252
=======================================================================================
Including undistributed net
investment income of: $ 232,243 $ 288,956 $ 118,445 $ 130,689 $ 6,579 $ --
=======================================================================================
See accompanying notes to financial statements
36
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
EUROPEAN GROWTH &
EQUITY INCOME FUND 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,
2003 2002 2003 2002 2003 2002
---------------------------------------------------------------------------------------
Operations
Net investment income (loss) $ 116,271 $ 123,883 $ 50,410 $ 31,039 $ (42,420) $ (13,640)
Net realized gain (loss)
on investments (167,786) 25,247 1,828 (146,705) (2,137,456) (2,289,735)
Net realized gain (loss)
on futures contracts 69,886 (95,107) -- -- 171,730 (2,064,615)
Change in unrealized
appreciation of investments 884,219 (660,004) 172,978 (342,973) 5,700,746 (1,047,451)
Change in unrealized appreciation
of futures contracts (20,831) 114,826 -- -- 59,194 704,894
---------------------------------------------------------------------------------------
Net increase (decrease) in net
assets resulting from operations 881,759 (491,155) 225,216 (458,639) 3,751,794 (4,710,547)
Undistributed investment income
included in price of shares sold
and repurchased 1,233 (105) (1,575) 2,895 (4,679) (1,856)
Distributions to Shareholders
Distributions from net investment
income (112,369) (122,794) (37,320) (34,775) -- (18,789)
Distributions from realized capital
gains on investments -- -- -- -- -- --
Capital Share Transactions
Increase in net assets
resulting from capital share
transactions 786,237 80,544 820,820 741,521 1,990,080 2,532,278
---------------------------------------------------------------------------------------
Total increase (decrease) 1,556,860 (533,510) 1,007,141 251,002 5,737,195 (2,198,914)
Net Assets
Beginning of year 8,260,973 8,794,483 2,357,257 2,106,255 9,190,865 11,389,779
---------------------------------------------------------------------------------------
End of year $ 9,817,833 $ 8,260,973 $ 3,364,398 $ 2,357,257 $ 14,928,060 $ 9,190,865
=======================================================================================
Including undistributed net
investment income of: $ 26,588 $ 22,686 $ 13,090 $ -- $ -- $ --
=======================================================================================
* Commencement of operations
See accompanying notes to financial statements
37
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
California Tax-Free Income Fund
-------------------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 7,770,923 $ 101,005,637 9,401,276 $ 121,402,518
Shares issued in reinvestment of
distributions ............... 582,865 7,578,002 580,372 7,492,647
----------------------------------------------------------------
8,353,788 108,583,639 9,981,648 128,895,165
Shares repurchased ............. (10,361,336) (135,882,145) (9,632,416) (124,859,450)
----------------------------------------------------------------
Net increase (decrease) ..... (2,007,548) $ (27,298,506) 349,232 $ 4,035,715
================================================================
California Insured Intermediate Fund
------------------------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 592,416 $ 6,603,082 564,939 $ 6,220,323
Shares issued in reinvestment of
distributions ............... 91,987 1,007,408 80,255 875,749
----------------------------------------------------------------
684,403 7,610,490 645,194 7,096,072
Shares repurchased ............. (517,192) (5,753,959) (298,052) (3,268,206)
----------------------------------------------------------------
Net increase (decrease) ..... 167,211 $ 1,856,531 347,142 $ 3,827,866
================================================================
California Tax-Free The United States
Money Market Treasury Trust
------------------- -----------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
2003 2002 2003 2002
------------- ------------- ------------- -------------
Shares/Value Shares/Value Shares/Value Shares/Value
----------------------------------------------------------------
Shares sold .................... 74,019,274 101,150,594 113,535,711 111,938,441
Shares issued in reinvestment of
distributions ............... 621,574 1,114,305 356,883 878,694
----------------------------------------------------------------
74,640,848 102,264,899 113,892,594 112,817,135
Shares repurchased ............. (79,204,788) (108,414,257) (124,269,326) (121,561,638)
----------------------------------------------------------------
Net increase (decrease) ..... (4,563,940) (6,149,358) (10,376,732) (8,744,503)
================================================================
Short-Term U.S. Government Bond Fund
------------------------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 1,699,959 $ 17,245,618 766,546 $ 7,819,082
Shares issued in reinvestment of
distributions ............... 18,698 189,829 41,401 421,484
----------------------------------------------------------------
1,718,657 17,435,447 807,947 8,240,566
Shares repurchased ............. (668,361) (6,784,024) (867,372) (8,853,404)
----------------------------------------------------------------
Net increase (decrease) ..... 1,050,296 $ 10,651,423 (59,425) $ (612,838)
================================================================
U.S. Government Securities Fund
-------------------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 1,673,739 $ 18,056,033 872,674 $ 9,276,151
Shares issued in reinvestment of
distributions ............... 105,638 1,138,387 165,219 1,754,686
----------------------------------------------------------------
1,779,377 19,194,420 1,037,893 11,030,837
Shares repurchased ............. (1,890,170) (20,386,129) (467,217) (4,943,491)
----------------------------------------------------------------
Net increase (decrease) ..... (110,793) $ (1,191,709) 570,676 $ 6,087,346
