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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4418
--------
California Investment Trust II
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
44 Montgomery Street, Suite 2100, San Francisco, CA 94104
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (415) 398-2727
--------------
Date of fiscal year end: August 31, 2006
---------------
Date of reporting period: August 31, 2006
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1.
The Report to Shareholders is attached herewith.
CALIFORNIA
INVESTMENT TRUST
----------------
FUND GROUP
Annual Report
=============
AUGUST 31, 2006
CALIFORNIA TAX-FREE INCOME FUND
CALIFORNIA INSURED INTERMEDIATE FUND
CALIFORNIA TAX-FREE MONEY MARKET FUND
U.S. GOVERNMENT SECURITIES FUND
SHORT-TERM U.S. GOVERNMENT BOND FUND
THE UNITED STATES TREASURY TRUST
S&P 500 INDEX FUND
S&P MIDCAP INDEX FUND
S&P SMALLCAP INDEX FUND
EQUITY INCOME FUND
EUROPEAN GROWTH & INCOME FUND
NASDAQ-100 INDEX FUND
(800) 225-8778
WWW.CALTRUST.COM
EMAIL US AT INFO@CALTRUST.COM
================================================================================
This report is intended only for the information of shareholders or those who
have received the offering prospectus covering shares of beneficial interest of
California Investment Trust Fund Group which contains information about the
management fee and other costs. Investments in shares of the funds of California
Investment Trust Fund Group are neither insured nor guaranteed by the U.S.
Government, and there is no assurance that any Fund which is a Money Market Fund
will be able to maintain a stable net asset value of $1.00 per share.
- --------------------------------------------------------------------------------
HISTORICAL PERFORMANCES AND MANAGER'S DISCUSSION AUGUST 31, 2006
- --------------------------------------------------------------------------------
On the following pages are line graphs comparing each Funds' performance to a
comparable broad based securities market index for the 10 years ended August 31,
2006, or since the inception of the Fund if less than 10 years. Each graph
assumes a hypothetical $10,000 initial investment in the respective Funds.
The object of the graph is to permit a comparison of the performance of the
funds with a benchmark and to provide perspective on market conditions and
investment strategies and techniques that materially affected the performance of
each Fund. With each graph is a table presenting each of the respective Fund's
average annual total return for the one-year, five-year, ten-year, and/or
inception period through August 31, 2006.
BOND FUNDS
Over the course of the fiscal year, the Federal Reserve Bank (the "Fed")
continued to increase the Fed Funds Rate from 3.5% to 5.25% in seven consecutive
rate hikes of 0.25% each time. During this time, at the beginning of 2006, the
leadership of the Fed changed, with long-time chairman Alan Greenspan stepping
down and being replaced by Ben Bernanke. At its August 8, 2006 meeting, the
final one before the end of our fiscal year, the Fed chose to take no action. As
a result of these rate increases in Fed Funds, interest rates across the entire
yield curve rose, with short-term rates rising higher than long-term rates.
Whereas at August 31, 2005 the US Treasury yield curve was positively sloped,
with short-term rates lower than long-term rates, by the end of the fiscal year
the yield curve had become inverted, with two-year rates higher than ten-year
rates.
In the past, such an inversion has typically presaged a slowdown, if not
outright recession in the economy. There has been a great deal of discussion
amongst economists and market observers as to whether this most recent inversion
does in fact presage such a slowdown. Recent economic data indicates that the
economy is slowing, lead by a softer housing market, but it remains to be seen
if this is the beginning of a "soft landing" or a more serious recession. The
inversion of the yield curve can also be viewed as the market believing that
inflation will be kept under control and at low levels.
Generally, low inflation rates are good for bond investors because this results
in a preservation of the value of future cash flows from fixed income
investments. The relative stability in the long end of the yield curve can be
interpreted as an indication that bond investors believe inflation will be less
of a factor over the long term. Still, there continue to be risks to inflation
and the bond market, among which are US fiscal policy, international
conflicts/terrorism and global economic factors.
The California municipal market yield curve does not necessarily move in lock
step with US Treasury yields. Yields rose only slightly at the long end of the
curve, while short rates rose much more dramatically. The California municipal
market yield curve has always been positively sloped, but at August 31, 2006 was
at historically flat levels.
The California Tax-Free Income Fund's duration was modestly increased in the
summer of 2006 in anticipation of a weaker economy, which is beginning to
materialize in the expected time frame. The Fund's duration was subsequently
extended to be in line with its benchmark, the Lehman Brothers Municipal Bond
Index. As of August 31, 2006, the Fund had an average coupon of 5.43%, an
average maturity of 7.68 years, an average duration of 5.49 years, and an
average quality of Aa+.
Duration adjustments to the California Intermediate Insured Fund followed a
similar pattern to those in the Income Fund. The Fund's portfolio profile at
fiscal year-end was as follows: average coupon, 5.40%; average maturity, 4.39
years; and average duration, 3.32 years.
During the fiscal year the U.S. Government Securities Fund's duration was
lengthened significantly. At the close of the year, the Fund's profile showed an
average coupon of 5.31%, an average maturity of 8.11 years and average duration
of 5.32 years.
As of August 31, 2006, the Short-term U.S. Government Bond Fund's average coupon
was 3.80%, its average maturity was 2 years and its average duration was 1.86
years. Again, during the course of the fiscal year, the Fund's duration was
lengthened in anticipation of a weaker economy and an expected decline in
interest rates.
- --------------------------------------------------------------------------------
California Tax-Free Income Fund
versus the Lehman Bros. Municpal Bond Index
[LINE CHART]
California Tax-Free Income Lehman Bros. Municpal
Date Fund Bond Index
08/31/96 $10,000.00 $10,000.00
09/30/96 $10,151.18 $10,140.00
10/31/96 $10,302.54 $10,254.58
11/30/96 $10,545.10 $10,442.24
12/31/96 $10,433.46 $10,398.38
01/31/97 $10,426.39 $10,418.14
02/28/97 $10,530.72 $10,513.99
03/31/97 $10,336.24 $10,374.15
04/30/97 $10,437.84 $10,461.29
05/31/97 $10,613.28 $10,618.21
06/30/97 $10,722.42 $10,731.83
07/31/97 $11,130.55 $11,029.10
08/31/97 $10,947.73 $10,925.43
09/30/97 $11,095.50 $11,055.44
10/31/97 $11,138.27 $11,126.19
11/30/97 $11,189.96 $11,191.84
12/31/97 $11,403.12 $11,355.24
01/31/98 $11,568.01 $11,472.20
02/28/98 $11,545.13 $11,475.64
03/31/98 $11,493.24 $11,485.97
04/30/98 $11,394.19 $11,434.28
05/31/98 $11,622.23 $11,614.94
06/30/98 $11,651.00 $11,660.24
07/31/98 $11,649.71 $11,689.39
08/31/98 $11,906.01 $11,870.58
09/30/98 $12,131.67 $12,018.96
10/31/98 $12,091.05 $12,018.96
11/30/98 $12,131.07 $12,061.03
12/31/98 $12,123.47 $12,091.18
01/31/99 $12,313.38 $12,235.06
02/28/99 $12,189.38 $12,181.23
03/31/99 $12,209.44 $12,198.28
04/30/99 $12,195.63 $12,228.78
05/31/99 $12,058.06 $12,157.85
06/30/99 $11,824.29 $11,982.78
07/31/99 $11,877.92 $12,025.92
08/31/99 $11,780.91 $11,929.71
09/30/99 $11,803.99 $11,934.48
10/31/99 $11,662.51 $11,805.59
11/30/99 $11,797.39 $11,930.73
12/31/99 $11,690.21 $11,841.25
01/31/00 $11,702.25 $11,790.33
02/29/00 $11,824.80 $11,927.10
03/31/00 $12,075.65 $12,188.30
04/30/00 $11,961.46 $12,116.39
05/31/00 $11,960.57 $12,053.39
06/30/00 $12,272.17 $12,372.80
07/31/00 $12,434.16 $12,544.78
08/31/00 $12,731.71 $12,737.97
09/30/00 $12,637.33 $12,671.73
10/31/00 $12,715.29 $12,809.86
11/30/00 $12,784.52 $12,907.21
12/31/00 $13,142.22 $13,226.02
01/31/01 $13,257.22 $13,356.96
02/28/01 $13,238.62 $13,399.70
03/31/01 $13,286.33 $13,520.30
04/30/01 $12,953.57 $13,374.28
05/31/01 $13,077.44 $13,518.72
06/30/01 $13,227.10 $13,609.29
07/31/01 $13,410.80 $13,810.71
08/31/01 $13,748.29 $14,038.59
09/30/01 $13,694.00 $13,990.86
10/31/01 $13,890.24 $14,157.35
11/30/01 $13,669.85 $14,038.43
12/31/01 $13,480.66 $13,905.06
01/31/02 $13,734.06 $14,145.62
02/28/02 $13,937.86 $14,316.78
03/31/02 $13,519.28 $14,036.17
04/30/02 $13,840.20 $14,309.88
05/31/02 $13,974.53 $14,397.17
06/30/02 $14,064.77 $14,549.78
07/31/02 $14,278.78 $14,737.47
08/31/02 $14,511.03 $14,914.32
09/30/02 $14,951.86 $15,240.94
10/31/02 $14,464.50 $14,987.94
11/30/02 $14,369.38 $14,924.99
12/31/02 $14,756.08 $15,239.91
01/31/03 $14,555.21 $15,201.81
02/28/03 $14,789.47 $15,414.64
03/31/03 $14,787.45 $15,423.89
04/30/03 $14,903.42 $15,525.68
05/31/03 $15,336.75 $15,888.99
06/30/03 $15,176.96 $15,820.66
07/31/03 $14,461.50 $15,266.94
08/31/03 $14,599.67 $15,381.44
09/30/03 $15,087.35 $15,833.66
10/31/03 $14,985.75 $15,754.49
11/30/03 $15,138.61 $15,918.33
12/31/03 $15,264.74 $16,050.46
01/31/04 $15,361.11 $16,141.94
02/29/04 $15,606.17 $16,385.69
03/31/04 $15,445.04 $16,328.34
04/30/04 $14,981.71 $15,941.36
05/31/04 $14,957.51 $15,883.97
06/30/04 $15,004.31 $15,941.15
07/31/04 $15,182.14 $16,149.98
08/31/04 $15,448.67 $16,472.98
09/30/04 $15,495.46 $16,560.28
10/31/04 $15,603.98 $16,702.70
11/30/04 $15,458.42 $16,565.74
12/31/04 $15,622.22 $16,767.84
01/31/05 $15,696.41 $16,925.46
02/28/05 $15,587.61 $16,869.61
03/31/05 $15,456.55 $16,763.33
04/30/05 $15,697.03 $17,028.19
05/31/05 $15,797.58 $17,149.09
06/30/05 $15,892.38 $17,255.41
07/31/05 $15,736.64 $17,177.76
08/31/05 $15,906.13 $17,351.26
09/30/05 $15,791.03 $17,235.01
10/31/05 $15,672.70 $17,129.87
11/30/05 $15,735.53 $17,212.10
12/31/05 $15,867.88 $17,360.12
01/31/06 $15,897.60 $17,406.99
02/28/06 $15,993.28 $17,523.62
03/31/06 $15,835.37 $17,402.71
04/30/06 $15,807.05 $17,397.48
05/31/06 $15,879.64 $17,475.77
06/30/06 $15,787.32 $17,409.37
07/31/06 $15,964.16 $17,616.54
08/31/06 $16,199.48 $17,877.26
- --------------------------------------------------------------------------------
Average Annual Total Returns*
for periods ended 8/31/2006 1 year 5 year 10 year
- -------------------------------------------- -------- -------- --------
California Tax-Free Income Fund 1.84% 3.34% 4.94%
Lehman Bros. Municipal Bond Fund Index 3.03% 4.95% 5.98%
- --------------------------------------------------------------------------------
California Insured Intermediate Fund
versus the Lehman Bros. 5 Year Municipal Bond Index
[LINE CHART]
California Insured Lehman Municipal
Date Intermediate Fund 5 Yr Index
08/31/96 $10,000.00 $10,000.00
09/30/96 $10,082.66 $10,082.00
10/31/96 $10,198.98 $10,169.71
11/30/96 $10,387.65 $10,301.92
12/31/96 $10,340.61 $10,282.35
01/31/97 $10,388.55 $10,317.31
02/28/97 $10,441.92 $10,392.62
03/31/97 $10,299.40 $10,279.34
04/30/97 $10,340.44 $10,323.54
05/31/97 $10,465.36 $10,450.52
06/30/97 $10,560.11 $10,529.95
07/31/97 $10,819.11 $10,715.27
08/31/97 $10,734.26 $10,660.63
09/30/97 $10,833.31 $10,755.51
10/31/97 $10,871.59 $10,811.43
11/30/97 $10,905.18 $10,844.95
12/31/97 $11,001.87 $10,938.22
01/31/98 $11,121.11 $11,037.75
02/28/98 $11,124.84 $11,055.42
03/31/98 $11,102.53 $11,065.36
04/30/98 $11,026.04 $11,018.89
05/31/98 $11,186.16 $11,151.12
06/30/98 $11,215.93 $11,189.03
07/31/98 $11,264.52 $11,228.19
08/31/98 $11,446.79 $11,366.30
09/30/98 $11,612.43 $11,483.37
10/31/98 $11,617.29 $11,516.67
11/30/98 $11,651.52 $11,537.40
12/31/98 $11,659.07 $11,577.78
01/31/99 $11,803.62 $11,700.51
02/28/99 $11,742.13 $11,688.81
03/31/99 $11,773.60 $11,699.33
04/30/99 $11,768.09 $11,734.43
05/31/99 $11,716.82 $11,686.32
06/30/99 $11,551.67 $11,554.26
07/31/99 $11,655.50 $11,625.90
08/31/99 $11,619.73 $11,621.25
09/30/99 $11,681.62 $11,663.08
10/31/99 $11,606.67 $11,633.93
11/30/99 $11,673.75 $11,702.57
12/31/99 $11,580.63 $11,663.95
01/31/00 $11,641.87 $11,659.28
02/29/00 $11,693.95 $11,697.76
03/31/00 $11,826.25 $11,804.21
04/30/00 $11,753.73 $11,777.06
05/31/00 $11,786.91 $11,773.52
06/30/00 $12,021.25 $11,988.98
07/31/00 $12,163.53 $12,114.86
08/31/00 $12,345.72 $12,245.70
09/30/00 $12,268.82 $12,224.89
10/31/00 $12,347.66 $12,310.46
11/30/00 $12,388.95 $12,363.40
12/31/00 $12,591.74 $12,562.45
01/31/01 $12,825.11 $12,778.52
02/28/01 $12,817.33 $12,813.02
03/31/01 $12,859.02 $12,918.09
04/30/01 $12,643.58 $12,845.75
05/31/01 $12,819.60 $12,978.06
06/30/01 $12,918.88 $13,044.25
07/31/01 $13,070.08 $13,185.12
08/31/01 $13,290.88 $13,363.12
09/30/01 $13,253.73 $13,403.21
10/31/01 $13,416.37 $13,514.46
11/30/01 $13,283.10 $13,407.70
12/31/01 $13,150.55 $13,342.00
01/31/02 $13,391.30 $13,556.80
02/28/02 $13,552.24 $13,710.00
03/31/02 $13,157.12 $13,417.97
04/30/02 $13,473.88 $13,727.93
05/31/02 $13,626.14 $13,819.91
06/30/02 $13,704.33 $13,970.54
07/31/02 $13,896.82 $14,121.42
08/31/02 $14,110.89 $14,256.99
09/30/02 $14,447.92 $14,455.16
10/31/02 $14,010.93 $14,307.72
11/30/02 $14,004.06 $14,293.41
12/31/02 $14,326.49 $14,577.85
01/31/03 $14,179.43 $14,602.63
02/28/03 $14,326.90 $14,761.80
03/31/03 $14,332.09 $14,741.14
04/30/03 $14,420.99 $14,810.42
05/31/03 $14,743.35 $15,047.39
06/30/03 $14,645.77 $15,008.26
07/31/03 $14,131.73 $14,681.08
08/31/03 $14,256.89 $14,783.85
09/30/03 $14,677.08 $15,159.36
10/31/03 $14,608.37 $15,059.31
11/30/03 $14,695.17 $15,121.05
12/31/03 $14,776.20 $15,180.02
01/31/04 $14,865.27 $15,251.37
02/29/04 $15,059.13 $15,437.44
03/31/04 $14,935.51 $15,372.60
04/30/04 $14,566.35 $15,065.15
05/31/04 $14,532.04 $14,988.31
06/30/04 $14,601.64 $15,043.77
07/31/04 $14,760.87 $15,182.17
08/31/04 $14,977.61 $15,447.86
09/30/04 $15,002.11 $15,467.94
10/31/04 $15,066.35 $15,553.02
11/30/04 $14,960.74 $15,450.37
12/31/04 $15,097.66 $15,590.97
01/31/05 $15,148.20 $15,587.85
02/28/05 $15,049.81 $15,509.91
03/31/05 $14,953.52 $15,410.65
04/30/05 $15,113.08 $15,589.41
05/31/05 $15,150.88 $15,634.62
06/30/05 $15,221.28 $15,706.54
07/31/05 $15,116.56 $15,621.72
08/31/05 $15,214.07 $15,720.14
09/30/05 $15,182.92 $15,691.84
10/31/05 $15,106.75 $15,625.94
11/30/05 $15,138.71 $15,663.44
12/31/05 $15,205.71 $15,738.62
01/31/06 $15,246.11 $15,774.82
02/28/06 $15,272.71 $15,803.22
03/31/06 $15,194.60 $15,741.58
04/30/06 $15,217.80 $15,776.22
05/31/06 $15,259.82 $15,831.43
06/30/06 $15,197.68 $15,757.02
07/31/06 $15,322.92 $15,903.57
08/31/06 $15,468.20 $16,075.32
- --------------------------------------------------------------------------------
Average Annual Total Returns*
for periods ended 8/31/2006 1 year 5 year 10 year
- -------------------------------------------- -------- -------- --------
California Insured Intermediate Fund 1.67% 3.08% 4.46%
Lehman Bros. Municipal Bond Fund Index 2.26% 3.76% 4.86%
* Past performance does not predict future performance. The returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
1
REGULAR SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year 5 year 10 year
-------- -------- --------
US Government
Securities Fund 1.00% 3.58% 5.77%
Lehman Bros. Composite
Treasury Index 0.79% 4.39% 6.24%
Lehman Bros
GNMA Index 3.08% 4.60% 6.57%
- --------------------------------------------------------------------------------
U.S. Government Securities Fund
versus the Lehman Bros. Treasury and GNMA Indicies
[LINE CHART]
U.S. Government Lehman Bros. Lehman Bros.
Date Securities Fund GNMA Index Treasury Index
08/31/96 $10,000.00 $10,000.00 $10,000.00
09/30/96 $10,259.54 $10,167.00 $10,164.00
10/31/96 $10,614.98 $10,372.37 $10,387.61
11/30/96 $10,955.46 $10,522.77 $10,567.31
12/31/96 $10,699.19 $10,467.00 $10,458.47
01/31/97 $10,680.75 $10,547.60 $10,468.93
02/28/97 $10,691.30 $10,585.57 $10,481.49
03/31/97 $10,544.26 $10,690.37 $10,368.29
04/30/97 $10,705.30 $10,865.69 $10,517.59
05/31/97 $10,779.20 $10,977.61 $10,608.05
06/30/97 $10,903.73 $11,107.14 $10,726.86
07/31/97 $11,182.43 $11,308.18 $11,034.72
08/31/97 $11,000.49 $11,284.43 $10,923.27
09/30/97 $11,218.39 $11,434.52 $11,089.30
10/31/97 $11,454.56 $11,553.43 $11,282.25
11/30/97 $11,517.87 $11,589.25 $11,340.92
12/31/97 $11,697.22 $11,693.55 $11,460.00
01/31/98 $11,912.66 $11,806.98 $11,635.34
02/28/98 $11,842.36 $11,832.96 $11,600.43
03/31/98 $11,866.40 $11,882.66 $11,631.75
04/30/98 $11,909.14 $11,951.57 $11,684.10
05/31/98 $12,093.67 $12,032.85 $11,805.61
06/30/98 $12,308.22 $12,083.38 $11,941.38
07/31/98 $12,284.01 $12,151.05 $11,960.48
08/31/98 $12,751.18 $12,247.04 $12,285.81
09/30/98 $13,190.84 $12,391.56 $12,628.58
10/31/98 $13,038.53 $12,380.41 $12,588.17
11/30/98 $13,097.90 $12,450.97 $12,585.65
12/31/98 $13,110.40 $12,502.02 $12,610.82
01/31/99 $13,173.92 $12,590.79 $12,683.97
02/28/99 $12,720.74 $12,550.50 $12,360.53
03/31/99 $12,745.25 $12,627.06 $12,407.50
04/30/99 $12,776.96 $12,687.67 $12,437.27
05/31/99 $12,599.13 $12,624.23 $12,321.61
06/30/99 $12,527.43 $12,573.73 $12,295.73
07/31/99 $12,473.54 $12,490.74 $12,285.89
08/31/99 $12,446.96 $12,487.00 $12,288.35
09/30/99 $12,589.25 $12,688.04 $12,382.97
10/31/99 $12,581.07 $12,762.90 $12,396.59
11/30/99 $12,551.73 $12,768.00 $12,373.04
12/31/99 $12,462.73 $12,742.47 $12,291.38
01/31/00 $12,393.06 $12,627.78 $12,323.34
02/29/00 $12,506.74 $12,789.42 $12,508.19
03/31/00 $12,795.83 $12,991.49 $12,755.85
04/30/00 $12,752.41 $12,979.80 $12,715.03
05/31/00 $12,794.14 $13,026.53 $12,734.10
06/30/00 $13,022.63 $13,267.52 $12,949.31
07/31/00 $13,133.38 $13,337.83 $13,082.69
08/31/00 $13,361.67 $13,539.24 $13,275.00
09/30/00 $13,376.43 $13,665.15 $13,285.62
10/31/00 $13,495.49 $13,766.27 $13,414.49
11/30/00 $13,794.25 $13,960.38 $13,689.49
12/31/00 $14,077.99 $14,157.22 $13,950.96
01/31/01 $14,185.73 $14,389.40 $14,063.96
02/28/01 $14,338.42 $14,452.71 $14,234.13
03/31/01 $14,359.83 $14,539.43 $14,279.68
04/30/01 $14,150.71 $14,562.69 $14,102.62
05/31/01 $14,135.45 $14,685.02 $14,146.33
06/30/01 $14,221.60 $14,729.07 $14,222.72
07/31/01 $14,543.34 $14,980.94 $14,578.29
08/31/01 $14,689.46 $15,090.30 $14,770.73
09/30/01 $14,845.36 $15,294.02 $15,005.58
10/31/01 $15,324.71 $15,497.43 $15,421.24
11/30/01 $14,906.93 $15,367.25 $15,038.79
12/31/01 $14,729.48 $15,321.15 $14,892.91
01/31/02 $14,847.70 $15,475.89 $14,992.69
02/28/02 $14,987.53 $15,633.75 $15,081.15
03/31/02 $14,767.05 $15,485.23 $14,717.70
04/30/02 $15,029.34 $15,757.77 $15,084.17
05/31/02 $15,116.77 $15,860.19 $15,168.64
06/30/02 $15,241.18 $15,987.07 $15,382.52
07/31/02 $15,441.90 $16,172.52 $15,747.08
08/31/02 $15,665.82 $16,285.73 $16,087.22
09/30/02 $15,960.42 $16,420.90 $16,521.57
10/31/02 $15,793.65 $16,471.81 $16,338.18
11/30/02 $15,674.26 $16,486.63 $16,176.44
12/31/02 $16,051.08 $16,649.85 $16,597.02
01/31/03 $16,008.04 $16,691.47 $16,547.23
02/28/03 $16,239.17 $16,774.93 $16,831.84
03/31/03 $16,154.03 $16,786.67 $16,761.15
04/30/03 $16,210.50 $16,825.28 $16,839.93
05/31/03 $16,607.04 $16,825.28 $17,324.92
06/30/03 $16,547.25 $16,875.76 $17,219.24
07/31/03 $16,004.56 $16,597.31 $16,463.31
08/31/03 $16,060.11 $16,706.85 $16,560.44
09/30/03 $16,377.52 $16,947.43 $17,060.57
10/31/03 $16,209.91 $16,903.37 $16,799.54
11/30/03 $16,218.60 $16,962.53 $16,821.38
12/31/03 $16,330.07 $17,120.28 $16,971.09
01/31/04 $16,423.74 $17,205.88 $17,115.35
02/29/04 $16,526.98 $17,319.44 $17,327.58
03/31/04 $16,623.06 $17,390.45 $17,490.46
04/30/04 $16,298.70 $17,117.42 $16,927.26
05/31/04 $16,250.49 $17,083.19 $16,869.71
06/30/04 $16,354.50 $17,236.93 $16,937.19
07/31/04 $16,497.81 $17,376.55 $17,098.09
08/31/04 $16,739.33 $17,618.09 $17,452.02
09/30/04 $16,773.08 $17,655.09 $17,497.40
10/31/04 $16,851.35 $17,794.56 $17,635.63
11/30/04 $16,803.86 $17,753.63 $17,399.31
12/31/04 $16,900.58 $17,869.03 $17,571.56
01/31/05 $16,961.34 $17,972.67 $17,699.84
02/28/05 $16,910.92 $17,916.96 $17,554.70
03/31/05 $16,848.72 $17,882.91 $17,496.77
04/30/05 $17,044.70 $18,065.32 $17,804.71
05/31/05 $17,192.34 $18,195.39 $18,021.93
06/30/05 $17,250.47 $18,248.16 $18,131.86
07/31/05 $17,136.67 $18,178.81 $17,885.27
08/31/05 $17,342.40 $18,329.70 $18,169.64
09/30/05 $17,132.81 $18,256.38 $17,927.99
10/31/05 $16,985.68 $18,177.88 $17,788.15
11/30/05 $17,046.78 $18,216.05 $17,873.53
12/31/05 $17,218.75 $18,445.57 $18,059.42
01/31/06 $17,178.81 $18,506.44 $18,005.24
02/28/06 $17,236.18 $18,543.46 $18,032.25
03/31/06 $17,194.04 $18,424.78 $17,837.50
04/30/06 $17,147.65 $18,362.13 $17,764.37
05/31/06 $17,144.43 $18,325.41 $17,769.70
06/30/06 $17,152.78 $18,347.40 $17,826.56
07/31/06 $17,347.06 $18,607.93 $18,047.61
08/31/06 $17,515.90 $18,894.49 $18,312.91
- --------------------------------------------------------------------------------
K SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year Inception**
---------- ----------
US Government
Securities Fund 0.55% 2.53%
Lehman Bros. Composite
Treasury Index 0.79% 2.50%
Lehman Bros
GNMA Index 3.08% 3.86%
- --------------------------------------------------------------------------------
U.S. Government Securities Fund
versus the Lehman Bros. Treasury and GNMA Indicies
[LINE CHART]
U.S. Government Lehman Bros. Lehman Bros.
Date Securities Fund GNMA Index Tresury Index
10/31/03 $10,000.00 $10,000.00 $10,000.00
11/30/03 $10,002.33 $10,035.00 $10,013.00
12/31/03 $10,068.77 $10,128.33 $10,102.12
01/31/04 $10,121.48 $10,178.97 $10,187.98
02/29/04 $10,189.40 $10,246.15 $10,314.31
03/31/04 $10,235.12 $10,288.16 $10,411.27
04/30/04 $10,038.05 $10,126.63 $10,076.03
05/31/04 $10,002.93 $10,106.38 $10,041.77
06/30/04 $10,057.51 $10,197.34 $10,081.93
07/31/04 $10,147.41 $10,279.94 $10,177.71
08/31/04 $10,290.21 $10,422.83 $10,388.39
09/30/04 $10,303.84 $10,444.72 $10,415.40
10/31/04 $10,357.11 $10,527.23 $10,497.68
11/30/04 $10,312.65 $10,503.02 $10,357.01
12/31/04 $10,367.10 $10,571.29 $10,459.55
01/31/05 $10,408.71 $10,632.60 $10,535.90
02/28/05 $10,364.04 $10,599.64 $10,449.51
03/31/05 $10,331.13 $10,579.50 $10,415.03
04/30/05 $10,444.55 $10,687.41 $10,598.33
05/31/05 $10,530.04 $10,764.36 $10,727.63
06/30/05 $10,560.69 $10,795.58 $10,793.07
07/31/05 $10,486.54 $10,754.55 $10,646.28
08/31/05 $10,606.32 $10,843.81 $10,815.56
09/30/05 $10,474.17 $10,800.44 $10,671.71
10/31/05 $10,380.79 $10,754.00 $10,588.47
11/30/05 $10,412.77 $10,776.58 $10,639.30
12/31/05 $10,512.74 $10,912.37 $10,749.95
01/31/06 $10,492.96 $10,948.38 $10,717.70
02/28/06 $10,522.98 $10,970.27 $10,733.77
03/31/06 $10,482.86 $10,900.06 $10,617.85
04/30/06 $10,450.52 $10,863.00 $10,574.31
05/31/06 $10,443.22 $10,841.28 $10,577.49
06/30/06 $10,444.56 $10,854.29 $10,611.33
07/31/06 $10,557.79 $11,008.42 $10,742.92
08/31/06 $10,665.14 $11,177.95 $10,900.84
- --------------------------------------------------------------------------------
REGULAR SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year 5 year Inception
---------- ---------- ----------
Short-Term U.S.
Government Bond Fund 2.43% 1.87% 3.17%
Lehman Bros. 1-3 Year
Treasury Index 2.92% 3.03% 4.37%
- --------------------------------------------------------------------------------
Short-Term U.S. Government Bond Fund
versus the Lehman 1-3 Year Treasury Index
[LINE CHART]
Short-Term U.S. Government Lehman 1-3 yr
Date Bond Fund Treasury Index
01/18/00 $10,000.00 $10,000.00
01/31/00 $10,005.50 $9,996.00
02/29/00 $10,055.58 $10,061.97
03/31/00 $10,118.70 $10,126.37
04/30/00 $10,157.21 $10,148.65
05/31/00 $10,203.74 $10,191.27
06/30/00 $10,293.62 $10,298.28
07/31/00 $10,352.01 $10,364.19
08/31/00 $10,414.70 $10,440.88
09/30/00 $10,478.54 $10,518.15
10/31/00 $10,532.34 $10,573.89
11/30/00 $10,607.69 $10,675.40
12/31/00 $10,711.54 $10,804.58
01/31/01 $10,812.31 $10,941.79
02/28/01 $10,871.37 $11,014.01
03/31/01 $10,937.22 $11,105.43
04/30/01 $10,971.36 $11,134.30
05/31/01 $11,030.53 $11,194.42
06/30/01 $11,060.09 $11,233.61
07/31/01 $11,154.18 $11,362.79
08/31/01 $11,204.55 $11,433.24
09/30/01 $11,368.56 $11,621.89
10/31/01 $11,477.31 $11,733.46
11/30/01 $11,407.80 $11,705.30
12/31/01 $11,392.97 $11,708.81
01/31/02 $11,417.28 $11,732.23
02/28/02 $11,476.69 $11,789.72
03/31/02 $11,399.61 $11,702.47
04/30/02 $11,495.23 $11,840.56
05/31/02 $11,519.68 $11,885.56
06/30/02 $11,570.96 $11,990.15
07/31/02 $11,630.47 $12,140.03
08/31/02 $11,641.78 $12,182.52
09/30/02 $11,686.42 $12,287.29
10/31/02 $11,711.77 $12,315.55
11/30/02 $11,698.56 $12,273.67
12/31/02 $11,733.79 $12,393.96
01/31/03 $11,744.86 $12,391.48
02/28/03 $11,751.80 $12,446.00
03/31/03 $11,767.08 $12,468.40
04/30/03 $11,768.35 $12,490.85
05/31/03 $11,781.23 $12,538.31
06/30/03 $11,792.15 $12,558.37
07/31/03 $11,779.82 $12,485.53
08/31/03 $11,777.49 $12,491.78
09/30/03 $11,846.21 $12,610.45
10/31/03 $11,821.50 $12,561.27
11/30/03 $11,815.42 $12,554.99
12/31/03 $11,851.29 $12,627.81
01/31/04 $11,864.04 $12,654.32
02/29/04 $11,907.50 $12,717.60
03/31/04 $11,924.38 $12,758.29
04/30/04 $11,843.04 $12,629.43
05/31/04 $11,842.33 $12,615.54
06/30/04 $11,831.63 $12,614.28
07/31/04 $11,854.95 $12,659.69
08/31/04 $11,902.56 $12,749.57
09/30/04 $11,891.23 $12,739.37
10/31/04 $11,916.15 $12,778.87
11/30/04 $11,856.93 $12,713.69
12/31/04 $11,876.11 $12,741.66
01/31/05 $11,871.97 $12,736.57
02/28/05 $11,856.27 $12,706.00
03/31/05 $11,854.85 $12,706.00
04/30/05 $11,896.83 $12,779.69
05/31/05 $11,954.04 $12,828.26
06/30/05 $11,968.05 $12,852.63
07/31/05 $11,919.24 $12,814.07
08/31/05 $12,000.22 $12,894.80
09/30/05 $11,969.62 $12,861.28
10/31/05 $11,963.70 $12,858.70
11/30/05 $11,996.52 $12,901.14
12/31/05 $12,027.61 $12,951.45
01/31/06 $12,037.47 $12,970.88
02/28/06 $12,045.16 $12,981.26
03/31/06 $12,057.89 $12,996.83
04/30/06 $12,101.60 $13,037.12
05/31/06 $12,105.04 $13,055.38
06/30/06 $12,129.12 $13,078.87
07/31/06 $12,213.87 $13,176.97
08/31/06 $12,292.27 $13,271.84
- --------------------------------------------------------------------------------
K SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year Inception**
---------- ----------
Short-Term U.S.
Government Bond Fund 1.98% 0.90%
Lehman Bros. 1-3 Year
Treasury Index 2.92% 1.80%
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
** K Share commencement of operations was 10/16/03.
- --------------------------------------------------------------------------------
Short-Term U.S. Government Bond Fund
versus the Lehman 1-3 Year Treasury Index
[LINE CHART]
Short-Term U.S. Government Lehman 1-3 yr
Date Bond Fund Treasury Index
10/31/03 $10,000.00 $10,000.00
11/30/03 $9,991.20 $9,995.00
12/31/03 $10,024.30 $10,052.97
01/31/04 $10,030.14 $10,074.08
02/29/04 $10,053.68 $10,124.45
03/31/04 $10,070.00 $10,156.85
04/30/04 $9,996.93 $10,054.27
05/31/04 $9,982.27 $10,043.21
06/30/04 $9,978.50 $10,042.20
07/31/04 $9,993.66 $10,078.35
08/31/04 $10,029.39 $10,149.91
09/30/04 $10,015.68 $10,141.79
10/31/04 $10,022.73 $10,173.23
11/30/04 $9,977.92 $10,121.35
12/31/04 $9,989.38 $10,143.61
01/31/05 $9,981.81 $10,139.56
02/28/05 $9,964.34 $10,115.22
03/31/05 $9,958.54 $10,115.22
04/30/05 $9,989.46 $10,173.89
05/31/05 $10,023.32 $10,212.55
06/30/05 $10,040.18 $10,231.95
07/31/05 $9,997.37 $10,201.26
08/31/05 $10,049.72 $10,265.53
09/30/05 $10,020.06 $10,238.84
10/31/05 $10,019.75 $10,236.79
11/30/05 $10,042.54 $10,270.57
12/31/05 $10,063.77 $10,310.63
01/31/06 $10,067.94 $10,326.09
02/28/06 $10,070.39 $10,334.35
03/31/06 $10,086.23 $10,346.75
04/30/06 $10,099.86 $10,378.83
05/31/06 $10,106.63 $10,393.36
06/30/06 $10,122.29 $10,412.07
07/31/06 $10,188.91 $10,490.16
08/31/06 $10,248.97 $10,565.69
- --------------------------------------------------------------------------------
2
- --------------------------------------------------------------------------------
HISTORICAL PERFORMANCES AND MANAGER'S DISCUSSION - (CONTINUED) AUGUST 31, 2006
- --------------------------------------------------------------------------------
STOCK FUNDS
By definition, the objective for managing the index Funds is to match the
performance of the Funds to their index benchmarks. Each of our index Funds
tracked their respective benchmarks tightly during the last fiscal year. We
measure the index Fund performance by using a correlation coefficient. This is a
statistical measure that compares daily performance of a Fund against its
benchmark index. A measure of 1.000 indicates that the performance is perfectly
correlated, and a measure of -1.000 implies they are negatively correlated.
According to Bloomberg, LLC, The Nasdaq-100 Index Fund, S&P MidCap Index Fund,
SmallCap Index Fund and S&P 500 Index Fund each had a correlation coefficient of
..998 or greater.
For the first time since 1999, the S&P 500 Index outperformed the SmallCap and
MidCap sectors during the fiscal year period. The S&P 500 "caught up" in the
last part of the period, due largely to less downside volatility during the
equity slide that began at the beginning of May. During this period the smaller
indices fell roughly 8% while the S&P 500 fell roughly 1%. The smaller sectors
have demonstrated higher volatility, and what remains unclear at this point is
whether we have seen a shift in market leadership or whether we are looking at a
short-term phenomenon related to the downside volatility.
Predicting market momentum and relative performance is a guessing game at best.
As such, we strongly encourage shareholders to consider a balanced approach for
the portion of their portfolios dedicated to stock funds. By this, we mean
owning equal balances of each of the three core index funds (S&P 500, MidCap and
SmallCap Funds) to achieve a more diversified equity portfolio. Over the past
several years, a balanced portfolio like this has outperformed a total market
index such as the Wilshire 5000 . The reason for this is that smaller companies
represent a very small piece of the massive Wilshire 5000. Therefore, their
performance does not factor significantly into the total return. If an investor
balances an investment in each of these Funds, the performance of the SmallCaps
will have a meaningful impact on their overall total return. Keep in mind that
during periods where LargeCap stocks out-perform their smaller counterparts,
this strategy will result in underperformance because SmallCap sectors will be
over-weighted relative to the Wilshire 5000 . So why balance these three
sectors? Two reasons: first, at times we need access to our capital. By
employing this method, we maintain a degree of flexibility where we can draw
from. As an investor, you can reduce holdings from any of the three holdings
based on relative valuations. This can prove handy for a number of reasons.
Second, history is on our side in that although more volatile, SmallCap stocks
have returned more to investors over the long haul.
The Nasdaq-100 Index Fund finished down 0.24%, almost flat for the fiscal period
versus a benchmark performance of 0.31%. While the performance of this Fund was
hurt during the market slide that began in May, this Fund remains an effective
tool for investors who want to take a more aggressive position.
Our European Growth & Income Fund is managed using American Depository Receipts
("ADRs") for many of the stocks that make up the Dow Stoxx 50, a European
LargeCap Index. The Fund uses the weightings of this benchmark as an
approximation for weighting its holdings. The Fund was up 17.97% for the period
and tracked its benchmark, which returned 21.11%. This Fund generally provides
investors a low-cost, efficient tool to diversify internationally. We did not
hedge the currency risk during the previous fiscal year and do not plan to do so
this year. The Manager does not invest in all members of the benchmark because
in some cases ADRs are not available or do not provide sufficient liquidity. It
is conceivable that the Manager may invest in the foreign stocks directly in the
future as the Fund grows, international custody becomes more economical or the
availability of ADRs is insufficient.
The Equity Income Fund is a value fund that focuses on income as well as
potential for capital appreciation. The S Class shares were up 6.50% for the
year. The performance lagged the gains of the U.S. stock market as measured by
the S&P 500 Index by 2.38%. The Fund also under performed the S&P/Citigroup
Value Index, by 6.37% for the year. The Fund invested a portion of its holdings
in either S&P 500 or Russell 2000 futures contracts through the year to maintain
equity exposure and minimize transaction costs due to shareholder activity. The
Fund maintained a focus on Financial Services, Consumer Non-Cyclical and
Consumer Cyclical over the year. The Fund's sector allocations were similar to
the S&P 500 at year-end, other than an over-weight in Consumer Non-Cyclical
stocks and an under-weighting of Industrial stocks.
The US economy performed well against a headwind of high commodity prices, soft
housing and a continued Fed tightening of interest rates over the past year.
