==========================
OMB APPROVAL
==========================
OMB Number: 3235-0570
Expires: Nov. 30, 2005
Estimated average burden
hours per response: 5.0
==========================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4418
-------------------------------
California Investment Trust II
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
44 Montgomery Street, Suite 2100, San Francisco, CA 94104
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (415) 398-2727
--------------
Date of fiscal year end: August 31, 2004
---------------
Date of reporting period: February 29, 2004
-----------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SEIM-ANNUAL REPORT
The Report to Shareholders is attached herewith.
[LOGO] BULK RATE
CALIFORNIA INVESTMENT TRUST U.S. Postage
- --------------------------- PAID
FUND GROUP Permit #688
Redwood City,
44 Montgomery Street #2100 CA
San Francisco, CA 94104
California Tax-Free Income Fund
California Insured Intermediate Fund
California Tax-Free Money Market Fund
U.S. Government Securities Fund
Short-Term U.S. Government Bond Fund
The United States Treasury Trust
S&P 500 Index Fund
S&P MidCap Index Fund
S&P SmallCap Index Fund
Equity Income Fund
European Growth & Income Fund
Nasdaq-100 Index Fund
[LOGO]
CALIFORNIA INVESTMENT TRUST
---------------------------
FUND GROUP
SEMI-ANNUAL REPORT
February 29, 2004
(800) 225-8778
www.citfunds.com
NO-LOAD FUNDS
This report is intended only for the information of shareholders or those who
have received the offering prospectus covering shares of beneficial interest of
California Investment Trust Fund Group which contains information about the
management fee and other costs. Investments in shares of the funds of California
Investment Trust Fund Group are neither insured nor guaranteed by the U.S.
Government, and there is no assurance that any Fund which is a Money Market Fund
will be able to maintain a stable net asset value of $1.00 per share.
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004
MONEY MARKET FUND (UNAUDITED)
Value
Security Description Par Value Rate Maturity (Note 1)
-------------------- --------- ---- -------- --------
Variable Rate Demand Notes* (82.31%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series 2002A $ 2,000,000 0.920% 3/4/2004 $ 2,000,000
Power Supply Revenue Bonds; Series 2002B6 800,000 0.980% 3/1/2004 800,000
Power Supply Revenue Bonds; Series B4 300,000 0.970% 3/1/2004 300,000
Power Supply Revenue Bonds; Series B5 1,000,000 0.970% 3/1/2004 1,000,000
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
California Educational Facilities Authority, Stanford University; Series L-9 1,400,000 0.900% 3/3/2004 1,400,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
Scripps Hospital; Series B 2,000,000 0.920% 3/3/2004 2,000,000
Sutter Hospital; Series B 375,000 0.950% 3/1/2004 375,000
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
ExxonMobil; Series 2000 200,000 0.830% 3/1/2004 200,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
John Muir/Mt. Diablo Health System 670,000 0.920% 3/1/2004 670,000
Gemological Institute of America; Special Tax; Series 2001 2,300,000 0.930% 3/4/2004 2,300,000
Sutter Health Variable Rate Bonds 3,200,000 0.980% 3/1/2004 3,200,000
CALIFORNIA, STATE OF
General Obligation Bonds; Series 2003C-1 2,000,000 0.930% 3/4/2004 2,000,000
CHINO BASIN REGIONAL FINANCING AUTHORITY
Inland Empire Utilities Agency; Series 2002A 3,000,000 0.890% 3/3/2004 3,000,000
IRVINE RANCH WATER DISTRICT
Certificates of Participation, 1986 Capital Improvement Projects 1,300,000 0.970% 3/1/2004 1,300,000
General Obligation; Consolidated Series 1989 300,000 0.920% 3/1/2004 300,000
General Obligation; Consolidated Series 1993 600,000 0.980% 3/1/2004 600,000
Sewer Bonds; Series A 1,300,000 0.970% 3/1/2004 1,300,000
Special Assessment, Consolidated; Series 1985 500,000 0.980% 3/1/2004 500,000
Waterworks Bonds; 1988 Series A, District 182 1,300,000 0.970% 3/1/2004 1,300,000
IRVINE, CITY OF
Assessment District 00-18; Series A 2,550,000 0.980% 3/1/2004 2,550,000
Assessment District 93-14 400,000 0.970% 3/1/2004 400,000
Assessment District 94-13 1,129,000 0.980% 3/1/2004 1,129,000
KERN, COUNTY OF
Certificates of Participation; 1986 Series C 1,400,000 0.920% 3/3/2004 1,400,000
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY
Sale Tax Revenue Refunding Bonds; Series 1993-A 2,500,000 0.920% 3/4/2004 2,500,000
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds, 1992; Series A 3,000,000 0.890% 3/3/2004 3,000,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power System Revenue Bonds; Series A-3 2,500,000 0.930% 3/4/2004 2,500,000
Water System Revenue Bonds; 2001 Series B-2 1,100,000 0.980% 3/1/2004 1,100,000
LOS ANGELES, COUNTY OF
Pension Obligation Refunding Bonds 3,000,000 0.890% 3/3/2004 3,000,000
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water Revenue Bonds; Series 2000 B-3 100,000 0.970% 3/1/2004 100,000
Water Revenue Bonds; Series 2001 C-2 500,000 0.950% 3/1/2004 500,000
Water Revenue Refunding Bonds; 1996 Series A 2,700,000 0.950% 3/4/2004 2,700,000
NEWPORT BEACH, CITY OF
Hoag Memorial Hospital Presbyterian; Series 1992 2,570,000 0.950% 3/1/2004 2,570,000
Hoag Memorial Hospital Presbyterian; Series 1996 Series A 500,000 1.000% 3/1/2004 500,000
Hoag Memorial Hospital Presbyterian; Series C 300,000 1.000% 3/1/2004 300,000
NORTHERN CALIFORNIA POWER AGENCY
Hydroelectric Project No. 1, Revenue Bonds 2,200,000 0.890% 3/3/2004 2,200,000
ORANGE COUNTY HOUSING AUTHORITY
Revenue Bonds, Village Niguel, Issue AA of 1985 2,900,000 0.900% 3/3/2004 2,900,000
ORANGE COUNTY SANITATION DISTRICT
Certificates of Participation; Series 2000-A 1,000,000 0.980% 3/1/2004 1,000,000
Refunding Certificates of Participation; Series 1993 1,950,000 0.980% 3/1/2004 1,950,000
1
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004
MONEY MARKET FUND CONTINUED (UNAUDITED)
Value
Security Description Par Value Rate Maturity (Note 1)
-------------------- --------- ---- -------- --------
ORANGE, COUNTY OF
Revenue Bonds, Niguel Summit II, Issue U of 1985 $ 1,900,000 0.900% 03/02/04 $ 1,900,000
RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY
Eisenhower Medical Center; Series 2001A 700,000 0.920% 03/01/04 700,000
Eisenhower Medical Center; Series 2001B 1,155,000 0.920% 03/01/04 1,155,000
RIVERSIDE, CITY OF
First Nationwide Savings Program, 1985 Issue G 2,500,000 0.920% 03/03/04 2,500,000
RIVERSIDE, COUNTY OF
Community Facilities District 89-5, Special Tax 3,000,000 0.920% 03/03/04 3,000,000
SAN BERNARDINO, COUNTY OF
Medical Center Financing Project; Series 1998 1,000,000 0.920% 03/03/04 1,000,000
SAN FRANCISCO CITY & COUNTY FINANCE CORP
Moscone Center Expansion Project; Series 2000-3 3,000,000 0.870% 03/04/04 3,000,000
SANTA ANA HOUSING AUTHORITY
Harbor Pointe Apartments; 1995 Series A 2,720,000 0.900% 03/04/04 2,720,000
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
Palo Verde Project; 1996 Series C 2,000,000 0.890% 03/03/04 2,000,000
TUSTIN, CITY OF
Reassessment District No. 95-2; Series A 800,000 0.980% 03/01/04 800,000
WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY
Variable Rate Revenue Bonds, 1996 1,000,000 0.980% 03/01/04 1,000,000
WILLIAM S. HART UNION HIGH SCHOOL DISTRICT
School Facility Bridge Funding Program 3,000,000 0.920% 03/04/04 3,000,000
------------
Total Variable Rate Demand Notes (Cost $79,619,000) 79,619,000
------------
Tax and Revenue Anticipation Notes (7.26%)
Los Angeles Unified School District 2,000,000 2.000% 07/01/04 2,007,066
San Diego Unified School District 3,000,000 2.000% 06/30/04 3,010,910
San Diego, County of 1,000,000 1.750% 06/30/04 1,002,785
Santa Barbara, County of 1,000,000 2.000% 07/23/04 1,004,684
------------
Total Tax and Revenue Anticipation Notes (Cost $7,025,445) 7,025,445
------------
Commercial Paper (10.34%)
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
Carnegie Institution; 1993 Series A & B 2,500,000 1.030% 03/11/04 2,500,000
EAST BAY MUNICIPAL UTILITY DISTRICT
Water System Series Commercial Paper 3,000,000 0.920% 04/06/04 3,000,000
SAN DIEGO REGIONAL TRANSPORTATION COMMISSION
Sales Tax Revenue Commercial Paper 2,500,000 1.000% 04/08/04 2,500,000
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Commercial Paper Notes; Series A 2,000,000 0.950% 06/09/04 2,000,000
------------
Total Commercial Paper (Cost $10,000,000) 10,000,000
------------
Total Investments (Cost $96,644,445) (a) (99.91%) 96,644,445
Other Net Assets (0.09%) 84,102
------------
Net Assets(100.00%) $ 96,728,547
============
(a) Aggregate cost for federal income tax purposes is $96,644,445.
*Stated maturity reflects next reset date.
See accompanying notes to financial statements
2
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/29/2004
INTERMEDIATE FUND (UNAUDITED)
Value
Security Description Par Value Rate Maturity (Note 1)
-------------------- --------- ---- -------- --------
Long-Term Securities (91.67%)
ANAHEIM PUBLIC FINANCING AUTHORITY
Convention Center Project; Series A $ 500,000 5.250% 08/01/13 $ 573,760
BEVERLY HILL PUBLIC FINANCING AUTHORITY
Lease Revenue Refunding; Series A 500,000 5.250% 06/01/13 582,090
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
University of San Francisco Revenue Bonds; Series 1996 500,000 5.600% 10/01/10 592,345
CALIFORNIA STATE PUBLIC WORKS BOARD
CA State Prison--Lassen County; 2001 Series A 400,000 5.250% 06/01/11 462,008
Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.250% 06/01/12 574,770
CALIFORNIA, STATE OF
General Obligation Bonds; Refunding Notes; Series 2000 600,000 5.750% 12/01/10 714,702
CAMPBELL UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; Series 2000 425,000 5.250% 08/01/09 491,678
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects; Series 1994A 300,000 7.250% 08/01/09 375,882
Water System Improvement Projects; Series 2001A 500,000 6.000% 08/01/12 600,355
CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY
General Obligation Refi. Bonds; Series A 400,000 6.150% 02/01/09 473,624
CHAFFEY UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; Series C 500,000 5.000% 05/01/12 573,075
CHICO PUBLIC FINANCING AUTHORITY
2001 Tax Allocation, Merged Redevelopment Project Area 500,000 4.000% 04/01/05 516,115
CHICO UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds 400,000 8.500% 08/01/07 489,636
CONTRA COSTA WATER DISTRICT
Water Revenue Refunding Bonds; Series K 400,000 5.000% 10/01/09 458,416
DESERT SANDS UNIFIED SCHOOL DISTRICT
Certificates of Participation; Series 1995 500,000 5.300% 03/01/07 531,545
EASTERN MUNICIPAL WATER DISTRICT
Certificates of Participation; Series A 550,000 5.250% 07/01/12 629,376
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT
General Obligation Refunding Bonds 2002 500,000 5.500% 08/01/12 592,750
FRESNO, CITY OF
Water System Revenue Refuding; Series A 500,000 6.000% 06/01/11 606,310
IMPERIAL IRRIGATION DISTRICT
Certificates of Participation; 1997 Capital Projects 600,000 5.200% 11/01/09 694,866
INTERMODAL CONTAINER TRANSFER FACILITIES JOINT POWERS AUTHORITY
Refunding Revenue Bonds; 1999 Series A 490,000 5.125% 11/01/13 568,082
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY
Sales Tax Revenue Bonds; Series A 500,000 5.500% 07/01/08 574,255
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power Project Revenue Bond; 2001 Series A 500,000 5.250% 07/01/14 569,315
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1997 Series A 400,000 6.000% 07/01/07 456,520
LOS ANGELES, CITY OF
Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.000% 02/01/08 559,800
LOS ANGELES, COUNTY OF
Pension Obligation Certificates; Series A 400,000 6.900% 06/30/08 481,824
MONTEREY, COUNTY OF
Certificates of Participation 600,000 5.250% 08/01/14 683,742
NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; 2002 Series A 500,000 5.000% 08/01/12 574,650
NORWALK COMMUNITY FACILITIES FINANCING AUTHORITY
City Hall Lease Revenue Refunding Bonds; 1999 200,000 5.000% 02/01/09 226,544
3
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/29/2004
INTERMEDIATE FUND CONTINUED (UNAUDITED)
Value
Security Description Par Value Rate Maturity (Note 1)
-------------------- --------- ---- -------- --------
OAK PARK UNIFIED SCHOOL DISTRICT
General Obligation, Refunding Bonds $ 600,000 5.150% 05/01/07 $ 669,228
OAKLAND JOINT POWERS FINANCING AUTHORITY
Convention Centers; Series 2001 500,000 5.500% 10/01/12 593,235
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.500% 02/15/07 557,125
PASADENA UNIFIED SCHOOL DISTRICT
General Obligation Bonds; Series B 400,000 5.000% 07/01/07 444,108
RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY
Eisenhower Medical Center; Series 1997A 385,000 5.250% 07/01/12 429,941
SACRAMENTO REDEVELOPMENT AGENCY
Downtown Sacramento Project; Series 1998C 500,000 4.750% 11/01/08 561,405
SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY
Sewer Revenue Refunding Bonds; Series A 500,000 5.100% 05/15/10 552,895
SAN FRANCISCO AIRPORT COMMISSION
SF Intl. Airport Revenue Second; Series B 450,000 5.500% 05/01/09 508,487
SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION
Water Revenue Refunding Bonds; Series B 500,000 5.000% 11/01/13 567,015
SAN FRANCISCO CITY & COUNTY REDEVELOPMENT FINANCING AUTHORITY
Redevelopment Project; Series B 560,000 5.250% 08/01/14 641,978
SAN FRANCISCO STATE BUILDING AUTHORITY
Civic Center Complex; 1996 Series A 400,000 6.000% 12/01/09 480,132
SAN JOSE FINANCING AUTHORITY
Lease Revenue Bonds; Series 2001F 480,000 4.500% 09/01/09 537,005
SAN MATEO COUNTY JOINT POWERS FINANCING AUTHORITY
Lease Revenue Bonds; Series A 510,000 4.000% 07/15/10 556,028
SAN MATEO COUNTY TRANSIT DISTRICT
Limited Tax Bonds; 1993 Series A 300,000 5.000% 06/01/11 344,802
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Bonds; 2000 Series A 400,000 5.500% 05/15/10 469,460
SANTA ROSA HIGH SCHOOL DISTRICT
General Obligation Bonds; Series 2001 390,000 4.625% 05/01/08 433,044
SARATOGA UNION SCHOOL DISTRICT
1997 General Obligation Bonds; Series A 600,000 4.900% 09/01/09 681,306
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
San Juan Power Project 2002 Refunding; Series A 500,000 5.500% 01/01/13 586,270
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Hospital Revenue Bonds; Series 2000 500,000 4.375% 12/01/09 555,664
Multiple Purpose Projects; Series O 500,000 5.750% 09/01/10 597,315
------------
Total Long-Term Securities (Cost $24,270,102) 25,994,478
------------
Variable Rate Demand Notes* (7.42%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series B4 200,000 0.970% 03/02/04 200,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
John Muir/Mt. Diablo Health System 240,000 0.920% 03/01/04 240,000
IRVINE RANCH WATER DISTRICT
General Obligation; Consolidated Series 1989 175,000 0.920% 03/01/04 175,000
Sewer Bonds; Series A 600,000 0.970% 03/01/04 600,000
NEWPORT BEACH
Hoag Memorial Hospital Presbyterian; Series 1992 240,000 0.950% 03/01/04 240,000
ORANGE COUNTY SANITATION DISTRICT
Certificates of Participation; Series 2000 100,000 0.980% 03/01/04 100,000
RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY
Eisenhower Medical Center; Series 2001B 250,000 0.920% 03/01/04 250,000
4
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/29/2004
INTERMEDIATE FUND CONTINUED (UNAUDITED)
Value
Security Description Par Value Rate Maturity (Note 1)
-------------------- --------- ---- -------- --------
WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY
Variable Rate Revenue Bonds, 1996 $ 300,000 0.980% 03/01/04 $ 300,000
------------
Total Variable Rate Demand Notes (Cost $2,105,000) 2,105,000
------------
Total Investments (Cost $26,375,102) (a) (99.09%) 28,099,478
Other Net Assets (0.91%) 258,786
------------
Net Assets (100.00%) $ 28,358,264
============
(a) Aggregate cost for federal income tax purposes is $26,375,102. At February 29, 2004, unrealized
appreciation (depreciation) of securities for federal income tax purposes is as follows:
Unrealized appreciation $ 1,724,376
Unrealized depreciation --
------------
Net unrealized appreciation $ 1,724,376
============
*Stated maturity reflects next reset date.
See accompanying notes to financial statements
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004
INCOME FUND (UNAUDITED)
Value
Security Description Par Value Rate Maturity (Note 1)
-------------------- --------- ---- -------- --------
Long-Term Securities (91.08%)
ANAHEIM PUBLIC FINANCING AUTHORITY
Public Improvement Project; Series C $ 2,250,000 6.000% 09/01/12 $ 2,742,930
BEVERLY HILL PUBLIC FINANCING AUTHORITY
Lease Revenue Refunding; Series A 2,000,000 5.250% 06/01/13 2,328,360
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Water System Revenue Bonds, Central Valley J-1; Prerefunded 625,000 7.000% 12/01/11 817,013
Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.000% 12/01/11 2,182,397
Water System Revenue Bonds, Central Valley J-3; Prerefunded 765,000 7.000% 12/01/11 1,000,023
Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.000% 12/01/11 2,665,229
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.250% 01/01/17 2,787,375
Stanford University Revenue Bonds; Series P 3,000,000 5.250% 12/01/13 3,545,640
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK
Asian Art Museum of San Francisco; Series 2000 2,565,000 5.500% 06/01/13 2,978,222
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
San Diego Gas & Electric; 1996 Series A 3,000,000 5.900% 06/01/14 3,245,460
CALIFORNIA POLYTECHNIC STATE UNIVERSITY
Student Union Revenue Bonds; Series C 2,390,000 5.625% 07/01/26 2,682,942
CALIFORNIA STATE PUBLIC WORKS BOARD
CA State Prison--Imperial County; 1991 Series A 4,000,000 6.500% 09/01/17 4,794,280
University of California Projects; 1993 Series A 5,000,000 5.500% 06/01/14 5,811,700
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
UniHealth America; Certificates of Participation; 1993 Series A 1,005,000 5.500% 10/01/14 1,185,739
CALIFORNIA, STATE OF
General Obligation Bonds 3,000,000 6.250% 09/01/12 3,558,450
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects; Series 1994A 2,090,000 7.250% 08/01/09 2,618,645
CONTRA COSTA WATER DISTRICT
Water Revenue Bonds; Series E 2,000,000 6.250% 10/01/12 2,420,100
CUCAMONGA COUNTY WATER DISTRICT
Water Facilities and Refinancing, 2001 1,080,000 5.000% 09/01/16 1,184,749
CULVER CITY REDEVELOPMENT FINANCE AUTHORITY
Tax Allocation Refunding Revenue Bonds, 1993 3,150,000 5.500% 11/01/14 3,706,637
EAST BAY MUNICIPAL UTILITY DISTRICT
Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/14 2,275,380
Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/13 2,291,400
FRESNO, CITY OF
Sewer System Revenue Bonds; 1993 Series A 3,000,000 5.250% 09/01/19 3,475,620
5
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004
INCOME FUND (UNAUDITED)
Value
Security Description Par Value Rate Maturity (Note 1)
-------------------- --------- ---- -------- --------
GLENDALE UNIFIED SCHOOL DISTRICT
General Obligation Bonds; Series A $ 1,000,000 5.750% 09/01/17 $ 1,141,980
GOLDEN WEST SCHOOLS FINANCING AUTHORITY
Refunding Revenue Bonds; 1998 Series A 1,090,000 6.600% 08/01/16 1,357,388
KERN HIGH SCHOOL DISTRICT
General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.600% 08/01/16 3,149,395
LA QUINTA REDEVELOPMENT AGENCY
Redevelopment Project Area No.2; Series 1994 1,015,000 7.300% 09/01/09 1,275,561
LOS ANGELES COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; Series A 1,000,000 5.500% 08/01/15 1,143,140
LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY
Lease Revenue Bonds; 1993 Series A 2,500,000 6.000% 08/15/10 3,016,125
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY
Sales Tax Revenue Refunding Bonds; Series 2001-B 3,000,000 5.250% 07/01/13 3,439,680
LOS ANGELES COUNTY PUBLIC WORKS FINANCING AUTHORITY
Regional Park and Open Space District; Series A 1,500,000 5.000% 10/01/13 1,662,075
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.500% 07/01/10 4,351,828
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1997 Series A 2,450,000 6.000% 07/01/14 3,025,603
LOS ANGELES, CITY OF
Wastewater System Revenue Bonds; Series 1998-C 3,000,000 5.375% 06/01/12 3,516,090
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 1,826,820
NORTHERN CALIFORNIA TRANSMISSION REVENUE
CA-Oregon Transmission Project; 1990 Series A 1,000,000 7.000% 05/01/13 1,273,250
CA-Oregon Transmission Project; 1993 Series A 2,500,000 5.300% 05/01/09 2,880,525
OAKLAND REDEVELOPMENT AGENCY
Central District Redevelopment Project; Series 1992 2,000,000 5.500% 02/01/14 2,362,800
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
General Obligation Bonds; 1998 Series A 1,050,000 5.500% 02/15/11 1,234,905
OXNARD SCHOOL DISTRICT
General Obligation Refunding Bonds; 1997 1,485,000 5.625% 08/01/14 1,784,584
RIVERSIDE COUNTY TRANSPORTATION COMMISSION
Revenue Bonds; 1993 Series A 2,000,000 5.750% 06/01/09 2,350,520
Revenue Bonds; 1993 Series A 1,000,000 5.750% 06/01/07 1,130,170
RIVERSIDE, CITY OF
Sewer Refunding Revenue Bonds; Series 1993 2,000,000 5.000% 08/01/12 2,295,400
SACRAMENTO COUNTY SANITATION DISTRICT
Revenue Bonds, Refunding; Series 2001 1,800,000 5.500% 12/01/21 2,133,216
SACRAMENTO MUNICIPAL UTILITY DISTRICT
Refunding Revenue Bonds; Series A 4,000,000 6.250% 08/15/10 4,792,560
SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH.
Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.000% 09/01/16 1,949,472
SAN BERNARDINO, COUNTY OF
Justice Center / Airport Improvements; Series 2002A 2,890,000 5.000% 07/01/16 3,277,896
SAN DIEGO, COUNTY OF
2001 MTS Tower Refunding Bonds 1,000,000 5.250% 11/01/14 1,142,290
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT
Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.750% 07/01/11 3,724,169
SAN JOSE REDEVELOPMENT AGENCY
Merged Area Redevelopment Project; Series 1993 4,000,000 6.000% 08/01/10 4,814,080
SAN MARINO UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1998 Series B 1,440,000 5.250% 07/01/16 1,675,051
SANTA ANA UNIFIED SCHOOL DISTRICT
General Obligation Bonds; Series 2000 2,500,000 5.700% 08/01/22 2,843,850
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.000% 11/15/12 2,451,080
Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.750% 11/15/13 2,117,290
6
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/29/2004
INCOME FUND (UNAUDITED)
Value
Security Description Par Value Rate Maturity (Note 1)
-------------------- --------- ---- -------- --------
SANTA CLARA REDEVELOPMENT AGENCY
Bayshore North Project, 1992 Tax Allocation Refunding Bonds $ 4,000,000 7.000% 07/01/10 $ 4,818,560
SANTA MARGARITA-DANA POINT AUTHORITY
Improvement District; 1994 Series A 1,045,000 7.250% 08/01/10 1,330,264
SONOMA, COUNTY OF
Certificates of Participation; 2002 Series A 1,815,000 5.000% 11/15/12 2,089,283
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT
Installment Sale Revenue Bonds; Series 1992 2,400,000 6.000% 08/01/11 2,915,184
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
Multiple Project Revenue Bonds; Series 1989 3,585,000 6.750% 07/01/13 4,500,070
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Revenue Refunding Bonds; Series A 1,000,000 5.000% 05/15/08 1,126,140
UC San Diego Medical Center; Revenue Refunding Bonds; Series 2000 2,500,000 5.125% 12/01/16 2,747,250
TURLOCK IRRIGATION DISTRICT
Revenue Refunding Bonds; Series A 2,000,000 6.250% 01/01/12 2,405,080
WESTLANDS WATER DISTRICT
Revenue Certificates of Participation; Series 2002A 1,500,000 5.250% 09/01/19 1,671,254
------------
Total Long-Term Securities (Cost $137,198,523) 159,040,169
------------
Variable Rate Demand Notes* (8.19%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series B5 300,000 0.970% 03/01/04 300,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
Sutter Hospital; Series B 1,000,000 0.950% 03/01/04 1,000,000
CALIFORNIA POLLUTION CFINANCING AUTHORITY
ExxonMobil; Series 2000 2,000,000 0.830% 03/01/04 2,000,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
John Muir/Mt. Diablo Health System 865,000 0.920% 03/01/04 865,000
IRVINE RANCH WATER DISTRICT
General Obligation; Consolidated Series 1989 375,000 0.920% 03/01/04 375,000
Revenue Bonds; Consolidated; Series 1985 2,195,000 0.980% 03/01/04 2,195,000
IRVINE, CITY OF
Assessment District 87-8 1,000,000 0.980% 03/01/04 1,000,000
Assessment District 97-16 700,000 0.980% 03/01/04 700,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Water System Revenue Bonds; 2001 Series B-2 1,300,000 0.980% 03/01/04 1,300,000
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water Revenue Bonds, Series 2000 B-1 500,000 0.980% 03/01/04 500,000
Water Revenue Bonds; Series 2000 B-3 900,000 0.970% 03/01/04 900,000
NEWPORT BEACH
Hoag Memorial Hospital Presbyterian; Series 1992 2,570,000 0.950% 03/01/04 2,570,000
ORANGE COUNTY SANITATION DISTRICT
Certificates of Participation; Series 2000-A 100,000 0.980% 03/01/04 100,000
Certificates of Participation; Series 2000-A 500,000 0.980% 03/01/04 500,000
------------
Total Variable Rate Demand Notes (Cost $14,305,000) 14,305,000
------------
Total Investments (Cost $151,503,523) (a) (99.27%) 173,345,169
Other Net Assets (0.73%) 1,270,955
------------
Net Assets(100.00%) $174,616,124
============
(a) Aggregate cost for federal income tax purposes is $151,503,523. At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 21,846,995
Unrealized depreciation (5,349)
------------
Net unrealized appreciation $ 21,841,646
============
*Stated maturity reflects next reset date.
See accompanying notes to financial statements
7
U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 2/29/2004
SECURITIES FUND (UNAUDITED)
Par Value Rate Maturity Value (Note 1)
--------- ---- -------- --------------
Government National Mortgage Association (61.42%)
$ 264,592 6.000% 04/15/14 $ 281,033
380,199 6.000% 04/15/14 403,823
375,833 6.000% 04/15/16 398,752
396,770 6.500% 04/15/16 424,585
440,458 6.000% 05/15/16 467,317
1,052,522 5.000% 04/15/18 1,087,180
916,073 5.000% 04/15/18 946,237
2,058,746 5.500% 08/15/18 2,159,511
1,888,963 5.000% 09/15/18 1,951,164
10,861 10.000% 09/15/18 12,248
33,325 9.000% 10/15/18 37,221
2,000,003 5.000% 01/15/19 2,065,606
2,000,003 5.000% 01/15/19 2,065,606
2,000,000 5.000% 02/15/19 2,065,603
2,227,437 5.500% 02/15/19 2,336,265
2,000,000 5.000% 02/15/19 2,065,603
------------
Total Government National Mortgage Association (Cost $18,668,128) 18,767,754
------------
United States Treasury Bill (2.28%)
700,000 0.970% 06/24/04 697,952
------------
Total United States Treasury Bills (Cost $697,952) 697,952
------------
United States Treasury Bonds (14.27%)
1,300,000 7.250% 05/15/16 1,659,735
2,000,000 7.625% 11/15/22 2,699,218
------------
Total United States Treasury Bonds ($4,185,076) 4,358,953
------------
United States Treasury Notes (21.26%)
2,000,000 6.500% 05/15/05 2,125,782
2,000,000 6.500% 08/15/05 2,148,594
2,000,000 6.875% 05/15/06 2,220,860
------------
Total United States Treasury Notes ($6,472,247) 6,495,236
------------
Total Investments (Cost $30,023,403) (a) (99.23%) 30,319,895
Other Net Assets (0.77%) 233,977
------------
Net Assets (100.00%) $ 30,553,872
============
(a) Aggregate cost for federal income tax purposes is $30,023,403. At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 312,773
Unrealized depreciation (16,281)
------------
Net unrealized appreciation $ 296,492
============
See accompanying notes to financial statements
8
THE UNITED STATES PORTFOLIO OF INVESTMENTS 2/29/2004
TREASURY TRUST (UNAUDITED)
Par Value Rate Maturity Value (Note 1)
--------- ---- -------- --------------
United States Treasury Bill (100.08%)
$ 1,200,000 0.920% 03/04/04 $ 1,199,913
1,000,000 0.905% 03/11/04 999,756
3,600,000 0.800% 03/25/04 3,597,756
5,000,000 0.980% 04/08/04 4,995,197
4,100,000 0.950% 04/22/04 4,094,433
4,000,000 0.810% 05/06/04 3,993,253
5,100,000 0.880% 05/13/04 5,091,017
6,450,000 0.940% 05/20/04 6,436,785
2,700,000 0.970% 06/24/04 2,691,925
4,800,000 0.945% 07/01/04 4,784,633
3,000,000 0.945% 07/29/04 2,988,146
------------
Total Investments (Cost $40,872,814) (a) (100.08%) 40,872,814
Other Liabilities (-0.08%) (30,910)
------------
Net Assets (100.00%) $ 40,841,904
============
(a) Aggregate cost for federal income tax purposes is $40,872,814.
See accompanying notes to financial statements
SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 2/29/2004
GOVERNMENT BOND FUND (UNAUDITED)
Par Value Rate Maturity Value (Note 1)
--------- ---- -------- --------------
United States Treasury Bills (6.64%)
$ 200,000 0.950% 07/08/04 $ 199,334
1,000,000 0.957% 07/15/04 996,385
------------
Total United States Treasury Bills (Cost $1,195,719) 1,195,719
------------
United States Treasury Notes (92.06%)
2,000,000 6.000% 08/15/04 2,045,469
1,600,000 7.500% 02/15/05 1,696,563
2,000,000 6.750% 05/15/05 2,131,718
2,000,000 6.500% 05/15/05 2,125,782
1,900,000 6.500% 08/15/05 2,041,164
2,000,000 5.750% 11/15/05 2,143,516
2,000,000 5.625% 02/15/06 2,155,233
2,000,000 6.500% 10/15/06 2,230,860
------------
Total United States Treasury Notes (Cost $16,481,520) 16,570,305
------------
Total Investments (Cost $17,677,239) (a) (98.70%) 17,766,024
Other Net Assets (1.30%) 233,749
------------
Net Assets (100.00%) $ 17,999,773
============
(a) Aggregate cost for federal income tax purposes is $17,677,239. At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 90,363
Unrealized depreciation (1,578)
------------
Net unrealized appreciation $ 88,785
============
See accompanying notes to financial statements
9
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
(UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Common Stock (98.16%)
Banking & Financial Service (20.69%)
ACE Ltd. 2,936 $ 132,003
Aetna Inc. 1,606 129,749
Aflac Inc. 5,408 219,619
Allstate Corp. 7,426 338,848
AMBAC Financial Group 1,127 88,131
American Express Company 13,592 726,085
American International Group 27,554 2,038,996
Amsouth Bancorporation 3,692 93,408
Anthem Inc.* 1,460 125,487
AON Corp. 3,324 87,189
Apartment Investment & Management Co. 995 32,238
Bank of America Corp. 15,688 1,285,161
Bank of New York Co Inc. 8,187 270,171
Bank One Corp. 11,800 636,964
BB&T Corporation 5,786 214,950
Bear Stearns Companies Inc. 1,041 91,441
Capital One Financial Corp. 2,444 172,840
Charter One Financial Inc. 2,347 85,008
Chubb Corp. 1,978 140,398
Cigna Corp. 1,481 82,092
Cincinnati Financial Corp. 1,684 75,847
Citigroup Inc. 54,501 2,739,220
Comerica Inc. 1,859 106,967
Countrywide Credit Ind Inc. 1,942 177,945
Equity Office Properties Trust 4,235 120,867
Equity Residential Properties Trust 2,884 85,799
Fannie Mae 10,267 768,998
Fifth Third Bancorp 6,014 336,904
First Tennesse Ntl., Corp. 1,338 61,869
Fleet Boston Financial Corp. 11,145 501,859
Franklin Resources Inc. 2,642 149,273
Freddie Mac 7,352 455,236
Golden West Financial Corp. 1,606 185,365
Goldman Sachs Group Inc. 5,004 529,773
Hartford Financial Services 2,990 195,845
Huntington Bancshares 2,430 56,206
Jefferson-Pilot Corp. 1,496 79,946
John Hancock Financial Svcs. 3,047 128,401
JP Morgan Chase & Co. 21,559 884,350
Keycorp 4,426 143,491
Lehman Brothers Holdings Inc. 2,863 248,251
Lincoln National Corp. 1,880 87,288
Marsh & McLennan Cos. 5,599 268,696
Marshall and Isley Corp. 2,399 95,048
MBIA Inc. 1,523 100,198
MBNA Corp. 13,485 368,545
Mellon Financial Corp. 4,530 146,681
Merrill Lynch & Co. 9,981 610,937
Metlife Inc. 8,024 282,044
MGIC Investment Corp. 1,044 69,092
Morgan Stanley Dean Witter & Company 11,430 683,057
National City Corp. 6,426 229,408
North Fork Bancorp 1,595 67,357
Northern Trust Corp. 2,322 115,287
Pinnacle West Capital Corp. 969 37,878
PNC Financial Services Group 2,926 171,522
Principal Financial Group 3,420 123,804
Progressive Corp-Ohio 2,281 188,547
Providian Financial Corp.* 3,062 39,592
Prudential Financial Inc. 5,729 265,768
Regions Financial Corp. 2,350 86,715
Safeco Corp. 1,465 65,925
Schwab (Charles) Corp. 14,328 175,375
SLM Corp 4,766 199,648
SouthTrust Corp. 3,518 118,205
St. Paul Companies 2,419 103,388
Starwood Hotels & Resorts Worldwide Inc. 2,146 83,715
State Street Corp. 3,527 189,506
Suntrust Banks Inc. 2,974 215,050
Synovus Financial Corp. 3,206 80,310
T Rowe Price Group Inc. 1,313 69,051
Torchmark Corp. 1,198 62,440
Travelers Property Casualty Corp. 10,617 193,654
U.S. Bancorp 20,373 581,242
Union Planters Corp. 2,007 60,170
UnumProvident Corp. 3,140 46,535
Wachovia Corp. 13,982 670,717
Washington Mutual Inc. 9,500 426,930
Wells Fargo & Company 17,868 1,024,730
XL Capital Ltd. 1,449 111,080
Zions Bancorporation 953 55,531
------------
Total Banking & Financial Service 23,593,856
------------
Capital Good (5.85%)
3M Co. 8,286 646,474
Allied Waste Industries Inc.* 3,371 42,576
Caterpillar Inc. 3,674 278,306
Cooper Industries Ltd. 1,003 53,069
Cummins Engine 447 22,082
Danaher Corp. 1,630 146,097
Deere & Co. 2,526 162,245
Dover Corp. 2,142 83,945
Eagle Materials Inc. 29 1,692
Eagle Materials Inc.* 98 5,513
Emerson Electric Co. 4,440 277,411
Fluor Corp. 874 36,035
General Electric Company 106,053 3,448,844
Grainger (W.W.) Inc. 962 45,455
Illinois Tool Works 3,260 259,235
Ingersoll-Rand Co. 1,826 121,392
Johnson Controls Inc. 1,912 111,508
Molex Inc. 2,016 63,867
Pall Corporation 1,325 34,675
Parker Hannifin Corp. 1,273 71,504
Power-One Inc.* 892 10,936
Teradyne Inc.* 2,030 50,040
Thermo Electron Corp.* 1,702 47,775
Tyco International Ltd. 21,122 603,456
Vulcan Materials Co. 1,068 50,516
------------
Total Capital Good 6,674,648
------------
Consumer Cyclical (7.50%)
American Greetings* 723 16,390
Autozone Inc.* 946 84,856
Bed Bath & Beyond Inc.* 3,135 128,159
Best Buy Co. Inc. 3,427 182,488
Big Lots Inc* 1,254 18,058
Black & Decker Corporation 825 42,521
Circuit City Stores-Circuit 2,205 24,652
Cooper Tire & Rubber 779 15,541
Costco Wholesale Corp.* 4,842 188,499
Dana Corp. 1,595 34,117
Delphi Automotive Systems 5,987 61,067
Dillards Inc. 852 14,995
Dollar General Corp. 3,556 77,841
Eaton Corp. 1,600 93,664
Family Dollar Stores 1,806 68,700
Federated Department Stores 1,916 100,341
Ford Motor Company 19,336 265,870
Gap Inc. 9,475 197,080
General Motors Corp. 5,914 284,582
Genuine Parts Co. 1,839 63,868
Goodrich (B.F.) Co. 1,231 36,302
Goodyear Tire & Rubber Co.* 1,878 15,813
Hasbro Inc. 1,849 40,438
Home Depot Inc. 24,037 872,783
ITT Industries Inc. 974 73,537
Kohls Corp.* 3,601 185,452
Limited Inc. 5,474 108,112
Liz Claiborne Inc. 1,176 43,394
Lowe's Companies 8,299 464,744
Marriott International Inc. 2,441 108,942
10
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Masco Corp. 4,879 $ 136,807
Mattel Inc. 4,554 86,526
May Department Stores Co. 3,039 107,034
Maytag Corp. 844 23,826
Newell Rubbermaid Inc. 2,876 73,597
Nike Inc. 2,773 203,122
Nordstrom Inc. 1,443 56,479
Paccar Inc. 1,857 102,896
Penney (J.C.) Co. 2,882 88,967
RadioShack Corporation 1,717 59,340
Reebok International Ltd. 619 24,642
Sears, Roebuck And Co. 2,669 125,470
Snap-On Inc. 609 19,488
Stanley Works 870 33,695
Target Corporation 9,620 422,895
Tiffany & Co. 1,541 64,799
TJX Companies Inc. 5,328 125,474
Toys R US Inc.* 2,252 35,356
V.F. Corporation 1,136 51,040
Visteon Corp. 1,369 13,827
Wal-Mart Stores Inc. 45,704 2,722,130
Whirlpool Corp. 742 54,121
------------
Total Consumer Cyclical 8,544,337
------------
Consumer Non-Durable (25.13%)
Abbott Laboratories 16,506 706,457
Alberto-Culver Co. 954 39,190
Albertson's Inc. 3,898 96,437
Allergan Inc. 1,379 120,718
Altria Group Inc. 21,463 1,235,196
AmerisourceBergen Corp. 1,178 68,359
Anheuser-Busch Companies Inc. 8,596 457,479
Archer-Daniels-Midland Co. 6,810 117,132
Autodesk Inc. 1,194 34,208
Avery Dennison Corp. 1,191 75,474
Avon Products 2,498 176,359
Bard (C.R.) Inc. 542 51,159
Bausch & Lomb Inc. 546 32,427
Baxter International Inc. 6,453 187,911
Becton Dickinson & Co. 2,675 130,139
Biomet Inc. 2,701 105,285
Boston Scientific Corp.* 8,642 353,026
Bristol-Myers Squibb Co. 20,495 570,171
Brown-Forman Corp. 1,281 62,590
Brunswick Corp. 956 37,628
Campbell Soup Company 4,320 120,787
Cardinal Health Inc. 4,578 298,623
Carnival Corp. 6,660 295,504
Cintas Group 1,809 77,262
Clear Channel Communications 6,512 280,276
Clorox Company 2,228 109,306
Coca-Cola Co. 25,884 1,293,165
Coca-Cola Enterprises 4,851 113,077
Colgate-Palmolive Company 5,673 314,568
Comcast Corp.* 23,783 714,441
Computer Associates International Inc. 6,120 162,547
Computer Sciences Corp.* 1,990 83,162
Conagra Inc. 5,655 153,759
Coors (Adolph) 388 26,299
CVS Corp. 4,183 156,863
Darden Restaurants Inc. 1,782 43,481
Deluxe Corp. 541 21,305
Disney (Walt) Co 21,618 573,526
Donnelley (R.R.) & Sons Co. 1,185 37,636
Dow Jones & Co. Inc. 853 41,541
Eli Lilly & Co. 11,868 877,520
Express Scripts, Inc.* 797 57,990
Forest Labs CL A* 3,869 292,032
Fortune Brands Inc. 1,541 110,151
Gannett Co. Inc. 2,857 246,473
General Mills Inc. 3,939 181,115
Gillette Company 10,673 410,804
Guidant Corp. 3,286 223,908
Harrah's Entertainment Inc. 1,176 61,093
HCA - The Healthcare Company 5,225 222,167
Health Mgmt. Assoc. Cl.A. 2,507 55,881
Heinz (H.J.) Co. 3,726 142,370
Hershey Foods Corp. 1,371 113,656
Hilton Hotels Corp. 4,016 64,376
Humana Inc.* 1,688 37,001
IMS Health Inc. 2,525 62,570
International Flavors & Fragrances 983 35,968
Interpublic Group Cos. Inc.* 4,384 74,309
Johnson & Johnson 31,358 1,690,510
Jones Apparel Group 1,320 49,236
Kellogg Co. 4,297 169,689
Knight Ridder Inc. 842 62,948
Kroger Co.* 7,874 151,338
Loews Corp. 1,956 117,927
Manor Care Inc. 938 33,215
McCormick & Co. 1,477 46,186
McDonald's Corp. 13,413 379,588
McGraw-Hill Companies Inc. 2,028 158,529
Mckesson HBOC Inc. 3,071 83,869
Medco Health Solutions Inc.* 2,847 92,983
Medimmune, Inc.* 2,595 66,666
Medtronic Inc. 12,806 600,601
Merck & Co., Inc. 23,505 1,130,120
Meredith Corp. 527 26,508
New York Times Co. 1,562 71,290
Office Depot Inc.* 3,281 57,188
Omnicom Group 2,011 164,500
Paychex Inc. 3,957 127,297
Pepsi Bottling Group Inc. 2,758 79,789
Pepsico Inc. 18,123 940,584
Pfizer Inc. 80,623 2,954,833
Procter & Gamble Co. 13,698 1,404,182
Quest Diagnostics, Inc. 1,092 90,494
Qwest Communications International* 18,680 85,554
RJ Reynolds Tobacco Hldgs. 902 55,680
Sabre Holdings Corp. 1,503 34,103
Safeway Inc.* 4,733 108,244
Sara Lee Corp. 8,346 182,110
Schering-Plough Corporation 15,494 278,272
Simon Property Group Inc. 2,021 110,124
ST Jude Medical Inc.* 1,821 132,296
Staples Inc.* 5,217 136,790
Starbucks Corp.* 4,139 154,840
Stryker Corp. 2,107 186,954
Sungard D.S., Inc.* 3,077 89,448
Supervalu Inc. 1,421 40,214
Sysco Corp. 6,829 270,770
Tenet Healthcare Corporation* 4,884 58,706
Tribune Co. 3,293 164,452
Tupperware Corp. 601 11,479
UnitedHealth Group Incorporated 6,188 383,656
Univision Communications, Inc.* 3,400 121,142
UST Inc. 1,750 66,640
Viacom Inc. 18,463 710,087
Walgreen Co. 10,843 386,661
Watson Pharmaceutical Inc.* 1,136 52,165
Wellpoint Health Networks* 1,601 174,141
Wendy's International Inc. 1,196 48,641
Winn-Dixie Stores Inc. 1,670 10,220
Wrigley (WM.) JR Co. 2,382 133,964
Wyeth 14,076 556,002
Yum! Brands Inc.* 3,119 115,497
Zimmer Holdings Inc.* 2,550 192,882
------------
Total Consumer Non-Durable 28,645,661
------------
Energy (5.96%)
AES Corp.* 6,611 59,896
Amerada Hess Corp. 943 60,682
Anadarko Petroleum Corp. 2,653 135,966
11
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Apache Corp. 3,422 $ 140,884
Ashland Inc 731 35,022
Baker Hughes Inc. 3,533 132,911
BJ Services* 1,674 72,467
Burlington Resources Inc. 2,107 123,344
ChevronTexaco Corp. 11,287 997,206
ConocoPhillips 7,184 494,762
Devon Energy Corporation 2,464 139,906
Dynegy, Inc.* 3,790 15,501
EL Paso Corp. 6,381 47,475
EOG Resources Inc. 1,225 54,500
Exxon Mobil Corp. 69,825 2,944,520
Halliburton Co. 4,631 148,007
Kerr-McGee Corp. 1,069 55,855
Kinder Morgan, Inc. 1,319 81,395
Marathon Oil Corp. 3,280 115,259
Nabors Industries Ltd.* 1,552 73,487
Occidental Petroleum Corp. 4,070 180,708
Rowan Companies Inc.* 1,121 26,344
Schlumberger Ltd. 6,178 398,419
Sunoco Inc. 811 49,877
Transocean Sedco Forex Inc.* 3,367 99,259
Unocal Corp. 2,758 104,804
------------
Total Energy 6,788,456
------------
Manufacturing (5.57%)
Air Products & Chemicals Inc. 2,398 115,680
Alcoa Inc. 9,147 342,738
Allegheny Technologies Inc. 854 10,846
American Standard Co.* 775 84,444
Applied Materials Inc.* 17,553 372,826
Applied Micro Circuits Corp.* 3,283 21,208
Ball Corp. 595 38,419
Bemis Co. 553 28,247
Boise Cascade Corp. 900 30,330
Centex Corp. 660 70,488
Citrix Systems Inc.* 1,744 36,938
Comverse Technology Inc.* 2,034 40,110
Corning Inc.* 14,053 176,365
Crane Co. 632 20,312
Dell Inc.* 27,042 882,921
Dow Chemical Company 9,722 422,615
Du Pont (E.I.) de Nemours & Co. 10,535 475,023
Eastman Chemical Company 810 34,304
Eastman Kodak Co. 3,033 86,562
Ecolab Inc. 2,721 74,311
EMC Corp-Mass* 25,413 363,914
Engelhard Corp. 1,318 38,248
Freeport-McMoran Copper & Gold Inc. 2,068 88,200
Gateway Inc.* 3,535 19,195
Georgia-Pacific (Georgia-Pacific Group) 2,672 85,638
Great Lakes Chemical Corp. 530 13,462
Hercules Inc.* 1,129 13,435
International Game Tech. 3,660 143,618
International Paper Co. 5,088 225,195
KB Home 488 35,307
Kimberly-Clark Corp. 5,334 345,003
Leggett & Platt Inc. 2,023 49,503
Louisiana-Pacific Corp. 1,130 27,945
MeadWestvaco Corp. 2,112 61,882
Millipore Corp.* 523 27,379
Newmont Mining Corp. 4,574 198,740
Novellus Systems Inc.* 1,616 51,954
Nucor Corp. 826 51,955
Pactiv Corporation* 1,663 35,738
Phelps Dodge Corp.* 942 81,257
Plum Creek Timber Co. Inc. (REIT) 1,937 60,454
PPG Industries Inc. 1,787 104,879
Praxair Inc. 3,420 124,214
Prologis 1,848 61,224
Pulte Corp. 1,305 68,852
Rohm & Haas Co. 2,354 93,572
Sealed Air Corp.* 891 44,416
