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 811-03738
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VALIC Company I
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(Exact name of registrant as specified in charter)
2929 Allen Parkway, Houston, TX 77019
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(Address of principal executive offices) (Zip code)
Evelyn M. Curran
Senior Vice President
The Variable Annuity Life Insurance Company
2929 Allen Parkway
Houston, TX 77019
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(Name and address of agent for service)
Registrant's telephone number, including area code: (713) 831-6425
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Date of fiscal year end: May 31
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Date of reporting period: November 30, 2003
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Item 1. Reports to Shareholders
VALIC Company I, Semi-annual Report at November 30, 2003.
VALIC Company I
Semi-Annual Report
November 30, 2003
VALIC COMPANY I - SEMI-ANNUAL REPORT NOVEMBER 30, 2003
TABLE OF CONTENTS
President's Letter.................... 1
Schedule of Investments:
Asset Allocation Fund.............. 2
Blue Chip Growth Fund.............. 11
Capital Conservation Fund.......... 13
Core Equity Fund................... 17
Government Securities Fund......... 19
Growth & Income Fund............... 20
Growth Fund........................ 22
Health Sciences Fund............... 25
Income & Growth Fund............... 27
International Equities Fund........ 30
International Government Bond Fund. 41
International Growth I Fund........ 44
Large Cap Growth Fund.............. 47
Mid Cap Index Fund................. 49
Money Market I Fund................ 55
Nasdaq-100(R) Index Fund........... 56
Science & Technology Fund.......... 58
Small Cap Fund..................... 60
Small Cap Index Fund............... 65
Social Awareness Fund.............. 83
Stock Index Fund................... 86
Value Fund......................... 92
Statements of Assets and Liabilities.. 95
Statements of Operations.............. 103
Statements of Changes in Net Assets... 107
Notes to Financial Statements......... 113
Financial Highlights.................. 123
Director Information.................. 134
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1
PRESIDENT'S LETTER
Dear Valued Investor:
We are pleased to present the semiannual report for VALIC Company I. The report
contains the investment information and the financial statements of the VALIC
Company I portfolios for the reporting period ended November 30, 2003.
With VALIC Company I, you have a wide range of investment choices, covering
many asset classes, to help you meet your objectives. Each investor has his or
her own risk tolerance and financial goals. We recommend that you contact your
financial representative to make certain that your current portfolio allocation
is appropriate for you.
Thank you for your continued confidence in our ability to help you meet your
investment goals.
Sincerely,
/s/ Evelyn M. Curran
Evelyn M. Curran, President
VALIC Company I
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ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
2
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
COMMON STOCK - 55.34%
ADVERTISING - 0.06%
1,900 Interpublic Group of Cos., Inc. + $ 27,075
920 Omnicom Group, Inc............... 73,287
------------
100,362
------------
AEROSPACE/DEFENSE - 1.02%
5,370 Boeing Co........................ 206,154
3,710 General Dynamics Corp............ 300,027
570 Goodrich Corp.................... 15,681
5,730 Honeywell International, Inc..... 170,124
10,770 Lockheed Martin Corp............. 494,774
890 Northrop Grumman Corp............ 82,441
9,720 Raytheon Co...................... 269,341
870 Rockwell Collins, Inc............ 23,394
2,280 United Technologies Corp......... 195,396
------------
1,757,332
------------
AIRLINES - 0.10%
8,920 Delta Air Lines, Inc............. 111,857
3,800 Southwest Airlines Co............ 68,324
------------
180,181
------------
APPAREL & PRODUCTS - 0.47%
4,340 Gap, Inc......................... 93,310
6,660 Jones Apparel Group, Inc......... 229,770
2,530 Limited, Inc..................... 45,338
530 Liz Claiborne, Inc............... 18,555
4,510 Nike, Inc., Class B.............. 303,298
1,200 Reebok International, Ltd........ 48,288
2,480 TJX Cos., Inc.................... 56,023
520 VF Corp.......................... 21,460
------------
816,042
------------
APPLIANCES/FURNISHINGS - 0.03%
940 Leggett & Platt, Inc............. 19,120
380 Maytag Corp...................... 10,047
330 Whirlpool Corp................... 22,545
------------
51,712
------------
AUTOMOTIVE - 0.54%
1,340 AutoNation, Inc. +............... 23,557
440 AutoZone, Inc. +................. 42,090
360 Cooper Tire & Rubber Co.......... 7,204
4,570 Danaher Corp..................... 380,224
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
AUTOMOTIVE - (Continued)
2,720 Delphi Automotive Systems Corp. $ 23,882
23,240 Ford Motor Co.................. 306,768
2,720 General Motors Corp............ 116,362
850 Genuine Parts Co............... 26,758
850 Goodyear Tire & Rubber Co. +... 5,737
640 Visteon Corp................... 5,024
------------
937,606
------------
BANKS - 4.04%
1,700 AmSouth Bancorp................ 40,783
16,150 Bank of America Corp........... 1,218,194
3,740 Bank of New York Co., Inc...... 114,743
12,780 Bank One Corp.................. 554,141
2,620 BB&T Corp...................... 103,123
1,100 Charter One Financial, Inc..... 36,542
850 Comerica, Inc.................. 44,328
2,770 Fifth Third Bancorp............ 161,020
610 First Tennessee National Corp.. 27,206
14,800 FleetBoston Financial Corp..... 600,880
1,110 Huntington Bancshares, Inc..... 24,409
2,050 KeyCorp........................ 56,969
1,100 Marshall & Ilsley Corp......... 40,810
7,680 Mellon Financial Corp.......... 221,184
9,300 National City Corp............. 312,015
740 North Fork Bancorp., Inc....... 29,548
1,070 Northern Trust Corp............ 47,990
1,360 PNC Financial Services Group... 73,930
1,410 Providian Financial Corp. +.... 15,933
1,080 Regions Financial Corp......... 40,079
1,640 SouthTrust Corp................ 52,726
1,620 State Street Bank & Trust Co... 82,555
1,370 SunTrust Bks., Inc............. 97,338
1,470 Synovus Financial Corp......... 42,130
24,980 U.S. Bancorp................... 692,196
950 Union Planters Corp............ 32,785
20,450 Wachovia Corp.................. 935,587
22,160 Wells Fargo & Co............... 1,270,433
440 Zions Bancorp.................. 27,135
------------
6,996,712
------------
BEVERAGES - 1.56%
180 Adolph Coors Co., Class B...... 9,920
10,290 Anheuser-Busch Cos., Inc....... 533,228
300 Brown-Forman Corp., Class B.... 27,522
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
BEVERAGES - (Continued)
28,630 Coca-Cola Bottling Co............. $ 1,331,295
2,200 Coca-Cola Enterprises, Inc........ 45,430
4,960 Pepsi Bottling Group, Inc......... 114,477
13,260 PepsiCo, Inc...................... 638,071
------------
2,699,943
------------
BROADCASTING - 0.63%
5,730 Clear Channel Communications, Inc. 239,571
25,360 Comcast Corp., Class A +.......... 795,797
1,560 Univision Communications, Inc.,
Class A+......................... 56,285
------------
1,091,653
------------
BUILDING MATERIALS - 0.51%
350 American Standard Cos., Inc. +.... 34,895
8,790 Lowe's Cos., Inc.................. 512,457
2,280 Masco Corp........................ 62,016
710 Sherwin-Williams Co............... 23,025
5,480 Vulcan Materials Co............... 243,696
------------
876,089
------------
CHEMICAL - 0.80%
1,100 Air Products and Chemicals, Inc... 52,734
330 Ashland, Inc...................... 13,114
4,460 Dow Chemical Co................... 167,473
13,790 E.I. du Pont de Nemours and Co.... 571,734
6,430 Eastman Chemical Co............... 229,358
1,260 Ecolab, Inc....................... 33,037
610 Engelhard Corp.................... 18,190
250 Great Lakes Chemical Corp......... 5,678
9,350 Hercules, Inc. +.................. 93,874
1,270 Monsanto Co....................... 34,442
830 PPG Industries, Inc............... 48,530
790 Praxair, Inc...................... 56,706
1,080 Rohm and Haas Co.................. 43,362
340 Sigma-Aldrich Corp................ 18,214
------------
1,386,446
------------
COMMERCIAL SERVICES - 0.34%
280 Ball Corp......................... 15,666
5,020 Cendant Corp. +................... 111,243
830 Cintas Corp....................... 38,794
2,370 Concord EFS, Inc. +............... 27,231
690 Convergys Corp. +................. 10,585
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ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
3
NUMBER MARKET
OF SHARES VALUE
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COMMERCIAL SERVICES - Continued
6,200 Deluxe Corp....................... $ 255,440
400 Fluor Corp........................ 14,664
730 Moody's Corp...................... 41,815
1,830 Paychex, Inc...................... 70,400
------------
585,838
------------
CONGLOMERATES - 2.62%
11,540 3M Co............................. 912,122
370 Eaton Corp........................ 38,106
97,970 General Electric Co. @............ 2,808,800
450 ITT Industries, Inc............... 29,664
5,870 Loews Corp........................ 250,238
660 Textron, Inc...................... 32,894
20,120 Tyco International, Ltd........... 461,754
------------
4,533,578
------------
DRUGS - 3.73%
13,220 Abbott Laboratories............... 584,324
2,020 Allergan, Inc..................... 150,955
22,740 Bristol-Myers Squibb Co........... 599,199
7,820 Eli Lilly & Co.................... 536,139
2,810 Forest Laboratories, Inc. +....... 153,538
1,170 King Pharmaceuticals, Inc. +...... 15,105
15,720 Merck & Co., Inc.................. 638,232
86,419 Pfizer, Inc. @.................... 2,899,357
7,140 Schering-Plough Corp.............. 114,597
520 Watson Pharmaceuticals, Inc. +.... 24,513
18,950 Wyeth............................. 746,630
------------
6,462,589
------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 0.73%
4,990 Agilent Technologies, Inc. +...... 141,117
960 American Power Conversion Corp.... 20,986
1,020 Applera Corp. - Applied Biosystems
Group............................ 21,899
920 Comverse Technology, Inc. +....... 17,692
2,050 Emerson Electric Co............... 125,132
970 Jabil Circuit, Inc. +............. 26,685
6,950 JDS Uniphase Corp. +.............. 23,908
440 Johnson Controls, Inc............. 48,154
240 Millipore Corp. +................. 10,274
2,600 Molex, Inc........................ 83,616
1,820 NVIDIA Corp. +.................... 38,493
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - Continued
570 Parker Hannifin Corp.............. $ 31,344
3,450 Perkinelmer, Inc.................. 58,339
1,310 Pitney Bowes, Inc................. 52,073
830 PMC-Sierra, Inc. +................ 16,907
400 Power-One, Inc. +................. 3,372
2,480 Sanmina-SCI Corp. +............... 30,231
4,030 Solectron Corp. +................. 23,576
1,120 Symbol Technologies, Inc.......... 15,624
410 Tektronix, Inc.................... 11,296
6,950 Thermo Electron Corp. +........... 166,105
280 Thomas & Betts Corp............... 5,824
440 W. W. Grainger, Inc............... 20,354
7,030 Waters Corp. +.................... 224,819
3,840 Xerox Corp. +..................... 46,771
------------
1,264,591
------------
FINANCE COMPANIES - 0.57%
4,160 Capital One Financial Corp........ 248,435
15,330 MBNA Corp......................... 375,892
9,940 SLM Corp.......................... 369,072
------------
993,399
------------
FINANCIAL SERVICES - 4.06%
9,850 American Express Co............... 450,243
480 Bear Stearns Cos., Inc............ 34,781
14,290 Charles Schwab Corp............... 165,764
56,970 Citigroup, Inc. @................. 2,679,869
660 Countrywide Financial Corp........ 69,696
680 Equifax, Inc...................... 16,068
8,910 Fannie Mae........................ 623,700
530 Federated Investors, Inc., Class B 15,237
1,220 Franklin Resources, Inc........... 58,353
5,980 Freddie Mac....................... 325,432
5,750 Goldman Sachs Group, Inc.......... 552,460
870 H & R Block, Inc.................. 47,232
1,160 Janus Capital Group, Inc.......... 16,136
23,060 JP Morgan Chase & Co.............. 815,402
1,340 Lehman Brothers Holdings, Inc..... 96,761
8,240 Merrill Lynch & Co., Inc.......... 467,620
10,150 Morgan Stanley.................... 561,092
600 T. Rowe Price Group, Inc.......... 25,224
------------
7,021,070
------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
FOODS - 0.62%
3,130 Archer-Daniels-Midland Co........... $ 44,728
2,000 Campbell Soup Co.................... 51,220
2,610 ConAgra Foods, Inc.................. 63,945
10,220 General Mills, Inc.................. 460,002
1,710 H J Heinz Co........................ 61,731
640 Hershey Foods Corp.................. 49,728
1,980 Kellogg Co.......................... 70,825
680 McCormick & Co., Inc................ 19,509
3,780 Sara Lee Corp....................... 77,679
3,160 Sysco Corp.......................... 114,771
1,090 Wm. Wrigley Jr. Co.................. 60,081
------------
1,074,219
------------
FREIGHT - 0.55%
1,450 FedEx Corp.......................... 105,415
310 Ryder System, Inc................... 9,669
11,610 United Parcel Service, Inc., Class B 844,860
------------
959,944
------------
HARDWARE & TOOLS - 0.22%
7,860 Black & Decker Corp................. 364,625
280 Snap-on, Inc........................ 8,406
410 Stanley Works....................... 13,411
------------
386,442
------------
HEALTHCARE - 0.32%
3,570 Anthem, Inc.+....................... 257,469
260 Bausch & Lomb, Inc.................. 13,060
1,170 Health Management Associates, Inc.,
Class A............................ 30,069
720 Manor Care, Inc..................... 25,430
5,010 McKesson Corp....................... 146,292
2,044 Medco Health Solutions, Inc. +...... 74,463
------------
546,783
------------
HEAVY DUTY TRUCKS/PARTS - 0.13%
10,210 Dana Corp........................... 165,095
330 Navistar International Corp. +...... 14,223
570 PACCAR, Inc......................... 45,720
------------
225,038
------------
HOME BUILDERS - 0.04%
300 Centex Corp......................... 32,820
230 KB Home............................. 15,842
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ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
4
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
HOME BUILDERS - Continued
300 Pulte Homes, Inc........................ $ 28,662
------------
77,324
------------
HOSPITAL MANAGEMENT - 0.08%
2,670 HCA, Inc................................ 111,900
2,250 Tenet Healthcare Corp. +................ 32,872
------------
144,772
------------
HOSPITAL SUPPLIES - 1.60%
1,900 AmerisourceBergen Corp.................. 120,251
2,960 Baxter International, Inc............... 82,347
8,430 Becton, Dickinson and Co................ 337,453
1,250 Biomet, Inc............................. 44,712
4,000 Boston Scientific Corp. +............... 143,560
4,470 Cardinal Health, Inc.................... 273,296
250 CR Bard, Inc............................ 18,900
27,200 Johnson & Johnson....................... 1,340,688
6,230 Medtronic, Inc.......................... 281,596
840 St. Jude Medical, Inc. +................ 53,206
970 Stryker Corp............................ 78,570
------------
2,774,579
------------
HOUSEHOLD PRODUCTS - 1.63%
290 Alberto-Culver Co., Class B............. 17,710
320 American Greetings Corp., Class A +..... 6,758
1,150 Avon Products, Inc...................... 78,775
1,820 Clorox Co............................... 85,395
7,110 Colgate-Palmolive Co.................... 373,275
710 Fortune Brands, Inc..................... 48,507
13,840 Gillette Co............................. 466,823
460 International Flavors & Fragrances, Inc. 14,936
2,460 Kimberly-Clark Corp..................... 133,381
1,330 Newell Rubbermaid, Inc.................. 30,417
16,140 Procter & Gamble Co..................... 1,553,314
280 Tupperware Corp......................... 4,315
------------
2,813,606
------------
HUMAN RESOURCES - 0.01%
830 Robert Half International, Inc. +....... 18,476
------------
INFORMATION PROCESSING -
HARDWARE - 1.92%
4,150 Apple Computer, Inc. +.................. 86,818
26,640 Dell, Inc. +............................ 919,080
1,570 Gateway, Inc. +......................... 7,002
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
INFORMATION PROCESSING -
HARDWARE - Continued
32,670 Hewlett-Packard Co..................... $ 708,612
15,480 International Business Machines Corp... 1,401,559
620 Lexmark International, Inc., Class A +. 47,988
2,850 Network Appliance, Inc. +.............. 65,864
20,460 Sun Microsystems, Inc. +............... 87,364
------------
3,324,287
------------
INFORMATION PROCESSING -
SERVICES - 1.33%
3,080 Adobe Systems, Inc..................... 127,266
910 Computer Sciences Corp. +.............. 37,674
7,980 eBay, Inc. +........................... 445,683
2,330 Electronic Data Systems Corp........... 50,375
20,720 EMC Corp. +............................ 284,693
9,990 First Data Corp........................ 378,121
6,590 Fiserv, Inc. +......................... 247,125
550 Monster Worldwide, Inc. +.............. 13,233
460 NCR Corp. +............................ 16,054
4,790 SunGard Data Systems, Inc. +........... 129,426
7,480 Symantec Corp. +....................... 245,568
5,570 Unisys Corp. +......................... 90,902
5,390 Yahoo!, Inc. +......................... 231,662
------------
2,297,782
------------
INFORMATION PROCESSING -
SOFTWARE - 2.43%
540 Autodesk, Inc.......................... 12,539
2,910 Automatic Data Processing, Inc......... 111,249
1,110 BMC Software, Inc. +................... 18,459
800 Citrix Systems, Inc. +................. 19,216
2,810 Computer Associates International, Inc. 65,473
1,860 Compuware Corp. +...................... 10,639
1,160 IMS Health, Inc........................ 26,715
2,340 Intuit, Inc. +......................... 117,655
420 Mercury Interactive Corp. +............ 19,656
110,480 Microsoft Corp. @...................... 2,839,336
1,800 Novell, Inc. +......................... 17,100
60,370 Oracle Corp. +......................... 725,044
1,290 Parametric Technology Corp. +.......... 4,412
1,770 PeopleSoft, Inc. +..................... 37,435
2,400 Siebel Systems, Inc. +................. 31,632
3,800 VERITAS Software Corp. +............... 144,480
------------
4,201,040
------------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
INSURANCE - 2.98%
5,170 ACE, Ltd............................... $ 188,446
750 Aetna, Inc............................. 48,285
11,300 AFLAC, Inc............................. 406,461
3,420 Allstate Corp.......................... 138,100
520 AMBAC Financial Group, Inc............. 35,750
25,250 American International Group, Inc. #... 1,463,237
1,520 Aon Corp............................... 33,349
910 Chubb Corp............................. 59,560
2,770 CIGNA Corp............................. 148,610
780 Cincinnati Financial Corp.............. 31,613
4,480 Hartford Financial Services Group, Inc. 246,400
870 Humana, Inc. +......................... 19,427
690 Jefferson-Pilot Corp................... 33,486
5,460 John Hancock Financial Services, Inc... 200,655
860 Lincoln National Corp.................. 33,721
7,630 Marsh & McLennan Cos., Inc............. 339,077
830 MBIA, Inc.............................. 48,240
9,890 MetLife, Inc........................... 323,304
1,960 MGIC Investment Corp................... 103,782
1,570 Principal Financial Group, Inc......... 51,983
1,060 Progressive Corp....................... 82,786
2,650 Prudential Financial, Inc.............. 103,641
670 Safeco Corp............................ 25,078
5,970 St. Paul Cos., Inc..................... 221,487
560 Torchmark Corp......................... 24,696
4,890 Travelers Property Casualty Corp.,
Class B............................... 76,284
9,440 UnitedHealth Group, Inc................ 508,816
2,590 UnumProvident Corp..................... 38,669
710 Wellpoint Health Networks, Inc.,
Class A +............................. 66,378
660 Xl Capital, Ltd., Class A.............. 49,632
------------
5,150,953
------------
LEISURE AND TOURISM - 0.96%
440 Brunswick Corp......................... 13,222
3,060 Carnival Corp.......................... 107,681
800 Darden Restaurants, Inc................ 16,568
2,740 Electronic Arts, Inc. +................ 121,190
5,440 Harley-Davidson, Inc................... 256,605
540 Harrah's Entertainment, Inc............ 25,850
840 Hasbro, Inc............................ 18,572
1,840 Hilton Hotels Corp..................... 30,102
1,680 International Game Technology.......... 58,279
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ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
5
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
LEISURE AND TOURISM - Continued
1,130 Marriott International, Inc., Class A $ 51,788
5,600 Mattel, Inc.......................... 113,344
25,180 McDonald's Corp...................... 645,363
1,420 Sabre Holdings Corp., Class A........ 29,607
1,900 Starbucks Corp. +.................... 60,933
980 Starwood Hotels & Resorts Worldwide,
Inc., Class B....................... 33,781
550 Wendy's International, Inc........... 21,357
1,430 Yum! Brands, Inc. +.................. 49,321
------------
1,653,563
------------
MACHINERY - 0.63%
1,680 Caterpillar, Inc..................... 127,764
450 Cooper Industries, Ltd., Class A..... 24,142
6,040 Crane Co............................. 175,704
200 Cummins, Inc......................... 9,290
1,160 Deere & Co........................... 71,027
8,310 Dover Corp........................... 319,021
1,500 Illinois Tool Works, Inc............. 117,150
3,200 Ingersoll-Rand Co., Class A.......... 199,488
600 Pall Corp............................ 15,372
900 Rockwell Automation, Inc............. 29,925
------------
1,088,883
------------
MEDICAL - BIOMEDICAL/GENE - 0.64%
13,250 Amgen, Inc. +........................ 762,007
1,590 Biogen, Inc. +....................... 60,706
5,470 Genzyme Corp. +...................... 255,668
1,210 MedImmune, Inc. +.................... 28,798
------------
1,107,179
------------
MEDICAL TECHNOLOGY - 0.32%
2,110 Chiron Corp. +....................... 113,138
4,490 Guidant Corp......................... 254,898
1,560 Quest Diagnostics, Inc. +............ 113,833
1,100 Zimmer Holdings, Inc. +.............. 72,512
------------
554,381
------------
METALS - 0.34%
4,110 Alcoa, Inc........................... 134,849
9,600 Allegheny Technologies, Inc.......... 78,720
820 Freeport-McMoRan Copper & Gold, Inc.,
Class B............................. 35,695
4,770 Newmont Mining Corp.................. 229,628
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------
METALS - Continued
380 Nucor Corp.................. $ 21,322
430 Phelps Dodge Corp. +........ 27,382
2,270 United States Steel Corp.... 56,410
420 Worthington Industries, Inc. 6,014
------------
590,020
------------
MISCELLANEOUS - 0.02%
1,390 Eastman Kodak Co............ 33,860
------------
MULTIMEDIA - 1.22%
1,310 Gannett Co., Inc............ 113,446
930 McGraw-Hill Cos., Inc....... 63,705
240 Meredith Corp............... 11,494
45,430 Time Warner, Inc. +......... 739,600
17,040 Viacom, Inc., Class B....... 670,013
21,850 Walt Disney Co.............. 504,516
------------
2,102,774
------------
OIL AND GAS - 3.11%
1,450 Amerada Hess Corp........... 68,687
5,440 Anadarko Petroleum Corp..... 244,419
790 Apache Corp................. 56,722
1,630 Baker Hughes, Inc........... 47,042
770 BJ Services Co. +........... 24,555
980 Burlington Resources, Inc... 49,196
12,990 ChevronTexaco Corp.......... 975,549
6,770 ConocoPhillips.............. 384,130
1,130 Devon Energy Corp........... 55,777
1,820 Dynegy, Inc., Class A +..... 7,280
2,920 El Paso Corp................ 20,732
560 EOG Resources, Inc.......... 23,486
74,550 Exxon Mobil Corp. @......... 2,696,473
4,980 Halliburton Co.............. 116,283
4,410 Kerr-McGee Corp............. 185,176
600 Kinder Morgan, Inc.......... 32,700
1,510 Marathon Oil Corp........... 44,711
710 Nabors Industries, Ltd. +... 26,355
650 Noble Corp. +............... 22,477
1,860 Occidental Petroleum Corp... 68,225
180 Peoples Energy Corp......... 7,236
460 Rowan Cos., Inc. +.......... 9,738
2,830 Schlumberger, Ltd........... 132,784
370 Sunoco, Inc................. 17,764
1,550 Transocean, Inc. +.......... 30,039
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
OIL AND GAS - Continued
1,260 Unocal Corp....................... $ 40,043
------------
5,387,579
------------
PAPER/FOREST PRODUCTS - 0.43%
540 Avery Dennison Corp............... 29,743
260 Bemis Co., Inc.................... 11,830
280 Boise Cascade Corp................ 8,263
12,100 Georgia-Pacific Corp.............. 330,209
2,330 International Paper Co............ 86,699
5,830 Louisiana-Pacific Corp. +......... 105,464
970 Meadwestvaco Corp................. 24,754
770 Pactiv Corp. +.................... 17,279
890 Plum Creek Timber Co., Inc........ 23,701
410 Sealed Air Corp. +................ 21,636
260 Temple-Inland, Inc................ 14,698
1,070 Weyerhaeuser Co................... 60,990
------------
735,266
------------
POLLUTION CONTROL - 0.07%
2,640 Allied Waste Industries, Inc. +... 32,868
2,880 Waste Management, Inc............. 84,701
------------
117,569
------------
PUBLISHING - 0.18%
400 Dow Jones & Co., Inc.............. 19,840
390 Knight-Ridder, Inc................ 29,008
730 New York Times Co., Class A....... 33,507
1,100 R. R. Donnelley & Sons Co......... 30,866
4,210 Tribune Co........................ 205,659
------------
318,880
------------
RAILROADS & EQUIPMENT - 0.14%
1,810 Burlington Northern Santa Fe Corp. 53,884
2,260 CSX Corp.......................... 76,591
1,900 Norfolk Southern Corp............. 40,679
1,240 Union Pacific Corp................ 78,963
------------
250,117
------------
REAL ESTATE INVESTMENT
TRUSTS - 0.10%
460 Apartment Investment & Management
Co., Class A..................... 15,663
1,940 Equity Office Properties Trust.... 53,796
1,330 Equity Residential................ 39,049
- --------------------------------------------------------------------------------
ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
6
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
REAL ESTATE INVESTMENT
TRUSTS - Continued
870 Prologis Trust................... $ 26,535
930 Simon Property Group, Inc........ 44,129
------------
179,172
------------
RETAIL - 3.49%
1,780 Albertson's, Inc................. 37,878
7,770 Bed Bath & Beyond, Inc. +........ 328,205
1,570 Best Buy Co., Inc................ 97,340
570 Big Lots, Inc. +................. 8,356
1,020 Circuit City Stores, Inc......... 13,280
2,220 Costco Wholesale Corp. +......... 79,520
6,400 CVS Corp......................... 239,744
2,320 Dillard's, Inc., Class A......... 39,092
9,380 Dollar General Corp.............. 198,106
390 Express Scripts, Inc., Class A +. 25,245
840 Family Dollar Stores, Inc........ 32,407
900 Federated Department Stores, Inc. 44,181
21,700 Home Depot, Inc.................. 797,692
5,020 JC Penney Co., Inc............... 124,898
3,450 Kohl's Corp. +................... 166,704
3,650 Kroger Co. +..................... 68,839
1,400 May Department Stores Co......... 41,510
660 Nordstrom, Inc................... 22,770
1,510 Office Depot, Inc. +............. 23,934
3,520 RadioShack Corp.................. 109,648
2,150 Safeway, Inc. +.................. 44,612
1,240 Sears, Roebuck and Co............ 68,398
11,940 Staples, Inc. +.................. 324,171
650 SUPERVALU, Inc................... 16,783
8,880 Target Corp...................... 343,834
710 Tiffany & Co..................... 32,198
1,040 Toys R US, Inc. +................ 12,210
42,770 Wal-Mart Stores, Inc. @.......... 2,379,723
7,180 Walgreen Co...................... 264,296
5,180 Winn-Dixie Stores, Inc........... 46,775
------------
6,032,349
------------
SAVINGS & LOAN - 0.16%
740 Golden West Financial Corp....... 74,666
4,490 Washington Mutual, Inc........... 205,687
------------
280,353
------------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
SCHOOLS - 0.15%
3,820 Apollo Group, Inc., Class A +...... $ 263,695
------------
SEMICONDUCTORS - 2.45%
1,690 Advanced Micro Devices, Inc. +..... 30,386
1,860 Altera Corp. +..................... 47,114
1,780 Analog Devices, Inc. +............. 88,555
15,290 Applied Materials, Inc. +.......... 371,547
4,230 Applied Micro Circuits Corp. +..... 27,326
1,440 Broadcom Corp., Class A +.......... 52,459
70,320 Intel Corp......................... 2,350,798
950 KLA-Tencor Corp. +................. 55,680
1,520 Linear Technology Corp............. 65,573
6,500 LSI Logic Corp. +.................. 60,905
1,580 Maxim Integrated Products, Inc..... 82,286
2,960 Micron Technology, Inc. +.......... 38,510
5,070 National Semiconductor Corp. +..... 226,730
740 Novellus Systems, Inc. +........... 32,382
2,060 QLogic Corp. +..................... 117,070
920 Teradyne, Inc. +................... 23,156
17,310 Texas Instruments, Inc............. 515,146
1,660 Xilinx, Inc. +..................... 62,399
------------
4,248,022
------------
TELECOMMUNICATIONS - 2.84%
3,910 ADC Telecommunications Inc. +...... 9,619
3,730 Alltel Corp........................ 169,379
5,140 Andrew Corp. +..................... 60,498
30,100 AT&T Wireless Services, Inc. +..... 225,750
2,020 Avaya, Inc. +...................... 27,472
8,980 BellSouth Corp..................... 233,749
9,820 CenturyTel, Inc.................... 321,114
2,290 Ciena Corp. +...................... 16,213
69,980 Cisco Systems, Inc. +.............. 1,585,747
1,380 Citizens Communications Co. +...... 14,987
6,470 Corning, Inc. +.................... 74,146
20,210 Lucent Technologies, Inc. +........ 64,672
35,550 Motorola, Inc...................... 499,122
18,150 Nextel Communications, Inc.,
Class A +......................... 459,740
6,690 QUALCOMM, Inc...................... 298,040
8,240 Qwest Communications International,
Inc. +............................ 30,158
720 Scientific-Atlanta, Inc............ 20,794
14,980 Sprint Corp. (PCS Group) +......... 68,758
2,010 Tellabs, Inc. +.................... 16,080
22,050 Verizon Communications, Inc........ 722,578
------------
4,918,616
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
TOBACCO - 0.57%
18,060 Altria Group, Inc.................... $ 939,120
410 R.J. Reynolds Tobacco Holdings, Inc.. 22,632
810 UST, Inc............................. 29,152
------------
990,904
------------
UTILITIES - COMMUNICATION - 0.44%
12,882 AT&T Corp............................ 255,450
18,570 SBC Communications, Inc.............. 432,310
4,390 Sprint Corp. (FON Group)............. 65,806
------------
753,566
------------
UTILITIES - ELECTRIC - 1.36%
3,010 AES Corp. +.......................... 26,699
610 Allegheny Energy, Inc. +............. 6,557
790 Ameren Corp.......................... 34,863
9,660 American Electric Power Co., Inc..... 267,485
2,010 Calpine Corp. +...................... 8,583
13,090 CenterPoint Energy, Inc.............. 126,973
860 Cinergy Corp......................... 31,433
780 CMS Energy Corp. +................... 6,154
1,090 Cons. Edison, Inc.................... 43,927
810 Constellation Energy Group, Inc...... 30,488
1,570 Dominion Resources, Inc.............. 94,624
820 DTE Energy Co........................ 30,922
8,540 Duke Energy Corp..................... 154,062
1,580 Edison International, Inc. +......... 32,264
1,110 Entergy Corp......................... 58,675
8,830 Exelon Corp.......................... 545,870
1,580 FirstEnergy Corp..................... 54,747
890 FPL Group, Inc....................... 56,559
1,280 NiSource, Inc........................ 26,560
2,000 PG&E Corp. +......................... 50,240
440 Pinnacle West Capital Corp........... 17,323
5,400 PPL Corp............................. 220,752
1,180 Progress Energy, Inc................. 51,708
3,990 Public Service Enterprise Group, Inc. 163,670
3,540 Southern Co.......................... 103,616
2,550 TECO Energy, Inc..................... 33,099
1,560 TXU Corp............................. 34,538
1,940 Xcel Energy, Inc..................... 32,398
------------
2,344,789
------------
- --------------------------------------------------------------------------------
ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
7
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
UTILITIES - GAS, DISTRIBUTION - 0.04%
770 Keyspan Corp......................... $ 27,127
210 Nicor, Inc........................... 6,882
1,090 Sempra Energy........................ 30,869
------------
64,878
------------
UTILITIES - GAS, PIPELINE - 0.01%
2,520 Williams Cos., Inc................... 23,638
------------
TOTAL COMMON STOCK
(Cost $80,302,015)................... 95,790,441
------------
PAR
VALUE
- ------------
CORPORATE BONDS - 10.03%
AUTOMOTIVE - 0.31%
$ 173,000 Delphi Trust II:
6.20% due 11/15/08/(2)/............ 173,043
84,000 Ford Motor Co.:
6.63% due 10/1/28.................. 72,492
General Motors Corp.:
168,000 8.25% due 7/15/23.................. 181,173
98,000 7.20% due 1/15/11.................. 103,576
------------
530,284
------------
BANKS - 0.79%
70,000 Bank America Corp.:
5.25% due 12/1/15.................. 69,138
218,000 Bank of America Corp.:
7.13% due 3/1/09................... 248,801
150,000 European Investment Bank:
4.00% due 3/15/05.................. 154,506
75,000 Fleet Financial Group, Inc.:
6.88% due 1/15/28.................. 83,391
140,000 Huntington National Bank:
2.75% due 10/16/06................. 139,206
150,000 Key Bank NA:
4.10% due 6/30/05.................. 154,675
140,000 National City Bank:
2.50% due 4/17/06.................. 139,562
140,000 PNC Bank NA:
7.88% due 4/15/05.................. 151,087
Wachovia Corp.:
70,000 7.88% due 2/15/10.................. 83,440
140,000 6.15% due 3/15/09.................. 154,155
------------
1,377,961
------------
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
BEVERAGES - 0.24%
$ 84,000 Anheuser-Busch Cos., Inc.:
5.95% due 1/15/33.................. $ 85,279
70,000 Coca Cola HBC Finance BV:
5.13% due 9/17/13*................. 69,755
70,000 Coors Brewing Co.:
6.38% due 5/15/12.................. 76,063
168,000 Pepsi Bottling Group, Inc.:
7.00% due 3/1/29................... 191,600
------------
422,697
------------
BROADCASTING - 0.42%
140,000 Clear Channel Communications, Inc.:
3.13% due 2/1/07................... 139,474
140,000 Comcast Corp.:
6.88% due 6/15/09.................. 156,596
Liberty Media Corp.:
70,000 7.75% due 7/15/09.................. 79,577
140,000 3.50% due 9/25/06.................. 139,309
TCI Communications, Inc.:
107,000 8.75% due 8/1/15................... 134,302
70,000 6.88% due 2/15/06.................. 75,667
------------
724,925
------------
CHEMICAL - 0.04%
70,000 ICI Wilmington, Inc.:
5.63% due 12/1/13.................. 69,042
------------
COMMERCIAL SERVICES - 0.08%
140,000 Hertz Corp.:
4.70% due 10/2/06.................. 139,540
------------
CONGLOMERATES - 0.10%
168,000 Hutchison Whampoa, Ltd.:
7.45% due 11/24/33*................ 166,404
------------
DRUGS - 0.05%
84,000 Schering Plough Corp.:
6.50% due 12/1/33.................. 85,260
------------
FINANCE COMPANIES - 1.02%
870,000 Capital Auto Receivables Asset Trust,
Series 2002-4 A4:
2.64% due 3/17/08.................. 872,763
140,000 Capital One Bank:
4.25% due 12/1/08.................. 138,587
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
FINANCE COMPANIES - (Continued)
Ford Motor Credit Co.:
$ 70,000 7.00% due 10/1/13.................. $ 70,980
141,000 5.80% due 1/12/09.................. 141,028
General Motors Acceptance Corp.:
140,000 7.75% due 1/19/10.................. 153,248
121,000 4.50% due 7/15/06.................. 123,566
120,000 Household Finance Corp.:
3.38% due 2/21/06.................. 122,101
140,000 SLM Corp.:
4.00% due 1/15/09.................. 139,297
------------
1,761,570
------------
FINANCIAL SERVICES - 2.49%
250,000 Chase Commercial Mtg. Securities
Corp.:
7.20% due 1/15/32.................. 287,445
Citigroup, Inc.:
140,000 6.50% due 1/18/11.................. 156,812
118,000 6.00% due 10/31/33................. 117,342
Credit Suisse First Boston USA, Inc.:
141,000 6.13% due 11/15/11................. 152,579
42,000 3.88% due 1/15/09.................. 41,617
70,000 Duke Capital Corp., Series A:
6.25% due 7/15/05.................. 73,663
141,000 FPL Group Capital, Inc.:
3.25% due 4/11/06.................. 142,594
1,000,000 GE Capital Commercial Mtg. Corp.,
Series 2002-1 A3:
6.27% due 12/10/35................. 1,100,096
General Electric Capital Corp.:
140,000 6.13% due 2/22/11.................. 152,611
14,000 3.67% due 12/4/06.................. 140,011
140,000 Goldman Sachs Group, Inc.:
2.85% due 10/27/06................. 139,310
76,000 IOS Capital, LLC:....................
7.25% due 6/30/08.................. 76,380
140,000 John Deere Capital Corp.:
3.90% due 1/15/08.................. 141,525
140,000 JP Morgan Chase & Co.:
5.25% due 5/30/07.................. 148,500
150,000 Lehman Brothers Holdings, Inc.:
8.25% due 6/15/07.................. 173,745
140,000 Merrill Lynch & Co., Inc.:
4.50% due 11/4/10.................. 139,715
- --------------------------------------------------------------------------------
ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
8
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------------
FINANCIAL SERVICES - (Continued)
Morgan Stanley:
$115,000 6.75% due 4/15/11......................... $ 129,065
139,000 4.25% due 5/15/10......................... 137,183
142,000 National Rural Utilities Cooperative Finance
Corp.:
5.75% due 8/28/09......................... 152,946
100,000 Principal Life Global Funding:
5.13% due 6/28/07*........................ 106,064
140,000 Rio Tinto Finance USA, Ltd.:
2.63% due 9/30/08......................... 132,616
150,000 Salomon Smith Barney Holdings, Inc.:
5.88% due 3/15/06......................... 160,835
70,000 Sprint Capital Corp.:
6.38% due 5/1/09.......................... 73,917
140,000 Textron Financial Corp.:
2.75% due 6/1/06.......................... 138,662
100,000 TIAA Global Mkts, Inc.:
4.13% due 11/15/07*....................... 102,383
------------
4,317,616
------------
FOODS - 0.05%
84,000 Unilever Capital Corp.:
5.90% due 11/15/32........................ 83,455
------------
FREIGHT - 0.05%
70,000 Union Pacific Corp.:
7.38% due 9/15/09......................... 80,928
------------
HOSPITAL SUPPLIES - 0.09%
168,000 Johnson & Johnson:
4.95% due 5/15/33......................... 151,659
------------
HOUSEHOLD PRODUCTS - 0.08%
140,000 Fortune Brands, Inc.:
2.88% due 12/1/06......................... 139,696
------------
INSURANCE - 0.16%
70,000 Metlife, Inc.:
6.13% due 12/1/11......................... 75,519
115,000 Provident Companies, Inc.:
6.38% due 7/15/05......................... 119,917
84,000 Western & Southern Financial Group, Inc.:
5.75% due 7/15/33*........................ 78,370
------------
273,806
------------
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
METALS - 0.04%
$75,000 Noranda, Inc.:
7.00% due 7/15/05................ $ 79,178
------------
MULTIMEDIA - 0.16%
75,000 AOL Time Warner, Inc.:
6.13% due 4/15/06................ 80,073
84,000 Time Warner Entertainment Co., LP:
8.38% due 3/15/23................ 102,997
Time Warner, Inc.:
56,000 9.15% due 2/1/23................. 71,342
25,000 6.88% due 6/15/18................ 27,045
------------
281,457
------------
OIL AND GAS - 0.43%
Amerada Hess Corp.:
84,000 7.30% due 8/15/31................ 86,217
84,000 7.13% due 3/15/33................ 85,182
116,000 5.90% due 8/15/06................ 124,253
75,000 ChevronTexaco Capital Co.:
3.50% due 9/17/07................ 75,819
150,000 Occidental Petroleum Corp.:
6.50% due 4/1/05................. 158,587
84,000 Pemex Project Funding Master Trust:
8.63% due 2/1/22................. 91,770
110,000 Pennzoil Co.:
10.25% due 11/1/05............... 125,178
------------
747,006
------------
PAPER/FOREST PRODUCTS - 0.38%
28,000 Domtar, Inc.:
5.38% due 12/1/13................ 27,666
140,000 International Paper Co.:
7.50% due 5/15/04................ 143,457
98,000 Nexfor, Inc.:
6.88% due 11/15/05............... 104,681
34,000 Norske Skogsindustrier ASA:
7.13% due 10/15/33*.............. 35,192
112,000 Packaging Corp. of America:
5.75% due 8/1/13*................ 112,317
Weyerhaeuser Co.:
84,000 6.88% due 12/15/33............... 84,477
140,000 5.50% due 3/15/05................ 145,490
------------
653,280
------------
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
POLLUTION CONTROL - 0.06%
$95,000 Republic Services, Inc.:
7.13% due 5/15/09................ $ 108,469
------------
RAILROADS & EQUIPMENT - 0.24%
144,000 Burlington Northern Santa Fe Corp.:
8.13% due 4/15/20................ 173,067
140,000 CSX Corp.:
2.75% due 2/15/06................ 139,696
85,000 Norfolk Southern Corp.:
7.80% due 5/15/27................ 101,517
------------
414,280
------------
RETAIL - 0.34%
140,000 Kroger Co.:
7.38% due 3/1/05................. 148,675
Safeway, Inc.:
220,000 6.15% due 3/1/06................. 234,873
140,000 2.50% due 11/1/05................ 137,931
70,000 Toys R US, Inc.:
7.38% due 10/15/18............... 69,083
------------
590,562
------------
SAVINGS & LOAN - 0.08%
140,000 Washington Mutual, Inc.:
4.00% due 1/15/09................ 138,860
------------
TELECOMMUNICATIONS - 0.46%
95,000 Citizens Communications Co.:
8.50% due 5/15/06................ 106,987
Deutsche Telekom International
Finance BV:
109,000 8.75% due 6/15/30................ 137,236
67,000 8.25% due 6/15/05................ 72,793
84,000 France Telecom SA:
10.00% due 3/1/31................ 109,935
88,000 GTE Corp.:
6.94% due 4/15/28................ 90,757
126,000 Intelsat, Ltd.:
6.50% due 11/1/13*............... 130,555
50,000 TELUS Corp.:
8.00% due 6/1/11................. 57,421
95,000 Vodafone Group, PLC:
6.25% due 11/30/32............... 95,929
------------
801,613
------------
- --------------------------------------------------------------------------------
ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
9
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------
TOBACCO - 0.04%
$ 70,000 Altria Group, Inc.:
7.00% due 11/4/13.............. $ 72,586
------------
UTILITIES - COMMUNICATION - 0.55%
77,000 AT&T Corp.:
6.00% due 3/15/09.............. 81,795
98,000 GTE California, Inc.:
5.50% due 1/15/09.............. 103,797
168,000 Pacific Bell:
6.63% due 10/15/34............. 172,030
140,000 Royal KPN NV:
8.00% due 10/1/10.............. 166,335
84,000 Telecom Italia Capital:
6.38% due 11/15/33*............ 83,419
70,000 Verizon New York, Inc.:
6.38% due 4/1/12............... 76,638
174,000 Verizon New York, Inc., Series A:
7.38% due 4/1/32............... 188,866
70,000 Verizon Pennsylvania, Inc.:
5.65% due 11/15/11............. 72,943
------------
945,823
------------
UTILITIES - ELECTRIC - 1.23%
140,000 Alabama Power Co.:
2.80% due 12/1/06.............. 139,278
150,000 Appalachian Power Co.:
4.80% due 6/15/05.............. 155,662
84,000 Carolina Power & Light Co.:
6.13% due 9/15/33.............. 85,369
78,000 CenterPoint Energy, Inc.:
7.88% due 4/1/13*.............. 88,322
53,000 Consolidated Edison Co. of
New York, Inc.:
5.10% due 6/15/33.............. 47,238
140,000 Constellation Energy Group, Inc.:
7.88% due 4/1/05............... 150,503
70,000 Consumers Energy Co.:
4.00% due 5/15/10*............. 66,671
Dominion Resources, Inc.:
145,000 7.63% due 7/15/05.............. 156,967
126,000 5.25% due 8/1/33............... 124,135
55,000 Duke Energy Corp.:
4.50% due 4/1/10............... 55,492
134,000 Florida Power Corp.:
5.90% due 3/1/33............... 132,602
PAR MARKET
VALUE VALUE
- -----------------------------------------------------------
UTILITIES - ELECTRIC - Continued
$ 150,000 Georgia Power Co., Series F:
6.20% due 2/1/06................ $ 161,475
70,000 Great Lakes Power, Inc.:
8.30% due 3/1/05................ 73,950
150,000 Niagara Mohawk Power Corp.:
5.38% due 10/1/04............... 154,408
140,000 NiSource Finance Corp.:
7.63% due 11/15/05.............. 152,919
70,000 Ohio Edison Co.:
4.00% due 5/1/08*............... 68,740
50,000 Old Dominion Electric Cooperative:
5.68% due 12/1/28............... 50,949
70,000 Tampa Electric Co.:
6.88% due 6/15/12............... 77,286
70,000 Westar Energy, Inc.:
7.88% due 5/1/07................ 79,362
91,000 Xcel Energy, Inc.:
7.00% due 12/1/10............... 102,707
------------
2,124,035
------------
UTILITIES - GAS, PIPELINE - 0.05%
76,000 Reliant Energy Resources Corp.,
Series B:
8.13% due 7/15/05............... 81,173
------------
TOTAL CORPORATE BONDS
(Cost $17,158,752)................ 17,363,165
------------
FOREIGN GOVERNMENT BONDS - 0.31%
110,000 Government of United Kingdom:
2.25% due 7/8/08*............... 104,919
Quebec Province Canada:
168,000 7.50% due 7/15/23............... 204,167
140,000 5.00% due 7/17/09............... 146,966
75,000 United Mexican States:
8.00% due 9/24/22............... 80,700
------------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost $536,183)................... 536,752
------------
UNITED STATES GOVERNMENT
OBLIGATIONS - 20.75%
GOVERNMENT AGENCIES - 14.78%
374,000 Federal Farm Credit Bks.:
2.50% due 3/15/06............... 374,187
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
GOVERNMENT AGENCIES - Continued
Federal Home Loan Bank:
$ 370,000 5.25% due 8/15/06............ $ 394,079
160,000 4.50% due 9/16/13............ 156,468
370,000 1.88% due 6/15/06............ 363,899
Federal Home Loan Mtg. Corp.:
76,509 8.00% due 4/1/30............. 82,433
2,820 8.00% due 7/1/30............. 3,040
140,927 8.00% due 12/1/30............ 151,837
775,000 7.50% due TBA................ 828,523
567,087 7.00% due 6/1/32............. 598,360
439,000 6.25% due 7/15/32............ 472,194
174,000 5.88% due 3/21/11............ 186,303
550,054 5.50% due 10/1/33............ 553,486
1,350,000 5.00% due 10/1/33............ 1,322,985
850,000 4.50% due TBA................ 842,828
403,000 3.00% due 10/27/06........... 405,961
183,000 2.38% due 10/2/06............ 180,789
373,000 2.00% due 1/21/05............ 373,262
Federal National Mtg. Assoc.:
74,679 7.50% due 6/1/15............. 79,826
12,351 7.50% due 11/1/15............ 13,202
368,000 7.25% due 1/15/10............ 431,240
523,090 7.00% due 9/1/31............. 551,965
422,000 6.63% due 11/15/30........... 474,152
344,929 6.50% due 2/1/17............. 363,948
484,855 6.50% due 8/1/31............. 505,615
627,316 6.50% due 7/1/32............. 654,155
505,844 6.00% due 12/1/16............ 528,408
344,348 6.00% due 5/1/17............. 359,717
2,750,000 6.00% due TBA................ 2,824,767
697,024 5.50% due 5/1/18............. 718,464
2,300,000 5.50% due 12/1/33............ 2,315,787
2,050,000 5.50% due TBA................ 2,062,812
368,000 5.25% due 8/1/12............. 374,259
796,488 5.00% due 9/1/18............. 807,404
793,529 5.00% due 10/1/18............ 804,405
700,000 5.00% due 11/1/33............ 687,523
535,000 4.75% due 3/15/04............ 540,701
201,000 4.63% due 10/15/13........... 198,712
200,000 4.50% due TBA................ 198,562
368,000 2.50% due 5/12/06............ 368,161
368,000 2.38% due 3/17/06............ 365,898
368,000 2.38% due 4/13/06............ 365,477
368,000 1.75% due 6/16/06............ 359,751
- --------------------------------------------------------------------------------
ASSET ALLOCATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
10
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
GOVERNMENT AGENCIES - Continued
Government National Mtg. Assoc.:
$ 574,399 6.50% due 2/15/29............. $ 604,335
378,731 6.50% due 4/15/31............. 398,384
20,528 6.00% due 2/15/29............. 21,267
192,785 6.00% due 4/15/29............. 199,727
110,765 6.00% due 6/15/29............. 114,803
-----------
25,584,061
-----------
GOVERNMENT OBLIGATIONS - 5.97%
United States Treasury Bonds:
100,000 9.38% due 2/15/06............. 115,578
500,000 7.25% due 8/15/22............. 625,898
927,000 7.13% due 2/15/23............. 1,147,670
190,000 6.88% due 8/15/25............. 230,598
1,190,000 6.25% due 8/15/23............. 1,344,468
446,000 5.38% due 2/15/31............. 462,098
United States Treasury Notes:
804,000 7.00% due 7/15/06............. 898,313
814,000 6.88% due 5/15/06............. 903,031
176,000 4.25% due 8/15/13............. 175,299
222,000 3.88% due 2/15/13............. 215,843
820,000 3.50% due 11/15/06............ 842,806
368,000 3.38% due 4/30/04............. 371,522
28,000 3.38% due 11/15/08............ 28,028
70,000 3.25% due 8/15/08............. 69,899
140,000 3.13% due 9/15/08............. 138,884
971,000 3.00% due 1/31/04............. 974,186
259,000 2.63% due 5/15/08............. 253,001
83,000 2.38% due 8/15/06............. 82,938
442,000 2.00% due 8/31/05............. 442,949
29,000 2.00% due 5/15/06............. 28,828
130,000 1.63% due 9/30/05............. 129,310
70,000 1.63% due 10/31/05............ 69,524
393,000 1.50% due 2/28/05............. 392,785
390,000 1.13% due 6/30/05............. 386,207
-----------
10,329,663
-----------
TOTAL UNITED STATES GOVERNMENT
OBLIGATIONS
(Cost $36,060,255).............. 35,913,724
-----------
SHORT-TERM INVESTMENTS - 6.44%
COMMERCIAL PAPER - 5.78%
5,000,000 BellSouth Corp.:
1.00% due 12/5/03@............. 4,999,445
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------------
COMMERCIAL PAPER - Continued
$ 5,000,000 UBS Finance, Inc.:
1.04% due 12/1/03@.................... $ 5,000,000
-----------
9,999,445
-----------
U.S. TREASURY BILLS - 0.66%
United States Treasury Bills:
860,000 0.90% due 12/11/03@.................. 859,784
110,000 0.89% due 1/8/04@.................... 109,897
150,000 0.89% due 1/15/04@................... 149,833
25,000 0.88% due 12/18/03@.................. 24,990
-----------
1,144,504
TOTAL SHORT-TERM INVESTMENTS
(Cost $11,143,949)..................... 11,143,949
-----------
REPURCHASE AGREEMENTS - 10.74%
695,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of $695,054
and collateralized by Federal National
Mtg. Assoc. Notes, bearing interest at
1.76%, due 5/27/05 and having an
approximate value of $713,647@
(Cost $695,000)....................... 695,000
833,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of $833,065
and collateralized by Federal National
Mtg. Assoc. Notes, bearing interest at
1.50%, due 10/01/04 and having an
approximate value of $852,833@
(Cost $833,000)....................... 833,000
17,054,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of
$17,055,322 and collateralized by
Federal National Mtg. Assoc. Notes,
bearing interest at 1.50%, due
10/1/04 and having approximate
value of $17,568,361@/(1)/
(Cost $17,054,000).................... 17,054,000
-----------
MARKET
VALUE
- -----------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost $18,582,000)......................... $ 18,582,000
------------
TOTAL INVESTMENTS
(Cost $163,783,154) - 103.61%.............. 179,330,031
Other assets and liabilities, net - (3.61)% (6,246,348)
------------
NET ASSETS - 100%.......................... $173,083,683
------------
+ Non-income producing.
* Securities exempt from registration under rule 144A of the Securities Act of
1933. These securities may be sold in transactions exempt from registration,
normally to qualified institutional buyers. At November 30, 2003, the
aggregate value of these securities was $1,213,111 representing 0.70% of net
assets.
# Security represents an investment in an affiliated company.
TBA -Securities purchased on a forward commitment basis with an appropriate
principal amount and no definitive maturity date. The actual principal and
maturity date will be determined upon settlement date.
@ The security or a portion thereof represents collateral for open futures
contracts.
/(1)/The security or a portion thereof represents collateral for TBA Securities.
/(2)/Variable rate security - the rate reflected is as of 11/30/03; maturity
date reflects next reset date.
OPEN FUTURES CONTRACTS
------------------------------------------------------------------------------
Value as of
Number of Value at Trade November 30, Unrealized
Contracts Description Expiration Date Date 2003 Appreciation
------------------------------------------------------------------------------
68 Long S&P 500
Index December 2003 $17,315,912 $17,982,600 $666,688
--------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
BLUE CHIP GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
11
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
COMMON STOCK - 98.91%
ADVERTISING - 0.62%
2,700 Omnicom Group, Inc................ $ 215,082
-----------
AEROSPACE/DEFENSE - 0.53%
1,300 General Dynamics Corp............. 105,131
1,700 Lockheed Martin Corp.............. 78,098
-----------
183,229
-----------
APPAREL & PRODUCTS - 0.03%
500 TJX Cos., Inc..................... 11,295
-----------
AUTOMOTIVE - 1.75%
7,300 Danaher Corp...................... 607,360
-----------
BANKS - 6.76%
4,700 Bank of America Corp.............. 354,521
5,300 Bank of New York Co., Inc......... 162,604
11,800 Mellon Financial Corp............. 339,840
5,900 Northern Trust Corp............... 264,615
10,300 State Street Bank & Trust Co...... 524,888
12,500 U.S. Bancorp...................... 346,375
6,200 Wells Fargo & Co.................. 355,446
-----------
2,348,289
-----------
BEVERAGES - 2.01%
7,800 Coca-Cola Bottling Co............. 362,700
6,960 PepsiCo, Inc...................... 334,915
-----------
697,615
-----------
BROADCASTING - 3.25%
11,100 Clear Channel Communications, Inc. 464,091
12,600 Comcast Corp., Class A Special +.. 379,890
7,900 Univision Communications, Inc.,
Class A +/(1)/.................. 285,032
-----------
1,129,013
-----------
COMMERCIAL SERVICES - 1.40%
7,000 Accenture, Ltd., Class A +........ 174,300
8,200 Cendant Corp. +................... 181,712
3,400 Paychex, Inc...................... 130,798
-----------
486,810
-----------
CONGLOMERATES - 3.19%
1,100 3M Co............................. 86,944
19,700 General Electric Co............... 564,799
19,900 Tyco International, Ltd........... 456,705
-----------
1,108,448
-----------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
DRUGS - 6.77%
6,700 Abbott Laboratories................. $ 296,140
3,700 Eli Lilly & Co...................... 253,672
5,800 Forest Laboratories, Inc. +......... 316,912
37,780 Pfizer, Inc......................... 1,267,519
400 Teva Pharmaceutical Industries, Ltd.
ADR................................ 24,094
4,900 Wyeth............................... 193,060
-----------
2,351,397
-----------
FINANCE COMPANIES - 0.93%
1,800 MBNA Corp........................... 44,136
7,500 SLM Corp............................ 278,475
-----------
322,611
-----------
FINANCIAL SERVICES - 11.18%
5,200 American Express Co................. 237,692
13,500 Charles Schwab Corp................. 156,600
29,666 Citigroup, Inc...................... 1,395,489
6,600 Fannie Mae.......................... 462,000
4,200 Franklin Resources, Inc............. 200,886
1,500 Freddie Mac......................... 81,630
3,600 Goldman Sachs Group, Inc............ 345,888
2,300 Legg Mason, Inc..................... 183,333
8,000 Merrill Lynch & Co., Inc............ 454,000
6,600 Morgan Stanley...................... 364,848
-----------
3,882,366
-----------
FOODS - 0.93%
2,000 General Mills, Inc.................. 90,020
6,400 Sysco Corp.......................... 232,448
-----------
322,468
-----------
FREIGHT - 0.69%
3,300 United Parcel Service, Inc., Class B 240,141
-----------
HEALTHCARE - 0.40%
600 Anthem, Inc. +...................... 43,272
2,600 Medco Health Solutions, Inc. +...... 94,718
-----------
137,990
-----------
HOSPITAL SUPPLIES - 3.09%
300 AmerisourceBergen Corp.............. 18,987
5,600 Boston Scientific Corp. +........... 200,984
1,450 Cardinal Health, Inc................ 88,653
8,700 Johnson & Johnson................... 428,823
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
HOSPITAL SUPPLIES - Continued
5,300 Medtronic, Inc........................ $ 239,560
1,200 Stryker Corp.......................... 97,200
-----------
1,074,207
-----------
HOUSEHOLD PRODUCTS - 0.83%
200 Colgate-Palmolive Co.................. 10,500
2,100 Estee Lauder Cos., Inc., Class A...... 79,800
2,400 Gillette Co........................... 80,952
1,200 Procter & Gamble Co................... 115,488
-----------
286,740
-----------
INFORMATION PROCESSING -
HARDWARE - 2.08%
13,800 Dell, Inc. +.......................... 476,100
500 International Business Machines Corp.. 45,270
2,600 Lexmark International, Inc., Class A + 201,240
-----------
722,610
-----------
INFORMATION PROCESSING -
SERVICES - 5.93%
3,500 Adobe Systems, Inc.................... 144,620
4,700 Affiliated Computer Services, Inc.,
Class A +............................ 235,658
3,200 eBay, Inc. +.......................... 178,720
1,500 EMC Corp. +........................... 20,610
13,700 First Data Corp....................... 518,545
5,300 Fiserv, Inc. +........................ 198,750
8,400 InterActiveCorp +..................... 275,940
3,300 SunGard Data Systems, Inc. +.......... 89,166
4,200 Symantec Corp. +...................... 137,886
6,000 Yahoo!, Inc. +........................ 257,880
-----------
2,057,775
-----------
INFORMATION PROCESSING -
SOFTWARE - 4.72%
1,800 ChoicePoint, Inc. +................... 68,850
7,200 Intuit, Inc. +........................ 362,016
40,300 Microsoft Corp........................ 1,035,710
500 Oracle Corp. +........................ 6,005
6,600 Siebel Systems, Inc. +................ 86,988
2,100 VERITAS Software Corp. +.............. 79,844
-----------
1,639,413
-----------
- --------------------------------------------------------------------------------
BLUE CHIP GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
12
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
INSURANCE - 7.46%
500 AMBAC Financial Group, Inc............. $ 34,375
3,000 American International Group, Inc. #... 173,850
5,300 Hartford Financial Services Group, Inc. 291,500
8,100 Marsh & McLennan Cos., Inc............. 359,964
14,110 Travelers Property Casualty Corp.,
Class A............................... 220,116
19,700 UnitedHealth Group, Inc................ 1,061,830
4,800 Wellpoint Health Networks, Inc.,
Class A +............................. 448,752
-----------
2,590,387
-----------
LEISURE AND TOURISM - 3.76%
7,300 Carnival Corp.......................... 256,887
7,300 Harley-Davidson, Inc................... 344,341
10,000 International Game Technology.......... 346,900
5,600 McDonald's Corp........................ 143,528
1,900 MGM Mirage, Inc. +..................... 71,212
4,500 Starbucks Corp. +...................... 144,315
-----------
1,307,183
-----------
MACHINERY - 0.59%
2,200 Deere & Co............................. 134,706
900 Illinois Tool Works, Inc............... 70,290
-----------
204,996
-----------
MEDICAL - BIOMEDICAL/GENE - 1.83%
8,000 Amgen, Inc. +.......................... 460,080
1,500 Genentech, Inc. +...................... 126,450
2,000 MedImmune, Inc. +...................... 47,600
-----------
634,130
-----------
METALS - 0.41%
4,000 Alcoa, Inc............................. 131,240
200 Nucor Corp............................. 11,222
-----------
142,462
-----------
MULTIMEDIA - 3.48%
2,800 E.W. Scripps Co., Class A.............. 257,768
16,500 Time Warner, Inc. +.................... 268,620
13,428 Viacom, Inc., Class B.................. 527,989
6,700 Walt Disney Co......................... 154,703
-----------
1,209,080
-----------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------
OIL AND GAS - 2.55%
8,500 Baker Hughes, Inc.............. $ 245,310
3,900 BJ Services Co. +.............. 124,371
6,900 Schlumberger, Ltd.............. 323,748
5,100 Smith International, Inc. +.... 191,454
-----------
884,883
-----------
POLLUTION CONTROL - 0.15%
1,800 Waste Management, Inc.......... 52,938
-----------
RETAIL - 5.19%
4,450 Best Buy Co., Inc.............. 275,900
15,100 Home Depot, Inc................ 555,076
11,300 Target Corp.................... 437,536
8,400 Wal-Mart Stores, Inc........... 467,376
1,800 Walgreen Co.................... 66,258
-----------
1,802,146
-----------
SCHOOLS - 1.25%
6,300 Apollo Group, Inc., Class A +.. 434,889
-----------
SEMICONDUCTORS - 6.52%
7,600 Analog Devices, Inc. +......... 378,100
12,200 Applied Materials, Inc. +...... 296,460
3,700 ASML Holding NV +.............. 69,634
12,300 Intel Corp..................... 411,189
9,300 Maxim Integrated Products, Inc. 484,344
3,300 Microchip Technology, Inc...... 113,520
2,300 QLogic Corp. +................. 130,709
7,600 Texas Instruments, Inc......... 226,176
4,100 Xilinx, Inc. +................. 154,119
-----------
2,264,251
-----------
TELECOMMUNICATIONS - 7.30%
34,600 Cisco Systems, Inc. +.......... 784,036
8,600 EchoStar Communications Corp.,
Class A +..................... 296,528
20,100 Nextel Communications, Inc.,
Class A +..................... 509,133
8,700 Nokia Corp. ADR................ 156,426
1,700 QUALCOMM, Inc.................. 75,735
30,600 Vodafone Group, PLC ADR/(1)/... 714,510
-----------
2,536,368
-----------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
THERAPEUTICS - 0.73%
4,300 Gilead Sciences, Inc. +.............. $ 252,324
-----------
TOBACCO - 0.60%
4,000 Altria Group, Inc.................... 208,000
-----------
TOTAL COMMON STOCK
(Cost $31,181,325)................... 34,348,896
-----------
PAR
VALUE
- ----------
SHORT-TERM INVESTMENTS - 1.80%
COLLECTIVE INVESTMENT POOL - 0.40%
$139,728 Securities Lending Quality Trust/(2)/ 139,728
-----------
REGISTERED INVESTMENT
COMPANIES - 1.40%
485,710 T. Rowe Price Reserve Investment Fund 485,710
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $625,438)...................... 625,438
-----------
TOTAL INVESTMENTS
(Cost $31,806,763) - 100.71%......... 34,974,334
Other assets and liabilities, net -
(0.71)%............................. (247,775)
-----------
NET ASSETS - 100%.................... $34,726,559
-----------
+ Non-income producing
# Security represents an investment in an
affiliated company
ADR - American Depository Receipt
/(1)/ The security or a portion thereof is out
on loan (see Note 2).