================================================================
S&P 500 Index Fund
------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 903,499 $ 16,439,574 1,468,993 $ 31,386,527
Shares issued in reinvestment of
distributions ............... 65,058 1,141,330 74,807 1,615,893
----------------------------------------------------------------
968,557 17,580,904 1,543,800 33,002,420
Shares repurchased ............. (1,225,981) (22,358,538) (2,663,037) (52,784,015)
----------------------------------------------------------------
Net increase (decrease) ..... (257,424) $ (4,777,634) (1,119,237) $ (19,781,595)
================================================================
See accompanying notes to financial statements
38
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
S&P MidCap Index Fund
---------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 2,936,166 $ 42,217,029 3,167,037 $ 51,735,299
Shares issued in reinvestment of
distributions ............... 44,420 626,756 54,508 866,933
----------------------------------------------------------------
2,980,586 42,843,785 3,221,545 52,602,232
Shares repurchased ............. (3,496,440) (49,581,445) (1,753,930) (27,460,068)
----------------------------------------------------------------
Net increase (decrease) ..... (515,854) $ (6,737,660) 1,467,615 $ 25,142,164
================================================================
S&P SmallCap Index Fund
-----------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 555,740 $ 6,709,355 944,463 $ 12,274,893
Shares issued in reinvestment of
distributions ............... 7,771 90,119 3,793 46,776
----------------------------------------------------------------
563,511 6,799,474 948,256 12,321,669
Shares repurchased ............. (609,969) (7,331,569) (688,317) (8,886,204)
----------------------------------------------------------------
Net increase (decrease) ..... (46,458) $ (532,095) 259,939 $ 3,435,465
================================================================
Equity Income Fund
------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 146,167 $ 1,614,108 90,756 $ 1,100,288
Shares issued in reinvestment of
distributions ............... 9,958 108,259 9,796 118,895
----------------------------------------------------------------
156,125 1,722,367 100,552 1,219,183
Shares repurchased ............. (85,509) (936,130) (94,935) (1,138,639)
----------------------------------------------------------------
Net increase ................ 70,616 $ 786,237 5,617 $ 80,544
================================================================
European Growth & Income Fund
-----------------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 3,275,364 $ 18,527,746 298,420 $ 1,917,663
Shares issued in reinvestment of
distributions ............... 6,605 36,155 4,935 32,531
----------------------------------------------------------------
3,281,969 18,563,901 303,355 1,950,194
Shares repurchased ............. (3,144,160) (17,743,081) (192,087) (1,208,673)
----------------------------------------------------------------
Net increase ................ 137,809 $ 820,820 111,268 $ 741,521
================================================================
Nasdaq-100 Index Fund
---------------------
Year Ended Year Ended
August 31, 2003 August 31, 2002
------------------------------ ------------------------------
Shares Value Shares Value
----------------------------------------------------------------
Shares sold .................... 2,863,826 $ 8,067,882 1,815,707 $ 5,918,688
Shares issued in reinvestment of
distributions ............... -- -- 6,265 18,606
----------------------------------------------------------------
2,863,826 8,067,882 1,821,972 5,937,294
Shares repurchased ............. (2,296,996) (6,077,802) (1,043,197) (3,405,016)
----------------------------------------------------------------
Net increase ................ 566,830 $ 1,990,080 778,775 $ 2,532,278
================================================================
See accompanying notes to financial statements
39
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
- --------------------------------------------------------------------------------
California Tax-Free Money Market Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.007 0.011 0.026 0.029 0.026
LESS DISTRIBUTIONS
Dividends from net investment income (0.007) (0.011) (0.026) (0.029) (0.026)
----------------------------------------------------------------------
Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======================================================================
Total Return 0.70% 1.15% 2.66% 2.92% 2.61%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 88,804 $ 93,371 $ 99,520 $ 102,848 $ 105,606
Ratio of expenses to average net assets:
Before expense reimbursements 0.65% 0.65% 0.63% 0.66% 0.61%
After expense reimbursements 0.43% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to average net assets
Before expense reimbursements 0.48% 0.90% 2.36% 2.63% 2.33%
After expense reimbursements 0.70% 1.15% 2.59% 2.89% 2.54%
California Insured Intermediate Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 11.22 $ 11.09 $ 10.72 $ 10.54 $ 10.92
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.33 0.39 0.43 0.44 0.43
Net gain (loss) on securities (both
realized and unrealized) (0.21) 0.27 0.37 0.20 (0.26)
----------------------------------------------------------------------
Total from Investment Operations 0.12 0.66 0.80 0.64 0.17
----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.33) (0.39) (0.43) (0.44) (0.43)
Distributions from capital gains (0.21) (0.14) -- (0.02) (0.12)
----------------------------------------------------------------------
Total distributions (0.54) (0.53) (0.43) (0.46) (0.55)
----------------------------------------------------------------------
Net asset value, end of year $ 10.80 $ 11.22 $ 11.09 $ 10.72 $ 10.54
======================================================================
Total Return 1.03% 6.17% 7.66% 6.25% 1.51%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 27,906 $ 27,105 $ 22,949 $ 22,878 $ 24,175
