-------------------------
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: August 31, 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. REPORT TO SHAREHOLDERS
The Report to Shareholders is attached herewith.
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND
CALIFORNIA INSURED INTERMEDIATE FUND
CALIFORNIA TAX-FREE MONEY MARKET FUND
U.S. GOVERNMENT SECURITIES FUND
SHORT-TERM U.S. GOVERNMENT BOND FUND
THE UNITED STATES TREASURY TRUST
S&P 500 INDEX FUND
S&P MIDCAP INDEX FUND
S&P SMALLCAP INDEX FUND
EQUITY INCOME FUND
EUROPEAN GROWTH & INCOME FUND
NASDAQ-100 INDEX FUND
- --------------------------------------------------------------------------------
[LOGO]
CALIFORNIA
INVESTMENT TRUST
----------------
FUND GROUP
ANNUAL REPORT
August 31, 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.
HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION
On the following pages are line graphs comparing each of the Funds performance
to a comparable broad based securities market index for the 10 years ended
August 31, 2004, or the inception of the Fund if less than 10 years. Each graph
assumes a hypothetical $10,000 initial investment in the respective funds. The
object of the graph is to permit a comparison of the performance of the Funds
with a benchmark and to provide perspective on market conditions and investment
strategies and techniques that materially affected the performance of each Fund.
With each graph is a table presenting each of the respective Fund's average
annual total return for the one-year, five-year, ten-year, and/or inception
period through August 31, 2004.
BOND FUNDS
Over the course of the fiscal year, the treasury yield curve flattened with
short-term rates increasing and long-term rates decreasing. The inflection point
(the point on the curve where yields are unchanged, is roughly 4 years.
Throughout most of the year, the Federal Funds Rate was at a historical low of
1%, below both the annualized rate of inflation as well as the growth of GDP. In
the fall of 2004, in response to concerns about higher inflation and a mild
economic expansion, the Federal Reserve Bank increased the Federal Funds Rate at
total of one half of one percent. The market's reaction suggests that these
actions, among other market events, will keep inflation pressures under control
for the foreseeable future. Generally, low inflation rates are good for bond
investors because this results in a preservation of the value of future cash
flows from fixed income investments. The decline in the long end of the yield
curve can be interpreted as an indication that bond investors believe inflation
will be less of a factor over the long term. Still, there continue to be risks
to inflation and the bond market, among which are US fiscal policy,
international conflicts/terrorism and global economic factors.
Because of the low Federal Funds Rate and the anticipation of either a strong
economic recovery, higher inflation, or both - which would lead to a rise in
interest rates, the duration of the portfolios was shortened versus their
respective benchmarks across all of the Bond Funds. Duration is a time-weighted
measurement of a bond's cash flows. Aduration shortening strategy ahead of an
anticipated rising interest rate environment is designed to help protect
principal. When rates go up, bond prices go down. Prices for bonds with shorter
durations tend to be less volatile than for those with longer durations, as the
reinvestment risk of principal is lower. In conjunction with principal
protection is the ability to invest capital more rapidly at higher interest
rates. Adiscussion of specific fund duration targets appears below.
The California Tax-Free Income Fund's duration was modestly decreased in the
fall of 2002 in anticipation of a stronger economy, which did not materialize in
the expected time frame. The Fund's duration was subsequently kept in a narrow
range somewhat shorter than its benchmark. As of August 31, 2004, the Fund had
an average coupon of 5.36%, an average maturity of 6.46 years, duration of 5.19
years, and an average quality of Aa+.
Duration adjustments to the California Intermediate Insured Fund followed a
similar pattern to those in the Income Fund except that its overall duration
about matched that of its benchmark. The Fund's portfolio profile at fiscal
year-end was as follows: average coupon, 5.24%; average maturity, 5.20 years;
and average duration, 4.44 years.
During the fiscal year the U.S. Government Securities Fund's duration was
shortened. At the close of the year, the Fund's profile showed an average coupon
of 5.38%, an average maturity of 5.5 years and duration of 3.28 years.
As of August 31, 2004, the Short-Term U.S. Government Bond Fund's average coupon
was 5.62%, its average maturity was 1 year and its duration was .96 years.
Again, during the course of the fiscal year, the Fund's duration was shortened
in anticipation of a stronger economy and an expected rise in interest rates.
California Insured Intermediate Fund
versus the Lehman Bros. 5 Year Municipal Bond Index
[The following table was depicted as a line chart in the printed material.]
California Lehman Bros.
Insured Intermediate 5 Year Municipal
Fund Bond Index
-------------------- ----------------
08/31/94 10,000 10,000
09/30/94 9,868 9,933
10/31/94 9,795 9,867
11/30/94 9,614 9,778
12/31/94 9,703 9,888
01/31/95 9,839 10,011
02/28/95 10,143 10,186
03/31/95 10,251 10,290
04/30/95 10,306 10,329
05/31/95 10,529 10,546
06/30/95 10,485 10,554
07/31/95 10,603 10,683
08/31/95 10,746 10,780
09/30/95 10,814 10,807
10/31/95 10,948 10,873
11/30/95 11,080 10,972
12/31/95 11,097 11,029
01/31/96 11,213 11,139
02/29/96 11,179 11,108
03/31/96 11,018 11,030
04/30/96 10,997 11,029
05/31/96 10,965 11,025
06/30/96 11,044 11,090
07/31/96 11,142 11,171
08/31/96 11,149 11,181
09/30/96 11,242 11,273
10/31/96 11,371 11,371
11/30/96 11,582 11,519
12/31/96 11,529 11,497
01/31/97 11,583 11,536
02/28/97 11,642 11,620
03/31/97 11,483 11,493
04/30/97 11,529 11,543
05/31/97 11,668 11,685
06/30/97 11,774 11,774
07/31/97 12,063 11,981
08/31/97 11,968 11,920
09/30/97 12,079 12,026
10/31/97 12,121 12,088
11/30/97 12,159 12,126
12/31/97 12,267 12,230
01/31/98 12,399 12,341
02/28/98 12,404 12,361
03/31/98 12,379 12,372
04/30/98 12,293 12,320
05/31/98 12,472 12,468
06/30/98 12,505 12,510
07/31/98 12,559 12,554
08/31/98 12,763 12,709
09/30/98 12,947 12,840
10/31/98 12,953 12,877
11/30/98 12,991 12,900
12/31/98 12,999 12,945
01/31/99 13,160 13,082
02/28/99 13,092 13,069
03/31/99 13,127 13,081
04/30/99 13,121 13,120
05/31/99 13,064 13,066
06/30/99 12,880 12,919
07/31/99 12,995 12,999
08/31/99 12,955 12,994
09/30/99 13,024 13,041
10/31/99 12,941 13,008
11/30/99 13,016 13,085
12/31/99 12,912 13,041
01/31/00 12,980 13,036
02/29/00 13,038 13,079
03/31/00 13,186 13,198
04/30/00 13,105 13,168
05/31/00 13,142 13,164
06/30/00 13,403 13,405
07/31/00 13,562 13,546
08/31/00 13,765 13,692
09/30/00 13,679 13,669
10/31/00 13,767 13,764
11/30/00 13,813 13,824
12/31/00 14,039 14,046
01/31/01 14,299 14,288
02/28/01 14,291 14,326
03/31/01 14,337 14,444
04/30/01 14,097 14,363
05/31/01 14,293 14,511
06/30/01 14,404 14,585
07/31/01 14,572 14,742
08/31/01 14,819 14,941
09/30/01 14,777 14,986
10/31/01 14,959 15,111
11/30/01 14,810 14,991
12/31/01 14,662 14,918
01/31/02 14,931 15,158
02/28/02 15,110 15,329
03/31/02 14,670 15,003
04/30/02 15,023 15,349
05/31/02 15,192 15,452
06/30/02 15,280 15,620
07/31/02 15,494 15,789
08/31/02 15,733 15,941
09/30/02 16,109 16,162
10/31/02 15,621 15,997
11/30/02 15,614 15,981
12/31/02 15,973 16,300
01/31/03 15,809 16,327
02/28/03 15,974 16,505
03/31/03 15,980 16,482
04/30/03 16,079 16,560
05/31/03 16,438 16,825
06/30/03 16,329 16,781
07/31/03 15,756 16,415
08/31/03 15,896 16,530
09/30/03 16,364 16,950
10/31/03 16,288 16,838
11/30/03 16,384 16,907
12/31/03 16,475 16,973
01/31/04 16,574 17,053
02/29/04 16,790 17,261
03/31/04 16,652 17,188
04/30/04 16,241 16,844
05/31/04 16,202 16,758
06/30/04 16,280 16,820
07/31/04 16,458 16,975
08/31/04 16,699 17,272
AVERAGE ANNUAL TOTAL RETURNS*
for periods ended 8/31/2004 1 year 5 year 10 year
- --------------------------- ------ ------ -------
California Insured Intermediate Fund 5.06% 5.21% 5.26%
Lehman Bros. Municipal Bond Index 4.49% 5.86% 5.62%
California Tax-Free Income Fund versus the
Lehman Bros. Municipal Bond Index
[The following table was depicted as a line chart in the printed material.]
California Lehman Bros.
Tax-Free Municipal
Income Fund Bond Index
----------- ----------
08/31/94 10,000 10,000
09/30/94 9,804 9,853
10/31/94 9,656 9,678
11/30/94 9,392 9,502
12/31/94 9,598 9,712
01/31/95 9,936 9,989
02/28/95 10,336 10,280
03/31/95 10,424 10,398
04/30/95 10,447 10,411
05/31/95 10,773 10,743
06/30/95 10,632 10,649
07/31/95 10,718 10,750
08/31/95 10,800 10,887
09/30/95 10,904 10,956
10/31/95 11,134 11,114
11/30/95 11,410 11,299
12/31/95 11,570 11,407
01/31/96 11,646 11,494
02/29/96 11,501 11,416
03/31/96 11,265 11,270
04/30/96 11,196 11,238
05/31/96 11,170 11,234
06/30/96 11,314 11,356
07/31/96 11,448 11,460
08/31/96 11,433 11,457
09/30/96 11,606 11,618
10/31/96 11,779 11,749
11/30/96 12,057 11,964
12/31/96 11,929 11,914
01/31/97 11,921 11,936
02/28/97 12,040 12,046
03/31/97 11,818 11,886
04/30/97 11,934 11,986
05/31/97 12,135 12,166
06/30/97 12,259 12,296
07/31/97 12,726 12,636
08/31/97 12,517 12,518
09/30/97 12,686 12,666
10/31/97 12,735 12,748
11/30/97 12,794 12,823
12/31/97 13,038 13,010
01/31/98 13,226 13,144
02/28/98 13,200 13,148
03/31/98 13,141 13,160
04/30/98 13,027 13,101
05/31/98 13,288 13,308
06/30/98 13,321 13,359
07/31/98 13,320 13,393
08/31/98 13,613 13,600
09/30/98 13,871 13,770
10/31/98 13,824 13,770
11/30/98 13,870 13,819
12/31/98 13,861 13,853
01/31/99 14,078 14,018
02/28/99 13,937 13,956
03/31/99 13,960 13,976
04/30/99 13,944 14,011
05/31/99 13,786 13,930
06/30/99 13,519 13,729
07/31/99 13,580 13,778
08/31/99 13,470 13,668
09/30/99 13,496 13,674
10/31/99 13,334 13,526
11/30/99 13,488 13,669
12/31/99 13,366 13,567
01/31/00 13,380 13,508
02/29/00 13,520 13,665
03/31/00 13,807 13,964
04/30/00 13,676 13,882
05/31/00 13,675 13,810
06/30/00 14,031 14,176
07/31/00 14,216 14,373
08/31/00 14,557 14,594
09/30/00 14,449 14,518
10/31/00 14,538 14,677
11/30/00 14,617 14,788
12/31/00 15,026 15,153
01/31/01 15,157 15,303
02/28/01 15,136 15,352
03/31/01 15,191 15,491
04/30/01 14,810 15,323
05/31/01 14,952 15,489
06/30/01 15,123 15,593
07/31/01 15,333 15,823
08/31/01 15,719 16,084
09/30/01 15,657 16,030
10/31/01 15,881 16,220
11/30/01 15,629 16,084
12/31/01 15,413 15,931
01/31/02 15,703 16,207
02/28/02 15,936 16,403
03/31/02 15,457 16,082
04/30/02 15,824 16,395
05/31/02 15,978 16,495
06/30/02 16,081 16,670
07/31/02 16,325 16,885
08/31/02 16,591 17,088
09/30/02 17,095 17,462
10/31/02 16,538 17,172
11/30/02 16,429 17,100
12/31/02 16,871 17,461
01/31/03 16,642 17,417
02/28/03 16,909 17,661
03/31/03 16,907 17,672
04/30/03 17,040 17,788
05/31/03 17,535 18,204
06/30/03 17,352 18,126
07/31/03 16,534 17,492
08/31/03 16,692 17,623
09/30/03 17,250 18,141
10/31/03 17,134 18,050
11/30/03 17,309 18,238
12/31/03 17,453 18,389
01/31/04 17,563 18,494
02/29/04 17,843 18,773
03/31/04 17,659 18,708
04/30/04 17,129 18,264
05/31/04 17,101 18,199
06/30/04 17,155 18,264
07/31/04 17,358 18,503
08/31/04 17,663 18,873
AVERAGE ANNUAL TOTAL RETURNS*
for periods ended 8/31/2004 1 year 5 year 10 year
- --------------------------- ------ ------ -------
California Tax-Free Income 5.82% 5.57% 5.85%
Lehman Bros. Municipal Bond Index 7.10% 6.67% 6.56%
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares
1
REGULAR SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 1 year 5 year 10 year
- --------------------------- ------ ------ -------
U.S. Government Securities Fund 4.23% 6.10% 6.57%
Lehman Bros. Composite Treasury Index 5.38% 7.27% 7.22%
Lehman Bros. GNMA Index 5.45% 7.13% 7.51%
U.S. Government Securities Fund
versus the Lehman Bros. Treasury and GNMA Indicies
[The following table was depicted as a line chart in the printed material.]
U.S. Government Lehman Bros. Lehman Bros.
Securities Treasury GNMA
Fund Index Index
--------------- ------------ ------------
08/31/94 10,000 10,000 10,000
09/30/94 9,755 9,859 9,859
10/31/94 9,715 9,843 9,852
11/30/94 9,723 9,816 9,834
12/31/94 9,834 9,925 9,894
01/31/95 10,037 10,130 10,078
02/28/95 10,276 10,397 10,295
03/31/95 10,327 10,448 10,360
04/30/95 10,474 10,603 10,496
05/31/95 10,928 10,926 10,920
06/30/95 11,016 11,001 11,006
07/31/95 10,925 11,024 10,965
08/31/95 11,142 11,137 11,092
09/30/95 11,313 11,247 11,199
10/31/95 11,584 11,339 11,372
11/30/95 11,842 11,469 11,549
12/31/95 12,130 11,616 11,714
01/31/96 12,118 11,697 11,788
02/29/96 11,617 11,610 11,546
03/31/96 11,416 11,581 11,446
04/30/96 11,241 11,550 11,372
05/31/96 11,169 11,511 11,354
06/30/96 11,389 11,662 11,498
07/31/96 11,400 11,706 11,526
08/31/96 11,283 11,711 11,502
09/30/96 11,576 11,907 11,690
10/31/96 11,977 12,147 11,948
11/30/96 12,361 12,323 12,154
12/31/96 12,072 12,258 12,029
01/31/97 12,051 12,352 12,041
02/28/97 12,063 12,397 12,056
03/31/97 11,897 12,519 11,925
04/30/97 12,079 12,725 12,097
05/31/97 12,162 12,856 12,201
06/30/97 12,303 13,008 12,338
07/31/97 12,617 13,243 12,692
08/31/97 12,412 13,215 12,564
09/30/97 12,658 13,391 12,755
10/31/97 12,924 13,530 12,977
11/30/97 12,996 13,572 13,044
12/31/97 13,198 13,694 13,181
01/31/98 13,441 13,827 13,383
02/28/98 13,362 13,858 13,343
03/31/98 13,389 13,916 13,379
04/30/98 13,437 13,996 13,439
05/31/98 13,645 14,092 13,579
06/30/98 13,888 14,151 13,735
07/31/98 13,860 14,230 13,757
08/31/98 14,387 14,342 14,131
09/30/98 14,883 14,512 14,525
10/31/98 14,712 14,499 14,479
11/30/98 14,779 14,581 14,476
12/31/98 14,793 14,641 14,505
01/31/99 14,864 14,745 14,589
02/28/99 14,353 14,698 14,217
03/31/99 14,381 14,787 14,271
04/30/99 14,416 14,858 14,305
05/31/99 14,216 14,784 14,172
06/30/99 14,135 14,725 14,142
07/31/99 14,074 14,628 14,131
08/31/99 14,044 14,623 14,134
09/30/99 14,205 14,859 14,243
10/31/99 14,195 14,947 14,258
11/30/99 14,162 14,953 14,231
12/31/99 14,062 14,923 14,137
01/31/00 13,983 14,788 14,174
02/29/00 14,112 14,978 14,387
03/31/00 14,438 15,214 14,671
04/30/00 14,389 15,201 14,625
05/31/00 14,436 15,255 14,646
06/30/00 14,694 15,538 14,894
07/31/00 14,819 15,620 15,047
08/31/00 15,076 15,856 15,269
09/30/00 15,093 16,003 15,281
10/31/00 15,227 16,122 15,429
11/30/00 15,564 16,349 15,745
12/31/00 15,884 16,579 16,046
01/31/01 16,006 16,851 16,176
02/28/01 16,178 16,926 16,372
03/31/01 16,202 17,027 16,424
04/30/01 15,966 17,054 16,220
05/31/01 15,949 17,198 16,271
06/30/01 16,046 17,249 16,359
07/31/01 16,409 17,544 16,768
08/31/01 16,574 17,672 16,989
09/30/01 16,750 17,911 17,259
10/31/01 17,291 18,149 17,737
11/30/01 16,820 17,997 17,297
12/31/01 16,620 17,943 17,129
01/31/02 16,753 18,124 17,244
02/28/02 16,911 18,309 17,346
03/31/02 16,662 18,135 16,928
04/30/02 16,958 18,454 17,349
05/31/02 17,056 18,574 17,447
06/30/02 17,197 18,722 17,693
07/31/02 17,423 18,940 18,112
08/31/02 17,676 19,072 18,503
09/30/02 18,008 19,230 19,003
10/31/02 17,820 19,290 18,792
11/30/02 17,686 19,307 18,606
12/31/02 18,111 19,499 19,089
01/31/03 18,062 19,547 19,032
02/28/03 18,323 19,645 19,360
03/31/03 18,227 19,659 19,278
04/30/03 18,291 19,704 19,369
05/31/03 18,738 19,704 19,927
06/30/03 18,671 19,763 19,805
07/31/03 18,058 19,437 18,936
08/31/03 18,121 19,565 19,047
09/30/03 18,479 19,847 19,623
10/31/03 18,290 19,795 19,322
11/30/03 18,300 19,865 19,348
12/31/03 18,425 20,049 19,520
01/31/04 18,531 20,150 19,686
02/29/04 18,648 20,283 19,930
03/31/04 18,756 20,366 20,117
04/30/04 18,390 20,046 19,469
05/31/04 18,336 20,006 19,403
06/30/04 18,453 20,186 19,481
07/31/04 18,615 20,350 19,666
08/31/04 18,887 20,632 20,073
K SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 Inception
- --------------------------- ---------
U.S. Government Securities Fund 3.66%
Lehman Bros. Composite Treasury Index 2.56% **
Lehman Bros. GNMA Index 4.18% **
** Due to data limitations the benchmark performance information reflects the
period 10/1/03 - 8/31/04. Share class commencement of operations was
10/16/03.
U.S. Government Securities Fund
versus the Lehman Bros. Treasury and GNMA Indicies
[The following table was depicted as a line chart in the printed material.]
U.S. Government Lehman Bros. Lehman Bros.
Securities Treasury GNMA
Fund Index Index
--------------- ------------ ------------
10/31/03 10,000 10,000 10,000
11/30/03 10,002 10,035 10,013
12/31/03 10,069 10,128 10,102
01/31/04 10,121 10,179 10,188
02/29/04 10,189 10,246 10,314
03/31/04 10,235 10,288 10,411
04/30/04 10,038 10,127 10,076
05/31/04 10,003 10,106 10,042
06/30/04 10,058 10,197 10,082
07/31/04 10,147 10,280 10,178
08/31/04 10,290 10,423 10,388
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
dis- tributions or the redemption of fund shares
REGULAR SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 1 year Inception
- --------------------------- ------ ---------
Short-Term U.S. Government Bond Fund 1.06% 3.84%
Lehman 1-3 Year Treasury Index 2.06% 5.40%
Short-Term U.S. Government Bond Fund
versus the Lehman 1-3 Year Treasury Index
[The following table was depicted as a line chart in the printed material.]
Short-Term Lehman
U.S. Government 1-3 Year
Bond Fund Treasury Index
--------- --------------
01/18/00 10,000 10,000
01/31/00 10,006 9,996
02/29/00 10,056 10,062
03/31/00 10,119 10,126
04/30/00 10,157 10,149
05/31/00 10,204 10,191
06/30/00 10,294 10,298
07/31/00 10,352 10,364
08/31/00 10,415 10,441
09/30/00 10,479 10,518
10/31/00 10,532 10,574
11/30/00 10,608 10,675
12/31/00 10,712 10,805
01/31/01 10,812 10,942
02/28/01 10,871 11,014
03/31/01 10,937 11,105
04/30/01 10,971 11,134
05/31/01 11,031 11,194
06/30/01 11,060 11,234
07/31/01 11,154 11,363
08/31/01 11,205 11,433
09/30/01 11,369 11,622
10/31/01 11,477 11,733
11/30/01 11,408 11,705
12/31/01 11,393 11,709
01/31/02 11,417 11,732
02/28/02 11,477 11,790
03/31/02 11,400 11,702
04/30/02 11,495 11,841
05/31/02 11,520 11,886
06/30/02 11,571 11,990
07/31/02 11,630 12,140
08/31/02 11,642 12,183
09/30/02 11,686 12,287
10/31/02 11,712 12,316
11/30/02 11,699 12,274
12/31/02 11,734 12,394
01/31/03 11,745 12,391
02/28/03 11,752 12,446
03/31/03 11,767 12,468
04/30/03 11,768 12,491
05/31/03 11,781 12,538
06/30/03 11,792 12,558
07/31/03 11,780 12,486
08/31/03 11,777 12,492
09/30/03 11,846 12,610
10/31/03 11,821 12,561
11/30/03 11,815 12,555
12/31/03 11,851 12,628
01/31/04 11,864 12,654
02/29/04 11,907 12,718
03/31/04 11,924 12,758
04/30/04 11,843 12,629
05/31/04 11,842 12,616
06/30/04 11,832 12,614
07/31/04 11,855 12,660
08/31/04 11,903 12,750
K SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 Inception
- --------------------------- ---------
Short-Term U.S. Government Bond Fund 0.41%
Lehman 1-3 Year Treasury Index 1.10%**
** Due to data limitations the benchmark performance information reflects the
period 10/1/03 - 8/31/04. Share class commencement of operations was
10/16/03.
Short-Term U.S. Government Bond Fund
versus the Lehman 1-3 Year Treasury Index
[The following table was depicted as a line chart in the printed material.]
Short-Term Lehman
U.S. Government 1-3 Year
Bond Fund Treasury Index
--------- --------------
10/31/03 10,000 10,000
11/30/03 9,991 9,995
12/31/03 10,024 10,053
01/31/04 10,030 10,074
02/29/04 10,054 10,124
03/31/04 10,070 10,157
04/30/04 9,997 10,054
05/31/04 9,982 10,043
06/30/04 9,978 10,042
07/31/04 9,994 10,078
08/31/04 10,029 10,150
2
STOCK FUNDS
By definition, the objective for managing the index funds is to match the
performance of the funds to their index benchmarks. Each of our index funds
tracked their respective benchmarks tightly during this last fiscal year. We
measure the index fund performance by using a correlation coefficient. This is a
statistical measure that compares daily performance of a fund against its
benchmark index. Ameasure of 1.000 indicates that the performance is perfectly
correlated and a measure of -1.000 implies they are negatively correlated. The
S&P 500 Index Fund and S&PMidCap Index Fund each had a correlation coefficient
of 1.000 for the past fiscal year. The SmallCap Index Fund and Nasdaq-100 Index
Fund each had a correlation coefficient of .999.
Again, the small and mid-cap market sectors continued to outperform the
large-cap sector through this last fiscal year, albeit with more volatility.
These segments came out of the 2000 market bubble with much more attractive
earning multiples and that momentum has resulted in significant outperformance
for the past three and five-year periods. The valuation gap, and therefore the
relative performance, has closed over the past couple years and the
outperformance is as much related to the timing of our fiscal year. Using
traditional valuation methodologies, we believe the three indices are priced in
line with historical averages.
Predicting market momentum and relative performance is a guessing game at best.
As such, we strongly encourage shareholders to consider a balanced approach for
the portion of their portfolios dedicated to stock funds. By this, we mean
owning equal balances of each of the three core index funds (S&P 500, MidCap and
SmallCap Funds) to achieve a more diversified equity portfolio. Over the past
several years, a balanced portfolio like this has outperformed a total market
index such as the Wilshire 5000. The reason for this is that smaller companies
represent such a small element of such a massive index, their performance does
not factor significantly into the total return. During periods where large cap
stocks out perform their smaller counterparts, this strategy will result in
underperformance. So why do it? Two reasons. First, at times we need access to
our capital. By employing this method, we maintain a degree of flexibility where
we can draw from. This can prove handy for a number of reasons. Second, history
is on our side in that although more volatile, small cap stocks have returned
more to investors over the long haul.
The Nasdaq-100 Index Fund, which is largely a technology fund, was flat at 1.47%
for the fiscal year. This fund is likely to continue to be volatile for
investors and will generally perform better during times of corporate
prosperity. Conversely, as we all clearly remember the year 2000, these stocks
suffer during times of economic retreat.
Our European Growth & Income Fund is managed using the Dow Stoxx 50, a European
large cap Index, as a benchmark for its holdings. The fund was up 17.04% and
under performed its benchmark by 3.10% this past year. This fund generally
provides investors a low-cost, highly efficient tool to diversify
internationally. European markets exceeded the performance of the U.S. markets
for the balance of 2003 but have since lagged, as measured against the S&P 500
Index. We did not hedge the currency risk during the previous fiscal year and do
not plan to do so this year. The Manager also stopped using Dow/Stoxx 50 futures
contracts during the year to remain fully invested. While this creates more cash
drag on the portfolio, the Manager felt the benefits offset the drawbacks and
does not intend to use these contracts for the foreseeable future. The Manager
may elect to use other contracts in the future but is not using any at the time
of this printing.
The Equity Income Fund is actively managed as a value fund and continues to
focus on stocks that have high dividend yields relative to the S&P 500 Composite
Stock Index. The Equity Income Fund was up 15.51% for the year and outperformed
gains of the U.S. stock market as measured by the S&P 500 Index by 4.06%. The
fund under performed its benchmark, the BARRA/Value Index, by 0.57% for the
year. The fund has largely remained 100% invested through the use of S&P 500 and
Russell 2000 futures contracts through the year. The fund currently has an
overweight focus in Utility, Energy and Financial Service/Banking.
The economy continues on the road to what we termed last year a profit-driven
recovery. Corporate spending on new initiatives should grow slowly as the pain
of cutting remains fresh on the minds of corporate America. Additionally, we
expect to see conservative management styles to remain in vogue with corporate
boards whose responsibilities to investors have been more clearly defined over
the past few years. This should be good for investors. While we cannot predict
what the future holds, we can easily make the case that investors who have
continued to invest through troubled markets in the past have been rewarded for
their tenacity. We encourage you to maintain a diversified portfolio using both
stock and bond funds, in a balance which is appropriate for your particular
investment objectives.
3
REGULAR SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 1 year 5 year 10 year
- --------------------------- ------ ------ -------
CIT S&P 500 Index Fund 11.16% -1.96% 10.67%
S&P 500 Composite Stock Price Index 11.44% -2.07% 10.69%
CIT S&P 500 Index Fund
versus the S&P 500 Composite Stock Price Index
[The following table was depicted as a line chart in the printed material.]
S&P 500
CIT S&P 500 Composite Stock
Index Fund Price Index
---------- -----------
08/31/94 10,000 10,000
09/30/94 9,754 9,756
10/31/94 9,989 9,974
11/30/94 9,617 9,612
12/31/94 9,758 9,754
01/31/95 10,009 10,007
02/28/95 10,403 10,396
03/31/95 10,710 10,702
04/30/95 11,017 11,017
05/31/95 11,441 11,457
06/30/95 11,697 11,723
07/31/95 12,079 12,111
08/31/95 12,106 12,142
09/30/95 12,618 12,654
10/31/95 12,591 12,609
11/30/95 13,138 13,162
12/31/95 13,389 13,415
01/31/96 13,829 13,871
02/29/96 13,944 14,000
03/31/96 14,074 14,135
04/30/96 14,305 14,343
05/31/96 14,671 14,712
06/30/96 14,720 14,768
07/31/96 14,071 14,116
08/31/96 14,362 14,415
09/30/96 15,161 15,225
10/31/96 15,581 15,645
11/30/96 16,753 16,826
12/31/96 16,419 16,493
01/31/97 17,437 17,523
02/28/97 17,566 17,661
03/31/97 16,833 16,936
04/30/97 17,825 17,946
05/31/97 18,908 19,038
06/30/97 19,736 19,891
07/31/97 21,297 21,473
08/31/97 20,129 20,271
09/30/97 21,220 21,381
10/31/97 20,522 20,667
11/30/97 21,467 21,623
12/31/97 21,836 21,994
01/31/98 22,074 22,237
02/28/98 23,655 23,840
03/31/98 24,860 25,060
04/30/98 25,119 25,312
05/31/98 24,684 24,878
06/30/98 25,670 25,887
07/31/98 25,389 25,612
08/31/98 21,765 21,913
09/30/98 23,139 23,317
10/31/98 25,075 25,212
11/30/98 26,576 26,740
12/31/98 28,113 28,279
01/31/99 29,328 29,462
02/28/99 28,425 28,546
03/31/99 29,539 29,688
04/30/99 30,628 30,838
05/31/99 29,873 30,111
06/30/99 31,522 31,780
07/31/99 30,559 30,789
08/31/99 30,418 30,637
09/30/99 29,584 29,798
10/31/99 31,453 31,683
11/30/99 32,084 32,327
12/31/99 34,022 34,229
01/31/00 32,310 32,510
02/29/00 31,682 31,895
03/31/00 34,749 35,013
04/30/00 33,673 33,960
05/31/00 33,009 33,263
06/30/00 33,818 34,083
07/31/00 33,358 33,551
08/31/00 35,402 35,634
09/30/00 33,569 33,753
10/31/00 33,443 33,610
11/30/00 30,821 30,962
12/31/00 30,993 31,114
01/31/01 32,060 32,217
02/28/01 29,233 29,281
03/31/01 27,422 27,427
04/30/01 29,505 29,557
05/31/01 29,717 29,755
06/30/01 28,996 29,031
07/31/01 28,713 28,745
08/31/01 26,928 26,948
09/30/01 24,778 24,772
10/31/01 25,217 25,244
11/30/01 27,116 27,180
12/31/01 27,332 27,419
01/31/02 26,939 27,019
02/28/02 26,451 26,498
03/31/02 27,410 27,494
04/30/02 25,762 25,828
05/31/02 25,571 25,639
06/30/02 23,756 23,813
07/31/02 21,996 21,957
08/31/02 22,128 22,101
09/30/02 19,697 19,701
10/31/02 21,442 21,434
11/30/02 22,742 22,694
12/31/02 21,391 21,361
01/31/03 20,811 20,803
02/28/03 20,497 20,490
03/31/03 20,687 20,689
04/30/03 22,385 22,392
05/31/03 23,586 23,571
06/30/03 23,890 23,872
07/31/03 24,304 24,293
08/31/03 24,792 24,766
09/30/03 24,512 24,503
10/31/03 25,905 25,889
11/30/03 26,138 26,116
12/31/03 27,486 27,485
01/31/04 27,977 27,989
02/29/04 28,357 28,378
03/31/04 27,932 27,950
04/30/04 27,490 27,512
05/31/04 27,859 27,889
06/30/04 28,398 28,431
07/31/04 27,447 27,489
08/31/04 27,558 27,599
K SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 Inception**
- --------------------------- ---------
CIT S&P 500 Index Fund 6.05%
S&P 500 Composite Stock Price Index 6.67%
CIT S&P 500 Index Fund
versus the S&P 500 Composite Stock Price Index
[The following table was depicted as a line chart in the printed material.]
S&P 500
CIT S&P 500 Composite Stock
Index Fund Price Index
---------- -----------
10/31/03 10,000 10,000
11/30/03 10,085 10,088
12/31/03 10,606 10,617
1/31/04 10,795 10,811
2/29/04 10,936 10,962
3/31/04 10,763 10,796
4/30/04 10,588 10,627
5/31/04 10,729 10,773
6/30/04 10,931 10,982
7/31/04 10,562 10,618
8/31/04 10,595 10,661
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares
REGULAR SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 1 year 5 year 10 year
- --------------------------- ------ ------ -------
CIT S&P MidCap Index Fund 12.44% 9.60% 14.02%
S&P MidCap 400 Index 12.42% 9.17% 13.92%
CIT S&P MidCap Index Fund
versus the S&P MidCap 400 Index
[The following table was depicted as a line chart in the printed material.]