/(2)/ The security is purchased with the cash
collateral received from security loaned.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
CAPITAL CONSERVATION FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
13
PAR MARKET
VALUE VALUE
- -----------------------------------------------------------
CORPORATE BONDS - 33.40%
AUTOMOTIVE - 0.69%
$ 128,000 Ford Motor Co.:
6.63% due 10/1/28............ $ 110,464
General Motors Corp.:
264,000 8.25% due 7/15/23............ 284,699
153,000 7.20% due 1/15/11/(3)/....... 161,706
--------------
556,869
--------------
BANKS - 2.56%
110,000 Bank America Corp.:
5.25% due 12/1/15............ 108,644
338,000 Bank of America Corp.:
7.13% due 3/1/09............. 385,756
200,000 European Investment Bank:
4.00% due 3/15/05............ 206,007
100,000 Fleet Financial Group, Inc.:
6.88% due 1/15/28............ 111,188
221,000 Huntington National Bank:
2.75% due 10/16/06........... 219,747
200,000 Key Bank NA:
4.10% due 6/30/05............ 206,233
219,000 National City Bank:
2.50% due 4/17/06............ 218,315
225,000 PNC Bank NA:
7.88% due 4/15/05............ 242,819
Wachovia Corp.:
110,000 7.88% due 2/15/10............ 131,121
220,000 6.15% due 3/15/09............ 242,243
--------------
2,072,073
--------------
BEVERAGES - 0.80%
127,000 Anheuser-Busch Cos., Inc./(3)/:
5.95% due 1/15/33............ 128,935
110,000 Coca Cola HBC Finance BV*:
5.13% due 9/17/13............ 109,615
110,000 Coors Brewing Co.:
6.38% due 5/15/12............ 119,527
255,000 Pepsi Bottling Group, Inc.:
7.00% due 3/1/29............. 290,821
--------------
648,898
--------------
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------
BROADCASTING - 1.41%
$ 221,000 Clear Channel Communications, Inc.:
3.13% due 2/1/07.................. $ 220,171
219,000 Comcast Corp.:
6.88% due 6/15/09................. 244,961
Liberty Media Corp.:
110,000 7.75% due 7/15/09................. 125,049
221,000 3.50% due 9/25/06................. 219,909
TCI Communications, Inc.:
168,000 8.75% due 8/1/15.................. 210,866
110,000 6.88% due 2/15/06................. 118,906
--------------
1,139,862
--------------
CHEMICAL - 0.13%
110,000 ICI Wilmington, Inc.:
5.63% due 12/1/13................. 108,495
--------------
COMMERCIAL SERVICES - 0.27%
221,000 Hertz Corp.:
4.70% due 10/2/06................. 220,274
--------------
CONGLOMERATES - 0.32%
265,000 Hutchison Whampoa, Ltd.*:
7.45% due 11/24/33................ 262,483
--------------
DRUGS - 0.17%
133,000 Schering Plough Corp.:
6.50% due 12/1/33................. 134,995
--------------
FINANCE COMPANIES - 3.63%
221,000 Capital One Bank:
4.25% due 12/1/08................. 218,770
Ford Motor Credit Co.:
110,000 7.00% due 10/1/13................. 111,540
298,000 5.80% due 1/12/09................. 298,059
General Motors Acceptance Corp.:
219,000 7.75% due 1/19/10................. 239,724
189,000 4.50% due 7/15/06................. 193,008
1,000,000 Honda Auto Receivables Owner Trust,
Series 2003-3 A4:
2.77% due 11/21/08................ 997,043
500,000 Honda Auto Receivables Owners Trust,
Series 2002-4 A4:
2.70% due 3/17/08................. 501,276
160,000 Household Finance Corp.:
3.38% due 2/21/06................. 162,801
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------------
FINANCE COMPANIES - Continued
$ 221,000 SLM Corp.:
4.00% due 1/15/09..................... $ 219,891
--------------
2,942,112
--------------
FINANCIAL SERVICES - 7.58%
250,000 Bear Stearns Commercial Mtg. Securities:
6.02% due 2/14/31..................... 272,448
Citigroup, Inc.:
221,000 6.50% due 1/18/11..................... 247,539
185,000 6.00% due 10/31/33.................... 183,969
Credit Suisse First Boston USA, Inc.:
220,000 6.13% due 11/15/11.................... 238,067
66,000 3.88% due 1/15/09..................... 65,397
500,000 DLJ Commercial Mtg. Corp.:
7.34% due 10/10/32.................... 577,686
110,000 Duke Capital Corp., Series A:
6.25% due 7/15/05..................... 115,756
218,000 FPL Group Capital, Inc.:
3.25% due 4/11/06..................... 220,465
1,000,000 GE Capital Commercial Mtg. Corp.,
Series 2002-1 A3:
6.27% due 12/10/35.................... 1,100,096
General Electric Capital Corp.:
221,000 6.13% due 2/22/11..................... 240,908
119,000 3.67% due 12/4/06/(3)/................ 219,017
221,000 Goldman Sachs Group, Inc.:
2.85% due 10/27/06.................... 219,910
120,000 IOS Capital, LLC:
7.25% due 6/30/08..................... 120,600
225,000 John Deere Capital Corp.:
3.90% due 1/15/08..................... 227,451
221,000 JP Morgan Chase & Co.:
5.25% due 5/30/07..................... 234,417
200,000 Lehman Brothers Holdings, Inc.:
8.25% due 6/15/07..................... 231,660
221,000 Merrill Lynch & Co., Inc.:
4.50% due 11/4/10..................... 220,550
214,000 Morgan Stanley:
4.25% due 5/15/10..................... 211,202
211,000 National Rural Utilities Cooperative
Finance Corp.:
5.75% due 8/28/09..................... 227,265
100,000 Principal Life Global Funding*:
5.13% due 6/28/07..................... 106,064
- --------------------------------------------------------------------------------
CAPITAL CONSERVATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
14
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------
FINANCIAL SERVICES - Continued
$ 219,000 Rio Tinto Finance USA, Ltd.:
2.63% due 9/30/08................. $ 207,450
200,000 Salomon Smith Barney Holdings, Inc.:
5.88% due 3/15/06................. 214,447
107,000 Sprint Capital Corp.:
6.38% due 5/1/09.................. 112,987
219,000 Textron Financial Corp.:
2.75% due 6/1/06.................. 216,907
100,000 TIAA Global Mkts, Inc.*:
4.13% due 11/15/07................ 102,383
--------------
6,134,641
--------------
FOODS - 0.16%
127,000 Unilever Capital Corp.:
5.90% due 11/15/32................ 126,175
--------------
FREIGHT - 0.16%
110,000 Union Pacific Corp.:
7.38% due 9/15/09................. 127,173
--------------
HOSPITAL SUPPLIES - 0.28%
255,000 Johnson & Johnson:
4.95% due 5/15/33................. 230,196
--------------
HOUSEHOLD PRODUCTS - 0.27%
221,000 Fortune Brands, Inc.:
2.88% due 12/1/06................. 220,520
--------------
INFORMATION PROCESSING -
SERVICES - 0.13%
100,000 Computer Sciences Corp.:
6.75% due 6/15/06................. 109,245
--------------
INSURANCE - 1.10%
500,000 ACE INA Holdings, Inc.:
8.20% due 8/15/04................. 521,844
110,000 Metlife, Inc.:
6.13% due 12/1/11................. 118,672
127,000 Provident Companies, Inc.:
6.38% due 7/15/05................. 132,430
128,000 Western & Southern Financial Group,
Inc.*:
5.75% due 7/15/33................. 119,422
--------------
892,368
--------------
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------------
LEISURE AND TOURISM - 0.33%
$ 131,000 Mandalay Resort Group*:
6.38% due 12/15/11............... $ 130,509
131,000 MGM Mirage, Inc.:
6.00% due 10/1/09................ 132,801
--------------
263,310
--------------
METALS - 0.15%
117,000 Noranda, Inc.:
7.00% due 7/15/05................ 123,518
--------------
MULTIMEDIA - 0.51%
100,000 AOL Time Warner, Inc.:
6.13% due 4/15/06................ 106,765
127,000 Time Warner Entertainment Co., LP:
8.38% due 3/15/23................ 155,721
Time Warner, Inc.:
75,000 9.15% due 2/1/23................. 95,547
49,000 6.88% due 6/15/18................ 53,009
--------------
411,042
--------------
OIL AND GAS - 1.19%
Amerada Hess Corp.:
132,000 7.30% due 8/15/31................ 135,484
132,000 7.13% due 3/15/33................ 133,858
181,000 5.90% due 8/15/06................ 193,878
200,000 Occidental Petroleum Corp.:
6.50% due 4/1/05................. 211,449
128,000 Pemex Project Funding Master Trust:
8.63% due 2/1/22................. 139,840
130,000 Pennzoil Co.:
10.25% due 11/1/05............... 147,937
--------------
962,446
--------------
PAPER/FOREST PRODUCTS - 1.24%
44,000 Domtar, Inc.:
5.38% due 12/1/13................ 43,475
200,000 International Paper Co.:
7.50% due 5/15/04................ 204,939
154,000 Nexfor, Inc.:
6.88% due 11/15/05............... 164,498
53,000 Norske Skogsindustrier ASA*:
7.13% due 10/15/33............... 54,858
177,000 Packaging Corp. of America*:
5.75% due 8/1/13................. 177,502
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------------
PAPER/FOREST PRODUCTS - Continued
Weyerhaeuser Co.:
$ 132,000 6.88% due 12/15/33.................. $ 132,749
216,000 5.50% due 3/15/05................... 224,471
--------------
1,002,492
--------------
RAILROADS & EQUIPMENT - 0.77%
202,000 Burlington Northern Santa Fe Corp.:
8.13% due 4/15/20................... 242,775
221,000 CSX Corp.:
2.75% due 2/15/06................... 220,521
134,000 Norfolk Southern Corp.:
7.80% due 5/15/27................... 160,038
--------------
623,334
--------------
RETAIL - 1.10%
221,000 Kroger Co.:
7.38% due 3/1/05.................... 234,694
Safeway, Inc.:
310,000 6.15% due 3/1/06.................... 330,958
221,000 2.50% due 11/1/05................... 217,734
110,000 Toys R US, Inc.:
7.38% due 10/15/18.................. 108,558
--------------
891,944
--------------
SAVINGS & LOAN - 0.40%
100,000 Washington Mutual Bank FA:
5.50% due 1/15/13................... 102,661
221,000 Washington Mutual, Inc.:
4.00% due 1/15/09................... 219,200
--------------
321,861
--------------
TELECOMMUNICATIONS - 1.64%
125,000 Citizens Communications Co.:
8.50% due 5/15/06................... 140,772
Deutsche Telekom International Finance
BV:
186,000 8.75% due 6/15/30................... 234,182
101,000 8.25% due 6/15/05................... 109,733
128,000 France Telecom SA /(1)/:
10.00% due 3/1/31................... 167,520
133,000 GTE Corp.:
6.94% due 4/15/28................... 137,167
199,000 Intelsat, Ltd.*:
6.50% due 11/1/13................... 206,194
- --------------------------------------------------------------------------------
CAPITAL CONSERVATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
15
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
TELECOMMUNICATIONS - Continued
$ 153,000 Qwest Corp.:
7.25% due 9/15/25.............. $ 150,322
50,000 TELUS Corp.:
8.00% due 6/1/11............... 57,421
125,000 Vodafone Group, PLC:
6.25% due 11/30/32............. 126,223
--------------
1,329,534
--------------
TOBACCO - 0.14%
111,000 Altria Group, Inc.:
7.00% due 11/4/13.............. 115,101
--------------
UTILITIES - COMMUNICATION - 1.82%
120,000 AT&T Corp.:
6.00% due 3/15/09.............. 127,473
154,000 GTE California, Inc.:
5.50% due 1/15/09.............. 163,109
265,000 Pacific Bell:
6.63% due 10/15/34............. 271,356
221,000 Royal KPN NV:
8.00% due 10/1/10.............. 262,572
132,000 Telecom Italia Capital*:
6.38% due 11/15/33............. 131,087
110,000 Verizon New York, Inc.:
6.88% due 4/1/12............... 120,432
257,000 Verizon New York, Inc., Series A:
7.38% due 4/1/32............... 278,957
110,000 Verizon Pennsylvania, Inc.:
5.65% due 11/15/11............. 114,625
--------------
1,469,611
--------------
UTILITIES - ELECTRIC - 4.30%
221,000 Alabama Power Co.:
2.80% due 12/1/06.............. 219,860
200,000 Appalachian Power Co.:
4.80% due 6/15/05.............. 207,550
200,000 Arizona Public Service Co.:
6.50% due 3/1/12............... 219,833
133,000 Carolina Power & Light Co.:
6.13% due 9/15/33.............. 135,167
122,000 CenterPoint Energy, Inc.*:
7.88% due 4/1/13............... 138,144
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
$ 129,000 Consolidated Edison Co. of New York,
Inc.:
5.10% due 6/15/33................. $ 114,975
221,000 Constellation Energy Group, Inc.:
7.88% due 4/1/05.................. 237,579
110,000 Consumers Energy Co.*:
4.00% due 5/15/10................. 104,768
Dominion Resources, Inc.:
200,000 7.63% due 7/15/05................. 216,506
199,000 5.25% due 8/1/33.................. 196,055
84,000 Duke Energy Corp.:
4.50% due 4/1/10.................. 84,752
202,000 Florida Power Corp.:
5.90% due 3/1/33.................. 199,892
200,000 Georgia Power Co., Series F:
6.20% due 2/1/06.................. 215,301
110,000 Great Lakes Power, Inc.:
8.30% due 3/1/05.................. 116,208
200,000 Niagara Mohawk Power Corp.:
5.38% due 10/1/04................. 205,878
225,000 NiSource Finance Corp.:
7.63% due 11/15/05................ 245,763
110,000 Ohio Edison Co.*:
4.00% due 5/1/08.................. 108,021
76,000 Old Dominion Electric Cooperative:
5.68% due 12/1/28................. 77,442
110,000 Tampa Electric Co.:
6.88% due 6/15/12................. 121,449
25,000 TECO Energy, Inc.:
7.50% due 6/15/10................. 26,531
110,000 Westar Energy, Inc.:
7.88% due 5/1/07.................. 124,711
143,000 Xcel Energy, Inc.:
7.00% due 12/1/10................. 161,397
--------------
3,477,782
--------------
UTILITIES - GAS, PIPELINE - 0.15%
117,000 Reliant Energy Resources Corp.,
Series B:
8.13% due 7/15/05................. 124,964
--------------
TOTAL CORPORATE BONDS
(Cost $26,675,088).................. 27,043,318
--------------
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------
FOREIGN GOVERNMENT BONDS - 0.91%
$ 197,000 Government of United Kingdom*:
2.25% due 7/8/08.............. $ 187,900
Quebec Province Canada:
255,000 7.50% due 7/15/23............. 309,897
225,000 5.00% due 7/17/09............. 236,195
--------------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost $744,811)................. 733,992
--------------
UNITED STATES GOVERNMENT
OBLIGATIONS - 69.20%
GOVERNMENT AGENCIES - 49.31%
Federal Farm Credit Bks.:
1,000,000 3.88% due 12/15/04............ 1,023,980
672,000 2.50% due 3/15/06............. 672,335
Federal Home Loan Bank:
660,000 5.25% due 8/15/06............. 702,951
280,000 4.50% due 9/16/13............. 273,820
660,000 1.88% due 6/15/06............. 649,118
Federal Home Loan Mtg. Corp.:
37,211 8.00% due 1/1/29.............. 40,189
99,243 8.00% due 12/1/29............. 107,016
98,471 8.00% due 12/1/30............. 106,094
1,477 8.00% due 1/1/31.............. 1,591
140,411 7.50% due 12/1/30............. 149,697
1,200,000 7.50% due TBA................. 1,282,874
253,445 7.00% due 11/1/16............. 269,147
85,318 7.00% due 7/1/32.............. 90,023
570,000 6.25% due 7/15/32............. 613,099
4,100,000 6.00% due TBA................. 4,212,750
312,000 5.88% due 3/21/11............. 334,060
2,250,000 5.50% due 10/1/33............. 2,264,261
1,300,000 5.50% due TBA................. 1,339,000
1,950,000 5.00% due 10/1/33............. 1,910,978
1,400,000 4.50% due TBA................. 1,388,187
723,000 3.00% due 10/27/06............ 728,312
330,000 2.38% due 10/2/06............. 326,013
670,000 2.00% due 1/21/05............. 670,472
Federal National Mtg. Assoc.:
34,039 7.50% due 11/1/14............. 36,417
5,336 7.50% due 8/1/15.............. 5,704
660,000 7.25% due 1/15/10............. 773,419
1,633,108 7.00% due 9/1/31.............. 1,723,258
675,000 6.63% due 11/15/30............ 758,418
418,779 6.50% due 3/1/17.............. 441,870
- --------------------------------------------------------------------------------
CAPITAL CONSERVATION FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
16
PAR MARKET
VALUE VALUE
- -----------------------------------------------------------
GOVERNMENT AGENCIES - Continued
Federal National Mtg. Assoc.:
$ 218,819 6.50% due 8/1/31.............. $ 293,886
1,655,703 6.50% due 7/1/32.............. 1,726,540
9,269 6.00% due 3/1/16.............. 10,058
261,643 6.00% due 12/1/16............. 273,315
658,744 6.00% due 11/1/17............. 688,146
250,000 6.00% due TBA................. 256,797
2,600,000 5.50% due 12/1/33............. 2,617,846
2,250,000 5.50% due TBA................. 2,264,062
660,000 5.25% due 8/1/12.............. 671,226
1,244,513 5.00% due 9/1/18.............. 1,261,569
991,949 5.00% due 10/1/18............. 1,005,544
1,100,000 5.00% due 10/1/33............. 1,080,394
361,000 4.63% due 10/15/13............ 356,890
250,000 4.50% due TBA................. 248,203
660,000 2.50% due 5/12/06............. 660,289
660,000 2.38% due 3/17/06............. 656,231
660,000 2.38% due 4/13/06............. 655,475
645,205 1.75% due 6/16/06............. 645,205
Government National Mtg. Assoc.:
551,170 6.50% due 7/15/32............. 579,467
740,103 6.50% due 9/15/32............. 778,100
150,984 6.00% due 3/15/29............. 156,420
132,122 6.00% due 4/15/29............. 136,880
--------------
39,917,596
--------------
GOVERNMENT OBLIGATIONS - 19.89%
United States Treasury Bonds:
157,000 9.38% due 2/15/06............. 181,458
800,000 7.25% due 8/15/22............. 1,001,438
1,592,000 7.13% due 2/15/23 @........... 1,970,971
1,781,000 6.25% due 8/15/23/(3)/ @...... 2,012,183
586,000 5.38% due 2/15/31............. 607,151
United States Treasury Notes:
1,401,000 7.00% due 7/15/06/(3)/........ 1,565,344
1,419,000 6.88% due 5/15/06............. 1,574,203
238,000 4.25% due 8/15/13............. 237,052
42,000 3.88% due 2/15/13............. 40,835
660,000 3.38% due 4/30/04............. 666,316
44,000 3.38% due 11/15/08............ 44,045
225,000 3.13% due 10/15/08............ 222,943
857,000 3.00% due 1/31/04............. 859,812
779,000 2.00% due 8/31/05/(3)/........ 780,673
51,000 2.00% due 5/15/06............. 50,697
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------------
GOVERNMENT OBLIGATIONS - Continued
United States Treasury Notes:
$ 197,000 1.63% due 9/30/05..................... $ 195,953
110,000 1.63% due 10/31/05.................... 109,252
1,050,000 1.50% due 2/28/05..................... 1,049,426
2,960,000 1.13% due 6/30/05..................... 2,931,208
--------------
16,100,960
--------------
TOTAL UNITED STATES
GOVERNMENT OBLIGATIONS
(Cost $56,250,325)...................... 56,018,556
--------------
SHORT-TERM INVESTMENTS - 0.65%
COLLECTIVE INVESTMENT POOL
529,298 Securities Lending Quality Trust/(2)/
(Cost $529,298)......................... 529,298
--------------
REPURCHASE AGREEMENT - 9.14%
7,403,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.93%, dated
11/28/03, to be repurchased 12/1/03
in the amount of $7,403,574 and
collateralized by Federal Home Loan
Mtg. Corp. Notes, bearing interest at
4.50%, due 8/15/04 and having an
approximate value of $7,629,693
(Cost $7,403,000) @.................... 7,403,000
--------------
TOTAL INVESTMENTS
(Cost $91,602,522) - 113.30%............ 91,728,164
Other assets and liabilities,
net - (13.30)%......................... (10,771,791)
--------------
NET ASSETS - 100%....................... $ 80,956,373
--------------
TBA - Securities purchased on a forward commitment basis with an
approximate principal amount and no definitive maturity date.
The actual principal and maturity date will be determined upon
settlement date.
@ The security or a portion thereof represents collateral for TBAs.
* Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be sold in
transactions exempt from registration, normally to qualified
institutional buyers. At November 30, 2003, the aggregate value
of these securities was $1,938,950, representing 2.40% of net
assets.
/(1)/ Security is a "floating rate" bond where the coupon rate
fluctuates. The rate steps up or down for each downgrade or
upgrade. The rate reflected is as of November 30, 2003.
/(2)/ The security is purchased with the cash collateral received from
securities loaned. (See Note 2)
/(3)/ The security or a portion thereof is out on loan.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
CORE EQUITY FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
17
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
COMMON STOCK - 96.67%
ADVERTISING - 0.44%
33,100 Omnicom Group, Inc.............. $ 2,636,746
------------
AEROSPACE/DEFENSE - 3.73%
180,000 Boeing Co....................... 6,910,200
23,600 General Dynamics Corp........... 1,908,532
261,000 Honeywell International, Inc.... 7,749,090
25,000 Lockheed Martin Corp............ 1,148,500
52,300 United Technologies Corp........ 4,482,110
------------
22,198,432
------------
APPAREL & PRODUCTS - 1.11%
140,200 Gap, Inc........................ 3,014,300
53,200 Nike, Inc., Class B............. 3,577,700
------------
6,592,000
------------
BANKS - 8.57%
169,600 Bank of America Corp............ 12,792,928
124,750 Bank One Corp................... 5,409,160
131,000 FleetBoston Financial Corp...... 5,318,600
124,000 PNC Financial Services Group.... 6,740,640
45,100 State Street Bank & Trust Co.... 2,298,296
215,800 Wachovia Corp................... 9,872,850
148,000 Wells Fargo & Co................ 8,484,840
------------
50,917,314
------------
BEVERAGES - 2.47%
113,800 Coca-Cola Bottling Co........... 5,291,700
195,550 PepsiCo, Inc.................... 9,409,866
------------
14,701,566
------------
BROADCASTING - 2.58%
99,000 Comcast Corp., Class A +........ 3,106,620
259,600 Comcast Corp., Class A Special + 7,826,940
398,000 Liberty Media Corp., Series A +. 4,397,900
------------
15,331,460
------------
BUILDING MATERIALS - 1.45%
101,400 Lowe's Cos., Inc................ 5,911,620
100,300 Masco Corp...................... 2,728,160
------------
8,639,780
------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
CHEMICAL - 0.87%
58,800 Dow Chemical Co..................... $ 2,207,940
70,700 E.I. du Pont de Nemours and Co...... 2,931,222
------------
5,139,162
------------
COMMERCIAL SERVICES - 0.48%
113,650 Accenture, Ltd., Class A +.......... 2,829,885
------------
CONGLOMERATES - 4.69%
39,800 3M Co............................... 3,145,792
486,300 General Electric Co................. 13,942,221
34,800 ITT Industries, Inc................. 2,294,016
370,900 Tyco International, Ltd............. 8,512,155
------------
27,894,184
------------
DRUGS - 9.52%
132,650 Abbott Laboratories................. 5,863,130
175,000 Bristol-Myers Squibb Co............. 4,611,250
84,200 Eli Lilly & Co...................... 5,772,752
75,000 Merck & Co., Inc.................... 3,045,000
449,000 Mylan Laboratories, Inc............. 11,368,680
552,350 Pfizer, Inc......................... 18,531,343
92,000 Schering-Plough Corp................ 1,476,600
28,000 Teva Pharmaceutical Industries, Ltd.
ADR................................ 1,686,605
108,100 Wyeth............................... 4,259,140
------------
56,614,500
------------
FINANCIAL SERVICES - 9.02%
54,700 American Express Co................. 2,500,337
429,433 Citigroup, Inc...................... 20,200,528
50,500 Fannie Mae.......................... 3,535,000
36,800 Franklin Resources, Inc............. 1,760,144
146,000 Freddie Mac......................... 7,945,320
33,850 Goldman Sachs Group, Inc............ 3,252,308
264,000 JP Morgan Chase & Co................ 9,335,040
89,550 Merrill Lynch & Co., Inc............ 5,081,963
------------
53,610,640
------------
FREIGHT - 0.66%
54,200 FedEx Corp.......................... 3,940,340
------------
HOSPITAL SUPPLIES - 3.47%
86,000 Baxter International, Inc........... 2,392,520
180,300 Cardinal Health, Inc................ 11,023,542
146,750 Johnson & Johnson................... 7,233,307
------------
20,649,369
------------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
HOUSEHOLD PRODUCTS - 3.93%
106,000 Avon Products, Inc..................... $ 7,261,000
103,900 Gillette Co............................ 3,504,547
89,000 Kimberly-Clark Corp.................... 4,825,580
80,600 Procter & Gamble Co.................... 7,756,944
------------
23,348,071
------------
INFORMATION PROCESSING -
HARDWARE - 4.33%
101,900 Dell, Inc. +........................... 3,515,550
379,724 Hewlett-Packard Co..................... 8,236,214
154,250 International Business Machines
Corp.................................. 13,965,795
------------
25,717,559
------------
INFORMATION PROCESSING -
SERVICES - 1.58%
84,000 EMC Corp. +............................ 1,154,160
217,700 First Data Corp........................ 8,239,945
------------
9,394,105
------------
INFORMATION PROCESSING -
SOFTWARE - 4.07%
244,000 Computer Associates International, Inc. 5,685,200
719,900 Microsoft Corp......................... 18,501,430
------------
24,186,630
------------
INSURANCE - 4.44%
86,000 ACE, Ltd............................... 3,134,700
282,000 Allstate Corp.......................... 11,387,160
118,775 American International Group, Inc. #... 6,883,011
50,200 Marsh & McLennan Cos., Inc............. 2,230,888
177,800 Travelers Property Casualty Corp.,
Class B............................... 2,773,680
------------
26,409,439
------------
LEISURE AND TOURISM - 2.70%
302,000 Carnival Corp.......................... 10,627,380
269,000 Mattel, Inc............................ 5,444,560
------------
16,071,940
------------
MACHINERY - 0.50%
39,300 Caterpillar, Inc....................... 2,988,765
------------
- --------------------------------------------------------------------------------
CORE EQUITY FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
18
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
MEDICAL - BIOMEDICAL/GENE - 0.88%
50,900 Amgen, Inc. +.................... $ 2,927,259
48,600 Genzyme Corp. +.................. 2,271,564
------------
5,198,823
------------
MEDICAL TECHNOLOGY - 1.22%
127,700 Guidant Corp..................... 7,249,529
------------
METALS - 1.07%
194,550 Alcoa, Inc....................... 6,383,186
------------
MULTIMEDIA - 2.57%
17,300 Gannett Co., Inc................. 1,498,180
405,700 Time Warner, Inc. +.............. 6,604,796
182,300 Viacom, Inc., Class B............ 7,168,036
------------
15,271,012
------------
OIL AND GAS - 6.28%
122,000 BP, PLC ADR...................... 5,208,180
53,750 ChevronTexaco Corp............... 4,036,625
345,200 Exxon Mobil Corp................. 12,485,884
111,000 Royal Dutch Petroleum Co. (NY)... 4,983,900
149,900 Schlumberger, Ltd................ 7,033,308
113,000 Unocal Corp...................... 3,591,140
------------
37,339,037
------------
PAPER/FOREST PRODUCTS - 0.55%
87,100 International Paper Co........... 3,240,991
------------
POLLUTION CONTROL - 0.37%
75,400 Waste Management, Inc............ 2,217,514
------------
RAILROADS & EQUIPMENT - 0.52%
91,200 CSX Corp......................... 3,090,768
------------
RETAIL - 3.83%
92,000 Costco Wholesale Corp. +......... 3,295,440
40,600 CVS Corp......................... 1,520,876
451,000 Kroger Co. +..................... 8,505,860
74,900 Target Corp...................... 2,900,128
117,750 Wal-Mart Stores, Inc............. 6,551,610
------------
22,773,914
------------
SEMICONDUCTORS - 2.50%
115,300 Applied Materials, Inc. +........ 2,801,790
255,900 Intel Corp....................... 8,554,737
118,400 Texas Instruments, Inc........... 3,523,584
------------
14,880,111
------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
TELECOMMUNICATIONS - 3.20%
256,350 Cisco Systems, Inc. +................... $ 5,808,891
163,800 Corning, Inc. +......................... 1,877,148
33,300 EchoStar Communications Corp.,
Class A +.............................. 1,148,184
517,700 Motorola, Inc........................... 7,268,508
88,750 Verizon Communications, Inc............. 2,908,337
------------
19,011,068
------------
UTILITIES - COMMUNICATION - 0.72%
184,000 SBC Communications, Inc................. 4,283,520
------------
UTILITIES - ELECTRIC - 2.35%
22,200 Exelon Corp............................. 1,372,404
85,000 FPL Group, Inc.......................... 5,401,750
149,000 NiSource, Inc........................... 3,091,750
104,000 Pinnacle West Capital Corp.............. 4,094,480
------------
13,960,384
------------
TOTAL COMMON STOCK
(Cost $597,672,354)..................... 574,711,744
------------
PAR
VALUE
- ------------
REPURCHASE AGREEMENT - 3.05%
$18,122,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.93%, dated
11/28/03, to be repurchased 12/1/03
in the amount of $18,123,404 and
collateralized by Federal Home Loan
Bank Notes, bearing interest at
1.63%, due 6/17/05 and having an
approximate value of $18,506,205
(Cost $18,122,000)..................... 18,122,000
------------
TOTAL INVESTMENTS
(Cost $615,794,354) - 99.72%............ 592,833,744
------------
Other assets and liabilities,
net - 0.28%............................ 1,664,374
------------
NET ASSETS - 100%....................... $594,498,118
------------
+ Non-income producing
# Security represents an investment in an affiliated company.
ADR - American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
GOVERNMENT SECURITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
19
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------
FOREIGN GOVERNMENT BONDS - 1.25%
$ 1,421,000 Government of United Kingdom:
2.25% due 7/8/08*.................... $ 1,355,359
650,000 International Bank for Reconstruction &
Development:
5.00% due 3/28/06.................... 686,793
------------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost $2,069,986)...................... 2,042,152
------------
UNITED STATES GOVERNMENT
OBLIGATIONS - 97.79%
GOVERNMENT AGENCIES - 46.81%
4,855,000 Federal Farm Credit Bks.:
2.50% due 3/15/06.................... 4,857,423
Federal Home Loan Bank:
4,770,000 5.25% due 8/15/06.................... 5,080,417
4,770,000 1.88% due 6/15/06/(1)/............... 4,691,352
Federal Home Loan Mtg. Corp.:
246 8.25% due 4/1/17..................... 269
14,037 8.00% due 2/1/30..................... 15,124
8,734 8.00% due 8/1/30..................... 9,410
172,552 8.00% due 5/1/31..................... 185,822
62,131 8.00% due 6/1/31..................... 66,942
321,882 7.50% due 9/1/16..................... 343,049
1,411,593 6.50% due 2/1/32..................... 1,472,986
2,085,000 6.25% due 7/15/32.................... 2,242,653
2,254,00 5.88% due 3/21/11.................... 2,413,369
5,227,000 3.00% due 10/27/06................... 5,265,403
2,388,000 2.38% due 10/2/06.................... 2,359,148
4,840,000 2.00% due 1/21/05.................... 4,843,407
Federal National Mtg. Assoc.:
689 14.50% due 11/1/14................... 809
3,110 13.00% due 11/15/15.................. 3,578
1,371 12.50% due 9/1/15.................... 1,571
560 12.00% due 1/15/16................... 639
1,788 11.50% due 9/1/19.................... 2,021
110,983 7.50% due 3/1/32..................... 118,413
4,272,000 7.25% due 1/15/10.................... 5,006,130
865,025 7.00% due 9/1/31..................... 912,776
4,525,000 6.63% due 11/15/30................... 5,084,213
393,934 6.50% due 2/1/17..................... 415,655
1,027,305 6.50% due 8/1/31..................... 1,071,290
2,838,347 6.50% due 7/1/32..................... 2,959,783
4,772,000 5.25% due 8/1/12..................... 4,853,167
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
GOVERNMENT AGENCIES - Continued
$ 1,015,000 4.63% due 10/15/13............ $ 1,003,443
4,772,000 2.50% due 5/12/06............. 4,774,090
4,772,000 2.38% due 3/17/06............. 4,744,747
4,772,000 2.38% due 4/13/06............. 4,739,283
4,772,000 1.75% due 6/16/06............. 4,665,026
Government National Mtg. Assoc.:
145,078 7.50% due 2/15/29............. 155,472
3,475 7.50% due 7/15/30............. 3,723
2,884 7.50% due 10/15/30............ 3,090
74,041 7.50% due 1/15/31............. 79,293
41,177 7.50% due 2/15/31............. 44,098
1,312,862 6.50% due 8/15/31............. 1,380,990
514,871 6.00% due 1/15/32............. 533,154
------------
76,403,228
------------
GOVERNMENT OBLIGATIONS - 50.98%
United States Treasury Bonds:
2,800,000 7.25% due 5/15/16/(1)/........ 3,471,782
5,500,000 7.25% due 8/15/22............. 6,884,883
11,125,000 6.25% due 8/15/23............. 12,569,081
7,476,000 5.38% due 2/15/31............. 7,745,839
United States Treasury Notes:
3,500,000 7.00% due 7/15/06............. 3,910,567
2,100,000 6.50% due 10/15/06............ 2,332,312
4,700,000 6.50% due 2/15/10............. 5,429,050
6,613,000 4.25% due 8/15/13............. 6,586,654
3,522,000 3.38% due 4/30/04............. 3,555,705
5,985,000 3.00% due 1/31/04............. 6,004,637
13,000,000 1.50% due 7/31/05/(1)/........ 12,933,986
11,890,000 1.13% due 6/30/05............. 11,774,346
------------
83,198,842
------------
TOTAL UNITED STATES GOVERNMENT
OBLIGATIONS
(Cost $161,056,114)............. 159,602,070
------------
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------------
REPURCHASE AGREEMENT - 0.11%
$ 182,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of $182,014
and collateralized by Federal Home
Loan Bank Bonds, bearing interest at
1.63%, due 6/17/05 and having an
approximate value of $190,476
(Cost $182,000)...................... $ 182,000
------------
TOTAL INVESTMENTS
(Cost $163,308,100) - 99.15%.......... 161,826,222
Other assets and liabilities,
net - 0.85%.......................... 1,381,683
------------
NET ASSETS - 100%..................... $163,207,905
------------
*Securities exempt from registration under rule 144A
of the Securities Act of 1933. These securities may
be sold in transactions exempt from registration,
normally to qualified institutional buyers. At
November 30, 2003, the aggregate value of these
securities was $1,355,359 representing 0.83% of
net assets.
/(1)/ The security or a portion thereof is out on loan.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
November 30, 2003
20
GROWTH & INCOME FUND - SCHEDULE OF INVESTMENTS (Unaudited)
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
COMMON STOCK - 98.10%
AEROSPACE/DEFENSE - 3.00%
44,100 Boeing Co........................... $ 1,692,999
23,700 Northrop Grumman Corp............... 2,195,331
22,400 United Technologies Corp............ 1,919,680
------------
5,808,010
------------
AIRLINES - 1.39%
149,400 Southwest Airlines Co............... 2,686,212
------------
APPAREL & PRODUCTS - 1.71%
82,800 Coach, Inc.+........................ 3,298,752
------------
BANKS - 3.56%
45,400 Bank of America Corp................ 3,424,522
65,300 Mellon Financial Corp............... 1,880,640
27,500 Wells Fargo & Co.................... 1,576,575
------------
6,881,737
------------
BEVERAGES - 2.77%
77,200 Coca-Cola Bottling Co............... 3,589,800
36,700 PepsiCo, Inc........................ 1,766,004
------------
5,355,804
------------
BUILDING MATERIALS - 1.18%
84,000 Masco Corp.......................... 2,284,800
------------
CHEMICAL - 0.98%
70,000 Monsanto Co......................... 1,898,400
------------
COMMERCIAL SERVICES - 0.93%
46,700 Paychex, Inc........................ 1,796,549
------------
CONGLOMERATES - 4.33%
25,600 3M Co............................... 2,023,424
155,500 General Electric Co................. 4,458,185
82,600 Tyco International, Ltd............. 1,895,670
------------
8,377,279
------------
DRUGS - 5.51%
92,400 Bristol-Myers Squibb Co............. 2,434,740
23,700 Merck & Co., Inc.................... 962,220
167,400 Pfizer, Inc......................... 5,616,270
27,500 Teva Pharmaceutical Industries, Ltd.
ADR................................ 1,656,487
------------
10,669,717
------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.03%
47,400 Gentex Corp......................... $ 1,997,436
------------
FINANCE COMPANIES - 1.41%
45,700 Capital One Financial Corp.......... 2,729,204
------------
FINANCIAL SERVICES - 8.97%
29,900 American Express Co................. 1,366,729
65,300 CIT Group, Inc...................... 2,277,011
99,200 Citigroup, Inc...................... 4,666,368
18,700 Goldman Sachs Group, Inc............ 1,796,696
64,300 JP Morgan Chase & Co................ 2,273,648
41,300 Merrill Lynch & Co., Inc............ 2,343,775
47,800 Morgan Stanley...................... 2,642,384
------------
17,366,611
------------
FOODS - 0.62%
38,000 Kraft Foods, Inc., Class A.......... 1,203,460
------------
FREIGHT - 2.35%
27,500 FedEx Corp.......................... 1,999,250
35,100 United Parcel Service, Inc., Class B 2,554,227
------------
4,553,477
------------
HEALTHCARE - 0.88%
23,700 Anthem, Inc.+....................... 1,709,244
------------
HOSPITAL SUPPLIES - 2.60%
28,500 Boston Scientific Corp.+............ 1,022,865
41,000 Johnson & Johnson................... 2,020,890
31,300 St. Jude Medical, Inc.+............. 1,982,542
------------
5,026,297
------------
HOUSEHOLD PRODUCTS - 3.11%
28,500 Avon Products, Inc.................. 1,952,250
36,700 Estee Lauder Cos., Inc., Class A.... 1,394,600
27,700 Procter & Gamble Co................. 2,665,848
------------
6,012,698
------------
INFORMATION PROCESSING -
HARDWARE - 3.80%
78,000 Dell, Inc.+......................... 2,691,000
91,900 Hewlett-Packard Co.................. 1,993,311
29,400 International Business Machines
Corp............................... 2,661,876
------------
7,346,187
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - 2.40%
160,700 EMC Corp.+........................... $ 2,208,018
32,200 Symantec Corp.+...................... 1,057,126
32,100 Yahoo!, Inc.+........................ 1,379,658
------------
4,644,802
------------
INFORMATION PROCESSING -
SOFTWARE - 4.58%
201,300 Microsoft Corp....................... 5,173,410
97,000 VERITAS Software Corp.+.............. 3,688,037
------------
8,861,447
------------
INSURANCE - 2.79%
30,250 American International Group, Inc.#.. 1,752,988
1,300 Berkshire Hathaway, Inc., Class B+... 3,641,300
------------
5,394,288
------------
LEISURE AND TOURISM - 4.63%
73,300 Applebee's International, Inc........ 2,837,443
54,900 Carnival Corp........................ 1,931,931
145,100 Hilton Hotels Corp................... 2,373,836
71,200 McDonald's Corp...................... 1,824,856
------------
8,968,066
------------
MACHINERY - 2.16%
37,000 Deere & Co........................... 2,265,510
30,800 Ingersoll-Rand Co., Class A.......... 1,920,072
------------
4,185,582
------------
MEDICAL - BIOMEDICAL/GENE - 1.54%
21,600 Amgen, Inc.+......................... 1,242,216
37,300 Genzyme Corp.+....................... 1,743,402
------------
2,985,618
------------
MEDICAL TECHNOLOGY - 1.03%
37,300 Chiron Corp.+/(1)/................... 2,000,026
------------
METALS - 2.24%
64,300 Alcoa, Inc........................... 2,109,683
51,300 Freeport-McMoRan Copper & Gold, Inc.,
Class B............................. 2,233,089
------------
4,342,772
------------
- --------------------------------------------------------------------------------
21
November 30, 2003
GROWTH & INCOME FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
MULTIMEDIA - 1.94%
45,900 Viacom, Inc., Class B.......... $ 1,804,788
84,200 Walt Disney Co................. 1,944,178
------------
3,748,966
------------
OIL AND GAS - 3.66%
27,500 Apache Corp.................... 1,974,500
91,900 Exxon Mobil Corp............... 3,324,023
47,400 Smith International, Inc. +.... 1,779,396
------------
7,077,919
------------
PAPER/FOREST PRODUCTS - 0.92%
70,000 MeadWestvaco Corp.............. 1,786,400
------------
RETAIL - 6.64%
25,000 Bed Bath & Beyond, Inc. +...... 1,056,000
79,000 Home Depot, Inc................ 2,904,040
42,000 Target Corp.................... 1,626,240
64,500 Tiffany & Co................... 2,925,075
78,000 Wal-Mart Stores, Inc........... 4,339,920
------------
12,851,275
------------
SEMICONDUCTORS - 5.87%
165,900 Applied Materials, Inc. +...... 4,031,370
128,200 Intel Corp..................... 4,285,726
23,300 Maxim Integrated Products, Inc. 1,213,464
61,700 Texas Instruments, Inc......... 1,836,192
------------
11,366,752
------------
TELECOMMUNICATIONS - 5.75%
146,900 Cisco Systems, Inc. +.......... 3,328,754
151,800 Motorola, Inc.................. 2,131,272
155,700 Nextel Communications, Inc.,
Class A +..................... 3,943,881
73,500 Vodafone Group, PLC ADR........ 1,716,225
------------
11,120,132
------------
TOBACCO - 0.99%
36,700 Altria Group, Inc.............. 1,908,400
------------
UTILITIES - ELECTRIC - 0.83%
55,000 Southern Co.................... 1,609,850
------------
TOTAL COMMON STOCK
(Cost $167,875,936)............ 189,854,169
------------
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.75%
COLLECTIVE INVESTMENT POOL
$1,460,250 Securities Lending Quality Trust/(2)/
(Cost $1,460,250).................... $ 1,460,250
------------
REPURCHASE AGREEMENT - 0.94%
1,810,000 State Street Bank and Trust Co. Joint
Repurchase Agreement (see Note 2)
(Cost $1,810,000)................... 1,810,000
------------
TOTAL INVESTMENTS
(Cost $171,146,186) - 99.79%......... 193,124,419
Other assets and liabilities,
net - 0.21%......................... 405,107
------------
NET ASSETS - 100%.................... $193,529,526
------------
+Non-income producing.
#Security represents an investment in an affiliated company.
ADR - American Depository Receipt.
/(1)/The security or a portion thereof is out on loan (see Note 2).
/(2)/The security is purchased with the cash collateral received from
securities loaned.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
22
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
COMMON STOCK - 97.91%
ADVERTISING - 0.34%
100 Getty Images, Inc. +............... $ 4,340
150 Omnicom Group, Inc................. 11,949
----------
16,289
----------
AEROSPACE/DEFENSE - 0.72%
150 L-3 Communications Holdings, Inc. + 7,058
320 United Technologies Corp........... 27,424
----------
34,482
----------
AIRLINES - 0.09%
250 Southwest Airlines Co.............. 4,495
----------
APPAREL & PRODUCTS - 1.53%
270 Chicos FAS, Inc. +................. 10,363
150 Liz Claiborne, Inc................. 5,251
400 Reebok International, Ltd.......... 16,096
100 Timberland Co., Class A +.......... 5,402
1,600 TJX Cos., Inc...................... 36,144
----------
73,256
----------
APPLIANCES/FURNISHINGS - 0.42%
290 Whirlpool Corp..................... 19,813
----------
AUTOMOTIVE - 0.60%
300 AutoZone, Inc. +................... 28,698
----------
AUTO - REPLACEMENT PARTS - 0.58%
340 Advance Auto Parts, Inc. +......... 27,751
----------
BANKS - 1.09%
290 State Street Bank & Trust Co....... 14,778
490 U.S. Bancorp....................... 13,578
200 Wells Fargo & Co................... 11,466
200 Zions Bancorp...................... 12,334
----------
52,156
----------
BEVERAGES - 2.20%
300 Anheuser-Busch Cos., Inc........... 15,546
470 Coca-Cola Enterprises, Inc......... 9,706
1,660 PepsiCo, Inc....................... 79,879
----------
105,131
----------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
BROADCASTING - 1.19%
150 Comcast Corp., Class A +................ $ 4,707
940 Comcast Corp., Class A Special +........ 28,341
250 Fox Entertainment Group, Inc., Class A + 7,137
1,500 Liberty Media Corp., Series A +......... 16,575
----------
56,760
----------
BUILDING MATERIALS - 2.28%
1,610 Lowe's Cos., Inc........................ 93,863
560 Masco Corp.............................. 15,232
----------
109,095
----------
COMMERCIAL SERVICES - 0.84%
526 Accenture, Ltd., Class A +.............. 13,097
150 Convergys Corp. +....................... 2,301
170 Iron Mountain, Inc. +................... 6,256
250 Paychex, Inc............................ 9,618
275 Rent-A-Center, Inc. +................... 8,935
----------
40,207
----------
CONGLOMERATES - 6.16%
860 3M Co................................... 67,975
7,890 General Electric Co..................... 226,206
----------
294,181
----------
DRUGS - 8.68%
1,400 Abbott Laboratories..................... 61,880
380 Allergan, Inc........................... 28,398
80 Barr Laboratories, Inc. +............... 6,603
370 Caremark Rx, Inc. +..................... 9,879
430 Forest Laboratories, Inc. +............. 23,495
480 Merck & Co., Inc........................ 19,488
6,540 Pfizer, Inc............................. 219,417
1,150 Wyeth................................... 45,310
----------
414,470
----------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 0.89%
230 Arrow Electronics, Inc. +............... 5,378
130 Fisher Scientific International, Inc. +. 5,235
960 PMC-Sierra, Inc. +...................... 19,555
1,000 Xerox Corp. +........................... 12,180
----------
42,348
----------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
FINANCE COMPANIES - 3.34%
1,120 Capital One Financial Corp.............. $ 66,886
3,770 MBNA Corp............................... 92,441
----------
159,327
----------
FINANCIAL SERVICES - 4.12%
200 American Express Co..................... 9,142
910 Charles Schwab Corp..................... 10,556
1,070 Citigroup, Inc.......................... 50,333
150 Doral Financial Corp.................... 7,585
1,060 Fannie Mae.............................. 74,200
500 Freddie Mac............................. 27,210
100 H & R Block, Inc........................ 5,429
220 Merrill Lynch & Co., Inc................ 12,485
----------
196,940
----------
FOODS - 0.22%
80 Performance Food Group Co. +/(1)/....... 3,145
200 Sysco Corp.............................. 7,264
----------
10,409
----------
HEALTHCARE - 1.39%
40 Anthem, Inc. +.......................... 2,885
90 Community Health Systems, Inc. +........ 2,437
350 Health Management Associates, Inc.,
Class A................................ 8,995
160 Manor Care, Inc......................... 5,651
60 McKesson Corp........................... 1,752
320 Medco Health Solutions, Inc. +.......... 11,658
90 Mid Atlantic Medical Services, Inc. +... 5,526
190 Patterson Dental Co. +.................. 12,939
210 Steris Corp. +.......................... 4,857
180 Universal Health Services, Inc., Class B 9,679
----------
66,379
----------
HOME BUILDERS - 0.82%
340 DR Horton, Inc.......................... 14,858
250 Lennar Corp............................. 24,475
----------
39,333
----------
HOSPITAL SUPPLIES - 5.67%
250 AmerisourceBergen Corp.................. 15,823
80 Beckman Coulter, Inc.................... 4,092
500 Boston Scientific Corp. +............... 17,945
560 Cardinal Health, Inc.................... 34,238
- --------------------------------------------------------------------------------
GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
23
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
HOSPITAL SUPPLIES - Continued
170 Henry Schein, Inc. +................... $ 11,439
2,520 Johnson & Johnson...................... 124,211
1,100 Medtronic, Inc......................... 49,720
80 St. Jude Medical, Inc. +............... 5,067
120 Varian Medical Systems, Inc. +......... 8,281
----------
270,816
----------
HOUSEHOLD PRODUCTS - 1.82%
60 Colgate-Palmolive Co................... 3,150
190 Dial Corp.............................. 4,917
820 Procter & Gamble Co.................... 78,917
----------
86,984
----------
INFORMATION PROCESSING -
HARDWARE - 5.71%
4,100 Dell, Inc. +........................... 141,450
730 International Business Machines Corp... 66,094
80 Lexar Media, Inc. +.................... 1,709
610 Lexmark International, Inc., Class A +. 47,214
200 Sandisk Corp. +........................ 16,172
----------
272,639
----------
INFORMATION PROCESSING -
SERVICES - 3.02%
430 Adobe Systems, Inc..................... 17,768
230 Affiliated Computer Services, Inc.,
Class A +............................. 11,532
100 Cognizant Technology Solutions Corp.,
Class A +............................. 4,587
530 EMC Corp. +............................ 7,282
240 Fair Issac & Co., Inc.................. 13,238
150 Fiserv, Inc. +......................... 5,625
193 InterActiveCorp +...................... 6,340
250 Macromedia, Inc. +..................... 5,128
350 SunGard Data Systems, Inc. +........... 9,457
1,780 Symantec Corp. +....................... 58,437
310 VeriSign, Inc. +....................... 5,025
----------
144,419
----------
INFORMATION PROCESSING -
SOFTWARE - 5.90%
200 Automatic Data Processing, Inc......... 7,646
150 BEA Systems, Inc. +.................... 1,905
330 Computer Associates International, Inc. 7,689
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - Continued
200 IMS Health, Inc...................... $ 4,606
100 Mercury Interactive Corp. +.......... 4,680
8,900 Microsoft Corp....................... 228,730
1,470 Oracle Corp. +....................... 17,655
150 SEI Investments Co................... 4,207
130 VERITAS Software Corp. +............. 4,943
----------
282,061
----------
INSURANCE - 3.20%
1,940 ACE, Ltd............................. 70,713
610 Coventry Health Care, Inc. +......... 36,539
200 Fidelity National Financial, Inc..... 7,066
480 UnitedHealth Group, Inc.............. 25,872
40 WellChoice, Inc. +/(1)/.............. 1,361
120 Wellpoint Health Networks, Inc.,
Class A +........................... 11,219
----------
152,770
----------
LEISURE AND TOURISM - 2.25%
100 CBRL Group, Inc...................... 4,125
140 Electronic Arts, Inc. +.............. 6,192
230 GTECH Holdings Corp.................. 11,445
330 Harrah's Entertainment, Inc.......... 15,797
100 Marriott International, Inc., Class A 4,583
170 Mattel, Inc.......................... 3,441
1,200 Royal Caribbean Cruises, Ltd./(1)/... 36,324
480 Starbucks Corp. +.................... 15,393
300 Yum! Brands, Inc. +.................. 10,347
----------
107,647
----------
MEDICAL - BIOMEDICAL/GENE - 2.14%
1,170 Amgen, Inc. +........................ 67,287
150 Biogen, Inc. +....................... 5,727
180 Genentech, Inc. +.................... 15,174
300 Genzyme Corp. +...................... 14,022
----------
102,210
----------
MEDICAL TECHNOLOGY - 0.57%
480 Guidant Corp......................... 27,250
----------
METALS - 0.67%
740 Freeport-McMoRan Copper & Gold, Inc.,
Class B............................. 32,212
----------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
MULTIMEDIA - 0.32%
500 Time Warner, Inc. +.............. $ 8,140
300 Walt Disney Co................... 6,927
----------
15,067
----------
OIL AND GAS - 0.27%
150 Burlington Resources, Inc........ 7,530
250 GlobalSantaFe Corp............... 5,375
----------
12,905
----------
PAPER/FOREST PRODUCTS - 0.11%
100 Sealed Air Corp. +............... 5,277
----------
RETAIL - 8.24%
480 Bed Bath & Beyond, Inc. +........ 20,275
600 Best Buy Co., Inc................ 37,200
60 Express Scripts, Inc., Class A +. 3,884
280 Family Dollar Stores, Inc........ 10,802
150 Federated Department Stores, Inc. 7,364
2,170 Home Depot, Inc.................. 79,769
400 Kohl's Corp. +................... 19,328
500 Kroger Co. +..................... 9,430
100 Michaels Stores, Inc............. 4,725
180 PETsMART, Inc.................... 4,349
1,320 Staples, Inc. +.................. 35,838
2,780 Wal-Mart Stores, Inc............. 154,679
170 Williams-Sonoma, Inc. +.......... 6,127
----------
393,770
----------
SCHOOLS - 1.52%
420 Apollo Group, Inc., Class A +.... 28,993
850 Career Education Corp. +......... 43,460
----------
72,453
----------
SEMICONDUCTORS - 11.18%
740 Altera Corp. +................... 18,744
1,500 Applied Materials, Inc. +........ 36,450
8,830 Intel Corp....................... 295,187
180 Intersil Corp., Class A.......... 4,754
300 KLA-Tencor Corp. +............... 17,583
740 Lam Research Corp. +............. 23,680
270 Linear Technology Corp........... 11,648
490 LSI Logic Corp. +................ 4,591
160 Marvell Technology Group, Ltd. +. 6,318
100 Novellus Systems, Inc. +......... 4,376
- --------------------------------------------------------------------------------
GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
24
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
SEMICONDUCTORS - Continued
700 QLogic Corp. +................... $ 39,781
2,390 Texas Instruments, Inc........... 71,127
----------
534,239
----------
TELECOMMUNICATIONS - 5.79%
650 Avaya, Inc. +.................... 8,840
500 BellSouth Corp................... 13,015
620 CenturyTel, Inc.................. 20,274
600 Ciena Corp. +.................... 4,248
6,650 Cisco Systems, Inc. +............ 150,689
590 EchoStar Communications Corp.,
Class A +....................... 20,343
190 Harris Corp...................... 7,366
1,160 QUALCOMM, Inc.................... 51,678
----------
276,453
----------
THERAPEUTICS - 0.18%
150 Gilead Sciences, Inc. +.......... 8,802
----------
TOBACCO - 0.90%
830 Altria Group, Inc................ 43,160
----------
UTILITIES - COMMUNICATION - 0.13%
400 Sprint Corp. (FON Group)......... 5,996
----------
UTILITIES - ELECTRIC - 0.82%
1,270 Edison International, Inc. +..... 25,933
250 Entergy Corp..................... 13,215
----------
39,148
----------
TOTAL COMMON STOCK
(Cost $4,188,164)................ 4,677,798
----------
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------------
SHORT TERM INVESTMENTS - 0.88%
COLLECTIVE INVESTMENT POOL
$ 41,820 Securities Lending Quality Trust/(2)/
(Cost $41,820)............................... $ 41,820
----------
REPURCHASE AGREEMENT - 2.45%
117,000 Agreement with State Street Bank & Trust Co.,
bearing interest at 0.93%, dated 11/28/03,
to be repurchased 12/1/03 in the amount of
$117,009 and collateralized by Federal
Home Loan Bank Bonds, bearing interest at
1.63%, due 6/17/05 and having an
approximate value of $120,300 (Cost
$117,000)................................... 117,000
----------
TOTAL INVESTMENTS
(Cost $4,346,984) - 101.24%.................. 4,836,618
Other assets and liabilities,
net - (1.24)%............................... (59,012)
----------
NET ASSETS - 100%............................ $4,777,606
----------
+ Non-income producing
/(1)/The security or a portion thereof is out on loan (see Note 2).
/(2)/The security is purchased with the cash collateral received from
securities loaned.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
HEALTH SCIENCES FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
25
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
COMMON STOCK - 98.85%
CHEMICAL - 2.53%
25,600 Invitrogen Corp. +/(3)/............... $ 1,745,152
50,600 Symyx Technologies, Inc. +............ 1,009,470
------------
2,754,622
------------
COMMERCIAL SERVICES - 0.21%
24,800 WebMD Corp. +......................... 226,920
------------
DRUGS - 26.42%
27,100 Abbott Laboratories................... 1,197,820
35,200 Able Laboratories, Inc. +/(1)/........ 652,256
5,600 Actelion, Ltd. +/(1)/................. 536,689
17,100 Allergan, Inc./ (3)/.................. 1,277,883
5,500 Angiotech Pharmaceuticals, Inc. +/(3)/ 270,985
11,350 Barr Laboratories, Inc. +/(3)/........ 936,829
8,900 Biovail Corp. +/(1)/.................. 166,875
16,600 Caremark Rx, Inc. +/(3)/.............. 443,220
80,000 Cephalon, Inc. +/(1)(3)/.............. 3,759,200
77,200 Cubist Pharmaceuticals, Inc. +/(1)/... 958,824
25,000 Eli Lilly & Co./ (3)/................. 1,714,000
38,700 Forest Laboratories, Inc. +........... 2,114,568
31,600 Indevus Pharmaceuticals, Inc. +/(1)/.. 179,488
29,600 IVAX Corp. +.......................... 634,920
6,000 Ligand Pharmaceuticals, Inc. /(5)/.... 71,604
15,700 Ligand Pharmaceuticals, Inc.,
Class B +/(1)/....................... 210,066
2,700 Novartis AG - ADR..................... 113,940
2,300 Novo-Nordisk A/S...................... 88,256
27,400 OSI Pharmaceuticals, Inc. +/(1)(3)/... 814,602
134,260 Pfizer, Inc./(3)/..................... 4,504,423
3,400 Roche Holdings AG-Genusschein......... 306,757
20,100 Salix Pharmaceuticals, Ltd. +......... 382,503
13,800 Sanofi-Synthelabo SA.................. 935,445
27,800 Schering-Plough Corp.................. 446,190
32,800 Teva Pharmaceutical Industries, Ltd.
ADR/(1)/............................. 1,975,738
33,000 Valeant Pharmaceuticals International. 789,030
37,694 Vertex Pharmaceuticals, Inc. +/(3)/... 329,446
11,100 ViroPharma, Inc. +/(1)/............... 30,858
61,200 Wyeth/ (3)/........................... 2,411,280
18,000 Yamanouchi Pharmaceutical Co., Ltd.... 517,737
------------
28,771,432
------------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.25%
19,200 Fisher Scientific International, Inc. +/(3)/ $ 773,184
2,600 Molecular Devices Corp. +/(3)/.............. 51,558
11,500 Waters Corp. +.............................. 367,770
4,000 Wilson Greatbatch Technologies,
Inc. +/(1)/................................ 167,600
------------
1,360,112
------------
HEALTHCARE - 11.69%
13,200 AdvancePCS +................................ 734,712
79,200 Anthem, Inc. +/(3)/......................... 5,711,904
16,200 Community Health Systems, Inc. +............ 438,696
8,100 DaVita, Inc. +.............................. 309,258
27,800 Epix Medical, Inc. +........................ 501,234
42,100 Laboratory Corp. of America
Holdings +/(3)/............................ 1,520,652
77,900 Omnicare, Inc. /(3)/........................ 3,109,768
7,500 Universal Health Services, Inc.,
Class B /(3)/.............................. 403,275
------------
12,729,499
------------
HOSPITAL MANAGEMENT - 1.82%
27,400 HCA, Inc. /(3)/............................. 1,148,334
24,300 Triad Hospitals, Inc. +..................... 840,780
------------
1,989,114
------------
HOSPITAL SUPPLIES - 10.85%
16,150 Advanced Neuromodulation
Systems, Inc. +/(1)/....................... 681,368
12,600 AmerisourceBergen Corp...................... 797,454
72,200 Boston Scientific Corp. +/(3)/.............. 2,591,258
19,800 Cardinal Health, Inc. /(3)/................. 1,210,572
15,800 CR Bard, Inc. /(3)/......................... 1,194,480
10,800 Henry Schein, Inc. +........................ 726,732
28,400 Johnson & Johnson........................... 1,399,836
16,700 Medtronic, Inc. /(3)/....................... 754,840
300 Novo-Nordisk A/S - ADR...................... 11,520
17,100 St. Jude Medical, Inc. +/(3)/............... 1,083,114
42,600 STAAR Surgical Co. +/(1)/................... 468,217
11,100 Stryker Corp. /(3)/......................... 899,100
------------
11,818,491
------------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
INSURANCE - 6.33%
113,700 UnitedHealth Group, Inc............... $ 6,128,430
8,200 Wellpoint Health Networks, Inc.,
Class A +............................ 766,618
------------
6,895,048
------------
MEDICAL - BIOMEDICAL/GENE - 14.43%
21,800 Alexion Pharmaceuticals, Inc. +/(1)/.. 408,750
83,800 Amgen, Inc. +/(3)/.................... 4,819,338
51,000 Biocryst Pharmaceuticals, Inc. +/(1)/. 417,690
63,600 Biogen, Inc. +/(3)/................... 2,428,248
60,700 BioSphere, Inc. +/(1)/................ 182,707
48,400 Decode Genetics, Inc. +/(1)/.......... 405,108
86,500 Exelixis, Inc. +...................... 582,145
29,500 Genentech, Inc. +/(3)/................ 2,486,850
41,700 Human Genome Sciences, Inc. +......... 533,760
2,700 ICOS Corp. +.......................... 122,040
51,200 MedImmune, Inc. +/(3)/................ 1,218,560
32,600 Millennium Pharmaceuticals, Inc. +.... 514,102
14,600 Myriad Genetics, Inc. +/(1)/.......... 172,572
35,800 Protein Design Labs, Inc. +/(3)/...... 496,188
18,200 Regeneron Pharmaceuticals, Inc. +/(1)/ 234,416
1,400 Repligen Corp. +/(1)/................. 6,762
33,600 Transkaryotic Therapies, Inc. +....... 436,464
36,500 XOMA, Ltd. +.......................... 252,215
------------
15,717,915
------------
MEDICAL TECHNOLOGY - 5.52%
123,200 Alkermes, Inc. +...................... 1,611,456
37,400 Aspect Medical Systems, Inc. +........ 355,674
5,700 Bio-Rad Laboratories, Inc., Class A +. 292,125
4,300 Chiron Corp. +/(3)/................... 230,566
28,100 Diversa Corp. +....................... 236,040
42,400 Fischer Imaging Corp. +............... 186,560
3,900 Guidant Corp. /(3)/................... 221,403
6,000 Integra LifeSciences Corp. +.......... 188,340
8,300 Martek Biosciences Corp. +/(1)(3)/.... 504,142
47,900 Nektar Therapeutics +/(1)/............ 631,322
35,100 Noven Pharmaceuticals, Inc. +......... 481,923
18,900 Regeneration Technologies, Inc. +/(1)/ 196,560
5,300 Serologicals Corp. +/(1)/............. 91,425
300 Synthes-Stratec, Inc.................. 272,992
7,700 Zimmer Holdings, Inc. +/(3)/.......... 507,584
------------
6,008,112
------------
- --------------------------------------------------------------------------------
HEALTH SCIENCES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
26
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
OPTICAL INSTRUMENTS & LENSES - 0.37%
6,900 Alcon, Inc. /(3)/.................... $ 401,373
------------
THERAPEUTICS - 17.43%
70,600 Abgenix, Inc. +/(1)/................. 795,662
22,800 Amylin Pharmaceuticals, Inc. +/(3)/.. 596,676
15,200 BioMarin Pharmaceutical, Inc. +/(1)/. 111,720
22,500 CV Therapeutics, Inc. +/(3)/......... 404,325
10,900 Discovery Laboratories, Inc. +....... 93,522
6,100 Esperion Therapeutics, Inc. +/(1)(3)/ 140,239
99,100 Gilead Sciences, Inc. +/(3)/......... 5,815,188
58,000 ImClone Systems, Inc. +/(1)(3)/...... 2,279,400
16,200 Medarex, Inc. +/(1)/................. 110,160
61,500 Medicines Co. +...................... 1,683,255
23,100 MGI Pharma, Inc. +/(3)/.............. 886,347
18,100 NeoRx Corp. +/(1)/................... 78,192
38,800 Neurocrine Biosciences, Inc. +/(3)/.. 2,049,804
47,800 NPS Pharmaceuticals, Inc. +/(1)/..... 1,442,604
30,500 Onyx Pharmaceuticals, Inc. +/(1)/.... 877,790
55,600 Trimeris, Inc. +/(3)/................ 1,269,348
16,700 Tularik, Inc. +/(1)/................. 250,166
5,175 Vicuron Pharmaceuticals, Inc. +...... 93,926
------------
18,978,324
------------
TOTAL COMMON STOCK
(Cost $95,183,808)................... 107,650,962
------------
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------------
SHORT-TERM INVESTMENTS - 13.96%
COLLECTIVE INVESTMENT POOL - 11.78%
$12,824,840 Securities Lending Quality Trust/(2)/ $ 12,824,840
-------------
REGISTERED INVESTMENT COMPANIES - 2.18%
2,373,536 T. Rowe Price Reserve Investment
Fund /(4)/.......................... 2,373,536
-------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $15,198,376)................... 15,198,376
-------------
TOTAL INVESTMENTS
(Cost $110,382,184) - 112.81%........ 122,849,338
Other assets and liabilities,
net - (12.81)%...................... (13,947,185)
-------------
NET ASSETS - 100%.................... $ 108,902,153
-------------
+ Non-income producing
ADR - American Depository Receipt
/(1)/ The security or a portion thereof is out on loan (see Note 2).
/(2)/ The security is purchased with the cash collateral received from
securities loaned.
/(3)/ A portion of this security is subject to options written (see
Note 4).
/(4)/ The security or a portion thereof represents collateral for
uncovered written options.
/(5)/ To the extent permitted by the Statement of Additional
Information, the Health Sciences Fund may invest in restricted
securities. This restricted security is valued pursuant to Note 2.
Restricted securities held by a Fund may not be sold except in
exempt transactions or in a public offering registered under the
Securities Act of 1933. The risk of investing in such securities is
generally greater than the risk of investing in the securities of
widely held, publicly traded companies. Lack of a secondary
market and resale restrictions may result in the inability of a
Fund to sell a security at a fair price and may substantially delay
the sale of the security. In addition, these securities may exhibit
greater price volatility than securities for which secondary
markets exist. As of November 30, 2003, the Health Sciences
Fund held the following restricted securities:
Value
as a
% of
Acquisition Acquisition Market Net
Name Date Share/Par Cost Value Assets
---- ----------- --------- ----------- ------- ------
Ligand Pharmaceuticals,
Inc................... 07/03/2003 6,000 $69,000 $71,604 0.07%
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
INCOME & GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
27
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
COMMON STOCK - 98.83%
AEROSPACE/DEFENSE - 0.21%
800 General Dynamics Corp........... $ 64,696
2,100 Honeywell International, Inc.... 62,349
3,900 United Technologies Corp........ 334,230
-----------
461,275
-----------
AIRLINES - 0.18%
5,300 Delta Air Lines, Inc./(1)/...... 66,462
19,200 Southwest Airlines Co........... 345,216
-----------
411,678
-----------
APPAREL & PRODUCTS - 0.20%
21,100 Gap, Inc........................ 453,650
-----------
APPLIANCES/FURNISHINGS - 0.42%
13,600 Whirlpool Corp.................. 929,152
-----------
AUTOMOTIVE - 2.36%
3,000 American Axle & Manufacturing
Holdings, Inc.+................ 118,890
7,086 Carlisle Cos., Inc.............. 417,011
23,200 Delphi Automotive Systems Corp.. 203,696
342,500 Ford Motor Co................... 4,521,000
-----------
5,260,597
-----------
AUTO - REPLACEMENT PARTS - 0.03%
800 Advance Auto Parts, Inc.+....... 65,296
-----------
BANKS - 8.38%
119,300 Bank of America Corp............ 8,998,799
1,700 Bank One Corp................... 73,712
74,400 First American Corp., Class A... 2,202,240
8,069 First Tennessee National Corp... 359,878
21,700 FleetBoston Financial Corp...... 881,020
9,100 National City Corp.............. 305,305
14,800 PNC Financial Services Group.... 804,528
22,900 U.S. Bancorp.................... 634,559
21,900 UnionBanCal Corp................ 1,247,424
32,200 Wachovia Corp................... 1,473,150
30,400 Wells Fargo & Co................ 1,742,832
-----------
18,723,447
-----------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
BEVERAGES - 0.34%
6,300 Adolph Coors Co., Class B................. $ 347,193
8,510 PepsiCo, Inc.............................. 409,501
-----------
756,694
-----------
BROADCASTING - 0.07%
5,700 Fox Entertainment Group, Inc.,
Class A+................................. 162,735
-----------
BUILDING MATERIALS - 0.85%
17,500 RPM International, Inc.................... 264,775
50,400 Sherwin-Williams Co....................... 1,634,472
-----------
1,899,247
-----------
CHEMICAL - 1.65%
2,400 Engelhard Corp............................ 71,568
133,400 Monsanto Co............................... 3,617,808
-----------
3,689,376
-----------
COMMERCIAL SERVICES - 1.47%
20,900 Cendant Corp.+............................ 463,144
37,900 Convergys Corp.+.......................... 581,386
36,100 Rent-A-Center, Inc.+...................... 1,172,889
43,132 Viad Corp................................. 1,060,616
-----------
3,278,035
-----------
CONGLOMERATES - 2.03%
2,400 Eaton Corp................................ 247,176
119,200 General Electric Co....................... 3,417,464
38,097 Tyco International, Ltd................... 874,326
-----------
4,538,966
-----------
DRUGS - 6.13%
14,337 Abbott Laboratories....................... 633,695
120,800 Bristol-Myers Squibb Co................... 3,183,080
6,900 Endo Pharmaceuticals Holdings, Inc.+...... 129,996
12,200 King Pharmaceuticals, Inc.+............... 157,502
1,900 KOS Pharmaceuticals, Inc.+................ 84,550
101,100 Merck & Co., Inc.......................... 4,104,660
141,880 Pfizer, Inc............................... 4,760,074
10,000 Valeant Pharmaceuticals International/(1)/ 239,100
10,300 Wyeth..................................... 405,820
-----------
13,698,477
-----------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 2.38%
36,644 Arrow Electronics, Inc.+.............. $ 856,737
72,900 Avnet, Inc.+.......................... 1,554,957
16,200 Benchmark Electronics, Inc.+.......... 595,026
13,682 Fisher Scientific International, Inc.+ 550,974
76,700 Sanmina-SCI Corp.+.................... 934,973
67,700 Xerox Corp.+.......................... 824,586
-----------
5,317,253
-----------
FINANCE COMPANIES - 0.09%
8,500 MBNA Corp............................. 208,420
-----------
FINANCIAL SERVICES - 8.92%
158,900 Citigroup, Inc........................ 7,474,656
6,700 E*TRADE Group, Inc.+.................. 72,561
34,700 Fannie Mae............................ 2,429,000
20,900 H & R Block, Inc...................... 1,134,661
153,700 JP Morgan Chase & Co.................. 5,434,832
900 Lehman Brothers Holdings, Inc......... 64,989
33,700 Merrill Lynch & Co., Inc.............. 1,912,475
25,200 Morgan Stanley........................ 1,393,056
-----------
19,916,230
-----------
FOODS - 1.13%
27,600 Archer-Daniels-Midland Co............. 394,404
41,400 ConAgra Foods, Inc.................... 1,014,300
25,800 Sara Lee Corp......................... 530,190
43,600 Tyson Foods, Inc., Class A............ 595,140
-----------
2,534,034
-----------
FREIGHT - 1.02%
6,900 FedEx Corp............................ 501,630
24,300 United Parcel Service, Inc., Class B.. 1,768,311
-----------
2,269,941
-----------
HEALTHCARE - 0.54%
41,600 McKesson Corp......................... 1,214,720
-----------
HOME BUILDERS - 0.93%
13,900 KB Home............................... 957,432
2,300 NVR, Inc.+............................ 1,129,300
-----------
2,086,732
-----------
HOSPITAL SUPPLIES - 1.42%
64,500 Johnson & Johnson..................... 3,179,205
-----------
- --------------------------------------------------------------------------------
INCOME & GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
28
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
HOUSEHOLD PRODUCTS - 3.13%
25,300 Fortune Brands, Inc...................... $ 1,728,496
54,700 Procter & Gamble Co...................... 5,264,328
-----------
6,992,824
-----------
INFORMATION PROCESSING -
HARDWARE - 3.29%
18,291 Dell, Inc.+.............................. 631,040
122,115 Hewlett-Packard Co....................... 2,648,674
34,900 International Business Machines Corp..... 3,159,846
8,400 Storage Technology Corp.+................ 211,680
56,200 Western Digital Corp.+................... 699,128
-----------
7,350,368
-----------
INFORMATION PROCESSING -
SERVICES - 1.10%
6,700 CheckFree Corp.+/(1)/.................... 185,054
10,700 Computer Sciences Corp.+................. 442,980
21,000 Earthlink, Inc.+......................... 201,600
19,600 Electronic Data Systems Corp............. 423,752
18,600 United Online, Inc.+/(1)/................ 338,706
53,400 VeriSign, Inc.+.......................... 865,614
-----------
2,457,706
-----------
INFORMATION PROCESSING -
SOFTWARE - 2.89%
1,600 Computer Associates International, Inc... 37,280
222,000 Microsoft Corp........................... 5,705,400
59,200 Oracle Corp.+............................ 710,992
-----------
6,453,672
-----------
INSURANCE - 5.75%
41,300 ACE, Ltd................................. 1,505,385
33,300 Allstate Corp............................ 1,344,654
35,700 AmerUs Group Co./(1)/.................... 1,283,415
83,787 Fidelity National Financial, Inc......... 2,960,195
36,700 Health Net, Inc.+........................ 1,200,090
48,800 Humana, Inc.+............................ 1,089,704
3,400 PacifiCare Health Systems, Inc., Class A+ 221,374
19,000 Principal Financial Group, Inc........... 629,090
30,000 Protective Life Corp..................... 985,500
47,600 W.R. Berkley Corp........................ 1,625,540
-----------
12,844,947
-----------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
LEISURE AND TOURISM - 1.26%
34,500 Blockbuster, Inc., Class A/(1)/.......... $ 589,260
1,800 Electronic Arts, Inc.+................... 79,614
7,800 Harrah's Entertainment, Inc.............. 373,386
5,100 NetFlix, Inc.+/(1)/...................... 249,900
59,300 Regal Entertainment Group, Class A/(1)/.. 1,235,812
8,300 Take-Two Interactive Software, Inc.+/(1)/ 274,730
------------
2,802,702
------------
MACHINERY - 0.07%
2,300 Briggs & Stratton Corp................... 155,250
------------
MEDICAL - BIOMEDICAL/GENE - 1.01%
39,292 Amgen, Inc.+ @........................... 2,259,683
------------
MISCELLANEOUS - 1.30%
118,800 Eastman Kodak Co......................... 2,893,968
------------
MULTIMEDIA - 2.79%
227,800 Time Warner, Inc.+....................... 3,708,584
37,300 Viacom, Inc., Class B.................... 1,466,636
45,500 Walt Disney Co........................... 1,050,595
------------
6,225,815
------------
OIL AND GAS - 9.23%
14,100 Amerada Hess Corp........................ 667,917
65,700 ChevronTexaco Corp....................... 4,934,070
15,900 ConocoPhillips........................... 902,166
65,600 Exxon Mobil Corp......................... 2,372,752
158,700 Marathon Oil Corp........................ 4,699,107
38,200 Occidental Petroleum Corp................ 1,401,176
69,164 ONEOK, Inc./(1)/......................... 1,370,139
8,100 Schlumberger, Ltd........................ 380,052
73,100 Sunoco, Inc.............................. 3,509,531
11,950 UGI Corp./(1)/........................... 386,582
------------
20,623,492
------------
PAPER/FOREST PRODUCTS - 0.89%
13,800 Bemis Co., Inc........................... 627,900
10,100 Louisiana-Pacific Corp.+................. 182,709
31,560 Rayonier, Inc............................ 1,170,230
------------
1,980,839
------------
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
RAILROADS & EQUIPMENT - 0.42%
8,400 Burlington Northern Santa Fe Corp. $ 250,068
4,500 CSX Corp.......................... 152,505
8,200 Norfolk Southern Corp............. 175,562
5,700 Union Pacific Corp................ 362,976
------------
941,111
------------
REAL ESTATE INVESTMENT
TRUSTS - 0.89%
9,100 CBL & Associates Properties, Inc.. 511,875
35,400 Equity Office Properties Trust.... 981,642
3,200 General Growth Properties, Inc.... 257,920
5,200 Simon Property Group, Inc......... 246,740
------------
1,998,177
------------
RETAIL - 5.65%
21,700 Barnes & Noble, Inc.+............. 720,006
5,400 Claire's Stores, Inc.............. 250,560
129,500 Federated Department Stores, Inc.. 6,357,155
4,400 Home Depot, Inc................... 161,744
11,100 IKON Office Solutions, Inc./(1)/.. 94,017
64,100 May Department Stores Co.......... 1,900,565
5,200 RadioShack Corp................... 161,980
7,200 Sears, Roebuck and Co............. 397,152
69,900 SUPERVALU, Inc.................... 1,804,818
19,100 United Stationers, Inc.+.......... 770,685
------------
12,618,682
------------
SAVINGS & LOAN - 0.99%
7,500 Flagstar Bancorp, Inc./(1)/....... 165,975
44,600 Washington Mutual, Inc............ 2,043,126
------------
2,209,101
------------
SEMICONDUCTORS - 4.26%
277,500 Intel Corp........................ 9,276,825
8,100 Texas Instruments, Inc............ 241,056
------------
9,517,881
------------
- --------------------------------------------------------------------------------
INCOME & GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
29
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
TELECOMMUNICATIONS - 4.92%
34,500 Alltel Corp.......................... $ 1,566,645
81,800 BellSouth Corp....................... 2,129,254
92,100 Cisco Systems, Inc.+................. 2,086,986
77,400 Nextel Communications, Inc., Class A+ 1,960,542
32,300 PanAmSat Corp.+/(1)/................. 713,507
5,900 QUALCOMM, Inc........................ 262,845
6,900 Scientific-Atlanta, Inc.............. 199,272
63,300 Verizon Communications, Inc.......... 2,074,341
------------
10,993,392
------------
TOBACCO - 2.26%
85,300 Altria Group, Inc.................... 4,435,600
11,000 R.J. Reynolds Tobacco Holdings, Inc.. 607,200
------------
5,042,800
------------
UTILITIES - COMMUNICATION - 1.81%
18,060 AT&T Corp............................ 358,130
74,700 SBC Communications, Inc.............. 1,739,016
130,008 Sprint Corp. (FON Group)............. 1,948,820
------------
4,045,966
------------
UTILITIES - ELECTRIC - 3.97%
143,600 Edison International, Inc.+.......... 2,932,312
14,600 Entergy Corp......................... 771,756
40,300 Exelon Corp.......................... 2,491,346
8,000 FPL Group, Inc....................... 508,400
36,000 Great Plains Energy, Inc./(1)/....... 1,142,280
7,800 OGE Energy Corp...................... 185,796
14,080 TXU Corp............................. 311,731
26,300 Weststar Energy, Inc................. 522,318
------------
8,865,939
------------
UTILITIES - GAS, DISTRIBUTION - 0.20%
15,801 Sempra Energy........................ 447,484
------------
TOTAL COMMON STOCK
(Cost $210,467,327).................. 220,776,959
------------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
PREFERRED STOCK - 0.46%
AUTOMOTIVE - 0.27%
8,000 Ford Motor Co. Capital Trust II
6.50%:................................. $ 399,120
8,900 General Motors Corp., Series B
5.25%:................................. 211,731
------------
610,851
------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 0.19%
3,500 Xerox Corp.: 6.25%:..................... 412,650
------------
TOTAL PREFERRED STOCK
(Cost $970,531)......................... 1,023,501
------------
PAR
VALUE
- -----------
SHORT-TERM INVESTMENTS - 2.91%
COLLECTIVE INVESTMENT POOL
$6,507,709 Securities Lending Quality Trust/(2)/
(Cost $6,507,709)...................... 6,507,709
------------
REPURCHASE AGREEMENT - 0.57%
1,283,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.93%, dated
11/28/03, to be repurchased 12/1/03
in the amount of $1,283,100 and
collateralized by Federal National Mtg.