Ratio of expenses to average net assets:
Before expense reimbursements 0.71% 0.72% 0.71% 0.72% 0.66%
After expense reimbursements 0.58% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income to average net assets
Before expense reimbursements 2.83% 3.43% 3.82% 3.93% 3.85%
After expense reimbursements 2.96% 3.60% 3.98% 4.10% 3.96%
Portfolio Turnover 22.45% 29.28% 24.35% 24.24% 8.38%
See accompanying notes to financial statements
40
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
California Tax-Free Income Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 13.24 $ 13.17 $ 12.75 $ 12.40 $ 13.18
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.50 0.52 0.55 0.55 0.56
Net gain (loss) on securities (both
realized and unrealized) (0.42) 0.18 0.44 0.41 (0.68)
----------------------------------------------------------------------
Total from Investment Operations 0.08 0.70 0.99 0.96 (0.12)
----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.50) (0.52) (0.56) (0.55) (0.57)
Distributions from capital gains (0.16) (0.11) (0.01) (0.06) (0.09)
----------------------------------------------------------------------
Total distributions (0.66) (0.63) (0.57) (0.61) (0.66)
----------------------------------------------------------------------
Net asset value, end of year $ 12.66 $ 13.24 $ 13.17 $ 12.75 $ 12.40
======================================================================
Total Return 0.61% 5.55% 7.98% 8.07% (1.07)%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 172,488 $ 206,909 $ 201,286 $ 196,786 $ 200,946
Ratio of expenses to average net assets:
Before expense reimbursements 0.61% 0.61% 0.63% 0.64% 0.61%
After expense reimbursements 0.61% 0.61% 0.63% 0.64% 0.61%
Ratio of net investment income to average net assets
Before expense reimbursements 3.82% 4.11% 4.30% 4.54% 4.33%
After expense reimbursements 3.82% 4.11% 4.30% 4.54% 4.33%
Portfolio Turnover 1.44% 22.94% 28.96% 18.05% 16.36%
U.S. Government Securities Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 10.73 $ 10.77 $ 10.33 $ 10.24 $ 11.30
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.35 0.50 0.58 0.58 0.56
Net gain (loss) on securities (both
realized and unrealized) (0.08) 0.19 0.42 0.14 (0.80)
----------------------------------------------------------------------
Total from Investment Operations 0.27 0.69 1.00 0.72 (0.24)
----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.44) (0.59) (0.56) (0.58) (0.56)
Distributions from capital gains -- (0.14) -- (0.05) (0.26)
----------------------------------------------------------------------
Total distributions (0.44) (0.73) (0.56) (0.63) (0.82)
----------------------------------------------------------------------
Net asset value, end of year $ 10.56 $ 10.73 $ 10.77 $ 10.33 $ 10.24
======================================================================
Total Return 2.52% 6.65% 9.94% 7.35% (2.42)%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 31,585 $ 33,275 $ 27,265 $ 24,476 $ 30,950
Ratio of expenses to average net assets:
Before expense reimbursements 0.71% 0.71% 0.71% 0.72% 0.66%
After expense reimbursements 0.65% 0.65% 0.65% 0.65% 0.65%
Ratio of net investment income to average net assets
Before expense reimbursements 3.22% 4.59% 5.32% 5.82% 5.11%
After expense reimbursements 3.28% 4.65% 5.38% 5.89% 5.12%
Portfolio Turnover 39.29% 150.35% 209.58% 184.60% 139.00%
See accompanying notes to financial statements
41
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
- --------------------------------------------------------------------------------
The United States Treasury Trust
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.008 0.017 0.047 0.050 0.042
LESS DISTRIBUTIONS
Dividends from net investment income (0.008) (0.017) (0.047) (0.050) (0.042)
Distributions from capital gains -- 0.000 -- -- --
----------------------------------------------------------------------
Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======================================================================
Total Return 0.86% 1.70% 4.87% 5.12% 4.22%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 40,635 $ 51,013 $ 59,760 $ 56,464 $ 50,517
Ratio of expenses to average net assets:
Before expense reimbursements 0.70% 0.67% 0.65% 0.66% 0.63%
After expense reimbursements 0.42% 0.42% 0.40% 0.40% 0.41%
Ratio of net investment income to average net assets
Before expense reimbursements 0.56% 1.45% 4.48% 4.76% 3.92%
After expense reimbursements 0.84% 1.70% 4.73% 5.02% 4.14%
*Represents less than $0.000 per share
Short-Term U.S. Government Bond Fund
January 18,
Year Ended Year Ended Year Ended 2000* to
August 31, August 31, August 31, August 31,
2003 2002 2001 2000
-------------------------------------------------------
Net asset value, beginning of period $ 10.17 $ 10.24 $ 10.05 $ 10.00
-------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.18 0.30 0.53 0.36
Net gain on securities (both
realized and unrealized) (0.06) 0.09 0.21 0.05
-------------------------------------------------------
Total from Investment Operations 0.12 0.39 0.74 0.41
-------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.18) (0.30) (0.55) (0.36)
Distributions from capital gains -- (0.16) (0.00) --
-------------------------------------------------------
Total distributions (0.18) (0.46) (0.55) (0.36)
-------------------------------------------------------
Net asset value, end of period $ 10.11 $ 10.17 $ 10.24 $ 10.05
=======================================================
Total Return 1.17% 3.90% 7.58% 4.15%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 21,500 $ 10,942 $ 11,623 $ 5,432
Ratio of expenses to average net assets:
Before expense reimbursements 0.80% 0.82% 0.86% 1.26%**
After expense reimbursements 0.49% 0.43% 0.30% 0.09%**
Ratio of net investment income to average net assets
Before expense reimbursements 1.35% 2.57% 4.63% 5.02%**
After expense reimbursements 1.66% 2.96% 5.19% 6.19%**
Portfolio Turnover 74.45% 119.61% 64.56% --
* Commencement of operations.