Sherwin-Williams Co. 1,544 54,040
Sigma-Aldrich 727 41,563
Temple-Inland Inc. 576 37,526
Textron Inc. 1,433 79,302
United States Steel Corp. 1,085 39,874
Waters Corp.* 1,283 47,394
Weyerhaeuser Co. 2,329 151,967
Worthington Industries 891 15,441
------------
Total Manufacturing 6,346,973
------------
Service (1.57%)
Apollo Group Inc. * 1,865 142,020
Automatic Data Processing 6,287 266,883
Autonation Inc.* 2,900 48,372
Block H & R Inc. 1,881 101,668
Cendant Corporation 10,725 243,458
Convergys Corp.* 1,500 24,390
Equifax Inc. 1,482 38,843
First Data Corp. 9,483 388,604
Fiserv, Inc.* 2,071 79,961
Jabil Circuits, Inc.* 2,099 58,730
Mercury Interactive Corp.* 950 46,113
Monster Worldwide Inc.* 1,196 26,312
Moody's Corp. 1,576 105,371
Robert Half Intl.* 1,810 40,671
Waste Management Inc. 6,154 175,389
------------
Total Service 1,786,785
------------
Technology (18.74%)
ADC Telecommunications Inc.* 8,684 26,052
Adobe Systems Inc 2,467 91,871
Advanced Micro Devices* 3,687 55,305
Agilent Technologies Inc.* 5,021 171,668
Altera Corp.* 4,041 89,225
American Power Conversion 2,118 47,909
Amgen Inc.* 13,626 865,660
Analog Devices Inc. 3,880 193,612
Andrew Corp.* 1,650 29,403
Apple Computer Inc.* 3,834 91,748
Applied Biosystems Group - Applera Corp 2,220 50,616
AT&T Wireless Services Inc.* 28,652 389,094
Avaya Inc.* 4,387 75,237
Biogen Idec Inc.* 3,460 191,857
BMC Software Inc.* 2,379 46,628
Boeing Co. 8,885 385,342
Broadcom Corp.* 3,204 130,018
Chiron Corp.* 1,978 96,744
Ciena Corp.* 5,025 28,793
Cisco Systems Inc.* 72,926 1,684,591
Compuware Corp.* 4,039 31,666
Ebay, Inc.* 6,826 470,038
Electronic Arts* 3,140 148,082
Electronic Data Systems Corp. 5,089 97,454
Federated Investors Inc. 1,148 37,046
General Dynamics Corp. 2,089 192,439
Genzyme Corp.* 2,372 120,450
Hewlett-Packard Co. 32,218 731,671
Honeywell International Inc. 9,104 319,095
Intel Corp. 69,009 2,017,133
International Business Machines Corp. 18,171 1,753,502
Intuit Inc. * 2,101 93,200
JDS Uniphase Corp.* 15,107 74,024
King Pharmaceuticals Inc.* 2,568 49,485
Kla-Tencor Corp.* 2,059 108,715
Lexmark International Inc.* 1,356 111,585
Linear Technology Corp. 3,303 132,087
Lockheed Martin Corporation 4,773 220,894
LSI Logic Corp.* 3,960 39,996
Lucent Technologies Inc.* 44,252 185,416
Maxim Integrated Products 3,470 173,188
Micron Technology Inc.* 6,477 97,414
12
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Microsoft Corp. 114,211 $ 3,026,592
Monsanto Co. 2,778 91,785
Motorola Inc. 24,584 453,575
National Semiconductor Corp.* 1,966 77,382
Network Appliance Inc.* 3,659 79,254
Nextel Communications Inc.* 11,623 307,893
Northrop Grumman Corp. 1,937 195,850
Novell Inc.* 3,947 40,180
Nvidia Corp.* 1,724 38,359
Oracle Corporation* 55,181 710,731
Parametric Technology Corp.* 2,859 13,037
Peoplesoft Inc.* 3,955 85,349
PerkinElmer Inc. 1,321 27,530
Pitney Bowes Inc. 2,468 102,052
PMC - Sierra Inc.* 1,841 36,636
Qlogic Corp.* 993 41,507
Qualcomm Inc. 8,460 536,787
Raytheon Company 4,411 134,094
Rockwell Collins 1,857 60,427
Rockwell International Corp. 1,951 59,427
Sanmina Corp.* 5,438 69,008
Scientific-Atlanta Inc. 1,620 53,622
Siebel Systems Inc* 5,212 68,069
Solectron Corp.* 8,868 56,667
Sun Microsystems Inc.* 34,434 183,878
Symantec Corp.* 3,247 133,582
Symbol Technologies, Inc. 2,467 41,988
Tektronix Inc. 880 28,204
Tellabs Inc.* 4,380 42,486
Texas Instruments Inc. 18,296 560,772
Thomas & Betts Corp. 598 12,911
Time Warner Inc.* 47,783 824,257
Unisys Corporation* 3,471 49,045
United Technologies Corp. 4,965 457,326
Veritas Software Corp.* 4,533 137,894
Xerox Corp.* 8,360 118,210
Xilinx Inc.* 3,627 152,479
Yahoo Inc* 6,945 308,358
------------
Total Technology 21,363,156
------------
Transportation (1.68%)
Burlington Northern Santa Fe Corp. 3,908 125,759
CSX Corporation 2,259 71,226
Delta Air Lines Inc. 1,352 12,141
FedEx Corporation 3,159 216,960
Harley-Davidson Inc. 3,201 170,037
Janus Capital Group Inc. 2,551 43,673
Navistar International* 734 34,204
Norfolk Southern Corp. 4,107 91,011
Ryder System Inc. 677 24,941
Southwest Airlines 8,241 113,808
Union Pacific Corp. 2,702 171,955
United Parcel Service Inc. 11,882 839,226
------------
Total Transportation 1,914,941
------------
Utility (5.47%)
Allegheny Power System* 1,381 18,215
Alltel Corp. 3,301 170,992
Ameren Corporation 1,719 81,481
American Electric Power 4,178 144,141
AT&T Corp. 8,362 167,491
Bellsouth Corporation 19,510 537,696
Calpine Corp.* 4,357 24,007
Centerpoint Energy Inc. 3,217 33,650
CenturyTel Inc. 1,518 43,369
Cinergy Corp. 1,882 73,756
Citizens Communications Company* 3,037 40,028
CMS Energy Corp.* 1,662 15,290
Consolidated Edison Inc. 2,371 104,727
Constellation Energy Group Inc. 1,772 70,437
Dominion Resources Inc/Va 3,430 215,507
DTE Energy Company 1,768 71,533
Duke Energy Corp 9,602 210,860
Edison International 3,462 79,938
Entergy Corp. 2,423 143,660
Exelon Corp. 3,457 232,103
FirstEnergy Corporation 3,496 135,050
FPL Group Inc. 1,939 127,295
KeySpan Corporation 1,700 64,600
NCR Corporation* 1,006 45,029
NI Source, Inc. 2,793 60,636
Nicor Inc. 460 16,624
Noble Corp.* 1,408 57,165
Peoples Energy Corp. 383 17,078
PG&E Corp.* 4,388 123,610
PPL Corporation 1,866 86,825
Progress Energy Inc. 2,597 119,878
Public Service Enterprise Group 2,495 117,614
SBC Communications Inc. 34,985 839,990
Sempra Energy 2,396 75,953
Southern Co. 7,751 235,010
Sprint Corp. (FON Group) 9,523 168,843
Sprint Corp. (PCS Group)* 10,923 98,307
Teco Energy, Inc. 1,982 29,869
TXU Corporation 3,413 96,008
Verizon Communications 29,159 1,117,664
Williams Cos. Inc. 5,523 52,307
XCEL Energy Inc. 4,198 73,339
------------
Total Utility 6,237,575
------------
Total Common Stock (Cost $95,069,702) 111,896,388
------------
Par Value
---------
Short-Term Investments (1.69%)
$ 700,000 United States Treasury Bills 0.87% 03/18/04 (b) 699,712
612,712 First American Prime Obligation Fund 612,712
612,712 First American Government Obligation Fund 612,712
------------
Total Short-Term Investments (Cost $1,925,136) 1,925,136
------------
Total Investments (Cost $96,994,838)(a) (99.85%) 113,821,524
Other Net Assets (0.15%) 166,906
------------
Net Assets (100.00%) $113,988,430
============
- ----------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $96,994,838. At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 27,651,186
Unrealized depreciation (10,824,500)
------------
Net unrealized appreciation $ 16,826,686
============
13
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
(b) At February 29, 2004, certain United States Treasury Bills with a market
value of $399,792 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2004: (Contracts-$250 times
premium/delivery month/commitment)
Unrealized
Appreciation
------------
S&P 500 Index:
7 Mar 04/Long $ 26,519
==========
See accompanying notes to financial statements
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
(UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Common Stock (95.17%)
Banking & Financial Service (19.80%)
Allmerica Financial Corp.* 6,557 $ 241,822
AMB Property Corp. 9,500 336,490
American Fin. Group, Inc. 8,106 243,828
Americredit Corp.* 18,639 354,514
AmerUs Group Co. 4,470 174,241
Associated Banc Corp. 8,806 390,898
Astoria Financial Corp. 9,477 382,302
Bank of Hawaii Corp. 7,048 321,671
Banknorth Group Inc. 18,668 622,204
Brown & Brown Inc. 8,000 295,200
Certegy Inc. 7,612 260,102
Charles River Laboratories International Inc.* 5,200 223,912
Check Free Holding Corp.* 9,745 282,897
City National Corp. 5,788 359,782
Commerce Bank Corp. 8,936 542,147
Compass Bancshares, Inc. 14,792 615,051
Cullen/Frost Bankers, Inc. 5,790 245,612
Duquesne Light Holdings Inc. 8,955 178,473
E Trade* 41,938 600,133
Eaton Vance Corp. 8,806 339,031
Edwards AG 9,188 351,441
Everest Re Holdings 6,360 555,800
Fidelity National Fin., Inc. 19,292 754,510
First American Finl.Corp. 9,264 283,015
FirstMerit Corp. 9,724 257,880
Gallagher, Arthur J. & Co. 10,291 346,292
Gartner Group, Inc. Cl B* 9,315 102,744
Gartner Inc.* 5,827 65,845
Greater Bay Bancorp 6,126 168,833
Greenpoint Fin. Corp. 16,849 734,953
HCC Insurance Holdings Inc. 7,603 246,261
Hibernia Bank 18,146 430,786
Highwoods Properties Inc. 5,952 153,383
Horace Mann Educators 5,085 76,987
Hospitality Properties Trust 6,943 302,021
Independence Community Bank 6,539 258,748
IndyMac Bancorp Inc. 6,377 224,470
Investment Tech. Group, Inc.* 5,920 85,722
Investors Financial Services Corp. 7,880 346,956
LaBranche & Co Inc. 6,641 68,336
Legg Mason, Inc. 7,861 741,607
Liberty Property Trust 9,458 399,884
M&T Bank Corporation 14,276 1,371,210
Mack-Cali Realty Corp. 6,600 280,896
Mercantile Bankshares Corp. 9,493 427,850
Mony Group Inc.* 6,040 190,260
National Commerce Financial Corp. 23,729 694,073
New Plan Excel Realty Trust 11,617 301,693
New York Community Bancorp Inc. 31,096 1,092,092
Ohio Causualty Corp.* 7,247 139,287
Old Republic 20,923 493,783
Protective Life Corp. 8,518 324,025
Provident Financial Group 6,197 248,314
Radian Group Inc. 11,390 497,743
Raymond James Fncl. Corp. 5,459 208,643
RSA Security Inc.* 7,178 119,370
SEI Investments Co. 12,213 436,126
Silicon Valley Bancshares* 4,120 141,110
Sovereign Bancorp, Inc. 34,870 772,371
Stancorp Financial Group 3,727 245,796
TCF Financial Corp. 8,525 443,130
The PMI Group, Inc. 11,200 443,520
United Dominion Realty Trust Inc. 14,321 270,237
Unitron, Inc. 8,487 367,911
Waddell & Reed Financial, Inc. 9,900 256,806
Washington Federal Inc. 8,636 224,191
West America Bancorp. 3,868 194,406
Wilmington Trust Corp. 7,574 282,813
WR Berkley Corp. 9,600 399,840
------------
Total Banking & Financial Service 24,834,280
------------
Captial Good (5.77%)
AGCO Corp.* 8,696 162,180
Ametek, Inc. 4,428 219,850
Borg-Warner Automotive 3,298 297,480
Credence Systems Corp* 7,209 81,822
Dycom Industries* 5,718 148,211
Federal Signal 5,772 108,802
Flowserve Corp.* 5,630 122,340
Graco, Inc. 5,135 218,032
Hubbell, Inc. Cl. B 7,280 289,016
Integrated Device Tech.* 11,249 185,496
International Rectifier Corp.* 7,566 349,247
Intersil Corp 15,836 373,571
Jacobs Engineering Group* 6,888 303,967
L-3 Communications Holdings 11,507 615,855
Modine Manufacturing Co. 4,344 123,587
Packaging Corporation Of America 12,073 284,440
Plexus Corp.* 4,613 88,385
Rayonier, Inc. 5,012 215,817
Republic Services Inc. 18,916 496,356
SPX Corp. 9,147 384,174
Tecumseh Prod. Co. Cl. A 2,522 113,566
Trinity Industries 5,350 155,685
Varian Medical Systems Inc.* 7,920 663,221
Vishay Intertech., Inc.* 18,563 417,853
York Intl. Corp. New Com. 4,738 176,870
Donaldson Co. Inc. 5,042 287,545
Stericycle Inc.* 4,700 217,328
Varian Inc.* 3,900 155,649
------------
Total Capital Good 7,256,345
------------
Consumer Cyclical (7.99%)
Abercrombie & Fitch 11,219 353,735
Bandag Inc. 2,365 113,757
Barnes & Noble, Inc.* 7,474 260,843
BJ'S Wholesale Club* 8,290 196,888
Cabot Microelectronics Corp.* 2,776 123,671
14
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Callaway Golf Co. 9,890 $ 184,646
Carlisle Cos., Inc. 4,050 230,648
Carmax Inc.* 11,900 404,600
Chico's FAS Inc.* 9,800 418,950
Claire's Stores, Inc. 11,406 230,629
Copart Inc.* 9,479 186,168
D.R. Horton, Inc. 27,852 885,415
Dollar Tree Stores Inc.* 13,176 407,138
Fastenal Co. 8,728 422,872
Furniture Brands Intl. Inc. 6,726 220,949
Gentex Corp. 8,966 365,454
Lear Corp. 8,019 494,211
Martin Marietta Materials 5,770 283,249
Michaels Stores, Inc. 8,242 395,946
Mohawk Inds.* 7,706 641,910
Neiman-Marcus Group, Inc. 6,051 341,760
O'Reilly Automotive, Inc.* 6,054 245,974
Payless Shoesource* 8,421 112,420
Petsmart Inc. 16,000 434,240
Pier 1 Imports, Inc. 11,355 265,821
Rent-A-Center Inc.* 9,215 299,580
Superior Industries 3,175 108,585
Teleflex, Inc. 4,884 251,868
The Timberland Co.* 4,232 261,284
UNIFI, Inc.* 6,208 29,302
VISX, Inc.* 6,630 120,998
Webster Financial Corp. 5,888 296,461
William Sonoma, Inc.* 13,482 431,289
------------
Total Consumer Cyclical 10,021,261
------------
Consumer Non-Durable (23.77%)
99 Cents Only Stores* 8,797 227,402
Activision Inc.* 10,324 216,907
AdvancePCS* 10,987 758,103
American Eagle Outfitters* 8,205 200,120
Apogent Technologies Inc.* 11,482 323,792
Applebee's Intl., Inc. 6,400 261,824
Appria Healthcare Group* 6,985 218,351
Banta Corp. 2,890 128,200
Barr Laboratories Inc.* 7,965 616,571
Belo (A.H.) Corp. Sr. A 13,702 382,286
Bisys Group Inc.* 14,846 262,032
Bob Evans Farms 4,682 158,392
Boyd Gaming Corp. 7,178 146,288
Brinker International* 11,156 419,800
Brink's Co./The 6,662 176,410
Caesars Entertainment Inc.* 36,719 451,644
Catalina Marketing Corp.* 6,784 118,516
CBRL Group Inc. 5,748 218,309
Ceridian Corp.* 17,103 323,760
Cheesecake Factory* 6,098 288,009
Church and Dwight 4,797 199,939
Colonial Bancgroup Inc 14,248 262,591
Community Health Systems Inc.* 11,400 319,770
Constellation Brands Inc.* 12,467 395,204
Covance, Inc.* 7,889 236,670
Coventry Health Care, Inc.* 10,350 450,950
Dentsply Intl., Inc. 9,030 395,604
Devrey, Inc.* 9,126 271,225
Dial Corp. 11,516 330,970
Dun & Bradstreet Corp.* 8,630 459,289
Education Management Corp.* 7,938 254,095
Edwards Lifesciences Corp.* 7,752 249,614
Emmis Communications Corp.* 6,332 160,200
Energizer Holdings, Inc.* 10,087 470,760
Entercom Communications Corp.* 5,863 270,636
Extended Stay America Inc. 11,291 175,462
First Health Group Corp.* 10,978 232,514
Gilead Services, Inc.* 24,035 1,302,937
Glatfelter (P.H.) Co. 5,596 65,193
Gtech Holdings Corp. 6,572 385,974
Harte Hanks, Inc. 11,202 248,124
Health Net Inc.* 13,369 368,984
Henry Schein Inc.* 5,196 371,514
Hon Inds. 6,909 260,953
Hormel Foods Corp. 17,124 474,677
Int'l Speedway Corp. 6,500 290,225
Interstate Bakeries Corp. 5,815 87,225
IVAX Corp.* 23,358 519,949
JM Smucker Co/The 5,969 301,912
Krispy Kreme Doughnuts Inc.* 6,600 253,836
Lancaster Colony Corp. 4,163 176,470
Lee Enterprises 5,316 239,698
LifePoint Hospitals Inc* 4,889 163,782
Lincare Holdings Inc.* 12,212 394,936
Longs Drug Stores Inc. 4,644 97,013
Mandalay Resorts Co. 6,893 354,300
Media General, Inc. Cl. A 2,661 172,433
Miller (Herman), Inc. 8,507 238,536
Millinium Pharmeceuticals* 35,646 634,855
MPS Group Inc.* 11,672 113,802
Mylan Laboratories 31,831 748,029
Noble Energy Inc 7,178 335,787
NSTAR- W/I 6,089 311,452
Omnicare, Inc. 12,081 556,451
Outback Steakhouse, Inc. 8,746 423,219
Oxford Health Plans 9,636 462,143
Pacific Health Systems* 9,868 352,288
Patterson Dental Co.* 8,281 561,203
PepsiAmericas Inc. 17,198 329,858
Perrigo Co. 8,921 174,316
Pharmaceutical Resources Inc.* 3,800 237,082
Price Communications Corp.* 6,829 103,391
Readers Digest Assoc. 11,806 159,381
Ross Store, Inc. 17,968 575,874
Ruby Tuesday, Inc. 7,400 234,432
Ruddick Corp. 5,696 113,863
Saks Holding, Inc.* 16,520 287,778
Sensient Technologies Corp. 6,127 121,008
Sepracor Inc. * 10,102 287,099
Six Flags, Inc.* 10,999 81,503
Smithfield Foods, Inc.* 12,630 323,075
Steris Corp.* 8,728 219,858
Teva Pharmaceutical Industries Ltd. 2,573 167,245
Tootsie Roll Industries 6,935 258,328
Triad Hospitals Inc.* 8,774 309,634
Tyson Foods, Inc. Cl. A 40,638 645,331
Universal Corp. 2,938 148,134
Universal Hlth Srvs-B 6,984 376,647
Valassis Communications* 6,023 183,400
Valeant Pharmaceuticals International 10,028 219,914
Vertex Pharmaceuticals Inc.* 8,356 94,256
Viad Corp. 10,201 249,414
Washington Post, Class B 1,138 1,019,307
Westwood One, Inc.* 12,221 377,629
Whole Foods Market, Inc. 7,096 548,876
------------
Total Consumer Non-Durable 29,816,884
------------
Energy (5.55%)
Ensco Intl., Inc. 17,888 525,371
Equitable Resources Inc. 7,098 305,853
Grant Prideco, Inc.* 12,930 196,148
Hanover Compressor Co.* 7,860 95,263
Helmerich & Payne 6,434 191,218
Murphy Oil Corp. 10,730 673,093
National Fuel Gas Co. 9,539 241,337
Patterson-UTI Energy Inc.* 9,914 359,680
Pioneer Nat. Resources* 14,057 451,511
Pride International Inc.* 16,131 276,485
Questar 9,899 354,879
Sequa Corp. 1,200 62,472
Smith International, Inc.* 12,358 626,180
15
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Tidewater, Inc. 6,961 $ 231,314
Valero Energy Corp. 13,419 805,140
Weatherford International Ltd.* 15,678 702,374
Western Gas Resources Inc 4,227 207,208
XTO Energy Inc. 21,923 654,182
------------
Total Energy 6,959,708
------------
Manufacturing (9.91%)
Advanced Fibre Communication* 9,295 227,913
Airgas, Inc. 8,422 174,757
Albemarle Corp. 4,807 135,798
Arch Coal Inc 6,732 197,113
Avocent Corp.* 5,203 201,200
Bowater, Inc. 6,537 300,048
Cabot Corp. 7,129 246,663
Carpenter Technology 2,622 89,568
CDW Corp. 9,734 673,398
Coach Inc.* 21,669 858,742
Cooper Cameron Corp.* 6,539 289,155
Crompton & Knowles Corp. 13,203 98,494
Cytec Inds. 4,803 167,096
Dean Foods Co.* 18,494 671,517
Ferro Corp. 4,724 122,824
FMC Corp.* 3,962 148,575
FMC Technologies Inc.* 8,426 221,604
Harsco Corp. 4,726 214,702
Hillenbrand Industries 7,155 472,588
Hovnanian Enterprises Inc.* 3,364 271,441
IMC Global, Inc. 14,055 158,822
Kemet Corp.* 10,913 160,639
Kennametal, Inc. 3,729 161,876
Lam Research Corp.* 14,994 383,397
Lennar Corp. 18,806 929,957
Longview Fibre Co. 7,028 91,223
Lubrizol Corp. 5,928 185,309
Lyondell Petrochemical 20,718 368,988
Macromedia, Inc.* 7,732 158,506
McData Corp.* 14,037 113,138
Minerals Technology, Inc. 2,399 130,578
National-Oilwell Inc.* 10,144 301,378
Nordson Corp. 4,332 157,988
Olin Corporation 6,294 114,299
Peabody Energy Corp. 6,000 256,800
Pentair, Inc. 5,976 322,764
Plantronics Inc.* 5,006 199,840
Pogo Producing Co. 7,100 322,127
Potlatch Corp. 3,818 161,883
Quantum Corp.* 18,340 70,609
RPM, Inc. Ohio 13,466 218,688
Scotts Company Class A* 3,564 224,710
Sonoco Products, Inc. 12,045 300,523
Storage Tech. Corp.* 12,416 364,658
Toll Bros., Inc.* 8,714 382,545
Valspar Corp. 5,992 298,821
Wausau Paper Mills Co. 7,604 103,110
------------
Total Manufacturing 12,426,372
------------
Service (2.32%)
Alexander & Baldwin, Inc. 5,542 188,151
Career Education Corp.* 11,833 591,532
Corinthian Colleges Inc* 5,000 300,750
Forest Oil Corp.* 5,920 153,624
Kelly Services, Inc. Cl. A 4,702 139,508
ManPower, Inc. 9,550 427,363
Newport Corp.* 3,800 66,614
Rollins, Inc. 5,366 124,652
Scholastic Corp.* 4,258 136,469
Sotheby's* 7,499 108,136
Tech Data Corp. * 6,981 282,521
United Rentals Inc.* 8,860 155,404
Varco Intl., Inc.* 11,640 231,869
------------
Total Service 2,906,593
------------
Technology (11.98%)
3COM Corp.* 42,705 298,935
Adtran, Inc. 8,682 282,686
Advent Software Inc* 3,469 59,493
Affiliated Computer Svcs.* 15,847 764,776
Arrow Electronics, Inc.* 12,282 302,137
Arvin Inds., Inc. 7,997 180,412
Ascential Software Corp.* 7,855 177,209
Atmel Corp.* 52,903 366,089
Avnet, Inc.* 14,332 337,519
Axiom Corp. 10,782 210,033
Beckman Coulter, Inc. 7,120 374,370
Borders Group 9,246 221,904
Cadence Design Sys., Inc.* 31,320 483,268
Choicepoint Inc.* 9,920 373,587
Commscope, Inc.* 6,534 116,240
Cree Inc.* 9,273 222,088
CSG Systems International, Inc.* 5,679 79,506
Cypress Semiconductor* 14,105 304,386
Cytyc Corporation* 14,458 238,268
Diebold 8,310 437,854
DST Systems, Inc.* 13,774 616,524
Fair Issac & Co, Inc. 5,700 339,948
Fairchild Semiconductor International Inc.* 13,989 360,916
Granite Construction, Inc. 5,496 133,278
Harris Corp. 8,432 398,412
Henry (Jack) & Associates 10,167 188,598
Imation Corp. 4,072 143,742
Integrated Circuit Systems Inc.* 7,814 215,198
Internet Security Systems* 5,822 103,108
Keane, Inc.* 7,616 112,869
Korn/Ferry International* 4,213 52,283
Lattice Semiconductor Corp.* 13,634 140,839
Leucadia National Corp. 8,450 439,400
LTX Corp.* 5,330 82,562
Macrovision Corp.* 5,453 106,443
Mentor Graphics* 8,504 142,782
Microchip Tech 24,309 692,807
National Instruments Corp. 9,774 337,789
Network Associates, Inc.* 18,706 328,103
Polycom* 12,760 281,613
Powerwave Technologies, Inc.* 8,112 80,065
Precision Castparts 6,576 296,906
Protein Design Labs Inc.* 9,656 231,744
Quanta Services, Inc.* 13,947 119,944
Retek, Inc.* 5,488 45,880
Reynolds & Reynolds Class A 7,765 216,799
RF Micro Devices Inc.* 22,021 204,575
Sandisk Corp.* 18,574 471,037
Semtech Corp.* 8,749 211,026
Silicon Laboratories Inc.* 5,700 321,309
Sybase, Inc.* 10,908 234,631
Sylvan Learning Systems, Inc.* 4,683 144,705
Synopsys, Inc.* 18,541 546,589
Titan Corp.* 9,600 202,080
Transaction Systems Archit A* 4,586 82,502
Triquint Semiconductor* 13,659 109,272
Wind River Systems* 8,852 86,661