Assoc. Notes, bearing interest at
2.00%, due 10/20/05 and having an
approximate value of $1,312,211
(Cost $1,283,000) @.................... 1,283,000
------------
TOTAL INVESTMENTS
(Cost $219,228,567) - 102.77%........... 229,591,169
Other assets and liabilities,
net - (2.77)%.......................... (6,192,428)
------------
NET ASSETS - 100%....................... $223,398,741
------------
+Non-income producing
@The security or a portion thereof represents collateral for open
futures contracts.
/(1)/The security or a portion thereof is out on loan (see Note 2).
/(2)/The security is purchased with the cash collateral received from
securities loaned.
OPEN FUTURES CONTRACTS
Value at Value as of
Number of Expiration Trade November 30, Unrealized
Contracts Description Date Date 2003 Appreciation
-------------------------------------------------------------------
2 Long S&P 500
Index Dec. 2003 $513,513 $528,900 $15,387
-------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
30
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
COMMON STOCK - 83.72%
ADVERTISING - 0.22%
15,360 Aegis Group, PLC.................... $ 26,452
500 Asatsu-DK, Inc...................... 11,916
4 Dentsu, Inc......................... 16,984
1,363 Publicis Groupe SA.................. 43,089
17,425 WPP Group, PLC...................... 167,147
------------
265,588
------------
AEROSPACE/DEFENSE - 0.24%
45,731 BAE Systems, PLC.................... 137,231
1,794 Cobham, PLC......................... 34,943
82,000 Finmeccanica SpA.................... 62,963
6,047 Serco Group, PLC.................... 18,354
1,075 Thales SA........................... 33,546
------------
287,037
------------
AIRLINES - 0.43%
1,070 Air France.......................... 16,303
8,000 All Nippon Airways Co., Ltd. +...... 18,335
3,382 Auckland International Airport, Ltd. 14,365
16,068 BAA, PLC............................ 130,748
7,529 British Airways, PLC +.............. 29,563
13,000 Cathay Pacific Airways, Ltd......... 25,033
2,653 Deutsche Lufthansa AG............... 40,582
4,433 European Aeronautic Defense
and Space Co....................... 96,797
147 Flughafen Wien AG................... 6,261
6,347 Iberia Lineas Aereas de Espana...... 17,057
10,000 Japan Airlines System Corp.......... 25,659
100 Kobenhavn Lufthave.................. 11,044
2,622 Ryanair Holdings, PLC +............. 20,133
1,200 SAS AB +............................ 11,687
8,000 Singapore Airlines, Ltd............. 56,160
------------
519,727
------------
APPAREL & PRODUCTS - 0.46%
630 Adidas-Salomon AG................... 65,078
757 Benetton Group SpA.................. 9,754
1,852 Bulgari SpA......................... 17,131
8,000 Esprit Holdings, Ltd................ 25,555
20,000 Giordano International, Ltd......... 8,887
3,017 Gunze, Ltd.......................... 12,700
1,521 Hagemeyer NV........................ 4,197
200 Hermes International................ 37,000
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
APPAREL & PRODUCTS - Continued
3,511 Inditex SA........................... $ 78,054
1,894 Luxottica Group SpA.................. 33,290
31,717 Marks & Spencer Group, PLC........... 146,658
1,944 Onward Kashiyama Co., Ltd............ 21,319
219 Puma AG Rudolf Dassier Sport......... 34,551
3,000 Wacoal Corp.......................... 23,778
600 World Co., Ltd....................... 17,806
6,000 Yue Yuen Industrial Holdings, Ltd.... 16,693
------------
552,451
------------
APPLIANCES/FURNISHINGS - 0.12%
4,600 Electrolux AB........................ 96,913
7,265 Kesa Electricals, PLC................ 30,653
8,300 MFI Furniture Group, PLC............. 20,154
------------
147,720
------------
AUTOMOTIVE - 3.23%
555 Autobacs Seven Co., Ltd.............. 11,884
9,000 Bridgestone Corp..................... 119,573
2,124 Compagnie Generale des Etablissements
Michelin, Class B................... 84,348
1,682 Continental AG....................... 58,663
2,059 Cycle & Carriage, Ltd................ 7,227
12,710 DaimlerChrysler AG................... 484,607
6,700 Denso Corp........................... 125,111
6,090 Fiat SpA +........................... 47,711
7,303 Futuris, Corp., Ltd.................. 7,404
10,191 GKN, PLC............................. 46,991
11,500 Honda Motor Co., Ltd................. 470,438
2,455 NGK Spark Plug Co., Ltd.............. 20,243
36,700 Nissan Motor Co., Ltd................ 419,563
500 Nokian Renkaat Oyj................... 39,172
30,507 Pirelli & Co. SpA.................... 29,024
2,752 PSA Peugoet Citroen.................. 129,559
2,519 Renault SA........................... 167,579
2,803 Sanden Corp.......................... 14,589
600 Toyoda Gosei......................... 17,148
39,949 Toyota Motor Corp.................... 1,200,130
1,429 Trelleborg AB........................ 22,154
260 USS Co., Ltd......................... 17,093
1,027 Valeo SA............................. 39,983
3,109 Volkswagen AG........................ 154,609
1,700 Volvo AB, Class A.................... 46,966
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
AUTOMOTIVE - Continued
3,100 Volvo AB, Class B..................... $ 89,751
------------
3,871,520
------------
BANKS - 13.42%
5,000 77th Bank, Ltd........................ 26,480
22,300 ABN AMRO Holding NV................... 491,211
12,475 Allied Irish Banks, PLC (Dublin)...... 184,841
2,063 Alpha Bank AE......................... 54,402
11,728 Ashikaga Financial Group, Inc. +...... 8,674
26,338 Australia & New Zealand Banking Group,
Ltd. @............................... 320,802
16,876 Banca di Roma SpA +................... 53,452
15,893 Banca Monte dei Paschi di Siena SPA... 52,245
4,386 Banche Popolari Unite Group +......... 74,722
45,200 Banco Bilbao Vizcaya Argentaria SA.... 542,287
27,175 Banco Comercial Portugues SA.......... 55,752
1,461 Banco Espirto Santo SA................ 21,648
5,739 Banco Popolare Di Verona e Novara..... 94,743
2,343 Banco Popular Espanol SA.............. 122,954
63,989 Banco Santander Central Hispano SA.... 665,603
672 Bank Austria Creditanstalt AG +....... 30,556
19,000 Bank of East Asia..................... 59,713
8,145 Bank of Fukuoka, Ltd.................. 33,468
14,902 Bank of Ireland....................... 184,150
15,000 Bank of Yokohama, Ltd................. 63,553
2,296 Bank of Yokohama, Ltd. ADR +.......... 97,274
97,011 Barclays, PLC......................... 856,220
5,163 Bayerische Hypo-und Vereinsbank
AG +................................. 121,347
21,943 Bipop Carire SpA +.................... 17,270
11,959 BNP Paribas SA........................ 674,347
36,500 BOC Hong Kong Holdings, Ltd........... 67,934
5,284 BPI-SGPS SA........................... 16,736
8,000 Chiba Bank, Ltd....................... 32,507
1,998 Close Brothers Group, PLC............. 23,742
775 Commercial Bank of Greece............. 16,439
6,500 Commerzbank AG........................ 125,866
18,525 Commonwealth Bank of Australia........ 370,251
5,351 Credit Agricole SA.................... 116,842
69,000 Daiwa Bank Holdings +................. 86,317
7,400 Danske Bank A/S....................... 156,891
16,000 DBS Group Holdings, Ltd............... 129,957
9,665 Dexia (Brussels)...................... 154,105
1,290 Dexia (Paris)......................... 15
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
31
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
BANKS - Continued
5,400 DnB Holdings ASA................... $ 32,629
2,180 EFG Eurobank Ergasias SA........... 36,826
422 Erste Bank Der Oesterreichischen
Sparkassen AG..................... 48,250
5,755 Firstgroup, PLC.................... 26,760
5,000 Gunma Bank, Ltd.................... 21,595
11,688 Hang Seng Bank, Ltd................ 150,169
56,189 HBOS, PLC.......................... 706,390
11,177 Hokugin Financial Group, Inc. +.... 17,044
160,924 HSBC Holdings, PLC................. 2,441,560
1,178 Hypo Real Estate Holding +......... 25,171
8,723 Joyo Bank, Ltd..................... 26,922
1,492 KBC Bankverzekeringsholding........ 65,336
82,836 Lloyds TSB Group, PLC.............. 586,316
3,238 Macquarie Bank, Ltd................ 79,676
7,477 Mediobanca SPA..................... 78,582
60 Mitsubishi Tokyo Financial
Group, Inc........................ 448,158
7,000 Mitsui Trust Holdings, Inc. +...... 34,068
22,308 National Australia Bank, Ltd....... 467,184
3,193 National Bank of Greece SA......... 72,096
5,700 Nordea AB (Euro)................... 37,270
29,590 Nordea AB (Swedish Krone).......... 196,038
14,000 Oversea-Chinese Banking Corp., Ltd. 96,655
1,000 OverSeas Union Enterprises......... 3,916
1,644 Piraeus Bank....................... 16,765
41,456 Royal Bank of Scotland Group, PLC.. 1,158,715
15,013 Sanpaolo IMI SpA................... 193,267
8,163 Shizuoka Bank, Ltd................. 57,096
6,600 Skandinaviska Enskilda Banken...... 86,140
4,782 Societe Generale, Class A.......... 383,245
55 Sumitomo Mitsui Financial
Group, Inc........................ 268,685
13,000 Sumitomo Trust & Banking Co., Ltd.. 69,680
4,000 Suruga Bank........................ 22,901
8,200 Svenska Handelsbanken AB,
Series A.......................... 151,570
600 Svenska Handelsbanken Series B..... 10,693
17,460 UBS AG............................. 1,125,688
52 UFJ Holdings, Inc. +............... 222,216
17,000 United Overseas Bank, Ltd.......... 127,230
26,035 Westpac Banking Corp............... 288,455
-------------
16,086,273
-------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
BEVERAGES - 1.17%
5,695 Asahi Breweries, Ltd................. $ 47,218
300 Carlsberg A/S, Class B............... 12,527
6,261 Coca Cola Amatil, Ltd................ 27,612
600 Coca Cola Bottling Co. (West Japan).. 10,667
990 Coca Cola Hellenic Bottling Co. SA... 21,736
45,590 Diageo, PLC.......................... 569,218
31,766 Foster's Group, Ltd.................. 101,215
3,240 Fraser and Neave, Ltd................ 21,617
3,002 Heineken NV.......................... 112,011
2,100 Interbrew............................ 51,901
400 ITO EN, Ltd.......................... 15,267
9,937 Kirin Brewery Co., Ltd............... 79,394
4,000 Lion Nathan, Ltd..................... 16,800
735 Pernod Ricard SA..................... 78,173
12,279 SABMiller, PLC....................... 122,754
5,000 Sapporo Breweries, Ltd............... 12,053
12,372 Scottish & Newcastle, PLC............ 78,195
2,794 Takara Shuzo Co...................... 22,502
------------
1,400,860
------------
BROADCASTING - 0.35%
225 Antena 3 Television SA +............. 9,467
18,592 British Sky Broadcasting Group, PLC + 215,803
3 Fuji Television Network, Inc......... 14,820
1,700 i-CABLE Communications, Ltd.......... 405
9,190 Mediaset SpA......................... 104,303
1,400 Sky Network Television, Ltd. +....... 4,657
1,633 Societe Television Francaise 1....... 52,800
4,000 Television Broadcasts, Ltd........... 20,093
------------
422,348
------------
BUILDING MATERIALS - 1.75%
4,156 Amec, PLC............................ 19,593
11,249 Asahi Glass Co., Ltd................. 82,789
4,000 Assa Abloy AB........................ 45,581
7,936 Boral, Ltd........................... 28,734
3,231 Bouygues SA.......................... 100,399
6,814 BPB, PLC............................. 40,397
2,000 Central Glass Co., Ltd............... 12,017
2,335 CIMPOR-Cimentos de Portugal,
SGPS, SA............................ 11,206
4,504 Compagnie de Saint-Gobain............ 201,665
7,838 CRH, PLC (Dublin).................... 145,944
13,051 CSR, Ltd............................. 16,444
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
BUILDING MATERIALS - Continued
5,607 Fletcher Building, Ltd........... $ 14,455
726 Fomento de Construcciones y
Contratas SA.................... 24,902
50 Geberit AG....................... 21,839
11,674 Hanson, PLC...................... 81,523
647 Heidelberger Zement AG +......... 26,508
2,305 Holcim, Ltd...................... 100,590
109 Imerys SA........................ 21,577
1,108 Italcementi SPA.................. 13,679
6,360 James Hardie Industries NV....... 33,022
16,842 Kawasaki Heavy Industries, Ltd... 18,301
2,390 Lafarge SA....................... 190,539
5,000 Matsushita Electric Works........ 36,022
8,668 Mitsui Engineering & Shipbuilding
Co., Ltd........................ 11,002
20,000 New World Development Co., Ltd... 12,430
5,067 Nippon Sheet Glass Co., Ltd...... 13,140
3,571 Nishimatsu Construstion Co., Ltd. 11,804
427 NKT Holding A/S.................. 7,883
7,861 Obayashi Corp.................... 30,076
3,977 Okumura Corp..................... 15,579
14,017 Pilkington, PLC.................. 21,605
15,174 Rinker Group, Ltd................ 64,171
3,686 RMC Group, PLC................... 38,880
697 Shimachu Co., Ltd................ 13,143
5,170 Skanska AB....................... 42,815
6,796 Sumitomo Osaka Cement Co., Ltd... 12,101
10,000 Taiheiyo Cement Corp............. 22,737
10,384 Taisei Corp...................... 33,660
1,020 Technical Olympic SA............. 5,140
260 Technip-Coflexip SA.............. 27,996
4,884 ThyssenKrupp AG.................. 90,530
400 Titan Cement Co.................. 15,261
4,683 Toda Corp........................ 11,674
4,275 Tostem Corp...................... 75,066
500 Uponor Oyj....................... 14,547
125 VA Technologie AG +.............. 3,478
1,058 Vinci SA......................... 84,728
454 Wienerberger Baustoffindustrie AG 11,509
8,843 Wolseley, PLC.................... 113,380
------------
2,092,061
------------
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
32
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
CHEMICAL - 1.79%
3,779 Akzo Nobel NV.................... $ 131,210
18,549 Asahi Chemical Industry Co., Ltd. 88,583
7,968 BASF AG.......................... 394,429
7,640 BOC Group, PLC................... 106,639
1,064 CIBA Specialty Chemicals
Holding, Inc. +................. 74,614
1,920 Clariant AG +.................... 27,137
5,427 Daicel Chemical Industries, Ltd.. 22,448
8,180 Dainippon Ink and Chemicals, Inc. 15,163
7,226 Denki Kagaku Kogyo Kabushiki
Kaisha.......................... 21,246
1,100 DSM NV........................... 50,743
2,000 Hitachi Chemical Co., Ltd........ 30,316
16,563 Imperial Chemical Industries, PLC 55,051
5,000 Ishihara Sangyo Kaisha, Ltd. +... 9,086
3,049 Johnson Matthey, PLC............. 52,981
4,081 Kaneka Corp...................... 28,358
1,468 L'Air Liquide SA................. 236,005
596 Lonza Group AG................... 28,617
22,401 Mitsubishi Chemical Corp......... 51,137
4,864 Mitsubishi Gas Chemical Co., Inc. 14,523
7,000 Mitsui Chemicals, Inc............ 37,328
2,000 Nippon Kayaku Co., Ltd........... 9,606
3,000 Nippon Sanso Corp................ 11,861
3,502 Nippon Shokubai Co., Ltd......... 25,006
2,000 Nissan Chemical Industries....... 17,148
800 Novozymes A/S Series B........... 27,989
3,897 Orica, Ltd....................... 36,348
4,925 Sekisui Chemical Co., Ltd........ 21,901
5,226 Shin Etsu Chemical Co............ 192,787
13,798 Showa Denko K.K. +............... 28,852
1,015 Solvay SA........................ 78,727
16,000 Sumitomo Chemical................ 57,125
1,670 Syngenta AG...................... 102,366
6,718 Tosoh Corp....................... 17,912
9,463 UBE Industries, Ltd.............. 18,146
600 Uni Charm Corp................... 28,654
------------
2,150,042
------------
COMMERCIAL SERVICES - 1.22%
15,864 ABB, Ltd. +...................... 77,892
3,631 Abertis Infraestructuras SA...... 50,969
397 Acciona SA....................... 22,424
350 Aker Kvaerner ASA +.............. 5,800
2,340 Ansell, Ltd...................... 11,065
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
COMMERCIAL SERVICES - Continued
307 Atos Origin +....................... $ 20,258
963 Autoroutes du Sud de la France...... 31,195
5,777 Balfour Beatty, PLC................. 21,589
50 Bellsystem 24, Inc.................. 10,501
814 Benesse Corp........................ 17,839
16,425 Brambles Industries, Ltd............ 54,356
10,063 Brambles Industries, PLC............ 30,241
1,679 Cap Gemini SA +..................... 82,992
23,000 ComfortDelGro Corp., Ltd............ 10,275
2,737 Comsys Holdings Corp. +............. 14,170
2,800 Davis Service Group, PLC............ 17,263
2,563 De La Rue, PLC...................... 12,756
22,919 Hays, PLC........................... 50,127
602 ISS A/S............................. 27,953
400 Itochu Techno-Science Corp.......... 11,323
3,282 JGC Corp............................ 25,953
2,036 Kinden Corp......................... 8,887
22,000 Li & Fung, Ltd...................... 37,688
1,160 Linde AG............................ 56,155
30,742 Macquarie Infrastructure Group...... 72,796
11,263 Mayne Group, Ltd.................... 28,954
2,000 Mitsubishi Logistics Corp........... 15,687
300 Nichii Gakkan Co.................... 15,477
1,033 Pechiney SA......................... 59,439
28,485 Rentokil Initial, PLC............... 106,941
39 SA D'Ieteren NV..................... 8,310
265 Sagem SA............................ 29,568
3,159 Secom Co., Ltd...................... 114,805
7,389 Securicor, PLC...................... 11,198
4,100 Securitas AB........................ 49,980
59 SGS Societe Generale de Surveillance
Holding SA......................... 34,680
6,559 Shimizu Corp........................ 22,579
18,000 Singapore Technologies
Engineering, Ltd................... 20,573
8,597 Smiths Group, PLC................... 98,603
4,000 ST Assembly Test Services, Ltd. +... 4,897
568 TIS, Inc............................ 17,893
2,626 Toyo Seikan Kaisha, Ltd............. 30,069
446 William Demant A/S +................ 13,878
------------
1,465,998
------------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
CONGLOMERATES - 1.58%
2,148 Amano Corp....................... $ 14,710
1,162 DCC, PLC......................... 15,266
32,000 Hutchison Whampoa, Ltd........... 233,908
19,000 Itochu Corp...................... 57,079
7,000 Keppel Corp., Ltd................ 22,539
5,000 Keppel Land, Ltd................. 4,641
3,244 LVMH Moet Hennessy Louis
Vuitton SA...................... 223,595
15,001 Mitsubishi Corp.................. 137,662
750 Modern Times Group AB +.......... 15,056
1,065 Promotora de
Informaciones SA (PRISA)........ 14,055
11,861 Siemens AG....................... 866,052
13,896 Sonae, SGPS SA +................. 11,670
10,000 Sumitomo Corp.................... 62,092
10,700 Tomkins, PLC..................... 49,845
1,732 TUI AG........................... 32,312
56 Valora Holding AG................ 13,314
5,772 Wesfarmers, Ltd.................. 117,870
6,000 Wing Tai Holdings, Ltd........... 2,750
------------
1,894,416
------------
DRUGS - 7.04%
25,358 AstraZeneca, PLC................. 1,152,458
9,624 Bayer AG......................... 260,256
3,830 Celltech Group, PLC +............ 23,184
3,736 Chugai Pharmaceutical Co., Ltd... 50,489
2,212 CSL, Ltd......................... 25,933
3,300 Daiichi Pharmaceutical Co., Ltd.. 55,535
3,406 Eisai Co., Ltd................... 86,305
70 Elan Corp. +..................... 378
4,802 Elan Corp., PLC +................ 25,580
3,800 Fujisawa Pharmaceutical Co., Ltd. 70,958
413 Gehe AG.......................... 18,799
88,732 GlaxoSmithKline, PLC............. 2,003,335
900 H Lundbeck A/S................... 14,148
2,214 Kaken Pharmaceutical Co., Ltd.... 10,998
5,265 Kyowa Hakko Kogyo Co., Ltd....... 29,807
625 Merck KGaA....................... 24,535
35,256 Novartis AG...................... 1,490,786
3,800 Novo-Nordisk A/S................. 145,814
290 Omega Pharma SA.................. 8,173
600 Orion-Yhtyma Oyj................. 13,432
10,069 Rhone Poulenc SA................. 581,666
445 Roche Holdings AG-Bearer......... 59,190
10,434 Roche Holdings AG-Genusschein.... 941,383
5,434 Sanofi-Synthelabo SA............. 368,348
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
33
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
DRUGS - Continued
2,551 Schering AG............................. $ 128,421
111 Serono SA............................... 76,507
4,507 Shionogi & Co........................... 74,530
3,000 Taisho Pharmaceutical Co., Ltd.......... 52,322
12,500 Takeda Chemical Industries, Ltd......... 479,386
1,217 UCB SA.................................. 39,014
4,600 Yamanouchi Pharmaceutical Co., Ltd...... 132,311
-------------
8,443,981
-------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 4.45%
910 Advantest Corp.......................... 65,062
2,449 Alps Electric Co., Ltd.................. 34,661
200 Bang & Olufsen A/S...................... 7,578
121 Barco NV................................ 9,603
12,000 Canon, Inc.............................. 554,445
3,401 Dainippon Screen
Manufacturing Co., Ltd. +.............. 23,478
31,352 Dixons Group, PLC....................... 73,700
29,390 Elec De Portugal SA..................... 73,342
6,050 Electrocomponents, PLC.................. 35,685
681 Epcos AG +.............................. 15,548
1,800 Fanuc, Ltd.............................. 105,848
8,000 Fuji Electric Co., Ltd.................. 17,240
5,000 Fujikura, Ltd........................... 27,987
2,500 GN Store Nord +......................... 15,881
481 Hirose Electric Co., Ltd................ 56,263
3,000 Hitachi Cable, Ltd...................... 10,574
40,849 Hitachi, Ltd............................ 240,584
20,000 Johnson Electric Holdings............... 26,791
2,000 JSR Corp................................ 43,373
400 Keyence Corp............................ 89,887
11,538 Kidde, PLC.............................. 20,715
454 Kudelski SA +........................... 14,574
2,443 Kyocera Corp............................ 148,791
400 Mabuchi Motor Co., Ltd.................. 28,854
31,000 Matsushita Electric Industrial Co., Ltd. 399,406
25,000 Mitsubishi Electric Corp................ 98,617
1,000 Mitsumi Electric Co., Ltd............... 9,624
3,373 Murata Manufacturing Co., Ltd........... 190,648
20,441 NEC Corp................................ 148,200
4,537 NGK Insulators, Ltd..................... 29,083
2,207 Nitto Denko Corp........................ 111,443
5,984 Novar, PLC.............................. 13,191
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - Continued
1,092 OCE NV............................ $ 15,617
8,000 Oki Electric Industry Co., Ltd. +. 30,242
3,484 Omron Corp........................ 66,171
19,425 Philips Electronics NV............ 552,332
9,000 Ricoh Co., Ltd.................... 164,197
5,000 Sankyo Co., Ltd................... 90,033
600 Sankyo Co., Ltd. Gunma............ 19,066
22,000 Sanyo Electric Co., Ltd........... 98,434
2,846 Schneider Electric SA............. 175,505
800 Seiko Epson Corp.................. 30,388
13,330 Sharp Corp........................ 199,497
48,652 Siebe PLC......................... 16,757
800 SMC Corp.......................... 95,402
12,962 Sony Corp......................... 449,761
2,000 Stanley Electric.................. 37,986
9,087 Sumitomo Electric Industries, Ltd. 74,346
2,000 Taiyo Yuden Co.................... 23,431
1,700 TDK Corp.......................... 110,524
7,000 Techtronic Industries Co.......... 19,205
39,618 Toshiba Corp...................... 146,150
2,000 Ushio, Inc........................ 31,521
3,000 Venture Corp, Ltd................. 32,895
1,494 Vestas Wind Systems AS............ 22,522
2,151 Yamaha Corp....................... 38,438
4,000 Yokogawa Electric Corp............ 52,157
-------------
5,333,253
-------------
FINANCE COMPANIES - 0.18%
400 Aeon Credit Service Co., Ltd...... 17,057
550 Aiful Corp........................ 32,895
4,500 Cattles, PLC...................... 24,799
1,854 Credit Saison Co., Ltd............ 38,937
1,200 Promise Co., Ltd.................. 51,062
920 Takefuji Corp..................... 49,648
-------------
214,398
-------------
FINANCIAL SERVICES - 4.08%
9,431 3I Group, PLC..................... 98,911
1,019 Acom Co., Ltd..................... 41,127
21,750 AMP, Ltd. @....................... 93,714
10,638 Amvescap, PLC..................... 75,479
1,419 Australian Stock Exchange, Ltd.... 15,938
4,089 Banca Fideuram SpA................ 25,755
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
FINANCIAL SERVICES - Continued
20,958 Banca Nazionale Del Lavoro SpA +.... $ 49,157
5,342 Banca Popolare di Milano SCRL....... 31,789
7,000 Cheung Kong Infrastructure
Holdings, Ltd...................... 15,824
17,584 Credit Suisse First Boston USA, Inc. 584,204
17,045 Daiwa Securities Co., Ltd........... 109,727
7,768 Deutsche Bank AG.................... 542,031
1,533 Deutsche Boerse AG.................. 77,265
1,250 Euronext NV......................... 29,979
15,452 Fortis NL........................... 285,679
800 Gjensidige NOR ASA.................. 34,905
1,100 Group 4 Falck A/S................... 21,725
14,000 Hong Kong Exchanges & Clearing, Ltd. 28,672
24,968 ING Groep NV........................ 535,302
53,149 IntesaBci SpA....................... 200,224
12,967 IntesaBci SpA Di Risp............... 36,248
3,741 Irish Life & Permanent, PLC......... 52,737
400 Jafco Co., Ltd...................... 29,841
96,017 Legal & General Group, PLC.......... 164,529
4,248 Man Group, PLC...................... 104,395
831 Marschollek Lauten AG +............. 15,693
3,530 Mediolanum SpA...................... 26,469
86 Mizuho Financial Group, Inc. +...... 224,590
19,000 Nikko Securities Co., Ltd........... 95,941
26,000 Nomura Holdings, Inc................ 413,094
759 OM AB............................... 8,548
1,100 Orix Corp........................... 80,656
3,535 Provident Financial, PLC............ 37,166
3,850 Sampo Oyj........................... 38,153
1,726 Schroders, PLC...................... 19,321
10,000 Singapore Exchange.................. 9,573
800 Smedvig, Class A.................... 5,397
8,415 Suncorp Metway...................... 75,867
56,008 UniCredito Italiano SpA............. 281,550
6,000 Yamaichi Securities Co., Ltd.
ADR +/(1)(3)/...................... 0
2,122 Zurich Financial Services Group +... 273,621
-------------
4,890,796
-------------
FOODS - 3.06%
7,807 Ajinomoto Co., Inc.................. 83,691
300 Ariake Co........................... 9,369
400 Axfood AB........................... 8,904
30,147 Cadbury Schweppes, PLC.............. 192,355
519 Casino Guichard Perrachon SA........ 48,381
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
34
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
FOODS - Continued
234 Colruyt SA.......................... $ 21,996
32,698 Compass Group, PLC.................. 196,806
650 Danisco A/S......................... 26,724
1,027 Delhaize 'Le Lion' SA............... 49,717
4,000 Fyffes, PLC......................... 7,390
2,232 Greencore Group, PLC................ 8,167
1,820 Groupe Danone....................... 283,861
983 House Food Corp..................... 10,493
603 Katokichi Co., Ltd.................. 9,559
1,806 Kerry Group, PLC.................... 32,176
830 Kesko Oyj........................... 14,439
3,531 Kikkoman Corp....................... 23,376
3,000 Meiji Dairies Corp.................. 11,587
5,975 Meiji Seika Kaisha, Ltd............. 22,314
5,959 Nestle SA........................... 1,386,780
4,213 Nichirei Corp....................... 12,733
2,000 Nippon Meat Packers, Inc............ 19,322
1,963 Nisshin Seifun Group, Inc........... 15,809
1,055 Nissin Food Products Co., Ltd....... 25,095
2,074 Numico Kon NV +..................... 52,752
3,274 Orkla ASA........................... 72,745
5,597 Parmalat Finanziaria SpA............ 15,377
1,600 QP Corp............................. 12,696
2,500 Snow Brand Milk Products Co., Ltd. + 7,351
1,326 Sodexho Alliance SA................. 37,672
700 Suedzucker AG....................... 12,707
5,698 Tate & Lyle, PLC.................... 31,401
1,000 Toyo Suisan Kaisha, Ltd............. 9,962
8,434 Unilever NV......................... 506,440
40,842 Unilever, PLC....................... 355,197
2,258 Yakult Honsha Co., Ltd.............. 30,927
-------------
3,666,271
-------------
FREIGHT - 0.82%
16 A/S Dampskibsselskabet ADR.......... 114,794
4,562 Associated British Ports
Holdings, PLC...................... 33,626
48 Compagnie Maritime Belge SA......... 2,845
5,929 Deutsche Post AG.................... 111,750
325 DSV, De Sammensluttede
Vognmaend A/S...................... 12,733
4,142 Exel, PLC........................... 54,319
48 Exmar NV +.......................... 1,929
500 Frontline, Ltd...................... 10,559
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
FREIGHT - Continued
4,135 Kamigumi Co., Ltd............... $ 26,657
7,631 Kawasaki Kisen Kaisha, Ltd...... 29,614
17,331 Mitsui & Co., Ltd............... 116,632
12,000 Mitsui OSK Lines, Ltd........... 48,760
11,000 Neptune Orient Lines, Ltd. +.... 13,529
10,879 Nippon Express Co., Ltd......... 47,186
14,000 Nippon Yusen Kabushiki Kaish
Svendborg...................... 54,842
2,289 Patrick Corp., Ltd.............. 24,018
10,246 Peninsular and Oriental Steam
Navigation Co.................. 43,231
2,893 Seino Transportation Co., Ltd... 20,526
13,000 SembCorp Industries, Ltd........ 9,654
5,000 SembCorp Logistics, Ltd......... 5,541
7,000 SembCorp Marine, Ltd............ 3,939
3,000 Toll Holdings, Ltd.............. 18,509
5,132 TPG NV.......................... 110,828
5,923 Yamato Transport Co., Ltd....... 69,768
-------------
985,789
-------------
GOVERNMENT AGENCIES - 0.01%
26,000 Singapore Post, Ltd............. 10,408
-------------
HARDWARE & TOOLS - 0.01%
201 Bekaert SA...................... 11,262
77 Bohler Uddeholm................. 4,982
-------------
16,244
-------------
HEALTHCARE - 0.28%
3,300 Alliance Unichem, PLC........... 28,558
12,306 Boots Group, PLC................ 150,681
738 Cochlear, Ltd................... 15,258
200 Coloplast A/S................... 16,961
1,356 Essilor International SA........ 67,661
997 Fisher & Paykel Healthcare Corp. 7,749
2,400 Gambro, Series A................ 19,875
1,600 Gambro, Series B................ 13,250
9,000 Parkway Holdings................ 4,882
2,631 SSL International, PLC.......... 14,442
-------------
339,317
-------------
HEAVY DUTY TRUCKS/PARTS - 0.02%
3,000 Hino Motors, Ltd................ 17,751
-------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
HOME BUILDERS - 0.23%
3,305 Barratt Developments, PLC..... $ 27,861
1,687 Berkeley Group, PLC........... 23,300
7,070 Daiwa House Industry Co., Ltd. 67,140
896 Hellenic Technodomiki SA...... 5,267
3,600 Persimmon, PLC................ 28,891
7,000 Sekisui House, Ltd. ADR....... 66,028
7,686 Taylor Woodrow, PLC........... 31,635
5,230 Wimpey George, PLC............ 30,713
-------------
280,835
-------------
HOSPITAL SUPPLIES - 0.17%
10,555 Amersham, PLC................. 136,875
486 Fresenius Medical Care AG..... 30,886
2,300 Terumo Corp................... 41,205
-------------
208,966
-------------
HOUSEHOLD PRODUCTS - 0.78%
500 Aderans Co.................... 8,442
350 Beiersdorf AG................. 39,304
3,256 Fisher & Paykel Appliances
Holdings, Ltd................ 7,873
103 Givaudan AG................... 47,143
5,950 Kanebo, Ltd. +................ 5,976
8,000 KAO Corp...................... 163,265
5,003 L'Oreal SA.................... 371,546
8,830 Reckitt Benckiser, PLC........ 192,971
5,000 Shiseido Co................... 56,111
4,771 Toto, Ltd..................... 36,856
8,608 Waterford Wedgewood, PLC...... 2,892
-------------
932,379
-------------
HUMAN RESOURCES - 0.17%
1,980 Adecco SA..................... 122,979
9,293 Capita Group, PLC............. 40,010
616 Meitec Corp................... 21,655
1,238 Vedior NV..................... 18,759
-------------
203,403
-------------
INFORMATION PROCESSING -
HARDWARE - 0.09%
3,292 Casio Computer Co., Ltd....... 32,254
599 Logitech International SA +... 25,978
480 Nidec Corp.................... 47,643
-------------
105,875
-------------
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
35
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - 0.40%
6,082 Computershare, Ltd.................... $ 14,226
1,100 CSK Corp.............................. 36,963
1,700 Indra Sistemas SA..................... 20,498
10,415 Logica, PLC........................... 49,235
2 Net One Systems Co., Ltd.............. 14,080
19 NTT Data Corp......................... 69,744
100 OBIC Co., Ltd......................... 20,636
19,248 Telecom Italia Media SpA +............ 9,145
50,744 SEAT Pagine Gialle SpA +.............. 49,191
3,000 Softbank Corp......................... 113,683
1,150 TietoEnator Oyj....................... 32,009
5,150 Wanadoo +............................. 39,606
5,471 Wm-data AB +.......................... 11,091
------------
480,107
------------
INFORMATION PROCESSING -
SOFTWARE - 0.61%
882 Business Objects SA +................. 29,936
557 Dassault Systemes SA.................. 24,879
400 Hitachi Software Engineering Co., Ltd. 10,775
7,885 Misys, PLC............................ 38,701
200 Nomura Research Instutute, Ltd........ 19,102
400 Oracle Corp. Japan.................... 19,796
16,850 Sage Group, PLC....................... 52,595
3,037 SAP AG................................ 467,115
500 Topdanmark AS +....................... 25,313
1,500 Trend Micro, Inc. +................... 37,940
------------
726,152
------------
INSURANCE - 2.95%
19,901 Aegon NV.............................. 265,742
7,459 Alleanza Assicurazioni SpA............ 77,677
4,061 Allianz AG............................ 457,401
14,218 Assicurazioni Generali SpA............ 355,490
20,887 AXA................................... 401,699
33,506 CGNU, PLC............................. 267,162
450 CNP Assurances........................ 20,850
1,137 Corp Mapfre SA........................ 14,678
17 Daido Life Insurance Co., Ltd......... 46,258
22,700 Friends Provident, PLC................ 50,527
26,157 Insurance Australia Group, Ltd........ 79,176
22 Millea Holdings, Inc.................. 237,045
17,996 Mitsui Sumitomo Insurance Co., Ltd.... 134,253
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
INSURANCE - Continued
2,214 Munchener Ruckversicherungs AG.... $ 251,892
250 Pohjola Yhtyma Oyj................ 6,161
29,769 Prudential, PLC................... 228,777
9,910 QBE Insurance Group, Ltd.......... 73,127
4,827 Riunione Adriatica di Sicurta SpA. 77,776
42,370 Royal & Sun Alliance Insurance
Group, PLC....................... 61,840
11,370 Skandia Forsakrings AB............ 38,417
2,168 Storebrand ASA +.................. 13,259
4,736 Swiss Reinsurance................. 294,521
11,000 Yasuda F&M Insurance.............. 81,660
-----------
3,535,388
-----------
LEISURE AND TOURISM - 1.03%
2,882 Accor SA.......................... 121,019
3,281 Amadeus Global Travel SA.......... 20,469
350 Amer Group........................ 14,655
4,124 Aristocrat Leisure, Ltd. @........ 5,764
1,591 Autogrill SpA +................... 21,111
900 Bandai Co., Ltd................... 20,381
5,336 Brisa-Auto Estradas de Portugal SA 33,930
600 Capcom Co., Ltd................... 6,574
2,602 Carnival, PLC..................... 91,413
750 Creative Technology, Ltd.......... 7,919
4,227 Emap, PLC......................... 61,475
10,965 EMI Group, PLC.................... 32,054
43,459 Granada, PLC...................... 92,057
2,500 Greek Organization of Football
Prognostics SA................... 32,093
11,300 InterContinental Hotels Group, PLC 104,550
1,161 Konami Co......................... 29,843
41 Kuoni Reisen Holding AG........... 13,336
24,971 Ladbroke Group, PLC............... 90,953
568 Namco, Ltd........................ 14,367
1,329 NH Hoteles SA +................... 15,179
1,400 Nintendo Co., Ltd................. 120,933
671 Oriental Land Co., Ltd............ 36,517
8,252 Rank Group, PLC................... 41,212
14,000 Shangri La Asia, Ltd.............. 12,533
5,886 Sky City Entertainment, Ltd....... 17,170
14,695 Stagecoach Group, PLC............. 20,499
6,274 Tab Corp.......................... 18,764
5,083 Tab Corp. Holdings, Ltd........... 41,152
1,900 Toho Co........................... 21,860
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
LEISURE AND TOURISM - Continued
6,317 William Hill, PLC................ $ 42,536
2,000 Yamaha Motor Co.................. 20,308
556 Zodiac SA........................ 16,470
-------------
1,239,096
-------------
MACHINERY - 1.09%
1,000 Alfa Laval AB.................... 14,310
3,863 Amada Co., Ltd................... 18,977
1,828 Atlas Copco AB, Series A......... 65,398
995 Atlas Copco AB, Series B......... 32,960
6,432 BBA Group, PLC................... 26,391
1 Buderus AG....................... 37
3,010 Daikin Industries, Ltd........... 62,116
5,000 Ebara Corp....................... 19,404
8,079 FKI, PLC......................... 15,305
400 FLS Industries A/S +............. 4,289
1,677 Grupo Dragados SA................ 34,948
877 Grupo Ferrovial SA............... 26,515
4,894 IMI, PLC......................... 28,719
13,596 Ishikawajima-Harima Heavy
Industries Co., Ltd............. 16,387
13,000 Kajima Corp...................... 41,428
200 KCI Konecranes International..... 6,440
13,000 Komatsu, Ltd..................... 74,072
905 Komori Corp...................... 10,991
480 Kone Corp........................ 25,897
3,000 Koyo Seiko Co., Ltd.............. 27,804
13,000 Kubota Corp...................... 47,482
1,883 Leighton Holdings, Ltd........... 15,845
2,000 Makita Corp...................... 18,335
1,469 Man AG........................... 39,937
1,350 Metso Oyj........................ 15,808
6,125 Minebea Co., Ltd................. 31,208
43,000 Mitsubishi Heavy Industries, Ltd. 114,651
300 NEG Micon USA, Inc. +............ 3,241
6,077 NSK, Ltd......................... 21,197
6,277 NTN Corp......................... 28,601
2,000 Rautaruukki Oyj +................ 14,757
250 RHI AG +......................... 3,950
23,304 Rolls Royce Group, PLC........... 71,537
3,300 Sandvik AB....................... 105,161
1,040 Shimano, Inc..................... 20,227
1,800 Showa Shell Sekiyu............... 13,839
200 SKF AB, Class A.................. 7,341
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
36
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
MACHINERY - Continued
1,423 SKF AB, Class B................... $ 52,135
47 Sulzer AG......................... 11,775
9,000 Sumitomo Heavy Industries, Ltd. +. 17,504
2,066 Takuma Co......................... 10,810
1,400 THK Co............................ 28,188
2,500 Tomra Systems ASA................. 14,189
2,100 Toyota Industries Corp............ 39,406
600 Wartsila Oyj...................... 11,158
-------------
1,310,670
-------------
MEDICAL TECHNOLOGY - 0.23%
2,400 Getinge AB........................ 22,579
250 Nobel Biocare Holding AG.......... 23,287
1,939 Qiagen NV +....................... 22,379
14,158 Smith & Nephew PLC................ 108,866
4,102 SNIA SPA.......................... 9,129
3,251 Sonic Healthcare, Ltd............. 16,527
61 Synthes-Stratec, Inc.............. 55,508
2,093 Zeltia SA......................... 13,560
-------------
271,835
-------------
METALS - 1.90%
686 Acerinox SA....................... 31,752
130 Alum Co........................... 2,542
5,501 Arcelor........................... 89,296
55,154 BHP Billiton, Ltd................. 450,121
36,321 BHP Billiton, PLC................. 272,719
11,024 BlueScope Steel, Ltd.............. 39,835
5,000 Dowa Mining Co., Ltd.............. 24,472
7,043 Hennes & Mauritz AB, Class B...... 164,713
400 Hoganas AB, Class B............... 8,295
3,237 Iluka Resources, Ltd.............. 9,494
6,700 JFE Holding, Inc.................. 156,924
13,000 Mitsubishi Materials Corp. +...... 18,755
7,977 Mitsui Mining & Smelting Co., Ltd. 29,500
4,535 Newcrest Mining, Ltd.............. 42,035
80,389 Nippon Steel Corp................. 154,150
7,533 OneSteel, Ltd..................... 10,255
1,000 Outokumpu Oyj..................... 13,377
4,719 Rio Tinto, Ltd.................... 119,502
15,667 Rio Tinto, PLC.................... 374,765
200 SAPA AB........................... 4,293
800 SSAB Svenskt Stal AB, Series A.... 13,197
400 SSAB Svenskt Stal AB, Series B.... 6,334
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
METALS - Continued
43,000 Sumitomo Metal Industries, Ltd.. $ 36,908
7,341 Sumitomo Metal Mining Co., Ltd.. 46,386
205 Umicore......................... 13,699
1,460 Viohalco........................ 7,637
248 Voest Alpine AG................. 9,804
15,757 WMC Resources, Ltd. +........... 55,797
18,023 WMC, Ltd........................ 77,003
-------------
2,283,560
-------------
MISCELLANEOUS - 0.55%
1,557 AGFA-Gevaert NV................. 38,668
6,973 Fuji Photo Film Co., Ltd........ 197,382
961 Groupe Bruxelles Lambert SA..... 47,952
3,695 Haw Par Corp., Ltd.............. 9,518
5,836 Konica Corp..................... 69,063
4,485 Nikon Corp. +................... 55,983
3,206 Olympus Optical Co., Ltd........ 68,649
14,316 Swire Pacific, Ltd.............. 84,822
2,000 Tokyo Style Co.................. 19,322
6,403 Transurban Group................ 19,474
17,000 Wharf Holdings, Ltd............. 42,479
-------------
653,312
-------------
MULTIMEDIA - 0.56%
8,877 Carlton Communications, PLC..... 35,314
1,939 Lagardere SCA................... 105,847
21,814 News Corp., Ltd................. 186,242
12,101 Pearson, PLC.................... 135,042
654 PT Multimedia SGPS +............ 11,934
1,828 Publishing & Broadcasting, Ltd.. 15,448
22,187 Reuters Group, PLC.............. 93,804
2,536 Thomson......................... 53,732
2,522 Tiscali SpA +................... 20,485
600 Tokyo Broadcasting.............. 9,308
-------------
667,156
-------------
OIL AND GAS - 7.39%
7,410 Australian Gas Light Co., Ltd. @ 57,523
51,640 BG Group, PLC................... 243,451
327,357 BP, PLC @....................... 2,287,446
8,708 E. ON AG........................ 494,163
38,523 ENI SPA......................... 657,219
5,600 Fortum Oyj...................... 56,100
3,316 Gas Natural SDG SA.............. 68,388
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
OIL AND GAS - Continued
1,264 Hellenic Petroleum SA............... $ 10,464
420 IHC Caland NV....................... 19,652
3,300 NGC Holdings, Ltd................... 3,715
7,000 Nippon Mining Holdings, Inc......... 22,116
19,000 Nippon Oil Corp..................... 93,859
2,204 Norsk Hydro ASA..................... 126,225
187 OMV AG.............................. 26,521
31,188 Osaka Gas Co., Ltd.................. 81,733
13,515 Repsol YPF SA....................... 236,247
31,020 Royal Dutch Petroleum Co............ 1,394,865
8,098 Santos, Ltd......................... 37,882
12,901 Scottish & Southern Energy, PLC..... 144,969
143,279 Shell Transport & Trading Co., PLC @ 908,032
7,100 Statoil ASA......................... 70,807
4,711 Teikoku Oil Co...................... 20,906
38,077 Tokyo Gas Co., Ltd.................. 130,383
4,000 TonenGeneral Sekiyu KK.............. 32,580
9,669 Total SA, Class B @................. 1,563,732
6,488 Woodside Petroleum.................. 64,554
-------------
8,853,532
-------------
PAPER/FOREST PRODUCTS - 0.69%
13,241 Amcor, Ltd. @....................... 79,201
800 Billerud AB......................... 11,872
6,493 Bunzl, PLC.......................... 49,620
12,114 Carter Holt Harvey, Ltd............. 13,716
2,457 Fletcher Challenge Forest, Ltd. +... 2,059
900 Holmen AB, Series B................. 31,244
59 Mayr-Melnhof Karton AG.............. 6,329
13 Nippon Unipac Holdings.............. 62,558
1,500 Norske Skogsindustrier ASA.......... 28,819
12,528 OJI Paper Co., Ltd.................. 73,099
7,736 PaperlinX, Ltd...................... 25,433
6,362 Rexam, PLC.......................... 47,112
8,793 Southcorp, Ltd...................... 17,574
9,700 Stora Enso Oyj...................... 130,690
2,900 Svenska Cellulosa AB................ 112,011
7,344 UPM-Kymmene Oyj..................... 135,953
-------------
827,290
-------------
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
37
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
PUBLISHING - 0.79%
1,802 Arnoldo Mondadori Editore SpA... $ 14,961
9,000 Dai Nippon Printing Co., Ltd.... 124,093
4,242 Daily Mail & General Trust...... 45,074
2,300 Eniro AB........................ 20,571
2,395 Gruppo Editoriale L'Espresso SpA 14,367
2,057 Independent Newspapers, Ltd..... 6,619
7,604 Independent Newspapers, PLC..... 18,428
11,756 John Fairfax Holdings, Ltd...... 29,626
9,614 Reed Elsevier NV................ 116,728
18,805 Reed Elsevier, PLC.............. 155,124
700 Schibsted ASA................... 11,909
16,372 SCMP Group, Ltd................. 7,486
6,000 Singapore Press Holdings, Ltd... 67,879
8,477 Toppan Printing Co.............. 77,714
4,666 United Business Media, PLC...... 40,278
3,424 VNU NV.......................... 106,765
3,770 Wolters Kluwer NV............... 57,217
6,465 Yell Group, PLC................. 34,459
-------------
949,298
-------------
RAILROADS & EQUIPMENT - 0.55%
13 Central Japan Railway Co........ 103,867
50 East Japan Railway Co........... 228,279
5,582 Keihin Electric Express
Railway Co., Ltd............... 32,264
7,000 Keio Electric Railway Co., Ltd.. 35,858
20,072 Kinki Nippon Railway Co., Ltd. + 56,267
18,000 MTR Corp........................ 24,228
10,000 RT Group, PLC +/(3)/............ 9,300
9,000 SMRT Corp., Ltd................. 3,028
10,624 Tobu Railway Co................. 36,185
14,426 Tokyu Corp...................... 67,049
18 West Japan Railway Co........... 68,210
-------------
664,535
-------------
REAL ESTATE - 1.34%
7,000 Allgreen Properties, Ltd........ 4,224
6,886 British Land Co., PLC........... 65,727
6,489 Canary Wharf Group, PLC +....... 26,988
15,000 CapitaLand, Ltd................. 13,576
600 Castellum AB.................... 12,720
7,700 Centro Properties Group......... 21,969
17,861 CFS Gandel Retail Trust......... 17,461
22,562 Cheung Kong Holdings, Ltd....... 177,997
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
REAL ESTATE - Continued
7,000 City Developments, Ltd............ $ 24,367
17,029 Commonwealth Property Office Fund. 14,181
1,453 Daito Trust Construction Co., Ltd. 40,997
15,960 Deutsche Office Trust............. 12,944
1,200 Drott AB.......................... 21,068
300 Gecina SA......................... 41,391
2,258 Great Portland Estates, PLC....... 9,410
3,837 Hammerson, PLC.................... 41,035
17,000 Hang Lung Properties, Ltd......... 21,021
11,000 Henderson Land Development........ 44,205
9,000 Hopewell Holdings................. 13,157
9,000 Hysan Development Co., Ltd........ 12,868
2,250 IMMOFINANZ Immobilien Anlagen AG + 16,953
19,514 Investa Property Group............ 27,414
400 Klepierre......................... 22,891
7,119 Land Securities Group, PLC........ 117,696
6,689 Lend Lease Corp., Ltd............. 50,860
3,400 Liberty International, PLC........ 38,411
13,700 Macquarie Goodman Industrial Trust 15,675
9,364 Mirvac Group...................... 29,633
13,750 Mitsubishi Estate Co., Ltd........ 122,791
10,000 Mitsui Fudosan Co., Ltd........... 87,203
2,111 Pioneer Corp...................... 53,973
2,000 Singapore Land, Ltd............... 4,549
22,000 Sino Land Co...................... 11,476
5,786 Slough Estates, PLC............... 41,950
15,898 Stockland Trust Group............. 58,714
5,000 Sumitomo Realty & Development..... 38,990
19,395 Sun Hung Kai Properties, Ltd...... 156,134
589 Unibail SA........................ 52,292
5,000 United OverSeas Land, Ltd......... 5,425
1,368 Vallehermoso SA................... 19,301
-------------
1,609,637
-------------
REAL ESTATE INVESTMENT
TRUSTS - 0.08%
32,109 General Property Trust............ 67,663
2 Japan Real Estate Investment Corp. 12,199
2 Nippon Building Fund, Inc......... 12,583
-------------
92,445
-------------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
REGISTERED INVESTMENT
COMPANIES - 0.07%
700 Corio NV......................... $ 24,926
600 Rodamco Europe NV................ 32,760
300 Wereldhave NV.................... 21,236
------------
78,922
------------
RETAIL - 3.24%
6,000 7-Eleven, Inc. (JPY)............. 173,675
976 Altana AG........................ 59,227
700 Aoyama Trading Co., Ltd.......... 13,391
8,434 Carrefour SA..................... 454,835
3,947 Citizen Watch Co., Ltd........... 32,040
16,676 Coles Myer, Ltd.................. 89,845
7,697 Compagnie Financiere Richemont AG 190,748
3,477 Daimaru, Inc..................... 18,383
460 Douglas Holding AG............... 12,815
330 Duty Free Shops.................. 5,836
2,300 Enterprise Inns, PLC............. 37,055
856 FamilyMart Co., Ltd.............. 18,525
900 Fast Retailing Co., Ltd.......... 53,089
220 Folli-Follie SA.................. 5,437
3,000 Grafton Group, PLC +............. 19,256
14,814 Great Universal Stores, PLC...... 193,189
3,120 Hankyu Department Stores, Inc.... 20,569
7,341 Harvey Norman Holdings, Ltd...... 15,204
1,600 Hoya Corp........................ 140,255
2,294 Isetan Co., Ltd.................. 23,838
5,367 Ito-Yokado Co., Ltd.............. 178,385
22,258 J. Sainsbury, PLC................ 115,091
400 Jeronimo Martins +............... 4,223
3,515 Jusco Co., Ltd................... 113,620
573 KarstadtQuelle AG................ 15,131
33,847 Kingfisher, PLC.................. 160,733
1,062 Kokuyo Co., Ltd.................. 11,452
9,062 Koninklijke Ahold NV. +.......... 65,450
1,270 Koninklijke Vendex KBB NV........ 16,486
800 Lawson, Inc...................... 28,928
4,596 Marui Co., Ltd................... 56,445
200 Matsumotokiyoshi Co., Ltd........ 8,675
2,269 Metro AG......................... 97,320
10,169 Mitchells & Butlers, PLC +....... 40,804
6,000 Mitsukoshi, Ltd. +............... 22,079
8,000 Mycal Corp. +/(3)/............... 1
4,411 Next, PLC........................ 84,700
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
38
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------
RETAIL - Continued
350 Ostasiatiske Kompagni....... $ 13,374
1,033 Pinault-Printemps-Redoute SA 101,378
16,697 Safeway, PLC................ 80,657
400 Saizeriya Co., Ltd.......... 3,780
1,541 Sega Enterprises, Ltd. +.... 14,226
300 Shimamura Co................ 18,655
23,832 Signet Group, PLC........... 41,350
1,100 Skylark Co.................. 16,372
469 Societe BIC SA.............. 20,870
500 Suzuken Co., Ltd............ 13,491
762 Swatch Group AG............. 17,615
465 Swatch Group AG, Class B.... 53,387
4,000 Takashimaya Co.............. 27,540
106,688 Tesco, PLC.................. 457,035
2,295 UNY Co., Ltd................ 22,360
1,907 Warehouse Group, Ltd........ 6,465
6,863 Westfield Holdings.......... 71,715
29,989 Westfield Trust............. 74,488
4,114 Whitbread, PLC.............. 51,118
15,365 Woolworths, Ltd............. 126,175
1,000 Yamada Denki Co............. 29,676
3,513 Yamazaki Baking Co.......... 26,945
------------
3,885,407
------------
SEMICONDUCTORS - 0.87%
14,208 ARM Holdings, PLC +......... 29,362
2,500 ASM Pacific Technology...... 9,789
6,938 ASML Holding NV +........... 131,184
13,000 Chartered Semiconductor
Manufacturing, Ltd. +...... 12,143
23,448 Fujitsu, Ltd. +............. 129,107
8,000 Furukawa Electric, Co., Ltd. 26,663
6,684 Infineon Technologies AG +.. 95,027
1,508 Rohm Co., Ltd............... 176,391
8,629 STMicroelectronics NV....... 238,939
3,000 Sumitomo Bakelite........... 18,929
2,200 Tokyo Electron, Ltd......... 155,687
138 Unaxis Holding AG........... 19,023
------------
1,042,244
------------
TELECOMMUNICATIONS - 5.88%
18,030 Alcatel SA +................ 235,567
2,000 Anritsu Corp. +............. 13,660
128,184 BT Group, PLC............... 383,556
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
TELECOMMUNICATIONS - Continued
37,410 Cable & Wireless, PLC............. $ 85,364
4,000 Datacraft Asia, Ltd. +............ 4,640
2,000 Elisa Oyj, Class A +.............. 27,474
16,127 France Telecom SA +............... 415,990
3,495 Hellenic Telecommunications
Organization SA.................. 41,931
1,082 Intracom SA....................... 6,932
25,774 Koninklijke (Royal) KPN NV +...... 202,232
319 Mobistar SA +..................... 16,687
70,722 Nokia Oyj......................... 1,275,276
259 NTT DoCoMo, Inc................... 558,134
47,657 PCCW, Ltd. +...................... 31,920
14,257 Portugal Telecom, SGPS SA......... 134,273
96,000 Singapore Telecommunications, Ltd. 99,695
5,000 Smartone Telecom.................. 4,862
1,700 Tandberg ASA +.................... 12,341
1,770 TDC A/S........................... 59,358
1,475 Tele2 AB, Class B +............... 75,343
29,575 Telecom Corp. of New Zealand, Ltd. 98,380
217,000 Telefonaktiebolaget LM Ericsson,
Class B +........................ 350,788
10,200 Telenor ASA....................... 61,483
25,068 Telia............................. 111,605
33,354 Telstra Corp., Ltd................ 119,076
55,970 TIM SpA........................... 288,074
2,195 Tower, Ltd. +..................... 1,769
1,009,487 Vodafone Group, PLC............... 2,320,880
2,273 Vodafone-Panafon SA............... 16,744
------------
7,054,034
------------
TEXTILE - PRODUCTS - 0.19%
5,461 Kuraray Co., Ltd.................. 40,690
17,000 Marubeni Corp..................... 27,941
6,042 Mitsubishi Rayon Co., Ltd......... 21,406
3,532 Nisshinbo Industries, Inc......... 17,448
10,277 Teijin, Ltd....................... 27,965
8,000 Texwinca Holdings, Ltd............ 5,874
17,992 Toray Industries, Inc............. 69,987
7,876 Toyobo Co......................... 15,390
------------
226,701
------------
TOBACCO - 0.61%
4,442 Altadis SA........................ 118,683
23,666 British American Tobacco, PLC..... 297,318
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
TOBACCO - Continued
10,736 Imperial Tobacco Group, PLC............. $ 196,908
10 Japan Tobacco, Inc...................... 67,114
260 Papastratos............................. 5,621
4,799 Swedish Match AB........................ 43,240
------------
728,884
------------
UTILITIES - COMMUNICATION - 2.11%
31,095 Deutsche Telekom AG +................... 516,691
77 Nippon Telegraph and
Telephone Corp......................... 369,128
402 Swisscom AG............................. 120,950
134,194 Telecom Italia SpA +.................... 388,813
94,239 Telecom Italia SpA RNC +................ 180,336
69,731 Telefonica SA........................... 903,526
2,781 Telekom Austria AG +.................... 32,297
2,305 TPI..................................... 12,251
------------
2,523,992
------------
UTILITIES - ELECTRIC - 2.26%
534 ACS Actividades Co...................... 23,070
3,537 Aggreko, PLC............................ 8,497
3,916 Alstom +................................ 8,081
9,200 Chubu Electric Power Co., Inc........... 184,395
27,000 CLP Holdings, Ltd....................... 131,457
4,012 Contact Energy, Ltd..................... 13,962
454 Electrabel.............................. 133,448
13,300 Endesa SA............................... 218,606
31,606 Enel SpA................................ 202,110
21,500 Hong Kong Electric Holdings, Ltd........ 86,402
11,291 Iberdrola SA............................ 194,932
15,540 International Power, PLC +.............. 30,375
9,900 Kansai Electric Power Co., Inc.......... 165,791
5,600 Kyushu Electric Power Co., Inc.......... 92,145
45,268 National Grid Transco, PLC.............. 306,376
65 Oesterreichisch Elektrizitatswirtschafts
AG, Class A............................ 6,640
9,073 Origin Energy, Ltd...................... 30,683
1,600 Public Power Corp....................... 36,357
5,449 RWE AG, Class A......................... 175,857
27,449 Scottish Power, PLC..................... 169,940
5,916 Tohoku Electric Power Co., Inc.......... 94,103
17,000 Tokyo Electric Power Co., Inc........... 352,372
2,753 Union Electric Fenosa SA................ 45,151
------------
2,710,750
------------
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
39
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
UTILITIES - GAS,
DISTRIBUTION - 0.27%
62,572 Centrica, PLC................... $ 203,932
51,400 Hong Kong & China Gas Co., Ltd.. 76,798
12,234 Snam Rete Gas SpA............... 48,143
------------
328,873
------------
WATER SERVICES - 0.69%
786 Aguas de Barcelona.............. 11,174
5,464 Kelda Group, PLC................ 42,415
1,410 Kurita Water Industries, Ltd.... 15,682
4,782 Severn Trent, PLC............... 59,500
7,500 Suez Lyonnaise des Eaux SA +.... 90
11,847 Suez SA......................... 205,384
7,732 United Utilities, PLC........... 65,846
4,695 United Utilities, PLC, Class A + 24,196
3,792 Vivendi Environnement........... 89,306
13,395 Vivendi Universal SA +.......... 307,753
------------
821,346
------------
TOTAL COMMON STOCK
(Cost $103,416,443)............. 100,370,873
------------
PREFERRED STOCK - 0.40%
AUTOMOTIVE - 0.10%
109 Porsche AG 0.64%:............... 56,369
1,780 Volkswagen AG 4.72%:............ 58,600
------------
114,969
------------
CHEMICAL - 0.05%
825 Henkel KGaA:.................... 61,298
------------
HOSPITAL SUPPLIES - 0.02%
363 Fresenius Medical Care AG 2.88%: 16,724
------------
HOUSEHOLD PRODUCTS - 0.02%
292 Wella AG 0.95%:................. 24,169
------------
LEISURE AND TOURISM - 0.01%
1,014 ProSiebenSat.1 Media AG 2.54%:.. 16,606
------------
MACHINERY - 0.02%
77 Schindler Holding AG 1.95% +:... 17,591
------------
MULTIMEDIA - 0.17%
29,062 News Corp., Ltd. 0.74%:......... 204,981
------------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
PAPER/FOREST PRODUCTS - 0.00%
4,131 Fletcher Challenge Forest, Ltd. +:...... $ 3,435
-------------
UTILITIES - ELECTRIC - 0.01%
542 RWE AG 4.58%:........................... 16,029
-------------
TOTAL PREFERRED STOCK
(Cost $439,929)......................... 475,802
-------------
WARRANTS - 0.00%
REAL ESTATE - 0.00%
900 Hopewell Highway Infrastructure, Ltd. +: 174
-------------
UTILITIES - ELECTRIC - 0.00%
3,916 Alstom +:............................... 1,409
-------------
TOTAL WARRANTS
(Cost $0)............................... 1,583
-------------
RIGHTS - 0.03%
COMMERCIAL SERVICES - 0.02%
15,864 ABB, Ltd. +:............................ 19,780
-------------
FINANCIAL SERVICES - 0.00%
19,635 AMP, Ltd. +/(3)/:....................... 1,166
-------------
FOODS - 0.01%
9,062 Ahold Finance USA, Inc. +:.............. 8,480
-------------
UTILITIES - ELECTRIC - 0.00%
3,916 Alstom +:............................... 2,114
-------------
WATER SERVICES - 0.00%
786 Aguas de Barcelona +:................... 95
-------------
TOTAL RIGHTS
(Cost $37,806).......................... 31,635
-------------
MARKET
PAR VALUE VALUE
- ----------------------------------------------------------------
CORPORATE BONDS - 0.03%
CONGLOMERATES - 0.01%
$ 8,000 TUI AG:
2.13% due 6/17/04................... $ 9,528
-------------
OIL AND GAS - 0.02%
Transco Holdings PLC:
5,000 7.00% due 12/16/24.................. 9,673
5,000 4.46% due 12/14/09.................. 8,618
5,000 4.19% due 12/14/22.................. 10,043
-------------
28,334
-------------
TOTAL CORPORATE BONDS
(Cost $28,670)........................ 37,862
-------------
SHORT-TERM INVESTMENTS - 0.39%
COLLECTIVE INVESTMENT POOL - 0.00%
100 Securities Lending Quality Trust/(2)/. 100
-------------
U.S. TREASURY BILLS - 0.39%
United States Treasury Bills:
60,000 0.90% due 12/11/03 @................ 59,985
400,000 0.89% due 1/15/04 @................. 399,555
10,000 0.86% due 12/4/03 @................. 9,999
-------------
469,539
-------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $469,639)....................... 469,639
-------------
REPURCHASE AGREEMENT - 14.47%
17,349,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of
$17,350,345 and collateralized by
Federal National Mtg. Assoc. Notes,
bearing interest at 1.50%, due
10/1/04 and having an approximate
value of $17,874,377 (Cost
$17,349,000) @....................... 17,349,000
-------------
TOTAL INVESTMENTS
(Cost $121,741,487) - 99.04%.......... $ 118,736,394
Other assets and liabilities,
net - 0.96%.......................... 1,151,648
-------------
NET ASSETS - 100%..................... $ 119,888,042
-------------
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITIES FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
40
+ Non-income producing
@ The security or a portion thereof represents collateral for open
futures contracts.