** Annualized.
See accompanying notes to financial statements
42
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
S&P 500 Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 18.48 $ 22.79 $ 30.84 $ 28.12 $ 20.90
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.29 0.29 0.34 0.38 0.39
Net gain (loss) on securities (both
realized and unrealized) 1.89 (4.31) (7.64) 4.06 7.79
----------------------------------------------------------------------
Total from Investment Operations 2.18 (4.02) (7.30) 4.44 8.18
----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.30) (0.29) (0.34) (0.40) (0.39)
Distributions from capital gains -- -- (0.41) (1.32) (0.57)
----------------------------------------------------------------------
Total distributions (0.30) (0.29) (0.75) (1.72) (0.96)
----------------------------------------------------------------------
Net asset value, end of year $ 20.36 $ 18.48 $ 22.79 $ 30.84 $ 28.12
======================================================================
Total Return 12.03% (17.83)% (23.93)% 16.38% 39.76%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 98,264 $ 93,961 $ 141,390 $ 165,891 $ 142,276
Ratio of expenses to average net assets:
Before expense reimbursements 0.45% 0.41% 0.39% 0.40% 0.37%
After expense reimbursements 0.25% 0.20% 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets
Before expense reimbursements 1.35% 1.30% 1.16% 1.11% 1.33%
After expense reimbursements 1.55% 1.51% 1.35% 1.31% 1.50%
Portfolio Turnover 3.63% 31.12% 6.26% 9.00% 9.76%
S&P MidCap Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 14.60 $ 16.18 $ 20.75 $ 18.70 $ 15.41
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.12 0.05 0.17 0.22 0.20
Net gain (loss) on securities (both
realized and unrealized) 2.41 (1.54) (1.66) 6.05 5.80
----------------------------------------------------------------------
Total from Investment Operations 2.53 (1.49) (1.49) 6.27 6.00
----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.12) (0.03) (0.18) (0.21) (0.20)
Distributions from capital gains -- (0.06) (2.90) (4.01) (2.51)
----------------------------------------------------------------------
Total distributions (0.12) (0.09) (3.08) (4.22) (2.71)
----------------------------------------------------------------------
Net asset value, end of year $ 17.01 $ 14.60 $ 16.18 $ 20.75 $ 18.70
======================================================================
Total Return 17.46% (8.77)% (6.56)% 40.44% 41.13%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 103,771 $ 96,590 $ 83,293 $ 74,749 $ 57,164
Ratio of expenses to average net assets:
Before expense reimbursements 0.58% 0.58% 0.56% 0.57% 0.57%
After expense reimbursements 0.46% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to average net assets
Before expense reimbursements 0.66% 0.78% 0.84% 1.03% 0.90%
After expense reimbursements 0.78% 0.96% 1.00% 1.20% 1.07%
Portfolio Turnover 8.33% 21.73% 39.41% 46.23% 42.98%
See accompanying notes to financial statements
43
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
S&P SmallCap Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 11.60 $ 12.89 $ 14.09 $ 11.46 $ 9.46
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.03 0.03 0.11 0.12 0.08
Net gain (loss) on securities (both
realized and unrealized) 2.51 (1.28) (0.55) 3.14 2.13
----------------------------------------------------------------------
Total from Investment Operations 2.54 (1.25) (0.44) 3.26 2.21
----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.03) (0.04) (0.12) (0.10) (0.08)
Distributions from capital gains (0.04) -- (0.64) (0.53) (0.13)
----------------------------------------------------------------------
Total distributions (0.07) (0.04) (0.76) (0.63) (0.21)
----------------------------------------------------------------------
Net asset value, end of year $ 14.07 $ 11.60 $ 12.89 $ 14.09 $ 11.46
======================================================================
Total Return 22.04% (9.69)% (2.59)% 29.63% 23.53%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 18,526 $ 15,813 $ 14,226 $ 12,863 $ 10,881
Ratio of expenses to average net assets:
Before expense reimbursements 0.88% 0.88% 0.92% 1.00% 1.05%
After expense reimbursements 0.65% 0.65% 0.65% 0.65% 0.65%
Ratio of net investment income to average net assets
Before expense reimbursements 0.08% 0.00% 0.54% 0.58% 0.31%
After expense reimbursements 0.31% 0.23% 0.81% 0.93% 0.71%
Portfolio Turnover 16.51% 17.64% 41.91% 37.21% 25.40%
Equity Income Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2003 2002 2001 2000 1999
----------------------------------------------------------------------
Net asset value, beginning of year $ 11.38 $ 12.21 $ 14.81 $ 14.38 $ 11.98
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.15 0.17 0.28 0.36 0.32
Net gain (loss) on securities (both
realized and unrealized) 0.94 (0.83) (2.46) 0.76 2.41
----------------------------------------------------------------------
Total from Investment Operations 1.09 (0.66) (2.18) 1.12 2.73
----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.15) (0.17) (0.39) (0.27) (0.33)
Distributions from capital gains -- -- (0.03) (0.42) --
----------------------------------------------------------------------