Tight unemployment and high commodity prices, particularly oil, are considered
potential precursors to inflation. The Fed Funds Target Rate was increased from
3.50% to 5.25% through 7 tightening decisions and the prime-lending rate
increased from 6.5% to 8.25%. The Fed has paused in its rate increases recently,
and there is considerable debate as to what the Fed will do next. Equity prices,
as measured by the price earnings ratio of the S&P 500, are at their lowest
levels since 1996. These low levels reflect investors' concerns over slowing
profit growth, a slowing economy and headlines regarding very serious
international political risks.
Stock prices appear to be moderately inexpensive as a whole, especially in light
of the low interest rate environment we are in. On balance, I feel that the
economic opportunity in equities outweighs the economic risks moving forward.
While we cannot predict what the future holds, we can easily make the case that
investors who have continued to invest through troubled markets in the past have
been rewarded for their tenacity. We encourage you to maintain a diversified
portfolio using both stock and bond funds, in a balance which is appropriate for
your particular investment objectives.
3
REGULAR SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year 5 year 10 year
---------- ---------- ----------
CIT S&P 500
Index Fund 8.61% 4.54% 8.88%
S&P 500 Composite
Stock Price Index 8.87% 4.65% 8.90%
- --------------------------------------------------------------------------------
CIT S&P 500 Index Fund
versus the S&P 500 Composite Stock Price Index
[LINE CHART]
CIT S&P 500 S&P 500 Composite
Date Index Fund Stock Price Index
08/31/96 $10,000.00 $10,000.00
09/30/96 $10,556.85 $10,562.34
10/31/96 $10,848.96 $10,853.55
11/30/96 $11,665.41 $11,673.23
12/31/96 $11,432.66 $11,441.99
01/31/97 $12,141.12 $12,156.43
02/28/97 $12,231.41 $12,251.86
03/31/97 $11,720.84 $11,749.42
04/30/97 $12,411.94 $12,450.24
05/31/97 $13,165.87 $13,207.75
06/30/97 $13,742.14 $13,799.15
07/31/97 $14,829.45 $14,896.80
08/31/97 $14,015.72 $14,062.90
09/30/97 $14,775.64 $14,832.61
10/31/97 $14,289.23 $14,337.83
11/30/97 $14,947.79 $15,001.00
12/31/97 $15,204.67 $15,258.43
01/31/98 $15,370.17 $15,427.02
02/28/98 $16,471.13 $16,539.04
03/31/98 $17,310.16 $17,385.31
04/30/98 $17,490.69 $17,560.16
05/31/98 $17,187.39 $17,258.72
06/30/98 $17,873.94 $17,959.22
07/31/98 $17,678.16 $17,768.47
08/31/98 $15,154.79 $15,202.17
09/30/98 $16,111.49 $16,176.13
10/31/98 $17,459.58 $17,490.75
11/30/98 $18,505.14 $18,550.39
12/31/98 $19,575.34 $19,618.67
01/31/99 $20,420.91 $20,438.77
02/28/99 $19,792.35 $19,803.88
03/31/99 $20,568.03 $20,595.99
04/30/99 $21,326.19 $21,393.57
05/31/99 $20,800.73 $20,889.09
06/30/99 $21,948.63 $22,047.46
07/31/99 $21,278.28 $21,359.69
08/31/99 $21,180.36 $21,253.98
09/30/99 $20,599.41 $20,672.00
10/31/99 $21,900.58 $21,979.61
11/30/99 $22,340.48 $22,426.41
12/31/99 $23,689.70 $23,746.43
01/31/00 $22,497.66 $22,553.48
02/29/00 $22,060.58 $22,126.97
03/31/00 $24,196.15 $24,290.26
04/30/00 $23,446.75 $23,559.75
05/31/00 $22,984.35 $23,076.09
06/30/00 $23,547.28 $23,645.08
07/31/00 $23,227.56 $23,275.72
08/31/00 $24,650.31 $24,720.65
09/30/00 $23,374.47 $23,415.85
10/31/00 $23,286.30 $23,316.54
11/30/00 $21,460.51 $21,479.62
12/31/00 $21,580.27 $21,584.98
01/31/01 $22,323.57 $22,350.31
02/28/01 $20,355.05 $20,313.66
03/31/01 $19,093.72 $19,027.48
04/30/01 $20,544.81 $20,504.93
05/31/01 $20,692.37 $20,642.52
06/30/01 $20,190.23 $20,140.29
07/31/01 $19,992.77 $19,941.92
08/31/01 $18,750.42 $18,694.82
09/30/01 $17,253.02 $17,185.28
10/31/01 $17,558.75 $17,513.16
11/30/01 $18,880.82 $18,856.23
12/31/01 $19,031.38 $19,021.54
01/31/02 $18,757.84 $18,744.11
02/28/02 $18,417.99 $18,382.56
03/31/02 $19,085.41 $19,073.98
04/30/02 $17,938.30 $17,918.08
05/31/02 $17,805.30 $17,786.54
06/30/02 $16,541.64 $16,520.07
07/31/02 $15,316.02 $15,232.63
08/31/02 $15,407.74 $15,332.35
09/30/02 $13,715.38 $13,667.57
10/31/02 $14,930.25 $14,869.38
11/30/02 $15,835.11 $15,743.73
12/31/02 $14,894.64 $14,819.31
01/31/03 $14,490.71 $14,431.84
02/28/03 $14,271.93 $14,214.99
03/31/03 $14,404.13 $14,352.62
04/30/03 $15,586.87 $15,534.29
05/31/03 $16,423.24 $16,351.96
06/30/03 $16,635.04 $16,560.86
07/31/03 $16,923.30 $16,852.98
08/31/03 $17,262.45 $17,181.00
09/30/03 $17,068.04 $16,999.09
10/31/03 $18,038.01 $17,960.22
11/30/03 $18,199.66 $18,118.05
12/31/03 $19,138.66 $19,067.59
01/31/04 $19,480.28 $19,417.51
02/29/04 $19,745.02 $19,687.32
03/31/04 $19,449.53 $19,390.36
04/30/04 $19,141.08 $19,086.35
05/31/04 $19,398.12 $19,347.74
06/30/04 $19,773.31 $19,723.84
07/31/04 $19,111.34 $19,070.17
08/31/04 $19,188.71 $19,146.78
09/30/04 $19,384.30 $19,354.01
10/31/04 $19,686.37 $19,649.68
11/30/04 $20,480.38 $20,444.47
12/31/04 $21,175.15 $21,139.95
01/31/05 $20,662.49 $20,624.66
02/28/05 $21,096.94 $21,058.46
03/31/05 $20,723.31 $20,685.96
04/30/05 $20,321.94 $20,293.81
05/31/05 $20,958.90 $20,938.95
06/30/05 $20,991.19 $20,968.96
07/31/05 $21,761.83 $21,748.44
08/31/05 $21,551.66 $21,549.87
09/30/05 $21,721.90 $21,724.32
10/31/05 $21,361.62 $21,361.98
11/30/05 $22,161.26 $22,169.12
12/31/05 $22,168.29 $22,177.57
01/31/06 $22,750.74 $22,764.76
02/28/06 $22,803.68 $22,826.34
03/31/06 $23,085.81 $23,110.44
04/30/06 $23,387.01 $23,420.56
05/31/06 $22,704.89 $22,747.33
06/30/06 $22,730.58 $22,777.54
07/31/06 $22,864.03 $22,917.94
08/31/06 $23,406.72 $23,462.40
- --------------------------------------------------------------------------------
K SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year Inception**
---------- ----------
CIT S&P 500
Index Fund 8.04% 8.99%
S&P 500 Composite
Stock Price Index 8.87% 9.78%
- --------------------------------------------------------------------------------
CIT S&P 500 Index Fund
versus the S&P 500 Composite Stock Price Index
[LINE CHART]
CIT S&P 500 S&P 500 Composite
Date Index Fund Stock Price Index
10/31/03 $10,000.00 $10,000.00
11/30/03 $10,084.94 $10,087.88
12/31/03 $10,605.66 $10,616.57
01/31/04 $10,794.54 $10,811.40
02/29/04 $10,936.20 $10,961.63
03/31/04 $10,762.53 $10,796.28
04/30/04 $10,587.56 $10,627.02
05/31/04 $10,729.42 $10,772.55
06/30/04 $10,931.20 $10,981.96
07/31/04 $10,561.77 $10,618.01
08/31/04 $10,594.93 $10,660.66
09/30/04 $10,703.14 $10,776.04
10/31/04 $10,859.78 $10,940.67
11/30/04 $11,291.71 $11,383.19
12/31/04 $11,672.46 $11,770.43
01/31/05 $11,386.25 $11,483.52
02/28/05 $11,619.99 $11,725.06
03/31/05 $11,409.54 $11,517.65
04/30/05 $11,184.69 $11,299.35
05/31/05 $11,533.91 $11,658.55
06/30/05 $11,544.53 $11,675.26
07/31/05 $11,961.63 $12,109.26
08/31/05 $11,841.78 $11,998.71
09/30/05 $11,928.89 $12,095.84
10/31/05 $11,727.11 $11,894.09
11/30/05 $12,164.29 $12,343.50
12/31/05 $12,156.80 $12,348.20
01/31/06 $12,474.81 $12,675.14
02/28/06 $12,498.91 $12,709.43
03/31/06 $12,645.92 $12,867.61
04/30/06 $12,805.32 $13,040.28
05/31/06 $12,428.54 $12,665.44
06/30/06 $12,434.98 $12,682.26
07/31/06 $12,502.79 $12,760.43
08/31/06 $12,793.44 $13,063.58
- --------------------------------------------------------------------------------
REGULAR SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year 5 year 10 year
---------- ---------- ----------
CIT S&P MidCap
Index Fund 5.80% 9.57% 13.73%
S&P MidCap 400
Index 6.66% 9.96% 13.77%
- --------------------------------------------------------------------------------
CIT S&P MidCap Index Fund
versus the S&P MidCap 400 Index
[LINE CHART]
Date CIT S&P MidCap Index Fund S&P MidCap 400 Index
08/31/96 $10,000.00 $10,000.00
09/30/96 $10,438.61 $10,435.93
10/31/96 $10,459.45 $10,466.43
11/30/96 $11,052.56 $11,055.18
12/31/96 $11,040.25 $11,067.26
01/31/97 $11,464.03 $11,482.52
02/28/97 $11,369.04 $11,388.43
03/31/97 $10,883.23 $10,903.63
04/30/97 $11,147.24 $11,186.19
05/31/97 $12,115.30 $12,164.33
06/30/97 $12,464.16 $12,505.74
07/31/97 $13,692.92 $13,742.70
08/31/97 $13,663.49 $13,726.38
09/30/97 $14,444.59 $14,515.03
10/31/97 $13,839.35 $13,883.76
11/30/97 $14,036.58 $14,089.42
12/31/97 $14,560.91 $14,635.08
01/31/98 $14,305.18 $14,356.42
02/28/98 $15,463.98 $15,545.14
03/31/98 $16,179.48 $16,245.90
04/30/98 $16,467.97 $16,541.85
05/31/98 $15,722.71 $15,798.32
06/30/98 $15,830.73 $15,897.24
07/31/98 $15,211.96 $15,280.68
08/31/98 $12,383.32 $12,438.47
09/30/98 $13,526.92 $13,598.97
10/31/98 $14,719.99 $14,812.07
11/30/98 $15,449.90 $15,551.25
12/31/98 $17,252.97 $17,428.66
01/31/99 $16,620.52 $16,750.42
02/28/99 $15,736.94 $15,873.62
03/31/99 $16,181.34 $16,317.10
04/30/99 $17,459.06 $17,603.49
05/31/99 $17,543.00 $17,680.03
06/30/99 $18,485.33 $18,626.17
07/31/99 $18,092.83 $18,227.42
08/31/99 $17,476.02 $17,602.70
09/30/99 $16,941.37 $17,059.95
10/31/99 $17,822.17 $17,928.66
11/30/99 $18,714.26 $18,869.54
12/31/99 $19,791.04 $19,990.02
01/31/00 $19,250.10 $19,427.08
02/29/00 $20,543.63 $20,786.27
03/31/00 $22,506.75 $22,525.02
04/30/00 $21,787.57 $21,737.39
05/31/00 $21,481.03 $21,469.02
06/30/00 $21,846.40 $21,784.70
07/31/00 $22,224.90 $22,129.18
08/31/00 $24,543.19 $24,598.53
09/30/00 $24,392.26 $24,430.13
10/31/00 $23,633.34 $23,601.29
11/30/00 $21,896.36 $21,820.98
12/31/00 $23,648.49 $23,489.97
01/31/01 $24,113.84 $24,013.54
02/28/01 $22,774.19 $22,643.91
03/31/01 $21,191.98 $20,961.55
04/30/01 $23,469.62 $23,273.09
05/31/01 $24,035.49 $23,814.93
06/30/01 $23,981.45 $23,718.77
07/31/01 $23,641.29 $23,365.27
08/31/01 $22,932.62 $22,601.38
09/30/01 $20,209.90 $19,790.68
10/31/01 $21,005.79 $20,666.71
11/30/01 $22,567.22 $22,204.07
12/31/01 $23,726.12 $23,349.44
01/31/02 $23,626.06 $23,229.49
02/28/02 $23,654.65 $23,257.76
03/31/02 $25,325.34 $24,920.14
04/30/02 $25,210.81 $24,803.59
05/31/02 $24,809.96 $24,385.57
06/30/02 $23,028.45 $22,600.96
07/31/02 $20,792.96 $20,411.22
08/31/02 $20,921.93 $20,513.93
09/30/02 $19,221.80 $18,861.49
10/31/02 $20,054.42 $19,678.10
11/30/02 $21,202.84 $20,815.34
12/31/02 $20,353.30 $19,960.37
01/31/03 $19,791.93 $19,377.49
02/28/03 $19,288.13 $18,915.78
03/31/03 $19,400.54 $19,074.94
04/30/03 $20,785.27 $20,458.78
05/31/03 $22,472.90 $22,153.30
06/30/03 $22,741.19 $22,435.45
07/31/03 $23,550.28 $23,231.77
08/31/03 $24,576.09 $24,283.96
09/30/03 $24,194.38 $23,912.61
10/31/03 $26,003.16 $25,720.45
11/30/03 $26,929.26 $26,616.25
12/31/03 $27,386.09 $27,065.00
01/31/04 $27,966.00 $27,651.22
02/29/04 $28,661.89 $28,315.32
03/31/04 $28,775.11 $28,435.18
04/30/04 $27,816.91 $27,502.48
05/31/04 $28,383.12 $28,072.25
06/30/04 $29,028.75 $28,710.61
07/31/04 $27,690.75 $27,371.40
08/31/04 $27,632.58 $27,299.17
09/30/04 $28,464.61 $28,107.55
10/31/04 $28,814.22 $28,556.68
11/30/04 $30,474.90 $30,256.66
12/31/04 $31,746.48 $31,523.36
01/31/05 $30,914.51 $30,718.73
02/28/05 $31,980.02 $31,748.76
03/31/05 $31,601.98 $31,397.42
04/30/05 $30,357.23 $30,177.51
05/31/05 $32,173.10 $31,993.83
06/30/05 $32,936.65 $32,735.42
07/31/05 $34,637.74 $34,454.39
08/31/05 $34,227.13 $34,070.12
09/30/05 $34,442.70 $34,331.88
10/31/05 $33,693.63 $33,593.78
11/30/05 $35,318.23 $35,234.53
12/31/05 $35,564.47 $35,480.36
01/31/06 $37,595.38 $37,570.62
02/28/06 $37,264.77 $37,255.66
03/31/06 $38,181.67 $38,184.85
04/30/06 $38,654.99 $38,721.81
05/31/06 $36,887.91 $36,976.50
06/30/06 $36,875.13 $36,983.49
07/31/06 $35,815.22 $35,929.05
08/31/06 $36,210.71 $36,338.75
- --------------------------------------------------------------------------------
K SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year Inception**
---------- ----------
CIT S&P MidCap
Index Fund 5.23% 12.08%
S&P MidCap 400
Index 6.66% 13.16%
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
** K Share commencement of operations was 10/16/03.
- --------------------------------------------------------------------------------
CIT S&P MidCap Index Fund
versus the S&P MidCap 400 Index
[LINE CHART]
Date CIT S&P MidCap Index Fund S&P MidCap 400 Index
10/31/03 $10,000.00 $10,000.00
11/30/03 $10,356.35 $10,348.28
12/31/03 $10,532.52 $10,522.75
01/31/04 $10,749.74 $10,750.67
02/29/04 $11,011.52 $11,008.87
03/31/04 $11,053.13 $11,055.47
04/30/04 $10,679.87 $10,692.84
05/31/04 $10,891.56 $10,914.37
06/30/04 $11,129.62 $11,162.56
07/31/04 $10,616.89 $10,641.88
08/31/04 $10,589.03 $10,613.80
09/30/04 $10,905.41 $10,928.09
10/31/04 $11,033.65 $11,102.71
11/30/04 $11,663.67 $11,763.66
12/31/04 $12,140.86 $12,256.14
01/31/05 $11,822.83 $11,943.31
02/28/05 $12,224.55 $12,343.78
03/31/05 $12,076.70 $12,207.18
04/30/05 $11,595.86 $11,732.99
05/31/05 $12,283.56 $12,439.18
06/30/05 $12,570.83 $12,727.51
07/31/05 $13,213.91 $13,395.84
08/31/05 $13,051.74 $13,246.44
09/30/05 $13,129.08 $13,348.21
10/31/05 $12,832.60 $13,061.24
11/30/05 $13,451.35 $13,699.16
12/31/05 $13,534.61 $13,794.74
01/31/06 $14,307.15 $14,607.43
02/28/06 $14,169.42 $14,484.97
03/31/06 $14,519.88 $14,846.24
04/30/06 $14,687.74 $15,055.01
05/31/06 $14,010.31 $14,376.44
06/30/06 $13,998.50 $14,379.15
07/31/06 $13,590.30 $13,969.19
08/31/06 $13,734.37 $14,128.48
- --------------------------------------------------------------------------------
4
REGULAR SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year 5 year Inception
---------- ---------- ----------
CIT SmallCap Index Fund 6.94% 11.12% 10.38%
S&P SmallCap 600 Index 7.13% 11.56% 11.35%
- --------------------------------------------------------------------------------
CIT S&P SmallCap Index Fund
versus the S&P SmallCap 600 Index
[LINE CHART]
Date CIT S&P SmallCap Index Fund S&P SmallCap 600 Index
10/02/96 $10,000.00 $10,000.00
10/31/96 $9,850.00 $9,930.87
11/30/96 $10,240.00 $10,446.37
12/31/96 $10,372.50 $10,568.60
01/31/97 $10,635.09 $10,744.41
02/28/97 $10,382.60 $10,522.11
03/31/97 $9,839.13 $9,982.35
04/30/97 $10,001.76 $10,104.43
05/31/97 $11,109.68 $11,291.22
06/30/97 $11,578.46 $11,790.12
07/31/97 $12,200.19 $12,531.24
08/31/97 $12,485.57 $12,846.77
09/30/97 $13,284.45 $13,696.24
10/31/97 $12,711.75 $13,105.40
11/30/97 $12,642.28 $13,010.10
12/31/97 $12,867.56 $13,272.04
01/31/98 $12,592.20 $13,013.24
02/28/98 $13,672.44 $14,198.35
03/31/98 $14,190.54 $14,740.09
04/30/98 $14,286.06 $14,826.45
05/31/98 $13,490.03 $14,041.36
06/30/98 $13,503.30 $14,081.84
07/31/98 $12,439.21 $13,004.94
08/31/98 $10,066.29 $10,498.37
09/30/98 $10,698.78 $11,139.22
10/31/98 $11,178.79 $11,655.74
11/30/98 $11,778.62 $12,311.07
12/31/98 $12,493.43 $13,096.16
01/31/99 $12,374.45 $12,932.55
02/28/99 $11,260.31 $11,767.17
03/31/99 $11,424.62 $11,919.17
04/30/99 $12,150.85 $12,706.46
05/31/99 $12,389.32 $13,015.81
06/30/99 $13,107.97 $13,756.20
07/31/99 $12,977.75 $13,635.06
08/31/99 $12,435.21 $13,035.23
09/30/99 $12,472.42 $13,090.45
10/31/99 $12,483.30 $13,057.37
11/30/99 $13,011.35 $13,609.93
12/31/99 $14,172.02 $14,721.16
01/31/00 $13,784.37 $14,265.06
02/29/00 $15,745.42 $16,174.87
03/31/00 $15,079.69 $15,577.09
04/30/00 $14,771.24 $15,309.96
05/31/00 $14,280.01 $14,857.49
06/30/00 $15,239.17 $15,736.75
07/31/00 $14,827.30 $15,349.74
08/31/00 $16,120.11 $16,710.02
09/30/00 $15,632.16 $16,255.16
10/31/00 $15,586.25 $16,356.51
11/30/00 $14,034.28 $14,654.45
12/31/00 $15,722.03 $16,460.06
01/31/01 $16,231.93 $17,165.25
02/28/01 $15,260.69 $16,118.21
03/31/01 $14,583.85 $15,379.91
04/30/01 $15,654.23 $16,551.79
05/31/01 $15,909.66 $16,868.63
06/30/01 $16,458.25 $17,486.39
07/31/01 $16,092.79 $17,194.54
08/31/01 $15,702.95 $16,802.82
09/30/01 $13,658.04 $14,531.92
10/31/01 $14,378.16 $15,306.80
11/30/01 $15,366.82 $16,425.87
12/31/01 $16,391.35 $17,537.34
01/31/02 $16,489.06 $17,690.30
02/28/02 $16,232.57 $17,385.94
03/31/02 $17,434.56 $18,759.10
04/30/02 $17,898.83 $19,289.21
05/31/02 $17,153.55 $18,491.39
06/30/02 $16,247.13 $17,534.91
07/31/02 $14,034.39 $15,058.28
08/31/02 $14,181.09 $15,201.89
09/30/02 $13,296.73 $14,271.67
10/31/02 $13,749.33 $14,727.69
11/30/02 $14,495.50 $15,494.40
12/31/02 $13,990.55 $14,972.31
01/31/03 $13,499.22 $14,457.67
02/28/03 $13,093.88 $13,994.75
03/31/03 $13,179.49 $14,104.44
04/30/03 $14,224.51 $15,249.14
05/31/03 $15,343.29 $16,477.69
06/30/03 $15,695.89 $16,906.44
07/31/03 $16,520.05 $17,785.20
08/31/03 $17,307.30 $18,650.34
09/30/03 $16,824.74 $18,102.34
10/31/03 $18,252.44 $19,671.30
11/30/03 $18,935.71 $20,415.72
12/31/03 $19,255.20 $20,777.29
01/31/04 $19,826.64 $21,374.28
02/29/04 $20,186.90 $21,785.42
03/31/04 $20,431.63 $22,071.96
04/30/04 $19,748.09 $21,340.15
05/31/04 $20,021.50 $21,666.42
06/30/04 $21,049.30 $22,866.41
07/31/04 $19,917.21 $21,613.17
08/31/04 $19,718.17 $21,424.23
09/30/04 $20,756.45 $22,553.99
10/31/04 $21,154.89 $22,974.51
11/30/04 $22,955.96 $24,937.59
12/31/04 $23,488.57 $25,485.69
01/31/05 $22,903.31 $24,907.88
02/28/05 $23,540.59 $25,621.89
03/31/05 $22,918.91 $24,960.26
04/30/05 $21,629.72 $23,566.70
05/31/05 $23,088.20 $25,126.94
06/30/05 $23,861.84 $25,943.81
07/31/05 $25,283.12 $27,505.35
08/31/05 $24,878.91 $27,099.67
09/30/05 $25,093.79 $27,337.71
10/31/05 $24,349.98 $26,481.88
11/30/05 $25,433.07 $27,697.48
12/31/05 $25,201.02 $27,447.34
01/31/06 $27,295.40 $29,745.07
02/28/06 $27,090.07 $29,522.37
03/31/06 $28,394.61 $30,970.47
04/30/06 $28,394.61 $30,967.46
05/31/06 $27,064.68 $29,553.89
06/30/06 $27,085.52 $29,558.17
07/31/06 $26,152.01 $28,542.46
08/31/06 $26,605.04 $29,033.19
- --------------------------------------------------------------------------------
K SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year Inception**
---------- ----------
CIT S&P SmallCap Index Fund 6.38% 13.60%
S&P SmallCap 600 Index 7.13% 14.66%
- --------------------------------------------------------------------------------
CIT S&P SmallCap Index Fund
versus the S&P SmallCap 600 Index
[LINE CHART]
Date CIT S&P SmallCap Index Fund S&P SmallCap 600 Index
10/31/03 $10,000.00 $10,000.00
11/30/03 $10,367.60 $10,378.43
12/31/03 $10,544.48 $10,562.23
01/31/04 $10,843.81 $10,865.72
02/29/04 $11,047.89 $11,074.72
03/31/04 $11,170.34 $11,220.39
04/30/04 $10,789.38 $10,848.36
05/31/04 $10,939.04 $11,014.22
06/30/04 $11,496.88 $11,624.24
07/31/04 $10,871.01 $10,987.15
08/31/04 $10,762.16 $10,891.10
09/30/04 $11,320.00 $11,465.42
10/31/04 $11,537.70 $11,679.19
11/30/04 $12,508.12 $12,677.13
12/31/04 $12,791.90 $12,955.75
01/31/05 $12,536.49 $12,662.02
02/28/05 $12,877.05 $13,024.99
03/31/05 $12,529.68 $12,688.64
04/30/05 $11,827.28 $11,980.22
05/31/05 $12,558.07 $12,773.37
06/30/05 $12,970.92 $13,188.63
07/31/05 $13,730.15 $13,982.44
08/31/05 $13,510.19 $13,776.21
09/30/05 $13,623.72 $13,897.22
10/31/05 $13,212.17 $13,462.16
11/30/05 $13,794.01 $14,080.11
12/31/05 $13,660.24 $13,952.95
01/31/06 $14,789.93 $15,121.01
02/28/06 $14,678.44 $15,007.80
03/31/06 $15,375.49 $15,743.95
04/30/06 $15,368.06 $15,742.43
05/31/06 $14,646.87 $15,023.83
06/30/06 $14,646.87 $15,026.02
07/31/06 $14,133.86 $14,509.67
08/31/06 $14,371.78 $14,759.14
- --------------------------------------------------------------------------------
REGULAR SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year 5 year Inception
---------- ---------- ----------
CIT Equity
Income Fund 6.50% 8.26% 8.47%
S&P/Citigroup Value
Index 12.83% 6.39% 9.56%
S&P 500 Composite
Stock Price Index 8.87% 4.65% 8.85%
- --------------------------------------------------------------------------------
CIT Equity Income Fund
versus the S&P/Citigroup Value Index
and the S&P 500 Composite Stock Price Index
[LINE CHART]
CIT Equity S&P/Citigroup S&P 500 Composite
Date Income Fund Value Index Stock Price Index
09/04/96 $10,000.00 $10,000.00 $10,000.00
09/30/96 $10,206.90 $10,366.00 $10,562.34
10/31/96 $10,527.75 $10,716.60 $10,853.55
11/30/96 $11,208.65 $11,533.54 $11,673.23
12/31/96 $11,096.97 $11,344.34 $11,441.99
01/31/97 $11,574.49 $11,868.70 $12,156.43
02/28/97 $11,667.91 $11,954.63 $12,251.86
03/31/97 $11,245.42 $11,546.17 $11,749.42
04/30/97 $11,737.08 $11,978.54 $12,450.24
05/31/97 $12,354.27 $12,728.84 $13,207.75
06/30/97 $12,801.36 $13,215.15 $13,799.15
07/31/97 $13,824.21 $14,275.12 $14,896.80
08/31/97 $13,328.60 $13,630.99 $14,062.90
09/30/97 $14,064.00 $14,429.56 $14,832.61
10/31/97 $13,617.86 $13,899.93 $14,337.83
11/30/97 $14,079.12 $14,428.22 $15,001.00
12/31/97 $14,347.76 $14,747.90 $15,258.43
01/31/98 $14,204.29 $14,566.05 $15,427.02
02/28/98 $15,219.67 $15,657.62 $16,539.04
03/31/98 $16,086.82 $16,450.20 $17,385.31
04/30/98 $16,220.05 $16,644.84 $17,560.16
05/31/98 $16,075.72 $16,411.09 $17,258.72
06/30/98 $16,228.60 $16,535.54 $17,959.22
07/31/98 $15,792.70 $16,176.93 $17,768.47
08/31/98 $13,389.71 $13,579.24 $15,202.17
09/30/98 $13,865.61 $14,405.61 $16,176.13
10/31/98 $14,845.56 $15,531.53 $17,490.75
11/30/98 $15,431.27 $16,339.96 $18,550.39
12/31/98 $16,233.81 $16,911.80 $19,618.67
01/31/99 $16,449.05 $17,253.42 $20,438.77
02/28/99 $16,131.85 $16,883.59 $19,803.88
03/31/99 $16,445.99 $17,395.26 $20,595.99
04/30/99 $17,493.80 $18,896.63 $21,393.57
05/31/99 $16,901.56 $18,556.30 $20,889.09
06/30/99 $17,588.21 $19,268.48 $22,047.46
07/31/99 $17,061.83 $18,676.01 $21,359.69
08/31/99 $16,455.34 $18,202.03 $21,253.98
09/30/99 $15,681.66 $17,492.17 $20,672.00
10/31/99 $16,291.44 $18,480.41 $21,979.61
11/30/99 $16,253.45 $18,372.46 $22,426.41
12/31/99 $16,868.26 $19,062.26 $23,746.43
01/31/00 $16,248.80 $18,455.75 $22,553.48
02/29/00 $15,927.16 $17,302.86 $22,126.97
03/31/00 $17,176.79 $19,105.47 $24,290.26
04/30/00 $16,709.97 $18,977.54 $23,559.75
05/31/00 $16,554.36 $19,036.18 $23,076.09
06/30/00 $16,354.58 $18,285.13 $23,645.08
07/31/00 $16,474.84 $18,651.20 $23,275.72
08/31/00 $17,809.66 $19,900.84 $24,720.65
09/30/00 $17,386.60 $19,895.95 $23,415.85
10/31/00 $17,337.90 $20,266.71 $23,316.54
11/30/00 $16,303.59 $19,230.01 $21,479.62
12/31/00 $16,667.74 $20,218.87 $21,584.98
01/31/01 $16,029.03 $21,071.89 $22,350.31
02/28/01 $15,881.64 $19,676.61 $20,313.66
03/31/01 $15,316.88 $18,900.49 $19,027.48
04/30/01 $16,255.66 $20,181.16 $20,504.93
05/31/01 $16,428.59 $20,392.08 $20,642.52
06/30/01 $15,894.23 $19,731.64 $20,140.29
07/31/01 $15,534.40 $19,390.46 $19,941.92
08/31/01 $15,149.77 $18,271.03 $18,694.82
09/30/01 $14,332.47 $16,536.74 $17,185.28
10/31/01 $14,382.32 $16,537.29 $17,513.16
11/30/01 $15,242.27 $17,587.21 $18,856.23
12/31/01 $15,699.92 $17,855.87 $19,021.54
01/31/02 $15,562.20 $17,366.30 $18,744.11
02/28/02 $15,512.12 $17,209.78 $18,382.56
03/31/02 $16,146.87 $18,091.79 $19,073.98
04/30/02 $15,983.77 $17,186.06 $17,918.08
05/31/02 $15,732.85 $17,255.55 $17,786.54
06/30/02 $15,077.19 $16,167.65 $16,520.07
07/31/02 $14,171.05 $14,421.22 $15,232.63
08/31/02 $14,322.07 $14,519.61 $15,332.35
09/30/02 $13,201.10 $12,862.34 $13,667.57
10/31/02 $13,542.18 $13,929.78 $14,869.38
11/30/02 $13,858.00 $14,906.92 $15,743.73
12/31/02 $13,716.89 $14,132.49 $14,819.31
01/31/03 $13,222.02 $13,746.81 $14,431.84
02/28/03 $13,044.37 $13,371.84 $14,214.99
03/31/03 $13,245.75 $13,354.58 $14,352.62
04/30/03 $14,072.81 $14,674.04 $15,534.29
05/31/03 $14,925.32 $15,752.62 $16,351.96
06/30/03 $15,197.49 $15,868.23 $16,560.86
07/31/03 $15,414.41 $16,220.69 $16,852.98
08/31/03 $15,720.66 $16,570.74 $17,181.00
09/30/03 $15,679.57 $16,271.29 $16,999.09
10/31/03 $16,447.55 $17,383.04 $17,960.22
11/30/03 $16,805.94 $17,538.93 $18,118.05
12/31/03 $17,489.19 $18,621.35 $19,067.59
01/31/04 $17,720.49 $18,950.61 $19,417.51
02/29/04 $18,247.35 $19,378.42 $19,687.32
03/31/04 $18,259.30 $19,243.97 $19,390.36
04/30/04 $17,744.23 $18,769.49 $19,086.35
05/31/04 $17,988.89 $18,984.91 $19,347.74
06/30/04 $18,378.67 $19,397.05 $19,723.84
07/31/04 $18,068.92 $19,027.81 $19,070.17
08/31/04 $18,159.26 $19,232.15 $19,146.78
09/30/04 $18,582.07 $19,596.06 $19,354.01
10/31/04 $18,569.12 $19,892.02 $19,649.68
11/30/04 $19,592.11 $20,861.97 $20,444.47
12/31/04 $20,190.10 $21,540.78 $21,139.95
01/31/05 $19,838.63 $21,017.41 $20,624.66
02/28/05 $20,437.44 $21,397.72 $21,058.46
03/31/05 $19,956.70 $21,017.76 $20,685.96
04/30/05 $19,446.33 $20,588.78 $20,293.81
05/31/05 $20,153.00 $21,239.97 $20,938.95
06/30/05 $20,500.31 $21,560.69 $20,968.96
07/31/05 $21,300.90 $22,239.79 $21,748.44
08/31/05 $21,156.53 $22,072.81 $21,549.87
09/30/05 $21,271.10 $22,301.93 $21,724.32
10/31/05 $20,704.75 $21,912.42 $21,361.98
11/30/05 $21,322.07 $22,737.14 $22,169.12
12/31/05 $21,279.67 $22,799.08 $22,177.57
01/31/06 $22,024.19 $23,479.29 $22,764.76
02/28/06 $21,970.04 $23,734.13 $22,826.34
03/31/06 $22,262.03 $24,138.94 $23,110.44
04/30/06 $22,452.19 $24,811.43 $23,420.56
05/31/06 $21,800.22 $24,207.09 $22,747.33
06/30/06 $21,918.66 $24,287.70 $22,777.54
07/31/06 $22,068.69 $24,530.99 $22,917.94
08/31/06 $22,532.44 $24,904.75 $23,462.40
- --------------------------------------------------------------------------------
K SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year Inception**
---------- ----------
CIT Equity Income Fund 5.92% 10.87%
S&P/Citigroup Value
Index 12.83% 13.48%
S&P 500 Composite
Stock Price Index 8.87% 9.78%
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
** K Share commencement of operations was 10/16/03.
- --------------------------------------------------------------------------------
CIT Equity Income Fund
versus the S&P/Citigroup Value Index
and the S&P 500 Composite Stock Price Index
[LINE CHART]
CIT Equity S&P/Citigroup S&P 500 Composite
Date Income Fund Value Index Stock Price Index
10/31/03 $10,000.00 $10,000.00 $10,000.00
11/30/03 $10,217.90 $10,089.68 $10,087.88
12/31/03 $10,627.08 $10,712.36 $10,616.57
01/31/04 $10,751.65 $10,901.78 $10,811.40
02/29/04 $11,070.85 $11,147.89 $10,961.63
03/31/04 $11,077.40 $11,070.54 $10,796.28
04/30/04 $10,758.00 $10,797.59 $10,627.02
05/31/04 $10,898.22 $10,921.51 $10,772.55
06/30/04 $11,137.53 $11,158.61 $10,981.96
07/31/04 $10,934.89 $10,946.19 $10,618.01
08/31/04 $10,989.45 $11,063.74 $10,660.66
09/30/04 $11,244.69 $11,273.09 $10,776.04
10/31/04 $11,229.08 $11,443.35 $10,940.67
11/30/04 $11,838.16 $12,001.34 $11,383.19
12/31/04 $12,196.36 $12,391.84 $11,770.43
01/31/05 $11,984.72 $12,090.75 $11,483.52
02/28/05 $12,345.29 $12,309.54 $11,725.06
03/31/05 $12,049.15 $12,090.96 $11,517.65
04/30/05 $11,734.35 $11,844.18 $11,299.35
05/31/05 $12,159.34 $12,218.79 $11,658.55
06/30/05 $12,353.88 $12,403.29 $11,675.26
07/31/05 $12,834.80 $12,793.96 $12,109.26
08/31/05 $12,748.07 $12,697.90 $11,998.71
09/30/05 $12,807.52 $12,829.70 $12,095.84
10/31/05 $12,459.87 $12,605.63 $11,894.09
11/30/05 $12,830.20 $13,080.07 $12,343.50
12/31/05 $12,797.89 $13,115.70 $12,348.20
01/31/06 $13,235.85 $13,507.01 $12,675.14
02/28/06 $13,203.41 $13,653.61 $12,709.43
03/31/06 $13,365.20 $13,886.49 $12,867.61
04/30/06 $13,479.02 $14,273.35 $13,040.28
05/31/06 $13,080.67 $13,925.70 $12,665.44
06/30/06 $13,143.59 $13,972.07 $12,682.26
07/31/06 $13,225.13 $14,112.03 $12,760.43
08/31/06 $13,502.35 $14,327.04 $13,063.58
- --------------------------------------------------------------------------------
5
REGULAR SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year 5 year Inception
---------- ---------- ----------
CIT European
Growth & Income Fund 17.97% 8.70% 1.44%
Dow Jones Stoxx
50 Index (U.S. Dollars) 21.11% 9.15% 1.58%
- --------------------------------------------------------------------------------
European Growth & Income Fund
versus the Dow Jones Stoxx 50 Index (U.S. Dollars)
[LINE CHART]
CIT European Dow Jones
Growth & Stoxx 50 Index
Date Income Fund (U.S. dollars)
12/31/99 $10,000.00 $10,000.00
01/31/00 $9,720.00 $9,288.76
02/29/00 $10,060.00 $9,906.66
03/31/00 $10,298.80 $10,212.79
04/30/00 $9,918.48 $9,769.41
05/31/00 $9,858.42 $9,751.62
06/30/00 $9,892.45 $9,778.92
07/31/00 $9,641.12 $9,581.25
08/31/00 $9,641.12 $9,468.26
09/30/00 $8,996.80 $8,974.88
10/31/00 $9,067.41 $8,946.49
11/30/00 $8,593.36 $8,565.10
12/31/00 $9,047.23 $9,116.20
01/31/01 $9,037.15 $9,052.06
02/28/01 $8,119.31 $8,082.22
03/31/01 $7,664.53 $7,535.40
04/30/01 $8,281.33 $8,135.13
05/31/01 $7,927.43 $7,727.48
06/30/01 $7,517.41 $7,409.36
07/31/01 $7,476.77 $7,402.44
08/31/01 $7,243.12 $7,158.56
09/30/01 $6,711.12 $6,564.75
10/31/01 $6,915.10 $6,748.01
11/30/01 $7,108.89 $6,926.47
12/31/01 $7,272.07 $7,087.30
01/31/02 $6,904.90 $6,672.46
02/28/02 $6,853.90 $6,687.78
03/31/02 $7,143.87 $7,004.56
04/30/02 $7,072.33 $6,894.81
05/31/02 $7,000.79 $6,850.26
06/30/02 $6,696.64 $6,646.74
07/31/02 $6,016.67 $5,874.98
08/31/02 $5,975.46 $5,859.81
09/30/02 $5,266.96 $5,034.40
10/31/02 $5,763.64 $5,595.70
11/30/02 $6,043.03 $5,847.76
12/31/02 $5,777.72 $5,567.07
01/31/03 $5,653.46 $5,310.24
02/28/03 $5,446.38 $5,178.73
03/31/03 $5,405.48 $5,094.98
04/30/03 $6,040.80 $5,793.74
05/31/03 $6,415.75 $6,124.28
06/30/03 $6,411.48 $6,191.10
07/31/03 $6,463.78 $6,263.66
08/31/03 $6,463.78 $6,161.35
09/30/03 $6,562.20 $6,297.49
10/31/03 $6,919.18 $6,661.26
11/30/03 $7,202.67 $6,987.91
12/31/03 $7,812.38 $7,621.51
01/31/04 $7,864.95 $7,610.82
02/29/04 $8,033.18 $7,778.23
03/31/04 $7,707.44 $7,489.40
04/30/04 $7,644.09 $7,455.51
05/31/04 $7,718.00 $7,524.34
06/30/04 $7,810.06 $7,561.16
07/31/04 $7,511.73 $7,382.68
08/31/04 $7,565.00 $7,402.34
09/30/04 $7,817.74 $7,708.15
10/31/04 $8,138.57 $7,966.29
11/30/04 $8,619.83 $8,486.55
12/31/04 $8,927.19 $8,800.45
01/31/05 $8,691.70 $8,576.98
02/28/05 $9,087.75 $8,989.61
03/31/05 $8,824.65 $8,756.93
04/30/05 $8,717.03 $8,595.24
05/31/05 $8,706.27 $8,612.81
06/30/05 $8,794.51 $8,749.60
07/31/05 $9,131.51 $9,077.25
08/31/05 $9,316.31 $9,157.24
09/30/05 $9,499.16 $9,404.41
10/31/05 $9,292.18 $9,176.17
11/30/05 $9,324.86 $9,236.66
12/31/05 $9,551.34 $9,482.50
01/31/06 $10,097.13 $10,048.85
02/28/06 $9,900.65 $9,954.56
03/31/06 $10,234.02 $10,266.63
04/30/06 $10,781.88 $10,799.60
05/31/06 $10,496.99 $10,533.55
06/30/06 $10,502.80 $10,575.38
07/31/06 $10,724.61 $10,775.69
08/31/06 $10,990.78 $11,090.60
- --------------------------------------------------------------------------------
K SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year Inception**
---------- ----------
CIT European Growth &
Income Fund 17.31% 16.80%
Dow Jones Stoxx 50 Index
(U.S. Dollars) 21.11% 19.28%
- --------------------------------------------------------------------------------
European Growth & Income Fund
versus the Dow Jones Stoxx 50 Index (U.S. Dollars)
[LINE CHART]
CIT European Dow Jones
Growth & Stoxx 50 Index
Date Income Fund (U.S. dollars)
10/31/03 $10,000.00 $10,000.00
11/30/03 $10,409.71 $10,490.38
12/31/03 $11,290.44 $11,441.55
01/31/04 $11,366.31 $11,425.50
02/29/04 $11,593.94 $11,676.82
03/31/04 $11,111.97 $11,243.22
04/30/04 $11,020.65 $11,192.35
05/31/04 $11,111.97 $11,295.67
06/30/04 $11,243.04 $11,350.95
07/31/04 $10,814.74 $11,083.01
08/31/04 $10,875.92 $11,112.53
09/30/04 $11,249.62 $11,571.62
10/31/04 $11,709.41 $11,959.14
11/30/04 $12,383.77 $12,740.16
12/31/04 $12,812.91 $13,211.40
01/31/05 $12,491.06 $12,875.93
02/28/05 $13,058.13 $13,495.36
03/31/05 $12,681.56 $13,146.06
04/30/05 $12,527.67 $12,903.33
05/31/05 $12,496.89 $12,929.71
06/30/05 $12,624.16 $13,135.06
07/31/05 $13,105.53 $13,626.94
08/31/05 $13,353.97 $13,747.02
09/30/05 $13,597.92 $14,118.08
10/31/05 $13,302.64 $13,775.43
11/30/05 $13,333.73 $13,866.24
12/31/05 $13,655.41 $14,235.30
01/31/06 $14,433.05 $15,085.52
02/28/06 $14,153.11 $14,943.97
03/31/06 $14,623.27 $15,412.45
04/30/06 $15,402.76 $16,212.56
05/31/06 $14,981.84 $15,813.15
06/30/06 $14,972.64 $15,875.95
07/31/06 $15,287.85 $16,176.67
08/31/06 $15,666.11 $16,649.42
- --------------------------------------------------------------------------------
REGULAR SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year 5 year Inception
---------- ---------- ----------
CIT Nasdaq-100
Index Fund -0.24% 1.27% -12.69%
Nasdaq-100 Index 0.33% 1.73% -11.90%
- --------------------------------------------------------------------------------
CIT Nasdaq-100 Index Fund
versus the Nasdaq-100 Index
[LINE CHART]
Date CIT Nasdaq-100 Index Fund Nasdaq-100 Index
12/31/99 $10,000.00 $10,000.00
01/31/00 $9,380.00 $9,628.57
02/29/00 $11,050.00 $11,508.66
03/31/00 $11,508.20 $11,861.76
04/30/00 $9,865.60 $10,177.39
05/31/00 $8,743.83 $8,966.38
06/30/00 $9,889.24 $10,152.48
07/31/00 $9,498.08 $9,736.12
08/31/00 $10,701.64 $10,999.62
09/30/00 $9,358.67 $9,632.04
10/31/00 $8,601.50 $8,854.49
11/30/00 $6,537.34 $6,762.09
12/31/00 $6,149.17 $6,317.43
01/31/01 $6,790.55 $6,995.76
02/28/01 $4,998.74 $5,148.81
03/31/01 $4,108.54 $4,244.99
04/30/01 $4,842.57 $5,005.81
05/31/01 $4,699.84 $4,856.99
06/30/01 $4,783.54 $4,938.78
07/31/01 $4,385.77 $4,543.49
08/31/01 $3,824.80 $3,966.55
09/30/01 $3,035.26 $3,153.33
10/31/01 $3,546.24 $3,683.65
11/30/01 $4,149.21 $4,308.15
12/31/01 $4,098.11 $4,256.88
01/31/02 $4,036.79 $4,184.54
02/28/02 $3,546.24 $3,669.55
03/31/02 $3,781.30 $3,922.23
04/30/02 $3,321.41 $3,448.00
05/31/02 $3,147.67 $3,262.70
06/30/02 $2,718.44 $2,838.97
07/31/02 $2,503.83 $2,598.21
08/31/02 $2,462.95 $2,545.22
09/30/02 $2,176.80 $2,248.52
10/31/02 $2,575.37 $2,672.83
11/30/02 $2,912.62 $3,015.03
12/31/02 $2,565.15 $2,659.52
01/31/03 $2,554.93 $2,656.20
02/28/03 $2,616.25 $2,729.94
03/31/03 $2,646.91 $2,754.28
04/30/03 $2,871.74 $2,990.82
05/31/03 $3,117.01 $3,239.73
06/30/03 $3,127.23 $3,250.08
07/31/03 $3,311.19 $3,454.00
08/31/03 $3,484.92 $3,628.59
09/30/03 $3,382.73 $3,527.32
10/31/03 $3,668.88 $3,834.56
11/30/03 $3,699.54 $3,856.65
12/31/03 $3,801.73 $3,975.50
01/31/04 $3,863.05 $4,043.98
02/29/04 $3,801.73 $3,983.71
03/31/04 $3,719.98 $3,897.16
04/30/04 $3,617.78 $3,797.34
05/31/04 $3,791.51 $3,974.39
06/30/04 $3,914.15 $4,111.25
07/31/04 $3,617.78 $3,796.78
08/31/04 $3,536.02 $3,713.20
09/30/04 $3,638.22 $3,832.80
10/31/04 $3,832.39 $4,033.86
11/30/04 $4,047.01 $4,266.08
12/31/04 $4,185.49 $4,402.66
01/31/05 $3,929.02 $4,127.37
02/28/05 $3,908.50 $4,107.46
03/31/05 $3,836.69 $4,030.38
04/30/05 $3,672.56 $3,863.17
05/31/05 $3,990.57 $4,197.47
06/30/05 $3,857.21 $4,064.10
07/31/05 $4,144.45 $4,368.33
08/31/05 $4,082.90 $4,307.86
09/30/05 $4,134.19 $4,362.27
10/31/05 $4,072.64 $4,301.45
11/30/05 $4,308.59 $4,558.67
12/31/05 $4,236.78 $4,486.11
01/31/06 $4,411.17 $4,666.26
02/28/06 $4,308.59 $4,560.12
03/31/06 $4,391.78 $4,651.06
04/30/06 $4,381.50 $4,643.69
05/31/06 $4,072.94 $4,316.68
06/30/06 $4,062.66 $4,305.15
07/31/06 $3,887.81 $4,126.00
08/31/06 $4,072.94 $4,322.09
- --------------------------------------------------------------------------------
K SHARES
Average Annual Total Returns*
for periods ended 8/31/2006
1 year Inception**
---------- ----------
CIT Nasdaq-100
Index Fund -0.76% 3.01%
Nasdaq-100 Index 0.33% 3.99%
* Past performance does not predict future performance. The returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
** K Share commencement of operations was 10/16/03.
- --------------------------------------------------------------------------------
CIT Nasdaq-100 Index Fund
versus the Nasdaq-100 Index
[LINE CHART]
Date CIT Nasdaq-100 Index Fund Nasdaq-100 Index
10/31/03 $10,000.00 $10,000.00
11/30/03 $10,083.56 $10,057.61
12/31/03 $10,362.11 $10,367.53
01/31/04 $10,529.25 $10,546.13
02/29/04 $10,362.11 $10,388.95
03/31/04 $10,139.27 $10,163.24
04/30/04 $9,860.73 $9,902.93
05/31/04 $10,306.40 $10,364.64
06/30/04 $10,640.67 $10,721.56
07/31/04 $9,832.86 $9,901.45
08/31/04 $9,610.03 $9,683.49
09/30/04 $9,888.58 $9,995.40
10/31/04 $10,389.97 $10,519.75
11/30/04 $10,974.93 $11,125.34
12/31/04 $11,343.45 $11,481.53
01/31/05 $10,672.91 $10,763.61
02/28/05 $10,617.02 $10,711.69
03/31/05 $10,421.44 $10,510.66
04/30/05 $9,974.42 $10,074.60
05/31/05 $10,812.60 $10,946.41
06/30/05 $10,477.33 $10,598.61
07/31/05 $11,231.70 $11,391.99
08/31/05 $11,064.06 $11,234.31
09/30/05 $11,203.76 $11,376.19
10/31/05 $11,036.12 $11,217.58
11/30/05 $11,678.72 $11,888.37
12/31/05 $11,483.15 $11,699.15
01/31/06 $11,902.24 $12,168.97
02/28/06 $11,650.79 $11,892.18
03/31/06 $11,874.30 $12,129.32
04/30/06 $11,846.36 $12,110.09
05/31/06 $11,008.17 $11,257.31
06/30/06 $10,952.30 $11,227.24
07/31/06 $10,505.27 $10,760.05
08/31/06 $10,980.23 $11,271.42
- --------------------------------------------------------------------------------
6
- --------------------------------------------------------------------------------
ABOUT YOUR FUND'S EXPENSES
AUGUST 31, 2006
- --------------------------------------------------------------------------------
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Fund, you incur ongoing costs, including management fees, distribution fees and
other Fund expenses. Operating expenses, which are deducted from the Fund's
gross income, directly reduce the investment return of the Fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing costs (in dollars) of investing in the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 made at the beginning of
the period shown and held for the entire period.
The table below illustrates the Fund's costs in two ways:
Actual fund return - This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from the
Fund's actual return, and the third column shows the dollar amount that would
have been paid by an investor who started with $1,000 in the Fund. You may use
the information here, together with the amount you invested, to estimate the
expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Fund under the heading "Expenses Paid During Period."
Hypothetical 5% Return - This section is intended to help you compare the Fund's
costs with those of other mutual funds. It assumes that the Fund had a return of
5% before expenses during the period shown, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual
return, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and Exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess the
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note the expenses shown in the table are meant to highlight and help you compare
ongoing costs only. The Fund does not carry a "sales load," nor does it charge
redemption fees on shares held over seven days.
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about the Fund's expenses, including annual expense ratios
since inception, can be found in this report. For additional information on
operating expenses and other shareholder costs, please refer to the Fund's
prospectus.
Beginning Ending
Account Value Account Value Expenses Paid
March 1, 2006 August 31, 2006 During Period
----------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND
Direct Shares
Based on actual fund return $ 1,000 $ 1,013 $ 3.35(1)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 3.36(1)
CALIFORNIA INSURED INTERMEDIATE FUND
Direct Shares
Based on actual fund return $ 1,000 $ 1,013 $ 3.45(2)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 3.47(2)
CALIFORNIA TAX-FREE MONEY MARKET FUND
Direct Shares
Based on actual fund return $ 1,000 $ 1,014 $ 2.69(3)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 2.70(3)
US GOVERNMENT SECURITIES FUND
Direct Shares
Based on actual fund return $ 1,000 $ 1,016 $ 3.76(4)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 3.77(4)
K Shares
Based on actual fund return $ 1,000 $ 1,014 $ 6.29(4)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,019 $ 6.31(4)
SHORT-TERM US GOVERNMENT BOND FUND
Direct Shares
Based on actual fund return $ 1,000 $ 1,021 $ 3.01(5)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 3.01(5)
K Shares
Based on actual fund return $ 1,000 $ 1,018 $ 5.54(5)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,020 $ 5.55(5)
THE UNITED STATES TREASURY TRUST
Direct Shares
Based on actual fund return $ 1,000 $ 1,021 $ 2.70(6)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 2.70(6)
K Shares
Based on actual fund return $ 1,000 $ 1,019 $ 5.24(6)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,020 $ 5.24(6)
7
ABOUT YOUR FUND'S EXPENSES -(CONTINUED)
Beginning Ending
Account Value Account Value Expenses Paid
March 1, 2006 August 31, 2006 During Period
----------------------------------------------------------
S&P 500 INDEX
Direct Shares
Based on actual fund return $ 1,000 $ 1,026 $ 1.84(7)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,023 $ 1.84(7)
K Shares
Based on actual fund return $ 1,000 $ 1,024 $ 4.39(7)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 4.38(7)
S&P MIDCAP INDEX FUND
Direct Shares
Based on actual fund return $ 1,000 $ 972 $ 2.88(8)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,022 $ 2.96(8)
K Shares
Based on actual fund return $ 1,000 $ 969 $ 5.36(8)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,020 $ 5.50(8)
S&P SMALLCAP INDEX FUND
Direct Shares
Based on actual fund return $ 1,000 $ 982 $ 3.70(9)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 3.77(9)
K Shares
Based on actual fund return $ 1,000 $ 979 $ 6.19(9)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,019 $ 6.31(9)
EQUITY INCOME FUND
Direct Shares
Based on actual fund return $ 1,000 $ 1,026 $ 4.44(10)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 4.43(10)
K Shares
Based on actual fund return $ 1,000 $ 1,023 $ 6.99(10)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,018 $ 6.97(10)
EUROPEAN GROWTH & INCOME FUND
Direct Shares
Based on actual fund return $ 1,000 $ 1,110 $ 5.32(11)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,020 $ 5.09(11)
K Shares
Based on actual fund return $ 1,000 $ 1,107 $ 7.97(11)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,017 $ 7.63(11)
NASDAQ-100 INDEX FUND
Direct Shares
Based on actual fund return $ 1,000 $ 945 $ 3.63(12)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,021 $ 3.77(12)
K Shares
Based on actual fund return $ 1,000 $ 942 $ 6.07(12)
Based on hypothetical 5% return before expenses $ 1,000 $ 1,019 $ 6.31(12)
(1) Expenses are equal to the Fund's expense ratio (0.66%), for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided by
365.
(2) Expenses are equal to the Fund's expense ratio (0.68%), for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided by
365.
(3) Expenses are equal to the Fund's expense ratio (0.53%), for the fiscal
year, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided by
365.
(4) Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K
Shares 1.24%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365
(5) Expenses are equal to the Fund's expense ratio (Direct Shares 0.59%; K
Shares 1.09%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365.
(6) Expenses are equal to the Fund's expense ratio (Direct Shares 0.53%; K
Shares 1.03%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365.
(7) Expenses are equal to the Fund's expense ratio (Direct Shares 0.36%; K
Shares 0.86%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365.
(8) Expenses are equal to the Fund's expense ratio (Direct Shares 0.58%; K
Shares 1.08%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365.
(9) Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K
Shares 1.24%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365.
(10) Expenses are equal to the Fund's expense ratio (Direct Shares 0.87%; K
Shares 1.37%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365.
(11) Expenses are equal to the Fund's expense ratio (Direct Shares 1.00%; K
Shares 1.50%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365.
(12) Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K
Shares 1.24%), for the fiscal year, multiplied by the average account
value over the period, multiplied by the number of days in the most recent
fiscal half-year, then divided by 365.
8
- --------------------------------------------------------------------------------
TOP HOLDINGS AND SECTOR BREAKDOWNS
AUGUST 31, 2006
- --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND
Percentage
of Total
Security Description Value Investment
- ------------------------------------------------------------------------------------------------------------------------------------
1. CALIFORNIA STATE PUBLIC WORKS BOARD University of California Projects;
1993 Series A $ 5,449,650 4.3%
2. LOS ANGELES COMMUNITIES REDEVELOPMENT AGENCY Bunker Hill Project; Series A 4,189,640 3.3%
3. CALIFORNIA, STATE OF General Obligation Bonds; 2005 4,188,760 3.3%
4. SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds;
Series 1989 4,159,819 3.3%
5. LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds,
1991; Series B 3,764,259 3.0%
6. SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax
Allocation Refund Bonds 3,545,619 2.8%
7. SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds;
Series 1990 3,364,298 2.7%
8. CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Stanford University Revenue Bonds;
Series P 3,340,140 2.7%
9. CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Revenue Bonds (Occidental College);
Series 2005A 3,332,460 2.6%
10. CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY John Muir Health: Series A 3,078,030 2.4%
CALIFORNIA INSURED INTERMEDIATE FUND
Percentage
of Total
Security Description Value Investment
- ------------------------------------------------------------------------------------------------------------------------------------
1. MONTEREY, COUNTY OF Certificates of Participation $ 643,056 3.3%
2. EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 589,650 3.0%
3. IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital
Projects 555,949 2.9%
4. SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding;
Series A 554,245 2.9%
5. FRESNO, CITY OF Water System Revenue Refunding; Series A 553,540 2.9%
6. CASTAIC LAKE WATER AGENCY Water System Improvement Projects;
Series 2001A 553,455 2.9%
7. FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 20025 551,830 2.8%
8. OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 551,040 2.8%
9. BEVERLY HILLS PUBLIC FINANCIAL AUTHORITY Lease Revenue Refunding; Series A 548,485 2.8%
10. NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT 2005 General Obligation Refunding Bonds 545,925 2.8%
CALIFORNIA TAX-FREE MONEY MARKET FUND
Percentage
of Total
Security Description Value Investment
- ------------------------------------------------------------------------------------------------------------------------------------
1. CALIFORNIA, STATE OF Series C-3 $ 3,600,000 4.4%
2. LOS ANGLES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds; 1992;
Series A 3,000,000 3.7%
3. CALIFORNIA, STATE OF Kindergarten-Univ; Series B-3 2,700,000 3.3%
4. RAMONA UNIFIED SCHOOL DISTRICT School Facility Program; 2004 2,500,000 3.1%
5. EAST BAY MUNICIPAL UTILITY DISTRICT Certificates of Participation 2,250,000 2.8%
6. CALIFORNIA SCHOOL CASH RESERVE PROGRAM AUTHORITY 2006-2007; Series A 2,016,303 2.5%
7 LOS ANGELES, COUNTY OF Series A 2,015,925 2.5%
8. SANTA CLARA UNIFIED SCHOOL DISTRICT Tax and Revenue Anticipation Notes 2,015,768 2.5%
9. SACRAMENTO, COUNTY OF Tax and Revenue Anticipation Notes 2,015,154 2.5%
10. FRESNO, COUNTY OF Tax and Revenue Anticipation Notes 2,014,808 2.5%
[BAR CHART]
Long Term Securities 97.5%
Variable Rate Demand Notes 1.5%
Other Net Assets 1.0%
[BAR CHART]
Long Term Securities 94.2%
Variable Rate Demand Notes 4.6%
Other Net Assets 1.2%
[BAR CHART]
Variable Rate Demand Notes 78.3%
Tax and Revenue Anticipation 14.8%
Commercial Paper 6.4%
Other Net Assets 0.6%
9
- --------------------------------------------------------------------------------
TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED)
AUGUST 31, 2006
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES FUND
Percentage
of Total
Security Maturity Value Investment
- --------------------------------------------------------------------------------------------
1. Government National Mortgage Association 4/15/2036 $ 3,943,091 14.9%
2. United States Treasury Notes 5/15/2016 3,572,229 13.5%
3. United States Treasury Notes 7/31/2008 3,011,721 11.3%
4. Government National Mortgage Association 12/20/2034 2,090,783 7.9%
5. Government National Mortgage Association 7/20/2035 1,920,323 7.2%
6. Government National Mortgage Association 2/15/2019 1,546,670 5.8%
7. Government National Mortgage Association 7/15/2020 1,496,971 5.6%
8. Government National Mortgage Association 1/15/2019 1,236,882 4.7%
9. Government National Mortgage Association 9/15/2018 1,167,862 4.4%
10. Government National Mortgage Association 2/15/2018 1,023,738 3.9%
[BAR CHART]
Government National Mortgage Association 70.3%
United States Treasury Bills 4.4%
United States Treasury Notes 24.7%
Other Net Assets 0.6%
SHORT-TERM U.S. GOVERNMENT BOND FUND
Percentage
of Total
Security Maturity Value Investment
- --------------------------------------------------------------------------------------------
1. United States Treasury Notes 5/15/2008 $ 1,572,501 10.8%
2. United States Treasury Notes 8/15/2007 1,469,064 10.1%
3. United States Treasury Notes 7/15/2009 1,068,891 7.3%
4. United States Treasury Notes 2/15/2008 974,219 6.7%
5. United States Treasury Notes 8/15/2008 890,438 6.1%
6. United States Treasury Notes 9/30/2007 693,028 4.8%
7. Government National Mortgage Association II 11/20/2034 673,222 4.6%
8. United States Treasury Notes 5/15/2009 602,461 4.1%
9. United States Treasury Notes 11/15/2008 600,141 4.1%
10. United States Treasury Notes 5/15/2008 578,836 4.0%
[BAR CHART]
Government National Mortgage Association 8.2%
United States Treasury Bills 1.4%
United States Treasury Notes 89.7%
Other Net Assets 0.7%
THE UNITED STATES TREASURY TRUST
Percentage
of Total
Security Maturity Value Investment
- --------------------------------------------------------------------------------------------
1. United States Treasury Bills 10/12/2006 $17,204,912 33.6%
2. United States Treasury Bills 9/14/2006 12,077,893 23.6%
3. United States Treasury Bills 12/14/2006 11,727,080 22.9%
4. United States Treasury Bills 11/16/2006 10,191,468 19.9%
[BAR CHART]
United States Treasury Bills 100.2%
Other Liabilities -0.2%
10
- --------------------------------------------------------------------------------
TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED)
AUGUST 31, 2006
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND
Percentage
of Total
Security Value Investment
- --------------------------------------------------------------------------------
1. Exxon Mobil Corp $ 3,696,812 3.5%
2. General Electric Co 3,173,336 3.0%
3. Citigroup Inc 2,201,553 2.1%
4. Bank of America Corp 2,138,373 2.0%
5. Microsoft Corp 2,041,893 1.9%
6. Procter & Gamble Co 1,822,150 1.7%
7. Pfizer Inc 1,812,125 1.7%
8. Johnson & Johnson 1,720,926 1.6%
9. Altria Group Inc 1,561,176 1.5%
10. American Int'l Group Inc 1,480,369 1.4%
[BAR CHART]
Basic Materials 3.0%
Communications 10.7%
Consumer Cyclical 8.2%
Consumer Non-Cyclical 21.4%
Energy 9.8%
Financial 21.4%
Industrial 11.0%
Technology 10.5%
Utilities 3.6%
S&P MIDCAP INDEX FUND
Percentage
of Total
Security Value Investment
- --------------------------------------------------------------------------------
1. Peabody Energy Corp $ 1,727,544 1.0%
2. Cognizant Technology Solutions Corp 1,541,446 0.9%
3. Noble Energy Inc 1,389,592 0.8%
4. Smith International Inc 1,348,076 0.8%
5. Precision Castparts Corp 1,252,019 0.7%
6. CH Robinson Worldwide Inc 1,250,978 0.7%
7. Questar Corp 1,186,290 0.7%
8. Microchip Technology Inc 1,174,967 0.7%
9. Expeditors Int'l Washington Inc 1,167,713 0.7%
10. Varian Medical Systems Inc 1,137,369 0.7%
[BAR CHART]
Basic Materials 3.6%
Communications 4.7%
Consumer Cyclical 13.4%
Consumer Non-Cyclical 16.1%
Diversified 0.4%
Energy 11.5%
Financial 17.4%
Industrial 15.0%
Technology 10.5%
Utilities 6.9%
S&P SMALLCAP INDEX FUND
Percentage
of Total
Security Value Investment
- --------------------------------------------------------------------------------
1. Frontier Oil Corp $ 204,179 0.6%
2. Helix Energy Solutions Group Inc 197,146 0.6%
3. Public Storage Inc 195,916 0.6%
4. Cimarex Energy Co 184,721 0.6%
5. Energen Corp 184,597 0.6%
6. Resmed Inc 169,636 0.5%
7. Cerner Corp 164,434 0.5%
8. Idexx Laboratories Inc 163,962 0.5%
9. Essex Property Trust Inc 159,849 0.5%
10. Southern Union Co 157,769 0.5%
[BAR CHART]
Basic Materials 3.4%
Communications 3.4%
Consumer Cyclical 15.0%
Consumer Non-Cyclical 16.0%
Energy 7.8%
Financial 15.2%
Industrial 18.2%
Technology 9.1%
Utilities 4.8%
11
- --------------------------------------------------------------------------------
TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED)
AUGUST 31, 2006
- --------------------------------------------------------------------------------
EQUITY INCOME FUND
Percentage
of Total
Security Value Investment
- --------------------------------------------------------------------------------
1. Bank of America Corp $ 669,934 3.2%
2. McGraw-Hill Cos Inc/The 597,007 2.9%
3. Wells Fargo & Co 576,641 2.8%
4. Citigroup Inc 513,783 2.5%
5. Coca-Cola Co/The 470,505 2.3%
6. Baxter International Inc 462,040 2.2%
7. McDonald's Corp 444,011 2.1%
8. Exxon Mobil Corp 421,990 2.0%
9. Moody's Corp 372,709 1.8%
10. First Data Corp 369,929 1.8%
[BAR CHART]
Basic Materials 3.1%
Communications 4.5%
Consumer Cyclical 9.8%
Consumer Non-Cyclical 16.6%
Energy 9.6%
Financial 25.0%
Industrial 4.9%
Technology 7.7%
Utilities 4.7%
EUROPEAN GROWTH & INCOME FUND
Percentage
of Total
Security Value Investment
- --------------------------------------------------------------------------------
1. BP PLC ADR $ 495,132 4.8%
2. GlaxoSmithKline PLC ADR 459,237 4.5%
3. Total SA ADR 435,462 4.2%
4. HSBC Holdings PLC ADR 432,329 4.2%
5. Barclays PLC ADasaR 387,141 3.8%
6. Nestle SA ADR 374,081 3.6%
7. Royal Dutch Shell PLC ADR 366,761 3.6%
8. Novartis AG ADR 363,112 3.5%
9. Roche Holding AG ADR 350,690 3.4%
10. UBS AG 337,781 3.3%
[BAR CHART]
Basic Materials 3.3%
Communications 13.6%
Consumer Cyclical 1.3%
Consumer Non-Cyclical 21.0%
Energy 17.3%
Financial 32.6%
Industrial 3.0%
Technology 1.1%
Utilities 3.8%
NASDAQ-100 INDEX FUND
Percentage
of Total
Security Value Investment
- --------------------------------------------------------------------------------
1. Microsoft Corp $ 1,022,719 6.4%
2. Apple Computer Inc 898,877 5.6%
3. Qualcomm Inc 838,308 5.2%
4. Google Inc 554,168 3.5%
5. Cisco Systems Inc 540,514 3.4%
6. Intel Corp 449,537 2.8%
7. Amgen Inc 435,635 2.7%
8. Oracle Corp 376,883 2.4%
9. Comcast Corp 374,360 2.3%
10. Starbucks Corp 368,275 2.3%
[BAR CHART]
Basic Materials 0.4%
Communications 27.8%
Consumer Cyclical 10.3%
Consumer Non-Cyclical 16.3%
Energy 0.4%
Industrial 3.0%
Technology 38.1%
12
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CALIFORNIA TAX-FREE INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
LONG TERM SECURITIES (97.50%)
BAY AREA TOLL AUTHORITY
Series F $ 500,000 5.00% 4/1/2031 $ 526,835
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.00% 12/1/2011 1,964,980
Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.00% 12/1/2011 2,399,710
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.25% 1/1/2017 2,614,400
Revenue Bonds (Occidental College); Series 2005A 3,165,000 5.00% 10/1/2030 3,332,460
Stanford University Revenue Bonds; Series P 3,000,000 5.25% 12/1/2013 3,340,140
CALIFORNIA STATE PUBLIC WORKS BOARD
CA State Prison--Imperial County; 1991 Series A 2,500,000 6.50% 9/1/2017 2,880,600
University of California Projects; 1993 Series A 5,000,000 5.50% 6/1/2014 5,449,650
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTH.
John Muir Health: Series A 3,000,000 5.00% 8/15/2036 3,078,030
UniHealth America; Certificates of Participation; 1993 Series A 2,160,000 5.50% 10/1/2014 2,385,504
CALIFORNIA, STATE OF
Economic Recovery Bonds; Series 2004A & B 2,000,000 5.00% 7/1/2016 2,119,460
General Obligation Bonds 2,000,000 5.00% 6/1/2033 2,074,460
General Obligation Bonds; 2005 4,000,000 5.00% 5/1/2027 4,188,760
Variable Purpose 2,000,000 5.00% 3/1/2028 2,097,100
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects; Series 1994A 2,090,000 7.25% 8/1/2009 2,297,203
CONTRA COSTA WATER DISTRICT
Water Revenue Bonds; Series E 2,000,000 6.25% 10/1/2012 2,177,720
CUCAMONGA COUNTY WATER DISTRICT
Water Facilities and Refinancing, 2001 1,080,000 5.00% 9/1/2016 1,143,763
ELSINORE VALLEY MUNICIPAL WATER DISTRICT
Certificates of Participation 1,000,000 6.00% 7/1/2012 1,122,970
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT
Election 1999; Series C 2,000,000 0.00% 8/1/2027 769,340
KERN HIGH SCHOOL DISTRICT
General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.60% 8/1/2016 2,870,568
Series General Obligation Refunding Bonds; 2004 Series A 2,890,000 5.00% 8/1/2026 3,058,169
LA QUINTA REDEVELOPMENT AGENCY
Redevelopment Project Area No.2; Series 1994 1,015,000 7.30% 9/1/2009 1,120,103
LOS ANGELES COMMUNITIES REDEVELOPMENT AGENCY
Bunker Hill Project; Series A 4,000,000 5.00% 12/1/2027 4,189,640
LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY
Lease Revenue Bonds; 1993 Series A 2,500,000 6.00% 8/15/2010 2,721,050
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds, 1991; Series B 3,540,000 6.50% 7/1/2010 3,764,259
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1997 Series A 2,450,000 6.00% 7/1/2014 2,830,020
LOS ANGELES WASTEWATER SYSTEMS
Series A 2,000,000 5.00% 6/1/2028 2,072,080
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water System Revenue Bonds, 2005 Series A 2,000,000 5.00% 3/1/2016 2,181,600
M-S-R PUBLIC POWER AGENCY SAN JUAN PROJECT REVENUE
San Juan Project Refunding Revenue Bonds; Series F 1,500,000 6.13% 7/1/2013 1,660,995
NOVATO UNIFIED SCHOOL DISTRICT
General Obligation bonds; Election 2001; Series 2005 2,000,000 5.00% 8/1/2028 2,102,620
OAKLAND REDEVELOPMENT AGENCY
Central District Redevelopment Project; Series 1992 2,000,000 5.50% 2/1/2014 2,143,440
Central District Redevelopment Project; Series 2005 1,000,000 5.00% 9/1/2022 1,061,750
RIVERSIDE, COUNTY OF
Leasehold Revenue Bonds; 1997 Series C 1,635,000 5.00% 6/1/2008 1,675,074
ROSEVILLE WOODCREEK WEST
Special Tax Refunding; Series 2005 1,000,000 5.00% 9/1/2030 1,044,950
SACRAMENTO CITY FINANCING AUTHORITY
Capital Improvement: Series A 2,000,000 5.00% 12/1/2036 2,098,020
SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH.
Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.00% 9/1/2016 1,843,868
SAN DIEGO COUNTY AND SCHOOL DISTRICT
Series A 2,000,000 4.50% 7/27/2007 2,019,600
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT
Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.75% 7/1/2011 3,364,298
SAN MARINO UNIFIED SCHOOL DISTRICT
General Obligation Bonds; 1998 Series B 1,440,000 5.25% 7/1/2016 1,604,290
See accompanying notes to financial statements
13
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
SANTA ANA UNIFIED SCHOOL DISTRICT
General Obligation Bonds; Series 2000 $ 2,500,000 5.70% 8/1/2022 $ 2,700,425
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.00% 11/15/2012 2,260,300
Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.75% 11/15/2013 1,975,575
SANTA CLARA REDEVELOPMENT AGENCY
Bayshore North Project, 1992 Tax Allocation Refunding Bonds 3,300,000 7.00% 7/1/2010 3,545,619
SANTA MARGARITA-DANA POINT AUTHORITY
Improvement District; 1994 Series A 1,045,000 7.25% 8/1/2010 1,182,323
SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT
Election 2004; Capital Appreciation Bonds 2,500,000 0.00% 8/1/2029 862,150
SONOMA COUNTY JUNIOR COLLEGE DISTRICT
Election 2002; Series B 1,000,000 5.00% 8/1/2027 1,057,430
SONOMA, COUNTY OF
Certificates of Participation; 2002 Series A 1,815,000 5.00% 11/15/2012 1,952,268
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT
Installment Sale Revenue Bonds; Series 1992 2,400,000 6.00% 8/1/2011 2,657,112
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
Multiple Project Revenue Bonds; Series 1989 3,585,000 6.75% 7/1/2013 4,159,819
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
UC San Diego Medical Center; Series 2000 2,500,000 5.13% 12/1/2016 2,657,225
TURLOCK IRRIGATION DISTRICT
Revenue Refunding Bonds; Series A 2,000,000 6.25% 1/1/2012 2,164,580
VAL VERDE UNIFIED SCHOOL DISTRICT
School Construction Project; Series B 1,980,000 5.00% 1/1/2024 2,081,772
WEST VALLEY MISSION COMMUNITY COLLEGE DISTRICT
Election 2004; Series A 2,000,000 5.00% 8/1/2030 2,113,640
WILLIAM S. HART UNION HIGH SCHOOL DISTRICT
Election 2001; Capital Appreciation Bonds, Series B 3,595,000 0.00% 9/1/2029 1,233,049
------------
Total-Long Term Securities (Cost $117,484,422) 123,992,766
------------
VARIABLE RATE DEMAND NOTES* (1.49%)
CALIFORNIA, STATE OF
Series C-3 1,200,000 3.47% 9/1/2006 1,200,000
IRVINE RANCH WATER DISTRICT
General Obligation; Consolidated Series 1993 100,000 3.25% 9/1/2006 100,000
NEWPORT BEACH, CITY OF
Hoag Memorial Hospital Presbyterian; Series 1996 Series B 200,000 3.45% 9/1/2006 200,000
Hoag Memorial Hospital Presbyterian; Series 1996 Series C 400,000 3.45% 9/1/2006 400,000
------------
Total Variable Rate Demand Notes (Cost $1,900,000) 1,900,000
------------
Total Investments (Cost $119,384,422) (a) (98.99%) 125,892,766
Other Net Assets (1.01%) 1,284,829
------------
Net Assets (100.00%) $127,177,595
============
(a) Aggregate cost for federal income tax purposes is $119,140,213. At August
31, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 6,878,230
Unrealized depreciation (125,677)
------------
Net unrealized appreciation $ 6,752,553
============
* Stated maturity reflects next reset date.
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED INTERMEDIATE FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM SECURITIES (94.19%)
ANAHEIM PUBLIC FINANCIAL AUTHORITY
Convention Center Project; Series A $ 500,000 5.25% 8/1/2013 $ 542,600
BEVERLY HILLS PUBLIC FINANCIAL AUTHORITY
Lease Revenue Refunding; Series A 500,000 5.25% 6/1/2013 548,485
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
University of San Francisco Revenue Bonds; Series 1996 500,000 5.60% 10/1/2010 538,725
CALIFORNIA STATE PUBLIC WORKS BOARD
CA State Prison -- Lassen County; 2001 Series A 400,000 5.25% 6/1/2011 429,100
Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.25% 6/1/2012 542,530
See accompanying notes to financial statements
14
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED INTERMEDIATE FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA, STATE OF
General Obligation Bonds; 1996 $ 500,000 5.20% 6/1/2007 $ 506,285
CASTAIC LAKE WATER AGENCY
Water System Improvement Projects; Series 1994A 300,000 7.25% 8/1/2009 329,742
Water System Improvement Projects; Series 2001A 500,000 6.00% 8/1/2012 553,455
CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY
General Obligation Refi. Bonds; Series C 400,000 6.15% 2/1/2009 423,908
CHAFFEY UNION HIGH SCHOOL DISTRICT
General Obligation Bonds; Series C 500,000 5.00% 5/1/2012 537,240
CHICO UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds 400,000 8.50% 8/1/2007 417,560
EASTERN MUNICIPAL WATER DISTRICT
Certificates of Participation; Series A 550,000 5.25% 7/1/2012 589,650
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT
General Obligation Refunding Bonds 2002 500,000 5.50% 8/1/2012 551,830
FRESNO, CITY OF
Water System Revenue Refunding; Series A 500,000 6.00% 6/1/2011 553,540
IMPERIAL IRRIGATION DISTRICT
Certificates of Participation; 1997 Capital Projects 530,000 5.20% 11/1/2009 555,949
INDUSTRY CITY URBAN DEVELOPMENT AGENCY
2002 Tax Allocation; Refunding, Project 1 300,000 5.38% 5/1/2012 305,172
LOS ANGELES, CITY OF
Sanitation Equipment Charge Revenue Bonds; Series 2001-A 500,000 5.00% 2/1/2008 510,470
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTH.
Sales Tax Revenue Bonds; Series A 500,000 5.50% 7/1/2008 517,855
LOS ANGELES DEPARTMENT OF WATER AND POWER
Power Project Revenue Bond; 2001 Series A 500,000 5.25% 7/1/2014 535,360
LOS ANGELES UNIFIED SCHOOL DISTRICT
Election of 2004; Series F 500,000 5.00% 7/1/2010 526,845
General Obligation Bonds; 1997 Series A 400,000 6.00% 7/1/2007 408,052
LOS ANGELES, COUNTY OF
Pension Obligation Certificates; Series A 400,000 6.90% 6/30/2008 423,116
MONTEREY, COUNTY OF
Certificates of Participation 600,000 5.25% 8/1/2014 643,056
NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT
2005 General Obligation Refunding Bonds 500,000 5.00% 8/1/2014 545,925
General Obligation Bonds; 2002 Series A 500,000 5.00% 8/1/2012 538,590
OAKLAND JOINT POWERS FINANCING AUTHORITY
Convention Centers; Series 2001 500,000 5.50% 10/1/2012 551,040
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
Measure M Sales Tax Revenue 2nd Series, Series A 325,000 5.00% 2/15/2009 336,525
Measure M Sales Tax Revenue Bonds; Series 1998 A 500,000 5.50% 2/15/2007 504,555
RANCHO MIRAGE JOINT POWERS FINANCING AUTHORITY
Eisenhower Medical Center; Series 1997A 385,000 5.25% 7/1/2012 397,074
SAN BERNARDINO, COUNTY OF
Certificates of Participation; Series 2002 A 500,000 5.00% 7/1/2015 545,030
SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY
Sewer Revenue Refunding Bonds; Series A 500,000 5.10% 5/15/2010 509,955
SAN FRANCISCO AIRPORT COMMISSION
San Francisco International Airport Revenue Second; Series B 450,000 5.50% 5/1/2009 466,961
SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION
Water Revenue Refunding Bonds; Series B 500,000 5.00% 11/1/2013 538,290
SANTA CLARA COUNTY FINANCING AUTHORITY
Water Revenue Refunding Bonds; Series B 400,000 5.50% 5/15/2010 426,692
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
San Juan Power Project 2002 Refunding; Series A 500,000 5.50% 1/1/2013 554,245
THE REGENTS OF THE UNIVERSITY OF CALIFORNIA
Multiple Purpose Projects; Series O 500,000 5.75% 9/1/2010 541,400
WALNUT, CITY OF
Public Financing Authority Tax Allocation 500,000 5.38% 9/1/2013 543,193
------------
Total Long-Term Securities (Cost $18,389,400) 18,490,000
------------
See accompanying notes to financial statements
15
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA INSURED INTERMEDIATE FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE DEMAND NOTES* (4.58%)
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series 2002B6 $ 100,000 3.25% 9/1/2006 $ 100,000
Power Supply Revenue Bonds; Series B5 200,000 3.47% 9/1/2006 200,000
IRVINE RANCH WATER DISTRICT
Consolidated Series 1991; Districts 105, 250, 290 100,000 3.30% 9/1/2006 100,000
IRVINE, CITY OF
Assessment District 94-13 100,000 3.25% 9/1/2006 100,000
Assessment District 94-15 400,000 3.25% 9/1/2006 400,000
------------
Total Variable Rate Demand Notes (Cost $900,000) 900,000
------------
Total Investments (Cost $19,289,400) (a) (98.77%) 19,390,000
Other Net Assets (1.23%) 240,873
------------
Net Assets (100.00%) $ 19,630,873
============
(a) Aggregate cost for federal income tax purposes is $19,289,400. At August 31,
2006, unrealized appreciation (depreciation) of securities for federal income
tax purposes is as follows:
Unrealized appreciation $ 188,628
Unrealized depreciation (88,028)
------------
Net unrealized appreciation $ 100,600
============
* Stated maturity reflects next reset date.