CIT S&P MidCap S&P MidCap 400
Index Fund Index
-------------- --------------
08/31/94 10,000 10,000
09/30/94 9,812 9,813
10/31/94 9,918 9,921
11/30/94 9,473 9,474
12/31/94 9,558 9,561
01/31/95 9,652 9,660
02/28/95 10,160 10,167
03/31/95 10,344 10,344
04/30/95 10,552 10,552
05/31/95 10,803 10,807
06/30/95 11,241 11,247
07/31/95 11,815 11,833
08/31/95 12,024 12,051
09/30/95 12,325 12,344
10/31/95 12,002 12,026
11/30/95 12,515 12,548
12/31/95 12,484 12,517
01/31/96 12,668 12,699
02/29/96 13,093 13,129
03/31/96 13,253 13,287
04/30/96 13,651 13,693
05/31/96 13,827 13,878
06/30/96 13,615 13,670
07/31/96 12,704 12,747
08/31/96 13,438 13,483
09/30/96 14,028 14,071
10/31/96 14,056 14,112
11/30/96 14,853 14,906
12/31/96 14,836 14,922
01/31/97 15,406 15,482
02/28/97 15,278 15,355
03/31/97 14,625 14,702
04/30/97 14,980 15,083
05/31/97 16,281 16,402
06/30/97 16,750 16,862
07/31/97 18,401 18,530
08/31/97 18,362 18,508
09/30/97 19,411 19,571
10/31/97 18,598 18,720
11/30/97 18,863 18,997
12/31/97 19,568 19,733
01/31/98 19,224 19,357
02/28/98 20,781 20,960
03/31/98 21,743 21,905
04/30/98 22,130 22,304
05/31/98 21,129 21,301
06/30/98 21,274 21,435
07/31/98 20,443 20,603
08/31/98 16,641 16,771
09/30/98 18,178 18,336
10/31/98 19,781 19,972
11/30/98 20,762 20,968
12/31/98 23,185 23,500
01/31/99 22,335 22,585
02/28/99 21,148 21,403
03/31/99 21,745 22,001
04/30/99 23,462 23,735
05/31/99 23,575 23,839
06/30/99 24,841 25,114
07/31/99 24,314 24,577
08/31/99 23,485 23,734
09/30/99 22,767 23,002
10/31/99 23,950 24,174
11/30/99 25,149 25,442
12/31/99 26,596 26,953
01/31/00 25,869 26,194
02/29/00 27,608 28,027
03/31/00 30,246 30,371
04/30/00 29,279 29,309
05/31/00 28,867 28,947
06/30/00 29,358 29,373
07/31/00 29,867 29,838
08/31/00 32,982 33,167
09/30/00 32,780 32,940
10/31/00 31,760 31,822
11/30/00 29,425 29,422
12/31/00 31,780 31,672
01/31/01 32,405 32,378
02/28/01 30,605 30,532
03/31/01 28,479 28,263
04/30/01 31,540 31,380
05/31/01 32,300 32,110
06/30/01 32,227 31,981
07/31/01 31,770 31,504
08/31/01 30,818 30,474
09/30/01 27,159 26,684
10/31/01 28,229 27,866
11/30/01 30,327 29,938
12/31/01 31,884 31,483
01/31/02 31,750 31,321
02/28/02 31,788 31,359
03/31/02 34,033 33,601
04/30/02 33,880 33,443
05/31/02 33,341 32,880
06/30/02 30,947 30,474
07/31/02 27,943 27,521
08/31/02 28,116 27,660
09/30/02 25,831 25,432
10/31/02 26,950 26,533
11/30/02 28,493 28,066
12/31/02 27,352 26,913
01/31/03 26,597 26,127
02/28/03 25,920 25,505
03/31/03 26,071 25,719
04/30/03 27,932 27,585
05/31/03 30,200 29,870
06/30/03 30,561 30,250
07/31/03 31,648 31,324
08/31/03 33,027 32,743
09/30/03 32,514 32,242
10/31/03 34,944 34,680
11/30/03 36,189 35,888
12/31/03 36,803 36,493
01/31/04 37,582 37,283
02/29/04 38,517 38,178
03/31/04 38,669 38,340
04/30/04 37,382 37,082
05/31/04 38,143 37,851
06/30/04 39,010 38,711
07/31/04 37,212 36,906
08/31/04 37,134 36,808
K SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 Inception**
- --------------------------- ---------
CIT S&P MidCap Index Fund 6.96%
S&P MidCap 400 Index 7.14%
CIT S&P MidCap Index Fund
versus the S&P MidCap 400 Index
[The following table was depicted as a line chart in the printed material.]
CIT S&P MidCap S&P MidCap 400
Index Fund Index
-------------- --------------
10/31/03 10,000 10,000
11/30/03 10,356 10,348
12/31/03 10,533 10,523
1/31/04 10,750 10,751
2/29/04 11,012 11,009
3/31/04 11,053 11,055
4/30/04 10,680 10,693
5/31/04 10,892 10,914
6/30/04 11,130 11,163
7/31/04 10,617 10,642
8/31/04 10,589 10,614
** K Share commencement of operations was 10/16/03.
4
REGULAR SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 1 year 5 year Inception
- --------------------------- ------ ------ ---------
CIT S&P SmallCap Index Fund 13.93% 9.66% 8.96%
S&P SmallCap 600 Index 14.87% 10.45% 10.02%
CIT S&P SmallCap Index Fund
versus the S&P SmallCap 600 Index
[The following table was depicted as a line chart in the printed material.]
CIT S&P SmallCap S&P SmallCap 600
Index Fund Index
---------------- ----------------
10/02/96 10,000 10,000
10/31/96 9,850 9,865
11/30/96 10,240 10,377
12/31/96 10,373 10,499
01/31/97 10,635 10,673
02/28/97 10,383 10,452
03/31/97 9,839 9,916
04/30/97 10,002 10,037
05/31/97 11,110 11,216
06/30/97 11,578 11,712
07/31/97 12,200 12,448
08/31/97 12,486 12,762
09/30/97 13,284 13,605
10/31/97 12,712 13,018
11/30/97 12,642 12,924
12/31/97 12,868 13,184
01/31/98 12,592 12,927
02/28/98 13,672 14,104
03/31/98 14,191 14,642
04/30/98 14,286 14,728
05/31/98 13,490 13,948
06/30/98 13,503 13,988
07/31/98 12,439 12,919
08/31/98 10,066 10,429
09/30/98 10,699 11,065
10/31/98 11,179 11,578
11/30/98 11,779 12,229
12/31/98 12,493 13,009
01/31/99 12,374 12,847
02/28/99 11,260 11,689
03/31/99 11,425 11,840
04/30/99 12,151 12,622
05/31/99 12,389 12,929
06/30/99 13,108 13,665
07/31/99 12,978 13,545
08/31/99 12,435 12,949
09/30/99 12,472 13,004
10/31/99 12,483 12,971
11/30/99 13,011 13,520
12/31/99 14,172 14,624
01/31/00 13,784 14,170
02/29/00 15,745 16,068
03/31/00 15,080 15,474
04/30/00 14,771 15,208
05/31/00 14,280 14,759
06/30/00 15,239 15,632
07/31/00 14,827 15,248
08/31/00 16,120 16,599
09/30/00 15,632 16,147
10/31/00 15,586 16,248
11/30/00 14,034 14,557
12/31/00 15,722 16,351
01/31/01 16,232 17,051
02/28/01 15,261 16,011
03/31/01 14,584 15,278
04/30/01 15,654 16,442
05/31/01 15,910 16,757
06/30/01 16,458 17,370
07/31/01 16,093 17,080
08/31/01 15,703 16,691
09/30/01 13,658 14,436
10/31/01 14,378 15,205
11/30/01 15,367 16,317
12/31/01 16,391 17,421
01/31/02 16,489 17,573
02/28/02 16,233 17,271
03/31/02 17,435 18,635
04/30/02 17,899 19,161
05/31/02 17,154 18,369
06/30/02 16,247 17,419
07/31/02 14,034 14,958
08/31/02 14,181 15,101
09/30/02 13,297 14,177
10/31/02 13,749 14,630
11/30/02 14,496 15,392
12/31/02 13,991 14,873
01/31/03 13,499 14,362
02/28/03 13,094 13,902
03/31/03 13,179 14,011
04/30/03 14,225 15,148
05/31/03 15,343 16,368
06/30/03 15,696 16,794
07/31/03 16,520 17,667
08/31/03 17,307 18,527
09/30/03 16,825 17,982
10/31/03 18,252 19,541
11/30/03 18,936 20,280
12/31/03 19,255 20,639
01/31/04 19,827 21,233
02/29/04 20,187 21,641
03/31/04 20,432 21,926
04/30/04 19,748 21,199
05/31/04 20,022 21,523
06/30/04 21,049 22,715
07/31/04 19,917 21,470
08/31/04 19,718 21,282
K SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 Inception**
- --------------------------- ---------
CIT S&P SmallCap Index Fund 7.99%
S&P SmallCap 600 Index 9.31%
CIT S&P SmallCap Index Fund
versus the S&P SmallCap 600 Index
[The following table was depicted as a line chart in the printed material.]
CIT S&P SmallCap S&P SmallCap 600
Index Fund Index
---------------- ----------------
10/31/03 10,000 10,000
11/30/03 10,368 10,378
12/31/03 10,544 10,562
01/31/04 10,844 10,866
02/29/04 11,048 11,075
03/31/04 11,170 11,220
04/30/04 10,789 10,848
05/31/04 10,939 11,014
06/30/04 11,497 11,624
07/31/04 10,871 10,987
08/31/04 10,762 10,891
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares
REGULAR SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 1 year 5 year Inception
- --------------------------- ------ ------ ---------
CIT Equity Income Fund 15.51% 1.99% 7.75%
S&P BARRA/Value Index 16.06% 1.11% 8.53%
S&P 500 Composite Stock Price Index 11.44% -2.07% 8.39%
Equity Income Fund
versus the S&P BARRA/Value Index
& the S&P Composite Stock Price Index
[The following table was depicted as a line chart in the printed material.]
S&P S&P 500
CIT Equity BARRA/Value Composite Stock
Income Fund Index Price Index
----------- ----- -----------
09/04/96 10,000 10,000 10,000
09/30/96 10,207 10,366 10,562
10/31/96 10,528 10,717 10,854
11/30/96 11,209 11,534 11,673
12/31/96 11,097 11,344 11,442
01/31/97 11,574 11,869 12,156
02/28/97 11,668 11,955 12,252
03/31/97 11,245 11,546 11,749
04/30/97 11,737 11,979 12,450
05/31/97 12,354 12,729 13,208
06/30/97 12,801 13,215 13,799
07/31/97 13,824 14,275 14,897
08/31/97 13,329 13,631 14,063
09/30/97 14,064 14,430 14,833
10/31/97 13,618 13,900 14,338
11/30/97 14,079 14,428 15,001
12/31/97 14,348 14,748 15,258
01/31/98 14,204 14,566 15,427
02/28/98 15,220 15,658 16,539
03/31/98 16,087 16,450 17,385
04/30/98 16,220 16,645 17,560
05/31/98 16,076 16,411 17,259
06/30/98 16,229 16,536 17,959
07/31/98 15,793 16,177 17,768
08/31/98 13,390 13,579 15,202
09/30/98 13,866 14,406 16,176
10/31/98 14,846 15,532 17,491
11/30/98 15,431 16,340 18,550
12/31/98 16,234 16,912 19,619
01/31/99 16,449 17,253 20,439
02/28/99 16,132 16,884 19,804
03/31/99 16,446 17,395 20,596
04/30/99 17,494 18,897 21,394
05/31/99 16,902 18,556 20,889
06/30/99 17,588 19,268 22,047
07/31/99 17,062 18,676 21,360
08/31/99 16,455 18,202 21,254
09/30/99 15,682 17,492 20,672
10/31/99 16,291 18,480 21,980
11/30/99 16,253 18,372 22,426
12/31/99 16,868 19,062 23,746
01/31/00 16,249 18,456 22,553
02/29/00 15,927 17,303 22,127
03/31/00 17,177 19,105 24,290
04/30/00 16,710 18,978 23,560
05/31/00 16,554 19,036 23,076
06/30/00 16,355 18,285 23,645
07/31/00 16,475 18,651 23,276
08/31/00 17,810 19,901 24,721
09/30/00 17,387 19,896 23,416
10/31/00 17,338 20,267 23,317
11/30/00 16,304 19,230 21,480
12/31/00 16,668 20,219 21,585
01/31/01 16,029 21,072 22,350
02/28/01 15,882 19,677 20,314
03/31/01 15,317 18,900 19,027
04/30/01 16,256 20,181 20,505
05/31/01 16,429 20,392 20,643
06/30/01 15,894 19,732 20,140
07/31/01 15,534 19,390 19,942
08/31/01 15,150 18,271 18,695
09/30/01 14,332 16,537 17,185
10/31/01 14,382 16,537 17,513
11/30/01 15,242 17,587 18,856
12/31/01 15,700 17,856 19,022
01/31/02 15,562 17,366 18,744
02/28/02 15,512 17,210 18,383
03/31/02 16,147 18,092 19,074
04/30/02 15,984 17,186 17,918
05/31/02 15,733 17,256 17,787
06/30/02 15,077 16,168 16,520
07/31/02 14,171 14,421 15,233
08/31/02 14,322 14,520 15,332
09/30/02 13,201 12,862 13,668
10/31/02 13,542 13,930 14,869
11/30/02 13,858 14,907 15,744
12/31/02 13,717 14,132 14,819
01/31/03 13,222 13,747 14,432
02/28/03 13,044 13,372 14,215
03/31/03 13,246 13,355 14,353
04/30/03 14,073 14,674 15,534
05/31/03 14,925 15,753 16,352
06/30/03 15,197 15,868 16,561
07/31/03 15,414 16,221 16,853
08/31/03 15,721 16,571 17,181
09/30/03 15,680 16,271 16,999
10/31/03 16,448 17,383 17,960
11/30/03 16,806 17,539 18,118
12/31/03 17,489 18,621 19,068
01/31/04 17,720 18,951 19,418
02/29/04 18,247 19,378 19,687
03/31/04 18,259 19,244 19,390
04/30/04 17,744 18,769 19,086
05/31/04 17,989 18,985 19,348
06/30/04 18,379 19,397 19,724
07/31/04 18,069 19,028 19,070
08/31/04 18,159 19,232 19,147
K SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 Inception**
- --------------------------- ---------
CIT Equity Income Fund 9.47%
S&P BARRA/Value Index 11.02%
S&P 500 Composite Stock Price Index 6.67%
Equity Income Fund
versus the S&P BARRA/Value Index
& the S&P Composite Stock Price Index
[The following table was depicted as a line chart in the printed material.]
S&P S&P 500
CIT Equity BARRA/Value Composite Stock
Income Fund Index Price Index
----------- ----- -----------
10/31/03 10,000 10,000 10,000
11/30/03 10,218 10,090 10,088
12/31/03 10,627 10,712 10,617
01/31/04 10,752 10,902 10,811
02/29/04 11,071 11,148 10,962
03/31/04 11,077 11,071 10,796
04/30/04 10,758 10,798 10,627
05/31/04 10,898 10,922 10,773
06/30/04 11,138 11,159 10,982
07/31/04 10,935 10,946 10,618
08/31/04 10,989 11,064 10,661
** K Share commencement of operations was 10/16/03.
5
REGULAR SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 1 year Inception
- --------------------------- ------ ---------
CIT European Growth & Income Fund 17.04% -5.87%
Dow Jones Stoxx 50 Index (U.S. Dollars) 20.14% -6.31%
European Growth & Income Fund
versus the Dow Jones Stoxx 50 Index (U.S. Dollars)
[The following table was depicted as a line chart in the printed material.]
CIT European Dow Jones
Growth & Income Stoxx 50 Index
Fund (U.S. Dollars)
--------------- --------------
01/18/00 10,000 10,000
01/31/00 9,720 9,289
02/29/00 10,060 9,907
03/31/00 10,299 10,213
04/30/00 9,918 9,769
05/31/00 9,858 9,752
06/30/00 9,892 9,779
07/31/00 9,641 9,581
08/31/00 9,641 9,468
09/30/00 8,997 8,975
10/31/00 9,067 8,946
11/30/00 8,593 8,565
12/31/00 9,047 9,116
01/31/01 9,037 9,052
02/28/01 8,119 8,082
03/31/01 7,665 7,535
04/30/01 8,281 8,135
05/31/01 7,927 7,727
06/30/01 7,517 7,409
07/31/01 7,477 7,402
08/31/01 7,243 7,159
09/30/01 6,711 6,565
10/31/01 6,915 6,748
11/30/01 7,109 6,926
12/31/01 7,272 7,087
01/31/02 6,905 6,672
02/28/02 6,854 6,688
03/31/02 7,144 7,005
04/30/02 7,072 6,895
05/31/02 7,001 6,850
06/30/02 6,697 6,647
07/31/02 6,017 5,875
08/31/02 5,975 5,860
09/30/02 5,267 5,034
10/31/02 5,764 5,596
11/30/02 6,043 5,848
12/31/02 5,778 5,567
01/31/03 5,653 5,310
02/28/03 5,446 5,179
03/31/03 5,405 5,095
04/30/03 6,041 5,794
05/31/03 6,416 6,124
06/30/03 6,411 6,191
07/31/03 6,464 6,264
08/31/03 6,464 6,161
09/30/03 6,562 6,297
10/31/03 6,919 6,661
11/30/03 7,203 6,988
12/31/03 7,812 7,622
01/31/04 7,865 7,611
02/29/04 8,033 7,778
03/31/04 7,707 7,489
04/30/04 7,644 7,456
05/31/04 7,718 7,524
06/30/04 7,810 7,561
07/31/04 7,512 7,383
08/31/04 7,565 7,402
K SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 Inception**
- --------------------------- ---------
CIT European Growth & Income Fund 8.43%
Dow Jones Stoxx 50 Index (U.S. Dollars) 10.74%
European Growth & Income Fund
versus the Dow Jones Stoxx 50 Index (U.S. Dollars)
[The following table was depicted as a line chart in the printed material.]
CIT European Dow Jones
Growth & Income Stoxx 50 Index
Fund (U.S. Dollars)
--------------- --------------
10/31/03 10,000 10,000
11/30/03 10,410 10,490
12/31/03 11,290 11,442
01/31/04 11,366 11,426
02/29/04 11,594 11,677
03/31/04 11,112 11,243
04/30/04 11,021 11,192
05/31/04 11,112 11,296
06/30/04 11,243 11,351
07/31/04 10,815 11,083
08/31/04 10,876 11,113
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares
REGULAR SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 1 year Inception
- --------------------------- ------ ---------
CIT Nasdaq-100 Index Fund 1.47% -20.16%
Nasdaq-100 Index 2.33% -19.30%
Nasdaq-100 Index Fund
versus the Nasdaq-100 Index
[The following table was depicted as a line chart in the printed material.]
CIT Nasdaq-100 Nasdaq-100
Index Fund Index
-------------- ----------
01/18/00 10,000 10,000
01/31/00 9,380 9,629
02/29/00 11,050 11,509
03/31/00 11,508 11,862
04/30/00 9,866 10,177
05/31/00 8,744 8,966
06/30/00 9,889 10,152
07/31/00 9,498 9,736
08/31/00 10,702 11,000
09/30/00 9,359 9,632
10/31/00 8,602 8,854
11/30/00 6,537 6,762
12/31/00 6,149 6,317
01/31/01 6,791 6,996
02/28/01 4,999 5,149
03/31/01 4,109 4,245
04/30/01 4,843 5,006
05/31/01 4,700 4,857
06/30/01 4,784 4,939
07/31/01 4,386 4,543
08/31/01 3,825 3,967
09/30/01 3,035 3,153
10/31/01 3,546 3,684
11/30/01 4,149 4,308
12/31/01 4,098 4,257
01/31/02 4,037 4,185
02/28/02 3,546 3,670
03/31/02 3,781 3,922
04/30/02 3,321 3,448
05/31/02 3,148 3,263
06/30/02 2,718 2,839
07/31/02 2,504 2,598
08/31/02 2,463 2,545
09/30/02 2,177 2,249
10/31/02 2,575 2,673
11/30/02 2,913 3,015
12/31/02 2,565 2,660
01/31/03 2,555 2,656
02/28/03 2,616 2,730
03/31/03 2,647 2,754
04/30/03 2,872 2,991
05/31/03 3,117 3,240
06/30/03 3,127 3,250
07/31/03 3,311 3,454
08/31/03 3,485 3,629
09/30/03 3,383 3,527
10/31/03 3,669 3,835
11/30/03 3,700 3,857
12/31/03 3,802 3,975
01/31/04 3,863 4,044
02/29/04 3,802 3,984
03/31/04 3,720 3,897
04/30/04 3,618 3,797
05/31/04 3,792 3,974
06/30/04 3,914 4,111
07/31/04 3,618 3,797
08/31/04 3,536 3,713
K SHARES
AVERAGE ANNUAL TOTAL RETURNS*
For periods ended 8/31/2004 Inception**
- --------------------------- ---------
CIT Nasdaq-100 Index Fund -4.70%
Nasdaq-100 Index -3.87%
Nasdaq-100 Index Fund
versus the Nasdaq-100 Index
[The following table was depicted as a line chart in the printed material.]
CIT Nasdaq-100 Nasdaq-100
Index Fund Index
-------------- ----------
10/31/03 10,000 10,000
11/30/03 10,084 10,058
12/31/03 10,362 10,368
01/31/04 10,529 10,546
02/29/04 10,362 10,389
03/31/04 10,139 10,163
04/30/04 9,861 9,903
05/31/04 10,306 10,365
06/30/04 10,641 10,722
07/31/04 9,833 9,901
08/31/04 9,610 9,683
** K Share commencement of operations was 10/16/03.
6
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004
MONEY MARKET FUND
VALUE
SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE DEMAND NOTES* (79.56%)
ABAG FINANCIAL AUTHORITY FOR NON-PROFIT CORPS
Revenue Bonds $ 1,500,000 1.310% 09/02/04 $ 1,500,000
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series B5 300,000 1.320% 09/01/04 300,000
Power Supply Revenue Bonds; Series 2002B6 2,400,000 1.330% 09/01/04 2,400,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
Scripps Hospital; Series B 2,000,000 1.280% 09/01/04 2,000,000
Sutter Hospital; Series B 1,575,000 1.340% 09/01/04 1,575,000
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK
Rand Corportation; Series B 2,000,000 1.340% 09/01/04 2,000,000
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
ExxonMobil; Series 2000 2,000,000 1.140% 09/01/04 2,000,000
CALIFORNIA STATE ECONOMIC RECOVERY
Revenue Bonds; Series 2004C 2,200,000 1.340% 09/01/04 2,200,000
CALIFORNIA, STATE OF
General Obligation; Series A 1,800,000 1.320% 09/01/04 1,800,000
General Obligation Bonds; Series 2003C-1 2,000,000 1.330% 09/02/04 2,000,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
John Muir/Mt. Diablo Health System 220,000 1.220% 09/01/04 220,000
Gemological Institute of America; Special Tax; Series 2001 1,800,000 1.300% 09/02/04 1,800,000
Sutter Health Variable Rate Bonds 2,000,000 1.330% 09/01/04 2,000,000
CHINO BASIN REGIONAL FINANCING AUTHORITY
Inland Empire Utilities Agency; Series 2002A 2,000,000 1.270% 09/01/04 2,000,000
EASTERN MUNICIPAL WATER DISTRICT
Certificates of Participation; Series B 1,500,000 1.300% 09/02/04 1,500,000
ELSINORE VALLEY MUNICIPAL WATER DISTRICT
Certificates of Participation; Series A 2,000,000 1.320% 09/01/04 2,000,000
IRVINE, CITY OF
Assessment District 87-8 2,600,000 1.330% 09/01/04 2,600,000
Assessment District 89-10 20,000 1.350% 09/01/04 20,000
Assessment District 94-13 1,000,000 1.330% 09/01/04 1,000,000
IRVINE RANCH WATER DISTRICT
Consolidated Bonds; Series 1995 1,000,000 1.320% 09/01/04 1,000,000
Consolidated Refunding Bonds; Series 1995 175,000 1.220% 09/01/04 175,000
General Obligation; Consolidated Series 1993 800,000 1.330% 09/01/04 800,000
Waterworks Bonds; 1988 Series A, District 182 1,300,000 1.320% 09/01/04 1,300,000
IRVINE UNIFIED SCHOOL DISTRICT
Community Facilities District No. 01-01; Series 2003 400,000 1.330% 09/01/04 400,000
KERN, COUNTY OF
Certificates of Participation; 1986 Series C 1,000,000 1.320% 09/01/04 1,000,000
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds, 1992; Series A 2,000,000 1.270% 09/01/04 2,000,000
Tax revenue Refunding Bonds; 1993 Series A 2,000,000 1.300% 09/01/04 2,000,000
LOS ANGELES, COUNTY OF
Pension Obligation Refunding Bonds 2,000,000 1.270% 09/01/04 2,000,000
Rowland Heights Preservation 1,400,000 1.330% 09/01/04 1,400,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power System Revenue Bonds; Series A-3 2,000,000 1.300% 09/02/04 2,000,000
Water System Revenue Bonds; 2001 Series B-2 400,000 1.330% 09/01/04 400,000
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water Revenue Bonds, Series 2000 B-1 1,800,000 1.330% 09/01/04 1,800,000
Water Revenue Refunding Bonds; 1996 Series A 1,885,000 1.300% 09/02/04 1,885,000
NEWPORT BEACH
Hoag Memorial Hospital Presbyterian; Series 1996 Series A 700,000 1.370% 09/01/04 700,000
Hoag Memorial Hospital Presbyterian, Series 1996 Series B 2,000,000 1.370% 09/01/04 2,000,000
ORANGE COUNTY HOUSING AUTHORITY
Revenue Bonds, Village Niguel, Issue AA of 1985 1,900,000 1.280% 09/01/04 1,900,000
ORANGE, COUNTY OF
Revenue Bonds, Niguel Summit II, Issue U of 1985 1,900,000 1.320% 09/07/04 1,900,000
ORANGE COUNTY SANITATION DISTRICT
Certificates of Participation; Series 2000 890,000 1.330% 09/01/04 890,000
Certificates of Participation; Series 2000-A 1,000,000 1.330% 09/01/04 1,000,000
Refunding Certificates of Participation; Series 1993 1,750,000 1.330% 09/01/04 1,750,000
ORANGE COUNTY WATER DISTRICT
Certificates of Participation; Series A 2,000,000 1.280% 09/01/04 2,000,000
7
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004
MONEY MARKET FUND CONTINUED
VALUE
SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
RIVERSIDE, CITY OF
First Nationwide Savings Program, 1985 Issue G $ 1,500,000 1.320% 09/01/04 $ 1,500,000
RIVERSIDE, COUNTY OF
Community Facilities District 89-5, Special Tax 2,000,000 1.320% 09/01/04 2,000,000
SAN BERNARDINO, COUNTY OF
Medical Center Financing Project; Series 1998 1,000,000 1.280% 09/01/04 1,000,000
SAN FRANCISCO CITY & COUNTY FINANCE CORP
Moscone Center Expansion Project; Series 2000-3 1,900,000 1.280% 09/02/04 1,900,000
SANTA ANA HOUSING AUTHORITY
Harbor Pointe Apartments; 1995 Series A 1,720,000 1.300% 09/02/04 1,720,000
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue 2,000,000 1.340% 09/01/04 2,000,000
TUSTIN, CITY OF
Reassessment District No. 95-2; Series A 800,000 1.330% 09/01/04 800,000
WILLIAM S. HART UNION HIGH SCHOOL DISTRICT
School Facility Bridge Funding Program 2,000,000 1.300% 09/02/04 2,000,000
-----------
Total Variable Rate Demand Notes (Cost $74,135,000) 74,135,000
-----------
TAX AND REVENUE ANTICIPATION NOTES (10.82%)
California Educational Facilities Authority 2,000,000 1.010% 03/18/05 2,000,000
California Infrastructure & Economic Development Bank 1,500,000 1.170% 02/21/05 1,500,000
Los Angeles, County of 2,000,000 3.000% 06/30/05 2,022,799
San Diego County School District 2,000,000 3.250% 07/25/05 2,029,270
Santa Barbara, County of 1,000,000 3.000% 07/26/05 1,012,733
Santa Barbara County School Financing Authority 1,500,000 3.000% 06/30/05 1,516,851
-----------
Total Tax and Revenue Anticipation Notes (Cost $10,081,653) 10,081,653
-----------
COMMERCIAL PAPER (8.58%)
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
Harvey Mudd College Revenue Bonds 2,000,000 1.140% 10/19/04 2,000,000
EAST BAY MUNICIPAL UTILITY DISTRICT
Certificates of Participation 2,000,000 1.150% 10/14/04 2,000,000
SAN DIEGO REGIONAL TRANSPORTATION COMMISSION
Sales Tax Revenue; Series A 2,000,000 1.000% 09/09/04 2,000,000
UNIVERSITY OF CALIFORNIA BOARD OF REGENTS
Commerical Paper Notes; Series A 2,000,000 1.150% 11/03/04 2,000,000
-----------
Total Commercial Paper (Cost $8,000,000) 8,000,000
-----------
Total Investments (Cost $92,216,653) (a) (98.96%) 92,216,653
Other Net Assets (1.04%) 963,177
-----------
Net Assets (100.00%) $93,179,830
===========
(a) Aggregate cost for federal income tax purposes is $92,216,653.
* Stated maturity reflects next reset date.
See accompanying notes to financial statements.
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2004
INTERMEDIATE FUND
VALUE
SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
LONG TERM SECURITIES (94.70%)
ANAHEIM PUBLIC FINANCING AUTHORITY
Convention Center Project; Series A $ 500,000 5.250% 08/01/13 $ 560,530
BEVERLY HILL PUBLIC FINANCING AUTHORITY
Lease Revenue Refunding; Series A 500,000 5.250% 06/01/13 563,745
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
University of San Francisco Revenue Bonds; Series 1996 500,000 5.600% 10/01/10 571,785
CALIFORNIA STATE ECONOMIC RECOVERY
General Obligation; Series A 600,000 5.000% 07/01/11 667,350
CALIFORNIA, STATE OF
General Obligation Bonds 600,000 5.750% 12/01/10 692,256
CALIFORNIA STATE PUBLIC WORKS BOARD
CA State Prison--Lassen County; 2001 Series A 400,000 5.250% 06/01/11 448,812
Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.250% 06/01/12 562,455
CAMPBELL UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; Series 2000 425,000 5.250% 08/01/09 476,094
8
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2004
INTERMEDIATE FUND CONTINUED
VALUE
SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects; Series 1994A $ 300,000 7.250% 08/01/09 $ 361,035
Water System Improvement Projects; Series 2001A 500,000 6.000% 08/01/12 582,825
CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY
General Obligation Refi. Bonds; Series A 400,000 6.150% 02/01/09 458,952
CHAFFEY UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; Series C 500,000 5.000% 05/01/12 556,065
CHICO UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds 400,000 8.500% 08/01/07 473,460
CONTRA COSTA WATER DISTRICT
Water Revenue Refunding Bonds; Series K 400,000 5.000% 10/01/09 444,220
DESERT SANDS UNIFIED SCHOOL DISTRICT
Certificates of Participation; Series 1995 500,000 5.300% 03/01/07 520,045
EASTERN MUNICIPAL WATER DISTRICT
Certificates of Participation; Series A 550,000 5.250% 07/01/12 614,576
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT
General Obligation Refunding Bonds 2002 500,000 5.500% 08/01/12 574,270
FRESNO, CITY OF
Water System Revenue Refuding; Series A 500,000 6.000% 06/01/11 584,920
IMPERIAL IRRIGATION DISTRICT
Certificates of Participation; 1997 Capital Projects 600,000 5.200% 11/01/09 669,900
INDUSTRY CITY URBAN DEVELOPMENT AGENCY
2002 Tax Allocation; Refunding , Project 1 300,000 5.375% 05/01/12 325,191
LOS ANGELES, CITY OF
Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.000% 02/01/08 546,520
LOS ANGELES COUNTYMETROPOLITAN TRANSPORTATION AUTHORITY
Sales Tax Revenue Bonds; Series A 500,000 5.500% 07/01/08 559,150
LOS ANGELES, COUNTY OF
Pension Obligation Certificates; Series A 400,000 6.900% 06/30/08 466,152
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power Project Revenue Bond; 2001 Series A 500,000 5.250% 07/01/14 557,085
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1997 Series A 400,000 6.000% 07/01/07 445,252
MONTEREY, COUNTY OF
Certificates of Participation 600,000 5.250% 08/01/14 668,904
NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; 2002 Series A 500,000 5.000% 08/01/12 557,380
NORWALK COMMUNITY FACILITIES FINANCING AUTHORITY
City Hall Lease Revenue Refunding Bonds; 1999 200,000 5.000% 02/01/09 220,042
OAK PARK UNIFIED SCHOOL DISTRICT
General Obligation, Refunding Bonds 600,000 5.150% 05/01/07 652,746
OAKLAND JOINT POWERS FINANCING AUTHORITY
Convention Centers; Series 2001 500,000 5.500% 10/01/12 573,540
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
Measure M Sales Tax Revenue 2nd Series, Series A 325,000 5.000% 02/15/09 358,475
Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.500% 02/15/07 543,925
PASADENA UNIFIED SCHOOL DISTRICT
General Obligation Bonds; Series B 400,000 5.000% 07/01/07 434,500
RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY
Eisenhower Medical Center; Series 1997A 385,000 5.250% 07/01/12 421,171
SACRAMENTO REDEVELOPMENT AGENCY
Downtown Sacramento Project; Series 1998C 500,000 4.750% 11/01/08 546,725
SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY
Sewer Revenue Refunding Bonds; Series A 500,000 5.100% 05/15/10 541,505
SAN FRANCISCO AIRPORT COMMISSION
SF Intl. Airport Revenue Second; Series B 450,000 5.500% 05/01/09 496,602
SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION
Water Revenue Refunding Bonds; Series B 500,000 5.000% 11/01/13 551,915
SAN FRANCISCO STATE BUILDING AUTHORITY
Civic Center Complex; 1996 Series A 400,000 6.000% 12/01/09 462,556
SAN JOSE FINANCING AUTHORITY
Lease Revenue Bonds; Series 2001F 480,000 4.500% 09/01/09 519,365
SAN MATEO COUNTY TRANSIT DISTRICT
Limited Tax Bonds; 1993 Series A 300,000 5.000% 06/01/11 333,438
9
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2004
INTERMEDIATE FUND CONTINUED
VALUE
SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Bonds; 2000 Series A $ 400,000 5.500% 05/15/10 $ 452,868
SANTA ROSA HIGH SCHOOL DISTRICT
General Obligation Bonds; Series 2001 390,000 4.625% 05/01/08 422,900
SARATOGA UNION SCHOOL DISTRICT
1997 General Obligation Bonds; Series A 600,000 4.900% 09/01/09 665,082
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
San Juan Power Project 2002 Refunding; Series A 500,000 5.500% 01/01/13 570,550
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Hospital Revenue Bonds; Series 2000 500,000 4.375% 12/01/09 538,765
Multiple Purpose Projects; Series O 500,000 5.750% 09/01/10 576,470
WALNUT, CITY OF
Public Fiancing Authority Tax Allocation 500,000 5.375% 09/01/13 563,614
-----------
Total Long-Term Securities (Cost $23,868,217) 24,955,683
-----------
VARIABLE RATE DEMAND NOTES* (3.98%)
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
ExxonMobil; Series 2000 200,000 1.140% 09/01/04 200,000
IRVINE RANCH WATER DISTRICT
Consolidated Refunding Bonds; Series 1995 150,000 1.220% 09/01/04 150,000
Waterworks Bonds; 1988 Series A, District 182 200,000 1.320% 09/01/04 200,000
NEWPORT BEACH
Hoag Memorial Hospital Presbyterian; Series 1996 Series A 400,000 1.370% 09/01/04 400,000
WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY
Variable Rate Revenue Bonds, 1996 100,000 1.330% 09/01/04 100,000
-----------
Total Variable Rate Demand Notes (Cost $1,050,000) 1,050,000
-----------
Total Investments (Cost $24,921,612) (a) (98.68%) 26,005,683
Other Net Assets (1.32%) 347,325
-----------
Net Assets (100.00%) $26,353,008
===========
(a) Aggregate cost for federal income tax purposes is $24,918,217. At August 31, 2004, unrealized
appreciation (depreciation) of securities for federal income tax purposes is as follows:
Unrealized appreciation $ 1,118,645
Unrealized depreciation (31,179)
-----------
Net unrealized appreciation $ 1,087,466
===========
*Stated maturity reflects next reset date.