Total distributions (0.15) (0.17) (0.42) (0.69) (0.33)
----------------------------------------------------------------------
Net asset value, end of year $ 12.32 $ 11.38 $ 12.21 $ 14.81 $ 14.38
======================================================================
Total Return 9.77% (5.46)% (14.94)% 8.23% 22.89%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 9,818 $ 8,261 $ 8,794 $ 11,813 $ 13,716
Ratio of expenses to average net assets:
Before expense reimbursements 0.95% 0.91% 0.94% 0.98% 0.86%
After expense reimbursements 0.80% 0.80% 0.80% 0.80% 0.80%
Ratio of net investment income to average net assets
Before expense reimbursements 1.24% 1.33% 1.96% 2.49% 2.09%
After expense reimbursements 1.39% 1.44% 2.10% 2.67% 2.15%
Portfolio Turnover 30.01% 69.43% 73.50% 38.34% 54.03%
See accompanying notes to financial statements
44
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
- --------------------------------------------------------------------------------
European Growth & Income Fund
January 18,
Year Ended Year Ended Year Ended 2000* to
August 31, August 31, August 31, August 31,
2003 2002 2001 2000
-------------------------------------------------------
Net asset value, beginning of period $ 5.80 $ 7.13 $ 9.59 $ 10.00
-------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.11 0.10 0.08 0.09
Net loss on securities (both
realized and unrealized) 0.35 (1.34) (2.46) (0.45)
-------------------------------------------------------
Total from Investment Operations 0.46 (1.24) (2.38) (0.36)
-------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.08) (0.09) (0.08) (0.05)
Distributions from capital gains -- -- -- --
-------------------------------------------------------
Total distributions (0.08) (0.09) (0.08) (0.05)
-------------------------------------------------------
Net asset value, end of period $ 6.18 $ 5.80 $ 7.13 $ 9.59
=======================================================
Total Return 8.17% (17.50)% (24.87)% (3.59)%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 3,364 $ 2,357 $ 2,106 $ 1,505
Ratio of expenses to average net assets:
Before expense reimbursements 1.99% 1.99% 2.17% 3.99%**
After expense reimbursements 0.95% 0.95% 0.95% 0.95%**
Ratio of net investment income to average net assets
Before expense reimbursements 0.83% 0.30% (0.18)% (1.53)%**
After expense reimbursements 1.87% 1.34% 1.04% 1.51%**
Portfolio Turnover 0.00% 9.70% 19.75% 114.30%
Nasdaq-100 Index Fund
January 18,
Year Ended Year Ended Year Ended 2000* to
August 31, August 31, August 31, August 31,
2003 2002 2001 2000
-------------------------------------------------------
Net asset value, beginning of period $ 2.41 $ 3.75 $ 10.67 $ 10.00
-------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (loss) (0.01) --(a) 0.05 0.03
Net gain (loss) on securities (both
realized and unrealized) 1.01 (1.33) (6.84) 0.67
-------------------------------------------------------
Total from Investment Operations 1.00 (1.33) (6.79) 0.70
-------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income -- (0.01) (0.08) (0.03)
Distributions from capital gains -- -- (0.05) --
-------------------------------------------------------
Total distributions -- (0.01) (0.13) (0.03)
-------------------------------------------------------
Net asset value, end of period $ 3.41 $ 2.41 $ 3.75 $ 10.67
=======================================================
Total Return 41.49% (35.61)% (64.26)% 7.02%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 14,928 $ 9,191 $ 11,390 $ 14,498
Ratio of expenses to average net assets:
Before expense reimbursements 1.05% 0.99% 0.90% 0.99%**
After expense reimbursements 0.65% 0.64% 0.65% 0.65%**
Ratio of net investment income to average net assets
Before expense reimbursements (0.80)% (0.45)% 0.14% 0.54%**
After expense reimbursements (0.40)% (0.10)% 0.39% 0.88%**
Portfolio Turnover 8.64% 4.18% 13.82% 0.62%
(a) Represents less than $0.01 per share
* Commencement of operations.
** Annualized.
See accompanying notes to financial statements
45
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2003
TRUST STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate
series of shares of beneficial interest of California Investment Trust II. Both
Trusts are registered under the Investment Company Act of 1940, as amended, as
diversified open-end management investment companies. Both Trusts were organized
as Massachusetts business trusts on September 11, 1985 and are authorized to
issue an unlimited number of no par value shares in one or more series. The
investment objectives of the Funds are as follows: California Tax-Free Income
Fund and California Insured Intermediate Fund seek as high a level of income
exempt from federal and California personal income taxes as is consistent with
prudent investment management and safety of capital. California Tax-Free Money
Market Fund seeks capital preservation, liquidity and the highest achievable
current income exempt from both federal and California personal income taxes
consistent with safety. U.S. Government Securities Fund seeks safety from credit
risk, liquidity, and as high a level of income as is consistent with these
objectives by investment in full faith and credit obligations of the U.S.