Zebra Tech CL A* 5,306 379,273
------------
Total Technology 15,032,972
------------
Transportation (2.25%)
Alaska Airgroup, Inc.* 3,280 84,427
C.H. Robinson Worldwide, Inc. 10,193 403,745
CNF Transportation, Inc. 5,973 198,602
EGL Inc.* 5,272 84,299
Expeditors International Washington Inc. 12,489 481,326
Gatx Corp. 6,261 147,259
Hunt (J.B.)* 9,886 270,876
JetBlue Airways Corp.* 11,398 271,272
Overseas Shipholding Grp. 4,244 152,360
16
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Swift Transportation, Inc. * 10,200 $ 219,300
Werner Enterprises, Inc. 9,250 176,398
------------
Total Transportation 2,819,722
------------
Utility (5.83%)
AGL Resources 6,867 196,946
Allete 9,958 321,843
Alliant Energy 13,160 338,870
Aqua America Inc. 9,750 210,698
Aquila Inc* 23,435 92,568
Black Hills Corp. 3,149 96,359
Blyth Industries, Inc. 5,864 199,083
Cincinnati Bell Inc.* 29,182 150,287
DPL Inc. 15,981 319,620
Energy East Corporation 16,749 404,656
Great Plains Energy Inc. 8,336 288,842
Hawaiian Electric Inds. 4,090 216,566
Idacorp Inc. 4,559 142,469
MDU Resources Group Inc 13,535 313,606
Micrel, Inc.* 11,204 168,284
Northeast Utilities 16,910 325,348
OGE Energy Corp. 10,156 261,517
Oneok Inc. 9,690 215,215
Pepco Holdings Inc. 20,408 433,670
PNM Resources Inc. 4,907 149,467
Puget Energy Inc. 11,084 249,390
SCANA Corp. 13,216 462,428
Sierra Pacific Resources* 14,061 113,332
Telephone & Data 6,809 490,588
Vectren Corp. 8,089 201,497
Westar Energy Inc. 8,985 172,961
WGL Holdings Inc. 5,550 160,839
Wisc. Energy Corp. 13,382 432,506
WPS Resources Corp. 3,916 186,202
------------
Total Utility 7,315,657
------------
Total Common Stock (Cost $90,189,697) 119,389,794
------------
Par Value
---------
Short-Term Investments (4.72%)
$ 300,000 United States Treasury Bills (0.87%) 03/18/04 (b) 299,877
2,813,178 First American Prime Obligation Fund 2,813,178
2,813,178 First American Government Obligation Fund 2,813,178
-------------
Total Short-Term Investments (Cost $5,926,233) 5,926,233
-------------
Total Investments (Cost $96,115,930)(a) (99.89%) 125,316,027
Other Net Assets (0.11%) 137,735
-------------
Net Assets (100.00%) $ 125,453,762
=============
- ----------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $96,115,930. At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 35,180,700
Unrealized depreciation (5,980,603)
-------------
Net unrealized appreciation $ 29,200,097
=============
(b) At February 29, 2004, certain United States Treasury Bills with a market
value of $299,844 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2004: (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
Appreciation
-------------
S&P MidCap 400 Index:
20 Mar 04/Long $ 196,480
=============
See accompanying notes to financial statements
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
(UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Common Stock (94.16%)
Banking & Financial Service (13.61%)
Anchor Bancorp WI, Inc. 1,149 $ 30,092
Bankunited Financial Corp.* 1,374 37,881
Boston Private Financial Holdings Inc. 1,170 31,754
Brookline Bancorp Inc. 2,825 44,494
Capital Automotive REIT 1,653 56,433
Cash American Intl., Inc. 1,344 30,428
Chittenden Corp. 1,694 55,868
Coinstar Inc.* 1,000 18,070
Colonial Properties Trust 1,204 48,136
Commercial Federal Corp. 2,035 57,061
Community First Bankshares 1,814 51,463
Delphi Financial Group, Inc. 1,429 55,702
Dime Community Bancshares 1,179 37,174
Downey Financial Corp. 1,296 69,764
East-West Bancorp Inc. 1,117 59,369
Essex Property Trust Inc. 1,094 68,889
Financial Federal Corp.* 859 29,593
First Midwest Bancorp Inc./IL 2,187 73,702
First Republic Bank 675 27,115
Firstbank Puerto Rico 1,857 78,830
Firstfed Financial Corp* 795 34,503
Flagstar Bancorp Inc. 2,790 72,122
Fremont General Corp. 3,517 78,957
Gables Residential Trust 1,368 47,989
Glenborough Realty Trust Inc 1,290 27,090
Gold Banc Corp Inc. 1,895 30,699
Hudson United Bancorp 2,083 81,320
Irwin Financial Corp. 1,298 38,356
Jefferies Group, Inc. 2,540 93,980
Kilroy Realty Corp 1,347 44,990
Landamerica Financial Group Inc. 864 40,435
Lexington Corporate Properties Trust 1,948 41,376
Macdermid, Inc. 1,437 54,606
MAF Bancorp, Inc. 1,585 70,453
17
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
------- ------ --------------
Mercury Computer Systems Inc.* 1,010 $ 29,573
Moog Inc.* 1,240 44,553
NCO Group, Inc.* 1,202 26,528
New Century Financial Corp. 1,692 82,908
Oshkosh Truck Corp. 1,681 98,927
Philadelphia Consolidated Holding Co.* 1,015 60,474
Piper Jaffray Cos.* 926 47,708
Presidential Life Corp. 1,361 20,048
PRG-Schultz International Inc.* 2,943 12,831
Provident Bankshares Corp. 1,175 38,716
Rewards Network Inc.* 1,161 12,829
Riggs Natl Corp. 1,308 22,210
RLI Corp. 1,166 46,640
Scpie Holdings Inc. 473 3,855
Seacoast Financial Services Corp. 1,218 41,887
Selective Insurance Group 1,253 46,236
Shurgard Storage Centers Inc. 2,087 77,741
South Financial Group Inc. (The) 2,834 87,344
Southwest Bancorp Of Texas 1,583 61,864
Staten Island Bancorp Inc. 2,830 68,826
Sterling Bancshares Inc./Tx 2,051 27,873
Stewart Information Services Corp. 831 30,332
SWS Group Inc. 787 13,867
Trustco Bank Corp. NY 3,577 48,540
UCBH Holdings Inc. 2,085 81,315
UICI* 2,203 30,049
Umpqua Holdings Corp. 1,364 27,989
United Bankshares Inc. 2,112 65,472
Whitney Holding Co. 1,872 80,331
Wintrust Financial Corp. 946 45,503
Zenith Ntnl. Ins. Corp. 880 35,250
------------
Total Banking & Financial Service 3,136,913
------------
Capital Good (6.88%)
Aeroflex Inc.* 3,060 42,901
Agilysys Inc. 1,491 19,838
Albany Intl. Corp. Cl A 1,599 51,040
Applied Industrial Tech. 880 18,304
Astec Industries Inc.* 914 12,138
Audiovox Corp.* 1,050 17,283
Belden, Inc. 1,179 23,321
Benchmark Elec. Inc.* 1,953 67,984
Briggs & Stratton 1,064 72,724
Brooks Automation Inc.* 2,080 44,034
Cable Design Tech.* 2,078 20,261
CDI Corp. 903 26,006
CTS Corp. 1,721 24,662
Cymer Inc.* 1,690 65,133
EMCOR Group Inc.* 696 26,065
Exar Corp.* 1,952 34,746
Gardner Denver, Inc.* 773 22,494
Ionics, Inc.* 818 22,740
JLG Industries, Inc. 1,996 26,786
Lawson Products 456 15,627
Lindsay Manufacturing Co. 549 14,164
Manitowoc Company, Inc. 1,276 39,556
Massey Energy Co. 3,495 73,640
Milacron Inc. 1,672 4,732
PAXAR Corp.* 1,812 25,223
Polaris Industries, Inc. 1,060 89,771
Radisys Corp.* 829 17,003
Robbins & Myers 666 13,520
Shaw Group Inc. (The)* 2,920 35,157
Steel Dynamics Inc.* 2,216 53,738
Stewart & Stevenson Svcs. 1,326 18,471
Technitrol * 1,865 34,241
Timken Co. 4,279 94,052
Trimble Navigation Ltd.* 1,514 50,174
Triumph Group Inc.* 735 24,586
Ultimate Electronics Inc.* 680 4,971
Unisource Energy Corp. 1,562 38,035
URS Corp.* 1,511 46,237
Varian Semiconductor Equipment* 1,719 70,118
Vicor Corp.* 1,940 24,541
Wabash Natl. Corp.* 1,553 44,183
Waste Connections Inc.* 1,319 49,700
Watts Industries Inc. 1,517 35,103
Woodward Governor Co. 517 31,412
------------
Total Capital Good 1,586,415
------------
Consumer Cyclical (10.75%)
ABM Industries, Inc. 2,284 41,249
Apogee Enterprises, Inc. 1,275 16,078
Aptargroup, Inc. 1,780 72,001
Brown Shoe Company Inc. 866 34,112
Burlington Coat Factory Wrhs 2,067 39,583
Cascade Natural Gas Corp. 520 11,112
Cato Corp New CL A 975 20,348
Christopher & Banks Corporation 1,875 34,931
Clarcor, Inc. 1,162 50,140
Coachmen Industries Inc. 746 12,316
Cost Plus Inc. /California* 1,048 40,600
Department 56* 632 8,854
Dress Barn, Inc. (The)* 1,408 23,837
Dupont Photomasks Inc.* 838 18,620
ElkCorp 906 24,553
Enesco Group Inc.* 652 6,813
Fedders Corp. 1,460 9,782
Fred's Inc. 1,807 50,343
G & K Services Inc., CL A 962 34,959
Griffon Corp.* 1,420 31,922
Group 1 Automotive Inc.* 1,057 38,475
Haggar Corp. 300 5,940
Hancock Fabrics Inc /DE 863 14,542
Haverty Furniture Cos Inc. 1,018 21,714
HOT Topic Inc.* 2,194 63,692
Imagistics International Inc.* 812 36,499
Interface, Inc.* 2,381 17,953
Jakks Pacific Inc.* 1,204 17,446
Jo-Ann Stores Inc.* 1,070 28,762
Kellwood Co. 1,231 51,653
K-Swiss Inc 1,638 39,394
Lennox Intl Inc. 2,720 50,619
Linens `N Things* 2,240 75,936
Marcus Corp. 1,435 25,098
MDC Holdings Inc. 1,347 94,869
Meritage Corp.* 630 46,670
Midas Inc.* 700 12,131
Monaco Coach Corp. 1,348 38,418
Movie Gallery Inc. 1,508 30,160
National Presto Industries 327 12,603
NVR Inc.* 340 157,250
Oshkosh B Gosh 590 12,986
Oxford Industries, Inc. 776 34,105
Pacific Sunwear of Cal* 3,604 86,388
PEP Boys-Manny Moe & Jack 2,501 58,999
PolyMedica Corporation 1,180 29,984
Prime Hospitality Corp.* 2,076 22,192
Quiksilver Inc.* 2,552 50,070
Reliance Steel & Alum. 1,539 48,386
Russell Corp. 1,506 26,415
Salton Inc.* 537 5,467
School Specialty Inc.* 870 29,580
Shopko Stores, Inc.* 1,351 20,630
Skyline Corp. 400 16,204
Smith (A.O.) Corp. 1,352 42,047
Stein Mart, Inc.* 1,933 21,321
Texas Industries, Inc. 978 34,836
The Ryland Group, Inc. 1,154 98,921
The Toro Co. 1,140 62,757
Thor Industries Inc. 2,654 78,797
Too Inc.* 1,593 30,554
Tower Automotive Inc.* 2,705 16,419
Tractor Supply Co.* 1,729 74,036
18
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Winnebago Industries 850 $ 56,772
Wolverine World Wide, Inc. 1,860 43,804
X-Rite, Inc. 987 14,479
------------
Total Consumer Cyclical 2,478,126
------------
Consumer Non-Durable (21.69%)
4 Kids Entertainment Inc.* 613 16,410
Aaron Rents Inc. 1,518 35,673
Accredo Health Inc.* 2,217 79,125
Action Performance Cos Inc. 824 11,248
Advanced Marketing Services 884 9,565
Advanced Medical Optics Inc.* 1,350 31,050
Advo, Inc. 1,389 44,879
American Italian Pasta Company* 860 35,002
American Medical Systems Holdings Inc.* 1,529 43,041
AMERIGROUP Corp.* 1,169 49,589
Angelica Corp. 425 10,051
Ann Taylor* 2,174 99,569
Arbitron Inc* 1,399 58,226
Argosy Gaming Co* 1,408 43,564
Aztar Corp.* 1,609 35,929
Bally Total Fitness Holding* 1,577 9,667
Bowne & Co. Inc. 1,582 25,628
Casey's General Stores 2,311 39,518
CEC Entertainment, Inc.* 1,195 65,211
Centene Corp.* 963 29,140
Childrens Place* 1,235 37,840
Ciber, Inc.* 2,938 27,911
Cima Labs Inc.* 672 22,021
Coherent, Inc.* 1,431 40,698
Cooper Co. 1,459 69,025
Corn Products Intl. 1,673 63,407
CPI Corp. 380 8,364
Cross Country Healthcare Inc.* 1,493 25,769
Curative Health Services Inc.* 589 7,121
Datascope Corp. 685 23,160
Diagnostic Products Corp. 1,334 64,352
DIMON Inc. 2,076 14,428
Duane Reade Inc.* 1,100 18,755
eFunds Corp.* 2,220 35,987
Electronics Boutique Holdings Corp.* 1,154 31,400
Fleetwood Enterprises Inc.* 1,858 24,433
Flowers Foods Inc. 2,096 56,382
Fossil Inc.* 2,163 75,186
Genesco Inc.* 1,009 20,301
Global Imaging Systems Inc.* 996 30,039
Global Payments Inc. 1,852 80,118
Goody's Family Clothing Inc. 1,499 14,091
Great Atlantic & Pacific Tea Co.* 1,919 15,256
Guitar Center Inc.* 1,144 41,573
Gymboree Corp.* 1,366 20,149
Haemonetics Corp/Mass* 1,118 32,411
Hain Celestial Group Inc.* 1,580 34,397
Harland, John H. Co. 1,299 39,191
Harman International 3,159 246,370
Heidrick & Struggles Inc.* 848 18,012
Hologic Inc.* 918 18,360
Idexx Laboratories Inc.* 1,595 81,457
IHOP Corp. 1,002 37,815
Instituform Tech. CL A* 1,227 19,325
Int'l. Multifoods, Inc.* 893 17,396
Invacare Corp. 1,434 64,071
J Jill Group Inc/The* 900 13,896
J&J Snack Foods* 417 19,707
j2 Global Communications Inc.* 1,062 23,322
Jack in the Box Inc.* 1,671 41,558
Lance, Inc. 1,352 22,862
Landry's Seafood Rest. 1,282 38,268
Lone Star Steakhouse 970 26,355
Manhattan Associates Inc.* 1,379 39,522
Medicis Pharmaceutical 2,522 99,291
Mens Wearhouse, Inc.* 1,829 47,792
Mentor Corp. 2,155 61,568
MGI Pharma Inc.* 1,516 74,466
Nash-Finch Co. 581 13,479
Natures Sunshine Prod., Inc. 669 8,342
Nautilus Group Inc. 1,511 24,690
NBTY, Inc.* 3,084 102,574
NDCHealth Corp 1,621 46,847
New England Bus. Srvc. 635 19,876
Noven Pharmaceuticals Inc.* 1,044 24,304
O'Charleys Inc.* 966 17,630
Odyssey HealthCare Inc.* 1,665 36,131
On Assignment Inc.* 1,167 6,640
Orthodontic Centers of Am* 2,332 17,467
Osteotech Inc.* 821 5,460
Owens & Minor Hldg Co. 1,872 46,369
Panera Bread Co.* 1,386 53,721
Papa Johns Int'l., Inc.* 832 30,634
Parexel Intl. Corp.* 1,190 20,766
Pediatrix Med. Grp., Inc.* 1,130 70,343
Penford Corp. 400 6,440
Performance Food Group Co.* 2,116 74,060
PF Chang's China Bistro Inc.* 1,177 57,285
Phillips Van Heusen Corp. 1,407 26,902
Pinnacle Entertainment Inc.* 1,726 25,251
Possis Medical Inc.* 826 21,303
Prepaid Legal Srvs., Inc.* 840 19,933
Priority Healthcare Corp B* 2,016 44,554
Province Healthcare Co.* 2,261 36,402
Radiant Systems Inc.* 1,286 9,195
Ralcorp Holdings, Inc.* 1,342 43,092
Rare Hospitality International Inc.* 1,554 44,475
Regis Corp. 2,012 86,959
RehabCare Group Inc.* 746 16,599
Renal Care Group, Inc.* 2,283 106,525
Republic Bancorp Inc./MI 2,931 40,448
Resmed Inc.* 1,631 76,755
Respironics* 1,689 88,352
Russ Berrie & Co., Inc. 958 34,488
Ryan's Family Steak House* 2,086 36,296
Savient Pharmaceuticals Inc.* 2,760 11,178
Schweitzer-Mauduit, Inc. 685 22,845
Shuffle Master Inc* 780 32,510
Sierra Health Srvs., Inc.* 1,332 44,529
Sola International* 1,486 34,758
Sonic Corp.* 1,809 61,343
Standard Register Co. 1,313 22,584
Steak N Shake Co./The* 1,277 25,285
Stride Rite Corp. 1,831 21,734
Sunrise Assisted Living Inc.* 984 34,597
Sybron Dental Specialties Inc.* 1,771 50,314
Thomas Nelson Inc. 657 16,478
Triarc Cos. 2,727 30,270
United Stationers Inc.* 1,622 64,410
United Surgical Partners International Inc.* 1,317 48,031
UnitedHealth Group Incorporated 1,836 113,832
Urban Outfitters Inc.* 1,904 83,033
Vital Signs, Inc. 595 19,236
Volt Info Sciences, Inc.* 731 17,054
Wet Seal Inc.* 1,373 11,423
Wilson Greatbatch Technologies Inc.* 1,017 36,842
------------
Total Consumer Non-Durable 5,000,135
------------
Energy (5.33%)
Ashworth Inc.* 600 5,034
Atwood Oceanics* 643 24,003
Brown (Tom) Inc.* 2,114 74,349
Cabot Oil & Gas Corp. 1,493 45,342
CAL Dive International Inc.* 1,748 42,389
Cimarex Energy Co.* 1,930 53,654
Dril-Quip* 800 14,400
Energen Corp. 1,672 69,421
Evergreen Resources, Inc.* 2,051 67,478
19
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Frontier Oil Corp 1,220 $ 23,497
Hydril Co.* 1,057 28,011
Input/Output, Inc.* 2,377 16,758
Lone Star Technologies* 1,321 22,827
Maverick Tube Corp.* 1,945 39,970
New Jersey Resources 1,262 49,092
Newfield Exploration Co. * 2,590 121,419
Northwest Natural Gas 1,195 38,204
Oceaneering International* 1,123 38,384
Patina Oil & Gas Corp. 1,569 80,113
Plains Resources, Inc.* 1,097 18,781
Prima Energy Corp.* 590 20,113
Seacor Smit Inc.* 871 38,368
Southern Union Company* 3,382 65,678
Southwest Gas 1,570 36,848
Spinnaker Exploration Co.* 1,542 51,025
St. Mary Land & Explor. 1,306 40,355
Stone Energy Corp.* 1,280 57,651
Veritas DGC Inc.* 1,555 24,694
W-H Energy Services Inc.* 1,266 21,079
------------
Total Energy 1,228,937
------------
Manufacturing (12.56%)
Actel Corp.* 1,218 30,085
Acuity Brands Inc. 1,928 47,101
Adaptec Inc.* 5,020 45,833
Alpharma, Inc. Class A 2,399 51,483
Applica Inc. 1,097 10,915
Arch Chemicals Inc. 1,042 28,561
Arctic Cat, Inc. 1,013 25,588
Arqule Inc* 1,302 7,031
AT Cross Co.* 700 4,711
Baldor Electric Co. 1,520 35,340
Barnes Group, Inc. 1,046 27,845
Bell Microproducts Inc.* 1,276 11,765
Brady Corp. 1,077 41,788
Brush Wellman Inc.* 769 15,418
Buckeye Tech, Inc.* 1,716 16,148
Building Material Holding Corp 640 10,867
Butler Manufacturing 304 6,791
CACI International Inc.* 1,333 59,119
Cambrex Corp. 1,239 34,035
Caraustar Industries* 1,296 15,526
CARBO Ceramics Inc. 722 44,093
Carreker Corporation* 1,093 14,482
Castle (A.M.) & Co.* 759 5,768
Century Aluminum Company* 978 26,602
Champion Enterprises, Inc.* 2,823 30,065
Chesapeake Corp. 713 17,932
Cleveland Cliffs Corp.* 479 28,333
Commercial Metals Co. 1,297 38,521
Commonwealth Industries Inc. 769 5,007
Concord Camera Corp.* 1,377 8,648
Conmed Corp.* 1,347 38,861
Cuno Incorporated* 775 33,217
Curtiss-Wright Corp. 958 46,003
Delta & Pine Land Co. 1,769 45,110
Deltic Timber Corp. 590 19,753
Electro Scientific Inds., Inc.* 1,341 32,010
Esterline Technologies Corp.* 973 27,049
Ethan Allen Interiors, Inc. 1,778 77,290
Factset Research Sys. Inc. 1,556 57,307
FEI Company* 1,526 34,717
Flir Systems Inc.* 1,537 59,436
Florida Rock Inds. 1,996 87,624
Fuller (H.B.) Corp. 1,318 35,981
Georgia Gulf Corp. 1,506 40,978
Gerber Scientific, Inc.* 1,029 7,615
Huffy Corp.* 776 3,065
ICU Medical Inc.* 655 21,943
Idex Corp. 1,630 69,438
Intermagnetics General Corp* 769 18,394
Intermet Corp. 1,230 5,855
K2, Inc.* 1,587 27,487
Kaydon Corp. 1,288 34,969
Kopin Corp.* 3,225 19,640
Kronos, Inc.* 1,488 50,071
Kulicke & Soffa Ind.* 2,321 28,896
La-Z-Boy Chair Co. 2,673 60,731
Libbey Inc. 640 18,163
Lydall, Inc.* 745 7,562
Magnetek, Inc.* 1,366 8,879
Material Sciences* 683 7,773
Meade Instruments Corp.* 955 3,573
Methode Electronics CL A 1,654 20,675
Midway Games Inc.* 2,686 13,027
Mobile Mini Inc* 664 12,337
Mueller Industries 1,590 51,262
Myers Industries, Inc. 1,397 17,169
Network Equip. Tech., Inc.* 1,066 13,783
OM Group, Inc.* 1,316 40,428
Omnova Solutions Inc.* 1,854 9,641
Pericom Semiconductor Corp.* 1,192 13,708
PolyOne Corp.* 4,408 25,346
Pope & Talbot, Inc. 726 12,487
QRS Corp.* 735 5,586
Quaker Chemical Corp. 439 11,414
Quanex Corp. 746 34,726
Regal-Beloit Corp. 1,174 24,771
Regeneron Pharm.* 2,656 37,768
Rock-Tenn Co. 1,618 23,785
Roper Industries, Inc. 1,723 83,652
Roto-Rooter Inc. 458 25,840
Roxio Inc.* 1,603 5,771
RTI International Metals* 966 16,403
Ryerson Tull, Inc. 1,152 15,633
SBS Technologies Inc.* 723 11,293
Schulman (A.), Inc. 1,370 25,578
Simpson Manufacturing Co. Inc.* 1,143 53,961
Skywest, Inc. 2,779 53,774
Standard Motor Products Inc. 916 12,714
Standard Pacific Corp. 1,511 79,040
Standex International Corp. 564 15,346
Sturm Ruger & Co., Inc. 1,292 16,951
Susquehanna Bancshares Inc. 1,845 48,099
Thomas Industries Inc. 799 25,888
Tredegar Industries, Inc. 1,767 25,180
Universal Forest Products 881 27,760
Valmont Industries 1,103 23,659
W D-40 Co. 826 27,588
Watsco, Inc. 1,208 33,051
Wellman, Inc. 1,480 11,929
WMS Industries Inc.* 1,388 36,879
Wolverine Tube, Inc.* 570 4,606
Zale Corp.* 1,268 72,514
------------
Total Manufacturing 2,895,813
------------
Service (3.46%)
Administaff Inc.* 1,236 18,602
Avid Technology Inc* 1,476 62,686
Bassett Furniture Inds., Inc. 556 11,504
Central Parking Corp. 1,675 32,093
Hilb, Rogal & Hamilton Co . 1,727 63,554
Hooper Holmes Inc. 3,007 18,854
Hughes Supply, Inc. 1,422 67,758
IMCO Recycling* 739 6,791
Insurance Auto Auctions Inc.* 580 8,056
Kroll Inc.* 1,935 45,395
Labor Ready Inc.* 1,892 23,650
Maximus Inc.* 969 33,818
Memberworks Inc.* 521 17,750
SCP Pool Corp.* 1,640 59,450
Spherion Corporation* 2,765 23,807
Startek Inc. 661 26,903
20
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
TBC Corp.* 1,008 $ 27,780
Tetra Tech Inc.* 2,633 56,083
Tetra Technologies, Inc.* 1,004 25,000
United Natural Foods Inc.* 903 41,673
US Oncology Inc.* 3,992 49,700
Watson Wyatt & Co Holdings* 1,529 36,237
Waypoint Financial Corp 1,617 40,668
------------
Total Service 797,812
------------
Technology (14.93%)
Advanced Energy Industries* 1,553 33,918
Alliance Semiconductor Corp.* 1,688 13,082
Alliant Techsystems, Inc.* 1,791 102,266
American Healthways Inc.* 1,533 43,261
American Mgmt. Systems* 2,037 31,146
Amsurg Corp.* 923 31,871
Analogic Corp. 623 25,973
Anixter Intl.* 1,680 50,232
Ansys Inc.* 699 28,051
Armor Holdings Inc* 1,353 39,724
Artesyn Technologies Inc.* 1,796 19,576
Arthrocare Corp.* 950 22,658
ATMI Inc.* 1,433 38,906
Axcelis Technologies Inc.* 4,590 52,510
Barra Inc. 893 28,255
BEI Technologies Inc. 675 14,155
Bel Fuse Inc. 510 18,814
Biosite Inc.* 718 21,956
Black Box Corporation 844 43,474
Brooktrout Inc.* 598 11,667
C&D Technologies Inc. 1,187 22,506
Captaris Inc.* 1,544 8,693
Catapult Communications Corp.* 597 12,686
C-COR.net Corporation* 1,690 27,784
Cephalon, Inc.* 2,578 152,953
Cerner Corp.* 1,639 73,460
Checkpoint Systems, Inc.* 1,522 28,385
Cognex Corp. 2,006 66,720
Cohu Inc. 984 18,627
Commonwealth Telephone Enterprises Inc.* 1,151 47,249
Concord Communications Inc.* 863 15,966
Consolidated Graphics* 622 23,176
Cryolife Inc.* 1,113 7,123
Cubic Corp. 1,240 31,608
Dendrite Intl. Inc.* 1,876 31,010
Digi International Inc.* 989 11,532
Dionex Corp.* 990 52,371
DRS Technologies Inc.* 1,287 38,816
DSP Group, Inc.* 1,315 33,493
EDO Corp. 915 23,168
EL Paso Electric Co.* 2,236 30,432
Engineered Support Systems Inc. 1,125 58,725