See accompanying notes to financial statements
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004
INCOME FUND
VALUE
SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM SECURITIES (86.31%)
ANAHEIM PUBLIC FINANCING AUTHORITY
Public Improvement Project; Series C $ 2,250,000 6.000% 09/01/12 $ 2,648,138
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Water System Revenue Bonds, Central Valley J-1; Prerefunded 625,000 7.000% 12/01/11 780,625
Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.000% 12/01/11 2,099,427
Water System Revenue Bonds, Central Valley J-3; Prerefunded 765,000 7.000% 12/01/11 955,485
Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.000% 12/01/11 2,563,902
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.250% 01/01/17 2,717,975
Stanford University Revenue Bonds; Series P 3,000,000 5.250% 12/01/13 3,440,250
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK
Asian Art Museum of San Francisco; Series 2000 2,565,000 5.500% 06/01/13 2,904,683
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
San Diego Gas & Electric; 1996 Series A 3,000,000 5.900% 06/01/14 3,186,810
CALIFORNIA POLYTECHNIC STATE UNIVERSITY
Student Union Revenue Bonds; Series C 2,390,000 5.625% 07/01/26 2,603,666
CALIFORNIA STATE DEPARTMENT OF TRANSPORTATION
Federal Highway Grant Anticipation Bonds; Series A 2,000,000 5.000% 02/01/15 2,219,340
CALIFORNIA STATE PUBLIC WORKS BOARD
CA State Prison--Imperial County; 1991 Series A 2,500,000 6.500% 09/01/17 2,998,150
University of California Projects; 1993 Series A 5,000,000 5.500% 06/01/14 5,650,800
10
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004
INCOME FUND CONTINUED
VALUE
SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
UniHealth America; Certificates of Participation; 1993 Series A $ 1,005,000 5.500% 10/01/14 $ 1,151,770
CALIFORNIA, STATE OF
General Obligation Bonds 3,000,000 6.250% 09/01/12 3,482,220
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects; Series 1994A 2,090,000 7.250% 08/01/09 2,515,211
CONTRA COSTA WATER DISTRICT
Water Revenue Bonds; Series E 2,000,000 6.250% 10/01/12 2,334,040
CUCAMONGA COUNTY WATER DISTRICT
Water Facilities and Refinancing, 2001 1,080,000 5.000% 09/01/16 1,159,034
EAST BAY MUNICIPAL UTILITY DISTRICT
Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/13 2,233,400
Water Revenue Refunding Bonds; Series 2001 2,000,000 5.250% 06/01/14 2,227,000
ELSINORE VALLEY MUNICIPAL WATER DISTRICT
Certificates of Participation 1,000,000 6.000% 07/01/12 1,174,950
GLENDALE UNIFIED SCHOOL DISTRICT
Series A 1,000,000 5.750% 09/01/17 1,113,260
GOLDEN WEST SCHOOLS FINANCING AUTHORITY
Refunding Revenue Bonds; 1998 Series A 1,090,000 6.600% 08/01/16 1,327,042
KERN HIGH SCHOOL DISTRICT
General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.600% 08/01/16 3,049,750
LA QUINTA REDEVELOPMENT AGENCY
Redevelopment Project Area No.2; Series 1994 1,015,000 7.300% 09/01/09 1,228,312
LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY
Lease Revenue Bonds; 1993 Series A 2,500,000 6.000% 08/15/10 2,905,475
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY
Sales Tax Revenue Refunding Bonds; Series 2001-B 3,000,000 5.250% 07/01/13 3,360,720
LOS ANGELES COUNTY PUBLIC WORKS FINANCING AUTHORITY
Regional Park and Open Space District; Series A 1,500,000 5.000% 10/01/13 1,625,415
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.500% 07/01/10 4,185,873
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1997 Series A 2,450,000 6.000% 07/01/14 2,929,808
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 1,762,755
NORTHERN CALIFORNIA TRANSMISSION REVENUE
CA-Oregon Transmission Project; 1990 Series A 1,000,000 7.000% 05/01/13 1,230,270
CA-Oregon Transmission Project; 1993 Series A 2,500,000 5.300% 05/01/09 2,786,600
OAKLAND REDEVELOPMENT AGENCY
Central District Redevelopment Project; Series 1992 2,000,000 5.500% 02/01/14 2,297,880
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
General Obligation Bonds; 1998 Series A 1,050,000 5.500% 02/15/11 1,193,766
OXNARD SCHOOL DISTRICT
General Obligation Refunding Bonds; 1997 1,485,000 5.625% 08/01/14 1,730,367
RIVERSIDE COUNTY TRANSPORTATION COMMISSION
Revenue Bonds; 1993 Series A 1,000,000 5.750% 06/01/07 1,103,500
Revenue Bonds; 1993 Series A 2,000,000 5.750% 06/01/09 2,278,360
SACRAMENTO MUNICIPAL UTILITY DISTRICT
Refunding Revenue Bonds; Series A 4,000,000 6.250% 08/15/10 4,631,600
SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH
Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.000% 09/01/16 1,886,220
SAN BERNARDINO, COUNTY OF
Justice Center / Airport Improvements; Series 2002A 2,890,000 5.000% 07/01/16 3,188,884
SAN DIEGO, COUNTY OF
2001 MTS Tower Refunding Bonds 1,000,000 5.250% 11/01/14 1,116,610
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT
Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.750% 07/01/11 3,592,097
SAN JOSE REDEVELOPMENT AGENCY TAX ALLOCATION
Prerefunded Merged Area 1,315,000 6.000% 08/01/10 1,545,059
Unrefunded Balanced Merged Area 2,685,000 6.000% 08/01/10 3,118,628
SAN MARINO UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1998 Series B 1,440,000 5.250% 07/01/16 1,635,970
SANTA ANA UNIFIED SCHOOL DISTRICT
General Obligation Bonds; Series 2000 2,500,000 5.700% 08/01/22 2,798,450
11
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2004
INCOME FUND
VALUE
SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Refunding Bonds; 1997 Series A $ 2,000,000 6.000% 11/15/12 $ 2,366,980
Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.750% 11/15/13 2,047,570
SANTA CLARA REDEVELOPMENT AGENCY
Bayshore North Project, 1992 Tax Allocation Refunding Bonds 4,000,000 7.000% 07/01/10 4,662,640
SANTA MARGARITA-DANA POINT AUTHORITY
Improvement District; 1994 Series A 1,045,000 7.250% 08/01/10 1,282,320
SONOMA, COUNTY OF
Certificates of Participation; 2002 Series A 1,815,000 5.000% 11/15/12 2,013,652
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT
Installment Sale Revenue Bonds; Series 1992 2,400,000 6.000% 08/01/11 2,806,632
Multiple Project Revenue Bonds; Series 1989 3,585,000 6.750% 07/01/13 4,349,537
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Commercial Paper Notes; Series A 1,000,000 5.000% 05/15/08 1,098,190
UC San Diego Medical Center; Series 2000 2,500,000 5.125% 12/01/16 2,707,050
TURLOCK IRRIGATION DISTRICT
Revenue Refunding Bonds; Series A 2,000,000 6.250% 01/01/12 2,318,940
------------
Total Long-Term Securities (Cost $121,012,430) 136,323,058
------------
VARIABLE RATE DEMAND NOTES* (13.07%)
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
Sutter Hospital; Series B 1,450,000 1.340% 09/02/04 1,450,000
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
ExxonMobil; Series 2000 1,400,000 1.140% 09/02/04 1,400,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
John Muir/Mt. Diablo Health System 1,000,000 1.220% 09/02/04 1,000,000
CALIFORNIA, STATE OF
General Obligation; Series A 3,000,000 1.320% 09/02/04 3,000,000
IRVINE, CITY OF
Assessment District 00-18; Series A 100,000 1.330% 09/02/04 100,000
Assessment District 93-14 700,000 1.320% 09/02/04 700,000
IRVINE RANCH WATER DISTRICT
Consolidated Refunding Series 1993-A 1,200,000 1.220% 09/02/04 1,200,000
General Obligation; Consolidated Series 1991 600,000 1.330% 09/02/04 600,000
Revenue Bonds; Consolidated; Series 1985 200,000 1.330% 09/02/04 200,000
Special Assessment, Consolidated; Series 1985 1,850,000 1.330% 09/02/04 1,850,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Water System Revenue Bonds; 2001 Series B-2 700,000 1.330% 09/02/04 700,000
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water Revenue Bonds, Series 2000 B-1 400,000 1.330% 09/02/04 400,000
Water Revenue Bonds; Series 2000 B-3 2,600,000 1.320% 09/02/04 2,600,000
NEWPORT BEACH
Hoag Memorial Hospital Presbyterian, Series 1996 Series B 700,000 1.370% 09/02/04 700,000
Hoag Memorial Hospital Presbyterian; Series 1996 Series A 900,000 1.370% 09/02/04 900,000
Hoag Memorial Hospital Presbyterian; Series C 2,550,000 1.370% 09/02/04 2,550,000
ORANGE COUNTY SANITATION DISTRICT
Certificates of Participation; Series 2000 795,000 1.330% 09/02/04 795,000
Certificates of Participation; Series 2000-A 500,000 1.330% 09/02/04 500,000
------------
Total Variable Rate Demand Notes (Cost $20,645,000) 20,645,000
------------
Variable Rate Demand Notes (13.97%)
Total Investments (Cost $141,986,465) (a) (99.38%) 156,968,058
Other Net Assets (0.62%) 1,359,253
------------
Net Assets (100.00%) $158,327,311
============
(a) Aggregate cost for federal income tax purposes is $141,657,430. At August 31, 2004, unrealized
appreciation (depreciation) of securities for federal income tax purposes is as follows:
Unrealized appreciation $ 15,310,628
Unrealized depreciation --
------------
Net unrealized apprecation $ 15,310,628
============
*Stated maturity reflects next reset date
See accompanying notes to financial statements
12
- --------------------------------------------------------------------------------
U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 8/31/2004
SECURITIES FUND
VALUE
PAR VALUE RATE MATURITY (NOTE 1)
- --------------------------------------------------------------------------------
Government National Mortgage Association (65.34%)
$ 210,746 6.000% 04/15/14 $ 222,437
323,018 6.000% 04/15/14 340,938
314,269 6.000% 04/15/16 331,874
382,867 6.500% 04/15/16 408,279
351,217 6.000% 05/15/16 370,892
1,764,134 5.000% 02/15/18 1,815,722
854,943 5.000% 04/15/18 879,944
850,671 5.000% 04/15/18 875,547
1,748,820 5.500% 08/15/18 1,826,594
1,844,283 5.000% 09/15/18 1,898,216
10,698 10.000% 09/15/18 12,062
32,723 9.000% 10/15/18 36,766
1,917,207 5.000% 01/15/19 1,971,552
1,936,014 5.000% 01/15/19 1,990,892
1,917,202 5.000% 02/15/19 1,971,546
1,891,997 5.000% 02/15/19 1,945,626
2,053,799 5.500% 02/15/19 2,144,483
-----------
Total Government National Mortgage Association (Cost $19,049,027) 19,043,370
-----------
United States Treasury Bills (6.16%)
600,000 1.000% 09/16/04 599,700
100,000 1.000% 11/04/04 99,753
300,000 1.000% 11/12/04 299,159
800,000 1.470% 11/26/04 797,150
-----------
Total United States Treasury Bills (Cost $1,795,762) 1,795,762
-----------
United States Treasury Notes (12.93%)
2,000,000 6.500% 05/15/05 2,064,532
600,000 6.500% 08/15/05 625,664
1,000,000 6.875% 05/15/06 1,076,680
-----------
Total United States Treasury Notes (Cost $3,780,063) 3,766,876
-----------
United States Treasury Bonds (14.74%)
1,300,000 7.250% 05/15/16 1,635,004
2,000,000 7.625% 11/15/22 2,660,156
-----------
Total United States Treasury Bonds (Cost $4,165,730) 4,295,160
-----------
Total Investments (Cost $28,790,582) (a) (99.17%) 28,901,168
Other Net Assets (0.83%) 241,801
-----------
Net Assets (100.00%) $29,142,969
===========
(a) Aggregate cost for federal income tax purposes is $28,790,582.
At August 31, 2004, unrealized appreciation (depreciation) of
securities for federal income tax purposes is as follows:
Unrealized appreciation $ 224,056
Unrealized depreciation (113,470)
-----------
Net unrealized appreciation $ 110,586
===========
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
THE UNITED STATES PORTFOLIO OF INVESTMENTS 8/31/2004
TREASURY TRUST
VALUE
PAR VALUE RATE MATURITY (NOTE 1)
- --------------------------------------------------------------------------------
United States Treasury Bills (100.06%)
$4,200,000 0.983% 09/02/04 $ 4,199,882
9,900,000 1.100% 09/23/04 9,892,855
3,000,000 0.970% 10/21/04 2,994,263
5,100,000 1.000% 11/04/04 5,086,938
3,200,000 1.000% 11/12/04 3,191,003
2,500,000 1.435% 11/18/04 2,492,211
8,500,000 1.470% 11/26/04 8,469,327
3,800,000 1.540% 12/09/04 3,783,907
-----------
Total Investments (Cost $40,110,386) (a) (100.06%) 40,110,386
Other Liabilities (-0.06%) (23,753)
-----------
Net Assets (100.00%) $40,086,633
===========
(a) Aggregate cost for federal income tax purposes is $40,110,386
See accompanying notes to financial statements
13
- --------------------------------------------------------------------------------
SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 8/31/2004
GOVERNMENT BOND FUND
VALUE
PAR VALUE RATE MATURITY (NOTE 1)
- --------------------------------------------------------------------------------
United States Treasury Bills (12.21%)
$ 300,000 1.100% 09/23/04 $ 299,764
300,000 1.000% 11/12/04 299,088
1,100,000 1.435% 11/18/04 1,096,491
300,000 1.470% 11/26/04 298,915
-----------
Total United States Treasury Bills (Cost $1,994,258) 1,994,258
-----------
United States Tresury Notes (86.38%)
1,600,000 7.500% 02/15/05 1,641,563
2,000,000 6.500% 05/15/05 2,064,532
2,000,000 6.750% 05/15/05 2,067,734
1,900,000 6.500% 08/15/05 1,981,269
2,000,000 5.750% 11/15/05 2,087,578
2,000,000 5.625% 02/15/06 2,099,844
2,000,000 6.500% 10/15/06 2,166,016
-----------
Total United States Treasury Notes (Cost $14,137,099) 14,108,536
-----------
Total Investments (Cost $16,131,357) (a) (98.59%) 16,102,794
Other Net Assets (1.41%) 230,635
-----------
Net Assets (100.00%) $16,333,429
===========
(a) Aggregate cost for federal income tax purposes is $16,131,357.
At August 31, 2004, unrealized appreciation (depreciation) of
securities for federal income tax purposes is as follows:
Unrealized appreciation $ --
Unrealized depreciation (28,563)
-----------
Net unrealized depreciation $ (28,563)
===========
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (99.60%)
Banking & Financial Service (21.06%)
ACE Ltd. 2,936 $ 113,183
Aetna Inc. 1,606 148,796
Aflac Inc. 5,408 216,861
Allstate Corp./The 7,426 350,581
AMBAC Financial Group Inc. 1,127 85,089
American Express Co. 13,592 679,872
American International Group Inc. 27,554 1,962,947
AmSouth Bancorp 3,692 96,177
Anthem Inc.* 1,460 118,610
AON Corp. 3,324 86,258
Apartment Investment & Management Co. 995 35,323
Bank of America Corp. 42,752 1,922,985
Bank of New York Co. Inc./The 8,187 243,973
BB&T Corp. 5,786 231,382
Bear Stearns Cos Inc./The 1,041 91,525
Capital One Financial Corp. 2,444 165,605
Charles Schwab Corp./The 14,328 135,400
Charter One Financial Inc. 2,347 104,371
Chubb Corp. 1,978 134,524
Cigna Corp. 1,481 98,575
Cincinnati Financial Corp. 1,768 71,339
Citigroup Inc. 54,501 2,538,657
Comerica Inc. 1,859 111,819
Countrywide Financial Corp. 5,826 207,114
E*Trade Financial Corp.* 3,854 45,400
Equity Office Properties Trust 4,235 120,952
Equity Residential 2,884 93,413
Fannie Mae 10,267 764,378
Fifth Third Bancorp 6,014 299,557
First Horizon National Corp. 1,338 60,839
Franklin Resources Inc. 2,642 140,739
Freddie Mac 7,352 493,466
Golden West Financial Corp. 1,606 173,817
Goldman Sachs Group Inc. 5,004 448,609
Hartford Financial Services Group Inc. 2,990 182,868
Huntington Bancshares Inc. 2,430 59,948
Jefferson-Pilot Corp. 1,496 71,658
JPMorgan Chase & Co 37,135 1,469,803
Keycorp 4,426 138,755
Lehman Brothers Holdings Inc. 2,863 211,547
Lincoln National Corp. 1,880 85,164
M&T Bank Corp. 1,265 120,150
Marsh & McLennan Cos Inc. 5,599 250,219
Marshall & Ilsley Corp. 2,399 96,152
MBIA Inc. 1,523 87,222
MBNA Corp. 13,485 325,528
Mellon Financial Corp. 4,530 130,736
Merrill Lynch & Co. Inc. 9,981 509,730
Metlife Inc. 8,024 298,894
MGIC Investment Corp. 1,044 71,274
Morgan Stanley 11,430 579,844
National City Corp. 6,426 242,839
North Fork Bancorporation Inc. 1,791 75,115
Northern Trust Corp. 2,322 99,962
Pinnacle West Capital Corp. 969 40,901
PNC Financial Services Group Inc. 2,926 157,038
Principal Financial Group 3,420 118,708
Progressive Corp./The 2,281 183,164
Providian Financial Corp.* 3,062 44,215
Prudential Financial Inc. 5,729 264,565
Regions Financial Corp. 4,908 158,479
Safeco Corp. 1,465 70,569
SLM Corp. 4,766 185,969
SouthTrust Corp. 3,518 145,469
St Paul Travelers Cos Inc./The 7,020 243,524
Starwood Hotels & Resorts Worldwide Inc. 2,146 94,853
State Street Corp. 3,527 159,209
SunTrust Banks Inc. 2,974 202,529
Synovus Financial Corp. 3,206 81,432
T Rowe Price Group Inc. 1,313 65,033
Torchmark Corp. 1,198 61,673
UnumProvident Corp. 3,140 50,805
US Bancorp 20,373 601,004
Wachovia Corp. 13,982 655,896
14
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Washington Mutual Inc. 9,500 $ 368,885
Wells Fargo & Co 17,868 1,049,745
XL Capital Ltd. 1,449 101,720
Zions Bancorporation 953 59,353
------------
Total Banking & Financial Service 22,864,282
------------
Capital Good (6.26%)
3M Co 8,286 682,435
Allied Waste Industries Inc.* 3,371 34,519
Caterpillar Inc. 3,674 267,100
Cooper Industries Ltd. 1,003 55,386
Cummins Inc. 447 30,079
Danaher Corp. 3,260 167,629
Deere & Co 2,526 159,820
Dover Corp. 2,142 80,818
Emerson Electric Co 4,440 276,390
Fluor Corp. 874 37,364
General Electric Co 106,053 3,477,478
Illinois Tool Works Inc. 3,260 297,605
Ingersoll-Rand Co 1,826 118,708
Johnson Controls Inc. 1,912 107,646
Molex Inc. 2,016 58,202
Pall Corp. 1,325 32,277
Parker Hannifin Corp. 1,273 69,213
Power-One Inc.* 892 6,699
Teradyne Inc.* 2,030 26,126
Thermo Electron Corp.* 1,702 44,712
Tyco International Ltd. 21,122 661,541
Vulcan Materials Co 1,068 50,912
WW Grainger Inc. 962 51,380
------------
Total Capital Good 6,794,039
------------
Consumer Cyclical (7.29%)
Autozone Inc.* 946 70,061
Bed Bath & Beyond Inc.* 3,135 117,312
Best Buy Co. Inc. 3,427 159,424
Big Lots Inc.* 1,254 15,286
Black & Decker Corp. 825 56,867
Circuit City Stores Inc. 2,205 28,599
Cooper Tire & Rubber Co. 779 17,637
Costco Wholesale Corp. 4,842 199,345
Dana Corp. 1,595 30,098
Delphi Corp. 5,987 54,841
Dillard's Inc./AR 852 16,188
Dollar General Corp. 3,556 70,053
Eaton Corp. 1,600 96,560
Family Dollar Stores Inc. 1,806 47,769
Federated Department Stores 1,916 83,154
Ford Motor Co 19,336 272,831
Gap Inc./The 9,475 177,562
General Motors Corp. 5,914 244,307
Genuine Parts Co 1,839 69,716
Goodrich Corp. 1,231 39,097
Goodyear Tire & Rubber Co/The* 1,878 20,620
Hasbro Inc. 1,849 34,262
Home Depot Inc. 23,337 853,201
ITT Industries Inc. 974 77,043
JC Penney Co. Inc. Holding Co 2,882 110,438
Kohl's Corp.* 3,601 178,177
Liz Claiborne Inc. 1,176 44,770
Lowe's Cos Inc. 8,299 412,460
Ltd Brands 4,908 98,553
Marriott International Inc. 2,441 115,825
Masco Corp. 4,879 156,762
Mattel Inc. 4,554 73,274
May Department Stores Co/The 3,039 74,486
Maytag Corp. 844 17,074
Newell Rubbermaid Inc. 2,876 61,920
Nike Inc. 2,773 208,835
Nordstrom Inc. 1,443 53,579
Paccar Inc. 1,857 111,773
RadioShack Corp. 1,717 46,256
Reebok International Ltd. 619 21,027
Sears Roebuck and Co 2,669 102,169
Snap-On Inc. 609 19,348
Stanley Works/The 870 37,636
Target Corp. 9,620 428,860
Tiffany & Co 1,541 47,694
TJX Cos Inc. 5,328 112,740
Toys R US Inc.* 2,252 36,572
VF Corp. 1,136 56,050
Visteon Corp. 1,369 12,773
Wal-Mart Stores Inc. 45,104 2,375,628
Whirlpool Corp. 742 45,366
------------
Total Consumer Cyclical 7,911,878
------------
Consumer Non-Durable (25.30%)
Abbott Laboratories 16,506 688,135
Adolph Co.ors Co. 388 26,574
Alberto-Culver Co. 954 46,069
Albertson's Inc. 3,898 95,813
Allergan Inc. 1,379 102,942
Altria Group Inc. 21,463 1,050,614
AmerisourceBergen Corp. 1,178 63,730
Anheuser-Busch Cos Inc. 8,596 453,869
Archer-Daniels-Midland Co. 6,810 108,756
Autodesk Inc. 1,194 53,026
Avery Dennison Corp. 1,191 74,021
Avon Products Inc. 4,996 220,723
Bausch & Lomb Inc. 546 36,009
Baxter International Inc. 6,453 197,075
Becton Dickinson & Co. 2,675 128,721
Biomet Inc. 2,701 123,301
Boston Scientific Corp.* 8,642 308,779
Bristol-Myers Squibb Co. 20,495 486,346
Brown-Forman Corp. 1,281 60,835
Brunswick Corp. 956 37,580
Campbell Soup Co. 4,320 112,147
Cardinal Health Inc. 4,578 206,926
Caremark Rx Inc.* 4,702 134,947
Carnival Corp. 6,660 304,961
Cintas Corp. 1,809 74,187
Clear Channel Communications Inc. 6,512 218,217
Clorox Co. 2,228 117,728
Coca-Cola Co./The 25,884 1,157,274
Coca-Cola Enterprises Inc. 4,851 100,173
Colgate-Palmolive Co. 5,673 306,342
Comcast Corp.* 23,783 669,967
Computer Associates International Inc. 6,120 148,226
Computer Sciences Corp.* 1,990 92,237
ConAgra Foods Inc. 5,655 148,161
CR Bard Inc. 1,084 60,812
CVS Corp. 4,183 167,320
Darden Restaurants Inc. 1,782 37,440
Deluxe Corp. 541 23,112
Dow Jones & Co. Inc. 853 35,016
Eli Lilly & Co 11,868 753,025
Express Scripts Inc.* 797 50,370
Forest Laboratories Inc.* 3,869 177,394
Fortune Brands Inc. 1,541 112,724
Gannett Co. Inc. 2,857 241,988
General Mills Inc. 3,939 186,118
Gillette Co/The 10,673 453,603
Guidant Corp. 3,286 196,503
Harrah's Entertainment Inc. 1,176 56,671
HCA Inc. 5,225 202,782
Health Management Associates Inc. 2,507 47,934
Hershey Foods Corp. 2,742 132,384
Hilton Hotels Corp. 4,016 71,686
HJ Heinz Co 3,726 141,253
Hospira Inc.* 1,650 45,705
Humana Inc.* 1,688 32,072
IMS Health Inc. 2,525 58,908
International Flavors & Fragrances Inc. 983 37,875
Interpublic Group of Cos Inc.* 4,384 46,251
Johnson & Johnson 31,358 1,821,900
Jones Apparel Group Inc. 1,320 47,111
Kellogg Co 4,297 180,388
Knight-Ridder Inc. 842 54,250
Kroger Co/The* 7,874 130,157
Loews Corp. 1,956 111,101
Manor Care Inc. 938 28,768
15
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
McCormick & Co. Inc. 1,477 $ 49,553
McDonald's Corp. 13,413 362,419
McGraw-Hill Cos Inc./The 2,028 153,580
McKesson Corp. 3,071 95,047
Medco Health Solutions Inc.* 2,847 88,912
Medimmune Inc.* 2,595 61,943
Medtronic Inc. 12,806 637,099
Merck & Co. Inc. 23,505 1,057,020
Meredith Corp. 527 26,392
Mylan Laboratories 2,824 49,194
New York Times Co 1,562 63,448
Office Depot Inc.* 3,281 52,529
Omnicom Group 2,011 138,377
Paychex Inc. 3,957 117,404
Pepsi Bottling Group Inc. 2,758 73,887
PepsiCo Inc. 18,123 906,150
Pfizer Inc. 80,623 2,633,953
Procter & Gamble Co 26,996 1,510,966
Quest Diagnostics 1,092 93,475
Qwest Communications International* 18,680 53,985
Reynolds American Inc. 902 68,101
RR Donnelley & Sons Co 2,258 69,388
Sabre Holdings Corp. 1,503 34,569
Safeway Inc.* 4,733 95,607
Sara Lee Corp. 8,346 184,697
Schering-Plough Corp. 15,494 286,019
Simon Property Group Inc. 2,150 120,293
St Jude Medical Inc.* 1,821 122,462
Staples Inc. 5,217 149,624
Starbucks Corp.* 4,139 178,970
Stryker Corp. 4,214 190,894
Sungard Data Systems Inc.* 3,077 70,771
Supervalu Inc. 1,421 37,458
Sysco Corp. 6,829 219,484
Tenet Healthcare Corp.* 4,884 50,891
Tribune Co 3,480 145,290
UnitedHealth Group Inc. 6,597 436,260
Univision Communications Inc.* 3,400 112,200
UST Inc. 1,750 70,210
Viacom Inc. 18,463 615,003
Walgreen Co 10,843 395,227
Walt Disney Co 21,618 485,324
Watson Pharmaceuticals Inc.* 1,136 31,285
WellPoint Health Networks* 1,601 157,186
Wendy's International Inc. 1,196 41,107
Winn-Dixie Stores Inc. 1,670 6,964
WM Wrigley Jr Co 2,382 147,755
Wyeth 14,076 514,759
Yum! Brands Inc. 3,119 123,855
Zimmer Holdings Inc.* 2,550 181,815
------------
Total Consumer Non-Durable 27,465,833
------------
Energy (6.82%)
AES Corp./The* 6,611 66,705
Amerada Hess Corp. 943 75,912
Anadarko Petroleum Corp. 2,653 157,111
Apache Corp. 3,422 152,929
Ashland Inc. 731 37,595
Baker Hughes Inc. 3,533 138,953
BJ Services Co. 1,674 80,436
Burlington Resources Inc. 4,214 152,673
ChevronTexaco Corp. 11,287 1,100,483
ConocoPhillips 7,184 534,705
Devon Energy Corp. 2,464 159,692
Dynegy Inc.* 3,790 16,524
El Paso Corp. 6,750 55,215
EOG Resources Inc. 1,225 70,768
Exxon Mobil Corp. 68,725 3,168,223
Halliburton Co 4,631 135,086
Kerr-McGee Corp. 1,069 56,422
Kinder Morgan Inc. 1,319 79,800
Marathon Oil Corp. 3,583 129,955
Nabors Industries Ltd.* 1,552 68,443
Occidental Petroleum Corp. 4,070 210,216
Rowan Cos Inc.* 1,121 27,263
Schlumberger Ltd. 6,178 381,800
Sunoco Inc. 811 49,877
Transocean Inc.* 3,367 103,367
Unocal Corp. 2,758 102,984
Valero Energy Corp. 1,338 88,348
------------
Total Energy 7,401,485
------------
Manufacturing (5.62%)
Air Products & Chemicals Inc. 2,398 125,607
Alcoa Inc. 9,147 296,180
Allegheny Technologies Inc. 854 16,064
American Standard Cos Inc.* 2,325 87,443
Applied Materials Inc.* 17,553 278,917
Applied Micro Circuits Corp.* 3,283 10,998
Ball Corp. 1,190 44,435
Bemis Co. 1,106 29,232
Boise Cascade Corp. 900 28,161
Centex Corp. 1,320 60,416
Citrix Systems Inc.* 1,744 27,747
Comverse Technology Inc.* 2,034 35,615
Corning Inc.* 14,053 142,216
Crane Co 632 17,064
Dell Inc.* 26,542 924,723
Dow Chemical Co/The 9,722 416,199
Eastman Chemical Co 810 37,689
Eastman Kodak Co 3,033 89,716
Ecolab Inc. 2,721 81,412
EI Du Pont de Nemours & Co 10,535 445,209
EMC Corp./Massachusetts* 25,413 273,698
Engelhard Corp. 1,318 37,260
Freeport-McMoRan Copper & Gold Inc. 1,812 68,186
Gateway Inc.* 3,943 17,310
Georgia-Pacific Corp. 2,672 90,795
Great Lakes Chemical Corp. 530 13,844
Hercules Inc.* 1,129 15,490
International Game Technology 3,660 105,591
International Paper Co 5,088 203,622
KB Home 488 33,560
Kimberly-Clark Corp. 5,334 355,778
Leggett & Platt Inc. 2,023 54,398
Louisiana-Pacific Corp. 1,130 27,911
MeadWestvaco Corp. 2,112 63,677
Millipore Corp.* 523 26,307
Newmont Mining Corp. 4,574 203,040
Novellus Systems Inc.* 1,616 39,479
Nucor Corp. 826 64,668
Pactiv Corp.* 1,663 39,330
Phelps Dodge Corp. 942 76,830
Plum Creek Timber Co. Inc. (REIT) 1,937 63,998
PPG Industries Inc. 1,787 106,809
Praxair Inc. 3,420 138,784
Prologis 1,848 66,805
Pulte Homes Inc. 1,305 76,930
Rohm & Haas Co 2,354 95,408
Sealed Air Corp.* 891 43,766
Sherwin-Williams Co/The 1,544 63,767
Sigma-Aldrich Corp. 727 41,650
Temple-Inland Inc. 576 39,329
Textron Inc. 1,433 90,981
United States Steel Corp. 1,191 43,960
Waters Corp.* 1,283 55,567
Weyerhaeuser Co 2,467 154,212
Worthington Industries 891 18,132
------------
Total Manufacturing 6,105,915
------------
Service (1.58%)
Apollo Group Inc.* 1,865 145,470
Automatic Data Processing Inc. 6,287 250,034
Autonation Inc.* 2,900 47,676
Cendant Corp. 10,725 231,982
Convergys Corp.* 1,500 20,850
Equifax Inc. 1,482 36,161
First Data Corp. 9,482 400,615
Fiserv Inc.* 2,071 72,029
H&R Block Inc. 1,881 90,777
Jabil Circuit Inc.* 2,099 43,302
Mercury Interactive Corp.* 950 32,785
16
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Monster Worldwide Inc.* 1,196 $ 24,195
Moody's Corp. 1,576 108,051
Robert Half International Inc. 1,810 44,345
Waste Management Inc. 6,154 171,020
------------
Total Service 1,719,292
------------
Technology (17.89%)
ADC Telecommunications Inc.* 8,684 18,584
Adobe Systems Inc. 2,467 113,161
Advanced Micro Devices Inc.* 3,687 42,142
Affiliated Computer Services Inc.* 1,432 77,801
Agilent Technologies Inc.* 5,021 102,931
Altera Corp.* 4,041 76,456
American Power Conversion Corp. 2,118 35,582
Amgen Inc.* 13,626 807,886
Analog Devices Inc. 3,880 134,714
Andrew Corp.* 1,650 18,299
Apple Computer Inc.* 3,834 132,235
Applera Corp.- Applied Biosystems Group 2,220 42,269
AT&T Wireless Services Inc.* 28,652 418,892
Avaya Inc.* 4,387 53,170
Biogen Idec Inc.* 3,460 205,282
BMC Software Inc.* 2,379 35,614
Boeing Co. 8,885 463,975
Broadcom Corp.* 3,204 86,957
Chiron Corp.* 1,978 83,828
Ciena Corp.* 6,054 11,018
Cisco Systems Inc.* 71,026 1,332,448
Compuware Corp.* 4,039 18,297
eBay Inc.* 6,826 590,722
Electronic Arts Inc.* 3,140 156,309
Electronic Data Systems Corp. 5,089 97,811
Federated Investors Inc. 1,148 33,120
General Dynamics Corp. 2,089 203,970
Genzyme Corp.* 2,372 128,088
Hewlett-Packard Co 32,218 576,380
Honeywell International Inc. 9,104 327,562
Intel Corp. 68,009 1,447,912
International Business Machines Corp. 17,671 1,496,557
Intuit Inc.* 2,101 88,851
JDS Uniphase Corp.* 15,107 46,983
King Pharmaceuticals Inc.* 2,568 31,997
Kla-Tencor Corp.* 2,059 76,924
Lexmark International Inc.* 1,356 119,938
Linear Technology Corp. 3,303 118,148
Lockheed Martin Corp. 4,773 256,692
LSI Logic Corp.* 3,960 19,127
Lucent Technologies Inc.* 44,252 138,509
Maxim Integrated Products Inc. 3,470 150,702
Micron Technology Inc.* 6,477 74,550
Microsoft Corp. 113,411 3,096,120
Monsanto Co 2,778 101,675
Motorola Inc. 24,584 397,032
National Semiconductor Corp.* 3,932 52,414
Network Appliance Inc.* 3,659 73,436
Nextel Communications Inc.* 11,623 269,537
Northrop Grumman Corp. 3,874 200,092
Novell Inc.* 3,947 23,287
Nvidia Corp.* 1,724 21,481
Oracle Corp.* 55,181 550,155
Parametric Technology Corp.* 2,859 13,923
Peoplesoft Inc.* 3,955 68,817
PerkinElmer Inc. 1,321 23,091
Pitney Bowes Inc. 2,468 107,506
PMC - Sierra Inc.* 1,841 17,195
QLogic Corp.* 993 25,927
Qualcomm Inc. 16,920 643,806
Raytheon Co 4,667 162,085
Rockwell Automation Inc. 1,951 76,089
Rockwell Collins Inc. 1,857 63,862
Sanmina-SCI Corp.* 5,438 37,631
Scientific-Atlanta Inc. 1,620 44,129
Siebel Systems Inc.* 5,212 39,663
Solectron Corp.* 10,099 52,111
Sun Microsystems Inc.* 34,434 132,227
Symantec Corp.* 3,247 155,726
Symbol Technologies Inc. 2,467 31,824
Tektronix Inc. 880 25,142
Tellabs Inc.* 4,380 39,727
Texas Instruments Inc. 18,296 357,504
Thomas & Betts Corp. 598 14,711
Time Warner Inc.* 47,783 781,252
Unisys Corp.* 3,471 34,849
United Technologies Corp. 5,432 510,119
Veritas Software Corp.* 4,533 75,792
Xerox Corp.* 8,360 112,275
Xilinx Inc. 3,627 99,489
Yahoo! Inc.* 13,890 396,004
------------
Total Technology 19,420,098
------------
Transportation (1.86%)
Burlington Northern Santa Fe Corp. 3,908 139,906
CSX Corp. 2,259 71,339
Delta Air Lines Inc.* 1,352 5,462
FedEx Corp. 3,159 259,006
Harley-Davidson Inc. 3,201 195,325
Janus Capital Group Inc. 2,551 35,051
Navistar International Corp.* 734 26,263
Norfolk Southern Corp. 4,107 116,639
Ryder System Inc. 677 29,659
Southwest Airlines Co 8,241 122,132
Union Pacific Corp. 2,702 154,311
United Parcel Service Inc./Georgia 11,882 867,980
------------
Total Transportation 2,023,073
------------
Utility (5.92%)
Allegheny Energy Inc.* 1,381 20,287
Alltel Corp. 3,301 180,400
Ameren Corp. 1,912 89,462
American Electric Power Co. Inc. 4,178 136,746
AT&T Corp. 8,362 123,590
BellSouth Corp. 19,510 522,088
Calpine Corp.* 4,357 14,901
Centerpoint Energy Inc. 3,217 35,194
CenturyTel Inc. 1,518 48,864
Cinergy Corp. 1,882 76,183
Citizens Co.mmunications Co. 3,037 38,357
CMS Energy Corp.* 1,662 15,955
Consolidated Edison Inc. 2,527 106,639
Constellation Energy Group Inc. 1,772 72,829
Dominion Resources Inc./VA 3,430 222,573
DTE Energy Co 1,768 73,054
Duke Energy Corp. 9,602 212,588
Edison International 3,462 93,059
Entergy Corp. 2,423 146,107
Exelon Corp. 6,914 254,781
FirstEnergy Corp. 3,496 140,679
FPL Group Inc. 1,939 134,179
KeySpan Corp. 1,700 64,770
NCR Corp.* 1,006 44,435
Nicor Inc. 460 16,491
NiSource Inc. 2,793 58,094
Noble Corp.* 1,408 56,630
Peoples Energy Corp. 383 15,914
PG&E Corp.* 4,388 128,086
PPL Corp. 1,866 89,251
Progress Energy Inc. 2,597 113,982
Public Service Enterprise Group Inc. 2,495 105,638
SBC Communications Inc. 34,985 902,263
Sempra Energy 2,396 86,615
Southern Co/The 7,751 235,243
Sprint Corp. 14,984 294,885
TECO Energy Inc. 1,982 26,281
TXU Corp. 3,413 142,083
Verizon Communications Inc. 29,159 1,144,491
Williams Cos Inc. 5,523 65,663
Xcel Energy Inc. 4,198 74,090
------------
Total Utility 6,423,420
------------
Total Common Stock ($95,411,065) 108,129,315
------------
17
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
- --------------------------------------------------------------------------------
Par Value
---------
Short-Term Investments (0.26%)
$ 100,000 United States Treasury Bills 09/18/04 (b) $ 99,947
94,323 First American Prime Obligation Fund 94,323
94,323 First American Government Obligation Fund 94,323
------------
Total Short-Term Investments (Cost $288,593) 288,593
------------
Total Investments (Cost $95,699,658) (a) (99.86%) 108,417,908
Other Net Assets (0.14%) 148,532
------------
Net Assets (100.00%) $108,566,440
============
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $95,699,658.
