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
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California Investment Trust II
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(Exact name of registrant as specified in charter)
44 Montgomery Street, Suite 2100, San Francisco, CA 94104
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(Address of principal executive offices) (Zip code)
Steve Rogers, 44 Montgomery Street, Suite 2100, San Francisco, CA 94104
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(Name and address of agent for service)
Registrant's telephone number, including area code: (415) 398-2727
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Date of fiscal year end: August 31, 2006
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Date of reporting period: February 28, 2006
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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
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
CALIFORNIA INVESTMENT TRUST
---------------------------
FUND GROUP
SEMI-ANNUAL REPORT
February 28, 2006
(800) 225-8778
www.caltrust.com
NO-LOAD FUNDS
This report is intended only for the information of shareholders or those who
have received the offering prospectus covering shares of beneficial interest of
California Investment Trust Fund Group which contains information about the
management fee and other costs. Investments in shares of the funds of
California Investment Trust Fund Group are neither insured nor guaranteed by
the U.S. Government, and there is no assurance that any Fund which is a Money
Market Fund will be able to maintain a stable net asset value of $1.00 per
share.
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ABOUT YOUR FUND'S 2/28/2006
EXPENSES (UNAUDITED)
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We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund, you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing in the Fund and
to compare these costs with the ongoing costs of investing in other mutual
funds. The examples below are based on an investment of $1,000 made at the
beginning of the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return - This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% return - This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and Exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note 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 Account Value Ending Account Value Expenses Paid
September 1, 2005 February 28, 2006 During Period
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California Tax-Free Money Market Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,011 $2.64(1)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,022 $2.66(1)
California Insured Intermediate Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,004 $3.38(2)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,022 $3.41(2)
California Tax-Free Income Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,005 $3.28(3)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,022 $3.31(3)
U.S. Government Securities Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $ 994 $3.66(4)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,021 $3.71(4)
K Shares
Based on Actual Fund Return ........................... $1,000 $ 992 $6.12(4)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,019 $6.21(4)
The United States Treasury Trust
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,017 $2.65(5)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,022 $2.66(5)
K Shares
Based on Actual Fund Return ........................... $1,000 $1,014 $5.14(5)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,020 $5.16(5)
Short-Term U.S. Government Bond Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,004 $2.93(6)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,022 $2.96(6)
K Shares
Based on Actual Fund Return ........................... $1,000 $1,002 $5.41(6)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,020 $5.46(6)
S&P 500 Index Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,058 $1.84(7)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,023 $1.81(7)
K Shares
Based on Actual Fund Return ........................... $1,000 $1,055 $4.38(7)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,021 $4.31(7)
1
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ABOUT YOUR FUND'S 2/28/2006
EXPENSES (UNAUDITED)
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Beginning Account Value Ending Account Value Expenses Paid
September 1, 2005 February 28, 2006 During Period
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S&P MidCap Index Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,089 $3.00 (8)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,022 $2.91 (8)
K Shares
Based on Actual Fund Return ........................... $1,000 $1,086 $5.59 (8)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,020 $5.41 (8)
S&P SmallCap Index Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,089 $3.83 (9)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,021 $3.71 (9)
K Shares
Based on Actual Fund Return ........................... $1,000 $1,086 $6.41 (9)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,019 $6.21 (9)
Equity Income Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,038 $4.40 (10)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,021 $4.36 (10)
K Shares
Based on Actual Fund Return ........................... $1,000 $1,036 $6.92 (10)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,018 $6.85 (10)
European Growth & Income Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,063 $5.12 (11)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,020 $5.01 (11)
K Shares
Based on Actual Fund Return ........................... $1,000 $1,060 $7.66 (11)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,018 $7.51 (11)
Nasdaq-100 Index Fund
Direct Shares
Based on Actual Fund Return ........................... $1,000 $1,055 $3.77 (12)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,021 $3.71 (12)
K Shares
Based on Actual Fund Return ........................... $1,000 $1,053 $6.31 (12)
Based on Hypothetical 5% Return before expenses ....... $1,000 $1,019 $6.21 (12)
- ----------
(1) Expenses are equal to the Fund's expense ratio (0.53%), for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided
by 365.
(2) Expenses are equal to the Fund's expense ratio (0.68%), for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided
by 365.
(3) Expenses are equal to the Fund's expense ratio (0.66%), for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided
by 365.
(4) Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K
Shares 1.24%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
(5) Expenses are equal to the Fund's expense ratio (Direct Shares 0.53%; K
Shares 1.03%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
(6) Expenses are equal to the Fund's expense ratio (Direct Shares 0.59%; K
Shares 1.09%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
(7) Expenses are equal to the Fund's expense ratio (Direct Shares 0.36%; K
Shares 0.86%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
(8) Expenses are equal to the Fund's expense ratio (Direct Shares 0.58%; K
Shares 1.08%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
(9) Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K
Shares 1.24%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
(10) Expenses are equal to the Fund's expense ratio (Direct Shares 0.87%; K
Shares 1.37%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
(11) Expenses are equal to the Fund's expense ratio (Direct Shares 1.00%; K
Shares 1.50%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
(12) Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K
Shares 1.24%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most
recent fiscal half-year, then divided by 365.
2
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TOP HOLDINGS AND SECTOR 2/28/2006
BREAKDOWNS (UNAUDITED)
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California Tax-Free Money Market Fund
Percentage
of Total
Security Description Value Investment
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1 CALIFORNIA, STATE OF Kindergarten-Univ; Series B-3 $2,200,000 3.6%
2 SACRAMENTO, COUNTY OF Series A 2,010,356 3.3%
3 CALIFORNIA, STATE OF Revenue Anticipation Notes 2,009,554 3.3%
4 CALIFORNIA COMMUNITY COLLEGE FINANCING Series A 2,009,063 3.3%
AUTHORITY
5 BAY AREA TOLL AUTHORITY San Francisco Bay Toll; Series D-1 2,000,000 3.3%
6 CALIFORNIA, STATE OF General Obligation Bonds; Series 2003C-1 2,000,000 3.3%
7 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series C-8 2,000,000 3.3%
8 CHINO BASIN REGIONAL FINANCING AUTHORITY Inland Empire Utilities Agency; Series 2002A 2,000,000 3.3%
9 LOS ANGLES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds; 1992; Series A 2,000,000 3.3%
10 ORANGE COUNTY WATER DISTRICT Certificates of Participation; Series A 2,000,000 3.3%
11 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 2,000,000 3.3%
12 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 3.3%
13 EAST BAY MUNICIPAL UTILITY DISTRICT Certificates of Participation 2,000,000 3.3%
14 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commercial Paper Notes; Series A 2,000,000 3.3%
[BAR CHART]
Variable Rate Demand Notes 74.5%
Tax and Revenue Anticipation Notes 18.4%
Commercial Paper 6.5%
Other Net Assets 0.5%
California Insured Intermediate Fund
Percentage
of Total
Security Description Value Investment
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1 MONTEREY, COUNTY OF Certificates of Participation $647,796 3.3%
2 OAK PARK UNIFIED SCHOOL DISTRICT General Obligation, Refunding Bonds 612,918 3.1%
3 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 594,688 3.0%
4 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 562,049 2.8%
5 FRESNO, CITY OF Water System Revenue Refunding; Series A 560,345 2.8%
6 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 2001A 559,480 2.8%
7 SOUTHERN CALIFORNIA PUBLIC POWER San Juan Power Project 2002 Refunding; Series A 557,450 2.8%
AUTHORITY
8 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 20025 556,075 2.8%
9 OAKLAND JOINT POWERS FINANCING Convention Centers; Series 2001 555,595 2.8%
AUTHORITY
10 BEVERLY HILLS PUBLIC FINANCIAL Lease Revenue Refunding; Series A 552,020 2.8%
AUTHORITY
[BAR CHART]
Long Term Securities 95.8%
Variable Rate Demand Notes 3.0%
Other Net Assets 1.2%
3
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TOP HOLDINGS AND SECTOR 2/28/2006
BREAKDOWNS (UNAUDITED)
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California Tax-Free Income Fund
Percentage
of Total
Security Description Value Investment
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1 CALIFORNIA STATE PUBLIC WORKS BOARD University of California Projects; 1993 Series A $5,500,200 4.1%
2 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation 4,334,400 3.2%
Refunding Bonds
3 LOS ANGELES COMMUNITIES REDEVELOPMENT AGENCY Bunker Hill Project; Series A 4,208,240 3.1%
4 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 4,199,146 3.1%
5 CALIFORNIA, STATE OF General Obligation Bonds; 2005 4,185,480 3.1%
6 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 3,856,476 2.9%
7 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 3,413,239 2.6%
8 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Stanford University Revenue Bonds; Series P 3,359,250 2.5%
9 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Revenue Bonds (Occidental College); Series 2005A 3,350,279 2.5%
10 CALIFORNIA, STATE OF General Obligation Bonds 3,336,420 2.5%
[BAR CHART]
Long Term Securities 98.4%
Variable Rate Demand Notes 0.5%
Other Net Assets 1.1%
U.S. Government Securities Fund
Percentage
of Total
Security Description Maturity Value Investment
- --------------------------------------------------------------------------------------
1 United States Treasury Bills 5/18/2006 $4,952,280 18.7%
2 United States Treasury Bonds 5/15/2016 3,631,877 13.7%
3 Government National Mortgage Association 12/20/2034 2,478,104 9.4%
4 Government National Mortgage Association 7/20/2035 1,939,951 7.3%
5 Government National Mortgage Association 2/15/2019 1,651,918 6.2%
6 Government National Mortgage Association 7/15/2020 1,554,643 5.9%
7 Government National Mortgage Association 9/15/2018 1,453,567 5.5%
8 Government National Mortgage Association 1/15/2019 1,435,028 5.4%
9 Government National Mortgage Association 1/15/2025 1,238,898 4.7%
10 Government National Mortgage Association 2/15/2018 1,163,056 4.4%
[BAR CHART]
Government National Mortgage Association 62.4%
United States Treasury Bills 23.4%
United States Treasury Bonds 13.6%
Other Net Assets 0.6%
4
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TOP HOLDINGS AND SECTOR 2/28/2006
BREAKDOWNS (UNAUDITED)
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The United States Treasury Trust
Percentage
of Total
Security Description Maturity Value Investment
- ------------------------------------------------------------------------------
1 United States Treasury Bills 6/8/2006 $13,335,325 38.2%
2 United States Treasury Bills 4/20/2006 12,927,587 37.0%
3 United States Treasury Bills 3/16/2006 8,186,712 23.4%
4 United States Treasury Bills 5/18/2006 495,168 1.4%
[BAR CHART]
United States Treasury Bills 100.3%
Other Liabilities -0.3%
Short Term U.S. Government Bond Fund
Percentage
of Total
Security Description Maturity Value Investment
- --------------------------------------------------------------------------------------
1 United States Treasury Notes 5/15/2008 $1,668,127 10.3%
2 United States Treasury Notes 5/15/2007 1,570,813 9.7%
3 United States Treasury Notes 8/15/2007 1,459,220 9.0%
4 United States Treasury Notes 2/28/2007 1,283,243 7.9%
5 United States Treasury Notes 2/15/2007 1,172,485 7.2%
6 United States Treasury Notes 11/15/2007 1,069,880 6.6%
7 United States Treasury Notes 8/15/2008 988,868 6.1%
8 United States Treasury Notes 2/15/2008 969,063 6.0%
9 Government National Mortgage Association 11/20/2034 768,845 4.7%
10 United States Treasury Notes 9/30/2007 692,672 4.3%
[BAR CHART]
Government National Mortgage Association 8.7%
United States Treasury Bills 1.8%
United States Treasury Notes 88.9%
Other Net Assets 0.6%
5
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TOP HOLDINGS AND SECTOR 2/28/2006
BREAKDOWNS (UNAUDITED)
- --------------------------------------------------------------------------------
S&P 500 Index Fund
Percentage
of Total
Security Value Investment
- -------------------------------------------------------------------
1 Exxon Mobil Corp $3,480,863 3.1%
2 General Electric Co 3,269,546 2.9%
3 Microsoft Corp 2,318,296 2.1%
4 Citigroup Inc 2,207,722 2.0%
5 Bank of America Corp 2,005,754 1.8%
6 Procter & Gamble Co 1,890,012 1.7%
7 Pfizer Inc 1,808,472 1.6%
8 American International Group Inc 1,618,919 1.5%
9 Johnson & Johnson 1,615,065 1.5%
10 Altria Group Inc 1,408,521 1.3%
[BAR CHART]
S&P 500 CIT
Basic Materials 2.9% 3.0%
Communications 10.5% 10.5%
Consumer Cyclical 8.6% 8.6%
Consumer Non-Cyclical 21.5% 21.4%
Energy 9.5% 9.5%
Financial 21.1% 21.1%
Industrial 11.3% 11.4%
Technology 11.2% 11.2%
Utility 3.4% 3.3%
S&P MidCap Index Fund
Percentage
of Total
Security Value Investment
- ------------------------------------------------------------------------
1 Legg Mason Inc $2,526,394 1.4%
2 Peabody Energy Corp 2,017,686 1.1%
3 SanDisk Corp 1,764,100 1.0%
4 Chico's FAS Inc 1,350,147 0.7%
5 Expeditors International Washington Inc 1,318,074 0.7%
6 Cognizant Technology Solutions Corp 1,264,482 0.7%
7 Smith International Inc 1,232,389 0.7%
8 CH Robinson Worldwide Inc 1,214,712 0.7%
9 Varian Medical Systems Inc 1,206,161 0.7%
10 Microchip Technology Inc 1,172,019 0.6%
[BAR CHART]
S&P 400 CIT
Basic Materials 3.4% 3.4%
Communications 4.8% 4.7%
Consumer Cyclical 14.7% 14.6%
Consumer Non-Cyclical 17.0% 17.8%
Diversified 0.4% 0.4%
Energy 10.3% 10.3%
Financial 18.1% 17.9%
Industrial 13.8% 13.7%
Technology 11.1% 11.0%
Utilities 6.4% 6.2%
6
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TOP HOLDINGS AND SECTOR 2/28/2006
BREAKDOWNS (UNAUDITED)
- --------------------------------------------------------------------------------
S&P SmallCap Index Fund
Percentage
of Total
Security Value Investment
- ---------------------------------------------------------------
1 NVR Inc $256,020 0.8%
2 Oshkosh Truck Corp 244,960 0.8%
3 Roper Industries Inc 225,711 0.7%
4 Cimarex Energy Co 205,749 0.6%
5 Global Payments Inc 202,305 0.6%
6 Hughes Supply Inc 182,318 0.6%
7 JLG Industries Inc 179,389 0.6%
8 Shurgard Storage Centers Inc 176,935 0.5%
9 Resmed Inc 169,260 0.5%
10 Massey Energy Co 167,177 0.5%
[BAR CHART]
S&P 600 CIT
Basic Materials 3.7% 3.6%
Communications 3.5% 3.3%
Consumer Cyclical 18.4% 18.5%
Consumer Non-Cyclical 17.1% 17.0%
Energy 7.3% 7.6%
Financial 14.9% 14.8%
Industrial 21.1% 21.2%
Technology 9.7% 9.6%
Utility 4.3% 4.4%
Equity Income Fund
Percentage
of Total
Security Value Investment
- -------------------------------------------------------
1 Bank of America Corp $596,784 2.8%
2 McGraw-Hill Cos Inc/The 566,895 2.7%
3 Wells Fargo & Co 532,667 2.5%
4 Citigroup Inc 482,758 2.3%
5 ConocoPhillips 447,934 2.1%
6 Coca-Cola Co/The 440,685 2.1%
7 McDonald's Corp 431,767 2.1%
8 Moody's Corp 408,164 1.9%
9 Baxter International Inc 394,056 1.9%
10 Lowe's Cos Inc 392,035 1.9%
[BAR CHART]
S&P 500
Citigroup/Value CIT
Basic Materials 4.8% 3.5%
Communications 13.0% 4.7%
Consumer Cyclical 5.2% 11.6%
Consumer Non-Cyclical 8.5% 18.7%
Energy 8.1% 13.6%
Financial 32.2% 27.7%
Industrial 15.3% 5.9%
Technology 6.9% 9.1%
Utility 6.0% 5.2%
7
- --------------------------------------------------------------------------------
TOP HOLDINGS AND SECTOR 2/28/2006
BREAKDOWNS (UNAUDITED)
- --------------------------------------------------------------------------------
European Growth & Income Fund
Percentage
of Total
Security Value Investment
- ------------------------------------------------------------
1 BP PLC ADR $483,272 5.4%
2 HSBC Holdings PLC ADR 396,831 4.4%
3 Total SA ADR 375,740 4.2%
4 Barclays PLC ADR 358,602 4.0%
5 GlaxoSmithKline PLC ADR 350,048 3.9%
6 Novartis AG ADR 338,510 3.8%
7 UBS AG 316,034 3.5%
8 Royal Dutch Shell PLC ADR 315,706 3.5%
9 Vodafone Group PLC ADR 291,925 3.3%
10 Nokia OYJ ADR 286,652 3.2%
[BAR CHART]
DJ STOXX 50 CIT
Basic Materials 4.4% 3.4%
Communications 12.9% 15.2%
Consumer Cyclical 7.7% 1.2%
Consumer Non-Cyclical 21.9% 20.3%
Energy 11.6% 18.5%
Financial 30.2% 33.5%
Industrial 5.0% 3.6%
Technology 2.0% 1.1%
Utility 4.3% 3.2%
Nasdaq-100 Index Fund
Percentage
of Total
Security Value Investment
- ----------------------------------------------------
1 Qualcomm Inc $1,168,636 6.5%
2 Microsoft Corp 1,132,759 6.3%
3 Apple Computer Inc 1,003,974 5.6%
4 Google Inc 567,138 3.2%
5 Cisco Systems Inc 556,195 3.1%
6 Amgen Inc 544,509 3.0%
7 eBay Inc 522,342 2.9%
8 Starbucks Corp 485,816 2.7%
9 Intel Corp 445,084 2.5%
10 Gilead Sciences Inc 349,397 1.9%
[BAR CHART]
NASDAQ-100 CIT
Basic Materials 0.3% 0.3%
Communications 28.3% 28.6%
Consumer Cyclical 10.6% 10.7%
Consumer Non-Cyclical 17.8% 18.1%
Energy 0.3% 0.3%
Industrial 2.8% 2.9%
Technology 39.9% 39.1%
8
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2006
MONEY MARKET FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Security Description Par Value Rate Maturity Value (Note 1)
- --------------------------------------------------------------------------------------------------------------------
VARIABLE RATE DEMAND NOTES* (74.53%)
ABAG FINANCIAL AUTHORITY FOR NON-PROFIT CORPS
Revenue Bonds $1,500,000 2.93% 3/2/2006 $1,500,000
BAY AREA TOLL AUTHORITY
San Francisco Bay Toll; Series D-1 2,000,000 3.10% 3/1/2006 2,000,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
Sutter Hospital; Series B 150,000 2.70% 3/1/2006 150,000
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK
Rand Corporation; Series B 500,000 2.70% 3/1/2006 500,000
CALIFORNIA, STATE OF
General Obligation: Series A-3 100,000 2.65% 3/1/2006 100,000
General Obligation Bonds; Series 2003C-1 2,000,000 2.94% 3/2/2006 2,000,000
Kindergarten-Univ; Series B-3 2,200,000 2.69% 3/1/2006 2,200,000
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series 2002-B6 900,000 2.69% 3/1/2006 900,000
Power Supply Revenue Bonds; Series C-8 2,000,000 2.98% 3/2/2006 2,000,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
Certificates of Participation: Sutter Health Group 600,000 2.69% 3/1/2006 600,000
Gemological Institute of America; Special Tax; Series 2001 1,800,000 2.97% 3/2/2006 1,800,000
CHINO BASIN REGIONAL FINANCING AUTHORITY
Inland Empire Utilities Agency; Series 2002A 2,000,000 2.95% 3/1/2006 2,000,000
IRVINE, CITY OF
Assessment District 94-13 800,000 2.69% 3/1/2006 800,000
Assessment District 97-17 700,000 2.69% 3/1/2006 700,000
Assessment District 93-14 1,000,000 2.65% 3/1/2006 1,000,000
IRVINE RANCH WATER DISTRICT
General Obligation; Consolidated Series 600,000 2.69% 3/1/2006 600,000
Waterworks Bonds; 1998 Series A, District 182 400,000 2.65% 3/1/2006 400,000
Sewer Bonds; 1988 Series A; District 282 400,000 2.65% 3/1/2006 400,000
General Obligation; Consolidated Series 1993 650,000 2.69% 3/1/2006 650,000
Certificates of Participation; 1986 Capital Improvements Projects 1,300,000 2.65% 3/1/2006 1,300,000
LOS ANGELES COUNTY HOUSING AUTHORITY
Rowland Heights Preservation; Series A 1,400,000 3.05% 3/1/2006 1,400,000
LOS ANGELES, COUNTY OF
Pension Obligation, Refunding Bonds 1,400,000 2.95% 3/1/2006 1,400,000
LOS ANGLES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds; 1992; Series A 2,000,000 2.95% 3/2/2006 2,000,000
Tax Refunding Bonds; Series A 1,000,000 2.95% 3/1/2006 1,000,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Water System Revenue Bonds; 2001 Series B-2 200,000 2.69% 3/1/2006 200,000
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water Revenue Refunding Bonds; 1996 Series A 1,885,000 2.95% 3/2/2006 1,885,000
Water Revenue Bonds; Series 2000 B-3 100,000 2.65% 3/1/2006 100,000
Water Revenue Bonds; Series 2001 C-2 600,000 2.70% 3/1/2006 600,000
ORANGE COUNTY HOUSING AUTHORITY
Revenue Bonds, Village Niguel, Issue AA of 1985 1,900,000 3.00% 3/1/2006 1,900,000
ORANGE COUNTY SANITATION DISTRICT
Refunding Certificates of Participation; Series 1993 1,600,000 2.69% 3/1/2006 1,600,000
Certificates of Participation; Series B 800,000 2.69% 3/1/2006 800,000
ORANGE COUNTY WATER DISTRICT
Certificates of Participation; Series A 2,000,000 2.95% 3/1/2006 2,000,000
RIVERSIDE, COUNTY OF
Community Facilities District 89-5, Special Tax 2,000,000 2.96% 3/1/2006 2,000,000
SAN FRANCISCO CITY & COUNTY FINANCE CORP.
Moscone Center Expansion Project; Series 2000-3 1,900,000 2.90% 3/2/2006 1,900,000
See accompanying notes to financial statements.
9
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2006
MONEY MARKET FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Security Description Par Value Rate Maturity Value (Note 1)
- --------------------------------------------------------------------------------------------------------------
SANTA ANA HOUSING AUTHORITY
Harbor Pointe Apartments; 1995 Series A $ 1,720,000 2.93% 3/2/2006 $ 1,720,000
TUSTIN, CITY OF
Reassessment District No. 95-2; Series A 800,000 2.69% 3/1/2006 800,000
WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY
Regional Wastewater Treatment Bonds, 1996 800,000 2.69% 3/1/2006 800,000
WILLIAM S. HART UNION HIGH SCHOOL DISTRICT
School Facility Bridge Funding Program 2,000,000 2.95% 3/2/2006 2,000,000
--------------
Total Variable Rate Demand Notes (Cost $45,705,000) 45,705,000
--------------
TAX AND REVENUE ANTICIPATION NOTES (18.44%)
CALIFORNIA COMMUNITY COLLEGE FINANCING AUTHORITY
Series A 2,000,000 4.00% 6/30/2006 2,009,063
CALIFORNIA SCHOOL CASH RESERVE PROGRAM FINANCING AUTHORITY
Series A 1,750,000 4.00% 7/6/2006 1,758,305
CALIFORNIA, STATE OF
Revenue Anticipation Notes 2,000,000 4.50% 6/30/2006 2,009,554
LOS ANGELES, COUNTY OF
Series A 1,000,000 4.00% 6/30/2006 1,004,718
LOS ANGELES UNIFIED SCHOOL DISTRICT
Election 2004; Series A 1,500,000 5.00% 7/1/2006 1,509,310
SACRAMENTO, COUNTY OF
Series A 2,000,000 4.00% 7/10/2006 2,010,356
SAN DIEGO COUNTY AND SCHOOL DISTRICT
Series B 1,000,000 4.00% 7/14/2006 1,004,727
--------------
Total Tax and Revenue Anticipation Notes (Cost $11,306,033) 11,306,033
--------------
COMMERCIAL PAPER (6.52%)
EAST BAY MUNICIPAL UTILITY DISTRICT
Certificates of Participation 2,000,000 3.00% 3/8/2006 2,000,000
UNIVERSITY OF CALIFORNIA BOARD OF REGENTS
Commercial Paper Notes; Series A 2,000,000 3.00% 3/9/2006 2,000,000
--------------
Total Commercial Paper (Cost $4,000,000) 4,000,000
--------------
Total Investments (Cost $61,011,033) (a) (99.49%) $ 61,011,033
Other Net Assets (0.51%) 314,407
--------------
Net Assets (100.00%) $ 61,325,440
==============
- ----------
(a) Aggregate cost for federal income tax purposes is $61,011,033.
* Stated maturity reflects next reset date.
See accompanying notes to financial statements.
10
- --------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/28/2006
INTERMEDIATE FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Security Description Par Value Rate Maturity Value (Note 1)
- ----------------------------------------------------------------------------------------------------------
LONG TERM SECURITIES (95.79%)
ANAHEIM PUBLIC FINANCIAL AUTHORITY
Convention Center Project; Series A $500,000 5.25% 8/1/2013 $546,095
BEVERLY HILLS PUBLIC FINANCIAL AUTHORITY
Lease Revenue Refunding; Series A 500,000 5.25% 6/1/2013 552,020
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
University of San Francisco Revenue Bonds; Series 1996 500,000 5.60% 10/1/2010 544,940
CALIFORNIA, STATE OF
General Obligation Bonds; 1996 500,000 5.20% 6/1/2007 511,980
CALIFORNIA STATE PUBLIC WORKS BOARD
CA State Prison - Lassen County; 2001 Series A 400,000 5.25% 6/1/2011 433,772
Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.25% 6/1/2012 546,800
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects; Series 1994A 300,000 7.25% 8/1/2009 335,922
Water System Improvement Projects; Series 2001A 500,000 6.00% 8/1/2012 559,480
CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY
General Obligation Refi. Bonds; Series C 400,000 6.15% 2/1/2009 430,380
CHAFFEY UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; Series C 500,000 5.00% 5/1/2012 540,640
CHICO UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds 400,000 8.50% 8/1/2007 428,340
EASTERN MUNICIPAL WATER DISTRICT
Certificates of Participation; Series A 550,000 5.25% 7/1/2012 594,688
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT
General Obligation Refunding Bonds 20025 500,000 5.50% 8/1/2012 556,075
FRESNO, CITY OF
Water System Revenue Refunding; Series A 500,000 6.00% 6/1/2011 560,345
IMPERIAL IRRIGATION DISTRICT
Certificates of Participation; 1997 Capital Projects 530,000 5.20% 11/1/2009 562,049
INDUSTRY CITY URBAN DEVELOPMENT AGENCY
2002 Tax Allocation; Refunding, Project 1 300,000 5.38% 5/1/2012 308,265
LOS ANGELES , CITY OF
Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.00% 2/1/2008 515,840
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY
Sales Tax Revenue Bonds; Series A 500,000 5.50% 7/1/2008 524,455
LOS ANGELES, COUNTY OF
Pension Obligation Certificates; Series A 400,000 6.90% 6/30/2008 430,824
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power Project Revenue Bond; 2001 Series A 500,000 5.25% 7/1/2014 539,365
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1997 Series A 400,000 6.00% 7/1/2007 414,148
Election of 2004; Series F 500,000 5.00% 7/1/2010 531,395
MONTEREY, COUNTY OF
Certificates of Participation 600,000 5.25% 8/1/2014 647,796
NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT
General Obligation Bonds; 2002 Series A 500,000 5.00% 8/1/2012 541,820
2005 General Obligation Refunding Bonds 500,000 5.00% 8/1/2014 546,935
OAK PARK UNIFIED SCHOOL DISTRICT
General Obligation, Refunding Bonds 600,000 5.15% 5/1/2007 612,918
OAKLAND JOINT POWERS FINANCING AUTHORITY
Convention Centers; Series 2001 500,000 5.50% 10/1/2012 555,595
See accompanying notes to financial statements.
11
- --------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 2/28/2006
INTERMEDIATE FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Security Description Par Value Rate Maturity Value (Note 1)
- ----------------------------------------------------------------------------------------------------------------
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
Measure M Sales Tax Revenue Bonds; Series 1998 A $ 500,000 5.50% 2/15/2007 $ 510,750
Measure M Sales Tax Revenue 2nd Series, Series A 325,000 5.00% 2/15/2009 340,148
RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY
Eisenhower Medical Center; Series 1997A 385,000 5.25% 7/1/2012 400,619
SAN BERNARDINO, COUNTY OF
Certificates of Participation; Series 2002 A 500,000 5.00% 7/1/2015 545,555
SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY
Sewer Revenue Refunding Bonds; Series A 500,000 5.10% 5/15/2010 514,585
SAN FRANCISCO AIRPORT COMMISSION
San Francisco International Airport Revenue Second; Series B 450,000 5.50% 5/1/2009 472,230
SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION
Water Revenue Refunding Bonds; Series B 500,000 5.00% 11/1/2013 540,260
Water Revenue Refunding Bonds; Series B 400,000 5.50% 5/15/2010 431,768
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
San Juan Power Project 2002 Refunding; Series A 500,000 5.50% 1/1/2013 557,450
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Multiple Purpose Projects; Series O 500,000 5.75% 9/1/2010 547,855
WALNUT, CITY OF
Public Financing Authority Tax Allocation 500,000 5.38% 9/1/2013 547,490
--------------
Total Long-Term Securities (Cost $19,107,732) 19,281,592
--------------
VARIABLE RATE DEMAND NOTES* (2.98%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series 2002B6 100,000 2.90% 3/1/2006 100,000
CALIFORNIA, STATE OF
Kindergarten-Univ; Series B-3 100,000 2.90% 3/1/2006 100,000
IRVINE RANCH WATER DISTRICT
General Obligation; Consolidated Series 1993 400,000 2.90% 3/1/2006 400,000
--------------
Total Variable Rate Demand Notes (Cost $600,000) 600,000
--------------
Total Investments (Cost $19,707,732) (a) (98.77%) 19,881,592
Other Net Assets (1.23%) 247,725
--------------
Net Assets (100.00%) $ 20,129,317
==============
- ----------
(a) Aggregate cost for federal income tax purposes is $19,707,732. At February
28, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 258,203
Unrealized depreciation (84,343)
---------
Net unrealized appreciation $ 173,860
=========
* Stated maturity reflects next reset date
See accompanying notes to financial statements.