ADR - American Depository Receipt
/(1) /The security or a portion thereof is out on loan (see Note 2).
/(2)/ The security is purchased with the cash collateral received from
securities loaned.
/(3)/ Fair valued security (see Note 2).
OPEN FUTURES CONTRACTS
- ----------------------------------------------------------------------------------
Value as of Unrealized
Number of Expiration Value at November 30, Appreciation/
Contracts Description Date Trade Date 2003 Depreciation
- ----------------------------------------------------------------------------------
2 Long CAC40 10 Euro Index December 2003 $ 76,326 $ 82,368 $ 6,042
2 Long Hang Seng Index December 2003 151,543 158,856 7,313
200 Long MSCI Singapore Index December 2003 94,199 97,912 3,713
5 Long ENI SPA Share Index December 2003 365,391 369,737 4,346
200 Long Amsterdam Index December 2003 79,597 79,801 204
271 Long MSCI Pan Euro Index December 2003 4,983,073 5,044,884 61,811
8 Long SPI 200 Index December 2003 466,185 461,973 (4,212)
1 Long MIB30 Index December 2003 155,846 161,989 6,143
2 Long FTSE 100 Index December 2003 148,367 149,681 1,314
1 Long DAX Index December 2003 107,521 112,376 4,855
18 Long TOPIX Index December 2003 1,678,117 1,648,454 (29,663)
3 Long NIKKEI 225 Index December 2003 159,664 152,475 (7,189)
--------
$ 54,677
--------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
INTERNATIONAL GOVERNMENT BOND FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
41
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
CORPORATE BONDS - 1.96%
COLOMBIA - 0.34%
US$500,000 Bavaria SA,
8.88% due 11/1/10*........... $ 501,250
------------
UNITED STATES - 0.94%
(Yen)150,000,000 Citigroup Global Markets, Inc.,
0.80% due 10/30/08........... 1,370,110
------------
ITALY - 0.68%
US$1,000,000 Telecom Italia Capital,
5.25% due 11/15/13*.......... 994,462
------------
TOTAL CORPORATE BONDS
(Cost $2,865,546).............. 2,865,822
------------
GOVERNMENT BONDS - 92.60%
AUSTRIA - 0.49%
(Euro)610,000 Republic of Austria,
4.65% due 1/15/18............ 723,774
------------
BELGIUM - 1.58%
Kingdom of Belgium:
(Euro)250,000 5.50% due 3/28/28............ 317,503
(Euro)1,700,000 4.25% due 9/28/13............ 1,999,250
------------
2,316,753
------------
BRAZIL - 7.86%
Brazil Federative Republic:
US$1,550,000 14.50% due 10/15/09.......... 1,957,650
US$700,000 12.25% due 3/6/30............ 801,500
US$300,000 12.00% due 4/15/10........... 345,750
US$2,100,000 11.00% due 1/11/12........... 2,341,500
US$1,000,000 11.00% due 8/17/40........... 1,023,000
US$1,450,000 10.25% due 6/17/13........... 1,560,925
US$ 3,078,525 8.00% due 4/15/14............ 2,963,080
US$600,000 2.19% due 4/15/12 /(2)/...... 528,000
------------
11,521,405
------------
BULGARIA - 0.65%
National Republic of Bulgaria:
US$100,000 8.25% due 1/15/15............ 116,500
US$855,000 1.94% due 7/28/11 /(2)/...... 837,900
------------
954,400
------------
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------
CANADA - 1.48%
C$2,600,000 Government of Canada,
6.00% due 6/1/11.......... $ 2,172,235
-------------
CHILE - 0.35%
US$450,000 Republic of Chile,
6.88% due 4/28/09......... 506,430
-------------
COLOMBIA - 1.27%
Republic of Colombia:
US$750,000 11.75% due 2/25/20........ 864,375
US$900,000 10.75% due 1/15/13........ 990,000
-------------
1,854,375
-------------
DENMARK - 1.44%
Kingdom of Denmark:
DK1,250,000 7.00% due 11/10/24........ 251,852
DK10,500,000 6.00% due 11/15/09........ 1,860,219
-------------
2,112,071
-------------
ECUADOR - 0.84%
Republic of Ecuador:
US 1,000,000 7.00% due 8/15/30 */(1)/.. 700,000
US750,000 7.00% due 8/15/30 /(1)/... 525,000
-------------
1,225,000
-------------
FINLAND - 0.38%
Republic of Finland:
(Euro)254,563 7.25% due 4/18/06......... 333,204
(Euro)168,187 6.00% due 4/25/08......... 218,963
-------------
552,167
-------------
FRANCE - 5.08%
Government of France:
(Euro)1,000,000 5.50% due 4/25/10......... 1,295,660
(Euro)855,347 5.50% due 4/25/29......... 1,093,562
(Euro)4,055,000 5.00% due 1/12/06......... 5,062,106
-------------
7,451,328
-------------
GERMANY - 2.79%
(Euro)3,180,000 Federal Republic of Germany,
6.25% due 4/26/06......... 4,088,587
-------------
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
GREECE - 4.45%
Republic of Greece:
(Euro)3,220,000 8.60% due 3/26/08....... $ 4,606,122
(Euro)216,837 6.50% due 10/22/19...... 302,638
(Euro)1,216,837 6.00% due 5/19/10....... 1,610,619
------------
6,519,379
------------
ITALY - 6.87%
Republic of Italy:
(Euro)532,912 9.00% due 11/1/23....... 962,790
(Euro)2,000,000 7.75% due 11/1/06....... 2,690,773
(Euro)1,974,684 6.75% due 2/1/07........ 2,602,983
(Euro)3,110,000 4.75% due 2/1/13........ 3,811,727
------------
10,068,273
------------
JAPAN - 15.28%
Government of Japan:
(Yen)300,000,000 5.00% due 9/21/09....... 3,406,243
(Yen)670,000,000 3.30% due 6/20/06....... 6,601,747
(Yen)269,000,000 2.70% due 3/20/07....... 2,643,787
(Yen)206,000,000 1.80% due 6/21/10....... 1,995,197
(Yen)565,000,000 1.10% due 6/20/05....... 5,242,967
(Yen)127,000,000 1.10% due 3/21/11....... 1,168,352
(Yen)185,000,000 1.10% due 3/20/33....... 1,328,118
------------
22,386,411
------------
MEXICO - 6.76%
United Mexican States:
US$2,000,000 9.88% due 2/1/10........ 2,506,000
US$2,450,000 8.13% due 12/30/19...... 2,701,125
US$3,250,000 7.50% due 1/14/12....... 3,607,500
US$ 1,065,000 6.63% due 3/3/15........ 1,091,625
------------
9,906,250
------------
NEW ZEALAND - 0.22%
NZ$500,000 Government of New Zealand,
6.50% due 2/15/05........ 323,057
------------
PANAMA - 0.48%
Republic of Panama:
US$350,000 9.63% due 2/8/11........ 398,125
US$300,000 8.88% due 9/30/27....... 312,000
------------
710,125
------------
- --------------------------------------------------------------------------------
INTERNATIONAL GOVERNMENT BOND FUND - SCHEDULE OF INVESTMENTS (Unaudited) -
CONTINUED
November 30, 2003
42
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
PERU - 0.88%
Republic of Peru:
US$120,000 9.88% due 2/6/15........ $ 138,900
US$690,000 9.13% due 2/21/12....... 765,900
US$423,000 5.00% due 3/7/17........ 389,160
------------
1,293,960
------------
PHILIPPINES - 1.33%
Republic of Philippines:
US$250,000 10.63% due 3/16/25...... 256,875
US$200,000 9.88% due 1/15/19....... 198,000
US$ 1,500,000 9.00% due 2/15/13....... 1,500,000
------------
1,954,875
------------
RUSSIA - 7.17%
Russian Federation:
US$2,450,000 8.25% due 3/31/10....... 2,722,195
US$1,650,000 3.00% due 5/14/08....... 1,461,311
US$6,750,000 5.00% due 3/31/30 /(1)/. 6,324,075
------------
10,507,581
------------
SOUTH AFRICA - 0.51%
US$655,000 Republic of South Africa,
7.38% due 4/25/12........ 740,150
------------
SPAIN - 1.96%
(Euro)2,106,012 Kingdom of Spain,
6.00% due 1/31/29........ 2,878,145
------------
SWEDEN - 3.48%
SK35,500,000 Kingdom of Sweden,
6.50% due 5/5/08......... 5,106,036
------------
TURKEY - 2.01%
Republic of Turkey:
US$ 1,325,000 11.75% due 6/15/10...... 1,629,750
US$ 1,100,000 11.00% due 1/14/13...... 1,309,000
------------
2,938,750
------------
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------
UNITED KINGDOM - 2.87%
Government of United Kingdom:
(Pounds)100,000 8.00% due 6/7/21........... $ 232,046
(Pounds)985,250 5.75% due 12/7/09.......... 1,764,786
(Pounds)1,050,000 5.00% due 3/7/08........... 1,816,393
(Pounds)250,000 4.25% due 6/7/32........... 389,206
------------
4,202,431
------------
UNITED STATES - 12.61%
US$ 2,000,000 Federal Farm Credit Bks.,
5.55% due 3/26/08........... 2,165,116
Federal Home Loan Bank:
US$1,000,000 6.80% due 11/21/16......... 1,178,739
US$4,400,000 2.88% due 9/15/06.......... 4,414,454
US$4,642 Federal National Mtg. Assoc.,
6.50% due 3/1/17............ 4,898
United States Treasury Bonds:
US$2,270,000 8.00% due 11/15/21......... 3,042,066
US$1,000,000 6.38% due 8/15/27.......... 1,153,164
United States Treasury Notes:
US$3,775,000 5.88% due 11/15/05......... 4,055,471
US$1,790,000 5.00% due 2/15/11.......... 1,909,706
US$535,000 4.88% due 2/15/12.......... 563,297
------------
18,486,911
------------
VENEZUELA - 1.51%
Republic of Venezuela:
US$625,000 9.25% due 9/15/27.......... 518,750
US$1,821,426 1.88% due 12/18/07 /(2)/... 1,698,480
------------
2,217,230
------------
TOTAL GOVERNMENT BONDS
(Cost $124,040,280).......... 135,718,089
------------
SUPRANATIONAL - 2.51%
(Euro)2,000,000 European Investment Bank,
4.00% due 1/15/07 2,436,212
(Euro)1,000,000 Federal Home Loan Mtg. Corp.,
5.13% due 1/15/12........... 1,244,389
------------
TOTAL SUPRANATIONAL
(Cost $2,666,759)............ 3,680,601
------------
NUMBER MARKET
OF RIGHTS VALUE
- ----------------------------------------------------------------
RIGHTS - 0.0%+
500,000 United Mexican States /(3)/............ $ 1,250
500,000 United Mexican States /(3)/............ 750
500,000 United Mexican States /(3)/............ 300
------------
TOTAL RIGHTS
(Cost $0).............................. 2,300
------------
PAR
VALUE
- ------------
REPURCHASE AGREEMENTS - 0.99%
$ 182,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of $182,014
and collateralized by Federal National
Mtg. Assoc. Notes, bearing interest at
3.00%, due 6/15/04 and having an
approximate value of $189,246......... 182,000
1,265,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of $1,265,098
and collateralized by Federal National
Mtg. Assoc. Notes, bearing interest at
1.50%, due 10/1/04 and having an
approximate value of $1,304,333....... 1,265,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,447,000)...................... 1,447,000
------------
TOTAL INVESTMENTS
(Cost $131,019,585) - 98.06%........... 143,713,812
Other assets and liabilities,
net - 1.94%........................... 2,842,159
------------
NET ASSETS - 100%...................... $146,555,971
------------
- --------------------------------------------------------------------------------
INTERNATIONAL GOVERNMENT BOND FUND - SCHEDULE OF INVESTMENTS (Unaudited) -
CONTINUED
November 30, 2003
43
+Non-income producing
*Securities exempt from registration under rule 144A of the
Securities Act of 1933. These securities may be sold in transactions
exempt from registration, normally to qualified institutional buyers.
At November 30, 2003, the aggregate value of these securities was
$2,195,712 representing 1.50% of net assets.
/(1)/Security is a "step up" bond where the coupon rate increases or
steps up at a predetermined rate. Rate shown reflects the
increased rate.
/(2)/Security is a "floating rate" bond where the coupon rate
fluctuates. The rate reflected is as of November 30, 2003.
/(3)/Fair valued security (see Note 2).
OPEN FORWARD CURRENCY CONTRACTS
Gross
Contract to In Exchange Delivery Unrealized
Deliver For Date Appreciation
- -------------------------------------------------
SK 29,750,000 US$ 3,935,706 2/6/04 $5,911
------
Currency Legend
C$ Canadian Dollar
DK Danish Krone
(Euro)Euro Dollar
(Yen)Japanese Yen
NZ$New Zealand Dollar
SK Swedish Krona
(Pounds)United Kingdom Pound
US$United States Dollar
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
INTERNATIONAL GROWTH I FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
44
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
COMMON STOCK - 99.04%
ADVERTISING - 1.76%
263 Dentsu, Inc...................... $ 1,116,696
72,530 Publicis Groupe SA/(1)/.......... 2,292,921
352,867 WPP Group, PLC................... 3,384,830
------------
6,794,447
------------
AIRLINES - 0.74%
61,100 Ryanair Holdings, PLC ADR +/(1)/. 2,861,924
------------
APPAREL & PRODUCTS - 0.54%
13,150 Puma AG Rudolf Dassier Sport..... 2,074,638
------------
AUTOMOTIVE - 4.91%
121,100 Denso Corp....................... 2,261,329
789,000 Nissan Motor Co., Ltd./(1)/...... 9,020,025
20,000 NOK Corp......................... 734,146
51,000 Renault SA....................... 3,392,833
122,460 Volvo AB, Class B................ 3,545,450
------------
18,953,783
------------
BANKS - 14.14%
224,345 Alliance & Leicester, PLC........ 3,407,655
45,590 Alpha Bank AE.................... 1,202,231
176,557 Anglo Irish Bank Corp., PLC...... 2,393,614
177,000 Banco Popolare Di Verona e Novara 2,922,015
371,000 Bank of Yokohama, Ltd............ 1,571,876
112,940 Commerzbank AG/(1)/.............. 2,186,966
276,853 Credit Agricole SA............... 6,045,210
32,690 Depfa Bank, PLC/(1)/............. 3,753,337
33,886 Erste Bank Der Oesterreichischen
Sparkassen AG................... 3,874,396
63,299 ForeningsSparbanken AB........... 1,094,544
132,780 HBOS, PLC........................ 1,669,268
383,420 HSBC Holdings, PLC............... 5,817,298
5,590 Julius Baer Holding, Ltd......... 1,779,276
87,430 OTP Bank Rt. +................... 1,072,142
114,300 Societe Generale, Class A/(1)/... 9,160,379
560 Sumitomo Mitsui Financial
Group, Inc./(1)/................ 2,735,698
60,679 UBS AG........................... 3,912,121
------------
54,598,026
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------
BROADCASTING - 0.99%
329,760 British Sky Broadcasting Group,
PLC +......................... $ 3,827,617
------------
BUILDING MATERIALS - 0.85%
175,219 CRH, PLC....................... 3,279,416
------------
CHEMICAL - 1.14%
25,240 BASF AG........................ 1,249,423
83,735 Clariant AG +.................. 1,183,476
5,946,000 Sinopec Shanghai
Petrochemical Co., Ltd........ 1,952,961
------------
4,385,860
------------
COMMERCIAL SERVICES - 1.57%
315,172 ABB, Ltd. +.................... 1,547,486
1,247,360 Hays, PLC...................... 2,728,137
36,660 Linde AG/(1)/.................. 1,774,707
------------
6,050,330
------------
CONGLOMERATES - 5.15%
68,245 LVMH Moet Hennessy Louis
Vuitton SA/(1)/............... 4,703,830
648,000 Mitsubishi Corp................ 5,946,583
126,190 Siemens AG..................... 9,213,988
------------
19,864,401
------------
DRUGS - 6.59%
79,330 AstraZeneca, PLC............... 3,605,350
87,000 Chugai Pharmaceutical Co., Ltd. 1,175,729
10,240 Gedeon Richter, Ltd............ 1,092,506
281,730 GlaxoSmithKline, PLC........... 6,360,722
69,871 Roche Holdings AG-Genusschein.. 6,303,947
28,271 Sanofi-Synthelabo SA........... 1,916,375
82,512 Teva Pharmaceutical
Industries, Ltd. ADR.......... 4,970,185
------------
25,424,814
------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 9.71%
55,000 Canon, Inc..................... 2,541,204
109,068 Comverse Technology, Inc. +.... 2,097,378
83,200 Fanuc, Ltd./(1)/............... 4,892,553
46,000 JSR Corp....................... 997,580
17,800 Keyence Corp................... 3,999,982
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - Continued
143,024 Koninklijke Philips Electronics NV.. $ 4,064,742
49,890 LG Electronics, Inc................. 2,469,494
31,500 Murata Manufacturing Co., Ltd....... 1,780,441
334,000 NEC Corp./(1)/...................... 2,421,550
69,500 Nitto Denko Corp.................... 3,509,428
12,680 Samsung Electronics Co., Ltd........ 4,905,120
253,000 Sharp Corp./(1)/.................... 3,786,395
------------
37,465,867
------------
FINANCE COMPANIES - 0.58%
63,173 Kookmin Bank........................ 2,233,562
------------
FINANCIAL SERVICES - 9.08%
210,400 3I Group, PLC....................... 2,206,651
777,176 Abbey National, PLC................. 7,143,777
256,230 Credit Suisse First Boston USA, Inc. 8,512,888
82,270 Deutsche Boerse AG/(1)/............. 4,146,531
333,980 ING Groep NV........................ 7,160,375
128,505 Man Group, PLC...................... 3,158,018
37,100 ORIX Corp........................... 2,720,294
------------
35,048,534
------------
FOODS - 1.12%
27,630 Groupe Danone/(1)/.................. 4,309,382
------------
FREIGHT - 1.15%
233 AP Moller - Maersk A/S ADR.......... 1,671,692
210,540 Exel, PLC........................... 2,761,055
------------
4,432,747
------------
HOUSEHOLD PRODUCTS - 1.54%
271,749 Reckitt Benckiser, PLC.............. 5,938,820
------------
HUMAN RESOURCES - 1.34%
83,335 Adecco SA........................... 5,175,967
------------
INFORMATION PROCESSING -
SERVICES - 2.14%
294,909 T-Online International AG +......... 3,686,774
299,896 Wanadoo +/(1)/...................... 2,306,319
173 Yahoo Japan Corp. +/(1)/............ 2,274,757
------------
8,267,850
------------
- --------------------------------------------------------------------------------
INTERNATIONAL GROWTH I FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
45
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - 1.78%
34,010 SAP AG........................ $ 5,231,008
65,000 Trend Micro, Inc. +/(1)/...... 1,644,067
------------
6,875,075
------------
INSURANCE - 3.62%
308,081 AXA........................... 5,925,011
15,183 Munchener Ruckversicherungs AG 1,727,405
344,430 Skandia Forsakrings AB........ 1,163,769
28,411 Swiss Life Holding +/(1)/..... 5,170,637
------------
13,986,822
------------
LEISURE AND TOURISM - 1.18%
108,861 Accor SA/(1)/................. 4,571,209
------------
MACHINERY - 0.69%
74,960 Atlas Copco AB, Series A...... 2,681,754
------------
MEDICAL TECHNOLOGY - 0.37%
186,360 Smith & Nephew PLC............ 1,432,995
------------
METALS - 0.86%
259,790 BHP Billiton, Ltd............. 2,120,191
76,561 China Steel Corp. GDR +*...... 1,213,492
------------
3,333,683
------------
MISCELLANEOUS - 0.38%
124,500 Konica Corp................... 1,473,333
------------
OIL AND GAS - 4.20%
905,590 BP, PLC....................... 6,327,917
728,000 CNOOC, Ltd.................... 1,500,306
41,598 E. ON AG...................... 2,360,610
5,465,000 PetroChina Co., Ltd./(1)/..... 2,023,748
87,170 YUKOS ADR/(1)/................ 4,009,820
------------
16,222,401
------------
OPTICAL INSTRUMENTS &
LENSES - 0.32%
21,330 Alcon, Inc.................... 1,240,766
------------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
PUBLISHING - 0.56%
248,970 United Business Media, PLC....... $ 2,149,176
------------
RAILROADS & EQUIPMENT - 0.56%
465,000 Tokyu Corp./(1)/................. 2,161,211
------------
REAL ESTATE - 1.70%
246,000 Cheung Kong Holdings, Ltd........ 1,940,750
204,000 Mitsui Fudosan Co., Ltd./(1)/.... 1,778,935
48,300 Pioneer Corp..................... 1,234,899
198,000 Sun Hung Kai Properties, Ltd..... 1,593,946
------------
6,548,530
------------
RETAIL - 5.08%
80,360 Compagnie Financiere Richemont AG 1,991,497
26,100 Fast Retailing Co., Ltd.......... 1,539,570
54,500 Hoya Corp./(1)/.................. 4,777,428
279,200 Marui Co., Ltd./(1)/............. 3,428,973
102,653 Metro AG/(1)/.................... 4,402,896
120,300 Next, PLC........................ 2,309,995
272,850 Tesco, PLC....................... 1,168,847
------------
19,619,206
------------
SEMICONDUCTORS - 0.80%
43,800 Tokyo Electron, Ltd.............. 3,099,575
------------
TELECOMMUNICATIONS - 9.31%
226,812 Alcatel SA +/(1)/................ 2,963,362
95,220 America Movil SA de CV ADR....... 2,441,441
159,490 France Telecom SA +/(1)/......... 4,113,985
384 KDDI Corp........................ 2,002,137
2,097,749 mmO2, PLC +...................... 2,718,508
25,768 Mobile Telesystems ADR/(1)/...... 2,125,860
315,740 MTN Group, Ltd. +................ 1,290,752
190,160 Nokia Corp. ADR.................. 3,419,077
651 NTT DoCoMo, Inc.................. 1,402,876
66,558 STMicroelectronics NV (NY)....... 1,854,971
48,728 Tele2 AB, Class B +/(1)/......... 2,489,021
816,430 Telefonaktiebolaget LM Ericsson,
Class B +....................... 1,319,789
3,390,832 Vodafone Group, PLC.............. 7,795,754
------------
35,937,533
------------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
UTILITIES - COMMUNICATION - 1.91%
270,151 Deutsche Telekom AG +............ $ 4,488,974
223,580 Telefonica SA.................... 2,896,993
------------
7,385,967
------------
UTILITIES - ELECTRIC - 0.68%
1,618,000 Huaneng Power International, Inc. 2,396,651
10,280 Public Power Corp................ 233,595
------------
2,630,246
------------
TOTAL COMMON STOCK
(Cost $329,009,095).............. 382,337,467
------------
PREFERRED STOCK - 0.50%
AUTOMOTIVE - 0.50%
3,710 Porsche AG 0.64%................. 1,918,635
------------
TOTAL PREFERRED STOCK
(Cost $1,664,443)................ 1,918,635
------------
RIGHTS - 0.10%
COMMERCIAL SERVICES - 0.10%
315,172 ABB, Ltd. +/(1)/................. 392,973
------------
TOTAL RIGHTS
(Cost $351,449).................. 392,973
------------
- --------------------------------------------------------------------------------
INTERNATIONAL GROWTH I FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
46
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 18.00%
COLLECTIVE INVESTMENT POOL
$69,476,745 Securities Lending Quality Trust/(2)/
(Cost $69,476,745)...................... $ 69,476,745
------------
REPURCHASE AGREEMENT - 0.43%
1,656,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.93%, dated
11/28/03, to be repurchased 12/1/03
in the amount of $1,656,128 and
collateralized by Federal Home Loan
Bank Notes, bearing interest at
3.70%, due 7/28/09 and having an
approximate value of $1,691,500
(Cost $1,656,000)...................... 1,656,000
------------
TOTAL INVESTMENTS
(Cost $402,157,732) - 118.07%........... 455,781,820
Other assets and liabilities,
net - (18.07)%......................... (69,745,840)
------------
NET ASSETS - 100%....................... $386,035,980
------------
+ Non-income producing
* Securities exempt from registration under rule 144A of the
Securities Act of 1933. These securities may be sold in
transactions exempt from registration, normally to qualified
institutional buyers. At November 30, 2003, the aggregate value
of these securities was $1,213,492 representing 0.31% of net
assets.
ADR - American Depository Receipt
GDR - Global Depository Receipt
/(1)/ The security or a portion thereof is out on loan (see Note 2).
/(2)/ The security is purchased with the cash collateral received from
securities loaned.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
47
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
COMMON STOCK - 97.76%
AEROSPACE/DEFENSE - 1.97%
49,400 Northrop Grumman Corp............... $ 4,575,922
54,400 United Technologies Corp............ 4,662,080
------------
9,238,002
------------
AIRLINES - 1.48%
385,400 Southwest Airlines Co............... 6,929,492
------------
APPAREL & PRODUCTS - 1.76%
207,600 Coach, Inc. +....................... 8,270,784
------------
BANKS - 1.19%
73,875 Bank of America Corp................ 5,572,391
------------
BEVERAGES - 2.83%
202,600 Coca-Cola Bottling Co............... 9,420,900
80,030 PepsiCo, Inc........................ 3,851,044
------------
13,271,944
------------
BUILDING MATERIALS - 1.03%
177,900 Masco Corp.......................... 4,838,880
------------
COMMERCIAL SERVICES - 0.97%
118,600 Paychex, Inc........................ 4,562,542
------------
CONGLOMERATES - 4.10%
64,100 3M Co............................... 5,066,464
407,500 General Electric Co................. 11,683,025
108,600 Tyco International, Ltd............. 2,492,370
------------
19,241,859
------------
DRUGS - 6.86%
100,000 Abbott Laboratories................. 4,420,000
202,600 Bristol-Myers Squibb Co............. 5,338,510
49,400 Merck & Co., Inc.................... 2,005,640
466,823 Pfizer, Inc......................... 15,661,911
79,100 Teva Pharmaceutical Industries, Ltd.
ADR/(1)/........................... 4,764,660
------------
32,190,721
------------
FINANCE COMPANIES - 1.76%
138,300 Capital One Financial Corp./(1)/.... 8,259,276
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
FINANCIAL SERVICES - 7.99%
111,200 American Express Co.................. $ 5,082,952
301,659 Citigroup, Inc....................... 14,190,039
54,400 Goldman Sachs Group, Inc............. 5,226,752
118,600 Merrill Lynch & Co., Inc............. 6,730,550
113,600 Morgan Stanley....................... 6,279,808
------------
37,510,101
------------
FREIGHT - 2.37%
88,900 FedEx Corp........................... 6,463,030
64,200 United Parcel Service, Inc., Class B. 4,671,834
------------
11,134,864
------------
HEALTHCARE - 0.91%
59,300 Anthem, Inc. +....................... 4,276,716
------------
HOSPITAL SUPPLIES - 2.93%
69,200 Boston Scientific Corp. +............ 2,483,588
108,200 Johnson & Johnson.................... 5,333,178
93,900 St. Jude Medical, Inc. +............. 5,947,626
------------
13,764,392
------------
HOUSEHOLD PRODUCTS - 2.89%
69,200 Avon Products, Inc................... 4,740,200
69,200 Estee Lauder Cos., Inc., Class A..... 2,629,600
64,300 Procter & Gamble Co.................. 6,188,232
------------
13,558,032
------------
INFORMATION PROCESSING -
HARDWARE - 4.27%
255,125 Dell, Inc. +......................... 8,801,813
168,000 Hewlett-Packard Co................... 3,643,920
84,000 International Business Machines Corp. 7,605,360
------------
20,051,093
------------
INFORMATION PROCESSING -
SERVICES - 4.17%
98,800 eBay, Inc. +......................... 5,517,980
444,800 EMC Corp. +.......................... 6,111,552
138,400 Symantec Corp. +..................... 4,543,672
79,100 Yahoo!, Inc. +....................... 3,399,718
------------
19,572,922
------------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - 5.74%
395,400 BEA Systems, Inc. +................ $ 5,021,580
582,900 Microsoft Corp..................... 14,980,530
182,900 VERITAS Software Corp. +........... 6,954,041
------------
26,956,151
------------
INSURANCE - 2.27%
3,810 Berkshire Hathaway, Inc., Class B + 10,671,810
------------
LEISURE AND TOURISM - 3.35%
148,300 Applebee's International, Inc...... 5,740,693
138,400 Carnival Corp...................... 4,870,296
200,000 McDonald's Corp.................... 5,126,000
------------
15,736,989
------------
MACHINERY - 2.06%
79,100 Cooper Industries, Ltd., Class A... 4,243,715
89,000 Deere & Co......................... 5,449,470
------------
9,693,185
------------
MEDICAL - BIOMEDICAL/GENE - 2.39%
123,044 Amgen, Inc. +...................... 7,076,261
89,000 Genzyme Corp. +.................... 4,159,860
------------
11,236,121
------------
MEDICAL TECHNOLOGY - 1.02%
89,000 Chiron Corp. +..................... 4,772,180
------------
METALS - 1.19%
170,000 Alcoa, Inc......................... 5,577,700
------------
MULTIMEDIA - 2.07%
131,304 Viacom, Inc., Class B.............. 5,162,873
197,700 Walt Disney Co..................... 4,564,893
------------
9,727,766
------------
OIL AND GAS - 2.94%
64,300 Apache Corp........................ 4,616,740
182,900 Exxon Mobil Corp................... 6,615,493
69,200 Smith International, Inc. +........ 2,597,768
------------
13,830,001
------------
RETAIL - 8.07%
89,000 Amazon.Com, Inc. +................. 4,811,340
60,000 Bed Bath & Beyond, Inc. +.......... 2,534,400
173,000 Home Depot, Inc.................... 6,359,480
118,600 Target Corp........................ 4,592,192
168,000 Tiffany & Co....................... 7,618,800
215,000 Wal-Mart Stores, Inc............... 11,962,600
------------
37,878,812
------------
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
48
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------------------
SEMICONDUCTORS - 9.42%
444,800 Applied Materials, Inc. +......................... $ 10,808,640
454,698 Intel Corp........................................ 15,200,554
108,700 Maxim Integrated Products, Inc.................... 5,661,096
138,400 QLogic Corp. +.................................... 7,865,272
158,200 Texas Instruments, Inc............................ 4,708,032
------------
44,243,594
------------
TELECOMMUNICATIONS - 7.76%
760,800 Cisco Systems, Inc. +............................. 17,239,728
375,400 Nextel Communications, Inc.,
Class A +........................................ 9,508,882
257,000 Nokia Corp. ADR................................... 4,620,860
217,200 Vodafone Group, PLC ADR........................... 5,071,620
------------
36,441,090
------------
TOTAL COMMON STOCK
(Cost $406,034,695)............................... 459,009,410
------------
PAR
VALUE
- -----------
SHORT-TERM INVESTMENTS - 2.02%
COLLECTIVE INVESTMENT POOL
$9,462,015 Securities Lending Quality Trust/(2)/
(Cost $9,462,015)................................. 9,462,015
------------
REPURCHASE AGREEMENT - 0.53%
2,492,000 State Street Bank Joint Repurchase
Agreement (see Note 2)
(Cost $2,492,000)................................ 2,492,000
------------
TOTAL INVESTMENTS
(Cost $417,988,710) - 100.31%..................... 470,963,425
Other assets and liabilities,
net - (0.31)%.................................... (1,436,772)
------------
NET ASSETS - 100%................................. $469,526,653
------------
+Non-income producing
ADR - American Depository Receipt
/(1)/The security or a portion thereof is out
on loan (see Note 2).
/(2)/The security is purchased with the
cash collateral received from securities
loaned.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
49
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------------
COMMON STOCK - 96.16%
ADVERTISING - 0.29%
76,200 Catalina Marketing Corp. +............... $ 1,411,986
126,600 Harte-Hanks, Inc......................... 2,725,698
---------------
4,137,684
---------------
AEROSPACE/DEFENSE - 0.68%
137,500 L-3 Communications
Holdings, Inc. +/(1)/................... 6,469,375
14,900 Sequa Corp., Class A +................... 711,475
114,500 Titan Corp. +............................ 2,444,575
---------------
9,625,425
---------------
AIRLINES - 0.45%
38,000 Alaska Air Group, Inc. +/(1)/............ 1,092,880
144,600 JetBlue Airways Corp. +/(1)/............. 5,272,116
---------------
6,364,996
---------------
APPAREL & PRODUCTS - 2.22%
139,200 Abercrombie and Fitch Co.,
Class A +............................... 4,085,520
101,400 American Eagle Outfitters, Inc. +/(1)/... 1,870,830
123,200 Chicos FAS, Inc. +....................... 4,728,416
259,100 Coach, Inc. +............................ 10,322,544
97,100 Payless ShoeSource, Inc. +/(1)/.......... 1,250,648
109,200 Ross Stores, Inc......................... 5,981,976
50,800 Timberland Co., Class A +................ 2,744,216
76,800 Unifi, Inc. +............................ 393,984
---------------
31,378,134
---------------
APPLIANCES/FURNISHINGS - 0.74%
79,500 Furniture Brands International, Inc./(1)/ 2,090,850
103,900 Herman Miller, Inc....................... 2,706,595
82,600 HON Industries, Inc...................... 3,509,674
51,100 Lancaster Colony Corp.................... 2,133,425
---------------
10,440,544
---------------
AUTOMOTIVE - 2.17%
97,700 ArvinMeritor, Inc........................ 1,941,299
38,600 Borg-Warner, Inc......................... 3,049,400
43,700 Carlisle Cos., Inc....................... 2,571,745
147,600 Carmax, Inc. +........................... 4,860,468
61,900 Donaldson Co., Inc....................... 3,623,007
95,800 Lear Corp. +............................. 5,665,612
48,700 Modine Manufacturing Co.................. 1,242,337
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
AUTOMOTIVE - Continued
109,200 SPX Corp. +......................... $ 5,929,560
38,000 Superior Industries
International, Inc./(1)/........... 1,690,240
---------------
30,573,668
---------------
AUTO - REPLACEMENT PARTS - 0.24%
76,900 O'Reilly Automotive, Inc. +......... 3,346,688
---------------
BANKS - 6.61%
104,900 Associated Banc-Corp................ 4,416,290
83,700 Bank of Hawaii Corp................. 3,460,995
229,800 Banknorth Group, Inc................ 7,530,546
69,100 City National Corp.................. 4,371,266
177,300 Colonial BancGroup, Inc............. 2,962,683
106,800 Commerce Bancorp, Inc./(1)/......... 5,519,424
179,200 Compass Bancshares, Inc............. 7,008,512
110,600 First American Corp., Class A....... 3,273,760
120,500 FirstMerit Corp..................... 3,264,345
74,200 Greater Bay Bancorp/(1)/............ 1,929,200
222,600 Hibernia Corp., Class A............. 5,086,410
170,600 M&T Bank Corp. @.................... 16,014,222
113,300 Mercantile Bankshares Corp.......... 5,036,185
291,700 National Commerce
Financial Corp..................... 8,161,766
69,600 Provident Financial Group, Inc./(1)/ 2,154,816
49,300 Silicon Valley Bancshares +/(1)/.... 1,810,789
102,000 TCF Financial Corp.................. 5,379,480
46,700 Westamerica Bancorp................. 2,465,760
94,000 Wilmington Trust Corp............... 3,308,800
---------------
93,155,249
---------------
BANKS - REGIONAL - 0.21%
73,400 Cullen/Frost Bankers, Inc........... 2,949,212
---------------
BEVERAGES - 0.59%
149,000 Constellation Brands, Inc.,
Class A +.......................... 5,141,990
205,400 Pepsiamericas, Inc.................. 3,222,726
---------------
8,364,716
---------------
BROADCASTING - 0.68%
77,500 Emmis Communications Corp.,
Class A +/(1)/..................... 1,756,150
73,200 Entercom Communications Corp. +..... 3,381,840
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------------
BROADCASTING - Continued
144,300 Westwood One, Inc. +.................... $ 4,380,948
---------------
9,518,938
---------------
BUILDING MATERIALS - 0.93%
108,200 Fastenal Co./(1)/....................... 5,375,376
69,800 Martin Marietta Materials, Inc./(1)/.... 2,971,386
164,800 RPM International, Inc.................. 2,493,424
56,700 York International Corp................. 2,265,165
---------------
13,105,351
---------------
CHEMICAL - 1.87%
104,700 Airgas, Inc............................. 2,029,086
58,800 Albemarle Corp./(1)/.................... 1,664,040
88,000 Cabot Corp.............................. 2,560,800
35,100 Cabot Microelectronics Corp. +/(1)/..... 1,863,459
158,600 Crompton Corp........................... 959,530
55,700 Cytec Industries, Inc. +................ 2,019,125
58,100 Ferro Corp./(1)/........................ 1,318,870
50,300 FMC Corp. +............................. 1,505,982
73,400 Lubrizol Corp........................... 2,211,542
247,900 Lyondell Chemical Co./(1)/.............. 3,678,836
28,700 Minerals Technologies, Inc./(1)/........ 1,534,015
83,300 Olin Corp............................... 1,516,893
72,000 Valspar Corp............................ 3,474,000
---------------
26,336,178
---------------
COAL - 0.33%
75,000 Arch Coal, Inc.......................... 1,986,750
77,200 Peabody Energy Corp..................... 2,601,640
---------------
4,588,390
---------------
COMMERCIAL SERVICES - 1.10%
68,300 Dycom Industries, Inc. +................ 1,731,405
60,600 Plexus Corp. +.......................... 1,075,650
166,300 Quanta Services, Inc. +/(1)/............ 1,272,195
117,100 Rent-A-Center, Inc. +................... 3,804,579
64,400 Rollins, Inc./(1)/...................... 1,434,832
87,800 Sotheby's Holdings, Inc., Class A +/(1)/ 1,018,480
109,700 United Rentals, Inc. +.................. 2,031,644
126,100 Viad Corp............................... 3,100,799
---------------
15,469,584
---------------
- --------------------------------------------------------------------------------
MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
50
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------
CONGLOMERATES - 0.12%
65,900 Trinity Industries, Inc./(1)/.......... $ 1,710,105
---------------
DRUGS - 2.84%
95,200 Barr Laboratories, Inc. +.............. 7,857,808
279,100 IVAX Corp. +........................... 5,986,695
382,650 Mylan Laboratories, Inc. @............. 9,688,698
99,800 Perrigo Co./(1)/....................... 1,505,982
48,200 Pharmaceutical Resources, Inc. +....... 3,498,356
120,800 Sepracor, Inc. +/(1)/.................. 2,993,424
169,700 Sicor, Inc. +.......................... 4,690,508
118,500 Valeant Pharmaceuticals
International/(1)/.................... 2,833,335
109,800 Vertex Pharmaceuticals, Inc. +/(1)/.... 959,652
---------------
40,014,458
---------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 3.12%
47,200 Ametek, Inc............................ 2,232,560
143,700 Arrow Electronics, Inc. +.............. 3,359,706
170,400 Avnet, Inc. +.......................... 3,634,632
84,400 Commscope, Inc. +...................... 1,347,024
120,500 Energizer Holdings, Inc. +............. 4,565,745
109,000 Gentex Corp./(1)/...................... 4,593,260
53,500 Hawaiian Electric Industries, Inc./(1)/ 2,465,815
84,700 Hubbell, Inc., Class B................. 3,726,800
123,200 Kemet Corp. +.......................... 1,626,240
55,200 Newport Corp. +/(1)/................... 940,056
141,000 Polycom, Inc. +........................ 2,794,620
70,200 Silicon Laboratories, Inc. +........... 3,444,714
56,400 Teleflex, Inc.......................... 2,580,864
48,500 Varian, Inc. +......................... 1,967,160
227,700 Vishay Intertechnology, Inc. +/(1)/.... 4,783,977
---------------
44,063,173
---------------
FERTILIZERS - 0.08%
164,200 IMC Global, Inc........................ 1,193,734
---------------
FINANCIAL SERVICES - 4.42%
113,400 A.G. Edwards, Inc...................... 4,166,316
99,300 American Financial Group, Inc./(1)/.... 2,434,836
222,900 AmeriCredit Corp. +/(1)/............... 2,998,005
516,700 E*TRADE Group, Inc. +.................. 5,595,861
98,600 Eaton Vance Corp./(1)/................. 3,584,110
79,200 IndyMac Bancorp, Inc................... 2,344,320
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------
FINANCIAL SERVICES - Continued
67,500 Investment Technology
Group, Inc. +......................... $ 1,194,750
93,000 Investors Financial Services Corp./(1)/ 3,429,840
84,900 LaBranche & Co., Inc./(1)/............. 702,123
93,800 Legg Mason, Inc........................ 7,476,798
278,450 New York Community
Bancorp, Inc.......................... 10,817,783
69,300 Raymond James Financial, Inc........... 2,561,328
416,500 Sovereign Bancorp, Inc................. 9,437,890
118,000 Waddell & Reed Financial, Inc.,
Class A/(1)/.......................... 2,606,620
65,100 Webster Financial Corp................. 2,984,835
---------------
62,335,415
---------------
FOODS - 2.21%
220,800 Dean Foods Co. +....................... 7,244,448
197,300 Hormel Foods Corp...................... 5,289,613
63,900 Interstate Bakeries Corp............... 1,006,425
66,900 Sensient Technologies Corp............. 1,261,065
155,600 Smithfield Foods, Inc. +............... 3,648,820
71,300 Smucker, J.M. Co....................... 3,274,809
73,900 Tootsie Roll Industries, Inc........... 2,597,585
499,700 Tyson Foods, Inc., Class A............. 6,820,905
---------------
31,143,670
---------------
FREIGHT - 1.88%
59,100 Alexander & Baldwin, Inc............... 1,859,286
120,600 CH Robinson Worldwide, Inc............. 4,743,198
70,700 CNF, Inc............................... 2,362,794
67,300 EGL, Inc. +............................ 1,236,301
149,300 Expeditors International of
Washington, Inc....................... 5,828,672
70,000 GATX Corp./(1)/........................ 1,701,000
112,900 JB Hunt Transport Services, Inc. +..... 2,953,464
49,600 Overseas Shipholding Group, Inc./(1)/.. 1,396,240
119,000 Swift Transportation Co., Inc. +....... 2,370,480
113,975 Werner Enterprises, Inc................ 2,068,646
---------------
26,520,081
---------------
GAS & PIPELINE UTILITIES - 0.29%
118,100 Questar Corp........................... 4,029,572
---------------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
HEALTHCARE - 4.20%
131,200 AdvancePCS +....................... $ 7,302,592
131,100 Apogent Technologies, Inc. +....... 3,032,343
78,000 Apria Healthcare Group, Inc. +/(1)/ 2,114,580
140,500 Community Health
Systems, Inc. +/(1)/.............. 3,804,740
87,800 Covance, Inc. +.................... 2,294,214
112,700 Dentsply International, Inc........ 5,074,881
88,300 Edwards Lifesciences Corp. +/(1)/.. 2,659,596
135,300 First Health Group Corp. +......... 2,773,650
140,500 Lincare Holdings, Inc. +........... 4,191,115
144,500 Omnicare, Inc...................... 5,768,440
118,300 Oxford Health Plans, Inc. +/(1)/... 5,183,906
97,200 Patterson Dental Co. +/(1)/........ 6,619,320
98,800 Steris Corp. +..................... 2,285,244
82,600 Universal Health Services, Inc.,
Class B........................... 4,441,402
68,500 VISX, Inc. +/(1)/.................. 1,676,880
---------------
59,222,903
---------------
HEAVY DUTY TRUCKS/PARTS - 0.15%
27,700 Bandag, Inc........................ 1,128,775
68,400 Federal Signal Corp................ 1,036,260
---------------
2,165,035
---------------
HOME BUILDERS - 2.05%
221,700 DR Horton, Inc..................... 9,688,290
42,700 Hovnanian Enterprises, Inc.,
Class A +/(1)/.................... 3,939,075
112,400 Lennar Corp........................ 11,003,960
104,200 Toll Brothers, Inc. +.............. 4,314,922
---------------
28,946,247
---------------
HOSPITAL MANAGEMENT - 0.38%
55,300 LifePoint Hospitals, Inc. +/(1)/... 1,651,258
107,300 Triad Hospitals, Inc. +............ 3,712,580
---------------
5,363,838
---------------
HOSPITAL SUPPLIES - 1.45%
86,900 Beckman Coulter, Inc............... 4,444,935
62,000 Henry Schein, Inc. +............... 4,171,980
88,100 Hillenbrand Industries, Inc........ 5,056,940
97,400 Varian Medical Systems, Inc. +..... 6,721,574
---------------
20,395,429
---------------
- --------------------------------------------------------------------------------
MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
51
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
HOUSEHOLD PRODUCTS - 0.61%
57,500 Church & Dwight Co., Inc........... $ 2,329,325
136,800 Dial Corp.......................... 3,540,384
45,100 Scotts Co., Class A +/(1)/......... 2,682,999
---------------
8,552,708
---------------
HUMAN RESOURCES - 0.60%
50,800 Kelly Services, Inc., Class A/(1)/. 1,446,784
53,700 Korn/Ferry International +/(1)/.... 538,611
110,800 Manpower, Inc...................... 5,200,952
145,400 MPS Group, Inc. +.................. 1,337,680
---------------
8,524,027
---------------
INFORMATION PROCESSING -
HARDWARE - 1.87%
66,100 Avocent Corp. +.................... 2,530,969
103,400 Diebold, Inc....................... 5,485,370
50,700 Imation Corp./(1)/................. 1,721,265
252,400 Quantum Corp. +/(1)/............... 797,584
110,900 Sandisk Corp. +/(1)/............... 8,967,374
156,200 Storage Technology Corp. +......... 3,936,240
80,800 Tech Data Corp. +.................. 2,976,672
---------------
26,415,474
---------------
INFORMATION PROCESSING -
SERVICES - 5.40%
525,200 3Com Corp. +....................... 3,928,496
189,500 Affiliated Computer Services, Inc.,
Class A + @....................... 9,501,530
170,900 BISYS Group, Inc. +................ 2,549,828
387,100 Cadence Design Systems, Inc. +..... 6,476,183
211,300 Ceridian Corp. +................... 4,485,899
94,400 Certegy, Inc....................... 3,266,240
113,000 CheckFree Corp. +/(1)/............. 3,121,060
74,600 CSG Systems International, Inc. +.. 864,614
164,900 DST Systems, Inc. +................ 6,154,068
105,300 Dun & Bradstreet Corp. +........... 5,080,725
68,700 Fair Issac & Co., Inc.............. 3,789,492
181,300 Gartner, Inc., Class A +/(1)/...... 2,342,396
70,900 Internet Security Systems, Inc. +.. 1,203,173
125,300 Jack Henry & Associates, Inc./(1)/. 2,596,216
89,300 Macromedia, Inc. +................. 1,831,543
163,300 Mcdata Corp., Class A +/(1)/....... 1,737,512
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - Continued
98,200 Mentor Graphics Corp. +/(1)/......... $ 1,438,630
73,600 National Instruments Corp./(1)/...... 3,331,872
228,800 Networks Associates, Inc. +.......... 3,063,632
97,100 Reynolds and Reynolds Co.,
Class A............................. 2,693,554
221,500 Synopsys, Inc. +..................... 6,636,140
---------------
76,092,803
---------------
INFORMATION PROCESSING -
SOFTWARE - 1.54%
121,700 Acxiom Corp. +....................... 2,021,437
46,300 Advent Software, Inc. +/(1)/......... 810,713
82,900 Ascential Software Corp. +........... 2,097,370
122,600 ChoicePoint, Inc. +.................. 4,689,450
90,900 Keane, Inc. +/(1)/................... 1,281,690
76,900 Retek, Inc. +/(1)/................... 798,222
83,700 RSA Security, Inc. +/(1)/............ 1,230,390
149,600 SEI Investments Co................... 4,196,280
135,200 Sybase, Inc. +....................... 2,771,600
50,800 Transaction Systems Architects, Inc.,
Class A +........................... 999,744
120,000 Wind River Systems, Inc. +........... 781,200
---------------
21,678,096
---------------
INSURANCE - 6.62%
75,700 Allmerica Financial Corp. +.......... 2,070,395
55,700 AmerUs Group Co./(1)/................ 2,002,415
129,100 Arthur J. Gallagher & Co............. 4,040,830
114,800 Astoria Financial Corp............... 4,291,224
97,500 Brown & Brown, Inc./(1)/............. 3,066,375
85,300 Coventry Health Care, Inc. +......... 5,109,470
79,100 Everest Reinsurance Group, Ltd....... 6,501,229
209,600 Fidelity National Financial, Inc..... 7,405,168
195,900 GreenPoint Financial Corp............ 6,656,682
90,800 HCC Insurance Holdings, Inc.......... 2,824,788
165,800 Health Net, Inc. +................... 5,421,660
61,000 Horace Mann Educators Corp........... 824,110
101,000 Leucadia National Corp............... 4,292,500
66,900 Mony Group, Inc./(1)/................ 2,108,688
86,900 Ohio Casualty Corp. +/(1)/........... 1,478,169
172,300 Old Republic International Corp...... 6,385,438
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
INSURANCE - Continued
59,000 PacifiCare Health Systems, Inc.,
Class A +......................... $ 3,841,490
133,900 PMI Group, Inc..................... 4,985,097
98,300 Protective Life Corp............... 3,229,155
133,500 Radian Group, Inc./(1)/............ 6,588,225
41,500 StanCorp Financial Group, Inc...... 2,596,240
96,300 Unitrin, Inc....................... 3,643,029
118,600 W.R. Berkley Corp.................. 4,050,190
---------------
93,412,567
---------------
LEISURE AND TOURISM - 3.39%
125,700 Activision, Inc. +................. 1,923,210
79,100 Applebee's International, Inc...... 3,061,961
49,500 Bob Evans Farms, Inc............... 1,527,570
91,300 Boyd Gaming Corp................... 1,493,668
138,500 Brinker International, Inc. +...... 4,509,560
107,800 Callaway Golf Co./(1)/............. 1,771,154
69,400 CBRL Group, Inc.................... 2,862,750
73,400 Cheesecake Factory, Class A +/(1)/. 3,182,624
135,300 Extended Stay America, Inc......... 2,002,440
82,800 GTECH Holdings Corp................ 4,120,128
75,900 International Speedway Corp.,
Class B........................... 3,262,182
69,500 Macrovision Corp. +................ 1,591,550
84,600 Mandalay Resort Group.............. 3,633,570
106,800 Outback Steakhouse, Inc............ 4,779,300
430,600 Park Place Entertainment Corp. +... 4,504,076
91,300 Ruby Tuesday, Inc.................. 2,658,656
132,100 Six Flags, Inc. +/(1)/............. 891,675
---------------
47,776,074
---------------
MACHINERY - 1.84%
107,200 AGCO Corp. +....................... 1,843,840
78,800 Flowserve Corp. +.................. 1,676,864
65,300 Graco, Inc......................... 2,517,315
59,200 Granite Construction, Inc./(1)/.... 1,305,360
79,100 Jacobs Engineering Group, Inc. +... 3,633,854
50,500 Kennametal, Inc.................... 1,941,220
48,100 Nordson Corp....................... 1,563,731
70,400 Pentair, Inc....................... 3,069,440
75,500 Precision Castparts Corp........... 3,059,260
26,300 Tecumseh Products Co., Class A/(1)/ 1,082,508
- --------------------------------------------------------------------------------
MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
52
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
MACHINERY - Continued
67,300 Zebra Technologies Corp.,
Class A +........................ $ 4,278,261
---------------
25,971,653
---------------
MEDICAL - BIOMEDICAL/GENE - 0.61%
426,000 Millennium Pharmaceuticals, Inc. + 6,718,020
133,600 Protein Design Labs, Inc. +/(1)/.. 1,851,696
---------------
8,569,716
---------------
MEDICAL TECHNOLOGY - 0.29%
65,100 Charles River Laboratories
International, Inc. +............ 2,112,495
156,400 Cytyc Corp. +..................... 2,015,996
---------------
4,128,491
---------------
METALS - 0.22%
31,900 Carpenter Technology Corp......... 854,920
58,100 Harsco Corp....................... 2,304,246
---------------
3,159,166
---------------
MISCELLANEOUS - 0.12%
77,300 Brinks Co./(1)/................... 1,716,060
---------------
MULTIMEDIA - 0.48%
161,900 Belo Corp......................... 4,599,579
33,300 Media General, Inc., Class A/(1)/. 2,227,437
---------------
6,827,016
---------------
OIL AND GAS - 5.82%
78,100 Cooper Cameron Corp. +............ 3,390,321
213,700 ENSCO International, Inc.......... 5,406,610
88,700 Equitable Resources, Inc.......... 3,654,440
94,100 FMC Technologies, Inc. +.......... 2,002,448
75,900 Forest Oil Corp. +................ 1,901,295
173,200 Grant Prideco, Inc. +............. 2,017,780
103,900 Hanover Compressor Co. +/(1)/..... 989,128
71,500 Helmerich & Payne, Inc./(1)/...... 1,723,150
131,000 Murphy Oil Corp................... 7,850,830
80,500 Noble Energy, Inc................. 3,191,825
135,000 ONEOK, Inc./(1)/.................. 2,674,350
115,400 Patterson-UTI Energy, Inc. +...... 3,315,442
168,000 Pioneer Natural Resources Co. +... 4,764,480
90,600 Pogo Producing Co................. 3,945,630
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
OIL AND GAS - Continued
192,700 Pride International, Inc. +...... $ 3,073,565
142,700 Smith International, Inc. +...... 5,356,958
86,400 Tidewater, Inc................... 2,385,504
163,100 Valero Energy Corp............... 7,029,610
139,000 Varco International, Inc. +...... 2,570,110
187,200 Weatherford International, Ltd. + 6,136,416
47,300 Western Gas Resources, Inc./(1)/. 2,095,390
262,000 XTO Energy, Inc.................. 6,623,360
---------------
82,098,642
---------------
PAPER/FOREST PRODUCTS - 1.10%
79,000 Bowater, Inc..................... 3,231,100
62,400 Glatfelter....................... 747,552
72,800 Longview Fibre Co./(1)/.......... 798,616
148,700 Packaging Corp. of America +..... 2,930,877
40,900 Potlatch Corp./(1)/.............. 1,319,025
70,863 Rayonier, Inc.................... 2,627,600
138,100 Sonoco Products Co............... 2,955,340
73,500 Wausau-Mosinee Paper Corp........ 904,050
---------------
15,514,160
---------------
POLLUTION CONTROL - 0.62%
229,100 Republic Services, Inc., Class A. 5,830,595
59,800 Stericycle, Inc. +............... 2,954,120
---------------
8,784,715
---------------
PUBLISHING - 1.49%
36,300 Banta Corp....................... 1,444,740
63,500 Lee Enterprises, Inc............. 2,731,770
141,100 Readers Digest Assoc., Inc.,
Class A......................... 2,017,730
56,000 Scholastic Corp. +/(1)/.......... 1,858,080
74,200 Valassis Communications, Inc. +.. 2,018,240
13,600 Washington Post Co., Class B @... 10,926,920
---------------
20,997,480
---------------
REAL ESTATE INVESTMENT
TRUSTS - 1.64%
116,500 AMB Property Corp................ 3,665,090
75,700 Highwoods Properties, Inc........ 1,857,678
89,300 Hospitality Properties Trust..... 3,531,815
113,000 Liberty Property Trust........... 4,274,790
82,900 Mack-Cali Realty Corp............ 3,307,710
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
REAL ESTATE INVESTMENT
TRUSTS - Continued
138,900 New Plan Excel Realty Trust, Inc... $ 3,396,105
171,200 United Dominion Realty Trust, Inc.. 3,158,640
---------------
23,191,828
---------------
RETAIL - 4.73%
101,700 99 Cents Only Stores +/(1)/........ 2,818,107
92,200 Barnes & Noble, Inc. +............. 3,059,196
98,900 BJ's Wholesale Club, Inc. +........ 2,517,005
65,500 Blyth, Inc......................... 1,968,275
110,200 Borders Group, Inc. +.............. 2,477,296
118,000 CDW Corp........................... 7,050,500
69,700 Claire's Stores, Inc............... 3,234,080
128,000 Copart, Inc. +..................... 1,536,000
163,100 Dollar Tree Stores, Inc. +......... 5,178,425
83,100 Krispy Kreme Doughnuts, Inc. +/(1)/ 3,437,847
53,300 Longs Drug Stores Corp./(1)/....... 1,305,850
95,000 Michaels Stores, Inc............... 4,488,750
67,900 Neiman Marcus Group, Inc.,
Class A +......................... 3,659,810
201,800 PETsMART, Inc...................... 4,875,488
127,800 Pier 1 Imports, Inc................ 3,258,900
65,900 Ruddick Corp....................... 1,113,710
203,700 Saks, Inc. +....................... 3,132,906
84,700 Whole Foods Market, Inc. +......... 5,563,943
165,900 Williams-Sonoma, Inc. +............ 5,979,036
---------------
66,655,124
---------------
SAVINGS & LOAN - 0.41%
77,900 Independence Community
Bank Corp......................... 2,880,742
99,400 Washington Federal, Inc............ 2,834,888
---------------
5,715,630
---------------
SCHOOLS - 1.37%
141,400 Career Education Corp. +........... 7,229,782
62,400 Corinthian Colleges, Inc. +........ 3,989,232
99,700 DeVry, Inc. +/(1)/................. 2,730,783
50,900 Education Management Corp. +/(1)/.. 3,440,840
61,500 Sylvan Learning Systems, Inc. +.... 1,990,755
---------------
19,381,392
---------------
- --------------------------------------------------------------------------------
MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
53
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------
SEMICONDUCTORS - 4.01%
668,600 Atmel Corp. +......................... $ 4,499,678
90,000 Credence Systems Corp. +.............. 1,166,400
104,600 Cree, Inc. +/(1)/..................... 1,921,502
168,700 Cypress Semiconductor Corp. +/(1)/.... 3,775,506
167,300 Fairchild Semiconductor International,
Inc., Class A +...................... 4,349,800
99,200 Integrated Circuit Systems, Inc. +.... 2,951,200
148,500 Integrated Device Technology,
Inc. +............................... 2,799,225
91,500 International Rectifier Corp. +....... 4,997,730
197,100 Intersil Corp., Class A............... 5,205,411
180,900 Lam Research Corp. +.................. 5,788,800
160,400 Lattice Semiconductor Corp. +/(1)/.... 1,518,988
70,600 LTX Corp. +/(1)/...................... 1,177,608
131,700 Micrel, Inc. +/(1)/................... 2,252,070
292,200 Microchip Technology, Inc............. 10,051,680
104,700 Semtech Corp. +....................... 2,544,210
191,400 Triquint Semiconductor, Inc. +........ 1,546,512
---------------
56,546,320
---------------
TELECOMMUNICATIONS - 1.32%
55,000 Adtran, Inc........................... 3,620,100
122,200 Advanced Fibre Communications,
Inc. +............................... 2,731,170
348,300 Cincinnati Bell, Inc. +............... 1,988,793
94,600 Harris Corp........................... 3,667,642
62,500 Plantronics, Inc. +................... 1,915,000
90,000 Powerwave Technologies, Inc. +/(1)/... 670,500
77,300 Price Communications Corp. +.......... 993,305
262,800 RF Micro Devices, Inc. +/(1)/......... 3,061,620
---------------
18,648,130
---------------
TEXTILE - PRODUCTS - 0.48%
94,600 Mohawk Industries, Inc. +............. 6,818,768
---------------
THERAPEUTICS - 1.20%
287,200 Gilead Sciences, Inc. + @............. 16,852,896
---------------
TOBACCO - 0.11%
35,400 Universal Corp........................ 1,512,288
---------------
UTILITIES - COMMUNICATION - 0.36%
81,800 Telephone and Data Systems, Inc....... 5,128,860
---------------
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
UTILITIES - ELECTRIC - 4.50%
123,300 Allete, Inc....................... $ 3,670,641
157,400 Alliant Energy Corp./(1)/......... 3,848,430
45,800 Black Hills Corp.................. 1,477,508
180,500 DPL, Inc./(1)/.................... 3,490,870
107,000 Duquesne Light Holdings, Inc./(1)/ 1,847,890
207,900 Energy East Corp.................. 4,783,779
98,700 Great Plains Energy, Inc./(1)/.... 3,131,751
54,500 Idacorp, Inc./(1)/................ 1,602,300
161,550 MDU Resources Group, Inc.......... 3,825,504
190,500 Northeast Utilities............... 3,800,475
75,700 NStar............................. 3,607,105
121,600 OGE Energy Corp................... 2,896,512
243,700 Pepco Holdings, Inc./(1)/......... 4,474,332
57,400 PNM Resources, Inc................ 1,607,774
134,100 Puget Energy, Inc................. 3,117,825
158,100 Scana Corp........................ 5,308,998
167,100 Sierra Pacific Resources +/(1)/... 1,158,003
103,000 Weststar Energy, Inc.............. 2,045,580
167,100 Wisconsin Energy Corp............. 5,464,170
50,800 WPS Resources Corp./(1)/.......... 2,250,440
---------------
63,409,887
---------------
UTILITIES - GAS,
DISTRIBUTION - 0.66%
90,900 AGL Resources, Inc................ 2,581,560
121,100 National-Oilwell, Inc. +.......... 2,329,964
106,400 Vectren Corp...................... 2,555,728
69,300 WGL Holdings, Inc................. 1,852,389
---------------
9,319,641
---------------
UTILITIES - GAS, PIPELINE - 0.26%
278,200 Aquila, Inc. +/(1)/............... 995,956
116,000 National Fuel Gas Co.............. 2,679,600
---------------
3,675,556
---------------
WATER SERVICES - 0.19%
99,500 Philadelphia Suburban Corp./(1)/.. 2,694,460
---------------
TOTAL COMMON STOCK................
(Cost $1,214,301,342)............. 1,356,228,045
---------------
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 13.28%
COLLECTIVE INVESTMENT POOL - 12.04%
$169,801,885 Securities Lending Quality Trust/(2)/ $ 169,801,885
--------------
COMMERCIAL PAPER - 1.06%
10,000,000 Merck & Co., Inc.:
1.00% due 12/2/03 @................ 9,999,722
5,000,000 UBS Finance, Inc.:
1.04% due 12/1/03 @................ 5,000,000
--------------
14,999,722
--------------
U.S. TREASURY BILLS - 0.18%
United States Treasury Bills:
705,000 0.90% due 12/11/03 @............... 704,825
305,000 0.83% due 12/4/03 @................ 304,979
570,000 0.89% due 1/8/04 @................. 569,464
910,000 0.89% due 1/15/04 @................ 908,989
--------------
2,488,257
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $187,289,864).................. 187,289,864
--------------
REPURCHASE AGREEMENT - 2.48%
34,973,000 Agreement with State Street Bank &
Trust Co., bearing interest at
0.93%, dated 11/28/03, to be
repurchased 12/1/03 in the
amount of $34,975,710 and
collateralized by Federal Home
Loan Bank Disc. Notes, zero
coupon, due 1/21/04 and having
an approximate value of
$36,025,880
(Cost $34,973,000) @................ 34,973,000
--------------
TOTAL INVESTMENTS
(Cost $1,436,564,206) - 111.92% 1,578,490,909
Other assets and liabilities,
net - (11.92)%...................... (168,102,275)
--------------
NET ASSETS - 100%.................... $1,410,388,634
--------------
- --------------------------------------------------------------------------------
MID CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
54
+Non-income producing.
@The security or a portion thereof represents collateral for open
futures contracts.
/(1)/The security or a portion thereof is out on loan (see Note 2).
/(2)/The security is purchased with the cash collateral received
from securities loaned (see Note 2).
OPEN FUTURES CONTRACTS
------------------------------------------------------------------------
Value as of
Number of Expiration Value at November 30, Unrealized
Contracts Description Date Trade Day 2003 Appreciation
------------------------------------------------------------------------
177 Long. MID CAP
INDEX December 2003 47,784,027 50,183,925 $2,399,898
----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
55
November 30, 2003
MONEY MARKET FUND - SCHEDULE OF INVESTMENTS (Unaudited)
PAR MARKET
VALUE VALUE
- -------------------------------------------------------------
COMMERCIAL PAPER - 62.17%
$ 5,000,000 Amstel Funding Corp.:
1.08% due 12/15/03................ $ 4,997,958
10,000,000 Apreco, Inc. (LOC-Citibank):
1.05% due 12/10/03................ 9,997,375
10,000,000 Apreco, Inc.:
1.05% due 12/1/03................. 10,000,000
Barton Capital Corp. (LOC-SocGen):
10,000,000 1.09% due 1/21/04................. 9,984,558
10,000,000 1.05% due 12/8/03................. 9,997,959
10,000,000 Bear Stearns Cos., Inc.:
1.08% due 1/12/04................. 9,987,400
10,000,000 Beta Finance, Inc.:
1.06% due 2/23/04*/(1)/........... 10,000,000
10,000,000 Citigroup, Inc.:
1.06% due 1/16/04................. 9,986,456
10,000,000 CRC Funding, LLC:
1.03% due 12/8/03................. 9,997,997
5,000,000 CXC, Inc.:
1.05% due 12/8/03................. 4,998,979
10,000,000 Dorada Finance, Inc.:
1.06% due 12/16/03*/(1)/.......... 10,000,000
General Electric Capital Corp.:
5,000,000 1.24% due 12/1/03/(1)/............ 5,003,574
5,000,000 1.09% due 1/9/04.................. 4,994,096
10,000,000 General Electric Co.:
1.00% due 12/3/03................. 9,999,444
Giro Funding United States Corp.:
10,000,000 1.05% due 12/1/03................. 10,000,000
10,000,000 1.09% due 12/4/03................. 9,999,125
10,000,000 Govco, Inc.:
1.10% due 1/12/04................. 9,987,167
10,000,000 Govco, Inc., Yrs. 3 & 4:
1.04% due 12/18/03................ 9,995,089
Greyhawk Fund Corp.:
10,000,000 1.11% due 1/22/04................. 9,983,967
10,000,000 1.10% due 1/29/04................. 9,981,972
10,000,000 Kittyhawk Funding Corp. (LOC-Bank of
America):
1.04% due 12/5/03................. 9,998,844
5,000,000 Receivables Capital Co. (LOC-Bank of
America):
1.04% due 12/15/03................ 4,997,978
10,000,000 Receivables Capital Corp.:
1.03% due 12/19/03................ 9,994,850
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------------
COMMERCIAL PAPER - Continued
$10,000,000 Sheffield Receivables Corp. (LOC-Barclays):
1.08% due 1/9/04......................... $ 9,988,300
5,000,000 Sigma Finance, Inc.:
1.07% due 12/3/03........................ 4,999,916
10,000,000 Surrey Funding Corp. (LOC-Barclays):
1.09% due 1/9/04......................... 9,988,191
1.09% due 1/12/04........................ 9,987,167
5,000,000 Sydney Capital, Inc.:
1.06% due 12/16/03....................... 4,997,792
10,000,000 Wal-Mart Stores, Inc.:
1.01% due 12/2/03........................ 9,999,720
5,000,000 Wells Fargo Bank NA:
1.04% due 12/1/03/(1)/................... 5,000,000
1.04% due 12/18/03....................... 5,000,000
1.04% due 12/19/03....................... 10,000,000
5,000,000 White Pine Finance, LLC:
1.08% due 12/1/03*/(1)/.................. 5,000,000
Windmill Funding Corp. (LOC-ABN
AMRO):
10,000,000 1.04% due 12/3/03........................ 9,999,422
10,000,000 1.08% due 1/23/04........................ 9,984,100
------------
TOTAL COMMERCIAL PAPER
(Cost $299,829,396)........................ 299,829,396
------------
GOVERNMENT AGENCIES - 34.55%
5,000,000 Federal Farm Credit Bks.:
1.00% due 7/2/04......................... 4,998,977
Federal Home Loan Bank:
5,000,000 1.20% due 8/20/04........................ 5,000,000
10,000,000 1.02% due 7/16/04........................ 10,000,000
Federal Home Loan Bank Cons. Disc.