Enzo Biochem, Inc.* 1,447 25,887
EPIQ Systems Inc.* 854 15,056
ESS Technology* 1,795 28,325
Filenet Corp.* 1,804 51,053
Gencorp Inc. 2,030 22,898
General Communication* 2,599 24,275
Harmonic Inc.* 3,354 41,053
Helix Technology Corp. 1,211 31,401
Hutchinson Technology* 1,202 34,221
Hyperion Software Corp.* 1,926 68,835
Inamed Corp.* 1,603 76,784
Information Holdings Inc.* 969 21,318
Insight Enterprises * 2,150 45,731
Integra LifeSciences Holdings Corp.* 1,240 39,320
Inter Tel, Inc. 1,160 35,090
Intrado Inc.* 772 15,324
Invision Technologies Inc.* 801 28,083
Itron, Inc.* 950 18,164
JDA Software Group Inc* 1,393 21,605
Kaman Corp. 1,048 14,777
Keithley Instruments Inc. 720 16,675
Mantech International Corp.* 1,539 32,134
Mapinfo Corp.* 738 10,037
Micro Systems Inc.* 871 38,010
Microsemi Corp.* 2,690 41,964
MRO Software Inc* 1,139 15,798
Netegrity Inc.* 1,603 14,667
NYFIX Inc.* 1,527 10,002
Park Electrochemical Corp. 917 24,530
PC-Tel Inc.* 942 10,739
Pegasus Solutions Inc.* 1,159 14,024
Pharm. Product Dev.* 2,740 80,775
Phoenix Technologies Ltd.* 1,166 5,713
Photon Dynamics Inc.* 781 27,890
Photronics, Inc.* 1,589 27,601
Pinnacle Systems Inc.* 3,188 24,038
Planar Systems Inc.* 664 10,504
Power Integrations Inc.* 1,448 42,687
Progress Software Corp.* 1,605 33,400
Rainbow Technologies Inc.* 1,237 17,664
Rogers Corp.* 749 38,948
Rudolph Technologies Inc* 760 15,633
SCM Microsystems Inc.* 700 5,810
Serena Software Inc.* 1,890 39,142
Skyworks Solutions Inc.* 6,872 77,516
Sourcecorp* 750 20,040
SPSS Inc.* 804 16,442
Standard Microsystems Corp.* 864 26,032
Steel Technologies Inc 469 8,053
Supertex Inc.* 590 10,868
SurModics Inc.* 809 16,997
Symmetricom, Inc.* 2,100 19,278
Take-Two Interactive Softwar* 2,115 66,200
Talx Corp. 627 12,001
Techne Corp.* 1,905 77,133
Teledyne Technologies Inc.* 1,494 30,268
Theragenics Corp.* 1,389 7,653
THQ Inc.* 1,789 33,812
Three-Five Systems Inc.* 988 4,673
Tollgrade Communications Inc.* 630 11,107
Ultratech Stepper, Inc.* 1,126 27,936
Veeco Instruments Inc.* 1,358 39,613
Verity Inc.* 1,734 28,698
Viasat Inc.* 1,217 32,555
Viasys Healthcare Inc.* 1,394 30,529
WebEx Communications Inc.* 2,053 52,495
Websense Inc.* 1,075 29,348
Zixit Corporation* 1,342 16,101
------------
Total Technology 3,440,911
------------
Transportation (2.13%)
Yellow Roadway Corp.* 2,258 71,330
Atlantic Coast Airlines Holdings Inc.* 2,240 16,330
Knight Transportation Inc.* 1,735 42,143
Kansas City Southern Industries Inc.* 2,864 40,239
Frontier Airlines Inc.* 1,612 16,362
Arkansas Best Corp 1,141 31,241
Forward Air Corporation* 989 31,272
Kirby Corp.* 1,171 37,238
Mesa Air Group Inc.* 1,462 13,143
Landstar* 1,406 50,180
USF Corp. 1,317 46,556
Heartland Express, Inc. 2,321 51,851
AAR Corp.* 1,478 19,096
Offshore Logistics, Inc.* 1,045 24,024
------------
Total Transportation 491,005
------------
Utility (2.82%)
Vintage Petroleum, Inc. 2,982 43,328
NUI Corp. 744 12,730
Central Vermont Public Service Corp 573 12,663
Nuevo Energy Co.* 898 25,566
21
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Green Mountain Power Corp. 231 $ 6,068
CH Energy Group Inc. 732 36,014
Boston Communications Group* 889 9,566
UGI Corp. 1,981 65,571
UIL Holdings Corp. 671 32,282
Unit Corp.* 2,020 53,692
Piedmont Natural Gas, Inc. 1,816 75,818
Remington Oil & Gas Corp.* 1,243 24,798
Southwestern Energy Co.* 1,651 37,081
Cleco Corporation 2,194 41,620
Laclede Group Inc/The 885 27,408
American States Water Co. 745 18,327
Atmos Energy Corp. 2,326 61,290
Avista Corp. 2,241 40,495
Swift Energy Co.* 1,273 24,189
------------
Total Utility 648,507
------------
Total Common Stock (Cost $16,370,307) 21,704,574
============
Par Value
---------
Short-Term Investments (5.86%)
$ 100,000 United States Treasury Bills 0.87% 03/18/04 (b) 99,959
626,189 First American Prime Obligation Fund 626,189
626,189 First American Government Obligation Fund 626,189
-------------
Total Short-Term Investments (Cost $1,352,337) 1,352,337
-------------
Total Investments (Cost $17,722,644)(a) (100.02%) 23,056,911
Other Liabilities (0.02%) (5,629)
-------------
Net Assets (100.00%) $ 23,051,282
=============
- ----------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $17,722,644. At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 6,486,482
Unrealized depreciation (1,152,215)
-------------
Net unrealized appreciation $ 5,334,267
=============
(b) At February 29, 2004, certain United States Treasury Bills with a market
value of $99,948 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2004: (Contracts-$500 times
premium/delivery month/commitment) Unrealized
UNREALIZED
APPRECIATION
-------------
Russell 2000 Stock Index:
4 Mar 04/Long $ 31,056
=============
See accompanying notes to financial statements
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/29/2004
(UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Common Stock (73.44%)
Banking & Financial Service (20.69%)
Bank & Bank Holding Company (8.05%)
Bank of America Corp. 3,400 $ 278,528
Citigroup Inc. 7,200 361,872
Fifth Third Bancorp 1,100 61,622
M&T Bank Corporation 500 48,025
Wells Fargo & Company 5,750 329,763
------------
1,079,810
------------
Finance Company (0.65%)
National Commerce Financial Corp. 3,000 87,750
------------
Financial Service (0.90%)
MBNA Corp. 4,400 120,252
------------
Insurance (5.57%)
Aetna Inc. 1,300 105,027
American International Group 3,079 227,846
Fidelity National Fin., Inc. 2,062 80,645
Metlife Inc. 3,800 133,570
Stancorp Financial Group 2,000 131,900
XL Capital Ltd. 900 68,994
------------
747,982
------------
Real Estate (5.52%)
AMB Property Corp. 1,700 60,214
Annaly Mortgage Management, Inc. 5,400 110,160
Boston Properties Inc. 1,300 66,599
Istar Financial, Inc. 2,700 112,995
Kimco Realty Corp. 1,450 68,078
Mills Corp. 2,700 134,621
Realty Income Corp. 2,700 116,910
SL Green Realty Corp. 1,600 70,400
------------
739,977
------------
Total Banking & Financial Service 2,775,771
------------
Capital Good (1.87%)
Conglomerate (0.58%)
3M Co. 1,000 78,020
------------
Machinery - Industrial (0.74%)
Caterpillar Inc. 1,300 98,475
------------
Pollution Control (0.55%)
Donaldson Co. Inc. 1,300 74,139
------------
Total Capital Good 250,634
------------
Consumer Cyclical (8.46%)
Auto & Truck (0.44%)
ITT Industries Inc. 780 58,890
------------
Housing (1.03%)
Masco Corp. 2,700 75,708
Stanley Works 1,600 61,968
------------
137,676
------------
Retail - General (6.41%)
Central Garden and Pet Co.* 400 13,816
Family Dollar Stores 1,300 49,452
Gap Inc. 4,000 83,200
22
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Lowe's Companies 4,000 $ 224,000
Sears, Roebuck And Co. 1,600 75,216
Target Corporation 3,900 171,444
TJX Companies Inc. 4,000 94,200
Wal-Mart Stores Inc. 2,500 148,900
------------
860,228
------------
Textile & Apparel (0.58%)
Liz Claiborne Inc. 2,100 77,490
------------
Total Consumer Cyclical 1,134,284
------------
Consumer Non-Durable (13.86%)
Apparel (0.62%)
Ross Store, Inc. 2,600 83,330
------------
Business Service (0.58%)
Dial Corp. 2,700 77,598
------------
Communications & Media (2.27%)
McGraw-Hill Companies Inc. 3,900 304,863
------------
Cosmetic & Soap (0.94%)
Clorox Company 900 44,154
Procter & Gamble Co. 800 82,008
------------
126,162
------------
Drugs (2.42%)
AmerisourceBergen Corp. 1,980 114,899
Baxter International Inc. 7,200 209,664
------------
324,563
------------
Entertainment & Leisure (1.82%)
McDonald's Corp. 8,600 243,380
------------
Food, Beverage & Tobacco (3.83%)
Fortune Brands Inc. 1,300 92,924
RJ Reynolds Tobacco Hldgs. 1,300 80,249
Simon Property Group Inc. 1,600 87,184
Tyson Foods, Inc. Cl. A 11,300 179,444
Vornado Realty Trust 1,300 73,970
------------
513,771
------------
Hospital Supply & Service (0.55%)
Omnicare, Inc. 1,600 73,696
------------
Liquor (0.83%)
Anheuser-Busch Companies Inc. 2,100 111,762
------------
Total Consumer Non-Durable 1,859,125
Energy (10.69%)
Energy Raw Material (0.45%)
Baker Hughes Inc. 1,600 60,192
------------
Miscellaneous (0.56%)
Valero Energy Corp. 1,252 75,120
------------
Oil & Gas - Domestic (3.79%)
Apache Corp. 2,900 119,393
ConocoPhillips 4,291 295,521
Devon Energy Corporation 1,642 93,233
------------
508,147
------------
Oil & Gas - International (4.97%)
ChevronTexaco Corp. 2,400 212,040
Exxon Mobil Corp. 9,380 395,555
GlobalSantaFe Corp 2,000 59,000
------------
666,595
------------
Oil & Gas - Service (0.92%)
Ensco Intl., Inc. 2,400 70,488
Tidewater, Inc. 1,600 53,168
------------
123,656
------------
Total Energy 1,433,710
------------
Manufacturing (6.30%)
Building & Housing (1.98%)
Lennar Corp. 2,600 128,570
Pulte Corp. 2,600 137,176
------------
265,746
------------
Chemical (1.04%)
Praxair Inc. 2,600 94,432
Sherwin-Williams Co. 1,300 45,500
------------
139,932
------------
Consumer Durable (1.31%)
Coach Inc.* 3,200 126,816
Leggett & Platt Inc. 2,000 48,940
------------
175,756
------------
Non Ferrous Metal (1.12%)
Alcoa Inc. 4,000 149,880
------------
Paper & Forest Product (0.85%)
Plum Creek Timber Co. Inc. (REIT) 3,640 113,604
------------
Total Manufacturing 844,918
------------
Service (2.57%)
Business (0.65%)
Moody's Corp. 1,300 86,918
------------
Consumer (1.92%)
First Data Corp. 6,300 258,174
------------
Total Service 345,092
------------
Technology (4.16%)
Business-Mechanics & Software (0.49%)
Pitney Bowes Inc. 1,600 66,160
------------
Electronic (1.77%)
Hewlett-Packard Co. 4,000 90,840
Intel Corp. 5,000 146,150
------------
236,990
------------
Office Equipment (0.51%)
Diebold 1,300 68,497
------------
Software (1.39%)
Microsoft Corp. 4,200 111,300
Reynolds & Reynolds Class A 2,700 75,384
------------
186,684
------------
Total Technology 558,331
------------
Utility (4.84%)
Electric (1.58%)
Calpine Corp.* 27,000 148,770
Cinergy Corp. 1,600 62,704
------------
211,474
------------
Energy (1.92%)
Dominion Resources Inc/Va 850 53,406
Entergy Corp. 1,300 77,077
Exelon Corp. 1,100 73,854
Progress Energy Inc. 1,150 53,084
------------
257,421
------------
Telephone (1.34%)
SBC Communications Inc. 7,500 180,075
------------
Total Utility 648,970
------------
Total Common Stock (Cost $7,168,372) 9,850,836
------------
23
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Par Value Value (Note 1)
--------- --------------
Short-Term Investments (26.36%)
$ 2,700,000 United States Treasury Bills 0.87% 03/18/04 (b) 2,697,936
419,201 First American Prime Obligation Fund 419,201
419,201 First American Government Obligation Fund 419,201
------------
Total Short-Term Investments (Cost $3,536,338) 3,536,338
------------
Total Investments (Cost $10,704,710)(a) (99.80%) $ 13,387,174
Other Net Assets (0.20%) 26,662
------------
Net Assets (100.00%) $ 13,413,836
============
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $10,704,710. At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 2,913,426
Unrealized depreciation (230,962)
------------
Net unrealized appreciation 2,682,464
============
(b) At February 29, 2004, certain United States Treasury Bills with a market
value of $299,844 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2004: (Contracts-$500 times
premium/delivery month/commitment)
UNREALIZED
APPRECIATION
------------
Russell 2000 Stock Index:
12 Mar 04/Long $ 173,193
============
See accompanying notes to financial statements
EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 2/29/2004
INCOME FUND (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Common Stock (96.53%)
Banking & Financial Service (33.69%)
Bank & Bank Holding Company (16.60%)
ABN Amro Holding NV ADR 2,500 $ 58,125
Deutsche Bank AG ADR 1,006 87,039
Banco Bilbao Vizcaya Argentaria SA ADR 5,188 71,646
Banco Santander Central Hispano SA ADR 7,914 92,040
Barclays Plc ADR 5,451 200,869
Credit Suisse Group ADR 2,159 79,084
ING Groep NV ADR 3,167 77,877
UBS AG ADR 1,797 132,996
------------
799,676
------------
Finance Company (5.68%)
HSBC Holdings Plc ADR 3,348 273,699
------------
Financial Service (5.04%)
Allianz AG ADR 5,325 66,829
BNP Paribas ADR 2,925 92,402
Lloyds TSB Group Plc ADR 2,449 83,584
------------
242,815
------------
Insurance (5.71%)
Aegon NV ADR 2,318 34,469
Royal & Sun Alliance Insurance Group ADR 1,464 14,450
Swiss Reinsurance ADR 825 59,372
Vivendi Universal ADR* 1,773 51,151
Zurich Financial Services AG ADR* 1,117 18,293
Axa ADR 4,201 97,043
------------
274,778
------------
Investment (0.66%)
Prudential Plc ADR 1,709 31,856
------------
Total Banking & Financial Service 1,622,824
------------
Consumer Cylical (1.37%)
Auto & Truck (1.37%)
DaimlerChrysler AG ADR 1,471 66,092
------------
Total Consumer Cylical 66,092
------------
Consumer Non-Durable (22.41%)
Communications & Media (0.60%)
Telefonaktiebolaget LM Ericsson* 1,004 29,136
------------
Consumer Product (1.43%)
Unilever NV ADR 947 68,847
------------
Cosmetic & Soap (0.92%)
L'OREAL ADR 2,688 44,186
------------
Drugs (12.97%)
AstraZeneca Plc ADR 2,650 128,843
Glaxo SmithKline Plc ADR 4,642 197,842
Novartis ADR 3,601 158,984
Roche Holding AG ADR 1,350 139,247
------------
624,916
------------
Food, Beverage & Tobacco (3.63%)
Nestle SA ADR 2,650 174,747
------------
Retail - Food & Drugs (2.86%)
Diageo Plc ADR 1,471 83,332
Koninklijke Ahold NV ADR 6,496 54,567
------------
137,899
------------
Total Consumer Non-Durable 1,079,730
------------
Energy (17.29%)
Miscellaneous (4.16%)
Total Fina Elf SA ADR 2,179 200,446
------------
Oil & Gas - International (11.04%)
BP Amoco Plc ADR 5,276 259,579
Royal Dutch Petroleum Company ADR 3,278 162,556
Shell Transport & Trading Co. ADR 2,606 109,687
------------
531,822
------------
Oil & Gas - Service (2.09%)
ENI-Ente Nazionale Idrocarburi SpA ADR 1,017 100,500
------------
Total Energy 832,768
------------
24
EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 2/29/2004
INCOME FUND CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Manufacturing (3.09%)
Chemical (0.71%)
Bayer AG ADR 1,203 $ 34,358
------------
Diversified (2.38%)
Siemens AG ADR 1,471 114,444
------------
Total Manufacturing 148,802
------------
Technology (7.20%)
Electronic (1.26%)
Koninklijke Philips Electronics NV ADR 1,997 60,749
------------
Telecommunication (5.94%)
Deutsche Telekom ADR* 4,145 81,532
Nokia OYJ ADR 6,256 136,193
Telecom Italia SpA* 2,154 68,174
------------
285,899
------------
Total Technology 346,648
------------
Utility (11.48%)
Electric (1.55%)
E.ON AG ADR 1,098 74,774
------------
Telephone (9.20%)
Alcatel SA ADR* 1,507 24,398
BT Group PLC ADR 1,495 50,322
Vodafone Group PLC ADR 9,510 237,465
Telefonica SA ADR 2,667 131,243
------------
443,428
------------
Water (0.73%)
Suez SA ADR 1,569 35,020
------------
Total Utility 553,222
------------
Total Common Stock (Cost $4,498,135) 4,650,086
------------
Par Value
---------
Short-Term Investments (3.46%)
$ 83,402 First American Government Obligation Fund 83,402
83,402 First American Prime Obligation Fund 83,402
-------------
Total Short-Term Investments (Cost $166,804) 166,804
-------------
Total Investments (Cost $4,664,939)(a) (99.99%) 4,816,890
Other Net Assets (0.01%) 560
-------------
Net Assets (100.00%) $ 4,817,450
=============
- ----------
* Non-Income Producing Security
** Unsponsored ADR
ADR - American Depositary Receipts
(a) Aggregate cost for federal income tax purposes is $4,664,939.At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 665,124
Unrealized depreciation (513,173)
-------------
Net unrealized appreciation $ 151,951
=============
See accompanying notes to financial statements
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
(UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Common Stock (97.38%)
Capital Good (0.50%)
Intersil Corp 1,947 $ 45,930
Molex Inc. 1,529 48,439
------------
Total Capital Good 94,369
------------
Consumer Cyclical (4.18%)
Bed Bath & Beyond Inc.* 6,165 252,025
Costco Wholesale Corp.* 3,732 145,287
Dollar Tree Stores Inc.* 1,716 53,024
Fastenal Co. 1,122 54,361
Gentex Corp. 1,236 50,379
Paccar Inc. 3,037 168,280
Petsmart Inc. 2,192 59,491
------------
Total Consumer Cyclical 782,847
------------
Consumer Non-Durable (16.14%)
Biomet Inc. 5,330 207,763
Cintas Group 3,170 135,391
Comcast Corp.* 14,706 441,768
Dentsply Intl., Inc. 1,174 51,433
Echostar Communications Corp.* 3,935 142,132
Express Scripts, Inc.* 1,084 78,872
First Health Group Corp.* 1,513 32,045
Gilead Services, Inc.* 3,087 167,346
Henry Schein Inc.* 628 44,902
InterActiveCorp.* 11,436 372,471
Lincare Holdings Inc.* 1,466 47,410
Medimmune, Inc.* 4,102 105,380
Millinium Pharmeceuticals* 5,110 91,009
PanAmSat Corp.* 3,127 71,452
Patterson Dental Co.* 1,012 68,583
Paychex Inc. 5,536 178,093
Ross Store, Inc. 2,307 73,939
Staples Inc.* 5,150 135,033
Starbucks Corp.* 8,476 317,087
Teva Pharmaceutical Industries Ltd. 2,980 193,700
Whole Foods Market, Inc. 911 70,466
------------
Total Consumer Non-Durable 3,026,275
------------
Energy (0.24%)
Patterson-UTI Energy Inc.* 1,293 46,910
------------
Total Energy
Manufacturing (6.91%)
Applied Materials Inc.* 13,312 282,747
CDW Corp. 1,341 92,770
Citrix Systems Inc.* 3,020 63,964
25
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 2/29/2004
CONTINUED (UNAUDITED)
Company Shares Value (Note 1)
- ------- ------ --------------
Comverse Technology Inc.* 3,095 $ 61,033
Dell Inc.* 14,601 476,723
Garmin Ltd. 1,391 63,763
Lam Research Corp.* 1,871 47,841
Novellus Systems Inc.* 2,405 77,321
Sigma-Aldrich 1,030 58,885
Smurfit-Stone Container Corp.* 3,759 69,767
------------
Total Manufacturing 1,294,814
------------
Service (2.93%)
Apollo Group Inc. * 2,760 210,174
Career Education Corp.* 1,414 70,686
Fiserv, Inc.* 3,755 144,981
Lamar Advertising Co.* 1,289 51,173
Mercury Interactive Corp.* 1,482 71,936
------------
Total Service 548,950
------------
Technology (65.70%)
Adobe Systems Inc 3,548 132,128
Altera Corp.* 8,246 182,072
Amazon.com, Inc.* 4,122 177,864
American Power Conversion 3,087 69,828
Amgen Inc.* 9,308 591,337
Apple Computer Inc.* 7,916 189,430
ATI Technologies Inc.* 3,325 51,770
BEA Systems Inc.* 5,784 79,819
Biogen Idec Inc.* 5,863 325,103
Broadcom Corp.* 3,324 134,888
Cephalon, Inc.* 788 46,752
Check Point Software Technologies* 3,761 86,578
Chiron Corp.* 4,065 198,819
Cisco Systems Inc.* 38,176 881,866
Compuware Corp.* 3,672 28,788
Ebay, Inc.* 7,458 513,558
Electronic Arts* 4,649 219,247
Flextronics International Ltd.* 8,858 160,330
Genzyme Corp.* 4,348 220,791
Intel Corp. 35,404 1,034,859
Intuit Inc. * 3,871 171,718
Invitrogen Corp* 742 54,685
JDS Uniphase Corp.* 25,146 123,215
Juniper Networks Inc.* 3,957 102,368
Kla-Tencor Corp.* 3,653 192,878
Level 3 Comm., Inc.* 9,285 39,926
Linear Technology Corp. 6,464 258,495
Marvell Technology Group Ltd.* 1,678 76,399
Maxim Integrated Products 7,129 355,808
Microchip Tech 2,668 76,038
Microsoft Corp. 57,603 1,526,480
Network Appliance Inc.* 5,582 120,906
Nextel Communications Inc.* 21,209 561,826
Nvidia Corp.* 2,714 60,387
Oracle Corporation* 33,734 434,494
Peoplesoft Inc.* 8,202 176,999
Pixar Inc.* 862 56,668
Qlogic Corp.* 1,489 62,240
Qualcomm Inc. 14,937 947,753
Research In Motion Ltd.* 1,094 108,240
Sandisk Corp.* 2,024 51,329
Sanmina Corp.* 8,546 108,449
Siebel Systems Inc* 8,988 117,383
Sun Microsystems Inc.* 21,987 117,411
Symantec Corp.* 4,988 205,206
Synopsys, Inc.* 2,225 65,593
Tellabs Inc.* 3,675 35,648
VeriSign Inc.* 3,522 61,318
Veritas Software Corp.* 6,767 205,852
Xilinx Inc.* 7,032 295,625
Yahoo Inc* 4,896 217,385
------------
Total Technology 12,314,549
------------
Transportation (0.78%)
C.H. Robinson Worldwide, Inc. 1,293 51,216
Expeditors International Washington Inc. 1,596 61,510
Ryanair Holdings plc* 942 32,603
------------
Total Transportation 145,329
------------
Total Common Stock (Cost $22,987,391) 18,254,043
------------
Par Value
---------
Short-Term Investments (2.61%)
$ 400,000 United States Treasury Bills 0.87% 03/18/04 (b) 399,839
44,830 First American Prime Obligation Fund 44,830
44,830 First American Government Obligation Fund 44,830
-------------
Total Short-Term Investments (Cost $489,499) 489,499
-------------
Total Investments (Cost $23,476,890)(a) (99.99%) 18,743,542
Other Net Assets (0.01%) 1,014
-------------
Net Assets (100.00%) $ 18,744,556
=============
- ----------
* Non- Income Producing Security
ADR- American Depositary Receipts.