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE DEMAND NOTES* (78.27%)
ABAG FINANCIAL AUTHORITY FOR NON-PROFIT CORPS
Revenue Bonds $ 1,500,000 3.30% 9/7/2006 $ 1,500,000
AZUSA UNIFIED SCHOOL DISTRICT
School Facility Bridge Funding Program 2,000,000 3.27% 9/7/2006 2,000,000
BAY AREA TOLL AUTHORITY
San Francisco Bay Toll; Series D-1 2,000,000 3.18% 9/6/2006 2,000,000
CALIFORNIA DEPARTMENT OF WATER RESOURCES
Power Supply Revenue Bonds; Series 2002-B6 500,000 3.25% 9/1/2006 500,000
Power Supply Revenue Bonds; Series B5 1,300,000 3.47% 9/1/2006 1,300,000
Power Supply Revenue Bonds; Series C-8 2,000,000 3.25% 9/7/2006 2,000,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
Sutter Hospital; Series B 150,000 3.30% 9/1/2006 150,000
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK
Rand Corporation; Series B 480,000 3.30% 9/1/2006 480,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
Cathedral High School Project 1,000,000 3.25% 9/6/2006 1,000,000
Certificates of Participation: Sutter Health Group 1,000,000 3.26% 9/1/2006 1,000,000
Gemological Institute of America; Special Tax; Series 2001 1,800,000 3.28% 9/7/2006 1,800,000
CALIFORNIA, STATE OF
General Obligation Bonds; Series 2003C-1 2,000,000 3.25% 9/7/2006 2,000,000
General Obligation: Series A-3 1,800,000 3.47% 9/1/2006 1,800,000
Kindergarten-Univ; Series B-3 2,700,000 3.25% 9/1/2006 2,700,000
Series C-2 240,000 3.47% 9/1/2006 240,000
Series C-3 3,600,000 3.47% 9/1/2006 3,600,000
Series C-6 100,000 3.30% 9/1/2006 100,000
CHINO BASIN REGIONAL FINANCING AUTHORITY
Inland Empire Utilities Agency; Series 2002A 2,000,000 3.25% 9/6/2006 2,000,000
IRVINE RANCH WATER DISTRICT
Certificates of Participation; 1986 Capital Improvements Projects 1,200,000 3.32% 9/1/2006 1,200,000
Consolidated Series 1991; Districts 105, 250, 290 400,000 3.30% 9/1/2006 400,000
General Obligation; Consolidated Series 200,000 3.30% 9/1/2006 200,000
General Obligation; Consolidated Series 1993 50,000 3.25% 9/1/2006 50,000
Series 105 140 240 & 250 600,000 3.47% 9/1/2006 600,000
Sewer Bonds; 1988 Series A; District 282 400,000 3.47% 9/1/2006 400,000
Waterworks Bonds; 1998 Series A, District 182 400,000 3.47% 9/1/2006 400,000
See accompanying notes to financial statements
16
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
IRVINE, CITY OF
Assessment District 93-14 $ 1,500,000 3.47% 9/1/2006 $ 1,500,000
Assessment District 94-13 200,000 3.25% 9/1/2006 200,000
Assessment District 94-15 800,000 3.25% 9/1/2006 800,000
Assessment District 00-18; Series A 1,210,000 3.25% 9/1/2006 1,210,000
LOS ANGELES COUNTY HOUSING AUTHORITY
Rowland Heights Preservation; Series A 1,400,000 3.42% 9/6/2006 1,400,000
LOS ANGELES DEPARTMENT OF WATER AND POWER
Water System Revenue Bonds; 2001 Series B-2 300,000 3.25% 9/1/2006 300,000
LOS ANGELES WASTEWATER SYSTEMS
Series A 1,000,000 3.27% 9/7/2006 1,000,000
Series B-1 2,000,000 3.30% 9/7/2006 2,000,000
LOS ANGELES, COUNTY OF
Pension Obligation, Refunding Bonds 800,000 3.25% 9/6/2006 800,000
LOS ANGLES COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds; 1992; Series A 3,000,000 3.27% 9/7/2006 3,000,000
Tax Refunding Bonds; Series A 700,000 3.25% 9/6/2006 700,000
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA
Water Revenue Bonds; Series 2000 B-3 1,200,000 3.47% 9/1/2006 1,200,000
Water Revenue Bonds; Series 2001 C-2 600,000 3.30% 9/1/2006 600,000
Water Revenue Refunding Bonds; 1996 Series A 1,785,000 3.24% 9/7/2006 1,785,000
NEWPORT BEACH, CITY OF
Hoag Memorial Hospital Presbyterian; Series 1996 Series B 1,950,000 3.45% 9/1/2006 1,950,000
Hoag Memorial Hospital Presbyterian; Series 1996 Series C 100,000 3.45% 9/1/2006 100,000
ORANGE COUNTY HOUSING AUTHORITY
Revenue Bonds, Village Niguel, Issue AA of 1985 1,900,000 3.35% 9/6/2006 1,900,000
ORANGE COUNTY SANITATION DISTRICT
Refunding Certificates of Participation; Series 1993 1,300,000 3.26% 9/1/2006 1,300,000
Series A 200,000 3.26% 9/1/2006 200,000
ORANGE COUNTY WATER DISTRICT
Certificates of Participation; Series A 2,000,000 3.25% 9/6/2006 2,000,000
RAMONA UNIFIED SCHOOL DISTRICT
School Facility Program; 2004 2,500,000 3.35% 9/7/2006 2,500,000
RIVERSIDE, COUNTY OF
Community Facilities District 89-5, Special Tax 2,000,000 3.30% 9/6/2006 2,000,000
SANTA ANA HOUSING AUTHORITY
Harbor Pointe Apartments; 1995 Series A 1,720,000 3.28% 9/7/2006 1,720,000
TRACY, CITY OF
Sycamore: 7/03 1,000,000 3.30% 9/7/2006 1,000,000
TUSTIN, CITY OF
Reassessment District No. 95-2; Series A 1,500,000 3.25% 9/1/2006 1,500,000
WILLIAM S. HART UNION HIGH SCHOOL DISTRICT
School Facility Bridge Funding Program 2,000,000 3.27% 9/7/2006 2,000,000
------------
Total Variable Rate Demand Notes (Cost $64,085,000) 64,085,000
------------
TAX AND REVENUE ANTICIPATION NOTES (14.77%)
CALIFORNIA SCHOOL CASH RESERVE PROGRAM AUTHORITY
2006-2007; Series A 2,000,000 4.50% 7/6/2007 2,016,303
FRESNO, COUNTY OF
Tax and Revenue Anticipation Notes 2,000,000 4.50% 6/29/2007 2,014,808
LOS ANGELES, COUNTY OF
Series A 2,000,000 4.50% 6/29/2007 2,015,925
SACRAMENTO, COUNTY OF
Tax and Revenue Anticipation Notes 2,000,000 4.50% 7/17/2007 2,015,154
SAN DIEGO COUNTY AND SCHOOL DISTRICT
Series A 2,000,000 4.50% 7/27/2007 2,014,598
SANTA CLARA UNIFIED SCHOOL DISTRICT
Tax and Revenue Anticipation Notes 2,000,000 4.50% 7/2/2007 2,015,768
------------
Total Tax and Revenue Anticipation Notes (Cost $12,092,556) 12,092,556
------------
See accompanying notes to financial statements
17
- ------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA TAX-FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER (6.41%)
CHINO BASIN
Certificates of Participation $ 1,000,000 3.52% 10/4/2006 $ 1,000,000
EAST BAY MUNICIPAL UTILITY DISTRICT
Certificates of Participation 2,250,000 3.52% 9/6/2006 2,250,000
UNIVERSITY OF CALIFORNIA BOARD OF REGENTS
Commercial Paper Notes; Series A 2,000,000 3.52% 10/11/2006 2,000,000
------------
Total Commercial Paper (Cost $5,250,000) 5,250,000
============
Total Investments (Cost $81,427,556) (a) (99.45%) 81,427,556
Other Net Assets (0.55%) 447,944
------------
Net Assets (100.00%) $ 81,875,500
============
(a) Aggregate cost for federal income tax purposes is $81,427,556.
* Stated maturity reflects next reset date.
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Association (70.26%)
$ 129,563 6.00% 04/15/2014 $ 131,625
202,154 6.00% 04/15/2014 205,370
166,742 6.00% 04/15/2016 169,343
140,124 6.50% 04/15/2016 142,913
123,799 6.00% 05/15/2016 125,731
1,038,633 5.00% 02/15/2018 1,023,738
622,923 5.00% 04/15/2018 613,989
1,184,854 5.00% 09/15/2018 1,167,862
9,954 10.00% 09/15/2018 11,056
30,219 9.00% 10/15/2018 32,483
1,255,628 5.00% 01/15/2019 1,236,882
1,570,112 5.00% 02/15/2019 1,546,670
1,520,606 5.00% 07/15/2020 1,496,971
930,209 5.50% 01/15/2025 932,440
976,995 6.00% 01/15/2026 988,765
2,112,252 4.50% 12/20/2034 2,090,783
1,967,964 4.75% 07/20/2035 1,920,323
1,029,098 4.50% 08/20/2035 989,158
3,979,571 5.50% 04/15/2036 3,943,091
------------
Total Government National Mortgage Association (Cost $19,157,106) 18,769,193
------------
United States Treasury Bills (4.45%)
400,000 5.14% - 5.18% 09/14/2006 399,266
300,000 5.17% 11/16/2006 296,944
500,000 5.11% - 5.21% 12/14/2006 493,084
------------
Total United States Treasury Bills (Cost $1,188,829) 1,189,294
------------
United States Treasury Notes (24.65%)
3,000,000 7.25% 5/15/2016 3,572,229
3,000,000 5.00% 7/31/2008 3,011,721
------------
Total United States Treasury Notes (Cost $6,611,382) 6,583,950
------------
Total Investments (Cost $26,957,317) (a) (99.36%) 26,542,437
Other Net Assets (0.64%) 172,545
------------
Net Assets (100%) $ 26,714,982
============
(a) Aggregate cost for federal income tax purposes is $26,957,317. At August 31,
2006, unrealized appreciation (depreciation) of securities for federal income
tax purposes is as follows:
Unrealized appreciation $ 70,885
Unrealized depreciation (485,765)
------------
Net unrealized appreciation (depreciation) $ (414,880)
============
See accompanying notes to financial statements
18
- ------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM U.S. GOVERNMENT BOND FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Association (8.22%)
$ 542,970 4.00% 06/20/2034 $ 532,915
680,074 4.50% 11/20/2034 673,222
------------
Total Government National Mortgage Association (Cost $1,231,383) 1,206,137
------------
United States Treasury Bills (1.36%)
100,000 5.14% 09/14/2006 99,817
100,000 5.09% 11/16/2006 98,982
------------
Total United States Treasury Bills (Cost $198,773) 198,799
------------
Total United States Treasury Notes (89.67%)
1,500,000 2.75% 08/15/2007 1,469,064
700,000 4.00% 09/30/2007 693,028
500,000 4.25% 10/31/2007 496,172
100,000 4.25% 11/30/2007 99,211
400,000 4.38% 01/31/2008 397,313
1,000,000 3.00% 02/15/2008 974,219
300,000 4.63% 02/29/2008 299,016
200,000 4.88% 04/30/2008 200,149
600,000 2.63% 05/15/2008 578,836
1,600,000 3.75% 05/15/2008 1,572,501
200,000 4.88% 05/31/2008 200,188
200,000 3.25% 08/15/2008 194,438
900,000 4.13% 08/15/2008 890,438
400,000 3.13% 09/15/2008 387,563
300,000 3.13% 10/15/2008 290,309
600,000 4.75% 11/15/2008 600,141
400,000 3.38% 12/15/2008 388,438
200,000 3.25% 01/15/2009 193,469
500,000 4.50% 02/15/2009 497,305
600,000 2.63% 03/15/2009 570,516
600,000 4.88% 05/15/2009 602,461
500,000 4.00% 06/15/2009 491,016
1,100,000 3.63% 07/15/2009 1,068,889
------------
Total United States Treasury Notes (Cost $13,217,103) 13,154,680
------------
Total Investments (Cost $14,647,259) (a) (99.25%) 14,559,616
Other Net Assets (0.75%) 110,074
------------
Net Assets (100.00%) $ 14,669,690
============
(a) Aggregate cost for federal income tax purposes is $14,647,259. At August 31,
2006, unrealized appreciation (depreciation) of securities for federal income
tax purposes is as follows:
Unrealized appreciation $ 20,432
Unrealized depreciation (108,075)
------------
Net unrealized appreciation (depreciation) $ (87,643)
============
- ------------------------------------------------------------------------------------------------------------------------------------
THE UNITED STATES TREASURY TRUST PORTFOLIO OF INVESTMENTS 8/31/2006
- ------------------------------------------------------------------------------------------------------------------------------------
The United States Treasury Bills (100.22%)
PAR VALUE RATE MATURITY VALUE (NOTE 1)
$ 12,100,000 4.86% - 5.19% 09/14/2006 $ 12,077,893
17,300,000 4.94% - 5.10% 10/12/2006 17,204,912
10,300,000 5.09% - 5.19% 11/16/2006 10,191,468
11,900,000 5.09% - 5.21% 12/14/2006 11,727,080
Total Investments (Cost $51,201,353)(a)(100.22%) $ 51,201,353
Other Net Liabilities (-0.22%) (110,065)
------------
Net Assets (100.0%) $ 51,091,288
============
(a) Aggregate cost for federal income tax purposes is $51,201,353
See accompanying notes to financial statements
19
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (99.57%)
Basic Materials (2.98%)
Air Products & Chemicals Inc 2,087 $ 138,347
Alcoa Inc 8,134 232,551
Allegheny Technologies Inc 854 48,977
Ashland Inc 631 39,841
Dow Chemical Co/The 8,885 338,785
Eastman Chemical Co 810 42,485
Ecolab Inc 1,753 78,149
EI Du Pont de Nemours & Co 8,223 328,673
Freeport-McMoRan Copper & Gold Inc 1,812 105,477
Hercules Inc* 1,129 17,612
International Flavors & Fragrances Inc 783 31,140
International Paper Co 4,595 159,768
Louisiana-Pacific Corp 1,130 22,103
MeadWestvaco Corp 1,712 43,742
Monsanto Co 4,920 233,405
Newmont Mining Corp 3,966 203,258
Nucor Corp 2,904 141,918
Phelps Dodge Corp 1,884 168,618
Plum Creek Timber Co Inc (REIT) 1,837 63,983
PPG Industries Inc 1,587 100,552
Praxair Inc 2,967 170,335
Rohm & Haas Co 1,396 61,564
Sherwin-Williams Co/The 1,034 53,396
Sigma-Aldrich Corp 627 45,539
Temple-Inland Inc 1,152 51,287
United States Steel Corp 991 57,646
Vulcan Materials Co 968 76,094
Weyerhaeuser Co 2,267 140,554
------------
Total Basic Materials 3,195,799
------------
Communications (10.66%)
ADC Telecommunications Inc* 1,162 15,861
Alltel Corp 3,496 189,518
Amazon.Com Inc* 2,900 89,407
Andrew Corp* 1,650 15,263
AT&T Inc 34,736 1,081,332
Avaya Inc* 4,387 45,844
BellSouth Corp 16,097 655,470
CBS Corp 6,861 195,882
CenturyTel Inc 1,054 41,970
Ciena Corp* 5,753 22,724
Cisco Systems Inc* 54,969 1,208,768
Citizens Communications Co 3,037 41,880
Comcast Corp* 19,075 667,625
Comverse Technology Inc* 1,834 38,331
Corning Inc* 13,853 308,091
Dow Jones & Co Inc 653 23,521
eBay Inc* 10,303 287,042
Embarq Corp* 1,381 65,114
EW Scripps Co 800 36,376
Gannett Co Inc 2,273 129,220
Google Inc* 1,800 681,354
Interpublic Group of Cos Inc* 4,290 39,382
JDS Uniphase Corp* 14,529 32,981
Juniper Networks Inc* 5,200 76,284
Lucent Technologies Inc* 41,152 95,884
McClatchy Co 328 13,307
McGraw-Hill Cos Inc/The 3,316 185,398
Meredith Corp 427 20,214
Motorola Inc 22,335 522,192
New York Times Co 1,459 32,857
News Corp 21,461 408,403
Omnicom Group Inc 1,681 146,953
Qualcomm Inc 14,810 557,893
Qwest Communications International Inc* 13,871 122,204
Sprint Nextel Corp 26,544 449,124
Symantec Corp* 9,368 174,620
Tellabs Inc* 4,380 44,632
Time Warner Inc 20,221 336,073
Tribune Co 2,508 78,275
Univision Communications Inc* 2,146 74,166
VeriSign Inc* 2,300 46,552
Verizon Communications Inc 26,143 919,711
Viacom Inc* 6,661 241,794
Walt Disney Co 19,706 584,283
Windstream Corp 3,613 47,692
Yahoo! Inc* 11,316 326,125
------------
Total Communications 11,417,592
------------
Consumer, Cyclical (8.22%)
Autonation Inc* 1,702 33,070
Autozone Inc* 560 50,568
Bed Bath & Beyond Inc* 2,727 91,982
Best Buy Co Inc 3,766 177,002
Big Lots Inc* 1,135 20,827
Brunswick Corp 956 27,437
Carnival Corp 4,038 169,192
Centex Corp 1,220 62,159
Cintas Corp 1,457 53,953
Circuit City Stores Inc 1,466 34,612
Coach Inc* 3,480 105,061
Cooper Tire & Rubber Co 779 7,658
Costco Wholesale Corp 4,233 198,062
CVS Corp 7,650 256,658
Darden Restaurants Inc 1,381 48,887
Dillard's Inc 852 26,565
Dollar General Corp 2,796 35,957
DR Horton Inc 2,596 56,930
Family Dollar Stores Inc 1,687 43,137
Federated Department Stores Inc 4,940 187,621
Ford Motor Co 17,383 145,496
Gap Inc/The 5,441 91,463
General Motors Corp 5,203 151,824
Genuine Parts Co 1,739 71,873
Goodyear Tire & Rubber Co/The* 1,764 23,990
Harley-Davidson Inc 2,464 144,169
Harman International Industries Inc 600 48,672
Harrah's Entertainment Inc 1,735 108,195
Hasbro Inc 1,549 31,445
Hilton Hotels Corp 3,084 78,549
Home Depot Inc 18,710 641,566
International Game Technology 3,167 122,500
JC Penney Co Inc 2,136 134,653
Johnson Controls Inc 1,812 130,337
Jones Apparel Group Inc 1,220 38,186
KB Home 776 33,182
Kohl's Corp* 3,078 192,406
Lennar Corp 1,300 58,292
Liz Claiborne Inc 1,076 40,210
Lowe's Cos Inc 13,962 377,812
Ltd Brands Inc 3,233 83,185
Marriott International Inc 2,918 109,892
Mattel Inc 3,813 71,837
McDonald's Corp 11,212 402,511
Navistar International Corp* 734 16,838
Newell Rubbermaid Inc 2,765 74,627
Nike Inc 1,840 148,598
Nordstrom Inc 1,958 73,131
Office Depot Inc* 2,643 97,368
OfficeMax Inc 700 29,071
Paccar Inc 2,345 128,201
Pulte Homes Inc 2,110 62,604
RadioShack Corp 1,294 23,370
Sabre Holdings Corp 1,363 29,877
Sears Holdings Corp* 877 126,384
Southwest Airlines Co 6,485 112,320
Staples Inc 6,539 147,520
Starbucks Corp* 6,848 212,356
Starwood Hotels & Resorts Worldwide Inc 2,046 108,970
Target Corp 7,841 379,426
Tiffany & Co 1,341 42,376
TJX Cos Inc 4,410 117,968
VF Corp 775 54,165
Walgreen Co 9,061 448,157
Wal-Mart Stores Inc 22,370 1,000,386
Wendy's International Inc 996 63,644
Whirlpool Corp 742 60,035
WW Grainger Inc 797 53,240
Wyndham Worldwide Corp* 1,809 52,931
Yum! Brands Inc 2,468 120,635
------------
Total Consumer, Cyclical 8,803,781
------------
Consumer, Non-Cyclical (21.37%)
Abbott Laboratories 13,718 668,067
Aetna Inc 5,050 188,214
Alberto-Culver Co 754 37,119
Allergan Inc 1,379 157,978
Altria Group Inc 18,690 1,561,176
AmerisourceBergen Corp 2,054 90,705
Amgen Inc* 10,425 708,170
Anheuser-Busch Cos Inc 7,177 354,400
Apollo Group Inc* 1,316 66,076
Archer-Daniels-Midland Co 5,877 241,956
Avery Dennison Corp 991 61,383
Avis Budget Group Inc 9,048 17,463
Avon Products Inc 4,058 116,505
Barr Pharmaceuticals Inc* 1,000 56,500
Bausch & Lomb Inc 546 26,432
Baxter International Inc 6,031 267,656
Becton Dickinson & Co 2,348 163,656
Biogen Idec Inc* 3,156 139,306
Biomet Inc 2,347 76,770
Boston Scientific Corp* 10,863 189,451
Bristol-Myers Squibb Co 17,557 381,865
Brown-Forman Corp 879 67,665
Campbell Soup Co 1,775 66,687
Cardinal Health Inc 3,792 255,657
Caremark Rx Inc 4,202 243,464
Clorox Co 1,428 85,409
Coca-Cola Co/The 18,428 825,759
Coca-Cola Enterprises Inc 2,839 63,310
Colgate-Palmolive Co 4,625 276,853
ConAgra Foods Inc 4,822 114,764
Constellation Brands Inc* 1,869 51,005
Convergys Corp* 1,500 31,305
Coventry Health Care Inc* 1,500 81,360
CR Bard Inc 984 73,977
Dean Foods Co* 1,300 51,506
Eli Lilly & Co 10,127 566,403
Equifax Inc 1,159 36,845
Estee Lauder Cos Inc/The 1,100 40,546
Express Scripts Inc* 1,382 116,199
Forest Laboratories Inc* 3,126 156,237
Fortune Brands Inc 1,341 97,357
General Mills Inc 3,199 173,482
Genzyme Corp* 2,372 157,098
Gilead Sciences Inc* 4,125 261,525
H&R Block Inc 3,212 67,548
HCA Inc 3,614 178,242
Health Management Associates Inc 2,507 52,421
Hershey Co/The 1,733 93,513
HJ Heinz Co 2,947 123,302
Hospira Inc* 1,550 56,777
Humana Inc* 1,588 96,757
Johnson & Johnson 26,615 1,720,926
Kellogg Co 2,422 122,795
Kimberly-Clark Corp 4,093 259,906
King Pharmaceuticals Inc* 2,430 39,415
Kroger Co/The 6,936 165,146
Laboratory Corp of America Holdings* 1,202 82,241
See accompanying notes to financial statements
20
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Manor Care Inc 938 $ 48,964
McCormick & Co Inc/MD 1,375 50,078
McKesson Corp 2,757 140,056
Medco Health Solutions Inc* 2,741 173,697
Medimmune Inc* 2,295 63,434
Medtronic Inc 10,758 504,550
Merck & Co Inc 19,553 792,874
Millipore Corp* 423 27,148
Molson Coors Brewing Co 550 38,665
Monster Worldwide Inc* 1,196 48,725
Moody's Corp 2,175 133,067
Mylan Laboratories Inc 2,107 42,814
Patterson Cos Inc* 1,300 40,066
Paychex Inc 3,099 111,285
Pepsi Bottling Group Inc 1,328 46,493
PepsiCo Inc 14,802 966,275
Pfizer Inc 65,752 1,812,125
Procter & Gamble Co 29,437 1,822,150
Quest Diagnostics Inc 1,480 95,134
Reynolds American Inc 1,470 95,653
Robert Half International Inc 1,510 46,719
RR Donnelley & Sons Co 1,958 63,478
Safeway Inc 4,202 129,968
Sara Lee Corp 7,296 121,332
Schering-Plough Corp 13,695 286,910
St Jude Medical Inc* 3,342 121,682
Stryker Corp 2,754 132,275
Supervalu Inc 1,839 52,522
Sysco Corp 5,849 183,600
Tenet Healthcare Corp* 4,695 36,997
Tyson Foods Inc 2,300 33,879
UnitedHealth Group Inc 12,099 628,543
UST Inc 1,650 87,219
Watson Pharmaceuticals Inc* 1,136 29,127
WellPoint Inc* 5,922 458,422
Whole Foods Market Inc 1,300 69,706
WM Wrigley Jr Co 1,958 90,890
Wyeth 12,029 585,812
Zimmer Holdings Inc* 2,250 152,996
------------
Total Consumer, Non-Cyclical 22,889,580
------------
Energy (9.81%)
Anadarko Petroleum Corp 4,118 193,175
Apache Corp 3,084 201,324
Baker Hughes Inc 3,175 225,997
BJ Services Co 2,948 101,146
Chesapeake Energy Corp 3,500 110,495
Chevron Corp 19,877 1,280,079
ConocoPhillips 14,781 937,559
Devon Energy Corp 3,975 248,398
El Paso Corp 5,972 86,713
EOG Resources Inc 2,186 141,697
Exxon Mobil Corp 54,630 3,696,812
Halliburton Co 9,462 308,650
Hess Corp 2,193 100,396
Kinder Morgan Inc 971 101,334
Marathon Oil Corp 3,391 283,149
Murphy Oil Corp 1,500 73,365
Nabors Industries* 3,004 98,772
National Oilwell Varco Inc* 1,644 107,353
Noble Corp 1,308 85,530
Occidental Petroleum Corp 7,610 388,034
Rowan Cos Inc 1,121 38,338
Schlumberger Ltd 10,600 649,780
Sunoco Inc 1,306 93,914
Transocean Inc* 3,035 202,586
Valero Energy Corp 5,552 318,685
Weatherford International Ltd* 3,300 141,900
Williams Cos Inc 5,523 136,031
XTO Energy Inc 3,449 157,859
------------
Total Energy 10,509,071
------------
Financial (21.44%)
ACE Ltd 2,936 158,133
Aflac Inc 4,494 202,545
Allstate Corp/The 5,785 335,183
AMBAC Financial Group Inc 1,027 88,928
American Express Co 11,091 582,721
American International Group Inc 23,196 1,480,369
Ameriprise Financial Inc 2,178 99,600
AmSouth Bancorp 3,273 93,771
AON Corp 2,984 103,157
Apartment Investment & Management Co 995 50,984
Archstone-Smith Trust 1,800 95,724
Bank of America Corp 41,546 2,138,373
Bank of New York Co Inc/The 7,238 244,283
BB&T Corp 4,920 210,576
Bear Stearns Cos Inc/The 1,041 135,694
Boston Properties Inc 800 81,304
Capital One Financial Corp 2,744 200,586
Charles Schwab Corp/The 9,795 159,756
Chubb Corp 3,556 178,369
Cigna Corp 1,182 133,649
Cincinnati Financial Corp 1,551 72,370
CIT Group Inc 1,917 86,380
Citigroup Inc 44,611 2,201,553
Comerica Inc 1,531 87,650
Commerce Bancorp Inc/NJ 1,700 56,627
Compass Bancshares Inc 1,184 68,672
Countrywide Financial Corp 5,526 186,779
E*Trade Financial Corp* 3,742 88,274
Equity Office Properties Trust 3,457 128,220
Equity Residential 2,684 133,851
Fannie Mae 8,649 455,370
Federated Investors Inc 848 28,391
Fifth Third Bancorp 4,972 195,598
First Horizon National Corp 1,238 47,267
Franklin Resources Inc 1,429 140,628
Freddie Mac 6,209 394,892
Genworth Financial Inc 3,500 120,505
Golden West Financial Corp 2,253 170,079
Goldman Sachs Group Inc 3,922 583,005
Hartford Financial Services Group Inc 2,734 234,741
Huntington Bancshares Inc/OH 2,325 55,614
Janus Capital Group Inc 2,377 42,263
JPMorgan Chase & Co 31,124 1,421,122
Keycorp 3,787 139,324
Kimco Realty Corp 1,900 78,945
Legg Mason Inc 1,100 100,386
Lehman Brothers Holdings Inc 4,786 305,395
Lincoln National Corp 2,689 163,222
Loews Corp 3,768 144,993
M&T Bank Corp 659 80,701
Marsh & McLennan Cos Inc 4,930 128,969
Marshall & Ilsley Corp 1,948 90,835
MBIA Inc 1,215 74,880
Mellon Financial Corp 3,900 145,197
Merrill Lynch & Co Inc 8,177 601,255
Metlife Inc 6,747 371,287
MGIC Investment Corp 844 48,842
Morgan Stanley 9,569 629,545
National City Corp 4,895 169,269
North Fork Bancorporation Inc 4,563 125,209
Northern Trust Corp 1,683 94,231
PNC Financial Services Group Inc 2,626 185,895
Principal Financial Group Inc 2,607 138,797
Progressive Corp/The 7,008 172,327
Prologis 2,148 121,276
Prudential Financial Inc 4,388 322,123
Public Storage Inc 800 69,320
Realogy Corp* 2,261 48,385
Regions Financial Corp 4,076 146,695
Safeco Corp 1,187 68,502
Simon Property Group Inc 1,750 148,383
SLM Corp 3,709 179,998
Sovereign Bancorp Inc 3,620 75,441
St Paul Travelers Cos Inc/The 6,238 273,848
State Street Corp 2,954 182,557
SunTrust Banks Inc 3,246 247,994
Synovus Financial Corp 2,906 84,506
T Rowe Price Group Inc 2,226 98,078
Torchmark Corp 987 61,401
UnumProvident Corp 2,983 56,528
US Bancorp 16,113 516,744
Vornado Realty Trust 1,100 116,501
Wachovia Corp 14,464 790,168
Washington Mutual Inc 8,897 372,695
Wells Fargo & Co 30,048 1,044,168
XL Capital Ltd 1,649 108,240
Zions Bancorporation 853 67,378
------------
Total Financial 22,963,989
------------
Industrial (11.01%)
3M Co 6,754 484,262
Agilent Technologies Inc* 3,915 125,906
Allied Waste Industries Inc* 2,502 25,871
American Power Conversion Corp 1,724 30,291
American Standard Cos Inc 1,757 73,390
Applera Corp - Applied Biosystems Group 1,972 60,442
Ball Corp 990 39,937
Bemis Co 1,106 35,724
Black & Decker Corp 725 53,389
Boeing Co 7,196 538,980
Burlington Northern Santa Fe Corp 3,282 219,730
Caterpillar Inc 5,988 397,304
Cooper Industries Lt 903 73,938
CSX Corp 3,918 118,402
Cummins Inc 447 51,325
Danaher Corp 2,083 138,082
Deere & Co 2,255 176,116
Dover Corp 1,842 89,558
Eastman Kodak Co 2,684 57,089
Eaton Corp 1,440 95,760
Emerson Electric Co 3,681 302,394
FedEx Corp 2,738 276,620
Fisher Scientific International Inc* 1,154 90,277
Fluor Corp 774 66,889
General Dynamics Corp 3,702 250,070
General Electric Co 93,169 3,173,336
Goodrich Corp 1,231 47,947
Honeywell International Inc 7,397 286,412
Illinois Tool Works Inc 3,758 164,976
Ingersoll-Rand Co 3,052 116,037
ITT Corp 1,798 88,012
Jabil Circuit Inc 1,699 45,584
L-3 Communications Holdings Inc 1,134 85,492
Leggett & Platt Inc 1,920 44,256
Lockheed Martin Corp 3,215 265,559
Masco Corp 3,684 100,978
Molex Inc 1,295 47,229
Norfolk Southern Corp 3,784 161,690
Northrop Grumman Corp 3,131 209,182
Pactiv Corp* 1,493 39,908
Pall Corp 1,225 33,345
Parker Hannifin Corp 1,073 79,456
PerkinElmer Inc 1,321 24,346
Raytheon Co 3,948 186,385
Rockwell Automation Inc 1,670 94,155
Rockwell Collins Inc 1,557 81,634
Ryder System Inc 677 33,457
Sanmina-SCI Corp* 5,243 17,774
Sealed Air Corp 791 41,029
See accompanying notes to financial statements
21
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Snap-On Inc 609 $ 26,613
Solectron Corp* 9,768 30,672
Stanley Works/The 670 31,644
Symbol Technologies Inc 2,853 34,265
Tektronix Inc 880 24,939
Textron Inc 1,233 103,399
Thermo Electron Corp* 1,602 62,798
Tyco International Ltd 18,034 471,589
Union Pacific Corp 2,402 193,001
United Parcel Service Inc 9,744 682,567
United Technologies Corp 9,081 569,470
Waste Management Inc 4,928 168,932
Waters Corp* 1,083 46,188
------------
Total Industrial 11,786,002
------------
Technology (10.52%)
Adobe Systems Inc* 5,634 182,767
Advanced Micro Devices Inc* 4,487 112,130
Affiliated Computer Services Inc* 1,205 61,865
Analog Devices Inc 3,480 106,627
Apple Computer Inc* 7,568 513,489
Applied Materials Inc 14,709 248,288
Autodesk Inc* 2,088 72,579
Automatic Data Processing Inc 5,374 253,653
BMC Software Inc* 2,233 59,442
Broadcom Corp* 4,253 125,208
CA Inc 4,390 103,472
Citrix Systems Inc* 1,744 53,506
Computer Sciences Corp* 1,690 80,072
Compuware Corp* 3,895 29,602
Dell Inc* 20,535 463,064
Electronic Arts Inc* 2,829 144,194
Electronic Data Systems Corp 4,789 114,122
EMC Corp/Massachusetts* 21,260 247,679
First Data Corp 6,840 293,915
Fiserv Inc* 1,768 78,093
Freescale Semiconductor Inc* 3,839 118,663
Gateway Inc* 3,760 7,520
Hewlett-Packard Co 25,281 924,273
IMS Health Inc 1,733 47,294
Intel Corp 52,589 1,027,589
International Business Machines Corp 14,022 1,135,361
Intuit Inc* 3,006 90,841
Kla-Tencor Corp 1,959 86,020
Lexmark International Inc* 1,056 59,210
Linear Technology Corp 2,817 95,806
LSI Logic Corp* 3,860 31,073
Maxim Integrated Products Inc 3,002 87,358
Micron Technology Inc* 6,262 108,207
Microsoft Corp 79,482 2,041,893
National Semiconductor Corp 3,203 77,801
NCR Corp* 1,875 65,231
Network Appliance Inc* 3,359 115,012
Novell Inc* 3,782 25,226
Novellus Systems Inc* 1,406 39,256
Nvidia Corp* 3,048 88,727
Oracle Corp* 33,652 526,654
Parametric Technology Corp* 1,082 17,431
Pitney Bowes Inc 2,120 92,411
PMC - Sierra Inc* 1,841 12,592
QLogic Corp* 1,486 27,313
SanDisk Corp* 1,700 100,164
Sun Microsystems Inc* 31,638 157,874
Teradyne Inc* 2,030 28,501
Texas Instruments Inc 14,283 465,483
Unisys Corp* 3,371 18,035
Xerox Corp* 8,356 123,752
Xilinx Inc 3,304 75,563
------------
Total Technology 11,261,901
------------
Utilities (3.55%)
AES Corp/The* 6,111 129,798
Allegheny Energy Inc* 1,381 57,643
Ameren Corp 1,912 102,388
American Electric Power Co Inc 3,669 133,845
Centerpoint Energy Inc 2,697 38,972
CMS Energy Corp* 2,062 30,188
Consolidated Edison Inc 2,227 102,887
Constellation Energy Group Inc 1,672 100,470
Dominion Resources Inc/VA 3,130 250,056
DTE Energy Co 1,568 65,448
Duke Energy Corp 11,082 332,460
Dynegy Inc* 3,790 23,498
Edison International 2,978 129,960
Entergy Corp 1,978 153,592
Exelon Corp 5,994 365,514
FirstEnergy Corp 2,918 166,501
FPL Group Inc 3,678 163,487
KeySpan Corp 1,600 65,600
Nicor Inc 460 20,084
NiSource Inc 2,493 52,777
Peoples Energy Corp 383 16,232
PG&E Corp 3,092 129,648
Pinnacle West Capital Corp 969 44,516
PPL Corp 3,632 127,011
Progress Energy Inc 2,285 101,294
Public Service Enterprise Group Inc 2,191 153,414
Sempra Energy 2,396 119,129
Southern Co/The 6,912 236,874
TECO Energy Inc 1,982 31,256
TXU Corp 4,180 276,759
Xcel Energy Inc 3,728 77,542
------------
Total Utilities 3,798,843
------------
Total Common Stock (Cost $78,264,050) 106,626,558
------------
Short Term Investments (0.19%)
Par Value
- ---------
$ 100,000 United States Treasury Bill 09/14/2006 99,816
100,000 United States Treasury Bill 11/16/2006 (b) 98,981
------------
Total Short-Term Investments (Cost $198,772) 198,797
------------
Total Investments (Cost $78,462,822) (a) (99.76%) 106,825,355
Other Net Assets (0.24%) 261,165
------------
Net Assets (100.00%) $107,086,520
============
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $78,889,525. At August
31, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 36,240,071
Unrealized depreciation (8,304,241)
------------
Net unrealized appreciation $ 27,935,830
============
(b) At August 31, 2006, certain United States Treasury Bills with a market
value of $98,981 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2006: Contracts - $250 times
premium/delivery month/commitment)
S&P 500 Index: Unrealized Appreciation
1/Sept 06/Long $ 6,175
============
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (99.28%)
Basic Materials (3.57%)
Airgas Inc 10,848 $ 388,575
Albemarle Corp 6,186 339,611
Cabot Corp 10,235 340,109
Cytec Industries Inc 6,464 344,854
Ferro Corp 6,436 109,927
FMC Corp 6,234 381,022
Glatfelter 7,014 100,651
Lubrizol Corp 10,801 469,735
Lyondell Chemical Co 33,054 858,743
Minerals Technologies Inc 3,079 160,077
Olin Corp 11,342 170,470
Potlatch Corp 6,163 236,105
Rayonier Inc 12,296 485,692
Reliance Steel & Aluminum Co 10,000 327,700
RPM International Inc 18,683 351,427
Sensient Technologies Corp 7,564 152,188
Steel Dynamics Inc 6,991 369,055
Valspar Corp 16,048 426,878
------------
Total Basic Materials 6,012,819
------------
Communications (4.65%)
3Com Corp* 61,772 273,650
Adtran Inc 10,717 266,532
Avocent Corp* 7,775 235,038
Belo Corp 14,813 241,452
Catalina Marketing Corp 6,181 177,086
Checkfree Corp* 14,694 526,045
Cincinnati Bell Inc* 39,100 197,455
CommScope Inc* 9,175 268,002
Emmis Communications Corp* 5,627 68,818
Entercom Communications Corp 5,443 138,307
F5 Networks Inc* 6,301 315,617
Harris Corp 21,574 947,530
Harte-Hanks Inc 8,984 238,076
Lee Enterprises Inc 7,207 178,445
McAfee Inc* 26,635 606,213
Media General Inc 3,793 149,141
Newport Corp* 5,975 105,339
Plantronics Inc 7,361 131,909
Polycom Inc* 13,723 326,470
Powerwave Technologies Inc* 17,848 135,288
Reader's Digest Association Inc/The 15,639 200,336
RF Micro Devices Inc* 30,036 198,838
RSA Security Inc* 11,487 319,913
Scholastic Corp* 5,526 166,112
Telephone & Data Systems Inc 16,593 703,709
Washington Post Co/The 935 717,865
Westwood One Inc 373 2,733
------------
Total Communications 7,835,919
------------
Consumer, Cyclical (13.36%)
99 Cents Only Stores* 7,381 83,848
Abercrombie & Fitch Co 13,975 901,807
Advance Auto Parts Inc 17,448 525,534
Aeropostale Inc* 8,752 222,301
Airtran Holdings Inc* 14,141 161,914
Alaska Air Group Inc* 6,245 236,498
American Eagle Outfitters 20,906 807,599
AnnTaylor Stores Corp* 11,487 457,183
Applebees International Inc 12,164 252,403
ArvinMeritor Inc 11,108 164,954
See accompanying notes to financial statements
22
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Bandag Inc 1,801 $ 68,546
Barnes & Noble Inc 8,363 304,079
BJ's Wholesale Club Inc* 10,926 287,900
Bob Evans Farms Inc 5,816 164,825
Borders Group Inc 10,565 202,108
BorgWarner Inc 9,227 523,263
Boyd Gaming Corp 6,937 250,842
Brinker International Inc 13,642 524,808
Callaway Golf Co 10,626 142,495
Carmax Inc* 16,938 638,393
CBRL Group Inc 4,929 186,513
CDW Corp 9,976 581,601
Cheesecake Factory/The* 12,471 310,403
Chico's FAS Inc* 29,196 538,374
Claire's Stores Inc 16,050 438,647
Copart Inc* 11,034 309,724
Dollar Tree Stores Inc* 16,845 484,799
Fastenal Co 19,938 731,326
Foot Locker Inc 24,793 597,511
Furniture Brands International Inc 7,964 152,511
GameStop Corp* 9,100 397,488
Herman Miller Inc 10,988 310,301
HNI Corp 8,207 327,459
Hovnanian Enterprises Inc* 5,759 152,671
Ingram Micro Inc* 18,400 331,200
International Speedway Corp 5,433 262,957
JetBlue Airways Corp* 24,346 249,303
Lear Corp 10,672 217,068
Macrovision Corp* 8,061 187,660
MDC Holdings Inc 5,200 222,508
Michaels Stores Inc 21,523 926,565
Modine Manufacturing Co 5,317 123,833
Mohawk Industries Inc* 8,387 594,471
MSC Industrial Direct Co 8,600 338,496
O'Reilly Automotive Inc* 18,098 537,330
OSI Restaurant Partners Inc 10,575 327,508
Pacific Sunwear Of California* 11,738 156,820
Payless Shoesource Inc* 10,916 256,089
PetSmart Inc 22,289 559,454
Pier 1 Imports Inc 13,956 89,179
Polo Ralph Lauren Corp 9,800 578,102
Regis Corp 7,209 264,498
Ross Stores Inc 23,324 571,205
Ruby Tuesday Inc 9,222 238,112
Ryland Group Inc 7,433 317,166
Saks Inc 21,865 315,512
Scientific Games Corp* 10,500 305,235
Tech Data Corp* 9,152 319,313
Thor Industries Inc 5,515 232,623
Timberland Co* 8,882 252,338
Toll Brothers Inc* 18,742 495,164
Urban Outfitters Inc* 17,524 274,952
Williams-Sonoma Inc 18,564 546,894
------------
Total Consumer, Cyclical 22,532,183
------------
Consumer, Non-Cyclical (16.10%)
Adesa Inc 14,253 314,849
Advanced Medical Optics Inc* 10,544 507,694
Alliance Data Systems Corp* 10,716 541,587
American Greetings Corp 10,349 253,757
Apria Healthcare Group Inc* 6,872 140,120
Banta Corp 3,940 185,377
Beckman Coulter Inc 10,187 557,942
Blyth Inc 4,097 88,004
Career Education Corp* 15,878 304,064
Cephalon Inc* 9,705 553,379
Charles River Laboratories International Inc* 11,519 468,132