Notes:
9,884,000 1.00% due 12/3/03........................ 9,883,451
12,000,000 1.00% due 12/5/03........................ 11,998,666
Federal Home Loan Mtg. Corp.:
5,000,000 1.50% due 11/16/04....................... 5,000,000
10,000,000 1.35% due 10/19/04....................... 10,000,000
Federal National Mtg. Assoc.:
5,000,000 1.53% due 9/24/04........................ 5,000,000
5,000,000 1.50% due 12/20/04....................... 5,000,000
5,000,000 1.30% due 8/30/04........................ 5,000,000
5,000,000 1.20% due 8/17/04........................ 5,000,000
5,000,000 1.08% due 7/23/04........................ 5,000,000
5,000,000 1.00% due 9/10/04/(1)/................... 5,000,000
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------------
GOVERNMENT AGENCIES - Continued
Federal National Mtg. Assoc. Disc. Notes:
$10,000,000 1.30% due 8/20/04........................ $ 9,905,028
10,000,000 1.21% due 6/25/04........................ 9,930,425
20,000,000 1.14% due 4/14/04........................ 19,914,875
10,000,000 1.05% due 1/15/04........................ 9,986,875
10,000,000 1.00% due 12/5/03........................ 9,998,889
20,000,000 1.00% due 12/8/03........................ 19,996,111
------------
TOTAL GOVERNMENT AGENCIES
(Cost $166,613,297)...................... 166,613,297
------------
REPURCHASE AGREEMENTS - 4.68%
2,546,000 State Street Bank Joint Repurchase
Agreement (see Note 2)
(Cost $2,546,000)......................... 2,546,000
20,000,000 United Bank of Switzerland Joint
Repurchase Agreement (see Note 2)
(Cost $20,000,000)........................ 20,000,000
------------
22,546,000
------------
TOTAL INVESTMENTS
(Cost $488,988,693) - 101.40%.............. 488,988,693
Other assets and liabilities, net - (1.40)% (6,730,345)
------------
NET ASSETS - 100%.......................... $482,258,348
------------
*Securities exempt from registration under rule
144A of the Securities Act of 1933. These
securities may be sold in transactions exempt
from registration, normally to qualified
institutional buyers. At November 30, 2003, the
aggregate value of these securities was
$25,000,000 representing 5.18% of net assets.
LOC- Letter of Credit.
/(1)/Security is a "floating rate" bond where the
coupon rate fluctuates. The rate reflected is as of
November 30, 2003.
Allocation of investments as a percentage of net assets by
industry category as of November 30, 2003:
Asset Backed/Receivables.............................. 13.47%
Asset Backed/Securities............................... 22.79%
Commercial Banks...................................... 0.53%
Diversified Financial Services........................ 2.07%
Domestic Banks........................................ 4.15%
Finance............................................... 6.22%
Investment Banks/Brokerage............................ 2.07%
Money Center Banks.................................... 4.15%
Multi-Asset........................................... 9.33%
Retail Discount....................................... 2.07%
Government Agencies................................... 34.55%
------------
101.40%
------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NASDAQ 100 INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
56
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
COMMON STOCK - 79.39%
ADVERTISING - 0.21%
5,440 Lamar Advertising Co., Class A +. $ 191,488
------------
AIRLINES - 0.20%
3,970 Ryanair Holdings, PLC ADR +/(1)/. 185,955
------------
APPAREL & PRODUCTS - 0.29%
4,920 Ross Stores, Inc................. 269,518
------------
BROADCASTING - 2.09%
61,990 Comcast Corp., Class A +......... 1,945,246
------------
BUILDING MATERIALS - 0.25%
4,740 Fastenal Co./(1)/................ 235,483
------------
CHEMICAL - 0.48%
3,080 Invitrogen Corp. +............... 209,963
4,440 Sigma-Aldrich Corp./(1)/......... 237,851
------------
447,814
------------
COMMERCIAL SERVICES - 1.64%
13,370 Cintas Corp...................... 624,914
23,340 Paychex, Inc..................... 897,890
------------
1,522,804
------------
DRUGS - 0.98%
3,320 Cephalon, Inc. +/(1)/............ 156,007
12,600 Teva Pharmaceutical
Industries, Ltd. ADR............ 758,972
------------
914,979
------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 2.78%
12,940 American Power Conversion Corp... 282,868
12,760 Comverse Technology, Inc. +...... 245,375
37,010 Flextronics International, Ltd. + 593,270
5,190 Gentex Corp...................... 218,707
104,700 JDS Uniphase Corp. +............. 360,168
6,420 Molex, Inc....................... 206,467
11,330 NVIDIA Corp. +/(1)/.............. 239,629
35,540 Sanmina-SCI Corp. +.............. 433,233
------------
2,579,717
------------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
FREIGHT - 0.51%
5,460 CH Robinson Worldwide, Inc..... $ 214,742
6,710 Expeditors International of
Washington, Inc............... 261,958
------------
476,700
------------
HEALTHCARE - 0.89%
4,950 Dentsply International, Inc.... 222,899
6,430 First Health Group Corp. +..... 131,815
6,200 Lincare Holdings, Inc. +....... 184,946
4,270 Patterson Dental Co. +/(1)/.... 290,787
------------
830,447
------------
HEAVY DUTY TRUCKS/PARTS - 0.74%
8,530 PACCAR, Inc.................... 684,191
------------
HOSPITAL SUPPLIES - 1.06%
22,530 Biomet, Inc.................... 805,898
2,640 Henry Schein, Inc. +........... 177,646
------------
983,544
------------
INFORMATION PROCESSING -
HARDWARE - 4.44%
33,000 Apple Computer, Inc. +......... 690,360
61,680 Dell, Inc. +................... 2,127,960
23,330 Network Appliance, Inc. +...... 539,156
4,650 Sandisk Corp. +................ 375,999
91,700 Sun Microsystems, Inc. +....... 391,559
------------
4,125,034
------------
INFORMATION PROCESSING -
SERVICES - 7.78%
14,920 Adobe Systems, Inc............. 616,494
17,110 Brocade Communications
Systems, Inc. +............... 104,200
15,860 Check Point Software
Technologies, Ltd. +.......... 280,088
31,260 eBay, Inc. +................... 1,745,871
15,800 Fiserv, Inc. +................. 592,500
49,280 InterActiveCorp +/(1)/......... 1,618,848
7,870 Monster Worldwide, Inc. +...... 189,352
20,720 Symantec Corp. +............... 680,238
9,280 Synopsys, Inc. +............... 278,029
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - Continued
14,800 VeriSign, Inc. +.................. $ 239,908
20,490 Yahoo!, Inc. +.................... 880,660
-----------
7,226,188
-----------
INFORMATION PROCESSING -
SOFTWARE - 13.27%
24,290 BEA Systems, Inc. +............... 308,483
12,760 Citrix Systems, Inc. +............ 306,495
15,410 Compuware Corp. +................. 88,145
16,870 Intuit, Inc. +.................... 848,224
6,160 Mercury Interactive Corp. +....... 288,288
242,930 Microsoft Corp. @................. 6,243,301
142,150 Oracle Corp. +.................... 1,707,221
33,580 PeopleSoft, Inc. +................ 710,217
3,580 Pixar, Inc. +/(1)/................ 250,994
37,770 Siebel Systems, Inc. +............ 497,809
28,530 VERITAS Software Corp. +.......... 1,084,739
-----------
12,333,916
-----------
LEISURE AND TOURISM - 2.15%
19,420 Electronic Arts, Inc. +........... 858,947
35,490 Starbucks Corp. +................. 1,138,164
-----------
1,997,111
-----------
MEDICAL - BIOMEDICAL/GENE - 5.48%
39,270 Amgen, Inc. + @................... 2,258,418
24,818 Biogen, Inc. +.................... 947,551
18,170 Genzyme Corp. +................... 849,266
8,390 Human Genome Sciences, Inc. +..... 107,392
3,960 ICOS Corp. +...................... 178,992
17,450 MedImmune, Inc. +................. 415,310
21,380 Millennium Pharmaceuticals, Inc. + 337,162
-----------
5,094,091
-----------
MEDICAL TECHNOLOGY - 0.98%
17,030 Chiron Corp. +.................... 913,149
-----------
OIL AND GAS - 0.17%
5,450 Patterson-UTI Energy, Inc. +...... 156,579
-----------
PAPER/FOREST PRODUCTS - 0.28%
15,720 Smurfit-Stone Container Corp. +... 257,179
-----------
- --------------------------------------------------------------------------------
NASDAQ 100 INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
57
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
RETAIL - 4.85%
17,290 Amazon.Com, Inc. +.................. $ 934,697
25,950 Bed Bath & Beyond, Inc. +........... 1,096,128
5,620 CDW Corp............................ 335,795
15,720 Costco Wholesale Corp. +............ 563,090
7,180 Dollar Tree Stores, Inc. +.......... 227,965
4,580 Express Scripts, Inc., Class A +.... 296,463
9,150 PETsMART, Inc....................... 221,064
21,490 Staples, Inc. +..................... 583,454
3,830 Whole Foods Market, Inc. +.......... 251,593
-----------
4,510,249
-----------
SCHOOLS - 0.86%
11,600 Apollo Group, Inc., Class A +....... 800,748
-----------
SEMICONDUCTORS - 14.65%
35,110 Altera Corp. +...................... 889,336
56,140 Applied Materials, Inc. +........... 1,364,202
13,510 Broadcom Corp., Class A +........... 492,169
148,790 Intel Corp. @....................... 4,974,050
15,050 KLA-Tencor Corp. +.................. 882,081
27,310 Linear Technology Corp.............. 1,178,153
29,700 Maxim Integrated Products, Inc...... 1,546,776
11,120 Microchip Technology, Inc........... 382,528
10,070 Novellus Systems, Inc. +............ 440,663
6,270 QLogic Corp. +...................... 356,324
29,510 Xilinx, Inc. +...................... 1,109,281
-----------
13,615,563
-----------
TELECOMMUNICATIONS - 11.54%
65,610 ADC Telecommunications, Inc. +...... 161,401
36,320 Ciena Corp. +....................... 257,146
162,160 Cisco Systems, Inc. + @............. 3,674,546
16,560 EchoStar Communications Corp.,
Class A +.......................... 570,989
16,450 Juniper Networks, Inc. +/(1)/....... 310,411
89,120 Nextel Communications, Inc.,
Class A +.......................... 2,257,410
13,200 PanAmSat Corp. +.................... 291,588
62,480 QUALCOMM, Inc. @.................... 2,783,484
13,690 RF Micro Devices, Inc. +/(1)/....... 159,488
8,400 Telefonaktiebolaget LM Ericsson ADR,
Class B +/(1)/..................... 136,416
15,360 Tellabs, Inc. +..................... 122,880
-----------
10,725,759
-----------
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
THERAPEUTICS - 0.82%
12,940 Gilead Sciences, Inc. +.............. $ 759,319
-----------
TOTAL COMMON STOCK
(Cost $70,925,984)................... 73,782,771
-----------
PAR
VALUE
- -------------
SHORT-TERM INVESTMENTS - 12.02%
COLLECTIVE INVESTMENT POOL - 2.29%
$2,127,506 Securities Lending Quality Trust/(2)/ 2,127,506
-----------
COMMERCIAL PAPER - 7.53%
4,000,000 UBS Finance, Inc.:
1.04% due 12/1/03 @.................. 4,000,000
3,000,000 USAA Capital Corp.:
1.00% due 12/5/03 @.................. 2,999,667
-----------
6,999,667
-----------
U.S. TREASURY BILLS - 2.20%
United States Treasury Bills:
475,000 0.90% due 12/11/03 @................. 474,881
115,000 0.90% due 1/8/04 @................... 114,891
45,000 0.90% due 1/15/04 @.................. 44,949
320,000 0.89% due 12/11/03 @................. 319,921
650,000 0.89% due 1/8/04 @................... 649,389
90,000 0.89% due 1/15/04 @.................. 89,900
10,000 0.88% due 12/11/03 @................. 9,997
255,000 0.88% due 12/18/03 @................. 254,894
35,000 0.87% due 1/15/04 @.................. 34,962
50,000 0.86% due 12/18/03 @................. 49,980
-----------
2,043,764
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $11,170,937)................... 11,170,937
-----------
PAR
VALUE MARKET
- ------------- VALUE
- --------------------------------------------------------------------------
REPURCHASE AGREEMENT - 10.51%
$9,765,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of $9,765,757
and collateralized by Federal Home
Loan Mortgage Corp. Notes, bearing
interest at 6.63%, due 9/15/09 and
having an approximate value of
$9,964,750 (Cost $9,765,000) @............... $ 9,765,000
-----------
TOTAL INVESTMENTS
(Cost $91,861,921) - 101.92%.................. 94,718,708
Other assets and liabilities, net - (1.92)% (1,787,155)
-----------
NET ASSETS - 100%............................. $92,931,553
-----------
+ Non-income producing
@ The security or a portion thereof
represents collateral for open futures
contracts.
ADR -American Depository Receipt
/(1)/ The security or a portion thereof is out
on loan (see Note 2).
/(2)/ The security is purchased with the
cash collateral received from
securities loaned.
OPEN FUTURES CONTRACTS
----------------------------------------------------------------------
Value as of
Number of Expiration Value at November 30, Unrealized
Contracts Description Date Trade Date 2003 Appreciation
----------------------------------------------------------------------
132 Long. NASDAQ December
100 INDEX 2003 $18,302,994 $18,810,000 $507,006
--------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SCIENCE & TECHNOLOGY FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
58
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
COMMON STOCK - 97.68%
BROADCASTING - 2.28%
435,700 Clear Channel Communications, Inc.. $ 18,216,617
371,500 Comcast Corp., Class A Special +... 11,200,725
104,300 Univision Communications, Inc.,
Class A +/(1)/.................... 3,763,144
-------------
33,180,486
-------------
CHEMICAL - 0.16%
44,800 Cabot Microelectronics Corp. +/(1)/ 2,378,432
-------------
COMMERCIAL SERVICES - 2.00%
665,600 Accenture, Ltd., Class A +......... 16,573,440
326,200 Paychex, Inc....................... 12,548,914
-------------
29,122,354
-------------
DRUGS - 2.30%
224,600 Bristol-Myers Squibb Co............ 5,918,210
150,100 Cephalon, Inc. +/(1)/.............. 7,053,199
60,100 Eli Lilly & Co..................... 4,120,456
208,100 Forest Laboratories, Inc. +........ 11,370,584
150,000 Pfizer, Inc........................ 5,032,500
-------------
33,494,949
-------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.03%
603,600 Flextronics International, Ltd. +.. 9,675,708
439,700 Sanmina-SCI Corp. +................ 5,359,943
-------------
15,035,651
-------------
HOSPITAL SUPPLIES - 0.76%
223,600 Johnson & Johnson.................. 11,021,244
-------------
INFORMATION PROCESSING -
HARDWARE - 9.40%
1,788,700 Dell, Inc. +....................... 61,710,150
1,192,100 Hewlett-Packard Co................. 25,856,649
247,300 International Business
Machines Corp..................... 22,390,542
221,300 Lexmark International, Inc.,
Class A +......................... 17,128,620
162,100 Network Appliance, Inc. +.......... 3,746,131
305,500 Seagate Technology/(1)/............ 6,033,625
-------------
136,865,717
-------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - 16.31%
741,400 Adobe Systems, Inc.............. $ 30,634,648
978,700 Cadence Design Systems, Inc. +.. 16,373,651
390,400 Certegy, Inc.................... 13,507,840
192,700 DST Systems, Inc. +............. 7,191,564
237,000 eBay, Inc. +.................... 13,236,450
809,800 First Data Corp................. 30,650,930
730,600 Fiserv, Inc. +.................. 27,397,500
297,600 InterActiveCorp +............... 9,776,160
1,034,700 Networks Associates, Inc. +/(1)/ 13,854,633
376,800 SunGard Data Systems, Inc. +.... 10,181,136
388,800 Symantec Corp. +................ 12,764,304
447,600 Synopsys, Inc. +................ 13,410,096
1,194,300 VeriSign, Inc. +/(1)/........... 19,359,603
444,200 Yahoo!, Inc. +.................. 19,091,716
--------------
237,430,231
--------------
INFORMATION PROCESSING -
SOFTWARE - 23.72%
533,600 BMC Software, Inc. +............ 8,873,768
650,400 Informatica Corp. +/(1)/........ 7,336,512
712,200 Intuit, Inc. +.................. 35,809,416
889,900 Mercury Interactive Corp. +/(1)/ 41,647,320
5,118,000 Microsoft Corp.................. 131,532,600
2,383,900 Oracle Corp. +.................. 28,630,639
961,600 Red Hat, Inc. +/(1)/............ 12,770,048
89,200 SAP AG.......................... 13,719,669
178,500 SAP AG ADR...................... 6,881,175
1,483,900 Siebel Systems, Inc. +.......... 19,557,802
1,011,000 VERITAS Software Corp. +........ 38,439,231
--------------
345,198,180
--------------
LEISURE AND TOURISM - 0.85%
147,800 Electronic Arts, Inc. +......... 6,537,194
167,200 International Game Technology... 5,800,168
--------------
12,337,362
--------------
MACHINERY - 0.06%
30,400 Cognex Corp..................... 835,088
--------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------------
MEDICAL - BIOMEDICAL/GENE - 1.15%
119,300 Biogen, Inc. +/(1)/.................... $ 4,554,874
44,100 Genentech, Inc. +...................... 3,717,630
354,400 MedImmune, Inc. +...................... 8,434,720
------------
16,707,224
------------
MULTIMEDIA - 2.63%
1,339,300 Time Warner, Inc. +.................... 21,803,804
419,500 Viacom, Inc., Class B.................. 16,494,740
------------
38,298,544
------------
RETAIL - 0.31%
74,400 CDW Corp./(1)/......................... 4,445,400
------------
SEMICONDUCTORS - 22.63%
1,163,400 Agere Systems, Inc., Class A +/(1)/.... 4,118,436
268,300 Altera Corp. +......................... 6,796,039
893,700 Analog Devices, Inc. +................. 44,461,575
1,413,200 Applied Materials, Inc. +.............. 34,340,760
300,100 ASML Holding NV +/(1)/................. 5,647,882
521,300 Intel Corp............................. 17,427,059
299,000 Intersil Corp., Class A................ 7,896,590
356,300 KLA-Tencor Corp. +..................... 20,882,743
209,100 Linear Technology Corp................. 9,020,574
892,900 Maxim Integrated Products, Inc......... 46,502,232
667,600 Microchip Technology, Inc.............. 22,965,440
536,200 Novellus Systems, Inc. +............... 23,464,112
372,800 QLogic Corp. +/(1)/.................... 21,186,224
1,247,968 Taiwan Semiconductor Manufacturing
Co., Ltd. ADR +....................... 13,565,412
967,400 Texas Instruments, Inc................. 28,789,824
593,200 Xilinx, Inc. +......................... 22,298,388
------------
329,363,290
------------
TELECOMMUNICATIONS - 11.46%
209,900 Advanced Fibre
Communications, Inc. +................ 4,691,265
591,600 Ciena Corp. +.......................... 4,188,528
3,261,100 Cisco Systems, Inc. +.................. 73,896,526
409,900 Crown Castle International Corp. +/(1)/ 5,086,859
148,000 EchoStar Communications Corp.,
Class A +............................. 5,103,040
1,339,100 Nokia Corp. ADR........................ 24,077,018
- --------------------------------------------------------------------------------
SCIENCE & TECHNOLOGY FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
59
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
2,688,900 Nortel Networks Corp. +............... $ 12,126,939
520,700 QUALCOMM, Inc./(1)/................... 23,197,185
619,800 Vodafone Group, PLC ADR/(1)/.......... 14,472,330
--------------
166,839,690
--------------
THERAPEUTICS - 0.37%
90,600 Gilead Sciences, Inc. +............... 5,316,408
--------------
UTILITIES - COMMUNICATION - 0.26%
58,900 NTL, Inc. +/(1)/...................... 3,837,924
--------------
TOTAL COMMON STOCK
(Cost $1,192,481,844)................. 1,421,708,174
--------------
PAR
VALUE
- -----------
SHORT-TERM INVESTMENTS - 7.97%
COLLECTIVE INVESTMENT POOL - 5.95%
$86,726,110 Securities Lending Quality Trust/(2)/. 86,726,110
--------------
REGISTERED INVESTMENT
COMPANIES - 2.02%
29,344,340 T. Rowe Price Reserve Investment
Fund................................. 29,344,340
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $116,070,450)................... 116,070,450
--------------
TOTAL INVESTMENTS
(Cost $1,308,552,294) - 105.65%....... 1,537,778,624
Other assets and liabilities,
net - (5.65)%........................ (82,288,383)
--------------
NET ASSETS - 100%..................... $1,455,490,241
--------------
+Non-income producing
ADR- American Depository Receipt
/(1)/The security or a portion thereof is out on loan
(see Note 2).
/(2)/The security is purchased with the cash collateral
received from securities loaned.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
November 30, 2003
60
SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited)
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
COMMON STOCK - 97.40%
ADVERTISING - 0.43%
63,775 Getty Images, Inc. +................. $ 2,767,835
-------------
AEROSPACE/DEFENSE - 0.51%
105,600 Armor Holdings, Inc. +............... 2,560,800
49,375 Sensytech, Inc. +/(1)/............... 718,406
-------------
3,279,206
-------------
AIRLINES - 0.18%
58,000 Frontier Airlines, Inc. +............ 938,440
50,800 Midwest Express Holdings, Inc. +/(1)/ 210,820
-------------
1,149,260
-------------
APPAREL & PRODUCTS - 1.63%
87,100 AnnTaylor Stores Corp. +............. 3,461,354
57,900 Christopher & Banks Corp............. 1,566,195
56,450 Columbia Sportswear Co. +............ 3,345,792
90,000 Stride Rite Corp..................... 1,041,300
36,900 Too, Inc. +/(1)/..................... 673,425
79,800 Unifi, Inc. +........................ 409,374
-------------
10,497,440
-------------
APPLIANCES/FURNISHINGS - 0.94%
2,600 CompX International, Inc., Class A... 16,406
128,250 Furniture Brands International, Inc.. 3,372,975
101,600 Herman Miller, Inc................... 2,646,680
-------------
6,036,061
-------------
AUTOMOTIVE - 0.87%
116,200 AO Smith Corp........................ 4,083,268
59,800 Keystone Automotive
Industries, Inc. +/(1)/............. 1,457,326
1,300 Strattec Security Corp. +............ 77,350
-------------
5,617,944
-------------
AUTO - REPLACEMENT PARTS - 0.94%
74,125 Advance Auto Parts, Inc. +........... 6,050,083
-------------
BANKS - 2.71%
36,000 Boston Private Financial
Holdings, Inc....................... 933,480
92,900 Citizens Banking Corp./(1)/.......... 2,928,208
2,970 Glacier Bancorp, Inc................. 94,060
72,600 Provident Bankshares Corp............ 2,109,756
118,850 Southwest Bancorp of Texas, Inc./(1)/ 4,543,635
103,031 Valley National Bancorp.............. 3,060,021
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
BANKS - Continued
71,700 Westamerica Bancorp.................. $ 3,785,760
-------------
17,454,920
-------------
BEVERAGES - 0.59%
63,100 Constellation Brands, Inc., Class A + 2,177,581
62,000 Cott Corp. +......................... 1,613,860
-------------
3,791,441
-------------
BROADCASTING - 1.04%
208,300 Cumulus Media, Inc., Class A +....... 3,978,530
46,800 Emmis Communications Corp.,
Class A +........................... 1,060,488
16,500 Entercom Communications Corp. +...... 762,300
22,800 Sinclair Broadcast Group, Inc.,
Class A +/(1)/...................... 261,516
32,500 Young Broadcasting, Inc., Class A +.. 645,125
-------------
6,707,959
-------------
BUILDING MATERIALS - 1.31%
61,850 Fastenal Co./(1)/.................... 3,072,708
5,187 LSI Industries, Inc.................. 64,578
101,200 Mathews International Corp., Class A. 2,881,164
65,775 Trex Co., Inc. +/(1)/................ 2,430,386
-------------
8,448,836
-------------
CHEMICAL - 2.38%
169,700 Airgas, Inc.......................... 3,288,786
85,900 Arch Chemicals, Inc.................. 1,966,251
38,100 Cabot Microelectronics Corp. +/(1)/.. 2,022,729
74,200 Ferro Corp........................... 1,684,340
16,800 MacDermid, Inc....................... 551,040
66,500 Minerals Technologies, Inc........... 3,554,425
13,800 Symyx Technologies, Inc. +........... 275,310
42,010 Valspar Corp......................... 2,026,983
-------------
15,369,864
-------------
COMMERCIAL SERVICES - 3.98%
107,600 Central Parking Corp./(1)/........... 1,501,020
61,900 Electro Rent Corp. +................. 860,410
11,800 First Advantage Corp., Class A +/(1)/ 228,566
102,350 Iron Mountain, Inc. +................ 3,766,480
86,175 Kroll, Inc. +........................ 2,063,891
119,275 LECG Corp. +......................... 2,564,413
74,600 Maximus, Inc. +/(1)/................. 2,827,340
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
COMMERCIAL SERVICES - Continued
243,750 Pacer International, Inc. +............ $ 5,101,687
131,300 Plexus Corp. +/(1)/.................... 2,330,575
122,200 SFBC International, Inc. +/(1)/........ 3,146,650
52,900 Sourcecorp, Inc. +..................... 1,293,934
-------------
25,684,966
-------------
DRUGS - 4.24%
50,325 Angiotech Pharmaceuticals, Inc. +...... 2,479,513
13,200 Atherogenics, Inc. +/(1)/.............. 188,760
25,800 Cephalon, Inc. +/(1)/.................. 1,212,342
35,100 Cubist Pharmaceuticals, Inc. +/(1)/.... 435,942
16,100 Eon Labs, Inc. +/(1)/.................. 853,783
202,100 Impax Laboratories, Inc. +/(1)/........ 2,849,610
66,037 K-V Pharmaceutical Co., Class A +/(1)/. 1,723,566
77,330 Medicis Pharmaceutical Corp.,
Class A............................... 5,094,500
10,200 OSI Pharmaceuticals, Inc. +/(1)/....... 303,246
26,725 Pharmaceutical Resources, Inc. +....... 1,939,700
145,974 Sicor, Inc. +.......................... 4,034,721
53,900 Taro Pharmaceutical Industries, Ltd.,
Class A +/(1)/........................ 3,715,866
80,250 Valeant Pharmaceuticals International.. 1,918,778
63,311 Vertex Pharmaceuticals, Inc. +......... 553,338
18,100 ViroPharma, Inc. +/(1)/................ 50,318
-------------
27,353,983
-------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 7.12%
30,200 American Superconductor Corp. +/(1)/... 318,912
69,000 Ametek, Inc............................ 3,263,700
24,200 Analogic Corp.......................... 1,016,400
96,400 Artesyn Technologies, Inc. +/(1)/...... 760,596
142,400 Belden, Inc............................ 2,805,280
83,150 FEI Co. +/(1)/......................... 1,996,431
70,525 Fisher Scientific International, Inc. + 2,840,042
88,750 Flir Systems, Inc. +................... 3,058,325
292,450 Graftech International, Ltd. +......... 3,462,608
53,800 Harman International Industries, Inc... 7,331,326
138,800 Kemet Corp. +.......................... 1,832,160
83,500 Littelfuse, Inc. +..................... 2,487,465
13,400 Magma Design Automation, Inc. +/(1)/... 315,302
105,200 Methode Electronics, Inc., Class A..... 1,349,716
47,000 Newport Corp. +/(1)/................... 800,410
141,300 Paxar Corp. +.......................... 1,858,095
- --------------------------------------------------------------------------------
61
November 30, 2003
SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - Continued
120,950 Polycom, Inc. +........................... $ 2,397,229
141,425 Sonic Solutions +/(1)/.................... 2,668,690
45,500 Technitrol, Inc. +........................ 1,082,445
42,495 TTM Technologies, Inc. +.................. 718,166
36,000 Wilson Greatbatch
Technologies, Inc. +/(1)/................ 1,508,400
100,700 Woodhead Industries, Inc.................. 1,709,886
6,400 Woodward Governor Co...................... 319,232
------------
45,900,816
------------
FERTILIZERS - 0.22%
199,200 IMC Global, Inc........................... 1,448,184
------------
FINANCE COMPANIES - 0.65%
123,000 Chittenden Corp........................... 4,199,220
------------
FINANCIAL SERVICES - 0.39%
51,600 Investors Financial Services Corp./(1)/... 1,903,008
23,800 National Financial Partners Corp. +/(1)/.. 602,140
------------
2,505,148
------------
FOODS - 0.98%
19,600 American Italian Pasta Co., Class A +/(1)/ 744,800
10,100 International Multifoods Corp. +.......... 180,083
59,400 Performance Food Group Co. +/(1)/......... 2,335,014
12,500 Seneca Foods Corp., Class A +............. 250,000
25,000 Seneca Foods Corp., Class B +............. 482,500
39,625 United Natural Foods, Inc. +.............. 1,521,204
70,900 Wild Oats Markets, Inc. +/(1)/............ 804,006
------------
6,317,607
------------
FREIGHT - 2.32%
9,500 EGL, Inc. +............................... 174,515
20,700 Expeditors International of
Washington, Inc.......................... 808,128
118,050 Forward Air Corp. +....................... 3,357,342
18,316 Heartland Express, Inc.................... 444,529
900 International Shipholding Corp. +......... 12,150
72,475 JB Hunt Transport Services, Inc. +........ 1,895,946
85,700 Knight Transportation, Inc. +............. 2,076,511
118,725 Overnite Corp. +.......................... 2,653,504
56,800 Ryder System, Inc......................... 1,771,592
97,388 Werner Enterprises, Inc................... 1,767,592
------------
14,961,809
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
HEALTHCARE - 3.61%
217,825 Alaris Medical, Inc. +............... $ 3,465,596
48,000 Edwards Lifesciences Corp. +......... 1,445,760
16,600 Epix Medical, Inc. +................. 299,298
155,800 Hooper Holmes, Inc................... 955,054
48,100 Mid Atlantic Medical Services, Inc. + 2,953,340
128,048 Odyssey Healthcare, Inc. +........... 4,559,789
42,900 Omnicare, Inc........................ 1,712,568
2,200 Renal Care Group, Inc. +............. 88,792
60,975 Resmed, Inc. +/(1)/.................. 2,378,025
125,880 Sola International, Inc. +........... 2,467,248
70,600 Steris Corp. +....................... 1,632,978
54,025 VISX, Inc. +......................... 1,322,532
------------
23,280,980
------------
HOSPITAL MANAGEMENT - 0.88%
6,800 LifePoint Hospitals, Inc. +.......... 203,048
152,950 Select Medical Corp.................. 5,483,258
------------
5,686,306
------------
HOSPITAL SUPPLIES - 1.88%
103,500 Advanced Neuromodulation
Systems, Inc. +/(1)/................ 4,366,665
115,430 Henry Schein, Inc. +................. 7,767,285
------------
12,133,950
------------
HOUSEHOLD PRODUCTS - 1.00%
17,900 Chattem, Inc. +/(1)/................. 286,758
145,300 Dial Corp............................ 3,760,364
17,100 Jarden Corp. +/(1)/.................. 462,555
32,900 Scotts Co., Class A +................ 1,957,221
------------
6,466,898
------------
HUMAN RESOURCES - 0.72%
15,100 Cross Country Healthcare, Inc. +/(1)/ 224,990
39,200 Kforce, Inc. +/(1)/.................. 331,240
182,800 MPS Group, Inc. +.................... 1,681,760
78,600 Resources Connection, Inc. +......... 2,152,068
26,600 Spherion Corp. +..................... 237,804
------------
4,627,862
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
INFORMATION PROCESSING -
HARDWARE - 1.13%
151,400 Avocent Corp. +...................... $ 5,797,106
40,600 Mercury Computer Systems, Inc. +..... 972,370
40,100 Synaptics, Inc. +.................... 548,167
------------
7,317,643
------------
INFORMATION PROCESSING -
SERVICES - 5.57%
205,375 Aeroflex, Inc. +..................... 2,606,209
74,700 BISYS Group, Inc. +.................. 1,114,524
52,500 Black Box Corp./(1)/................. 2,296,875
57,200 CACI International, Inc., Class A +.. 2,846,844
71,425 Cadence Design Systems, Inc. +....... 1,194,940
15,200 Catapult Communications Corp. +...... 229,824
139,700 Ciber, Inc. +........................ 1,272,667
62,400 Factset Research Systems, Inc./(1)/.. 2,586,480
66,400 FileNET Corp. +...................... 1,739,016
70,700 Internet Security Systems, Inc. +.... 1,199,779
48,650 j2 Global Communications, Inc. +/(1)/ 1,382,633
162,100 Jack Henry & Associates, Inc......... 3,358,712
117,150 Kronos, Inc. +....................... 4,588,765
43,175 Manhattan Associates, Inc. +/(1)/.... 1,313,815
135,700 MatrixOne, Inc. +.................... 807,415
45,350 Netscreen Technologies, Inc. +....... 1,142,820
117,575 RadiSys Corp. +...................... 2,163,380
149,500 Riverstone Networks, Inc. +/(1)/..... 164,450
94,620 Secure Computing Corp. +/(1)/........ 1,422,139
28,500 SonicWALL, Inc. +/(1)/............... 227,715
62,227 United Online, Inc. +/(1)/........... 1,133,154
21,700 Verisity, Ltd. +/(1)/................ 278,194
31,100 Websense, Inc. +/(1)/................ 842,499
------------
35,912,849
------------
INFORMATION PROCESSING -
SOFTWARE - 3.86%
53,900 Actuate Corp. +/(1)/................. 169,785
82,925 Altiris, Inc. +/(1)/................. 2,557,407
41,000 Ansys, Inc. +/(1)/................... 1,582,190
35,700 Autodesk, Inc........................ 828,954
29,900 Concord Communications, Inc. +....... 661,986
94,225 Concur Technologies, Inc. +.......... 937,539
59,000 Global Payments, Inc................. 2,678,600
50,050 Hyperion Solutions Corp. +........... 1,660,659
377,925 Lionbridge Technologies, Inc. +/(1)/. 4,081,590
- --------------------------------------------------------------------------------
November 30, 2003
62
SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - Continued
74,875 Mantech International Corp.,
Class A +/(1)/..................... $ 1,920,544
20,800 Mercury Interactive Corp. +......... 973,440
59,500 Netegrity, Inc. +/(1)/.............. 728,875
40,900 NetIQ Corp. +....................... 490,391
33,600 Packeteer, Inc. +................... 637,358
62,067 Progress Software Corp. +........... 1,300,924
35,400 Quest Software, Inc. +/(1)/......... 525,690
33,200 Red Hat, Inc. +..................... 440,896
17,200 RSA Security, Inc. +/(1)/........... 252,840
45,500 SPSS, Inc. +........................ 881,335
54,353 Verity, Inc. +...................... 780,509
11,000 WebEx Communications, Inc. +/(1)/... 217,360
89,000 Wind River Systems, Inc. +.......... 579,390
------------
24,888,262
------------
INSURANCE - 3.96%
70,925 AMERIGROUP Corp. +/(1)/............. 3,114,317
53,700 Brown & Brown, Inc.................. 1,688,865
42,300 Harleysville Group, Inc............. 829,080
147,300 Horace Mann Educators Corp.......... 1,990,023
8,400 Markel Corp. +...................... 2,160,900
152,300 Ohio Casualty Corp. +/(1)/.......... 2,590,623
53,500 PartnerRe, Ltd...................... 2,981,020
125,125 Platinum Underwriters
Holdings, Ltd./(1)/................ 3,775,021
63,000 Selective Insurance Group, Inc./(1)/ 2,041,830
24,100 Triad Guaranty, Inc. +/(1)/......... 1,124,265
65,475 W.R. Berkley Corp................... 2,235,971
29,100 WellChoice, Inc. +.................. 990,273
------------
25,522,188
------------
LEISURE AND TOURISM - 8.97%
60,200 Alloy, Inc. +/(1)/.................. 323,876
34,950 Applebee's International, Inc....... 1,352,915
84,700 Brunswick Corp...................... 2,545,235
27,600 CEC Entertainment, Inc. +........... 1,387,728
57,500 Cheesecake Factory, Class A +....... 2,493,200
21,400 Chicago Pizza & Brewery, Inc. +/(1)/ 304,522
122,200 Choice Hotels International, Inc. +. 4,319,770
203,905 Fairmont Hotels & Resorts, Inc...... 5,617,583
81,850 Hollywood Entertainment Corp. +..... 1,118,071
239,900 Macrovision Corp. +................. 5,493,710
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
LEISURE AND TOURISM - Continued
192,475 Marvel Enterprises, Inc. +/(1)/....... $ 5,535,581
66,500 Polaris Industries, Inc./(1)/......... 5,730,305
135,337 Rare Hospitality International, Inc. + 3,383,425
77,275 Red Robin Gourmet Burgers, Inc. +/(1)/ 2,080,243
201,085 Ruby Tuesday, Inc..................... 5,855,595
115,674 SCP Pool Corp. +...................... 4,143,443
65,150 Sonic Corp. +......................... 2,011,180
123,575 UTI Worldwide, Inc./(1)/.............. 4,139,762
------------
57,836,144
------------
MACHINERY - 2.90%
165,700 Actuant Corp., Class A +.............. 5,144,985
38,675 CARBO Ceramics, Inc................... 1,689,711
9,600 Cuno, Inc. +.......................... 409,056
43,000 Graco, Inc............................ 1,657,650
18,200 IDEX Corp............................. 718,536
81,300 Insituform Technologies, Inc.,
Class A +/(1)/....................... 1,223,565
71,100 Ionics, Inc. +/(1)/................... 2,285,865
43,650 Jacobs Engineering Group, Inc. +...... 2,005,281
23,800 Joy Global, Inc. +.................... 499,800
75,400 Layne Christensen Co. +............... 784,160
54,300 Lindsay Manufacturing Co./(1)/........ 1,323,291
61,975 Wabtec Corp........................... 969,909
------------
18,711,809
------------
MEDICAL - BIOMEDICAL/GENE - 0.20%
7,200 Alexion Pharmaceuticals, Inc. +/(1)/.. 135,000
32,900 Decode Genetics, Inc. +............... 275,373
60,800 Exelixis, Inc. +...................... 409,184
27,600 Myriad Genetics, Inc. +/(1)/.......... 326,232
11,500 Regeneron Pharmaceuticals, Inc. +/(1)/ 148,120
------------
1,293,909
------------
MEDICAL TECHNOLOGY - 1.58%
77,700 Alkermes, Inc. +/(1)/................. 1,016,316
207,475 Andrx Corp. +......................... 4,556,151
20,300 DJ Orthopedics, Inc. +................ 526,785
18,700 Incyte Genomics, Inc. +............... 113,135
46,670 Integra LifeSciences Corp. +/(1)/..... 1,464,971
34,000 Lifeline Systems, Inc. +/(1)/......... 1,190,000
12,300 Nektar Therapeutics +/(1)/............ 162,114
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
MEDICAL TECHNOLOGY - Continued
76,800 Noven Pharmaceuticals, Inc. +..... $ 1,054,464
8,100 Thoratec Corp. +/(1)/............. 114,129
------------
10,198,065
------------
MERCHANDISING - SPECIALTY - 0.36%
69,060 Petco Animal Supplies, Inc. +..... 2,310,748
------------
METALS - 0.85%
17,900 Gibraltar Steel Corp.............. 436,402
85,900 Harsco Corp....................... 3,406,794
52,100 Lihir Gold, Ltd................... 59,233
48,700 Material Sciences Corp. +......... 462,163
20,100 NN, Inc........................... 233,562
19,200 Reliance Steel & Aluminum Co...... 566,016
16,200 Steel Dynamics, Inc. +............ 324,324
------------
5,488,494
------------
MISCELLANEOUS - 0.19%
81,800 Meridian Gold Incorporated +...... 1,205,732
------------
MOBILE HOMES - 0.04%
5,100 Winnebago Industries, Inc./(1)/... 281,877
------------
OIL AND GAS - 3.76%
39,200 Atwood Oceanics, Inc. +/(1)/...... 1,007,048
6,400 Cooper Cameron Corp. +............ 277,824
115,600 FMC Technologies, Inc. +.......... 2,459,968
70,400 Forest Oil Corp. +................ 1,763,520
176,100 Grant Prideco, Inc. +............. 2,051,565
24,600 Hydril Co. +/(1)/................. 587,202
45,200 Key Energy Services, Inc. +....... 411,772
24,400 Lone Star Technologies, Inc. +.... 337,940
58,000 Noble Energy, Inc................. 2,299,700
53,400 Pioneer Natural Resources Co. +... 1,514,424
68,125 Pride International, Inc. +....... 1,086,594
78,450 Quicksilver Resources, Inc. +/(1)/ 2,362,129
61,500 Seacor Smit, Inc. +............... 2,345,610
18,100 Smith International, Inc. +....... 679,474
250,850 Superior Energy Services, Inc. +.. 2,127,208
54,000 Tom Brown, Inc. +................. 1,509,840
43,200 Ultra Petroleum Corp. +........... 823,392
38,400 W-H Energy Services, Inc. +....... 572,160
------------
24,217,370
------------
- --------------------------------------------------------------------------------
SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
63
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
PAPER/FOREST PRODUCTS - 0.26%
106,300 Buckeye Technologies, Inc. +...... $ 1,085,323
19,500 Constar International, Inc. +..... 99,450
7,100 Potlatch Corp./(1)/............... 228,975
14,300 Smurfit-Stone Container Corp. +... 233,948
------------
1,647,696
------------
POLLUTION CONTROL - 1.56%
80,365 Stericycle, Inc. +................ 3,970,031
128,274 Tetra Tech, Inc. +................ 3,270,987
77,005 Waste Connections, Inc. +......... 2,849,185
------------
10,090,203
------------
PUBLISHING - 1.04%
61,400 Consolidated Graphics, Inc. +..... 1,845,070
68,300 New England Business Service, Inc. 2,049,000
84,115 Scholastic Corp. +................ 2,790,936
------------
6,685,006
------------
REAL ESTATE INVESTMENT
TRUSTS - 1.85%
57,700 Arden Realty, Inc................. 1,685,994
62,800 EastGroup Properties, Inc......... 1,956,220
7,400 Essex Property Trust, Inc......... 473,230
60,600 Gables Residential Trust.......... 1,957,380
56,700 Glenborough Realty Trust, Inc..... 1,114,155
44,100 Lasalle Hotel Properties.......... 801,738
25,500 Manufactured Home
Communities, Inc................. 991,950
4,000 Parkway Properties, Inc........... 171,920
20,100 Reckson Associates Realty Corp.... 482,400
73,900 Washington Real Estate
Investment Trust................. 2,267,252
------------
11,902,239
------------
RETAIL - 4.89%
188,000 Casey's General Stores, Inc....... 3,284,360
80,945 Cost Plus, Inc. +................. 3,785,798
20,600 Finish Line, Inc., Class A +...... 630,566
107,600 Great Atlantic & Pacific
Tea Co., Inc. +/(1)/............. 817,760
100,500 Guitar Center, Inc. +/(1)/........ 2,921,535
152,530 Insight Enterprises, Inc. +....... 2,852,311
37,925 Krispy Kreme Doughnuts, Inc. +.... 1,568,957
76,725 Leapfrog Enterprises, Inc. +/(1)/. 2,409,165
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
RETAIL - Continued
51,400 Linens 'N Things, Inc. +............ $ 1,511,674
22,200 MarineMax, Inc. +................... 421,800
115,550 Movie Gallery, Inc. +/(1)/.......... 2,044,079
50,100 Neiman Marcus Group, Inc., Class A + 2,700,390
43,175 Tractor Supply Co. +/(1)/........... 1,879,839
73,600 Tuesday Morning Corp. +............. 2,352,256
27,400 Ultimate Electronics, Inc. +/(1)/... 226,050
32,300 United Stationers, Inc. +........... 1,303,305
12,350 Whole Foods Market, Inc. +.......... 811,272
------------
31,521,117
------------
RETIREMENT/AGED CARE - 0.07%
14,000 Sunrise Assisted Living, Inc. +/(1)/ 483,280
------------
SAVINGS & LOAN - 0.01%
4,600 Frankfort First Bancorp, Inc........ 94,300
------------
SCHOOLS - 1.05%
27,375 Corinthian Colleges, Inc. +......... 1,750,084
55,300 Education Management Corp. +........ 3,738,280
11,350 Strayer Education, Inc.............. 1,268,135
------------
6,756,499
------------
SEMICONDUCTORS - 5.85%
120,200 Actel Corp. +....................... 3,294,682
22,000 Amis Holdings, Inc. +............... 408,320
200 Applied Micro Circuits Corp. +...... 1,292
154,600 Artisan Components, Inc. +/(1)/..... 3,195,427
77,400 ATMI, Inc. +/(1)/................... 1,780,200
126,700 Brooks Automation, Inc. +........... 3,078,810
25,600 Emulux Corp. +...................... 755,200
348,575 Entegris, Inc. +.................... 4,475,703
81,100 Exar Corp. +........................ 1,572,529
155,800 Fairchild Semiconductor
International, Inc., Class A +..... 4,050,800
13,800 Lattice Semiconductor Corp. +....... 130,686
10,000 Microsemi Corp. +................... 242,300
104,600 MKS Instruments, Inc. +............. 2,898,466
109,900 Mykrolis Corp. +.................... 1,740,816
19,025 Omnivision Technologies, Inc. +/(1)/ 1,239,669
254,950 Semtech Corp. +..................... 6,195,285
78,575 Sigmatel, Inc. +.................... 2,124,668
28,400 Tessera Technologies, Inc. +........ 518,300
------------
37,703,153
------------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
TELECOMMUNICATIONS - 2.76%
88,500 Harris Corp........................... $ 3,431,145
102,950 KVH Industries, Inc. +/(1)/........... 3,247,043
30,300 PECO II, Inc. +....................... 36,663
193,475 Powerwave Technologies, Inc. +/(1)/... 1,441,389
270,000 PTEK Holdings, Inc. +/(1)/............ 2,354,400
29,025 SafeNet, Inc. +/(1)/.................. 964,791
44,100 Spectrasite, Inc. +................... 1,547,910
730,125 Stratex Networks, Inc. +.............. 2,599,245
6,207 Stratos Lightwave, Inc. +/(1)/........ 46,490
32,500 Tekelec +............................. 542,750
34,400 West Corp. +.......................... 815,280
40,100 Western Wireless Corp., Class A +/(1)/ 748,667
------------
17,775,773
------------
TEXTILE - PRODUCTS - 0.28%
1,700 Culp, Inc. +/(1)/..................... 19,142
6,800 Dan River, Inc., Class A +/(1)/....... 5,236
50,100 G&K Services, Inc., Class A........... 1,814,622
------------
1,839,000
------------
THERAPEUTICS - 1.25%
11,500 Abgenix, Inc. +/(1)/.................. 129,605
30,800 Amylin Pharmaceuticals, Inc. +/(1)/... 806,036
8,700 CV Therapeutics, Inc. +/(1)/.......... 156,339
27,000 Medicines Co. +....................... 738,990
64,500 MGI Pharma, Inc. +/(1)/............... 2,474,865
34,400 Neurocrine Biosciences, Inc. +........ 1,817,352
25,700 NPS Pharmaceuticals, Inc. +/(1)/...... 775,626
4,800 Onyx Pharmaceuticals, Inc. +.......... 138,144
22,500 Trimeris, Inc. +/(1)/................. 513,675
32,200 Tularik, Inc. +/(1)/.................. 482,356
------------
8,032,988
------------
UTILITIES - COMMUNICATION - 0.12%
20,400 Commonwealth Telephone
Enterprises, Inc. +/(1)/............. 767,448
------------
UTILITIES - ELECTRIC - 0.37%
52,400 Cleco Corp............................ 931,672
53,200 El Paso Electric Co. +................ 675,640
33,100 UniSource Energy Corp................. 811,943
------------
2,419,255
------------
- --------------------------------------------------------------------------------
SMALL CAP FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
64
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------
UTILITIES - GAS, DISTRIBUTION - 1.15%
385,325 National-Oilwell, Inc. +...................... $ 7,413,653
------------
WATER SERVICES - 0.00%
3,200 Waterlink, Inc. +............................. 160
------------
TOTAL COMMON STOCK
(Cost $528,887,509)........................... 628,055,438
------------
PAR
VALUE
- -------------
SHORT-TERM INVESTMENTS - 18.03%
COLLECTIVE INVESTMENT POOL - 15.14
$97,638,894 Securities Lending Quality Trust/(2)/......... 97,638,894
------------
REGISTERED INVESTMENT
COMPANIES - 0.58%
3,742,480 T. Rowe Price Reserve Investment Fund......... 3,742,480
------------
COMMERCIAL PAPER - 2.31%
8,119,000 Cafco, LLC:
1.04% due 12/1/03........................... 8,119,000
1,290,000 Morgan Stanley
1.04% due 12/1/03........................... 1,290,000
5,500,000 Transamerica Finance Corp. Yrs 1+2:
0.99% due 12/1/03........................... 5,500,000
------------
14,909,000
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $116,290,374)........................... 116,290,374
------------
TOTAL INVESTMENTS
(Cost $645,177,883) - 115.43%................. 744,345,812
Other assets and liabilities,
net - (15.43)%............................... (99,520,761)
------------
NET ASSETS - 100%............................. $644,825,051
------------
+ Non-income producing
/(1)/ The security or a portion thereof is out
on loan (see Note 2).