At August 31, 2004, unrealized appreciation (depreciation) of
securities for federal income tax purpose is as follows:
Unrealized appreciation $ 25,958,055
Unrealized depreciation (13,239,805)
------------
Net unrealized appreciation $ 12,718,250
============
(b At August 31, 2004, certain United States Treasury Bills with
a market value of $99,940 were pledged to cover margin
requirements for futures contracts.
(c) Futures contracts at August 31, 2004: (Contracts-$250 times
premium/delivery month/commitment)
UNREALIZED
APPRECIATION
S&P 500 Index: $ 5,645
1/Sept 04/Long ============
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (93.84%)
Banking & Financial Service (19.21%)
AG Edwards Inc. 10,346 $ 359,834
Allmerica Financial Corp.* 2,980 86,420
AMB Property Corp. 10,559 394,379
American Financial Group Inc./OH 9,429 277,684
AmeriCredit Corp.* 20,291 424,285
AmerUs Group Co. 5,060 201,692
Arthur J Gallagher & Co 11,625 370,373
Associated Banc-Corp 14,201 444,491
Astoria Financial Corp. 10,256 372,703
Bank of Hawaii Corp. 7,065 335,446
Banknorth Group Inc. 22,213 754,576
Brown & Brown Inc. 8,867 398,128
Certegy Inc. 8,312 319,015
Charles River Laboratories International Inc.* 5,912 257,468
Checkfree Corp.* 10,328 281,438
City National Corp./CA 6,323 417,192
Commerce Bancorp Inc./Cherry Hill NJ 9,795 513,944
Compass Bancshares Inc. 15,723 727,189
Cullen/Frost Bankers Inc. 6,688 300,893
Eaton Vance Corp. 8,836 354,765
Everest Re Group Ltd. 7,163 502,556
Fidelity National Financial Inc. 22,254 837,863
First American Corp. 11,491 332,894
FirstMerit Corp. 10,948 288,370
Gartner Inc.* 16,697 199,529
Greater Bay Bancorp 6,831 194,479
Greenpoint Financial Corp. 17,225 758,761
HCC Insurance Holdings Inc. 8,241 239,813
Hibernia Corp. 20,047 538,262
Highwoods Properties Inc. 6,862 168,805
Horace Mann Educators Corp. 5,518 93,640
Hospitality Properties Trust 8,601 360,812
Independence Community Bank Corp. 10,571 414,806
IndyMac Bancorp Inc. 7,183 247,814
Investors Financial Services Corp. 8,515 394,926
Jefferies Group Inc. 7,115 238,424
LaBranche & Co. Inc.* 6,223 51,029
Legg Mason Inc. 8,571 691,508
Liberty Property Trust 10,800 436,968
Mack-Cali Realty Corp. 7,761 351,263
Mercantile Bankshares Corp. 10,284 489,518
MoneyGram International Inc.* 11,413 190,597
National City Corp. 7,168 270,879
National Commerce Financial Corp. 26,479 890,754
New Plan Excel Realty Trust 12,852 330,553
New York Community Bancorp Inc. 34,895 745,008
Ohio Casualty Corp.* 7,870 158,581
Old Republic International Corp. 23,418 551,494
PMI Group Inc./The 12,119 503,302
Protective Life Corp. 8,901 348,296
Radian Group Inc. 12,129 537,315
Raymond James Financial Inc. 9,468 229,315
RSA Security Inc.* 7,774 115,755
SEI Investments Co 13,618 445,036
Silicon Valley Bancshares* 4,486 167,552
Sovereign Bancorp Inc. 39,425 861,831
Stancorp Financial Group Inc. 3,770 273,325
TCF Financial Corp. 9,163 582,858
United Dominion Realty Trust Inc. 16,377 347,684
Unitrin Inc. 8,763 367,608
Waddell & Reed Financial Inc. 10,640 231,314
Washington Federal Inc. 10,132 261,000
Westamerica Bancorporation 4,217 222,405
Wilmington Trust Corp. 8,524 316,581
WR Berkley Corp. 10,771 434,933
------------
Total Banking & Financial Service 24,807,931
------------
Capital Good (5.69%)
AGCO Corp.* 11,393 227,746
Ametek Inc. 8,623 246,187
BorgWarner Inc. 7,085 316,983
Credence Systems Corp.* 12,393 82,661
Donaldson Co. Inc. 11,185 317,654
Dycom Industries Inc.* 6,233 160,313
Federal Signal Corp. 6,198 113,485
Flowserve Corp.* 7,138 163,746
Graco Inc. 8,819 275,153
Hubbell Inc. 7,716 332,945
Integrated Device Technology Inc.* 13,615 145,817
International Rectifier Corp.* 8,494 279,113
Intersil Corp. 6,747 117,600
Jacobs Engineering Group Inc.* 7,225 282,570
L-3 Communications Holdings Inc. 13,607 852,342
Modine Manufacturing Co 4,433 132,103
Packaging Corp. of America 13,619 311,875
Plexus Corp.* 4,194 49,447
Rayonier Inc. 6,311 292,641
Republic Services Inc. 20,462 571,913
SPX Corp. 9,744 355,559
Stericycle Inc.* 5,434 256,376
18
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Tecumseh Products Co 2,387 $ 98,225
Trinity Industries Inc. 6,052 167,943
Varian Inc.* 4,497 176,822
Varian Medical Systems Inc.* 17,706 586,954
Vishay Intertechnology Inc.* 20,725 264,244
York International Corp. 5,176 168,531
------------
Total Capital Good 7,346,948
------------
Consumer Cyclical (8.54%)
Abercrombie & Fitch Co 12,460 348,880
American Greetings* 8,658 208,398
Bandag Inc. 2,490 113,942
Barnes & Noble Inc.* 8,800 304,128
BJ's Wholesale Club Inc.* 9,013 228,209
Cabot Microelectronics Corp.* 3,201 106,881
Callaway Golf Co. 9,760 117,998
Carlisle Cos Inc. 3,986 243,345
Carmax Inc.* 1,500 29,370
Chico's FAS Inc.* 11,253 460,248
Claire's Stores Inc. 12,680 308,631
Copart Inc.* 11,492 249,606
Dollar Tree Stores Inc.* 14,886 349,970
DR Horton Inc. 30,057 929,964
Fastenal Co 9,801 615,307
Furniture Brands International Inc. 7,205 165,715
Gentex Corp. 9,951 341,717
Lear Corp. 8,840 476,299
Martin Marietta Materials Inc. 6,320 284,337
Michaels Stores Inc. 8,762 502,325
Mohawk Industries Inc.* 8,608 662,127
Neiman-Marcus Group Inc. 6,319 336,171
O'Reilly Automotive Inc.* 7,011 276,304
Pacific Sunwear Of California* 10,110 193,708
Payless Shoesource Inc.* 8,790 101,964
Petsmart Inc. 18,476 518,437
Pier 1 Imports Inc. 11,446 198,588
Rent-A-Center Inc.* 10,449 314,515
Ryland Group Inc. 3,193 281,463
Superior Industries International 3,455 109,524
Teleflex Inc. 5,127 224,204
Thor Industries Inc. 7,394 189,434
Timberland Co* 4,503 251,493
Visx Inc.* 6,242 126,588
Webster Financial Corp. 6,768 332,986
Williams-Sonoma Inc.* 15,168 530,728
------------
Total Consumer Cyclical 11,033,504
------------
Consumer Non-Durable (22.72)
99 Cents Only Stores* 2,459 31,844
Activision Inc.* 17,443 251,005
American Eagle Outfitters* 9,195 306,194
AnnTaylor Stores Corp.* 8,769 211,947
Applebees International Inc. 10,747 258,680
Apria Healthcare Group Inc.* 6,592 186,158
Banta Corp. 3,300 127,743
Barr Pharmaceuticals Inc.* 13,045 512,277
Belo Corp. 14,946 342,861
BISYS Group Inc./The* 11,347 161,127
Bob Evans Farms Inc. 4,476 112,079
Boyd Gaming Corp. 8,450 229,418
Brinker International Inc.* 12,369 376,636
Brink's Co./The 7,008 201,830
Caesars Entertainment Inc.* 39,149 604,852
Catalina Marketing Corp. 6,900 155,250
CBRL Group Inc. 6,392 203,777
Ceridian Corp.* 19,297 356,802
Cheesecake Factory/The* 6,677 276,294
Church & Dwight Inc. 5,291 237,936
Colonial BancGroup Inc./The 16,411 331,174
Community Health Systems Inc.* 12,722 318,050
Constellation Brands Inc.* 13,676 502,867
Covance Inc.* 8,102 303,420
Coventry Health Care Inc.* 11,639 591,028
Dentsply International Inc. 10,223 520,862
DeVry Inc.* 9,054 175,829
Dun & Bradstreet Corp.* 9,391 517,820
Education Management Corp.* 9,421 273,774
Edwards Lifesciences Corp.* 7,654 270,263
Emmis Communications Corp.* 7,150 137,638
Energizer Holdings Inc.* 10,521 434,938
Entercom Communications Corp.* 6,651 250,743
First Health Group Corp.* 12,189 185,882
Gilead Sciences Inc.* 27,641 1,910,822
Glatfelter 5,653 71,680
GTECH Holdings Corp. 15,262 358,657
Harman International Industries Inc. 8,511 822,929
Harte-Hanks Inc. 11,289 280,080
Health Net Inc.* 14,682 380,851
Henry Schein Inc.* 5,637 351,072
Herman Miller Inc. 9,405 236,912
HNI Corp. 7,523 294,902
Hormel Foods Corp. 17,912 478,250
International Speedway Corp. 6,874 363,635
Interstate Bakeries 5,793 29,950
IVAX Corp.* 31,716 614,022
JM Smucker Co/The 6,465 297,261
Krispy Kreme Doughnuts Inc.* 1,281 16,499
Lancaster Colony Corp. 4,619 190,672
Lee Enterprises Inc. 5,805 274,751
LifePoint Hospitals Inc.* 4,868 140,637
Lincare Holdings Inc.* 12,704 408,307
Longs Drug Stores Corp. 4,644 112,756
Mandalay Resort Group 8,382 568,635
Media General Inc. 3,039 176,839
Millennium Pharmaceuticals Inc.* 31,918 379,505
MPS Group Inc.* 13,489 120,457
Noble Energy Inc. 7,330 377,348
NSTAR 6,850 334,280
Omnicare Inc. 13,232 382,934
Outback Steakhouse Inc. 9,664 378,249
Pacificare Health Systems* 10,792 351,927
Par Pharmaceutical Cos Inc.* 594 24,378
Patterson Cos Inc.* 8,814 645,449
Perrigo Co 9,058 177,899
Price Communications Corp.* 5,600 84,112
Reader's Digest Association Inc./The 12,796 181,959
Regis Corp. 5,724 234,283
Renal Care Group Inc.* 8,803 278,791
Ross Stores Inc. 19,533 413,123
Ruby Tuesday Inc. 8,514 230,304
Ruddick Corp. 5,987 114,172
Saks Inc.* 17,639 209,551
Sensient Technologies Corp. 6,028 126,588
Sepracor Inc.* 10,965 543,974
Six Flags Inc.* 7,163 39,916
Smithfield Foods Inc.* 14,299 367,484
Steris Corp.* 9,018 206,332
Tootsie Roll Industries Inc. 3,199 98,657
Triad Hospitals Inc.* 9,730 309,317
Tupperware Corp. 7,548 128,844
Tyson Foods Inc. 45,544 750,565
UnitedHealth Group Inc. 6,797 449,486
Universal Corp./Richmond VA 3,247 146,537
Universal Health Services Inc. 7,489 337,379
Valassis Communications Inc.* 6,724 190,020
Valeant Pharmaceuticals International 10,732 251,773
Vertex Pharmaceuticals Inc.* 10,036 97,650
Viad Corp. 2,853 67,930
Washington Post 1,231 1,069,124
Westwood One Inc.* 12,911 289,723
Whole Foods Market Inc. 7,870 611,735
------------
Total Consumer Non-Durable 29,340,872
------------
Energy (6.16%)
ENSCO International Inc. 19,498 568,562
Equitable Resources Inc. 7,965 417,605
Grant Prideco Inc.* 15,684 286,547
Hanover Compressor Co* 9,505 109,593
Helmerich & Payne Inc. 6,485 167,702
Murphy Oil Corp. 11,865 895,926
National Fuel Gas Co 10,562 282,850
Newfield Exploration Co* 7,236 400,513
Patterson-UTI Energy Inc. 21,362 369,990
Pioneer Natural Resources Co 15,416 515,665
Plains Exploration & Production Co* 9,668 187,656
Pride International Inc.* 17,521 321,686
Questar Corp. 10,727 436,374
Sequa Corp.* 1,348 71,768
Smith International Inc.* 12,932 736,865
19
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Tidewater Inc. 7,824 $ 228,304
Weatherford International Ltd.* 16,960 785,926
Western Gas Resources Inc. 9,512 265,575
XTO Energy Inc. 32,436 909,505
------------
Total Energy 7,958,612
------------
Manufacturing (10.11%)
Advanced Fibre Communications Inc.* 11,228 192,785
Airgas Inc. 9,464 210,574
Albemarle Corp. 5,350 177,941
Arch Coal Inc. 6,801 219,196
Avocent Corp.* 6,168 175,850
Bowater Inc. 7,155 257,079
Cabot Corp. 7,974 317,684
CDW Corp. 10,752 628,992
Coach Inc.* 24,112 1,016,321
Cooper Cameron Corp.* 6,974 355,186
Crompton Corp. 14,371 99,016
Cytec Industries Inc. 5,058 243,998
Dean Foods Co* 20,154 747,109
Ferro Corp. 5,331 109,499
FMC Corp.* 4,558 210,716
FMC Technologies Inc.* 8,555 262,810
Harsco Corp. 5,277 236,832
Hillenbrand Industries Inc. 8,008 450,530
Hovnanian Enterprises Inc.* 1,119 38,516
IMC Global Inc.* 14,867 236,980
Kemet Corp.* 11,165 96,801
Kennametal Inc. 4,683 191,488
Lam Research Corp.* 17,203 370,725
Lennar Corp. 20,088 920,030
Longview Fibre Co* 6,597 81,671
Lubrizol Corp. 6,664 237,572
Lyondell Chemical Co 22,843 449,779
Macromedia Inc.* 8,693 168,470
McData Corp.* 5,108 26,357
Minerals Technologies Inc. 2,631 147,783
National-Oilwell Inc.* 10,987 328,511
Nordson Corp. 4,469 153,242
Olin Corp. 8,926 150,760
Peabody Energy Corp. 7,932 422,934
Pentair Inc. 12,756 424,009
Plantronics Inc. 5,933 230,497
Pogo Producing Co 8,242 362,483
Potlatch Corp. 3,713 159,288
Quantum Corp.* 23,251 54,640
RPM International Inc. 14,956 236,454
Scotts Co/The* 4,183 258,593
Sonoco Products Co 12,608 326,673
Storage Technology Corp.* 14,289 346,508
Toll Brothers Inc.* 9,471 420,418
Valspar Corp. 6,553 309,891
------------
Total Manufacturing 13,063,191
------------
Service (2.53%)
Alexander & Baldwin Inc. 5,401 166,297
Career Education Corp.* 12,936 398,946
Corinthian Colleges Inc.* 11,590 131,778
Fisher Scientific International* 6,404 364,836
Forest Oil Corp.* 7,488 195,062
ITT Educational Services Inc.* 5,899 203,928
Kelly Services Inc. 4,491 121,257
Manpower Inc. 11,444 483,280
Newport Corp.* 5,037 62,963
Rollins Inc. 5,827 136,119
Scholastic Corp.* 5,091 148,912
Sotheby's Holdings* 7,969 127,424
Tech Data Corp.* 7,359 277,140
United Rentals Inc.* 9,952 146,195
Varco International Inc.* 12,606 306,074
------------
Total Service 3,270,211
------------
Technology (10.23%)
3Com Corp.* 49,422 222,893
Acxiom Corp. 11,050 248,294
Adtran Inc. 10,221 273,718
Advent Software Inc.* 4,234 71,470
Alliant Techsystems Inc.* 5,000 289,700
Arrow Electronics Inc.* 14,534 314,516
ArvinMeritor Inc. 8,953 171,002
Ascential Software Corp.* 7,673 99,442
Atmel Corp.* 52,898 184,614
Avnet Inc.* 15,520 246,458
Beckman Coulter Inc. 7,965 444,367
Borders Group Inc. 10,098 241,342
Cadence Design Systems Inc.* 29,779 370,153
Cephalon Inc.* 7,188 337,908
ChoicePoint Inc.* 11,291 477,045
Cognizant Technology Solutions Corp.* 16,504 452,540
CommScope Inc.* 7,655 152,105
Cree Inc.* 3,313 82,858
CSG Systems International* 6,761 97,832
Cypress Semiconductor Corp.* 15,533 151,602
Cytyc Corp.* 14,142 338,842
Diebold Inc. 9,417 460,397
DST Systems Inc.* 10,777 487,551
Fair Isaac Corp. 557 15,000
Fairchild Semiconductor International Inc.* 8,009 98,751
Granite Construction Inc. 5,364 122,299
Harris Corp. 8,620 415,139
Imation Corp. 4,565 157,173
Internet Security Systems* 2,134 30,708
Jack Henry & Associates Inc. 11,578 209,678
Keane Inc.* 8,274 116,663
Korn/Ferry International* 4,859 86,344
Lattice Semiconductor Corp.* 7,067 32,226
Laureate Education Inc.* 5,628 192,421
Leucadia National Corp. 8,996 485,784
LTX Corp.* 7,686 39,506
Macrovision Corp.* 6,320 149,468
McAfee Inc.* 14,763 292,012
Mentor Graphics Corp.* 8,808 96,360
Microchip Technology Inc. 26,880 709,363
National Instruments Corp. 10,110 263,568
Polycom Inc.* 7,311 142,784
Powerwave Technologies Inc.* 13,454 81,397
Precision Castparts Corp. 8,346 459,781
Protein Design Labs Inc.* 12,106 221,903
Quanta Services Inc.* 10,058 64,572
Retek Inc.* 6,226 23,472
Reynolds & Reynolds Co/The 8,636 211,668
RF Micro Devices Inc.* 24,001 122,885
Sandisk Corp.* 17,675 412,711
Semtech Corp.* 5,534 100,110
Silicon Laboratories Inc.* 6,619 217,037
Sybase Inc.* 12,490 166,492
Synopsys Inc.* 20,223 322,759
Titan Corp.* 10,522 139,311
Transaction Systems Architects Inc.* 4,933 84,058
Triquint Semiconductor Inc.* 17,340 65,892
Wind River Systems Inc.* 10,374 112,558
Zebra Technologies Corp.* 9,204 526,009
------------
Total Technology 13,204,511
------------
Transportation (2.32%)
Alaska Air Group Inc.* 3,449 81,189
CH Robinson Worldwide Inc. 10,908 465,444
CNF Inc. 6,423 263,471
Expeditors International Washington Inc. 13,561 661,506
GATX Corp. 6,350 171,260
JB Hunt Transport Services Inc. 10,358 351,136
JetBlue Airways Corp.* 1,786 42,596
Overseas Shipholding Group 5,070 218,010
PepsiAmericas Inc. 17,970 356,525
Swift Transportation Co. Inc.* 10,800 196,344
Werner Enterprises Inc. 10,275 182,073
------------
Total Transportation 2,989,554
------------
Utility (6.33%)
AGL Resources Inc. 8,342 254,348
Allete Inc. 11,229 303,857
Alliant Energy Corp. 14,301 371,683
Aqua America Inc. 11,939 253,107
Aquila Inc.* 23,610 69,650
Black Hills Corp. 4,154 115,689
Blyth Inc. 5,869 176,129
Cincinnati Bell Inc.* 25,348 91,506
DPL Inc. 16,340 332,192
Duquesne Light Holdings Inc. 9,727 182,770
Energy East Corp. 18,865 459,740
Great Plains Energy Inc. 8,946 269,811
Hawaiian Electric Industries 10,266 264,965
20
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Idacorp Inc. 4,929 $ 143,582
MDU Resources Group Inc. 15,081 382,605
Micrel Inc.* 5,703 55,376
Northeast Utilities 16,452 315,385
OGE Energy Corp. 11,227 291,902
Oneok Inc. 13,202 311,039
Pepco Holdings Inc. 22,138 456,928
PNM Resources Inc. 7,797 166,622
Puget Energy Inc. 12,820 293,706
SCANA Corp. 14,303 542,656
Sierra Pacific Resources* 15,136 130,170
Telephone & Data Systems Inc. 7,419 572,005
Vectren Corp. 9,790 239,366
Westar Energy Inc. 10,717 225,057
WGL Holdings Inc. 6,283 180,008
Wisconsin Energy Corp. 15,312 501,440
WPS Resources Corp. 4,674 218,136
------------
Total Utility 8,171,430
------------
Total Common Stock (96,813,364) 121,186,764
------------
Par Value
---------
Short-Term Investments (3.65%)
$ 400,000 United States Treasury Bill 09/16/04 (b) $ 399,788
2,155,064 First American Prime Obligation Fund 2,155,064
2,155,064 First American Government Obligation Fund 2,155,064
------------
Total Short-Term Investments (Cost $4,709,916) 4,709,916
------------
Total Investments (Cost $101,523,280) (a) (97.49%) 125,896,680
Other Net Assets (2.51%) 3,240,007
------------
Net Assets (100.00%) $129,136,687
============
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $101,523,280.
At August 31, 2004, unrealized appreciation (depreciation) of
securities for federal income tax purpose is as follows:
Unrealized appreciation $ 32,073,244
Unrealized depreciation (7,699,844)
------------
Net unrealized appreciation $ 24,373,400
============
(b) At August 31, 2004, certain United States Treasury Bills with
a market value of $399,760 were pledged to cover margin
requirements for futures contracts.