ChoicePoint Inc* 14,210 513,692
Church & Dwight Co Inc 10,209 393,047
Community Health Systems Inc* 15,698 608,454
Corinthian Colleges Inc* 13,615 165,014
Corporate Executive Board Co 6,318 553,710
Covance Inc* 10,120 636,244
Cytyc Corp* 18,618 444,784
Deluxe Corp 8,036 144,005
Dentsply International Inc 25,278 823,557
DeVry Inc* 9,001 201,172
Edwards Lifesciences Corp* 9,539 445,376
Gartner Inc* 8,831 137,675
Gen-Probe Inc* 8,275 402,248
Health Net Inc* 18,559 775,952
Henry Schein Inc* 14,092 702,768
Hillenbrand Industries Inc 9,917 565,963
Hormel Foods Corp 11,548 423,234
Intuitive Surgical Inc* 5,651 533,454
Invitrogen Corp* 8,540 519,659
ITT Educational Services Inc* 5,992 396,011
JM Smucker Co/The 9,268 450,703
Kelly Services Inc 3,006 82,094
Korn/Ferry International* 6,830 139,469
Laureate Education Inc* 7,897 379,214
LifePoint Hospitals Inc* 9,093 309,617
Lincare Holdings Inc* 15,456 572,336
Manpower Inc 14,187 838,594
Martek Biosciences Corp* 5,056 152,034
Medicis Pharmaceutical Corp 8,600 251,894
Millennium Pharmaceuticals Inc* 25,316 274,932
MPS Group Inc* 16,086 226,169
Navigant Consulting Inc* 7,700 151,613
Omnicare Inc 19,330 875,842
Par Pharmaceutical Cos Inc* 5,482 98,402
PDL BioPharma Inc* 17,908 352,788
PepsiAmericas Inc 9,593 220,543
Perrigo Co 13,259 214,000
Pharmaceutical Product Development Inc 16,000 609,920
Quanta Services Inc* 19,028 337,366
Rent-A-Center Inc* 10,943 296,555
Rollins Inc 4,584 97,364
Ruddick Corp 5,308 136,893
Scotts Miracle-Gro Co/The 7,160 307,307
Sepracor Inc* 17,138 805,657
Smithfield Foods Inc* 15,960 479,279
Sotheby's 7,243 201,355
STERIS Corp 10,796 256,729
Techne Corp* 6,354 323,419
Tootsie Roll Industries Inc 4,009 116,301
Triad Hospitals Inc* 13,692 603,270
Tupperware Brands Corp 8,657 155,913
United Rentals Inc* 10,643 230,527
Universal Corp/Richmond VA 4,144 160,083
Universal Health Services Inc 8,652 489,876
Valassis Communications Inc* 7,692 151,686
Valeant Pharmaceuticals International 14,717 289,336
Varian Medical Systems Inc* 21,339 1,137,369
VCA Antech Inc* 13,129 465,029
Vertex Pharmaceuticals Inc* 17,686 609,282
------------
Total Consumer, Non-Cyclical 27,151,684
------------
Diversified (0.40%)
Leucadia National Corp 26,170 673,354
------------
Total Diversified 673,354
------------
Energy (11.50%)
Arch Coal Inc 22,720 744,080
Cameron International Corp* 18,712 896,492
Denbury Resources Inc* 18,632 577,778
ENSCO International Inc 24,491 1,094,503
Equitable Resources Inc 19,316 711,988
FMC Technologies Inc* 10,960 644,667
Forest Oil Corp* 8,659 293,280
Grant Prideco Inc* 21,038 873,708
Hanover Compressor Co* 14,781 278,178
Helmerich & Payne Inc 16,828 412,791
National Fuel Gas Co 13,402 511,554
Newfield Exploration Co* 20,736 896,625
Noble Energy Inc 28,118 1,389,592
Oneok Inc 18,934 724,604
Patterson-UTI Energy Inc 27,904 764,570
Peabody Energy Corp 39,200 1,727,544
Pioneer Natural Resources Co 20,730 864,648
Plains Exploration & Production Co* 12,468 548,717
Pogo Producing Co 9,542 423,760
Pride International Inc* 26,080 676,254
Questar Corp 13,708 1,186,290
Quicksilver Resources Inc* 10,600 398,772
Smith International Inc 32,120 1,348,076
Southwestern Energy Co* 27,000 927,450
Tidewater Inc 9,797 466,437
------------
Total Energy 19,382,358
------------
Financial (17.38%)
AG Edwards Inc 12,208 644,827
AMB Property Corp 14,092 786,756
American Financial Group Inc/OH 7,455 348,298
AmeriCredit Corp* 20,793 488,428
AmerUs Group Co 6,117 414,733
Arthur J Gallagher & Co 15,122 405,270
Associated Banc-Corp 21,923 691,451
Astoria Financial Corp 13,782 423,107
Bank of Hawaii Corp 8,321 406,231
Brown & Brown Inc 17,664 528,860
Cathay General Bancorp 8,000 298,320
City National Corp/Beverly Hills CA 6,750 444,150
Colonial BancGroup Inc/The 24,837 608,258
Cullen/Frost Bankers Inc 7,658 451,516
Developers Diversified Realty Corp 17,376 940,042
Eaton Vance Corp 20,682 549,934
Everest Re Group Ltd 10,420 979,272
Fidelity National Financial Inc 27,701 1,114,411
First American Corp 15,183 616,733
First Niagara Financial Group Inc 17,934 268,293
FirstMerit Corp 12,623 290,455
Greater Bay Bancorp 8,051 229,212
Hanover Insurance Group Inc/The 8,107 360,762
HCC Insurance Holdings Inc 17,892 581,311
Highwoods Properties Inc 8,559 323,017
Horace Mann Educators Corp 6,562 120,478
Hospitality Properties Trust 11,361 526,242
IndyMac Bancorp Inc 10,227 399,876
Investors Financial Services Corp 10,581 490,535
Jefferies Group Inc 16,328 406,894
Liberty Property Trust 14,028 671,520
Longview Fibre Co 10,958 228,365
Macerich Co/The 11,541 861,651
Mack-Cali Realty Corp 9,777 519,648
Mercantile Bankshares Corp 19,871 733,836
Mercury General Corp 5,600 281,512
New Plan Excel Realty Trust 16,555 456,752
New York Community Bancorp Inc 42,234 693,060
Ohio Casualty Corp 10,269 266,481
Old Republic International Corp 36,995 773,196
PMI Group Inc/The 14,214 614,613
Protective Life Corp 11,018 507,159
Radian Group Inc 13,370 800,596
Raymond James Financial Inc 14,010 388,357
Regency Centers Corp 10,959 737,212
Stancorp Financial Group Inc 8,834 411,399
SVB Financial Group* 5,620 253,968
TCF Financial Corp 18,028 469,990
Texas Regional Bancshares Inc 7,232 276,769
See accompanying notes to financial statements
23
- --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
United Dominion Realty Trust Inc 21,659 $ 660,816
Unitrin Inc 7,251 318,174
Waddell & Reed Financial Inc 13,504 313,563
Washington Federal Inc 13,798 306,592
Webster Financial Corp 8,567 404,705
Weingarten Realty Investors 12,787 542,425
Westamerica Bancorporation 5,020 240,107
Wilmington Trust Corp 10,806 476,004
WR Berkley Corp 27,269 954,411
------------
Total Financial 29,300,553
------------
Industrial (14.96%)
AGCO Corp* 14,348 356,548
Alexander & Baldwin Inc 6,922 303,599
Alliant Techsystems Inc* 5,872 449,149
Ametek Inc 11,160 478,541
Amphenol Corp 14,176 814,695
Arrow Electronics Inc* 19,483 543,576
Avnet Inc* 23,598 461,577
Brink's Co/The 7,813 445,107
Carlisle Cos Inc 4,658 398,259
CH Robinson Worldwide Inc 27,302 1,250,978
Commercial Metals Co 18,700 403,733
Con-way Inc 7,752 370,933
Crane Co 7,909 316,202
Donaldson Co Inc 10,828 361,439
DRS Technologies Inc 6,400 264,768
Dycom Industries Inc* 6,201 125,570
Energizer Holdings Inc* 10,089 674,551
Expeditors International Washington Inc 29,288 1,167,713
Federal Signal Corp 7,404 115,576
Florida Rock Industries Inc 7,500 278,925
Flowserve Corp* 9,093 465,016
GATX Corp 8,018 297,548
Gentex Corp 24,670 357,222
Graco Inc 10,849 410,092
Granite Construction Inc 5,096 273,400
Harsco Corp 6,627 527,244
Hubbell Inc 9,623 447,470
Jacobs Engineering Group Inc* 9,432 821,433
JB Hunt Transport Services Inc 19,652 386,162
Joy Global Inc 19,850 864,269
Kemet Corp* 13,751 113,171
Kennametal Inc 6,327 333,686
Lancaster Colony Corp 3,989 176,074
Lincoln Electric Holdings Inc 6,800 374,204
Martin Marietta Materials Inc 7,376 607,487
Mine Safety Appliances Co 4,100 145,345
National Instruments Corp 8,825 244,982
Nordson Corp 5,352 214,294
Overseas Shipholding Group 4,784 319,093
Packaging Corp of America 9,625 222,723
Pentair Inc 16,395 490,211
Plexus Corp* 7,012 138,978
Precision Castparts Corp 21,424 1,252,019
Republic Services Inc 19,503 756,326
Roper Industries Inc 13,800 640,044
Sequa Corp* 959 88,036
Sonoco Products Co 15,751 527,343
SPX Corp 9,673 510,734
Stericycle Inc* 7,030 468,831
Swift Transportation Co Inc* 8,557 198,437
Tecumseh Products Co* 2,574 38,224
Teleflex Inc 6,512 363,435
Thomas & Betts Corp* 8,439 381,105
Timken Co 13,500 432,540
Trinity Industries Inc 11,186 373,165
Varian Inc* 4,971 232,046
Vishay Intertechnology Inc* 29,221 409,386
Werner Enterprises Inc 7,985 147,962
Worthington Industries Inc 11,493 219,631
Zebra Technologies Corp* 11,184 378,464
------------
Total Industrial 25,229,271
------------
Technology (10.47%)
Activision Inc* 44,562 574,850
Acxiom Corp 12,466 302,799
Advent Software Inc* 2,409 78,895
Atmel Corp* 68,592 395,776
BISYS Group Inc/The* 19,125 196,796
Cabot Microelectronics Corp* 3,853 121,138
Cadence Design Systems Inc* 45,661 750,210
Ceridian Corp* 23,086 551,063
Cognizant Technology Solutions Corp* 22,049 1,541,446
Credence Systems Corp* 15,279 38,656
Cree Inc* 12,081 224,948
CSG Systems International Inc* 7,566 203,677
Cypress Semiconductor Corp* 21,479 335,932
Diebold Inc 11,158 467,632
DST Systems Inc* 10,168 600,217
Dun & Bradstreet Corp* 10,757 756,325
Fair Isaac Corp 10,398 364,034
Fairchild Semiconductor International Inc* 19,560 352,667
Fidelity National Information Services Inc 14,861 544,507
Imation Corp 5,529 219,114
Integrated Device Technology Inc* 16,677 287,345
International Rectifier Corp* 11,255 397,302
Intersil Corp 22,884 580,109
Jack Henry & Associates Inc 12,101 231,855
Lam Research Corp* 22,554 965,086
Lattice Semiconductor Corp* 17,999 131,753
McData Corp* 23,849 102,312
MEMC Electronic Materials Inc* 26,600 1,028,888
Mentor Graphics Corp* 12,132 175,914
Micrel Inc* 10,145 101,653
Microchip Technology Inc 34,396 1,174,967
MoneyGram International Inc 13,535 424,999
Palm Inc* 14,600 212,576
Reynolds & Reynolds Co/The 7,900 303,044
SEI Investments Co 10,111 516,065
Semtech Corp* 11,712 153,076
Silicon Laboratories Inc* 7,136 251,687
SRA International Inc* 5,900 165,259
Sybase Inc* 14,271 329,232
Synopsys Inc* 22,875 433,710
Transaction Systems Architects Inc* 5,905 195,869
Triquint Semiconductor Inc* 21,558 106,281
Western Digital Corp* 35,367 647,216
Wind River Systems Inc* 11,457 116,516
------------
Total Technology 17,653,396
------------
Utilities (6.89%)
AGL Resources Inc 12,346 449,271
Alliant Energy Corp 18,932 692,722
Aqua America Inc 20,421 483,773
Aquila Inc* 59,270 271,457
Black Hills Corp 5,271 183,484
DPL Inc 20,280 563,784
Duquesne Light Holdings Inc 12,335 242,876
Energy East Corp 23,442 568,469
Great Plains Energy Inc 12,668 386,627
Hawaiian Electric Industries Inc 12,809 351,223
Idacorp Inc 6,734 258,720
MDU Resources Group Inc 29,021 711,015
Northeast Utilities 24,762 564,821
NSTAR 16,986 559,349
OGE Energy Corp 14,400 536,256
Pepco Holdings Inc 30,596 776,832
PNM Resources Inc 11,082 317,721
Puget Energy Inc 18,287 413,835
SCANA Corp 18,441 762,535
Sierra Pacific Resources* 31,819 469,330
Vectren Corp 12,115 333,889
Westar Energy Inc 13,785 336,216
WGL Holdings Inc 7,705 239,394
Wisconsin Energy Corp 18,852 810,636
WPS Resources Corp 6,354 326,470
------------
Total Utilities 11,610,705
------------
Total Common Stock (Cost $127,491,870) 167,382,242
------------
Short-Term Investments (0.83%)
Par Value
- ---------
$ 1,300,000 United States Treasury Bill 09/14/2006 1,297,606
100,000 United States Treasury Bill 11/16/2006 (b) 98,981
------------
Total Short-Term Investments (Cost $1,396,565) 1,396,587
------------
Total Investments (Cost $128,888,435) (a) (100.10%) $168,778,829
Other Net Liabilities (-0.10%) (174,388)
------------
Net Assets(100.00%) $168,604,441
============
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $128,888,435. At August
31, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 48,918,523
Unrealized depreciation (9,028,129)
------------
Net unrealized appreciation $ 39,890,394
============
(b) At August 31, 2006, certain United States Treasury Bills with a market
value of $98,981 were pledged to cover margin requirements for futures
contracts.
c) Futures contracts at August 31, 2006: Contracts - $100 times
premium/delivery month/commitment)
S&P MidCap Mini: Unrealized Appreciation
20/Sept. 06/Long $ 16,900
============
See accompanying notes to financial statements
24
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (92.73%)
Basic Materials (3.36%)
AMCOL International Corp 1,466 $ 34,041
Arch Chemicals Inc 1,194 33,122
Brush Engineered Materials Inc* 769 20,548
Buckeye Technologies Inc* 1,716 13,951
Caraustar Industries Inc* 1,296 9,811
Carpenter Technology Corp 1,224 117,308
Century Aluminum Co* 1,151 39,951
Chaparral Steel Co* 1,286 91,846
Cleveland-Cliffs Inc 2,592 94,530
Deltic Timber Corp 590 27,984
Georgia Gulf Corp 1,993 52,894
HB Fuller Co 3,324 63,921
MacDermid Inc 1,555 44,551
Material Sciences Corp* 683 6,509
Neenah Paper Inc 750 25,178
OM Group Inc* 1,455 58,200
Omnova Solutions Inc* 1,854 10,419
Penford Corp 400 6,256
PolyOne Corp* 5,408 46,887
Pope & Talbot Inc* 726 3,993
Quaker Chemical Corp 439 8,297
Rock-Tenn Co 1,817 35,104
RTI International Metals Inc* 1,366 59,243
Ryerson Inc 1,452 30,753
Schulman A Inc 1,547 36,494
Schweitzer-Mauduit International Inc 770 14,630
Steel Technologies Inc 654 14,545
Tronox Inc 2,300 29,670
Wausau Paper Corp 2,594 35,304
Wellman Inc 1,480 5,313
-----------
Total Basic Materials 1,071,253
-----------
Communications (3.38%)
4Kids Entertainment Inc* 613 9,410
Adaptec Inc* 5,637 23,224
Advo Inc 1,857 53,092
Aeroflex Inc* 3,808 39,679
Anixter International Inc 1,885 102,714
Applied Signal Technology Inc 560 8,232
Black Box Corp 903 34,802
Blue Coat Systems Inc* 700 11,907
C-COR Inc* 2,207 17,546
Commonwealth Telephone Enterprises Inc 1,151 40,584
Comtech Telecommunications Corp* 1,000 32,730
Digital Insight Corp* 1,774 46,142
Ditech Networks Inc* 1,700 14,977
General Communication Inc* 2,942 37,393
Harmonic Inc* 3,354 20,828
Infospace Inc* 1,400 31,122
Internet Security Systems* 1,984 54,877
inVentiv Health Inc* 1,600 49,808
j2 Global Communications Inc* 2,976 74,787
MIVA Inc* 1,508 3,906
Napster Inc* 1,603 5,370
Netgear Inc* 1,900 37,373
Network Equipment Technologies Inc* 1,066 3,891
Novatel Wireless Inc* 1,500 16,725
PC-Tel Inc* 942 9,919
Radio One Inc* 4,400 27,016
Secure Computing Corp* 3,100 19,685
Stamps.com Inc* 1,100 20,944
Symmetricom Inc* 2,100 15,666
Tollgrade Communications Inc* 630 5,765
United Online Inc 3,500 40,145
Viasat Inc* 1,352 36,572
WebEx Communications Inc* 2,060 73,542
Websense Inc* 2,754 56,924
-----------
Total Communications 1,077,297
-----------
Consumer, Cyclical (14.95%)
Angelica Corp 425 7,489
Arctic Cat Inc 1,013 16,846
Ashworth Inc* 600 4,170
ASV Inc* 900 13,833
Audiovox Corp* 1,050 15,551
Aztar Corp* 2,072 108,718
Bally Total Fitness Holding Corp* 1,577 4,731
Bassett Furniture Industries Inc 556 9,608
Bell Microproducts Inc* 1,276 6,227
Brightpoint Inc* 2,880 47,923
Brown Shoe Co Inc 1,397 44,634
Building Material Holding Corp 1,680 43,882
Casey's General Stores Inc 2,965 70,093
Cash America International Inc 1,744 64,301
Cato Corp/The 1,862 43,254
CEC Entertainment Inc* 1,917 61,114
Champion Enterprises Inc* 4,414 30,103
Childrens Place Retail Stores Inc/The* 1,278 74,086
Christopher & Banks Corp 1,875 45,656
Coachmen Industries Inc 746 7,467
Cost Plus Inc* 1,125 11,453
Deckers Outdoor Corp* 600 24,606
Dress Barn Inc* 2,616 46,172
Ethan Allen Interiors Inc 1,913 64,564
Finish Line 2,500 27,825
Fleetwood Enterprises Inc* 3,730 26,222
Fred's Inc 2,010 26,351
Frontier Airlines Holdings Inc* 1,612 11,187
G&K Services Inc 1,071 35,536
Genesco Inc* 1,318 36,219
Group I Automotive Inc 1,153 52,231
Guitar Center Inc* 1,549 58,707
Gymboree Corp* 1,569 52,640
Hancock Fabrics Inc /DE 863 2,563
Haverty Furniture Cos Inc 1,157 16,256
Hibbett Sporting Goods Inc* 2,104 51,611
HOT Topic Inc* 2,397 23,682
Ihop Corp 1,098 51,266
Insight Enterprises Inc* 2,482 44,701
Interface Inc* 2,381 30,263
Jack in the Box Inc* 1,872 89,819
Jakks Pacific Inc* 1,604 26,209
Jo-Ann Stores Inc* 1,070 15,847
JOS A Bank Clothiers Inc* 750 17,948
K2 Inc* 2,726 31,758
Kellwood Co 1,393 38,182
K-Swiss Inc 1,313 36,121
Landry's Restaurants Inc 826 22,591
La-Z-Boy Inc 2,673 37,288
Lenox Group Inc* 632 3,590
Libbey Inc 640 5,421
LKQ Corp* 2,600 54,002
Lone Star Steakhouse & Saloon Inc 1,092 29,790
Longs Drug Stores Corp 1,414 64,238
M/I Homes Inc 700 22,652
Marcus Corp 1,435 29,518
MarineMax Inc* 800 18,184
Men's Wearhouse Inc 3,043 107,874
Meritage Homes Corp* 1,350 55,283
Mesa Air Group Inc* 1,462 11,550
Mobile Mini Inc* 1,728 46,518
Monaco Coach Corp 1,505 15,893
Multimedia Games Inc* 1,431 13,709
National Presto Industries Inc 327 17,789
Nautilus Inc 1,674 20,724
NVR Inc* 240 123,276
O'Charleys Inc* 966 17,861
Owens & Minor Inc 2,315 74,474
Oxford Industries Inc 832 34,179
Panera Bread Co* 1,847 95,859
Papa John's International Inc* 1,264 42,976
PEP Boys-Manny Moe & Jack 3,075 39,483
PF Chang's China Bistro Inc* 1,512 53,298
Phillips-Van Heusen 2,578 99,614
Pinnacle Entertainment Inc* 2,726 70,276
Polaris Industries Inc 2,404 91,592
Pool Corp 3,036 115,581
Quiksilver Inc* 6,824 95,536
Rare Hospitality International Inc* 1,744 49,948
Red Robin Gourmet Burgers Inc* 800 33,768
Ryan's Restaurant Group Inc* 2,086 32,875
Scansource Inc* 1,286 39,917
School Specialty Inc* 1,375 49,129
Select Comfort Corp* 2,800 55,580
Shuffle Master Inc* 1,755 48,842
Skechers U.S.A. Inc* 1,400 31,696
Skyline Corp 400 15,604
Skywest Inc 3,379 81,670
Sonic Automotive Inc 1,573 33,269
Sonic Corp* 5,169 113,356
Stage Stores Inc 1,338 35,270
Standard Motor Products Inc 916 10,149
Standard-Pacific Corp 3,990 95,481
Steak N Shake Co/The* 1,277 20,521
Stein Mart Inc 1,360 16,170
Stride Rite Corp 1,831 25,176
Superior Industries International 1,200 20,292
Toro Co 2,494 99,785
Tractor Supply Co* 1,961 83,499
Triarc Cos Inc 3,265 47,538
Tuesday Morning Corp 1,500 20,220
Tween Brands Inc* 1,767 60,184
Ultimate Electronics Inc* 680 --
United Stationers Inc* 1,737 79,607
Wabash National Corp 1,723 23,760
Watsco Inc 1,366 60,022
Winnebago Industries 1,700 49,640
WMS Industries Inc* 1,145 30,686
Wolverine World Wide Inc 3,060 77,204
World Fuel Services Corp 1,600 57,664
Zale Corp* 2,667 71,340
-----------
Total Consumer, Cyclical 4,770,106
-----------
See accompanying notes to financial statements
25
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Consumer, Non-Cyclical (15.99%)
Aaron Rents Inc 2,547 $ 59,625
ABM Industries Inc 2,008 36,124
Administaff Inc 1,236 42,704
Alliance One International Inc 4,676 18,844
Alpharma Inc 2,187 45,796
Amedisys Inc* 943 38,163
American Italian Pasta Co* 860 6,992
American Medical Systems Holdings Inc* 4,020 70,591
AMERIGROUP Corp* 3,038 95,819
Amsurg Corp* 1,551 37,333
Arbitron Inc 1,587 59,544
Arqule Inc* 1,302 6,614
Arthrocare Corp* 1,479 67,457
Bankrate Inc* 500 14,210
Biolase Technology Inc* 1,245 8,142
Biosite Inc* 1,003 44,132
Bowne & Co Inc 1,795 27,679
Bradley Pharmaceuticals Inc* 786 11,641
Cambrex Corp 1,239 27,939
CDI Corp 607 12,717
Centene Corp* 2,478 38,285
Central Parking Corp 968 16,108
Chemed Corp 1,544 60,849
CNS Inc 700 19,740
Coinstar Inc* 1,600 42,000
Conmed Corp* 1,525 31,247
Connetics Corp* 1,800 19,512
Consolidated Graphics Inc* 696 43,277
Cooper Cos Inc/The 2,576 128,748
Corn Products International Inc 4,342 149,799
CPI Corp 380 14,983
Cross Country Healthcare Inc* 1,040 17,077
CryoLife Inc* 1,113 6,667
Cyberonics Inc* 1,199 19,520
Datascope Corp 759 24,994
Delta & Pine Land Co 1,965 79,504
DJO Inc* 1,097 42,311
Enzo Biochem Inc* 1,519 19,413
Flowers Foods Inc 2,891 78,491
Fossil Inc* 2,520 47,426
Genesis HealthCare Corp* 1,100 50,094
Gentiva Health Services Inc* 1,227 22,172
Gevity HR Inc 1,500 38,565
Great Atlantic & Pacific Tea Co 919 21,073
Haemonetics Corp/Mass* 1,591 74,109
Hain Celestial Group Inc* 1,870 44,039
Hansen Natural Corp* 2,800 77,056
Healthcare Services Group 1,200 27,228
Healthways Inc* 1,971 101,743
Heidrick & Struggles International Inc* 972 34,564
Hologic Inc* 2,592 111,923
Hooper Holmes Inc 3,007 9,803
ICU Medical Inc* 655 28,827
Idexx Laboratories Inc* 1,782 163,962
Immucor Inc* 3,940 81,834
Integra LifeSciences Holdings Corp* 965 37,114
Invacare Corp 1,604 37,229
J&J Snack Foods Corp 834 26,413
John H Harland Co 1,445 53,985
Kendle International Inc* 700 18,494
Kensey Nash Corp* 574 15,544
Labor Ready Inc* 2,823 48,358
Lance Inc 1,352 30,839
LCA-Vision Inc 1,173 51,647
Live Nation Inc* 4,000 83,920
Matria Healthcare Inc* 1,200 32,400
MAXIMUS Inc 1,113 29,628
Mentor Corp 2,255 109,458
Merit Medical Systems Inc* 1,295 18,156
MGI Pharma Inc* 4,514 68,297
Midas Inc* 700 13,692
Nash Finch Co 581 13,276
NBTY Inc* 2,925 93,191
NCO Group Inc* 1,615 42,313
Noven Pharmaceuticals Inc* 1,200 29,952
Odyssey HealthCare Inc* 1,878 30,123
On Assignment Inc* 1,167 11,122
Osteotech Inc* 821 3,087
Parexel International Corp* 1,339 44,321
Pediatrix Medical Group Inc* 2,714 124,301
Peet's Coffee & Tea Inc* 600 15,126
Performance Food Group Co* 1,978 48,679
PharmaNet Development Group Inc* 739 14,462
Playtex Products Inc* 3,200 42,080
PolyMedica Corp 1,391 56,461
Possis Medical Inc* 932 8,835
Pre-Paid Legal Services Inc 540 20,282
Ralcorp Holdings Inc* 1,500 74,205
Regeneron Pharmaceuticals Inc* 2,656 42,177
RehabCare Group Inc* 746 10,951
Resmed Inc* 4,170 169,636
Respironics Inc* 4,174 154,062
Rewards Network Inc* 1,161 5,050
Russ Berrie & Co Inc* 958 13,153
Sanderson Farms Inc 718 22,445
Savient Pharmaceuticals Inc* 2,760 17,885
Sciele Pharma Inc* 1,600 28,000
Sierra Health Services Inc* 2,964 127,156
Spectrum Brands Inc* 2,267 18,045
Spherion Corp* 3,098 23,142
Standard Register Co/The 613 7,865
Startek Inc 740 8,414
Sunrise Senior Living Inc* 2,100 61,971
SurModics Inc* 809 28,299
Theragenics Corp* 1,389 4,320
TreeHouse Foods Inc* 1,600 40,800
United Natural Foods Inc* 2,400 69,720
United Surgical Partners International Inc* 2,563 72,328
Universal Technical Institute Inc* 1,300 23,985
USANA Health Sciences Inc* 500 22,380
Vertrue Inc* 521 22,085
Viad Corp 1,109 39,292
Viasys Healthcare Inc* 1,879 49,831
Vital Signs Inc 295 16,004
Volt Information Sciences Inc* 431 18,378
Watson Wyatt Worldwide Inc 2,252 89,314
WD-40 Co 826 28,700
-----------
Total Consumer, Non-Cyclical 5,101,387
-----------
Energy (7.81%)
Atwood Oceanics Inc* 1,422 61,146
Cabot Oil & Gas Corp 2,832 144,602
CARBO Ceramics Inc 1,024 40,899
Cimarex Energy Co 4,823 184,721
Dril-Quip Inc* 400 30,716
Frontier Oil Corp 6,244 204,179
Headwaters Inc* 2,223 49,173
Helix Energy Solutions Group Inc* 5,126 197,146
Hydril* 1,174 76,838
Input/Output Inc* 3,753 37,417
Lone Star Technologies Inc* 1,776 80,506
Lufkin Industries Inc 900 56,700
Massey Energy Co 4,494 113,429
Maverick Tube Corp* 2,072 133,167
Oceaneering International Inc* 3,160 113,665
Penn Virginia Corp 1,100 78,089
Petroleum Development Corp* 1,015 43,341
SEACOR Holdings Inc* 1,251 108,875
St Mary Land & Exploration Co 3,328 135,782
Stone Energy Corp* 1,567 69,214
Swift Energy Co* 1,722 75,355
Tetra Technologies Inc* 4,034 112,186
Unit Corp* 2,646 139,471
Veritas DGC Inc* 2,015 120,034
W-H Energy Services Inc* 1,708 86,201
-----------
Total Energy 2,492,852
-----------
Financial (15.15%)
Acadia Realty Trust 1,700 41,888
Anchor Bancorp Wisconsin Inc 1,149 33,574
Bank Mutual Corp 3,500 43,085
BankAtlantic Bancorp Inc 2,300 32,361
Bankunited Financial Corp 1,838 47,365
Boston Private Financial Holdings Inc 1,801 44,953
Brookline Bancorp Inc 3,628 48,434
Central Pacific Financial Corp 1,600 57,904
Chittenden Corp 2,761 79,655
Colonial Properties Trust 2,586 128,214
Community Bank System Inc 1,600 34,992
Delphi Financial Group 2,421 94,128
Dime Community Bancshares 1,914 27,351
Downey Financial Corp 1,234 75,755
East West Bancorp Inc 3,306 133,893
EastGroup Properties Inc 1,200 61,212
Entertainment Properties Trust 1,484 73,992
Essex Property Trust Inc 1,274 159,849
Fidelity Bankshares Inc 1,100 41,679
Financial Federal Corp 1,588 41,606
First Bancorp/Puerto Rico 4,128 37,936
First Commonwealth Financial Corp 4,000 51,440
First Indiana Corp 700 17,115
First Midwest Bancorp Inc/IL 2,689 100,434
First Republic Bank/San Francisco CA 1,219 51,954
FirstFed Financial Corp* 870 44,248
Flagstar Bancorp Inc 1,822 26,492
Franklin Bank Corp/Houston TX* 1,200 23,856
Fremont General Corp 3,856 55,064
Glacier Bancorp Inc 1,600 51,968
Glenborough Realty Trust Inc 1,638 42,277
Hanmi Financial Corp 2,300 44,896
Harbor Florida Bancshares Inc 1,100 48,719
Hilb Rogal & Hobbs Co 1,850 80,050
Independent Bank Corp/MI 1,155 28,991
Infinity Property & Casualty Corp 1,100 41,745
Investment Technology Group Inc* 2,351 108,640
Irwin Financial Corp 950 18,088
Kilroy Realty Corp 1,657 131,019
LaBranche & Co Inc* 3,500 29,050
LandAmerica Financial Group Inc 971 61,406
26
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Lexington Corporate Properties Trust 3,070 $ 64,531
LTC Properties Inc 1,100 26,202
MAF Bancorp Inc 1,677 69,210
Nara Bancorp Inc 1,163 21,516
National Retail Properties Inc 3,152 70,100
New Century Financial Corp 3,282 127,046
Parkway Properties Inc/Md 865 42,402
Philadelphia Consolidated Holding Co* 3,090 111,734
Piper Jaffray Cos* 1,018 59,634
Portfolio Recovery Associates Inc* 800 31,776
Presidential Life Corp 1,505 35,473
PrivateBancorp Inc 1,017 45,155
ProAssurance Corp* 1,796 90,339
Prosperity Bancshares Inc 1,100 38,808
Provident Bankshares Corp 1,686 63,191
Public Storage Inc 2,261 195,916
Republic Bancorp Inc/MI 3,974 51,384
RLI Corp 1,292 63,179
Safety Insurance Group Inc 800 41,136
SCPIE Holdings Inc* 473 11,262
Selective Insurance Group 1,622 84,376
South Financial Group Inc/The 4,340 117,310
Sovran Self Storage Inc 959 51,863
Sterling Bancorp/NY 1,000 19,430
Sterling Bancshares Inc/TX 2,297 47,640
Sterling Financial Corp/WA 2,038 67,376
Stewart Information Services Corp 928 31,654
Susquehanna Bancshares Inc 2,763 67,611
SWS Group Inc 787 19,360
TradeStation Group Inc* 1,300 19,045
Trustco Bank Corp NY 3,818 41,998
UCBH Holdings Inc 5,434 98,573
Umpqua Holdings Corp 3,193 87,392
United Bankshares Inc 1,934 72,080
United Fire & Casualty Co 900 25,182
Whitney Holding Corp 3,726 131,043
Wilshire Bancorp Inc 800 15,544
Wintrust Financial Corp 1,238 62,284
World Acceptance Corp* 952 38,051
Zenith National Insurance Corp 2,073 78,360
-----------
Total Financial 4,833,444
-----------
Industrial (18.18%)
AAR Corp* 2,078 46,360
Acuity Brands Inc 2,585 110,457
Advanced Energy Industries Inc* 1,553 22,317
Albany International Corp 1,699 59,329
Aleris International Inc* 1,765 90,492
AM Castle & Co 759 21,449
Analogic Corp 700 39,781
AO Smith Corp 1,208 48,453
Apogee Enterprises Inc 1,275 19,138
Applied Industrial Technologies Inc 2,236 50,556
Aptargroup Inc 2,075 106,863
Arkansas Best Corp 1,481 65,386
Armor Holdings Inc* 1,673 88,452
Astec Industries Inc* 914 21,561
Baldor Electric Co 1,689 50,011
Barnes Group Inc 1,770 29,063
Bel Fuse Inc 579 21,406
Belden CDT Inc 2,364 84,489
Benchmark Electronics Inc* 3,608 89,984
Brady Corp 2,844 108,641
Briggs & Stratton Corp 3,004 84,563
Bristow Group Inc* 1,161 43,317
C&D Technologies Inc 1,187 9,437
Ceradyne Inc* 1,521 67,030
Checkpoint Systems Inc* 2,228 40,438
Chesapeake Corp 1,001 14,515
Clarcor Inc 3,004 89,970
Cognex Corp 2,720 69,442
Coherent Inc* 1,849 67,045
CTS Corp 1,721 25,299
Cubic Corp 771 15,520
Curtiss-Wright Corp 2,554 79,404
Cymer Inc* 2,086 85,839
Daktronics Inc 1,886 39,361
Dionex Corp* 1,077 54,302
Drew Industries Inc* 800 20,888
EDO Corp 1,023 23,867
EGL Inc* 1,882 57,533
Electro Scientific Industries Inc* 1,341 26,699
ElkCorp 1,011 28,480
EMCOR Group Inc* 1,852 102,675
EnPro Industries Inc* 1,100 34,584
Esterline Technologies Corp* 1,486 52,055
FEI Co* 1,705 35,396
Flir Systems Inc* 4,050 112,185
Forward Air Corp 1,656 53,224
Gardner Denver Inc* 3,026 108,845
GenCorp Inc* 2,884 39,713
Gerber Scientific Inc* 1,029 15,867
Greatbatch Inc* 1,017 24,876
Griffon Corp* 1,420 33,597
Heartland Express Inc 3,131 50,346
HUB Group Inc* 2,200 51,260
IDEX Corp 3,073 129,035
Insituform Technologies Inc* 1,227 28,160
Intermagnetics General Corp* 2,241 61,022
Intermet Corp 1,230 --
Itron Inc* 1,470 82,291
JLG Industries Inc 6,082 106,192
Kaman Corp 1,048 18,770
Kansas City Southern* 4,315 113,700
Kaydon Corp 1,447 55,145
Keithley Instruments Inc 720 8,143
Kirby Corp* 2,916 85,526
Knight Transportation Inc 3,384 58,171
Landstar System Inc 3,458 147,657
Lawson Products 456 17,602
Lennox International Inc 3,319 78,129
Lindsay Manufacturing Co 549 15,657
Littelfuse Inc* 1,132 40,877
LoJack Corp* 1,100 22,968
Lydall Inc* 745 6,355
Magnetek Inc* 1,366 4,453
Manitowoc Co Inc/The 3,542 156,556
Methode Electronics Inc 1,654 13,133
Moog Inc* 2,002 65,365
Mueller Industries Inc 2,095 80,280
Myers Industries Inc 1,536 25,236
NCI Building Systems Inc* 1,100 59,774
NS Group Inc* 1,100 50,072
Old Dominion Freight Line* 1,500 47,880
Park Electrochemical Corp 1,018 26,570
Paxar Corp* 2,034 39,602
Photon Dynamics Inc* 781 10,489
Planar Systems Inc* 664 6,527
Quanex Corp 2,196 75,389
Regal-Beloit Corp 1,574 67,934
Robbins & Myers Inc 666 19,181
Rogers Corp* 850 49,317
Shaw Group Inc/The* 4,644 116,843
Simpson Manufacturing Co Inc 1,890 49,802
Sonic Solutions Inc* 1,173 17,607
Standex International Corp 564 16,610
Sturm Ruger & Co Inc 1,292 9,690
Technitrol Inc 2,070 58,602
Teledyne Technologies Inc* 1,966 75,376
Tetra Tech Inc* 3,368 55,909
Texas Industries Inc 1,386 65,059
Tredegar Corp 1,971 32,522
Trimble Navigation Ltd* 3,100 151,807
Triumph Group Inc 814 35,783
Universal Forest Products Inc 881 42,958
URS Corp* 2,504 101,537
Valmont Industries Inc 824 42,980
Vicor Corp 1,051 13,201
Waste Connections Inc* 2,739 100,713
Watts Water Technologies Inc 1,255 38,918
Wolverine Tube Inc* 570 2,787
Woodward Governor Co 1,737 58,485
X-Rite Inc 987 8,768
-----------
Total Industrial 5,800,875
-----------
Technology (9.08%)
Actel Corp* 1,218 18,903
Agilysys Inc 1,491 20,158
Altiris Inc* 1,400 31,640
Ansys Inc* 2,176 101,706
ATMI Inc* 2,001 57,769
Avid Technology Inc* 2,399 95,552
Axcelis Technologies Inc* 5,102 32,092
Brooks Automation Inc* 4,331 60,201
CACI International Inc* 1,795 95,243
Captaris Inc* 1,544 7,998
Carreker Corp* 1,093 7,159
Catapult Communications Corp* 597 5,797
Cerner Corp* 3,570 164,434
Ciber Inc* 2,938 19,420
Cohu Inc 984 16,502
Dendrite International Inc* 2,129 21,333
Digi International Inc* 989 13,114
Diodes Inc* 1,100 41,184
DSP Group Inc* 1,496 36,607
eFunds Corp* 2,455 57,005
Epicor Software Corp* 3,100 38,378
EPIQ Systems Inc* 854 12,708
ESS Technology* 1,795 2,334
Exar Corp* 1,952 27,289
Factset Research Systems Inc 1,734 76,469
Filenet Corp* 2,398 83,786
Global Imaging Systems Inc* 2,354 51,623
Global Payments Inc 3,686 140,252
Hutchinson Technology Inc* 1,338 27,616
Hyperion Solutions Corp* 3,501 115,953
Inter-Tel Inc 1,318 29,049
JDA Software Group Inc* 1,393 23,110
Keane Inc* 2,500 38,700
Komag Inc* 1,700 61,132
Kopin Corp* 3,225 12,094
Kronos Inc/MA* 1,893 57,774
Kulicke & Soffa Industries Inc* 2,607 20,517
Manhattan Associates Inc* 1,548 35,929
See accompanying notes to financial statements
27
- --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Mantech International Corp* 939 $ 28,583
Mapinfo Corp* 1,036 12,846
Mercury Computer Systems Inc* 1,010 12,544
Micros Systems Inc* 2,200 105,292
Microsemi Corp* 3,651 101,388
MRO Software Inc* 1,139 29,261
MTS Systems Corp 1,024 34,376
Neoware Inc* 1,100 14,190
Open Solutions Inc* 1,000 29,540
Pericom Semiconductor Corp* 1,192 11,086
Per-Se Technologies Inc* 1,816 41,387
Phoenix Technologies Ltd* 1,166 5,830
Photronics Inc* 2,089 30,311
Power Integrations Inc* 1,578 29,035
Progress Software Corp* 2,349 59,477
Quality Systems Inc 800 32,080
Radiant Systems Inc* 1,286 14,223
Radisys Corp* 829 19,622
Rudolph Technologies Inc* 760 13,604
Skyworks Solutions Inc* 9,282 42,976
SPSS Inc* 804 20,397
Standard Microsystems Corp* 1,264 35,480
Supertex Inc* 590 20,868
Synaptics Inc* 1,300 32,877
Take-Two Interactive Software Inc* 4,154 50,679
Talx Corp 1,909 47,152
THQ Inc* 3,685 95,073
Ultratech Inc* 1,126 16,473
Varian Semiconductor Equipment Associates Inc* 3,244 114,546
Veeco Instruments Inc* 1,520 37,181
-----------
Total Technology 2,896,907
-----------
Utilities (4.82%)
Allete Inc 1,780 81,773
American States Water Co 745 28,630
Atmos Energy Corp 4,738 136,454
Avista Corp 2,483 60,188
Cascade Natural Gas Corp 520 13,338
Central Vermont Public Service Corp 573 12,938
CH Energy Group Inc 808 39,689
Cleco Corp 2,940 73,382
El Paso Electric Co* 2,842 67,952
Energen Corp 4,230 184,597
Green Mountain Power Corp 231 7,699
Laclede Group Inc/The 1,063 34,643
New Jersey Resources Corp 1,614 80,151
Northwest Natural Gas Co 1,401 53,588
Piedmont Natural Gas Co 4,420 115,229
South Jersey Industries Inc 1,500 43,485
Southern Union Co 5,708 157,769
Southwest Gas Corp 2,279 76,802
UGI Corp 6,110 151,528
UIL Holdings Corp 1,240 45,310
Unisource Energy Corp 2,052 70,818
-----------
Total Utilities 1,535,963
-----------
Total Common Stock (Cost $21,548,697) 29,580,084
-----------
Corporate Debt (0.04%)
Par Value Value
- ---------
$ 15,000 Mueller Industry Inc. (11/01/2014) 13,800
-----------
Total Corporate Debt (Cost $15,000) 13,800
-----------
Short-Term Investments (7.18%)
$ 1,000,000 United States Treasury Bill 09/14/2006 998,163
900,000 United States Treasury Bill 10/12/2006 894,936
400,000 United States Treasury Bill 11/16/2006 (b) 395,926
-----------
Total Short-Term Investments (Cost $2,288,930) 2,289,025
-----------
Total Investments (Cost $23,852,627) (a) (99.95%) $31,882,909
Other Net Assets (0.05%) 16,555
-----------
Net Assets (100.00%) $31,899,464
===========
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $23,852,627. At August
31, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $10,213,286
Unrealized depreciation (2,183,004)
-----------
Net unrealized appreciation $ 8,030,282
===========
(b) At August 31, 2006, certain United States Treasury Bills with a market
value of $197,963 were pledged to cover margin requirements for futures
contracts.