Government and its agencies or instrumentalities. The United States Treasury
Trust seeks preservation of capital, safety, liquidity and consistent with these
objectives, the highest attainable current income exempt from state income
taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are
diversified mutual funds that seek to provide investment results that correspond
to the total return of publicly traded common stocks represented in the Standard
& Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of current income by investing primarily in income
producing equity securities. European Growth & Income Fund seeks to provide
long-term capital appreciation and income. Nasdaq-100 Index Fund attempts to
replicate the performance of the largest non-financial companies as measured by
the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund will attempt to
maximize current income and preserve investors' principal. 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, California Insured Intermediate Fund, U.S. Government Securities
Fund and Short-Term U.S. Government Bond 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 in good faith by the
Board of Trustees. Securities with remaining maturities of 60 days or less are
valued on the amortized cost basis as reflecting fair value. All other
securities are valued at their fair value as determined in good faith by the
Board of Trustees. California Tax-Free Money Market Fund and The United States
Treasury Trust securities are valued at amortized cost which the Board of
Trustees has determined in good faith to constitute fair value.
(b) Futures Contracts --- Initial margin deposits required upon entering
into futures contracts are satisfied by the segregation of specific securities
or cash, as collateral, for the account of the broker (the Fund's agent in
acquiring the futures position). During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
made or received depending upon whether unrealized gains or losses are incurred.
When the contract is closed, the Fund records a realized gain or loss equal to
the difference between the proceeds from (or cost of) the closing transaction
and the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index
Fund, S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and
Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash
reserves while remaining fully invested, to facilitate trading, to reduce
transaction costs, or to seek higher investment returns when a futures contract
is priced more attractively than the underlying equity security or index. Risks
include the possibility of an illiquid market and an imperfect correlation
between the change in market value of the stocks held by a Fund and the prices
of futures contracts.
(c) Federal Income Taxes --- No provision is considered necessary for
Federal income taxes. The Funds intend to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
Capital loss carry forwards, as of August 31, 2003, available to offset future
capital gains, if any, are as follows:
Fund Amount Expiring Through
---- ------ ----------------
California Tax-Free Money Market Fund $ 14,841 2004
S&P 500 Index Fund 10,264,980 2011
S&P MidCap Index Fund 3,696,830 2011
S&P SmallCap Index Fund 11,836 2011
Equity Income Fund 990,673 2011
European Growth & Income Fund 199,138 2011
Nasdaq-100 Index Fund 5,909,061 2011
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date. Interest
income is recorded on the accrual basis. Dividend income is recorded on the
ex-dividend date. Distributions to shareholders are recorded on the ex-dividend
date for the California Tax-Free Income Fund, the California Insured
Intermediate Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P
MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth
& Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences are
primarily due to differing treatments for futures contracts 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) Equalization --- 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 follow the accounting practice of "equalization" whereby
part of the proceeds from capital share transactions equivalent to a
proportionate share of the distributable investment income on the date of the
transaction, is transferred to or from the undistributed net investment income
account. Undistributed net investment income is therefore unaffected by capital
share transactions.
46
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2003
TRUST STATEMENTS
CONTINUED
- --------------------------------------------------------------------------------
(f) Concentration --- The California Tax-Free Income Fund, the California
Insured Intermediate Fund and the California Tax-Free Money Market Fund invest
in debt instruments of municipal issuers. The issuer's abilities to meet their
obligations may be affected by economic developments in the state of California.
(g) Use of Estimates in Financial Statements --- In preparing financial
statements in conformity with accounting principles generally accepted in the
United States of America, management makes estimates and assumptions that affect
the reported amounts of assets and liabilities at the date of the financial
statements, as well as the reported amounts of income and expense during the
year. Actual results may differ from these estimates.
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of
0.25% and 0.40%, respectively, of the Funds' average daily net assets. In
accordance with the terms of the management agreements with the S&P SmallCap
Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S.
Government Bond Fund, CCM receives compensation at the annual rate of 0.50% of
the first $500 million of net assets, plus 0.45% on net assets from $500 million
to $1 billion, and 0.40% of net assets above $1 billion. In accordance with the
terms of the management agreement with the European Growth & Income Fund, CCM
receives compensation at the annual rate of 0.85% of the Fund's average daily
net assets. CCM has agreed to reduce its fee by, or reimburse the Funds for, any
amount necessary to prevent the Funds' total expenses, excluding extraordinary
items, from exceeding 1.00% of the Funds' average daily net assets. The manager
has voluntarily reimbursed more expenses than contractually obliged. This
voluntary reimbursement may cease at any time without prior notice.
Reimbursement from the manager for the year ended August 31, 2003, is as
follows:
California Tax-Free Money Market Fund .................. $ 208,650
California Insured Intermediate Fund ................... $ 36,966
Short-Term U.S. Government Bond Fund ................... $ 43,113
U.S. Government Securities Fund ........................ $ 21,171
The United States Treasury Trust ....................... $ 121,619
S&P 500 Index Fund ..................................... $ 174,605
S&P MidCap Index Fund .................................. $ 106,542
S&P SmallCap Index Fund ................................ $ 35,560
Equity Income Fund ..................................... $ 12,819
European Growth & Income Fund .......................... $ 27,935
Nasdaq-100 Index Fund .................................. $ 41,697
Certain officers and trustees of the Trust are also partners of CCM.