/(2)/ The security is purchased with the
cash collateral received from
securities loaned.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
65
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------------
COMMON STOCK - 85.96%
ADVERTISING - 0.34%
11,989 ADVO, Inc.................................... $ 362,188
12,039 APAC Customer Services, Inc. +............... 33,830
15,388 Catalina Marketing Corp. +................... 285,140
2,856 Cross Media Marketing Corp. +................ 3
353 Grey Global Group, Inc....................... 238,363
7,950 R.H. Donnelley Corp. +....................... 319,987
6,775 ValueVision Media, Inc., Class A +/(1)/...... 105,012
-------------
1,344,523
-------------
AEROSPACE/DEFENSE - 1.03%
12,776 AAR Corp. +.................................. 133,637
8,169 Armor Holdings, Inc. +....................... 198,098
3,311 Curtiss-Wright Corp.......................... 271,204
9,772 DRS Technologies, Inc. +..................... 258,958
2,674 Ducommun, Inc. +............................. 59,550
6,207 EDO Corp..................................... 129,106
6,936 Engineered Support Systems, Inc.............. 367,608
8,355 Esterline Technologies Corp. +............... 193,669
4,495 Fairchild Corp., Class A +................... 22,924
12,581 Gencorp, Inc................................. 125,936
5,261 Heico Corp./(1)/............................. 97,171
4,351 Herley Industries, Inc. +/(1)/............... 84,061
8,773 Kaman Corp., Class A......................... 112,909
6,103 Moog, Inc., Class A +........................ 265,480
2,303 MTC Technologies, Inc. +..................... 68,975
24,379 Northwest Airlines Corp., Class A +/(1)/..... 322,047
18,486 Orbital Sciences Corp., Class A +/(1)/....... 169,517
1,422 Sequa Corp., Class A +....................... 67,900
12,907 Teledyne Technologies, Inc. +................ 221,742
31,855 Titan Corp. +................................ 680,104
5,730 Triumph Group, Inc. +........................ 186,741
4,121 United Industrial Corp....................... 70,263
-------------
4,107,600
-------------
AIRLINES - 0.85%
26,475 Airtran Holdings, Inc. +/(1)/................ 390,771
9,436 Alaska Air Group, Inc. +..................... 271,379
11,943 America West Holdings Corp.,
Class B +/(1)/.............................. 180,339
62,742 AMR Corp. +/(1)/............................. 804,980
16,677 Atlantic Coast Airlines Holdings, Inc. +/(1)/ 182,280
270 Atlas Air Worldwide Holdings, Inc. +/(1)/.... 181
26,373 Continental Airlines, Inc., Class B +/(1)/... 491,856
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------
AIRLINES - Continued
12,066 ExpressJet Holdings, Inc. +................ $ 189,557
11,897 Frontier Airlines, Inc. +.................. 192,494
3,815 MAIR Holdings, Inc. +...................... 29,032
10,574 Mesa Air Group, Inc. +/(1)/................ 127,417
4,472 Old Dominion Freight Lines, Inc. +......... 142,523
23,125 SkyWest, Inc............................... 398,906
-------------
3,401,715
-------------
APPAREL & PRODUCTS - 2.24%
7,645 Aeropostale, Inc. +........................ 238,448
20,951 American Eagle Outfitters, Inc. +.......... 386,546
17,892 AnnTaylor Stores Corp. +@.................. 711,028
1,883 Bebe Stores, Inc. +/(1)/................... 53,308
2,653 Blair Corp................................. 66,325
7,126 Brown Shoe Co., Inc........................ 248,911
3,007 Buckle, Inc................................ 65,793
12,117 Casual Male Retail Group, Inc. +/(1)/...... 104,206
6,693 Cato Corp., Class A........................ 139,750
4,549 Charlotte Russe Holding, Inc. +............ 68,462
40,882 Charming Shoppes, Inc. +................... 254,695
2,473 Cherokee, Inc./(1)/........................ 55,519
5,027 Children's Place Retail Stores, Inc. +/(1)/ 144,124
14,106 Christopher & Banks Corp................... 381,567
8,106 DHB Industries, Inc. +/(1)/................ 60,957
7,620 Dress Barn, Inc. +......................... 111,557
7,683 Footstar, Inc. +/(1)/...................... 38,645
8,723 Genesco, Inc. +/(1)/....................... 141,313
7,379 Goody's Family Clothing, Inc............... 78,365
3,028 Guess ?, Inc. +............................ 42,998
11,793 Gymboree Corp. +........................... 200,599
800 Hampshire Group, Ltd. +.................... 24,824
18,907 Hot Topic, Inc. +/(1)/..................... 563,429
6,895 J. Jill Group, Inc. +/(1)/................. 87,842
4,834 K-Swiss, Inc., Class A..................... 235,464
10,531 Kellwood Co................................ 402,705
2,268 Kenneth Cole Productions, Inc.,
Class A/(1)/.............................. 67,813
5,549 Maxwell Shoe Co., Class A +................ 97,607
9,939 Oakley, Inc................................ 130,201
3,155 OshKosh B'Gosh, Inc., Class A.............. 68,148
2,313 Oxford Industries, Inc./(1)/............... 157,932
28,350 Pacific Sunwear of California, Inc. +@..... 645,246
27,269 Payless ShoeSource, Inc. +................. 351,225
1,468 Perry Ellis International, Inc. +/(1)/..... 35,615
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
APPAREL & PRODUCTS - Continued
10,000 Phillips-Van Heusen Corp............. $ 176,000
21,769 Quiksilver, Inc. +................... 391,407
10,557 Russell Corp......................... 194,143
2,904 Shoe Carnival, Inc. +/(1)/........... 52,504
7,457 Skechers U.S.A., Inc., Class A +/(1)/ 55,406
5,885 Stage Stores, Inc. +/(1)/............ 181,552
8,122 Stein Mart, Inc. +................... 72,367
4,007 Steven Madden, Ltd. +................ 85,670
14,767 Stride Rite Corp..................... 170,854
13,698 Too, Inc. +.......................... 249,988
16,370 Unifi, Inc. +........................ 83,978
7,220 Vans, Inc. +/(1)/.................... 92,416
13,882 Warnaco Group, Inc. +................ 214,199
8,948 Wet Seal, Inc. +/(1)/................ 91,896
1,125 Weyco Group, Inc..................... 36,563
16,003 Wolverine World Wide, Inc............ 332,702
-------------
8,942,812
-------------
APPLIANCES/FURNISHINGS - 0.23%
2,196 American Woodmark Corp./(1)/......... 114,192
7,674 Applica, Inc......................... 56,020
4,035 Bassett Furniture Industries, Inc.... 66,174
6,616 Emerson Radio Corp. +................ 23,222
9,010 Griffon Corp. +...................... 175,875
6,342 Haverty Furniture Cos., Inc.......... 135,465
1,220 Hooker Furniture Corp................ 51,228
17,453 Interface, Inc., Class A +........... 99,308
8,828 Kimball International, Inc., Class B. 130,831
1,971 Stanley Furniture Co., Inc........... 62,895
-------------
915,210
-------------
AUTOMOTIVE - 1.49%
9,553 Aaron Rents, Inc., Class B........... 202,524
16,655 Acuity Brands, Inc................... 397,222
5,633 Aftermarket Technology Corp. +....... 74,975
1,628 America's Car Mart, Inc. +/(1)/...... 47,798
6,677 AO Smith Corp........................ 234,630
4,861 Asbury Automotive Group, Inc. +...... 81,179
2,649 ASV, Inc. +.......................... 75,020
12,580 Collins & Aikman Corp. +............. 44,911
26,235 Cooper Tire & Rubber Co.............. 524,962
13,330 CSK Auto Corp. +..................... 243,139
6,115 Dura Automotive Systems, Inc. +...... 63,046
60,483 Goodyear Tire & Rubber Co. +/(1)/.... 408,260
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
66
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
AUTOMOTIVE - Continued
6,558 Group 1 Automotive, Inc. +............... $ 227,563
9,804 Kaydon Corp.............................. 239,414
4,609 Keystone Automotive Industries, Inc. +... 112,321
5,199 Lithia Motors, Inc., Class A............. 129,039
5,623 Midas, Inc. +/(1)/....................... 85,188
9,305 Modine Manufacturing Co.................. 237,371
3,787 Monro Muffler Brake, Inc. +.............. 83,882
12,145 Oshkosh Truck Corp., Class B............. 569,600
19,267 Pep Boys-Manny, Moe & Jack............... 394,973
2,863 Raytech Corp. +.......................... 10,593
561 Sports Resorts International, Inc. +/(1)/ 2,923
2,633 Standard Motor Products, Inc.,
Class A................................. 26,462
1,276 Strattec Security Corp. +................ 75,922
8,957 Superior Industries International, Inc... 398,407
6,740 TBC Corp. +.............................. 199,706
16,802 Tenneco Automotive, Inc. +............... 93,251
22,554 Tower Automotive, Inc. +................. 102,621
6,403 United Auto Group, Inc................... 158,154
52,437 Visteon Corp............................. 411,630
-------------
5,956,686
-------------
AUTO - REPLACEMENT PARTS - 0.08%
10,922 Sonic Automotive, Inc., Class A.......... 245,199
19,857 Valence Technology, Inc. +/(1)/.......... 71,485
-------------
316,684
-------------
BANKS - 7.54%
5,080 1st Source Corp./(1)/.................... 114,046
3,915 ABC Bancorp.............................. 65,850
3,901 Alabama National Bancorp................. 210,654
5,150 Allegiant Bancorp, Inc./(1)/............. 144,457
9,968 Amcore Financial, Inc.................... 271,628
1,826 American National Bankshares, Inc./(1)/.. 48,152
3,683 AmericanWest Bancorp +................... 82,499
3,350 Arrow Financial Corp./(1)/............... 92,963
1,442 BancFirst Corp........................... 81,170
2,685 BancTrust Financial Group, Inc........... 42,342
5,299 Bank of Granite Corp..................... 126,858
1,945 Bank of The Ozarks, Inc./(1)/............ 82,468
3,993 Banner Corp.............................. 100,424
25,533 Bay View Capital Corp. +................. 154,985
8,052 Boston Private Financial
Holdings, Inc./(1)/..................... 208,788
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
BANKS - Continued
2,828 Bryn Mawr Bank Corp./(1)/............... $ 67,165
3,235 BSB Bancorp, Inc........................ 104,652
1,344 C&F Financial Corp./(1)/................ 61,152
3,212 Camden National Corp.................... 93,148
3,522 Capital City Bank Group, Inc./(1)/...... 162,012
1,984 Capital Corp. of the West +............. 75,690
3,548 Capitol Bancorp, Ltd.................... 102,182
5,043 Cascade Bancorp......................... 102,877
8,863 Cathay Bancorp, Inc..................... 460,876
2,054 Cavalry Bancorp, Inc./(1)/.............. 39,909
1,729 CB Bancshares, Inc...................... 109,411
3,389 CCBT Financial Cos., Inc................ 89,775
3,017 Center Bancorp, Inc./(1)/............... 64,051
1,853 Center Financial Corp................... 46,269
3,275 Central Coast Bancorp +................. 60,588
5,756 Central Pacific Financial Corp.......... 158,866
1,287 Century Bancorp, Inc., Class A/(1)/..... 47,889
9,503 Chemical Financial Corp................. 344,484
17,357 Citizens Banking Corp................... 547,093
3,220 City Bank/(1)/.......................... 109,738
6,669 City Holding Co......................... 237,416
1,463 CNB Financial Corp./(1)/................ 65,762
3,306 CoBiz, Inc./(1)/........................ 59,640
2,200 Columbia Bancorp........................ 64,570
3,027 Columbia Bankcorp/OR/(1)/............... 51,156
5,360 Columbia Banking System, Inc............ 112,560
1,357 Commercial Bankshares, Inc./FL.......... 45,568
17,743 Commercial Federal Corp................. 479,061
1,650 Community Bank of Northern Virginia/(1)/ 31,350
4,564 Community Bank Systems, Inc............. 222,267
3,254 Community Bks., Inc..................... 126,092
14,606 Community First Bankshares, Inc......... 416,563
5,413 Community Trust Bancorp, Inc............ 177,438
3,100 Corus Bankshares, Inc................... 193,130
13,223 CVB Financial Corp...................... 270,675
9,076 East West Bancorp, Inc.................. 475,401
1,945 Eastern Virginia Bankshares, Inc./(1)/.. 60,198
1,672 Exchange National Bancshares, Inc./(1)/. 59,189
2,405 Farmers Capital Bank Corp............... 82,612
1,641 FFLC Bancorp, Inc....................... 48,574
3,347 Financial Institutions, Inc............. 87,859
2,983 First Bancorp North Carolina............ 92,473
3,538 First Busey Corp., Class A/(1)/......... 95,561
11,936 First Charter Corp./(1)/................ 243,017
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
BANKS - Continued
1,676 First Citizens Banc Corp........... $ 52,040
2,448 First Citizens BancShares, Inc.,
Class A........................... 270,235
23,670 First Commonwealth Financial Corp.. 344,398
4,956 First Community Bancorp............ 182,777
3,847 First Community Bancshares, Inc.... 141,108
1,269 First Federal Financial of Kentucky 37,436
12,993 First Financial Bancorp............ 207,888
5,491 First Financial Bankshares, Inc.... 232,873
5,450 First Financial Corp............... 162,301
1,371 First M & F Corp................... 49,822
7,377 First Merchants Corp............... 187,007
3,080 First National Corp................ 98,006
2,578 First Oak Brook Bancshares, Inc.,
Class A........................... 80,176
1,357 First of Long Island Corp.......... 58,093
4,180 First Republic Bank................ 155,705
1,237 First South Bancorp, Inc./(1)/..... 45,905
2,975 First State Bancorp................ 102,608
2,441 First United Corp.................. 60,000
2,167 Firstbank Corp./MI................. 69,344
2,329 FNB Corp........................... 68,938
1,982 FNB Corp., Inc..................... 45,427
1,840 Foothill Independent Bancorp....... 41,952
1,320 Franklin Financial Corp............ 40,484
24,427 Fremont General Corp./(1)/......... 426,984
6,171 Frontier Financial Corp............ 211,604
1,785 GB&T Bancshares, Inc............... 41,466
3,724 German American Bancorp/(1)/....... 69,043
7,158 Glacier Bancorp, Inc............... 226,694
14,133 Gold Banc Corp., Inc............... 186,556
2,272 Great Southern Bancorp, Inc........ 97,128
19,398 Greater Bay Bancorp/(1)/........... 504,348
2,072 Greater Community Bancorp.......... 37,337
2,348 Greene County Bancshares, Inc./(1)/ 56,352
5,370 Hancock Holding Co................. 307,432
3,715 Hanmi Financial Corp............... 76,789
9,538 Harleysville National Corp./(1)/... 293,580
2,491 Heartland Financial USA, Inc....... 72,613
4,506 Heritage Commerce Corp. +.......... 56,325
4,959 Humboldt Bancorp/(1)/.............. 86,634
2,690 Iberiabank Corp.................... 155,966
1,043 IBT Bancorp, Inc./Pa............... 55,216
4,720 Independent Bank Corp. (MA)........ 138,060
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
67
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
BANKS - Continued
7,938 Independent Bank Corp. (MI)........... $ 231,393
6,140 Integra Bank Corp..................... 137,229
4,479 Interchange Financial Services Corp... 102,838
6,250 Irwin Financial Corp./(1)/............ 189,125
4,822 Lakeland Bancorp, Inc./(1)/........... 77,152
2,061 Lakeland Financial Corp............... 73,660
1,875 LNB Bancorp, Inc...................... 39,094
6,937 Local Financial Corp.+................ 137,838
3,403 LSB Bancshares, Inc................... 64,215
3,355 Macatawa Bank Corp.................... 94,946
5,356 Main Street Bks., Inc./(1)/........... 141,827
2,390 Mainsource Financial Group, Inc....... 74,688
4,607 MB Financial, Inc..................... 239,380
6,416 MBT Financial Corp.................... 114,718
1,929 Mercantile Bank Corp.................. 66,165
1,610 Merchants Bancshares, Inc............. 47,495
9,412 Mid-State Bancshares.................. 243,300
4,291 Midwest Banc Holdings, Inc............ 93,973
3,537 Nara Bancorp, Inc..................... 77,496
1,409 National Bankshares, Inc./VA.......... 69,393
8,728 National Penn Bancshares, Inc./(1)/... 292,388
2,679 NBC Capital Corp./(1)/................ 72,708
13,005 NBT Bancorp, Inc./(1)/................ 284,549
19,243 NetBank, Inc.......................... 252,083
1,164 Northern States Financial Corp./(1)/.. 35,095
1,320 Oak Hill Financial, Inc............... 40,920
925 Old Point Financial, Corp./(1)/....... 30,525
2,151 Old Second Bancorp, Inc............... 108,539
3,255 Omega Financial Corp.................. 123,690
5,194 Oriental Financial Group, Inc......... 141,796
2,829 PAB Bankshares, Inc./(1)/............. 42,774
13,791 Pacific Capital Bancorp............... 509,577
1,601 Pacific Union Bank.................... 36,647
2,676 Patriot Bank Corp..................... 59,541
2,695 Peapack Gladstone Financial Corp./(1)/ 83,545
3,055 Pennrock Financial Services Corp...... 100,051
1,335 Penns Woods Bancorp, Inc.............. 59,928
4,053 Peoples Bancorp, Inc./(1)/............ 115,348
2,230 Peoples Holding Co.................... 110,965
2,279 PrivateBancorp, Inc................... 96,584
5,145 Prosperity Bancshares, Inc./(1)/...... 111,441
9,212 Provident Bankshares Corp./(1)/....... 267,701
7,347 R&G Financial Corp., Class B.......... 277,790
20,120 Republic Bancorp, Inc................. 276,650
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
BANKS - Continued
2,867 Republic Bancorp, Inc., Class A/(1)/... $ 56,480
3,032 Republic Bancshares, Inc............... 90,445
1,794 Resource Bankshares Corp./VA........... 56,152
6,272 Riggs National Corp.................... 107,628
1,719 Royal Bancshares of Pennsylvania, Inc.,
Class A............................... 45,725
10,562 S&T Bancorp, Inc....................... 320,874
5,818 Sandy Spring Bancorp, Inc./(1)/........ 232,138
1,938 Santander Bancorp...................... 47,597
4,565 Seacoast Banking Corp. of Florida/(1)/. 80,846
3,252 Second Bancorp, Inc.................... 92,032
1,511 Security Bank Corp./(1)/............... 46,569
2,156 Shore Bancshares, Inc./(1)/............ 90,768
2,030 Sierra Bancorp......................... 34,490
11,837 Silicon Valley Bancshares +/(1)/....... 434,773
5,676 Simmons First National Corp., Class A.. 150,584
18,712 South Financial Group, Inc............. 533,292
2,413 Southern Financial Bancorp, Inc........ 101,949
3,544 Southside Bancshares, Inc./(1)/........ 60,868
11,337 Southwest Bancorp of Texas, Inc........ 433,414
4,261 Southwest Bancorp, Inc................. 74,781
2,691 State Bancorp, Inc..................... 60,278
2,054 State Financial Services Corp.,
Class A............................... 54,534
5,201 Sterling Bancorp....................... 152,441
15,892 Sterling Bancshares, Inc............... 201,987
6,790 Sterling Financial Corp. (PA)/(1)/..... 191,003
4,429 Suffolk Bancorp/(1)/................... 159,710
2,092 Summit Bancshares, Inc................. 58,639
2,178 Sun Bancorp, Inc./(1)/................. 45,411
2,574 Sun Bancorp, Inc.-NJ +/(1)/............ 58,301
15,916 Susquehanna Bancshares, Inc............ 423,684
4,218 SY Bancorp, Inc./(1)/.................. 94,357
1,522 Taylor Capital Group, Inc.............. 39,237
9,405 Texas Regional Bancshares, Inc.,
Class A............................... 349,866
3,263 Tompkins Trustco, Inc.................. 157,440
2,106 TriCo Bancshares....................... 69,814
7,432 Trust Co. of New Jersey................ 254,174
29,881 TrustCo Bank Corp. NY.................. 416,840
4,981 U.S.B. Holding Co., Inc................ 96,631
16,902 UCBH Holdings, Inc..................... 660,868
6,571 UMB Financial Corp..................... 320,599
11,329 Umpqua Holdings Corp................... 243,573
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------------
BANKS - Continued
3,047 Union Bankshares Corp..................... $ 98,875
7,318 United Community Bks., Inc./(1)/.......... 247,056
7,598 United National Bancorp................... 271,553
2,580 United Security Bancshares/AL/(1)/........ 78,690
1,370 United Security Bancshares/CA/(1)/........ 36,305
8,671 Unizan Financial Corp..................... 186,426
1,917 Virginia Commerce Bancorp +/(1)/.......... 61,344
2,872 Virginia Financial Group, Inc............. 109,280
18,574 W Holding Co., Inc........................ 491,282
5,247 Washington Trust Bancorp, Inc............. 144,922
1,962 Wayne Bancorp, Inc./OH.................... 56,015
7,214 WesBanco, Inc............................. 200,693
6,443 West Bancorp./(1)/........................ 115,008
6,101 West Coast Bancorp/(1)/................... 132,636
1,421 Western Sierra Bancorp +/(1)/............. 62,027
6,980 Wintrust Financial Corp./(1)/............. 312,634
3,139 Yadkin Valley Bank & Trust Co./(1)/....... 55,149
3,323 Yardville National Bancorp................ 76,097
-------------
30,091,437
-------------
BEVERAGES - 0.12%
2,939 Boston Beer Co., Inc., Class A +/(1)/..... 54,078
1,448 Coca-Cola Bottling Co. Cons............... 77,772
296 Farmer Brothers Co./(1)/.................. 94,720
1,421 Green Mountain Coffee, Inc. +............. 33,024
1,449 National Beverage Corp. +................. 21,851
4,222 Peet's Coffee & Tea, Inc. +/(1)/.......... 71,014
3,769 Robert Mondavi Corp., Class A +........... 131,915
-------------
484,374
-------------
BROADCASTING - 0.75%
4,863 4Kids Entertainment, Inc. +/(1)/.......... 130,572
3,353 Acme Communications, Inc. +............... 28,501
1,636 Beasley Broadcast Group, Inc.,
Class A +................................ 24,249
5,029 Crown Media Holdings, Inc., Class A +/(1)/ 44,305
17,270 Cumulus Media, Inc., Class A +............ 329,857
11,528 Digital Generation Systems, Inc. +........ 21,557
17,796 Emmis Communications Corp.,
Class A +................................ 403,257
1,975 Fisher Communications, Inc. +............. 95,274
16,002 Gray Television, Inc...................... 207,386
6,515 Liberty Corp.............................. 289,592
10,715 Lin TV Corp., Class A +................... 240,552
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
68
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
BROADCASTING - Continued
4,199 Lodgenet Entertainment Corp. +....... $ 75,792
20,084 Mediacom Communications Corp.,
Class A +........................... 154,848
11,873 Paxson Communications Corp. +........ 56,990
1,256 Pegasus Communications Corp.,
Class A +/(1)/...................... 25,208
9,946 Pegasus Solutions, Inc. +/(1)/....... 118,158
13,988 Regent Communications, Inc. +........ 91,062
5,443 Saga Communications, Inc.,
Class A +........................... 95,089
3,484 Salem Communications Corp.,
Class A +........................... 86,299
15,247 Sinclair Broadcast Group, Inc.,
Class A +/(1)/...................... 174,883
12,689 Spanish Broadcasting System, Inc.,
Class A +........................... 127,524
4,859 World Wrestling Entertainment, Inc.,
Class A............................. 55,976
5,028 Young Broadcasting, Inc., Class A +.. 99,806
-------------
2,976,737
-------------
BUILDING MATERIALS - 0.94%
8,943 Apogee Enterprises, Inc.............. 105,796
4,919 Barnes Group, Inc.................... 147,226
2,618 Centex Construction Productions, Inc. 153,415
2,482 Drew Industries, Inc. +.............. 66,865
7,833 Elkcorp.............................. 199,115
4,828 Genlyte Group, Inc. +................ 255,208
17,584 Lennox International, Inc............ 298,928
7,161 LSI Industries, Inc.................. 89,154
11,425 Mathews International Corp., Class A. 325,270
1,211 Mestek, Inc. +....................... 22,767
7,514 NCI Building Systems, Inc. +......... 175,001
6,573 Perini Corp. +....................... 59,223
15,141 Shaw Group, Inc. +/(1)/.............. 197,136
5,958 Simpson Manufacturing Co., Inc. +.... 293,134
8,449 Texas Industries, Inc................ 246,795
2,994 Trex Co., Inc. +/(1)/................ 110,628
14,674 USG Corp. +/(1)/..................... 221,137
7,530 Watsco, Inc.......................... 174,997
14,911 York International Corp.............. 595,694
-------------
3,737,489
-------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
CHEMICAL - 1.73%
3,563 Aceto Corp......................... $ 68,762
12,792 Albemarle Corp..................... 362,014
7,919 Arch Chemicals, Inc................ 181,266
7,381 Cabot Microelectronics Corp. +/(1)/ 391,857
45,880 Crompton Corp...................... 277,574
5,858 Ethyl Corp. +...................... 119,503
14,240 Ferro Corp......................... 323,248
14,119 FMC Corp. +........................ 422,723
11,175 Georgia Gulf Corp.................. 318,264
14,527 Great Lakes Chemical Corp.......... 329,908
11,386 H.B. Fuller Co..................... 303,665
36,290 Hercules, Inc. +................... 364,352
8,902 Hexcel Corp. +/(1)/................ 61,780
10,863 MacDermid, Inc..................... 356,306
25,469 Millennium Chemicals, Inc./(1)/.... 275,575
6,970 Minerals Technologies, Inc......... 372,547
2,947 NL Industries, Inc................. 52,692
4,009 Octel Corp......................... 77,654
21,573 Olin Corp.......................... 392,844
11,375 Om Group Inc. +.................... 275,389
13,200 Omnova Solutions, Inc. +........... 48,180
36,791 PolyOne Corp. +.................... 218,906
3,159 Quaker Chemical Corp............... 82,861
11,825 Schulman (A), Inc.................. 231,179
42,003 Solutia, Inc....................... 115,508
9,247 Spartech Corp...................... 203,434
2,064 Stepan Co.......................... 51,724
9,291 Symyx Technologies, Inc. +......... 185,355
10,733 Valhi, Inc./(1)/................... 148,330
26,294 W.R. Grace & Co. +................. 71,520
6,648 WD-40 Co........................... 237,998
-------------
6,922,918
-------------
COAL - 0.22%
18,491 Arch Coal, Inc..................... 489,827
24,656 Massey Energy Co................... 342,718
2,508 Westmoreland Coal Co. +............ 35,087
-------------
867,632
-------------
COMMERCIAL SERVICES - 2.69%
2,141 1-800 Contacts, Inc. +/(1)/........ 45,282
7,534 1-800-FLOWERS.COM, Inc.,
Class A +......................... 88,223
15,098 ABM Industries, Inc................ 239,303
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
COMMERCIAL SERVICES - Continued
7,867 Administaff, Inc. +/(1)/.............. $ 117,690
3,895 Advisory Board Co. +.................. 143,024
14,881 Alderwoods Group, Inc. +.............. 131,846
11,940 Arbitron, Inc. +...................... 509,838
1,655 Blount International, Inc. +.......... 9,947
2,790 Central European
Distribution Corp. +/(1)/............ 87,662
7,255 Central Parking Corp./(1)/............ 101,207
32,538 Century Business Services, Inc. +..... 151,302
2,882 Ceradyne, Inc. +...................... 123,090
2,914 Charles River Associates, Inc. +...... 95,142
6,261 Clark, Inc. +......................... 102,743
4,942 Cornell Cos., Inc. +.................. 62,269
14,043 Corrections Corp. of America +........ 393,204
5,328 CoStar Group, Inc. +.................. 223,776
3,249 CPI Corp.............................. 74,890
66,151 Crown Holdings, Inc. +................ 496,133
19,204 Dycom Industries, Inc. +.............. 486,821
6,700 Electro Rent Corp. +.................. 93,130
6,395 Euronet Worldwide, Inc. +/(1)/........ 107,628
7,642 First Consulting Group, Inc. +........ 40,273
16,525 FTI Consulting, Inc. +/(1)/........... 363,054
5,170 Greif Brothers Corp., Class A......... 175,780
3,755 Healthcare Services Group, Inc........ 74,312
2,202 ICT Group, Inc. +..................... 29,639
8,991 iDine Rewards Network, Inc. +/(1)/.... 98,002
3,502 Insurance Auto Auctions, Inc. +....... 44,475
12,696 Integrated Electrical Services, Inc. + 99,537
14,470 Kroll, Inc. +......................... 346,557
3,199 Landauer, Inc......................... 120,282
2,777 Maritrans, Inc........................ 46,126
6,181 Maximus, Inc. +/(1)/.................. 234,260
3,047 McGrath Rent Corp..................... 83,457
2,992 MemberWorks, Inc. +/(1)/.............. 81,173
5,316 Mobile Mini, Inc. +/(1)/.............. 104,885
16,769 Navigant Consulting, Inc. +/(1)/...... 290,104
8,948 Pacer International, Inc. +........... 187,282
10,288 Parexel International Corp. +......... 190,122
1,463 Petroleum Helicopters, Inc. +......... 36,209
16,079 Plexus Corp. +........................ 285,402
6,304 Pre-Paid Legal Services, Inc. +/(1)/.. 167,750
15,678 PRG-Shultz International, Inc. +/(1)/. 77,606
9,300 ProcureNet, Inc. /(3)/................ 93
29,363 Quanta Services, Inc. +/(1)/.......... 224,627
2,647 Raven Industries, Inc................. 73,296
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
69
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
COMMERCIAL SERVICES - Continued
8,470 Rent-Way, Inc. +...................... $ 62,763
6,576 Right Management Consultants, Inc. +.. 117,513
7,650 Rollins, Inc.......................... 170,442
3,941 Roto-Rooter, Inc...................... 145,068
47,864 Safeguard Scientifics, Inc. +......... 163,695
2,100 SFBC International, Inc. +............ 54,075
4,338 Silgan Holdings, Inc. +............... 149,444
4,881 SM&A +................................ 57,547
17,881 Sotheby's Holdings, Inc., Class A +... 207,420
4,643 Source Interlink Cos., Inc. +/(1)/.... 44,991
6,116 Sourcecorp, Inc. +.................... 149,597
4,206 Startek, Inc.......................... 162,646
6,707 Stewart Information Services Corp..... 259,091
13,905 TeleTech Holdings, Inc. +............. 139,745
21,329 United Rentals, Inc. +................ 395,013
6,410 URS Corp. +........................... 146,148
3,180 Volt Information Sciences, Inc. +..... 64,872
3,712 Wackenhut Corrections Corp. +......... 80,365
10,029 Washington Group
International, Inc. +................ 336,172
13,215 Watson Wyatt & Co. Holdings, Class A + 317,424
10,780 Wireless Facilities, Inc. +........... 156,633
-------------
10,739,117
-------------
CONGLOMERATES - 0.09%
14,109 Trinity Industries, Inc./(1)/......... 366,129
-------------
CONSUMER SERVICE - 0.03%
8,104 Advanta Corp., Class B................ 104,055
-------------
DRUGS - 2.02%
5,592 aaiPharma, Inc. +/(1)/................ 101,663
5,287 Able Laboratories, Inc. +/(1)/........ 97,968
12,663 Adolor Corp. +........................ 249,841
15,523 Alpharma, Inc., Class A............... 312,788
13,511 Alteon, Inc. +/(1)/................... 22,698
7,898 Antigenics, Inc. +/(1)/............... 97,461
14,615 Atherogenics, Inc. +.................. 208,995
8,240 Atrix Labs, Inc. +/(1)/............... 166,942
8,306 AVI Biopharma, Inc. +/(1)/............ 40,699
5,148 Bentley Pharmaceuticals, Inc. +....... 63,063
12,355 Biopure Corp., Class A +/(1)/......... 39,165
3,758 Bone Care International, Inc. +....... 50,733
3,256 Bradley Pharmaceuticals, Inc.,
Class A +/(1)/....................... 76,581
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
DRUGS - Continued
5,018 Chronimed, Inc. +........................ $ 45,062
5,743 Cima Labs, Inc. +........................ 189,404
3,076 Collagenex Pharmaceuticals, Inc. +....... 31,867
16,810 Corixa Corp. +/(1)/...................... 95,649
11,853 Cubist Pharmaceuticals, Inc. +/(1)/...... 147,214
5,043 D&K Healthcare Resources, Inc............ 68,181
3,304 Dendreon Corp. +/(1)/.................... 26,168
11,758 Durect Corp., Inc. +/(1)/................ 26,456
17,764 Encysive Pharmaceuticals, Inc. +......... 133,052
8,126 First Horizon Pharmaceutical Corp. +..... 92,636
18,833 Genta, Inc. +/(1)/....................... 189,272
9,086 Guilford Pharmaceuticals, Inc. +/(1)/.... 62,057
1,783 Hi-Tech Pharmacal Co., Inc. +/(1)/....... 36,159
15,201 Ilex Oncology, Inc. +.................... 317,245
16,280 ImmunoGen, Inc. +........................ 77,004
11,125 Impax Laboratories, Inc. +/(1)/.......... 156,863
15,059 Indevus Pharmaceuticals, Inc. +/(1)/..... 85,535
11,246 Inspire Phamaceuticals, Inc. +........... 194,556
17,819 Isis Pharmaceuticals, Inc. +/(1)/........ 106,736
12,181 K-V Pharmaceutical Co., Class A +........ 317,924
4,179 KOS Pharmaceuticals, Inc. +/(1)/......... 185,966
17,434 La Jolla Pharmaceutical Co. +............ 50,559
2,353 Lannett Co., Inc. +/(1)/................. 42,166
22,870 Ligand Pharmaceuticals, Inc.,
Class B +/(1)/.......................... 306,001
20,352 Nabi Biopharmaceuticals +................ 219,191
3,679 Natures Sunshine Products, Inc........... 29,726
20,660 NBTY, Inc. +............................. 524,764
5,227 NeoPharm, Inc. +/(1)/.................... 93,772
2,423 Omega Protein Corp. +/(1)/............... 15,144
15,542 OSI Pharmaceuticals, Inc. +/(1)/......... 462,064
7,137 Pain Therapeutics, Inc. +................ 43,536
5,537 Penwest Pharmaceuticals Co. +/(1)/....... 85,270
24,511 Perrigo Co............................... 369,871
9,497 Pharmacopeia, Inc. +..................... 118,713
13,861 Priority Healthcare Corp., Class B +/(1)/ 317,833
7,154 Salix Pharmaceuticals, Ltd. +............ 136,141
15,064 SciClone Pharmaceuticals, Inc. +/(1)/.... 110,720
9,822 Star Scientific, Inc. +/(1)/............. 19,939
11,885 SuperGen, Inc. +/(1)/.................... 125,624
9,569 Tanox, Inc. +/(1)/....................... 143,918
12,003 Theragenics Corp. +...................... 58,935
6,992 United Therapeutics Corp. +/(1)/......... 131,589
3,540 USANA Health Sciences, Inc. +/(1)/....... 119,758
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
DRUGS - Continued
30,772 Vertex Pharmaceuticals, Inc. +......... $ 268,947
3,519 Virbac Corp. +/(3)(4)/................. 22,874
13,533 Vivus, Inc. +.......................... 48,989
5,091 Zymogenetics, Inc. +/(1)/.............. 67,761
-------------
8,047,408
-------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 4.20%
6,725 Advanced Energy Industries, Inc. +/(1)/ 177,540
3,163 Analogic Corp.......................... 132,846
12,671 Artesyn Technologies, Inc. +/(1)/...... 99,974
19,339 Avista Corp............................ 341,140
4,405 BEI Technologies, Inc.................. 77,836
3,924 Bel Fuse, Inc., Class B................ 113,835
9,004 Belden, Inc............................ 177,379
14,824 Benchmark Electronics, Inc. +.......... 544,486
8,194 C&D Technologies, Inc.................. 164,044
12,648 C-COR.net Corp. +...................... 149,246
17,049 Cable Design Technologies Corp. +/(1)/. 173,218
13,127 Checkpoint Systems, Inc. +/(1)/........ 254,007
11,761 Coherent, Inc. +....................... 281,558
20,692 Commscope, Inc. +...................... 330,244
13,700 CTS Corp............................... 167,962
6,206 Cubic Corp./(1)/....................... 183,573
13,850 Cymer, Inc. +.......................... 642,224
5,687 Daktronics, Inc. +..................... 105,556
6,683 Dionex Corp. +......................... 313,967
11,008 DSP Group, Inc. +...................... 265,183
11,165 Electro Scientific Industries, Inc. +.. 268,518
5,248 Emcor Group, Inc. +.................... 215,693
4,161 Encore Wire Corp. +.................... 70,487
6,766 Energy Conversion Devices, Inc. +/(1)/. 58,188
81,489 Enterasys Networks, Inc. +............. 349,588
4,808 ESCO Technologies, Inc. +.............. 204,340
3,665 Excel Technology, Inc. +............... 115,447
4,612 Fargo Electronics, Inc. +/(1)/......... 65,583
9,800 FEI Co. +.............................. 235,298
13,226 Flir Systems, Inc. +................... 455,768
13,632 FuelCell Energy, Inc. +/(1)/........... 183,487
13,310 General Cable Corp. +/(1)/............. 112,203
8,371 Gerber Scientific, Inc. +.............. 69,563
5,940 Global Imaging Systems, Inc. +/(1)/.... 174,101
21,539 Graftech International, Ltd. +......... 255,022
24,255 Harmonic, Inc. +....................... 210,776
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
70
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - Continued
10,415 Hypercom Corp. +..................... $ 53,012
34,294 Identix, Inc. +/(1)/................. 177,643
6,230 Innovex, Inc. +/(1)/................. 58,562
6,600 Intermagnetics General Corp. +....... 148,698
8,241 Intertan, Inc. +..................... 80,350
6,885 Invision Technologies, Inc. +/(1)/... 205,311
8,170 Itron, Inc. +/(1)/................... 156,782
4,893 Keithley Instruments, Inc............ 88,319
34,586 Kemet Corp. +........................ 456,535
7,707 Littelfuse, Inc. +................... 229,592
8,389 Magma Design Automation, Inc. +/(1)/. 197,393
6,506 Manufacturers Services, Ltd. +/(1)/.. 39,687
4,724 Medis Technologies, Ltd. +/(1)/...... 42,280
13,370 Methode Electronics, Inc., Class A... 171,537
1,436 Metrologic Instruments, Inc. +/(1)/.. 39,117
5,516 Molecular Devices Corp. +............ 109,382
22,537 New Focus, Inc. +.................... 110,206
15,512 Newport Corp. +...................... 264,169
44,309 Oplink Communications, Inc. +........ 105,899
6,349 Optical Communication Products, Inc.,
Class A +/(1)/...................... 24,952
5,180 OSI Systems, Inc. +/(1)/............. 96,244
6,909 Park Electrochemical Corp............ 176,525
11,158 Paxar Corp. +........................ 146,728
10,162 Pemstar, Inc. +/(1)/................. 38,209
6,408 Photon Dynamics, Inc. +/(1)/......... 261,510
13,824 Pixelworks, Inc. +................... 182,477
5,619 Planar Systems, Inc. +............... 133,732
2,631 Powell Industries, Inc. +............ 44,359
25,433 Power-One, Inc. +.................... 214,400
13,023 Rayovac Corp. +/(1)/................. 234,284
3,998 Research Frontiers, Inc. +/(1)/...... 38,381
2,504 Richardson Electronics, Ltd.......... 25,541
4,646 Rofin-Sinar Technologies, Inc. +..... 149,462
6,396 Rogers Corp. +....................... 280,784
10,393 SAFLINK, Corp. +/(1)/................ 40,533
5,858 SBS Technologies, Inc. +............. 85,820
4,286 ScanSource, Inc. +/(1)/.............. 187,470
27,839 Silicon Image, Inc. +/(1)/........... 206,009
9,940 Sipex Corp. +........................ 93,436
4,881 Sonic Solutions +/(1)/............... 92,104
4,817 Standard Microsystems Corp. +........ 129,096
4,387 Standex International Corp........... 119,633
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - Continued
5,095 Stoneridge, Inc. +........................ $ 68,018
20,010 Superconductor Technologies +............. 148,474
2,160 Sypris Solutions, Inc..................... 29,484
16,117 Technitrol, Inc. +........................ 383,423
17,122 Thomas & Betts Corp....................... 356,138
3,808 Thomas Industries, Inc.................... 120,028
12,700 Trimble Navigation, Ltd. +................ 385,191
7,724 TTM Technologies, Inc. +.................. 130,536
5,833 Universal Display Corp. +/(1)/............ 86,562
5,459 Universal Electronics, Inc. +............. 74,510
11,743 Varian, Inc. +............................ 476,296
7,706 Vicor Corp. +............................. 88,619
4,479 Watts Industries, Inc., Class A........... 91,819
6,387 Wesco International, Inc. +............... 57,164
7,980 Wilson Greatbatch
Technologies, Inc. +/(1)/................ 334,362
3,924 Woodhead Industries, Inc.................. 66,630
3,551 Woodward Governor Co...................... 177,124
8,125 X-Rite, Inc............................... 93,031
6,333 Zygo Corp. +.............................. 102,975
-------------
16,746,427
-------------
FERTILIZERS - 0.17%
15,025 Delta & Pine Land Co...................... 379,381
43,467 IMC Global, Inc........................... 316,005
-------------
695,386
-------------
FINANCE COMPANIES - 0.52%
3,874 Accredited Home Lenders
Holding Co. +/(1)/....................... 120,288
16,536 Charter Municipal Mtg.
Acceptance Co............................ 330,720
13,433 Chittenden Corp........................... 458,603
5,180 Credit Acceptance Corp. +/(1)/............ 77,700
17,937 E-Loan, Inc. +............................ 55,963
3,133 Federal Agricultural Mtg. Corp.,
Class C +/(1)/........................... 89,259
5,832 Financial Federal Corp. +................. 191,814
11,376 Metris Cos., Inc./(1)/.................... 50,737
4,469 Portfolio Recovery Associates, Inc. +/(1)/ 123,970
1,579 United PanAm Financial Corp. +............ 28,738
5,628 Westcorp.................................. 210,768
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------------
FINANCE COMPANIES - Continued
4,871 WFS Financial, Inc. +..................... $ 203,121
5,990 World Acceptance Corp. +.................. 115,727
-------------
2,057,408
-------------
FINANCIAL SERVICES - 0.92%
7,946 Affiliated Managers Group, Inc. +......... 528,409
4,569 American Home Mtg. Holdings, Inc./(1)/.... 102,528
2,257 Bankrate, Inc. +/(1)/..................... 30,876
8,701 Coinstar, Inc. +/(1)/..................... 146,438
5,344 CompuCredit Corp. +....................... 126,546
9,439 eSpeed, Inc., Class A +................... 222,572
2,804 First Albany Cos., Inc.................... 38,838
2,612 Gabelli Asset Management, Inc.,
Class A/(1)/............................. 97,950
18,944 Investment Technology Group, Inc. +....... 335,309
2,199 iPayment, Inc. +.......................... 56,690
29,103 Knight Trading Group, Inc. +/(1)/......... 419,956
11,239 MCG Capital Corp.......................... 205,898
5,591 Medallion Financial Corp.................. 48,921
3,100 National Processing, Inc. +............... 75,175
7,286 NCO Group, Inc. +......................... 168,307
11,350 New Century Financial Corp./(1)/.......... 431,867
3,396 Newtek Business Services, Inc. +.......... 20,172
2,775 PDI, Inc. +............................... 80,198
5,931 Resource America, Inc..................... 77,281
4,246 Sanders Morris Haris Group, Inc./(1)/..... 42,248
10,865 Saxon Capital, Inc. +..................... 205,023
6,576 Soundview Technology Group, Inc. +........ 101,533
5,613 SWS Group, Inc./(1)/...................... 105,581
-------------
3,668,316
-------------
FOODS - 0.99%
1,402 Alico, Inc................................ 48,930
5,982 American Italian Pasta Co., Class A +/(1)/ 227,316
557 Arden Group, Inc.......................... 42,282
13,800 Chiquita Brands International, Inc. +/(1)/ 292,422
14,445 Corn Products International, Inc.......... 500,664
12,606 Flowers Foods, Inc........................ 329,017
8,938 Hain Celestial Group, Inc. +.............. 206,200
2,490 Horizon Organic Holding Corp. +/(1)/...... 59,611
7,045 International Multifoods Corp. +.......... 125,612
17,975 Interstate Bakeries Corp.................. 283,106
2,468 J&J Snack Foods Corp. +................... 88,848
2,146 John B. Sanfilippo & Son, Inc. +/(1)/..... 85,411
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
71
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
FOODS - Continued
9,911 Lance, Inc............................ $ 138,853
4,085 M & F Worldwide Corp. +............... 56,577
1,241 Maui Land & Pineapple Co., Inc. +/(1)/ 38,843
6,053 Pilgrims Pride Corp./(1)/............. 90,492
11,592 Ralcorp Holdings, Inc. +.............. 351,006
2,392 Riviana Foods, Inc.................... 70,540
2,085 Sanderson Farms, Inc.................. 71,682
146 Seabord Corp.......................... 33,653
15,897 Sensient Technologies Corp............ 299,658
2,775 Tejon Ranch Co. +..................... 109,613
7,683 United Natural Foods, Inc. +.......... 294,950
9,939 Wild Oats Markets, Inc. +............. 112,708
-------------
3,957,994
-------------
FREIGHT - 1.11%
15,473 Alexander & Baldwin, Inc.............. 486,781
2,398 Ambassadors International, Inc........ 31,366
8,710 Arkansas Best Corp.................... 273,320
2,935 Covenant Transport, Inc., Class A +... 55,295
12,635 EGL, Inc. +........................... 232,105
4,372 Forward Air Corp. +................... 124,340
16,733 GATX Corp............................. 406,612
5,446 Gulfmark Offshore, Inc. +/(1)/........ 76,407
12,135 Heartland Express, Inc................ 294,516
2,699 Interpool, Inc........................ 41,025
7,395 Kirby Corp. +......................... 221,850
9,734 Knight Transportation, Inc. +......... 235,855
11,810 Landstar System, Inc. +............... 425,160
7,476 Offshore Logistics, Inc. +............ 188,769
6,173 Overseas Shipholding Group, Inc....... 173,770
2,286 P.A.M. Transportation
Services, Inc. +/(1)/................ 44,691
4,640 Roadway Corp./(1)/.................... 236,640
5,568 SCS Transportation, Inc. +............ 92,596
4,687 Seabulk International, Inc. +......... 41,011
2,258 US Xpress Enterprises, Inc. Class A +. 30,144
10,838 USF Corp.............................. 357,979
11,914 Yellow Corp. +/(1)/................... 364,211
-------------
4,434,443
-------------
GAS & PIPELINE UTILITIES - 0.15%
19,987 Atmos Energy Corp..................... 492,680
4,444 Cascade Natural Gas Corp.............. 88,880
-------------
581,560
-------------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
MINING - 0.12%
70,929 Coeur d'Alene Mines Corp. +.......... $ 367,412
15,614 Stillwater Mining Co. +.............. 131,470
-------------
498,882
-------------
HARDWARE & TOOLS - 0.10%
12,909 Lincoln Electric Holdings, Inc....... 326,856
4,105 Penn Engineering & Manufacturing
Corp................................ 67,322
-------------
394,178
-------------
HEALTHCARE - 2.18%
19,164 Accredo Health, Inc. +............... 596,000
11,635 Advanced Medical Optics, Inc. +...... 229,326
6,159 Alaris Medical, Inc. +............... 97,990
4,780 Alliance Imaging, Inc. +............. 18,403
5,251 American Healthways, Inc. +/(1)/..... 243,226
8,259 American Medical Systems
Holdings, Inc. +.................... 187,727
4,715 Bruker BioSciences Corp. +/(1)/...... 23,481
3,092 Candela Corp. +...................... 63,479
12,212 Columbia Laboratories, Inc. +........ 63,258
12,401 Cooper Cos., Inc..................... 566,106
2,604 Corvel Corp. +....................... 90,489
24,653 Covance, Inc. + @.................... 644,183
4,258 Curative Health Services, Inc. +/(1)/ 55,269
16,068 Dade Behring Holdings, Inc. +........ 543,098
2,275 Dynacq Healthcare, Inc. +/(1)/....... 41,994
5,125 Epix Medical, Inc. +................. 92,404
2,378 Exactech, Inc. +..................... 37,453
10,027 Gentiva Health Services, Inc. +...... 131,053
6,196 HealthExtras, Inc. +................. 78,070
22,761 Hooper Holmes, Inc................... 139,525
8,988 Intuitive Surgical, Inc. +........... 137,247
10,523 Invacare Corp........................ 410,397
11,883 Inveresk Research Group, Inc. +...... 261,545
4,133 Inverness Medical
Innovations, Inc. +/(1)/............ 97,952
4,729 Kindred Healthcare, Inc. +........... 243,969
2,972 LabOne, Inc. +....................... 86,158
3,720 Matria Healthcare, Inc. +............ 76,000
4,097 MedQuist, Inc. +..................... 63,053
16,312 Mentor Corp./(1)/.................... 359,679
3,997 Micro Therapeutics, Inc. +........... 14,869
8,901 MIM Corp. +.......................... 62,752
2,614 National Healthcare Corp. +/(1)/..... 52,933
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
HEALTHCARE - Continued
12,827 Odyssey Healthcare, Inc. +........ $ 456,769
5,128 Option Care, Inc. +/(1)/.......... 50,972
7,236 PolyMedica Corp./(1)/............. 187,557
18,393 Province Healthcare Co. +......... 281,965
6,378 RehabCare Group, Inc. +/(1)/...... 113,273
9,225 Sola International, Inc. +........ 180,810
15,307 Sybron Dental Specialties, Inc. +. 440,995
4,765 U.S. Physical Therapy, Inc. +/(1)/ 70,141
6,902 United Surgical Partners
International, Inc. +............ 220,864
27,551 US Oncology, Inc. +............... 280,469
4,614 VistaCare, Inc., Class A +/(1)/... 182,253
14,575 VISX, Inc. +...................... 356,796
2,319 Vital Signs, Inc.................. 76,133
-------------
8,708,085
-------------
HEAVY DUTY TRUCKS/PARTS - 0.22%
4,580 Bandag, Inc....................... 186,635
4,110 Cascade Corp...................... 110,148
19,248 Federal Signal Corp............... 291,607
10,295 Wabash National Corp. +/(1)/...... 286,510
-------------
874,900
-------------
HOME BUILDERS - 0.52%
5,248 Beazer Homes USA, Inc. +/(1)/..... 560,014
6,308 Brookfield Homes Corp............. 150,761
1,494 Dominion Homes, Inc. +............ 45,433
4,130 M/I Schottenstein Homes, Inc...... 158,386
3,630 Meritage Corp. +.................. 229,234
666 Orleans Homebuilders, Inc. +/(1)/. 18,874
12,918 Standard Pacific Corp............. 644,996
928 Technical Olympic USA, Inc. +/(1)/ 25,019
6,757 WCI Communities, Inc. +........... 136,356
1,682 William Lyon Homes, Inc. +/(1)/... 109,162
-------------
2,078,235
-------------
HOSPITAL MANAGEMENT - 0.59%
7,070 Amsurg Corp. +/(1)/............... 263,075
36,589 Beverly Enterprises, Inc. +/(1)/.. 286,492
15,027 LifePoint Hospitals, Inc. +....... 448,706
20,153 Orthodontic Centers of
America, Inc. +/(1)/............. 142,885
9,456 Pediatrix Medical Group, Inc. +... 507,409
9,256 Select Medical Corp............... 331,827
12,133 VCA Antech, Inc. +................ 379,156
-------------
2,359,550
-------------
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
72
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
HOSPITAL SUPPLIES - 1.09%
3,648 Aaon, Inc. +....................... $ 68,728
7,278 Advanced Neuromodulation
Systems, Inc. +................... 307,059
17,731 Align Technology, Inc. +/(1)/...... 319,335
2,668 Ameron International Corp.......... 88,044
9,261 Arrow International, Inc........... 249,121
7,114 ArthroCare Corp. +/(1)/............ 175,004
2,681 Closure Medical Corp. +/(1)/....... 95,176
6,943 Conceptus, Inc. +/(1)/............. 90,259
11,610 Conmed Corp. +..................... 246,829
4,211 Datascope Corp..................... 146,459
8,171 Diagnostic Products Corp........... 369,574
4,232 ICU Medical, Inc. +/(1)/........... 144,269
3,088 Kensey Nash Corp. +................ 64,941
7,203 Kyphon, Inc. +..................... 197,362
3,110 Medical Action Industries, Inc. +.. 51,626
3,943 Meridian Bioscience, Inc........... 40,889
6,629 Merit Medical Systems, Inc. +...... 207,488
13,193 OrthoLogic Corp. +................. 95,253
12,634 Owens & Minor, Inc................. 267,967
27,228 PSS World Medical, Inc. +.......... 279,087
5,706 SonoSite, Inc. +/(1)/.............. 120,511
6,860 STAAR Surgical Co. +/(1)/.......... 75,398
16,351 Techne Corp. +..................... 589,944
1,622 Young Innovations, Inc............. 59,122
-------------
4,349,445
-------------
HOUSEHOLD PRODUCTS - 0.59%
24,723 American Greetings Corp., Class A + 522,150
5,680 Chattem, Inc. +/(1)/............... 90,993
1,860 CSS Industries, Inc................ 55,261
1,914 Del Laboratories, Inc. +/(1)/...... 46,223
4,739 Elizabeth Arden, Inc. +/(1)/....... 96,249
1,365 Intermediate Parfums, Inc.......... 27,764
30,059 Jacuzzi Brands, Inc. +............. 193,880
8,616 Jarden Corp. +/(1)/................ 233,063
11,148 John H. Harland Co................. 305,455
4,938 Libbey, Inc........................ 144,733
1,883 National Presto Industries, Inc.... 67,035
5,836 Oneida, Ltd./(1)/.................. 27,721
11,886 Playtex Products, Inc. +........... 82,370
4,084 Revlon, Inc., Class A +............ 9,802
3,603 Russ Berrie and Co., Inc........... 120,160
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
HOUSEHOLD PRODUCTS - Continued
20,862 Tupperware Corp...................... $ 321,483
------------
2,344,342
------------
HUMAN RESOURCES - 0.54%
7,257 AMN Healthcare Services, Inc. +/(1)/. 123,224
4,890 CDI Corp............................. 165,771
7,730 Cross Country Healthcare, Inc. +/(1)/ 115,177
13,380 Exult, Inc. +/(1)/................... 96,202
5,499 Gevity HR, Inc./(1)/................. 123,727
6,533 Heidrick & Struggles
International, Inc. +............... 157,119
2,971 Hudson Highland Group, Inc. +/(1)/... 59,955
6,712 Kelly Services, Inc., Class A........ 191,158
12,726 Korn/Ferry International +/(1)/...... 127,642
16,052 Labor Ready, Inc. +/(1)/............. 182,993
4,384 Medical Staffing Network
Holdings, Inc. +/(1)/............... 42,744
37,823 MPS Group, Inc. +.................... 347,971
7,900 Resources Connection, Inc. +......... 216,302
23,785 Spherion Corp. +..................... 212,638
------------
2,162,623
------------
INFORMATION PROCESSING -
HARDWARE - 1.21%
24,845 Advanced Digital Information Corp. +. 376,899
11,750 Centillium Communications, Inc. +.... 64,625
24,906 Concurrent Computer Corp. +.......... 100,371
28,887 Cray, Inc. +/(1)/.................... 302,447
3,737 Digimarc Corp. +/(1)/................ 52,729
10,692 Dot Hill Systems Corp. +............. 182,298
3,574 Drexler Technology Corp. +/(1)/...... 53,467
5,338 Electronics Boutique
Holdings Corp. +/(1)/............... 129,927
18,622 Electronics for Imaging, Inc. +...... 513,967
86,976 Gateway, Inc. +...................... 387,913
9,170 Hutchinson Technology, Inc. +........ 298,667
14,938 InFocus Corp. +...................... 118,309
20,590 Iomega Corp. +....................... 113,039
9,436 Komag, Inc. +/(1)/................... 155,600
21,394 Lexar Media, Inc. +.................. 456,976
8,480 Mercury Computer Systems, Inc. +..... 203,096
5,580 Neoware Systems, Inc. +/(1)/......... 93,577
3,368 Overland Storage, Inc. +............. 66,215
13,729 PalmOne, Inc. +/(1)/................. 205,523
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
INFORMATION PROCESSING -
HARDWARE - Continued
2,681 PC Connection, Inc. +/(1)/......... $ 23,459
56,673 Quantum Corp. +.................... 179,087
6,763 Radiant Systems, Inc. +............ 48,017
6,488 Sigma Designs, Inc. +/(1)/......... 38,474
31,896 Silicon Storage Technology, Inc. +. 432,829
3,074 SimpleTech, Inc. +................. 20,654
1,890 Stratasys, Inc. +/(1)/............. 85,050
6,545 Synaptics, Inc. +.................. 89,470
5,046 Virage Logic Corp. +............... 52,579
-------------
4,845,264
-------------
INFORMATION PROCESSING -
NETWORKING - 0.04%
122,681 Corvis Corp. +/(1)/................ 177,887
-------------
INFORMATION PROCESSING -
SERVICES - 4.03%
14,068 ActivCard Corp. +.................. 122,251
38,970 Adaptec, Inc. +.................... 343,326
20,956 Aeroflex, Inc. +................... 265,932
11,238 Agilysys, Inc./(1)/................ 126,540
41,228 Akamai Technologies, Inc. +........ 553,280
12,481 Anixter International, Inc. +...... 287,687
2,603 Ansoft Corp. +..................... 32,459
6,452 Anteon International Corp. +....... 246,208
15,739 aQuantive, Inc. +.................. 162,899
107,679 Ariba, Inc. +/(1)/................. 340,266
11,928 AsiaInfo Holdings, Inc. +/(1)/..... 83,019
13,876 Ask Jeeves, Inc. +/(1)/............ 268,084
11,430 Autobytel, Inc. +.................. 110,414
6,087 Black Box Corp./(1)/............... 266,306
11,522 CACI International, Inc., Class A + 573,450
2,246 Catapult Communications Corp. +.... 33,960
20,276 Ciber, Inc. +...................... 184,714
148,065 CMG Information Services, Inc. +... 310,936
40,527 CNET Networks, Inc. +.............. 302,737
12,158 Computer Horizons Corp. +.......... 45,228
10,826 Computer Network
Technology Corp. + /(1)/.......... 107,719
20,973 CSG Systems International, Inc. +.. 243,077
4,090 Cyberguard Corp. +................. 35,129
6,932 Datastream Systems, Inc. +......... 51,643
11,659 Digital Insight Corp. +............ 277,134
11,353 Digital River, Inc. +.............. 261,233
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
73
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - Continued
14,110 Digital Think, Inc. +/(1)/........... $ 42,048
6,232 Digitas, Inc. +/(1)/................. 54,281
47,281 Earthlink, Inc. +.................... 453,898
4,666 eCollege.com, Inc. +................. 103,585
19,434 Entrust, Inc. +...................... 82,983
15,172 Epicor Software Corp. +/(1)/......... 187,981
38,707 Extreme Networks, Inc. +............. 379,716
13,639 FileNET Corp. +...................... 357,205
4,494 FindWhat.com +....................... 68,084
5,557 Forrester Research, Inc. +........... 102,026
14,855 Freemarkets, Inc. +.................. 89,576
31,327 Gartner, Inc., Class A +............. 404,745
6,187 GSI Commerce, Inc. +/(1)/............ 60,633
17,035 Harris Interactive, Inc. +........... 117,541
8,131 iGate Corp. +........................ 51,713
10,174 Infospace, Inc. +.................... 267,067
17,104 Intergraph Corp. +................... 434,442
4,914 Interland, Inc. +.................... 33,661
14,899 Internet Security Systems, Inc. +.... 252,836
6,657 j2 Global Communications, Inc. +/(1)/ 189,192
9,250 Kana Software, Inc. +/(1)/........... 28,675
7,689 Keynote Systems, Inc. +/(1)/......... 94,882
11,914 Kronos, Inc. +....................... 466,671
30,600 Looksmart, Ltd. +.................... 45,594
8,743 Manhattan Associates, Inc. +/(1)/.... 266,049
2,394 Marketwatch.com, Inc. +/(1)/......... 21,211
17,242 MatrixOne, Inc. +.................... 102,590
27,041 Mentor Graphics Corp. +.............. 396,151
6,601 Micros Systems, Inc. +............... 285,559
35,755 Mindspeed Technologies, Inc. +....... 239,201
8,404 MTS Systems Corp..................... 156,062
3,134 Neoforma, Inc. +/(1)/................ 50,019
9,949 Net2Phone, Inc. +/(1)/............... 62,679
4,046 Netratings, Inc. +................... 40,945
7,722 NetScout Systems, Inc. +/(1)/........ 67,336
11,820 NIC, Inc. +.......................... 83,213
10,497 NYFIX, Inc. +/(1)/................... 87,440
19,185 Opsware, Inc. +/(1)/................. 147,724
7,880 PCTEL, Inc. +........................ 70,526
3,428 PEC Solutions, Inc. +/(1)/........... 61,738
3,862 Pegasystems, Inc. +/(1)/............. 30,896
29,386 Perot Systems Corp., Class A +....... 364,386
3,869 Pomeroy Computer Resources, Inc. +... 56,526
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
INFORMATION PROCESSING -
SERVICES - Continued
9,991 Portal Software, Inc. +................ $ 75,432
9,534 ProQuest Co. +/(1)/.................... 287,927
7,113 RadiSys Corp. +........................ 130,879
9,541 Rainbow Technologies, Inc. +........... 118,308
61,248 Redback Networks, Inc. +/(1)/.......... 17,762
7,256 Register.com, Inc. +................... 35,192
31,019 Sapient Corp. +........................ 174,327
3,037 Schawk, Inc., Class A.................. 41,303
12,819 Secure Computing Corp. +............... 192,670
81,974 Silicon Graphics, Inc. +/(1)/.......... 92,631
6,780 Sohu.com, Inc. +....................... 235,266
20,674 SonicWALL, Inc. +/(1)/................. 165,185
3,396 SRA International, Inc., Class A +..... 149,798
9,572 Sykes Enterprises, Inc. +.............. 87,488
4,821 Synplicity, Inc. +/(1)/................ 35,145
2,549 Syntel, Inc............................ 64,847
13,496 Systems & Computer
Technology Corp. +.................... 206,489
5,095 TheStreet.com, Inc. +.................. 23,284
5,611 Tier Technologies, Inc., Class B +/(1)/ 43,822
12,420 Trizetto Group, Inc. +................. 80,109
13,550 Turnstone Systems, Inc. +.............. 39,159
16,153 Tyler Technologies, Inc. +............. 135,685
17,131 United Online, Inc. +/(1)/............. 311,955
26,488 ValueClick, Inc. +..................... 221,175
35,924 Verso Technologies, Inc. +/(1)/........ 138,307
18,339 webMethods, Inc. +..................... 178,805
7,884 Websense, Inc. +/(1)/.................. 213,578
-------------
16,091,445
-------------
INFORMATION PROCESSING -
SOFTWARE - 4.30%
12,828 Advent Software, Inc. +................ 224,618
17,343 Agile Software Corp. +................. 190,600
9,684 Allscripts Heathcare Solutions, Inc. +. 52,584
3,466 Altiris, Inc. +/(1)/................... 106,891
16,933 American Management
Systems, Inc. +....................... 252,471
5,942 Ansys, Inc. +.......................... 229,302
23,417 Ascential Software Corp. +............. 592,450
14,099 Aspen Technologies, Inc. +/(1)/........ 108,421
10,543 At Road, Inc. +/(1)/................... 132,736
2,804 Atari, Inc. +.......................... 11,496
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - Continued
12,016 Avid Technology, Inc. +............. $ 635,406
5,968 Barra, Inc. +....................... 219,503
28,387 Borland Software Corp. +............ 247,535
10,292 BroadVision, Inc. +/(1)/............ 48,372
4,965 CCC Information Services
Group, Inc. +...................... 83,710
11,348 Cerner Corp. +/(1)/................. 506,461
2,491 Computer Programs &
Systems, Inc./(1)/................. 47,329
6,536 Concord Communications, Inc. +...... 144,707
9,189 Concur Technologies, Inc. +/(1)/.... 91,431
4,451 Convera Corp., Class A +/(1)/....... 17,403
11,915 Dendrite International, Inc. +...... 203,746
17,651 Documentum, Inc. +.................. 529,530
22,319 E.piphany, Inc. +................... 176,320
11,338 Echelon Corp. +/(1)/................ 136,623
13,943 Eclipsys Corp. +.................... 141,940
18,754 eFunds Corp. +...................... 325,382
5,546 Embarcadero Technologies, Inc. +.... 80,029
5,107 EPIQ Systems, Inc. +/(1)/........... 89,117
10,762 eResearch Technology, Inc. +/(1)/... 306,717
8,916 F5 Networks, Inc. +/(1)/............ 230,211
13,632 FalconStor Software, Inc. +/(1)/.... 108,374
59 Globalscape, Inc. +................. 9
3,610 Group 1 Software, Inc. +............ 64,402
14,625 Hyperion Solutions Corp. +.......... 485,257
6,919 IDX Systems Corp. +................. 177,126
2,468 IMPAC Medical Systems, Inc. +....... 61,058
25,672 Informatica Corp. +................. 289,580
11,853 Infousa, Inc. +..................... 100,751
3,897 Integral Systems, Inc. +............ 83,552
19,644 InteliData Technologies Corp. +/(1)/ 32,413
7,459 Inter-Tel, Inc...................... 180,508
7,177 InterCept, Inc. +/(1)/.............. 75,861
13,684 InterVoice-Brite, Inc. +............ 143,135
10,321 Interwoven, Inc. +/(1)/............. 154,609
11,435 JDA Software Group, Inc. +.......... 208,346
20,718 Keane, Inc. +....................... 292,124
16,985 Lawson Software, Inc. +............. 143,353
13,191 Lionbridge Technologies, Inc. +..... 142,463
5,314 Mantech International Corp.,
Class A +.......................... 136,304
24,325 Manugistics Group, Inc. +........... 162,005
7,031 MAPICS, Inc. +/(1)/................. 84,864
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
74
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - Continued
21,945 Micromuse, Inc. +.................. $ 176,657
4,510 Microstrategy, Inc. +.............. 243,540
2,893 Mobius Management
Systems, Inc. +/(1)/.............. 43,424
7,699 MRO Software, Inc. +............... 106,246
9,612 MSC Software Corp. +/(1)/.......... 94,678
5,426 Nassda Corp. +..................... 38,253
13,975 NDCHealth Corp..................... 373,831
10,257 Netegrity, Inc. +/(1)/............. 125,648
21,415 NetIQ Corp. +...................... 256,766
2,236 Nuance Communications, Inc. +...... 17,821
5,804 Omnicell, Inc. +................... 76,381
24,159 Openwave Systems, Inc. +........... 290,633
4,385 Opnet Technologies, Inc. +......... 78,886
9,282 Packeteer, Inc. +.................. 176,070
3,614 PalmSource, Inc. +/(1)/............ 92,482
85,826 Parametric Technology Corp. +...... 293,525
5,790 PDF Solutions, Inc. +/(1)/......... 64,095
10,764 Per-Se Technologies, Inc. +........ 151,234
23,125 Pinnacle Systems, Inc. +........... 192,862
10,485 Progress Software Corp. +.......... 219,766
14,873 Pumatech, Inc. +................... 89,982
4,102 QAD, Inc. +........................ 50,578
1,320 Quality Systems, Inc. +............ 56,496
15,753 Quest Software, Inc. +............. 233,932
19,166 Raindance Communications, Inc. +... 51,173
3,068 Renaissance Learning, Inc. +/(1)/.. 71,178
21,600 Retek, Inc. +...................... 224,208
11,755 Roxio, Inc. +/(1)/................. 63,595
19,119 RSA Security, Inc. +/(1)/.......... 281,049
27,825 S1 Corp. +......................... 245,695
5,543 Sanchez Computer Associates, Inc. + 24,112
29,727 ScanSoft, Inc. +/(1)/.............. 178,362
9,523 Seachange International, Inc. +.... 143,321
19,245 SeeBeyond Technology Corp. +....... 74,671
9,127 Serena Software, Inc. +/(1)/....... 175,421
4,924 SPSS, Inc. +....................... 95,378
2,947 SS&C Technologies, Inc............. 86,937
7,045 Stellent, Inc. +................... 69,534
9,927 SupportSoft, Inc. +/(1)/........... 145,530
33,078 Sybase, Inc. +..................... 678,099
5,441 Talx Corp./(1)/.................... 142,554
33,660 TIBCO Software, Inc. +............. 196,911
6,960 Tradestation Group, Inc. +......... 62,222
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - Continued
13,508 Transaction Systems Architects, Inc.,
Class A +........................... $ 265,837
4,358 Ulticom, Inc. +...................... 47,154
10,744 Vastera, Inc. +/(1)/................. 41,902
2,481 Verint Systems, Inc. +............... 57,510
8,404 Verity, Inc. +....................... 120,681
82,799 Vignette Corp. +..................... 191,266
15,000 VitalWorks, Inc. +................... 74,850
7,367 Vitria Technology, Inc. +/(1)/....... 41,845
13,175 WatchGuard Technologies, Inc. +...... 81,817
9,655 WebEx Communications, Inc. +/(1)/.... 190,783
27,611 Wind River Systems, Inc. +........... 179,748
-------------
17,136,264
-------------
INSURANCE - 2.20%
9,254 21st Century Insurance Group #....... 129,556
13,548 Alfa Corp............................ 171,924
19,991 Allmerica Financial Corp. +.......... 546,754
4,590 American Medical Security
Group, Inc. +....................... 103,229
3,492 American Physicians Capital, Inc. +.. 57,618
8,286 AMERIGROUP Corp. +................... 363,838
15,677 AmerUs Group Co./(1)/................ 563,588
8,096 Argonaut Group, Inc. +............... 129,536
3,036 Baldwin & Lyons, Inc., Class B....... 75,839
7,117 Centene Corp. +/(1)/................. 218,492
11,474 Citizens, Inc., Class A +............ 113,593
6,221 CNA Surety Corp. +................... 60,219
9,285 Commerce Group, Inc./(1)/............ 371,493
4,310 Crawford & Co., Class B.............. 31,248
6,561 Delphi Financial Group, Inc.,
Class A/(1)/........................ 348,389
1,309 Donegal Group, Inc., Class A......... 26,311
927 EMC Insurance Group, Inc............. 18,957
1,214 Enstar Group, Inc. +/(1)/............ 51,897
4,685 FBL Financial Group, Inc., Class A... 122,513
3,179 Financial Industries Corp............ 45,333
2,676 Great American Financial
Resources, Inc...................... 40,541
12,095 Harleysville Group, Inc.............. 237,062
12,049 Hilb, Rogal & Hamilton Co./(1)/...... 350,626
15,691 Horace Mann Educators Corp........... 211,985
1,308 Independence Holding Co.............. 29,077
4,962 Infinity Property & Casualty Corp.... 163,845
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
INSURANCE - Continued
1,459 Kansas City Life Insurance Co........... $ 70,762
7,436 LandAmerica Financial Group, Inc........ 382,210
2,856 Midland Co.............................. 60,490
865 National Western Life Insurance Co.,
Class A +.............................. 122,354
1,654 Navigators Group, Inc. +................ 52,614
868 NYMAGIC, Inc............................ 23,288
22,261 Ohio Casualty Corp. +/(1)/.............. 378,660
3,694 Penn-America Group, Inc................. 53,969
6,245 Philadelphia Cons. Holding Corp. +...... 316,184
37,764 Phoenix Cos., Inc./(1)/................. 424,845
8,584 PMA Capital Corp., Class A/(1)/......... 34,079
8,273 Presidential Life Corp.................. 119,959
9,513 ProAssurance Corp. +.................... 293,952
7,264 RLI Corp................................ 262,957
3,801 Safety Insurance Group, Inc............. 67,468
10,787 Selective Insurance Group, Inc.......... 349,607
9,340 Sierra Health Services, Inc. +/(1)/..... 255,916
5,153 State Auto Financial Corp............... 133,926
3,056 Triad Guaranty, Inc. +.................. 142,562
14,982 UICI +.................................. 206,901
2,883 United Fire & Casualty Co............... 115,320
9,439 Universal American Financial Corp. +.... 98,260
8,967 USI Holdings Corp. +.................... 114,419
3,540 Zenith National Insurance Corp./(1)/.... 115,581
-------------
8,779,746
-------------