c) Futures contracts at August 31, 2006: Contracts - $500 times premium
delivery month/commitment)
Russell 2000
Stock Index : Unrealized Appreciation
6/ Sept. 06/Long $ 59,071
===========
- --------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (85.88%)
Basic Materials (3.05%)
Chemicals (1.44%)
Praxair Inc 3,692 $ 211,958
Sherwin-Williams Co/The 1,746 90,163
-----------
302,121
-----------
Forest Products & Paper (0.82%)
Plum Creek Timber Co Inc (REIT) 4,950 172,409
Mining (0.79%)
Alcoa Inc 5,750 164,392
-----------
Total Basic Materials 638,922
-----------
Communications (4.45%)
Media (2.85%)
McGraw-Hill Cos Inc/The 10,678 597,007
Telecommunications (1.60%)
AT&T Inc 10,744 334,461
-----------
Total Communications 931,468
-----------
Consumer, Cyclical (9.80%)
Apparel (0.54%)
Liz Claiborne Inc 3,036 113,455
Auto Manufacturers (1.60%)
Ford Motor Co 40,100 335,637
Retail (7.66%)
Gap Inc/The 4,450 74,805
Lowe's Cos Inc 11,500 311,190
McDonald's Corp 12,368 444,011
Ross Stores Inc 3,692 90,417
Sears Holdings Corp* 717 103,327
Target Corp 5,639 272,871
TJX Cos Inc 5,750 153,813
Wal-Mart Stores Inc 3,381 151,198
-----------
1,601,632
-----------
Total Consumer, Cyclical 2,050,724
-----------
Consumer, Non-Cyclical (16.59%)
Agriculture (1.52%)
Reynolds American Inc 4,892 318,322
Beverages (2.97%)
Anheuser-Busch Cos Inc 3,036 149,918
Coca-Cola Co/The 10,500 470,505
-----------
620,423
-----------
Commercial Services (1.78%)
Moody's Corp 6,092 372,709
Cosmetics/Personal Care (0.94%)
Procter & Gamble Co 3,180 196,842
Food (2.07%)
Sara Lee Corp 12,300 204,549
Tyson Foods Inc 15,472 227,903
-----------
432,452
-----------
Healthcare Products (2.21%)
Baxter International Inc 10,411 462,040
Healthcare Services (1.24%)
Aetna Inc 6,984 260,293
Household Products/Wares (0.99%)
ACCO Brands Corp* 410 8,881
See accompanying notes to financial statements
28
- --------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS (CONTINUED) 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Clorox Co 1,201 $ 71,832
Fortune Brands Inc 1,746 126,759
-----------
207,472
-----------
Pharmaceuticals (2.87%)
AmerisourceBergen Corp 5,606 247,561
Merck & Co Inc 1,000 40,550
Pfizer Inc 11,300 311,428
-----------
599,539
-----------
Total Consumer, Non-Cyclical 3,470,092
-----------
Energy (9.64%)
Oil & Gas (8.37%)
GlobalSantaFe Corp 2,725 134,125
Apache Corp 4,126 269,345
Chevron Corp 3,140 202,216
ConocoPhillips 4,348 275,794
Devon Energy Corp 4,752 296,952
ENSCO International Inc 3,370 150,605
Exxon Mobil Corp 6,236 421,990
-----------
1,751,027
-----------
Oil & Gas Services (1.27%)
Baker Hughes Inc 2,280 162,290
Tidewater Inc 2,180 103,791
-----------
266,081
-----------
Total Energy 2,017,108
-----------
Financial (25.04%)
Banks (8.18%)
Bank of America Corp 13,016 669,934
Fifth Third Bancorp 7,723 303,823
SunTrust Banks Inc 2,102 160,593
Wells Fargo & Co 16,594 576,641
-----------
1,710,991
-----------
Diversified Financial Services (2.46%)
Citigroup Inc 10,411 513,783
-----------
Insurance (7.29%)
American International Group Inc 4,225 269,640
Arthur J Gallagher & Co 6,200 166,160
Fidelity National Financial Inc 2,994 120,449
Fidelity National Title Group Inc 523 10,544
Marsh & McLennan Cos Inc 11,100 290,376
Metlife Inc 5,928 326,218
Stancorp Financial Group Inc 5,650 263,121
XL Capital Ltd 1,201 78,832
-----------
1,525,340
-----------
REITS (7.12%)
Annaly Capital Management Inc 7,408 92,674
Boston Properties Inc 1,746 177,446
iStar Financial Inc 3,704 155,272
Kimco Realty Corp 4,026 167,280
Mills Corp/The 5,000 89,900
Realty Income Corp 7,408 182,163
Simon Property Group Inc 2,180 184,842
SL Green Realty Corp 2,280 254,357
Vornado Realty Trust 1,746 184,918
-----------
1,488,852
-----------
Total Financial 5,238,966
-----------
Industrial (4.85%)
Aerospace/Defense (0.01%)
Raytheon Co Warrants 220 3,069
-----------
Building Materials (0.50%)
Masco Corp 3,804 104,268
-----------
Hand/Machine Tools (0.51%)
Stanley Works/The 2,280 107,684
-----------
Machinery-Construction & Mining (1.36%)
Caterpillar Inc 4,292 284,774
-----------
Metal Fabricate/Hardware (0.77%)
Worthington Industries Inc 8,400 160,524
-----------
Misc. Manufacturing (1.69%)
3M Co 2,612 187,280
ITT Corp 2,134 104,459
Leggett & Platt Inc 2,725 62,812
-----------
354,551
-----------
Total Industrial 1,014,870
-----------
Technology (7.71%)
Computers (3.12%)
Dell Inc* 9,949 224,350
Diebold Inc 1,746 73,175
Hewlett-Packard Co 5,750 210,220
Reynolds & Reynolds Co/The 3,804 145,921
-----------
653,666
-----------
Office/Business Equipment (0.48%)
Pitney Bowes Inc 2,280 99,386
-----------
Semiconductors (1.61%)
Intel Corp 17,263 337,319
-----------
Software (2.50%)
First Data Corp 8,609 369,929
Microsoft Corp 5,973 153,446
-----------
523,375
-----------
Total Technology 1,613,746
-----------
Utilities (4.73%)
Electric
Consolidated Edison Inc 6,200 286,440
Duke Energy Corp 3,400 102,000
Entergy Corp 1,746 135,577
Exelon Corp 3,146 191,843
Progress Energy Inc 1,579 69,997
SCANA Corp 4,900 202,614
-----------
Total Utilities 988,471
-----------
Total Common Stock (Cost $13,792,342) 17,964,367
-----------
Short-Term Investments (13.82%)
Par Value
- ---------
$ 2,300,000 United States Treasury Bill 09/14/2006 2,295,781
400,000 United States Treasury Bill 10/12/2006 397,749
200,000 United States Treasury Bill 11/16/2006 (b) 197,963
-----------
Total Short-Term Investments (Cost $2,891,440) 2,891,493
-----------
Total Investments (Cost $16,683,782) (a) (99.70%) 20,855,860
Other Net Assets (0.30%) 62,701
-----------
Net Assets (100.00%) $20,918,561
===========
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $16,690,359. At August
31, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 5,215,826
Unrealized depreciation (1,050,325)
-----------
Net unrealized appreciation $ 4,165,501
===========
(b) At August 31, 2006, certain United States Treasury Bills with a market
value of $197,963 were pledged to cover margin requirements for futures
contracts.
c) Futures contracts at August 31, 2006: Contracts - $500 times
premium/delivery month/commitment)
Russell 2000 Stock Index: Unrealized Appreciation
8/Sept. 06/Long $ 124,512
===========
See accompanying notes to financial statements
29
- --------------------------------------------------------------------------------
EUROPEAN GROWTH & INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stock (97.00%)
Basic Materials (3.31%)
Chemicals (1.94%)
Arkema ADR* 148 $ 5,765
BASF AG ADR 1,444 119,246
Bayer AG ADR 1,515 75,143
-----------
200,154
-----------
Mining (1.37%)
Rio Tinto PLC ADR 700 141,015
-----------
Total Basic Materials 341,169
-----------
Communications (13.64%)
Telecommunications (13.64%)
Alcatel SA ADR* 1,772 22,203
BT Group PLC ADR 2,360 111,062
Deutsche Telekom AG ADR 7,025 102,846
France Telecom SA ADR 4,500 100,440
Nokia OYJ ADR 15,428 322,137
Telecom Italia SpA ADR 2,947 81,868
Telefonaktiebolaget LM Ericsson ADR 3,994 133,400
Telefonica SA ADR 4,165 214,206
Vodafone Group PLC ADR 14,533 315,946
-----------
Total Communications 1,404,108
-----------
Consumer, Cyclical (1.30%)
Auto Manufacturers (1.30%)
DaimlerChrysler AG 2,535 133,797
-----------
Total Consumer, Cyclical 133,797
-----------
Consumer, Non-Cyclical (21.00%)
Beverages (1.48%)
Diageo PLC ADR 2,135 152,653
Cosmetics/Personal Care (0.81%)
L'Oreal SA ADR 4,005 83,768
Food (4.65%)
Nestle SA ADR 4,365 374,081
Unilever NV ADR 4,408 105,086
-----------
479,167
-----------
Pharmaceuticals (14.05%)
AstraZeneca PLC ADR 4,198 273,458
GlaxoSmithKline PLC ADR 8,088 459,237
Novartis AG ADR 6,357 363,112
Roche Holding AG ADR 3,816 350,690
-----------
1,446,497
-----------
Total Consumer, Non-Cyclicals 2,162,085
-----------
Energy (17.31%)
Oil & Gas (17.31%)
BP PLC ADR 7,276 495,132
ENI SpA ADR 4,132 252,713
Royal Dutch Shell ADR 3,235 231,497
Royal Dutch Shell PLC ADR 5,320 366,761
Total SA ADR 6,458 435,462
-----------
Total Energy 1,781,565
-----------
Financial (32.59%)
Banks (23.00%)
ABN AMRO Holding NV ADR 5,329 152,196
Banco Bilbao Vizcaya Argentaria SA ADR 9,179 210,199
Banco Santander Central Hispano SA ADR 16,958 264,036
Barclays PLC ADR 7,651 387,141
BNP Paribas ADR 4,752 252,284
Deutsche Bank AG 1,596 182,439
HSBC Holdings PLC ADR 4,754 432,329
Lloyds TSB Group PLC ADR 3,755 148,998
UBS AG 5,950 337,781
-----------
2,367,403
-----------
Diversified Financial Services (1.71%)
Credit Suisse Group ADR 3,153 176,253
Insurance (7.88%)
Aegon NV ADR 2,989 53,443
Allianz AG ADR 10,957 186,817
AXA SA ADR 4,384 163,348
ING Groep NV ADR 5,432 235,912
Prudential PLC ADR 2,089 47,128
Royal & Sun Alliance Insurance Group ADR 1,727 22,848
Swiss Reinsurance ADR 960 73,056
Zurich Financial Svs ADR 1,265 28,715
-----------
811,267
-----------
Total Financial 3,354,923
-----------
Industrial (2.99%)
Electronics (1.06%)
Koninklijke Philips Electronics NV ADR 3,184 109,275
Misc. Manufacturing (1.93%)
Siemens AG ADR 2,335 198,592
-----------
Total Industrial 307,867
-----------
Technology (1.10%)
Software
SAP AG ADR 2,367 113,001
-----------
Total Technology 113,001
-----------
Utilities (3.76%)
Electric (3.76%)
E.ON AG ADR 5,835 247,404
Suez SA ADR 3,237 139,256
-----------
Total Utilities 386,660
-----------
Total Common Stock (Cost $7,744,962) 9,985,175
-----------
Short-Term Investments (2.90%)
Par Value
- ---------
$ 200,000 United States Treasury Bill 09/14/2006 199,634
100,000 United States Treasury Bill 11/16/2006 98,981
-----------
Total Short-Term Investments (Cost $298,598) 298,615
-----------
Total Investments (Cost $8,043,560) (a) (99.90%) 10,283,790
Other Net Assets (0.10%) 10,657
-----------
Net Assets (100.00%) $10,294,447
===========
* Non-Income Producing Security
ADR - American Depository Receipts
(a) Aggregate cost for federal income tax purposes is $8,044,120. At August 31,
2006, unrealized appreciation (depreciation) of securities for federal income
tax purposes is as follows:
Unrealized appreciation $ 2,631,908
Unrealized depreciation (392,238)
-----------
Net unrealized appreciation $ 2,239,670
===========
See accompanying notes to financial statements
30
- --------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2006
- --------------------------------------------------------------------------------
VALUE
COMPANY SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Common Stocks (96.34%)
Basic Materials (0.39%)
Sigma-Aldrich Corp 868 $ 63,043
-----------
Total Basic Materials 63,043
-----------
Communications (27.81%)
Akamai Technologies Inc* 1,700 66,640
Amazon.Com Inc* 3,246 100,074
Check Point Software* 3,106 57,741
Checkfree Corp* 1,114 39,881
Cisco Systems Inc* 24,580 540,514
Comcast Corp* 10,696 374,360
Comverse Technology Inc* 2,693 56,284
Discovery Holding Co* 3,067 42,969
eBay Inc* 11,739 327,049
EchoStar Communications Corp* 2,414 76,645
Expedia Inc* 4,416 72,069
Google Inc* 1,464 554,168
IAC/InterActiveCorp* 3,902 111,129
JDS Uniphase Corp* 24,379 55,340
Juniper Networks Inc* 4,139 60,719
Lamar Advertising Co* 1,115 58,315
Liberty Global Inc* 3,112 73,474
Millicom Inter.* 1,100 42,922
NII Holdings Inc* 1,693 90,322
NTL Inc 3,792 100,450
Qualcomm Inc 22,254 838,308
Sirius Satellite Radio Inc* 18,579 75,988
Symantec Corp* 12,673 236,225
Telefonaktiebolaget LM Ericsson ADR 1,200 40,080
Tellabs Inc* 3,293 33,556
VeriSign Inc* 2,614 52,907
XM Satellite Radio Holdings Inc* 2,952 38,258
Yahoo! Inc* 7,888 227,331
-----------
Total Communications 4,443,718
-----------
Consumer, Cyclical (10.27%)
Bed Bath & Beyond Inc* 4,244 143,150
CDW Corp 924 53,869
Cintas Corp 2,296 85,021
Costco Wholesale Corp 2,804 131,199
Fastenal Co 1,608 58,981
Paccar Inc 3,367 184,074
PetSmart Inc 1,828 45,883
Ross Stores Inc 1,836 44,964
Sears Holdings Corp* 1,869 269,342
Staples Inc 5,731 129,291
Starbucks Corp* 11,876 368,275
Urban Outfitters Inc* 2,217 34,785
Wynn Resorts Ltd* 1,200 92,892
-----------
Total Consumer, Cyclical 1,641,726
-----------
Consumer, Non-Cyclical (16.34%)
Amgen Inc* 6,413 435,635
Amylin Pharmaceuticals Inc* 1,400 63,462
Apollo Group Inc* 1,998 100,320
Biogen Idec Inc* 4,154 183,358
Biomet Inc 3,722 121,747
Celgene Corp* 3,800 154,622
Dentsply International Inc 1,588 51,737
Express Scripts Inc* 1,444 121,412
Genzyme Corp* 3,671 243,130
Gilead Sciences Inc* 5,111 324,037
Intuitive Surgical Inc* 400 37,760
Lincare Holdings Inc* 1,208 44,732
Medimmune Inc* 2,993 82,727
Monster Worldwide Inc* 1,618 65,917
Patterson Cos Inc* 1,704 52,517
Paychex Inc 4,033 144,825
Sepracor Inc* 1,200 56,412
Teva Pharmaceutical Industries Ltd ADR 7,034 244,502
Whole Foods Market Inc 1,538 82,467
-----------
Total Consumer, Non-Cyclical 2,611,319
-----------
Energy (0.39%)
Patterson-UTI Energy Inc 2,249 61,623
-----------
Total Energy 61,623
-----------
Industrial (3.03%)
American Power Conversion Corp 2,529 44,435
CH Robinson Worldwide Inc 2,046 93,748
Expeditors International Washington Inc 2,400 95,688
Flextronics Intl Ltd* 7,018 82,812
Garmin Ltd 2,180 101,937
Joy Global Inc 1,500 65,309
-----------
Total Industrial 483,929
-----------
Technology (38.11%)
Activision Inc* 3,149 40,622
Adobe Systems Inc* 6,640 215,402
Altera Corp* 5,969 120,753
Apple Computer Inc* 13,248 898,877
Applied Materials Inc 9,512 160,563
ATI Technologies Inc* 3,185 68,446
Autodesk Inc* 2,900 100,804
BEA Systems Inc* 4,655 63,913
Broadcom Corp* 4,936 145,316
Cadence Design Systems Inc* 3,830 62,927
Citrix Systems Inc* 2,399 73,601
Cognizant Technology Solutions Corp* 1,600 111,856
Dell Inc* 9,657 217,765
Electronic Arts Inc* 3,404 173,502
Fiserv Inc* 2,673 118,066
Intel Corp 23,006 449,537
Intuit Inc* 5,144 155,452
Kla-Tencor Corp 2,882 126,549
Lam Research Corp* 1,571 67,223
Linear Technology Corp 4,549 154,711
Marvell Technology G* 6,590 115,391
Maxim Integrated Products Inc 5,019 146,053
Microchip Technology Inc 2,016 68,867
Microsoft Corp 39,810 1,022,719
Network Appliance Inc* 4,714 161,407
Nvidia Corp* 3,732 108,639
Oracle Corp* 24,082 376,883
Red Hat Inc* 2,242 52,104
Research In Motion Ltd* 2,063 170,198
SanDisk Corp* 2,024 119,254
Sun Microsystems Inc* 19,139 95,504
Xilinx Inc 5,558 127,109
-----------
Total Technology 6,090,013
-----------
Total Common Stock (Cost $15,299,976) 15,395,371
-----------
Short-Term Investments (3.74%)
Par Value
- ---------
$ 500,000 United States Treasury Bill 09/14/2006 499,081
100,000 United States Treasury Bill 11/16/2006 (b) 98,981
-----------
Total Short-Term Investments (Cost $598,036) 598,062
-----------
Total Investments (Cost $15,898,012) (a) (100.08%) 15,993,433
Other Net Liabilities (-0.08%) (13,098)
-----------
Net Assets (100.00%) $15,980,335
===========
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $16,004,561. At August
31, 2006, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 3,507,727
Unrealized depreciation (3,518,855)
-----------
Net unrealized depreciation $ (11,128)
===========
(b) At August 31, 2006, certain United States Treasury Bills with a market
value of $98,981 were pledged to cover margin requirements for futures
contracts.
c) Futures contracts at August 31, 2006: Contracts - $100 times
premium/delivery month/commitment)
Nasdaq 100 Stock Index: Unrealized Appreciation
3/ Sept 06/Long $ 9,986
===========
See accompanying notes to financial statements
31
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
AUGUST 31, 2006
- -------------------------------------------------------------------------------
CALIFORNIA CALIFONIA CALIFORNIA U.S. SHORT-TERM THE UNITED
TAX-FREE INSURED TAX-FREE GOVERNMENT U.S. STATES
INCOME INTERMEDIATE MONEY SECURITIES GOVERNMENT TREASURY
FUND FUND MARKET FUND FUND BOND FUND TRUST
------------ ------------ ------------ ------------ ------------ ------------
Assets
Investments at market value
(identified cost $119,384,422;
$19,289,400; $81,427,556;
$26,957,317; $14,647,259 and
$51,201,353 respectively.) (Note 1) $125,892,766 $ 19,390,000 $ 81,427,556 $ 26,542,437 $ 14,559,616 $ 51,201,353
Cash 61,662 61,176 20,898 52,644 20,435 16,466
Interest receivable 1,445,517 202,485 308,403 158,052 107,392 --
Receivable for fund shares sold 3,408 -- 227,790 2,682 104 4,418
------------ ------------ ------------ ------------ ------------ ------------
Total Assets $127,403,353 $ 19,653,661 $ 81,984,647 $ 26,755,815 $ 14,687,547 $ 51,222,237
------------ ------------ ------------ ------------ ------------ ------------
Liabilities
Payable for fund shares repurchased 16,356 671 56,248 4,299 4,339 97,342
Payable to Investment Advisor 52,529 4,171 23,285 9,065 2,276 12,857
Distributions Payable 142,370 9,044 7,057 10,543 1,877 5,210
Accrued 12b-1 fee - K Shares -- -- -- 2,083 577 1,003
Accrued shareholder service fee -
K Shares -- -- -- 2,116 586 1,032
Accrued administration fee 8,357 1,293 5,439 1,754 969 3,379
Accrued expenses 6,146 7,609 17,118 10,973 7,233 10,126
------------ ------------ ------------ ------------ ------------ ------------
Total liabilities 225,758 22,788 109,147 40,833 17,857 130,949
------------ ------------ ------------ ------------ ------------ ------------
Net assets: $127,177,595 $ 19,630,873 $ 81,875,500 $ 26,714,982 $ 14,669,690 $ 51,091,288
============ ============ ============ ============ ============ ============
Net Assets at August 31, 2006 consist of
Paid-in capital $119,828,125 $ 19,508,130 $ 81,878,758 $ 27,460,154 $ 15,071,052 $ 51,104,348
Undistributed net investment income 244,208 1,753 -- 3,091 1,532 105
Accumulated net realized gains
(losses) 596,918 20,390 (3,258) (333,383) (315,251) (13,165)
Unrealized appreciation
(depreciation) of investments 6,508,344 100,600 -- (414,880) (87,643) --
------------ ------------ ------------ ------------ ------------ ------------
$127,177,595 $ 19,630,873 $ 81,875,500 $ 26,714,982 $ 14,669,690 $ 51,091,288
============ ============ ============ ============ ============ ============
Net assets:
Direct Shares $127,177,595 $ 19,630,873 $ 81,875,500 $ 21,430,188 $ 13,234,771 $ 48,604,025
============ ============ ============ ============ ============ ============
K Shares -- -- -- $ 5,284,794 $ 1,434,919 $ 2,487,263
============ ============ ============ ============ ============ ============
Shares outstanding
Direct Shares (no par value,
unlimited shares authorized) 10,728,774 1,871,151 81,942,128 2,102,041 1,342,469 48,616,077
============ ============ ============ ============ ============ ============
K Shares (no par value, unlimited
shares authorized) -- -- -- 515,027 145,364 2,488,192
============ ============ ============ ============ ============ ============
Net asset value per share
Direct Shares $ 11.85 $ 10.49 $ 1.00 $ 10.19 $ 9.86 $ 1.00
============ ============ ============ ============ ============ ============
K Shares -- -- -- $ 10.26 $ 9.87 $ 1.00
============ ============ ============ ============ ============ ============
See accompanying notes to financial statements
32
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITIES
AUGUST 31, 2006 - (CONTINUED)
- -------------------------------------------------------------------------------
S&P 500 S&P MIDCAP S&P EQUITY EUROPEAN NASDAQ-100
INDEX INDEX SMALLCAP INCOME GROWTH & INDEX
FUND FUND INDEX FUND FUND INCOME FUND FUND
------------ ------------ ------------ ------------ ------------ ------------
Assets
Investments at market value
(identified cost $78,462,822;
$128,888,435; $23,852,627;
$16,683,782; $8,043,560 and
$15,898,012 respectively.) (Note 1) $106,825,355 $168,778,829 $ 31,882,909 $ 20,855,860 $ 10,283,790 $ 15,993,433
Cash 88,983 44,524 66,593 43,846 146 5,276
Interest receivable -- -- 300 -- -- --
Dividend receivable 228,416 168,878 12,520 44,067 33,943 12,660
Receivable for fund shares sold 1,269 2,944 4,209 141 635 77
Variation margin receivable 125 6,400 -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Assets 107,144,148 169,001,575 31,966,531 20,943,914 10,318,514 16,011,446
------------ ------------ ------------ ------------ ------------ ------------
Liabilities
Payable for fund shares repurchased 3,353 293,160 34,227 2,607 10,425 15,276
Payable to Investment Advisor 9,993 45,081 9,775 8,712 2,928 1,032
Variation Margin Payable -- -- 1,200 1,600 -- 450
Accrued 12b-1 fee - K Shares 2,371 2,234 2,864 1,514 1,763 1,486
Accrued shareholder service fee -
K Shares 2,282 2,127 2,964 1,537 1,784 1,513
Accrued administration fee 7,004 11,049 2,069 1,357 666 1,030
Accrued expenses 32,625 43,483 13,968 8,026 6,501 10,324
------------ ------------ ------------ ------------ ------------ ------------
Total liabilities 57,628 397,134 67,067 25,353 24,067 31,111
------------ ------------ ------------ ------------ ------------ ------------
Net assets: $107,086,520 $168,604,441 $ 31,899,464 $ 20,918,561 $ 10,294,447 $ 15,980,335
============ ============ ============ ============ ============ ============
Net Assets at August 31, 2006 consist of
Paid-in capital $ 86,221,169 $119,106,333 $ 21,465,885 $ 16,115,375 $ 8,260,769 $ 28,040,043
Undistributed net investment income 305,899 189,940 961 30,614 70,727 --
Accumulated net realized gains
(losses) (7,809,256) 9,400,874 2,343,265 475,982 (277,279) (12,165,115
Unrealized appreciation
(depreciation) of investments 28,362,533 39,890,394 8,030,282 4,172,078 2,240,230 95,421
Unrealized appreciation
(depreciation) of futures contracts 6,175 16,900 59,071 124,512 -- 9,986
------------ ------------ ------------ ------------ ------------ ------------
$107,086,520 $168,604,441 $ 31,899,464 $ 20,918,561 $ 10,294,447 $ 15,980,335
============ ============ ============ ============ ============ ============
Net assets:
Direct Shares $100,927,469 $162,987,755 $ 24,609,484 $ 17,089,560 $ 5,718,821 $ 12,072,343
============ ============ ============ ============ ============ ============
K Shares $ 6,159,051 $ 5,616,686 $ 7,289,980 $ 3,829,001 $ 4,575,626 $ 3,907,992
============ ============ ============ ============ ============ ============
Shares outstanding
Direct Shares (no par value,
unlimited shares authorized) 3,836,643 7,120,749 1,270,122 1,034,168 577,036 3,048,227
============ ============ ============ ============ ============ ============
K Shares (no par value, unlimited
shares authorized) 233,213 245,470 377,176 231,212 460,303 994,605
============ ============ ============ ============ ============ ============
Net asset value per share
Direct Shares $ 26.31 $ 22.89 $ 19.38 $ 16.52 $ 9.91 $ 3.96
============ ============ ============ ============ ============ ============
K Shares $ 26.41 $ 22.88 $ 19.33 $ 16.56 $ 9.94 $ 3.93
============ ============ ============ ============ ============ ============
See accompanying notes to financial statements
33
- -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2006
- -------------------------------------------------------------------------------
CALIFORNIA CALIFONIA CALIFORNIA U.S. SHORT-TERM THE UNITED
TAX-FREE INSURED TAX-FREE GOVERNMENT U.S. STATES
INCOME INTERMEDIATE MONEY SECURITIES GOVERNMENT TREASURY
FUND FUND MARKET FUND FUND BOND FUND TRUST
------------ ------------ ------------ ------------ ------------ ------------
Investment income
Interest income $ 6,499,084 $ 767,659 $ 2,000,758 $ 1,288,774 $ 611,038 $ 1,678,170
------------ ------------ ------------ ------------ ------------ ------------
Expenses
Management fees (Note 2) 649,314 100,910 324,827 134,422 76,765 196,893
Administration fees (Note 2) 104,173 15,771 50,762 21,008 11,997 30,747
Transfer agent fees 36,910 16,065 22,790 24,465 17,474 25,074
Accounting services 53,576 19,962 33,277 20,418 14,845 22,525
Custodian fees 9,119 1,709 6,187 3,450 1,830 4,013
Legal, audit, and compliance fees
(Note 2) 56,014 12,218 31,664 14,673 10,013 20,466
Trustees fees 9,724 8,692 9,128 3,072 2,970 3,195
Insurance 5,307 831 2,232 1,094 632 1,558
Printing 13,846 1,857 7,315 5,091 1,971 5,085
Registration and dues 3,212 967 1,965 3,106 2,526 3,676
12b-1 fees K-shares (Note 2) -- -- -- 11,788 3,434 6,161
Shareholder service fee - K shares
(Note 2) -- -- -- 11,788 3,434 6,161
Licensing fee -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total expenses 941,195 178,982 490,147 254,375 147,891 325,554
------------ ------------ ------------ ------------ ------------ ------------
Less reimbursement from
manager (Note 2) -- (41,744) (145,589) (31,857) (50,442) (104,529)
------------ ------------ ------------ ------------ ------------ ------------
Net expenses 941,195 137,238 344,558 222,518 97,449 221,025
------------ ------------ ------------ ------------ ------------ ------------
Net investment income (loss) 5,557,889 630,421 1,656,200 1,066,256 513,589 1,457,145
============ ============ ============ ============ ============ ============
Realized and unrealized gain (loss) on investments
Net realized gain (loss) from
security transactions 705,129 38,444 -- (104,210) (123,159) (10,457)
Change in unrealized appreciation
(depreciation) of investments (3,921,970) (363,402) -- (748,216) (39,575) --
------------ ------------ ------------ ------------ ------------ ------------
Net realized and unrealized gain
(loss) on investments (3,216,841) (324,958) -- (852,426) (162,734) (10,457)
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations $ 2,341,048 $ 305,463 $ 1,656,200 $ 213,830 $ 350,855 $ 1,446,688
============ ============ ============ ============ ============ ============
See accompanying notes to financial statements
34
- -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2006 - (CONTINUED)
- -------------------------------------------------------------------------------
S&P S&P S&P EQUITY EUROPEAN NASDAQ-100
500 INDEX MIDCAP INDEX SMALLCAP INCOME GROWTH & INDEX
FUND FUND INDEX FUND FUND INCOME FUND FUND
------------ ------------ ------------ ------------ ------------ ------------
Investment income
Interest income $ 71,578 $ 129,713 $ 88,416 $ 109,499 $ 7,510 $ 17,780
Dividend income (Net of foreign tax
witheld: $0; $0; $289; $0; $35,615;
$454 respectively) 2,066,355 2,465,342 304,770 405,011 322,385 103,596
------------ ------------ ------------ ------------ ------------ ------------
Total 2,137,933 2,595,055 393,186 514,510 329,895 121,376
------------ ------------ ------------ ------------ ------------ ------------
Expenses
Management fees (Note 2) 271,598 698,638 157,392 102,059 76,562 88,568
Administration fees (Note 2) 84,882 136,430 24,589 15,947 7,037 13,840
Transfer agent fees 36,302 39,880 30,374 23,310 20,292 29,884
Accounting services 63,800 85,096 35,991 16,076 12,981 16,179
Custodian fees 14,029 16,660 5,009 1,861 1,444 3,090
Legal, audit, and compliance fees
(Note 2) 45,582 63,095 15,000 12,984 7,523 10,711
Trustees fees 4,446 6,244 3,090 2,948 2,927 2,986
Insurance 4,079 6,186 1,130 747 303 702
Printing 35,288 45,444 11,728 7,762 4,247 9,691
Registration and dues 7,327 8,920 3,301 1,805 1,118 2,377
12b-1 Fees K-Shares (Note 2) 13,298 13,335 16,750 8,761 9,372 9,133
Shareholder Service Fee - K Shares
(Note 2) 13,298 13,335 16,750 8,761 9,372 9,133
Licensing fee 11,073 15,164 2,780 -- -- 5,006
------------ ------------ ------------ ------------ ------------ ------------
Total expenses 605,002 1,148,427 323,884 203,021 153,178 201,300
Less reimbursement from manager
(Note 2) (187,303) (108,736) (57,446) (950) (44,359) (51,952)
------------ ------------ ------------ ------------ ------------ ------------
Net expenses 417,699 1,039,691 266,438 202,071 108,819 149,348
------------ ------------ ------------ ------------ ------------ ------------
Net investment income (loss) 1,720,234 1,555,364 126,748 312,439 221,076 (27,972)
------------ ------------ ------------ ------------ ------------ ------------
Realized and unrealized gain (loss) on
investments
Net realized gain (loss) from security
transactions 1,425,251 10,284,556 2,405,132 388,509 (6,274) (2,051,337)
Net realized gain (loss) from futures
contracts 156,425 (84,441) 167,539 109,751 -- (8,664)
Change in unrealized appreciation
(depreciation) of investments 5,564,773 (2,383,986) (700,977) 363,346 1,261,470 2,068,757
Change in unrealized appreciation
(depreciation) of futures contracts (32,175) (18,792) (54,376) 102,230 -- 2,740
------------ ------------ ------------ ------------ ------------ ------------
Net realized and unrealized gain on
investments 7,114,274 7,797,337 1,817,318 963,836 1,255,196 11,496
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations $ 8,834,508 $ 9,352,701 $ 1,944,066 $ 1,276,275 $ 1,476,272 $ (16,476)
============ ============ ============ ============ ============ ============
See accompanying notes to financial statements
35
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
CALIFORNIA TAX-FREE CALIFORNIA INSURED CALIFORNIA TAX-FREE
INCOME FUND INTERMEDIATE FUND MONEY MARKET FUND
--------------------------- --------------------------- ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31, August 31,
2006 2005 2006 2005 2006 2005
------------ ------------ ------------ ------------ ------------ ------------
Operations
Net investment income $ 5,557,889 $ 5,944,124 $ 630,421 $ 758,800 $ 1,656,200 $ 1,062,279
Net realized gain (loss) on investments 705,129 2,835,298 38,444 247,778 -- --
Change in unrealized appreciation
(depreciation) of investments (3,921,970) (4,551,279) (363,402) (620,069) -- --
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations 2,341,048 4,228,143 305,463 386,509 1,656,200 1,062,279
Distributions to shareholders
Distributions from net investment
income (5,530,802) (5,919,149) (628,668) (759,043) (1,656,200) (1,062,279)
Distributions from realized capital
gains on investments (3,082,710) (2,641,599) (269,416) (54,421) -- --
Capital share transactions
Increase (decrease) in net assets
resulting from capital share
transactions (8,674,796) (11,869,851) (1,842,425) (3,860,134) 26,090,646 (37,394,976)
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) (14,947,260) (16,202,456) (2,435,046) (4,287,089) 26,090,646 (37,394,976)
Net assets
Beginning of year 142,124,855 158,327,311 22,065,919 26,353,008 55,784,854 93,179,830
------------ ------------ ------------ ------------ ------------ ------------
End of year $127,177,595 $142,124,855 $ 19,630,873 $ 22,065,919 $ 81,875,500 $ 55,784,854
============ ============ ============ ============ ============ ============
Including undistributed net investment
income of: $ 244,208 $ 223,687 $ 1,753 $ -- $ -- $ --
============ ============ ============ ============ ============ ============
U.S. GOVERNMENT SHORT-TERM U.S. THE UNITED STATES
SECURITIES FUND GOVERNMENT BOND FUND TREASURY TRUST
--------------------------- --------------------------- ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31, August 31,
2006 2005 2006 2005 2006 2005
------------ ------------ ------------ ------------ ------------ ------------
Operations
Net investment income $ 1,066,256 $ 1,023,967 $ 513,589 $ 341,109 $ 1,457,145 $ 774,645
Net realized gain (loss) on
investments (104,210) (229,173) (123,159) (192,092) (10,457) (2,708)
Change in unrealized appreciation
(depreciation) of investments (748,216) 222,750 (39,575) (19,505) -- --
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations 213,830 1,017,544 350,855 129,512 1,446,688 771,937
Distributions to shareholders
Distributions from net investment
income
Direct shares (897,943) (926,065) (472,821) (318,935) (1,377,551) (751,092)
K shares (168,219) (97,919) (39,936) (21,469) (79,594) (23,553)
Distributions from realized capital
gains on investments
Direct shares -- (223,713) -- (7,254) -- (2,308)
K shares -- (22,198) -- (669) -- (96)
Capital share transactions
Increase (decrease) in net assets
resulting from capital share
transactions (1,764,961) 441,657 (1,799,370) 516,348 11,695,934 (675,710)
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) $ (2,617,293) $ 189,306 $ (1,961,272) $ 297,533 $ 11,685,477 $ (680,822)
Net assets
Beginning of year 29,332,275 29,142,969 16,630,962 16,333,429 39,405,811 40,086,633
------------ ------------ ------------ ------------ ------------ ------------
End of year $ 26,714,982 $ 29,332,275 $ 14,669,690 $ 16,630,962 $ 51,091,288 $ 39,405,811
============ ============ ============ ============ ============ ============
Including undistributed net investment
income of: $ 3,091 $ 2,997 $ 1,532 $ 1,999 $ 105 $ 105
============ ============ ============ ============ ============ ============
See accompanying notes to financial statements
36
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - (CONTINUED)
- -------------------------------------------------------------------------------
S&P 500 INDEX FUND S&P MIDCAP INDEX FUND S&P SMALLCAP INDEX FUND
-------------------------- --------------------------- ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31, August 31,
2006 2005 2006 2005 2006 2005
------------ ------------ ------------ ------------ ------------ ------------
Operations
Net investment income $ 1,720,234 $ 2,001,052 $ 1,555,364 $ 1,251,802 $ 126,748 $ 123,018
Net realized gain (loss) on
investments 1,425,251 586,226 10,284,556 11,202,350 2,405,132 1,016,107
Net realized gain (loss) on futures
contracts 156,425 87,614 (84,441) 1,327,625 167,539 189,103
Change in unrealized appreciation
(depreciation) of investments 5,564,773 10,079,510 (2,383,986) 17,900,980 (700,977) 4,740,302
Change in unrealized appreciation
(depreciation) of futures contracts (32,175) 32,705 (18,792) 92,635 (54,376) 105,266
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations 8,834,508 12,787,107 9,352,701 31,775,392 1,944,066 6,173,796
Distributions to shareholders
Distributions from net investment
income
Direct shares (1,623,240) (1,982,660) (1,514,324) (1,228,758) (131,970) (121,035)
K shares (54,572) (43,205) (21,589) (12,820) (2,859) (642)
Distributions from realized capital
gains on investments
Direct shares -- -- (10,820,857) -- (1,089,895) (986,194)
K shares -- -- (324,475) -- (275,642) (155,275)
Capital share transactions
Increase (decrease) in net assets
resulting from capital share
transactions (7,610,188) (11,787,670) 5,397,718 6,864,766 1,136,125 1,966,302
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) (453,492) (1,026,428) 2,069,174 37,398,580 1,579,825 6,876,952
Net assets
Beginning of year 107,540,012 108,566,440 166,535,267 129,136,687 30,319,639 23,442,687
------------ ------------ ------------ ------------ ------------ ------------
End of year $107,086,520 $107,540,012 $168,604,441 $166,535,267 $ 31,899,464 $ 30,319,639
============ ============ ============ ============ ============ ============
Including undistributed net
investment income of: $ 305,899 $ 263,477 $ 189,940 $ 170,489 $ 961 $ 9,042
============ ============ ============ ============ ============ ============
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - (CONTINUED)
- -------------------------------------------------------------------------------
EUROPEAN
EQUITY INCOME FUND GROWTH & INCOME FUND NASDAQ-100 INDEX FUND
-------------------------- --------------------------- ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31, August 31,
2006 2005 2006 2005 2006 2005
------------ ------------ ------------ ------------ ------------ ------------
Operations
Net investment income $ 312,439 $ 288,311 $ 221,076 $ 125,832 $ (27,972) $ 102,419
Net realized gain (loss) on
investments 388,509 348,651 (6,274) (10,275) (2,051,337) (597,383)
Net realized gain (loss) on futures
contracts 109,751 517,192 -- -- (8,664) 18,101
Change in unrealized appreciation
(depreciation) of investments 363,346 1,456,709 1,261,470 1,155,216 2,068,757 2,942,611
Change in unrealized appreciation
(depreciation) of futures contracts 102,230 (24,378) -- -- 2,740 7,246
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations 1,276,275 2,586,485 1,476,272 1,270,773 (16,476) 2,472,994