12
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2006
INCOME FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Security Description Par Value Rate Maturity Value (Note 1)
- -------------------------------------------------------------------------------------------------------------------
LONG TERM SECURITIES (98.42%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Water System Revenue Bonds, Central Valley AC $2,500,000 5.00% 12/1/2016 $2,718,075
Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.00% 12/1/2011 1,995,371
Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.00% 12/1/2011 2,436,825
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.25% 1/1/2017 2,643,375
Revenue Bonds (Occidental College); Series 2005A 3,165,000 5.00% 10/1/2030 3,350,279
Stanford University Revenue Bonds; Series P 3,000,000 5.25% 12/1/2013 3,359,250
CALIFORNIA, STATE OF
General Obligation Bonds 3,000,000 6.25% 9/1/2012 3,336,420
General Obligation Bonds; 2005 4,000,000 5.00% 5/1/2027 4,185,480
General Obligation Bonds 2,000,000 5.00% 6/1/2007 2,037,320
General Obligation Bonds 2,000,000 5.00% 6/1/2033 2,076,440
Economic Recovery Bonds; Series 2004A & B 2,000,000 5.00% 7/1/2016 2,139,380
CALIFORNIA STATE PUBLIC WORKS BOARD
CA State Prison - Imperial County; 1991 Series A 2,500,000 6.50% 9/1/2017 2,900,150
University of California Projects; 1993 Series A 5,000,000 5.50% 6/1/2014 5,500,200
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
UniHealth America; Certificates of Participation; 1993 Series A 2,160,000 5.50% 10/1/2014 2,406,672
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects; Series 1994A 2,090,000 7.25% 8/1/2009 2,340,257
CONTRA COSTA WATER DISTRICT
Water Revenue Bonds; Series E 2,000,000 6.25% 10/1/2012 2,216,020
CUCAMONGA COUNTY WATER DISTRICT
Water Facilities and Refinancing, 2001 1,080,000 5.00% 9/1/2016 1,147,489
EAST BAY MUNICIPAL UTILITY DISTRICT
Water Revenue Refunding Bonds; Series 2001 2,000,000 5.25% 6/1/2014 2,155,600
ELSINORE VALLEY MUNICIPAL WATER DISTRICT
Certificates of Participation 1,000,000 6.00% 7/1/2012 1,133,730
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT
Election 1999; Series C 2,000,000 0.00% 8/1/2027 756,420
KERN HIGH SCHOOL DISTRICT
General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.60% 8/1/2016 2,910,630
Series General Obligation Refunding Bonds; 2004 Series A 2,890,000 5.00% 8/1/2026 3,075,278
LA QUINTA REDEVELOPMENT AGENCY
Redevelopment Project Area No.2; Series 1994 1,015,000 7.30% 9/1/2009 1,141,550
LOS ANGELES COMMUNITIES REDEVELOPMENT AGENCY
Bunker Hill Project; Series A 4,000,000 5.00% 12/1/2027 4,208,240
LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY
Lease Revenue Bonds; 1993 Series A 2,500,000 6.00% 8/15/2010 2,757,600
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.50% 7/1/2010 3,856,476
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power System Revenue Bonds; 2001 Series A 2,000,000 5.25% 7/1/2015 2,143,400
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds; Series 2004 A2 500,000 5.00% 7/1/2018 537,710
General Obligation Bonds; 1997 Series A 2,450,000 6.00% 7/1/2014 2,849,228
Election of 2004; Series F 2,000,000 5.00% 7/1/2010 2,125,580
M-S-R PUBLIC POWER AGENCY SAN JUAN PROJECT REVENUE
San Juan Project Refunding Revenue Bonds; Series F 1,500,000 6.125% 7/1/2013 1,683,000
NORTHERN CALIFORNIA TRANSMISSION REVENUE
CA-Oregon Transmission Project; 1990 Series A 1,000,000 7.00% 5/1/2013 1,174,910
NOVATO UNIFIED SCHOOL DISTRICT
General Obligation bonds; Election 2001; Series 2005 2,000,000 5.00% 8/1/2028 2,108,120
See accompanying notes to financial statements.
13
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2006
INCOME FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Security Description Par Value Rate Maturity Value (Note 1)
- ------------------------------------------------------------------------------------------------------------------
OAKLAND REDEVELOPMENT AGENCY
Central District Redevelopment Project; Series 1992 $ 2,000,000 5.50% 2/1/2014 $ 2,174,420
Central District Redevelopment Project; Series 2005 1,000,000 5.00% 9/1/2022 1,068,650
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
General Obligation Bonds; 1998 Series A 1,050,000 5.50% 2/15/2011 1,147,818
RIVERSIDE, COUNTY OF
Leasehold Revenue Bonds; 1997 Series C 1,635,000 5.00% 6/1/2008 1,691,424
ROSEVILLE WOODCREEK WEST
Special Tax Refunding; Series 2005 1,000,000 5.00% 9/1/2030 1,045,420
SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH.
Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.00% 9/1/2016 1,847,522
SAN BERNARDINO, COUNTY OF
Justice Center / Airport Improvements; Series 2002A 2,890,000 5.00% 7/1/2016 3,140,332
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT
Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.75% 7/1/2011 3,413,239
SAN JOSE REDEVELOPMENT AGENCY
Unrefunded Balanced Merged Area 2,685,000 6.00% 8/1/2010 2,959,622
SAN MARINO UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1998 Series B 1,440,000 5.25% 7/1/2016 1,604,074
SANTA ANA UNIFIED SCHOOL DISTRICT
General Obligation Bonds; Series 2000 2,500,000 5.70% 8/1/2022 2,734,150
SANTA CLARA REDEVELOPMENT AGENCY
Bayshore North Project, 1992 Tax Allocation Refunding Bonds 4,000,000 7.00% 7/1/2010 4,334,400
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.00% 11/15/2012 2,281,980
Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.75% 11/15/2013 1,990,993
SANTA MARGARITA-DANA POINT AUTHORITY
Improvement District; 1994 Series A 1,045,000 7.25% 8/1/2010 1,202,795
SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT
Election 2004; Capital Appreciation Bonds 2,500,000 0.00% 8/1/2029 853,675
SONOMA, COUNTY OF
Certificates of Participation; 2002 Series A 1,815,000 5.00% 11/15/2012 1,963,576
SONOMA COUNTY JUNIOR COLLEGE DISTRICT
Election 2002; Series B 1,000,000 5.00% 8/1/2027 1,062,510
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT
Installment Sale Revenue Bonds; Series 1992 2,400,000 6.00% 8/1/2011 2,691,168
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
Multiple Project Revenue Bonds; Series 1989 3,585,000 6.75% 7/1/2013 4,199,146
Water System Revenue Bonds, 2005 Series A 2,000,000 5.00% 3/1/2016 2,185,940
TURLOCK IRRIGATION DISTRICT
Revenue Refunding Bonds; Series A 2,000,000 6.25% 1/1/2012 2,202,980
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
UC San Diego Medical Center; Series 2000 2,500,000 5.125% 12/1/2016 2,680,975
WILLIAM S. HART UNION HIGH SCHOOL DISTRICT
Election 2001; Capital Appreciation Bonds, Series B 3,595,000 0.00% 9/1/2029 1,234,198
--------------
Total Long-Term Securities (Cost $124,794,756) 133,117,482
--------------
VARIABLE RATE DEMAND NOTES* (0.52%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series B5 400,000 2.91% 3/1/2006 400,000
NEWPORT BEACH, CITY OF
Hoag Memorial Hospital Presbyterian; Series 1996 Series A 300,000 2.92% 3/1/2006 300,000
--------------
Total Variable Rate Demand Notes (Cost $700,000) 700,000
==============
See accompanying notes to financial statements.
14
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 2/28/2006
INCOME FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Security Description Par Value Rate Maturity Value (Note 1)
- ----------------------------------------------------------------------------------------------------
Total Investments (Cost $125,494,756) (a) (98.94%) $ 133,817,482
Other Net Assets (1.06%) 1,441,950
--------------
Net Assets (100.00%) $ 135,259,432
==============
- ----------
(a) Aggregate cost for federal income tax purposes is $125,494,756. At
February 28, 2006, unrealized appreciation (depreciation) of securities
for federal income tax purposes is as follows:
Unrealized appreciation $8,486,594
Unrealized depreciation (163,868)
----------
Net unrealized appreciation $8,322,726
==========
* Stated maturity reflects next reset date
See accompanying notes to financial statements.
15
- --------------------------------------------------------------------------------
U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 2/28/2006
SECURITIES FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Rate Maturity Value (Note 1)
- ---------------------------------------------------------------------------------------------------------------
Government National Mortgage Association (62.36%)
$ 147,683 6.00% 4/15/2014 $ 151,672
227,980 6.00% 4/15/2014 234,137
193,039 6.00% 4/15/2016 198,278
187,455 6.50% 4/15/2016 193,432
128,405 6.00% 5/15/2016 131,890
1,166,455 5.00% 2/15/2018 1,163,056
645,349 5.00% 4/15/2018 643,469
1,457,815 5.00% 9/15/2018 1,453,567
10,155 10.00% 9/15/2018 11,261
30,902 9.00% 10/15/2018 33,541
1,439,723 5.00% 1/15/2019 1,435,028
1,657,323 5.00% 2/15/2019 1,651,918
1,560,204 5.00% 7/15/2020 1,554,643
1,221,739 5.50% 1/15/2025 1,238,898
1,063,866 6.00% 1/15/2026 1,087,518
2,505,402 4.50% 12/20/2034 2,478,104
1,982,856 4.75% 7/20/2035 1,939,951
1,037,564 4.50% 8/20/2035 1,005,767
-----------
Total Government National Mortgage Association (Cost $16,949,450) 16,606,130
United States Treasury Bills (23.44%) -----------
800,000 4.10% - 4.41% 4/20/2006 795,492
5,000,000 4.56% 5/18/2006 4,952,280
500,000 4.56% - 4.58% 6/8/2006 493,884
-----------
Total United States Treasury Bills (Cost $6,241,220) 6,241,656
-----------
United States Treasury Bonds (13.63%)
3,000,000 7.25% 5/15/2016 3,631,877
-----------
Total United States Treasury Bonds (Cost $3,633,952) 3,631,877
-----------
Total Investments (Cost $26,824,622) (a) (99.43%) 26,479,663
Other Net Assets (0.57%) 150,502
-----------
Net Assets (100.00%) $26,630,165
===========
- ----------
(a) Aggregate cost for federal income tax purposes is $26,824,622. At February
28, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 49,647
Unrealized depreciation (394,606)
----------
Net unrealized depreciation $ (344,959)
==========
See accompanying notes to financial statements.
16
- --------------------------------------------------------------------------------
THE UNITED STATES PORTFOLIO OF INVESTMENTS 2/28/2006
TREASURY TRUST (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Rate Maturity Value (Note 1)
- -----------------------------------------------------------------------------------------------
United States Treasury Bills (100.28%)
$ 8,200,000 3.96% - 4.47% 3/16/2006 $ 8,186,712
13,000,000 4.10% - 4.51% 4/20/2006 12,927,587
500,000 4.57% 5/18/2006 495,168
13,500,000 4.55% - 4.59% 6/8/2006 13,335,325
-----------
Total Investments (Cost $34,944,792) (a) (100.28%) $34,944,792
Other Net Liabilities (-0.28%) (96,226)
-----------
Net Assets (100.00%) $34,848,566
===========
- ----------
(a) Aggregate cost for federal income tax purposes is $39,944,792.
- --------------------------------------------------------------------------------
SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 2/28/2006
GOVERNMENT BOND FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Par Value Rate Maturity Value (Note 1)
- --------------------------------------------------------------------------------------------------------
Government National Mortgage Association (8.65%)
$ 656,944 4.000% 6/20/2034 $ 640,994
777,245 4.500% 11/20/2034 768,845
-----------
Total Government National Mortgage Association
(Cost $1,443,868) 1,409,839
-----------
United States Treasury Bill (1.83%)
300,000 4.24% - 4.52% 4/20/2006 298,279
-----------
Total United States Treasury Bill (Cost $298,279) 298,279
-----------
United States Treasury Notes (88.92%)
1,200,000 2.250% 2/15/2007 1,172,485
1,300,000 3.375% 2/28/2007 1,283,243
1,600,000 3.125% 5/15/2007 1,570,813
500,000 3.625% 6/30/2007 493,086
1,500,000 2.750% 8/15/2007 1,459,220
700,000 4.000% 9/30/2007 692,672
500,000 4.250% 10/31/2007 496,543
1,100,000 3.000% 11/15/2007 1,069,880
1,000,000 3.000% 2/15/2008 969,063
400,000 2.625% 5/15/2008 383,063
1,700,000 3.750% 5/15/2008 1,668,127
1,000,000 4.125% 8/15/2008 988,868
500,000 3.125% 9/15/2008 481,817
400,000 3.125% 10/15/2008 385,063
600,000 4.750% 11/15/2008 601,453
500,000 3.375% 12/15/2008 483,555
200,000 3.250% 1/15/2009 192,570
100,000 4.500% 2/15/2009 99,586
-----------
Total United States Treasury Notes (Cost $14,632,767) 14,491,107
-----------
Total Investments (Cost $16,374,914) (a) (99.40%) 16,199,225
Other Net Assets (0.60%) 97,333
-----------
Net Assets (100.00%) $16,296,558
===========
- ----------
(a) Aggregate cost for federal income tax purposes is $16,374,914. At February
28, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 86
Unrealized depreciation (175,775)
----------
Net unrealized depreciation $ (175,689)
==========
See accompanying notes to financial statements.
17
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2006
(UNAUDITED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Common Stock (97.77%)
Basic Materials (2.89%)
Air Products & Chemicals Inc 2,087 $ 133,902
Alcoa Inc 8,134 238,489
Allegheny Technologies Inc 854 43,136
Ashland Inc 631 41,185
Dow Chemical Co/The 8,885 382,322
Eastman Chemical Co 810 39,957
Ecolab Inc 1,753 63,441
EI Du Pont de Nemours & Co 8,623 346,990
Engelhard Corp 1,218 48,416
Freeport-McMoRan Copper & Gold Inc 1,812 91,742
Hercules Inc* 1,129 13,379
International Flavors & Fragrances Inc 783 27,115
International Paper Co 4,595 150,578
Louisiana-Pacific Corp 1,130 32,126
MeadWestvaco Corp 1,712 47,628
Monsanto Co 2,460 206,345
Newmont Mining Corp 4,166 220,465
Nucor Corp 1,452 124,945
Phelps Dodge Corp 942 129,996
Plum Creek Timber Co Inc (REIT) 1,837 68,245
PPG Industries Inc 1,587 96,220
Praxair Inc 2,967 160,159
Rohm & Haas Co 1,396 69,451
Sherwin-Williams Co/The 1,234 56,209
Sigma-Aldrich Corp 627 40,385
Temple-Inland Inc 1,152 49,156
United States Steel Corp 1,191 64,910
Vulcan Materials Co 968 76,472
Weyerhaeuser Co 2,267 154,813
------------
Total Basic Materials 3,218,173
------------
Communications (10.27%)
ADC Telecommunications Inc* 1,162 29,422
Alltel Corp 3,496 220,772
Amazon.Com Inc* 2,900 108,721
Andrew Corp* 1,650 22,374
AT&T Inc 36,936 1,019,064
Avaya Inc* 4,387 48,783
BellSouth Corp 16,997 536,765
CBS Corp 7,261 177,604
CenturyTel Inc 1,354 48,717
Ciena Corp* 5,753 23,127
Cisco Systems Inc* 57,869 1,171,269
Citizens Communications Co 3,037 40,544
Clear Channel Communications Inc 5,140 145,462
Comcast Corp* 20,475 549,344
Comverse Technology Inc* 1,834 52,746
Corning Inc* 14,353 350,357
Dow Jones & Co Inc 653 26,544
eBay Inc* 10,803 432,768
EW Scripps Co 800 38,464
Gannett Co Inc 2,273 141,290
Interpublic Group of Cos Inc 4,290 44,444
JDS Uniphase Corp* 14,529 44,168
Knight Ridder Inc 642 38,533
Lucent Technologies Inc* 41,152 115,226
McGraw-Hill Cos Inc/The 3,516 186,664
Meredith Corp 427 23,523
Motorola Inc 23,235 497,229
New York Times Co 1,459 41,173
News Corp 23,061 375,433
Omnicom Group Inc 1,681 134,177
Qualcomm Inc 15,510 732,227
Qwest Communications International
Inc* 15,571 98,409
Sprint Nextel Corp 27,644 664,285
Symantec Corp* 10,168 171,738
Tellabs Inc* 4,380 64,342
Time Warner Inc 44,221 765,466
Tribune Co 2,508 76,745
Univision Communications Inc* 2,146 71,784
Verizon Communications Inc 27,443 924,829
Viacom Inc* 7,261 290,150
Walt Disney Co 18,106 506,787
Yahoo! Inc* 11,816 378,821
------------
Total Communications 11,430,291
------------
Consumer, Cyclical (8.43%)
Autonation Inc* 1,702 35,589
Autozone Inc* 560 54,141
Bed Bath & Beyond Inc* 2,727 98,281
Best Buy Co Inc 3,766 202,837
Big Lots Inc* 1,135 14,426
Brunswick Corp* 956 37,504
Carnival Corp 4,038 208,563
Centex Corp 1,220 82,484
Cintas Corp 1,457 59,868
Circuit City Stores Inc 1,466 35,228
Coach Inc* 3,480 124,306
Cooper Tire & Rubber Co 779 11,607
Costco Wholesale Corp 4,433 227,324
CVS Corp 7,650 216,725
Dana Corp 1,495 2,631
Darden Restaurants Inc 1,381 57,919
Dillard's Inc 852 21,019
Dollar General Corp 2,796 48,706
DR Horton Inc 2,596 88,550
Family Dollar Stores Inc 1,687 43,390
Federated Department Stores Inc 2,470 175,469
Ford Motor Co 17,383 138,543
Gap Inc/The 5,441 100,876
General Motors Corp 5,203 105,673
Genuine Parts Co 1,739 77,420
Goodyear Tire & Rubber Co/The* 1,764 25,278
Harley-Davidson Inc 2,664 139,887
Harrah's Entertainment Inc 1,735 124,781
Hasbro Inc 1,549 31,429
Hilton Hotels Corp 3,084 74,633
Home Depot Inc 19,910 839,207
International Game Technology 3,167 113,284
JC Penney Co Inc 2,136 125,255
Johnson Controls Inc 1,812 129,141
Jones Apparel Group Inc 1,220 35,282
KB Home 776 52,015
Kohl's Corp* 3,078 148,083
Lennar Corp 1,300 77,818
Liz Claiborne Inc 1,076 38,768
Lowe's Cos Inc 7,381 503,237
Ltd Brands 3,633 85,993
Marriott International Inc 1,659 113,476
Mattel Inc 3,813 64,249
Maytag Corp 844 14,517
McDonald's Corp 11,812 412,357
Navistar International Corp* 734 21,543
Newell Rubbermaid Inc 2,765 68,766
Nike Inc 1,840 159,675
Nordstrom Inc 2,258 85,804
Office Depot Inc* 2,943 105,006
OfficeMax Inc 700 20,531
Paccar Inc 1,564 109,277
Pulte Homes Inc 2,110 81,045
RadioShack Corp 1,294 25,298
Sabre Holdings Corp 1,363 32,889
Sears Holdings Corp* 977 117,680
Southwest Airlines Co 6,485 108,753
Staples Inc 7,039 172,737
Starbucks Corp* 7,248 263,247
Starwood Hotels & Resorts
Worldwide Inc* 2,046 129,921
Target Corp 8,241 448,310
Tiffany & Co 1,341 49,791
TJX Cos Inc 4,410 108,001
VF Corp 975 53,430
Walgreen Co 9,461 424,420
Wal-Mart Stores Inc 23,570 1,069,135
See accompanying notes to financial statements.
18
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2006
(UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Wendy's International Inc 1,196 $ 69,248
Whirlpool Corp 642 57,645
WW Grainger Inc 797 59,010
Yum! Brands Inc 2,668 127,264
------------
Total Consumer, Cyclical 9,386,193
------------
Consumer, Non-cyclical (20.90%)
Abbott Laboratories 14,418 636,987
Aetna Inc 5,350 272,850
Alberto-Culver Co 754 34,435
Albertson's Inc 3,403 86,572
Allergan Inc 1,279 138,465
Altria Group Inc 19,590 1,408,521
AmerisourceBergen Corp 2,054 94,463
Amgen Inc* 11,525 870,022
Anheuser-Busch Cos Inc 7,177 298,133
Apollo Group Inc* 1,516 74,860
Archer-Daniels-Midland Co 6,177 195,934
Avery Dennison Corp 991 59,460
Avon Products Inc 4,458 128,613
Bausch & Lomb Inc 546 37,789
Baxter International Inc 5,731 216,918
Becton Dickinson & Co 2,348 149,920
Biogen Idec Inc* 3,156 149,121
Biomet Inc 2,347 85,431
Boston Scientific Corp* 5,512 134,603
Bristol-Myers Squibb Co 18,157 419,427
Brown-Forman Corp 879 61,846
Campbell Soup Co 1,775 55,256
Cardinal Health Inc 3,992 289,819
Caremark Rx Inc* 4,202 209,050
Cendant Corp 9,748 162,012
Chiron Corp* 1,039 47,451
Clorox Co 1,428 87,037
Coca-Cola Co/The 19,528 819,590
Coca-Cola Enterprises Inc 2,839 55,786
Colgate-Palmolive Co 4,825 262,866
ConAgra Foods Inc 4,822 101,407
Constellation Brands Inc* 1,869 49,229
Convergys Corp* 1,500 26,055
Coventry Health Care Inc* 1,500 89,430
CR Bard Inc 984 64,442
Eli Lilly & Co 10,727 596,636
Equifax Inc 1,159 42,466
Estee Lauder Cos Inc/The 1,100 41,162
Express Scripts Inc* 1,382 120,607
Forest Laboratories Inc* 3,126 143,483
Fortune Brands Inc 1,341 103,995
General Mills Inc 3,399 167,401
Genzyme Corp* 2,372 164,474
Gilead Sciences Inc* 4,325 269,318
Guidant Corp 2,986 229,205
H&R Block Inc 3,212 71,628
HCA Inc 4,014 192,271
Health Management Associates Inc 2,507 53,374
Hershey Co/The 1,733 88,643
HJ Heinz Co 3,247 122,964
Hospira Inc* 1,550 61,535
Humana Inc* 1,588 82,052
Johnson & Johnson 28,015 1,615,065
Kellogg Co 2,422 107,319
Kimberly-Clark Corp 4,393 259,978
King Pharmaceuticals Inc* 2,430 39,488
Kroger Co/The 6,936 138,997
Laboratory Corp of America Holdings* 1,202 69,848
Live Nation Inc* 642 11,460
Manor Care Inc 938 38,786
McCormick & Co Inc 1,375 45,141
McKesson Corp 2,757 149,236
Medco Health Solutions Inc* 2,741 152,729
Medimmune Inc* 2,295 83,745
Medtronic Inc 11,258 607,369
Merck & Co Inc 20,453 712,992
Millipore Corp* 423 29,327
Molson Coors Brewing Co 550 34,513
Monster Worldwide Inc* 1,196 58,556
Moody's Corp 2,375 159,125
Mylan Laboratories Inc 2,107 48,461
Patterson Cos Inc* 1,300 46,852
Paychex Inc 3,099 124,115
Pepsi Bottling Group Inc 1,328 38,990
PepsiCo Inc 15,702 928,145
Pfizer Inc 69,052 1,808,472
Procter & Gamble Co 31,537 1,890,012
Quest Diagnostics Inc 1,680 88,822
Reynolds American Inc 835 88,635
Robert Half International Inc 1,510 54,239
RR Donnelley & Sons Co 1,958 65,906
Safeway Inc 4,202 102,151
Sara Lee Corp 7,296 128,920
Schering-Plough Corp 13,695 253,358
St Jude Medical Inc* 3,342 152,395
Stryker Corp 2,754 127,290
Supervalu Inc 1,221 38,584
Sysco Corp 5,849 175,996
Tenet Healthcare Corp* 4,695 37,044
Tyson Foods Inc 2,300 31,119
UnitedHealth Group Inc 12,799 745,286
UST Inc 1,650 64,152
Watson Pharmaceuticals Inc* 1,136 34,057
WellPoint Inc* 6,222 477,787
Whole Foods Market Inc 1,300 83,044
WM Wrigley Jr Co 1,807 114,817
Wyeth 12,429 618,964
Zimmer Holdings Inc* 2,250 155,655
------------
Total Consumer, Non-cyclical 23,261,954
------------
Energy (9.23%)
Amerada Hess Corp 731 101,105
Anadarko Petroleum Corp 2,209 219,044
Apache Corp 3,084 206,381
Baker Hughes Inc 3,175 215,805
BJ Services Co 2,948 92,302
Burlington Resources Inc 3,573 322,213
Chevron Corp 21,177 1,196,077
ConocoPhillips 13,104 798,820
Devon Energy Corp 4,175 244,780
El Paso Corp 5,972 78,114
EOG Resources Inc 2,186 147,336
Exxon Mobil Corp 58,630 3,480,863
Halliburton Co 4,731 321,708
Kerr-McGee Corp 1,069 104,441
Kinder Morgan Inc 971 90,089
Marathon Oil Corp 3,391 239,405
Murphy Oil Corp 1,500 70,305
Nabors Industries Ltd* 1,352 89,164
National Oilwell Varco Inc* 1,644 100,087
Noble Corp 1,308 96,674
Occidental Petroleum Corp 3,705 339,156
Rowan Cos Inc* 1,121 45,120
Schlumberger Ltd 5,550 638,250
Sunoco Inc 1,306 96,775
Transocean Inc* 3,035 225,136
Valero Energy Corp 5,752 309,400
Weatherford International Ltd* 3,300 142,296
Williams Cos Inc 5,523 119,131
XTO Energy Inc 3,449 144,479
------------
Total Energy 10,274,457
------------
Financial (20.67%)
ACE Ltd 2,936 163,623
Aflac Inc 4,794 221,723
Allstate Corp/The 6,185 338,814
AMBAC Financial Group Inc 1,027 77,179
American Express Co 11,691 629,911
American International Group Inc 24,396 1,618,919
Ameriprise Financial Inc 2,178 99,055
AmSouth Bancorp 3,273 90,826
See accompanying notes to financial statements.
19
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2006
(UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
AON Corp 2,984 $ 118,196
Apartment Investment & Management Co 995 44,088
Archstone-Smith Trust 1,800 85,320
Bank of America Corp 43,746 2,005,754
Bank of New York Co Inc/The 7,238 247,829
BB&T Corp 5,220 206,347
Bear Stearns Cos Inc/The 1,041 139,952
Capital One Financial Corp 2,744 240,374
Charles Schwab Corp/The 9,795 158,777
Chubb Corp 1,778 170,244
Cigna Corp 1,182 145,091
Cincinnati Financial Corp 1,551 68,802
CIT Group Inc 1,917 103,077
Citigroup Inc 47,611 2,207,722
Comerica Inc 1,531 87,757
Compass Bancshares Inc 1,184 59,532
Countrywide Financial Corp 5,526 190,536
E*Trade Financial Corp* 3,742 95,720
Equity Office Properties Trust 3,757 118,158
Equity Residential 2,684 121,532
Fannie Mae 8,949 489,331
Federated Investors Inc 848 32,979
Fifth Third Bancorp 5,272 203,763
First Horizon National Corp 1,238 48,418
Franklin Resources Inc 1,429 146,730
Freddie Mac 6,409 431,903
Genworth Financial Inc 3,500 111,370
Golden West Financial Corp 2,453 174,237
Goldman Sachs Group Inc 4,222 596,526
Hartford Financial Services Group Inc 2,734 225,227
Huntington Bancshares Inc/OH 2,325 55,916
Janus Capital Group Inc 2,377 52,128
Jefferson-Pilot Corp 1,373 82,723
JPMorgan Chase & Co 33,124 1,362,721
Keycorp 3,787 141,141
Lehman Brothers Holdings Inc 2,543 371,151
Lincoln National Corp 1,656 94,011
Loews Corp 1,256 115,879
M&T Bank Corp 759 85,312
Marsh & McLennan Cos Inc 4,930 152,386
Marshall & Ilsley Corp 1,948 85,712
MBIA Inc 1,215 71,369
Mellon Financial Corp 3,900 140,751
Merrill Lynch & Co Inc 8,777 677,672
Metlife Inc 7,147 358,208
MGIC Investment Corp 844 53,805
Morgan Stanley 10,169 606,683
National City Corp 5,195 180,786
North Fork Bancorporation Inc 4,563 116,539
Northern Trust Corp 1,883 99,272
PNC Financial Services Group Inc 2,626 184,739
Principal Financial Group 2,807 136,757
Progressive Corp/The 1,852 198,997
Prologis 2,348 123,317
Prudential Financial Inc 4,888 376,572
Public Storage Inc 800 62,416
Regions Financial Corp 4,376 152,197
Safeco Corp 1,187 61,142
Simon Property Group Inc 1,750 145,198
SLM Corp 3,909 220,507
Sovereign Bancorp Inc 3,448 71,822
St Paul Travelers Cos Inc/The 6,538 281,003
State Street Corp 3,154 197,062
SunTrust Banks Inc 3,446 249,387
Synovus Financial Corp 2,906 82,385
T Rowe Price Group Inc 1,113 85,456
Torchmark Corp 987 53,959
UnumProvident Corp 2,983 61,718
US Bancorp 17,013 525,872
Vornado Realty Trust 1,100 97,889
Wachovia Corp 14,664 822,210
Washington Mutual Inc 9,297 396,982
Wells Fargo & Co 15,724 1,009,481
XL Capital Ltd 1,649 111,390
Zions Bancorporation 853 70,390
------------
Total Financial 22,998,354
------------
Industrial (11.16%)
3M Co 7,154 526,463
Agilent Technologies Inc* 3,915 140,940
Allied Waste Industries Inc* 2,502 26,796
American Power Conversion Corp 1,724 35,221
American Standard Cos Inc 1,757 69,542
Applera Corp - Applied Biosystems
Group 1,972 55,748
Ball Corp 990 42,174
Bemis Co 1,106 33,158
Black & Decker Corp 725 62,046
Boeing Co 7,696 559,422
Burlington Northern Santa Fe Corp 3,482 273,824
Caterpillar Inc 6,388 466,835
Cooper Industries Ltd 903 75,581
CSX Corp 2,159 119,565
Cummins Inc 447 48,401
Danaher Corp 2,283 138,304
Deere & Co 2,255 171,989
Dover Corp 1,842 88,305
Eastman Kodak Co 2,684 75,286
Eaton Corp 1,440 100,325
Emerson Electric Co 3,881 317,505
FedEx Corp 2,838 304,347
Fisher Scientific International Inc* 1,154 78,657
Fluor Corp 774 66,796
General Dynamics Corp 1,851 228,173
General Electric Co 99,469 3,269,546
Goodrich Corp 1,231 51,505
Honeywell International Inc 7,897 323,382
Illinois Tool Works Inc 1,979 169,877
Ingersoll-Rand Co Ltd 3,052 125,224
ITT Industries Inc 1,798 94,395
Jabil Circuit Inc* 1,699 64,307
L-3 Communications Holdings Inc 1,134 94,247
Leggett & Platt Inc 1,920 45,082
Lockheed Martin Corp 3,415 248,851
Masco Corp 4,084 127,380
Molex Inc 1,595 50,769
Norfolk Southern Corp 3,784 193,665
Northrop Grumman Corp 3,331 213,517
Pactiv Corp* 1,493 34,234
Pall Corp 1,225 36,040
Parker Hannifin Corp 1,073 83,876
PerkinElmer Inc 1,321 31,427
Raytheon Co 4,248 184,363
Rockwell Automation Inc 1,670 113,844
Rockwell Collins Inc 1,757 93,385
Ryder System Inc 677 30,018
Sanmina-SCI Corp* 5,243 20,238
Sealed Air Corp* 791 44,992
Snap-On Inc 609 23,702
Solectron Corp* 9,768 35,262
Stanley Works/The 670 33,594
Symbol Technologies Inc 2,853 33,152
Tektronix Inc 880 27,104
Textron Inc 1,233 108,640
Thermo Electron Corp* 1,602 55,461
Tyco International Ltd 18,734 483,150
Union Pacific Corp 2,402 212,697
United Parcel Service Inc 10,344 772,800
United Technologies Corp 9,681 566,339
Waste Management Inc 5,228 173,883
Waters Corp* 1,083 46,277
------------
Total Industrial 12,421,629
------------
Technology (10.95%)
Adobe Systems Inc 5,634 217,585
Advanced Micro Devices Inc* 3,687 142,576
Affiliated Computer Services Inc* 1,205 75,819
Altera Corp* 3,445 69,038
See accompanying notes to financial statements.