(c) Futures contracts at August 31, 2004: (Contracts-$500 times
premium/delivery month/commitment)
UNREALIZED
APPRECIATION
S&P MidCap 400 Index: (DEPRECIATION)
27/Sept 04/Long $ (56,943)
============
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (94.85%)
Banking & Financial Service(14.92%)
Anchor Bancorp Wisconsin Inc. 1,149 $ 28,955
Bankunited Financial Corp.* 1,538 43,495
Boston Private Financial Holdings Inc. 1,401 34,128
Brookline Bancorp Inc. 3,028 45,844
Capital Automotive REIT 1,857 57,326
Cash America International Inc. 1,344 31,100
Chittenden Corp. 1,889 67,815
Coinstar Inc.* 1,000 19,720
Colonial Properties Trust 1,386 56,064
Commercial Federal Corp. 2,035 55,494
Commercial Net Lease Realty 2,652 47,338
Community First Bankshares Inc. 1,892 60,866
Delphi Financial Group 1,614 63,462
Dime Community Bancshares 1,914 31,830
Downey Financial Corp. 1,434 77,250
East-West Bancorp Inc. 2,406 87,169
Entertainment Properties Trust 1,184 44,222
Essex Property Trust Inc. 1,174 86,583
Financial Federal Corp.* 859 28,570
First Bancorp Puerto Rico 2,064 94,861
First Midwest Bancorp Inc./IL 2,389 82,253
First Republic Bank/San Francisco CA 813 36,414
FirstFed Financial Corp.* 870 39,672
Flagstar Bancorp Inc. 3,122 67,404
Fremont General Corp. 3,956 79,753
Gables Residential Trust 1,501 49,923
Glenborough Realty Trust Inc. 1,638 33,546
Gold Banc Corp. Inc. 2,056 31,868
Hudson United Bancorp 2,303 83,392
Investment Technology Group Inc.* 2,351 32,279
Irwin Financial Corp. 1,450 37,309
Kilroy Realty Corp. 1,457 55,147
LandAmerica Financial Group Inc. 971 41,792
Lexington Corp.orate Properties Trust 2,470 52,265
MacDermid Inc. 1,555 45,935
MAF Bancorp Inc. 1,677 70,149
Mercury Computer Systems Inc.* 1,010 27,290
Moog Inc.* 1,335 47,459
NCO Group Inc.* 1,615 41,279
New Century Financial Corp. 1,692 90,759
Oshkosh Truck Corp. 1,809 92,187
Philadelphia Consolidated Holding Co* 1,130 60,184
Piper Jaffray Cos* 1,018 43,876
Presidential Life Corp. 1,505 26,413
PRG-Schultz International Inc.* 2,943 16,687
ProAssurance Corp.* 1,496 50,505
Provident Bankshares Corp. 1,686 53,396
Rewards Network Inc.* 1,161 8,185
Riggs National Corp. 1,486 34,921
RLI Corp. 1,292 47,791
SCPIE Holdings Inc. 473 4,229
Selective Insurance Group 1,422 49,102
Shurgard Storage Centers Inc. 2,359 94,124
South Financial Group Inc./The 3,063 87,112
Southwest Bancorp of Texas Inc. 3,522 74,244
Sovereign Bancorp Inc. 533 11,651
Sterling Bancshares Inc. 2,297 30,872
Sterling Financial Corp./WA* 1,159 38,432
Stewart Information Services Corp. 928 33,909
SWS Group Inc. 787 11,530
Trustco Bank Corp. NY 3,818 49,634
UCBH Holdings Inc. 2,317 93,028
UICI 2,373 65,993
Umpqua Holdings Corp. 1,364 31,549
21
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
United Bankshares Inc. 2,234 $ 74,079
Whitney Holding Corp. 2,084 85,861
Wintrust Financial Corp. 1,038 56,965
World Acceptance Corp.* 952 21,258
Zenith National Insurance Corp. 982 42,442
-----------
Total Banking & Financial Service 3,498,139
-----------
Capital Good (7.41%)
Aeroflex Inc.* 3,808 38,385
Agilysys Inc. 1,491 23,230
Albany International Corp. 1,699 49,526
Applied Industrial Technologies Inc. 994 29,701
Astec Industries Inc.* 914 15,108
Audiovox Corp.* 1,050 17,063
Belden CDT Inc.* 2,364 47,351
Benchmark Electronics Inc.* 2,106 60,569
Briggs & Stratton Corp. 1,152 86,515
Brooks Automation Inc.* 2,287 28,427
CDI Corp. 1,007 21,147
CTS Corp. 1,721 19,619
Cymer Inc.* 1,886 50,394
EMCOR Group Inc.* 776 31,506
Exar Corp.* 1,952 26,918
Gardner Denver Inc.* 1,013 28,090
Ionics Inc.* 1,159 30,377
JLG Industries Inc. 2,241 31,038
Lawson Products 456 16,963
Lindsay Manufacturing Co 549 13,703
Manitowoc Co 1,371 45,462
Massey Energy Co 3,894 107,163
Milacron Inc.* 2,557 8,694
Paxar Corp.* 2,034 41,168
Polaris Industries Inc. 2,204 103,941
Radisys Corp.* 829 9,616
Robbins & Myers Inc. 666 12,721
Shaw Group Inc./The* 3,244 33,381
Steel Dynamics Inc. 2,530 79,341
Stewart & Stevenson Services 1,474 24,631
Technitrol Inc.* 2,070 36,763
Timken Co 4,588 106,671
Trimble Navigation Ltd.* 2,600 71,604
Triumph Group Inc.* 814 26,211
Ultimate Electronics Inc.* 680 1,605
Unisource Energy Corp. 1,752 43,152
URS Corp.* 2,204 54,439
Varian Semiconductor Equipment Assoc. Inc.* 1,863 52,164
Vicor Corp. 2,151 25,468
Wabash National Corp.* 1,723 45,711
Waste Connections Inc.* 2,239 65,715
Watts Water Technologies Inc. 1,655 42,136
Woodward Governor Co 579 34,045
-----------
Total Capital Good 1,737,432
-----------
Consumer Cyclical (9.85%)
ABM Industries Inc. 2,508 45,044
AO Smith Corp. 1,508 36,825
Apogee Enterprises Inc. 1,275 14,369
Aptargroup Inc. 1,875 85,200
Brown Shoe Co. Inc. 932 24,717
Burlington Coat Factory Warehouse Corp. 2,290 43,991
Cascade Natural Gas Corp. 520 10,832
Cato Corp./The 975 20,621
Christopher & Banks Corp. 1,875 33,019
Clarcor Inc. 1,302 57,679
Coachmen Industries Inc. 746 11,623
Cost Plus Inc.* 1,125 38,543
Department 56* 632 9,815
Dress Barn Inc.* 1,408 23,331
Dupont Photomasks Inc.* 838 13,090
ElkCorp 1,011 25,285
Enesco Group Inc.* 652 5,294
Fedders Corp. 1,460 5,037
Fred's Inc. 2,010 27,959
G&K Services Inc. 1,071 38,995
Griffon Corp.* 1,420 28,428
Group 1 Automotive Inc.* 1,153 31,673
Haggar Corp. 300 5,562
Hancock Fabrics Inc. /DE 863 9,588
Haverty Furniture Cos Inc. 1,157 19,588
HOT Topic Inc.* 2,397 36,195
Imagistics International Inc.* 812 26,349
Interface Inc.* 2,381 17,000
Jakks Pacific Inc.* 1,204 23,574
Jo-Ann Stores Inc.* 1,070 28,462
Kellwood Co 1,393 50,845
K-Swiss Inc. 1,813 35,372
Lennox International Inc. 3,019 49,089
Linens 'N Things Inc.* 2,240 56,179
Marcus Corp. 1,435 27,265
MDC Holdings Inc. 1,673 115,186
Meritage Corp.* 675 45,097
Midas Inc.* 700 11,095
Monaco Coach Corp. 1,505 32,342
Movie Gallery Inc. 1,719 30,925
National Presto Industries Inc. 327 13,309
NVR Inc.* 340 170,765
Oshkosh B'Gosh Inc. 590 12,018
Oxford Industries Inc. 832 33,663
PEP Boys-Manny Moe & Jack 3,075 48,893
PolyMedica Corp. 1,391 42,300
Prime Hospitality Corp.* 2,076 24,954
Quiksilver Inc.* 2,912 63,336
Reliance Steel & Aluminum Co 1,663 63,078
Russell Corp. 1,674 29,898
School Specialty Inc.* 975 34,564
Select Comfort Corp.* 1,867 29,648
ShopKo Stores Inc.* 1,351 22,859
Skyline Corp. 400 15,280
Stein Mart Inc.* 2,160 35,316
Texas Industries Inc. 1,086 47,567
Thor Industries Inc. 2,654 67,995
Too Inc.* 1,767 27,654
Toro Co 1,247 81,267
Tower Automotive Inc.* 2,705 8,061
Tractor Supply Co* 1,961 68,282
Winnebago Industries 1,700 53,380
Wolverine World Wide Inc. 2,040 49,205
X-Rite Inc. 987 13,818
-----------
Total Consumer Cyclical 2,308,193
-----------
Consumer Non-Durable(20.60%)
Triarc Cos 3,265 36,209
4Kids Entertainment Inc.* 613 10,685
Aaron Rents Inc. 2,547 52,315
Accredo Health Inc.* 2,488 54,363
Action Performance Cos Inc. 824 8,998
Advanced Marketing Services 884 10,988
Advanced Medical Optics Inc.* 1,513 56,314
Advo Inc. 1,557 46,056
American Italian Pasta Co. 860 23,263
American Medical Systems Holdings Inc.* 1,710 53,968
AMERIGROUP Corp.* 1,269 65,150
Angelica Corp. 425 9,924
Arbitron Inc.* 1,587 61,512
Argosy Gaming Co.* 1,511 50,513
Aztar Corp.* 1,772 44,052
Bally Total Fitness Holding Corp.* 1,577 6,198
Biolase Technology Inc. 1,245 11,840
Bowne & Co. Inc. 1,795 24,089
Casey's General Stores Inc. 2,565 42,348
CEC Entertainment Inc.* 1,917 64,545
Centene Corp.* 1,039 41,082
Childrens Place* 1,378 27,023
Ciber Inc.* 2,938 19,802
Coherent Inc.* 1,549 39,391
Cooper Cos Inc. 1,676 97,124
Corn Products International Inc. 1,871 86,347
CPI Corp. 380 5,039
Cross Country Healthcare Inc.* 1,640 24,321
Curative Health Services Inc.* 589 4,229
Datascope Corp. 759 27,385
Diagnostic Products Corp. 1,491 60,266
DIMON Inc. 2,076 11,916
eFunds Corp.* 2,455 36,457
Electronics Boutique Holdings Corp.* 1,154 35,232
Fleetwood Enterprises Inc.* 2,730 34,862
Flowers Foods Inc. 2,261 57,135
Fossil Inc.* 3,620 103,930
Genesco Inc.* 1,118 25,189
Global Imaging Systems Inc.* 1,177 32,956
Global Payments Inc. 1,943 86,191
Goody's Family Clothing Inc. 1,499 11,467
22
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Great Atlantic & Pacific Tea Co* 1,919 $ 12,397
Guitar Center Inc.* 1,249 51,159
Gymboree Corp.* 1,569 22,766
Haemonetics Corp./Mass* 1,291 40,821
Hain Celestial Group Inc.* 1,870 32,819
Heidrick & Struggles International Inc.* 972 25,914
Hibbett Sporting Goods Inc.* 1,203 21,859
Hologic Inc.* 1,046 19,372
Idexx Laboratories Inc.* 1,782 86,801
Ihop Corp. 1,098 38,101
Immucor Inc.* 1,485 30,368
Insituform Technologies Inc.* 1,227 21,828
Invacare Corp. 1,604 71,009
J Jill Group Inc./The* 1,026 18,560
J&J Snack Foods Corp.* 417 17,923
j2 Global Communications Inc.* 1,188 30,009
Jack in the Box Inc.* 1,872 52,865
JM Smucker Co/The 366 16,829
John H Harland Co 1,445 42,469
Lance Inc. 1,352 20,618
Landry's Restaurants Inc. 1,426 37,746
Lone Star Steakhouse & Saloon 1,092 25,323
Longs Drug Stores Corp. 1,914 46,472
Manhattan Associates Inc.* 1,548 36,130
Medicis Pharmaceutical 2,912 106,637
Men's Wearhouse Inc.* 1,829 51,212
Mentor Corp. 2,155 75,813
Merit Medical Systems Inc.* 1,295 22,157
MGI Pharma Inc.* 3,614 83,953
Multimedia Games Inc.* 1,431 20,664
Nash Finch Co 581 17,157
Natures Sunshine Prods Inc. 669 9,895
Nautilus Group Inc. 1,674 32,626
NBTY Inc.* 3,425 81,960
NDCHealth Corp. 1,848 25,373
Noven Pharmaceuticals Inc.* 1,200 22,788
OCA, Inc.* 2,332 11,917
O'Charleys Inc.* 966 15,688
Odyssey HealthCare Inc.* 1,878 33,278
On Assignment Inc.* 1,167 5,415
Osteotech Inc.* 821 3,473
Owens & Minor Inc. 2,015 49,368
Panera Bread Co* 1,547 53,805
Papa John's International Inc.* 832 23,887
Parexel International Corp.* 1,339 25,776
Pediatrix Medical Group Inc.* 1,257 88,116
Penford Corp. 400 6,816
Performance Food Group Co* 2,378 52,316
PF Chang's China Bistro Inc.* 1,312 54,999
Phillips-Van Heusen 1,578 31,812
Pinnacle Entertainment Inc.* 1,726 21,402
Possis Medical Inc.* 932 16,310
Pre-Paid Legal Services Inc.* 840 20,748
Priority Healthcare Corp.* 2,227 49,506
Province Healthcare Co* 2,532 49,475
Radiant Systems Inc.* 1,286 5,530
Ralcorp Holdings Inc.* 1,500 54,645
Rare Hospitality International Inc.* 1,744 47,158
RehabCare Group Inc.* 746 17,151
Republic Bancorp Inc./MI 3,285 48,322
Resmed Inc.* 1,735 82,881
Respironics Inc.* 1,787 95,068
Russ Berrie & Co. Inc. 958 18,489
Ryan's Restaurant Group Inc.* 2,086 28,662
Sanderson Farms Inc. 1,018 34,805
Savient Pharmaceuticals Inc.* 2,760 6,044
Schweitzer-Mauduit International Inc. 770 23,416
Shuffle Master Inc.* 1,170 38,774
Sierra Health Services* 1,332 57,436
Sola International Inc.* 1,640 31,652
Sonic Corp.* 3,046 68,078
Standard Register Co/The 1,313 13,721
Steak N Shake Co/The* 1,277 21,964
Stride Rite Corp. 1,831 18,090
Sunrise Senior Living Inc.* 1,050 37,191
Sybron Dental Specialties Inc.* 1,978 55,147
Thomas Nelson Inc. 657 12,483
United Stationers Inc.* 1,737 71,512
United Surgical Partners International Inc.* 1,442 52,071
UnitedHealth Group Inc. 1,836 121,415
Urban Outfitters Inc.* 4,124 125,163
Vital Signs Inc. 595 18,040
Volt Information Sciences Inc.* 731 19,459
Wet Seal Inc./The* 1,373 1,703
Wilson Greatbatch Technologies Inc.* 1,017 16,658
-----------
Total Consumer Non-Durable 4,827,902
-----------
Energy (5.61%)
Ashworth Inc.* 600 5,100
Atwood Oceanics Inc.* 711 29,698
Cabot Oil & Gas Corp. 1,688 68,212
Cal Dive International Inc.* 1,961 58,575
Cimarex Energy Co.* 2,123 63,541
Dril-Quip Inc.* 800 15,872
Energen Corp. 1,865 88,476
Evergreen Resources Inc.* 2,212 87,263
Frontier Oil Corp. 1,361 27,792
Headwaters Inc.* 1,723 52,741
Hydril* 1,174 41,971
Input/Output Inc.* 3,753 36,930
Lone Star Technologies* 1,476 45,343
Maverick Tube Corp.* 2,172 64,335
New Jersey Resources Corp. 1,414 57,762
Northwest Natural Gas Co 1,401 43,193
Oceaneering International Inc.* 1,280 40,986
Patina Oil & Gas Corp. 3,620 96,907
SEACOR Holdings Inc.* 951 41,055
Southern Union Co* 3,946 73,749
Southwest Gas Corp. 1,779 41,984
Spinnaker Exploration Co* 1,730 59,062
St Mary Land & Exploration Co 1,464 51,079
Stone Energy Corp.* 1,367 56,867
Veritas DGC Inc.* 1,715 40,182
W-H Energy Services Inc.* 1,408 26,639
-----------
Total Energy 1,315,314
-----------
Manufacturing(14.05%)
Actel Corp.* 1,218 17,600
Acuity Brands Inc. 2,185 50,277
Adaptec Inc.* 5,637 39,346
Alpharma Inc. 2,687 36,731
AM Castle & Co.* 759 6,907
Applica Inc.* 1,097 4,410
Arch Chemicals Inc. 1,194 32,596
Arctic Cat Inc. 1,013 26,460
Arqule Inc.* 1,302 6,406
AT Cross Co* 700 3,689
Baldor Electric Co. 1,689 37,496
Barnes Group Inc. 1,185 30,786
Bell Microproducts Inc.* 1,276 9,685
Brady Corp. 1,222 53,805
Brush Engineered Materials Inc.* 769 15,757
Buckeye Technologies Inc.* 1,716 18,310
Building Material Holding Corp. 640 14,477
CACI International Inc.* 1,495 72,792
Cambrex Corp. 1,239 26,725
Caraustar Industries Inc.* 1,296 20,568
CARBO Ceramics Inc. 816 52,510
Carpenter Technology 1,124 49,793
Carreker Corp.* 1,093 11,149
Century Aluminum Co.* 1,551 38,434
Champion Enterprises Inc.* 3,614 34,803
Chemed Corp. 622 34,017
Chesapeake Corp. 1,001 22,813
Cleveland-Cliffs Inc.* 548 36,579
Commercial Metals Co. 1,489 52,085
Commonwealth Industries Inc.* 769 6,475
Concord Camera Corp.* 1,377 2,313
Conmed Corp.* 1,525 37,286
CUNO Inc.* 869 49,429
Curtiss-Wright Corp. 1,077 58,858
Cyberonics Inc.* 1,199 20,527
Delta & Pine Land Co 1,965 49,931
Deltic Timber Corp. 590 21,830
Electro Scientific Industries Inc.* 1,341 27,745
Esterline Technologies Corp.* 1,086 34,459
Ethan Allen Interiors Inc. 1,913 68,371
Factset Research Systems Inc. 1,556 69,289
FEI Co* 1,705 32,378
Flir Systems Inc.* 1,725 100,688
Florida Rock Industries Inc. 2,219 100,965
Georgia Gulf Corp. 1,693 64,249
23
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Gerber Scientific Inc.* 1,029 $ 6,544
HB Fuller Co 1,462 38,494
ICU Medical Inc.* 655 17,154
IDEX Corp. 2,573 79,043
Intermagnetics General Corp.* 1,294 29,736
Intermet Corp. 1,230 3,936
K2 Inc.* 1,826 24,176
Kaydon Corp. 1,447 41,182
Kopin Corp.* 3,225 12,771
Kronos Inc./MA* 1,593 68,149
Kulicke & Soffa Industries Inc.* 2,607 14,286
La-Z-Boy Inc. 2,673 41,271
Libbey Inc. 640 12,096
Littelfuse Inc.* 1,132 41,227
Lydall Inc.* 745 7,815
Magnetek Inc.* 1,366 8,893
Material Sciences Corp.* 683 8,756
Meade Instruments Corp.* 955 2,951
Methode Electronics Inc. 1,654 21,800
Midway Games Inc.* 3,501 42,257
Mobile Mini Inc.* 664 18,094
Mueller Industries Inc. 1,795 70,526
Myers Industries Inc. 1,537 17,488
Network Equipment Technologies Inc.* 1,066 7,110
OM Group Inc.* 1,455 49,543
Omnova Solutions Inc.* 1,854 10,920
Pericom Semiconductor Corp.* 1,192 11,753
PolyOne Corp.* 4,408 31,297
Pope & Talbot Inc. 726 13,380
QRS Corp.* 735 4,631
Quaker Chemical Corp. 439 10,655
Quanex Corp. 843 38,845
Regal-Beloit Corp. 1,174 25,898
Regeneron Pharmaceuticals Inc.* 2,656 23,665
Rock-Tenn Co 1,817 26,165
Roper Industries Inc. 1,889 104,178
Roxio Inc.* 1,603 5,578
RTI International Metals Inc.* 966 14,384
Ryerson Tull Inc. 1,152 18,363
SBS Technologies Inc.* 723 7,418
Schulman A Inc. 1,547 31,033
Simpson Manufacturing Co. Inc. 1,245 70,343
Skywest Inc. 2,979 42,868
Standard Motor Products Inc. 916 13,090
Standard-Pacific Corp. 1,745 88,070
Standex International Corp. 564 13,694
Sturm Ruger & Co. Inc. 1,292 11,641
Susquehanna Bancshares Inc. 2,363 56,712
Thomas Industries Inc. 891 27,398
Tredegar Corp. 1,971 34,138
Universal Forest Products Inc. 881 26,333
Valmont Industries Inc. 1,224 24,162
Watsco Inc. 1,366 39,723
Wausau-Mosinee Paper Corp. 2,594 40,622
WD-40 Co 826 23,607
Wellman Inc. 1,480 10,937
WMS Industries Inc.* 1,545 31,224
Wolverine Tube Inc.* 570 6,544
Zale Corp.* 2,667 68,329
-----------
Total Manufacturing 3,294,695
-----------
Service (3.54%)
Administaff Inc.* 1,236 12,558
Avid Technology Inc.* 1,622 70,184
Bassett Furniture Industries Inc. 556 10,453
Central Parking Corp. 1,868 30,355
Hilb Rogal & Hobbs Co 1,850 62,974
Hooper Holmes Inc. 3,007 12,329
Hughes Supply Inc. 1,571 95,187
Imco Recycling Inc.* 739 7,671
Insurance Auto Auctions Inc.* 580 9,982
Labor Ready Inc.* 2,123 26,304
MAXIMUS Inc.* 1,113 32,377
Memberworks Inc.* 521 12,994
Rayovac Corp.* 1,767 40,623
Scansource Inc.* 643 38,606
SCP Pool Corp. 1,824 76,955
Spherion Corp.* 3,098 22,677
Startek Inc. 740 23,036
TBC Corp.* 1,135 24,698
Tetra Tech Inc.* 2,868 50,964
Tetra Technologies Inc.* 1,145 30,972
United Natural Foods Inc.* 2,000 49,520
Watson Wyatt & Co. Holdings 1,652 41,630
Waypoint Financial Corp. 1,712 47,166
-----------
Total Service 830,215
-----------
Technology (12.82%)
Advanced Energy Industries Inc.* 1,553 15,157
Alliance Semiconductor Corp.* 1,688 6,448
American Healthways Inc.* 1,671 45,117
Amsurg Corp.* 1,551 34,649
Analogic Corp. 700 28,861
Anixter International Inc. 1,885 66,484
Ansys Inc.* 788 35,539
Armor Holdings Inc.* 1,673 59,325
Artesyn Technologies Inc.* 1,796 15,284
Arthrocare Corp.* 1,091 26,184
ATMI Inc.* 1,601 30,163
Axcelis Technologies Inc.* 5,102 39,796
BEI Technologies Inc. 675 18,792
Bel Fuse Inc. 579 21,927
Biosite Inc.* 803 38,022
Black Box Corp. 903 32,725
Brooktrout Inc.* 598 5,107
C&D Technologies Inc. 1,187 19,111
Captaris Inc.* 1,544 7,566
Catapult Communications Corp.* 597 14,268
C-COR Inc.* 2,207 17,347
Cerner Corp.* 1,835 80,391
Checkpoint Systems Inc.* 1,928 29,113
Cognex Corp. 2,320 62,106
Cohu Inc. 984 15,528
Commonwealth Telephone Enterprises Inc.* 1,151 50,011
Concord Communications Inc.* 863 7,474
Consolidated Graphics Inc.* 696 28,432
CryoLife Inc.* 1,113 6,889
Cubic Corp. 1,371 33,576
Daktronics Inc.* 943 22,010
Dendrite International Inc.* 2,129 27,464
Digi International Inc.* 989 11,126
Dionex Corp.* 1,077 49,607
DRS Technologies Inc.* 1,287 46,821
DSP Group Inc.* 1,496 28,439
EDO Corp. 1,023 26,792
El Paso Electric Co* 2,442 37,460
Engineered Support Systems Inc. 1,336 57,729
Enzo Biochem Inc.* 1,447 19,969
EPIQ Systems Inc.* 854 13,647
ESS Technology* 1,795 12,242
Filenet Corp.* 1,998 39,241
GenCorp Inc. 2,284 27,591
General Communication* 2,942 25,242
Harmonic Inc.* 3,354 19,889
Helix Technology Corp. 1,211 16,482
Hutchinson Technology Inc.* 1,338 32,540
Hyperion Solutions Corp.* 2,001 73,157
Inamed Corp.* 1,820 96,715
Information Holdings Inc.* 1,072 29,094
Insight Enterprises Inc.* 2,482 39,712
Integra LifeSciences Holdings Corp.* 1,465 43,760
Internet Security Systems* 2,484 35,745
Inter-Tel Inc. 1,318 26,294
Intrado Inc.* 772 7,133
Invision Technologies Inc.* 899 42,253
Itron Inc.* 1,070 19,977
JDA Software Group Inc.* 1,393 13,763
Kaman Corp. 1,048 12,220
Keithley Instruments Inc. 720 11,592
Mantech International Corp.* 1,539 24,655
Mapinfo Corp.* 1,036 9,977
Micros Systems Inc.* 950 44,213
Microsemi Corp.* 3,051 32,920
MRO Software Inc.* 1,139 10,809
Netegrity Inc.* 1,943 11,794
NYFIX Inc.* 1,527 8,093
Park Electrochemical Corp. 1,018 22,549
PC-Tel Inc.* 942 8,563
Pegasus Solutions Inc.* 1,159 14,522
Pharmaceutical Product Development Inc.* 2,885 97,946
Phoenix Technologies Ltd.* 1,166 6,285
Photon Dynamics Inc.* 781 17,549
24
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Photronics Inc.* 1,589 $ 22,802
Pinnacle Systems Inc.* 3,188 11,923
Planar Systems Inc.* 664 7,543
Power Integrations Inc.* 1,578 31,686
Progress Software Corp.* 1,849 37,239
Rogers Corp.* 850 39,432
Rudolph Technologies Inc.* 760 12,312
SCM Microsystems Inc.* 700 1,995
Serena Software Inc.* 2,279 35,666
Skyworks Solutions Inc.* 7,682 63,991
Sourcecorp* 750 16,613
SPSS Inc.* 804 11,095
Standard Microsystems Corp.* 864 13,712
Steel Technologies Inc. 654 13,139
Supertex Inc.* 590 10,065
SurModics Inc.* 809 19,351
Symmetricom Inc.* 2,100 16,884
Take-Two Interactive Software Inc.* 2,303 75,423
Talx Corp. 627 13,330
Techne Corp.* 2,109 81,703
Teledyne Technologies Inc.* 1,666 40,234
Theragenics Corp.* 1,389 5,209
THQ Inc.* 1,990 37,790
Three-Five Systems Inc.* 988 2,895
Tollgrade Communications Inc.* 630 5,235
Ultratech Inc.* 1,126 17,926
Veeco Instruments Inc.* 1,520 29,427
Verity Inc.* 1,734 19,854
Viasat Inc.* 1,352 26,797
Viasys Healthcare Inc.* 1,579 22,974
WebEx Communications Inc.* 2,260 43,844
Websense Inc.* 1,177 45,138
Zix Corp.* 1,342 5,569
-----------
Total Technology 3,005,769
-----------
Transportation (2.88%)
AAR Corp.* 1,478 15,815
Arkansas Best Corp. 1,281 44,130
EGL Inc.* 2,382 57,716
FLYi Inc.* 2,240 10,394
Forward Air Corp.* 1,104 40,108
Frontier Airlines Inc.* 1,612 14,508
Heartland Express Inc. 3,849 67,511
Kansas City Southern* 3,215 48,225
Kirby Corp.* 1,258 44,709
Knight Transportation Inc.* 2,890 57,482
Landstar System Inc.* 1,529 80,242
Mesa Air Group Inc.* 1,462 9,364
Offshore Logistics Inc.* 1,161 34,598
USF Corp. 1,422 48,718
Yellow Roadway Corp.* 2,464 101,123
-----------
Total Transportation 674,643
-----------
Utility (3.17%)
American States Water Co. 745 18,513
Atmos Energy Corp. 2,685 67,904
Avista Corp. 2,483 44,396
Boston Communications Group* 889 6,979
Central Vermont Public Service Corp. 573 12,062
CH Energy Group Inc. 808 36,853
Cleco Corp. 2,440 42,871
Green Mountain Power Corp. 231 6,115
Laclede Group Inc./The 1,063 30,678
NUI Corp. 744 9,955
Piedmont Natural Gas Co 1,960 85,064
Remington Oil & Gas Corp.* 1,386 34,317
Southwestern Energy Co* 1,851 65,840
Swift Energy Co* 1,422 28,938
UGI Corp. 2,605 88,987
UIL Holdings Corp. 744 36,516
Unit Corp.* 2,346 73,664
Vintage Petroleum Inc. 3,319 54,432
-----------
Total Utility 744,084
-----------
Total Common Stock (18,245,429) 22,236,386
-----------
Par Value
---------
Short-Term Investments (4.90%)
$ 600,000 United States Treasury Bills 09/16/04 (b) $ 599,678
274,250 First American Prime Obligation Fund 274,250
274,250 First American Government Obligation Fund 274,250
-----------
Total Short-Term Investments (Cost $1,148,178) 1,148,178
-----------
Total Investments (Cost $19,393,607)(a) (99.75%) 23,384,564
Other Net Assets (0.25%) 58,123
-----------
Net Assets (100.00%) $23,442,687
===========
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $19,393,607.
At August 31, 2004, unrealized appreciation (depreciation) of
securities for federal income tax purpose is as follows:
Unrealized appreciation $ 5,919,573
Unrealized depreciation (1,928,616)
-----------
Net unrealized appreciation $ 3,990,957
===========
(b) At August 31, 2004, certain United States Treasury Bills with
a market value of $199,880 were pledged to cover margin
requirements for futures contracts.
(c) Futures contracts at August 31, 2004: (Contracts-$500 times
premium/delivery month/commitment)
UNREALIZED
APPRECIATION
Russell 2000 Stock Index: (DEPRECIATION)
3/Sept 04/Long $ 8,181
===========
See accompanying notes to financial statements
25
- --------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2004
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (81.13%)
Banking & Financial Service (25.09)
Bank & Bank Holding Co(9.95%)
Bank of America Corp. 7,964 $ 358,221
Citigroup Inc. 8,411 391,784
Fifth Third Bancorp 6,223 309,968
Wells Fargo & Co 6,697 393,449
-----------
1,453,422
-----------
Finance Company (.79%)
National Commerce Financial Corp. 3,437 115,621
Financial Service (.84%)
MBNA Corp. 5,095 122,993
Insurance (8.21%)
Aetna Inc. 1,446 133,972
American International Group Inc. 3,425 243,997
Fidelity National Financial Inc. 2,394 90,134
Marsh & McLennan Cos Inc. 7,000 312,830
Metlife Inc. 4,828 179,843
Stancorp Financial Group Inc. 2,325 168,563
XL Capital Ltd. 1,001 70,270
-----------
1,199,609
-----------
Real Estate (5.30%)
Annaly Mortgage Management Inc. 6,008 107,243
Boston Properties Inc. 1,446 80,224
iStar Financial Inc. 3,004 120,881
Kimco Realty Corp. 1,613 81,166
Mills Corp./The 3,104 158,118
Realty Inc.ome Corp. 3,004 132,506
SL Green Realty Corp. 1,880 94,000
-----------
774,138
-----------
Total Banking & Financial Service 3,665,783
-----------
Capital Good (2.06%)
Conglomerate (1.19%)
3M Co 2,112 173,944
Machinery - Industrial (.87%)
Caterpillar Inc. 1,746 126,934
-----------
Total Capital Good 300,878
-----------
Consumer Cyclical (8.05%)
Auto & Truck (.47%)
ITT Industries Inc. 867 68,580
Housing (1.24%)
Masco Corp. 3,104 99,732
Stanley Works/The 1,880 81,329
-----------
181,061
-----------
Retail - General (5.71%)
Gap Inc./The 4,450 83,393
Lowe's Cos Inc. 4,650 231,105
Sears Roebuck and Co 1,880 71,966
Target Corp. 4,539 202,349
TJX Cos Inc. 4,650 98,394
Wal-Mart Stores Inc. 2,781 146,475
-----------
833,682
-----------
Textile & Apparel (.63%)
Liz Claiborne Inc. 2,436 92,739
-----------
Total Consumer Cyclical 1,176,062
-----------
Consumer Non-Durable (18.29%)
Apparel (.43%)
Ross Stores Inc. 2,992 63,281
Communications & Media (2.25%)
McGraw-Hill Cos Inc./The 4,339 328,592
Cosmetic & Soap (1.35%)
Clorox Co. 1,001 52,893
Procter & Gamble Co 2,580 144,403
-----------
197,296
-----------
Drugs (5.14%)
AmerisourceBergen Corp. 2,303 124,592
Baxter International Inc. 8,411 256,872
Pfizer Inc. 11,300 369,171
-----------
750,635
-----------
Food Beverage & Tobacco (6.23%)
Fortune Brands Inc. 1,446 105,775
Reynolds American Inc. 2,446 184,673
Sara Lee Corp. 10,000 221,300
Simon Property Group Inc. 1,780 99,591
Tyson Foods Inc. 12,572 207,187
Vornado Realty Trust 1,446 90,751
-----------
909,277
-----------
Liquor (.88%)
Anheuser-Busch Cos Inc. 2,436 128,621
Restaurant (1.86%)
McDonald's Corp. 10,068 272,037
Retail - Food and Drugs (.15%)
Longs Drug Stores Corp. 900 21,852
-----------
Total Consumer Non-Durable 2,671,591
-----------
Energy (8.29%)
Energy Raw Material (.50%)
Baker Hughes Inc. 1,880 73,940
Miscellaneous (.63%)
Valero Energy Corp. 1,393 91,980
Oil & Gas - Domestic (3.39%)
Apache Corp. 3,326 148,639
ConocoPhillips 2,974 221,355
Devon Energy Corp. 1,926 124,824
-----------
494,818
-----------
Oil & Gas -International (2.86%)
ChevronTexaco Corp. 1,270 123,825
Exxon Mobil Corp. 5,036 232,160
GlobalSantaFe Corp. 2,225 62,033
-----------
418,018
-----------
Oil & Gas - Service (.91%)
ENSCO International Inc. 2,770 80,773
Tidewater Inc. 1,780 51,940
-----------
132,713
-----------
Total Energy 1,211,469
-----------
Manufacturing (5.31%)
Building & Housing (.56%)
Pulte Homes Inc. 1,392 82,058
Chemical (1.24%)
Praxair Inc. 2,992 121,415
Sherwin-Williams Co/The 1,446 59,720
-----------
181,135
-----------
Consumer Durable (1.43%)
Coach Inc.* 3,560 150,054
Leggett & Platt Inc. 2,225 59,830
-----------
209,884
-----------
Metal & Mineral (.13%)
Worthington Industries 900 18,315
Non Ferrous Metal (1.03%)
Alcoa Inc. 4,650 150,567
Paper & Forest Product (.92%)
Plum Creek Timber Co. Inc. (REIT) 4,050 133,812
-----------
Total Manufacturing 775,771
-----------
Service (3.18%)
Business (1.15%)
Moody's Corp. 2,446 167,698
Consumer (2.03%)
First Data Corp. 7,009 296,130
-----------
Total Service 463,828
-----------
26
- --------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Technology (3.90%)
Business - Mechanics & Sftwr (.56%)
Pitney Bowes Inc. 1,880 $ 81,893
Electronic (1.43%)
Hewlett-Packard Co 4,650 83,189
Intel Corp. 5,863 124,823
-----------
208,012
-----------
Office Equipment (.48%)
Diebold Inc. 1,446 70,695
Software (1.43%)
Microsoft Corp. 4,873 133,033
Reynolds & Reynolds Co/The 3,104 76,079
-----------
209,112
-----------
Total Technology 569,712
-----------
Utility (6.96%)
Electric (1.44%)
Consolidated Edison, Inc. 5000 210,080
Electronic (2.35%)
Calpine Corp.* 35,041 119,840
Cinergy Corp. 1,780 72,054
SCANA Corp. 4,000 151,760
-----------
343,654
-----------
Energy (1.63%)
Entergy Corp. 1,446 87,194
Exelon Corp. 2,546 93,820
Progress Energy Inc. 1,279 56,135
-----------
237,149
-----------
Telephone (1.54%)
SBC Communications Inc. 8,744 225,508
-----------
Total Utility 1,016,391
-----------
Total Common Stock (9,499,462) 11,851,485
-----------
* Non-Income Producing Security
Par Value
---------
Short-Term Investments (20.22%)
$ 2,200,000 United States Treasury Bills 09/16/04 (b) 2,198,831
377,561 First American Prime Obligation Fund 377,561
377,561 First American Government Obligation Fund 377,561
-----------
Total Short-Term Investments (Cost $2,953,953) 2,953,953
-----------
Total Investments (Cost $12,453,415)(a) (101.35%) 14,805,438
Net Liabilities (-1.35%) (198,669)
-----------
Net Assets (100.00%) $14,606,769
===========
(a) Aggregate cost for federal income tax purposes is $12,453,415.
At August 31, 2004, unrealized appreciation (depreciation) of
securities for federal income tax purpose is as follows:
Unrealized appreciation $ 2,628,768
Unrealized depreciation (276,745)
-----------
Net unrealized appreciation $ 2,352,023
===========
(b At August 31, 2004, certain United States Treasury Bills with
a market value of $299,820 were pledged to cover margin
requirements for futures contracts.
(c) Futures contracts at August 31, 2004: (Contracts-$500 times
premium/delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
Russell 2000 Index:
9/Sept 04/Long $ 46,660
===========
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 8/31/2004
INCOME FUND
COMPANY SHARES VALUE
- --------------------------------------------------------------------------------
Common Stock (98.74%)
Banking and Financial Service (31.97%)
Bank & Bank Holding Co (15.98%)
ABN AMRO Holding NV ADR 2,987 $ 63,593
Banco Bilbao Vizcaya Argentaria SA ADR 5,914 79,248
Banco Santander Central Hispano SA ADR 8,958 88,415
Barclays PLC ADR 5,651 211,234
Credit Suisse Group ADR 2,253 70,429
Deutsche Bank AG 1,049 72,066
ING Groep NV ADR 3,394 82,949
UBS AG ADR 2,175 146,791
----------
814,725
----------
Finance Company (5.80%)
HSBC Holdings PLC ADR 3,800 295,944
Financial Service (4.76%)
Allianz AG ADR 6,557 63,537
BNP Paribas ADR 3,352 101,374
Lloyds TSB Group Plc ADR 2,555 77,825
----------
242,736
----------
Insurance (4.86%)
Aegon NV ADR 2,466 26,485
AXA ADR 4,884 100,366
Royal & Sun Alliance Insurance Group ADR 1,527 9,941
Swiss Reinsurance ADR 860 48,627
Vivendi Universal SA* 1,850 46,010
Zurich Financial Services AG ADR 1,165 16,239
----------
247,668
----------
Investment Co (.57%)
Prudential PLC ADR 1,823 29,241
----------
Total Banking & Financial Service 1,630,314
----------
Consumer Cyclical (1.26%)
Auto & Truck (1.26%)
DaimlerChrysler AG 1,535 64,117
----------
Total Consumer Cyclical 64,117
----------
Consumer Non-Durable (22.69%)
Communications & Media(.56%)
Telefonaktiebolaget LM Ericsson* 1,047 28,311
27
- --------------------------------------------------------------------------------
EUROPEAN GROWTH & PORTFOLIO OF INVESTMENTS 8/31/2004
INCOME FUND CONTINUED
COMPANY SHARES VALUE
- --------------------------------------------------------------------------------
Consumer Product (1.28%)
Unilever NV ADR 1,088 $ 65,345
Cosmetic & Soap (.73%)
L'Oreal SA ADR 2,805 37,260
Drugs (14.11%)
AstraZeneca Plc ADR 2,965 137,961
GlaxoSmithKline PLC ADR 5,444 223,966
Novartis AG ADR 4,557 211,673
Roche Holding AG ADR 1,508 145,978
----------
719,578
----------
Food Beverage & Tobacco (3.43%)
Nestle SA ADR 2,965 175,076
Retail - Food and Drugs (2.58)
Diageo PLC ADR 1,535 76,673
Koninklijke Ahold NV ADR 8,779 55,132
----------
131,805
----------
Total Consumer Non-Durable 1,157,375
----------
Energy (19.74)
Miscellaneous (4.38%)
Total SA 2,279 223,319
Oil & Gas - International (13.02)
BP PLC ADR 6,176 331,651
Royal Dutch Petroleum Co ADR 3,920 198,705
Shell Transport & Trading Co. PLC ADR 3,019 133,742
----------
664,098
----------
Oil & Gas - Service (2.34%)
ENI SpA ADR 1,161 119,444
----------
Total Energy 1,006,861
----------
Manufacturing (4.11%)
Chemical (1.76%)
BASF AG ADR 1,000 54,390
Bayer AG ADR 1,355 35,162
----------
89,552
----------
Diversified (2.35%)
Siemens AG ADR 1,735 119,802
----------
Total Manufacturing 209,354
----------
Technology (7.51%)
Electronic (.95%)
Koninklijke Philips Electronics NV ADR 2,084 48,349
Software (1.07%)
SAP AG ADR 1,500 54,690
Telecommunication (5.49%)
Deutsche Telekom AG ADR* 4,425 77,570
Nokia OYJ ADR 11,328 134,577
Telecom Italia SpA ADR 2,247 67,432
----------
279,579
----------
Total Technology 382,618
----------
Utility(11.46%)
Electronic (1.60%)
E.ON AG ADR 1,145 81,581
Telephone (9.24%)
Alcatel SA ADR* 1,572 18,440
BT Group PLC ADR 1,560 51,792
Telefonica SA ADR 2,983 128,030
Vodafone Group PLC ADR 11,910 272,739
----------
471,001
----------
Water (.62%)
Suez SA ADR 1,637 31,856
----------
Total Utility 584,438
----------
Total Common Stock (5,211,533) 5,035,077
----------
Par Value
---------
Short-Term Investments (0.91%)
$ 23,210 First American Government Obligation Fund 23,210
23,210 First American Prime Obligation Fund 23,210
----------
Total Short-Term Investments (Cost $46,420) 46,420
----------
Total Investments (Cost $5,257,953)(a) (99.65%) 5,081,497
Other Net Assets (0.35%) 17,957
----------
Net Assets (100.00%) $5,099,454
==========
* Non-Income Producing Security
** Unsponsored ADR
ADR - American Depository Receipts
(a) Aggregate cost for federal income tax purposes is $5,257,953.