Distributions to shareholders
Distributions from net
investment income
Direct shares (283,325) (252,103) (106,253) (93,107) (37,816) (61,994)
K shares (41,164) (25,166) (60,540) (34,772) -- (7,378)
Distributions from realized capital
gains on investments
Direct shares (362,886) -- -- -- -- --
K shares (70,865) -- -- -- -- --
Capital share transactions
Increase (decrease) in net assets
resulting from capital share
transactions 524,894 2,959,647 908,468 1,834,152 (2,543,750) 175,523
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) 1,042,929 5,268,863 2,217,947 2,977,046 (2,598,042) 2,579,145
Net assets
Beginning of year 19,875,632 14,606,769 8,076,500 5,099,454 18,578,377 15,999,232
------------ ------------ ------------ ------------ ------------ ------------
End of year $ 20,918,561 $ 19,875,632 $ 10,294,447 $ 8,076,500 $ 15,980,335 $ 18,578,377
============ ============ ============ ============ ============ ============
Including undistributed net
investment income of: $ 30,614 $ 42,664 $ 70,727 $ 16,444 $ -- $ 33,047
============ ============ ============ ============ ============ ============
See accompanying notes to financial statements
37
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - (CONTINUED)
- -------------------------------------------------------------------------------
CALIFORNIA TAX-FREE
INCOME FUND
-------------------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
-------------------------- --------------------------
Shares Value Shares Value
---------- ------------ ---------- ------------
Shares sold 804,867 $ 9,606,780 723,431 $ 9,046,298
Shares issued in reinvestment of
distributions 564,912 6,716,371 516,415 6,440,138
---------- ------------ ---------- ------------
1,369,779 16,323,151 1,239,846 15,486,436
Shares repurchased (2,097,858) (24,997,947)(a) (2,175,284) (27,356,287)(b)
---------- ------------ ---------- ------------
Net increase (decrease) (728,079) $ (8,674,796) (935,438) $(11,869,851)
========== ============ ========== ============
CALIFORNIA INSURED
INTERMEDIATE FUND
--------------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
------------------------ ------------------------
Shares Value Shares Value
-------- ------------ -------- ------------
Shares sold 73,755 $ 776,417 98,808 $ 1,075,273
Shares issued in reinvestment of
distributions 73,269 769,919 57,857 628,268
-------- ------------ -------- ------------
147,024 1,546,336 156,665 1,703,541
Shares repurchased (320,513) (3,388,761) (512,642) (5,563,675)
-------- ------------ -------- ------------
Net increase (decrease) (173,489) $ (1,842,425) (355,977) $ (3,860,134)
======== ============ ======== ============
CALIFORNIA TAX-FREE THE UNITED STATES TREASURY TRUST
MONEY MARKET FUND DIRECT SHARES K SHARES
---------------------------- ---------------------------- ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31, August 31,
2006 2005 2006 2005 2006 2005
------------ ------------ ------------ ------------ ------------ ------------
Shares/Value Shares/Value Shares/Value Shares/Value Shares/Value Shares/Value
------------ ------------ ------------ ------------ ------------ ------------
Shares sold 148,645,438 60,780,393 50,833,278 58,408,974 1,814,100 2,829,000
Shares issued in reinvestment of
distributions 1,596,219 1,032,811 1,399,722 675,688 79,314 23,677
------------ ------------ ------------ ------------ ------------ ------------
150,241,657 61,813,204 52,233,000 59,084,662 1,893,414 2,852,677
Shares repurchased (124,151,011) (99,208,180) (40,535,647) (61,306,417) (1,894,833) (1,306,632)
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) 26,090,646 (37,394,976) 11,697,353 (2,221,755) (1,419) 1,546,045
============ ============ ============ ============ ============ ============
U.S. GOVERNMENT SECURITIES FUND DIRECT SHARES
Year Ended Year Ended
August 31, 2006 August 31, 2005
---------------------- ----------------------
Shares Value Shares Value
-------- ----------- -------- -----------
Shares sold 224,509 $ 2,292,005 336,278 $ 3,539,744
Shares issued on reinvestment of distributions 75,760 772,335 93,062 975,781
-------- ----------- -------- -----------
300,269 3,064,340 429,340 4,515,525
Shares repurchased (579,455) (5,934,947) (638,215) (6,705,485)(c)
-------- ----------- -------- -----------
Net increase (decrease) (279,186) $(2,870,607) (208,875) $(2,189,960)
======== =========== ======== ===========
U.S. GOVERNMENT SECURITIES FUND K SHARES
Year Ended Year Ended
August 31, 2006 August 31, 2005
--------------------- ---------------------
Shares Value Shares Value
------- ----------- ------- -----------
Shares sold 155,421 $ 1,597,000 289,030 $ 3,054,854
Shares issued on reinvestment of distributions 16,412 168,222 11,439 120,529
------- ----------- ------- -----------
171,833 1,765,222 300,469 3,175,383
Shares repurchased (64,390) (659,576) (51,476) (543,766)
------- ----------- ------- -----------
Net increase (decrease) 107,443 $ 1,105,646 248,993 $ 2,631,617
======= =========== ======= ===========
SHORT-TERM U.S. GOVERNMENT BOND FUND DIRECT SHARES
Year Ended Year Ended
August 31, 2006 August 31, 2005
---------------------- ----------------------
Shares Value Shares Value
-------- ----------- -------- -----------
Shares sold 330,246 $ 3,260,063 617,962 $ 6,185,003
Shares issued on reinvestment of distributions 45,663 449,656 31,075 310,145
-------- ----------- -------- -----------
375,909 3,709,719 649,037 6,495,148
Shares repurchased (575,772) (5,679,685) (603,266) (6,037,432)
-------- ----------- -------- -----------
Net increase (decrease) (199,863) $(1,969,966) 45,771 $ 457,716
======== =========== ======== ===========
SHORT-TERM U.S. GOVERNMENT BOND FUND K SHARES
Year Ended Year Ended
August 31, 2006 August 31, 2005
--------------------- ---------------------
Shares Value Shares Value
------- ----------- ------- -----------
Shares sold 52,538 $ 518,067 58,915 $ 589,277
Shares issued on reinvestment of distributions 4,053 39,936 2,217 22,140
------- ----------- ------- -----------
56,591 558,003 61,132 611,417
Shares repurchased (39,390) (387,407) (55,341) (552,785)
------- ----------- ------- -----------
Net increase (decrease) 17,201 $ 170,596 5,791 $ 58,632
======= =========== ======= ===========
S&P 500 INDEX FUND DIRECT SHARES
Year Ended Year Ended
August 31, 2006 August 31, 2005
----------------------- -----------------------
Shares Value Shares Value
-------- ------------ -------- ------------
Shares sold 141,028 $ 3,583,383 228,945 $ 5,451,938
Shares issued on reinvestment of
distributions 50,975 1,293,258 66,663 1,582,799
-------- ------------ -------- ------------
192,003 4,876,641 295,608 7,034,737
Shares repurchased (536,066) (13,667,738)(d) (878,422) (20,867,030)(e)
-------- ------------ -------- ------------
Net increase (decrease) (344,063) $ (8,791,097) (582,814) $(13,832,293)
======== ============ ======== ============
S&P 500 INDEX FUND K SHARES
Year Ended Year Ended
August 31, 2006 August 31, 2005
---------------------- ----------------------
Shares Value Shares Value
------- ------------ ------- ------------
Shares sold 77,356 $ 1,987,153 110,280 $ 2,599,667
Shares issued on reinvestment of
distributions 2,109 53,831 1,782 42,835
------- ------------ ------- ------------
79,465 2,040,984 112,062 2,642,502
Shares repurchased (34,110) (860,075) (25,282) (597,879)
------- ------------ ------- ------------
Net increase (decrease) 45,355 $ 1,180,909 86,780 $ 2,044,623
======= ============ ======= ============
(a) Net of redemption fees of $586
(b) Net of redemption fees of $342
(c) Net of redemption fees of $30
(d) Net of redemption fees of $8
(e) Net of redemption fees of $1,911
See accompanying notes to financial statements
38
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS - (CONTINUED)
- -------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND DIRECT SHARES
----------------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
------------------------- -------------------------
Shares Value Shares Value
---------- ------------ ---------- ------------
Shares sold 1,146,233 $ 26,794,618 1,329,401 $ 28,263,071
Shares issued on reinvestment of
distributions 494,292 11,162,906 48,867 1,044,383
---------- ------------ ---------- ------------
1,640,525 37,957,524 1,378,268 29,307,454
Shares repurchased (1,447,209) (33,402,615)(a) (1,117,527) (24,116,552)(b)
---------- ------------ ---------- ------------
Net increase (decrease) 193,316 $ 4,554,909 260,741 $ 5,190,902
========== ============ ========== ============
S&P MIDCAP INDEX FUND K SHARES
----------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
---------------------- ----------------------
Shares Value Shares Value
------- ------------ ------- ------------
Shares sold 61,340 $ 1,428,560 112,187 $ 2,357,193
Shares issued on reinvestment of
distributions 15,323 345,380 578 12,418
------- ------------ ------- ------------
76,663 1,773,940 112,765 2,369,611
Shares repurchased (40,347) (931,131) (33,015) (695,747)
------- ------------ ------- ------------
Net increase (decrease) 36,316 $ 842,809 79,750 $ 1,673,864
======= ============ ======= ============
S&P SMALLCAP INDEX FUND DIRECT SHARES
----------------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
------------------------- -------------------------
Shares Value Shares Value
---------- ------------ ---------- ------------
Shares sold 143,624 $ 2,806,976 215,853 $ 3,826,293
Shares issued on reinvestment of
distributions 64,291 1,202,550 61,416 1,086,452
---------- ------------ ---------- ------------
207,915 4,009,526 277,269 4,912,745
Shares repurchased (208,506) (4,014,170)(c) (314,934) (5,581,158)(d)
---------- ------------ ---------- ------------
Net increase (decrease) (591) $ (4,644) (37,665) $ (668,413)
========== ============ ========== ============
S&P SMALLCAP INDEX FUND K SHARES
----------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
---------------------- ----------------------
Shares Value Shares Value
------- ------------ ------- ------------
Shares sold 106,001 $ 2,053,593 180,225 $ 3,201,964
Shares issued on reinvestment of
distributions 14,990 278,502 8,843 155,917
------- ------------ ------- ------------
120,991 2,332,095 189,068 3,357,881
Shares repurchased (62,518) (1,191,326) (41,049) (723,166)
------- ------------ ------- ------------
Net increase (decrease) 58,473 $ 1,140,769 148,019 $ 2,634,715
======= ============ ======= ============
EQUITY INCOME FUND DIRECT SHARES
----------------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
------------------------- -------------------------
Shares Value Shares Value
---------- ------------ ---------- ------------
Shares sold 163,038 $ 2,615,163 348,695 $ 5,284,387
Shares issued on reinvestment of
distributions 37,420 595,905 15,372 234,049
---------- ------------ ---------- ------------
200,458 3,211,068 364,067 5,518,436
Shares repurchased (198,416) (3,197,763)(e) (265,628) (4,028,317)(f)
---------- ------------ ---------- ------------
Net increase (decrease) 2,042 $ 13,305 98,439 $ 1,490,119
========== ============ ========== ============
EQUITY INCOME FUND K SHARES
----------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
---------------------- ----------------------
Shares Value Shares Value
------- ------------ ------- ------------
Shares sold 84,693 $ 1,370,498 122,841 $ 1,876,427
Shares issued on reinvestment of
distributions 7,019 112,019 1,649 25,285
------- ------------ ------- ------------
91,712 1,482,517 124,490 1,901,712
Shares repurchased (60,564) (970,928) (28,650) (432,184)
------- ------------ ------- ------------
Net increase (decrease) 31,148 $ 511,589 95,840 $ 1,469,528
======= ============ ======= ============
EUROPEAN GROWTH & INCOME FUND DIRECT SHARES
----------------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
------------------------- -------------------------
Shares Value Shares Value
---------- ------------ ---------- ------------
Shares sold 114,178 $ 1,046,475 200,192 $ 1,634,738
Shares issued on reinvestment
of distributions 11,169 103,760 11,452 91,607
---------- ------------ ---------- ------------
125,347 1,150,235 211,644 1,726,345
Shares repurchased (134,555) (1,212,697) (178,134) (1,428,679)(g)
---------- ------------ ---------- ------------
Net increase (decrease) (9,208) $ (62,462) 33,510 $ 297,666
========== ============ ========== ============
EUROPEAN GROWTH & INCOME FUND K SHARES
----------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
---------------------- ----------------------
Shares Value Shares Value
------- ------------ ------- ------------
Shares sold 168,613 $ 1,555,807 241,874 $ 1,956,833
Shares issued on reinvestment
of distributions 6,431 60,540 4,300 34,800
------- ------------ ------- ------------
175,044 1,616,347 246,174 1,991,633
Shares repurchased (69,793) (645,417) (56,580) (455,147)
------- ------------ ------- ------------
Net increase (decrease) 105,251 $ 970,930 189,594 $ 1,536,486
======= ============ ======= ============
NASDAQ-100 INDEX FUND DIRECT SHARES
----------------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
------------------------- -------------------------
Shares Value Shares Value
---------- ------------ ---------- ------------
Shares sold 290,532 $ 1,190,697 619,200 $ 2,368,771
Shares issued on reinvestment
of distributions 8,779 37,486 14,943 60,976
---------- ------------ ---------- ------------
299,311 1,228,183 634,143 2,429,747
Shares repurchased (1,056,057) (4,329,951)(h) (979,336) (3,734,072)(i)
---------- ------------ ---------- ------------
Net increase (decrease) (756,746) $ (3,101,768) (345,193) $ (1,304,325)
========== ============ ========== ============
NASDAQ-100 INDEX FUND K SHARES
----------------------------------------------------
Year Ended Year Ended
August 31, 2006 August 31, 2005
----------------------- ----------------------
Shares Value Shares Value
-------- ------------ ------- ------------
Shares sold 333,070 $ 1,352,885 522,499 $ 2,003,324
Shares issued on reinvestment
of distributions -- -- 1,918 7,785
-------- ------------ ------- ------------
333,070 1,352,885 524,417 2,011,109
Shares repurchased (200,810) (794,867) (140,898) (531,261)
-------- ------------ ------- ------------
Net increase (decrease) 132,260 $ 558,018 383,519 $ 1,479,848
======== ============ ======= ============
(a) Net of redemption fees of $169
(b) Net of redemption fees of $956
(c) Net of redemption fees of $3
(d) Net of redemption fees of $83
(e) Net of redemption fees of $741
(f) Net of redemption fees of $24
(g) Net of redemption fees of $46
(h) Net of redemption fees of $46
(i) Net of redemption fees of $50
See accompanying notes to financial statements
39
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
CALIFORNIA TAX-FREE INCOME FUND 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 12.41 $ 12.78 $ 12.66 $ 13.24 $ 13.17
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.50 0.50 0.50 0.50 0.52
Net gain (loss) on securities
(both realized and unrealized) (0.29) (0.13) 0.22 (0.42) 0.18
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.21 0.37 0.72 0.08 0.70
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.50) (0.51) (0.50) (0.50) (0.52)
Distributions from capital gains (0.27) (0.23) (0.10) (0.16) (0.11)
----------- ----------- ----------- ----------- -----------
Total distributions (0.77) (0.74) (0.60) (0.66) (0.63)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 11.85 $ 12.41 $ 12.78 $ 12.66 $ 13.24
=========== =========== =========== =========== ===========
Total return 1.84% 2.96% 5.82% 0.61% 5.55%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 127,178 $ 142,125 $ 158,327 $ 172,488 $ 206,909
Ratio of expenses to average net
assets: 0.71% 0.66% 0.62% 0.61% 0.61%
Ratio of net investment income to
average net assets: 4.17% 4.05% 3.86% 3.82% 4.11%
Portfolio turnover 17.01% 31.95% 11.64% 1.44% 22.94%
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
CALIFORNIA INSURED INTERMEDIATE FUND 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 10.79 $ 10.98 $ 10.80 $ 11.22 $ 11.09
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.33 0.34 0.33 0.33 0.39
Net gain (loss) on securities
(both realized and unrealized) (0.16) (0.17) 0.21 (0.21) 0.27
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.17 0.17 0.54 0.12 0.66
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.33) (0.34) (0.33) (0.33) (0.39)
Distributions from capital gains (0.14) (0.02) (0.03) (0.21) (0.14)
----------- ----------- ----------- ----------- -----------
Total distributions (0.47) (0.36) (0.36) (0.54) (0.53)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 10.49 $ 10.79 $ 10.98 $ 10.80 $ 11.22
=========== =========== =========== =========== ===========
Total return 1.67% 1.58% 5.06% 1.03% 6.17%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 19,631 $ 22,066 $ 26,353 $ 27,906 $ 27,105
Ratio of expenses to average net
assets:
Before expense reimbursements 0.89% 0.78% 0.71% 0.71% 0.72%
After expense reimbursements 0.68% 0.65% 0.59% 0.58% 0.55%
Ratio of net investment income to
average net assets:
Before expense reimbursements 2.92% 2.95% 2.85% 2.83% 3.43%
After expense reimbursements 3.12% 3.08% 2.97% 2.96% 3.60%
Portfolio turnover 2.75% 9.18% 21.62% 22.45% 29.28%
(a) Less than $0.01 per share.
See accompanying notes to financial statements
40
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
CALIFORNIA TAX-FREE MONEY MARKET FUND 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.025 0.014 0.005 0.007 0.011
LESS DISTRIBUTIONS
Dividends from net investment income (0.025) (0.014) (0.005) (0.007) (0.011)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
=========== =========== =========== =========== ===========
Total return 2.52% 1.46% 0.54% 0.70% 1.15%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 81,876 $ 55,785 $ 93,180 $ 88,804 $ 93,371
Ratio of expenses to average net
assets:
Before expense reimbursements 0.75% 0.69% 0.65% 0.65% 0.65%
After expense reimbursements 0.53% 0.50% 0.44% 0.43% 0.40%
Ratio of net investment income to
average net assets:
Before expense reimbursements 2.32% 1.22% 0.33% 0.48% 0.90%
After expense reimbursements 2.54% 1.41% 0.54% 0.70% 1.15%
See accompanying notes to financial statements
41
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
U.S. GOVERNMENT SECURITIES FUND August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 10.51 $ 10.60 $ 10.56 $ 10.73 $ 10.77
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.42 0.37 0.35 0.35 0.50
Net gain (loss) on securities
(both realized and unrealized) (0.32) (0.00)(a) 0.09 (0.08) 0.19
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.10 0.37 0.44 0.27 0.69
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.42) (0.37) (0.32) (0.44) (0.59)
Distributions from capital gains -- (0.09) (0.08) -- (0.14)
----------- ----------- ----------- ----------- -----------
Total distributions (0.42) (0.46) (0.40) (0.44) (0.73)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 10.19 $ 10.51 $ 10.60 $ 10.56 $ 10.73
=========== =========== =========== =========== ===========
Total return 1.00% 3.60% 4.23% 2.52% 6.65%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 21,430 $ 25,024 $ 27,454 $ 31,585 $ 33,275
Ratio of expenses to average net
assets:
Before expense reimbursements: 0.86% 0.79% 0.75% 0.71% 0.71%
After expense reimbursements: 0.74% 0.71% 0.65% 0.65% 0.65%
Ratio of net investment income to
average net assets:
Before expense reimbursements 3.94% 3.46% 2.92% 3.22% 4.59%
After expense reimbursements 4.06% 3.54% 3.02% 3.28% 4.65%
Portfolio turnover 71.63% 39.85% 103.98% 39.29% 150.35%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 10.57 $ 10.65 $ 10.55
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.36 0.31 0.23
Net gain (loss) on securities
(both realized and unrealized) (0.31) 0.01 0.15
----------- ----------- -----------
Total from investment operations 0.05 0.32 0.38
----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.36) (0.31) (0.20)
Distributions from capital gains -- (0.09) (0.08)
----------- ----------- -----------
Total distributions (0.36) (0.40) (0.28)
----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) -- -- N/A
----------- ----------- -----------
Net asset value, end of period $ 10.26 $ 10.57 $ 10.65
=========== =========== ===========
Total return 0.55% 3.07% 3.66%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 5,285 $ 4,308 $ 1,689
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.36% 1.30% 1.25%***
After expense reimbursements: 1.24% 1.22% 1.15%***
Ratio of net investment income to
average net assets:
Before expense reimbursements 3.44% 2.95% 2.42%***
After expense reimbursements 3.56% 3.03% 2.52%***
Portfolio turnover 71.63% 39.85% 103.98%
* Commencement of operations.
** Not Annualized
*** Annualized
(a) Less than $0.01 per share.
See accompanying notes to financial statements
42
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
SHORT-TERM U.S. GOVERNMENT BOND FUND August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 9.96 $ 10.09 $ 10.11 $ 10.17 $ 10.24
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.34 0.21 0.11 0.18 0.30
Net gain (loss) on securities
(both realized and unrealized) (0.10) (0.13) -- (0.06) 0.09
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.24 0.08 0.11 0.12 0.39
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.34) (0.21) (0.12) (0.18) (0.30)
Distributions from capital gains -- (0.00)(a) (0.01) -- (0.16)
----------- ----------- ----------- ----------- -----------
Total distributions (0.34) (0.21) (0.13) (0.18) (0.46)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 9.86 $ 9.96 $ 10.09 $ 10.11 $ 10.17
=========== =========== =========== =========== ===========
Total return 2.43% 0.82% 1.06% 1.17% 3.90%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 13,235 $ 15,354 $ 15,098 $ 21,500 $ 10,942
Ratio of expenses to average net
assets:
Before expense reimbursements: 0.92% 0.85% 0.80% 0.80% 0.82%
After expense reimbursements: 0.59% 0.56% 0.50% 0.49% 0.43%
Ratio of net investment income to
average net assets:
Before expense reimbursements 3.06% 1.77% 0.85% 1.35% 2.57%
After expense reimbursements 3.39% 2.06% 1.15% 1.66% 2.96%
Portfolio turnover 82.25% 159.11% 62.58% 74.45% 119.61%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 9.96 $ 10.10 $ 10.12
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.28 0.15 0.05
Net gain (loss) on securities
(both realized and unrealized) (0.09) (0.14) (0.01)
----------- ----------- -----------
Total from investment operations 0.19 0.01 0.04
----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.28) (0.15) (0.05)
----------- ----------- -----------
Distributions from capital gains -- (0.00)(a) (0.01)
----------- ----------- -----------
Total distributions (0.28) (0.15) (0.06)
----------- ----------- -----------
Net asset value, end of period $ 9.87 $ 9.96 $ 10.10
=========== =========== ===========
Total return 1.98% 0.20% 0.41%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 1,435 $ 1,277 $ 1,235
Ratio of expenses to average
net assets:
Before expense reimbursements: 1.42% 1.35% 1.30%***
After expense reimbursements: 1.09% 1.06% 1.00%***
Ratio of net investment income to
average net assets:
Before expense reimbursements 2.56% 1.27% 0.35%***
After expense reimbursements 2.89% 1.56% 0.65%***
Portfolio turnover 82.25% 159.11% 62.58%
* Commencement of operations.
** Not Annualized
*** Annualized
(a) Less than $0.01 per share.
See accompanying notes to financial statements
43
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
THE UNITED STATES TREASURY TRUST August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.037 0.017 0.006 0.008 0.017
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.037) (0.017) (0.006) (0.008) (0.017)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
=========== =========== =========== =========== ===========
Total return 3.74% 1.72% 0.63% 0.86% 1.70%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 48,604 $ 36,919 $ 39,143 $ 40,635 $ 51,013
Ratio of expenses to average net
assets:
Before expense reimbursements: 0.80% 0.74% 0.71% 0.70% 0.67%
After expense reimbursements: 0.53% 0.48% 0.36% 0.42% 0.42%
Ratio of net investment income to
average net assets:
Before expense reimbursements 3.61% 1.59% 0.28% 0.56% 1.45%
After expense reimbursements 3.88% 1.85% 0.63% 0.84% 1.70%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.032 0.012 0.001
LESS DISTRIBUTIONS
Dividends from net investment income (0.032) (0.012) (0.001)
----------- ----------- -----------
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000
=========== =========== ===========
Total return 3.22% 1.22% 0.12%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 2,487 $ 2,490 $ 944
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.30% 1.25% 1.21%***
After expense reimbursements: 1.03% 0.99% 0.86%***
Ratio of net investment income to
average net assets:
Before expense reimbursements 3.11% 1.08% (0.22)%***
After expense reimbursements 3.38% 1.34% (0.13)%***
* Commencement of operations.
** Not Annualized
*** Annualized
See accompanying notes to financial statements
44
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
S&P 500 INDEX FUND August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 24.61 $ 22.32 $ 20.36 $ 18.48 $ 22.79
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.42 0.44 0.32 0.29 0.29
Net gain (loss) on securities
(both realized and unrealized) 1.68 2.29 1.95 1.89 (4.31)
----------- ----------- ----------- ----------- -----------
Total from investment operations 2.10 2.73 2.27 2.18 (4.02)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.40) (0.44) (0.31) (0.30) (0.29)
Distributions from capital gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total distributions (0.40) (0.44) (0.31) (0.30) (0.29)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 26.31 $ 24.61 $ 22.32 $ 20.36 $ 18.48
=========== =========== =========== =========== ===========
Total return 8.61% 12.31% 11.16% 12.03% (17.83)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 100,927 $ 102,899 $ 106,305 $ 98,264 $ 93,961
Ratio of expenses to average net
assets:
Before expense reimbursements: 0.53% 0.46% 0.43% 0.45% 0.41%
After expense reimbursements: 0.36% 0.33% 0.27% 0.25% 0.20%
Ratio of net investment income to
average net assets:
Before expense reimbursements 1.44% 1.35% 1.27% 1.35% 1.30%
After expense reimbursements 1.61% 1.48% 1.43% 1.55% 1.51%
Portfolio turnover 3.56% 3.36% 2.00% 3.63% 31.12%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 24.70 $ 22.37 $ 21.17
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.28 0.29 0.12
Net gain (loss) on securities
(both realized and unrealized) 1.69 2.33 1.16
----------- ----------- -----------
Total from investment operations 1.97 2.62 1.28
----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.26) (0.29) (0.08)
Distributions from capital gains -- -- --
----------- ----------- -----------
Total distributions (0.26) (0.29) (0.08)
----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) -- -- N/A
----------- ----------- -----------
Net asset value, end of period $ 26.41 $ 24.70 $ 22.37
=========== =========== ===========
Total return 8.04% 11.77% 6.05%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 6,159 $ 4,641 $ 2,261
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.03% 0.97% 0.93%***
After expense reimbursements: 0.86% 0.84% 0.77%***
Ratio of net investment income to
average net assets:
Before expense reimbursements 0.94% 0.84% 0.77%***
After expense reimbursements 1.11% 0.97% 0.93%***
Portfolio turnover 3.56% 3.36% 2.00%
* Commencement of operations.
** Not Annualized
*** Annualized
(a) Less than $0.01 per share.
See accompanying notes to financial statements
45
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
S&P MIDCAP INDEX FUND August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 23.34 $ 19.00 $ 17.01 $ 14.60 $ 16.18
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.21 0.18 0.13 0.12 0.05
Net gain (loss) on securities
(both realized and unrealized) 1.11 4.34 1.98 2.41 (1.54)
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.32 4.52 2.11 2.53 (1.49)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.21) (0.18) (0.12) (0.12) (0.03)
Distributions from capital gains (1.56) -- -- -- (0.06)
----------- ----------- ----------- ----------- -----------
Total distributions (1.77) (0.18) (0.12) (0.12) (0.09)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 22.89 $ 23.34 $ 19.00 $ 17.01 $ 14.60
=========== =========== =========== =========== ===========
Total return 5.80% 23.87% 12.44% 17.46% (8.77)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 162,988 $ 161,655 $ 126,678 $ 103,771 $ 96,590
Ratio of expenses to average net
assets:
Before expense reimbursements: 0.64% 0.59% 0.58% 0.58% 0.58%
After expense reimbursements: 0.58% 0.55% 0.49% 0.46% 0.40%
Ratio of net investment income to
average net assets:
Before expense reimbursements 0.84% 0.80% 0.60% 0.66% 0.78%
After expense reimbursements 0.91% 0.84% 0.69% 0.78% 0.96%
Portfolio turnover 13.83% 18.07% 12.75% 8.33% 21.73%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 23.34 $ 19.00 $ 17.78
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.09 0.07 0.05
Net gain (loss) on securities
(both realized and unrealized) 1.10 4.34 1.19
----------- ----------- -----------
Total from investment operations 1.19 4.41 1.24
----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.09) (0.07) (0.02)
Distributions from capital gains (1.56) -- --
----------- ----------- -----------
Total distributions (1.65) (0.07) (0.02)
----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) -- -- N/A
----------- ----------- -----------
Net asset value, end of period $ 22.88 $ 23.34 $ 19.00
=========== =========== ===========
Total return 5.23% 23.26% 6.96%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 5,617 $ 4,881 $ 2,459
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.14% 1.09% 1.08%***
After expense reimbursements: 1.08% 1.05% 0.99%***
Ratio of net investment income to
average net assets:
Before expense reimbursements 0.34% 0.30% 0.10%***
After expense reimbursements 0.41% 0.34% 0.19%***
Portfolio turnover 13.83% 18.07% 12.75%
* Commencement of operations.
** Not Annualized
*** Annualized
(a) Less than $0.01 per share.
See accompanying notes to financial statements
46
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
S&P SMALLCAP INDEX FUND August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 19.08 $ 15.85 $ 14.07 $ 11.60 $ 12.89
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.10 0.09 0.04 0.03 0.03
Net gain (loss) on securities
(both realized and unrealized) 1.18 3.99 1.92 2.51 (1.28)
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.28 4.08 1.96 2.54 (1.25)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.10) (0.09) (0.04) (0.03) (0.04)
Distributions from capital gains (0.88) (0.76) (0.14) (0.04) --
----------- ----------- ----------- ----------- -----------
Total distributions (0.98) (0.85) (0.18) (0.07) (0.04)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 19.38 $ 19.08 $ 15.85 $ 14.07 $ 11.60
=========== =========== =========== =========== ===========
Total return 6.94% 26.17% 13.93% 22.04% (9.69)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 24,609 $ 24,250 $ 20,742 $ 18,526 $ 15,813
Ratio of expenses to average net
assets:
Before expense reimbursements: 0.92% 0.86% 0.82% 0.88% 0.88%
After expense reimbursements: 0.74% 0.71% 0.65% 0.65% 0.65%
Ratio of net investment income to
average net assets:
Before expense reimbursements 0.33% 0.37% 0.09% 0.08% 0.00%
After expense reimbursements 0.51% 0.52% 0.26% 0.31% 0.23%
Portfolio turnover 11.24% 7.25% 14.60% 16.51% 17.64%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 19.04 $ 15.82 $ 14.78
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income -- 0.01 (0.01)
Net gain (loss) on securities
(both realized and unrealized) 1.18 3.97 1.19
----------- ----------- -----------
Total from investment operations 1.18 3.98 1.18
----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.01) -- --
Distributions from capital gains (0.88) (0.76) (0.14)
----------- ----------- -----------
Total distributions (0.89) (0.76) (0.14)
----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) -- -- N/A
----------- ----------- -----------
Net asset value, end of period $ 19.33 $ 19.04 $ 15.82
=========== =========== ===========
Total return 6.38% 25.53% 7.99%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 7,290 $ 6,070 $ 2,700
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.42% 1.36% 1.32%***
After expense reimbursements: 1.24% 1.21% 1.15%***
Ratio of net investment income to
average net assets:
Before expense reimbursements (0.17)% (0.13)% (0.41)%***
After expense reimbursements 0.01% 0.02% (0.24)%***
Portfolio turnover 11.24% 7.25% 14.60%
* Commencement of operations.
** Not Annualized
*** Annualized
(a) Less than $0.01 per share.
See accompanying notes to financial statements
47
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
EQUITY INCOME FUND August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 16.12 $ 14.07 $ 12.32 $ 11.38 $ 12.21
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.26 0.26 0.20 0.15 0.17
Net gain (loss) on securities
(both realized and unrealized) 0.76 2.05 1.70 0.94 (0.83)
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.02 2.31 1.90 1.09 (0.66)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.27) (0.26) (0.15) (0.15) (0.17)
Distributions from capital gains (0.35) -- -- -- --
----------- ----------- ----------- ----------- -----------
Total distributions (0.62) (0.26) (0.15) (0.15) (0.17)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 16.52 $ 16.12 $ 14.07 $ 12.32 $ 11.38
=========== =========== =========== =========== ===========
Total return 6.50% 16.51% 15.51% 9.77% (5.46)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 17,090 $ 16.641 $ 13,137 $ 9,818 $ 8,261
Ratio of expenses to average net
assets:
Before expense reimbursements: 0.91% 0.87% 0.90% 0.95% 0.91%
After expense reimbursements: 0.90% 0.85% 0.80% 0.80% 0.80%
Ratio of net investment income to
average net assets:
Before expense reimbursements 1.61% 1.70% 1.04% 1.24% 1.33%
After expense reimbursements 1.62% 1.72% 1.14% 1.39% 1.44%
Portfolio turnover 2.59% 3.25% 14.43% 30.01% 69.43%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 16.17 $ 14.10 $ 12.90
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.18 0.18 0.01
Net gain (loss) on securities
(both realized and unrealized) 0.75 2.07 1.21
----------- ----------- -----------
Total from investment operations 0.93 2.25 1.22
----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.19) (0.18) (0.02)
Distributions from capital gains (0.35) -- --
----------- ----------- -----------
Total distributions (0.54) (0.18) (0.02)
----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) -- -- N/A
----------- ----------- -----------
Net asset value, end of period $ 16.56 $ 16.17 $ 14.10
=========== =========== ===========
Total return 5.92% 16.00% 9.47%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 3,829 $ 3,234 $ 1,470
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.41% 1.37% 1.40%***
After expense reimbursements: 1.40% 1.35% 1.30%***
Ratio of net investment income to
average net assets:
Before expense reimbursements 1.11% 1.20% 0.54%***
After expense reimbursements 1.12% 1.22% 0.64%***
Portfolio turnover 2.59% 3.25% 14.43%
* Commencement of operations.