20
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 2/28/2006
(UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Analog Devices Inc 3,480 $ 132,727
Apple Computer Inc* 7,968 546,127
Applied Materials Inc 15,309 280,767
Applied Micro Circuits Corp* 3,100 11,191
Autodesk Inc 2,088 78,613
Automatic Data Processing Inc 5,374 248,225
BMC Software Inc* 2,233 48,836
Broadcom Corp* 4,253 191,768
CA Inc 4,390 119,232
Citrix Systems Inc* 1,744 56,436
Computer Sciences Corp* 1,690 91,835
Compuware Corp* 3,895 31,978
Dell Inc* 22,435 650,615
Electronic Arts Inc* 2,829 147,023
Electronic Data Systems Corp 4,789 127,866
EMC Corp/Massachusetts* 22,360 313,487
First Data Corp 7,240 326,741
Fiserv Inc* 1,768 73,372
Freescale Semiconductor Inc* 3,839 103,807
Gateway Inc* 3,760 8,874
Hewlett-Packard Co 26,781 878,685
IMS Health Inc 2,133 51,405
Intel Corp 56,789 1,169,853
International Business Machines Corp 14,822 1,189,317
Intuit Inc* 1,703 82,732
Kla-Tencor Corp 1,959 102,319
Lexmark International Inc* 1,056 49,727
Linear Technology Corp 2,817 103,835
LSI Logic Corp* 3,860 37,635
Maxim Integrated Products Inc 3,002 117,348
Micron Technology Inc* 5,662 87,818
Microsoft Corp 86,182 2,318,296
National Semiconductor Corp 3,203 89,844
NCR Corp* 1,875 75,169
Network Appliance Inc* 3,359 111,384
Novell Inc* 3,782 35,967
Novellus Systems Inc* 1,406 37,582
Nvidia Corp* 1,524 71,826
Oracle Corp* 35,552 441,556
Parametric Technology Corp* 1,083 16,480
Pitney Bowes Inc 2,120 90,609
PMC - Sierra Inc* 1,841 18,797
QLogic Corp* 993 40,852
Sun Microsystems Inc* 31,638 131,930
Teradyne Inc* 2,030 34,084
Texas Instruments Inc 15,183 453,213
Unisys Corp* 3,371 22,518
Xerox Corp* 9,156 136,424
Xilinx Inc 3,304 90,133
------------
Total Technology 12,181,875
------------
Utilities (3.26%)
AES Corp/The* 6,111 105,720
Allegheny Energy Inc* 1,381 49,385
Ameren Corp 1,912 96,881
American Electric Power Co Inc 3,669 133,919
Centerpoint Energy Inc 2,697 34,980
Cinergy Corp 1,882 82,959
CMS Energy Corp* 2,062 29,033
Consolidated Edison Inc 2,227 102,152
Constellation Energy Group Inc 1,672 98,213
Dominion Resources Inc/VA 3,130 235,063
DTE Energy Co 1,568 67,894
Duke Energy Corp 8,747 248,415
Dynegy Inc* 3,790 20,504
Edison International 2,978 132,104
Entergy Corp 1,978 143,425
Exelon Corp 6,194 353,739
FirstEnergy Corp 3,118 159,267
FPL Group Inc 3,678 154,219
KeySpan Corp 1,600 65,200
Nicor Inc 460 19,748
NiSource Inc 2,493 51,181
Peoples Energy Corp 383 14,060
PG&E Corp 3,392 129,066
Pinnacle West Capital Corp 969 39,777
PPL Corp 3,632 115,498
Progress Energy Inc 2,285 101,408
Public Service Enterprise Group Inc 2,391 165,911
Sempra Energy 2,396 114,625
Southern Co/The 6,912 235,215
TECO Energy Inc 1,982 33,813
TXU Corp 4,380 229,468
Xcel Energy Inc 3,728 69,192
------------
Total Utilities 3,632,034
------------
Total Common Stock (Cost $80,784,291) 108,804,960
------------
Par Value
- ---------
Short-Term Investments (b) (2.05%)
$ 200,000 United States Treasury Bill 03/09/2006 199,825
100,000 United States Treasury Bill 03/16/2006 99,841
600,000 United States Treasury Bill 04/20/2006 596,485
100,000 United States Treasury Bill 05/04/2006 99,221
1,300,000 United States Treasury Bill 06/08/2006 1,284,097
------------
Total Short-Term Investments (Cost $2,279,449) 2,279,469
------------
Total Investments (Cost $83,063,740) (a) (98.82%) 111,084,429
Other Net Assets (0.18%) 203,797
------------
Net Assets (100.00%) $111,288,226
============
- ---------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $83,063,740. At February
28, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 36,723,178
Unrealized depreciation (8,702,489)
------------
Net unrealized appreciation $ 28,020,689
============
(b) At February 28, 2006, certain United States Treasury Bills with a market
value of $198,828 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 2006: (Contracts-$250 times
premium/delivery month/commitment)
Unrealized
S&P 500 Index: Appreciation
7/Mar 06/Long $15,194
=======
See accompanying notes to financial statements.
21
- --------------------------------------------------------------------------------
S&P MIDCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Common Stock (98.94%)
Basic Materials (3.36%)
Airgas Inc 10,448 $ 380,203
Albemarle Corp 5,886 249,861
Bowater Inc 8,849 230,251
Cabot Corp 9,835 364,092
Chemtura Corp 38,019 421,251
Cytec Industries Inc 6,264 334,122
Ferro Corp 6,436 129,235
FMC Corp* 6,034 366,928
Glatfelter 7,014 115,310
Longview Fibre Co 7,663 144,218
Lubrizol Corp 10,801 467,251
Lyondell Chemical Co 32,554 681,030
Minerals Technologies Inc 3,079 164,819
Olin Corp 11,342 238,295
Potlatch Corp 4,440 161,794
Rayonier Inc 11,996 517,028
RPM International Inc 18,683 337,041
Sensient Technologies Corp 7,064 126,587
Steel Dynamics Inc 5,891 270,986
Valspar Corp 16,048 424,149
------------
Total Basic Materials 6,124,448
------------
Communications (4.67%)
3Com Corp* 59,472 276,545
Adtran Inc 10,717 294,932
Avocent Corp* 7,775 259,763
Belo Corp 14,813 314,628
Catalina Marketing Corp 6,181 137,095
Checkfree Corp* 14,394 711,927
Cincinnati Bell Inc* 39,100 159,919
CommScope Inc* 8,775 210,512
Emmis Communications Corp* 5,627 92,114
Entercom Communications Corp* 5,843 164,597
F5 Networks Inc* 6,301 427,334
Harris Corp 21,174 967,228
Harte-Hanks Inc 8,984 251,642
Lee Enterprises Inc 7,207 251,885
McAfee Inc* 26,635 619,530
Media General Inc 3,793 190,029
Newport Corp* 5,975 105,997
Plantronics Inc 7,361 254,396
Polycom Inc* 14,723 285,921
Powerwave Technologies Inc* 16,948 248,797
Reader's Digest Association Inc/The 15,639 237,556
RF Micro Devices Inc* 30,036 202,142
RSA Security Inc* 10,887 159,821
Scholastic Corp* 5,526 162,575
Telephone & Data Systems Inc 16,293 609,358
Utstarcom Inc* 15,917 99,481
Washington Post Co/The 935 703,354
Westwood One Inc 10,373 115,659
------------
Total Communications 8,514,737
------------
Consumer, Cyclical (14.47%)
99 Cents Only Stores* 7,381 83,996
Abercrombie & Fitch Co 13,875 934,065
Advance Auto Parts Inc* 17,148 709,070
Aeropostale Inc* 8,352 239,619
Airtran Holdings Inc* 13,441 238,981
Alaska Air Group Inc* 5,045 161,692
American Eagle Outfitters 20,906 531,849
AnnTaylor Stores Corp* 11,487 416,978
Applebees International Inc 12,164 281,475
ArvinMeritor Inc 11,108 185,948
Bandag Inc 1,801 77,029
Barnes & Noble Inc 8,363 360,194
Beazer Homes USA Inc 6,400 406,080
BJ's Wholesale Club Inc* 10,426 330,087
Bob Evans Farms Inc 5,416 157,985
Borders Group Inc 10,565 254,933
BorgWarner Inc 9,027 503,436
Boyd Gaming Corp 6,937 303,355
Brinker International Inc 13,642 568,189
Callaway Golf Co 10,626 175,223
Carmax Inc* 16,638 522,766
CBRL Group Inc 7,429 330,070
CDW Corp 9,976 567,235
Cheesecake Factory/The* 12,471 450,951
Chico's FAS Inc* 28,696 1,350,147
Claire's Stores Inc 15,750 504,630
Copart Inc* 11,034 285,119
Dollar Tree Stores Inc* 16,845 461,890
Fastenal Co 19,638 862,305
Foot Locker Inc 24,793 572,966
Furniture Brands International Inc 7,964 196,870
GameStop Corp* 9,100 364,273
GTECH Holdings Corp 19,874 663,394
Herman Miller Inc 10,988 331,728
HNI Corp 8,707 507,531
Hovnanian Enterprises Inc* 5,459 251,714
Ingram Micro Inc* 18,400 363,952
International Speedway Corp 5,433 257,307
JetBlue Airways Corp* 23,146 263,864
Lear Corp 10,672 222,618
Macrovision Corp* 8,061 162,913
MDC Holdings Inc 5,200 318,708
Michaels Stores Inc 21,223 681,258
Modine Manufacturing Co 5,317 149,142
Mohawk Industries Inc* 8,387 725,559
MSC Industrial Direct Co 8,600 407,382
O'Reilly Automotive Inc* 17,798 582,351
Outback Steakhouse Inc 10,275 429,598
Pacific Sunwear Of California* 11,738 279,482
Payless Shoesource Inc* 10,916 258,709
Petsmart Inc 22,289 578,622
Pier 1 Imports Inc 12,956 136,427
Polo Ralph Lauren Corp 9,600 556,416
Regis Corp 7,209 275,961
Ross Stores Inc 22,924 649,208
Ruby Tuesday Inc 9,222 263,288
Ryland Group Inc 7,433 518,452
Saks Inc 21,865 413,249
Tech Data Corp* 8,752 363,471
Thor Industries Inc 5,315 250,868
Timberland Co* 8,482 297,294
Toll Brothers Inc* 18,742 606,491
Urban Outfitters Inc* 17,524 492,424
Williams-Sonoma Inc* 18,264 739,509
------------
Total Consumer, Cyclical 26,388,295
------------
Consumer, Non-cyclical (17.54%)
Adesa Inc 14,253 356,325
Advanced Medical Optics Inc* 10,544 468,997
Affymetrix Inc* 10,500 372,855
Alliance Data Systems Corp* 10,716 463,574
American Greetings Corp 10,349 217,122
Apria Healthcare Group Inc* 7,872 180,977
Banta Corp 3,740 182,175
Barr Pharmaceuticals Inc* 17,077 1,147,233
Beckman Coulter Inc 9,887 533,404
Blyth Inc 4,097 91,281
Career Education Corp* 15,578 511,582
Cephalon Inc* 9,205 731,613
Charles River Laboratories
International Inc* 11,519 556,944
ChoicePoint Inc* 14,210 630,924
Church & Dwight Co Inc 10,209 352,517
Community Health Systems Inc* 13,798 523,220
Corinthian Colleges Inc* 14,515 188,114
Corporate Executive Board Co 6,318 631,800
Covance Inc* 9,920 559,984
Cytyc Corp* 18,118 522,342
Dean Foods Co* 21,360 800,359
Deluxe Corp 8,036 199,052
Dentsply International Inc 12,439 708,899
See accompanying notes to financial statements.
22
- --------------------------------------------------------------------------------
S&P MIDCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
DeVry Inc* 9,001 $ 211,343
Education Management Corp* 10,639 400,026
Edwards Lifesciences Corp* 9,239 382,033
Gartner Inc* 8,831 124,340
Gen-Probe Inc* 8,075 403,427
Health Net Inc* 18,159 870,724
Henry Schein Inc* 13,792 643,397
Hillenbrand Industries Inc 9,717 494,012
Hormel Foods Corp 11,548 397,598
Inamed Corp* 9,075 802,502
Intuitive Surgical Inc* 5,651 509,720
Invitrogen Corp* 8,340 591,556
ITT Educational Services Inc* 5,992 371,504
JM Smucker Co/The 9,268 366,271
Kelly Services Inc 3,006 81,132
Korn/Ferry International* 6,330 133,247
Laureate Education Inc* 7,897 408,907
LifePoint Hospitals Inc* 9,093 282,429
Lincare Holdings Inc* 15,456 632,150
Manpower Inc 13,887 744,899
Martek Biosciences Corp* 5,056 172,308
Millennium Pharmaceuticals Inc* 49,216 515,784
MPS Group Inc* 16,086 243,542
Navigant Consulting Inc* 7,700 150,073
Omnicare Inc 18,930 1,151,891
Par Pharmaceutical Cos Inc* 5,482 163,035
PDL BioPharma Inc* 17,908 560,699
PepsiAmericas Inc 9,593 229,465
Perrigo Co 13,259 210,686
Pharmaceutical Product Development Inc* 8,000 556,720
Quanta Services Inc* 18,128 248,172
Renal Care Group Inc* 10,876 518,894
Rent-A-Center Inc* 10,943 255,410
Rollins Inc 4,584 88,792
Ruddick Corp 5,308 128,347
Scotts Miracle-Gro Co/The 7,160 342,892
Sepracor Inc* 16,838 964,986
Smithfield Foods Inc* 15,460 408,608
Sotheby's Holdings* 6,843 144,524
STERIS Corp 10,796 267,417
Techne Corp* 6,154 365,978
Tootsie Roll Industries Inc 3,893 110,016
Triad Hospitals Inc* 13,692 589,578
Tupperware Brands Corp 8,157 172,847
United Rentals Inc* 10,643 346,962
Universal Corp/Richmond VA 3,844 156,335
Universal Health Services Inc 8,652 434,590
Valassis Communications Inc* 7,292 200,895
Valeant Pharmaceuticals International 14,717 262,257
Varian Medical Systems Inc* 20,839 1,206,161
VCA Antech Inc* 13,129 366,956
Vertex Pharmaceuticals Inc* 15,686 678,263
------------
Total Consumer, Non-cyclical 31,995,592
------------
Diversified (0.39%)
Leucadia National Corp 12,985 704,436
------------
Total Diversified 704,436
------------
Energy (10.17%)
Arch Coal Inc 11,310 826,874
Cooper Cameron Corp* 18,012 729,486
Denbury Resources Inc* 18,132 514,042
ENSCO International Inc 24,291 1,085,565
Equitable Resources Inc 19,216 698,694
FMC Technologies Inc* 10,960 514,243
Forest Oil Corp* 8,659 429,919
Grant Prideco Inc* 20,438 827,126
Hanover Compressor Co* 14,081 215,158
Helmerich & Payne Inc 8,214 540,235
National Fuel Gas Co 13,402 433,957
Newfield Exploration Co* 20,136 778,256
Noble Energy Inc 27,718 1,165,265
Patterson-UTI Energy Inc 27,404 754,980
Peabody Energy Corp 41,800 2,017,686
Pioneer Natural Resources Co 20,430 859,899
Plains Exploration & Production Co* 12,468 508,071
Pogo Producing Co 9,542 475,764
Pride International Inc* 25,180 779,825
Questar Corp 13,508 989,461
Quicksilver Resources Inc* 10,600 384,992
Smith International Inc 31,820 1,232,389
Southwestern Energy Co* 26,500 850,385
Tidewater Inc 9,597 501,443
Western Gas Resources Inc 9,101 430,568
------------
Total Energy 18,544,282
------------
Financial (17.73%)
AG Edwards Inc 12,208 545,698
AMB Property Corp 13,592 729,211
American Financial Group Inc/OH 7,155 296,217
AmeriCredit Corp* 21,893 645,844
AmerUs Group Co 6,117 368,549
Arthur J Gallagher & Co 15,122 445,948
Associated Banc-Corp 21,623 745,345
Astoria Financial Corp 13,782 395,130
Bank of Hawaii Corp 8,021 428,321
Brown & Brown Inc 17,664 552,353
Cathay General Bancorp 8,000 285,040
City National Corp/Beverly Hills CA 6,550 497,538
Colonial BancGroup Inc/The 24,437 613,613
Commerce Bancorp Inc/NJ 27,507 912,407
Cullen/Frost Bankers Inc 7,458 411,085
Developers Diversified Realty Corp 17,276 867,082
Eaton Vance Corp 20,682 582,819
Everest Re Group Ltd 9,820 972,573
Fidelity National Financial Inc 27,501 1,038,438
First American Corp 15,183 640,115
FirstMerit Corp 13,223 327,137
Greater Bay Bancorp 8,051 216,572
Hanover Insurance Group Inc/The* 8,507 412,164
HCC Insurance Holdings Inc 16,792 540,534
Highwoods Properties Inc 8,559 276,884
Horace Mann Educators Corp 6,562 122,381
Hospitality Properties Trust 11,361 505,565
Independence Community Bank Corp 11,493 470,983
IndyMac Bancorp Inc 10,227 397,012
Investors Financial Services Corp 10,281 463,776
Jefferies Group Inc 7,864 448,563
Legg Mason Inc 19,346 2,526,394
Liberty Property Trust 14,028 628,174
Macerich Co/The 11,041 795,504
Mack-Cali Realty Corp 9,777 438,987
Mercantile Bankshares Corp 19,571 747,612
Mercury General Corp 5,600 313,040
New Plan Excel Realty Trust 16,555 414,703
New York Community Bancorp Inc 37,534 633,199
Ohio Casualty Corp 9,869 302,090
Old Republic International Corp 36,295 772,721
PMI Group Inc/The 14,214 615,466
Protective Life Corp 11,018 537,128
Radian Group Inc 13,170 747,398
Raymond James Financial Inc 9,074 390,001
Regency Centers Corp 10,759 693,956
Stancorp Financial Group Inc 8,534 461,689
SVB Financial Group* 5,620 286,564
TCF Financial Corp 18,028 457,190
Texas Regional Bancshares Inc 6,575 203,036
United Dominion Realty Trust Inc 21,759 582,053
Unitrin Inc 7,251 350,586
Waddell & Reed Financial Inc 12,904 300,534
Washington Federal Inc 13,798 326,461
Webster Financial Corp 8,567 403,934
Weingarten Realty Investors 12,787 503,552
Westamerica Bancorporation 5,020 272,285
Wilmington Trust Corp 10,806 462,605
WR Berkley Corp 17,780 1,029,284
------------
Total Financial 32,351,040
------------
See accompanying notes to financial statements.
23
- --------------------------------------------------------------------------------
S&P MIDCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Industrial (13.56%)
AGCO Corp* 14,348 $ 280,503
Alexander & Baldwin Inc 6,922 337,309
Alliant Techsystems Inc* 5,672 433,454
Ametek Inc 11,160 478,094
Amphenol Corp 14,076 707,037
Arrow Electronics Inc* 18,983 660,419
Avnet Inc* 23,198 582,966
Brink's Co/The 9,313 456,058
Carlisle Cos Inc 4,858 381,839
CH Robinson Worldwide Inc 27,102 1,214,712
CNF Inc 8,252 414,085
Crane Co 7,909 304,417
Donaldson Co Inc 10,828 375,298
DRS Technologies Inc 6,200 327,174
Dycom Industries Inc* 6,201 132,391
Energizer Holdings Inc* 10,389 567,551
Expeditors International Washington Inc 16,944 1,318,074
Federal Signal Corp 7,404 132,606
Flowserve Corp* 8,793 451,960
GATX Corp 8,018 318,315
Gentex Corp 24,670 411,002
Graco Inc 10,849 452,078
Granite Construction Inc 5,096 236,200
Harsco Corp 6,627 528,702
Hubbell Inc 9,623 447,181
Jacobs Engineering Group Inc* 9,232 791,552
JB Hunt Transport Services Inc 19,652 464,966
Joy Global Inc 19,250 992,530
Kemet Corp* 13,751 122,521
Kennametal Inc 6,127 358,307
Lancaster Colony Corp 3,989 160,118
Martin Marietta Materials Inc 7,376 719,160
Mine Safety Appliances Co 4,100 163,385
National Instruments Corp 8,825 286,371
Nordson Corp 5,052 252,196
Overseas Shipholding Group 4,584 231,813
Packaging Corp of America 9,625 219,546
Pentair Inc 16,095 646,214
Plexus Corp* 6,712 225,255
Precision Castparts Corp 21,124 1,120,417
Republic Services Inc 19,403 754,195
Sequa Corp* 959 81,429
Sonoco Products Co 15,751 515,373
SPX Corp 10,473 515,795
Stericycle Inc* 7,030 424,964
Swift Transportation Co Inc* 8,057 192,079
Tecumseh Products Co 2,574 58,198
Teleflex Inc 6,312 408,071
Thomas & Betts Corp* 8,439 415,199
Timken Co 13,200 378,576
Trinity Industries Inc 6,924 366,972
Varian Inc* 4,971 198,343
Vishay Intertechnology Inc* 29,221 424,289
Werner Enterprises Inc 7,985 155,149
Worthington Industries 10,993 215,463
YRC Worldwide Inc* 9,189 439,602
Zebra Technologies Corp* 11,184 493,662
------------
Total Industrial 24,741,133
------------
Technology (10.87%)
Activision Inc* 43,462 543,275
Acxiom Corp 12,066 312,268
Advent Software Inc* 2,409 66,970
Anteon International Corp* 5,200 287,508
Atmel Corp* 66,492 302,539
BISYS Group Inc/The* 19,125 269,854
Cabot Microelectronics Corp* 3,853 131,464
Cadence Design Systems Inc* 44,961 798,058
Ceridian Corp* 23,086 597,004
Cognizant Technology Solutions Corp* 21,949 1,264,482
Credence Systems Corp* 15,279 132,316
Cree Inc* 12,081 361,826
CSG Systems International* 7,566 166,301
Cypress Semiconductor Corp* 21,479 381,467
Diebold Inc 10,758 430,320
DST Systems Inc* 9,968 560,501
Dun & Bradstreet Corp* 10,557 767,916
Fair Isaac Corp 10,398 443,163
Fairchild Semiconductor International Inc* 19,060 331,263
Fidelity National Information Services Inc 14,861 589,239
Imation Corp 5,229 229,292
Integrated Device Technology Inc* 31,677 470,403
International Rectifier Corp* 11,255 417,561
Intersil Corp 24,484 693,877
Jack Henry & Associates Inc 11,501 253,137
Lam Research Corp* 21,554 928,977
Lattice Semiconductor Corp* 17,999 81,895
McData Corp* 23,849 105,413
MEMC Electronic Materials Inc* 26,200 877,438
Mentor Graphics Corp* 12,132 136,242
Micrel Inc* 10,145 141,726
Microchip Technology Inc 33,296 1,172,019
MoneyGram International Inc 13,535 388,048
Reynolds & Reynolds Co/The 7,900 218,830
SanDisk Corp* 29,236 1,764,100
SEI Investments Co 10,111 422,539
Semtech Corp* 11,112 208,683
Silicon Laboratories Inc* 7,136 342,385
SRA International Inc* 5,900 203,668
Sybase Inc* 14,271 304,400
Synopsys Inc* 22,875 500,276
Transaction Systems Architects Inc* 5,905 196,991
Triquint Semiconductor Inc* 21,558 102,185
Western Digital Corp* 34,267 762,441
Wind River Systems Inc* 11,457 177,240
------------
Total Technology 19,837,499
------------
Utilities (6.19%)
AGL Resources Inc 12,346 443,221
Alliant Energy Corp 18,532 613,409
Aqua America Inc 20,421 586,900
Aquila Inc* 59,270 231,153
Black Hills Corp 5,271 182,218
DPL Inc 20,280 545,938
Duquesne Light Holdings Inc 12,335 214,012
Energy East Corp 23,442 587,457
Great Plains Energy Inc 11,868 337,051
Hawaiian Electric Industries Inc 12,809 342,385
Idacorp Inc 6,734 221,818
MDU Resources Group Inc 19,048 671,442
Northeast Utilities 23,762 466,210
NSTAR 16,986 498,709
OGE Energy Corp 14,400 414,000
Oneok Inc 15,434 472,126
Pepco Holdings Inc 29,996 713,005
PNM Resources Inc 10,582 261,905
Puget Energy Inc 18,287 394,268
SCANA Corp 18,141 739,790
Sierra Pacific Resources* 29,119 414,655
Vectren Corp 12,115 319,351
Westar Energy Inc 13,785 296,653
WGL Holdings Inc 7,705 237,314
Wisconsin Energy Corp 18,552 758,220
WPS Resources Corp 6,354 333,903
------------
Total Utilities 11,297,112
------------
Total Common Stock (Cost $130,758,134) $180,498,576
------------
Par Value
- ---------
Short-Term Investments (b) (0.87%)
$ 300,000 United States Treasury Bill 04/20/2006 $ 298,204
1,300,000 United States Treasury Bill 06/08/2006 1,284,097
------------
Total Short-Term Investments (Cost $1,582,241) $ 1,582,301
------------
See accompanying notes to financial statements.
24
- --------------------------------------------------------------------------------
S&P MIDCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Value (Note 1)
- --------------------------------------------------------------------------------
Total Investments (Cost $132,340,375) (a) (99.81%) $182,080,877
Other Net Assets (0.19%) 342,527
------------
Net Assets (100.00%) $182,423,404
============
- ---------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $132,340,375. At
February 28, 2006, unrealized appreciation (depreciation) of securities
for federal income tax purposes is as follows:
Unrealized appreciation $ 56,493,938
Unrealized depreciation (6,753,436)
------------
Net unrealized appreciation $ 49,740,502
============
(b) At February 28, 2006, certain United States Treasury Bills with a market
value of $298,204 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 2006: (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
S&P MidCap Index: Appreciation
4/Mar 06/Long $6,206
======
See accompanying notes to financial statements.
25
- --------------------------------------------------------------------------------
S&P SMALLCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Common Stock (96.22%)
Basic Materials (3.48%)
AMCOL International Corp 1,466 $ 40,476
Arch Chemicals Inc 1,194 33,695
Brush Engineered Materials Inc* 769 13,388
Buckeye Technologies Inc* 1,716 15,118
Caraustar Industries Inc* 1,296 13,180
Carpenter Technology Corp 1,224 102,314
Century Aluminum Co* 1,151 40,964
Chaparral Steel Co* 1,086 49,750
Cleveland-Cliffs Inc 1,296 111,521
Deltic Timber Corp 590 30,833
Georgia Gulf Corp 1,993 57,199
HB Fuller Co 1,662 67,477
MacDermid Inc 1,555 45,748
Material Sciences Corp* 683 8,886
Neenah Paper Inc* 750 22,958
OM Group Inc* 1,455 30,861
Omnova Solutions Inc* 1,854 11,254
Penford Corp 400 6,350
PolyOne Corp* 5,408 47,212
Pope & Talbot Inc 726 5,496
Quaker Chemical Corp 439 8,776
Reliance Steel & Aluminum Co 1,663 137,015
Rock-Tenn Co 1,817 23,839
RTI International Metals Inc* 1,366 57,440
Ryerson Inc 1,452 36,648
Schulman A Inc 1,547 36,246
Schweitzer-Mauduit International Inc 770 19,789
Steel Technologies Inc 654 18,044
Wausau Paper Corp 2,594 33,722
Wellman Inc 1,480 9,294
------------
Total Basic Materials 1,135,493
------------
Communications (3.13%)
4Kids Entertainment Inc* 613 10,421
Adaptec Inc* 5,637 35,288
Advo Inc 1,857 59,703
Aeroflex Inc* 3,808 49,504
Anixter International Inc 1,885 86,239
Applied Signal Technology Inc 560 13,126
Black Box Corp 903 43,145
Blue Coat Systems Inc* 700 14,861
C-COR Inc* 2,207 15,670
Commonwealth Telephone Enterprises Inc 1,151 37,154
Comtech Telecommunications Corp* 1,000 31,330
Digital Insight Corp* 1,774 58,631
Ditech Communications Corp* 1,700 17,527
General Communication Inc* 2,942 33,098
Harmonic Inc* 3,354 19,353
Infospace Inc* 1,400 33,754
Internet Security Systems* 1,984 46,247
Intrado Inc* 772 19,810
j2 Global Communications Inc* 1,488 64,877
MIVA Inc* 1,508 6,590
Napster Inc* 1,603 5,739
Netgear Inc* 1,900 32,604
Network Equipment Technologies Inc* 1,066 4,360
Novatel Wireless Inc* 1,500 12,240
PC-Tel Inc* 942 7,112
Secure Computing Corp* 3,100 37,510
Symmetricom Inc* 2,100 18,837
Thomas Nelson Inc 657 19,217
Tollgrade Communications Inc* 630 8,978
Viasat Inc* 1,352 36,301
WebEx Communications Inc* 2,060 57,433
Websense Inc* 1,377 85,112
------------
Total Communications 1,021,769
------------
Consumer, Cyclical (17.83%)
Angelica Corp 425 8,534
Arctic Cat Inc 1,013 24,312
Ashworth Inc* 600 5,016
ASV Inc* 900 28,962
Audiovox Corp* 1,050 13,409
Aztar Corp* 2,072 62,533
Bally Total Fitness Holding Corp* 1,577 12,506
Bassett Furniture Industries Inc 556 10,725
Bell Microproducts Inc* 1,276 7,669
Brightpoint Inc* 2,400 67,896
Brown Shoe Co Inc 932 44,456
Building Material Holding Corp 840 56,532
Burlington Coat Factory Warehouse Corp 890 40,086
Casey's General Stores Inc 2,965 77,772
Cash America International Inc 1,744 46,739
Cato Corp/The 1,862 38,860
CEC Entertainment Inc* 1,917 62,418
Champion Enterprises Inc* 4,414 68,505
Childrens Place Retail Stores Inc/The* 1,278 59,644
Christopher & Banks Corp 1,875 41,119
Coachmen Industries Inc 746 8,803
Cost Plus Inc* 1,125 21,589
Dress Barn Inc* 1,308 56,479
Ethan Allen Interiors Inc 1,913 77,878
Finish Line 2,500 41,850
Fleetwood Enterprises Inc* 3,730 42,149
Fred's Inc 2,010 28,080
Frontier Airlines Inc* 1,612 11,606
G&K Services Inc 1,071 41,876
Genesco Inc* 1,318 53,511
Group 1 Automotive Inc* 1,153 44,137
Guitar Center Inc* 1,549 80,176
Gymboree Corp* 1,569 35,867
Hancock Fabrics Inc /DE 863 3,581
Haverty Furniture Cos Inc 1,157 16,487
Hibbett Sporting Goods Inc* 2,104 67,496
HOT Topic Inc* 2,397 31,592
Hughes Supply Inc 3,942 182,318
Ihop Corp 1,098 55,888
Insight Enterprises Inc* 2,482 53,437
Interface Inc* 2,381 26,381
J Jill Group Inc/The* 1,026 24,244
Jack in the Box Inc* 1,872 74,880
Jakks Pacific Inc* 1,604 39,811
Jo-Ann Stores Inc* 1,070 14,231
JOS A Bank Clothiers Inc* 750 33,458
K2 Inc* 2,726 31,076
Kellwood Co 1,393 35,856
K-Swiss Inc 1,313 38,313
Landry's Restaurants Inc 826 25,499
La-Z-Boy Inc 2,673 42,634
Lenox Group Inc* 632 8,444
Libbey Inc 640 5,670
LKQ Corp* 2,600 57,252
Lone Star Steakhouse & Saloon Inc 1,092 29,440
Longs Drug Stores Corp 1,414 54,255
M/I Homes Inc 700 29,484
Marcus Corp 1,435 23,577
MarineMax Inc* 800 24,688
Men's Wearhouse Inc* 3,043 95,307
Meritage Homes Corp* 1,350 79,016
Mesa Air Group Inc* 1,462 16,696
Mobile Mini Inc* 864 47,071
Monaco Coach Corp 1,505 21,537
Movie Gallery Inc 1,719 5,484
Multimedia Games Inc* 1,431 15,154
National Presto Industries Inc 327 14,306
Nautilus Inc 1,674 27,537
NVR Inc* 340 256,020
O'Charleys Inc* 966 17,156
Oshkosh Truck Corp 4,318 244,960
Owens & Minor Inc 2,315 73,825
Oxford Industries Inc 832 38,089
Panera Bread Co* 1,847 130,878
Papa John's International Inc* 1,264 41,586
Pegasus Solutions Inc* 1,159 10,709
PEP Boys-Manny Moe & Jack 3,075 48,278
See accompanying notes to financial statements.