At August 31, 2004, unrealized appreciation (depreciation) of
securities for federal income tax purpose is as follows:
Unrealized appreciation $ 535,338
Unrealized depreciation (711,794)
----------
Net unrealized depreciation $(176,456)
==========
See accompanying notes to financial statements
- --------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (99.20%)
Capital Good (.47%)
Intersil Corp. 1,947 $ 33,936
Molex Inc. 1,429 41,255
-----------
Total Capital Good 75,191
-----------
Consumer Cyclical (4.63%)
Bed Bath & Beyond Inc.* 5,835 218,346
Costco Wholesale Corp. 3,598 148,130
Dollar Tree Stores Inc.* 1,584 37,240
Fastenal Co 1,054 66,170
Gentex Corp. 1,165 40,006
Paccar Inc. 2,859 172,083
Petsmart Inc. 2,060 57,804
-----------
Total Consumer Cyclical 739,779
-----------
Consumer Non-Durable (16.62%)
Biomet Inc. 5,009 228,661
Cintas Corp. 3,030 124,260
Comcast Corp.* 13,616 383,563
Dentsply International Inc. 1,174 59,815
EchoStar Communications Corp.* 3,532 108,256
Express Scripts Inc.* 1,022 64,590
First Health Group Corp.* 1,378 21,015
Gilead Sciences Inc.* 2,974 205,593
Henry Schein Inc.* 593 36,932
28
- --------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2004
CONTINUED
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
IAC/InterActiveCorp* 10,583 $ 241,398
Lincare Holdings Inc.* 1,389 44,642
Medimmune Inc.* 3,923 93,642
Millennium Pharmaceuticals Inc.* 4,879 58,011
Patterson Cos Inc.* 953 69,788
Paychex Inc. 5,208 154,521
Ross Stores Inc. 2,199 46,509
Staples Inc. 4,953 142,052
Starbucks Corp.* 8,010 346,352
Teva Pharmaceutical Industries Ltd. 5,960 162,410
Whole Foods Market Inc. 869 67,547
-----------
Total Consumer Non-Durable 2,659,557
-----------
Energy (.28%)
Patterson-UTI Energy Inc. 2,586 44,790
-----------
Total Energy 44,790
-----------
Manufacturing (6.97%)
Applied Materials Inc.* 12,679 201,469
CDW Corp. 1,278 74,763
Citrix Systems Inc. 2,835 45,105
Comverse Technology Inc.* 2,942 51,514
Dell Inc.* 13,559 472,396
Garmin Ltd. 1,391 54,124
Lam Research Corp.* 1,871 40,320
Novellus Systems Inc.* 2,183 53,331
Sigma-Aldrich Corp. 968 55,457
Smurfit-Stone Container Corp.* 3,759 66,685
-----------
Total Manufacturing 1,115,164
-----------
Service (2.97%)
Apollo Group Inc.* 2,590 202,020
Career Education Corp.* 1,414 43,608
Fiserv Inc.* 3,595 125,034
Lamar Advertising Co* 1,224 53,477
Mercury Interactive Corp.* 1,482 51,144
-----------
Total Service 475,283
-----------
Technolocy (66.31%)
Adobe Systems Inc. 3,451 158,297
Altera Corp.* 7,747 146,573
Amazon.Com Inc.* 3,964 151,187
American Power Conversion Corp.* 2,947 49,510
Amgen Inc.* 8,601 509,953
Apple Computer Inc.* 7,500 258,675
ATI Technologies Inc.* 3,325 48,080
BEA Systems Inc.* 5,469 36,095
Biogen Idec Inc.* 5,407 320,797
Broadcom Corp.* 3,324 90,213
Cephalon Inc.* 744 34,975
Check Point Software Technologies* 3,587 62,916
Chiron Corp.* 3,814 161,637
Cisco Systems Inc.* 34,087 639,472
Compuware Corp.* 3,451 15,633
eBay Inc.* 7,093 613,828
Electronic Arts Inc.* 4,382 218,136
Flextronics International Ltd.* 8,478 105,212
Genzyme Corp.* 4,086 220,644
Intel Corp. 32,021 681,727
Intuit Inc.* 3,606 152,498
Invitrogen Corp.* 742 36,729
JDS Uniphase Corp.* 24,075 74,873
Juniper Networks Inc.* 3,957 90,576
Kla-Tencor Corp.* 3,459 129,228
Level 3 Communications Inc.* 9,285 24,327
Linear Technology Corp. 6,070 217,124
Marvell Technology Group Ltd.* 3,356 77,591
Maxim Integrated Products Inc. 6,684 290,286
Microchip Technology Inc. 2,516 66,397
Microsoft Corp. 52,410 1,430,793
Network Appliance Inc.* 5,366 107,696
Nextel Communications Inc.* 19,726 457,446
Nvidia Corp.* 2,714 33,816
Oracle Corp.* 31,200 311,064
Peoplesoft Inc.* 7,668 133,423
Pixar* 808 62,798
QLogic Corp.* 1,377 35,953
Qualcomm Inc. 28,044 1,067,074
Research In Motion Ltd.* 2,188 131,761
Sandisk Corp.* 2,024 47,260
Sanmina-SCI Corp.* 8,179 56,599
Siebel Systems Inc.* 8,620 65,598
Sun Microsystems Inc.* 21,116 81,085
Symantec Corp.* 4,733 226,995
Synopsys Inc.* 2,087 33,309
Tellabs Inc.* 3,436 31,165
VeriSign Inc.* 3,318 57,600
Veritas Software Corp.* 6,356 106,272
Xilinx Inc. 6,651 182,437
Yahoo! Inc.* 9,304 265,259
-----------
Total Technology 10,608,592
-----------
Transportation (.95%)
CH Robinson Worldwide Inc. 1,223 52,185
Expeditors International Washington Inc. 1,500 73,170
Ryanair Holdings plc* 880 27,324
-----------
Total Transportation 152,679
-----------
Total Common Stock ($20,786,982) 15,871,035
-----------
Par Value
---------
Short-Term Investments (2.83%)
$ 100,000 United States Treasury Bills 11/04/04 $ 99,754
176,859 First American Prime Obligation Fund 176,859
176,859 First American Government Obligation Fund 176,859
-----------
Total Short-Term Investments (Cost $453,472) 453,472
-----------
Total Investments (Cost $21,240,454) (a) (102.03%) 16,324,507
Other Net Liabilities (-2.03%) (325,275)
-----------
Net Assets (100.00%) $15,999,232
===========
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $21,240,454.
At August 31, 2004, unrealized appreciation (depreciation) of
securities for federal income tax purpose is as follows:
Unrealized appreciation $ 1,759,678
Unrealized depreciation (6,675,625)
-----------
Net unrealized depreciation $(4,915,947)
===========
See accompanying notes to financial statements
29
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
AUGUST 31, 2004
- --------------------------------------------------------------------------------
California
California Tax- Insured California Tax-
Free Money Intermediate Free Income
Market Fund Fund Fund
-----------------------------------------------------------
ASSETS
Investments at market value (identified cost $92,216,653
$24,921,612, $141,986,465, $28,790,582, $40,110,386,
and $16,131,357 respectively)(Note 1) $ 92,216,653 $ 26,005,683 $156,968,058
Cash 924,189 88,156 18,005
Interest receivable 136,870 297,013 1,578,436
Receivable for fund shares sold 69,519 -- 3,222
-----------------------------------------------------------
Total Assets 93,347,231 26,390,852 158,567,721
-----------------------------------------------------------
LIABILITIES
Payable to Investment Advisor 24,766 9,734 64,762
Accrued 12b-1 fee - K Shares -- -- --
Accrued shareholder service fee - K Shares -- -- --
Accrued expenses 20,584 7,761 35,767
Payable for fund shares redeemed 120,784 463 6,778
Distributions payable 1,267 19,886 133,103
-----------------------------------------------------------
Total Liabilities 167,401 37,844 240,410
-----------------------------------------------------------
NET ASSETS: $ 93,179,830 $ 26,353,008 $158,327,311
===========================================================
Net Assets at August 31, 2004 consist of
Paid-in capital $ 93,183,088 $ 25,211,121 $140,375,363
Undistributed net investment income -- 3,395 329,035
Accumulated net realized gains (losses) (3,258) 54,421 2,641,320
Unrealized appreciation (depreciation) of investments -- 1,084,071 14,981,593
-----------------------------------------------------------
$ 93,179,830 $ 26,353,008 $158,327,311
===========================================================
NET ASSETS
Direct Shares $ 93,179,830 $ 26,353,008 $158,327,311
===========================================================
K Shares $ -- $ -- $ --
===========================================================
SHARES OUTSTANDING
Direct Shares (no par value, unlimited shares authorized) 93,246,459 2,400,618 12,392,291
===========================================================
K Shares (no par value, unlimited shares authorized) -- -- --
===========================================================
NET ASSET VALUE PER SHARE
Direct Shares $ 1.00 $ 10.98 $ 12.78
===========================================================
K Shares $ -- $ -- $ --
===========================================================
U.S. The United Short-Term U.S
Government States Treasury Government
Securities Fund Trust Bond Fund
-------------------------------------------------------
ASSETS
Investments at market value (identified cost $92,216,653
$24,921,612, $141,986,465, $28,790,582, $40,110,386,
and $16,131,357 respectively)(Note 1) $ 28,901,168 $ 40,110,386 $ 16,102,794
Cash 53,859 32,187 16,332
Interest receivable 213,658 -- 178,372
Receivable for fund shares sold 15,740 21,332 47,960
-------------------------------------------------------
Total Assets 29,184,425 40,163,905 16,345,458
-------------------------------------------------------
LIABILITIES
Payable to Investment Advisor 11,501 6,813 1,362
Accrued 12b-1 fee - K Shares 631 386 488
Accrued shareholder service fee - K Shares 1,669 1,029 1,553
Accrued expenses 15,254 13,954 7,954
Payable for fund shares redeemed -- 54,641 75
Distributions payable 12,401 449 597
-------------------------------------------------------
Total Liabilities 41,456 77,272 12,029
-------------------------------------------------------
NET ASSETS: $ 29,142,969 $ 40,086,633 $ 16,333,429
=======================================================
Net Assets at August 31, 2004 consist of
Paid-in capital $ 28,783,447 $ 40,084,229 $ 16,354,082
Undistributed net investment income 3,018 -- 1,294
Accumulated net realized gains (losses) 245,918 2,404 6,616
Unrealized appreciation (depreciation) of investments 110,586 -- (28,563)
-------------------------------------------------------
$ 29,142,969 $ 40,086,633 $ 16,333,429
=======================================================
NET ASSETS
Direct Shares $ 27,453,976 $ 39,143,090 $ 15,098,044
=======================================================
K Shares $ 1,688,993 $ 943,543 $ 1,235,385
=======================================================
SHARES OUTSTANDING
Direct Shares (no par value, unlimited shares authorized) 2,590,102 39,140,478 1,496,561
=======================================================
K Shares (no par value, unlimited shares authorized) 158,591 943,567 122,372
=======================================================
NET ASSET VALUE PER SHARE
Direct Shares $ 10.60 $ 1.00 $ 10.09
=======================================================
K Shares $ 10.65 $ 1.00 $ 10.10
=======================================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
30
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
AUGUST 31, 2004
- --------------------------------------------------------------------------------
S&P
S&P 500 Index S&P MidCap SmallCap
Fund Index Fund Index Fund
--------------------------------------------------
ASSETS
Investments at market value (identified cost $95,699,658,
$101,523,280, $19,393,607, $12,453,415, $5,257,953 and
$21,240,454 respectively)(Note 1) $ 108,417,908 $ 125,896,680 $ 23,384,564
Cash -- -- --
Interest receivable 79 2,928 512
Dividend receivable 193,877 115,759 10,645
Receivable for securities sold -- 3,298,817 --
Receivable for fund shares sold 58,812 136,906 68,030
Variation margin receivable 5,435 27,643 8,700
--------------------------------------------------
Total Assets 108,676,111 129,478,733 23,472,451
--------------------------------------------------
LIABILITIES
Cashover Draft 52,149 84,003 7,378
Payable for securities purchased -- -- --
Payable for fund shares repurchased 12,524 187,974 --
Payable to Investment Advisor 8,702 32,837 7,531
Accrued 12b-1 fee - K Shares 854 952 1,075
Accrued shareholder service fee - K Shares 2,222 2,538 2,763
Accrued expenses 33,220 33,742 11,017
--------------------------------------------------
Total Liabilities 109,671 342,046 29,764
--------------------------------------------------
NET ASSETS: $ 108,566,440 $ 129,136,687 $ 23,442,687
==================================================
Net Assets at August 31, 2004 consist of
Paid-in capital $ 105,619,027 $ 106,843,849 $ 18,363,458
Undistributed net investment income 288,290 160,265 7,701
Accumulated net realized gains (losses) (10,064,772) (2,183,884) 1,072,390
Unrealized appreciation (depreciation) of investments 12,718,250 24,373,400 3,990,957
Unrealized appreciation (depreciation) of futures contracts 5,645 (56,943) 8,181
--------------------------------------------------
$ 108,566,440 $ 129,136,687 $ 23,442,687
==================================================
NET ASSETS
Direct Shares $ 106,305,073 $ 126,677,679 $ 20,742,395
==================================================
K Shares $ 2,261,367 $ 2,459,008 $ 2,700,292
==================================================
SHARES OUTSTANDING
Direct Shares (no par value, unlimited shares authorized) 4,763,520 6,666,692 1,308,378
==================================================
K Shares (no par value, unlimited shares authorized) 101,078 129,404 170,684
==================================================
NET ASSET VALUE PER SHARE
Direct Shares $ 22.32 $ 19.00 $ 15.85
==================================================
K Shares $ 22.37 $ 19.00 $ 15.82
==================================================
Equity European
Income Growth & Nasdaq-100
Fund Income Fund Index Fund
-----------------------------------------------
ASSETS
Investments at market value (identified cost $95,699,658,
$101,523,280, $19,393,607, $12,453,415, $5,257,953 and
$21,240,454 respectively)(Note 1) $ 14,805,438 $ 5,081,497 $ 16,324,507
Cash -- 4,409 --
Interest receivable 283 40 268
Dividend receivable 25,014 23,827 9,598
Receivable for securities sold -- -- --
Receivable for fund shares sold 6,291 11,186 18,290
Variation margin receivable 21,298 -- --
-----------------------------------------------
Total Assets 14,858,324 5,120,959 16,352,663
-----------------------------------------------
LIABILITIES
Cashover Draft 18,580 -- 312,514
Payable for securities purchased 210,080 -- --
Payable for fund shares repurchased 7,156 10,939 23,352
Payable to Investment Advisor 6,076 2,902 3,837
Accrued 12b-1 fee - K Shares 539 442 656
Accrued shareholder service fee - K Shares 1,230 1,162 1,913
Accrued expenses 7,894 6,060 11,159
-----------------------------------------------
Total Liabilities 251,555 21,505 353,431
-----------------------------------------------
NET ASSETS: $ 14,606,769 $ 5,099,454 $ 15,999,232
===============================================
Net Assets at August 31, 2004 consist of
Paid-in capital $ 12,625,718 $ 5,518,149 $ 30,441,011
Undistributed net investment income 36,738 18,491 --
Accumulated net realized gains (losses) (454,370) (260,730) (9,525,832)
Unrealized appreciation (depreciation) of investments 2,352,023 (176,456) (4,915,947)
Unrealized appreciation (depreciation) of futures contracts 46,660 -- --
-----------------------------------------------
$ 14,606,769 $ 5,099,454 $ 15,999,232
===============================================
NET ASSETS
Direct Shares $ 13,137,065 $ 3,922,662 $ 14,348,646
===============================================
K Shares $ 1,469,704 $ 1,176,792 $ 1,650,586
===============================================
SHARES OUTSTANDING
Direct Shares (no par value, unlimited shares authorized) 933,687 552,734 4,150,166
===============================================
K Shares (no par value, unlimited shares authorized) 104,224 165,458 478,826
===============================================
NET ASSET VALUE PER SHARE
Direct Shares $ 14.07 $ 7.10 $ 3.46
===============================================
K Shares $ 14.10 $ 7.11 $ 3.45
===============================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
31
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2004
- --------------------------------------------------------------------------------
California
California Tax- Insured California Tax- U.S.
Free Money Intermediate Free Income Government
Market Fund Fund Fund Securities Fund
----------------------------------------------------------
Investment Income
Interest income $ 839,303 $ 996,830 $ 7,606,016 $ 1,124,545
----------------------------------------------------------
Expenses
Management fees (Note 2) 428,854 140,439 817,850 153,796
Transfer agent fees 31,618 16,329 65,290 23,460
Accounting services 51,057 20,859 93,080 25,247
Custodian fees 8,948 2,583 12,101 4,056
Legal and audit fees 21,058 9,642 36,875 11,034
Trustees fees 6,024 6,006 6,078 2,002
Insurance 3,243 1,122 7,577 1,276
Printing 2,857 863 6,325 2,931
12b-1 Fees - K Shares -- -- -- 1,669
Shareholder Service Fee - K Shares -- -- -- 1,669
Registration & dues 1,850 830 2,138 4,966
----------------------------------------------------------
Total Expenses 555,509 198,713 1,047,314 232,106
Less reimbursement from manager (Note 2) (178,118) (32,995) -- (28,834)
----------------------------------------------------------
Net Expenses 377,391 165,718 1,047,314 203,272
----------------------------------------------------------
Net Investment Income 461,912 831,112 6,558,702 921,273
----------------------------------------------------------
Realized and Unrealized Gain on Investments
Net realized gain from security transactions -- 54,419 2,804,832 263,551
Change in unrealized appreciation of investments -- 388,836 184,057 10,691
----------------------------------------------------------
Net realized and unrealized gain on
investments -- 443,255 2,988,889 274,242
----------------------------------------------------------
Net increase in net assets resulting from
operations $ 461,912 $ 1,274,367 $ 9,547,591 $ 1,195,515
==========================================================
Short-Term
The United U.S.
States Treasury Government
Trust Bond Fund
---------------------------
Investment Income
Interest income $ 407,728 $ 300,996
---------------------------
Expenses
Management fees (Note 2) 206,814 91,269
Transfer agent fees 25,531 18,784
Accounting services 28,863 17,087
Custodian fees 4,419 1,949
Legal and audit fees 14,714 8,207
Trustees fees 2,000 2,001
Insurance 1,536 622
Printing 2,628 1,156
12b-1 Fees - K Shares 1,029 1,553
Shareholder Service Fee - K Shares 1,029 1,553
Registration & dues 5,506 4,299
---------------------------
Total Expenses 294,069 148,480
Less reimbursement from manager (Note 2) (141,755) (54,105)
---------------------------
Net Expenses 152,314 94,375
---------------------------
Net Investment Income 255,414 206,621
---------------------------
Realized and Unrealized Gain on Investments
Net realized gain from security transactions 2,510 8,934
Change in unrealized appreciation of investments -- (19,364)
---------------------------
Net realized and unrealized gain on
investments 2,510 (10,430)
---------------------------
Net increase in net assets resulting from
operations $ 257,924 196,191
===========================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
32
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2004
- --------------------------------------------------------------------------------
S&P 500 S&P MidCap S&P SmallCap
Index Fund Index Fund Index Fund
---------------------------------------------
Investment Income
Interest income $ 16,486 $ 23,145 $ 10,819
Dividend income 1,832,871 1,405,831 192,429
---------------------------------------------
Total 1,849,357 1,428,976 203,248
---------------------------------------------
Expenses
Management fees (Note 2) 272,236 495,417 111,032
Transfer agent fees 53,976 55,055 22,519
Accounting services 66,375 73,403 20,512
Custodian fees 10,053 10,456 6,387
Legal and audit fees 29,600 25,190 8,918
Trustees fees 2,000 2,001 2,006
Insurance 3,675 3,661 657
Printing 10,874 9,881 3,226
Registration & dues 8,665 9,255 5,449
12b-1 Fees - K Shares 2,222 2,538 2,763
Shareholder Service Fee - K Shares 2,222 2,538 2,763
Licensing fee 10,106 10,130 1,606
---------------------------------------------
Total Expenses 472,004 699,525 187,838
Less reimbursement from manager (Note 2) (173,545) (100,400) (37,970)
---------------------------------------------
Net Expenses 298,459 599,125 149,868
---------------------------------------------
Net Investment Income (loss) 1,550,898 829,851 53,380
---------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) from security transactions (187,936) 759,262 1,262,635
Net realized gain (loss) from futures contracts 454,361 903,501 44,823
Change in unrealized appreciation (depreciation) of
investments 9,198,454 10,585,956 1,277,943
Change in unrealized appreciation (depreciation) of futures contracts (60,572) (206,760) (20,844)
---------------------------------------------
Net realized and unrealized gain on investments 9,404,307 12,041,959 2,564,557
---------------------------------------------
Net increase in net assets resulting from operations $ 10,955,205 $ 12,871,810 $ 2,617,937
=============================================
European
Equity Income Growth & Nasdaq-100
Fund Income Fund Index Fund
--------------------------------------------
Investment Income
Interest income $ 21,517 $ 954 $ 4,708
Dividend income 226,108 127,676 45,507
--------------------------------------------
Total 247,625 128,630 50,215
--------------------------------------------
Expenses
Management fees (Note 2) 63,034 37,927 88,112
Transfer agent fees 17,683 14,974 23,319
Accounting services 15,140 9,837 17,414
Custodian fees 1,627 2,802 4,395
Legal and audit fees 7,456 5,830 8,269
Trustees fees 2,012 1,952 1,994
Insurance 365 116 483
Printing 1,941 1,474 3,982
Registration & dues 4,610 1,754 6,208
12b-1 Fees - K Shares 1,230 1,162 1,913
Shareholder Service Fee - K Shares 1,230 1,162 1,913
Licensing fee -- -- 5,035
--------------------------------------------
Total Expenses 116,328 78,990 163,037
Less reimbursement from manager (Note 2) (13,530) (34,525) (44,665)
--------------------------------------------
Net Expenses 102,798 44,465 118,372
--------------------------------------------
Net Investment Income (loss) 144,827 84,165 (68,157)
--------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) from security transactions 374,115 (32,592) (1,764,907)
Net realized gain (loss) from futures contracts 194,491 (28,906) 230,041
Change in unrealized appreciation (depreciation) of
investments 893,108 540,073 1,824,097
Change in unrealized appreciation (depreciation) of futures contracts 21,755 -- (59,360)
--------------------------------------------
Net realized and unrealized gain on investments 1,483,469 478,575 229,871
--------------------------------------------
Net increase in net assets resulting from operations $ 1,628,296 $ 562,740 $ 161,714
============================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
33
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
California Tax-Free California Insured
Money Market Fund Intermediate Fund
------------------------------ -------------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
2004 2003 2004 2003
-----------------------------------------------------------------
Operations
Net investment income $ 461,912 $ 645,114 $ 831,112 $ 833,139
Net realized gain (loss) on investments -- (3,258) 54,419 425,965
Change in unrealized
appreciation (depreciation) of investments -- -- 388,836 (972,397)
-----------------------------------------------------------------
Net increase in net assets resulting
from operations 461,912 641,856 1,274,367 286,707
Undistributed investment income
included in price of shares sold
and repurchased -- -- -- (456)
Distributions to Shareholders
Distributions from net investment
income (461,912) (645,114) (835,074) (830,980)
Distributions from realized capital
gains on investments -- -- (78,682) (511,265)
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share
transactions 4,376,024 (4,563,940) (1,913,347) 1,856,531
-----------------------------------------------------------------
Total increase (decrease) 4,376,024 (4,567,198) (1,552,736) 800,537
Net Assets
Beginning of year 88,803,806 93,371,004 27,905,744 27,105,207
-----------------------------------------------------------------
End of year $ 93,179,830 $ 88,803,806 $ 26,353,008 $ 27,905,744
=================================================================
Including undistributed net
investment income of: $ -- $ -- $ 3,395 $ 21,325
=================================================================
California Tax-Free
Income Fund
-------------------------------
Year Ended Year Ended
August 31, August 31,
2004 2003
-------------------------------
Operations
Net investment income $ 6,558,702 $ 7,351,341
Net realized gain (loss) on investments 2,804,832 1,649,847
Change in unrealized
appreciation (depreciation) of investments 184,057 (6,385,442)
-------------------------------
Net increase in net assets resulting
from operations 9,547,591 2,615,746
Undistributed investment income
included in price of shares sold
and repurchased -- (65,722)
Distributions to Shareholders
Distributions from net investment
income (6,615,271) (7,287,147)
Distributions from realized capital
gains on investments (1,385,238) (2,384,618)
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share
transactions (15,708,184) (27,298,506)
-------------------------------
Total increase (decrease) (14,161,102) (34,420,247)
Net Assets
Beginning of year 172,488,413 206,908,660
-------------------------------
End of year $ 158,327,311 $ 172,488,413
===============================
Including undistributed net
investment income of: $ 329,035 $ 506,382
===============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
34
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
U.S. Government The United States
Securities Fund Treasury Trust
----------------------------- -----------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
2004 2003 2004 2003
-------------------------------------------------------------
Operations
Net investment income $ 921,273 $ 1,069,782 $ 255,414 $ 371,220
Net realized gain on investments 263,551 946,601 2,510 5,486
Change in unrealized
appreciation (depreciation) of investments 10,691 (1,176,844) -- --
-------------------------------------------------------------
Net increase in net assets resulting
from operations 1,195,515 839,539 257,924 376,706
Undistributed investment income
included in price of shares sold
and repurchased -- (4,381) -- --
Distributions to Shareholders
Distributions from net investment income
Direct Shares (898,759) (1,332,875) (254,691) (371,220)
K Shares (19,496) -- (723) --
Distributions from realized capital
gains on investments
Direct Shares (224,970) -- (5,459) (7,280)
K Shares (190) -- (28) --
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share
transactions (2,494,552) (1,191,709) (544,900) (10,376,732)
-------------------------------------------------------------
Total increase (decrease) (2,442,452) (1,689,426) (547,877) (10,378,526)
Net Assets
Beginning of year 31,585,421 33,274,847 40,634,510 51,013,036
-------------------------------------------------------------
End of year $ 29,142,969 $ 31,585,421 $ 40,086,633 $ 40,634,510
=============================================================
Including undistributed net
investment income of: $ 3,018 $ -- $ -- $ --
=============================================================
Short-Term U.S.