LEISURE AND TOURISM - 4.06%
6,166 Action Performance Cos., Inc./(1)/...... 119,744
35,481 Activision, Inc. +...................... 542,859
19,799 Alliance Gaming Corp. +................. 518,734
13,708 Alloy, Inc. +/(1)/...................... 73,749
2,080 Ambassadors Group, Inc.................. 44,470
12,452 AMC Entertainment, Inc. +............... 188,648
4,295 Ameristar Casinos, Inc. +/(1)/.......... 99,902
5,950 Arctic Cat, Inc./(1)/................... 141,431
9,139 Argosy Gaming Co. +..................... 231,582
11,314 Aztar Corp. +........................... 251,736
12,031 Bally Total Fitness Holding Corp. +/(1)/ 84,217
14,059 Bob Evans Farms, Inc.................... 433,861
9,990 Boca Resorts, Inc., Class A +........... 142,657
12,845 Boyd Gaming Corp........................ 210,144
6,657 California Pizza Kitchen, Inc. +........ 123,154
26,392 Callaway Golf Co........................ 433,621
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
75
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
LEISURE AND TOURISM - Continued
542 Carmike Cinemas, Inc. +/(1)/.......... $ 19,756
9,379 CEC Entertainment, Inc. +............. 471,576
103,996 Charter Communications, Inc.,
Class A +/(1)/....................... 418,064
4,319 Chicago Pizza & Brewery, Inc. +/(1)/.. 61,459
7,869 Choice Hotels International, Inc. +... 278,169
2,394 Churchill Downs, Inc.................. 87,905
18,874 CKE Restaurants, Inc. +/(1)/.......... 132,118
4,444 Dave & Buster's, Inc. +............... 61,816
9,192 Dollar Thrifty Automotive
Group, Inc. +........................ 232,098
3,363 Dover Downs Gaming &
Entertainment, Inc................... 30,603
5,816 Dover Motorsports, Inc................ 24,311
26,495 Extended Stay America, Inc............ 392,126
4,947 Gaylord Entertainment Co. +/(1)/...... 148,855
9,565 Handleman Co./(1)/.................... 168,344
21,318 Hollywood Entertainment Corp. +....... 291,204
7,939 IHOP Corp............................. 309,621
17,819 Insight Communications, Inc.,
Class A +/(1)/....................... 173,557
6,046 Isle of Capri Casinos, Inc. +......... 121,833
13,657 Jack in the Box, Inc. +............... 284,748
9,864 Jakks Pacific, Inc. +/(1)/............ 134,052
9,423 K2, Inc. +............................ 144,172
55,481 La Quinta Corp. +..................... 346,201
8,669 Landry's Seafood Restaurants, Inc..... 212,564
6,096 Lone Star Steakhouse & Saloon, Inc.... 140,635
16,440 Macrovision Corp. +................... 376,476
15,775 Magna Entertainment Corp.,
Class A +/(1)/....................... 74,143
7,717 Marcus Corp........................... 115,369
2,269 Marine Products Corp.................. 37,098
10,402 Midway Games, Inc. +/(1)/............. 35,159
9,138 MTR Gaming Group, Inc. +.............. 101,432
4,262 Multimedia Games, Inc. +/(1)/......... 174,444
11,443 Nautilus Group, Inc./(1)/............. 162,834
5,050 Navigant International, Inc. +/(1)/... 70,195
4,254 NetFlix, Inc. +/(1)/.................. 208,446
8,012 O'Charley's, Inc. +/(1)/.............. 136,605
11,155 Panera Bread Co., Class A +/(1)/...... 434,822
4,517 Papa John's International, Inc. +/(1)/ 119,204
4,034 Party City Corp. +.................... 57,928
12,347 Penn National Gaming, Inc. +.......... 291,636
10,144 PF Chang's China Bistro, Inc. +/(1)/.. 547,573
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
LEISURE AND TOURISM - Continued
8,624 Pinnacle Entertainment, Inc. +........ $ 78,737
5,833 Playboy Enterprises, Inc., Class B +.. 94,553
14,787 Prime Hospitality Corp. +............. 162,953
11,836 Rare Hospitality International, Inc. + 295,900
5,371 RC2 Corp. +........................... 114,295
3,512 Red Robin Gourmet Burgers, Inc. +/(1)/ 94,543
16,902 Ryan's Family Steakhouses, Inc. +..... 250,826
19,766 Scientific Games Corp., Class A +..... 321,395
11,992 SCP Pool Corp. +...................... 429,553
6,673 Shuffle Master, Inc. +/(1)/........... 199,589
37,155 Six Flags, Inc. +..................... 250,796
15,524 Sonic Corp. +......................... 479,226
5,642 Speedway Motorsports, Inc............. 165,311
8,879 Steak N Shake Co. +................... 156,270
1,765 Steinway Musical Instruments, Inc. +.. 42,184
14,618 Take-Two Interactive Software, Inc. +. 483,856
7,167 Thor Industries, Inc.................. 437,044
15,248 THQ, Inc. +/(1)/...................... 245,340
12,652 Tivo, Inc. +/(1)/..................... 105,518
5,472 Trans World Entertainment Corp. +/(1)/ 38,687
13,254 Triarc Cos., Inc., Class B/(1)/....... 153,746
7,511 Vail Resorts, Inc. +.................. 114,393
8,830 WMS Industries, Inc. +/(1)/........... 235,761
-------------
16,220,136
-------------
MACHINERY - 2.62%
8,478 Actuant Corp., Class A +.............. 263,242
2,164 Alamo Group, Inc...................... 31,876
10,655 Albany International Corp., Class A... 330,412
6,823 Applied Industrial Technologies, Inc.. 161,705
5,952 Astec Industries, Inc. +.............. 78,507
12,634 Aviall, Inc. +........................ 202,144
11,739 Baldor Electric Co.................... 254,736
7,121 Brady Corp., Class A.................. 273,090
8,675 Briggs & Stratton Corp................ 585,562
4,120 Carbo Ceramics, Inc................... 180,003
9,999 Clarcor, Inc.......................... 437,856
13,593 Cognex Corp........................... 373,400
5,938 Cuno, Inc. +.......................... 253,018
8,195 EnPro Industries, Inc. +.............. 81,212
18,855 Flowserve Corp. +..................... 401,234
2,671 Franklin Electric Co., Inc............ 167,338
6,436 Gardner Denver, Inc. +................ 150,088
2,438 General Binding Corp. +............... 45,371
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
MACHINERY - Continued
9,847 Global Power Equipment
Group, Inc. +/(1)/..................... $ 61,938
2,943 Gorman-Rupp Co.......................... 70,338
13,132 Granite Construction, Inc............... 289,561
9,400 Hughes Supply, Inc...................... 429,580
10,228 IDEX Corp............................... 403,801
9,035 Insituform Technologies, Inc., Class A + 135,977
7,042 Ionics, Inc. +/(1)/..................... 226,400
17,252 JLG Industries, Inc..................... 259,470
19,201 Joy Global, Inc. +...................... 403,221
4,768 Kadant, Inc. +.......................... 85,586
12,514 Kennametal, Inc......................... 481,038
4,707 Lindsay Manufacturing Co./(1)/.......... 114,710
2,301 Lufkin Industries, Inc.................. 59,803
5,870 Lydall, Inc. +.......................... 71,849
10,595 Manitowoc Co., Inc...................... 286,065
13,570 Milacron, Inc./(1)/..................... 31,482
1,845 NACCO Industries, Inc., Class A......... 143,910
9,060 Nordson Corp............................ 294,541
12,249 Presstek, Inc. +/(1)/................... 98,604
2,513 Quixote Corp............................ 61,920
9,429 Regal-Beloit Corp....................... 194,709
4,333 Robbins & Myers, Inc.................... 95,586
4,033 Sauer-Danfoss, Inc...................... 64,528
3,282 SPS Technologies, Inc. +................ 160,687
11,430 Stewart & Stevenson Services, Inc....... 160,477
6,479 Tecumseh Products Co., Class A.......... 266,676
3,404 Tennant Co.............................. 146,780
17,538 Terex Corp. +........................... 452,305
9,105 Toro Co................................. 451,062
12,683 Wabtec Corp............................. 198,489
-------------
10,471,887
-------------
MEDICAL - BIOMEDICAL/GENE - 0.31%
6,567 Alexion Pharmaceuticals, Inc. +/(1)/.... 123,131
18,288 Decode Genetics, Inc. +/(1)/............ 153,071
19,673 Exelixis, Inc. +........................ 132,399
12,458 Gene Logic, Inc. +/(1)/................. 60,670
3,431 Genencor International, Inc. +.......... 54,278
10,839 Myriad Genetics, Inc. +/(1)/............ 128,117
3,225 Progenics Pharmaceuticals, Inc. +/(1)/.. 56,566
13,736 Regeneron Pharmaceuticals, Inc. +/(1)/.. 176,920
11,078 Repligen Corp. +/(1)/................... 53,507
22,502 Savient Pharmaceuticals, Inc. +......... 111,160
2,582 Sirna Therapeutics, Inc. +/(1)/......... 15,105
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
76
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
MEDICAL - BIOMEDICAL/GENE - Continued
11,803 Transkaryotic Therapies, Inc. +/(1)/..... $ 153,321
------------
1,218,245
------------
MEDICAL TECHNOLOGY - 3.06%
9,731 Aclara Biosciences, Inc. +............... 31,139
11,041 Aksys, Ltd. +/(1)/....................... 79,937
10,531 Albany Molecular Research, Inc. +........ 148,487
25,484 Alkermes, Inc. +/(1)/.................... 333,331
8,622 Aphton Corp. +/(1)/...................... 53,025
28,895 Applera Corp. - Celera Genomics
Group +................................. 392,105
7,439 Arena Pharmaceuticals, Inc. +............ 51,255
13,991 Ariad Pharmaceuticals, Inc. +............ 115,426
3,718 Aspect Medical Systems, Inc. +........... 35,358
24,258 Avant Immunotherapeutics, Inc. +/(1)/.... 63,799
7,557 Biolase Technology, Inc. +/(1)/.......... 92,724
2,032 Bioreliance Corp. +...................... 94,061
4,185 Biosite, Inc. +/(1)/..................... 112,367
7,747 Cambrex Corp............................. 187,942
2,718 Cantel Medical Corp. +................... 42,727
20,642 Cardiac Science, Inc. +/(1)/............. 73,692
13,321 CardioDynamics International Corp. +/(1)/ 86,586
13,779 Cell Genesys, Inc. +/(1)/................ 179,678
11,425 Cepheid, Inc. +/(1)/..................... 88,315
5,878 Cerus Corp. +/(1)/....................... 19,985
5,460 Cholestech Corp. +....................... 40,404
8,663 Ciphergen Biosystems, Inc. +/(1)/........ 90,182
11,212 Connetics Corp. +........................ 197,892
6,546 CryoLife, Inc. +/(1)/.................... 35,087
9,701 CTI Molecular Imaging, Inc. +/(1)/....... 149,395
17,184 CuraGen Corp. +.......................... 108,259
7,983 Cyberonics, Inc. +/(1)/.................. 219,453
44,978 Cytyc Corp. +............................ 579,766
4,981 Digene Corp. +/(1)/...................... 197,995
7,787 Diversa Corp. +.......................... 65,411
2,613 DJ Orthopedics, Inc. +................... 67,807
9,024 Enzo Biochem, Inc. +/(1)/................ 166,493
17,433 Enzon, Inc. +/(1)/....................... 188,102
5,864 Exact Sciences Corp. +/(1)/.............. 60,986
19,098 Gen-Probe, Inc. +........................ 663,083
12,031 Geron Corp. +/(1)/....................... 147,019
6,407 Haemonetics Corp. +...................... 146,336
8,298 Hanger Orthopedic Group, Inc. +/(1)/..... 140,236
7,898 Hologic, Inc. +.......................... 118,786
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
MEDICAL TECHNOLOGY- Continued
6,179 I-STAT Corp. +/(1)/................... $ 77,855
7,202 Igen International, Inc. +/(1)/....... 425,566
4,388 II-VI, Inc. +......................... 99,871
7,676 Immucor Corp. +/(1)/.................. 177,316
16,728 Immunomedics, Inc. +/(1)/............. 64,570
7,132 Inamed Corp. +........................ 558,864
28,753 Incyte Genomics, Inc. +............... 173,956
7,141 Integra LifeSciences Corp. +/(1)/..... 224,156
10,040 InterMune, Inc. +..................... 211,944
6,978 Interpore International, Inc. +....... 84,992
7,076 Kosan Biosciences, Inc. +............. 67,293
5,238 Laserscope +/(1)/..................... 83,808
12,859 Lexicon Genetics, Inc. +/(1)/......... 67,510
1,901 Lifeline Systems, Inc. +.............. 66,535
8,421 Luminex Corp. +/(1)/.................. 88,842
9,097 Martek Biosciences Corp. +/(1)/....... 552,552
9,096 Maxygen, Inc. +....................... 98,692
18,811 Nektar Therapeutics +/(1)/............ 247,929
5,586 Neose Technologies, Inc. +/(1)/....... 47,090
8,121 Noven Pharmaceuticals, Inc. +......... 111,501
6,552 Novoste Corp. +....................... 32,826
13,712 OraSure Technologies, Inc. +/(1)/..... 114,358
6,133 Osteotech, Inc. +..................... 46,917
16,776 Palatin Technologies, Inc. +/(1)/..... 52,006
42,079 Peregrine Pharmaceuticals, Inc. +/(1)/ 101,831
6,267 Possis Medical, Inc. +/(1)/........... 106,790
17,987 Praecis Pharmaceuticals, Inc. +....... 136,701
10,880 Quidel Corp. +........................ 93,568
9,327 Regeneration Technologies, Inc. +/(1)/ 97,001
2,493 Retractable Technologies, Inc. +/(1)/. 14,883
8,461 Seattle Genetics, Inc. +/(1)/......... 52,627
9,091 Serologicals Corp. +/(1)/............. 156,820
2,785 Specialty Laboratories, Inc. +/(1)/... 46,509
5,603 SurModics, Inc. +/(1)/................ 118,615
3,388 Synovis Life Technologies, Inc. +/(1)/ 87,105
12,878 Telik, Inc. +/(1)/.................... 260,264
9,656 Therasense, Inc. +/(1)/............... 164,635
9,622 Third Wave Technologies, Inc. +....... 41,375
19,131 Thoratec Corp. +/(1)/................. 269,556
8,855 TriPath Imaging, Inc. +............... 80,758
4,933 Ventana Medical Systems, Inc. +....... 185,875
11,953 Viasys Healthcare, Inc. +............. 244,678
3,586 Vital Images, Inc. +/(1)/............. 63,938
4,333 West Pharmaceutical Services, Inc..... 147,322
6,316 Wright Medical Group, Inc. +.......... 175,964
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
MEDICAL TECHNOLOGY- Continued
3,403 Zoll Medical Corp. +/(1)/............ $ 115,872
-------------
12,204,267
-------------
MERCHANDISING - SPECIALTY - 0.11%
13,307 Petco Animal Supplies, Inc. +........ 445,252
-------------
METALS - 1.30%
38,865 AK Steel Holding Corp. +............. 116,595
32,479 Allegheny Technologies, Inc./(1)/.... 266,328
7,666 AMCOL International Corp............. 109,777
1,877 Ampco-Pittsburgh Corp................ 20,121
5,355 Brush Engineered Materials, Inc. +... 72,185
8,007 Carpenter Technology Corp............ 214,588
4,945 Century Aluminum Co. +............... 82,087
4,948 Circor International, Inc............ 108,856
3,648 Cleveland-Cliffs, Inc. +/(1)/........ 140,813
10,075 Commercial Metals Co................. 259,331
3,793 Gibraltar Steel Corp................. 92,473
2,153 Greenbrier Companies, Inc. +......... 31,154
43,884 Hecla Mining Co. +/(1)/.............. 325,619
1,937 Lawson Products, Inc................. 65,722
6,873 Liquidmetal Technologies, Inc. +/(1)/ 14,433
3,137 Material Sciences Corp. +............ 29,770
16,806 Maverick Tube Corp. +................ 310,575
13,745 Mueller Industries, Inc. +........... 444,238
4,277 NN, Inc.............................. 49,699
5,880 NS Group, Inc. +..................... 43,924
6,509 Quanex Corp.......................... 257,301
8,212 Reliance Steel & Aluminum Co......... 242,090
10,260 Roper Industries, Inc................ 514,436
6,412 Royal Gold, Inc./(1)/................ 136,640
7,614 RTI International Metals, Inc. +..... 103,170
8,700 Ryerson Tull, Inc./(1)/.............. 78,387
3,616 Schnitzer Steel Industries, Inc.,
Class A/(1)/........................ 195,662
15,059 Steel Dynamics, Inc. +/(1)/.......... 301,481
12,284 Tredegar Corp........................ 189,174
32,941 USEC, Inc............................ 248,046
5,876 Valmont Industries, Inc.............. 133,385
-------------
5,198,060
-------------
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
77
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------
MISCELLANEOUS - 0.27%
4,464 Applied Films Corp. +...................... $ 148,160
21,765 Brinks Co.................................. 483,183
9,740 Concord Camera Corp. +..................... 117,562
38,729 Stewart Enterprises, Inc., Class A +....... 180,864
17,762 Westell Technologies, Inc. +............... 131,439
-------------
1,061,208
-------------
MOBILE HOMES - 0.29%
21,000 Champion Enterprises, Inc. +/(1)/.......... 151,620
5,570 Coachmen Industries, Inc./(1)/............. 96,082
14,416 Fleetwood Enterprises, Inc. +/(1)/......... 146,611
3,130 Modtech Holdings, Inc. +/(1)/.............. 25,948
10,210 Monaco Coach Corp. +/(1)/.................. 237,485
6,897 Palm Harbor Homes, Inc. +/(1)/............. 131,043
2,434 Skyline Corp............................... 78,131
4,989 Winnebago Industries, Inc./(1)/............ 275,742
-------------
1,142,662
-------------
MULTIMEDIA - 0.01%
4,861 Martha Stewart Living, Inc., Class A +/(1)/ 47,541
-------------
OIL AND GAS - 3.06%
3,171 Atwood Oceanics, Inc. +.................... 81,463
6,345 Berry Petroleum Co., Class A............... 121,316
10,059 Cabot Oil & Gas Corp., Class A............. 267,167
14,069 Cal Dive International, Inc. +............. 298,263
16,653 Cimarex Energy Co. +....................... 385,017
1,379 Clayton Williams Energy, Inc. +............ 31,372
11,426 Comstock Resources, Inc. +................. 186,244
13,736 Denbury Resources, Inc. +.................. 173,623
2,491 Dril-Quip, Inc. +.......................... 37,240
3,513 Encore Acquisition Co. +................... 75,740
14,015 Energen Corp............................... 545,744
8,443 Energy Partners, Ltd. +.................... 102,582
15,516 Evergreen Resources, Inc. +/(1)/........... 434,914
16,176 Forest Oil Corp. +......................... 405,209
10,483 Frontier Oil Corp./(1)/.................... 181,356
28,544 Global Industries, Ltd. +.................. 121,597
67,537 Grey Wolf, Inc. +.......................... 228,950
2,821 Gulf Island Fabrication, Inc. +............ 50,214
20,790 Hanover Compressor Co. +................... 197,921
14,127 Harvest Natural Resources, Inc. +.......... 104,681
3,960 Holly Corp................................. 105,178
10,598 Horizon Offshore, Inc. +/(1)/.............. 47,479
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
OIL AND GAS - Continued
5,465 Houston Exploration Co. +........... $ 186,411
5,531 Hydril Co. +........................ 132,025
17,722 Input/Output, Inc. +................ 69,293
13,646 KCS Energy, Inc. +/(1)/............. 123,633
7,639 Laclede Group, Inc./(1)/............ 223,441
10,104 Lone Star Technologies, Inc. +...... 139,940
26,963 Magnum Hunter Resources, Inc. +..... 242,397
6,404 Matrix Service Co. +................ 102,144
4,717 McMoRan Exploration Co. +/(1)/...... 84,717
14,127 Meridian Resource Corp. +/(1)/...... 64,419
10,882 New Jersey Resources Corp........... 417,869
881 North Coast Energy, Inc. +.......... 9,427
7,033 Nuevo Energy Co. +.................. 138,831
9,023 Oceaneering International, Inc. +... 197,153
10,171 Oil States International, Inc. +.... 127,748
34,789 Parker Drilling Co. +............... 83,146
11,966 Patina Oil & Gas Corp............... 537,034
2,907 Penn Virginia Corp.................. 136,367
2,153 Petrocorp, Inc. +................... 29,152
6,293 Petroleum Development Corp. +....... 89,361
15,387 Plains Exploration &
Production Co. +................... 215,572
8,053 Plains Resources, Inc. +............ 124,983
3,573 Prima Energy Corp. +................ 105,761
4,502 Quicksilver Resources, Inc. +/(1)/.. 135,555
21,001 Range Resources Corp. +............. 165,908
8,407 Remington Oil & Gas Corp. +......... 150,065
3,870 RPC, Inc............................ 38,894
6,839 Seacor Smit, Inc. +................. 260,840
14,254 Southwestern Energy Co. +........... 290,924
9,922 Spinnaker Exploration Co. +......... 261,346
11,274 St. Mary Land & Exploration Co./(1)/ 289,742
9,069 Stone Energy Corp. +................ 338,818
19,278 Superior Energy Services, Inc. +.... 163,477
10,290 Swift Energy Co. +.................. 146,015
23,173 Tesoro Petroleum Corp. +/(1)/....... 293,834
8,003 Tetra Technologies, Inc. +.......... 179,267
12,666 Tom Brown, Inc. +................... 354,141
6,932 TransMontaigne, Inc. +.............. 41,661
14,717 Unit Corp. +........................ 303,170
5,348 Universal Compression
Holdings, Inc. +................... 125,411
18,459 UNOVA, Inc. +....................... 441,539
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
OIL AND GAS - Continued
12,337 Veritas DGC, Inc. +................... $ 111,156
19,841 Vintage Petroleum, Inc................ 206,545
8,928 W-H Energy Services, Inc. +........... 133,027
------------
12,195,429
------------
OPTICAL INSTRUMENTS
& LENSES - 0.05%
7,452 Ocular Sciences, Inc. +............... 213,351
------------
PAPER/FOREST PRODUCTS - 0.68%
10,709 Buckeye Technologies, Inc. +.......... 109,339
10,513 Caraustar Industries, Inc. +.......... 122,476
5,735 Chesapeake Corp....................... 131,905
3,862 Deltic Timber Corp.................... 109,372
11,414 Glatfelter............................ 136,740
20,490 Longview Fibre Co..................... 224,775
41,959 Louisiana-Pacific Corp. +............. 759,038
6,273 Pope & Talbot, Inc.................... 84,999
10,502 Potlatch Corp......................... 338,690
9,801 Rock-Tenn Co., Class A................ 155,836
5,933 Schweitzer-Mauduit International, Inc. 164,463
6,232 Universal Forest Products, Inc........ 189,702
14,787 Wausau-Mosinee Paper Corp............. 181,880
------------
2,709,215
------------
POLLUTION CONTROL - 0.42%
1,567 BHA Group Holdings, Inc., Class A..... 39,332
13,673 Calgon Carbon Corp./(1)/.............. 84,089
3,136 Clean Harbors, Inc. +/(1)/............ 28,945
22,414 Darling International, Inc. +......... 62,311
3,059 Duratek, Inc. +....................... 30,712
2,160 Gundle/Slt Environmental, Inc. +...... 41,796
10,072 KFX, Inc. +/(1)/...................... 60,331
2,531 Mine Safety Appliances Co............. 169,906
29,125 Newpark Resources, Inc. +............. 117,083
20,111 Tetra Tech, Inc. +.................... 512,830
4,712 TRC Cos., Inc. +/(1)/................. 95,230
11,326 Waste Connections, Inc. +............. 419,062
------------
1,661,627
------------
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
78
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------------
PUBLISHING - 0.59%
9,443 Banta Corp................................. $ 375,831
13,487 Bowne & Co., Inc........................... 198,798
4,460 Consolidated Graphics, Inc. +.............. 134,023
1,509 Courier Corp............................... 83,765
6,552 Ennis Business Forms, Inc.................. 96,839
16,828 Hollinger International, Inc., Class A/(1)/ 267,733
5,072 Information Holdings, Inc. +............... 112,852
12,442 Journal Register Co. +..................... 248,218
12,160 Mail-Well, Inc. +.......................... 45,965
9,079 Network Equipment
Technologies, Inc. +/(1)/................. 94,422
4,052 New England Business Service, Inc.......... 121,560
59,187 Primedia, Inc. +........................... 171,642
1,837 Pulitzer, Inc.............................. 97,361
4,715 Standard Register Co./(1)/................. 74,874
3,193 Thomas Nelson, Inc......................... 56,197
12,507 Topps Co., Inc............................. 131,824
548 Value Line, Inc............................ 26,852
------------
2,338,756
------------
RAILROADS & EQUIPMENT - 0.19%
5,864 Florida East Coast Industries, Inc......... 178,852
4,886 Genesee & Wyoming, Inc., Class A +......... 123,421
24,731 Kansas City Southern +/(1)/................ 328,922
11,863 RailAmerica, Inc. +/(1)/................... 134,645
------------
765,840
------------
REAL ESTATE - 0.16%
856 American Realty Investments, Inc. +/(1)/... 9,844
2,085 Avatar Holdings, Inc. +.................... 70,577
2,253 Consolidated-Tomoka Land Co................ 69,280
10,674 Jones Lang LaSalle, Inc. +................. 223,620
5,542 Reading International, Inc., Class A +/(1)/ 34,582
2,185 Tarragon Reality Investors, Inc. +......... 33,868
12,370 Trammell Crow Co. +........................ 166,376
1,112 United Capital Corp........................ 22,229
------------
630,376
------------
REAL ESTATE INVESTMENT
TRUSTS - 4.58%
5,740 Acadia Realty Trust........................ 69,282
794 Alexander's, Inc. +........................ 94,685
7,624 Alexandria Real Estate Equities, Inc....... 427,706
2,055 American Land Lease, Inc................... 40,833
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
REAL ESTATE INVESTMENT
TRUSTS - Continued
3,235 American Mortgage Acceptance Co...... $ 51,113
5,732 AMLI Residential Properties.......... 148,000
19,181 Anthracite Capital, Inc.............. 199,482
14,974 Anworth Mtg. Asset Corp.............. 209,037
11,977 Apex Mtg. Capital, Inc............... 68,149
6,567 Associated Estates Realty Corp....... 48,136
5,281 Bedford Property Investors, Inc...... 148,132
6,956 Boykin Lodging Co.................... 63,161
10,413 Brandywine Realty Trust.............. 281,672
1,396 BRT Realty Trust..................... 33,337
9,895 Capital Automotive REIT.............. 315,304
3,979 Capstead Mtg. Corp./(1)/............. 60,759
7,468 Colonial Properties Trust............ 287,518
16,943 Commercial Net Lease Realty, Inc..... 303,280
21,911 Cornerstone Realty Income Trust, Inc. 201,143
11,654 Corporate Office Properties Trust.... 241,121
4,340 Correctional Properties Trust........ 121,086
4,959 Criimi MAE, Inc. +................... 55,541
6,194 EastGroup Properties, Inc............ 192,943
6,918 Entertainment Properties Trust....... 239,155
16,266 Equity Inns, Inc..................... 149,647
11,027 Equity One, Inc...................... 189,113
6,660 Essex Property Trust, Inc............ 425,907
19,612 FelCor Lodging Trust, Inc. +......... 207,299
15,743 First Industrial Realty Trust, Inc... 521,408
9,859 Gables Residential Trust............. 318,446
6,255 Getty Realty Corp.................... 156,563
6,945 Glenborough Realty Trust, Inc........ 136,469
12,346 Glimcher Realty Trust/(1)/........... 269,266
5,695 Great Lakes REIT, Inc./(1)/.......... 89,753
16,186 Health Care REIT, Inc................ 565,215
7,425 Heritage Property Investment
Trust, Inc./(1)/.................... 209,014
21,456 Highwoods Properties, Inc............ 526,530
11,173 Home Properties of New York, Inc..... 449,713
19,736 IMPAC Mtg. Holdings, Inc............. 360,379
10,768 Innkeepers USA Trust................. 91,313
14,396 Investors Real Estate Trust.......... 150,870
7,271 Keystone Property Trust Corp......... 147,310
9,691 Kilroy Realty Corp................... 301,099
7,590 Koger Equity, Inc.................... 153,242
8,535 Kramont Realty Trust................. 154,313
6,845 Lasalle Hotel Properties............. 124,442
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
REAL ESTATE INVESTMENT
TRUSTS - Continued
12,547 Lexington Corporate Properties Trust. $ 247,678
5,308 LTC Properties, Inc.................. 74,737
5,614 Manufactured Home
Communities, Inc.................... 218,385
16,855 Meristar Hospitality Corp. +......... 104,501
23,747 MFA Mtg. Investments, Inc............ 230,346
6,173 Mid-America Apartment
Communities, Inc.................... 202,845
6,094 Mission West Properties, Inc......... 76,784
8,896 National Health Investors, Inc....... 207,811
2,492 National Health Realty, Inc.......... 43,012
23,587 Nationwide Health Properties, Inc.... 429,519
10,086 Newcastle Investment Corp............ 247,107
3,979 Novastar Financial, Inc./(1)/........ 316,529
6,333 Omega Healthcare Investors, Inc./(1)/ 50,031
3,749 Parkway Properties, Inc.............. 161,132
11,797 Pennsylvania Real Estate Investment
Trust............................... 406,997
12,662 Post Properties, Inc................. 363,399
12,474 Prentiss Properties Trust............ 396,050
8,193 Price Legacy Corp. +................. 29,904
5,162 PS Business Parks, Inc............... 201,318
7,928 RAIT Investment Trust................ 204,067
4,290 Ramco-Gershenson Properties Trust.... 111,755
18,711 Reckson Associates Realty Corp....... 449,064
5,065 Redwood Trust, Inc................... 268,546
4,387 Saul Centers, Inc.................... 123,713
18,238 Senior Housing Properties Trust...... 295,273
4,630 Sizeler Property Investors, Inc./(1)/ 49,032
10,981 SL Green Realty Corp................. 410,250
5,217 Sovran Self Storage, Inc............. 180,143
9,436 Summit Properties, Inc............... 215,707
5,506 Sun Communities, Inc................. 206,640
2,629 Tanger Factory Outlet Centers, Inc... 108,183
17,641 Taubman Centers, Inc................. 361,641
5,762 Town and Country Trust/(1)/.......... 136,559
670 Transcontinental Realty
Investors, Inc. +................... 9,534
7,967 U.S. Restaurant Properties, Inc./(1)/ 131,615
2,228 United Mobile Homes, Inc............. 38,322
4,387 Universal Health Realty Income Trust. 130,294
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
79
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------
REAL ESTATE INVESTMENT
TRUSTS - Continued
8,387 Urstadt Biddle Properties, Inc.,
Class A.............................. $ 116,160
29,749 Ventas, Inc........................... 595,575
14,603 Washington Real Estate
Investment Trust..................... 448,020
6,895 Winston Hotels, Inc................... 70,260
------------
18,266,324
------------
REGISTERED INVESTMENT
COMPANIES - 0.02%
3,519 Gladstone Capital Corp................ 75,412
------------
RETAIL - 3.69%
9,223 7-Eleven, Inc. +...................... 151,257
1 99 Cents Only Stores +/(1)/........... 28
5,051 AC Moore Arts & Crafts, Inc. +........ 110,970
5,862 Advanced Marketing Services, Inc./(1)/ 68,292
5,118 Big 5 Sporting Goods Corp. +.......... 109,986
27,799 BJ's Wholesale Club, Inc. +........... 707,485
4,397 Blue Rhino Corp. +/(1)/............... 55,314
13,490 Bombay Co., Inc. +/(1)/............... 138,003
7,588 Boyds Collection, Ltd. +.............. 32,628
4,825 Brookstone, Inc. +.................... 114,546
4,917 Building Materials Holding Corp....... 74,493
5,672 Burlington Coat Factory
Warehouse Corp....................... 119,679
17,767 Casey's General Stores, Inc........... 310,389
9,722 Cash America International, Inc....... 188,412
6,335 Central Garden & Pet Co. +............ 167,941
4,729 Coldwater Creek, Inc. +/(1)/.......... 67,908
4,801 Cole National Corp., Class A +........ 100,725
9,532 Compucom Systems, Inc. +.............. 43,371
27,263 Copart, Inc. +........................ 327,156
8,579 Cost Plus, Inc. +..................... 401,240
1,740 Deb Shops, Inc./(1)/.................. 34,487
4,959 Department 56, Inc. +................. 70,071
5,062 Dick's Sporting Goods, Inc. +/(1)/.... 266,160
24,686 Dillard's, Inc., Class A.............. 415,959
12,701 Drugstore.Com, Inc. +................. 84,589
8,669 Duane Reade, Inc. +/(1)/.............. 120,326
7,052 Finish Line, Inc., Class A +.......... 215,862
2,491 Finlay Enterprises, Inc. +............ 40,479
9,679 Fossil, Inc. +........................ 282,143
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------
RETAIL - Continued
14,527 Fred's, Inc., Class A.............. $ 484,475
6,778 Friedman's, Inc., Class A.......... 46,294
1,231 FTD, Inc., Class A +/(1)/.......... 30,307
2,674 Galyans Trading Co., Inc. +/(1)/... 35,698
8,452 Gamestop Corp., Class A +.......... 136,500
5,933 Great Atlantic & Pacific Tea
Co., Inc. +/(1)/.................. 45,091
5,411 Guitar Center, Inc. +/(1)/......... 157,298
5,815 Hancock Fabrics, Inc............... 82,573
4,382 Hibbett Sporting Goods, Inc. +..... 135,930
34,876 Homestore Common, Inc. +........... 122,415
6,208 Imagistics International, Inc. +... 226,157
3,425 Ingles Markets, Inc., Class A...... 34,593
18,509 Insight Enterprises, Inc. +........ 346,118
7,001 Jo-Ann Stores, Inc. +.............. 140,370
1,783 Jos. A. Bank Clothiers, Inc. +/(1)/ 73,477
4,309 Kirkland's, Inc. +................. 90,058
17,695 Linens 'N Things, Inc. +........... 520,410
11,929 Longs Drug Stores Corp............. 292,260
3,251 MarineMax, Inc. +.................. 61,769
13,927 Men's Wearhouse, Inc. +............ 428,534
1,649 Mothers Work, Inc. +/(1)/.......... 41,654
2,947 Movado Group, Inc.................. 80,129
9,709 Movie Gallery, Inc. +.............. 171,752
7,706 Myers Industries, Inc.............. 96,556
4,473 Nash Finch Co...................... 89,952
263 Noland Co./(1)/.................... 9,660
12,758 Nu Skin Enterprises, Inc., Class A. 221,606
49,841 OfficeMax, Inc. +.................. 489,937
3,540 Overstock.com, Inc. +/(1)/......... 55,967
2,128 Pantry, Inc. +/(1)/................ 49,010
10,845 Pathmark Stores, Inc. +............ 78,735
9,064 Pozen, Inc. +...................... 106,593
8,319 Priceline.com, Inc. +.............. 158,560
7,693 Restoration Hardware, Inc. +....... 47,158
2,747 Rex Stores Corp. +/(1)/............ 43,210
13,093 Ruddick Corp....................... 221,272
6,535 School Specialty, Inc. +/(1)/...... 189,254
7,870 Select Comfort Corp. +/(1)/........ 211,782
3,755 Sharper Image Corp. +/(1)/......... 118,733
10,982 ShopKo Stores, Inc. +/(1)/......... 182,850
4,941 Smart & Final, Inc. +.............. 45,111
8,085 Sports Authority, Inc. +........... 351,697
14,656 Stamps.com, Inc. +................. 91,600
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
RETAIL - Continued
8,529 Sturm, Ruger & Co., Inc................. $ 98,339
14,302 Summit America Television, Inc. +....... 51,487
3,680 Systemax, Inc. +........................ 26,680
11,673 Tractor Supply Co. +.................... 508,242
5,486 Tuesday Morning Corp. +................. 175,333
8,013 Tweeter Home Entertainment Group,
Inc. +/(1)/............................ 66,989
4,399 Ultimate Electronics, Inc. +/(1)/....... 36,292
12,252 United Stationers, Inc. +............... 494,368
9,850 Urban Outfitters, Inc. +/(1)/........... 384,150
4,483 Weis Markets, Inc....................... 159,147
4,778 West Marine, Inc. +/(1)/................ 120,453
4,285 Whitehall Jewellers, Inc. +/(1)/........ 45,464
6,930 Wilsons The Leather Experts, Inc. +/(1)/ 43,035
12,498 Yankee Candle Co., Inc. +............... 368,941
12,872 Zale Corp. + @.......................... 697,019
-------------
14,738,943
-------------
RETIREMENT/AGED CARE - 0.13%
9,669 Genesis Health Ventures, Inc............ 303,703
6,683 Sunrise Assisted Living, Inc. +/(1)/.... 230,697
-------------
534,400
-------------
SAVINGS & LOAN - 2.43%
8,328 Anchor BanCorp Wisconsin, Inc........... 208,950
15,026 Bank Mutual Corp........................ 173,400
16,864 BankAtlantic Bancorp, Inc., Class A..... 319,910
11,436 Bankunited Financial Corp. +............ 291,046
2,158 Berkshire Hills Bancorp, Inc............ 73,048
23,112 Brookline Bancorp, Inc.................. 347,142
3,019 Camco Financial Corp.................... 53,406
3,854 CFS Bancorp, Inc........................ 54,534
1,591 Charter Financial Corp./(1)/............ 53,298
3,431 Citizens First Bancorp, Inc............. 80,663
3,579 Citizens South Banking Corp............. 52,432
1,629 Coastal Bancorp, Inc.................... 57,015
4,155 Coastal Financial Corp.................. 70,510
3,006 Commercial Capital Bancorp, Inc. +...... 60,571
4,409 Connecticut Bancshares, Inc............. 227,637
8,155 Dime Community Bancshares............... 250,766
2,867 ESB Financial Corp...................... 46,589
1,686 EverTrust Financial Group, Inc.......... 51,086
5,309 Fidelity Bankshares, Inc................ 147,325
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
80
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
SAVINGS & LOAN - Continued
1,976 First Defiance Financial Corp....... $ 55,190
2,686 First Essex Bancorp, Inc............ 153,156
6,839 First Federal Capital Corp.......... 160,238
5,078 First Financial Holdings, Inc....... 159,957
4,653 First Indiana Corp.................. 86,778
28,383 First Niagara Financial Group, Inc.. 431,138
4,760 First Place Financial Corp.......... 87,965
8,874 First Sentinel Bancorp, Inc./(1)/... 168,429
5,886 Firstfed America Bancorp, Inc....... 153,389
6,809 FirstFed Financial Corp. +.......... 320,023
2,635 Flag Financial Corp./(1)/........... 34,097
11,723 Flagstar Bancorp, Inc............... 259,430
2,157 FloridaFirst Bancorp, Inc........... 60,827
3,802 Flushing Financial Corp............. 103,414
1,514 FMS Financial Corp.................. 29,584
1,679 GA Financial, Inc................... 48,254
8,405 Harbor Florida Bancshares, Inc...... 255,092
4,623 Hawthorne Financial Corp. +......... 124,590
2,163 Heritage Financial Corp............. 47,608
4,273 Horizon Financial Corp.............. 75,589
6,087 Hudson River Bancorp, Inc........... 211,584
1,875 Itla Capital Corp. +................ 94,162
2,453 Klamath First Bancorp............... 62,919
8,723 MAF Bancorp, Inc.................... 383,027
1,496 MASSBANK Corp....................... 60,379
1,771 MutualFirst Financial, Inc.......... 45,320
1,229 NASB Financial, Inc................. 50,389
4,418 Northwest Bancorp, Inc./(1)/........ 96,887
2,517 OceanFirst Financial Corp........... 66,373
15,668 Ocwen Financial Corp. +............. 108,893
674 Oneida Financial Corp............... 15,805
1,678 Parkvale Financial Corp............. 44,752
2,638 Partners Trust Financial Group, Inc. 75,763
1,508 PennFed Financial Services, Inc..... 48,631
5,037 PFF Bancorp, Inc.................... 188,384
1,431 Provident Bancorp, Inc.............. 68,616
1,386 Provident Financial Holdings, Inc... 46,445
19,009 Provident Financial Services, Inc... 393,676
2,038 Quaker City Bancorp, Inc............ 86,065
10,904 Seacoast Financial Services Corp.... 299,315
5,305 Sound Federal Bancorp, Inc./(1)/.... 89,389
2,892 St. Francis Capital Corp............ 100,671
19,795 Staten Island Bancorp, Inc.......... 455,285
5,929 Sterling Financial Corp. (Spokane) + 199,274
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
SAVINGS & LOAN - Continued
9,056 TierOne Corp. +......................... $ 214,718
2,631 Troy Financial Corp./(1)/............... 92,743
12,124 United Community Financial Corp./(1)/... 136,031
1,169 Warwick Community Bancorp, Inc.......... 35,304
12,245 Waypoint Financial Corp................. 262,900
1,926 Westfield Financial, Inc................ 46,340
4,453 Willow Grove Bancorp, Inc............... 75,256
2,352 WSFS Financial Corp./(1)/............... 101,418
-------------
9,690,790
-------------
SCHOOLS - 0.31%
4,748 Bright Horizons Family
Solutions, Inc. +...................... 179,945
3,640 Learning Tree International, Inc. +/(1)/ 63,227
6,412 Princeton Review, Inc. +/(1)/........... 51,296
4,273 Strayer Education, Inc.................. 477,422
14,487 Sylvan Learning Systems, Inc. +......... 468,944
-------------
1,240,834
-------------
SEMICONDUCTORS - 3.36%
8,811 Actel Corp. +........................... 241,510
8,730 Alliance Semiconductor Corp. +.......... 72,110
6,708 Artisan Components, Inc. +/(1)/......... 138,648
15,470 Asyst Technologies, Inc. +.............. 282,327
10,748 ATMI, Inc. +/(1)/....................... 247,204
39,474 Axcelis Technologies, Inc. +............ 452,767
14,791 Brooks Automation, Inc. +............... 359,421
19,146 ChipPAC, Inc., Class A +/(1)/........... 148,764
27,772 Cirrus Logic, Inc. +.................... 238,839
8,403 Cohu, Inc............................... 176,631
107,439 Conexant Systems, Inc. +................ 542,567
25,312 Credence Systems Corp. +/(1)/........... 328,044
2,488 Diodes, Inc. +.......................... 50,631
4,782 Dupont Photomasks, Inc. +/(1)/.......... 111,038
21,173 Entegris, Inc. +........................ 271,861
12,246 ESS Technology, Inc. +.................. 204,263
16,045 Exar Corp. +............................ 311,113
12,510 Genesis Microchip, Inc. +............... 230,810
42,338 Globespan Virata, Inc. +................ 259,955
10,471 Helix Technology Corp................... 227,221
23 Hifn, Inc. +............................ 253
11,141 Integrated Silicon Solution, Inc. +..... 208,337
6,917 IXYS Corp. +............................ 58,103
27,842 Kopin Corp. +........................... 197,121
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
SEMICONDUCTORS - Continued
19,950 Kulicke & Soffa Industries, Inc. +.. $ 328,776
40,570 Lattice Semiconductor Corp. +....... 384,198
19,875 LTX Corp. +......................... 331,515
11,177 Mattson Technology, Inc. +.......... 171,567
22,465 Micrel, Inc. +...................... 384,151
11,609 Microsemi Corp. +................... 281,286
10,492 MKS Instruments, Inc. +............. 290,733
9,034 Monolithic Systems
Technology, Inc. +/(1)/............ 67,394
12,993 Mykrolis Corp. +.................... 205,809
9,293 Omnivision Technologies, Inc. +/(1)/ 605,532
11,198 ON Semiconductor Corp. +............ 73,683
6,091 ParthusCeva, Inc. +/(1)/............ 53,296
8,365 Pericom Semiconductor Corp. +....... 98,038
11,439 Photronics, Inc. +/(1)/............. 211,278
10,304 Power Integrations, Inc. +.......... 373,314
4,681 Rudolph Technologies, Inc. +........ 108,365
6,503 Semitool, Inc. +.................... 74,004
23,559 Semtech Corp. +..................... 572,484
2,349 Siliconix, Inc. +/(1)/.............. 119,306
55,620 Skyworks Solutions, Inc. +/(1)/..... 488,900
3,545 Supertex, Inc. +.................... 61,470
8,539 Three-Five Systems, Inc. +.......... 45,513
45,738 Transmeta Corp. +................... 150,935
53,436 Triquint Semiconductor, Inc. +...... 431,763
8,081 Ultratech Stepper, Inc. +........... 244,854
11,400 Varian Semiconductor Equipment
Associates, Inc. +................. 530,784
9,140 Veeco Instruments, Inc. +........... 269,630
82,466 Vitesse Semiconductor Corp. +....... 602,002
7,487 White Electronic Designs Corp. +.... 77,191
10,046 Xicor, Inc. +....................... 131,100
16,263 Zoran Corp. +....................... 298,589
-------------
13,426,998
-------------
TELECOMMUNICATIONS - 2.64%
14,598 Aether Systems, Inc. +.............. 72,552
8,921 Anaren, Inc. +...................... 133,547
59,268 Andrew Corp. + @.................... 697,584
3,513 Applied Signal Technology, Inc...... 76,583
21,319 Arris Group, Inc. +/(1)/............ 137,508
12,315 Aspect Communications Corp. +....... 181,277
6,673 Audiovox Corp., Class A +........... 92,555
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
81
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
TELECOMMUNICATIONS - Continued
23,171 Avanex Corp. +/(1)/................ $ 109,831
6,412 Boston Communications
Group, Inc. +/(1)/................ 57,708
4,300 Centennial Communications Corp.,
Class A +......................... 21,156
68,952 Cincinnati Bell, Inc. +............ 393,716
4,551 Comtech
Telecommunications Corp. +/(1)/... 151,721
7,043 CT Communications, Inc............. 100,715
5,160 D&E Communications, Inc............ 73,530
10,385 Ditech Communications Corp. +...... 182,257
7,704 Dobson Communications Corp.,
Class A +/(1)/.................... 45,454
4,275 EMS Technologies, Inc. +........... 90,844
55,281 Finisar Corp. +.................... 221,124
17,696 General Communication, Inc. +...... 154,840
5,025 Golden Telecom, Inc. +............. 139,444
5,183 Hickory Tech Corp.................. 62,714
1,345 Hungarian Telephone &
Cable Corp. +..................... 13,840
5,217 Inet Technologies, Inc. +.......... 66,986
27,377 Infonet Services Corp., Class B +.. 52,016
5,790 Intrado, Inc. +/(1)/............... 115,511
9,213 Ixia +............................. 117,374
3,894 KVH Industries, Inc. +/(1)/........ 122,817
10,884 Lightbridge, Inc. +................ 104,813
7,901 MasTec, Inc. +/(1)/................ 104,925
24,480 McLeodUSA, Inc., Class A +/(1)/.... 39,168
7,499 Metro One
Telecommunications, Inc. +/(1)/... 14,548
40,068 MRV Communications, Inc. +/(1)/.... 160,673
4,770 NII Holdings, Inc., Class B +/(1)/. 362,282
6,019 North Pittsburgh Systems, Inc...... 110,924
16,085 Plantronics, Inc. +................ 492,844
26,464 Powerwave Technologies, Inc. +/(1)/ 197,157
16,204 Price Communications Corp. +....... 208,221
19,702 Primus Telecommunications
Group, Inc. +..................... 208,644
48,774 Proxim Corp., Class A +............ 68,771
17,117 PTEK Holdings, Inc. +/(1)/......... 149,260
21,720 RCN Corp. +/(1)/................... 22,154
22,923 Remec, Inc. +/(1)/................. 257,196
68,950 RF Micro Devices, Inc. +/(1)/...... 803,268
4,355 SafeNet, Inc. +.................... 144,760
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
TELECOMMUNICATIONS - Continued
17,374 SBA Communications Corp. +............... $ 60,114
1,310 Shenandoah Telecommunications Co......... 64,570
79,501 Sonus Networks, Inc. +................... 726,639
6,417 Spectralink Corp. +...................... 132,126
33,245 Stratex Networks, Inc. +................. 118,352
5,832 SureWest Communications/(1)/............. 228,848
66,215 Sycamore Networks, Inc. +................ 352,264
15,087 Symmetricom, Inc. +...................... 106,122
10,502 Talk America Holdings, Inc. +/(1)/....... 118,148
20,420 Tekelec +................................ 341,014
26,232 Terayon Communication Systems +.......... 156,867
16,044 Time Warner Telecom, Inc., Class A +/(1)/ 169,264
5,437 Tollgrade Communications, Inc. +/(1)/.... 94,114
8,832 Triton PCS Holdings, Inc., Class A +..... 49,459
8,341 ViaSat, Inc. +........................... 177,413
2,166 Warwick Valley Telephone Co.............. 69,442
21,105 Western Wireless Corp., Class A +........ 394,030
9,750 Zhone Technologies, Inc. +............... 53,918
-------------
10,547,516
-------------
TEXTILE - PRODUCTS - 0.13%
3,530 Angelica Corp............................ 72,894
6,821 G&K Services, Inc., Class A.............. 247,057
3,606 UniFirst Corp............................ 83,767
12,790 Wellman, Inc............................. 111,273
-------------
514,991
-------------
THERAPEUTICS - 1.00%
35,269 Abgenix, Inc. +.......................... 397,481
25,430 BioMarin Pharmaceutical, Inc. +/(1)/..... 186,910
12,509 Cell Therapeutics, Inc. +/(1)/........... 112,581
11,345 CV Therapeutics, Inc. +/(1)/............. 203,870
15,627 Discovery Laboratories, Inc. +........... 134,080
4,231 Dov Pharmaceutical, Inc. +/(1)/.......... 45,399
13,860 Esperion Therapeutics, Inc. +/(1)/....... 318,641
9,274 GTC Biotherapeutics, Inc. +/(1)/......... 25,596
2,743 Hollis-Eden Pharmaceuticals +/(1)/....... 37,661
29,564 Medarex, Inc. +/(1)/..................... 201,035
16,726 Medicines Co. +.......................... 457,790
11,927 MGI Pharma, Inc. +/(1)/.................. 457,639
11,798 NPS Pharmaceuticals, Inc. +/(1)/......... 356,064
16,378 Nuvelo, Inc. +/(1)/...................... 64,038
9,547 Onyx Pharmaceuticals, Inc. +............. 274,763
5,449 Trimeris, Inc. +/(1)/.................... 124,401
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
THERAPEUTICS - Continued
17,617 Tularik, Inc. +/(1)/................. $ 263,903
18,579 Vicuron Phamaceuticals, Inc. +....... 337,209
------------
3,999,061
------------
TOBACCO - 0.20%
16,635 Dimon, Inc........................... 112,286
3,966 Standard Commercial Corp............. 82,691
9,971 Universal Corp....................... 425,961
9,340 Vector Group, Ltd./(1)/.............. 158,780
------------
779,718
------------
UTILITIES - COMMUNICATION - 0.08%
8,693 Commonwealth Telephone Enterprises,
Inc. +.............................. 327,031
------------
UTILITIES - ELECTRIC - 1.37%
47,263 Allegheny Energy, Inc. +/(1)/........ 508,077
12,862 Black Hills Corp..................... 414,928
4,748 Central Vermont Public Service Corp.. 113,477
5,768 CH Energy Group, Inc./(1)/........... 253,215
17,727 Cleco Corp........................... 315,186
54,396 CMS Energy Corp. +/(1)/.............. 429,185
19,699 El Paso Electric Co. +............... 250,177
9,109 Empire District Electric Co./(1)/.... 192,747
10,439 Headwaters, Inc. +................... 199,176
15,323 Idacorp, Inc./(1)/................... 450,496
7,125 MGE Energy, Inc...................... 228,071
10,303 Otter Tail Corp./(1)/................ 280,551
9,327 Plug Power, Inc. +/(1)/.............. 54,003
15,693 PNM Resources, Inc................... 439,561
46,991 Sierra Pacific Resources +/(1)/...... 325,648
4,699 UIL Holdings Corp./(1)/.............. 188,007
11,412 UniSource Energy Corp................ 279,937
26,842 Weststar Energy, Inc................. 533,082
------------
5,455,524
------------
UTILITIES - GAS, DISTRIBUTION - 0.39%
2,237 Chesapeake Utilities Corp............ 56,171
1,761 EnergySouth, Inc..................... 60,402
10,295 Northwest Natural Gas Co............. 313,998
6,427 NUI Corp./(1)/....................... 100,454
- --------------------------------------------------------------------------------
SMALL CAP INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
82
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
UTILITIES - GAS,
DISTRIBUTION - Continued
7,598 SEMCO Energy, Inc...................... $ 37,230
4,971 South Jersey Industries, Inc........... 195,857
21,320 Southern Union Co. +................... 389,730
12,218 Southwest Gas Corp..................... 275,516
3,776 World Fuel Services Corp............... 113,016
------------
1,542,374
------------
UTILITIES - GAS, PIPELINE - 0.07%
73,771 Aquila, Inc. +......................... 264,100
------------
UTILITIES - MISCELLANEOUS - 0.04%
5,089 Casella Waste Systems, Inc.,
Class A +............................. 68,193
8,700 Walter Industries, Inc................. 106,488
------------
174,681
------------
WATER SERVICES - 0.16%
6,096 American States Water Co............... 147,950
5,717 California Water Service Group......... 149,557
3,188 Connecticut Water Service, Inc......... 92,675
4,176 Middlesex Water Co./(1)/............... 83,520
2,457 Pico Holdings, Inc. +.................. 36,658
860 SJW Corp............................... 76,316
3,977 Southwest Water Co./(1)/............... 63,155
------------
649,831
------------
TOTAL COMMON STOCK
(Cost $305,161,907).................... 343,017,286
------------
PREFERRED STOCK - 0.00%
REAL ESTATE INVESTMENT TRUSTS -
0.00%
778 Prime Retail, Inc. 8.50%............... 6,170
------------
TOTAL PREFERRED STOCK
(Cost $29,954)......................... 6,170
------------
WARRANTS - 0.00%
FINANCE COMPANIES - 0.00%
255 Imperial Credit Industries, Inc. +/(3)/ 0
------------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - 0.00%
491 Microstrategy, Inc. +:............... $ 147
------------
TOTAL WARRANTS
(Cost $0)............................ 147
------------
PAR
VALUE
- ------------
SHORT-TERM INVESTMENTS - 27.76%
COLLECTIVE INVESTMENT POOL - 17.88%
$71,348,367 Securities Lending Quality Trust/(2)/ 71,348,367
------------
COMMERCIAL PAPER - 9.16%
10,900,000 BellSouth Corp.:
1.00% due 12/5/03 @................ 10,898,789
5,365,000 Eksportfinans A S:
1.01% due 12/5/03 @................ 5,364,398
10,000,000 Merck & Co., Inc.:
1.00% due 12/2/03 @................ 9,999,722
7,000,000 Target Corp.:
1.01% due 12/2/03 @................ 6,999,804
3,300,000 USAA Capital Corp.:
1.00% due 12/5/03 @................ 3,299,633
------------
36,562,346
------------
U.S. TREASURY BILLS - 0.72%
United States Treasury Bills:
50,000 0.90% due 12/11/03 @............... 49,987
125,000 0.90% due 12/11/03 @............... 124,969
250,000 0.89% due 12/11/03 @............... 249,938
425,000 0.89% due 1/8/04 @................. 424,601
920,000 0.89% due 1/15/04 @................ 918,977
255,000 0.88% due 12/11/03 @............... 254,903
50,000 0.88% due 12/18/03 @............... 49,979
260,000 0.87% due 12/18/03 @............... 259,893
50,000 0.87% due 1/15/04 @................ 49,946
150,000 0.86% due 12/4/03 @................ 149,989
40,000 0.86% due 12/11/03 @............... 39,990
25,000 0.85% due 12/11/03 @............... 24,994
25,000 0.83% due 12/4/03 @................ 24,998
85,000 0.82% due 12/4/03 @................ 84,994
50,000 0.81% due 12/4/03 @................ 49,997
100,000 0.80% due 12/4/03 @................ 99,993
------------
2,858,148
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $110,768,861).................. 110,768,861
------------
PAR MARKET
VALUE VALUE
- ------------------------------------------------------------------------
REPURCHASE AGREEMENT - 3.81%
$15,201,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of
$15,202,178 and collateralized by
Federal Home Loan Mtg. Corp. Notes,
bearing interest at 6.63%, due
9/15/09 and having an approximate
value of $15,657,250 (Cost
$15,201,000) @............................... $ 15,201,000
-------------
TOTAL INVESTMENTS
(Cost $431,161,722) - 117.53%................. 468,993,464
Other assets and liabilities,
net - (17.53)%............................... (69,945,433)
-------------
NET ASSETS - 100%............................. $ 399,048,031
-------------
+ Non-income producing
@ The security or a portion thereof
represents collateral for open futures
contracts.
# Security represents an investment in
an affiliated company.
/(1)/ The security or a portion thereof is out
on loan (see Note 2).
/(2)/ The security is purchased with the
cash collateral received from
securities loaned.
/(3)/ Fair valued security (see Note 2).
/(4)/ Illiquid security.
OPEN FUTURES CONTRACTS
- ----------------------------------------------------------------------------------
Value as of
Number of Value at November 30, Unrealized
Contracts Description Expiration Date Trade Date 2003 Appreciation
- ----------------------------------------------------------------------------------
200 Long Russell 2000 Index December 2003 $52,249,147 $54,650,000 $2,400,853
----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SOCIAL AWARENESS FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
83
NUMBER MARKET
OF SHARES VALUE
--------------------------------------------------------
COMMON STOCK - 91.13%
AIRLINES - 0.29%
87,750 Delta Air Lines, Inc./(1)/........ $ 1,100,385
-----------
APPAREL & PRODUCTS - 1.07%
38,157 Gap, Inc.......................... 820,376
34,882 Jones Apparel Group, Inc.......... 1,203,429
50,000 VF Corp........................... 2,063,500
-----------
4,087,305
-----------
AUTOMOTIVE - 1.43%
7,020 Borg-Warner, Inc.................. 554,580
46,840 Danaher Corp...................... 3,897,088
9,810 SPX Corp. +....................... 532,683
61,450 Visteon Corp...................... 482,383
-----------
5,466,734
-----------
BANKS - 4.85%
10,000 Bank One Corp..................... 433,600
37,650 Comerica, Inc..................... 1,963,447
55,000 FleetBoston Financial Corp........ 2,233,000
57,500 Mellon Financial Corp............. 1,656,000
27,430 National City Corp................ 920,277
12,390 U.S. Bancorp...................... 343,327
86,370 Wachovia Corp..................... 3,951,427
123,000 Wells Fargo & Co.................. 7,051,590
-----------
18,552,668
-----------
BEVERAGES - 2.74%
163,100 Coca-Cola Bottling Co............. 7,584,150
31,425 Coca-Cola Enterprises, Inc........ 648,926
46,850 PepsiCo, Inc...................... 2,254,422
-----------
10,487,498
-----------
BROADCASTING - 1.20%
22,870 Clear Channel Communications, Inc. 956,195
115,980 Comcast Corp., Class A +.......... 3,639,452
-----------
4,595,647
-----------
BUILDING MATERIALS - 1.45%
2,850 Lafarge North America Inc./(1)/... 108,585
40,700 Lowe's Cos., Inc.................. 2,372,810
NUMBER MARKET
OF SHARES VALUE
-------------------------------------------------------------
BUILDING MATERIALS - Continued
40,000 Masco Corp............................. $ 1,088,000
45,000 Vulcan Materials Co./(1)/.............. 2,001,150
-----------
5,570,545
-----------
CHEMICAL - 0.92%
89,060 Ashland, Inc........................... 3,539,244
-----------
COMMERCIAL SERVICES - 0.34%
108,850 Concord EFS, Inc. +.................... 1,250,686
980 Fluor Corp............................. 35,927
-----------
1,286,613
-----------
CONGLOMERATES - 4.89%
72,440 3M Co.................................. 5,725,658
453,870 General Electric Co. @................. 13,012,453
-----------
18,738,111
-----------
DRUGS - 5.92%
60,930 Abbott Laboratories.................... 2,693,106
11,650 Allergan, Inc.......................... 870,605
132,040 Bristol-Myers Squibb Co................ 3,479,254
8,950 Eli Lilly & Co......................... 613,612
13,300 Merck & Co., Inc....................... 539,980
335,190 Pfizer, Inc. @......................... 11,245,624
26,380 Watson Pharmaceuticals, Inc. +......... 1,243,553
49,780 Wyeth.................................. 1,961,332
-----------
22,647,066
-----------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.45%
33,190 Agilent Technologies, Inc. +........... 938,613
58,000 American Power Conversion Corp......... 1,267,880
2,860 Amphenol Corp., Class A +.............. 173,087
1,470 AVX Corp./(1)/......................... 22,197
13,220 Hawaiian Electric Industries, Inc./(1)/ 609,310
9,170 Mettler-Toledo International, Inc. +... 359,648
20 PMC-Sierra, Inc. +..................... 407
77,600 Thermo Electron Corp. +................ 1,854,640
10,500 Waters Corp. +......................... 335,790
-----------
5,561,572
-----------
NUMBER MARKET
OF SHARES VALUE
----------------------------------------------------------
FINANCE COMPANIES - 1.99%
47,480 Capital One Financial Corp.......... $ 2,835,506
118,210 MBNA Corp........................... 2,898,509
50,414 SLM Corp............................ 1,871,872
-----------
7,605,887
-----------
FINANCIAL SERVICES - 6.09%
10,000 American Express Co................. 457,100
6,900 Charles Schwab Corp................. 80,040
257,530 Citigroup, Inc. @................... 12,114,211
35,000 Fannie Mae.......................... 2,450,000
38,000 Freddie Mac......................... 2,067,960
13,940 Goldman Sachs Group, Inc............ 1,339,355
80,000 JP Morgan Chase & Co................ 2,828,800
2,290 Lehman Brothers Holdings, Inc....... 165,361
32,180 Merrill Lynch & Co., Inc............ 1,826,215
-----------
23,329,042
-----------
FOODS - 1.00%
50,000 General Mills, Inc.................. 2,250,500
27,768 H J Heinz Co........................ 1,002,425
10,369 Wm. Wrigley Jr. Co.................. 571,539
-----------
3,824,464
-----------
FREIGHT - 0.37%
19,551 United Parcel Service, Inc., Class B 1,422,726
-----------
HARDWARE & TOOLS - 0.58%
35,790 Black & Decker Corp................. 1,660,298
16,990 Stanley Works....................... 555,743
-----------
2,216,041
-----------
HEALTHCARE - 0.97%
27,300 Anthem, Inc. +...................... 1,968,876
57,580 McKesson Corp....................... 1,681,336
1,603 Medco Health Solutions, Inc. +...... 58,397
-----------
3,708,609
-----------
HEAVY DUTY TRUCKS/PARTS - 0.23%
54,908 Dana Corp........................... 887,862
-----------
- --------------------------------------------------------------------------------
SOCIAL AWARENESS FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
84
NUMBER MARKET
OF SHARES VALUE
---------------------------------------------------------------
HOSPITAL SUPPLIES - 2.83%
22,360 AmerisourceBergen Corp................... $ 1,415,164
57,140 Becton, Dickinson and Co................. 2,287,314
41,000 Boston Scientific Corp. +................ 1,471,490
29,300 Cardinal Health, Inc..................... 1,791,402
78,820 Johnson & Johnson........................ 3,885,038
-----------
10,850,408
-----------
HOUSEHOLD PRODUCTS - 3.88%
530 American Greetings Corp., Class A +/(1)/ 11,194
32,890 Colgate-Palmolive Co..................... 1,726,725
130,000 Gillette Co.............................. 4,384,900
74,630 International Flavors &
Fragrances, Inc......................... 2,423,236
65,410 Procter & Gamble Co...................... 6,295,058
-----------
14,841,113
-----------
INFORMATION PROCESSING
HARDWARE - 4.52%
120,000 Dell, Inc. +............................. 4,140,000
168,000 Hewlett-Packard Co....................... 3,643,920
75,000 International Business Machines Corp..... 6,790,500
34,332 Lexmark International, Inc., Class A +.. 2,657,297
15,360 Sun Microsystems, Inc. +................. 65,587
-----------
17,297,304
-----------
INFORMATION PROCESSING
SERVICES - 2.59%
9,410 Adobe Systems, Inc....................... 388,821
7,040 Ceridian Corp. +......................... 149,459
56,820 eBay, Inc. +............................. 3,173,397
88,557 Fiserv, Inc. +........................... 3,320,888
37,490 SunGard Data Systems, Inc. +............. 1,012,980
40,740 Symantec Corp. +......................... 1,337,494
33,340 Unisys Corp. +........................... 544,109
-----------
9,927,148
-----------
INFORMATION PROCESSING
SOFTWARE - 3.77%
450,660 Microsoft Corp. @........................ 11,581,962
237,960 Oracle Corp. +........................... 2,857,900
-----------
14,439,862
-----------
NUMBER MARKET
OF SHARES VALUE
-------------------------------------------------------------
INSURANCE - 7.97%
26,010 Aetna, Inc............................. $ 1,674,524
114,860 AFLAC, Inc............................. 4,131,514
96,683 Allstate Corp.......................... 3,904,059
42,160 American International Group, Inc. #... 2,443,172
22,310 Chubb Corp............................. 1,460,189
24,770 Hartford Financial Services Group, Inc. 1,362,350
62,000 John Hancock Financial Services, Inc... 2,278,500
94,610 Lincoln National Corp.................. 3,709,658
62,840 Marsh & McLennan Cos., Inc............. 2,792,610
15,120 PMI Group, Inc......................... 562,918
6,700 Safeco Corp............................ 250,781
28,340 St. Paul Cos., Inc..................... 1,051,414
14,419 Torchmark Corp......................... 635,878
58,760 UnitedHealth Group, Inc................ 3,167,164
11,641 Wellpoint Health Networks, Inc.,
Class A +............................. 1,088,317
-----------
30,513,048
-----------
LEISURE AND TOURISM - 1.98%
2,920 Electronic Arts, Inc. +................ 129,152
32,761 Harley-Davidson, Inc................... 1,545,336
64,550 Mattel, Inc............................ 1,306,492
179,560 McDonald's Corp........................ 4,602,123
-----------
7,583,103
-----------
MACHINERY - 1.53%
87,670 Crane Co............................... 2,550,320
32,528 Dover Corp............................. 1,248,750
26,150 Illinois Tool Works, Inc............... 2,042,315
-----------
5,841,385
-----------
MEDICAL - BIOMEDICAL/GENE - 1.19%
60,000 Amgen, Inc. +.......................... 3,450,600
23,527 Genzyme Corp. +........................ 1,099,652
-----------
4,550,252
-----------
MEDICAL TECHNOLOGY - 0.02%
1,150 Quest Diagnostics, Inc. +.............. 83,916
-----------
NUMBER MARKET
OF SHARES VALUE
----------------------------------------------------------
MULTIMEDIA - 2.26%
193,410 Time Warner, Inc. +................. $ 3,148,715
66,890 Viacom, Inc., Class B............... 2,630,115
123,960 Walt Disney Co...................... 2,862,236
-----------
8,641,066
-----------
OIL AND GAS - 1.71%
12,710 Cooper Cameron Corp. +.............. 551,741
19,850 Diamond Offshore Drilling, Inc./(1)/ 348,368
48,370 Helmerich & Payne, Inc.............. 1,165,717
9,510 Nabors Industries, Ltd. +........... 353,011
14,040 ONEOK, Inc./(1)/.................... 278,132
42,900 Tidewater, Inc...................... 1,184,469
75,460 Transocean, Inc. +.................. 1,462,415
27,910 Valero Energy Corp.................. 1,202,921
-----------
6,546,774
-----------
PAPER/FOREST PRODUCTS - 0.31%
8,630 Boise Cascade Corp./(1)/............ 254,671
50,990 Louisiana-Pacific Corp. +........... 922,409
-----------
1,177,080
-----------
PUBLISHING - 0.73%
57,470 Tribune Co.......................... 2,807,410
-----------
RAILROADS & EQUIPMENT - 0.59%
40,400 CSX Corp............................ 1,369,156
41,390 Norfolk Southern Corp............... 886,160
-----------
2,255,316
-----------
RETAIL - 5.52%
40,000 Bed Bath & Beyond, Inc. +........... 1,689,600
13,288 Best Buy Co., Inc................... 823,856
65,000 Dollar General Corp................. 1,372,800
42,280 Home Depot, Inc..................... 1,554,213
13,230 Kohl's Corp. +...................... 639,274
40,000 RadioShack Corp..................... 1,246,000
100,000 Staples, Inc. +..................... 2,715,000
51,570 Target Corp......................... 1,996,790
163,320 Wal-Mart Stores, Inc. @............. 9,087,125
-----------
21,124,658
-----------
SCHOOLS - 0.41%
22,870 Apollo Group, Inc., Class A +....... 1,578,716
-----------
- --------------------------------------------------------------------------------
SOCIAL AWARENESS FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
85
NUMBER MARKET
OF SHARES VALUE
------------------------------------------------------------
SEMICONDUCTORS - 4.23%
65,960 Applied Materials, Inc. +............ $ 1,602,828
337,000 Intel Corp........................... 11,265,910
12,630 Maxim Integrated Products, Inc....... 657,771
49,690 National Semiconductor Corp. +....... 2,222,137
15,278 Texas Instruments, Inc............... 454,673
------------
16,203,319
------------
TELECOMMUNICATIONS - 4.86%
164,950 AT&T Wireless Services, Inc. +....... 1,237,125
71,180 BellSouth Corp....................... 1,852,816
70,860 CenturyTel, Inc...................... 2,317,122
260,000 Cisco Systems, Inc. +................ 5,891,600
243,080 Motorola, Inc........................ 3,412,843
57,715 Nextel Communications, Inc.,
Class A +........................... 1,461,921
73,990 Verizon Communications, Inc.......... 2,424,652
------------
18,598,079
------------
UTILITIES - COMMUNICATION - 0.30%
58,388 AT&T Corp............................ 1,157,834
------------
UTILITIES - ELECTRIC - 1.11%
37,780 Duquesne Light Holdings, Inc......... 652,461
40,290 OGE Energy Corp...................... 959,708
113,790 Puget Energy, Inc.................... 2,645,617
------------
4,257,786
------------
UTILITIES - GAS, DISTRIBUTION - 0.41%
28,080 AGL Resources, Inc................... 797,472
22,080 KeySpan Corp......................... 777,878
------------
1,575,350
------------
UTILITIES - GAS, PIPELINE - 0.63%
104,230 National Fuel Gas Co................. 2,407,713
------------
TOTAL COMMON STOCK
(Cost $332,524,730).................. 348,886,659
------------
PAR MARKET
VALUE VALUE
-----------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.64%
COLLECTIVE INVESTMENT POOL - 1.21%
$4,618,766 Securities Lending Quality Trust/(2)/... $ 4,618,766
------------
COMMERCIAL PAPER - 2.87%
11,000,000 UBS Finance, Inc.:
1.04% due 12/1/03 @................... 11,000,000
------------
U.S. TREASURY BILLS - 0.56%
United States Treasury Bills:
25,000 0.90% due 12/11/03 @.................. 24,994
10,000 0.89% due 12/11/03 @.................. 9,997
1,470,000 0.89% due 1/15/04 @................... 1,468,365
145,000 0.88% due 12/18/03 @.................. 144,940
15,000 0.87% due 12/18/03 @.................. 14,994
250,000 0.86% due 12/18/03 @.................. 249,898
250,000 0.83% due 1/8/04 @.................... 249,765
------------
2,162,953
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $17,781,719)...................... 17,781,719
------------
REPURCHASE AGREEMENT - 5.36%
20,516,000 Agreement with State Street Bank & Trust
Co., bearing interest at 0.93%, dated
11/28/03, to be repurchased 12/1/03 in
the amount of $20,517,590 and
collateralized by Federal National Mtg.
Assoc. Notes, bearing interest at
1.50%, due 6/17/05 and having
an approximate value of
$21,135,993 (Cost $20,516,000) @....... 20,516,000
------------
TOTAL INVESTMENTS
(Cost $370,822,449) - 101.13%........... 387,184,378
Other assets and liabilities,
net - (1.13)%.......................... (4,340,583)
------------
NET ASSETS - 100%....................... $382,843,795
------------
+Non-income producing
#Security represents an investment in an affiliated company
@The security or a portion thereof represents collateral for open
futures contracts.
/(1)/The security or a portion thereof is out on loan (see Note 2).
/(2)/The security is purchased with the cash collateral received from
securities loaned.