NOTE 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during the
year ended August 31, 2003 were as follows:
PURCHASES SALES
--------- -----
California Tax-Free Income Fund ............. $ 2,493,835 $ 35,606,374
California Insured Intermediate Fund ........ $ 5,649,369 $ 6,531,155
Short-Term U.S. Government Bond Fund ........ $ 15,603,055 $ 7,762,246
U.S. Government Securities Fund ............. $ 11,508,005 $ 18,299,327
S&P 500 Index Fund .......................... $ 3,148,324 $ 8,852,094
S&P Midcap Index Fund ....................... $ 7,313,366 $ 10,880,149
Equity Income Fund .......................... $ 4,043,235 $ 1,889,503
S&P SmallCap Index Fund ..................... $ 2,435,370 $ 2,483,430
European Growth & Income Fund ............... $ 772,405 $ 108
Nasdaq-100 Index Fund ....................... $ 2,804,690 $ 816,449
For the year ended August 31, 2003, 100% of the distributions paid from the net
investment income of the California Tax-Free Money Market Fund, the California
Tax-Free Income Fund and the California Insured Intermediate Fund qualifies as
tax-exempt interest dividends to noncoporate shareholders.
47
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2003
TRUST STATEMENTS
CONTINUED
- --------------------------------------------------------------------------------
NOTE 4
The tax character of distributions paid during the years ended August 31, 2003
and 2002 were as follows:
Ordinary Long-Term Exempt-Interest Total
Income Capital Gains Dividends Distributions
California Tax-Free Money Market Fund 2003 -- -- 645,114 645,114
2002 -- -- 1,164,353 1,164,353
California Insured Intermediate Fund 2003 8,854 502,411 830,980 1,342,245
2002 14,910 288,107 883,953 1,186,970
California Tax Free Income Fund 2003 156,850 2,227,768 7,287,147 9,671,765
2002 -- 1,633,202 8,024,995 9,658,197
U.S. Government Securities Fund 2003 1,332,875 -- -- 1,332,875
2002 1,659,641 374,129 -- 2,033,770
The United States Treasury Trust 2003 378,500 -- -- 378,500
2002 933,757 -- -- 933,757
Short Term U.S. Government Bond Fund 2003 227,749 -- -- 227,749
2002 414,241 70,454 -- 484,695
S&P 500 Index Fund 2003 1,437,422 -- -- 1,437,422
2002 1,839,168 -- -- 1,839,168
S&P MidCap Index Fund 2003 721,101 -- -- 721,101
2002 965,006 -- -- 965,006
S&P Small Cap Index Fund 2003 41,424 51,780 -- 93,204
2002 51,088 -- -- 51,088
Equity Income Fund 2003 112,369 -- -- 112,369
2002 122,794 -- -- 122,794
European Growth & Income Fund 2003 37,320 -- -- 37,320
2002 34,775 -- -- 34,775
Nasdaq-100 Index Fund 2003 -- -- -- --
2002 18,789 -- -- 18,789
48
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2003
TRUST STATEMENTS
CONTINUED
- --------------------------------------------------------------------------------
The tax character of distributable earnings at August 31, 2003 were as follows:
Undistributed Undistributed Capital Unrealized Post Total
Ordinary Long Term Loss Appreciation October Distributable
Income Capital Gain Carry Forwards (Depreciation) Losses ** Earnings
California Tax-Free Money Market Fund -- -- (14,841) -- (3,258) (18,099)
California Insured Intermediate Fund 11,815 * 73,646 -- 698,232 -- 783,693
California Tax Free Income Fund 12,091 * 1,175,661 -- 15,240,394 -- 16,428,146
U.S. Government Securities Fund 163,981 43,546 -- 99,895 -- 307,422
The United States Treasury Trust 5,381 -- -- -- -- 5,381
Short Term U.S. Government Bond Fund 6,628 -- -- (9,199) -- (2,571)
S&P 500 Index Fund 232,243 -- (10,264,980) 3,519,796 -- (6,512,941)
S&P MidCap Index Fund 118,445 -- (3,696,830) 13,787,444 -- 10,209,059
S&P Small Cap Index Fund 6,579 -- (949) 2,713,014 (11,065) 2,707,579
Equity Income Fund 26,588 -- (990,673) 1,458,915 (7,398) 487,432
European Growth & Income Fund 13,088 -- (199,138) (716,529) -- (902,579)
Nasdaq-100 Index Fund -- -- (5,909,062) (6,740,044) (2,022,544) (14,671,650)
The difference between book basis and tax basis unrealized appreciation is
attributable primarily to the realization for tax purposes of unrealized gains
on future contracts and other deferrals.
* Represents undistributed tax-exempt income.
** Under the current tax law, capital losses realized after October 31 and
prior to the Funds' fiscal year end may be deferred as occuring on the
first day of the following fiscal year.
49
Report of Independent Certified Public Accountants
To the Shareholders and Board of Trustees
California Investment Trust
California Investment Trust II
We have audited the accompanying statements of assets and liabilities of
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund, each a series of shares of beneficial
interest of California Investment Trust, and the U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index
Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income
Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund, each a
series of shares of beneficial interest of California Investment Trust II,
including the portfolios of investments as of August 31, 2003, 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 auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of August 31, 2003, by correspondence with the custodian. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
California Tax-Free Money Market Fund, California Tax-Free Income Fund,
California Insured Intermediate Fund, the U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund as of August 31,
2003, the results of their operations for the year then ended, the changes in
their net assets for each of the two years in the period then ended, and the
financial highlights for the periods referred to above, in conformity with
accounting principles generally accepted in the United States of America.