** Not Annualized
*** Annualized
(a) Less than $0.01 per share.
See accompanying notes to financial statements
48
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
EUROPEAN GROWTH & INCOME FUND August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 8.57 $ 7.10 $ 6.18 $ 5.80 $ 7.13
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.24 0.15 0.16 0.11 0.10
Net gain (loss) on securities
(both realized and unrealized) 1.29 1.48 0.89 0.35 (1.34)
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.53 1.63 1.05 0.46 (1.24)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.19) (0.16) (0.13) (0.08) (0.09)
Distributions from capital gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total distributions (0.19) (0.16) (0.13) (0.08) (0.09)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 9.91 $ 8.57 $ 7.10 $ 6.18 $ 5.80
=========== =========== =========== =========== ===========
Total return 17.97% 23.15% 17.04% 8.17% (17.50)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 5,719 $ 5,024 $ 3,923 $ 3,364 $ 2,357
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.49% 1.55% 1.72% 1.99% 1.99%
After expense reimbursements: 1.00% 0.98% 0.95% 0.95% 0.95%
Ratio of net investment income to
average net assets:
Before expense reimbursements 2.48% 1.41% 1.17% 0.83% 0.30%
After expense reimbursements 2.97% 1.98% 1.94% 1.87% 1.34%
Portfolio turnover 3.24% 1.47% 2.01% 0.00% 9.70%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 8.60 $ 7.11 $ 6.61
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.19 0.10 0.08
Net gain (loss) on securities
(both realized and unrealized) 1.29 1.51 0.48
----------- ----------- -----------
Total from investment operations 1.48 1.61 0.56
----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.14) (0.12) (0.06)
Distributions from capital gains -- -- --
----------- ----------- -----------
Total distributions (0.14) (0.12) (0.06)
----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) -- -- N/A
----------- ----------- -----------
Net asset value, end of period $ 9.94 $ 8.60 $ 7.11
=========== =========== ===========
Total return 17.31% 22.78% 8.43%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 4,576 $ 3,052 $ 1,177
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.99% 2.07% 2.22%***
After expense reimbursements: 1.50% 1.50% 1.45%***
Ratio of net investment income to
average net assets:
Before expense reimbursements 1.98% 0.89% 0.67%***
After expense reimbursements 2.47% 1.46% 1.44%***
Portfolio turnover 3.24% 1.47% 2.01%
* Commencement of operations.
** Not Annualized
*** Annualized
(a) Less than $0.01 per share.
See accompanying notes to financial statements
49
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR) - (CONTINUED)
- -------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
NASDAQ-100 INDEX FUND August 31, August 31, August 31, August 31, August 31,
Direct Shares 2006 2005 2004 2003 2002
-------------------------------------------------------------------------------
Net asset value, beginning of year $ 3.98 $ 3.46 $ 3.41 $ 2.41 $ 3.75
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (0.00)(a) 0.03 (0.01) (0.01) (0.00)(a)
Net gain (loss) on securities
(both realized and unrealized) (0.01) 0.51 0.06 1.01 (1.33)
----------- ----------- ----------- ----------- -----------
Total from investment operations (0.01) 0.54 0.05 1.00 (1.33)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income (0.01) (0.02) -- -- (0.01)
Distributions from capital gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total distributions (0.01) (0.02) -- -- (0.01)
----------- ----------- ----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) (0.00)(a) (0.00)(a) N/A N/A N/A
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 3.96 $ 3.98 $ 3.46 $ 3.41 $ 2.41
=========== =========== =========== =========== ===========
Total return (0.24)% 15.47% 1.47% 41.49% (35.61)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 12,072 $ 15,161 $ 14,349 $ 14,928 $ 9,191
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.03% 0.95% 0.91% 1.05% 0.99%
After expense reimbursements: 0.74% 0.71% 0.65% 0.65% 0.64%
Ratio of net investment income to
average net assets:
Before expense reimbursements (0.34)% 0.41% (0.62)% (0.80)% (0.45)%
After expense reimbursements (0.05)% 0.65% (0.36)% (0.40)% (0.10)%
Portfolio turnover 14.07% 9.94% 8.82% 8.64% 4.18%
Year Ended Year Ended October 16, 2003*
August 31, August 31, to August 31,
K Shares 2006 2005 2004
---------------------------------------------------
Net asset value, beginning of period $ 3.96 $ 3.45 $ 3.62
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (0.02) -- (0.01)
Net gain (loss) on securities
(both realized and unrealized) (0.01) 0.52 (0.16)
----------- ----------- -----------
Total from investment operations (0.03) 0.52 (0.17)
----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment income -- (0.01) --
Distributions from capital gains -- -- --
----------- ----------- -----------
Total distributions -- (0.01) --
----------- ----------- -----------
Paid in capital from redemption fee
(Note 1) -- -- N/A
----------- ----------- -----------
Net asset value, end of period $ 3.93 $ 3.96 $ 3.45
=========== =========== ===========
Total return (0.76)% 15.13% (4.70)%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 3,908 $ 3,417 $ 1,651
Ratio of expenses to average net
assets:
Before expense reimbursements: 1.53% 1.46% 1.41%***
After expense reimbursements: 1.24% 1.22% 1.15%***
Ratio of net investment income to
average net assets:
Before expense reimbursements (0.84)% (0.10)% (1.12)%***
After expense reimbursements (0.55)% 0.14% (0.86)%***
Portfolio turnover 14.07% 9.94% 8.82%
* Commencement of operations.
** Not Annualized
*** Annualized
(a) Less than $0.01 per share.
See accompanying notes to financial statements
50
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS AUGUST 31, 2006
- --------------------------------------------------------------------------------
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate
series of shares of beneficial interest of California Investment Trust II. Both
Trusts are registered under the Investment Company Act of 1940, as amended, as
diversified open-end management investment companies. Both Trusts were organized
as Massachusetts business trusts on September 11, 1985 and are authorized to
issue an unlimited number of no par value shares in one or more series. The
investment objectives of the Funds are as follows: California Tax-Free Income
Fund and California Insured Intermediate Fund seek as high a level of income
exempt from federal and California personal income taxes as is consistent with
prudent investment management and safety of capital. California Tax-Free Money
Market Fund seeks capital preservation, liquidity and the highest achievable
current income exempt from both federal and California personal income taxes
consistent with safety. U.S. Government Securities Fund seeks safety from credit
risk, liquidity, and as high a level of income as is consistent with these
objectives by investment in full faith and credit obligations of the U.S.
Government and its agencies or instrumentalities. The United States Treasury
Trust seeks preservation of capital, safety, liquidity and consistent with these
objectives, the highest attainable current income exempt from state income
taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are
diversified mutual funds that seek to provide investment results that correspond
to the total return of publicly traded common stocks represented in the Standard
& Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of income and capital appreciation (when consistent with
high income) by investing primarily in income-producing U.S. equity securities.
European Growth & Income Fund seeks to provide long-term capital appreciation
and income by investing in large-sized European companies. Nasdaq-100 Index Fund
attempts to replicate the performance of the largest non-financial companies as
measured by the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund seeks
liquidity, safety from credit risk, preservation of investors principal and has
a high level of income as is consistent with these objectives by investing in
mainly U.S. government securities.
California Investment Trust II began offering an additional class of
shares, Class K, on October 16, 2003. Income, expenses (other than the expenses
attributable to a specific class), realized and unrealized gains or losses on
investments of the Funds are allocated proportionately to the two classes of
shares offered based on the daily net assets, except for Rule 12b-1 distribution
fees and shareholder service fees, which are charged only to K Shares. The
following is a summary of significant accounting policies followed by the Funds.
(a) Security Valuation -- Portfolio securities of the S&P 500, S&P MidCap
and S&P SmallCap Index Funds, Equity Income Fund, European Growth & Income Fund,
and Nasdaq-100 Index Fund listed on a national exchange are valued at the last
reported sales price. U.S. Treasury Bills are valued at amortized cost which
approximates market value. Portfolio securities of the California Tax-Free
Income Fund and the California Insured Intermediate Fund are valued by an
independent pricing service that uses market quotations, representing the latest
available bid price, prices provided by market makers, or estimates of market
values obtained from yield data relating to instruments or securities with
similar characteristics, in accordance with procedures established by the Funds'
Board of Trustees. The U.S. Government Securities Fund and the Short-Term U.S.
Government Bond Fund are valued by an independent pricing service that uses
market quotations representing the latest available mean between the bid and ask
price, prices provided by market makers or estimates of market value obtained
from yield data relating to instruments or securities with similar
characteristics. Securities with remaining maturities of 60 days or less are
valued on the amortized cost basis as reflecting fair value. All other
securities are valued at their fair value as determined in good faith by the
Board of Trustees. California Tax-Free Money Market Fund and The United States
Treasury Trust securities are valued at amortized cost, which the Board of
Trustees has determined in good faith to constitute fair value.
(b) Futures Contracts -- Initial margin deposits required upon entering
into futures contracts are satisfied by the segregation of specific securities
or cash, as collateral, for the account of the broker (a Fund's agent in
acquiring the futures position). During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
made or received depending upon whether unrealized gains or losses are incurred.
When the contract is closed, a Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund,
S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and
Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash
reserves while remaining fully invested, to facilitate trading, to reduce
transaction costs, or to seek higher investment returns when a futures contract
is priced more attractively than the underlying equity security or index. Risks
include the possibility of an illiquid market and an imperfect correlation
between the change in market value of the stocks held by a Fund and the prices
of futures contracts.
(c) Federal Income Taxes -- No provision is considered necessary for
federal income taxes. The Funds intend to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
Capital loss carry forwards, as of August 31, 2006, available to offset future
capital gains, if any, are as follows:
California United States Short-Term The United
Tax-Free Government United States States European
Money Securities Government Treasury S&P 500 Growth & Nasdaq-100
Expiring Market Fund Fund Bond Fund Trust Index Fund Income Fund Index Fund
- -------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
2007 $ -- $ -- $ -- $ -- $ -- $ 806 $ --
2008 -- -- -- -- -- 53,456 537,333
2009 -- -- -- -- 4,585,973 40,585 2,356,290
2010 -- -- -- -- -- -- --
2011 -- -- -- -- 2,790,405 104,291 3,015,439
2012 3,258 -- -- -- -- 2,426 1,963,355
2013 -- 19,438 15,901 60 -- 59,164 2,084,713
2014 -- 266,271 187,828 5,937 -- 9,731 251,077
------------- ------------- ------------- ------------- ------------- ------------- -------------
Total $ 3,258 $ 285,709 $ 203,729 $ 5,997 $ 7,376,378 $ 270,459 $ 10,208,207
============= ============= ============= ============= ============= ============= =============
Accounting principles generally accepted in the United States of America require
certain components of net assets be reclassified between financial and tax
reporting. These reclassifications have no effect on net assets or net asset
value per share. For the year ended August 31, 2006, permanent differences
between book and tax accounting have been reclassified to paid-in capital,
undistributed net investment income/loss and accumulated realized gain/loss as
follows:
Increase (Decrease) Increase (Decrease) Undistributed Increase (Decrease)
Paid-in Capital Net Investment Income (Loss) Accumulated Gain/(Loss)
- ------------------------------------------------------------------------------------------------------------------------------------
California Tax-Free Income Fund $ (2,591) $ (6,566) $ 9,157
California Insured Intermediate Fund (432) -- 432
Short-Term U.S. Government Bond Fund -- (1,299) 1,299
Nasdaq-100 Index Fund (32,741) 32,741 --
51
- --------------------------------------------------------------------------------
CALIFORNIA INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS AUGUST 31, 2006
- (CONTINUED)
- --------------------------------------------------------------------------------
(d) Security Transactions, Investment Income and Distributions to
Shareholders -- Security transactions are recorded on the trade date. Interest
income is recorded on the accrual basis. Dividend income is recorded on the
ex-dividend date. Withholding taxes on foreign dividends have been provided for,
in accordance with the Trusts' understanding of the applicable country's tax
rules and rates. Distributions to shareholders are recorded on the ex-dividend
date for the California Tax-Free Income Fund, the California Insured
Intermediate Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P
MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth
& Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from accounting principles
generally accepted in the United States of America. These differences are
primarily due to differing treatments for futures contracts, redemptions-in-kind
and post-October capital losses. For the California Tax-Free Money Market Fund
and The United States Treasury Trust, dividends from net investment income are
declared daily and reinvested or paid in cash monthly. The two Funds intend to
maintain a continuous net asset value per share of $1.00.If net asset value per
share using available market information deviates from $1.00 by $.005 or more,
the Board of Trustees would consider what steps, if any, should be taken to
restore net asset value per share to $1.00.
(e) Concentration -- The California Tax-Free Income Fund, the California
Insured Intermediate Fund and the California Tax-Free Money Market Fund invest
in debt instruments of municipal issuers. The issuers' abilities to meet their
obligations may be affected by economic developments in the state of California.
(f) Use of Estimates in Financial Statements -- In preparing financial
statements in conformity with accounting principles generally accepted in the
United States of America, management makes estimates and assumptions that affect
the reported amounts of assets and liabilities at the date of the financial
statements, as well as the reported amounts of income and expense during the
year. Actual results may differ from these estimates.
(g) Share Valuations -- The net asset value ("NAV") per share of each Fund
is calculated by dividing the sum of the value of the securities held by the
Fund, plus cash or other assets, minus all liabilities (including estimated
accrued expenses) by the total number of shares outstanding of the Fund, rounded
to the nearest cent. A Fund's shares will not be priced on the days on which the
NYSE is closed for trading. Bond and Money Market Funds are closed on Columbus
Day (observed) and Veteran's Day (observed). The offering and redemption price
per share of each Fund is equal to a Fund's NAV per share. Shares of certain
funds were charged a 1% redemption fee on shares redeemed or exchanged within
seven days of purchase. These fees were deducted from the redemption proceeds
otherwise payable to the shareholder. Each Fund retained the fee charged as
paid-in capital, and such fees became part of that Fund's daily NAV calculation.
The redemption fee was established January 1, 2005.
(h) Accounting for Uncertainty in Income Taxes -- On July 13, 2006, the
Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48
"Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance
for how uncertain tax positions should be recognized, measured, presented and
disclosed in the financial statements. FIN 48 requires the evaluation of tax
positions taken or expected to be taken in the course of preparing the Funds'
tax return to determine whether the tax positions are "more-likely-than-not" of
being sustained by the applicable tax authority. Tax positions not deemed to
meet the more-likely-than-not threshold would be recorded as a tax benefit or
expense in the current year. Adoption of FIN 48 is required for fiscal years
beginning after December 15, 2006 and is to be applied to all open tax years as
of the effective date. Management believes that the adoption of FIN 48 will have
no impact on the financial statements of the Funds.
Note 2 -- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California limited partnership, provides each Fund
with management and limited administrative services pursuant to a management
agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of
0.25% and 0.40%, respectively, of the Funds' average daily net assets. In
accordance with the terms of the management agreements with the S&P SmallCap
Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S.
Government Bond Fund, CCM receives compensation at the annual rate of 0.50% of
the first $500 million of net assets, plus 0.45% on net assets from $500 million
to $1 billion, and 0.40% of net assets above $1 billion. In accordance with the
terms of the management agreement with the European Growth & Income Fund, CCM
receives compensation at the annual rate of 0.85% of the Fund's average daily
net assets. CCM has agreed to reduce its fee by, or reimburse the respective
Funds for, any amount necessary to prevent a Fund's total expenses, excluding
extraordinary items, from exceeding 1.00% (or 1.50% for Class K shares) of that
Fund's average daily net assets. CCM has voluntarily reimbursed more expenses
than contractually obligated. This voluntary reimbursement is effective for a
calendar year, with renewal at the end of each calendar year, and is not subject
to recoupment. Reimbursement from the manager for the year ended August 31,
2006, is as follows:
Voluntary Expense Limitation
-------------------------------------------------------------------------
Fund Reimburse Direct Shares K Shares Expiration
- --------------------------------------------------------------------------------------------------------------------------------
California Insured Intermediate Fund $ 41,744 0.68% N/A 12/31/06
California Tax-Free Money Market Fund $ 145,589 0.53% N/A 12/31/06
U.S. Government Securities Fund $ 31,857 0.74% 1.24% 12/31/06
Short-Term U.S. Government Bond Fund $ 50,442 0.59% 1.09% 12/31/06
The United States Treasury Trust $ 104,529 0.53% 1.03% 12/31/06
S&P 500 Index Fund $ 187,303 0.36% 0.86% 12/31/06
S&P MidCap Index Fund $ 108,736 0.58% 1.08% 12/31/06
S&P SmallCap Index Fund $ 57,446 0.74% 1.24% 12/31/06
Equity Income Fund * $ 950 N/A N/A N/A
European Growth & Income Fund $ 44,359 1.00% 1.50% 12/31/06
Nasdaq-100 Index Fund $ 51,952 0.74% 1.24% 12/31/06
- --------------------------------------------------------------------------------------------------------------------------------
*For the period 09/01/2005 through 12/31/2005 the expense limitation was 0.89%
and 1.39% for Direct Shares and K Shares respectively. Beginning 01/01/2006 the
Fund did not renew its voluntary expense limitation.
As compensation for administrative duties not covered by the management
agreement, CCM receives an administration fee, which became effective February
28, 2005. The administration fee is based on assets held, in aggregate, by the
Funds comprising California Investment Trust and California Investment Trust II.
The fee rates are 0.10% on the first $100 million, 0.08% on the next $400
million, and 0.06% on combined assets over $500 million.
Certain officers and trustees of the Trusts are also partners of CCM.
Michael O'Callaghan has served as the Chief Compliance Officer ("CCO") of the
Trusts since August 2004. Mr. O'Callaghan is also employed by CCM Partners, the
Advisor and Administrator to the Trusts. The Trusts are responsible for the
portion of his salary allocated to his duties as the CCO of the Trusts, and CCM
Partners is reimbursed by the Trusts for this portion of his salary. The level
of reimbursement is reviewed and determined by the Board of Trustees at least
annually.
52
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CALIFORNIA INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS AUGUST 31, 2006
- (CONTINUED)
- --------------------------------------------------------------------------------
California Investment Trust II has adopted a Distribution Plan (the
"Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby
the Class K Shares of each Fund of California Investment Trust II pays the
Distributor for expenses that relate to the promotion and distribution of
shares. Under the Plan, the Class K Share of the Funds will pay the Distributor
a fee at an annual rate of 0.25%, payable monthly, of the daily net assets
attributable to such Fund's Class K Shares.
California Investment Trust II has adopted a Shareholder Services Plan
(the "Services Plan"), whereby the Class K Shares of each Fund of California
Investment Trust II pay CCM Partners, LP, the Funds' Distributor or other
service providers, an annual rate of 0.25% of the average daily net assets of
Class K Shares. Such amounts are compensation for providing certain services to
clients owning Class K Shares, including processing purchase and redemption
transactions, assisting in other administrative details and providing other
information with respect to each Fund.
For the year ended August 31, 2006, the following were paid by the Class K
Shares of each Fund of California Investment Trust II:
Fund 12b-1 Fees Shareholder Service Fee
- --------------------------------------------------------------------------------
U.S. Government Securities Fund $11,788 $11,788
Short-Term U.S. Government Bond Fund $ 3,434 $ 3,434
The United States Treasury Trust $ 6,161 $ 6,161
S&P 500 Index Fund $13,298 $13,298
S&P MidCap Index Fund $13,335 $13,335
S&P SmallCap Index Fund $16,750 $16,750
Equity Income Fund $ 8,761 $ 8,761
European Growth & Income Fund $ 9,372 $ 9,372
Nasdaq-100 Index Fund $ 9,133 $ 9,133
Note 3 - PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the year ended August 31, 2006 were as follows:
Fund Purchases Sales
- --------------------------------------------------------------------------------
California Tax-Free Income Fund $21,785,682 $23,146,902
California Insured Intermediate Fund $ 530,785 $ 2,702,315
U.S. Government Securities Fund $22,881,180 $16,591,785
Short-Term U.S. Government Bond Fund $12,261,563 $13,135,816
S&P 500 Index Fund $ 3,798,624 $ 7,289,090
S&P MidCap Index Fund $26,097,923 $23,815,075
S&P SmallCap Index Fund $ 5,089,644 $ 3,321,665
Equity Income Fund $ 461,950 $ 822,513
European Growth & Index Fund $ 1,020,050 $ 286,560
Nasdaq-100 Index Fund $ 2,426,737 $ 5,014,215
Note 4 - TAX CHARACTER
The tax character of distributions paid during the years ended August 31,
2006 and 2005 was as follows:
Ordinary Long-Term Exempt-Interest Total
Income Capital Gains Dividends Distributions
- -----------------------------------------------------------------------------------------------------------------------------
California Tax-Free Income Fund 2006 $ 106,681 $ 2,976,029* $ 5,530,802 $ 8,613,512
2005 $ -- $ 2,641,599 $ 5,919,149 $ 8,560,748
California Insured Intermediate Fund 2006 $ -- $ 269,416* $ 628,668 $ 898,084
2005 $ -- $ 54,421 $ 759,043 $ 813,464
California Tax-Free Money Market Fund 2006 $ -- $ -- $ 1,656,200 $ 1,656,200
2005 $ -- $ -- $ 1,062,279 $ 1,062,279
U.S. Government Securities Fund 2006 $ 1,066,162 $ -- $ -- $ 1,066,162
2005 $ 1,023,984 $ 245,911 $ -- $ 1,269,895
Short-Term U.S. Government Bond Fund 2006 $ 512,757 $ -- $ -- $ 512,757
2005 $ 341,703 $ 6,624 $ -- $ 348,327
The United States Treasury Trust 2006 $ 1,457,145 $ -- $ -- $ 1,457,145
2005 $ 777,049 $ -- $ -- $ 777,049
S&P 500 Index Fund 2006 $ 1,677,812 $ -- $ -- $ 1,677,812
2005 $ 2,025,865 $ -- $ -- $ 2,025,865
S&P MidCap Index Fund 2006 $ 1,542,359 $ 11,138,886* $ -- $ 12,681,245
2005 $ 1,241,578 $ -- $ -- $ 1,241,578
S&P SmallCap Index Fund 2006 $ 157,950 $ 1,342,416* $ -- $ 1,500,366
2005 $ 222,097 $ 1,041,049 $ -- $ 1,263,146
Equity Income Fund 2006 $ 324,489 $ 433,751* $ -- $ 758,240
2005 $ 277,269 $ -- $ -- $ 277,269
European Growth & Income Fund 2006 $ 166,793 $ -- $ -- $ 166,793
2005 $ 127,879 $ -- $ -- $ 127,879
Nasdaq-100 Index Fund 2006 $ 37,816 $ -- $ -- $ 37,816
2005 $ 69,372 $ -- $ -- $ 69,372
* The Funds designate Long-Term Capital Gain dividends pursuant to Section
852(b)(3) of the Internal Revenue Code for the year ended August 31, 2006.
53
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CALIFORNIA INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS AUGUST 31, 2006
- (CONTINUED)
- --------------------------------------------------------------------------------
The tax character of distributable earnings at August 31, 2006 and 2005
were as follows:
Undistributed Undistributed Capital Loss Unrealized Post Total
Ordinary Long-Term Carry Appreciation October Distributable
Income Capital Gain Forwards (Depreciation) Losses ** Earnings
- ------------------------------------------------------------------------------------------------------------------------------------
California Tax-Free Income Fund $ - $ 596,918 $ - $ 6,752,552 $ - $ 7,349,470
California Insured Intermediate Fund $ 1,753 $ 20,390 $ - $ 100,600 $ - $ 122,743
California Tax-Free Money Market Fund $ - $ - $ (3,258) $ - $ - $ (3,258)
U.S. Government Securities Fund $ 3,091 $ - $ (285,709) $ (414,880) $ (47,674) $ (745,172)
Short-Term U.S. Government Bond Fund $ 1,532 $ - $ (203,729) $ (87,643) $ (111,522) $ (401,362)
The United States Treasury Trust $ 105 $ - $ (5,997) $ - $ (7,168) $ (13,060)
S&P 500 Index Fund $ 305,899 $ - $ (7,376,378) $ 27,935,830 $ - $ 20,865,351
S&P MidCap Index Fund $ 189,435 $ 9,418,279 $ - $ 39,890,394 $ - $ 49,498,108
S&P SmallCap Index Fund $ 298,332 $ 2,104,965 $ - $ 8,030,282 $ - $ 10,433,579
Equity Income Fund $ 90,493 $ 547,192 $ - $ 4,165,501 $ - $ 4,803,186
European Growth & Income Fund $ 70,727 $ - $ (270,459) $ 2,239,670 $ (6,260) $ 2,033,678
Nasdaq-100 Index Fund $ - $ - $ (10,208,207) $ (11,128) $(1,840,373) $(12,059,708)
** Under the current tax law, capital losses realized after October 31 and prior
to the Funds' fiscal year end may be deferred as occurring on the first day of
the following fiscal year.
The difference between book basis and tax basis unrealized appreciation is
attributable primarily to the realization for tax purposes of unrealized gains
on future contracts, wash sales, and other deferrals.
- --------------------------------------------------------------------------------
(UNAUDITED)
Fund Holdings: The Fund holdings shown in this report are as of August 31,
2006. Holdings are subject to change at any time, so holdings shown in this
report may not reflect current Fund holdings. The Funds file complete schedules
of portfolio holdings with the SEC for the first and third quarters of each
fiscal year on Form N-Q. The Funds' Form N-Q is available on the SEC's website
at www.sec.gov and may be reviewed and copied at the Commission's Public
Reference Room to Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling (800) SEC-0330. The information filed
in the form N-Q also may be obtained by visiting the Funds' website at
www.caltrust.com or by calling (800) 225-8778.
Proxy Voting Record: The Funds' Statement of Additional Information
("SAI") containing a description of the policies and procedures that the
California Investment Trust Fund Group uses to determine how to vote proxies
relating to portfolio securities, along with each Fund's proxy voting record
relating to portfolio securities held during the 12-month period ended June 30,
2006, is available upon request, at no charge, at the phone number below, on the
Funds' website below, or on the SEC's website at www.sec.gov.
This report is submitted for the general information of the shareholders
of the California Investment Trust Fund Group. It is authorized for distribution
only if preceded or accompanied by a current California Investment Trust Fund
Group prospectus. Additional copies of the prospectus may be obtained by calling
(800) 225-8778 or can be downloaded from the Funds' website at www.caltrust.com.
Please read the prospectus carefully before you invest or send money, as it
explains the risks, fees and expenses of investing in the Funds.
54
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
California Investment Trust
California Investment Trust II
We have audited the accompanying statements of assets and
liabilities of California Tax-Free Income Fund, California Insured Intermediate
Fund and California Tax-Free Money Market Fund, each a series of shares of
beneficial interest of California Investment Trust, and the U.S. Government
Securities Fund, Short-Term U.S. Government Bond Fund, The United States
Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index
Fund, Equity Income Fund, European Growth & Income Fund and Nasdaq-100 Index
Fund, each a series of shares of beneficial interest of California Investment
Trust II, including the portfolios of investments, as of August 31, 2006, and
the related statements of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended and the
financial highlights for the periods indicated thereon. These financial
statements and financial highlights are the responsibility of the Trusts'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements and financial highlights are free of material
misstatement. The Trusts are not required to, nor were we engaged to perform an
audit of their internal control over financial reporting. Our audit included
consideration of internal control over financial reporting as a basis for
designing audit procedures that are appropriate in the circumstances, but not
for the purpose of expressing an opinion on the effectiveness of the Trusts'
internal control over financial reporting. Accordingly, we express no such
opinion. An audit includes examining on a test basis, evidence supporting the
amounts and disclosures in the financial statements and financial highlights.
Our procedures included confirmation of securities owned as of August 31, 2006
by correspondence with the custodian and brokers. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the financial
position of California Tax-Free Income Fund, California Insured Intermediate
Fund, California Tax-Free Money Market Fund, U.S. Government Securities Fund,
Short-Term U.S. Government Bond Fund, The United States Treasury Trust, S&P 500
Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund,
European Growth & Income Fund and Nasdaq-100 Index Fund as of August 31, 2006,
the results of their operations for the year then ended, the statement of
changes in their net assets for each of the two years in the period then ended,
and the financial highlights for the periods referred to above, in conformity
with accounting principles generally accepted in the United States of America.
TAIT, WELLER & BAKER LLP
Philadelphia, Pennsylvania
October 13, 2006
55
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BOARD OF TRUSTEES AND EXECUTIVE OFFICERS
- --------------------------------------------------------------------------------
Overall responsibility for management of the Funds rests with the Board of
Trustees. The Trustees serve during the lifetime of the Trusts and until their
termination, or until death, resignation, retirement or removal. The Trustees,
in turn, elect the officers of the Fund to actively supervise its day-to-day
operations. The officers have been elected for an annual term. The following are
the Trustees and Executive Officers of the Funds:
TRUSTEE ADDRESS DATE OF BIRTH POSITION HELD WITH THE TRUST LENGTH OF TIME SERVED
Stephen C. Rogers P.O. Box 387 06/27/66 President, Secretary & Trustee Since August 1998
San Francisco, CA 94104 Chief Executive Officer, CCM Partners
Harry Holmes P.O. Box 387 12/05/25 Trustee Since September 1985
San Francisco, CA 94104
John B. Sias P.O. Box 387 01/22/27 Trustee Since March 1991
San Francisco, CA 94104
James W. Miller, Jr. P.O. Box 387 05/28/66 Trustee Since August 2001
San Francisco, CA 94104
Kevin T. Kogler P.O. Box 387 02/21/66 Trustee Since May 2006
San Francisco, CA 94104
Stephen H. Sutro P.O. Box 387 04/09/69 Trustee Since May 2006
San Francisco, CA 94104
Christopher P. Browne P.O. Box 387 02/07/67 Treasurer Since October 2004
San Francisco, CA 94104
- --------------------------------------------------------------------------------
Each Trustee oversees the Trusts' twelve Funds. The principal occupations of the
Trustees and Executive Officers of the Fund during the past five years and
public directorships held by the Trustees are set forth below:
*Stephen C. Rogers Chief Executive Officer, CCM Partners, 1999 to present;
Chief Operating Officer, CCM Partners 1997 to 1999;
Administrative Officer, CCM Partners 1994-1997;
Marketing Representative, CCM Partners, 1993 to 1994.
Harry Holmes Principal, Harry Holmes & Associates (consulting);
President and Chief Executive Officer, Aspen Skiing
Company, 1982-1984; President and Chief Executive
Officer, Pebble Beach Company (property management),
1973-1984.
John B. Sias Director Enzo Biochem, Inc., 1982 to present; Chairman,
President and CEO, Chronicle Publishing Com pany, 1993
to 2000; Director, Executive Vice President, Capital
Cities/ABC Inc. and President, ABC Network T.V. Group
1986 to 1992.
James W. Miller, Jr. Vice President, Jones Lange LaSalle Americas, Inc. 1999
to present; Associate, Orrick Herrington & Sutcliffe LLP
(law firm), 1996-1999; Associate, Gordon & Rees LLP (law
firm), 1992-1993.
Kevin T. Kogler Senior Vice President, Technology Investment Banking,
Friedman Billings Ramsey, 2003 to present; Director,
Technology Investment Banking, Salomon Smith Barney,
2001-2002; Vice President, Technology Investment
Banking, CS First Boston/ Donaldson Lufkin & Jenrette,
1997-2001; Associate, PaineWebber, Inc., 1995-1997.
Stephen H. Sutro Partner, Duane Morris LLP (law firm), 2003 to present;
Associate, Duane Morris LLP 2000-2002, Associate,
Hancock Rothert & Bunshoft LLP (law firm), 1994-1999.
Christopher P. Browne Portfolio Manager, CIT Funds, 2004 to present; Manager,
Autodesk, 2000-2004; Principal, Baystar Capital,
1998-2000.
Additional information on the Trustees may be found in the SAI, which is
available, without charge, upon request, by calling (800) 225-8778.
* Trustee deemed to be an "interested person" of the Trusts, as defined in the
Investment Company Act of 1940. Mr. Rogers is an interested person because he is
the CEO of CCM Partners, the Trusts' Advisor and Administrator.
56
- --------------------------------------------------------------------------------
ADDITIONAL INFORMATION - SHAREHOLDER VOTE RESULTS (UNAUDITED)
- --------------------------------------------------------------------------------
A special meeting of shareholders of the California Investment Trust Fund Group
which consists of the following twelve separate series which are part of
California Investment Trust and California Investment Trust II (collectively the
"Trusts"): California Tax-Free Income Fund, California Insured Intermediate
Fund, California Tax-Free Money Market Fund, U.S. Government Securities Fund,
The United States Treasury Trust, Short-Term U.S. Government Bond Fund, S&P 500
Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund,
European Growth & Income Fund, and the Nasdaq-100 Index Fund (the "Funds") was
held on May 12, 2006 to consider the following proposals (voting results are
listed immediately below each proposal):
Proposal I: To elect six trustees to serve until their successors are elected
and qualified.
CALIFORNIA INVESTMENT TRUST CALIFORNIA INVESTMENT TRUST II
TRUSTEE AFFIRMATIVE WITHHELD AFFIRMATIVE WITHHELD
- --------------------- --------------------- -------------------- ----------------------- ---------------------
Stephen C. Rogers 49,982,412.539 809,812.493 36,914,360.586 1,463,880.379
Harry Holmes 49,723,489.986 1,068,735.046 37,789,478.617 588,762.348
John B. Sias 49,720,922.177 1,071,302.855 37,785,793.762 592,447.203
James W. Miller, Jr. 49,999,486.851 792,738.181 38,038,399.775 339,841.190
Kevin T. Kogler 49,987,510.396 804,714.636 38,048,687.005 329,553.960
Steven H. Sutro 49,911,293.179 880,931.853 37,734,985.678 643,255.287
------------------------------------------------------------------------------------------------------
50,792,225.032 SHARES VOTED 38,378,240.965 SHARES VOTED
Proposal II: To approve new Investment Advisory Agreements between each Trust,
on behalf of their respective Funds, and CCM Partners ("CCM"), with no change in
the advisory fee payable to CCM.
FUND VOTES FOR VOTES AGAINST VOTES ABSTAIN TOTAL VOTES
- -------------------------------------------------------------------------------------------------------------------------------
California Tax-Free Income 5,178,728.503 115,699.924 517,826.963 5,812,255.390
California Insured Intermediate 918,024.537 5,328.489 302,628.710 1,225,981.736
California Tax-Free Money Market 43,181,563.541 508,239.415 64,184.950 43,753,987.906
S&P 500 Index 2,035,064.543 26,690.770 642,474.326 2,704,229.639
S&P MidCap Index 3,472,613.138 13,073.499 1,394,334.772 4,880,021.409
S&P SmallCap Index 839,960.198 2,979.559 240,965.376 1,083,905.133
Equity Income 807,645.283 5,558.661 46,198.605 859,402.549
European Growth & Income 535,495.745 3,448.818 39,503.388 578,447.951
Nasdaq-100 Index 1,773,484.582 21,451.397 412,758.603 2,207,694.582
U.S. Government Securities 1,226,306.307 93,376.349 117,111.736 1,436,794.392
Short-Term U.S. Government Bond 1,233,384.250 2,655.260 43,762.599 1,279,802.109
The United States Treasury Trust 23,038,627.811 96,508.060 212,807.330 23,347,943.201
Proposal III: To approve an Agreement and Plan of Reorganization that provides
for the reorganization of each Trust from a Massachusetts business trust into a
single Delaware statutory trust.
TRUST VOTES FOR VOTES AGAINST VOTES ABSTAIN TOTAL VOTES
- -------------------------------------------------------------------------------------------------------------------------------
California Investment Trust 48,275,193.272 585,372.373 1,931,659.387 50,792,225.032
California Investment Trust II 34,686,321.190 536,899.938 3,155,019.837 38,378,240.965
Each of the three proposals passed with the required number of votes.
57
CALIFORNIA
INVESTMENT TRUST
- ----------------
FUND GROUP
P.O. Box 387
San Francisco, CA 94104-4708
ITEM 2. CODE OF ETHICS.
(a) The Registrant has adopted a code of ethics that applies to its
principal executive officers and principal financial and accounting
officer.
(c) N/A
(d) N/A
(f) Pursuant to Item 12(a)(1), the Registrant is attaching as an exhibit a
copy of its code of ethics that applies to its principal executive
officer and principal financial and accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) Registrant does not have an audit committee financial expert serving on
its audit committee.
(a)(2) N/A
(a)(3) The audit committee has determined that no independent trustee meets
the criteria of "audit committee financial expert".
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The aggregate fees paid to the principal accountant for professional services
rendered by the principal accountant for the audit of the Registrant's annual
financial statements or for services that are normally provided by the principal
accountant in connection with statutory and regulatory filings or engagements
were $56,700 for the fiscal year ended August 31, 2006 and $73,700 for the
fiscal year ended August 31, 2005.
(b) Audit-Related Fees
There were no fees paid to the principal accountant for assurance and related
services rendered by the principal accountant to the Registrant that are
reasonably related to the performance of the audit of the Registrant's financial
statements and are not reported under paragraph (a) of Item 4.
(c) Tax Fees
The aggregate fees paid to the principal accountant for tax compliance, tax
advice, and tax planning services rendered by the principal accountant to the
Registrant were $13,500 for the fiscal year ended August 31, 2006 and $13,500
for the fiscal year ended August 31, 2005.
-2-
(d) All Other Fees
There were no other fees paid to the principal accountant for services rendered
by the principal accountant to the Registrant that are reasonably related to the
performance of the audit of the Registrant's financial statements and are not
reported under paragraphs (a)-(c) of Item 4.
(e)(1) The Registrant's audit committee is directly responsible for approving
the services to be provided by the auditors, including:
(i) pre-approval of all audit and audit-related services;
(ii) pre-approval of all non-audit related services to be provided
to the Registrant by the auditors;
(iii) pre-approval of all non-audit related services to be provided
to the Registrant by the auditors to the Registrant 's
investment adviser or to any entity that controls, is
controlled by or is under common control with the Registrant
's investment adviser and that provides ongoing services to
the Registrant where the non-audit services relate directly to
the operations or financial reporting of the Registrant; and
(e)(2) All of the services provided to the Registrant described in paragraphs
(b)-(d) of Item 4 were pre-approved by the audit committee.
(f) N/A
(g) The aggregate non-audit fees paid to the principal accountant for
services rendered by the principal accountant to the Registrant and the
Registrant's investment adviser and any entity controlling, controlled
by or under common control with the investment adviser that provides
ongoing services to the Registrant were $2,700 for the fiscal year
ended August 31, 2006 and $2,625 for the fiscal year ended August 31,
2005.
(h) N/A
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
N/A
ITEM 6. SCHEDULE OF INVESTMENTS
Included under Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
N/A
-3-
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
N/A
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVEESTMENT
COMPANY AND AFFILIATED PURCHASERS.
N/A
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the Registrant's board of trustees since the
Registrant last provided disclosure in response to the requirements of Item
7(d)(2)(ii)(G) of Schedule 14A or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the Registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective as of a date within 90 days of the filing date of
the report that includes the disclosure required by this paragraph, based on
their evaluation of these controls and procedures required by Rule 30a-3(b)
under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under
the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during
the Registrant's last fiscal half-year (the Registrant's second fiscal half-year
in the case of an annual report) that has materially affected, or is reasonably
likely to materially affect, the Registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS
(a)(1) Code of Ethics
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section
302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906
of the Sarbanes-Oxley Act of 2002 are attached hereto.
-4-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
California Investment Trust II
By (Signature and Title)* /s/ Stephen C. Rogers
-------------------------------------------------------
Stephen C. Rogers, President Date: November 9, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Stephen C. Rogers
-------------------------------------------------------
Stephen C. Rogers, President Date: November 9, 2006
By (Signature
and Title)* /s/ Christopher P. Browne
------------------------------------------------------------
Christopher P. Browne, Treasurer Date: November 9, 2006
* Print the name and title of each signing officer under his or her signature.
-5-