(a) Aggregate cost for federal income tax purposes is $ 23,476,890. At February
29, 2004, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 2,741,731
Unrealized depreciation (7,475,079)
-------------
Net unrealized depreciation $ (4,733,348)
=============
(b) At February 29, 2004, certain United States Treasury Bills with a market
value of $299,844 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2004: (Contracts-$100 times
premium/delivery month/commitment)
UNREALIZED
DEPRECIATION
-------------
Nasdaq 100 Futures:
3 Mar 04/Long $ (14,664)
=============
See accompanying notes to financial statements
26
STATEMENT OF ASSETS & LIABILITIES
FEBRUARY 29, 2004
(UNAUDITED)
California
California Tax- Insured California Tax- U.S.
Free Money Intermediate Free Income Government
Market Fund Fund Fund Securities Fund
----------------------------------------------------------------------
ASSETS
Investments at market value (identified cost
$96,644,445, $26,375,102, $151,503,523, $30,023,403,
$40,872,814 and $17,677,239, respectively)(Note 1) $96,644,445 $28,099,478 $173,345,169 $30,319,895
Cash 1,057 54,121 33,139 71,768
Interest receivable 172,180 286,889 1,865,456 235,371
----------------------------------------------------------------------
Total Assets 96,817,682 28,440,488 175,243,764 30,627,034
----------------------------------------------------------------------
LIABILITIES
Payable to Investment Advisor 20,426 7,946 66,243 8,880
Accrued 12b-1 fee - K Shares -- -- -- 193
Accrued shareholder service fee - K Shares -- -- -- 252
Accrued expenses 36,231 12,038 65,612 16,366
Distributions payable 32,478 62,240 495,785 47,471
----------------------------------------------------------------------
Total Liabilities 89,135 82,224 627,640 73,162
----------------------------------------------------------------------
NET ASSETS: $96,728,547 $28,358,264 $174,616,124 $30,553,872
======================================================================
Net Assets at February 29, 2004 consist of
Paid-in capital $96,746,646 $26,530,909 $151,152,018 $29,945,475
Undistributed net investment income -- 21,177 502,150 8,944
Accumulated net realized gains (losses) (18,099) 84,800 1,563,167 302,961
Unrealized appreciation of investments -- 1,721,378 21,398,789 296,492
----------------------------------------------------------------------
$96,728,547 28,358,264 $174,616,124 $30,553,872
======================================================================
NET ASSETS
Direct Shares $96,728,547 $28,358,264 $174,616,124 $29,803,820
======================================================================
K Shares $ -- $ -- $ -- $ 750,052
======================================================================
SHARES OUTSTANDING
Direct Shares (no par value, unlimited shares authorized) 96,795,176 2,530,068 13,256,280 2,794,748
======================================================================
K Shares (no par value, unlimited shares authorized) -- -- -- 70,098
======================================================================
NET ASSET VALUE PER SHARE
Direct Shares $ 1.00 $ 11.21 $ 13.17 $ 10.66
======================================================================
K Shares $ -- $ -- $ -- $ 10.70
======================================================================
The United Short-Term U.S
States Treasury Government
Trust Bond Fund
-----------------------------------
ASSETS
Investments at market value (identified cost
$96,644,445, $26,375,102, $151,503,523, $30,023,403,
$40,872,814 and $17,677,239, respectively)(Note 1) $40,872,814 $17,766,024
Cash 11,503 82,032
Interest receivable -- 180,335
--------------------------------
Total Assets 40,884,317 18,028,391
--------------------------------
LIABILITIES
Payable to Investment Advisor 3,738 3,619
Accrued 12b-1 fee - K Shares 65 185
Accrued shareholder service fee - K Shares 102 225
Accrued expenses 20,739 12,317
Distributions payable 17,769 12,272
--------------------------------
Total Liabilities 42,413 28,618
--------------------------------
NET ASSETS: $40,841,904 $17,999,773
================================
Net Assets at February 29, 2004 consist of
Paid-in capital $40,839,972 $17,910,480
Undistributed net investment income -- 6,375
Accumulated net realized gains (losses) 1,932 (5,867)
Unrealized appreciation of investments -- 88,785
--------------------------------
$40,841,904 $17,999,773
================================
NET ASSETS
Direct Shares $40,458,972 $17,056,561
================================
K Shares $ 382,932 $ 943,212
================================
SHARES OUTSTANDING
Direct Shares (no par value, unlimited shares authorized) 40,456,826 1,678,815
================================
K Shares (no par value, unlimited shares authorized) 382,963 92,819
================================
NET ASSET VALUE PER SHARE
Direct Shares $ 1.00 $ 10.16
================================
K Shares $ 1.00 $ 10.16
================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
27
STATEMENT OF ASSETS & LIABILITIES
FEBRUARY 29, 2004
(UNAUDITED)
S&P 500 Index S&P MidCap S&P SmallCap Equity Income
Fund Index Fund Index Fund Fund
----------------------------------------------------------------------
ASSETS
Investments at market value (identified cost
$96,994,838, $96,115,930, $17,722,644, $10,704,710,
$4,664,939 and $23,476,890, respectively)(Note 1) $ 113,821,524 $ 125,316,027 $ 23,056,911 $ 13,387,174
Cash 246 -- -- 1,274
Interest receivable 864 2,303 554 337
Dividend receivable 182,321 105,903 9,612 16,626
Receivable for fund shares sold 34,938 77,245 -- --
Variation margin receivable 6,610 31,740 8,200 24,600
----------------------------------------------------------------------
Total Assets 114,046,503 125,533,218 23,075,277 13,430,011
----------------------------------------------------------------------
LIABILITIES
Payable for fund shares repurchased 11,643 3,038 1,782 --
Payable to Investment Advisor 7,520 32,783 5,996 3,930
Accrued 12b-1 fee - K Shares 209 237 229 131
Accrued shareholder service fee - K Shares 262 289 279 175
Accrued expenses 38,439 43,109 15,709 11,939
----------------------------------------------------------------------
Total Liabilities 58,073 79,456 23,995 16,175
----------------------------------------------------------------------
NET ASSETS: $ 113,988,430 $ 125,453,762 $ 23,051,282 $ 13,413,836
======================================================================
Net Assets at February 29, 2004 consist of
Paid-in capital $ 106,818,171 $ 98,094,319 $ 17,348,822 $ 11,321,123
Undistributed net investment income 252,105 120,953 3,209 19,283
Accumulated net realized gains (losses) (9,935,051) (2,158,087) 333,928 (782,227)
Unrealized appreciation (depreciation) of investments 16,826,686 29,200,097 5,334,267 2,682,464
Unrealized appreciation (depreciation) of futures contracts 26,519 196,480 31,056 173,193
----------------------------------------------------------------------
$ 113,988,430 $ 125,453,762 $ 23,051,282 $ 13,413,836
======================================================================
NET ASSETS
Direct Shares $ 112,908,697 $ 124,124,846 $ 21,706,653 $ 12,964,073
======================================================================
K Shares $ 1,079,733 $ 1,328,916 $ 1,344,629 $ 449,763
======================================================================
SHARES OUTSTANDING
Direct Shares (no par value, unlimited shares authorized) 4,882,983 6,278,520 1,335,515 912,963
======================================================================
K Shares (no par value, unlimited shares authorized) 46,628 67,214 82,820 31,623
======================================================================
NET ASSET VALUE PER SHARE
Direct Shares $ 23.12 $ 19.77 $ 16.25 $ 14.20
======================================================================
K Shares $ 23.16 $ 19.77 $ 16.24 $ 14.22
======================================================================
European
Growth & Nasdaq-100
Income Fund Index Fund
--------------------------------
ASSETS
Investments at market value (identified cost
$96,994,838, $96,115,930, $17,722,644, $10,704,710,
$4,664,939 and $23,476,890, respectively)(Note 1) $ 4,816,890 $ 18,743,542
Cash -- --
Interest receivable 28 162
Dividend receivable 13,992 5,427
Receivable for fund shares sold -- 20,000
Variation margin receivable -- --
--------------------------------
Total Assets 4,830,910 18,769,131
--------------------------------
LIABILITIES
Payable for fund shares repurchased -- --
Payable to Investment Advisor 268 4,211
Accrued 12b-1 fee - K Shares 129 242
Accrued shareholder service fee - K Shares 169 324
Accrued expenses 12,894 19,798
--------------------------------
Total Liabilities 13,460 24,575
--------------------------------
NET ASSETS: $ 4,817,450 $ 18,744,556
================================
Net Assets at February 29, 2004 consist of
Paid-in capital $ 4,885,244 $ 31,968,262
Undistributed net investment income 9,637 (31,526)
Accumulated net realized gains (losses) (229,382) (8,444,168)
Unrealized appreciation (depreciation) of investments 151,951 (4,733,348)
Unrealized appreciation (depreciation) of futures contracts -- (14,664)
--------------------------------
$ 4,817,450 $ 18,744,556
================================
NET ASSETS
Direct Shares $ 4,317,901 $ 17,835,987
K Shares $ 499,549 $ 908,569
SHARES OUTSTANDING
Direct Shares (no par value, unlimited shares authorized) 564,856 4,794,609
================================
K Shares (no par value, unlimited shares authorized) 65,363 244,300
================================
NET ASSET VALUE PER SHARE
Direct Shares $ 7.64 $ 3.72
================================
K Shares $ 7.64 $ 3.72
================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
28
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2004
(UNAUDITED)
California
California Tax- Insured California Tax- U.S.
Free Money Intermediate Free Income Government
Market Fund Fund Fund Securities Fund
-----------------------------------------------------------------------
Investment Income
Interest income $ 406,243 $ 498,804 $ 3,926,088 $ 479,692
-----------------------------------------------------------------------
Expenses
Management fees (Note 2) 218,391 70,517 421,315 77,450
Transfer agent fees 17,617 7,933 31,693 11,349
Accounting services 31,013 11,193 53,974 13,626
Custodian fees 5,349 1,552 7,812 2,568
Legal and audit fees 10,579 4,542 17,043 4,944
Trustees fees 3,212 3,041 2,844 993
Insurance 1,708 561 3,550 623
Printing 1,505 452 3,171 1,395
12b-1 Fees - K Shares -- -- -- 252
Shareholder Service Fee - K Shares -- -- -- 252
Registration & dues 1,086 453 1,973 2,386
-----------------------------------------------------------------------
Total Expenses 290,460 100,244 543,375 115,838
Less reimbursement from manager (Note 2) (98,276) (17,034) -- (14,648)
-----------------------------------------------------------------------
Net Expenses 192,184 83,210 543,375 101,190
-----------------------------------------------------------------------
Net Investment Income 214,059 415,594 3,382,713 378,502
-----------------------------------------------------------------------
Realized and Unrealized Gain on Investments
Net realized gain from security transactions -- 96,349 1,824,177 320,595
Change in unrealized appreciation of investments -- 1,026,143 6,601,253 196,597
-----------------------------------------------------------------------
Net realized and unrealized gain on
investments -- 1,122,492 8,425,430 517,192
-----------------------------------------------------------------------
Net increase in net assets resulting from
operations $ 214,059 $ 1,538,086 $ 11,808,143 $ 895,694
=======================================================================
Short-Term
The United U.S.
States Treasury Government
Trust Bond Fund
---------------------------------
Investment Income
Interest income $ 191,476 $ 159,166
---------------------------------
Expenses
Management fees (Note 2) 100,648 49,659
Transfer agent fees 13,564 9,323
Accounting services 17,723 9,294
Custodian fees 2,627 1,353
Legal and audit fees 7,033 4,226
Trustees fees 1,052 1,173
Insurance 803 360
Printing 1,350 582
12b-1 Fees - K Shares 102 225
Shareholder Service Fee - K Shares 102 225
Registration & dues 2,775 1,399
---------------------------------
Total Expenses 147,779 77,819
Less reimbursement from manager (Note 2) (71,635) (27,710)
---------------------------------
Net Expenses 76,144 50,109
Net Investment Income 115,332 109,057
---------------------------------
Realized and Unrealized Gain on Investments
Net realized gain from security transactions 2,038 3,251
Change in unrealized appreciation of investments -- 97,984
---------------------------------
Net realized and unrealized gain on
investments 2,038 101,235
---------------------------------
Net increase in net assets resulting from
operations $ 117,370 $ 210,292
=================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
29
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2004
(UNAUDITED)
S&P 500 S&P MidCap S&P SmallCap Equity Income
Index Fund Index Fund Index Fund Fund
----------------------------------------------------------------------
Investment Income
Interest income $ 7,520 $ 7,885 $ 2,715 $ 7,937
Dividend income 903,610 656,597 82,033 107,107
----------------------------------------------------------------------
Total 911,130 664,482 84,748 115,044
----------------------------------------------------------------------
Expenses
Management fees (Note 2) 131,971 232,058 51,741 28,254
Transfer agent fees 26,000 25,581 12,728 8,906
Accounting services 33,981 36,682 9,616 7,081
Custodian fees 5,613 4,862 3,370 1,089
Legal and audit fees 13,722 11,542 4,445 3,907
Trustees fees 1,107 1,172 1,183 1,180
Insurance 2,028 2,112 382 211
Printing 5,840 5,422 1,885 1,037
Registration & dues 4,541 5,572 2,974 2,438
12b-1 Fees - K Shares 262 289 279 175
Shareholder Service Fee - K Shares 262 289 279 175
Licensing fee 7,053 5,934 947 --
----------------------------------------------------------------------
Total Expenses 232,380 331,515 89,829 54,453
Less reimbursement from manager (Note 2) (89,328) (51,103) (22,007) (8,897)
----------------------------------------------------------------------
Net Expenses 143,052 280,412 67,822 45,556
----------------------------------------------------------------------
Net Investment Income (loss) 768,078 384,070 16,926 69,488
----------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) from security transactions (312,920) 1,059,538 481,726 62,384
Net realized gain from futures contracts 510,994 629,022 76,429 178,365
Change in unrealized appreciation (depreciation) of
investments 13,306,890 15,412,653 2,621,253 1,223,549
Change in unrealized appreciation (depreciation) of
futures contracts (39,698) 46,663 2,031 148,288
----------------------------------------------------------------------
Net realized and unrealized gain on investments 13,465,266 17,147,876 3,181,439 1,612,586
----------------------------------------------------------------------
Net increase in net assets resulting from operations $ 14,233,344 $ 17,531,946 $ 3,198,365 $ 1,682,074
======================================================================
European
Growth & Nasdaq-100
Income Fund Index Fund
---------------------------------
Investment Income
Interest income $ 288 $ 3,497
Dividend income 34,630 23,203
---------------------------------
Total 34,918 26,700
---------------------------------
Expenses
Management fees (Note 2) 17,156 44,291
Transfer agent fees 8,440 14,817
Accounting services 5,385 9,422
Custodian fees 2,163 2,856
Legal and audit fees 3,429 4,555
Trustees fees 1,251 1,302
Insurance 74 312
Printing 846 2,532
Registration & dues 529 2,594
12b-1 Fees - K Shares 169 324
Shareholder Service Fee - K Shares 169 324
Licensing fee -- 3,327
---------------------------------
Total Expenses 39,611 86,656
Less reimbursement from manager (Note 2) (20,097) (28,430)
---------------------------------
Net Expenses 19,514 58,226
---------------------------------
Net Investment Income (loss) 15,404 (31,526)
---------------------------------
Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) from security transactions (32,681) (719,478)
Net realized gain from futures contracts 2,439 266,276
Change in unrealized appreciation (depreciation) of
investments 868,480 2,006,696
Change in unrealized appreciation (depreciation) of
futures contracts -- (74,024)
---------------------------------
Net realized and unrealized gain on investments 838,238 1,479,470
---------------------------------
Net increase in net assets resulting from operations $ 853,642 $ 1,447,944
=================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
30
STATEMENT OF CHANGES IN NET ASSETS
California Tax-Free Money California Insured
Market Fund Intermediate Fund
---------------------------------- -----------------------------------
Six Months Six Months
Ended February Year Ended Ended February Year Ended
29, 2004 August 31, 29, 2004 August 31,
(Unaudited) 2003 (Unaudited) 2003
-----------------------------------------------------------------------
Operations
Net investment income $ 214,059 $ 645,114 $ 415,594 $ 833,139
Net realized gain (loss) on investments -- (3,258) 96,349 425,965
Change in unrealized
appreciation of investments -- -- 1,026,143 (972,397)
-----------------------------------------------------------------------
Net increase in net assets resulting
from operations 214,059 641,856 1,538,086 286,707
Undistributed investment income
included in price of shares sold
and repurchased -- -- -- (456)
Distributions to Shareholders
Distributions from net investment income (214,059) (645,114) (415,742) (830,980)
Distributions from realized capital
gains on investments -- -- (78,682) (511,265)
Capital Share Transactions
Increase (decrease) in net assetsresulting
from capital share transactions 7,924,741 (4,563,940) (591,142) 1,856,531
-----------------------------------------------------------------------
Total increase (decrease) 7,924,741 (4,567,198) 452,520 800,537
Net Assets
Beginning of period 88,803,806 93,371,004 27,905,744 27,105,207
-----------------------------------------------------------------------
End of period * $ 96,728,547 $ 88,803,806 $ 28,358,264 $ 27,905,744
=======================================================================
*Including undistributed net
investment income of: $ -- $ -- $ 21,177 $ 21,325
=======================================================================
California Tax-Free
Income Fund
----------------------------------
Six Months
Ended February Year Ended
29, 2004 August 31,
(Unaudited) 2003
----------------------------------
Operations
Net investment income $ 3,382,713 $ 7,351,341
Net realized gain (loss) on investments 1,824,177 1,649,847
Change in unrealized
appreciation of investments 6,601,253 (6,385,442)
---------------------------------
Net increase in net assets resulting
from operations 11,808,143 2,615,746
Undistributed investment income
included in price of shares sold
and repurchased -- (65,722)
Distributions to Shareholders
Distributions from net investment income (3,386,947) (7,287,147)
Distributions from realized capital
gains on investments (1,385,238) (2,384,618)
Capital Share Transactions
Increase (decrease) in net assetsresulting
from capital share transactions (4,908,247) (27,298,506)
---------------------------------
Total increase (decrease) 2,127,711 (34,420,247)
Net Assets
Beginning of period 172,488,413 206,908,660
---------------------------------
End of period * $ 174,616,124 $ 172,488,413
=================================
*Including undistributed net
investment income of: $ 502,150 $ 506,382
=================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
31
STATEMENT OF CHANGES IN NET ASSETS
U.S. Government The United States
Securities Fund Treasury Trust
---------------------------------- -----------------------------------
Six Months Six Months
Ended February Year Ended Ended February Year Ended
29, 2004 August 31, 29, 2004 August 31,
(Unaudited) 2003 (Unaudited) 2003
-----------------------------------------------------------------------
Operations
Net investment income $ 378,502 $ 1,069,782 $ 115,332 $ 371,220
Net realized gain on investments 320,595 946,601 2,038 5,486
Change in unrealized
appreciation (depreciation) of investments 196,597 (1,176,844) -- --
-----------------------------------------------------------------------
Net increase in net assets resulting
from operations 895,694 839,539 117,370 376,706
Undistributed investment income
included in price of shares sold
and repurchased -- (4,381) -- --
Distributions to Shareholders
Distributions from net investment income -- (1,332,875) -- (371,220)
Direct Shares (367,755) -- (115,315) --
K Shares (1,804) -- (17) --
Distributions from realized capital
gains on investments -- -- -- (7,280)
Direct Shares (224,970) -- (5,459) --
K Shares (191) -- (28) --
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share transactions (1,332,523) (1,191,709) 210,843 (10,376,732)
-----------------------------------------------------------------------
Total increase (decrease) (1,031,549) (1,689,426) 207,394 (10,378,526)
Net Assets
Beginning of period 31,585,421 33,274,847 40,634,510 51,013,036
-----------------------------------------------------------------------
End of period * $ 30,553,872 $ 31,585,421 $ 40,841,904 $ 40,634,510
=======================================================================
*Including undistributed net
investment income of: $ 8,944 $ -- $ -- $ --
=======================================================================
Short-Term U.S.