26
- --------------------------------------------------------------------------------
S&P SMALLCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
PF Chang's China Bistro Inc* 1,512 $ 73,090
Phillips-Van Heusen 1,978 70,219
Pinnacle Entertainment Inc* 2,726 76,464
Polaris Industries Inc 2,404 120,320
Quiksilver Inc* 6,824 98,948
Rare Hospitality International Inc* 1,744 55,808
Red Robin Gourmet Burgers Inc* 800 31,992
Russell Corp 1,674 23,905
Ryan's Restaurant Group Inc* 2,086 27,556
Scansource Inc* 643 37,365
School Specialty Inc* 1,375 47,960
SCP Pool Corp 3,036 131,975
Select Comfort Corp* 1,867 68,239
Shuffle Master Inc* 1,755 45,858
Skyline Corp 400 16,048
Skywest Inc 3,379 97,890
Sonic Automotive Inc 1,573 41,669
Sonic Corp* 3,446 108,928
Stage Stores Inc 1,338 39,016
Standard Motor Products Inc 916 9,719
Standard-Pacific Corp 3,990 131,072
Steak N Shake Co/The* 1,277 23,280
Stein Mart Inc 1,360 22,685
Stride Rite Corp 1,831 25,451
Superior Industries International 1,200 25,860
Too Inc* 1,767 53,770
Toro Co 2,494 115,048
Tractor Supply Co* 1,961 123,896
Triarc Cos Inc 3,265 50,934
Ultimate Electronics Inc* 680 --
United Stationers Inc* 1,737 85,982
Wabash National Corp 1,723 34,408
Watsco Inc 1,366 95,101
Winnebago Industries 1,700 54,604
WMS Industries Inc* 1,145 33,262
Wolverine World Wide Inc 3,060 67,504
World Fuel Services Corp 1,600 48,480
Zale Corp* 2,667 69,475
------------
Total Consumer, Cyclical 5,819,076
------------
Consumer, Non-cyclical (16.31%)
Aaron Rents Inc 2,547 66,731
ABM Industries Inc 2,008 37,048
Administaff Inc 1,236 58,648
Alliance One International Inc 4,676 20,808
Alpharma Inc 2,187 66,157
Amedisys Inc* 943 30,346
American Italian Pasta Co 860 3,741
American Medical Systems Holdings Inc* 4,020 87,113
AMERIGROUP Corp* 3,038 64,983
Amsurg Corp* 1,551 33,982
Arbitron Inc 1,587 62,210
Arqule Inc* 1,302 7,005
Arthrocare Corp* 1,479 66,806
Biolase Technology Inc 1,245 9,549
Biosite Inc* 1,003 54,242
Bowne & Co Inc 1,795 26,728
Bradley Pharmaceuticals Inc* 786 9,275
Cambrex Corp 1,239 22,946
CDI Corp 607 14,865
Centene Corp* 2,478 67,773
Central Parking Corp 968 15,778
Chemed Corp 1,544 85,599
CNS Inc 700 14,553
Coinstar Inc* 1,600 41,280
Conmed Corp* 1,525 29,524
Connetics Corp* 1,800 28,584
Consolidated Graphics Inc* 696 35,545
Cooper Cos Inc/The 2,576 135,163
Corn Products International Inc 4,342 117,060
CPI Corp 380 6,669
Cross Country Healthcare Inc* 1,040 19,042
CryoLife Inc* 1,113 4,953
Cyberonics Inc* 1,199 32,577
Datascope Corp 759 28,956
Delta & Pine Land Co 1,965 49,734
Diagnostic Products Corp 1,391 64,195
DJ Orthopedics Inc* 1,097 38,263
Enzo Biochem Inc* 1,519 20,005
Flowers Foods Inc 2,891 79,503
Fossil Inc* 2,520 42,890
Gentiva Health Services Inc* 1,227 20,442
Gevity HR Inc 1,500 37,770
Great Atlantic & Pacific Tea Co* 919 29,647
Haemonetics Corp/Mass* 1,591 82,414
Hain Celestial Group Inc* 1,870 43,646
Hansen Natural Corp* 700 65,338
Healthcare Services Group 1,200 22,152
Healthways Inc* 1,971 85,837
Heidrick & Struggles International Inc* 972 35,964
Hologic Inc* 2,592 123,975
Hooper Holmes Inc 3,007 8,540
ICU Medical Inc* 655 22,991
Idexx Laboratories Inc* 1,782 140,030
Immucor Inc* 2,627 78,337
Integra LifeSciences Holdings Corp* 965 38,446
Invacare Corp 1,604 50,221
iPayment Inc* 800 34,184
J&J Snack Foods Corp 834 28,314
John H Harland Co 1,445 52,295
Kensey Nash Corp* 574 14,052
Labor Ready Inc* 2,823 69,361
Lance Inc 1,352 29,392
Laserscope* 1,100 24,057
LCA-Vision Inc 1,173 51,143
Live Nation Inc* 4,000 71,400
MAXIMUS Inc 1,113 40,636
Medicis Pharmaceutical Corp 3,212 91,349
Mentor Corp 2,255 97,055
Merit Medical Systems Inc* 1,295 18,454
MGI Pharma Inc* 4,514 79,582
Midas Inc* 700 13,328
Nash Finch Co 581 18,011
Natures Sunshine Prods Inc 669 11,353
NBTY Inc* 2,925 64,058
NCO Group Inc* 1,615 36,289
Noven Pharmaceuticals Inc* 1,200 18,084
Odyssey HealthCare Inc* 1,878 35,344
On Assignment Inc* 1,167 12,942
Osteotech Inc* 821 3,752
Parexel International Corp* 1,339 34,305
Pediatrix Medical Group Inc* 1,457 137,512
Peet's Coffee & Tea Inc* 600 17,964
Performance Food Group Co* 1,978 58,094
Playtex Products Inc* 3,200 33,600
PolyMedica Corp 1,391 56,252
Possis Medical Inc* 932 8,714
Pre-Paid Legal Services Inc 540 19,499
Ralcorp Holdings Inc* 1,500 57,930
Regeneron Pharmaceuticals Inc* 2,656 43,479
RehabCare Group Inc* 746 15,054
Resmed Inc* 4,170 169,260
Respironics Inc* 4,174 151,767
Rewards Network Inc* 1,161 9,137
Russ Berrie & Co Inc 958 13,019
Sanderson Farms Inc 718 16,744
Savient Pharmaceuticals Inc* 2,760 14,269
SFBC International Inc* 739 17,440
Sierra Health Services Inc* 2,964 123,569
Sourcecorp* 750 19,200
Spectrum Brands Inc* 2,267 43,232
Spherion Corp* 3,098 30,918
Standard Register Co/The 613 10,065
Startek Inc 740 14,578
Sunrise Senior Living Inc* 2,100 74,466
SurModics Inc* 809 31,357
Sybron Dental Specialties Inc* 2,378 90,982
Theragenics Corp* 1,389 4,695
See accompanying notes to financial statements.
27
- --------------------------------------------------------------------------------
S&P SMALLCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
TreeHouse Foods Inc* 1,600 $ 36,080
United Natural Foods Inc* 2,400 79,824
United Surgical Partners International Inc* 2,563 90,089
Universal Technical Institute Inc* 1,300 40,053
USANA Health Sciences Inc* 500 21,575
Vertrue Inc* 521 22,955
Viad Corp 1,109 35,499
Viasys Healthcare Inc* 1,879 54,829
Vital Signs Inc 295 15,063
Volt Information Sciences Inc* 731 17,493
Watson Wyatt Worldwide Inc 2,252 68,821
WD-40 Co 826 25,218
------------
Total Consumer, Non-cyclical 5,325,616
------------
Energy (7.29%)
Atwood Oceanics Inc* 811 73,136
Cabot Oil & Gas Corp 2,832 128,176
Cal Dive International Inc* 4,522 159,220
CARBO Ceramics Inc 1,024 56,064
Cimarex Energy Co 4,823 205,749
Dril-Quip Inc* 400 20,320
Frontier Oil Corp 3,322 153,643
Headwaters Inc* 2,223 82,518
Hydril* 1,174 79,057
Input/Output Inc* 3,753 28,373
Lone Star Technologies Inc* 1,776 88,267
Lufkin Industries Inc 900 46,584
Massey Energy Co 4,494 167,177
Maverick Tube Corp* 2,472 115,022
Oceaneering International Inc* 1,580 87,121
Penn Virginia Corp 1,100 68,035
Petroleum Development Corp* 1,015 43,655
Remington Oil & Gas Corp* 1,386 58,073
SEACOR Holdings Inc* 1,251 91,285
St Mary Land & Exploration Co 3,328 127,762
Stone Energy Corp* 1,567 64,874
Swift Energy Co* 1,722 66,745
Tetra Technologies Inc* 2,017 75,839
Unit Corp* 2,646 140,688
Veritas DGC Inc* 2,015 84,892
W-H Energy Services Inc* 1,708 67,466
------------
Total Energy 2,379,741
------------
Financial (14.26%)
Acadia Realty Trust 1,700 37,281
Anchor Bancorp Wisconsin Inc 1,149 34,987
BankAtlantic Bancorp Inc 2,300 31,395
Bankunited Financial Corp 1,838 51,354
Boston Private Financial Holdings Inc 1,801 55,129
Brookline Bancorp Inc 3,628 54,456
Central Pacific Financial Corp 1,600 59,200
Chittenden Corp 2,761 79,489
Colonial Properties Trust 2,586 125,033
Commercial Net Lease Realty 3,152 71,708
Community Bank System Inc 1,600 34,672
Delphi Financial Group 1,614 84,057
Dime Community Bancshares 1,914 26,184
Downey Financial Corp 1,234 78,421
East West Bancorp Inc 3,306 124,603
EastGroup Properties Inc 1,200 55,140
Entertainment Properties Trust 1,484 61,363
Essex Property Trust Inc 1,374 136,919
Fidelity Bankshares Inc 1,100 35,123
Financial Federal Corp 1,588 44,353
First Bancorp/Puerto Rico 4,128 52,260
First Midwest Bancorp Inc/IL 2,689 90,431
First Republic Bank/San Francisco CA 1,219 44,238
FirstFed Financial Corp* 870 52,209
Flagstar Bancorp Inc 1,822 28,150
Franklin Bank Corp/Houston TX* 1,200 20,472
Fremont General Corp 3,856 91,464
Glacier Bancorp Inc 1,600 50,464
Glenborough Realty Trust Inc 1,638 31,695
Gold Banc Corp Inc 2,056 37,604
Hanmi Financial Corp 2,300 41,285
Harbor Florida Bancshares Inc 1,100 41,811
Hilb Rogal & Hobbs Co 1,850 71,503
Infinity Property & Casualty Corp 1,100 43,626
Investment Technology Group Inc* 2,351 106,923
Irwin Financial Corp 950 19,038
Kilroy Realty Corp 1,657 123,977
LaBranche & Co Inc* 3,500 49,525
LandAmerica Financial Group Inc 971 64,766
Lexington Corporate Properties Trust 3,070 65,452
MAF Bancorp Inc 1,677 71,876
Nara Bancorp Inc 1,163 20,318
New Century Financial Corp 3,282 127,178
Parkway Properties Inc/Md 865 38,095
Philadelphia Consolidated Holding Co* 1,030 110,210
Piper Jaffray Cos* 1,018 50,574
Portfolio Recovery Associates Inc* 800 39,128
Presidential Life Corp 1,505 32,975
PrivateBancorp Inc 1,017 38,575
ProAssurance Corp* 1,796 92,117
Prosperity Bancshares Inc 1,100 31,746
Provident Bankshares Corp 1,686 61,320
Republic Bancorp Inc/MI 3,974 48,205
RLI Corp 1,292 68,114
SCPIE Holdings Inc* 473 10,756
Selective Insurance Group 1,622 87,945
Shurgard Storage Centers Inc 2,759 176,935
South Financial Group Inc/The 4,340 114,185
Sovran Self Storage Inc 959 49,868
Sterling Bancshares Inc/TX 2,297 40,933
Sterling Financial Corp/WA 2,038 58,980
Stewart Information Services Corp* 928 43,570
Susquehanna Bancshares Inc 2,763 66,616
SWS Group Inc 787 19,179
Town & Country Trust/The 900 36,261
Trustco Bank Corp NY 3,818 47,992
UCBH Holdings Inc 5,434 97,269
UICI 1,873 68,720
Umpqua Holdings Corp 2,593 69,829
United Bankshares Inc 1,934 72,467
United Fire & Casualty Co 900 32,211
Whitney Holding Corp 3,726 127,541
Wintrust Financial Corp 1,238 65,218
World Acceptance Corp* 952 24,543
Zenith National Insurance Corp 2,073 106,760
------------
Total Financial 4,655,966
------------
Industrial (20.43%)
AAR Corp* 2,078 52,594
Acuity Brands Inc 2,585 102,082
Advanced Energy Industries Inc* 1,553 22,239
Albany International Corp 1,699 63,152
Aleris International Inc* 1,765 75,595
AM Castle & Co* 759 21,495
Analogic Corp 700 37,765
AO Smith Corp 1,208 55,930
Apogee Enterprises Inc 1,275 22,045
Applied Industrial Technologies Inc 1,491 63,785
Aptargroup Inc 2,075 110,079
Arkansas Best Corp 1,481 61,550
Armor Holdings Inc* 1,673 98,255
Artesyn Technologies Inc* 1,796 19,576
Astec Industries Inc* 914 32,831
Baldor Electric Co 1,689 54,470
Barnes Group Inc 885 33,966
Bel Fuse Inc 579 19,171
Belden CDT Inc 2,364 60,944
Benchmark Electronics Inc* 2,406 84,739
Brady Corp 2,844 105,171
Briggs & Stratton Corp 3,004 106,582
Bristow Group Inc* 1,161 34,667
C&D Technologies Inc 1,187 10,137
Ceradyne Inc* 1,521 92,598
Checkpoint Systems Inc* 2,228 63,632
See accompanying notes to financial statements.
28
- --------------------------------------------------------------------------------
S&P SMALLCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Chesapeake Corp 1,001 $ 13,203
Clarcor Inc 3,004 101,685
Cognex Corp 2,720 74,827
Coherent Inc* 1,849 60,019
Commercial Metals Co 3,378 152,990
CTS Corp 1,721 21,254
Cubic Corp 771 16,669
Curtiss-Wright Corp 1,277 78,970
Cymer Inc* 2,086 93,828
Daktronics Inc 943 33,420
Dionex Corp* 1,077 59,095
Drew Industries Inc* 800 25,960
EDO Corp 1,023 29,800
EGL Inc* 1,882 76,127
Electro Scientific Industries Inc* 1,341 33,471
ElkCorp 1,011 36,497
EMCOR Group Inc* 1,852 80,729
EnPro Industries Inc* 1,100 36,047
Esterline Technologies Corp* 1,486 61,877
FEI Co* 1,705 34,117
Flir Systems Inc* 4,050 104,652
Florida Rock Industries Inc 2,728 157,160
Forward Air Corp 1,656 58,755
Gardner Denver Inc* 1,513 92,838
GenCorp Inc* 2,884 55,517
Gerber Scientific Inc* 1,029 10,691
Greatbatch Inc* 1,017 22,486
Griffon Corp* 1,420 33,398
Heartland Express Inc 2,349 54,332
HUB Group Inc* 1,100 45,870
IDEX Corp 3,073 145,199
Insituform Technologies Inc* 1,227 33,019
Intermagnetics General Corp* 2,241 65,930
Intermet Corp 1,230 --
Itron Inc* 1,470 87,406
JLG Industries Inc 3,041 179,389
Kaman Corp 1,048 23,800
Kansas City Southern* 4,315 99,979
Kaydon Corp 1,447 52,092
Keithley Instruments Inc 720 10,858
Kirby Corp* 1,458 89,375
Knight Transportation Inc 3,384 66,969
Landstar System Inc 3,458 161,108
Lawson Products 456 16,138
Lennox International Inc 3,319 106,706
Lindsay Manufacturing Co 549 13,451
Littelfuse Inc* 1,132 32,534
Lydall Inc* 745 6,608
Magnetek Inc* 1,366 5,464
Manitowoc Co 1,771 136,491
Meade Instruments Corp* 955 2,722
Methode Electronics Inc 1,654 20,295
Moog Inc* 2,002 67,187
Mueller Industries Inc 2,095 69,156
Myers Industries Inc 1,536 24,576
NCI Building Systems Inc* 1,100 63,448
NS Group Inc* 1,100 44,869
Old Dominion Freight Line* 1,500 39,540
Park Electrochemical Corp 1,018 29,390
Paxar Corp* 2,034 39,012
Photon Dynamics Inc* 781 16,549
Planar Systems Inc* 664 10,319
Quanex Corp 1,464 90,870
Regal-Beloit Corp 1,574 63,338
Robbins & Myers Inc 666 13,973
Rogers Corp* 850 41,684
Roper Industries Inc 5,008 225,711
SBS Technologies Inc* 723 8,018
Shaw Group Inc/The* 4,644 154,877
Simpson Manufacturing Co Inc 1,890 73,880
Sonic Solutions Inc* 1,173 21,290
Standex International Corp 564 17,975
Stewart & Stevenson Services Inc 1,474 50,779
Sturm Ruger & Co Inc 1,292 9,302
Technitrol Inc 2,070 45,292
Teledyne Technologies Inc* 1,966 65,134
Tetra Tech Inc* 3,368 59,984
Texas Industries Inc 1,386 84,075
Tredegar Corp 1,971 32,522
Trimble Navigation Ltd* 3,100 126,821
Triumph Group Inc* 814 34,066
Universal Forest Products Inc 881 54,472
URS Corp* 2,504 109,149
Valmont Industries Inc 824 29,969
Vicor Corp 1,051 20,904
Waste Connections Inc* 2,739 100,357
Watts Water Technologies Inc 1,255 44,904
Wolverine Tube Inc* 570 2,092
Woodward Governor Co 1,737 55,845
X-Rite Inc 987 12,584
------------
Total Industrial 6,670,780
------------
Technology (9.26%)
Actel Corp* 1,218 17,771
Agilysys Inc 1,491 21,306
Altiris Inc* 1,400 27,734
Ansys Inc* 1,876 88,960
ATMI Inc* 2,001 60,090
Avid Technology Inc* 2,399 112,369
Axcelis Technologies Inc* 5,102 35,255
Brooks Automation Inc* 4,331 67,953
CACI International Inc* 1,795 108,185
Captaris Inc* 1,544 6,068
Carreker Corp* 1,093 6,471
Catapult Communications Corp* 597 8,304
Cerner Corp* 3,570 148,619
Ciber Inc* 2,938 17,011
Cohu Inc 984 20,782
Dendrite International Inc* 2,129 28,316
Digi International Inc* 989 10,750
Diodes Inc* 1,100 41,558
DSP Group Inc* 1,496 40,242
eFunds Corp* 2,455 66,481
EPIQ Systems Inc* 854 18,762
ESS Technology* 1,795 6,713
Exar Corp* 1,952 24,302
Factset Research Systems Inc 1,734 67,886
Filenet Corp* 2,398 61,725
Global Imaging Systems Inc* 1,177 42,490
Global Payments Inc 3,886 202,305
Hutchinson Technology Inc* 1,338 36,808
Hyperion Solutions Corp* 3,501 117,459
Inter-Tel Inc 1,318 25,872
JDA Software Group Inc* 1,393 19,126
Keane Inc* 2,500 29,350
Komag Inc* 1,700 79,628
Kopin Corp* 3,225 14,029
Kronos Inc/MA* 1,893 77,632
Kulicke & Soffa Industries Inc* 2,607 29,198
Manhattan Associates Inc* 1,548 32,616
Mantech International Corp* 939 26,386
Mapinfo Corp* 1,036 13,976
Mercury Computer Systems Inc* 1,010 17,412
Micros Systems Inc* 2,200 95,238
Microsemi Corp* 3,651 112,268
MRO Software Inc* 1,139 16,789
MTS Systems Corp 1,024 40,468
Open Solutions Inc* 1,000 27,150
Pericom Semiconductor Corp* 1,192 10,740
Per-Se Technologies Inc* 1,816 45,872
Phoenix Technologies Ltd* 1,166 8,080
Photronics Inc* 2,089 36,704
Power Integrations Inc* 1,578 39,182
Progress Software Corp* 2,349 68,591
Quality Systems Inc 400 27,688
Radiant Systems Inc* 1,286 18,364
Radisys Corp* 829 15,121
Rudolph Technologies Inc* 760 12,525
See accompanying notes to financial statements.
29
- --------------------------------------------------------------------------------
S&P SMALLCAP PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Serena Software Inc* 1,479 $ 35,348
Skyworks Solutions Inc* 9,282 48,823
SPSS Inc* 804 26,243
Standard Microsystems Corp* 1,264 41,105
Supertex Inc* 590 19,865
Synaptics Inc* 1,300 30,537
Take-Two Interactive Software Inc* 4,154 64,719
Talx Corp 1,909 61,012
THQ Inc* 3,685 88,440
Ultratech Inc* 1,126 22,509
Varian Semiconductor Equipment
Associates Inc* 2,163 102,007
Veeco Instruments Inc* 1,520 30,537
------------
Total Technology 3,023,827
------------
Utilities (4.22%)
Allete Inc 1,780 83,073
American States Water Co 745 25,695
Atmos Energy Corp 4,738 125,083
Avista Corp 2,483 48,667
Cascade Natural Gas Corp 520 10,192
Central Vermont Public Service Corp 573 12,268
CH Energy Group Inc 808 39,673
Cleco Corp 2,940 66,121
El Paso Electric Co* 2,842 58,119
Energen Corp 4,230 151,138
Green Mountain Power Corp 231 6,514
Laclede Group Inc/The 1,063 35,812
New Jersey Resources Corp 1,614 72,630
Northwest Natural Gas Co 1,401 47,970
Piedmont Natural Gas Co 4,420 109,262
South Jersey Industries Inc 1,500 42,900
Southern Union Co* 5,708 140,531
Southwest Gas Corp 2,279 64,997
UGI Corp 6,110 137,170
UIL Holdings Corp 744 38,130
Unisource Energy Corp 2,052 62,401
------------
Total Utilities 1,378,346
------------
Total Common Stock (Cost $21,746,915) 31,410,613
------------
Par Value Value (Note 1)
- --------------------------------------------------------------------------------
Corporate Debt (0.04%)
$ 15,000 Mueller Industries Inc (11/01/14) $ 14,175
------------
Total Corporate Debt (Cost $15,000) 14,175
------------
Short-Term Investments (b) (3.64%)
200,000 United States Treasury Bill 04/20/06 198,801
200,000 United States Treasury Bill 05/04/06 198,441
800,000 United States Treasury Bill 06/08/06 790,214
------------
Total Short-Term Investments (Cost $1,187,446) 1,187,456
------------
Total Investments (Cost $22,949,360) (a) (99.90%) 32,612,244
Other Net Assets (0.10%) 33,269
------------
Net Assets (100.00%) $ 32,645,513
============
- ---------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $22,949,360. At February
28, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 11,258,533
Unrealized depreciation (1,595,649)
------------
Net unrealized appreciation $ 9,662,884
============
(b) At February 28, 2006, certain United States Treasury Bills with a market
value of $198,801 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 2006: (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
Russell 2000 Stock Index: Appreciation
3/Mar 06/Long $26,886
========
See accompanying notes to financial statements.
30
- --------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/28/2006
(UNAUDITED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Common Stock (87.11%)
Basic Materials (3.01%)
Chemicals (1.33%)
Praxair Inc 3,692 $ 199,294
Sherwin-Williams Co/The 1,746 79,530
----------
278,824
----------
Forest Products & Paper (0.88%)
Plum Creek Timber Co Inc (REIT) 4,950 183,893
----------
Mining (0.80%)
Alcoa Inc 5,750 168,590
----------
Total Basic Materials 631,307
----------
Communications (4.12%)
Media (2.70%)
McGraw-Hill Cos Inc/The 10,678 566,895
----------
Telecommunications (1.42%)
AT&T Inc 10,744 296,427
----------
Total Communications 863,322
----------
Consumer, Cyclical (10.15%)
Apparel (0.52%)
Liz Claiborne Inc 3,036 109,387
----------
Auto Manufacturers (1.53%)
Ford Motor Co 40,100 319,597
----------
Retail (8.10%)
Gap Inc/The 4,450 82,503
Lowe's Cos Inc 5,750 392,035
McDonald's Corp 12,368 431,767
Ross Stores Inc 3,692 104,557
Sears Holdings Corp* 717 86,363
Target Corp 5,639 306,762
TJX Cos Inc 5,750 140,818
Wal-Mart Stores Inc 3,381 153,361
----------
1,698,166
----------
Total Consumer, Cyclical 2,127,150
----------
Consumer, Non-cyclical (16.26%)
Agriculture (1.24%)
Reynolds American Inc 2,446 259,643
----------
Beverages (2.70%)
Anheuser-Busch Cos Inc 3,036 126,115
Coca-Cola Co/The 10,500 440,685
----------
566,800
Commercial Services (1.95%)
Moody's Corp 6,092 408,164
----------
Cosmetics/Personal Care (0.91%)
Procter & Gamble Co 3,180 190,577
----------
Food (2.03%)
Sara Lee Corp 12,300 217,341
Tyson Foods Inc 15,472 209,336
----------
426,677
----------
Healthcare-Products (1.88%)
Baxter International Inc 10,411 394,056
----------
Healthcare Services (1.70%)
Aetna Inc 6,984 356,184
----------
Household Products/Wares (1.04%)
ACCO Brands Corp* 410 9,750
Clorox Co 1,201 73,201
Fortune Brands Inc 1,746 135,402
----------
218,353
----------
Pharmaceuticals (2.81%)
AmerisourceBergen Corp 5,606 257,820
Merck & Co Inc 1,000 34,860
Pfizer Inc 11,300 295,948
----------
588,628
----------
Total Consumer, Non-cyclical $3,409,082
----------
Energy (11.85%)
Oil & Gas (10.57%)
Apache Corp 4,126 276,112
Chevron Corp 3,140 177,347
ConocoPhillips 7,348 447,934
Devon Energy Corp 4,752 278,610
ENSCO International Inc 3,370 150,605
Exxon Mobil Corp 6,236 370,231
GlobalSantaFe Corp 2,725 150,802
Valero Energy Corp 6,772 364,266
----------
2,215,907
----------
Oil & Gas Services (1.28%)
Baker Hughes Inc 2,280 154,972
Tidewater Inc 2,180 113,905
----------
268,877
----------
Total Energy 2,484,784
----------
Financial (24.12%)
Banks (7.54%)
Bank of America Corp 13,016 596,784
Fifth Third Bancorp 7,723 298,494
SunTrust Banks Inc 2,102 152,122
Wells Fargo & Co 8,297 532,667
----------
1,580,067
----------
Diversified Financial Services (2.30%)
Citigroup Inc 10,411 482,758
----------
Insurance (7.71%)
American International Group Inc 4,225 280,371
Arthur J Gallagher & Co 6,200 182,838
Fidelity National Financial Inc 2,994 113,053
Fidelity National Title Group Inc* 523 12,395
Marsh & McLennan Cos Inc 11,100 343,101
Metlife Inc 5,928 297,111
Stancorp Financial Group Inc 5,650 305,665
XL Capital Ltd 1,201 81,128
----------
1,615,662
----------
REITS (6.57%)
Annaly Mortgage Management Inc 7,408 87,044
Boston Properties Inc 1,746 147,834
iStar Financial Inc 3,704 141,122
Kimco Realty Corp 4,026 144,654
Mills Corp/The 3,804 150,372
Realty Income Corp 7,408 170,754
Simon Property Group Inc 2,180 180,875
SL Green Realty Corp 2,280 198,155
Vornado Realty Trust 1,746 155,377
----------
1,376,187
----------
Total Financial 5,054,674
----------
Industrial (5.15%)
Building Materials (0.57%)
Masco Corp 3,804 118,647
----------
Hand/Machine Tools (0.54%)
Stanley Works/The 2,280 114,319
----------
Machinery-Construction &
Mining (1.50%)
Caterpillar Inc 4,292 313,659
----------
Metal Fabricate/Hardware (0.78%)
Worthington Industries 8,400 164,640
----------
Miscellaneous Manufacturing (1.76%)
3M Co 2,612 192,217
ITT Industries Inc 2,134 112,035
Leggett & Platt Inc 2,725 63,983
----------
368,235
----------
Total Industrial 1,079,500
----------
See accompanying notes to financial statements.
31
- --------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 2/28/2006
(UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Technology (7.89%)
Computers (3.11%)
Dell Inc* 9,949 $ 288,521
Diebold Inc 1,746 69,840
Hewlett-Packard Co 5,750 188,658
Reynolds & Reynolds Co/The 3,804 105,371
-------------
652,390
-------------
Office/Business Equipment (0.46%)
Pitney Bowes Inc 2,280 97,447
-------------
Semiconductors (1.70%)
Intel Corp 17,263 355,618
-------------
Software (2.62%)
First Data Corp 8,609 388,524
Microsoft Corp 5,973 160,674
-------------
549,198
-------------
Total Technology 1,654,652
-------------
Utilties (4.56%)
Electric (4.56%)
Cinergy Corp 2,180 96,094
Consolidated Edison Inc 6,200 284,394
Entergy Corp 1,746 126,602
Exelon Corp 3,146 179,668
Progress Energy Inc 1,579 70,076
SCANA Corp 4,900 199,823
-------------
Total Utilities 956,657
-------------
Total Common Stock (Cost $13,926,921) 18,261,129
-------------
Par Value Value (Note 1)
- --------------------------------------------------------------------------------
Short-Term Investments (b) (12.81%)
$ 900,000 United States Treasury Bill 03/09/2006 $ 899,223
1,100,000 United States Treasury Bill 04/20/2006 1,093,766
700,000 United States Treasury Bill 06/08/2006 691,437
-----------
Total Short-Term Investments (Cost $2,684,393) 2,684,427
-----------
Total Investments (Cost $16,611,313) (a) (99.92%) 20,945,555
Other Net Assets (0.08%) 16,434
-----------
Net Assets (100.00%) $20,961,990
===========
- ---------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $16,611,313. At February
28, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $5,358,082
Unrealized depreciation (1,023,840)
----------
Net unrealized appreciation $4,334,242
==========
(b) At February 28, 2006, certain United States Treasury Bills with a market
value of $198,867 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 2006: (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
Russell 2000 Stock Index: Appreciation
7/Mar 06/Long $119,467
========
See accompanying notes to financial statements.