Government Bond Fund
------------------------------
Year Ended Year Ended
August 31, August 31,
2004 2003
------------------------------
Operations
Net investment income $ 206,621 $ 228,078
Net realized gain on investments 8,934 33,884
Change in unrealized
appreciation (depreciation) of investments (19,364) (133,119)
------------------------------
Net increase in net assets resulting
from operations 196,191 128,843
Undistributed investment income
included in price of shares sold
and repurchased -- 5,482
Distributions to Shareholders
Distributions from net investment income
Direct Shares (203,269) (227,749)
K Shares (4,384) --
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 (5,141,433) 10,651,423
------------------------------
Total increase (decrease) (5,166,952) 10,557,999
Net Assets
Beginning of year 21,500,381 10,942,382
------------------------------
End of year $ 16,333,429 $ 21,500,381
==============================
Including undistributed net
investment income of: $ 1,294 $ 1,689
==============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
35
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
S&P 500 Index Fund S&P MidCap Index Fund
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
2004 2003 2004 2003
-----------------------------------------------------------------
Operations
Net investment income $ 1,550,898 $ 1,380,709 $ 829,851 $ 708,857
Net realized gain (loss) on investments (187,936) 1,782,303 759,259 54,162
Net realized gain (loss) on futures contracts 454,361 285,526 903,501 (338,584)
Change in unrealized
appreciation of investments 9,198,454 6,973,080 10,585,959 14,003,959
Change in unrealized appreciation
of futures contracts (60,572) 107,430 (206,760) 233,046
-----------------------------------------------------------------
Net increase (decrease) in net
assets resulting from operations 10,955,205 10,529,048 12,871,810 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 (1,490,099) (1,437,422) (786,784) (721,101)
K Class (4,752) -- (1,247) --
Distributions from realized capital
gains on investments
Direct Shares -- -- -- --
K Class -- -- -- --
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share
transactions 842,061 (4,777,634) 13,281,899 (6,737,660)
-----------------------------------------------------------------
Total increase (decrease) 10,302,415 4,303,205 25,365,678 7,180,771
Net Assets
Beginning of year 98,264,025 93,960,820 103,771,009 96,590,238
-----------------------------------------------------------------
End of year $ 108,566,440 $ 98,264,025 $ 129,136,687 $ 103,771,009
=================================================================
Including undistributed net
investment income of: $ 288,290 $ 232,243 $ 160,265 $ 118,445
=================================================================
S&P SmallCap Index Fund
--------------------------------
Year Ended Year Ended
August 31, August 31,
2004 2003
--------------------------------
Operations
Net investment income $ 53,380 $ 48,003
Net realized gain (loss) on investments 1,262,635 (223,115)
Net realized gain (loss) on futures contracts 44,823 151,045
Change in unrealized
appreciation of investments 1,277,943 3,313,167
Change in unrealized appreciation
of futures contracts (20,844) 49,213
--------------------------------
Net increase (decrease) in net
assets resulting from operations 2,617,937 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 (52,258) (41,424)
K Class -- --
Distributions from realized capital
gains on investments
Direct Shares (182,877) (51,780)
K Class (312) --
Capital Share Transactions
Increase (decrease) in net assets
resulting from capital share
transactions 2,534,475 (532,095)
--------------------------------
Total increase (decrease) 4,916,965 2,712,470
Net Assets
Beginning of year 18,525,722 15,813,252
--------------------------------
End of year $ 23,442,687 $ 18,525,722
================================
Including undistributed net
investment income of: $ 7,701 $ 6,579
================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
36
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
European Growth
Equity Income Fund & Income Fund
----------------------------- -----------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
2004 2003 2004 2003
-------------------------------------------------------------
Operations
Net investment income (loss) $ 144,827 $ 116,271 $ 84,165 $ 50,410
Net realized gain (loss) on investments 371,115 (167,786) (32,592) 1,828
Net realized gain (loss) on futures contracts 194,491 69,886 (28,906) --
Change in unrealized
appreciation of investments 914,863 884,219 540,073 172,978
Change in unrealized appreciation
of futures contracts 3,000 (20,831) -- --
-------------------------------------------------------------
Net increase (decrease) in net
assets resulting from operations 1,628,296 881,759 562,740 225,216
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 (133,721) (112,369) (72,550) (37,320)
K Shares (956) -- (6,306) --
Capital Share Transactions
Increase in net assets
resulting from capital share
transactions 3,295,317 786,237 1,251,172 820,820
-------------------------------------------------------------
Total increase (decrease) 4,788,936 1,556,860 1,735,056 1,007,141
Net Assets
Beginning of year 9,817,833 8,260,973 3,364,398 2,357,257
-------------------------------------------------------------
End of year $ 14,606,769 $ 9,817,833 $ 5,099,454 $ 3,364,398
=============================================================
Including undistributed net
investment income of: $ 36,738 $ 26,588 $ 18,491 $ 13,090
=============================================================
Nasdaq-100 Index Fund
-----------------------------
Year Ended Year Ended
August 31, August 31,
2004 2003
-----------------------------
Operations
Net investment income (loss) $ (68,157) $ (42,420)
Net realized gain (loss) on investments (1,764,906) (2,137,456)
Net realized gain (loss) on futures contracts 230,041 171,730
Change in unrealized
appreciation of investments 1,764,736 5,700,746
Change in unrealized appreciation
of futures contracts -- 59,194
-----------------------------
Net increase (decrease) in net
assets resulting from operations 161,714 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 909,458 1,990,080
-----------------------------
Total increase (decrease) 1,071,172 5,737,195
Net Assets
Beginning of year 14,928,060 9,190,865
-----------------------------
End of year $ 15,999,232 $ 14,928,060
=============================
Including undistributed net
investment income of: $ -- $ --
=============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
37
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
California Tax-Free Income Fund
-------------------------------
Year Ended Year Ended
August 31, 2004 August 31, 2003
--------------------------------------------------------------
Shares Value Shares Value
--------------------------------------------------------------
Shares sold .................... 2,319,440 $ 29,827,911 7,770,923 $ 101,005,637
Shares issued in reinvestment of
distributions ............... 476,675 6,120,489 582,865 7,578,002
--------------------------------------------------------------
2,796,115 35,948,400 8,353,788 108,583,639
Shares repurchased ............. (4,027,520) (51,656,584) (10,361,336) (135,882,145)
--------------------------------------------------------------
Net increase (decrease) ..... (1,231,405) $ (15,708,184) (2,007,548) $ (27,298,506)
==============================================================
California Insured Intermediate Fund
------------------------------------
Year Ended Year Ended
August 31, 2004 August 31, 2003
------------------------------------------------------------
Shares Value Shares Value
------------------------------------------------------------
Shares sold .................... 257,322 $ 2,849,192 592,416 $ 6,603,082
Shares issued in reinvestment of
distributions ............... 61,776 678,067 91,987 1,007,408
------------------------------------------------------------
319,098 3,527,259 684,403 7,610,490
Shares repurchased ............. (502,444) (5,440,606) (517,192) (5,753,959)
------------------------------------------------------------
Net increase (decrease) ..... (183,346) $ (1,913,347) 167,211 $ 1,856,531
============================================================
The United States Treasury Trust
--------------------------------
California Tax-Free Money Market Direct Shares K Shares
-------------------------------- ------------- --------
Year Ended Year Ended Year Ended Year Ended October 16, 2003*
August 31, 2004 August 31, 2003 August 31, 2004 August 31, 2003 to August 31, 2004
--------------- --------------- --------------- --------------- ------------------
Shares/Value Shares/Value Shares/Value Shares/Value Shares/Value
--------------------------------- --------------- --------------- ------------------
Shares sold .................... 76,522,931 74,019,274 61,066,006 113,535,711 1,547,451
Shares issued in reinvestment of
distributions ............... 396,128 621,574 249,705 356,883 740
--------------------------------- --------------- --------------- ------------------
76,919,059 74,640,848 61,315,711 113,892,594 1,548,191
Shares repurchased ............. (72,543,035) (79,204,788) (62,804,178) (124,269,326) (604,624)
--------------------------------- --------------- --------------- ------------------
Net increase (decrease) ..... 4,376,024 (4,563,940) (1,488,467) (10,376,732) 943,567
================================= =============== =============== ==================
Short-Term U.S. Government Bond Fund
------------------------------------
Direct Shares K Shares
------------- --------
Year Ended Year Ended October 16, 2003*
August 31, 2004 August 31, 2003 to August 31, 2004
--------------------------- --------------------------- -----------------------
Shares Value Shares Value Shares Value
----------------------------------------------------------- ------- ------------
Shares sold .................... 481,018 $ 4,867,152 1,699,959 $ 17,245,618 134,312 $ 1,359,505
Shares issued in reinvestment of
distributions ............... 20,567 207,999 18,698 189,829 434 4,388
----------------------------------------------------------- ------- ------------
501,585 5,075,151 1,718,657 17,435,447 134,746 1,363,893
Shares repurchased ............. (1,131,001) (11,455,015) (668,361) (6,784,024) (12,374) (125,462)
----------------------------------------------------------- ------- ------------
Net increase (decrease) ..... (629,416) $ (6,379,864) 1,050,296 $ 10,651,423 122,372 $ 1,238,431
=========================================================== ======= ============
U.S. Government Securities Fund
-------------------------------
Direct Shares K Shares
------------- --------
Year Ended Year Ended October 16, 2003*
August 31, 2004 August 31, 2003 to August 31, 2004
--------------------------- --------------------------- -----------------------
Shares Value Shares Value Shares Value
----------------------------------------------------------- ------- ------------
Shares sold .................... 519,310 $ 5,527,064 1,673,739 $ 18,056,033 168,080 $ 1,774,698
Shares issued in reinvestment of
distributions ............... 92,069 971,074 105,638 1,138,387 1,864 19,687
----------------------------------------------------------- ------- ------------
611,379 6,498,138 1,779,377 19,194,420 169,944 1,794,385
Shares repurchased ............. (1,012,163) (10,666,564) (1,890,170) (20,386,129) (11,353) (120,511)
----------------------------------------------------------- ------- ------------
Net increase (decrease) ..... (400,784) $ (4,168,426) (110,793) $ (1,191,709) 158,591 $ 1,673,874
=========================================================== ======= ============
* Commencement of operations
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
38
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
DIRECT SHARES K SHARES
------------- --------
Year Ended Year Ended October 16, 2003*
S&P 500 INDEX FUND August 31, 2004 August 31, 2003 to August 31, 2004
- ------------------ -------------------------- ---------------------------- ---------------------------
Shares Value Shares Value Shares Value
---------------------------------------------------------- ---------------------------
Shares sold .................... 605,048 $ 13,414,804 903,499 $ 16,439,574 111,723 $ 2,520,819
Shares issued in reinvestment of
distributions ................ 53,064 1,168,686 65,058 1,141,330 203 4,657
---------------------------------------------------------- ---------------------------
658,112 14,583,490 968,557 17,580,904 111,926 2,525,476
Shares repurchased ............. (721,895) (16,024,303) (1,225,981) (22,358,538) (10,848) (242,602)
---------------------------------------------------------- ---------------------------
Net increase (decrease) ...... (63,783) $ (1,440,813) (257,424) $ (4,777,634) 101,078 $ 2,282,874
========================================================== ===========================
DIRECT SHARES K SHARES
------------- --------
Year Ended Year Ended October 16, 2003*
S&P MIDCAP INDEX FUND August 31, 2004 August 31, 2003 to August 31, 2004
- --------------------- -------------------------- ---------------------------- ---------------------------
Shares Value Shares Value Shares Value
---------------------------------------------------------- ---------------------------
Shares sold .................... 1,579,147 $ 29,686,218 2,936,166 $ 42,217,029 136,362 $ 2,636,585
Shares issued in reinvestment of
distributions ................ 35,605 672,431 44,420 626,756 59 1,172
---------------------------------------------------------- ---------------------------
1,614,752 30,358,649 2,980,586 42,843,785 136,421 2,637,757
Shares repurchased ............. (1,048,847) (19,578,331) (3,496,440) (49,581,445) (7,017) (136,176)
---------------------------------------------------------- ---------------------------
Net increase ................... 565,905 $ 10,780,318 (515,854) $ (6,737,660) 129,404 $ 2,501,581
========================================================== ===========================
DIRECT SHARES K SHARES
------------- --------
Year Ended Year Ended October 16, 2003*
S&P SMALLCAP INDEX FUND August 31, 2004 August 31, 2003 to August 31, 2004
- ----------------------- -------------------------- ---------------------------- ---------------------------
Shares Value Shares Value Shares Value
---------------------------------------------------------- ---------------------------
Shares sold .................... 355,453 $ 5,543,894 555,740 $ 6,709,355 176,552 $ 2,833,369
Shares issued in reinvestment of
distributions ................ 15,052 231,361 7,771 90,119 20 312
---------------------------------------------------------- ---------------------------
370,505 5,775,255 563,511 6,799,474 176,572 2,833,681
Shares repurchased ............. (379,065) (5,979,330) (609,969) (7,331,569) (5,888) (95,131)
---------------------------------------------------------- ---------------------------
Net increase ................. (8,560) $ (204,075) (46,458) $ (532,095) 170,684 $ 2,738,550
========================================================== ===========================
DIRECT SHARES K SHARES
------------- --------
Year Ended Year Ended October 16, 2003*
EQUITY INCOME FUND August 31, 2004 August 31, 2003 to August 31, 2004
- ------------------ -------------------------- ---------------------------- ---------------------------
Shares Value Shares Value Shares Value
---------------------------------------------------------- ---------------------------
Shares sold .................... 285,655 $ 3,895,111 146,167 $ 1,614,108 110,644 $ 1,531,478
Shares issued in reinvestment of
distributions ................ 9,514 128,543 9,958 108,259 67 956
---------------------------------------------------------- ---------------------------
295,169 4,023,654 156,125 1,722,367 110,711 1,532,434
Shares repurchased ............. (158,103) (2,170,526) (85,509) (936,130) (6,487) (90,245)
---------------------------------------------------------- ---------------------------
Net increase ................. 137,066 $ 1,853,128 70,616 $ 786,237 104,224 $ 1,442,189
========================================================== ===========================
DIRECT SHARES K SHARES
------------- --------
Year Ended Year Ended October 16, 2003*
EUROPEAN GROWTH & INCOME FUND August 31, 2004 August 31, 2003 to August 31, 2004
- ----------------------------- -------------------------- ---------------------------- ---------------------------
Shares Value Shares Value Shares Value
---------------------------------------------------------- ---------------------------
Shares sold .................... 468,370 $ 3,190,388 3,275,364 $ 18,527,746 175,871 $ 1,282,465
Shares issued in reinvestment of
distributions ................ 10,048 71,466 6,605 36,155 860 6,308
---------------------------------------------------------- ---------------------------
478,418 3,261,854 3,281,969 18,563,901 176,731 1,288,773
Shares repurchased ............. (470,211) (3,215,473) (3,144,160) (17,743,081) (11,271) (83,982)
---------------------------------------------------------- ---------------------------
Net increase ................. 8,207 $ 46,381 137,809 $ 820,820 165,458 $ 1,204,791
========================================================== ===========================
DIRECT SHARES K SHARES
------------- --------
Year Ended Year Ended October 16, 2003*
NASDAQ-100 INDEX FUND August 31, 2004 August 31, 2003 to August 31, 2004
- --------------------- -------------------------- ---------------------------- ---------------------------
Shares Value Shares Value Shares Value
---------------------------------------------------------- ---------------------------
Shares sold .................... 1,956,544 $ 7,041,214 2,863,826 $ 8,067,882 514,305 $ 1,877,933
Shares issued in reinvestment of
distributions ................ -- -- -- -- -- --
---------------------------------------------------------- ---------------------------
1,956,544 7,041,214 2,863,826 8,067,882 514,305 1,877,933
Shares repurchased ............. (2,189,504) (7,878,485) (2,296,996) (6,077,802) (35,479) (131,204)
---------------------------------------------------------- ---------------------------
Net increase ................. (232,960) $ (837,271) 566,830 $ 1,990,080 478,826 $ 1,746,729
========================================================== ===========================
* Commencement of operations.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
39
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE MONEY MARKET FUND
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2004 2003 2002 2001 2000
------------------------------------------------------------
Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.005 0.007 0.011 0.026 0.029
LESS DISTRIBUTIONS
Dividends from net investment income (0.005) (0.007) (0.011) (0.026) (0.029)
------------------------------------------------------------
Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
============================================================
Total Return 0.54% 0.70% 1.15% 2.66% 2.92%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 93,180 $ 88,804 $ 93,371 $ 99,520 $102,848
Ratio of expenses to average net assets:
Before expense reimbursements 0.65% 0.65% 0.65% 0.63% 0.66%
After expense reimbursements 0.44% 0.43% 0.40% 0.40% 0.40%
Ratio of net investment income to average net assets
Before expense reimbursements 0.33% 0.48% 0.90% 2.36% 2.63%
After expense reimbursements 0.54% 0.70% 1.15% 2.59% 2.89%
CALIFORNIA INSURED INTERMEDIATE FUND
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2004 2003 2002 2001 2000
----------------------------------------------------------------------
Net asset value, beginning of year $ 10.80 $ 11.22 $ 11.09 $ 10.72 $ 10.54
----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.33 0.33 0.39 0.43 0.44
Net gain (loss) on securities (both
realized and unrealized) 0.21 (0.21) 0.27 0.37 0.20
----------------------------------------------------------------------
Total from Investment Operations 0.54 0.12 0.66 0.80 0.64
----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.33) (0.33) (0.39) (0.43) (0.44)
Distributions from capital gains (0.03) (0.21) (0.14) -- (0.02)
----------------------------------------------------------------------
Total distributions (0.36) (0.54) (0.53) (0.43) (0.46)
----------------------------------------------------------------------
Net asset value, end of year $ 10.98 $ 10.80 $ 11.22 $ 11.09 $ 10.72
======================================================================
Total Return 5.06% 1.03% 6.17% 7.66% 6.25%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 26,353 $ 27,906 $ 27,105 $ 22,949 $ 22,878
Ratio of expenses to average net assets:
Before expense reimbursements 0.71% 0.71% 0.72% 0.71% 0.72%
After expense reimbursements 0.59% 0.58% 0.55% 0.55% 0.55%
Ratio of net investment income to average net assets
Before expense reimbursements 2.85% 2.83% 3.43% 3.82% 3.93%
After expense reimbursements 2.97% 2.96% 3.60% 3.98% 4.10%
Portfolio Turnover 21.62% 22.45% 29.28% 24.35% 24.24%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
40
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2004 2003 2002 2001 2000
----------------------------------------------------------------------------
Net asset value, beginning of year $ 12.66 $ 13.24 $ 13.17 $ 12.75 $ 12.40
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.50 0.50 0.52 0.55 0.55
Net gain (loss) on securities (both
realized and unrealized) 0.22 (0.42) 0.18 0.44 0.41
----------------------------------------------------------------------------
Total from Investment Operations 0.72 0.08 0.70 0.99 0.96
----------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.50) (0.50) (0.52) (0.56) (0.55)
Distributions from capital gains (0.10) (0.16) (0.11) (0.01) (0.06)
----------------------------------------------------------------------------
Total distributions (0.60) (0.66) (0.63) (0.57) (0.61)
----------------------------------------------------------------------------
Net asset value, end of year $ 12.78 $ 12.66 $ 13.24 $ 13.17 $ 12.75
============================================================================
Total Return 5.82% 0.61% 5.55% 7.98% 8.07%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 158,327 $ 172,488 $ 206,909 $ 201,286 $ 196,786
Ratio of expenses to average net assets:
Before expense reimbursements 0.62% 0.61% 0.61% 0.63% 0.64%
Ratio of net investment income to average net assets
Before expense reimbursements 3.86% 3.82% 4.11% 4.30% 4.54%
Portfolio Turnover 11.64% 1.44% 22.94% 28.96% 18.05%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
41
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES FUND
Year Ended Year Ended Year Ended Year Ended Year Ended
DIRECT SHARES August 31, August 31, August 31, August 31, August 31,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------
Net asset value, beginning of year $ 10.56 $ 10.73 $ 10.77 $ 10.33 $ 10.24
-----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.35 0.35 0.50 0.58 0.58
Net gain (loss) on securities (both
realized and unrealized) 0.09 (0.08) 0.19 0.42 0.14
-----------------------------------------------------------------------
Total from Investment Operations 0.44 0.27 0.69 1.00 0.72
-----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.32) (0.44) (0.59) (0.56) (0.58)
Distributions from capital gains (0.08) -- (0.14) -- (0.05)
-----------------------------------------------------------------------
Total distributions (0.40) (0.44) (0.73) (0.56) (0.63)
-----------------------------------------------------------------------
Net asset value, end of year $ 10.60 $ 10.56 $ 10.73 $ 10.77 $ 10.33
=======================================================================
Total Return 4.23% 2.52% 6.65% 9.94% 7.35%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 27,454 $ 31,585 $ 33,275 $ 27,265 $ 24,476
Ratio of expenses to average net assets:
Before expense reimbursements 0.75% 0.71% 0.71% 0.71% 0.72%
After expense reimbursements 0.65% 0.65% 0.65% 0.65% 0.65%
Ratio of net investment income to average net assets
Before expense reimbursements 2.92% 3.22% 4.59% 5.32% 5.82%
After expense reimbursements 3.02% 3.28% 4.65% 5.38% 5.89%
Portfolio Turnover 103.98% 39.29% 150.35% 209.58% 184.60%
October 16, 2003*
to
K SHARES August 31, 2004
-----------------
Net asset value, beginning of period $ 10.55
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.23
Net gain (loss) on securities (both
realized and unrealized) 0.15
-----------------
Total from Investment Operations 0.38
-----------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.20)
Distributions from capital gains (0.08)
-----------------
Total distributions (0.28)
-----------------
Net asset value, end of period $ 10.65
=================
Total Return 3.66%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 1,689
Ratio of expenses to average net assets:
Before expense reimbursements 1.25%**
After expense reimbursements 1.15%**
Ratio of net investment income to average net assets
Before expense reimbursements 2.42%**
After expense reimbursements 2.52%**
Portfolio Turnover 103.98%
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
42
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
THE UNITED STATES TREASURY TRUST
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
DIRECT SHARES 2004 2003 2002 2001 2000
-----------------------------------------------------------------------------
Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.006 0.008 0.017 0.047 0.050
LESS DISTRIBUTIONS
Dividends from net investment income (0.006) (0.008) (0.017) (0.047) (0.050)
-----------------------------------------------------------------------------
Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
=============================================================================
Total Return 0.63% 0.86% 1.70% 4.87% 5.12%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 39,143 $ 40,635 $ 51,013 $ 59,760 $ 56,464
Ratio of expenses to average net assets:
Before expense reimbursements 0.71% 0.70% 0.67% 0.65% 0.66%
After expense reimbursements 0.36% 0.42% 0.42% 0.40% 0.40%
Ratio of net investment income to average net assets
Before expense reimbursements 0.28% 0.56% 1.45% 4.48% 4.76%
After expense reimbursements 0.63% 0.84% 1.70% 4.73% 5.02%
October 16, 2003*
K SHARES to
August 31, 2004
-----------------
Net asset value, beginning of period $ 1.000
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.001
LESS DISTRIBUTIONS
Dividends from net investment income (0.001)
-----------------
Net asset value, end of period $ 1.000
=================
Total Return 0.12%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 944
Ratio of expenses to average net assets:
Before expense reimbursements 1.21%**
After expense reimbursements 0.86%**
Ratio of net investment income to average net assets
Before expense reimbursements (0.22)%**
After expense reimbursements 0.13%**
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
43
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
SHORT-TERM U.S. GOVERNMENT BOND FUND
January 18,
Year Ended Year Ended Year Ended Year Ended 2000* to
DIRECT SHARES August 31, August 31, August 31, August 31, August 31,
2004 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 0.11 0.18 0.30 0.53 0.36
Net gain on securities (both
realized and unrealized) -- (0.06) 0.09 0.21 0.05
-------------------------------------------------------------------------
Total from Investment Operations 0.11 0.12 0.39 0.74 0.41
-------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.12) (0.18) (0.30) (0.55) (0.36)
Distributions from capital gains (0.01) -- (0.16) (0.00) --
-------------------------------------------------------------------------
Total distributions (0.13) (0.18) (0.46) (0.55) (0.36)
-------------------------------------------------------------------------
Net asset value, end of period $ 10.09 $ 10.11 $ 10.17 $ 10.24 $ 10.05
=========================================================================
Total Return 1.06% 1.17% 3.90% 7.58% 4.15%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 15,098 $ 21,500 $ 10,942 $ 11,623 $ 5,432
Ratio of expenses to average net assets:
Before expense reimbursements 0.80% 0.80% 0.82% 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 0.85% 1.35% 2.57% 4.63% 5.02%**
After expense reimbursements 1.15% 1.66% 2.96% 5.19% 6.19%**
Portfolio Turnover 62.58% 74.45% 119.61% 64.56% --
October 16, 2003*
K SHARES to
August 31, 2004
-----------------
Net asset value, beginning of period $ 10.12
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.05
Net gain on securities (both
realized and unrealized) (0.01)
-----------------
Total from Investment Operations 0.04
-----------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.05)
Distributions from capital gains (0.01)
-----------------
Total distributions (0.06)
-----------------
Net asset value, end of period $ 10.10
=================
Total Return 0.41%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 1,235
Ratio of expenses to average net assets:
Before expense reimbursements 1.30%**
After expense reimbursements 1.00%**
Ratio of net investment income to average net assets
Before expense reimbursements 0.35%**
After expense reimbursements 0.65%**
Portfolio Turnover 62.58%
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
44
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND
Year Ended Year Ended Year Ended Year Ended Year Ended
DIRECT SHARES August 31, August 31, August 31, August 31, August 31,
2004 2003 2002 2001 2000
----------------------------------------------------------------------------
Net asset value, beginning of year $ 20.36 $ 18.48 $ 22.79 $ 30.84 $ 28.12
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.32 0.29 0.29 0.34 0.38
Net gain (loss) on securities (both
realized and unrealized) 1.95 1.89 (4.31) (7.64) 4.06
----------------------------------------------------------------------------
Total from Investment Operations 2.27 2.18 (4.02) (7.30) 4.44
----------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.31) (0.30) (0.29) (0.34) (0.40)
Distributions from capital gains -- -- -- (0.41) (1.32)
----------------------------------------------------------------------------
Total distributions (0.31) (0.30) (0.29) (0.75) (1.72)
----------------------------------------------------------------------------
Net asset value, end of year $ 22.32 $ 20.36 $ 18.48 $ 22.79 $ 30.84
============================================================================
Total Return 11.16% 12.03% (17.83)% (23.93)% 16.38%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 106,305 $ 98,264 $ 93,961 $ 141,390 $ 165,891
Ratio of expenses to average net assets:
Before expense reimbursements 0.43% 0.45% 0.41% 0.39% 0.40%
After expense reimbursements 0.27% 0.25% 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets
Before expense reimbursements 1.27% 1.35% 1.30% 1.16% 1.11%
After expense reimbursements 1.43% 1.55% 1.51% 1.35% 1.31%
Portfolio Turnover 2.00% 3.63% 31.12% 6.26% 9.00%
K SHARES October 16, 2003*
to
August 31, 2004
-----------------
Net asset value, beginning of period $ 21.17
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.12
Net gain (loss) on securities (both
realized and unrealized) 1.16
-----------------
Total from Investment Operations 1.28
-----------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.08)
Distributions from capital gains --
-----------------
Total distributions (0.08)
-----------------
Net asset value, end of period $ 22.37
=================
Total Return 6.05%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 2,261
Ratio of expenses to average net assets:
Before expense reimbursements 0.93%**
After expense reimbursements 0.77%**
Ratio of net investment income to average net assets
Before expense reimbursements 0.77%**
After expense reimbursements 0.93%**
Portfolio Turnover 2.00%
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
45
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND
Year Ended Year Ended Year Ended Year Ended Year Ended
DIRECT SHARES August 31, August 31, August 31, August 31, August 31,
2004 2003 2002 2001 2000
----------------------------------------------------------------------------
Net asset value, beginning of year $ 17.01 $ 14.60 $ 16.18 $ 20.75 $ 18.70
----------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.12 0.05 0.17 0.22
Net gain (loss) on securities (both
realized and unrealized) 1.98 2.41 (1.54) (1.66) 6.05
----------------------------------------------------------------------------
Total from Investment Operations 2.11 2.53 (1.49) (1.49) 6.27
----------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.12) (0.12) (0.03) (0.18) (0.21)
Distributions from capital gains -- -- (0.06) (2.90) (4.01)
----------------------------------------------------------------------------
Total distributions (0.12) (0.12) (0.09) (3.08) (4.22)
----------------------------------------------------------------------------
Net asset value, end of year $ 19.00 $ 17.01 $ 14.60 $ 16.18 $ 20.75
============================================================================
Total Return 12.44% 17.46% (8.77)% (6.56)% 40.44%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 126,678 $ 103,771 $ 96,590 $ 83,293 $ 74,749
Ratio of expenses to average net assets:
Before expense reimbursements 0.58% 0.58% 0.58% 0.56% 0.57%
After expense reimbursements 0.49% 0.46% 0.40% 0.40% 0.40%
Ratio of net investment income to average net assets
Before expense reimbursements 0.60% 0.66% 0.78% 0.84% 1.03%
After expense reimbursements 0.69% 0.78% 0.96% 1.00% 1.20%
Portfolio Turnover 12.75% 8.33% 21.73% 39.41% 46.23%
K SHARES October 16, 2003*
to
August 31, 2004
-----------------
Net asset value, beginning of period $ 17.78
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.05
Net gain (loss) on securities (both
realized and unrealized) 1.19
-----------------
Total from Investment Operations 1.24
-----------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.02)
Distributions from capital gains --
-----------------
Total distributions (0.02)
-----------------
Net asset value, end of period $ 19.00
=================
Total Return 6.96%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 2,459
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 0.10%**
After expense reimbursements 0.19%**
Portfolio Turnover 12.75%
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
46
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND
DIRECT SHARES Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2004 2003 2002 2001 2000
------------------------------------------------------------------------
Net asset value, beginning of year $ 14.07 $ 11.60 $ 12.89 $ 14.09 $ 11.46
------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.03 0.03 0.11 0.12
Net gain (loss) on securities (both
realized and unrealized) 1.92 2.51 (1.28) (0.55) 3.14
------------------------------------------------------------------------
Total from Investment Operations 1.96 2.54 (1.25) (0.44) 3.26
------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.04) (0.03) (0.04) (0.12) (0.10)
Distributions from capital gains (0.14) (0.04) -- (0.64) (0.53)
------------------------------------------------------------------------
Total distributions (0.18) (0.07) (0.04) (0.76) (0.63)
------------------------------------------------------------------------
Net asset value, end of year $ 15.85 $ 14.07 $ 11.60 $ 12.89 $ 14.09
========================================================================
Total Return 13.93% 22.04% (9.69)% (2.59)% 29.63%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 20,742 $ 18,526 $ 15,813 $ 14,226 $ 12,863
Ratio of expenses to average net assets:
Before expense reimbursements 0.82% 0.88% 0.88% 0.92% 1.00%
After expense reimbursements 0.65% 0.65% 0.65% 0.65% 0.65%
Ratio of net investment income to average net assets
Before expense reimbursements 0.09% 0.08% 0.00% 0.54% 0.58%
After expense reimbursements 0.26% 0.31% 0.23% 0.81% 0.93%
Portfolio Turnover 14.60% 16.51% 17.64% 41.91% 37.21%
K SHARES October 16, 2003*
to
August 31, 2004
-----------------
Net asset value, beginning of period $ 14.78
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (0.01)
Net gain (loss) on securities (both
realized and unrealized) 1.19
-----------------
Total from Investment Operations 1.18
-----------------
LESS DISTRIBUTIONS
Dividends from net investment income --
Distributions from capital gains (0.14)
-----------------
Total distributions (0.14)
-----------------
Net asset value, end of period $ 15.82
=================
Total Return 7.99%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 2,700
Ratio of expenses to average net assets:
Before expense reimbursements 1.32%**
After expense reimbursements 1.15%**
Ratio of net investment income to average net assets
Before expense reimbursements (0.41)%**
After expense reimbursements (0.24)%**
Portfolio Turnover 14.60%
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
47
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
EQUITY INCOME FUND
Year Ended Year Ended Year Ended Year Ended Year Ended
DIRECT SHARES August 31, August 31, August 31, August 31, August 31,
2004 2003 2002 2001 2000
-----------------------------------------------------------------------
Net asset value, beginning of year $ 12.32 $ 11.38 $ 12.21 $ 14.81 $ 14.38
-----------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.20 0.15 0.17 0.28 0.36
Net gain (loss) on securities (both
realized and unrealized) 1.70 0.94 (0.83) (2.46) 0.76
-----------------------------------------------------------------------
Total from Investment Operations 1.90 1.09 (0.66) (2.18) 1.12
-----------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.15) (0.15) (0.17) (0.39) (0.27)
Distributions from capital gains -- -- -- (0.03) (0.42)
-----------------------------------------------------------------------
Total distributions (0.15) (0.15) (0.17) (0.42) (0.69)
-----------------------------------------------------------------------
Net asset value, end of year $ 14.07 $ 12.32 $ 11.38 $ 12.21 $ 14.81
=======================================================================
Total Return 15.51% 9.77% (5.46)% (14.94)% 8.23%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of year ( in 000's) $ 13,137 $ 9,818 $ 8,261 $ 8,794 $ 11,813
Ratio of expenses to average net assets:
Before expense reimbursements 0.90% 0.95% 0.91% 0.94% 0.98%
After expense reimbursements 0.80% 0.80% 0.80% 0.80% 0.80%
Ratio of net investment income to average net assets
Before expense reimbursements 1.04% 1.24% 1.33% 1.96% 2.49%
After expense reimbursements 1.14% 1.39% 1.44% 2.10% 2.67%
Portfolio Turnover 14.43% 30.01% 69.43% 73.50% 38.34%
October 16, 2003*
K SHARES to
August 31, 2004
-----------------
Net asset value, beginning of period $ 12.90
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.01
Net gain (loss) on securities (both
realized and unrealized) 1.21
-----------------
Total from Investment Operations 1.22
-----------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.02)
Distributions from capital gains --
-----------------
Total distributions (0.02)
-----------------
Net asset value, end of period $ 14.10
=================
Total Return 9.47%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 1,470
Ratio of expenses to average net assets:
Before expense reimbursements 1.40%**
After expense reimbursements 1.30%**
Ratio of net investment income to average net assets
Before expense reimbursements 0.54%**
After expense reimbursements 0.64%**
Portfolio Turnover 14.43%
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
48
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
EUROPEAN GROWTH & INCOME FUND
DIRECT SHARES January 18,
Year Ended Year Ended Year Ended Year Ended 2000* to
August 31, August 31, August 31, August 31, August 31,
2004 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 0.16 0.11 0.10 0.08 0.09
Net loss on securities (both
realized and unrealized) 0.89 0.35 (1.34) (2.46) (0.45)
--------------------------------------------------------------------------
Total from Investment Operations 1.05 0.46 (1.24) (2.38) (0.36)
--------------------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.13) (0.08) (0.09) (0.08) (0.05)
Distributions from capital gains -- -- -- -- --
--------------------------------------------------------------------------
Total distributions (0.13) (0.08) (0.09) (0.08) (0.05)
--------------------------------------------------------------------------
Net asset value, end of period $ 7.10 $ 6.18 $ 5.80 $ 7.13 $ 9.59
==========================================================================
Total Return 17.04% 8.17% (17.50)% (24.87)% (3.59)%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 3,923 $ 3,364 $ 2,357 $ 2,106 $ 1,505
Ratio of expenses to average net assets:
Before expense reimbursements 1.72% 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 to average net assets
Before expense reimbursements 1.17% 0.83% 0.30% (0.18)% (1.53)%**
After expense reimbursements 1.94% 1.87% 1.34% 1.04% 1.51%**
Portfolio Turnover 2.01% 0.00% 9.70% 19.75% 114.30%
October 16, 2003*
K SHARES to
August 31, 2004
-----------------
Net asset value, beginning of period $ 6.61
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.08
Net loss on securities (both
realized and unrealized) 0.48
-----------------
Total from Investment Operations 0.56
-----------------
LESS DISTRIBUTIONS
Dividends from net investment income (0.06)
Distributions from capital gains --
-----------------
Total distributions (0.06)
-----------------
Net asset value, end of period $ 7.11
=================
Total Return 8.43%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 1,177
Ratio of expenses to average net assets:
Before expense reimbursements 2.22%**
After expense reimbursements 1.45%**
Ratio of net investment income to average net assets
Before expense reimbursements 0.67%**
After expense reimbursements 1.44%**
Portfolio Turnover 2.01%
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
49
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
- --------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND
January 18,
Year Ended Year Ended Year Ended Year Ended 2000* to
August 31, August 31, August 31, August 31, August 31,
DIRECT SHARES 2004 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 (loss) (0.01) (0.01) --(a) 0.05 0.03
Net gain (loss) on securities (both
realized and unrealized) 0.06 1.01 (1.33) (6.84) 0.67
--------------------------------------------------------------------------
Total from Investment Operations 0.05 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 $ 3.46 $ 3.41 $ 2.41 $ 3.75 $ 10.67
==========================================================================
Total Return 1.47% 41.49% (35.61)% (64.26)% 7.02%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 14,349 $ 14,928 $ 9,191 $ 11,390 $ 14,498
Ratio of expenses to average net assets:
Before expense reimbursements 0.91% 1.05% 0.99% 0.90% 0.99%**
After expense reimbursements 0.65% 0.65% 0.64% 0.65% 0.65%**
Ratio of net investment income to average net assets
Before expense reimbursements (0.62)% (0.80)% (0.45)% 0.14% 0.54%**
After expense reimbursements (0.36)% (0.40)% (0.10)% 0.39% 0.88%**
Portfolio Turnover 8.82% 8.64% 4.18% 13.82% 0.62%
(a) Represents less than $0.01 per share
October 16, 2003*
to
K SHARES August 31, 2004
-----------------
Net asset value, beginning of period $ 3.62
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (loss) (0.01)
Net gain (loss) on securities (both
realized and unrealized) (0.16)
-----------------
Total from Investment Operations (0.17)
-----------------
LESS DISTRIBUTIONS
Dividends from net investment income --
Distributions from capital gains --
-----------------
Total distributions --
-----------------
Net asset value, end of period $ 3.45
=================
Total Return (4.70)%
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ( in 000's) $ 1,651
Ratio of expenses to average net assets:
Before expense reimbursements 1.41%**
After expense reimbursements 1.15%**
Ratio of net investment income to average net assets
Before expense reimbursements (1.12)%**
After expense reimbursements (0.86)%**
Portfolio Turnover 8.82%
(a) Represents less than $0.01 per share
* Commencement of operations.
** Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
50
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE MONEY MARKET FUND 8/31/2004
(Unaudited) PERCENTAGE
OF TOTAL
SECURITY DESCRIPTION VALUE INVESTMENT
- ------------------------------------------------------------------------------------------------------------------------------------
1 IRVINE, CITY OF Assessment District 87-8 $ 2,600,000 2.8%
2 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series 2002B6 2,400,000 2.6%
3 CALIFORNIA STATE ECONOMIC RECOVERY Revenue Bonds; Series 2004C 2,200,000 2.4%
4 TAX AND REVENUE ANTICIPATION NOTES San Diego County School District 2,029,270 2.2%
5 TAX AND REVENUE ANTICIPATION NOTES Los Angeles, County of 2,022,799 2.2%
6 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Scripps Hospital; Series B 2,000,000 2.2%
7 CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK Rand Corportation; Series B 2,000,000 2.2%
8 CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY ExxonMobil; Series 2000 2,000,000 2.2%
9 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 2.2%
10 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY Sutter Health Variable Rate Bonds 2,000,000 2.2%
[The following table was depicted as a bar chart in the printed material.]
Variable Rate Demand Notes 79.6%
Tax and Revenue Anticipation Notes 10.8%
Commercial Paper 8.6%
Other Net Assets 1.0%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning
DIRECT SHARES Account Value Ending Account Value Expenses
March 1, 2004 August 31, 2004 Paid During Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $1,003 $2.22
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5% Return before expenses $1,000 $1,048 $2.26
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.44%) for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided by
366.
51
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED INTERMEDIATE FUND 8/31/2004
(Unaudited) PERCENTAGE
OF TOTAL
SECURITY DESCRIPTION VALUE INVESTMENT
- ------------------------------------------------------------------------------------------------------------------------------------
1 CALIFORNIA, STATE OF General Obligation Bonds $ 692,256 2.7%
2 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 669,900 2.6%
3 MONTEREY, COUNTY OF Certificates of Participation 668,904 2.6%
4 CALIFORNIA STATE ECONOMIC RECOVERY General Obligation; Series A 667,350 2.6%
5 SARATOGA UNION SCHOOL DISTRICT 1997 General Obligation Bonds; Series A 665,082 2.6%
6 OAK PARK UNIFIED SCHOOL DISTRICT General Obligation, Refunding Bonds 652,746 2.5%
7 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 614,576 2.4%
8 FRESNO, CITY OF Water System Revenue Refuding; Series A 584,920 2.2%
9 CAMPBELL UNION HIGH SCHOOL DISTRICT Water System Improvement Projects; Series 2001A 582,825 2.2%
10 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Multiple Purpose Projects; Series O 576,470 2.2%
[The following table was depicted as a bar chart in the printed material.]
Long Term Securities 94.9%
Variable Rate Demand Notes 4.0%
Other Net Assets 1.1%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning
DIRECT SHARES Account Value Ending Account Value Expenses
March 1, 2004 August 31, 2004 Paid During Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $ 995 $2.91
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5% Return before expenses $1,000 $1,047 $3.04
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.59%) for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided by
366.
52
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND 8/31/2004
(Unaudited)
PERCENTAGE
OF TOTAL
SECURITY DESCRIPTION VALUE INVESTMENT
- ------------------------------------------------------------------------------------------------------------------------------------
1 CALIFORNIA STATE PUBLIC WORKS BOARD University of California Projects; 1993 Series A $ 5,650,800 3.6%
2 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation
Refunding Bonds 4,662,640 3.0%
3 SACRAMENTO MUNICIPAL UTILITY DISTRICT Refunding Revenue Bonds; Series A 4,631,600 3.0%
4 SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT Multiple Project Revenue Bonds; Series 1989 4,349,537 2.8%
5 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 4,185,873 2.7%
6 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 3,592,097 2.3%
7 CALIFORNIA, STATE OF General Obligation Bonds 3,482,220 2.2%
8 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Stanford University Revenue Bonds; Series P 3,440,250 2.2%
9 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION
AUTHORITY Sales Tax Revenue Refunding Bonds; Series 2001-B 3,360,720 2.1%
10 SAN BERNARDINO, COUNTY OF Justice Center / Airport Improvements; Series 2002A 3,188,884 2.0%
[The following table was depicted as a bar chart in the printed material.]
Long Term Securities 86.31%
Variable Rate Demand Notes 13.07%
Other Net Assets 0.62%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning
DIRECT SHARES Account Value Ending Account Value Expenses
March 1, 2004 August 31, 2004 Paid During Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $ 990 $3.04
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5% Return before expenses $1,000 $1,047 $3.19
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (0.62%) for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided by
366.
53
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES FUND 8/31/2004
(Unaudited)
PERCENTAGE
OF TOTAL
SECURITY DESCRIPTION MATURITY VALUE INVESTMENT
- ------------------------------------------------------------------------------------------------------------------------------------
1 United States Treasury Bonds (14.74%) 11/15/2022 $ 2,660,156 9.2%
2 Government National Mortgage Association (65.34%) 2/15/2019 2,144,483 7.4%
3 United States Treasury Notes (12.93%) 5/15/2005 2,064,532 7.1%
4 Government National Mortgage Association (65.34%) 1/15/2019 1,990,892 6.9%
5 Government National Mortgage Association (65.34%) 1/15/2019 1,971,552 6.8%
6 Government National Mortgage Association (65.34%) 2/15/2019 1,971,546 6.8%
7 Government National Mortgage Association (65.34%) 2/15/2019 1,945,626 6.7%
8 Government National Mortgage Association (65.34%) 9/15/2018 1,898,216 6.6%
9 Government National Mortgage Association (65.34%) 8/15/2018 1,826,594 6.3%
10 Government National Mortgage Association (65.34%) 2/15/2018 1,815,722 6.3%
[The following table was depicted as a bar chart in the printed material.]