Government Bond Fund
----------------------------------
Six Months
Ended February Year Ended
29, 2004 August 31,
(Unaudited) 2003
---------------------------------
Operations
Net investment income $ 109,057 $ 228,078
Net realized gain on investments 3,251 33,884
Change in unrealized
appreciation (depreciation) of investments 97,984 (133,119)
---------------------------------
Net increase in net assets resulting
from operations 210,292 128,843
Undistributed investment income
included in price of shares sold
and repurchased -- 5,482
Distributions to Shareholders
Distributions from net investment income -- (227,749)
Direct Shares (103,754) --
K Shares (617) --
Distributions from realized capital
gains on investments -- --
Direct Shares (14,053) --
K Shares (4) --
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share transactions (3,592,472) 10,651,423
---------------------------------
Total increase (decrease) (3,500,608) 10,557,999
Net Assets
Beginning of period 21,500,381 10,942,382
---------------------------------
End of period * $ 17,999,773 $ 21,500,381
=================================
*Including undistributed net
investment income of: $ 6,375 $ 1,689
=================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
32
STATEMENT OF CHANGES IN NET ASSETS
S&P 500 S&P MidCap
Index Fund Index Fund
---------------------------------- ----------------------------------
Six Months Six Months
Ended February Year Ended Ended February Year Ended
29, 2004 August 31, 29, 2004 August 31,
(Unaudited) 2003 (Unaudited) 2003
-----------------------------------------------------------------------
Operations
Net investment income $ 768,078 $ 1,380,709 $ 384,070 $ 708,857
Net realized gain (loss) on investments (312,920) 1,782,303 1,059,538 54,162
Net realized gain (loss) on future contracts 510,994 285,526 629,022 (338,584)
Change in unrealized
appreciation of investments 13,306,890 6,973,080 15,412,653 14,003,959
Change in unrealized
appreciation of future contracts (39,698) 107,430 46,663 233,046
-----------------------------------------------------------------------
Net increase in net assets resulting
from operations 14,233,344 10,529,048 17,531,946 14,661,440
Undistributed investment income included
in price of shares sold and repurchased -- (10,787) -- (21,908)
Distributions to Shareholders
Distributions from net investment income
Direct Shares (748,007) (1,437,422) (381,442) (721,101)
K Shares (210) -- (120) --
Distributions from realized capital
gains on investments
Direct Shares -- -- -- --
K Shares -- -- -- --
Capital Share Transactions
Increase (decrease) in net assets resulting
from capital share transactions 2,239,278 (4,777,634) 4,532,369 (6,737,660)
-----------------------------------------------------------------------
Total increase 15,724,405 4,303,205 21,682,753 7,180,771
Net Assets
Beginning of period 98,264,025 93,960,820 103,771,009 96,590,238
-----------------------------------------------------------------------
End of period * $ 113,988,430 $ 98,264,025 $ 125,453,762 $ 103,771,009
=======================================================================
*Including undistributed net
investment income of: $ 252,105 $ 232,243 $ 120,953 $ 118,445
=======================================================================
S&P SmallCap
Index Fund
---------------------------------
Six Months
Ended February Year Ended
29, 2004 August 31,
(Unaudited) 2003
---------------------------------
Operations
Net investment income $ 16,926 $ 48,003
Net realized gain (loss) on investments 481,726 (223,115)
Net realized gain (loss) on future contracts 76,429 151,045
Change in unrealized
appreciation of investments 2,621,253 3,313,167
Change in unrealized
appreciation of future contracts 2,031 49,213
---------------------------------
Net increase in net assets resulting
from operations 3,198,365 3,338,313
Undistributed investment income included
in price of shares sold and repurchased -- (544)
Distributions to Shareholders
Distributions from net investment income
Direct Shares (20,296) (41,424)
K Shares -- --
Distributions from realized capital
gains on investments
Direct Shares (182,876) (51,780)
K Shares (312) --
Capital Share Transactions
Increase (decrease) in net assets resulting
from capital share transactions 1,530,679 (532,095)
---------------------------------
Total increase 4,525,560 2,712,470
Net Assets
Beginning of period 18,525,722 15,813,252
---------------------------------
End of period * $ 23,051,282 $ 18,525,722
=================================
*Including undistributed net
investment income of: $ 3,209 $ 6,579
=================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
33
STATEMENT OF CHANGES IN NET ASSETS
European Growth &
Equity Income Fund Income Fund
---------------------------------- ----------------------------------
Six Months Six Months
Ended February Year Ended Ended February Year Ended
29, 2004 August 31, 29, 2004 August 31,
(Unaudited) 2003 (Unaudited) 2003
-----------------------------------------------------------------------
Operations
Net investment income (loss) $ 69,488 $ 116,271 $ 15,404 $ 50,410
Net realized gain (loss) on investments 62,384 (167,786) (32,681) 1,828
Net realized gain on futures contracts 178,365 69,886 2,439 --
Change in unrealized appreciation
of investments 1,223,549 884,219 868,480 172,978
Change in unrealized appreciation
(depreciation) of future contracts 148,288 (20,831) -- --
-----------------------------------------------------------------------
Net increase in net assets resulting
from operations 1,682,074 881,759 853,642 225,216
Undistributed investment income included
in price of shares sold and repurchased -- 1,233 -- (1,575)
Distributions to Shareholders
Distributions from net investment income
Direct Shares (76,663) (112,369) (18,842) (37,320)
K Shares (130) -- (15) --
Capital Share Transactions
Increase in net assets
resulting from capital share transactions 1,990,722 786,237 618,267 820,820
-----------------------------------------------------------------------
Total increase 3,596,003 1,556,860 1,453,052 1,007,141
Net Assets
Beginning of period 9,817,833 8,260,973 3,364,398 2,357,257
-----------------------------------------------------------------------
End of period * $ 13,413,836 $ 9,817,833 $ 4,817,450 $ 3,364,398
=======================================================================
*Including undistributed net
investment income (loss) of: $ 19,283 $ 26,588 $ 9,637 $ 13,090
=======================================================================
Nasdaq-100 Index Fund
---------------------------------
Six Months
Ended February Year Ended
29, 2004 August 31,
(Unaudited) 2003
---------------------------------
Operations
Net investment income (loss) $ (31,526) $ (42,420)
Net realized gain (loss) on investments (719,478) (2,137,456)
Net realized gain on futures contracts 266,276 171,730
Change in unrealized appreciation
of investments 2,006,696 5,700,746
Change in unrealized appreciation
(depreciation) of future contracts (74,024) 59,194
---------------------------------
Net increase in net assets resulting
from operations 1,447,944 3,751,794
Undistributed investment income included
in price of shares sold and repurchased -- (4,679)
Distributions to Shareholders
Distributions from net investment income
Direct Shares -- --
K Shares -- --
Capital Share Transactions
Increase in net assets
resulting from capital share transactions 2,368,552 1,990,080
Total increase 3,816,496 5,737,195
Net Assets
Beginning of period 14,928,060 9,190,865
---------------------------------
End of period * $ 18,744,556 $ 14,928,060
=================================
*Including undistributed net
investment income (loss) of: $ (31,526) $ --
=================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
34
STATEMENT OF CHANGES IN NET ASSETS
California Tax-Free Income Fund California Insured Intermediate Fund
------------------------------- ------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
February 29, 2004 (Unaudited) August 31, 2003 February 29, 2004 (Unaudited) August 31, 2003
----------------------------- ------------------------- ----------------------------- ---------------------
Shares Value Shares Value Shares Value Shares Value
--------------------------------------------------------- ----------------------------------------------------
Shares sold ........ 1,912,076 $ 24,630,708 7,770,923 $ 101,005,637 60,828 $ 674,895 592,416 $ 6,603,082
Shares issued in
reinvestment of
distributions .... 258,318 3,343,082 582,865 7,578,002 29,504 325,888 91,987 1,007,408
--------------------------------------------------------- ----------------------------------------------------
2,170,394 27,973,790 8,353,788 108,583,639 90,332 1,000,783 684,403 7,610,490
Shares repurchased . (2,537,810) (32,882,037) (10,361,336) (135,882,145) (144,228) (1,591,925) (517,192) (5,753,959)
--------------------------------------------------------- ----------------------------------------------------
Net increase
(decrease) ....... (367,416) $ (4,908,247) (2,007,548) $ (27,298,506) (53,896) (591,142) 167,211 1,856,531
========================================================= ====================================================
The United States Treasury Trust
California Tax-Free
Money Market Direct Shares K Shares
-------------------- ------------- --------
Six Months Ended Year Ended Six Months Ended Year Ended October 16, 2003 to
February 29, 2004 August 31, February 29, 2004 August 31, February 29, 2004 *
(Unaudited) 2003 (Unaudited) 2003 (Unaudited)
----------------- ------------- ------------------ ------------ -------------------
Shares/Value Shares/Value Shares/Value Shares/Value Shares/Value
----------------- ------------- ------------------ ------------ -------------------
Shares sold ................. 34,240,643 74,019,274 37,487,367 113,535,711 654,903
Shares issued in
reinvestment of
distributions ........... 174,818 621,574 97,436 356,883 21
----------- ----------- ----------- ------------ --------
34,415,461 74,640,848 37,584,803 113,892,594 654,924
Shares repurchased .......... (26,490,720) (79,204,788) (37,756,923) (124,269,326) (271,961)
----------- ----------- ----------- ------------ --------
Net increase (decrease) ..... 7,924,741 (4,563,940) (172,120) (10,376,732) 382,963
=========== =========== =========== ============ ========
SHORT-TERM U.S. GOVERNMENT BOND FUND
Direct Shares K Shares
------------- --------
Six Months Ended October 16, 2003 to
February 29, 2004 Year Ended February 29, 2004 *
(Unaudited) August 31, 2003 (Unaudited)
---------------------------- ----------------------------- -------------------------
Shares Value Shares Value Shares Value
---------------------------------------------------------- ----------- -------------
Shares sold ......................... 263,137 $ 2,666,521 1,699,959 $ 17,245,618 103,843 $ 1,052,624
Shares issued in
reinvestment of
distributions ..................... 9,947 100,752 18,698 189,829 26 268
---------------------------------------------------------- ----------- -------------
273,084 2,767,273 1,718,657 17,435,447 103,868 1,052,892
Shares repurchased .................. (720,246) (7,300,492) (668,361) (6,784,024) (11,050) (112,145)
---------------------------------------------------------- ----------- -------------
Net increase (decrease) ........... (447,162) $(4,533,219) 1,050,296 $ 10,651,423 92,819 $ 940,747
========================================================== =========== =============
* Commencement of operations
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
35
STATEMENT OF CHANGES IN NET ASSETS
Direct Shares K Shares
U.S. GOVERNMENT SECURITIES FUND ------------- ----------
October 16, 2003 to
Six Months Ended Year Ended February 29, 2004 *
February 29, 2004 (Unaudited) August 31, 2003 (Unaudited)
------------------------------ ------------------------------- -------------------------
Shares Value Shares Value Shares Value
-------------------------------------------------------------- -------------------------
Shares sold .......................... 282,805 $ 3,005,860 1,673,739 $ 18,056,033 75,757 $ 805,215
Shares issued in reinvestment of
distributions ...................... 44,653 472,367 105,638 1,138,387 113 1,196
-------------------------------------------------------------- -------------------------
327,458 3,478,227 1,779,377 19,194,420 75,870 806,411
Shares repurchased ................... (523,596) (5,555,592) (1,890,170) (20,386,129) (5,772) (61,569)
-------------------------------------------------------------- -------------------------
Net increase (decrease) ............ (196,138) $ (2,077,365) (110,793) (1,191,709) 70,098 $ 744,842
============================================================== =========================
S&P 500 INDEX FUND Direct Shares K Shares
------------- --------
October 16, 2003 to
Six Months Ended Year Ended February 29, 2004 *
February 29, 2004 (Unaudited) August 31, 2003 (Unaudited)
------------------------------ ------------------------------- -------------------------
Shares Value Shares Value Shares Value
-------------------------------------------------------------- -------------------------
Shares sold .......................... 334,159 $ 7,309,810 903,499 $ 16,439,574 54,856 $ 1,236,951
Shares issued in reinvestment of
distributions ...................... 27,847 592,422 65,058 1,141,330 9 198
-------------------------------------------------------------- -------------------------
362,006 7,902,232 968,557 17,580,904 54,865 1,237,149
Shares repurchased ................... (306,327) (6,716,254) (1,225,981) (22,358,538) (8,237) (183,849)
-------------------------------------------------------------- -------------------------
Net increase (decrease) ............ 55,679 $ 1,185,978 (257,424) $ (4,777,634) 46,628 $ 1,053,300
============================================================== =========================
S&P MIDCAP INDEX FUND Direct Shares K Shares
------------- --------
October 16, 2003 to
Six Months Ended Year Ended February 29, 2004 *
February 29, 2004 (Unaudited) August 31, 2003 (Unaudited)
------------------------------ ------------------------------- -------------------------
Shares Value Shares Value Shares Value
-------------------------------------------------------------- -------------------------
Shares sold .......................... 793,457 $ 14,476,107 2,936,166 $ 42,217,029 68,968 $ 1,334,121
Shares issued in reinvestment of
distributions ...................... 18,288 327,842 44,420 626,756 6 110
-------------------------------------------------------------- -------------------------
811,745 14,803,949 2,980,586 42,843,785 68,974 1,334,231
Shares repurchased ................... (634,012) (11,571,697) (3,496,440) (49,581,445) (1,760) (34,114)
-------------------------------------------------------------- -------------------------
Net increase (decrease) ............ 177,733 $ 3,232,252 (515,854) $ (6,737,660) 67,214 $ 1,300,117
============================================================== =========================
* Commencement of operations
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
36
STATEMENT OF CHANGES IN NET ASSETS
S&P SMALLCAP INDEX FUND Direct Shares K Shares
------------- --------
October 16, 2003 to
Six Months Ended Year Ended February 29, 2004 *
February 29, 2004 (Unaudited) August 31, 2003 (Unaudited)
------------------------------ ------------------------------- -------------------------
Shares Value Shares Value Shares Value
-------------------------------------------------------------- -------------------------
Shares sold .......................... 166,160 $ 2,518,177 555,740 $ 6,709,355 83,875 $ 1,325,235
Shares issued in reinvestment of
distributions ...................... 13,210 200,465 7,771 90,119 20 312
-------------------------------------------------------------- -------------------------
179,370 2,718,642 563,511 6,799,474 83,895 1,325,547
Shares repurchased ................... (160,794) (2,496,394) (609,969) (7,331,569) (1,075) (17,116)
-------------------------------------------------------------- -------------------------
Net increase (decrease) ............ 18,576 $ 222,248 (46,458) $ (532,095) 82,820 $ 1,308,431
============================================================== =========================
EQUITY INCOME FUND Direct Shares K Shares
------------- --------
October 16, 2003 to
Six Months Ended Year Ended February 29, 2004 *
February 29, 2004 (Unaudited) August 31, 2003 (Unaudited)
------------------------------ ------------------------------- -------------------------
Shares Value Shares Value Shares Value
-------------------------------------------------------------- -------------------------
Shares sold .......................... 170,006 $ 2,284,641 146,167 $ 1,614,108 36,414 $ 492,233
Shares issued in reinvestment of
distributions ...................... 5,655 73,703 9,958 108,259 10 130
-------------------------------------------------------------- -------------------------
175,661 2,358,344 156,125 1,722,367 36,424 492,363
Shares repurchased ................... (59,319) (793,433) (85,509) (936,130) (4,801) (66,552)
-------------------------------------------------------------- -------------------------
Net increase ....................... 116,342 $ 1,564,911 70,616 $ 786,237 31,623 $ 425,811
============================================================== =========================
EUROPEAN GROWTH & INCOME FUND Direct Shares K Shares
------------- --------
October 16, 2003 to
Six Months Ended Year Ended February 29, 2004 *
February 29, 2004 (Unaudited) August 31, 2003 (Unaudited)
------------------------------ ------------------------------- -------------------------
Shares Value Shares Value Shares Value
-------------------------------------------------------------- -------------------------
Shares sold .......................... 364,343 $ 2,434,108 3,275,364 $ 18,527,746 71,533 $ 526,521
Shares issued in reinvestment of
distributions ...................... 2,824 18,589 6,605 36,155 2 15
-------------------------------------------------------------- -------------------------
367,167 2,452,697 3,281,969 18,563,901 71,535 526,536
Shares repurchased ................... (346,838) (2,314,383) (3,144,160) (17,743,081) (6,172) (46,583)
-------------------------------------------------------------- -------------------------
Net increase ....................... 20,329 $ 138,314 137,809 $ 820,820 65,363 $ 479,953
============================================================== =========================
* Commencement of operations
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
37
STATEMENT OF CHANGES IN NET ASSETS
NASDAQ-100 INDEX FUND Direct Shares K Shares
------------- --------
October 16, 2003 to
Six Months Ended Year Ended February 29, 2004 *
February 29, 2004 (Unaudited) August 31, 2003 (Unaudited)
------------------------------ ------------------------------- -------------------------
Shares Value Shares Value Shares Value
-------------------------------------------------------------- -------------------------
Shares sold .......................... 1,348,260 $ 4,893,732 2,863,826 $ 8,067,882 256,244 $ 932,116
Shares issued in reinvestment of
distributions ........................ -- -- -- -- -- --
-------------------------------------------------------------- -------------------------
1,348,260 4,893,732 2,863,826 8,067,882 256,244 932,116
Shares repurchased ................... (936,777) (3,411,920) (2,296,996) (6,077,802) (11,944) (45,376)
-------------------------------------------------------------- -------------------------
Net increase ......................... 411,483 $ 1,481,812 566,830 $ 1,990,080 244,300 $ 886,740
============================================================== =========================
* Commencement of operations
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
38
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CALIFORNIA TAX-FREE MONEY MARKET FUND
Six Months
Ended
February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.002 0.007 0.011 0.026 0.029 0.026
LESS DISTRIBUTIONS
Dividends from net investment income (0.002) (0.007) (0.011) (0.026) (0.029) (0.026)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======================================================================================
Total Return 0.24% 0.70% 1.15% 2.66% 2.92% 2.61%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 96,729 $ 88,804 $ 93,371 $ 99,520 $102,848 $105,606
Ratio of expenses to average net assets:
Before expense reimbursements 0.66%* 0.65% 0.65% 0.63% 0.66% 0.61%
After expense reimbursements 0.44%* 0.43% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment
income to average net assets
Before expense reimbursements 0.27%* 0.48% 0.90% 2.36% 2.63% 2.33%
After expense reimbursements 0.49%* 0.70% 1.15% 2.59% 2.89% 2.54%
CALIFORNIA INSURED INTERMEDIATE FUND
Six Months
Ended
February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.80 $ 11.22 $ 11.09 $ 10.72 $ 10.54 $ 10.92
--------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.16 0.33 0.39 0.43 0.44 0.43
Net gain (loss) on securities (both
realized and unrealized) 0.44 (0.21) 0.27 0.37 0.20 (0.26)
--------------------------------------------------------------------------------------
Total from Investment Operations 0.60 0.12 0.66 0.80 0.64 0.17
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.16) (0.33) (0.39) (0.43) (0.44) (0.43)
Distributions from capital gains (0.03) (0.21) (0.14) -- (0.02) (0.12)
--------------------------------------------------------------------------------------
Total distributions (0.19) (0.54) (0.53) (0.43) (0.46) (0.55)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 11.21 $ 10.80 $ 11.22 $ 11.09 $ 10.72 $ 10.54
======================================================================================
Total Return 5.63% 1.03% 6.17% 7.66% 6.25% 1.51%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 28,358 $ 27,906 $ 27,105 $ 22,949 $ 22,878 $ 24,175
Ratio of expenses to average net assets:
Before expense reimbursements 0.71%* 0.71% 0.72% 0.71% 0.72% 0.66%
After expense reimbursements 0.59%* 0.58% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment
income to average net assets
Before expense reimbursements 2.83%* 2.83% 3.43% 3.82% 3.93% 3.85%
After expense reimbursements 2.95%* 2.96% 3.60% 3.98% 4.10% 3.96%
Portfolio Turnover 11.32% 22.45% 29.28% 24.35% 24.24% 8.38%
* Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
39
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
CALIFORNIA TAX-FREE INCOME FUND
Six Months
Ended
February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 12.66 $ 13.24 $ 13.17 $ 12.75 $ 12.40 $ 13.18
--------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.25 0.50 0.52 0.55 0.55 0.56
Net gain (loss) on securities (both
realized and unrealized) 0.61 (0.42) 0.18 0.44 0.41 (0.68)
--------------------------------------------------------------------------------------
Total from Investment Operations 0.86 0.08 0.70 0.99 0.96 (0.12)
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.25) (0.50) (0.52) (0.56) (0.55) (0.57)
Distributions from capital gains (0.10) (0.16) (0.11) (0.01) (0.06) (0.09)
--------------------------------------------------------------------------------------
Total distributions (0.35) (0.66) (0.63) (0.57) (0.61) (0.66)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 13.17 $ 12.66 $ 13.24 $ 13.17 $ 12.75 $ 12.40
======================================================================================
Total Return 6.89% 0.61% 5.55% 7.98% 8.07% (1.07)%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $174,616 $172,488 $206,909 $201,286 $196,786 $200,946
Ratio of expenses to average net assets: 0.61%* 0.61% 0.61% 0.63% 0.64% 0.61%
Ratio of net investment
income to average net assets 3.84%* 3.82% 4.11% 4.30% 4.54% 4.33%
Portfolio Turnover 5.23% 1.44% 22.94% 28.96% 18.05% 16.36%
* Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
40
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
U.S. GOVERNMENT SECURITIES FUND
Six Months
Ended
DIRECT SHARES February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.56 $ 10.73 $ 10.77 $ 10.33 $ 10.24 $ 11.30
--------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.13 0.35 0.50 0.58 0.58 0.56
Net gain (loss) on securities (both
realized and unrealized) 0.18 (0.08) 0.19 0.42 0.14 (0.80)
--------------------------------------------------------------------------------------
Total from Investment Operations 0.31 0.27 0.69 1.00 0.72 (0.24)
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.13) (0.44) (0.59) (0.56) (0.58) (0.56)
Distributions from capital gains (0.08) -- (0.14) -- (0.05) (0.26)
--------------------------------------------------------------------------------------
Total distributions (0.21) (0.44) (0.73) (0.56) (0.63) (0.82)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 10.66 $ 10.56 $ 10.73 $ 10.77 $ 10.33 $ 10.24
======================================================================================
Total Return 2.91% 2.52% 6.65% 9.94% 7.35% (2.42)%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 29,804 $ 31,585 $ 33,275 $ 27,265 $ 24,476 $ 30,950
Ratio of expenses
to average net assets:
Before expense reimbursements 0.74%* 0.71% 0.71% 0.71% 0.72% 0.66%
After expense reimbursements 0.65%* 0.65% 0.65% 0.65% 0.65% 0.65%
Ratio of net investment income
to average net assets
Before expense reimbursements 2.35% 3.22% 4.59% 5.32% 5.82% 5.11%
After expense reimbursements 2.44%* 3.28% 4.65% 5.38% 5.89% 5.12%
Portfolio Turnover 89.48% 39.29% 150.35% 209.58% 184.60% 139.00%
October 16, 2003 to
K SHARES February 29, 2004 **
(Unaudited)
Net asset value, beginning of period $ 10.55
----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.05
Net gain (loss) on securities (both
realized and unrealized) 0.23
----------
Total from Investment Operations 0.28
----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.05)
Distributions from capital gains (0.08)
----------
Total distributions (0.13)
----------
Net asset value, end of period $ 10.70
==========
Total Return 2.64%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 750
Ratio of expenses
to average net assets:
Before expense reimbursements 1.24%*
After expense reimbursements 1.15%*
Ratio of net investment income
to average net assets
Before expense reimbursements 2.85%*
After expense reimbursements 2.94%*
Portfolio Turnover 89.48%
* Annualized.
** Commencement of operations.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
41
FINANCIAL HIGHLIGHTS
(FOR A SHARE OF OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
THE UNITED STATES TREASURY TRUST
Six Months
Ended
DIRECT SHARES February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.003 0.008 0.017 0.047 0.050 0.042
LESS DISTRIBUTIONS
Dividends from net investment income (0.003) (0.008) (0.017) (0.047) (0.050) (0.042)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======================================================================================
Total Return 0.29% 0.86% 1.70% 4.87% 5.12% 4.22%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 40,459 $ 40,635 $ 51,013 $ 59,760 $ 56,464 $ 50,517
Ratio of expenses
to average net assets:
Before expense reimbursements 0.73%* 0.70% 0.67% 0.65% 0.66% 0.63%
After expense reimbursements 0.38%* 0.42% 0.42% 0.40% 0.40% 0.41%
Ratio of net investment income
to average net assets
Before expense reimbursements 0.22%* 0.56% 1.45% 4.48% 4.76% 3.92%
After expense reimbursements 0.57%* 0.84% 1.70% 4.73% 5.02% 4.14%
October 16, 2003 to
K SHARES February 29, 2004 **
(Unaudited)
Net asset value, beginning of period $ 1.000
----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a)
LESS DISTRIBUTIONS
Dividends from net investment income (a)
----------
Net asset value, end of period $ 1.000
==========
Total Return 0.04%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 383
Ratio of expenses
to average net assets:
Before expense reimbursements 1.23%*
After expense reimbursements 0.88%*
Ratio of net investment income
to average net assets
Before expense reimbursements 0.72%*
After expense reimbursements 1.07%*
* Annualized.
** Commencement of operations.
(a) Represents less than $0.01 per share
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
42
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
SHORT-TERM U.S. GOVERNMENT BOND FUND
Six Months
Ended
DIRECT SHARES February 29, Year Ended Year Ended Year Ended January 18, 2000 **
2004 August 31, August 31, August 31, to September 30,
(Unaudited) 2003 2002 2001 2000
-------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.11 $ 10.17 $ 10.24 $ 10.05 $ 10.00
-------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.05 0.18 0.30 0.53 0.36
Net gain on securities (both
realized and unrealized) 0.06 (0.06) 0.09 0.21 0.05
-------------------------------------------------------------------------------
Total from Investment Operations 0.11 0.12 0.39 0.74 0.41
-------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.05) (0.18) (0.30) (0.55) (0.36)
Distributions from capital gains (0.01) -- (0.16) -- --
-------------------------------------------------------------------------------
Total distributions (0.06) (0.18) (0.46) (0.55) (0.36)
-------------------------------------------------------------------------------
Net asset value, end of period $ 10.16 $ 10.11 $ 10.17 $ 10.24 $ 10.05
===============================================================================
Total Return 1.10% 1.17% 3.90% 7.58% 4.15%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 17,057 $ 21,500 $ 10,942 $ 11,623 $ 5,432
Ratio of expenses to average net assets:
Before expense reimbursements 0.78%* 0.80% 0.82% 0.86% 1.26%*
After expense reimbursements 0.50%* 0.49% 0.43% 0.30% 0.09%*
Ratio of net investment income
to average net assets
Before expense reimbursements 0.82%* 1.35% 2.57% 4.63% 5.02%*
After expense reimbursements 1.10%* 1.66% 2.96% 5.19% 6.19%*
Portfolio Turnover 36.44% 74.45% 119.61% 64.56% --
October 16, 2003 to
K SHARES February 29, 2004 **
(Unaudited)
Net asset value, beginning of period $ 10.12
-------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.02
Net gain on securities (both
realized and unrealized) 0.05
-------------
Total from Investment Operations 0.07
-------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.02)
Distributions from capital gains (0.01)
-------------
Total distributions (0.03)
-------------
Net asset value, end of period $ 10.16
=============
Total Return 0.66%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 943
Ratio of expenses to average net assets:
Before expense reimbursements 1.28%*
After expense reimbursements 1.00%*
Ratio of net investment income
to average net assets
Before expense reimbursements 1.32%*
After expense reimbursements 1.60%*
Portfolio Turnover 36.44%
* Annualized.
** Commencement of operations.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
43
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
S&P 500 INDEX FUND
Six Months
Ended
DIRECT SHARES February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 20.36 $ 18.48 $ 22.79 $ 30.84 $ 28.12 $ 20.90
--------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.15 0.29 0.29 0.34 0.38 0.39
Net gain (loss) on securities (both
realized and unrealized) 2.76 1.89 (4.31) (7.64) 4.06 7.79
--------------------------------------------------------------------------------------
Total from Investment Operations 2.91 2.18 (4.02) (7.30) 4.44 8.18
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.15) (0.30) (0.29) (0.34) (0.40) (0.39)
Distributions from capital gains -- -- -- (0.41) (1.32) (0.57)
--------------------------------------------------------------------------------------
Total distributions (0.15) (0.30) (0.29) (0.75) (1.72) (0.96)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 23.12 $ 20.36 $ 18.48 $ 22.79 $ 30.84 $ 28.12
======================================================================================
Total Return 14.38% 12.03% (17.83)% (23.93)% 16.38% 39.76%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $112,909 $ 98,264 $ 93,961 $141,390 $165,891 $142,276
Ratio of expenses
to average net assets:
Before expense reimbursements 0.44%* 0.45% 0.41% 0.39% 0.40% 0.37%
After expense reimbursements 0.27%* 0.25% 0.20% 0.20% 0.20% 0.20%
Ratio of net investment income
to average net assets
Before expense reimbursements 1.28%* 1.35% 1.30% 1.16% 1.11% 1.33%
After expense reimbursements 1.45%* 1.55% 1.51% 1.35% 1.31% 1.50%
Portfolio Turnover 1.58% 3.63% 31.12% 6.26% 9.00% 9.76%
October 16, 2003 to
K SHARES February 29, 2004**
(Unaudited)
Net asset value, beginning of period $ 21.17
--------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.03
Net gain on securities (both
realized and unrealized) 1.97
--------------
Total from Investment Operations 2.00
--------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.01)
Distributions from capital gains --
--------------
Total distributions (0.01)
--------------
Net asset value, end of period $ 23.16
==============
Total Return 9.47%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 1,080
Ratio of expenses
to average net assets:
Before expense reimbursements 0.94%*
After expense reimbursements 0.77%*
Ratio of net investment income
to average net assets
Before expense reimbursements 1.78%*
After expense reimbursements 1.95%*
Portfolio Turnover 1.58%
* Annualized.