32
- --------------------------------------------------------------------------------
EUROPEAN GROWTH PORTFOLIO OF INVESTMENTS 2/28/2006
AND INCOME FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Common Stock (96.93%)
Basic Materials (3.27%)
Chemicals (1.80%)
BASF AG ADR 1,344 $101,593
Bayer AG ADR 1,515 60,964
---------
162,557
---------
Mining (1.47%)
Rio Tinto PLC ADR 700 132,048
---------
Total Basic Materials 294,605
---------
Communications (14.76%)
Media (0.68%)
Vivendi Universal SA ADR 2,033 61,295
---------
Telecommunications (14.08%)
Alcatel SA ADR* 1,772 23,922
BT Group PLC ADR 1,960 71,011
Deutsche Telekom AG ADR 6,625 104,609
France Telecom SA ADR 4,500 98,280
Nokia OYJ ADR 15,428 286,652
Telecom Italia SpA ADR 2,647 71,337
Telefonaktiebolaget LM Ericsson ADR 3,794 129,375
Telefonica SA ADR 4,165 192,506
Vodafone Group PLC ADR 15,110 291,925
---------
1,269,617
----------
Total Communications 1,330,912
----------
Consumer, Cyclical (1.19%)
Auto Manufacturers (1.19%)
DaimlerChrysler AG 1,935 107,334
----------
Total Consumer, Cyclical 107,334
----------
Consumer, Non-cyclical (19.64%)
Beverages (1.46%)
Diageo PLC ADR 2,135 131,730
----------
Cosmetics/Personal Care (0.59%)
L'Oreal SA ADR 3,005 53,203
----------
Food (4.91%)
Koninklijke Ahold NV ADR* 9,773 79,845
Nestle SA ADR 3,565 262,741
Unilever NV ADR 1,436 99,931
----------
442,517
----------
Pharmaceuticals (12.68%)
AstraZeneca PLC ADR 4,098 189,533
GlaxoSmithKline PLC ADR 6,888 350,048
Novartis AG ADR 6,357 338,510
Roche Holding AG ADR 3,616 265,776
----------
1,143,867
----------
Total Consumer, Non-cyclical 1,771,317
----------
Energy (17.92%)
Oil & Gas (17.92%)
BP PLC ADR 7,276 483,272
ENI SpA ADR 4,132 236,640
Royal Dutch Shell PLC ADR 3,235 203,902
Royal Dutch Shell PLC ADR 5,220 315,706
Total SA ADR 2,979 375,741
----------
1,615,260
----------
Total Energy 1,615,260
----------
Financial (32.49%)
Banks (19.51%)
ABN AMRO Holding NV ADR 4,211 122,624
Banco Bilbao Vizcaya Argentaria SA ADR 8,679 176,270
Banco Santander Central Hispano SA ADR 14,758 215,762
Barclays PLC ADR 7,651 358,602
BNP Paribas ADR 3,652 169,048
Deutsche Bank AG 1,596 176,757
HSBC Holdings PLC ADR 4,631 396,831
Lloyds TSB Group PLC ADR 3,655 143,094
----------
1,758,988
----------
Diversified Financial Services (5.44%)
Credit Suisse Group ADR 3,153 174,361
UBS AG 2,975 316,034
----------
490,395
----------
Insurance (7.54%)
Aegon NV ADR 2,943 48,560
Allianz AG ADR 9,257 149,778
AXA SA ADR 3,784 133,878
ING Groep NV ADR 4,932 185,394
Prudential PLC ADR 2,089 44,558
Royal & Sun Alliance Insurance Group
ADR 1,727 19,722
Swiss Reinsurance ADR 960 68,160
Zurich Financial Services AG ADR 1,265 29,664
----------
679,714
----------
Total Financial 2,929,097
----------
Industrial (3.49%)
Electronics (1.11%)
Koninklijke Philips Electronics NV ADR 3,084 100,292
----------
Miscellaneous Manufacturing (2.38%)
Siemens AG ADR 2,335 214,773
----------
Total Industrial 315,065
----------
Technology (1.11%)
Software (1.11%)
SAP AG ADR 1,967 100,514
----------
Total Technology 100,514
----------
Utilities (3.06%)
Electric (3.06%)
E.ON AG ADR 5,335 197,608
Suez SA ADR 2,137 78,343
----------
275,951
----------
Total Utilities 275,951
----------
Total Common Stocks (Cost $7,317,897) 8,740,055
----------
Par Value
- ---------
Short-Term Investments (2.20%)
$100,000 United States Treasury Bill 04/20/06 $ 99,399
100,000 United States Treasury Bill 06/08/06 98,777
----------
Total Short-Term Investments (Cost $198,171) 198,176
----------
Total Investments (Cost $7,516,068) (a) (99.13%) 8,938,231
Other Net Assets (0.87%) 78,509
----------
Net Assets (100.00%) $9,016,740
==========
- ---------------------
* Non-Income Producing Security
ADR - American Depository Receipts
(a) Aggregate cost for federal income tax purposes is $7,516,068. At February
28, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $1,906,409
Unrealized depreciation (484,246)
----------
Net unrealized appreciation $1,422,163
==========
See accompanying notes to financial statements.
33
- --------------------------------------------------------------------------------
NASDAQ-100 PORTFOLIO OF INVESTMENTS 2/28/2006
INDEX FUND (UNAUDITED)
- --------------------------------------------------------------------------------
Company Shares Value (Note 1)
- --------------------------------------------------------------------------------
Common Stock (98.09%)
Basic Materials (0.31%)
Sigma-Aldrich Corp 868 $ 55,908
-----------
Total Basic Materials 55,908
-----------
Communications (27.99%)
Amazon.Com Inc* 3,546 132,940
Check Point Software Technologies* 3,106 66,034
Checkfree Corp* 1,114 55,098
Cisco Systems Inc* 27,480 556,195
Comcast Corp* 11,896 319,170
Comverse Technology Inc* 2,693 77,451
Discovery Holding Co* 3,067 44,778
eBay Inc* 13,039 522,342
EchoStar Communications Corp* 2,814 82,647
Expedia Inc* 4,416 83,772
Google Inc* 1,564 567,138
IAC/InterActiveCorp* 4,302 125,790
JDS Uniphase Corp* 24,379 74,112
Juniper Networks Inc* 4,839 88,989
Lamar Advertising Co* 1,115 56,887
Liberty Global Inc* 3,112 63,205
NII Holdings Inc* 1,893 96,959
NTL Inc* 1,197 78,822
Qualcomm Inc 24,754 1,168,636
Sirius Satellite Radio Inc* 18,579 94,939
Symantec Corp* 14,573 246,138
Telefonaktiebolaget LM Ericsson ADR 1,600 54,560
Tellabs Inc* 3,293 48,374
VeriSign Inc* 3,114 73,677
XM Satellite Radio Holdings Inc* 2,952 65,210
Yahoo! Inc* 8,488 272,126
-----------
Total Communications 5,115,989
-----------
Consumer, Cyclical (10.51%)
Bed Bath & Beyond Inc* 5,144 185,390
CDW Corp 1,124 63,911
Cintas Corp 2,596 106,670
Costco Wholesale Corp 3,204 164,301
Fastenal Co 1,908 83,780
Paccar Inc 2,445 170,832
Petsmart Inc 1,828 47,455
Ross Stores Inc 1,836 51,996
Sears Holdings Corp* 2,069 249,211
Staples Inc 6,331 155,363
Starbucks Corp* 13,376 485,816
Urban Outfitters Inc* 2,217 62,298
Wynn Resorts Ltd* 1,400 93,029
-----------
Total Consumer, Cyclical 1,920,052
-----------
Consumer, Non-cyclical (17.78%)
Amgen Inc* 7,213 544,509
Amylin Pharmaceuticals Inc* 1,400 60,732
Apollo Group Inc* 2,298 113,475
Biogen Idec Inc* 4,754 224,627
Biomet Inc 4,322 157,321
Celgene Corp* 4,400 167,200
Chiron Corp* 3,398 155,187
Dentsply International Inc 994 56,648
Express Scripts Inc* 1,644 143,472
Genzyme Corp* 4,171 289,217
Gilead Sciences Inc* 5,611 349,397
Intuitive Surgical Inc* 400 36,080
Lincare Holdings Inc* 1,208 49,407
Medimmune Inc* 3,393 123,811
Monster Worldwide Inc* 1,618 79,217
Patterson Cos Inc* 1,704 61,412
Paychex Inc 4,633 185,552
Sepracor Inc* 1,400 80,234
Teva Pharmaceutical Industries Ltd ADR 6,234 261,766
Whole Foods Market Inc 1,738 111,023
-----------
Total Consumer, Non-cyclical 3,250,287
-----------
Energy (0.34%)
Patterson-UTI Energy Inc 2,249 61,960
-----------
Total Energy 61,960
-----------
Industrial (2.81%)
American Power Conversion Corp 2,529 51,667
CH Robinson Worldwide Inc 2,246 100,666
Expeditors International Washington Inc 1,400 108,906
Flextronics International Ltd* 8,018 86,514
Garmin Ltd 1,290 88,778
Joy Global Inc 1,500 77,340
-----------
Total Industrial 513,871
-----------
Technology (38.35%)
Activision Inc* 3,149 39,363
Adobe Systems Inc* 7,340 283,471
Altera Corp* 6,569 131,643
Apple Computer Inc* 14,648 1,003,974
Applied Materials Inc 10,812 198,292
ATI Technologies Inc* 3,185 50,578
Autodesk Inc* 3,200 120,480
BEA Systems Inc* 4,655 53,393
Broadcom Corp* 5,136 231,582
Cadence Design Systems Inc* 3,830 67,983
Citrix Systems Inc* 2,699 87,340
Cognizant Technology Solutions Corp* 1,800 103,698
Dell Inc* 10,857 314,853
Electronic Arts Inc* 3,904 202,891
Fiserv Inc* 2,973 123,380
Intel Corp 21,606 445,084
Intuit Inc* 2,872 139,522
Kla-Tencor Corp 3,082 160,973
Lam Research Corp* 1,871 80,640
Linear Technology Corp 5,249 193,478
Marvell Technology Group Ltd* 3,495 213,964
Maxim Integrated Products Inc 5,919 231,374
Microchip Technology Inc 2,316 81,523
Microsoft Corp 42,110 1,132,759
Network Appliance Inc* 5,014 166,264
Nvidia Corp* 2,166 102,084
Oracle Corp* 26,882 333,874
Pixar* 1,616 103,101
Red Hat Inc* 2,242 60,243
Research In Motion Ltd* 2,463 173,714
SanDisk Corp* 2,224 134,195
Sun Microsystems Inc* 19,139 79,809
Xilinx Inc 5,958 162,533
-----------
Total Technology 7,008,055
-----------
Total Common Stock (Cost $17,159,612) 17,926,122
-----------
Total Investments (Cost $17,159,612) (a) (98.09%) 17,926,122
Other Net Assets (1.91%) 349,516
-----------
Net Assets (100.00%) $18,275,638
===========
- ---------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $17,159,612. At February
28, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $4,531,504
Unrealized depreciation (3,764,994)
----------
Net unrealized appreciation $ 766,510
==========
See accompanying notes to financial statements.
34
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
California
Tax-Free California California
Money Insured Tax-Free
Market Intermediate Income
Fund Fund Fund
-------------- ---------------- ---------------
ASSETS
Investments at market value (identified cost
$61,011,033; $19,707,732; $125,494,756;
$26,824,622; $34,944,792 and $16,374,914,
respectively) (Note 1) $61,011,033 $ 19,881,592 $133,817,482
Cash 38,679 93,699 63,325
Interest receivable 384,165 208,869 1,580,743
Receivable for fund shares sold 36,895 - 4,646
----------- ------------ ------------
Total assets 61,470,772 20,184,160 135,466,196
----------- ------------ ------------
LIABILITIES
Payable for fund shares repurchased 101,812 30,662 5,772
Payable to investment advisor 11,651 4,418 50,604
Distributions payable 7,122 9,278 114,877
Accrued 12b-1 fee - K shares - - -
Accrued shareholder service fee - K shares - - -
Accrued administration fee 3,741 1,195 8,102
Accrued expenses 21,006 9,290 27,409
----------- ------------ ------------
Total liabilities 145,332 54,843 206,764
----------- ------------ ------------
NET ASSETS: $61,325,440 $ 20,129,317 $135,259,432
=========== ============ ============
Net Assets at February 28, 2006 consist of
Paid-in capital $61,328,698 $ 19,947,722 $126,723,878
Undistributed net investment income - 95 227,057
Accumulated net realized gains (losses) (3,258) 7,640 (14,229)
Unrealized appreciation (depreciation) of investments - 173,860 8,322,726
----------- ------------ ------------
$61,325,440 $ 20,129,317 $135,259,432
=========== ============ ============
NET ASSETS
Direct shares $61,325,440 $ 20,129,317 $135,259,432
=========== ============ ============
K shares - - -
=========== ============ ============
SHARES OUTSTANDING
Direct shares (no par value, unlimited shares
authorized) 61,392,068 1,913,211 11,312,492
=========== ============ ============
K shares (no par value, unlimited shares authorized) - - -
=========== ============ ============
NET ASSET VALUE PER SHARE
Direct shares $ 1.00 $ 10.52 $ 11.96
=========== ============ ============
K shares - - -
=========== ============ ============
U.S. The United Short-Term
Government States U.S.
Securities Treasury Government
Fund Trust Bond Fund
-------------- -------------- --------------
ASSETS
Investments at market value (identified cost
$61,011,033; $19,707,732; $125,494,756;
$26,824,622; $34,944,792 and $16,374,914,
respectively) (Note 1) $26,479,663 $34,944,792 $16,199,225
Cash 53,387 42,672 9,193
Interest receivable 132,858 - 103,302
Receivable for fund shares sold 7,100 18,380 2,014
----------- ----------- -----------
Total assets 26,673,008 35,005,844 16,313,734
----------- ----------- -----------
LIABILITIES
Payable for fund shares repurchased 5,014 124,482 42
Payable to investment advisor 7,490 5,724 2,209
Distributions payable 9,273 7,658 2,046
Accrued 12b-1 fee - K shares 4,526 2,456 1,375
Accrued shareholder service fee - K shares 2,765 1,542 840
Accrued administration fee 1,585 2,074 973
Accrued expenses 12,190 13,342 9,691
----------- ----------- -----------
Total liabilities 42,843 157,278 17,176
----------- ----------- -----------
NET ASSETS: $26,630,165 $34,848,566 $16,296,558
=========== =========== ===========
Net Assets at February 28, 2006 consist of
Paid-in capital $27,256,357 $34,858,177 $16,716,078
Undistributed net investment income 3,237 103 2,205
Accumulated net realized gains (losses) (284,470) (9,714) (246,036)
Unrealized appreciation (depreciation) of investments (344,959) - (175,689)
----------- ----------- -----------
$26,630,165 $34,848,566 $16,296,558
=========== =========== ===========
NET ASSETS
Direct shares $21,721,134 $32,273,872 $14,886,155
=========== =========== ===========
K shares $ 4,909,031 $ 2,574,694 $ 1,410,403
=========== =========== ===========
SHARES OUTSTANDING
Direct shares (no par value, unlimited shares
authorized) 2,120,611 32,282,941 1,512,084
=========== =========== ===========
K shares (no par value, unlimited shares authorized) 476,274 2,575,157 143,116
=========== =========== ===========
NET ASSET VALUE PER SHARE
Direct shares $ 10.24 $ 1.00 $ 9.84
=========== =========== ===========
K shares $ 10.31 $ 1.00 $ 9.85
=========== =========== ===========
See accompanying notes to financial statements.
35
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
FEBRUARY 28, 2006 (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
S&P S&P Small
S&P 500 MidCap Cap Index
Index Fund Index Fund Fund
--------------- ----------------- ----------------
ASSETS
Investments at market value (identified cost
$83,063,740; $132,340,375; $22,949,360;
$16,611,313; $7,516,068; and $17,159,612,
respectively) (Note 1) $111,084,429 $ 182,080,877 $ 32,612,244
Cash 49,702 24,448 48,488
Interest receivable - - 300
Dividend receivable 215,393 215,367 12,563
Receivable for securities sold - 185,424 -
Receivable for fund shares sold 23,418 68,681 27,066
Variation margin receivable - - -
------------ ------------- ------------
Total assets 111,372,942 182,574,797 32,700,661
------------ ------------- ------------
LIABILITIES
Payable for securities purchased - - -
Payable for fund shares repurchased 17,147 14,529 5,629
Payable to investment advisor 5,786 47,363 7,962
Variation margin payable 16,064 38,841 13,143
Miscellaneous payable - - 99
Accrued 12b-1 fee - K shares 5,033 5,198 6,342
Accrued shareholder service fee - K shares 3,009 3,073 3,967
Accrued administration fee 6,631 10,848 1,938
Accrued expenses 31,046 31,541 16,068
------------ ------------- ------------
Total liabilities 84,716 151,393 55,148
------------ ------------- ------------
NET ASSETS: $111,288,226 $ 182,423,404 $ 32,645,513
============ ============= ============
Net Assets at February 28, 2006 consist of
Paid-in capital $ 92,265,399 $ 126,674,086 $ 21,481,239
Undistributed net investment income 297,137 296,639 19,703
Accumulated net realized gains (losses) (9,310,193) 5,705,971 1,454,801
Unrealized appreciation (depreciation) of investments 28,020,689 49,740,502 9,662,884
Unrealized appreciation (depreciation) of futures
contracts 15,194 6,206 26,886
------------ ------------- ------------
$111,288,226 $ 182,423,404 $ 32,645,513
============ ============= ============
NET ASSETS
Direct shares $105,752,166 $ 176,868,514 $ 25,577,560
============ ============= ============
K shares $ 5,536,060 $ 5,554,890 $ 7,067,953
============ ============= ============
SHARES OUTSTANDING
Direct shares (no par value, unlimited shares
authorized) 4,092,204 7,473,498 1,292,187
============ ============= ============
K shares (no par value, unlimited shares authorized) 213,414 234,750 357,893
============ ============= ============
NET ASSET VALUE PER SHARE
Direct shares $ 25.84 $ 23.67 $ 19.79
============ ============= ============
K shares $ 25.94 $ 23.66 $ 19.75
============ ============= ============
European
Equity Growth &
Income Income Nasdaq-100
Fund Fund Index Fund
------------- ------------- ----------------
ASSETS
Investments at market value (identified cost
$83,063,740; $132,340,375; $22,949,360;
$16,611,313; $7,516,068; and $17,159,612,
respectively) (Note 1) $20,945,555 $8,938,231 $ 17,926,122
Cash 17,935 56,853 29,278
Interest receivable - - -
Dividend receivable 40,259 22,644 12,827
Receivable for securities sold - - 360,189
Receivable for fund shares sold 14,547 18,329 17,034
Variation margin receivable - - 155
----------- ---------- --------------
Total assets 21,018,296 9,036,057 18,345,605
----------- ---------- --------------
LIABILITIES
Payable for securities purchased - - 42,097
Payable for fund shares repurchased 1,301 2,468 8,854
Payable to investment advisor 7,687 2,452 3,292
Variation margin payable 30,800 - -
Miscellaneous payable 701 - -
Accrued 12b-1 fee - K shares 3,367 3,400 3,602
Accrued shareholder service fee - K shares 2,052 2,123 2,219
Accrued administration fee 1,239 538 1,108
Accrued expenses 9,159 8,336 8,795
----------- ---------- --------------
Total liabilities 56,306 19,317 69,967
----------- ---------- --------------
NET ASSETS: $20,961,990 $9,016,740 $ 18,275,638
=========== ========== ==============
Net Assets at February 28, 2006 consist of
Paid-in capital $16,532,191 $7,823,708 $ 29,356,508
Undistributed net investment income 41,851 13,312 28,575
Accumulated net realized gains (losses) (65,761) (242,443) (11,875,955)
Unrealized appreciation (depreciation) of investments 4,334,242 1,422,163 766,510
Unrealized appreciation (depreciation) of futures
contracts 119,467 - -
----------- ---------- --------------
$20,961,990 $9,016,740 $ 18,275,638
=========== ========== ==============
NET ASSETS
Direct shares $17,371,029 $5,213,063 $ 14,475,036
=========== ========== ==============
K shares $ 3,590,961 $3,803,677 $ 3,800,602
=========== ========== ==============
SHARES OUTSTANDING
Direct shares (no par value, unlimited shares
authorized) 1,070,310 574,943 3,444,069
=========== ========== ==============
K shares (no par value, unlimited shares authorized) 220,640 418,198 911,553
=========== ========== ==============
NET ASSET VALUE PER SHARE
Direct shares $ 16.23 $ 9.07 $ 4.20
=========== ========== ==============
K shares $ 16.28 $ 9.10 $ 4.17
=========== ========== ==============
See accompanying notes to financial statements.
36
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
California
Tax-Free California California
Money Insured Tax-Free
Market Intermediate Income
Fund Fund Fund
----------- -------------- ---------------
INVESTMENT INCOME
Interest income $ 793,520 $ 395,405 $ 3,304,826
--------- ----------- -------------
EXPENSES
Management fees (Note 2) 142,248 51,582 333,720
Administration fees (Note 2) 22,257 8,077 53,744
Transfer agent fees 11,259 7,703 18,853
Accounting services 16,670 9,608 29,052
Custodian fees 3,141 927 4,533
Legal, audit, and compliance fees (Note 2) 12,240 5,096 23,559
Trustees fees 3,904 3,529 4,294
Insurance 1,126 410 2,619
Printing 3,585 780 5,813
Registration and dues 1,181 447 1,227
12b-1 fees K-shares (Note 2) - - -
Shareholder service fee - K shares (Note 2) - - -
--------- ----------- -------------
Total expenses 217,611 88,159 477,414
Less reimbursement from manager (Note 2) (66,830) (18,008) -
--------- ----------- -------------
Net expenses 150,781 70,151 477,414
--------- ----------- -------------
Net investment income (loss) 642,739 325,254 2,827,412
--------- ----------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) from security transactions - 26,126 -
Change in unrealized appreciation (depreciation) of
investments - (290,142) (2,107,588)
--------- ----------- -------------
Net realized and unrealized gain (loss) on investments - (264,016) (2,107,588)
--------- ----------- -------------
Net increase (decrease) in net assets resulting from
operations $ 642,739 $ 61,238 $ 719,824
========= =========== =============
U.S. The United Short-Term
Government States U.S.
Securities Treasury Government
Fund Trust Bond Fund
-------------- ------------ -------------
INVESTMENT INCOME
Interest income $ 642,573 $ 755,936 $ 298,623
---------- --------- -----------
EXPENSES
Management fees (Note 2) 68,384 93,948 39,667
Administration fees (Note 2) 10,709 14,718 6,211
Transfer agent fees 11,555 11,409 8,353
Accounting services 10,059 11,661 7,547
Custodian fees 1,740 1,993 982
Legal, audit, and compliance fees (Note 2) 6,044 8,353 4,301
Trustees fees 1,315 1,375 1,249
Insurance 536 755 313
Printing 1,741 1,689 709
Registration and dues 1,740 2,080 1,348
12b-1 fees K-shares (Note 2) 5,486 3,010 1,653
Shareholder service fee - K shares (Note 2) 5,486 3,010 1,653
---------- --------- -----------
Total expenses 124,795 154,001 73,986
Less reimbursement from manager (Note 2) (12,615) (48,398) (23,872)
---------- --------- -----------
Net expenses 112,180 105,603 50,114
---------- --------- -----------
Net investment income (loss) 530,393 650,333 248,509
---------- --------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) from security transactions (55,297) (7,006) (52,645)
Change in unrealized appreciation (depreciation) of
investments (678,295) - (127,621)
---------- --------- -----------
Net realized and unrealized gain (loss) on investments (733,592) (7,006) (180,266)
---------- --------- -----------
Net increase (decrease) in net assets resulting from
operations $ (203,199) $ 643,327 $ 68,243
========== ========= ===========
See accompanying notes to financial statements
37
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2006 (UNAUDITED) - (CONTINUED)
- --------------------------------------------------------------------------------
S&P S&P
S&P 500 MidCap SmallCap
Index Fund Index Fund Index Fund
------------- --------------- -------------
INVESTMENT INCOME
Interest income $ 51,712 $ 76,630 $ 44,506
Dividend income (Net of foreign tax witheld, $0; $0;
$0; $0; $4,424; $74, respectively) 1,008,000 1,241,106 151,084
---------- ----------- ----------
Total 1,059,712 1,317,736 195,590
---------- ----------- ----------
EXPENSES
Management fees (Note 2) 134,914 340,601 75,550
Administration fees (Note 2) 42,249 66,637 11,826
Transfer agent fees 13,284 14,046 13,698
Accounting services 31,466 39,158 18,606
Custodian fees 7,995 9,719 1,605
Legal, audit, and compliance fees (Note 2) 18,723 22,596 5,783
Trustees fees 1,862 2,277 1,348
Insurance 2,024 3,056 558
Printing 13,617 17,291 4,203
Registration and dues 4,488 5,516 1,904
12b-1 fees K-shares (Note 2) 6,066 6,276 7,700
Shareholder service fee - K shares (Note 2) 6,066 6,276 7,700
Licensing fee 5,374 6,024 1,098
---------- ----------- ----------
Total expenses 288,128 539,473 151,579
Less reimbursement from manager (Note 2) (81,721) (33,050) (24,359)
---------- ----------- ----------
Net expenses 206,407 506,423 127,220
---------- ----------- ----------
Net investment income (loss) 853,305 811,313 68,370
---------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) from security transactions (49,470) 6,169,934 1,382,855
Net realized gain (loss) from futures contracts 130,209 335,350 301,351
Change in unrealized appreciation (depreciation) of
investments 5,222,929 7,466,122 931,625
Change in unrealized appreciation (depreciation) of
futures contracts (23,156) (29,486) (86,561)
---------- ----------- ----------
Net realized and unrealized gain (loss) on investments 5,280,512 13,941,920 2,529,270
---------- ----------- ----------
Net increase (decrease) in net assets resulting from
operations $6,133,817 $14,753,233 $2,597,640
========== =========== ==========
European
Equity Growth &
Income Income Nasdaq-100
Fund Fund Index Fund
------------- ------------ ---------------
INVESTMENT INCOME
Interest income $ 41,725 $ 3,116 $ 5,126
Dividend income (Net of foreign tax witheld, $0; $0;
$0; $0; $4,424; $74, respectively) 226,774 69,744 67,456
----------- --------- -------------
Total 268,499 72,860 72,582
----------- --------- -------------
EXPENSES
Management fees (Note 2) 49,818 35,372 46,165
Administration fees (Note 2) 7,799 3,258 7,228
Transfer agent fees 10,777 9,353 13,674
Accounting services 8,200 6,261 8,335
Custodian fees 1,072 936 1,010
Legal, audit, and compliance fees (Note 2) 4,582 3,208 4,543
Trustees fees 1,298 1,212 1,256
Insurance 368 149 341
Printing 2,633 1,426 3,500
Registration and dues 935 467 1,268
12b-1 fees K-shares (Note 2) 4,083 4,096 4,365
Shareholder service fee - K shares (Note 2) 4,083 4,096 4,365
Licensing fee - - 2,454
----------- --------- -------------
Total expenses 95,648 69,834 98,504
Less reimbursement from manager (Note 2) (533) (20,028) (21,450)
----------- --------- -------------
Net expenses 95,115 49,806 77,054
----------- --------- -------------
Net investment income (loss) 173,384 23,054 (4,472)
----------- --------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) from security transactions (154,544) 28,562 (1,792,861)
Net realized gain (loss) from futures contracts 111,062 - 22,020
Change in unrealized appreciation (depreciation) of
investments 525,510 443,403 2,739,846
Change in unrealized appreciation (depreciation) of
futures contracts 97,185 - (7,246)
----------- --------- -------------
Net realized and unrealized gain (loss) on investments 579,213 471,965 961,759
----------- --------- -------------
Net increase (decrease) in net assets resulting from
operations $ 752,597 $ 495,019 $ 957,287
=========== ========= =============
See accompanying notes to financial statements
38
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN
NET ASSETS
- --------------------------------------------------------------------------------
California Tax-Free California Insured
Money Market Fund Intermediate Fund
------------------------------- ------------------------------
Six Months Six Months
Ended Ended
February 28, Year Ended February 28, Year Ended
2006 August 31, 2006 August 31,
(Unaudited) 2005 (Unaudited) 2005
-------------- ---------------- -------------- ---------------
Operations
Net investment income $ 642,739 $ 1,062,279 $ 325,254 $ 758,800
Net realized gain (loss) on investments - - 26,126 247,778
Change in unrealized appreciation (depreciation) of
investments - - (290,142) (620,069)
----------- -------------- ------------ ------------
Net increase (decrease) in net assets resulting from
operations 642,739 1,062,279 61,238 386,509
Distributions to shareholders
Distributions from net investment income (642,739) (1,062,279) (325,159) (759,043)
Distributions from realized capital gains on
investments - - (269,416) (54,421)
Capital share transactions
Increase (decrease) in net assets resulting from capital
share transactions 5,540,586 (37,394,976) (1,403,265) (3,860,134)
----------- -------------- ------------ ------------
Total increase (decrease) 5,540,586 (37,394,976) (1,936,602) (4,287,089)
Net assets
Beginning of period 55,784,854 93,179,830 22,065,919 26,353,008
----------- -------------- ------------ ------------
End of period $61,325,440 $ 55,784,854 $ 20,129,317 $ 22,065,919
=========== ============== ============ ============
Including undistributed net investment income of: $ - $ - $ 95 $ -
=========== ============== ============ ============
California Tax-Free
Income Fund
--------------------------------
Six Months
Ended
February 28, Year Ended
2006 August 31,
(Unaudited) 2005
---------------- ---------------
Operations
Net investment income $ 2,827,412 $ 5,944,124
Net realized gain (loss) on investments - 2,835,298
Change in unrealized appreciation (depreciation) of
investments (2,107,588) (4,551,279)
------------ -------------
Net increase (decrease) in net assets resulting from
operations 719,824 4,228,143
Distributions to shareholders
Distributions from net investment income (2,824,042) (5,919,149)
Distributions from realized capital gains on
investments (2,979,571) (2,641,599)
Capital share transactions
Increase (decrease) in net assets resulting from capital
share transactions (1,781,634) (11,869,851)
------------ -------------
Total increase (decrease) (6,865,423) (16,202,456)
Net assets
Beginning of period 142,124,855 158,327,311
------------ -------------
End of period $135,259,432 $ 142,124,855
============ =============
Including undistributed net investment income of: $ 227,057 $ 223,687
============ =============
U.S. Government The United States
Securities Fund Treasury Trust
----------------------------- -----------------------------
Six Months Six Months
Ended Ended
February 28, Year Ended February 28, Year Ended
2006 August 31, 2006 August 31,
(Unaudited) 2005 (Unaudited) 2005
-------------- -------------- -------------- --------------
Operations
Net investment income $ 530,393 $ 1,023,967 $ 650,333 $ 774,645
Net realized gain (loss) on investments (55,297) (229,173) (7,006) (2,708)
Change in unrealized appreciation (depreciation) of
investments (678,295) 222,750 - -
------------ ----------- ------------ -----------
Net increase (decrease) in net assets resulting from
operations (203,199) 1,017,544 643,327 771,937
Distributions to shareholders
Distributions from net investment income
Direct shares (454,076) (926,065) (614,057) (751,092)
K shares (76,077) (97,919) (36,278) (23,553)
Distributions from realized capital gains on
investments
Direct shares - (223,713) - (2,308)
K shares - (22,198) - (96)
Capital share transactions
Increase (decrease) in net assets resulting from capital
share transactions (1,968,758) 441,657 (4,550,237) (675,710)
------------ ----------- ------------ -----------
Total increase (decrease) (2,702,110) 189,306 (4,557,245) (680,822)
Net assets
Beginning of period 29,332,275 29,142,969 39,405,811 40,086,633
------------ ----------- ------------ -----------
End of period $ 26,630,165 $29,332,275 $ 34,848,566 $39,405,811
============ =========== ============ ===========
Including undistributed net investment income of: $ 3,237 $ 2,997 $ 103 $ 105
============ =========== ============ ===========
Short-Term U.S.