Tait, Weller & Baker
Philadelphia, Pennsylvania
October 2, 2003
50
- --------------------------------------------------------------------------------
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED)
- --------------------------------------------------------------------------------
Overall responsibility for management of the Funds rests with the Board of
Trustees. The Trustees serve during the lifetime of the Trust and until its
termination, or until death, resignation, retirement or removal. The Trustees,
in turn, elect the officers of the Fund to actively supervise its day-to-day
operations. The officers have been elected for an annual term. The following are
the Trustees and Executive Officers of the Funds:
LENGTH OF TIME
TRUSTEE ADDRESS DATE OF BIRTH POSITION HELD WITH THE TRUST SERVED
- ------------------------------------------------------------------------------------------------------------------------------------
Stephen C. Rogers 44 Montgomery St. #2100 06/27/66 President, Secretary & Trustee Since August 1998
San Francisco, CA 94104 Chief Executive Officer, CCM Partners
- ------------------------------------------------------------------------------------------------------------------------------------
Phillip W. McClanahan 44 Montgomery St. #2100 12/26/35 Vice President, Treasurer and Trustee Since September 1985
San Francisco, CA 94104
- ------------------------------------------------------------------------------------------------------------------------------------
Harry Holmes P.O. Box 714 12/05/25 Trustee Since September 1985
Pebble Beach, CA 93953
- ------------------------------------------------------------------------------------------------------------------------------------
John B. Sias 580 California Street 01/22/27 Trustee Since March 1991
San Francisco, CA 94103
- ------------------------------------------------------------------------------------------------------------------------------------
James Miller One Front Street, Suite 300 05/28/66 Trustee Since August 2001
San Francisco, CA 94111
- ------------------------------------------------------------------------------------------------------------------------------------
Each Trustee oversees twelve portfolios of the Trusts, including the Funds. The
principal occupations of the Trustees and Executive Officers of the Fund during
the past five years and public directorships held by the Trustees are set forth
below:
*Stephen C. Rogers Chief Executive Officer, CCM Partners, 1999 to present;
Chief Operating Officer, CCM Partners 1997 to 1999;
Administrative Officer, CCM Partners1993-1997;
Marketing Representative, CCM Partners, 1992 to 1993.
*Phillip W. McClanahan Director of Investments, CCM Partners, 1985-present;
Vice President and Portfolio Manager, Transamerica
Investment Services, 1984-1985; VicePresident and
Portfolio Manager, Fireman's Fund Insurance Company and
Amfire, Inc., 1966-1984.
Harry Holmes Principal, Harry Holmes & Associates (consulting);
President and Chief Executive Officer, Aspen Skiing
Company, 1982-1984; President and Chief Executive
Officer, Pebble Beach Company (property management),
1973-1984.
John B. Sias President and CEO, Chronicle Publishing Company, 1993
to 2001; Executive Vice President, Capital Cities/ABC
Inc. and President, ABC Network T.V. Group.
James Miller Vice President, Jones Lange LaSalle Americas, Inc. 1999
to present; Associate, Orrick Herrington & Sutcliffe
LLP, 1996-1999; Associate, Gordon & Rees LLP, 1993-1992
* Trustees deemed to be an "interested person" of the Trust, as defined in
the Investment Company Act of 1940.
51
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
ITEM 2. CODE OF ETHICS.
The registrant has adopted a Supplemental Code of Ethics for Senior Financial
Officers that applies to the registrant's principal executive officer, principal
financial officer, and persons performing similar functions. A copy of the
Supplemental Code of Ethics may be obtained, without charge, by calling the
Funds' at (800) 225-8778.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
a.1. The registrant's board has determined that the registrant does not
have an audit committee financial expert serving on its audit
committee
a.2. Not applicable
a.3. The Board of Trustees determined that the Independent Audit Committee
members, collectively, possess the financial literacy required to
effectively oversee the Funds' operations. However no single Committee
member meets the definition of an Audit Committee Financial Expert.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not required for annual reports filed for periods ending before December 15,
2003.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial officer
has concluded that the registrant's disclosure controls and procedures (as
defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended
(the "1940 Act")) are effective based on their evaluation of these controls and
procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant's internal controls or
in other factors that could affect these controls subsequent to the date of
their evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
ITEM 10. EXHIBITS
(a) Supplemental Code of Ethics. Filed herewith.
(b) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
are attached hereto as EX-99.CERT. Certifications pursuant to Section 906
of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-906CERT.
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
California Investment Trust II
By (Signature and Title)* /s/ Steve Rogers PRESIDENT
------------------------------------------------------
Date: November 6, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Steve Rogers PRESIDENT
------------------------------------------------------
Date: November 6, 2003
By (Signature and Title)* /s/ Phillip McClanahan TREASURER
------------------------------------------------------
Date: November 6, 2003
* Print the name and title of each signing officer under his or her signature.