** Commencement of operations.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
44
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
S&P MIDCAP INDEX FUND
Six Months
Ended
DIRECT SHARES February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 17.01 $ 14.60 $ 16.18 $ 20.75 $ 18.70 $ 15.41
--------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.06 0.12 0.05 0.17 0.22 0.20
Net gain on securities (both
realized and unrealized) 2.76 2.41 (1.54) (1.66) 6.05 5.80
--------------------------------------------------------------------------------------
Total from Investment Operations 2.82 2.53 (1.49) (1.49) 6.27 6.00
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.06) (0.12) (0.03) (0.18) (0.21) (0.20)
Distributions from capital gains -- -- (0.06) (2.90) (4.01) (2.51)
--------------------------------------------------------------------------------------
Total distributions (0.06) (0.12) (0.09) (3.08) (4.22) (2.71)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 19.77 $ 17.01 $ 14.60 $ 16.18 $ 20.75 $ 18.70
======================================================================================
Total Return 16.63% 17.46% (8.77)% (6.56)% 40.44% 41.13%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $124,125 $103,771 $ 96,590 $ 83,293 $ 74,749 $ 57,164
Ratio of expenses to average net assets:
Before expense reimbursements 0.58%* 0.58% 0.58% 0.56% 0.57% 0.57%
After expense reimbursements 0.49%* 0.46% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to
average net assets
Before expense reimbursements 0.58%* 0.66% 0.78% 0.84% 1.03% 0.90%
After expense reimbursements 0.67%* 0.78% 0.96% 1.00% 1.20% 1.07%
Portfolio Turnover 3.56% 8.33% 21.73% 39.41% 46.23% 42.98%
October 16, 2003 to
K SHARES February 29, 2004 **
(Unaudited)
Net asset value, beginning of period $ 17.78
----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.01
Net gain on securities (both
realized and unrealized) 1.99
----------
Total from Investment Operations 2.00
----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.01)
Distributions from capital gains --
----------
Total distributions (0.01)
----------
Net asset value, end of period $ 19.77
==========
Total Return 11.23%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 1,329
Ratio of expenses to average net assets:
Before expense reimbursements 1.08%*
After expense reimbursements 0.99%*
Ratio of net investment income to
average net assets
Before expense reimbursements 1.08%*
After expense reimbursements 1.17%*
Portfolio Turnover 3.56%
* Annualized.
** Commencement of operations.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
45
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
S&P SMALLCAP INDEX FUND
Six Months
Ended
February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
DIRECT SHARES 2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 14.07 $ 11.60 $ 12.89 $ 14.09 $ 11.46 $ 9.46
--------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.01 0.03 0.03 0.11 0.12 0.08
Net gain on securities (both
realized and unrealized) 2.32 2.51 (1.28) (0.55) 3.14 2.13
--------------------------------------------------------------------------------------
Total from Investment Operations 2.33 2.54 (1.25) (0.44) 3.26 2.21
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.01) (0.03) (0.04) (0.12) (0.10) (0.08)
Distributions from capital gains (0.14) (0.04) -- (0.64) (0.53) (0.13)
--------------------------------------------------------------------------------------
Total distributions (0.15) (0.07) (0.04) (0.76) (0.63) (0.21)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 16.25 $ 14.07 $ 11.60 $ 12.89 $ 14.09 $ 11.46
======================================================================================
Total Return 16.64% 22.04% (9.69)% (2.59)% 29.63% 23.53%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 21,707 $ 18,526 $ 15,813 $ 14,226 $ 12,863 $ 10,881
Ratio of expenses to average net assets:
Before expense reimbursements 0.85%* 0.88% 0.88% 0.92% 1.00% 1.05%*
After expense reimbursements 0.65%* 0.65% 0.65% 0.65% 0.65% 0.65%*
Ratio of net investment income to
average net assets
Before expense reimbursements (0.04)%* 0.08% 0.00% 0.54% 0.58% 0.31%*
After expense reimbursements 0.16%* 0.31% 0.23% 0.81% 0.93% 0.71%*
Portfolio Turnover 6.52% 16.51% 17.64% 41.91% 37.21% 25.40%
October 16, 2003 to
K SHARES February 29, 2004 **
(Unaudited)
Net asset value, beginning of period $ 14.78
---------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a)
Net gain on securities (both
realized and unrealized) 1.60
---------
Total from Investment Operations 1.60
---------
LESS DISTRIBUTIONS
Dividends from net investment income (a)
Distributions from capital gains (0.14)
---------
Total distributions (0.14)
---------
Net asset value, end of period $ 16.24
=========
Total Return 10.85%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 1,345
Ratio of expenses to average net assets:
Before expense reimbursements 1.35%*
After expense reimbursements 1.15%*
Ratio of net investment income to
average net assets
Before expense reimbursements 0.46%*
After expense reimbursements 0.66%*
Portfolio Turnover 6.52%
* Annualized.
** Commencement of operations.
(a) Represents less than $0.01 per share
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
46
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
EQUITY INCOME FUND
Six Months
Ended
February 29, Year Ended Year Ended Year Ended Year Ended Year Ended
DIRECT SHARES 2004 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000 1999
--------------------------------------------------------------------------------------
Net asset value, beginning of period $ 12.32 $ 11.38 $ 12.21 $ 14.81 $ 14.38 $ 11.98
--------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.08 0.15 0.17 0.28 0.36 0.32
Net gain (loss) on securities (both
realized and unrealized) 1.89 0.94 (0.83) (2.46) 0.76 2.41
--------------------------------------------------------------------------------------
Total from Investment Operations 1.97 1.09 (0.66) (2.18) 1.12 2.73
--------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.09) (0.15) (0.17) (0.39) (0.27) (0.33)
Distributions from capital gains -- -- -- (0.03) (0.42) --
--------------------------------------------------------------------------------------
Total distributions (0.09) (0.15) (0.17) (0.42) (0.69) (0.33)
--------------------------------------------------------------------------------------
Net asset value, end of period $ 14.20 $ 12.32 $ 11.38 $ 12.21 $ 14.81 $ 14.38
======================================================================================
Total Return 16.07% 9.77% (5.46)% (14.94)% 8.23% 22.89%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 12,964 $ 9,818 $ 8,261 $ 8,794 $ 11,813 $ 13,716
Ratio of expenses to average net assets:
Before expense reimbursements 0.94%* 0.95% 0.91% 0.94% 0.98% 0.86%
After expense reimbursements 0.80%* 0.80% 0.80% 0.80% 0.80% 0.80%
Ratio of net investment income to
average net assets
Before expense reimbursements 1.08%* 1.24% 1.33% 1.96% 2.49% 2.09%
After expense reimbursements 1.22%* 1.39% 1.44% 2.10% 2.67% 2.15%
Portfolio Turnover 2.52% 30.01% 69.43% 73.50% 38.34% 54.03%
October 16, 2003 to
K SHARES February 29, 2004 **
(Unaudited)
-------------------
Net asset value, beginning of period $ 12.90
---------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.02
Net gain (loss) on securities (both
realized and unrealized) 1.31
---------
Total from Investment Operations 1.33
---------
LESS DISTRIBUTIONS
Dividends from net investment income (0.01)
Distributions from capital gains --
---------
Total distributions (0.01)
---------
Net asset value, end of period $ 14.22
=========
Total Return 10.28%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 450
Ratio of expenses to average net assets:
Before expense reimbursements 1.44% *
After expense reimbursements 1.30% *
Ratio of net investment income to
average net assets
Before expense reimbursements 1.58% *
After expense reimbursements 1.72% *
Portfolio Turnover 2.52%
* Annualized.
** Commencement of operations.
(a) Represents less than $0.01 per share
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
47
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
EUROPEAN GROWTH & INCOME FUND
Six Months
Ended January 18,
February 29, Year Ended Year Ended Year Ended 2000** to
DIRECT SHARES 2004 August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000
---------------------------------------------------------------------
Net asset value, beginning of period $ 6.18 $ 5.80 $ 7.13 $ 9.59 $ 10.00
---------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.03 0.11 0.10 0.08 0.09
Net gain (loss) on securities (both
realized and unrealized) 1.46 0.35 (1.34) (2.46) (0.45)
---------------------------------------------------------------------
Total from Investment Operations 1.49 0.46 (1.24) (2.38) (0.36)
---------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.03) (0.08) (0.09) (0.08) (0.05)
Distributions from capital gains -- -- -- -- --
---------------------------------------------------------------------
Total distributions (0.03) (0.08) (0.09) (0.08) (0.05)
---------------------------------------------------------------------
Net asset value, end of period $ 7.64 $ 6.18 $ 5.80 $ 7.13 $ 9.59
=====================================================================
Total Return 24.28% 8.17% (17.50)% (24.87)% (3.59)%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 4,318 $ 3,364 $ 2,357 $ 2,106 $ 1,505
Ratio of expenses to average net assets:
Before expense reimbursements 1.91%* 1.99% 1.99% 2.17% 3.99%*
After expense reimbursements 0.95%* 0.95% 0.95% 0.95% 0.95%*
Ratio of net investment income (loss) to
average net assets
Before expense reimbursements (0.21)%* 0.83% 0.30% (0.18)% (1.53)%*
After expense reimbursements 0.75%* 1.87% 1.34% 1.04% 1.51%*
Portfolio Turnover 2.21% 0.00% 9.70% 19.75% 114.30%
October 16, 2003 to
K SHARES February 29, 2004 **
(Unaudited)
---------------------
Net asset value, beginning of period $ 6.61
-------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.01
Net gain (loss) on securities (both
realized and unrealized) 1.02
-------------
Total from Investment Operations 1.03
-------------
LESS DISTRIBUTIONS
Dividends from net investment income (a)
Distributions from capital gains --
-------------
Total distributions --
-------------
Net asset value, end of period $ 7.64
=============
Total Return 15.59%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 500
Ratio of expenses to average net assets:
Before expense reimbursements 2.41%*
After expense reimbursements 1.45%*
Ratio of net investment income (loss) to
average net assets
Before expense reimbursements 0.29%*
After expense reimbursements 1.25%*
Portfolio Turnover 2.21%
* Annualized.
** Commencement of operations.
(a) Represents less than $0.01 per share
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
48
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
NASDAQ-100 INDEX FUND
Six Months
Ended January 18,
February 29, Year Ended Year Ended Year Ended 2000** to
DIRECT SHARES 2004 August 31, August 31, August 31, August 31,
(Unaudited) 2003 2002 2001 2000
--------------------------------------------------------------------
Net asset value, beginning of period $ 3.41 $ 2.41 $ 3.75 $ 10.67 $ 10.00
--------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.01 (0.01) -(a) 0.05 0.03
Net gain (loss) on securities (both
realized and unrealized) 0.30 1.01 (1.33) (6.84) 0.67
--------------------------------------------------------------------
Total from Investment Operations 0.31 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 $ 3.72 $ 3.41 $ 2.41 $ 3.75 $ 10.67
====================================================================
Total Return 9.09% 41.49% (35.61)% (64.26)% 7.02%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 17,836 $ 14,928 $ 9,191 $ 11,390 $ 14,498
Ratio of expenses to average net assets:
Before expense reimbursements 1.14%* 1.05% 0.99% 0.90% 0.99%*
After expense reimbursements 0.76%* 0.65% 0.64% 0.65% 0.65%*
Ratio of net investment income (loss)
to average net assets
Before expense reimbursements (0.78)%* (0.80)% (0.45)% 0.14% 0.54%*
After expense reimbursements (0.40)%* (0.40)% (0.10)% 0.39% 0.88%*
Portfolio Turnover 1.86% 8.64% 4.18% 13.82% 0.62%
October 16, 2003 to
K SHARES February 29, 2004 **
(Unaudited)
--------------------
Net asset value, beginning of period $ 3.62
-------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a)
Net gain (loss) on securities (both
realized and unrealized) 0.10
-------------
Total from Investment Operations 0.10
-------------
LESS DISTRIBUTIONS
Dividends from net investment income --
Distributions from capital gains --
-------------
Total distributions --
-------------
Net asset value, end of period $ 3.72
=============
Total Return 2.76%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (in 000's) $ 909
Ratio of expenses to average net assets:
Before expense reimbursements 1.64%*
After expense reimbursements 1.26%*
Ratio of net investment income (loss)
to average net assets
Before expense reimbursements (0.28)%*
After expense reimbursements 0.10%*
Portfolio Turnover 1.86%
* Annualized.
** Commencement of operations.
(a) Represents less than $0.01 per share
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
49
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 2/29/2004
TRUST STATEMENTS
(UNAUDITED)
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate
series of shares of beneficial interest of California Investment Trust II. Both
Trusts are registered under the Investment Company Act of 1940, as amended, as
diversified open-end management investment companies. Both Trusts were organized
as Massachusetts business trusts on September 11, 1985 and are authorized to
issue an unlimited number of no par value shares in one or more series. The
investment objectives of the Funds are as follows: California Tax-Free Income
Fund and California Insured Intermediate Fund seek as high a level of income
exempt from federal and California personal income taxes as is consistent with
prudent investment management and safety of capital. California Tax-Free Money
Market Fund seeks capital preservation, liquidity and the highest achievable
current income exempt from both federal and California personal income taxes
consistent with safety. U.S. Government Securities Fund seeks safety from credit
risk, liquidity, and as high a level of income as is consistent with these
objectives by investment in full faith and credit obligations of the U.S.
Government and its agencies or instrumentalities. The United States Treasury
Trust seeks preservation of capital, safety, liquidity and consistent with these
objectives, the highest attainable current income exempt from state income
taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are
diversified mutual funds that seek to provide investment results that correspond
to the total return of publicly traded common stocks represented in the Standard
& Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of current income by investing primarily in income
producing equity securities. European Growth & Income Fund seeks to provide
long-term capital appreciation and income. Nasdaq-100 Index Fund attempts to
replicate the performance of the largest non-financial companies as measured by
the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund seeks liquidity,
safety from credit risk, preservation of investors principal and has a high
level of income as is consistent with these objectives by investing in mainly
U.S. Government Securities. The following is a summary of significant accounting
policies followed by the Funds.
California Investment Trust II began offering an additional class of
shares, Class K, on October 16, 2003. Income and expenses of the Funds are
allocated proportionately to the two classes of shares offered based on the
daily net assets, except for Rule 12b-1 distribution fees and shareholder
service fees, which are charged only to Class K.
(a) Security Valuation --- Portfolio securities of the S&P 500, S&P MidCap
and S&P SmallCap Index Funds, Equity Income Fund, European Growth & Income Fund,
and Nasdaq-100 Index Fund listed on a national exchange are valued at the last
reported sales price. U.S. Treasury Bills are valued at amortized cost which
approximates market value. Portfolio securities of the California Tax-Free
Income Fund and the California Insured Intermediate Fund are valued by an
independent pricing service that uses market quotations, representing the latest
available bid price, prices provided by market makers, or estimates of market
values obtained from yield data relating to instruments or securities with
similar characteristics, in accordance with procedures established by the Board
of Trustees. The U.S. Government Securities Fund and the Short-Term U.S.
Government Bond Fund are valued by an independent pricing service that uses
market quotations representing the latest available mean between the bid and ask
price, prices provided by market makers or estimates of market value obtained
from yield data relating to instruments or securities with similar
characteristics. Securities with remaining maturities of 60 days or less are
valued on the amortized cost basis as reflecting fair value. All other
securities are valued at their fair value as determined in good faith by the
Board of Trustees. California Tax-Free Money Market Fund and The United States
Treasury Trust securities are valued at amortized cost which the Board of
Trustees has determined in good faith to constitute fair value.
(b) Futures Contracts --- Initial margin deposits required upon entering
into futures contracts are satisfied by the segregation of specific securities
or cash, as collateral, for the account of the broker (the Fund's agent in
acquiring the futures position). During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
made or received depending upon whether unrealized gains or losses are incurred.
When the contract is closed, the Fund records a realized gain or loss equal to
the difference between the proceeds from (or cost of) the closing transaction
and the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index
Fund, S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and
Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash
reserves while remaining fully invested, to facilitate trading, to reduce
transaction costs, or to seek higher investment returns when a futures contract
is priced more attractively than the underlying equity security or index. Risks
include the possibility of an illiquid market and an imperfect correlation
between the change in market value of the stocks held by a Fund and the prices
of futures contracts.
(c) Federal Income Taxes --- No provision is considered necessary for
federal income taxes. The Funds intend to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
Capital loss carry forwards, as of August 31, 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, redemptions-in-kind
and post-October capital losses. For the California Tax-Free Money Market Fund
and The United States Treasury Trust, dividends from net investment income are
declared daily and reinvested or paid in cash monthly. The two Funds intend to
maintain a continuous net asset value per share of $1.00. If net asset value per
share using available market information deviates from $1.00 by $.005 or more,
the Board of Trustees would consider what steps, if any, should be taken to
restore net asset value per share to $1.00.
(e) Concentration --- The California Tax-Free Income Fund, the California
Insured Intermediate Fund and the California Tax-Free Money Market Fund invest
in debt instruments of municipal issuers. The issuer's abilities to meet their
obligations may be affected by economic developments in the state of California.
50
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 2/29/2004
TRUST STATEMENTS
CONTINUED (UNAUDITED)
(f) Use of Estimates in Financial Statements --- In preparing financial
statements in conformity with accounting principles generally accepted in the
United States of America, management makes estimates and assumptions that affect
the reported amounts of assets and liabilities at the date of the financial
statements, as well as the reported amounts of income and expense during the
year. Actual results may differ from these estimates.
Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California limited partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of
0.25% and 0.40%, respectively, of the Funds' average daily net assets. In
accordance with the terms of the management agreements with the S&P SmallCap
Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S.
Government Bond Fund, CCM receives compensation at the annual rate of 0.50% of
the first $500 million of net assets, plus 0.45% on net assets from $500 million
to $1 billion, and 0.40% of net assets above $1 billion. In accordance with the
terms of the management agreement with the European Growth & Income Fund, CCM
receives compensation at the annual rate of 0.85% of the Fund's average daily
net assets. CCM has agreed to reduce its fee by, or reimburse the Funds for, any
amount necessary to prevent the Funds' total expenses, excluding extraordinary
items, from exceeding 1.00% of the Funds' average daily net assets. CCM has
voluntarily reimbursed more expenses than contractually obligated. This
voluntary reimbursement is effective for a calendar year, renewal at the end of
each calendar year. Reimbursement from the manager for the six months ended
February 29, 2004, is as follows:
California Tax-Free Money Market Fund ........................ $ 98,276
California Insured Intermediate Fund ......................... $ 17,034
Short-Term U.S. Government Bond Fund ......................... $ 27,710
U.S. Government Securities Fund .............................. $ 14,648
The United States Treasury Trust ............................. $ 71,635
S&P 500 Index Fund ........................................... $ 89,238
S&P MidCap Index Fund ........................................ $ 51,103
S&P SmallCap Index Fund ...................................... $ 22,007
Equity Income Fund ........................................... $ 8,897
European Growth & Income Fund ................................ $ 20,097
Nasdaq-100 Index Fund ........................................ $ 28,430
Certain officers and trustees of the Trusts are also partners of CCM.
California Investment Trust II has adopted a Distribution Plan (the
"Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby
each Fund of California Investment Trust II pays the Distributor for expenses
that relate to the promotion and distribution of shares. Under the Plan, the
Funds will pay the Distributor a fee at an annual rate of 0.25%, payable
monthly, of each Fund's daily net assets attributable to such Fund's Class K
Shares.
California Investment Trust II has adopted a Shareholder Services Plan
(the "Services Plan"), whereby each Fund of California Investment Trust II pays
CCM Partners, LP, the Funds' Distributor or other service providers, an annual
rate of 0.25% of the average daily net assets of Class K Shares. Such amounts
are compensation for providing certain services to clients owning Class K
shares, including processing purchase and redemption transactions, assisting in
other administrative details and providing other information with respect to
each Fund.
For the six months ended February 29, 2004, the following were paid by
each Fund of California Investment Trust II:
Fund 12b-1 Fees Shareholder Service Fee
- ---- ---------- -----------------------
U.S. Government Securities Fund $252 $252
The United States Treasury Trust $102 $102
Short-Term U.S. Government Bond Fund $225 $225
S&P 500 Index Fund $262 $262
S&P Midcap Index Fund $289 $289
S&P SmallCap Index Fund $279 $279
Equity Income Fund $175 $275
European Growth & Income Fund $169 $169
Nasdaq-100 Index Fund $324 $324
Note 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during the
six months ended February 29, 2004 were as follows:
Purchases Sales
------------- --------------
California Tax-Free Income Fund $ 8,460,434 $ 16,797,080
California Insured Intermediate Fund $ 3,246,087 $ 2,949,184
Short-Term U.S. Government Bond Fund $ 6,398,912 $ 6,123,515
U.S. Government Securities Fund $ 30,524,356 $ 22,930,531
S&P 500 Index Fund $ 5,250,649 $ 1,607,758
S&P Midcap Index Fund $ 6,283,388 $ 3,895,961
Equity Income Fund $ 306,770 $ 227,353
S&P SmallCap Index Fund $ 2,563,549 $ 1,274,683
European Growth & Income Fund $ 808,553 $ 85,319
Nasdaq-100 Index Fund $ 3,752,814 $ 299,988
51
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (Unaudited)
Overall responsibility for management of the Funds rests with the Board of
Trustees of each trust. Each Trustee serves until his death, resignation,
retirement or removal. The Trustees, in turn, elect the officers of the Funds to
actively supervise their day-to-day operations. The officers have been elected
for an annual term. The following are the Trustees and Executive Officers of the
Funds:
Length of Time
Trustee Address Date of Birth Position Held with the Trust Served
- ---------------------------------------------------------------------------------------------------------------------------------
Stephen C. Rogers 44 Montgomery St. #2100 06/27/66 Chairman, Secretary & Trustee Since August 1998
San Francisco, CA 94104
- ---------------------------------------------------------------------------------------------------------------------------------
Phillip W. McClanahan 44 Montgomery St. #2100 12/26/35 Vice President, Since September
San Francisco, CA 94104 Treasurer and Trustee 1985
- ---------------------------------------------------------------------------------------------------------------------------------
Harry Holmes P.O. Box 714 12/05/25 Trustee Since September
Pebble Beach, CA 93953 1985
- ---------------------------------------------------------------------------------------------------------------------------------
John B. Sias 580 California Street 01/22/27 Trustee Since March 1991
San Francisco, CA 94103
- ---------------------------------------------------------------------------------------------------------------------------------
James Miller One Front Street, Suite 300 05/28/66 Trustee Since August 2001
San Francisco, CA 94111
- ---------------------------------------------------------------------------------------------------------------------------------
Each Trustee oversees twelve portfolios of the Trusts. The principal occupations
of the Trustees and Executive Officers of the Funds during the past five years
and public directorships held by the Trustees are set forth below:
*Stephen C. Rogers Chief Executive Officer, CCM Partners,
1999-present; Chief Operating Officer, CCM
Partners, 1997-1999; Administrative Officer, CCM
Partners, 1993-1997; Marketing Representative,
CCM Partners, 1992-1993.
*Phillip W. McClanahan Director of Investments, CCM Partners,
1985-present; Vice President and Portfolio
Manager, Transamerica Investment Services,
1984-1985; Vice President and Portfolio Manager,
Fireman's Fund Insurance Company and Amfire,
Inc., 1966-1984.
Harry Holmes Principal, Harry Holmes & Associates
(consulting); President and Chief Executive
Officer, Aspen Skiing Company, 1982-1984;
President and Chief Executive Officer, Pebble
Beach Company (property management), 1973-1984.
John B. Sias President and CEO, Chronicle Publishing Company,
1993-2001; Executive Vice President, Capital
Cities/ABC Inc. and President, ABC Network T.V.
Group.
James Miller Vice President, Jones Lange LaSalle Americas,
Inc. 1999 -present; Associate, Orrick Herrington
& Sutcliffe LLP, 1996- 1999; Associate, Gordon &
Rees LLP, 1992-1993
* Trustees deemed to be an "interested person" of the Trusts, as defined in the
Investment Company Act of 1940.
52
THIS PAGE INTENTIONALLY LEFT BLANK
53
THIS PAGE INTENTIONALLY LEFT BLANK
54
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
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. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of trustees, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective, as of a date within 90 days of the filing date of
the report that includes the disclosure required by this paragraph, based on
their evaluation of these controls and procedures required by Rule 30a-3(b)
under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under
the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))
that occurred during the registrant's last fiscal half-year (the registrant's
second fiscal half-year in the case of an annual report) that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 11. EXHIBITS
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section
302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906
of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
[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: May 10, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Steve Rogers PRESIDENT
------------------------------------------------------
Date: May 10, 2004
By (Signature and Title)* /s/ Phillip McClanahan TREASURER
------------------------------------------------------
Date: May 10, 2004
* Print the name and title of each signing officer under his or her signature.