Government Bond Fund
------------------------------
Six Months
Ended
February 28, Year Ended
2006 August 31,
(Unaudited) 2005
-------------- ---------------
Operations
Net investment income $ 248,509 $ 341,109
Net realized gain (loss) on investments (52,645) (192,092)
Change in unrealized appreciation (depreciation) of
investments (127,621) (19,505)
----------- -----------
Net increase (decrease) in net assets resulting from
operations 68,243 129,512
Distributions to shareholders
Distributions from net investment income
Direct shares (230,614) (318,935)
K shares (17,689) (21,469)
Distributions from realized capital gains on
investments
Direct shares - (7,254)
K shares - (669)
Capital share transactions
Increase (decrease) in net assets resulting from capital
share transactions (154,344) 516,348
----------- -----------
Total increase (decrease) (334,404) 297,533
Net assets
Beginning of period 16,630,962 16,333,429
----------- -----------
End of period $16,296,558 $16,630,962
=========== ===========
Including undistributed net investment income of: $ 2,205 $ 1,999
=========== ===========
See accompanying notes to financial statements.
39
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN
NET ASSETS - (CONTINUED)
- --------------------------------------------------------------------------------
S&P 500 Index Fund S&P MidCap Index Fund
-------------------------------- --------------------------------
Six Months Six Months
Ended Ended
February 28, Year Ended February 28, Year Ended
2006 August 31, 2006 August 31,
(Unaudited) 2005 (Unaudited) 2005
---------------- --------------- ---------------- ---------------
Operations
Net investment income $ 853,305 $ 2,001,052 $ 811,313 $ 1,251,802
Net realized gain (loss) on investments (49,470) 586,226 6,169,934 11,202,350
Net realized gain (loss) on futures contracts 130,209 87,614 335,350 1,327,625
Change in unrealized appreciation (depreciation) of
investments 5,222,929 10,079,510 7,466,122 17,900,980
Change in unrealized appreciation (depreciation) of
futures contracts (23,156) 32,705 (29,486) 92,635
------------ ------------- ------------- ------------
Net increase (decrease) in net assets resulting from
operations 6,133,817 12,787,107 14,753,233 31,775,392
Distributions to shareholders
Distributions from net investment income
Direct shares (795,437) (1,982,660) (676,868) (1,228,758)
K shares (24,208) (43,205) (8,295) (12,820)
Distributions from realized capital gains on investments
Direct shares - - (10,820,929) -
K shares - - (324,475) -
Capital share transactions
Increase (decrease) in net assets resulting from capital
share transactions (1,565,958) (11,787,670) 12,965,471 6,864,766
------------ ------------- ------------- ------------
Total increase (decrease) 3,748,214 (1,026,428) 15,888,137 37,398,580
Net assets
Beginning of period 107,540,012 108,566,440 166,535,267 129,136,687
------------ ------------- ------------- ------------
End of period $111,288,226 $ 107,540,012 $ 182,423,404 $166,535,267
============ ============= ============= ============
Including undistributed net investment income of: $ 297,137 $ 263,477 $ 296,639 $ 170,489
============ ============= ============= ============
S&P SmallCap Index Fund
------------------------------
Six Months
Ended
February 28, Year Ended
2006 August 31,
(Unaudited) 2005
-------------- ---------------
Operations
Net investment income $ 68,370 $ 123,018
Net realized gain (loss) on investments 1,382,855 1,016,107
Net realized gain (loss) on futures contracts 301,351 189,103
Change in unrealized appreciation (depreciation) of
investments 931,625 4,740,302
Change in unrealized appreciation (depreciation) of
futures contracts (86,561) 105,266
------------ -----------
Net increase (decrease) in net assets resulting from
operations 2,597,640 6,173,796
Distributions to shareholders
Distributions from net investment income
Direct shares (57,709) (121,035)
K shares - (642)
Distributions from realized capital gains on investments
Direct shares (1,089,894) (986,194)
K shares (275,642) (155,275)
Capital share transactions
Increase (decrease) in net assets resulting from capital
share transactions 1,151,479 1,966,302
------------ -----------
Total increase (decrease) 2,325,874 6,876,952
Net assets
Beginning of period 30,319,639 23,442,687
------------ -----------
End of period $ 32,645,513 $30,319,639
============ ===========
Including undistributed net investment income of: $ 19,703 $ 9,042
============ ===========
European
Equity Income Fund Growth & Income Fund
------------------------------ ----------------------------
Six Months Six Months
Ended Ended
February 28, Year Ended February 28, Year Ended
2006 August 31, 2006 August 31,
(Unaudited) 2005 (Unaudited) 2005
-------------- --------------- -------------- -------------
Operations
Net investment income (loss) $ 173,384 $ 288,311 $ 23,054 $ 125,832
Net realized gain (loss) on investments (154,544) 348,651 28,562 (10,275)
Net realized gain (loss) on futures contracts 111,062 517,192 - -
Change in unrealized appreciation (depreciation) of
investments 525,510 1,456,709 443,403 1,155,216
Change in unrealized appreciation (depreciation) of
futures contracts 97,185 (24,378) - -
----------- ----------- ---------- ----------
Net increase (decrease) in net assets resulting from
operations 752,597 2,586,485 495,019 1,270,773
Distributions to shareholders
Distributions from net investment income
Direct shares (152,848) (252,103) (20,996) (93,107)
K shares (21,349) (25,166) (5,190) (34,772)
Distributions from realized capital gains on
investments
Direct shares (362,887) -
K shares (70,865) -
Capital share transactions
Increase (decrease) in net assets resulting from capital
share
transactions 941,710 2,959,647 471,407 1,834,152
----------- ----------- ---------- ----------
Total increase (decrease) 1,086,358 5,268,863 940,240 2,977,046
Net assets
Beginning of period 19,875,632 14,606,769 8,076,500 5,099,454
----------- ----------- ---------- ----------
End of period $20,961,990 $19,875,632 $9,016,740 $8,076,500
=========== =========== ========== ==========
Including undistributed net investment income of: $ 41,851 $ 42,664 $ 13,312 $ 16,444
=========== =========== ========== ==========
Nasdaq-100 Index Fund
------------------------------
Six Months
Ended
February 28, Year Ended
2006 August 31,
(Unaudited) 2005
-------------- ---------------
Operations
Net investment income (loss) $ (4,472) $ 102,419
Net realized gain (loss) on investments (1,792,861) (597,383)
Net realized gain (loss) on futures contracts 22,020 18,101
Change in unrealized appreciation (depreciation) of
investments 2,739,846 2,942,611
Change in unrealized appreciation (depreciation) of
futures contracts (7,246) 7,246
------------ -----------
Net increase (decrease) in net assets resulting from
operations 957,287 2,472,994
Distributions to shareholders
Distributions from net investment income
Direct shares - (61,994)
K shares - (7,378)
Distributions from realized capital gains on
investments
Direct shares -
K shares -
Capital share transactions
Increase (decrease) in net assets resulting from capital
share
transactions (1,260,026) 175,523
------------ -----------
Total increase (decrease) (302,739) 2,579,145
Net assets
Beginning of period 18,578,377 15,999,232
------------ -----------
End of period $ 18,275,638 $18,578,377
============ ===========
Including undistributed net investment income of: $ 28,575 $ 33,047
============ ===========
See accompanying notes to financial statements.
40
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN
NET ASSETS - (CONTINUED)
- --------------------------------------------------------------------------------
California Tax-Free Income Fund
---------------------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
------------------------------------ --------------------------------------
Shares Value Shares Value
------------- ---------------------- --------------- ----------------------
Shares sold 333,239 $ 4,045,122 723,431 $ 9,046,298
Shares isssued in reinvestment of
distributions 385,667 4,609,173 516,415 6,440,138
------- --------------- ------- ---------------
718,906 8,654,295 1,239,846 15,486,436
Shares repurchased (863,267) (10,435,929)(a) (2,175,284) (27,356,287)(b)
-------- --------------- ---------- ---------------
Net increase (decrease) (144,361) $ (1,781,634) (935,438) $ (11,869,851)
======== =============== ========== ===============
California Insured Intermediate Fund
-----------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
----------------------------------- -----------------------------
Shares Value Shares Value
------------- --------------------- ------------- ---------------
Shares sold 41,677 $ 440,245 98,808 $ 1,075,273
Shares isssued in reinvestment of
distributions 49,042 517,264 57,857 628,268
------ -------------- ------ ------------
90,719 957,509 156,665 1,703,541
Shares repurchased (222,148) (2,360,774)(c) (512,642) (5,563,675)
-------- -------------- -------- ------------
Net increase (decrease) (131,429) $ (1,403,265) (355,977) $ (3,860,134)
======== ============== ======== ============
California Tax-Free Money Market
-------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
------------------- -----------------
Shares/Value Shares/Value
------------------- -----------------
Shares sold 39,834,291 60,780,393
Shares isssued in reinvestment of
distributions 614,208 1,032,811
---------- ----------
40,448,499 61,813,204
Shares repurchased (34,907,913) (99,208,180)
----------- -----------
Net increase (decrease) 5,540,586 (37,394,976)
=========== ===========
The United States Treasury Trust
--------------------------------------------------------------------------
Direct Shares K Shares
------------------------------------- ------------------------------------
Six Months Ended Six Months Ended
February 28, 2006 Year Ended February 28, 2006 Year Ended
(Unaudited) August 31, 2005 (Unaudited) August 31, 2005
------------------- ----------------- ------------------- ----------------
Shares/Value Shares/Value Shares/Value Shares/Value
------------------- ----------------- ------------------- ----------------
Shares sold 15,006,831 58,408,974 1,184,822 2,829,000
Shares isssued in reinvestment of
distributions 595,982 675,688 32,708 23,677
---------- ---------- --------- ---------
15,602,813 59,084,662 1,217,530 2,852,677
Shares repurchased (20,238,596) (61,306,417) (1,131,984) (1,306,632)
----------- ----------- ---------- ----------
Net increase (decrease) (4,635,783) (2,221,755) 85,546 1,546,045
=========== =========== ========== ==========
U.S. Government Securities Fund
Direct Shares
-----------------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
----------------------------------- -----------------------------------
Shares Value Shares Value
------------- --------------------- ------------- ---------------------
Shares sold 114,035 $ 1,174,845 336,278 $ 3,539,744
Shares isssued in reinvestment of
distributions 37,639 386,350 93,062 975,781
------- -------------- ------- --------------
151,674 1,561,195 429,340 4,515,525
Shares repurchased (412,290) (4,240,285)(d) (638,215) (6,705,485)(e)
-------- -------------- -------- --------------
Net increase (decrease) (260,616) $ (2,679,090) (208,875) $ (2,189,960)
======== ============== ======== ==============
K Shares
-----------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
-------------------------- --------------------------
Shares Value Shares Value
------------ ------------- ------------ -------------
Shares sold 84,498 $ 874,224 289,030 $3,054,854
Shares isssued in reinvestment of
distributions 7,367 76,080 11,439 120,529
------ ----------- ------- ----------
91,865 950,304 300,469 3,175,383
Shares repurchased (23,175) (239,972) (51,476) (543,766)
------- ----------- ------- ----------
Net increase (decrease) 68,690 $ 710,332 248,993 $2,631,617
======= =========== ======= ==========
Short-Term U.S. Government Bond Fund
Direct Shares
-----------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
----------------------------- -----------------------------
Shares Value Shares Value
------------- --------------- ------------- ---------------
Shares sold 170,342 $ 1,686,698 617,962 $ 6,185,003
Shares isssued in reinvestment of
distributions 22,111 218,329 31,075 310,145
------- ------------- ------- -------------
192,453 1,905,027 649,037 6,495,148
Shares repurchased (222,701) (2,207,424) (603,266) (6,037,432)
-------- ------------- -------- -------------
Net increase (decrease) (30,248) $ (302,397) 45,771 $ 457,716
======== ============= ======== =============
K Shares
--------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
----------------------- --------------------------
Shares Value Shares Value
----------- ----------- ------------ -------------
Shares sold 19,081 $ 188,925 58,915 $ 589,277
Shares isssued in reinvestment of
distributions 1,790 17,689 2,217 22,140
------ --------- ------ -----------
20,871 206,614 61,132 611,417
Shares repurchased (5,918) (58,561) (55,341) (552,785)
------ --------- ------- -----------
Net increase (decrease) 14,953 $ 148,053 5,791 $ 58,632
====== ========= ======= ===========
(a) Net of redemption fees of $918
(b) Net of redemption fees of $342
(c) Net of redemption fees of $1
(d) Net of redemption fees of $30
(e) Net of redemption fees of $30
See accompanying notes to financial statements.
41
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN
NET ASSETS - (CONTINUED)
- --------------------------------------------------------------------------------
S&P 500 Index Fund
Direct Shares
------------------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
----------------------------------- ------------------------------------
Shares Value Shares Value
------------- --------------------- ------------- ----------------------
Shares sold 77,238 $ 1,940,153 228,945 $ 5,451,938
Shares isssued in reinvestment of
distributions 25,402 633,565 66,663 1,582,799
------ -------------- ------- ---------------
102,640 2,573,718 295,608 7,034,737
Shares repurchased (191,141) (4,803,046)(a) (878,422) (20,867,030)(b)
-------- -------------- -------- ---------------
Net increase (decrease) (88,501) $ (2,229,328) (582,814) $ (13,832,293)
======== ============== ======== ===============
K Shares
-----------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
-------------------------- --------------------------
Shares Value Shares Value
------------ ------------- ------------ -------------
Shares sold 38,088 $ 968,106 110,280 $2,599,667
Shares isssued in reinvestment of
distributions 952 23,852 1,782 42,835
------ ----------- ------- ----------
39,040 991,958 112,062 2,642,502
Shares repurchased (13,484) (328,588) (25,282) (597,879)
------- ----------- ------- ----------
Net increase (decrease) 25,556 $ 663,370 86,780 $2,044,623
======= =========== ======= ==========
S&P MidCap Index Fund
Direct Shares
--------------------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
----------------------------------- --------------------------------------
Shares Value Shares Value
------------ ---------------------- --------------- ----------------------
Shares sold 540,816 $ 12,543,247 1,329,401 $ 28,263,071
Shares issued in reinvestment of
distributions 465,098 10,470,453 48,867 1,044,383
------- --------------- --------- ---------------
1,005,914 23,013,700 1,378,268 29,307,454
Shares repurchased (459,849) (10,641,707)(c) (1,117,527) (24,116,552)(d)
--------- --------------- ---------- ---------------
Net increase (decrease) 546,065 $ 12,371,993 260,741 $ 5,190,902
========= =============== ========== ===============
K Shares
-----------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
-------------------------- --------------------------
Shares Value Shares Value
------------ ------------- ------------ -------------
Shares sold 31,298 $ 727,287 112,187 $2,357,193
Shares issued in reinvestment of
distributions 14,778 332,452 578 12,418
------ ----------- ------- ----------
46,076 1,059,739 112,765 2,369,611
Shares repurchased (20,480) (466,261) (33,015) (695,747)
------- ----------- ------- ----------
Net increase (decrease) 25,596 $ 593,478 79,750 $1,673,864
======= =========== ======= ==========
S&P SmallCap Index Fund
Direct Shares
-----------------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
----------------------------------- -----------------------------------
Shares Value Shares Value
------------- --------------------- ------------- ---------------------
Shares sold 62,846 $ 1,194,957 215,853 $ 3,826,293
Shares isssued in reinvestment of
distributions 60,726 1,130,278 61,416 1,086,452
------ -------------- ------- --------------
123,572 2,325,235 277,269 4,912,745
Shares repurchased (102,098) (1,941,759)(e) (314,934) (5,581,158)(f)
-------- -------------- -------- --------------
Net increase (decrease) 21,474 $ 383,476 (37,665) $ (668,413)
======== ============== ======== ==============
K Shares
-----------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
-------------------------- --------------------------
Shares Value Shares Value
------------ ------------- ------------ -------------
Shares sold 56,649 $1,087,775 180,225 $3,201,964
Shares isssued in reinvestment of
distributions 14,851 275,642 8,843 155,917
------ ---------- ------- ----------
71,500 1,363,417 189,068 3,357,881
Shares repurchased (32,310) (595,414) (41,049) (723,166)
------- ---------- ------- ----------
Net increase (decrease) 39,190 $ 768,003 148,019 $2,634,715
======= ========== ======= ==========
Equity Income Fund
Direct Shares
----------------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
---------------------------------- -----------------------------------
Shares Value Shares Value
------------ --------------------- ------------- ---------------------
Shares sold 83,604 $ 1,332,593 348,695 $ 5,284,387
Shares isssued in reinvestment of
distributions 30,009 475,739 15,372 234,049
------ -------------- ------- --------------
113,613 1,808,332 364,067 5,518,436
Shares repurchased (75,429) (1,201,523)(g) (265,628) (4,028,317)(h)
------- -------------- -------- --------------
Net increase (decrease) 38,184 $ 606,809 98,439 $ 1,490,119
======= ============== ======== ==============
K Shares
-----------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
-------------------------- --------------------------
Shares Value Shares Value
------------ ------------- ------------ -------------
Shares sold 43,955 $ 706,530 122,841 $1,876,427
Shares isssued in reinvestment of
distributions 5,800 92,212 1,649 25,285
------ ----------- ------- ----------
49,755 798,742 124,490 1,901,712
Shares repurchased (29,179) (463,841) (28,650) (432,184)
------- ----------- ------- ----------
Net increase (decrease) 20,576 $ 334,901 95,840 $1,469,528
======= =========== ======= ==========
(a) Net of redemption fees of $294
(b) Net of redemption fees of $1,911
(c) Net of redemption fees of $361
(d) Net of redemption fees of $956
(e) Net of redemption fees of $49
(f) Net of redemption fees of $83
(g) Net of redemption fees of $757
(h) Net of redemption fees of $24
See accompanying notes to financial statements.
42
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN
NET ASSETS - (CONTINUED)
- --------------------------------------------------------------------------------
European Growth & Income Fund
Direct Shares
--------------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
-------------------------------- -----------------------------------
Shares Value Shares Value
------------ ------------------- ------------- ---------------------
Shares sold 52,328 $ 456,754 200,192 $ 1,634,738
Shares isssued in reinvestment of
distributions 2,364 20,650 11,452 91,607
------ ------------ ------- --------------
54,692 477,404 211,644 1,726,345
Shares repurchased (65,993) (574,717)(a) (178,134) (1,428,679)(b)
------- ------------ -------- --------------
Net increase (decrease) (11,301) $ (97,313) 33,510 $ 297,666
======= ============ ======== ==============
K Shares
-----------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
-------------------------- --------------------------
Shares Value Shares Value
------------ ------------- ------------ -------------
Shares sold 88,853 $ 793,249 241,874 $1,956,833
Shares isssued in reinvestment of
distributions 592 5,190 4,300 34,800
------ ----------- ------- ----------
89,445 798,439 246,174 1,991,633
Shares repurchased (26,299) (229,719) (56,580) (455,147)
------- ----------- ------- ----------
Net increase (decrease) 63,146 $ 568,720 189,594 $1,536,486
======= =========== ======= ==========
Nasdaq-100 Index Fund
Direct Shares
-----------------------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
----------------------------------- -----------------------------------
Shares Value Shares Value
------------- --------------------- ------------- ---------------------
Shares sold 164,784 $ 684,315 619,200 $ 2,368,771
Shares isssued in reinvestment of
distributions - - 14,943 60,976
------- -------------- ------- --------------
164,784 684,315 634,143 2,429,747
Shares repurchased (525,688) (2,169,078)(c) (979,336) (3,734,072)(d)
-------- -------------- -------- --------------
Net increase (decrease) (360,904) $ (1,484,763) (345,193) $ (1,304,325)
======== ============== ======== ==============
K Shares
-------------------------------------------------------
Six Months Ended
February 28, 2006 Year Ended
(Unaudited) August 31, 2005
--------------------------- ---------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
Shares sold 168,804 $ 698,624 522,499 $2,003,324
Shares isssued in reinvestment of
distributions - - 1,918 7,785
------- ----------- ------- ----------
168,804 698,624 524,417 2,011,109
Shares repurchased (119,596) (473,887) (140,898) (531,261)
-------- ----------- -------- ----------
Net increase (decrease) 49,208 $ 224,737 383,519 $1,479,848
======== =========== ======== ==========
(a) Net of redemption fees of $45
(b) Net of redemption fees of $46
(c) Net of redemption fees of $94
(d) Net of redemption fees of $50
See accompanying notes to financial statements.
43
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
California Tax-Free Money Market Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2005 2004 2003 2002 2001
-------------- ------------ ------------ ------------- ------------ -------------
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.011 0.014 0.005 0.007 0.011 0.026
LESS DISTRIBUTIONS
Dividends from net investment income (0.011) (0.014) (0.005) (0.007) (0.011) (0.026)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ======== ========
Total return 1.12% 1.46% 0.54% 0.70% 1.15% 2.66%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 61,325 $ 55,785 $ 93,180 $ 88,804 $ 93,371 $ 99,520
Ratio of expenses to average net assets:
Before expense reimbursements 0.77%* 0.69% 0.65% 0.65% 0.65% 0.63%
After expense reimbursements 0.52%* 0.50% 0.44% 0.43% 0.40% 0.40%
Ratio of net investment income to average net
assets:
Before expense reimbursements 2.02%* 1.22% 0.33% 0.48% 0.90% 2.36%
After expense reimbursements 2.26%* 1.41% 0.54% 0.70% 1.15% 2.59%
California Insured Intermediate Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
------------------ ------------------ ------------ ------------
Net asset value, beginning of period $ 10.79 $ 10.98 $ 10.80 $ 11.22
--------- ---------- ------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.17 0.34 0.33 0.33
Net gain (loss) on securities (both realized and
unrealized) (0.13) (0.17) 0.21 (0.21)
---------- ---------- ------- --------
Total from investment operations 0.04 0.17 0.54 0.12
---------- ---------- ------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.17) (0.34) (0.33) (0.33)
Distributions from capital gains (0.14) (0.02) (0.03) (0.21)
---------- ---------- ------- --------
Total distributions (0.31) (0.36) (0.36) (0.54)
---------- ---------- ------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
---------- ---------- ------- --------
Net asset value, end of period $ 10.52 $ 10.79 $ 10.98 $ 10.80
========== ========== ======= ========
Total return 0.39% 1.58% 5.06% 1.03%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 20,129 $ 22,066 $26,353 $ 27,906
Ratio of expenses to average net assets:
Before expense reimbursements 0.85%* 0.78% 0.71% 0.71%
After expense reimbursements 0.68%* 0.65% 0.59% 0.58%
Ratio of net investment income to average net
assets:
Before expense reimbursements 2.98%* 2.95% 2.85% 2.83%
After expense reimbursements 3.15%* 3.08% 2.97% 2.96%
Portfolio turnover 2.65% 9.18% 21.62% 22.45%
Year Ended Year Ended
August 31, August 31,
2002 2001
------------ -----------
Net asset value, beginning of period $ 11.09 $ 10.72
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.39 0.43
Net gain (loss) on securities (both realized and
unrealized) 0.27 0.37
-------- --------
Total from investment operations 0.66 0.80
-------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.39) (0.43)
Distributions from capital gains (0.14) -
-------- --------
Total distributions (0.53) (0.43)
-------- --------
Paid in capital from redemption fee (Note 1) N/A N/A
-------- --------
Net asset value, end of period $ 11.22 $ 11.09
======== ========
Total return 6.17% 7.66%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 27,105 $ 22,949
Ratio of expenses to average net assets:
Before expense reimbursements 0.72% 0.71%
After expense reimbursements 0.55% 0.55%
Ratio of net investment income to average net
assets:
Before expense reimbursements 3.43% 3.82%
After expense reimbursements 3.60% 3.98%
Portfolio turnover 29.28% 24.35%
- ----------
(a) Less than $0.01 per share
* Annualized
See accompanying notes to financial statements
44
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
California Tax-Free Income Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
------------------ ------------------- ------------ ------------
Net asset value, beginning of period $ 12.41 $ 12.78 $ 12.66 $ 13.24
---------- ----------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.25 0.50 0.50 0.50
Net gain (loss) on securities (both realized and
unrealized) (0.19) (0.13) 0.22 (0.42)
---------- ----------- -------- --------
Total from investment operations 0.06 0.37 0.72 0.08
---------- ----------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.25) (0.51) (0.50) (0.50)
Distributions from capital gains (0.26) (0.23) (0.10) (0.16)
---------- ----------- -------- --------
Total distributions (0.51) (0.74) (0.60) (0.66)
---------- ----------- -------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
---------- ----------- -------- --------
Net asset value, end of period $ 11.96 $ 12.41 $ 12.78 $ 12.66
========== =========== ======== ========
Total return 0.55% 2.96% 5.82% 0.61%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 135,259 $ 142,125 $158,327 $172,488
Ratio of expenses to average net assets: 0.71%* 0.66% 0.62% 0.61%
Ratio of net investment income to average net
assets: 4.11%* 4.05% 3.86% 3.82%
Portfolio turnover 0.00% 31.95% 11.64% 1.44%
Year Ended Year Ended
August 31, August 31,
2002 2001
------------ -----------
Net asset value, beginning of period $ 13.17 $ 12.75
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.52 0.55
Net gain (loss) on securities (both realized and
unrealized) 0.18 0.44
-------- --------
Total from investment operations 0.70 0.99
-------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.52) (0.56)
Distributions from capital gains (0.11) (0.01)
-------- --------
Total distributions (0.63) (0.57)
-------- --------
Paid in capital from redemption fee (Note 1) N/A N/A
-------- --------
Net asset value, end of period $ 13.24 $ 13.17
======== ========
Total return 5.55% 7.98%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $206,909 $201,286
Ratio of expenses to average net assets: 0.61% 0.63%
Ratio of net investment income to average net
assets: 4.11% 4.30%
Portfolio turnover 22.94% 28.96%
- ----------
(a) Less than $0.01 per share
* Annualized
See accompanying notes to financial statements
45
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
U.S. Government Securities Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
Direct Shares ------------------ ----------------- ------------ ------------
Net asset value, beginning of period $ 10.51 $ 10.60 $ 10.56 $ 10.73
---------- ---------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.20 0.37 0.35 0.35
Net gain (loss) on securities (both realized and
unrealized) (0.27) (0.00)(a) 0.09 (0.08)
---------- ---------- -------- --------
Total from investment operations (0.07) 0.37 0.44 0.27
---------- ---------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.20) (0.37) (0.32) (0.44)
Distributions from capital gains - (0.09) (0.08) -
---------- ---------- -------- --------
Total distributions (0.20) (0.46) (0.40) (0.44)
---------- ---------- -------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
---------- ---------- -------- --------
Net asset value, end of period $ 10.24 $ 10.51 $ 10.60 $ 10.56
========== ========== ======== ========
Total return (0.61)% 3.60% 4.23% 2.52%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 21,721 $ 25,024 $ 27,454 $ 31,585
Ratio of expenses to average net assets:
Before expense reimbursements 0.83%** 0.79% 0.75% 0.71%
After expense reimbursements 0.73%** 0.71% 0.65% 0.65%
Ratio of net investment income to average net
assets:
Before expense reimbursements 3.83%** 3.46% 2.92% 3.22%
After expense reimbursements 3.93%** 3.54% 3.02% 3.28%
Portfolio turnover 35.10% 39.85% 103.98% 39.29%
Year Ended Year Ended
August 31, August 31,
2002 2001
Direct Shares ------------ -----------
Net asset value, beginning of period $ 10.77 $ 10.33
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.50 0.58
Net gain (loss) on securities (both realized and
unrealized) 0.19 0.42
-------- --------
Total from investment operations 0.69 1.00
-------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.59) (0.56)
Distributions from capital gains (0.14) -
-------- --------
Total distributions (0.73) (0.56)
-------- --------
Paid in capital from redemption fee (Note 1) N/A N/A
-------- --------
Net asset value, end of period $ 10.73 $ 10.77
======== ========
Total return 6.65% 9.94%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 33,275 $ 27,265
Ratio of expenses to average net assets:
Before expense reimbursements 0.71% 0.71%
After expense reimbursements 0.65% 0.65%
Ratio of net investment income to average net
assets:
Before expense reimbursements 4.59% 5.32%
After expense reimbursements 4.65% 5.38%
Portfolio turnover 150.35% 209.58%
Six Months
Ended October 16,
February 28, Year Ended 2003* to
2006 August 31, August 31,
(Unaudited) 2005 2004
K Shares ---------------- ----------------- --------------
Net asset value, beginning of period $ 10.57 $ 10.65 $ 10.55
-------- --------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.19 0.31 0.23
Net gain (loss) on securities (both realized and
unrealized) (0.27) 0.01 0.15
-------- --------- --------
Total from investment operations (0.08) 0.32 0.38
-------- --------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.18) (0.31) (0.20)
Distributions from capital gains - (0.09) (0.08)
-------- --------- --------
Total distributions (0.18) (0.40) (0.28)
-------- --------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A
-------- --------- --------
Net asset value, end of period $ 10.31 $ 10.57 $ 10.65
======== ========= ========
Total return (0.79)% 3.07% 3.66%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 4,909 $ 4,308 $ 1,689
Ratio of expenses to average net assets:
Before expense reimbursements 1.33%** 1.30% 1.25%**
After expense reimbursements 1.23%** 1.22% 1.15%**
Ratio of net investment income to average net
assets:
Before expense reimbursements 3.33%** 2.95% 2.42%**
After expense reimbursements 3.43%** 3.03% 2.52%**
Portfolio turnover 35.10% 39.85% 103.98%
- ----------
* Commencement of operations.