Government National Mortgage Assoc. 65.34%
United States Treasury Bills 6.16%
United States Tresury Notes 12.93%
United States Tresury Bonds 14.74%
Other Net Assets 0.83%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $1,013 $3.26 $1,000 $1,010 $5.75
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5%
Return before expenses $1,000 $1,047 $3.34 $1,000 $1,044 $5.91
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.65%; K
Shares 1.15%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
54
- --------------------------------------------------------------------------------
THE UNITED STATES TREASURY TRUST 8/31/2004
(Unaudited) PERCENTAGE
OF TOTAL
SECURITY DESCRIPTION MATURITY VALUE INVESTMENT
- --------------------------------------------------------------------------------
1 United States Treasury Bills 9/23/2004 $ 9,892,855 24.7%
2 United States Treasury Bills 11/26/2004 8,469,327 21.1%
3 United States Treasury Bills 11/4/2004 5,086,938 12.7%
4 United States Treasury Bills 9/2/2004 4,199,882 10.5%
5 United States Treasury Bills 12/9/2004 3,783,907 9.4%
6 United States Treasury Bills 11/12/2004 3,191,003 8.0%
7 United States Treasury Bills 10/21/2004 2,994,263 7.5%
8 United States Treasury Bills 11/18/2004 2,492,211 6.2%
[The following table was depicted as a bar chart in the printed material.]
United States Treasury Bills 100.1%
Other Liabilities -0.1%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $1,003 $1.81 $1,000 $1,001 $4.43
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5%
Return before expenses $1,000 $1,048 $1.85 $1,000 $1,046 $4.42
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.36%; K
Shares 0.88%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
55
- --------------------------------------------------------------------------------
SHORT-TERM U.S. GOVERNMENT BOND FUND 8/31/2004
(Unaudited) PERCENTAGE
OF TOTAL
SECURITY DESCRIPTION MATURITY VALUE INVESTMENT
- --------------------------------------------------------------------------------
1 United States Tresury Notes 10/15/2006 $ 2,166,016 15.4%
2 United States Tresury Notes 2/15/2006 2,099,844 14.9%
3 United States Tresury Notes 11/15/2005 2,087,578 14.8%
4 United States Tresury Notes 5/15/2005 2,067,734 14.7%
5 United States Tresury Notes 5/15/2005 2,064,532 14.6%
6 United States Tresury Notes 8/15/2005 1,981,269 14.0%
7 United States Tresury Notes 2/15/2005 1,641,563 11.6%
8 United States Treasury Bills 11/18/2004 1,096,491 7.8%
9 United States Treasury Bills 9/23/2004 299,764 2.1%
10 United States Treasury Bills 11/12/2004 299,088 2.1%
[The following table was depicted as a bar chart in the printed material.]
United States Treasury Bills 12.2%
United States Treasury Notes 86.4%
Other Net Assets 1.4%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $1,000 $2.51 $1,000 $ 998 $5.01
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical
5% Return before expenses $1,000 $1,047 $2.57 $1,000 $1,045 $5.14
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.50%; K
Shares 1.00%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
56
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND 8/31/2004
(Unaudited)
PERCENTAGE OF
SECURITY VALUE TOTAL INVESTMENT
- --------------------------------------------------------------------------------
1 General Electric Co $ 3,477,478 3.2%
2 Exxon Mobil Corp. 3,168,223 2.9%
3 Microsoft Corp. 3,096,120 2.9%
4 Pfizer Inc. 2,633,953 2.4%
5 Citigroup Inc. 2,538,657 2.3%
6 Wal-Mart Stores Inc. 2,375,628 2.2%
7 American International Group Inc. 1,962,947 1.8%
8 Bank of America Corp. 1,922,985 1.8%
9 Johnson & Johnson 1,821,900 1.7%
10 Procter & Gamble Co 1,510,966 1.4%
[The following table was depicted as a bar chart in the printed material.]
INDEX CIT
----- ---
Banking & Financial Service 21.0% 21.1%
Capital Good 6.4% 6.3%
Consumer Cyclical 7.3% 7.3%
Consumer Non-Durable 25.4% 25.3%
Energy 6.9% 6.8%
Manufacturing 5.8% 5.6%
Service 1.6% 1.6%
Technology 17.9% 17.9%
Transportation 1.9% 1.9%
Utility 5.9% 5.9%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $ 972 $1.33 $1,000 $ 969 $3.80
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5%
Return before expenses $1,000 $1,049 $1.39 $1,000 $1,046 $3.96
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.27%; K
Shares 0.77%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
57
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND 8/31/2004
(Unaudited)
PERCENTAGE OF
SECURITY VALUE TOTAL INVESTMENT
- --------------------------------------------------------------------------------
1 Gilead Sciences Inc. $ 1,910,822 1.5%
2 Washington Post 1,069,124 0.8%
3 Coach Inc. 1,016,321 0.8%
4 DR Horton Inc. 929,964 0.7%
5 Lennar Corp. 920,030 0.7%
6 XTO Energy Inc. 909,505 0.7%
7 Murphy Oil Corp. 895,926 0.7%
8 National Commerce Financial Corp. 890,754 0.7%
9 Sovereign Bancorp Inc. 861,831 0.7%
10 L-3 Communications Holdings Inc. 852,342 0.7%
[The following table was depicted as a bar chart in the printed material.]
INDEX CIT
----- ---
Banking & Financial Service 19.4% 19.3%
Capital Good 6.0% 5.9%
Consumer Cyclical 9.5% 8.7%
Consumer Non-Durable 22.7% 23.2%
Energy 6.6% 6.2%
Manufacturing 11.9% 10.3%
Service 2.0% 2.5%
Technology 12.4% 11.4%
Transportation 2.7% 2.5%
Utility 6.8% 6.4%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $ 964 $2.43 $1,000 $ 962 $4.91
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5%
Return before expenses $1,000 $1,048 $2.52 $1,000 $1,045 $5.09
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.49%; K
Shares 0.99%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
58
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND 8/31/2004
(Unaudited)
PERCENTAGE OF
SECURITY VALUE TOTAL INVESTMENT
- --------------------------------------------------------------------------------
1 NVR Inc. $ 170,765 0.7%
2 Urban Outfitters Inc. 125,163 0.5%
3 UnitedHealth Group Inc. 121,415 0.5%
4 MDC Holdings Inc. 115,186 0.5%
5 Massey Energy Co 107,163 0.5%
6 Timken Co 106,671 0.5%
7 Medicis Pharmaceutical 106,637 0.5%
8 Roper Industries Inc. 104,178 0.4%
9 Polaris Industries Inc. 103,941 0.4%
10 Fossil Inc. 103,930 0.4%
[The following table was depicted as a bar chart in the printed material.]
INDEX CIT
----- ---
Banking & Financial Service 15.6% 15.0%
Capital Good 7.8% 7.4%
Consumer Cyclical 10.1% 9.9%
Consumer Non-Durable 21.5% 20.7%
Energy 5.5% 5.6%
Manufacturing 15.4% 14.1%
Service 3.8% 3.6%
Technology 13.6% 12.9%
Transportation 3.0% 2.9%
Utility 3.8% 3.2%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $ 977 $3.26 $1,000 $ 974 $5.76
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5%
Return before expenses $1,000 $1,047 $3.34 $1,000 $1,044 $5.91
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.65%; K
Shares 1.15%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
59
- --------------------------------------------------------------------------------
EQUITY INCOME FUND 8/31/2004
(Unaudited)
PERCENTAGE OF
SECURITY VALUE TOTAL INVESTMENT
- --------------------------------------------------------------------------------
1 Wells Fargo & Co $ 393,449 2.7%
2 Citigroup Inc. 391,784 2.6%
3 Pfizer Inc. 369,171 2.5%
4 Bank of America Corp. 358,221 2.4%
5 McGraw-Hill Cos Inc./The 328,592 2.2%
6 Marsh & McLennan Cos Inc. 312,830 2.1%
7 Fifth Third Bancorp 309,968 2.1%
8 First Data Corp. 296,130 2.0%
9 McDonald's Corp. 272,037 1.8%
10 Baxter International Inc. 256,872 1.7%
[The following table was depicted as a bar chart in the printed material.]
INDEX CIT
----- ---
Banking & Financial Service 37.5% 25.1%
Capital Good 3.4% 2.1%
Consumer Cyclical 5.3% 8.1%
Consumer Non-Durable 12.2% 18.3%
Energy 12.2% 8.3%
Manufacturing 5.4% 5.3%
Service 1.2% 3.2%
Technology 9.6% 3.9%
Transportation 1.7% 0.0%
Utility 11.6% 7.0%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month. charge transaction fees,
such as purchase or redemption fees, nor does it carry a "sales load."
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $ 995 $3.99 $1,000 $ 993 $6.48
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5%
Return before expenses $1,000 $1,046 $4.11 $1,000 $1,043 $6.68
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.80%; K
Shares 1.30%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
60
- --------------------------------------------------------------------------------
EUROPEAN GROWTH & INCOME FUND 8/31/2004
(Unaudited)
PERCENTAGE OF
SECURITY VALUE TOTAL INVESTMENT
- --------------------------------------------------------------------------------
1 BP PLC $ 331,651 6.5%
2 HSBC Holdings PLC 295,944 5.8%
3 Vodafone Group PLC 272,739 5.4%
4 GlaxoSmithKline PLC 223,966 4.4%
5 Total SA 223,319 4.4%
6 Novartis AG 211,673 4.2%
7 Barclays PLC 211,234 4.2%
8 Royal Dutch Petroleum Co 198,705 3.9%
9 Nestle SA 175,076 3.4%
10 UBS AG 146,791 2.9%
[The following table was depicted as a bar chart in the printed material.]
INDEX CIT
----- ---
Banking & Financial Service 23.3% 32.0%
Consumer Cyclical 4.7% 1.3%
Consumer Non-Durable 20.5% 24.0%
Energy 9.8% 19.7%
Manufacturing 4.0% 4.1%
Service 1.2% 0.0%
Technology 15.6% 7.5%
Utility 20.8% 11.5%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month. charge transaction fees,
such as purchase or redemption fees, nor does it carry a "sales load."
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $ 942 $4.59 $1,000 $ 938 $6.99
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5%
Return before expenses $1,000 $1,045 $4.88 $1,000 $1,043 $7.45
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.95%; K
Shares 1.45%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
61
- --------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND 8/31/2004
(Unaudited)
PERCENTAGE OF
SECURITY VALUE TOTAL INVESTMENT
- --------------------------------------------------------------------------------
1 Microsoft Corp. $ 1,430,793 8.8%
2 Qualcomm Inc. 1,067,074 6.5%
3 Intel Corp. 681,727 4.2%
4 Cisco Systems Inc. 639,472 3.9%
5 eBay Inc. 613,828 3.8%
6 Amgen Inc. 509,953 3.1%
7 Dell Inc. 472,396 2.9%
8 Nextel Communications Inc. 457,446 2.8%
9 Comcast Corp. 383,563 2.3%
10 Starbucks Corp. 346,352 2.1%
[The following table was depicted as a bar chart in the printed material.]
INDEX CIT
----- ---
Capital Good 0.5% 0.5%
Consumer Cyclical 5.2% 4.6%
Consumer Non-Durable 16.5% 16.6%
Energy 0.3% 0.3%
Manufacturing 6.9% 7.0%
Service 2.9% 3.0%
Technology 66.7% 66.3%
Transportation 0.9% 1.0%
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return- This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return- This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Fund does not carry a "sales load", nor does it
charge redemption fees on shares held over one month. charge transaction fees,
such as purchase or redemption fees, nor does it carry a "sales load."
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
--------------------------------------------------------------------------------------------------
DIRECT SHARES K SHARES
--------------------------------------------------------------------------------------------------
Beginning Ending Account Expenses Beginning Ending Account Expenses
Account Value Value Paid During Account Value Value Paid During
March 1, 2004 August 31, 2004 Period* March 1, 2004 August 31, 2004 Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return $1,000 $ 930 $3.19 $1,000 $ 927 $5.64
- ------------------------------------------------------------------------------------------------------------------------------------
Based on Hypothetical 5%
Return before expenses $1,000 $1,047 $3.34 $1,000 $1,044 $5.91
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's expense ratio (Direct Shares 0.65%; K
Shares 1.26%) for the fiscal year, multiplied by the average account value
over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 366.
62
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004
TRUST STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate
series of shares of beneficial interest of California Investment Trust II. Both
Trusts are registered under the Investment Company Act of 1940, as amended, as
diversified open-end management investment companies. Both Trusts were organized
as Massachusetts business trusts on September 11, 1985 and are authorized to
issue an unlimited number of no par value shares in one or more series. The
investment objectives of the Funds are as follows: California Tax-Free Income
Fund and California Insured Intermediate Fund seek as high a level of income
exempt from federal and California personal income taxes as is consistent with
prudent investment management and safety of capital. California Tax-Free Money
Market Fund seeks capital preservation, liquidity and the highest achievable
current income exempt from both federal and California personal income taxes
consistent with safety. U.S. Government Securities Fund seeks safety from credit
risk, liquidity, and as high a level of income as is consistent with these
objectives by investment in full faith and credit obligations of the U.S.
Government and its agencies or instrumentalities. The United States Treasury
Trust seeks preservation of capital, safety, liquidity and consistent with these
objectives, the highest attainable current income exempt from state income
taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are
diversified mutual funds that seek to provide investment results that correspond
to the total return of publicly traded common stocks represented in the Standard
& Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of income and capital appreciation (when consistent with
high income) by investing primarily in income-producing U.S. equity securities.
European Growth & Income Fund seeks to provide long-term capital appreciation
and income. By investing in large-sized European companies Nasdaq-100 Index Fund
attempts to replicate the performance of the largest non-financial companies as
measured by the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund seeks
liquidity, safety from credit risk, preservation of investors principal and has
a high level of income as is consistent with these objectives by investing in
mainly U.S. government securities. The following is a summary of significant
accounting policies followed by the Funds.
California Investment Trust II began offering an additional class of
shares, Class K, on October 16, 2003. Income and expenses of the Funds are
allocated proportionately to the two classes of shares offered based on the
daily net assets, except for Rule 12b-1 distribution fees and shareholder
service fees, which are charged only to K Shares.
(a) Security Valuation --- Portfolio securities of the S&P 500, S&P MidCap
and S&P SmallCap Index Funds, Equity Income Fund, European Growth & Income Fund,
and Nasdaq-100 Index Fund listed on a national exchange are valued at the last
reported sales price. U.S. Treasury Bills are valued at amortized cost which
approximates market value. Portfolio securities of the California Tax-Free
Income Fund and the California Insured Intermediate Fund are valued by an
independent pricing service that uses market quotations, representing the latest
available bid price, prices provided by market makers, or estimates of market
values obtained from yield data relating to instruments or securities with
similar characteristics, in accordance with procedures established by the Board
of Trustees. The U.S. Government Securities Fund and the Short-Term U.S.
Government Bond Fund are valued by an independent pricing service that uses
market quotations representing the latest available mean between the bid and ask
price, prices provided by market makers or estimates of market value obtained
from yield data relating to instruments or securities with similar
characteristics. Securities with remaining maturities of 60 days or less are
valued on the amortized cost basis as reflecting fair value. All other
securities are valued at their fair value as determined in good faith by the
Funds' ("Board of Trustees"). California Tax-Free Money Market Fund and The
United States Treasury Trust securities are valued at amortized cost which the
Board of Trustees has determined in good faith to constitute fair value.
(b) Futures Contracts--- Initial margin deposits required upon entering
into futures contracts are satisfied by the segregation of specific securities
or cash, as collateral, for the account of the broker (a Fund's agent in
acquiring the futures position). During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
made or received depending upon whether unrealized gains or losses are incurred.
When the contract is closed, a Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund,
S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and
Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash
reserves while remaining fully invested, to facilitate trading, to reduce
transaction costs, or to seek higher investment returns when a futures contract
is priced more attractively than the underlying equity security or index. Risks
include the possibility of an illiquid market and an imperfect correlation
between the change in market value of the stocks held by a Fund and the prices
of futures contracts.
(c) Federal Income Taxes --- No provision is considered necessary for
federal income taxes. The Funds intend to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
Capital loss carry forwards, as of August 31, 2004, available to offset future
capital gains, if any, are as follows:
Expiring Tax Free MM S&P 500 Midcap Equity Income European G & I Nasdaq 100
- ----------------------------------------------------------------------------------------------------------------
2007 -- -- -- -- 806 --
2008 -- -- -- -- 53,456 537,333
2009 -- 7,228,230 1,419,345 296,376 40,585 2,356,290
2010 -- -- -- -- -- --
2011 -- 2,790,405 821,486 111,334 104,291 3,015,438
2012 3,258 -- -- -- 2,426 1,986,011
- ----------------------------------------------------------------------------------------------------------------
Total 3,258 10,018,635 2,240,831 407,710 201,564 7,895,072
================================================================================================================
Accounting principles generally accepted in the United States of America require
certain components of net assets be reclassified between financial and tax
reporting. These reclassifications have no effect on net assets or net asset
value per share. For the year ended August 31, 2004, permanent differences
between book and tax accounting have been reclassified to paid-in capital,
undistributed net investment income/loss and accumulated realized gain/loss as
follows:
Increase (Decrease) Increase (Decrease) Increase (Decrease)
Paid-in capital Undistributed Net Accumulated
Investment Income (Loss) Gain/(Loss)
California Tax-Free Money Market Fund (14,841) -- 14,841
California Insured Intermediate Fund 2,417 (13,968) 11,551
California Tax-Free Income Fund 23,280 (120,778) 97,498
Short-Term U.S. Government Bond Fund (7,437) 637 6,800
S&P SmallCap Index Fund 10,840 -- (10,840)
European Growth & Income Fund -- 92 (92)
Nasdaq-100 Index Fund (68,157) 68,157 --
63
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004
TRUST STATEMENTS
CONTINUED
- --------------------------------------------------------------------------------
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date. Interest
income is recorded on the accrual basis. Dividend income is recorded on the
ex-dividend date. Distributions to shareholders are recorded on the ex-dividend
date for the California Tax-Free Income Fund, the California Insured
Intermediate Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P
MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth
& Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences are
primarily due to differing treatments for futures contracts, redemptions-in-kind
and post-October capital losses. For the California Tax-Free Money Market Fund
and The United States Treasury Trust, dividends from net investment income are
declared daily and reinvested or paid in cash monthly. The two Funds intend to
maintain a continuous net asset value per share of $1.00. If net asset value per
share using available market information deviates from $1.00 by $.005 or more,
the Board of Trustees would consider what steps, if any, should be taken to
restore net asset value per share to $1.00.
(e) Concentration --- The California Tax-Free Income Fund, the California
Insured Intermediate Fund and the California Tax-Free Money Market Fund invest
in debt instruments of municipal issuers. The issuer's abilities to meet their
obligations may be affected by economic developments in the state of California.
(f) Use of Estimates in Financial Statements --- In preparing financial
statements in conformity with accounting principles generally accepted in the
United States of America, management makes estimates and assumptions that affect
the reported amounts of assets and liabilities at the date of the financial
statements, as well as the reported amounts of income and expense during the
year. Actual results may differ from these estimates.
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California limited partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of
0.25% and 0.40%, respectively, of the Funds' average daily net assets. In
accordance with the terms of the management agreements with the S&P SmallCap
Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S.
Government Bond Fund, CCM receives compensation at the annual rate of 0.50% of
the first $500 million of net assets, plus 0.45% on net assets from $500 million
to $1 billion, and 0.40% of net assets above $1 billion. In accordance with the
terms of the management agreement with the European Growth & Income Fund, CCM
receives compensation at the annual rate of 0.85% of the Fund's average daily
net assets. CCM has agreed to reduce its fee by, or reimburse the respective
Funds for, any amount necessary to prevent a Fund's total expenses, excluding
extraordinary items, from exceeding 1.00% of that Fund's average daily net
assets. CCM has voluntarily reimbursed more expenses than contractually
obligated. This voluntary reimbursement is effective for a calendar year,
renewal at the end of each calendar year. Reimbursement from the manager for the
year ended August 31, 2004, is as follows:
Voluntary Expense Limitation
Fund Reimburse Direct Shares K Shares Expiration
- ------------------------------------------------------------------------------------------------------------------------------------
California Tax-Free Money Market Fund $ 178,118 0.44% N/A 12/31/04
California Insured Intermediate Fund $ 32,995 0.59% N/A 12/31/04
Short-Term U.S. Government Bond Fund $ 54,105 0.50% 1.00% 12/31/04
U.S. Government Securities Fund $ 28,834 0.65% 1.15% 12/31/04
The United States Treasury Trust $ 141,755 0.44% 0.94% 12/31/04
S&P 500 Index Fund $ 173,545 0.27% 0.77% 12/31/04
S&P MidCap Index Fund $ 100,400 0.49% 0.99% 12/31/04
S&P SmallCap Index Fund $ 37,970 0.65% 1.15% 12/31/04
Equity Income Fund $ 13,530 0.80% 1.30% 12/31/04
European Growth & Income Fund $ 34,525 0.95% 1.45% 12/31/04
Nasdaq-100 Index Fund $ 44,665 0.65% 1.15% 12/31/04
Certain officers and trustees of the Trusts are also partners of CCM.
64
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004
TRUST STATEMENTS
CONTINUED
- --------------------------------------------------------------------------------
California Investment Trust II has adopted a Distribution Plan (the
"Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby
each Fund of California Investment Trust II pays the Distributor for expenses
that relate to the promotion and distribution of shares. Under the Plan, the
Funds will pay the Distributor a fee at an annual rate of 0.25%, payable
monthly, of each Fund's daily net assets attributable to such Fund's Class K
Shares.
California Investment Trust II has adopted a Shareholder Services Plan
(the "Services Plan"), whereby each Fund of California Investment Trust II pays
CCM Partners, LP, the Funds' Distributor or other service providers, an annual
rate of 0.25% of the average daily net assets of Class K Shares. Such amounts
are compensation for providing certain services to clients owning Class K
shares, including processing purchase and redemption transactions, assisting in
other administrative details and providing other information with respect to
each Fund.
For the year ended August 31, 2004, the following were paid by each Fund
of California Investment Trust II:
Shareholder
Fund 12b-1 Fees Service Fee
- ---- ---------- -----------
U.S. Government Securities Fund .................. $1,669 $1,669
The United States Treasury Trust ................. $1,029 $1,029
Short-Term U.S. Government Bond Fund ............. $1,553 $1,553
S&P 500 Index Fund ............................... $2,222 $2,222
S&P Midcap Index Fund ............................ $2,538 $2,538
S&P SmallCap Index Fund .......................... $2,763 $2,763
Equity Income Fund ............................... $1,230 $1,230
European Growth & Income Fund .................... $1,162 $1,162
Nasdaq-100 Index Fund ............................ $1,913 $1,913
NOTE 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during the
year ended August 31, 2004 were as follows:
PURCHASES SALES
------------ ------------
California Tax-Free Income Fund ........... $ 17,915,290 $ 43,354,477
California Insured Intermediate Fund ...... $ 6,048,619 $ 5,996,437
Short-Term U.S. Government Bond Fund ...... $ 6,349,039 $ 8,058,773
U.S. Government Securities Fund ........... $ 32,334,834 $ 27,970,887
S&P 500 Index Fund ........................ $ 5,970,981 $ 2,111,717
S&P Midcap Index Fund ..................... $ 24,090,116 $ 14,760,441
Equity Income Fund ........................ $ 3,548,895 $ 1,450,108
S&P SmallCap Index Fund ................... $ 5,407,091 $ 3,020,259
European Growth & Income Fund ............. $ 1,513,946 $ 85,378
Nasdaq-100 Index Fund ..................... $ 3,752,814 $ 1,454,970
65
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004
TRUST STATEMENTS
CONTINUED
- --------------------------------------------------------------------------------
NOTE 4
The tax character of distributions paid during the years ended August 31, 2004
and 2003 were as follows:
Ordinary Long-Term Exempt-Interest Total
Income Capital Gains Dividends Distributions
California Tax-Free Money Market Fund 2004 -- -- 461,912 461,912
2003 -- -- 645,114 645,114
California Insured Intermediate Fund 2004 10,062 68,620 835,074 913,756
2003 8,854 502,411 830,980 1,342,245
California Tax Free Income Fund 2004 142,398 1,242,840 6,615,271 8,000,509
2003 156,850 2,227,768 7,287,147 9,671,765
U.S. Government Securities Fund 2004 979,428 163,988 -- 1,143,416
2003 1,332,875 -- -- 1,332,875
The United States Treasury Trust 2004 260,901 -- -- 260,901
2003 378,500 -- -- 378,500
Short Term U.S. Government Bond Fund 2004 221,710 -- -- 221,710
2003 227,749 -- -- 227,749
S&P 500 Index Fund 2004 1,494,851 -- -- 1,494,851
2003 1,437,422 -- -- 1,437,422
S&P MidCap Index Fund 2004 788,031 -- -- 788,031
2003 721,101 -- -- 721,101
S&P Small Cap Index Fund 2004 -- 125,962 -- 125,962
2003 41,424 51,780 -- 93,204
Equity Income Fund 2004 134,677 -- -- 134,677
2003 112,369 -- -- 112,369
European Growth & Income Fund 2004 78,858 -- -- 78,858
2003 37,320 -- -- 37,320
Nasdaq-100 Index Fund 2004 -- -- -- --
2003 -- -- -- --
66
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2004
TRUST STATEMENTS
CONTINUED
- --------------------------------------------------------------------------------
The tax character of distributable earnings at August 31, 2004 were as follows:
Undistributed Undistributed Capital Unrealized Post Total
Ordinary Long Term Loss Appreciation October Distributable
Income Capital Gain Carry Forwards (Depreciation) Losses * Earnings
California Tax-Free Money Market Fund -- -- (3,258) -- -- (3,258)
California Insured Intermediate Fund -- 54,421 -- 1,087,466 -- 1,141,887
California Tax Free Income Fund -- 2,641,320 -- 15,310,628 -- 17,951,948
U.S. Government Securities Fund 3,018 245,918 -- 110,586 -- 359,522
The United States Treasury Trust 2,404 -- -- -- -- 2,404
Short Term U.S. Government Bond Fund 1,294 6,616 -- (28,563) -- (20,653)
S&P 500 Index Fund 288,290 -- (10,040,463) 12,718,250 (18,664) 2,947,413
S&P MidCap Index Fund 160,265 -- (2,240,827) 24,373,400 -- 22,292,838
S&P Small Cap Index Fund 64,410 1,023,862 -- 3,990,957 -- 5,079,229
Equity Income Fund 36,738 -- (407,710) 2,352,023 -- 1,981,041
European Growth & Income Fund 18,491 -- (201,564) (176,456) (59,166) (418,695)
Nasdaq-100 Index Fund -- -- (7,895,074) (4,915,947) (1,630,758) (14,441,779)
The difference between book basis and tax basis unrealized appreciation is
attributable primarily to the realization for tax purposes of unrealized gains
on future contracts and other deferrals.
* Under the current tax law, capital losses realized after October 31st and
prior to the Funds' fiscal year end may be deferred as occuring on the
first day of the following fiscal year.
- --------------------------------------------------------------------------------
Fund Holdings: The Fund holdings shown in this report are as of August 31, 2004.
Holdings are subject to change at any time, so holdings shown in this report may
not reflect current fund holdings. The Funds file complete schedules of
portfolio holdings with the SEC for the first and third quarters of each fiscal
year on Form N-Q, the first of which will be filed for the quarter ending
November 30, 2004. The Funds' Form N-Q will be available on the SEC's web-site
at www.sec.gov and may be reviewed and copied at the Commission's Public
Reference Room to Washington, DC. Information on the operation of the Public
Reference Room may be obtained the information filed in the form N-Q copies of
which may be obtained by visiting the Funds' website at www.citfunds.com or by
calling 1-800-225-8778.
Proxy Voting Record: The Funds' Statement of Additional Information ("SAI")
containing a description of the policies and procedures that the California
Investment Trust Fund Group uses to determine how to vote proxies relating to
portfolio securities, along with each Fund's proxy voting record relating to
portfolio securities held during the 12-month period ended June 30, 2004, is
available upon request, at no charge, at the phone number and website below or
on the SEC's website at www.sec.gov.
This report is submitted for the general information of the shareholders of the
California Investment Trust Fund Group. It is authorized for distribution only
if preceded or accompanied by a current California Investment Trust Fund Group
prospectus. Additional copies of the prospectus may be obtained by calling
800-225-8778 or can be downloaded from the Funds' website at www.citfunds.com.
Please read the prospectus carefully before you invest or send money, as it
explains the risks, fees and expenses of investing in the Funds.
67
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
California Investment Trust
California Investment Trust II
We have audited the accompanying statements of assets and liabilities of
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund, each a series of shares of beneficial
interest of California Investment Trust, and the U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index
Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income
Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund, each a
series of shares of beneficial interest of California Investment Trust II,
including the portfolios of investments as of August 31, 2004, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for the periods indicated thereon. These financial statements and
financial highlights are the responsibility of the Trusts' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (US). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of August 31, 2004, by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
California Tax-Free Money Market Fund, California Tax-Free Income Fund,
California Insured Intermediate Fund, the U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund as of August 31,
2004, the results of their operations for the year then ended, the changes in
their net assets for each of the two years in the period then ended, and the
financial highlights for the periods referred to above, in conformity with
accounting principles generally accepted in the United States of America.
Tait, Weller & Baker
Philadelphia, Pennsylvania
October 7, 2004
68
- --------------------------------------------------------------------------------
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS
(UNAUDITED)
- --------------------------------------------------------------------------------
Overall responsibility for management of the Funds rests with the Board of
Trustees. The Trustees serve during the lifetime of the Trust and until its
termination, or until death, resignation, retirement or removal. The Trustees,
in turn, elect the officers of the Fund to actively supervise its day-to-day
operations. The officers have been elected for an annual term. The following are
the Trustees and Executive Officers of the Funds:
LENGTH OF TIME
TRUSTEE ADDRESS DATE OF BIRTH POSITION HELD WITH THE TRUST SERVED
- ------------------------------------------------------------------------------------------------------------------------------------
Stephen C. Rogers 44 Montgomery St. #2100 06/27/66 President, Secretary & Trustee Since August 1998
San Francisco, CA 94104 Chief Executive Officer, CCM Partners
- ------------------------------------------------------------------------------------------------------------------------------------
** Phillip W. McClanahan 44 Montgomery St. #2100 12/26/35 Vice President, Treasurer and Trustee Since September 1985
San Francisco, CA 94104
- ------------------------------------------------------------------------------------------------------------------------------------
Harry Holmes P.O. Box 714 12/05/25 Trustee Since September 1985
Pebble Beach, CA 93953
- ------------------------------------------------------------------------------------------------------------------------------------
John B. Sias 580 California Street 01/22/27 Trustee Since March 1991
San Francisco, CA 94103
- ------------------------------------------------------------------------------------------------------------------------------------
James Miller One Front Street, Suite 300 05/28/66 Trustee Since August 2001
San Francisco, CA 94111
- ------------------------------------------------------------------------------------------------------------------------------------
Each Trustee oversees twelve portfolios of the Trusts, including the Funds. The
principal occupations of the Trustees and Executive Officers of the Fund during
the past five years and public directorships held by the Trustees are set forth
below:
*Stephen C. Rogers Chief Executive Officer, CCM Partners, 1999 to present;
Chief Operating Officer, CCM Partners 1997 to 1999;
Administrative Officer, CCM Partners 1993-1997; Marketing
Representative, CCM Partners, 1992 to 1993.
**Phillip 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 Director, President and CEO, Chronicle Publishing
Company, 1993 to 2000; Executive Vice President, Capital
Cities/ABC Inc. and President, ABC Network T.V. Group
1986 to 1992;
James Miller Vice President, Jones Lange LaSalle Americas, Inc. 1999
to present; Associate, Orrick Herrington & Sutcliffe LLP,
1996-1999; Associate, Gordon & Rees LLP, 1992-1993.
Additional information on the Trustees may be found in the SAI.
* Trustee deemed to be an "interested person" of the Trusts, as defined in the
Investment Company Act of 1940.
** Phillip McClanahan retired as a Trustee of the trusts on August 31, 2003.
69
[LOGO]
CALIFORNIA -------------
INVESTMENT TRUST PRSRT STD
---------------- U.S. Postage
FUND GROUP PAID
44 MONTGOMERY STREET #2100 Permit #688
SAN FRANCISCO, CA 94104 Redwood City,
CA
-------------
ITEM 2. CODE OF ETHICS.
(a) The Registrant has adopted a code of ethics that applies to its principal
executive officers and principal financial and accounting officer.
(c) N/A
(d) N/A
(f) Pursuant to Item 11(a), the Registrant is attaching as an exhibit a copy
of its code of ethics that applies to its principal executive officer and
principal financial and accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) Registrant does not have an audit committee financial expert serving on
its audit committee.
(a)(2) Not Applicable
(a)(3) The audit committee has determined that no independent trustee meets the
criteria of "audit committee financial expert".
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The aggregate fees paid to the principal accountant for professional services
rendered by the principal accountant for the audit of the Registrant's annual
financial statements or for services that are normally provided by the principal
accountant in connection with statutory and regulatory filings or engagements
were $71,550 for the fiscal year ended August 31, 2004 and $67,025 for the
fiscal year ended August 31, 2003.
(b) Audit-Related Fees
There were no fees paid to the principal accountant for assurance and related
services rendered by the principal accountant to the Registrant that are
reasonably related to the performance of the audit of the Registrant's financial
statements and are not reported under paragraph (a) of Item 4.
(c) Tax Fees
The aggregate fees paid to the principal accountant for tax compliance, tax
advice, and tax planning services rendered by the principal accountant to the
Registrant were $11,500 for the fiscal year ended August 31, 2004 and $9,575 for
the fiscal year ended August 31, 2003.
(d) All Other Fees
There were no other fees paid to the principal accountant for services rendered
by the principal accountant to the Registrant that are reasonably related to the
performance of the audit of the Registrant's financial statements and are not
reported under paragraphs (a)-(c) of Item 4.
(e) (1) The Registrant's audit committee is directly responsible for approving
the services to be provided by the auditors, including:
(i) pre-approval of all audit and audit-related services;
(ii) pre-approval of all non-audit related services to be provided to the
Registrant by the auditors;
(iii) pre-approval of all non-audit related services to be provided to the
Registrant by the auditors to the Registrant 's investment adviser
or to any entity that controls, is controlled by or is under common
control with the Registrant 's investment adviser and that provides
ongoing services to the Registrant where the non-audit services
relate directly to the operations or financial reporting of the
Registrant; and
(e) (2) All of the services provided to the Registrant described in paragraphs
(b)-(d) of Item 4 were pre-approved by the audit committee.
(f) Not Applicable
(g) The aggregate non-audit fees paid to the principal accountant for services
rendered by the principal accountant to the Registrant and the
Registrant's investment adviser and any entity controlling, controlled by
or under common control with the investment adviser that provides ongoing
services to the Registrant were $2,500 for the fiscal year ended August
31, 2004 and $2,000 for the fiscal year ended August 31, 2003.
(h) Not Applicable
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included under Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVEESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 9. 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) The Code of Ethics is attached hereto.
(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/ Stephen C. Rogers PRESIDENT
-------------------------------------------------------
Date: November 9, 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/ Stephen C. Rogers PRESIDENT
-------------------------------------------------------
Date: November 9, 2004
By (Signature and Title)* /s/ Christopher P. Browne TREASURER
-------------------------------------------------------
Date: November 9, 2004
* Print the name and title of each signing officer under his or her signature.