** Annualized.
(a) Less than $0.01 per share
See accompanying notes to financial statements
46
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
The United States Treasury Trust
Six Months
Ended
February 28, Year Ended Year Ended Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2005 2004 2003 2002 2001
Direct Shares -------------- ------------- ------------ ------------- ------------- -------------
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- -------- --------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.017 0.017 0.006 0.008 0.017 0.047
LESS DISTRIBUTIONS
Dividends from net investment income (0.017) (0.017) (0.006) (0.008) (0.017) (0.047)
--------- -------- --------- -------- -------- --------
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========= ======== ========= ======== ======== ========
Total return 1.74% 1.72% 0.63% 0.86% 1.70% 4.87%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 32,274 $ 36,919 $ 39,143 $ 40,635 $ 51,013 $ 59,760
Ratio of expenses to average net assets:
Before expense reimbursements 0.79%** 0.74% 0.71% 0.70% 0.67% 0.65%
After expense reimbursements 0.52%** 0.48% 0.36% 0.42% 0.42% 0.40%
Ratio of net investment income to average net
assets:
Before expense reimbursements 3.25%** 1.59% 0.28% 0.56% 1.45% 4.48%
After expense reimbursements 3.51%** 1.85% 0.63% 0.84% 1.70% 4.73%
Six Months
Ended October 16,
February 28, Year Ended 2003*
2006 August 31, to August 31,
(Unaudited) 2005 2004
K Shares -------------- ------------ ----------------
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.015 0.012 0.001
LESS DISTRIBUTIONS
Dividends from net investment income (0.015) (0.012) (0.001)
-------- -------- --------
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000
======== ======== ========
Total return 1.44 % 1.22 % 0.12%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 2,575 $ 2,490 $ 944
Ratio of expenses to average net assets:
Before expense reimbursements 1.27%** 1.25% 1.21%**
After expense reimbursements 1.01%** 0.99% 0.86%**
Ratio of net investment income to average net
assets:
Before expense reimbursements 2.75%** 1.08% (0.22)%**
After expense reimbursements 3.01%** 1.34% 0.13%**
- ----------
* Commencement of operations.
** Annualized.
See accompanying notes to financial statements
47
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
Short-Term U.S. Government Bond Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 2005 2004 2003 2002 2001
Direct Shares -------------- ---------------- ------------ ------------ ------------ -----------
Net asset value, beginning of period $ 9.96 $ 10.09 $ 10.11 $ 10.17 $ 10.24 $ 10.05
--------- --------- ------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.16 0.21 0.11 0.18 0.30 0.53
Net gain on securities (both realized and
unrealized) (0.12) (0.13) - (0.06) 0.09 0.21
--------- --------- ------- -------- -------- --------
Total from investment operations 0.04 0.08 0.11 0.12 0.39 0.74
--------- --------- ------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.16) (0.21) (0.12) (0.18) (0.30) (0.55)
Distributions from capital gains - (0.00)(a) (0.01) - (0.16) (0.00)
--------- --------- ------- -------- -------- --------
Total distributions (0.16) (0.21) (0.13) (0.18) (0.46) (0.55)
--------- --------- ------- -------- -------- --------
Net asset value, end of period $ 9.84 $ 9.96 $ 10.09 $ 10.11 $ 10.17 $ 10.24
========= ========= ======= ======== ======== ========
Total return 0.37% 0.82% 1.06% 1.17% 3.90% 7.58%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 14,886 $ 15,354 $15,098 $ 21,500 $ 10,942 $ 11,623
Ratio of expenses to average net assets:
Before expense reimbursements 0.89%** 0.85% 0.80% 0.80% 0.82% 0.86%
After expense reimbursements 0.58%** 0.56% 0.50% 0.49% 0.43% 0.30%
Ratio of net investment income to average net
assets:
Before expense reimbursements 2.86%** 1.77% 0.85% 1.35% 2.57% 4.63%
After expense reimbursements 3.17%** 2.06% 1.15% 1.66% 2.96% 5.19%
Portfolio turnover 35.83% 159.11% 62.58% 74.45% 119.61% 64.56%
Six Months
Ended October 16,
February 28, Year Ended 2003*
2006 August 31, to August 31,
(Unaudited) 2005 2004
K Shares -------------- ---------------- --------------
Net asset value, beginning of period $ 9.96 $ 10.10 $ 10.12
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.14 0.15 0.05
Net gain on securities (both realized and
unrealized) (0.12) (0.14) (0.01)
-------- -------- --------
Total from investment operations 0.02 0.01 0.04
-------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.13) (0.15) (0.05)
Distributions from capital gains - (0.00)(a) (0.01)
-------- -------- --------
Total distributions (0.13) (0.15) (0.06)
-------- -------- --------
Net asset value, end of period $ 9.85 $ 9.96 $ 10.10
======== ======== ========
Total return 0.21% 0.20% 0.41%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 1,410 $ 1,277 $ 1,235
Ratio of expenses to average net assets:
Before expense reimbursements 1.43%** 1.35% 1.30%**
After expense reimbursements 1.08%** 1.06% 1.00%**
Ratio of net investment income to average net
assets:
Before expense reimbursements 2.36%** 1.27% 0.35%**
After expense reimbursements 2.67%** 1.56% 0.65%**
Portfolio turnover 35.83% 159.11% 62.58%
- ----------
* Commencement of operations.
** Annualized.
(a) Less than $0.01 per share
See accompanying notes to financial statements
48
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
S&P 500 Index Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
Direct Shares ------------------ ---------------- ------------ ------------
Net asset value, beginning of period $ 24.61 $ 22.32 $ 20.36 $ 18.48
---------- --------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.20 0.44 0.32 0.29
Net gain (loss) on securities
(both realized and unrealized) 1.22 2.29 1.95 1.89
---------- --------- -------- -------
Total from investment operations 1.42 2.73 2.27 2.18
---------- --------- -------- -------
LESS DISTRIBUTIONS
Dividends from net investment income (0.19) (0.44) (0.31) (0.30)
Distributions from capital gains - - - -
---------- --------- -------- -------
Total distributions (0.19) (0.44) (0.31) (0.30)
---------- --------- -------- -------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
---------- --------- -------- -------
Net asset value, end of period $ 25.84 $ 24.61 $ 22.32 $ 20.36
========== ========= ======== =======
Total return 5.81% 12.31% 11.16% 12.03%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 105,752 $ 102,899 $106,305 $98,264
Ratio of expenses to average net assets:
Before expense reimbursements 0.50%** 0.46% 0.43% 0.45%
After expense reimbursements 0.36%** 0.33% 0.27% 0.25%
Ratio of net investment income to average net
assets:
Before expense reimbursements 1.45%** 1.35% 1.27% 1.35%
After expense reimbursements 1.59%** 1.48% 1.43% 1.55%
Portfolio turnover 1.73% 3.36% 2.00% 3.63%
Year Ended Year Ended
August 31, August 31,
2002 2001
Direct Shares ------------ -------------
Net asset value, beginning of period $ 22.79 $ 30.84
--------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.29 0.34
Net gain (loss) on securities
(both realized and unrealized) (4.31) (7.64)
--------- --------
Total from investment operations (4.02) (7.30)
--------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.29) (0.34)
Distributions from capital gains - (0.41)
--------- --------
Total distributions (0.29) (0.75)
--------- --------
Paid in capital from redemption fee (Note 1) N/A N/A
--------- --------
Net asset value, end of period $ 18.48 $ 22.79
========= ========
Total return (17.83)% (23.93)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 93,961 $141,390
Ratio of expenses to average net assets:
Before expense reimbursements 0.41% 0.39%
After expense reimbursements 0.20% 0.20%
Ratio of net investment income to average net
assets:
Before expense reimbursements 1.30% 1.16%
After expense reimbursements 1.51% 1.35%
Portfolio turnover 31.12% 6.26%
Six Months
Ended October 16,
February 28, Year Ended 2003*
2006 August 31, to August 31,
(Unaudited) 2005 2004
K Shares ------------------ ------------ --------------
Net asset value, beginning of period $ 24.70 $ 22.37 $ 21.17
--------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.16 0.29 0.12
Net gain (loss) on securities (both realized and
unrealized) 1.21 2.33 1.16
--------- -------- --------
Total from investment operations 1.37 2.62 1.28
--------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.13) (0.29) (0.08)
Distributions from capital gains - - -
--------- -------- --------
Total distributions (0.13) (0.29) (0.08)
--------- -------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00) N/A
--------- -------- --------
Net asset value, end of period $ 25.94 $ 24.70 $ 22.37
========= ======== ========
Total return 5.55% 11.77% 6.05%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 5,536 $ 4,641 $ 2,261
Ratio of expenses to average net assets:
Before expense reimbursements 1.00%** 0.97% 0.93%**
After expense reimbursements 0.86%** 0.84% 0.77%**
Ratio of net investment income to average net
assets:
Before expense reimbursements 0.95%** 0.84% 0.77%**
After expense reimbursements 1.09%** 0.97% 0.93%**
Portfolio turnover 1.73% 3.36% 2.00%
- ----------
* Commencement of operations.
** Annualized.
(a) Less than $0.01 per share
See accompanying notes to financial statements
49
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
S&P MidCap Index Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
Direct Shares ------------------ ---------------- ------------ ------------
Net asset value, beginning of period $ 23.34 $ 19.00 $ 17.01 $ 14.60
--------- --------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.11 0.18 0.13 0.12
Net gain (loss) on securities (both realized and
unrealized) 1.87 4.34 1.98 2.41
--------- --------- -------- --------
Total from investment operations 1.98 4.52 2.11 2.53
--------- --------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.09) (0.18) (0.12) (0.12)
Distributions from capital gains (1.56) - - -
--------- --------- -------- --------
Total distributions (1.65) (0.18) (0.12) (0.12)
--------- --------- -------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
--------- --------- -------- --------
Net asset value, end of period $ 23.67 $ 23.34 $ 19.00 $ 17.01
========= ========= ======== ========
Total return 8.87% 23.87% 12.44% 17.46%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 176,869 $ 161,655 $126,678 $103,771
Ratio of expenses to average net assets:
Before expense reimbursements 0.63%** 0.59% 0.58% 0.58%
After expense reimbursements 0.58%** 0.55% 0.49% 0.46%
Ratio of net investment income to average net
assets:
Before expense reimbursements 0.93%** 0.80% 0.60% 0.66%
After expense reimbursements 0.97%** 0.84% 0.69% 0.78%
Portfolio turnover 7.18% 18.07% 12.75% 8.33%
Year Ended Year Ended
August 31, August 31,
2002 2001
Direct Shares ------------ -----------
Net asset value, beginning of period $ 16.18 $ 20.75
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.05 0.17
Net gain (loss) on securities (both realized and
unrealized) (1.54) (1.66)
------- -------
Total from investment operations (1.49) (1.49)
------- -------
LESS DISTRIBUTIONS
Dividends from net investment income (0.03) (0.18)
Distributions from capital gains (0.06) (2.90)
------- -------
Total distributions (0.09) (3.08)
------- -------
Paid in capital from redemption fee (Note 1) N/A N/A
------- -------
Net asset value, end of period $ 14.60 $ 16.18
======= =======
Total return (8.77)% (6.56)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $96,590 $83,293
Ratio of expenses to average net assets:
Before expense reimbursements 0.58% 0.56%
After expense reimbursements 0.40% 0.40%
Ratio of net investment income to average net
assets:
Before expense reimbursements 0.78% 0.84%
After expense reimbursements 0.96% 1.00%
Portfolio turnover 21.73% 39.41%
Six Months
Ended October 16,
February 28, Year Ended 2003*
2006 August 31, to August 31,
(Unaudited) 2005 2004
K Shares ------------------ ------------------ --------------
Net asset value, beginning of period $ 23.34 $ 19.00 $ 17.78
--------- --------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.06 0.07 0.05
Net gain (loss) on securities (both realized and
unrealized) 1.86 4.34 1.19
--------- --------- --------
Total from investment operations 1.92 4.41 1.24
--------- --------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.04) (0.07) (0.02)
Distributions from capital gains (1.56) - -
--------- --------- --------
Total distributions (1.60) (0.07) (0.02)
--------- --------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A
--------- --------- --------
Net asset value, end of period $ 23.66 $ 23.34 $ 19.00
========= ========= ========
Total return 8.61% 23.26% 6.96%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 5,555 $ 4,881 $ 2,459
Ratio of expenses to average net assets:
Before expense reimbursements 1.15%** 1.09% 1.08%**
After expense reimbursements 1.08%** 1.05% 0.99%**
Ratio of net investment income to average net
assets:
Before expense reimbursements 0.43%** 0.30% 0.10%**
After expense reimbursements 0.47%** 0.34% 0.19%**
Portfolio turnover 7.18% 18.07% 12.75%
- ----------
* Commencement of operations.
** Annualized.
(a) Less than $0.01 per share
See accompanying notes to financial statements
50
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
S&P SmallCap Index Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
Direct Shares ------------------ ---------------- ------------ ------------
Net asset value, beginning of period $ 19.08 $ 15.85 $ 14.07 $ 11.60
--------- --------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.05 0.09 0.04 0.03
Net gain (loss) on securities (both realized and
unrealized) 1.59 3.99 1.92 2.51
--------- --------- ------- -------
Total from investment operations 1.64 4.08 1.96 2.54
--------- --------- ------- -------
LESS DISTRIBUTIONS
Dividends from net investment income (0.05) (0.09) (0.04) (0.03)
Distributions from capital gains (0.88) (0.76) (0.14) (0.04)
--------- --------- ------- -------
Total distributions (0.93) (0.85) (0.18) (0.07)
--------- --------- ------- -------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
--------- --------- ------- -------
Net asset value, end of period $ 19.79 $ 19.08 $ 15.85 $ 14.07
========= ========= ======= =======
Total return 8.89% 26.17% 13.93% 22.04%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 25,578 $ 24,250 $20,742 $18,526
Ratio of expenses to average net assets:
Before expense reimbursements 0.89%** 0.86% 0.82% 0.88%
After expense reimbursements 0.73%** 0.71% 0.65% 0.65%
Ratio of net investment income to average net
assets:
Before expense reimbursements 0.38%** 0.37% 0.09% 0.08%
After expense reimbursements 0.54%** 0.52% 0.26% 0.31%
Portfolio turnover 7.37% 7.25% 14.60% 16.51%
Year Ended Year Ended
August 31, August 31,
2002 2001
Direct Shares ------------ -----------
Net asset value, beginning of period $ 12.89 $ 14.09
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.03 0.11
Net gain (loss) on securities (both realized and
unrealized) (1.28) (0.55)
------- -------
Total from investment operations (1.25) (0.44)
------- -------
LESS DISTRIBUTIONS
Dividends from net investment income (0.04) (0.12)
Distributions from capital gains - (0.64)
------- -------
Total distributions (0.04) (0.76)
------- -------
Paid in capital from redemption fee (Note 1) N/A N/A
------- -------
Net asset value, end of period $ 11.60 $ 12.89
======= =======
Total return (9.69)% (2.59)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $15,813 $14,226
Ratio of expenses to average net assets:
Before expense reimbursements 0.88% 0.92%
After expense reimbursements 0.65% 0.65%
Ratio of net investment income to average net
assets:
Before expense reimbursements 0.00% 0.54%
After expense reimbursements 0.23% 0.81%
Portfolio turnover 17.64% 41.91%
Six Months
Ended October 16,
February 28, Year Ended 2003*
2006 August 31, to August 31,
(Unaudited) 2005 2004
K Shares ------------------ ---------------- ----------------
Net asset value, beginning of period $ 19.04 $ 15.82 $ 14.78
--------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.01 0.01 (0.01)
Net gain (loss) on securities (both realized and
unrealized) 1.58 3.97 1.19
--------- -------- --------
Total from investment operations 1.59 3.98 1.18
--------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income - - -
Distributions from capital gains (0.88) (0.76) (0.14)
--------- -------- --------
Total distributions (0.88) (0.76) (0.14)
--------- -------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A
--------- -------- --------
Net asset value, end of period $ 19.75 $ 19.04 $ 15.82
========= ======== ========
Total return 8.65% 25.53% 7.99%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 7,068 $ 6,070 $ 2,700
Ratio of expenses to average net assets:
Before expense reimbursements 1.39%** 1.36% 1.32%**
After expense reimbursements 1.23%** 1.21% 1.15%**
Ratio of net investment income to average net
assets:
Before expense reimbursements (0.12)%** (0.13)% (0.41)%**
After expense reimbursements 0.04%** 0.02% (0.24)%**
Portfolio turnover 7.37% 7.25% 14.60%
- ----------
* Commencement of operations.
** Annualized.
(a) Less than $0.01 per share
See accompanying notes to financial statements
51
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
Equity Income Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
Direct Shares ------------------ ------------------ ------------ ------------
Net asset value, beginning of period $ 16.12 $ 14.07 $ 12.32 $ 11.38
---------- ---------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.14 0.26 0.20 0.15
Net gain (loss) on securities (both realized and
unrealized) 0.47 2.05 1.70 0.94
---------- ---------- -------- --------
Total from investment operations 0.61 2.31 1.90 1.09
---------- ---------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.15) (0.26) (0.15) (0.15)
Distributions from capital gains (0.35) - - -
---------- ---------- -------- --------
Total distributions (0.50) (0.26) (0.15) (0.15)
---------- ---------- -------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
---------- ---------- -------- --------
Net asset value, end of period $ 16.23 $ 16.12 $ 14.07 $ 12.32
========== ========== ======== ========
Total return 3.85% 16.51% 15.51% 9.77%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 17,371 $ 16,641 $ 13,137 $ 9,818
Ratio of expenses to average net assets:
Before expense reimbursements 0.87%** 0.87% 0.90% 0.95%
After expense reimbursements 0.87%** 0.85% 0.80% 0.80%
Ratio of net investment income to average net
assets:
Before expense reimbursements 1.79%** 1.70% 1.04% 1.24%
After expense reimbursements 1.81%** 1.72% 1.14% 1.39%
Portfolio turnover 0.20% 3.25% 14.43% 30.01%
Year Ended Year Ended
August 31, August 31,
2002 2001
Direct Shares ------------ -------------
Net asset value, beginning of period $ 12.21 $ 14.81
-------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.17 0.28
Net gain (loss) on securities (both realized and
unrealized) (0.83) (2.46)
-------- ---------
Total from investment operations (0.66) (2.18)
-------- ---------
LESS DISTRIBUTIONS
Dividends from net investment income (0.17) (0.39)
Distributions from capital gains - (0.03)
-------- ---------
Total distributions (0.17) (0.42)
-------- ---------
Paid in capital from redemption fee (Note 1) N/A N/A
-------- ---------
Net asset value, end of period $ 11.38 $ 12.21
======== =========
Total return (5.46)% (14.94)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 8,261 $ 8,794
Ratio of expenses to average net assets:
Before expense reimbursements 0.91% 0.94%
After expense reimbursements 0.80% 0.80%
Ratio of net investment income to average net
assets:
Before expense reimbursements 1.33% 1.96%
After expense reimbursements 1.44% 2.10%
Portfolio turnover 69.43% 73.50%
Six Months
Ended October 16,
February 28, Year Ended 2003*
2006 August 31, to August 31,
(Unaudited) 2005 2004
K Shares ------------------ ---------------- --------------
Net asset value, beginning of period $ 16.17 $ 14.10 $ 12.90
--------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.11 0.18 0.01
Net gain (loss) on securities (both realized and
unrealized) 0.46 2.07 1.21
--------- -------- -------
Total from investment operations 0.57 2.25 1.22
--------- -------- -------
LESS DISTRIBUTIONS
Dividends from net investment income (0.11) (0.18) (0.02)
Distributions from capital gains (0.35) - -
--------- -------- -------
Total distributions (0.46) (0.18) (0.02)
--------- -------- -------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A
--------- -------- -------
Net asset value, end of period $ 16.28 $ 16.17 $ 14.10
========= ======== =======
Total return 3.57% 16.00% 9.47%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 3,591 $ 3,234 $ 1,470
Ratio of expenses to average net assets:
Before expense reimbursements 1.37%** 1.37% 1.40% **
After expense reimbursements 1.37%** 1.35% 1.30% **
Ratio of net investment income to average net
assets:
Before expense reimbursements 1.29%** 1.20% 0.54% **
After expense reimbursements 1.31%** 1.22% 0.64% **
Portfolio turnover 0.20% 3.25% 14.43%
- ----------
* Commencement of operations.
** Annualized.
(a) Less than $0.01 per share
See accompanying notes to financial statements
52
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
European Growth & Income Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
Direct Shares ------------------ ---------------- ------------ ------------
Net asset value, beginning of period $ 8.57 $ 7.10 $ 6.18 $ 5.80
---------- --------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.03 0.15 0.16 0.11
Net loss on securities (both realized and
unrealized) 0.51 1.48 0.89 0.35
---------- --------- ------- -------
Total from investment operations 0.54 1.63 1.05 0.46
---------- --------- ------- -------
LESS DISTRIBUTIONS
Dividends from net investment income (0.04) (0.16) (0.13) (0.08)
Distributions from capital gains - - - -
---------- --------- ------- -------
Total distributions (0.04) (0.16) (0.13) (0.08)
---------- --------- ------- -------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
---------- --------- ------- -------
Net asset value, end of period $ 9.07 $ 8.57 $ 7.10 $ 6.18
========== ========= ======= =======
Total return 6.27% 23.15% 17.04% 8.17%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 5,213 $ 5,024 $ 3,923 $ 3,364
Ratio of expenses to average net assets:
Before expense reimbursements 1.41%** 1.55% 1.72% 1.99%
After expense reimbursements 0.95%** 0.98% 0.95% 0.95%
Ratio of net investment income to average net
assets:
Before expense reimbursements 0.26%** 1.41% 1.17% 0.83%
After expense reimbursements 0.73%** 1.98% 1.94% 1.87%
Portfolio turnover 1.66% 1.47% 2.01% 0.00%
Year Ended Year Ended
August 31, August 31,
2002 2001
Direct Shares ------------ -------------
Net asset value, beginning of period $ 7.13 $ 9.59
--------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.10 0.08
Net loss on securities (both realized and
unrealized) (1.34) (2.46)
--------- ---------
Total from investment operations (1.24) (2.38)
--------- ---------
LESS DISTRIBUTIONS
Dividends from net investment income (0.09) (0.08)
Distributions from capital gains - -
--------- ---------
Total distributions (0.09) (0.08)
--------- ---------
Paid in capital from redemption fee (Note 1) N/A N/A
--------- ---------
Net asset value, end of period $ 5.80 $ 7.13
========= =========
Total return (17.50)% (24.87)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 2,357 $ 2,106
Ratio of expenses to average net assets:
Before expense reimbursements 1.99% 2.17%
After expense reimbursements 0.95% 0.95%
Ratio of net investment income to average net
assets:
Before expense reimbursements 0.30% (0.18)%
After expense reimbursements 1.34% 1.04%
Portfolio turnover 9.70% 19.75%
Six Months
Ended October 16,
February 28, Year Ended 2003*
2006 August 31, to August 31,
(Unaudited) 2005 2004
K Shares ------------------ ---------------- --------------
Net asset value, beginning of period $ 8.60 $ 7.11 $ 6.61
--------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.01 0.10 0.08
Net loss on securities (both realized and
unrealized) 0.50 1.51 0.48
--------- -------- --------
Total from investment operations 0.51 1.61 0.56
--------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.01) (0.12) (0.06)
Distributions from capital gains - - -
--------- -------- --------
Total distributions (0.01) (0.12) (0.06)
--------- -------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A
--------- -------- --------
Net asset value, end of period $ 9.10 $ 8.60 $ 7.11
========= ======== ========
Total return 5.98% 22.78% 8.43%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 3,804 $ 3,052 $ 1,177
Ratio of expenses to average net assets:
Before expense reimbursements 1.91%** 2.07% 2.22%**
After expense reimbursements 1.45%** 1.50% 1.45%**
Ratio of net investment income to average net
assets:
Before expense reimbursements (0.24)%** 0.89% 0.67%**
After expense reimbursements 0.23%** 1.46% 1.44%**
Portfolio turnover 1.66% 1.47% 2.01%
- ----------
* Commencement of operations.
** Annualized.
(a) Less than $0.01 per share
See accompanying notes to financial statements
53
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED)
- --------------------------------------------------------------------------------
Nasdaq-100 Index Fund
Six Months
Ended
February 28, Year Ended Year Ended Year Ended
2006 August 31, August 31, August 31,
(Unaudited) 2005 2004 2003
Direct Shares ------------------ ---------------- ------------ ------------
Net asset value, beginning of period $ 3.98 $ 3.46 $ 3.41 $ 2.41
---------- --------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) - 0.03 (0.01) (0.01)
Net gain (loss) on securities (both realized and
unrealized) 0.22 0.51 0.06 1.01
---------- --------- ------- -------
Total from investment operations 0.22 0.54 0.05 1.00
---------- --------- ------- -------
LESS DISTRIBUTIONS
Dividends from net investment income - (0.02) - -
Distributions from capital gains - - - -
---------- --------- ------- -------
Total distributions - (0.02) - -
---------- --------- ------- -------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A
---------- --------- ------- -------
Net asset value, end of period $ 4.20 $ 3.98 $ 3.46 $ 3.41
========== ========= ======= =======
Total return 5.53% 15.47% 1.47% 41.49%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 14,475 $ 15,161 $14,349 $14,928
Ratio of expenses to average net assets:
Before expense reimbursements 0.95%** 0.95% 0.91% 1.05%
After expense reimbursements 0.73%** 0.71% 0.65% 0.65%
Ratio of net investment income to average net
assets:
Before expense reimbursements (0.18)%** 0.41% (0.62)% (0.80)%
After expense reimbursements 0.04%** 0.65% (0.36)% (0.40)%
Portfolio turnover 9.65% 9.94% 8.82% 8.64%
Year Ended Year Ended
August 31, August 31,
2002 2001
Direct Shares ---------------- -------------
Net asset value, beginning of period $ 3.75 $ 10.67
--------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) (0.00)(a) 0.05
Net gain (loss) on securities (both realized and
unrealized) (1.33) (6.84)
--------- ---------
Total from investment operations (1.33) (6.79)
--------- ---------
LESS DISTRIBUTIONS
Dividends from net investment income (0.01) (0.08)
Distributions from capital gains - (0.05)
--------- ---------
Total distributions (0.01) (0.13)
--------- ---------
Paid in capital from redemption fee (Note 1) N/A N/A
--------- ---------
Net asset value, end of period $ 2.41 $ 3.75
========= =========
Total return (35.61)% (64.26)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 9,191 $ 11,390
Ratio of expenses to average net assets:
Before expense reimbursements 0.99% 0.90%
After expense reimbursements 0.64% 0.65%
Ratio of net investment income to average net
assets:
Before expense reimbursements (0.45)% 0.14%
After expense reimbursements (0.10)% 0.39%
Portfolio turnover 4.18% 13.82%
Six Months
Ended October 16,
February 28, Year Ended 2003* to
2006 August 31, August 31,
(Unaudited) 2005 2004
K Shares ------------------ ---------------- ----------------
Net asset value, beginning of period $ 3.96 $ 3.45 $ 3.62
--------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) (0.01) - (0.01)
Net gain (loss) on securities (both realized and
unrealized) 0.22 0.52 (0.16)
--------- -------- --------
Total from investment operations 0.21 0.52 (0.17)
--------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income - (0.01) -
Distributions from capital gains - - -
--------- -------- --------
Total distributions - (0.01) -
--------- -------- --------
Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A
--------- -------- --------
Net asset value, end of period $ 4.17 $ 3.96 $ 3.45
========= ======== ========
Total return 5.30% 15.13% (4.70)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 3,801 $ 3,417 $ 1,651
Ratio of expenses to average net assets:
Before expense reimbursements 1.45%** 1.46% 1.41%**
After expense reimbursements 1.23%** 1.22% 1.15%**
Ratio of net investment income to average net
assets:
Before expense reimbursements (0.68)%** (0.10)% (1.12)%**
After expense reimbursements (0.46)%** 0.14% (0.86)%**
Portfolio turnover 9.65% 9.94% 8.82%
- ----------
* Commencement of operations.
** Annualized.
(a) Less than $0.01 per share
See accompanying notes to financial statements
54
- --------------------------------------------------------------------------------
California Notes To Financial February 28, 2006
Investment Trust Statements (Unaudited)
- --------------------------------------------------------------------------------
Note 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate
series of shares of beneficial interest of California Investment Trust II. Both
Trusts are registered under the Investment Company Act of 1940, as amended, as
diversified open-end management investment companies. Both Trusts were organized
as Massachusetts business trusts on September 11, 1985 and are authorized to
issue an unlimited number of no par value shares in one or more series. The
investment objectives of the Funds are as follows: California Tax-Free Income
Fund and California Insured Intermediate Fund seek as high a level of income
exempt from federal and California personal income taxes as is consistent with
prudent investment management and safety of capital. California Tax-Free Money
Market Fund seeks capital preservation, liquidity and the highest achievable
current income exempt from both federal and California personal income taxes
consistent with safety. U.S. Government Securities Fund seeks safety from credit
risk, liquidity, and as high a level of income as is consistent with these
objectives by investment in full faith and credit obligations of the U.S.
Government and its agencies or instrumentalities. The United States Treasury
Trust seeks preservation of capital, safety, liquidity and consistent with these
objectives, the highest attainable current income exempt from state income
taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are
diversified mutual funds that seek to provide investment results that correspond
to the total return of publicly traded common stocks represented in the Standard
& Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of income and capital appreciation (when consistent with
high income) by investing primarily in income-producing U.S. equity securities.
European Growth & Income Fund seeks to provide long-term capital appreciation
and income by investing in large-sized European companies. Nasdaq-100 Index Fund
attempts to replicate the performance of the largest non-financial companies as
measured by the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund seeks
liquidity, safety from credit risk, preservation of investors principal and has
a high level of income as is consistent with these objectives by investing in
mainly U.S. government securities. The following is a summary of significant
accounting policies followed by the Funds.
California Investment Trust II began offering an additional class of
shares, Class K, on October 16, 2003. Income and expenses of the Funds are
allocated proportionately to the two classes of shares offered based on the
daily net assets, except for Rule 12b-1 distribution fees and shareholder
service fees, which are charged only to K Shares.
(a) Security Valuation - Portfolio securities of the S&P 500, S&P MidCap
and S&P SmallCap Index Funds, Equity Income Fund, European Growth & Income Fund,
and Nasdaq-100 Index Fund listed on a national exchange are valued at the last
reported sales price. U.S. Treasury Bills are valued at amortized cost which
approximates market value. Portfolio securities of the California Tax-Free
Income Fund and the California Insured Intermediate Fund are valued by an
independent pricing service that uses market quotations, representing the latest
available bid price, prices provided by market makers, or estimates of market
values obtained from yield data relating to instruments or securities with
similar characteristics, in accordance with procedures established by the Board
of Trustees. The U.S. Government Securities Fund and the Short-Term U.S.
Government Bond Fund are valued by an independent pricing service that uses
market quotations representing the latest available mean between the bid and ask
price, prices provided by market makers or estimates of market value obtained
from yield data relating to instruments or securities with similar
characteristics. Securities with remaining maturities of 60 days or less are
valued on the amortized cost basis as reflecting fair value. All other
securities are valued at their fair value as determined in good faith by the
Funds' ("Board of Trustees"). California Tax-Free Money Market Fund and The
United States Treasury Trust securities are valued at amortized cost which the
Board of Trustees has determined in good faith to constitute fair value.
(b) Futures Contracts - Initial margin deposits required upon entering
into futures contracts are satisfied by the segregation of specific securities
or cash, as collateral, for the account of the broker (a Fund's agent in
acquiring the futures position). During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
made or received depending upon whether unrealized gains or losses are incurred.
When the contract is closed, a Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund,
S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and
Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash
reserves while remaining fully invested, to facilitate trading, to reduce
transaction costs, or to seek higher investment returns when a futures contract
is priced more attractively than the underlying equity security or index. Risks
include the possibility of an illiquid market and an imperfect correlation
between the change in market value of the stocks held by a Fund and the prices
of futures contracts.
(c) Federal Income Taxes - No provision is considered necessary for
federal income taxes. The Funds intend to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
Capital loss carry forwards, as of August 31, 2005, available to offset future
capital gains, if any, are as follows:
U.S. Govt. Short Term Govt. European Growth
Expiring Tax Free MM Securities Bond Fund S&P 500 & Income Nasdaq-100
- ----------------- -------------------------- -------------------- ------------------ ------------ ---------------- -----------
2007 - - - - 806 -
2008 - - - - 53,456 537,333
2009 - - - 6,120,424 40,585 2,356,290
2010 - - - - - -
2011 - - - 2,790,405 104,291 3,015,439
2012 3,258 - - - 2,426 1,963,355
2013 - 19,438 15,901 - 59,164 2,084,713
----- ------ ------ --------- ------- ---------
Total 3,258 19,438 15,901 8,910,829 260,728 9,957,130
===== ====== ====== ========= ======= =========
Accounting principles generally accepted in the United States of America
require certain components of net assets be reclassified between financial and
tax reporting. These reclassifications have no effect on net assets or net asset
value per share. For the year ended August 31, 2005, permanent differences
between book and tax accounting have been reclassified to paid-in capital,
undistributed net investment income/loss and accumulated realized gain/loss as
follows:
Increase (Decrease)
Increase (Decrease) Undistributed Net Increase (Decrease)
Paid-in capital Investment Income (Loss) Accumulated Gain/(Loss)
--------------------- -------------------------- ------------------------
California Insured Intermediate Fund - (3,152) 3,152
California Tax-Free Income Fund - (130,323) 130,323
U.S. Government Securities Fund 11 (4) (7)
The United States Treasury Trust (105) 105 -
Short-Term U.S. Government Bond Fund (8) - 8
Equity Income Fund 5,116 (5,116) -
55
- --------------------------------------------------------------------------------
California Notes To Financial February 28, 2006
Investment Trust Statements (Unaudited)-(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.
(g) Share Valuations - The net asset value ("NAV") per share of each Fund
is calculated by dividing the sum of the value of the securities held by the
Fund, plus cash or other assets, minus all liabilities (including estimated
accrued expenses) by the total number of shares outstanding of the Fund, rounded
to the nearest cent. A Fund's shares will not be priced on the days on which the
NYSE is closed for trading. Bond and Money Market Funds are closed on Columbus
Day (observed) and Veteran's Day (observed). The offering and redemption price
per share of each Fund is equal to a Fund's net asset value per share. Shares of
certain funds were charged a 1% redemption fee on shares redeemed or exchanged
within seven days of purchase. These fees were deducted from the redemption
proceeds otherwise payable to the shareholder. Each Fund retained the fee
charged as paid-in capital and such fees became part of that Fund's daily NAV
calculation. The redemption fee was established January 1, 2005.
Note 2 - INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California limited partnership, provides each Fund
with management and limited administrative services pursuant to a management
agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of
0.25% and 0.40%, respectively, of the Funds' average daily net assets. In
accordance with the terms of the management agreements with the S&P SmallCap
Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S.
Government Bond Fund, CCM receives compensation at the annual rate of 0.50% of
the first $500 million of net assets, plus 0.45% on net assets from $500 million
to $1 billion, and 0.40% of net assets above $1 billion. In accordance with the
terms of the management agreement with the European Growth & Income Fund, CCM
receives compensation at the annual rate of 0.85% of the Fund's average daily
net assets. CCM has agreed to reduce its fee by, or reimburse the respective
Funds for, any amount necessary to prevent a Fund's total expenses, excluding
extraordinary items, from exceeding 1.00% of that Fund's average daily net
assets. CCM has voluntarily reimbursed more expenses than contractually
obligated. This voluntary reimbursement is effective for a calendar year,
renewal at the end of each calendar year and is not subject to recoupment.
Reimbursement from the manager for the six months ended February 28, 2006, is as
follows:
Voluntary Expense Limitation
-----------------------------------------------------------------
Fund Reimburse Direct Shares K Shares Expiration
- --------------------------------------- --------------------- -------------------- ---------- -----------
California Tax-Free Money Market Fund $66,830 0.53% N/A 12/31/06
California Insured Intermediate Fund $18,008 0.68% N/A 12/31/06
Short-Term U.S. Government Bond Fund $23,872 0.59% 1.09% 12/31/06
U.S. Government Securities Fund $12,615 0.74% 1.24% 12/31/06
The United States Treasury Trust $48,398 0.53% 1.03% 12/31/06
S&P 500 Index Fund $81,721 0.36% 0.86% 12/31/06
S&P MidCap Index Fund $33,050 0.58% 1.08% 12/31/06
S&P SmallCap Index Fund $24,359 0.74% 1.24% 12/31/06
Equity Income Fund* $ 533 N/A N/A 12/31/06
European Growth & Income Fund $20,028 1.00% 1.50% 12/31/06
Nasdaq-100 Index fund $21,450 0.74% 1.24% 12/31/06
- ----------
* For the period 09/01/2005 through 12/31/2005 the expense limitation was
0.89% and 1.39% for Direct Shares and K Shares respectively. Beginning
01/01/2006 the Fund did not renew its voluntary expense limitation.
As compensation for administrative duties not covered by the management
agreement, CCM receives an administration fee, which became effective February
28, 2005. The administration fee is based on assets held, in aggregate, by the
Funds comprising California Investment Trust and California Investment Trust II.
The fee rates are 0.10% on the first $100 million, 0.08% on the next $400
million, and 0.06% on combined assets over $500 million.
Certain officers and trustees of the Trusts are also partners of CCM.
Michael O'Callaghan has served as the Chief Compliance Officer ("CCO") of the
Trusts since August 2004. Mr. O'Callaghan is also employed by CCM Partners, the
Advisor and Administrator to the Trusts. The Trusts are responsible for the
portion of his salary allocated to his duties as the CCO of the Trusts and CCM
Partners is reimbursed for this portion of his salary. The level of
reimbursement is reviewed and determined by the Trustees at least annually.
California Investment Trust II has adopted a Distribution Plan (the
"Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby
the Class K Shares of each Fund of California Investment Trust II pays the
Distributor for expenses that relate to the promotion and distribution of
shares. Under the Plan, the Class K Share of the Funds will pay the Distributor
a fee at an annual rate of 0.25%, payable monthly, of the daily net assets
attributable to such Fund's Class K Shares.
California Investment Trust II has adopted a Shareholder Services Plan
(the "Services Plan"), whereby the Class K Shares of each Fund of California
Investment Trust II 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.
56
- --------------------------------------------------------------------------------
California Notes To Financial February 28, 2006
Investment Trust Statements (Unaudited)-(Continued)
- --------------------------------------------------------------------------------
For the six months ended February 28, 2006, the following were paid by the
Class K Shares of each Fund of California Investment Trust II:
Shareholder
Fund 12b-1 Fees Service Fee
- ------------------------------------------------------------------
U.S. Government Securities Fund $5,486 $5,486
The United States Treasury Trust $3,010 $3,010
Short-Term U.S. Government Bond Fund $1,653 $1,653
S&P 500 Index Fund $6,066 $6,066
S&P Midcap Index Fund $6,276 $6,276
S&P SmallCap Index Fund $7,700 $7,700
Equity Income Fund $4,083 $4,083
European Growth & Income Fund $4,096 $4,096
Nasdaq-100 Index Fund $4,365 $4,365
Note 3 - PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the six months ended February 28, 2006 were as follows:
Purchases Sales
- ------------------------------------------------------------------
California Tax-Free Income Fund $ 6,176,585 $ 0
California Insured Intermediate Fund $ 530,785 $ 2,089,997
Short-Term U.S. Government Bond Fund $ 6,003,809 $ 5,487,957
U.S. Government Securities Fund $ 8,458,836 $10,501,108
S&P 500 Index Fund $ 1,830,608 $ 1,982,923
S&P Midcap Index Fund $18,694,439 $12,125,769
S&P SmallCap Index Fund $ 4,224,929 $ 2,102,054
Equity Income Fund $ 314,670 $ 35,894
European Growth & Income Fund $ 421,240 $ 136,732
Nasdaq-100 Index Fund $ 1,757,935 $ 2,907,278
Note 4
The tax character of distributions paid during the years ended August 31,
2005 and 2004 were as follows:
Ordinary Long-Term Exempt-Interest Total
Income Capital Gains Dividends Distributions
- ------------------------------------------------------------------------------------------------------------
California Tax-Free Money Market Fund 2005 - - 1,062,279 1,062,279
2004 - - 461,912 461,912
California Insured Intermediate Fund 2005 - 54,421 759,043 813,464
2004 10,062 68,620 835,074 913,756
California Tax Free Income Fund 2005 - 2,641,599 5,919,149 8,560,748
2004 142,398 1,242,840 6,615,271 8,000,509
U.S. Government Securities Fund 2005 1,023,984 245,911 - 1,269,895
2004 979,427 163,988 - 1,143,415
The United States Treasury Trust 2005 777,049 - - 777,049
2004 260,901 - - 260,901
Short Term U.S. Government Bond Fund 2005 341,703 6,624 - 348,327
2004 221,710 - - 221,710
S&P 500 Index Fund 2005 2,025,865 - - 2,025,865
2004 1,494,851 - - 1,494,851
S&P MidCap Index Fund 2005 1,241,578 - - 1,241,578
2004 788,031 - - 788,031
S&P SmallCap Index Fund 2005 222,097 1,041,049 - 1,263,146
2004 109,483 125,962 - 235,445
Equity Income Fund 2005 277,269 - - 277,269
2004 134,677 - - 134,677
European Growth & Income Fund 2005 127,879 - - 127,879
2004 78,858 - - 78,858
Nasdaq-100 Index Fund 2005 69,372 - - 69,372
2004 - - - -
57
- --------------------------------------------------------------------------------
California Notes To Financial February 28, 2006
Investment Trust Statements (Unaudited)-(Continued)
- --------------------------------------------------------------------------------
The tax character of distributable earnings at August 31, 2005 were as follows:
Undistributed Undistributed Capital Loss Unrealized Total
Ordinary Long Term Carry Appreciation Post October Distributable
Income Capital Gain Forwards (Depreciation) Losses ** Earnings
------------- -------------- -------------- ---------------- -------------- ---------------
California Tax-Free Money Market Fund - - (3,258) - - (3,258)
California Insured Intermediate Fund - 250,930 - 464,002 - 714,932
California Tax Free Income Fund 104,090 2,858,661 - 10,656,592 - 13,619,343
U.S. Government Securities Fund 2,997 - (19,438) 333,336 (209,735) 107,160
The United States Treasury Trust 105 - - - (2,708) (2,603)
Short Term U.S. Government Bond Fund 700 - (15,901) (48,068) (176,191) (239,460)
S&P 500 Index Fund 263,477 - (8,910,829) 22,797,760 (441,753) 13,708,655
S&P MidCap Index Fund 170,489 10,381,783 - 42,274,380 - 52,826,652
S&P SmallCap Index Fund 109,902 1,148,718 - 8,731,259 - 9,989,879
Equity Income Fund 42,664 433,755 - 3,808,732 - 4,285,151
European Growth & Income Fund 16,444 - (260,728) 978,200 (9,717) 724,199
Nasdaq-100 Index Fund 33,047 - (9,957,130) (1,980,379) (133,695) (12,038,157)
The difference between book basis and tax basis unrealized appreciation is
attributable primarily to the realization for tax purposes of unrealized gains
on future contracts, wash sales, and other deferrals.
** Under the current tax law, capital losses realized after October 31 and
prior to the Funds' fiscal year end may be deferred as occurring on the
first day of the following fiscal year.
- --------------------------------------------------------------------------------
Fund Holdings: The Fund holdings shown in this report are as of February
28, 2006. Holdings are subject to change at any time, so holdings shown in this
report may not reflect current fund holdings. The Funds file complete schedules
of portfolio holdings with the SEC for the first and third quarters of each
fiscal year on Form N-Q, the first of which was filed for the quarter ending
November 30, 2004. The Funds' Form N-Q will be available on the SEC's website at
www.sec.gov and may be reviewed and copied at the Commission's Public Reference
Room to Washington, DC. Information on the operation of the Public Reference
Room may be obtained by calling 1-800-SEC-0330 and copies of the form N-Q may be
obtained by calling (800) 225-8778.
Proxy Voting Record: The Funds' Statement of Additional Information
("SAI") containing a description of the policies and procedures that the
California Investment Trust Fund Group uses to determine how to vote proxies
relating to portfolio securities, along with each Fund's proxy voting record
relating to portfolio securities held during the 12-month period ended June 30,
2005, is available upon request, at no charge, at the phone number below or on
the SEC's website at www.sec.gov.
This report is submitted for the general information of the shareholders
of the California Investment Trust Fund Group. It is authorized for distribution
only if preceded or accompanied by a current California Investment Trust Fund
Group prospectus. Additional copies of the prospectus may be obtained by calling
(800) 225-8778 or can be downloaded from the Funds' website at www.caltrust.com.
Please read the prospectus carefully before you invest or send money, as it
explains the risks, fees and expenses of investing in the Funds.
58
- --------------------------------------------------------------------------------
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:
Trustee Address Date of Birth Position Held with the Trust Length of Time Served
- ----------------------- ------------------------- --------------- --------------------------------------- ----------------------
Stephen C. Rogers P.O. Box 387 06/27/66 President, Secretary & Trustee, Chief Since August 1998
San Francisco, CA 94104 Executive Officer, CCM Partners
Harry Holmes P.O. Box 387 12/05/25 Trustee Since September 1985
San Francisco, CA 94104
John B. Sias P.O. Box 387 01/22/27 Trustee Since March 1991
San Francisco, CA 94104
James Miller P.O. Box 387 05/28/66 Trustee Since August 2001
San Francisco, CA 94104
Christopher P. Browne P.O. Box 387 02/07/67 Treasurer Since October 2004
San Francisco, CA 94104
Each Trustee oversees 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 1994-1997; Marketing Representative, CCM Partners, 1993 to 1994.
Harry Holmes Principal, Harry Holmes & Associates (consulting); President and Chief Executive Officer, Aspen Skiing
Company, 1982-1984;President and Chief Executive Officer, Pebble Beach Company
(property management), 1973-1984.
John B. Sias Director Enzo Biochem, Inc., 1982 to present; Chairman, President and CEO, Chronicle Publishing
Company, 1993 to 2000; Director, Executive Vice President, Capital Cities/ABC Inc. and President,
ABC Network T.V. Group 1986 to 1992.
James Miller Vice President, Jones Lange LaSalle Americas, Inc. 1999 to present; Associate, Orrick Herrington &
Sutcliffe LLP, 1996-1999; Associate, Gordon & Rees LLP, 1992-1993.
Christopher P. Browne Portfolio Manager, CIT Funds, 2004 to present; Manager, Autodesk, 2000-2004; Principal, Baystar
Capital, 1998-2000.
Additional information on the Trustees may be found in the SAI.
* Trustee deemed to be an "interested person" of the Trusts, as defined in
the Investment Company Act of 1940.
59
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT TRUST AND CALIFORNIA INVESTMENT TRUST II
BOARD APPROVAL OF THE MANAGEMENT AGREEMENTS AND FORM OF NEW ADVISORY AGREEMENTS
- --------------------------------------------------------------------------------
The Investment Company Act of 1940 ("1940 Act") requires that the full
Boards of Trustees of California Investment Trust and California Investment
Trust II (collectively, the "Board"), and a majority of the Trustees who are not
"interested persons" (the "Independent Trustees"), as that term is defined in
the 1940 Act, voting separately, annually approve the continuation of the
Trusts' Management Agreements with CCM Partners ("CCM"), dated January 18, 2000
and January 28, 2000 (the "Current Agreements"), with respect to each Fund. At a
meeting held in-person on February 14, 2006, the Board, including a majority of
the Independent Trustees, on behalf of the Trusts' California Tax-Free Income
Fund, California Insured Intermediate Fund, California Tax-Free Money Market
Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity
Income Fund, Nasdaq-100 Index Fund, European Growth & Income Fund, U.S.
Government Securities Fund, Short-Term U.S. Govt. Bond Fund and The United
States Treasury Trust (each a "Fund"), considered and approved the continuance
of the Current Agreements with respect to each Fund with CCM for an additional
one-year period. The Board also considered and approved, subject to obtaining
requisite approval by Fund shareholders, forms of new investment advisory
agreements (the "New Agreements") for each of the Funds.
Prior to the meeting, the Independent Trustees requested information from
CCM. This information together with other information provided by CCM and the
information provided to the Independent Trustees throughout the course of year
formed the primary (but not exclusive) basis for the Board's determinations as
summarized below. In addition to the factors identified above, the information,
other material factors and conclusions that formed the basis for the Board's
subsequent approval are described below.
Information Received
Materials reviewed. During the course of each year, the independent
Trustees receive a wide variety of materials relating to the services provided
by CCM, including reports on each Fund's investment results; portfolio
composition; portfolio trading practices; shareholder services; and other
information relating to the nature, extent and quality of services provided by
CCM to the Funds. In addition, the Board requests and reviews supplementary
information that includes materials regarding each Fund's investment results,
advisory fee and expense comparisons, the costs of operating the Funds and
financial and profitability information regarding CCM (the principal business
activity of which is managing the Funds), descriptions of various functions such
as compliance monitoring and portfolio trading practices, and information about
the personnel providing investment management services to each Fund.
Review Process. The Board received assistance and advice regarding legal
and industry standards from independent counsel to the independent Trustees. The
Board discussed the renewal of the Current Agreements and the approval of the
New Agreements with CCM representatives and in a private session with
independent legal counsel at which no representatives of CCM were present. In
deciding to approve the renewal of the Current Agreements and recommend the
approval of the New Agreements to the shareholders, the independent Trustees
considered the total mix of information requested by and made available to them
and did not identify any single issue or particular information that, in
isolation, was the controlling factor. This summary describes the most
important, but not all, of the factors considered by the Board.
Nature, Extent and Quality of Services
CCM, its personnel and its resources. The Board considered the depth and
quality of CCM's investment management process; the experience, capability and
integrity of its senior management and other personnel; the turnover rates of
its personnel; and the overall financial strength and stability of its
organization. The Board also considered that CCM made available to its
investment professionals a variety of resources relating to investment
management, compliance, trading, performance and portfolio accounting, and that
CCM is currently exploring the acquisition of a higher quality analytics package
and performance attribution tools. The Board further considered CCM's continuing
need to attract and retain qualified personnel and, noting CCM's recent
retention of a new chief operating officer with extensive industry experience
and proposed additions to CCM's administrative support staff, determined that
CCM was adequately managing matters related to the Funds.
Other Services. The Board considered, in connection with the performance
of its investment management services to the Funds, the following: CCM's
policies, procedures and systems to ensure compliance with applicable laws and
regulations and its commitment to these programs; its efforts to keep the
Trustees informed; and its attention to matters that may involve conflicts of
interest with the Funds. As a point of comparison, the Board also considered the
nature, extent, quality and cost of certain non-investment related
administrative services provided by CCM to the Funds under the administration
servicing agreements.
The Board concluded that the CCM had the quality and depth of personnel
and investment methods essential to performing its duties under the Current
Agreements and which would be essential to performing its duties under the New
Agreements, and that the nature, extent and overall quality of such services are
satisfactory and reliable.
Investment Performance
The Board considered each Fund's unique, balanced pursuit of its
investment objectives and the investment results of each Fund in light of its
objectives. The Trustees reviewed the short-term and long-term performance of
each of the Funds on both an absolute basis and in comparison to benchmark
indices. The Trustees also reviewed the Morningstar or iMoneyNet rankings for
each of the Funds, as applicable. In assessing performance of certain Funds, the
Trustees took into consideration the fact that Fund performance is expected to
mirror the appropriate benchmarks as closely as possible given certain practical
constraints imposed by the 1940 Act, the Fund's investment restrictions, the
Fund's size and similar factors.
o For the California Insured Intermediate Fund, it was noted that the
performance of the Fund was in the third quartile for the 3-year
(annualized) period and in the second quartile for the 5-year
(annualized) and 10-year (annualized) periods. Although performance
in recent periods was in the bottom quartile, the Board took into
consideration the fact that the Fund's investment restrictions
require it to maintain a higher credit quality portfolio than the
Morningstar comparison group for the Fund, and accordingly that the
Fund's ranking may reflect a comparison to certain other funds with
lower credit quality portfolios.
o For the California Tax-Free Money Market Fund, it was noted that the
performance of the Fund was in the third quartile for the 1-month
(annualized) and second quartile for 12-month-to-date periods.
o For the California Tax-Free Income Fund, although the Board noted
that under the Morningstar California Municipal Long comparison
group the performance of the Fund was in the bottom quartile for all
periods considered, the Trustees also took into account CCM's
representation that the Morningstar California Municipal
Intermediate/Short comparison group provided a more suitable
category for peer analysis for the Fund. Under such comparison
group, the performance of the Fund ranked in the second quartile for
all periods considered. The Trustees also took into consideration
the composition of the portfolio inherited from the Fund's prior
portfolio manager and the continued efforts to reposition the
portfolio with minimal realization of capital gain pending an
eventual inversion of the yield curve.
o For the Equity Income Fund, it was noted that although performance
of the most recent quarter was unfavorable due to a slight
overweight in certain sectors that dragged in November and December
of 2005, the performance of the Fund was in the second quartile for
the 3-year and 5-year periods. The Board also noted that the Fund
outperformed the benchmark index in the 5-year (annualized) period.
o For the European Growth & Income Fund, it was noted that the
performance of the Fund was in the bottom quartile for the 1-year,
3-year and 5-year periods. The Fund underperformed the benchmark
index in the quarterly, 1-year and 3-year (annualized) periods, but
outperformed the benchmark index in the 5-year (annualized) period.
The Board also noted the Fund's total return for the 1-year and
3-year (annualized) periods was 6.99% and 18.24%, respectively. The
Board considered that although the Fund is not technically
considered an index fund because it primarily invests in American
Depositary Receipts instead of the underlying securities of the
foreign issuers, the Fund's seeks to act as an index fund that
tracks the Dow Jones European Stoxx 50 Index as a target portfolio.
Although the Board expressed concern about the Fund's performance,
the Board considered that a review of Statistical R Squared Data
against the Dow Jones European Stoxx 50 Index may assist in future
evaluations of performance.
60
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CALIFORNIA INVESTMENT TRUST AND CALIFORNIA INVESTMENT TRUST II
BOARD APPROVAL OF THE MANAGEMENT AGREEMENTS AND FORM OF NEW ADVISORY AGREEMENTS
- (CONTINUED)
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o For the Nasdaq-100 Index Fund, it was noted that the performance of
the Fund was in third and fourth quartile for the quarter and 1-year
periods, respectively, Fund performance was in the second quartile
for the 3-year and 5-year periods. The Board also noted with
approval that the Fund was tracking its asset class tightly.
o For the S&P 500 Index Fund, it was noted that the performance of the
Fund was in the second quartile over the 3-year and 5-year periods
and in the top quartile for the 10-year period. The Trustees noted
with approval that the Fund was tracking its asset class tightly.
o For the S&P MidCap Index Fund, it was noted that the performance of
the Fund was in the top quartile over the quarterly, 1-year and
10-year periods and in the second quartile over the 3-year and
5-year periods. The Board also noted the Fund's positive absolute
performance over every period measured. The Trustees noted with
approval that the Fund was tracking its asset class tightly.
o For the S&P SmallCap Index Fund, it was noted that the performance
of the Fund was in the second quartile for the 1-year and 3-year
periods. The Board also noted the Fund's positive absolute
performance over every period measured. The Trustees noted that in
general the Fund was tracking its asset class tightly.
o For the Short-Term U.S. Govt. Bond Fund, the Trustees noted that the
performance of the Fund was in the second quartile for the quarterly
and 1-year periods.
o For the U.S. Government Securities Fund, it was noted that the
performance of the Fund was in the second quartile for the quarterly
period, and the third quartile for other periods considered.
o For The United States Treasury Trust, it was noted that the
performance of the Fund was in the top quartile for the 1-month
(annualized) period and in the second quartile for the
12-month-to-date period.
The Board ultimately concluded that CCM's performance record in managing
each Fund was satisfactory and in some cases excellent, supporting the
determination that CCM's continued management under the Current Agreements and,
subject to shareholder approval, the New Agreements would be consistent with the
best interests of each Fund and its shareholders.
Management Fees and Total Operating Expenses
The Board reviewed the management fees and total operating expenses of
each Fund and compared such amounts with the industry average fees and expense
levels of other Funds in applicable Morningstar categories. The Board noted that
the total management fees charged to each Fund were below the industry average
and that with respect to two-thirds of the Funds the management fees charged by
CCM were significantly lower than the industry averages for such Funds. The
Board observed that with certain exceptions each Fund's total operating expenses
were well below the industry average of the other Funds. With respect to the
exceptions, the Board noted that the operating expenses of one Fund equaled the
industry average for its category and the Class K shares of two Funds exceeded
the industry average for its category but not by a significant amount. The Board
also noted the voluntary advisory fee limitation that CCM had put into effect
during 2005 with respect to all but two of the Funds. The Trustees noted that
although additional new administrative services are now paid for by the Funds
under fund administration servicing agreements that took effect during February
of 2005, these services were previously provided to the Funds by CCM at its own
expense. The Board concluded that the relatively low level of the fees charged
by CCM should benefit the Fund and its shareholders, and considering that no
increase in management fees was contemplated under the New Agreements, such
benefit should continue under the New Agreements.
Adviser, Costs, Level of Profits, Economies of Scale and Ancillary Benefits
The Board reviewed information regarding CCM's costs of providing services
to the Funds, as well as the resulting level of profits to CCM. The independent
Trustees received a representation from CCM that its profits were not excessive
and that CCM's profitability was low by industry standards. The Board considered
CCM's need to invest in technology, infrastructure and staff to reinforce and
offer new services and obtain the tools necessary to improve the provision of
investment advisory services to the Funds. They further considered that
breakpoints in the advisory fee structure of certain Funds provide for
reductions in the level of fees charged by CCM to such Fund as Fund assets
increase, reflecting the fact that economies of scale in the cost of operations
will be shared with such Fund's shareholders. The Trustees also noted that CCM
has contractually agreed to limit its advisory fees of the Funds so that those
Funds do not exceed their respective specified operating expense limitations,
and that in the case of certain Funds CCM imposed a voluntary fee limitation,
although such voluntary limitations may be decreased or eliminated at the option
of CCM. The Board also considered that CCM does not receive substantial indirect
benefits from managing the Funds (one example of an indirect benefit is research
paid for by Fund brokerage commissions - CCM currently does not seek to
supplement its fees with such "soft-dollar" benefits). On the basis of the
foregoing, the Board concluded that each Fund's cost structure was reasonable.
Factors Specifically Related to the Form of New Investment Advisory Agreements
In determining whether to approve the New Agreements and to recommend
their approval to the shareholders, the Board considered information provided by
CCM regarding the new requirements and increased levels of administrative
responsibilities required to operate the Funds and the fact that CCM had been
voluntarily assuming responsibility for performing these new and additional
services even though CCM believed they were not clearly within the scope of the
Current Agreement. The Board and its independent members were advised by
independent legal counsel that the Current Agreements were outdated and contain
many antiquated provisions. In addition to the factors discussed above, the
Board took into account the following:(1) that the principal purpose of the
Current Agreements is to secure investment management services for the assets of
the Fund; (2) CCM's representation that the same persons responsible for
management of the Funds under the Current Agreements are currently expected to
continue to manage the Funds under the New Agreements; (3) that the management
fees to be received by CCM under the New Agreements is the same as the
management fees paid under the Current Agreements; (4) that the senior
management personnel responsible for the management of CCM are expected to
continue to be responsible for the management of CCM; (5) the substantive
similarity of many terms and provisions of the New Agreements and Current
Agreements; (6) that CCM does not expect any diminution in the level of required
management services it provides under the Current Agreement; (7) that CCM, prior
to the adoption of the administration servicing agreements was performing many
administrative services that CCM believed were not clearly covered by the
Current Agreements at CCM's own expense; (8) that although the office of CCO was
not anticipated at the time the Current Agreements were first approved or last
ratified, and that SEC rules currently require each Trust to fill the office of
CCO, and that the performance of his duties under the supervision of the Board
is viewed as benefiting each Fund and the allocation of the cost of the Funds'
CCO to the Funds is viewed as enhancing the independence of the CCO; (9) that
currently CCM bears certain expenses and is separately compensated by the Funds
for certain administrative and regulatory support functions under the
administration servicing agreements that are not covered by the Current
Agreements; and (10) that when the Current Agreements were initially entered
into, neither CCM nor the Funds contemplated the scope of obligations that are
currently involved with respect to the non-investment management operation of
the Funds, and that these increased obligations largely fall outside of the core
investment management function for which CCM was appointed under the Current
Agreements.
Conclusions
Based on their review, including their consideration of each of the
factors referred to above, the Board concluded that the Current Agreements and
the New Agreements, taking into account the separate administration fees, are
and would be fair and reasonable to each Fund and its shareholders, that each
Fund's shareholders received or should receive reasonable value in return for
the advisory fees and other amounts paid to CCM by the Fund, and that the
renewal of the Current Agreements and the approval of the New Agreements were in
the best interests of each Fund and its shareholders.
61
ITEM 2. CODE OF ETHICS.
(a) As of the end of the period covered by this Report, the Registrant has
adopted a code of ethics that applies to its principal executive officers
and principal financial and accounting officers, which is filed as an
exhibit to the registrant's annual Form N-CSR. No substantive amendments
were approved to this code of ethics during the period covered by the
report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
N/A for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
N/A for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
N/A
ITEM 6. SCHEDULE OF INVESTMENTS
Included under Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
N/A
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
N/A
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVEESTMENT
COMPANY AND AFFILIATED PURCHASERS.
N/A
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the Registrant's board of trustees since the
Registrant last provided disclosure in response to the requirements of Item
7(d)(2)(ii)(G) of Schedule 14A or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the Registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective as of a date within 90 days of the filing date of
the report that includes the disclosure required by this paragraph, based on
their evaluation of these controls and procedures required by Rule 30a-3(b)
under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under
the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
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(b) There were no changes in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during
the Registrant's last fiscal half-year (the Registrant's second fiscal half-year
in the case of an annual report) that has materially affected, or is reasonably
likely to materially affect, the Registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS
(a)(1) The registrant's code of ethics pursuant to Item 2 of Form N-CSR is
incorporated by reference to the registrant's Form N-CSR filed by Registrant on
November 9, 2005.
(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) N/A
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906
of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
California Investment Trust II
By (Signature and Title)* /s/ Stephen C. Rogers
-------------------------------------------------------
Stephen C. Rogers, President Date: May 9, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Stephen C. Rogers
-------------------------------------------------------
Stephen C. Rogers, President Date: May 9, 2006
By (Signature and Title)* /s/ Christopher P. Browne
-------------------------------------------------------
Christopher P. Browne, Treasurer Date: May 9, 2006
* Print the name and title of each signing officer under his or her signature.
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