OPEN FUTURES CONTRACTS
----------------------------------------------------------------------------
Value as of
Number of Expiration Value at November 30, Unrealized
Contracts Description Date Trade Date 2003 Appreciation
----------------------------------------------------------------------------
128 Long S&P 500 Index December 2003 $ 32,948,660 $ 33,849,600 $ 900,940
---------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STOCK INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
86
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
COMMON STOCK - 99.08%
ADVERTISING - 0.21%
160,200 Interpublic Group of Cos., Inc.+/(1)/ $ 2,282,850
77,800 Omnicom Group, Inc................... 6,197,548
------------
8,480,398
------------
AEROSPACE/DEFENSE - 1.73%
344,200 Boeing Co............................ 13,213,838
80,700 General Dynamics Corp................ 6,526,209
48,100 Goodrich Corp........................ 1,323,231
351,900 Honeywell International, Inc......... 10,447,911
184,600 Lockheed Martin Corp................. 8,480,524
74,900 Northrop Grumman Corp................ 6,937,987
169,400 Raytheon Co.......................... 4,694,074
73,300 Rockwell Collins, Inc................ 1,971,037
191,800 United Technologies Corp............. 16,437,260
------------
70,032,071
------------
AIRLINES - 0.16%
50,500 Delta Air Lines, Inc./(1)/........... 633,270
320,400 Southwest Airlines Co................ 5,760,792
------------
6,394,062
------------
APPAREL & PRODUCTS - 0.74%
365,700 Gap, Inc............................. 7,862,550
51,800 Jones Apparel Group, Inc............. 1,787,100
213,500 Limited, Inc......................... 3,825,920
44,500 Liz Claiborne, Inc................... 1,557,945
107,900 Nike, Inc., Class B.................. 7,256,275
24,100 Reebok International, Ltd............ 969,784
208,900 TJX Cos., Inc........................ 4,719,051
43,900 VF Corp.............................. 1,811,753
------------
29,790,378
------------
APPLIANCES/FURNISHINGS - 0.11%
78,700 Leggett & Platt, Inc................. 1,600,758
32,100 Maytag Corp.......................... 848,724
28,200 Whirlpool Corp....................... 1,926,624
------------
4,376,106
------------
AUTOMOTIVE - 0.90%
112,500 AutoNation, Inc.+.................... 1,977,750
36,700 AutoZone, Inc.+...................... 3,510,722
30,200 Cooper Tire & Rubber Co.............. 604,302
62,700 Danaher Corp......................... 5,216,640
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
AUTOMOTIVE - (Continued)
229,300 Delphi Automotive Systems Corp.. $ 2,013,254
749,800 Ford Motor Co./(1)/............. 9,897,360
229,500 General Motors Corp............. 9,818,010
71,200 Genuine Parts Co................ 2,241,376
71,700 Goodyear Tire & Rubber Co.+/(1)/ 483,975
53,500 Visteon Corp./(1)/.............. 419,975
------------
36,183,364
------------
BANKS - 7.02%
143,500 AmSouth Bancorp................. 3,442,565
611,700 Bank of America Corp............ 46,140,531
315,300 Bank of New York Co., Inc....... 9,673,404
462,600 Bank One Corp................... 20,058,336
221,000 BB&T Corp....................... 8,698,560
92,300 Charter One Financial, Inc...... 3,066,206
71,700 Comerica, Inc................... 3,739,155
233,200 Fifth Third Bancorp............. 13,555,916
51,500 First Tennessee National Corp... 2,296,900
430,600 FleetBoston Financial Corp...... 17,482,360
93,600 Huntington Bancshares, Inc./(1)/ 2,058,264
172,200 KeyCorp/(1)/.................... 4,785,438
93,000 Marshall & Ilsley Corp./(1)/.... 3,450,300
176,300 Mellon Financial Corp........... 5,077,440
251,300 National City Corp.............. 8,431,115
62,300 North Fork Bancorp., Inc........ 2,487,639
90,300 Northern Trust Corp............. 4,049,955
114,700 PNC Financial Services Group.... 6,235,092
118,800 Providian Financial Corp.+/(1)/. 1,342,440
91,100 Regions Financial Corp.......... 3,380,721
138,100 SouthTrust Corp................. 4,439,915
136,300 State Street Bank & Trust Co.... 6,945,848
115,200 SunTrust Bks., Inc.............. 8,184,960
123,300 Synovus Financial Corp./(1)/.... 3,533,778
788,400 U.S. Bancorp.................... 21,846,564
80,200 Union Planters Corp............. 2,767,702
545,200 Wachovia Corp................... 24,942,900
687,300 Wells Fargo & Co................ 39,402,909
36,800 Zions Bancorp................... 2,269,456
------------
283,786,369
------------
BEVERAGES - 2.66%
14,900 Adolph Coors Co., Class B/(1)/.. 821,139
338,400 Anheuser-Busch Cos., Inc........ 17,535,888
24,900 Brown-Forman Corp., Class B..... 2,284,326
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
BEVERAGES - (Continued)
1,005,800 Coca-Cola Bottling Co............. $ 46,769,700
185,200 Coca-Cola Enterprises, Inc........ 3,824,380
109,600 Pepsi Bottling Group, Inc......... 2,529,568
706,200 PepsiCo, Inc...................... 33,982,344
------------
107,747,345
------------
BROADCASTING - 1.09%
251,600 Clear Channel Communications, Inc. 10,519,396
921,000 Comcast Corp., Class A+........... 28,900,980
131,800 Univision Communications, Inc.,
Class A+/(1)/.................... 4,755,344
------------
44,175,720
------------
BUILDING MATERIALS - 0.76%
29,600 American Standard Cos., Inc.+..... 2,951,120
320,600 Lowe's Cos., Inc.................. 18,690,980
192,300 Masco Corp........................ 5,230,560
59,700 Sherwin-Williams Co............... 1,936,071
41,600 Vulcan Materials Co./(1)/......... 1,849,952
------------
30,658,683
------------
CHEMICAL - 1.48%
93,000 Air Products and Chemicals, Inc... 4,458,420
28,000 Ashland, Inc./(1)/................ 1,112,720
375,900 Dow Chemical Co................... 14,115,045
407,800 E.I. du Pont de Nemours and Co.... 16,907,388
31,700 Eastman Chemical Co./(1)/......... 1,130,739
106,300 Ecolab, Inc....................... 2,787,186
51,200 Engelhard Corp.................... 1,526,784
20,700 Great Lakes Chemical Corp./(1)/... 470,097
45,400 Hercules, Inc.+/(1)/.............. 455,816
107,200 Monsanto Co....................... 2,907,264
69,500 PPG Industries, Inc............... 4,063,665
66,700 Praxair, Inc...................... 4,787,726
91,000 Rohm and Haas Co.................. 3,653,650
29,000 Sigma-Aldrich Corp................ 1,553,530
------------
59,930,030
------------
COMMERCIAL SERVICES - 0.70%
23,100 Ball Corp./(1)/................... 1,292,445
414,900 Cendant Corp.+.................... 9,194,184
69,800 Cintas Corp./(1)/................. 3,262,452
199,200 Concord EFS, Inc.+................ 2,288,808
58,400 Convergys Corp.+.................. 895,856
- --------------------------------------------------------------------------------
STOCK INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
87
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
COMMERCIAL SERVICES - (Continued)
21,700 Deluxe Corp....................... $ 894,040
33,400 Fluor Corp./(1)/.................. 1,224,444
61,000 Moody's Corp...................... 3,494,080
154,200 Paychex, Inc...................... 5,932,074
------------
28,478,383
------------
CONGLOMERATES - 4.28%
320,400 3M Co............................. 25,324,416
30,700 Eaton Corp........................ 3,161,793
4,100,300 General Electric Co.@............. 117,555,601
37,800 ITT Industries, Inc............... 2,491,776
75,900 Loews Corp./(1)/.................. 3,235,617
55,500 Textron, Inc...................... 2,766,120
817,400 Tyco International, Ltd........... 18,759,330
------------
173,294,653
------------
DRUGS - 6.71%
639,500 Abbott Laboratories............... 28,265,900
53,400 Allergan, Inc..................... 3,990,582
793,400 Bristol-Myers Squibb Co........... 20,906,090
459,400 Eli Lilly & Co.................... 31,496,464
149,400 Forest Laboratories, Inc.+........ 8,163,216
98,700 King Pharmaceuticals, Inc.+....... 1,274,217
916,200 Merck & Co., Inc.................. 37,197,720
3,186,600 Pfizer, Inc.@..................... 106,910,430
601,300 Schering-Plough Corp.............. 9,650,865
44,000 Watson Pharmaceuticals, Inc.+..... 2,074,160
544,800 Wyeth............................. 21,465,120
------------
271,394,764
------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.47%
192,800 Agilent Technologies, Inc.+....... 5,452,384
80,700 American Power Conversion Corp.... 1,764,102
85,600 Applera Corp. - Applied Biosystems
Group/(1)/....................... 1,837,832
77,100 Comverse Technology, Inc.+........ 1,482,633
172,300 Emerson Electric Co............... 10,517,192
81,400 Jabil Circuit, Inc.+.............. 2,239,314
585,300 JDS Uniphase Corp.+/(1)/.......... 2,013,432
36,700 Johnson Controls, Inc............. 4,016,448
19,900 Millipore Corp.+/(1)/............. 851,919
78,200 Molex, Inc.M/(1)/................. 2,514,912
65,100 NVIDIA Corp.+/(1)/................ 1,376,865
48,400 Parker Hannifin Corp./(1)/........ 2,661,516
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - (Continued)
51,800 Perkinelmer, Inc....................... $ 875,938
95,800 Pitney Bowes, Inc...................... 3,808,050
69,800 PMC-Sierra, Inc.+/(1)/................. 1,421,826
34,000 Power-One, Inc.+/(1)/.................. 286,620
208,800 Sanmina-SCI Corp.+..................... 2,545,272
339,600 Solectron Corp.+....................... 1,986,660
94,400 Symbol Technologies, Inc............... 1,316,880
34,800 Tektronix, Inc......................... 958,740
66,400 Thermo Electron Corp.+................. 1,586,960
23,900 Thomas & Betts Corp./(1)/.............. 497,120
37,400 W. W. Grainger, Inc.................... 1,730,124
50,300 Waters Corp.+.......................... 1,608,594
323,700 Xerox Corp.+/(1)/...................... 3,942,666
------------
59,293,999
------------
FINANCE COMPANIES - 0.62%
93,000 Capital One Financial Corp............. 5,553,960
522,900 MBNA Corp.............................. 12,821,508
184,600 SLM Corp............................... 6,854,198
------------
25,229,666
------------
FINANCIAL SERVICES - 7.40%
526,700 American Express Co.................... 24,075,457
40,800 Bear Stearns Cos., Inc................. 2,956,368
554,300 Charles Schwab Corp.................... 6,429,880
2,108,100 Citigroup, Inc......................... 99,165,024
55,700 Countrywide Financial Corp............. 5,881,920
57,400 Equifax, Inc........................... 1,356,362
398,500 Fannie Mae............................. 27,895,000
44,400 Federated Investors, Inc., Class B/(1)/ 1,276,500
102,700 Franklin Resources, Inc................ 4,912,141
284,800 Freddie Mac............................ 15,498,816
194,100 Goldman Sachs Group, Inc............... 18,649,128
73,500 H & R Block, Inc....................... 3,990,315
97,900 Janus Capital Group, Inc............... 1,361,789
833,500 JP Morgan Chase & Co................... 29,472,560
112,600 Lehman Brothers Holdings, Inc.......... 8,130,846
382,700 Merrill Lynch & Co., Inc............... 21,718,225
445,200 Morgan Stanley......................... 24,610,656
50,500 T. Rowe Price Group, Inc............... 2,123,020
------------
299,504,007
------------
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
FOODS - 1.45%
263,900 Archer-Daniels-Midland Co........... $ 3,771,131
168,000 Campbell Soup Co.................... 4,302,480
219,700 ConAgra Foods, Inc.................. 5,382,650
152,500 General Mills, Inc.................. 6,864,025
144,000 H J Heinz Co........................ 5,198,400
53,400 Hershey Foods Corp.................. 4,149,180
167,100 Kellogg Co.......................... 5,977,167
57,100 McCormick & Co., Inc./(1)/.......... 1,638,199
318,100 Sara Lee Corp./(1)/................. 6,536,955
265,900 Sysco Corp.......................... 9,657,488
92,100 Wm. Wrigley Jr. Co.................. 5,076,552
------------
58,554,227
------------
FREIGHT - 1.07%
122,100 FedEx Corp.......................... 8,876,670
26,000 Ryder System, Inc................... 810,940
460,500 United Parcel Service, Inc., Class B 33,510,585
------------
43,198,195
------------
HARDWARE & TOOLS - 0.08%
31,800 Black & Decker Corp................. 1,475,202
23,800 Snap-on, Inc........................ 714,476
34,900 Stanley Works....................... 1,141,579
------------
3,331,257
------------
HEALTHCARE - 0.41%
56,800 Anthem, Inc.+....................... 4,096,416
21,800 Bausch & Lomb, Inc./(1)/............ 1,095,014
98,200 Health Management Associates, Inc.,
Class A/(1)/....................... 2,523,740
36,500 Manor Care, Inc..................... 1,289,180
118,900 McKesson Corp....................... 3,471,880
110,700 Medco Health Solutions, Inc.+....... 4,032,801
------------
16,509,031
------------
HEAVY DUTY TRUCKS/PARTS - 0.15%
60,800 Dana Corp........................... 983,136
28,000 Navistar International Corp.+....... 1,206,800
47,700 PACCAR, Inc......................... 3,826,017
------------
6,015,953
------------
- --------------------------------------------------------------------------------
STOCK INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
88
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
HOME BUILDERS - 0.16%
25,300 Centex Corp./(1)/....................... $ 2,767,820
19,300 KB Home................................. 1,329,384
25,300 Pulte Homes, Inc./(1)/.................. 2,417,162
------------
6,514,366
------------
HOSPITAL MANAGEMENT - 0.28%
204,500 HCA, Inc................................ 8,570,595
189,800 Tenet Healthcare Corp.+................. 2,772,978
------------
11,343,573
------------
HOSPITAL SUPPLIES - 3.36%
45,800 AmerisourceBergen Corp.................. 2,898,682
249,200 Baxter International, Inc............... 6,932,744
103,900 Becton, Dickinson and Co................ 4,159,117
105,000 Biomet, Inc............................. 3,755,850
337,000 Boston Scientific Corp.+................ 12,094,930
182,700 Cardinal Health, Inc.................... 11,170,278
21,200 CR Bard, Inc............................ 1,602,720
1,214,700 Johnson & Johnson....................... 59,872,563
497,900 Medtronic, Inc.......................... 22,505,080
70,300 St. Jude Medical, Inc.+................. 4,452,802
81,500 Stryker Corp............................ 6,601,500
------------
136,046,266
------------
HOUSEHOLD PRODUCTS - 2.70%
24,000 Alberto-Culver Co., Class B............. 1,465,680
27,000 American Greetings Corp., Class A+/(1)/. 570,240
96,700 Avon Products, Inc...................... 6,623,950
88,700 Clorox Co............................... 4,161,804
220,200 Colgate-Palmolive Co.................... 11,560,500
59,400 Fortune Brands, Inc..................... 4,058,208
417,500 Gillette Co............................. 14,082,275
38,600 International Flavors & Fragrances, Inc. 1,253,342
207,400 Kimberly-Clark Corp..................... 11,245,228
112,300 Newell Rubbermaid, Inc.................. 2,568,301
530,700 Procter & Gamble Co..................... 51,074,568
23,900 Tupperware Corp......................... 368,299
------------
109,032,395
------------
HUMAN RESOURCES - 0.04%
69,700 Robert Half International, Inc.+........ 1,551,522
------------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------
INFORMATION PROCESSING -
HARDWARE - 3.56%
148,400 Apple Computer, Inc.+....................... $ 3,104,528
1,051,300 Dell, Inc.+................................. 36,269,850
132,600 Gateway, Inc.+.............................. 591,396
1,249,501 Hewlett-Packard Co.......................... 27,101,677
708,100 International Business Machines Corp........ 64,111,374
52,400 Lexmark International, Inc., Class A+....... 4,055,760
139,900 Network Appliance, Inc.+/(1)/............... 3,233,089
1,321,800 Sun Microsystems, Inc.+..................... 5,644,086
------------
144,111,760
------------
INFORMATION PROCESSING -
SERVICES - 1.88%
95,500 Adobe Systems, Inc.......................... 3,946,060
76,600 Computer Sciences Corp.+.................... 3,171,240
262,800 eBay, Inc.+................................. 14,677,380
196,300 Electronic Data Systems Corp................ 4,244,006
897,900 EMC Corp.+.................................. 12,337,146
303,000 First Data Corp............................. 11,468,550
79,200 Fiserv, Inc.+............................... 2,970,000
46,000 Monster Worldwide, Inc.+/(1)/............... 1,106,760
38,800 NCR Corp.+/(1)/............................. 1,354,120
116,800 SunGard Data Systems, Inc.+................. 3,155,936
124,200 Symantec Corp.+............................. 4,077,486
134,800 Unisys Corp.+............................... 2,199,936
265,800 Yahoo!, Inc.+............................... 11,424,084
------------
76,132,704
------------
INFORMATION PROCESSING -
SOFTWARE - 4.50%
45,800 Autodesk, Inc............................... 1,063,476
244,800 Automatic Data Processing, Inc.............. 9,358,704
93,100 BMC Software, Inc.+......................... 1,548,253
67,400 Citrix Systems, Inc.+....................... 1,618,948
236,900 Computer Associates International, Inc./(1)/ 5,519,770
156,600 Compuware Corp.+............................ 895,752
97,900 IMS Health, Inc............................. 2,254,637
83,900 Intuit, Inc.+............................... 4,218,492
35,300 Mercury Interactive Corp.+/(1)/............. 1,652,040
4,425,800 Microsoft Corp.@............................ 113,743,060
151,900 Novell, Inc.+............................... 1,443,050
2,142,000 Oracle Corp.+............................... 25,725,420
109,000 Parametric Technology Corp.+................ 372,780
149,000 PeopleSoft, Inc.+........................... 3,151,350
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
INFORMATION PROCESSING -
SOFTWARE - (Continued)
202,200 Siebel Systems, Inc.+.................. $ 2,664,996
174,300 VERITAS Software Corp.+................ 6,627,060
------------
181,857,788
------------
INSURANCE - 5.14%
113,800 ACE, Ltd............................... 4,148,010
62,900 Aetna, Inc............................. 4,049,502
210,400 AFLAC, Inc............................. 7,568,088
288,000 Allstate Corp.......................... 11,629,440
43,600 AMBAC Financial Group, Inc............. 2,997,500
1,067,800 American International Group, Inc.#.... 61,879,010
128,000 Aon Corp............................... 2,808,320
76,700 Chubb Corp............................. 5,020,015
57,400 CIGNA Corp............................. 3,079,510
65,700 Cincinnati Financial Corp.............. 2,662,821
115,600 Hartford Financial Services Group, Inc. 6,358,000
66,200 Humana, Inc.+.......................... 1,478,246
58,000 Jefferson-Pilot Corp./(1)/............. 2,814,740
118,400 John Hancock Financial Services, Inc... 4,351,200
72,700 Lincoln National Corp.................. 2,850,567
218,000 Marsh & McLennan Cos., Inc............. 9,687,920
59,300 MBIA, Inc.............................. 3,446,516
311,100 MetLife, Inc........................... 10,169,859
40,300 MGIC Investment Corp./(1)/............. 2,133,885
132,400 Principal Financial Group, Inc......... 4,383,764
88,900 Progressive Corp....................... 6,943,090
223,400 Prudential Financial, Inc.............. 8,737,174
56,700 Safeco Corp............................ 2,122,281
93,200 St. Paul Cos., Inc..................... 3,457,720
46,800 Torchmark Corp......................... 2,063,880
412,200 Travelers Property Casualty Corp.,
Class B............................... 6,430,320
244,100 UnitedHealth Group, Inc................ 13,156,990
121,100 UnumProvident Corp..................... 1,808,023
60,100 Wellpoint Health Networks, Inc.,
Class A+.............................. 5,618,749
55,900 Xl Capital, Ltd., Class A.............. 4,203,680
------------
208,058,820
------------
LEISURE AND TOURISM - 1.74%
37,100 Brunswick Corp./(1)/................... 1,114,855
257,700 Carnival Corp.......................... 9,068,463
67,300 Darden Restaurants, Inc................ 1,393,783
- --------------------------------------------------------------------------------
STOCK INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
89
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
LEISURE AND TOURISM - (Continued)
120,400 Electronic Arts, Inc.+.................... $ 5,325,292
123,800 Harley-Davidson, Inc...................... 5,839,646
45,100 Harrah's Entertainment, Inc............... 2,158,937
71,100 Hasbro, Inc............................... 1,572,021
154,600 Hilton Hotels Corp........................ 2,529,256
141,200 International Game Technology............. 4,898,228
95,400 Marriott International, Inc., Class A..... 4,372,182
179,600 Mattel, Inc............................... 3,635,104
520,800 McDonald's Corp........................... 13,348,104
58,800 Sabre Holdings Corp., Class A............. 1,225,980
160,000 Starbucks Corp.+.......................... 5,131,200
82,300 Starwood Hotels & Resorts Worldwide, Inc.,
Class B.................................. 2,836,881
46,500 Wendy's International, Inc................ 1,805,595
120,100 Yum! Brands, Inc.+........................ 4,142,249
------------
70,397,776
------------
MACHINERY - 1.03%
141,200 Caterpillar, Inc.......................... 10,738,260
37,700 Cooper Industries, Ltd., Class A.......... 2,022,605
24,200 Crane Co.................................. 703,978
17,000 Cummins, Inc./(1)/........................ 789,650
98,000 Deere & Co................................ 6,000,540
82,900 Dover Corp................................ 3,182,531
126,000 Illinois Tool Works, Inc.................. 9,840,600
70,100 Ingersoll-Rand Co., Class A............... 4,370,034
50,800 Pall Corp................................. 1,301,496
75,700 Rockwell Automation, Inc.................. 2,517,025
------------
41,466,719
------------
MEDICAL - BIOMEDICAL/GENE - 1.04%
528,200 Amgen, Inc.+.............................. 30,376,782
134,000 Biogen, Inc.+/(1)/........................ 5,116,120
90,900 Genzyme Corp.+............................ 4,248,666
102,200 MedImmune, Inc.+.......................... 2,432,360
------------
42,173,928
------------
MEDICAL TECHNOLOGY - 0.51%
76,400 Chiron Corp.+/(1)/........................ 4,096,568
126,000 Guidant Corp.............................. 7,153,020
43,000 Quest Diagnostics, Inc.+.................. 3,137,710
92,800 Zimmer Holdings, Inc.+.................... 6,117,376
------------
20,504,674
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
METALS - 0.71%
346,300 Alcoa, Inc........................... $ 11,362,103
33,200 Allegheny Technologies, Inc./(1)/.... 272,240
68,900 Freeport-McMoRan Copper & Gold, Inc.,
Class B/(1)/........................ 2,999,217
176,800 Newmont Mining Corp.................. 8,511,152
32,000 Nucor Corp........................... 1,795,520
36,500 Phelps Dodge Corp.+.................. 2,324,320
42,200 United States Steel Corp./(1)/....... 1,048,670
35,200 Worthington Industries, Inc./(1)/.... 504,064
------------
28,817,286
------------
MISCELLANEOUS - 0.07%
117,300 Eastman Kodak Co./(1)/............... 2,857,428
------------
MULTIMEDIA - 2.31%
110,400 Gannett Co., Inc..................... 9,560,640
78,300 McGraw-Hill Cos., Inc................ 5,363,550
20,400 Meredith Corp........................ 976,956
1,846,900 Time Warner, Inc.+................... 30,067,532
718,300 Viacom, Inc., Class B................ 28,243,556
836,600 Walt Disney Co....................... 19,317,094
------------
93,529,328
------------
OIL AND GAS - 5.42%
36,800 Amerada Hess Corp.................... 1,743,216
102,100 Anadarko Petroleum Corp.............. 4,587,353
66,300 Apache Corp.......................... 4,760,340
137,000 Baker Hughes, Inc.................... 3,953,820
64,800 BJ Services Co.+..................... 2,066,472
82,100 Burlington Resources, Inc............ 4,121,420
437,400 ChevronTexaco Corp................... 32,848,740
278,300 ConocoPhillips....................... 15,790,742
94,900 Devon Energy Corp.................... 4,684,264
153,300 Dynegy, Inc., Class A+/(1)/.......... 613,200
245,800 El Paso Corp./(1)/................... 1,745,180
47,000 EOG Resources, Inc................... 1,971,180
2,716,200 Exxon Mobil Corp.@................... 98,244,954
179,200 Halliburton Co....................... 4,184,320
41,300 Kerr-McGee Corp...................... 1,734,187
50,500 Kinder Morgan, Inc................... 2,752,250
127,000 Marathon Oil Corp.................... 3,760,470
59,900 Nabors Industries, Ltd.+............. 2,223,488
54,800 Noble Corp.+......................... 1,894,984
156,700 Occidental Petroleum Corp............ 5,747,756
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
OIL AND GAS - (Continued)
15,100 Peoples Energy Corp............... $ 607,020
38,400 Rowan Cos., Inc.+................. 812,928
238,400 Schlumberger, Ltd................. 11,185,728
31,500 Sunoco, Inc./(1)/................. 1,512,315
130,900 Transocean, Inc.+................. 2,536,842
105,800 Unocal Corp....................... 3,362,324
------------
219,445,493
------------
PAPER/FOREST PRODUCTS - 0.71%
45,300 Avery Dennison Corp............... 2,495,124
21,700 Bemis Co., Inc.................... 987,350
23,900 Boise Cascade Corp./(1)/.......... 705,289
103,800 Georgia-Pacific Corp.............. 2,832,702
196,300 International Paper Co............ 7,304,323
42,800 Louisiana-Pacific Corp.+.......... 774,252
82,000 Meadwestvaco Corp................. 2,092,640
64,500 Pactiv Corp.+..................... 1,447,380
74,900 Plum Creek Timber Co., Inc........ 1,994,587
34,800 Sealed Air Corp.+................. 1,836,396
22,100 Temple-Inland, Inc./(1)/.......... 1,249,313
89,700 Weyerhaeuser Co................... 5,112,900
------------
28,832,256
------------
POLLUTION CONTROL - 0.20%
85,700 Allied Waste Industries, Inc.+.... 1,066,965
242,300 Waste Management, Inc............. 7,126,043
------------
8,193,008
------------
PUBLISHING - 0.36%
33,300 Dow Jones & Co., Inc./(1)/........ 1,651,680
32,900 Knight-Ridder, Inc./(1)/.......... 2,447,102
61,100 New York Times Co., Class A....... 2,804,490
46,400 R. R. Donnelley & Sons Co./(1)/... 1,301,984
128,400 Tribune Co........................ 6,272,340
------------
14,477,596
------------
RAILROADS & EQUIPMENT - 0.43%
152,400 Burlington Northern Santa Fe Corp. 4,536,948
87,600 CSX Corp.......................... 2,968,764
159,700 Norfolk Southern Corp............. 3,419,177
104,300 Union Pacific Corp................ 6,641,824
------------
17,566,713
------------
- --------------------------------------------------------------------------------
STOCK INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
90
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 0.37%
38,500 Apartment Investment & Management
Co., Class A........................ $ 1,310,925
163,200 Equity Office Properties Trust....... 4,525,536
112,000 Equity Residential................... 3,288,320
73,400 Prologis Trust....................... 2,238,700
78,700 Simon Property Group, Inc............ 3,734,315
------------
15,097,796
------------
RETAIL - 6.24%
150,200 Albertson's, Inc./(1)/............... 3,196,256
121,000 Bed Bath & Beyond, Inc.+............. 5,111,040
131,900 Best Buy Co., Inc.................... 8,177,800
47,800 Big Lots, Inc.+...................... 700,748
85,500 Circuit City Stores, Inc............. 1,113,210
187,100 Costco Wholesale Corp.+.............. 6,701,922
161,500 CVS Corp............................. 6,049,790
34,200 Dillard's, Inc., Class A/(1)/........ 576,270
136,500 Dollar General Corp.................. 2,882,880
32,800 Express Scripts, Inc., Class A+/(1)/. 2,123,144
70,400 Family Dollar Stores, Inc............ 2,716,032
75,900 Federated Department Stores, Inc..... 3,725,931
940,600 Home Depot, Inc...................... 34,576,456
111,100 JC Penney Co., Inc................... 2,764,168
138,900 Kohl's Corp.+........................ 6,711,648
307,500 Kroger Co.+.......................... 5,799,450
118,100 May Department Stores Co............. 3,501,665
55,600 Nordstrom, Inc./(1)/................. 1,918,200
126,800 Office Depot, Inc.+.................. 2,009,780
67,800 RadioShack Corp...................... 2,111,970
180,600 Safeway, Inc.+....................... 3,747,450
103,900 Sears, Roebuck and Co................ 5,731,124
200,600 Staples, Inc.+....................... 5,446,290
54,800 SUPERVALU, Inc....................... 1,414,936
372,800 Target Corp.......................... 14,434,816
59,400 Tiffany & Co......................... 2,693,790
87,300 Toys R US, Inc.+/(1)/................ 1,024,902
1,788,100 Wal-Mart Stores, Inc.@............... 99,489,884
419,400 Walgreen Co.......................... 15,438,114
57,700 Winn-Dixie Stores, Inc./(1)/......... 521,031
------------
252,410,697
------------
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------
SAVINGS & LOAN - 0.58%
62,300 Golden West Financial Corp........ $ 6,286,070
377,800 Washington Mutual, Inc............ 17,307,018
------------
23,593,088
------------
SCHOOLS - 0.12%
71,900 Apollo Group, Inc., Class A+...... 4,963,257
------------
SEMICONDUCTORS - 4.52%
142,000 Advanced Micro Devices, Inc.+/(1)/ 2,553,160
156,500 Altera Corp.+..................... 3,964,145
149,500 Analog Devices, Inc.+............. 7,437,625
678,300 Applied Materials, Inc.+.......... 16,482,690
124,700 Applied Micro Circuits Corp.+..... 805,562
121,400 Broadcom Corp., Class A+.......... 4,422,602
2,664,400 Intel Corp........................ 89,070,892
77,900 KLA-Tencor Corp.+................. 4,565,719
128,100 Linear Technology Corp............ 5,526,234
155,000 LSI Logic Corp.+/(1)/............. 1,452,350
132,800 Maxim Integrated Products, Inc.... 6,916,224
249,600 Micron Technology, Inc.+/(1)/..... 3,247,296
75,300 National Semiconductor Corp.+..... 3,367,416
61,900 Novellus Systems, Inc.+........... 2,708,744
38,600 QLogic Corp.+..................... 2,193,638
77,200 Teradyne, Inc.+/(1)/.............. 1,943,124
708,500 Texas Instruments, Inc............ 21,084,960
139,500 Xilinx, Inc.+..................... 5,243,805
------------
182,986,186
------------
TELECOMMUNICATIONS - 5.01%
329,100 ADC Telecommunications, Inc.+/(1)/ 809,586
127,600 Alltel Corp....................... 5,794,316
62,800 Andrew Corp.+/(1)/................ 739,156
1,110,400 AT&T Wireless Services, Inc.+..... 8,328,000
170,500 Avaya, Inc.+/(1)/................. 2,318,800
756,000 BellSouth Corp.................... 19,678,680
58,900 CenturyTel, Inc................... 1,926,030
192,700 Ciena Corp.+...................... 1,364,316
2,872,600 Cisco Systems, Inc.+.............. 65,093,116
116,400 Citizens Communications Co.+...... 1,264,104
544,800 Corning, Inc.+.................... 6,243,408
1,702,800 Lucent Technologies, Inc.+/(1)/... 5,448,960
952,500 Motorola, Inc..................... 13,373,100
450,000 Nextel Communications, Inc.,
Class A+......................... 11,398,500
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------
TELECOMMUNICATIONS - (Continued)
324,900 QUALCOMM, Inc./(1)/...................... $ 14,474,295
693,900 Qwest Communications
International, Inc.+.................... 2,539,674
61,000 Scientific-Atlanta, Inc./(1)/............ 1,761,680
423,400 Sprint Corp. (PCS Group)+/(1)/........... 1,943,406
169,000 Tellabs, Inc.+........................... 1,352,000
1,128,100 Verizon Communications, Inc.............. 36,967,837
------------
202,818,964
------------
TOBACCO - 1.18%
830,600 Altria Group, Inc........................ 43,191,200
34,500 R.J. Reynolds Tobacco Holdings, Inc./(1)/ 1,904,400
68,100 UST, Inc./(1)/........................... 2,450,919
------------
47,546,519
------------
UTILITIES - COMMUNICATION - 1.08%
322,600 AT&T Corp................................ 6,397,158
1,360,200 SBC Communications, Inc.................. 31,665,456
369,600 Sprint Corp. (FON Group)................. 5,540,304
------------
43,602,918
------------
UTILITIES - ELECTRIC - 2.44%
253,700 AES Corp.+............................... 2,250,319
51,400 Allegheny Energy, Inc.+/(1)/............. 552,550
66,300 Ameren Corp./(1)/........................ 2,925,819
161,600 American Electric Power Co., Inc......... 4,474,704
169,100 Calpine Corp.+/(1)/...................... 722,057
125,200 CenterPoint Energy, Inc./(1)/............ 1,214,440
72,600 Cinergy Corp./(1)/....................... 2,653,530
66,000 CMS Energy Corp.+/(1)/................... 520,740
92,000 Cons. Edison, Inc........................ 3,707,600
68,300 Constellation Energy Group, Inc.......... 2,570,812
132,300 Dominion Resources, Inc./(1)/............ 7,973,721
68,900 DTE Energy Co./(1)/...................... 2,598,219
370,100 Duke Energy Corp......................... 6,676,604
133,300 Edison International, Inc.+.............. 2,721,986
93,300 Entergy Corp............................. 4,931,838
133,300 Exelon Corp.............................. 8,240,606
133,200 FirstEnergy Corp......................... 4,615,380
75,200 FPL Group, Inc./(1)/..................... 4,778,960
107,600 NiSource, Inc............................ 2,232,700
168,600 PG&E Corp.+.............................. 4,235,232
37,400 Pinnacle West Capital Corp............... 1,472,438
72,300 PPL Corp................................. 2,955,624
- --------------------------------------------------------------------------------
STOCK INDEX FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
91
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------
UTILITIES - ELECTRIC - (Continued)
99,600 Progress Energy, Inc................. $ 4,364,472
92,600 Public Service Enterprise Group,
Inc./(1)/........................... 3,798,452
298,100 Southern Co.......................... 8,725,387
76,800 TECO Energy, Inc./(1)/............... 996,864
131,800 TXU Corp............................. 2,918,052
163,200 Xcel Energy, Inc./(1)/............... 2,725,440
--------------
98,554,546
--------------
UTILITIES - GAS,
DISTRIBUTION - 0.14%
64,900 Keyspan Corp......................... 2,286,427
18,000 Nicor, Inc./(1)/..................... 589,860
91,500 Sempra Energy........................ 2,591,280
--------------
5,467,567
--------------
UTILITIES - GAS, PIPELINE - 0.05%
211,900 Williams Cos., Inc./(1)/............. 1,987,622
--------------
TOTAL COMMON STOCK
(Cost $2,949,232,698)................ 4,008,299,220
--------------
PAR
VALUE
- -------------
SHORT-TERM INVESTMENTS - 4.12%
COLLECTIVE INVESTMENT
POOL - 3.89%
$157,468,270 Securities Lending Quality Trust/(2)/ 157,468,270
--------------
COMMERCIAL PAPER - 0.17%
7,000,000 UBS Finance, Inc.:
1.04% due 12/1/03.................. 7,000,000
--------------
U.S. TREASURY BILLS - 0.06%
United States Treasury Bills:
215,000 0.90% due 1/8/04@.................. 214,797
1,175,000 0.89% due 12/11/03@................ 1,174,710
600,000 0.89% due 1/15/04@................. 599,332
90,000 0.86% due 12/4/03@................. 89,994
210,000 0.85% due 1/22/04@................. 209,742
40,000 0.82% due 12/4/03@................. 39,997
--------------
2,328,572
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $166,796,842).................. 166,796,842
--------------
PAR MARKET
VALUE VALUE
- -----------------------------------------------------------------
REPURCHASE AGREEMENT - 0.57%
$23,132,000 Agreement with State Street Bank &
Trust Co., bearing interest at 0.93%,
dated 11/28/03, to be repurchased
12/1/03 in the amount of
$23,133,793 and collateralized by
Federal Home Loan Mtg. Corp.
Notes, bearing interest at 2.25%,
due 10/27/05 and having an
approximate value of
$23,827,893@
(Cost $23,132,000)................... $ 23,132,000
--------------
TOTAL INVESTMENTS
(Cost $3,139,161,540) - 103.77%....... 4,198,228,062
Other assets and liabilities, net -
(3.77)%.............................. (152,615,580)
--------------
NET ASSETS - 100%..................... $4,045,612,482
--------------
+Non-income producing
#Security represents an investment in an affiliated company.
@The security or a portion thereof represents collateral for open futures
contracts.
/(1)/The security or a portion thereof is out on loan (see Note 2).
/(2)/The security is purchased with the cash collateral received from
securities loaned.
Open Futures Contracts
---------------------------------------------------------------------------
Value as of
Number of Expiration Value at November 30, Unrealized
Contracts Description Date Trade Date 2003 Appreciation
---------------------------------------------------------------------------
134 Long S&P 500 Index December 2003 $34,213,252 $35,436,300 $1,223,048
----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
VALUE FUND - SCHEDULE OF INVESTMENTS (Unaudited)
November 30, 2003
92
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------
COMMON STOCK - 96.84%
AEROSPACE/DEFENSE - 3.08%
3,295 Boeing Co..................... $ 126,495
1,781 Honeywell International, Inc.. 52,878
1,300 Lockheed Martin Corp.......... 59,722
420 Northrop Grumman Corp......... 38,904
2,070 Raytheon Co................... 57,360
516 Rockwell Collins, Inc......... 13,875
564 United Technologies Corp...... 48,335
------------
397,569
------------
AIRLINES - 0.27%
1,922 Southwest Airlines Co......... 34,558
------------
APPAREL & PRODUCTS - 0.96%
439 Jones Apparel Group, Inc...... 15,145
1,772 Limited, Inc.................. 31,754
250 Liz Claiborne, Inc............ 8,753
3,057 TJX Cos., Inc................. 69,058
------------
124,710
------------
APPLIANCES/FURNISHINGS - 0.48%
903 Whirlpool Corp................ 61,693
------------
AUTOMOTIVE - 0.59%
74 AutoZone, Inc. +.............. 7,079
3,218 Ford Motor Co................. 42,478
453 Lear Corp. +.................. 26,790
------------
76,347
------------
BANKS - 10.62%
345 AmSouth Bancorp............... 8,277
3,303 Bank of America Corp.......... 249,145
4,597 Bank of New York Co., Inc..... 141,036
469 Bank One Corp................. 20,336
740 BB&T Corp..................... 29,126
1,748 Fifth Third Bancorp........... 101,611
50 First Tennessee National Corp. 2,230
1,447 FleetBoston Financial Corp.... 58,748
309 M&T Bank Corp................. 29,006
1,271 National City Corp............ 42,642
182 Northern Trust Corp........... 8,163
525 Providian Financial Corp. +... 5,932
1,520 State Street Bank & Trust Co.. 77,459
1,085 Synovus Financial Corp........ 31,096
8,960 U.S. Bancorp.................. 248,282
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
BANKS - Continued
1,152 Wachovia Corp................... $ 52,704
4,300 Wells Fargo & Co................ 246,519
316 Zions Bancorp................... 19,488
------------
1,371,800
------------
BEVERAGES - 2.23%
176 Anheuser-Busch Cos., Inc........ 9,120
4,111 Coca-Cola Bottling Co........... 191,161
1,998 Coca-Cola Enterprises, Inc...... 41,259
2,034 Pepsi Bottling Group, Inc....... 46,945
------------
288,485
------------
BROADCASTING - 0.88%
320 Comcast Corp., Class A +........ 10,042
300 Comcast Corp., Class A Special + 9,045
8,521 Liberty Media Corp., Series A +. 94,157
------------
113,244
------------
BUILDING MATERIALS - 1.08%
1,541 Lowe's Cos., Inc................ 89,840
1,844 Masco Corp...................... 50,157
------------
139,997
------------
CHEMICAL - 2.19%
3,756 Dow Chemical Co................. 141,038
1,170 E.I. du Pont de Nemours and Co.. 48,508
604 Hercules, Inc. +................ 6,064
1,488 PPG Industries, Inc............. 87,004
------------
282,614
------------
COAL - 0.04%
200 Arch Coal, Inc.................. 5,298
------------
COMMERCIAL SERVICES - 0.04%
411 Owens-Illinois, Inc. +.......... 4,636
------------
CONGLOMERATES - 3.99%
11,096 General Electric Co............. 318,122
591 Textron, Inc.................... 29,455
7,329 Tyco International, Ltd......... 168,201
------------
515,778
------------
DRUGS - 8.22%
4,019 Abbott Laboratories............. 177,640
2,694 Bristol-Myers Squibb Co......... 70,987
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
DRUGS - Continued
793 Caremark Rx, Inc. +.............. $ 21,173
1,225 Eli Lilly & Co................... 83,986
2,102 King Pharmaceuticals, Inc. +..... 27,137
3,071 Merck & Co., Inc................. 124,683
12,781 Pfizer, Inc...................... 428,802
1,100 Schering-Plough Corp............. 17,655
2,780 Wyeth............................ 109,532
------------
1,061,595
------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 1.63%
638 Emerson Electric Co.............. 38,944
535 Flextronics International, Ltd. + 8,576
545 Parker Hannifin Corp............. 29,970
627 Pitney Bowes, Inc................ 24,923
5,640 Solectron Corp. +................ 32,994
6,180 Xerox Corp. +.................... 75,272
------------
210,679
------------
FINANCE COMPANIES - 1.62%
810 Capital One Financial Corp....... 48,373
6,540 MBNA Corp........................ 160,361
------------
208,734
------------
FINANCIAL SERVICES - 12.16%
12,238 Citigroup, Inc................... 575,675
4,000 Fannie Mae....................... 280,000
3,240 Freddie Mac...................... 176,321
72 Goldman Sachs Group, Inc......... 6,918
482 H & R Block, Inc................. 26,168
6,394 JP Morgan Chase & Co............. 226,092
212 Legg Mason, Inc.................. 16,898
3,340 Merrill Lynch & Co., Inc......... 189,545
1,160 Morgan Stanley................... 64,125
418 Sovereign Bancorp, Inc........... 9,472
------------
1,571,214
------------
FOODS - 2.02%
1,630 Archer-Daniels-Midland Co........ 23,293
2,060 ConAgra Foods, Inc............... 50,470
1,456 H J Heinz Co..................... 52,562
249 Hershey Foods Corp............... 19,347
1,242 Kellogg Co....................... 44,426
1,179 Kraft Foods, Inc., Class A....... 37,339
- --------------------------------------------------------------------------------
VALUE FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
93
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
FOODS - Continued
1,080 Sara Lee Corp.......................... $ 22,194
191 Unilever NV............................ 11,479
------------
261,110
------------
HEALTHCARE - 0.34%
130 Anthem, Inc. +......................... 9,376
1,182 McKesson Corp.......................... 34,514
------------
43,890
------------
HOSPITAL SUPPLIES - 0.78%
240 AmerisourceBergen Corp................. 15,190
183 Baxter International, Inc.............. 5,091
1,308 Cardinal Health, Inc................... 79,971
------------
100,252
------------
HOUSEHOLD PRODUCTS - 2.45%
774 Colgate-Palmolive Co................... 40,635
950 Fortune Brands, Inc.................... 64,904
698 Gillette Co............................ 23,544
702 Kimberly-Clark Corp.................... 38,062
253 Newell Rubbermaid, Inc................. 5,786
1,493 Procter & Gamble Co.................... 143,686
------------
316,617
------------
INFORMATION PROCESSING -
HARDWARE - 2.78%
14,020 Hewlett-Packard Co..................... 304,094
323 Lexmark International, Inc., Class A +. 25,000
7,111 Sun Microsystems, Inc. +............... 30,364
------------
359,458
------------
INFORMATION PROCESSING -
SERVICES - 0.18%
597 SunGard Data Systems, Inc. +........... 16,131
236 Symantec Corp. +....................... 7,748
------------
23,879
------------
INFORMATION PROCESSING -
SOFTWARE - 0.83%
869 Automatic Data Processing, Inc......... 33,222
2,408 Computer Associates International, Inc. 56,106
721 Microsoft Corp......................... 18,530
------------
107,858
------------
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
INSURANCE - 7.17%
2,590 ACE, Ltd............................... $ 94,405
106 Berkshire Hathaway, Inc., Class B +.... 296,906
1,230 CIGNA Corp............................. 65,989
424 Fidelity National Financial, Inc....... 14,980
260 Hartford Financial Services Group, Inc. 14,300
500 Health Net, Inc. +..................... 16,350
719 MetLife, Inc........................... 23,504
377 Old Republic International Corp........ 13,972
148 Radian Group, Inc...................... 7,304
708 St. Paul Cos., Inc..................... 26,267
262 Torchmark Corp......................... 11,554
7,004 Travelers Property Casualty Corp.,
Class A............................... 109,262
7,991 Travelers Property Casualty Corp.,
Class B............................... 124,660
625 UnitedHealth Group, Inc................ 33,688
343 UnumProvident Corp..................... 5,121
260 Wellpoint Health Networks, Inc.,
Class A +............................. 24,307
580 Xl Capital, Ltd., Class A.............. 43,616
------------
926,185
------------
LEISURE AND TOURISM - 1.95%
384 Darden Restaurants, Inc................ 7,952
568 Harrah's Entertainment, Inc............ 27,190
690 Marriott International, Inc., Class A.. 31,623
2,800 Mattel, Inc............................ 56,672
4,182 McDonald's Corp........................ 107,185
583 MGM Mirage, Inc. +..................... 21,851
------------
252,473
------------
MACHINERY - 0.49%
860 Ingersoll-Rand Co., Class A............ 53,612
296 Rockwell Automation, Inc............... 9,842
------------
63,454
------------
METALS - 1.04%
3,762 Alcoa, Inc............................. 123,431
506 Barrick Gold Corp...................... 11,330
------------
134,761
------------
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
MISCELLANEOUS - 0.22%
274 Eastman Kodak Co................ $ 6,675
4,332 Service Corp. International +... 21,443
------------
28,118
------------
MULTIMEDIA - 2.07%
174 McGraw-Hill Cos., Inc........... 11,919
6,988 Time Warner, Inc. +............. 113,765
6,116 Walt Disney Co.................. 141,218
------------
266,902
------------
OIL AND GAS - 7.31%
309 Amerada Hess Corp............... 14,637
830 Burlington Resources, Inc....... 41,666
1,596 ChevronTexaco Corp.............. 119,860
2,117 ConocoPhillips.................. 120,119
333 Devon Energy Corp............... 16,437
9,442 Exxon Mobil Corp................ 341,517
2,861 Halliburton Co.................. 66,804
1,558 Marathon Oil Corp............... 46,133
760 Noble Corp. +................... 26,281
324 Occidental Petroleum Corp....... 11,884
909 Royal Dutch Petroleum Co. (NY).. 40,814
584 Schlumberger, Ltd............... 27,401
1,021 Transocean, Inc. +.............. 19,787
1,600 Unocal Corp..................... 50,848
------------
944,188
------------
PAPER/FOREST PRODUCTS - 1.14%
550 Avery Dennison Corp............. 30,294
221 Boise Cascade Corp.............. 6,522
580 International Paper Co.......... 21,582
999 Smurfit-Stone Container Corp. +. 16,343
1,280 Weyerhaeuser Co................. 72,960
------------
147,701
------------
POLLUTION CONTROL - 0.23%
284 Republic Services, Inc., Class A 7,228
765 Waste Management, Inc........... 22,498
------------
29,726
------------
- --------------------------------------------------------------------------------
VALUE FUND - SCHEDULE OF INVESTMENTS (Unaudited) - CONTINUED
November 30, 2003
94
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
RAILROADS & EQUIPMENT - 1.60%
280 Canadian National Railway Co..... $ 16,618
783 CSX Corp......................... 26,536
1,392 Norfolk Southern Corp............ 29,803
2,100 Union Pacific Corp............... 133,728
------------
206,685
------------
REAL ESTATE INVESTMENT TRUSTS - 0.30%
1,391 Equity Office Properties Trust... 38,572
------------
RETAIL - 2.45%
157 Express Scripts, Inc., Class A +. 10,163
422 Federated Department Stores, Inc. 20,716
3,880 Home Depot, Inc.................. 142,629
1,870 JC Penney Co., Inc............... 46,525
2,400 Office Depot, Inc. +............. 38,040
858 RadioShack Corp.................. 26,727
860 Rite Aid Corp. +................. 5,289
999 Staples, Inc. +.................. 27,123
------------
317,212
------------
SAVINGS & LOAN - 0.97%
2,730 Washington Mutual, Inc........... 125,061
------------
SEMICONDUCTORS - 0.18%
1,800 Micron Technology, Inc. +........ 23,418
------------
TELECOMMUNICATIONS - 3.15%
259 Amdocs, Ltd. +................... 6,480
4,024 AT&T Wireless Services, Inc. +... 30,180
3,840 BellSouth Corp................... 99,955
838 CenturyTel, Inc.................. 27,403
3,737 Motorola, Inc.................... 52,467
942 Qwest Communications
International, Inc. +........... 3,448
5,730 Verizon Communications, Inc...... 187,772
------------
407,705
------------
TOBACCO - 2.51%
6,250 Altria Group, Inc................ 325,000
------------
UTILITIES - COMMUNICATION - 1.01%
4,662 SBC Communications, Inc.......... 108,531
1,428 Sprint Corp. (FON Group)......... 21,406
------------
129,937
------------
NUMBER MARKET
OF SHARES VALUE
- ------------------------------------------------------------
UTILITIES - ELECTRIC - 3.51%
4,573 CenterPoint Energy, Inc.............. $ 44,358
312 Dominion Resources, Inc.............. 18,804
840 Duke Energy Corp..................... 15,154
4,229 Edison International, Inc. +......... 86,356
863 Entergy Corp......................... 45,618
930 Exelon Corp.......................... 57,493
1,150 FirstEnergy Corp..................... 39,847
327 FPL Group, Inc....................... 20,781
300 NiSource, Inc........................ 6,225
3,044 PG&E Corp. +......................... 76,465
968 Progress Energy, Inc................. 42,418
------------
453,519
------------
UTILITIES - GAS, DISTRIBUTION - 0.08%
221 Sempra Energy........................ 6,259
203 Southern Union Co. +................. 3,711
------------
9,970
------------
TOTAL COMMON STOCK
(Cost $11,676,127)................... 12,512,602
------------
PREFERRED STOCK - 0.45%
AUTOMOTIVE - 0.24%
630 Ford Motor Co. Capital Trust II 6.50% 31,431
------------
ELECTRONICS/ELECTRICAL
EQUIPMENT - 0.21%
375 Xerox Corp. 7.50% *.................. 27,164
------------
TOTAL PREFERRED STOCK
(Cost $53,394)....................... 58,595
------------
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------------
CORPORATE BONDS - 0.21%
METALS - 0.12%
$ 5,000 Freeport-McMoRan Copper & Gold, Inc. *:
8.25% due 1/31/06......................... $ 15,288
------------
MISCELLANEOUS - 0.09%
12,000 Service Corp. International:
6.75% due 6/22/08......................... 12,465
------------
TOTAL CORPORATE BONDS
(Cost $17,279).............................. 27,753
------------
TOTAL INVESTMENTS
(Cost $11,746,800) - 97.50%................. 12,598,950
Other assets and liabilities,
net - 2.50%................................ 322,529
------------
NET ASSETS - 100%........................... $ 12,921,479
------------
+ Non-income producing
* Securities exempt from registration under
rule 144A of the Securities Act of 1933.
These securities may be sold in
transactions from registration, normally to
qualified institutional buyers. At
November 30, 2003, the aggregate value
of these securities was $2,195,712
representing 1.50% of net assets.
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
95
November 30, 2003
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
ASSET CAPITAL
ALLOCATION BLUE CHIP CONSERVATION CORE EQUITY
FUND GROWTH FUND FUND FUND
-------------- -------------- -------------- --------------
ASSETS:
Long term investments, at market*# (unaffiliated)............ $ 148,140,845 $ 34,175,046 $ 83,795,866 $ 567,828,733
Long term investments, at market** (affiliated).............. 1,463,237 173,850 - 6,883,011
Short term investments (cost equals market).................. 11,143,949 625,438 529,298 -
Repurchase agreements (cost equals market)................... 18,582,000 - 7,403,000 18,122,000
Cash......................................................... 1,716 - - 883
Foreign cash +............................................... - - - -
Receivable for:
Investments sold........................................... 488,656 183,823 989,293 3,023,625
Capital shares sold........................................ 72,568 43,882 117,736 61,375
Dividends and interest..................................... 631,303 29,638 738,066 1,067,396
Futures variation margin................................... 18,700 - - -
Collateral received for securities loaned.................... - - 1,178,534 -
Due from adviser............................................. - - - 47,174
Unrealized appreciation on forward foreign currency contracts - - - -
Other assets................................................. 16,815 1,122 5,017 33,660
-------------- -------------- -------------- --------------
TOTAL ASSETS................................................. 180,559,789 35,232,799 94,756,810 597,067,857
-------------- -------------- -------------- --------------
LIABILITIES:
Payable for:
Investments purchased...................................... 7,246,691 311,954 11,764,322 1,617,890
Options written@........................................... - - - -
Capital shares reacquired.................................. 41,171 8,272 29,125 119,340
Futures variation margin................................... - - - -
Custodian fees............................................. 44,954 15,452 16,666 61,789
Reports to shareholders.................................... 21,637 1,642 7,895 174,116
Directors' retirement plan................................. 23,647 3,232 13,292 142,437
Collateral upon return of securities loaned................ - 139,728 1,707,832 -
Payable to affiliates:
Advisory fees.............................................. 70,530 22,058 33,280 387,298
Administrative services.................................... 9,874 1,930 4,659 33,889
Transfer agency fees....................................... 499 334 500 666
Accrued expenses and other liabilities....................... 17,055 1,638 3,091 32,314
Due to custodian............................................. - - 219,775 -
Due to custodian for foreign cash............................ 48 - - -
-------------- -------------- -------------- --------------
TOTAL LIABILITIES............................................ 7,476,106 506,240 13,800,437 2,569,739
-------------- -------------- -------------- --------------
NET ASSETS................................................... $ 173,083,683 $ 34,726,559 $ 80,956,373 $ 594,498,118
-------------- -------------- -------------- --------------
* Identified cost of investment securities (unaffiliated).... $ 133,118,283 $ 30,934,115 $ 83,670,224 $ 589,862,009
** Identified cost of investment securities (affiliated)..... $ 938,922 $ 247,210 $ - $ 7,810,345
+ Identified cost of foreign cash............................ $ (44) $ - $ - $ -
# Including securities on loan of............................ $ - $ 136,155 $ 1,665,983 $ -
@Premium received on options written......................... $ - $ - $ - $ -
-------------- -------------- -------------- --------------
GOVERNMENT
SECURITIES
FUND
----------------
ASSETS:
Long term investments, at market*# (unaffiliated)............ $ 161,644,222
Long term investments, at market** (affiliated).............. -
Short term investments (cost equals market).................. -
Repurchase agreements (cost equals market)................... 182,000
Cash......................................................... 449
Foreign cash +............................................... -
Receivable for:
Investments sold........................................... -
Capital shares sold........................................ 94,084
Dividends and interest..................................... 1,577,262
Futures variation margin................................... -
Collateral received for securities loaned.................... 6,037,416
Due from adviser............................................. -
Unrealized appreciation on forward foreign currency contracts -
Other assets................................................. 4,885
----------------
TOTAL ASSETS................................................. 169,540,318
----------------
LIABILITIES:
Payable for:
Investments purchased...................................... -
Options written@........................................... -
Capital shares reacquired.................................. 146,478
Futures variation margin................................... -
Custodian fees............................................. 19,101
Reports to shareholders.................................... 16,250
Directors' retirement plan................................. 30,233
Collateral upon return of securities loaned................ 6,037,416
Payable to affiliates:
Advisory fees.............................................. 67,725
Administrative services.................................... 9,481
Transfer agency fees....................................... 666
Accrued expenses and other liabilities....................... 5,063
Due to custodian............................................. -
Due to custodian for foreign cash............................ -
----------------
TOTAL LIABILITIES............................................ 6,332,413
----------------
NET ASSETS................................................... $ 163,207,905
----------------
* Identified cost of investment securities (unaffiliated).... $ 163,126,100
** Identified cost of investment securities (affiliated)..... $ -
+ Identified cost of foreign cash............................ $ -
# Including securities on loan of............................ $ 5,906,247
@Premium received on options written......................... $ -
----------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
96
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
November 30, 2003
ASSET
ALLOCATION BLUE CHIP
FUND GROWTH FUND
-------------- --------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.................................................. $ 146,628 $ 46,464
Additional paid-in capital...................................................................... 152,359,612 36,464,658
Undistributed net investment income (loss)...................................................... (49,178) 7,321
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts
and foreign exchange transactions.............................................................. 4,413,060 (4,959,455)
Unrealized appreciation (depreciation) on:
Investments................................................................................... 15,546,877 3,167,571
Futures contracts............................................................................. 666,688 -
Options written............................................................................... - -
Foreign exchange transactions and other assets and liabilities................................ (4) -
-------------- --------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING..................................................... $ 173,083,683 $ 34,726,559
-------------- --------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share)........................................................ 1,000,000,000 1,000,000,000
Outstanding................................................................................... 14,662,800 4,646,351
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 11.80 $ 7.47
CAPITAL
CONSERVATION CORE EQUITY
FUND FUND
-------------- --------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.................................................. $ 82,880 $ 538,599
Additional paid-in capital...................................................................... 79,801,354 819,857,128
Undistributed net investment income (loss)...................................................... (81,676) 174,434
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts
and foreign exchange transactions.............................................................. 1,028,173 (203,111,433)
Unrealized appreciation (depreciation) on:
Investments................................................................................... 125,642 (22,960,610)
Futures contracts............................................................................. - -
Options written............................................................................... - -
Foreign exchange transactions and other assets and liabilities................................ - -
-------------- --------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING..................................................... $ 80,956,373 $ 594,498,118
-------------- --------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share)........................................................ 1,000,000,000 1,000,000,000
Outstanding................................................................................... 8,287,993 53,859,909
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 9.77 $ 11.04
GOVERNMENT
SECURITIES
FUND
--------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.................................................. $ 152,557
Additional paid-in capital...................................................................... 155,487,562
Undistributed net investment income (loss)...................................................... 91,642
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts
and foreign exchange transactions.............................................................. 8,958,022
Unrealized appreciation (depreciation) on:
Investments................................................................................... (1,481,878)
Futures contracts............................................................................. -
Options written............................................................................... -
Foreign exchange transactions and other assets and liabilities................................ -
--------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING..................................................... $ 163,207,905
--------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share)........................................................ 1,000,000,000
Outstanding................................................................................... 15,255,735
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 10.70
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
97
November 30, 2003
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
HEALTH INTERNATIONAL
GROWTH & GROWTH SCIENCES INCOME & EQUITIES
INCOME FUND FUND FUND GROWTH FUND FUND
------------ ---------- ------------ ------------ -------------
ASSETS:
Long term investments, at market*# (unaffiliated)............ $188,101,181 $4,677,798 $107,650,962 $221,800,460 $100,917,755
Long term investments, at market** (affiliated).............. 1,752,988 - - - -
Short term investments (cost equals market).................. 1,460,250 41,820 15,198,376 6,507,709 469,639
Repurchase agreements (cost equals market)................... 1,810,000 117,000 - 1,283,000 17,349,000
Cash......................................................... - 168 - 609 672
Foreign cash +............................................... - - 232,902 - 181,434
Receivable for:
Investments sold........................................... 1,537,912 - 450,507 686,712 16,285
Capital shares sold........................................ 430,025 1,808 161,288 63,441 782,757
Dividends and interest..................................... 248,783 3,411 59,920 470,560 388,215
Futures variation margin................................... - - - 550 -
Collateral received for securities loaned.................... - - - - -
Due from adviser............................................. 5,828 - - 12,579 -
Unrealized appreciation on forward foreign currency contracts - - - - -
Other assets................................................. 2,247 676 12,666 2,679 4,689
------------ ---------- ------------ ------------ ------------
TOTAL ASSETS................................................. 195,349,214 4,842,681 123,766,621 230,828,299 120,110,446
------------ ---------- ------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased...................................... - - 645,091 664,585 -
Options written@........................................... - - 1,236,780 - -
Capital shares reacquired.................................. 66,279 335 33,122 37,952 71,158
Futures variation margin................................... - - - - 29,679
Custodian fees............................................. 15,406 15,406 18,596 15,433 44,926
Reports to shareholders.................................... 25,802 434 643 26,753 11,337
Directors' retirement plan................................. 32,662 619 9,931 14,268 16,297
Collateral upon return of securities loaned................ 1,460,250 41,820 12,824,840 6,507,709 100
Payable to affiliates:
Advisory fees.............................................. 117,420 3,661 85,587 139,540 32,195
Administrative services.................................... 10,959 270 5,991 12,686 6,439
Transfer agency fees....................................... 500 666 334 426 2,317
Accrued expenses and other liabilities....................... 7,936 1,864 3,553 10,206 7,956
Due to custodian............................................. 82,474 - - - -
Due to custodian for foreign cash............................ - - - - -
------------ ---------- ------------ ------------ ------------
TOTAL LIABILITIES............................................ 1,819,688 65,075 14,864,468 7,429,558 222,404
------------ ---------- ------------ ------------ ------------
NET ASSETS................................................... $193,529,526 $4,777,606 $108,902,153 $223,398,741 $119,888,042
------------ ---------- ------------ ------------ ------------
* Identified cost of investment securities (unaffiliated).... $167,280,578 $4,188,164 $ 95,183,808 $211,437,858 $103,922,848
** Identified cost of investment securities (affiliated)..... $ 595,358 $ - $ - $ - $ -
+ Identified cost of foreign cash............................ $ - $ - $ 219,668 $ - $ 179,745
# Including securities on loan of............................ $ 1,423,611 $ 40,830 $ 12,570,234 $ 6,355,041 $ 15
@Premiums received on options written........................ $ - $ - $ 1,435,930 $ - $ -
------------ ---------- ------------ ------------ ------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
98
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
November 30, 2003
HEALTH INTERNATIONAL
GROWTH & GROWTH SCIENCES INCOME & EQUITIES
INCOME FUND FUND FUND GROWTH FUND FUND
-------------- -------------- -------------- -------------- --------------
NET ASSETS REPRESENTED BY:
Capital shares at par value
of $0.01 per share........... $ 154,663 $ 10,260 $ 124,465 $ 261,632 $ 188,488
Additional paid-in capital.... 228,432,753 7,795,804 102,477,571 265,410,236 135,938,367
Undistributed net investment
income (loss)................ 22,311 (27,467) (340,837) 100,458 473,120
Accumulated undistributed net
realized gain (loss) on
investments, futures and
options contracts and
foreign exchange transactions (57,058,434) (3,490,625) (6,038,631) (52,751,574) (13,516,121)
Unrealized appreciation
(depreciation) on:
Investments.................. 21,978,233 489,634 12,467,154 10,362,602 (3,005,093)
Futures contracts............ - - - 15,387 54,677
Options written.............. - - 199,150 - -
Foreign exchange
transactions and other
assets and liabilities..... - - 13,281 - (245,396)
-------------- -------------- -------------- -------------- --------------
NET ASSETS APPLICABLE TO
SHARES OUTSTANDING........... $ 193,529,526 $ 4,777,606 $ 108,902,153 $ 223,398,741 $ 119,888,042
-------------- -------------- -------------- -------------- --------------
CAPITAL SHARES:
Authorized (Par value $0.01
per share)................. 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000
Outstanding.................. 15,466,283 1,025,960 12,446,468 26,163,241 18,848,780
NET ASSET VALUE, OFFERING
AND REDEMPTION PRICE PER
SHARE...................... $ 12.51 $ 4.66 $ 8.75 $ 8.54 $ 6.36
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
99
November 30, 2003
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
INTERNATIONAL INTERNATIONAL MID CAP
GOVERNMENT GROWTH I LARGE CAP INDEX
BOND FUND FUND GROWTH FUND FUND
------------- ------------- ------------ --------------
ASSETS:
Long term investments, at market*# (unaffiliated)............ $142,266,812 $384,649,075 $459,009,410 $1,356,228,045
Long term investments, at market** (affiliated).............. - - - -
Short term investments (cost equals market).................. - 69,476,745 9,462,015 187,289,864
Repurchase agreements (cost equals market)................... 1,447,000 1,656,000 2,492,000 34,973,000
Cash......................................................... 1,163 932 650 -
Foreign cash +............................................... 200,061 1,446,428 - -
Receivable for:
Investments sold........................................... 2,525,090 5,585,966 12,697,341 -
Capital shares sold........................................ 101,342 60,255 104,341 1,221,204
Dividends and interest..................................... 2,811,486 887,307 394,212 1,316,613
Futures variation margin................................... - - - 416,525
Collateral received for securities loaned.................... - - - -
Due from adviser............................................. - 66,161 5,480 -
Unrealized appreciation on forward foreign currency contracts 5,911 - - -
Other assets................................................. 3,341 5,486 5,666 36,598
------------ ------------ ------------ --------------
TOTAL ASSETS................................................. 149,362,206 463,834,355 484,171,115 1,581,481,849
------------ ------------ ------------ --------------
LIABILITIES:
Payable for:
Investments purchased...................................... 2,616,115 7,293,107 4,420,680 -
Options written@........................................... - - - -
Capital shares reacquired.................................. 31,123 379,184 233,679 219,646
Futures variation margin................................... - - - -
Custodian fees............................................. 56,748 195,967 21,665 37,590
Reports to shareholders.................................... 9,792 52,380 61,544 79,392
Directors' retirement plan................................. 21,653 49,400 32,044 145,848
Collateral upon return of securities loaned................ - 69,476,745 9,462,015 169,801,885
Payable to affiliates:
Advisory fees.............................................. 59,646 313,077 363,776 322,102
Administrative services.................................... 8,351 21,915 26,804 78,713
Transfer agency fees....................................... 166 334 334 2,398
Accrued expenses and other liabilities....................... 2,641 16,266 21,921 82,596
Due to custodian............................................. - - - 323,045
Due to custodian for foreign cash............................ - - - -
------------ ------------ ------------ --------------
TOTAL LIABILITIES............................................ 2,806,235 77,798,375 14,644,462 171,093,215
------------ ------------ ------------ --------------
NET ASSETS................................................... $146,555,971 $386,035,980 $469,526,653 $1,410,388,634
------------ ------------ ------------ --------------
* Identified cost of investment securities (unaffiliated).... $129,572,585 $331,024,987 $406,034,695 $1,214,301,342
** Identified cost of investment securities (affiliated)..... $ - $ - $ - $ -
+ Identified cost of foreign cash............................ $ 196,830 $ 1,435,018 $ - $ -
# Including securities on loan of............................ $ - $ 65,869,657 $ 9,304,275 $ 166,221,460
@Premiums received on options written........................ $ - $ - $ - $ -
------------ ------------ ------------ --------------
MONEY NASDAQ-100
MARKET I INDEX
FUND FUND
------------ -----------
ASSETS:
Long term investments, at market*# (unaffiliated)............ $ - $73,782,771
Long term investments, at market** (affiliated).............. - -
Short term investments (cost equals market).................. 466,442,693 11,170,937
Repurchase agreements (cost equals market)................... 22,546,000 9,765,000
Cash......................................................... 42 449
Foreign cash +............................................... - -
Receivable for:
Investments sold........................................... - 64,812
Capital shares sold........................................ 725,434 518,948
Dividends and interest..................................... 298,825 13,575
Futures variation margin................................... - 51,450
Collateral received for securities loaned.................... - -
Due from adviser............................................. 12,666 -
Unrealized appreciation on forward foreign currency contracts - -
Other assets................................................. 13,330 10,414
------------ -----------
TOTAL ASSETS................................................. 490,038,990 95,378,356
------------ -----------
LIABILITIES:
Payable for:
Investments purchased...................................... 5,000,000 -
Options written@........................................... - -
Capital shares reacquired.................................. 2,334,346 241,510
Futures variation margin................................... - -
Custodian fees............................................. 16,524 15,414
Reports to shareholders.................................... 79,828 628
Directors' retirement plan................................. 63,688 6,290
Collateral upon return of securities loaned................ - 2,127,506
Payable to affiliates:
Advisory fees.............................................. 198,778 29,001
Administrative services.................................... 27,829 5,075
Transfer agency fees....................................... 4,132 1,416
Accrued expenses and other liabilities....................... 55,517 19,963
Due to custodian............................................. - -
Due to custodian for foreign cash............................ - -
------------ -----------
TOTAL LIABILITIES............................................ 7,780,642 2,446,803
------------ -----------
NET ASSETS................................................... $482,258,348 $92,931,553
------------ -----------
* Identified cost of investment securities (unaffiliated).... $ - $70,925,984
** Identified cost of investment securities (affiliated)..... $ - $ -
+ Identified cost of foreign cash............................ $ - $ -
# Including securities on loan of............................ $ - $ 2,077,615
@Premiums received on options written........................ $ - $ -
------------ -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
100
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
November 30, 2003
INTERNATIONAL INTERNATIONAL MID CAP MONEY
GOVERNMENT GROWTH I LARGE CAP INDEX MARKET 1
BOND FUND FUND GROWTH FUND FUND FUND
-------------- -------------- -------------- -------------- -------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01
per share.............................. $ 104,252 $ 559,716 $ 771,366 $ 755,682 $ 4,822,583
Additional paid-in capital.............. 118,002,402 585,988,547 800,759,752 1,258,363,423 477,435,765
Undistributed net investment income
(loss)................................. 6,579,788 250,847 9,453 934,747 -
Accumulated undistributed net realized
gain (loss) on investments, futures
and options contracts and foreign
exchange transactions.................. 9,098,246 (254,433,478) (384,988,633) 6,008,181 -
Unrealized appreciation (depreciation)
on:
Investments............................ 12,694,227 53,624,088 52,974,715 141,926,703 -
Futures contracts...................... - - - 2,399,898 -
Options written........................ - - - - -
Foreign exchange transactions and
other assets and liabilities......... 77,056 46,260 - - -
-------------- -------------- -------------- -------------- -------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................ $ 146,555,971 $ 386,035,980 $ 469,526,653 $1,410,388,634 $482,258,348
-------------- -------------- -------------- -------------- -------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share). 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000
Outstanding............................ 10,425,216 55,971,617 77,136,632 75,568,214 482,258,348
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE........... $ 14.06 $ 6.90 $ 6.09 $ 18.66 $ 1.00
NASDAQ-100
INDEX
FUND
--------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01
per share.............................. $ 232,704
Additional paid-in capital.............. 95,727,336
Undistributed net investment income
(loss)................................. (79,517)
Accumulated undistributed net realized
gain (loss) on investments, futures
and options contracts and foreign
exchange transactions.................. (6,312,763)
Unrealized appreciation (depreciation)
on:
Investments............................ 2,856,787
Futures contracts...................... 507,006
Options written........................ -
Foreign exchange transactions and
other assets and liabilities......... -
--------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................ $ 92,931,553
--------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share). 1,000,000,000
Outstanding............................ 23,270,421
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE........... $ 3.99
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
101
November 30, 2003
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
SCIENCE & SMALL CAP SOCIAL
TECHNOLOGY SMALL CAP INDEX AWARENESS
FUND FUND FUND FUND
-------------- ------------ ------------ ------------
ASSETS:
Long term investments, at market*# (unaffiliated)............ $1,421,708,174 $628,055,438 $342,894,047 $346,443,487
Long term investments, at market** (affiliated).............. - - 129,556 2,443,172
Short term investments (costs equals market)................. 116,070,450 116,290,374 110,768,861 17,781,719
Repurchase agreements (cost equals market)................... - - 15,201,000 20,516,000
Cash......................................................... - 539 1,331 198
Foreign Cash+................................................ 3,947 - - -
Receivable for:
Investments sold........................................... 5,692,218 4,948,073 - -
Capital shares sold........................................ 784,532 184,126 1,287,674 133,240
Dividends and interest..................................... 385,842 162,334 214,941 523,723
Futures variation margin................................... - - 198,875 35,175
Collateral received for securities loaned.................... - - 92,679 -
Due from adviser............................................. - 40,097 - -
Unrealized appreciation on forward foreign currency contracts - - - -
Other assets................................................. 195,359 6,195 4,404 6,386
-------------- ------------ ------------ ------------
TOTAL ASSETS................................................. 1,544,840,522 749,687,176 470,793,368 387,883,100
-------------- ------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased...................................... 695,189 6,348,328 - -
Options written@........................................... - - - -
Capital shares reacquired.................................. 341,849 197,641 71,066 109,122
Futures variation margin................................... - - - -
Custodian fees............................................. 42,263 42,884 13,735 17,715
Reports to shareholders.................................... 147,553 73,238 20,042 47,838
Directors' retirement plan................................. 182,267 37,397 33,508 48,635
Collateral upon return of securities loaned................ 86,726,110 97,638,894 71,441,046 4,618,766
Payable to affiliates:
Advisory fees.............................................. 1,059,015 466,261 110,119 155,761
Administrative services.................................... 82,368 36,265 22,024 21,806
Transfer agency fees....................................... 2,082 334 1,651 498
Accrued expenses and other liabilities....................... 71,585 20,883 32,146 19,164
Due to custodian............................................. - - - -
Due to custodian for foreign cash............................ - - - -
-------------- ------------ ------------ ------------
TOTAL LIABILITIES............................................ 89,350,281 104,862,125 71,745,337 5,039,305
-------------- ------------ ------------ ------------
NET ASSETS................................................... $1,455,490,241 $644,825,051 $399,048,031 $382,843,795
-------------- ------------ ------------ ------------
* Identified cost of investment securities (unaffiliated).... $1,192,481,844 $528,887,509 $305,059,589 $330,262,239
** Identified cost of investment securities (affiliated)..... $ - $ - $ 132,272 $ 2,262,491
+ Identified cost of foreign cash............................ $ 3,853 $ - $ - $ -
# Including securities on loan of............................ $ 84,920,404 $ 95,321,161 $ 69,705,802 $ 4,558,951
@Premiums received on options written........................ $ - $ - $ - $ -
-------------- ------------ ------------ ------------
STOCK
INDEX VALUE
FUND FUND
-------------- -----------
ASSETS:
Long term investments, at market*# (unaffiliated)............ $3,946,420,210 $12,598,950
Long term investments, at market** (affiliated).............. 61,879,010 -
Short term investments (costs equals market)................. 166,796,842 -
Repurchase agreements (cost equals market)................... 23,132,000 -
Cash......................................................... 433 331,044
Foreign Cash+................................................ - -
Receivable for:
Investments sold........................................... - 16,225
Capital shares sold........................................ 1,621,220 6,637
Dividends and interest..................................... 6,685,232 23,373
Futures variation margin................................... 36,725 -
Collateral received for securities loaned.................... 1,334,000 -
Due from adviser............................................. - -
Unrealized appreciation on forward foreign currency contracts - -
Other assets................................................. 133,557 -
-------------- -----------
TOTAL ASSETS................................................. 4,208,039,229 12,976,229
-------------- -----------
LIABILITIES:
Payable for:
Investments purchased...................................... - 23,611
Options written@........................................... - -
Capital shares reacquired.................................. 1,290,217 3,433
Futures variation margin................................... - -
Custodian fees............................................. 108,437 15,485
Reports to shareholders.................................... 421,307 653
Directors' retirement plan................................. 507,233 1,559
Collateral upon return of securities loaned................ 158,802,270 -
Payable to affiliates:
Advisory fees.............................................. 862,432 8,182
Administrative services.................................... 230,005 734
Transfer agency fees....................................... 4,133 265
Accrued expenses and other liabilities....................... 200,713 828
Due to custodian............................................. - -
Due to custodian for foreign cash............................ - -
-------------- -----------
TOTAL LIABILITIES............................................ 162,426,747 54,750
-------------- -----------
NET ASSETS................................................... $4,045,612,482 $12,921,479
-------------- -----------
* Identified cost of investment securities (unaffiliated).... $2,917,073,888 $11,746,800
** Identified cost of investment securities (affiliated)..... $ 32,158,810 $ -
+ Identified cost of foreign cash............................ $ - $ -
# Including securities on loan of............................ $ 155,301,574 $ -
@Premiums received on options written........................ $ - $ -
-------------- -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
102
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) - CONTINUED
November 30, 2003
SCIENCE &
TECHNOLOGY
FUND
---------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.............................................................. $ 1,321,656
Additional paid-in capital.................................................................................. 3,135,532,341
Undistributed net investment income (loss).................................................................. (3,883,429)
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign
exchange transactions...................................................................................... (1,906,706,864)
Unrealized appreciation (depreciation) on:
Investments............................................................................................... 229,226,330
Futures contracts......................................................................................... -
Options written........................................................................................... -
Foreign exchange transactions and other assets and liabilities............................................ 207
---------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 1,455,490,241
---------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share).................................................................... 1,000,000,000
Outstanding............................................................................................... 132,165,649
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 11.01
SMALL CAP
FUND
--------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.............................................................. $ 688,307
Additional paid-in capital.................................................................................. 708,424,055
Undistributed net investment income (loss).................................................................. (1,022,432)
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign
exchange transactions...................................................................................... (162,432,808)
Unrealized appreciation (depreciation) on:
Investments............................................................................................... 99,167,929
Futures contracts......................................................................................... -
Options written........................................................................................... -
Foreign exchange transactions and other assets and liabilities............................................ -
--------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 644,825,051
--------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share).................................................................... 1,000,000,000
Outstanding............................................................................................... 68,830,712
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 9.37
SMALL CAP
INDEX
FUND
--------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.............................................................. $ 296,562
Additional paid-in capital.................................................................................. 364,380,997
Undistributed net investment income (loss).................................................................. 567,461
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign
exchange transactions...................................................................................... (6,429,584)
Unrealized appreciation (depreciation) on:
Investments............................................................................................... 37,831,742
Futures contracts......................................................................................... 2,400,853
Options written........................................................................................... -
Foreign exchange transactions and other assets and liabilities............................................ -
--------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 399,048,031
--------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share).................................................................... 1,000,000,000
Outstanding............................................................................................... 29,656,235
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 13.46
SOCIAL
AWARENESS
FUND
--------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.............................................................. $ 221,830
Additional paid-in capital.................................................................................. 427,086,787
Undistributed net investment income (loss).................................................................. 129,509
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign
exchange transactions...................................................................................... (61,857,200)
Unrealized appreciation (depreciation) on:
Investments............................................................................................... 16,361,929
Futures contracts......................................................................................... 900,940
Options written........................................................................................... -
Foreign exchange transactions and other assets and liabilities............................................ -
--------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 382,843,795
--------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share).................................................................... 1,000,000,000
Outstanding............................................................................................... 22,183,005
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 17.26
STOCK
INDEX
FUND
--------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.............................................................. $ 1,389,073
Additional paid-in capital.................................................................................. 2,975,084,288
Undistributed net investment income (loss).................................................................. 1,380,387
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign
exchange transactions...................................................................................... 7,469,164
Unrealized appreciation (depreciation) on:
Investments............................................................................................... 1,059,066,522
Futures contracts......................................................................................... 1,223,048
Options written........................................................................................... -
Foreign exchange transactions and other assets and liabilities............................................ -
--------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $4,045,612,482
--------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share).................................................................... 1,000,000,000
Outstanding............................................................................................... 138,907,311
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 29.12
VALUE
FUND
--------------
NET ASSETS REPRESENTED BY:
Capital shares at par value of $0.01 per share.............................................................. $ 13,737
Additional paid-in capital.................................................................................. 13,293,991
Undistributed net investment income (loss).................................................................. 46,171
Accumulated undistributed net realized gain (loss) on investments, futures and options contracts and foreign
exchange transactions...................................................................................... (1,284,570)
Unrealized appreciation (depreciation) on:
Investments............................................................................................... 852,150
Futures contracts......................................................................................... -
Options written........................................................................................... -
Foreign exchange transactions and other assets and liabilities............................................ -
--------------
NET ASSETS APPLICABLE TO SHARES OUTSTANDING................................................................. $ 12,921,479
--------------
CAPITAL SHARES:
Authorized (Par value $0.01 per share).................................................................... 1,000,000,000
Outstanding............................................................................................... 1,373,670
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................. $ 9.41
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
103
STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended November 30, 2003
ASSET CAPITAL GOVERNMENT
ALLOCATION BLUE CHIP CONSERVATION CORE EQUITY SECURITIES
FUND GROWTH FUND FUND FUND FUND
----------- ----------- ------------ ------------ -----------
INVESTMENT INCOME:
Dividends (unaffiliated)................ $ 809,771 $ 157,562 $ - $ 5,283,733 $ -
Dividends (affiliated).................. 2,827 336 - 13,303 -
Securities lending income............... - 468 1,347 - 8,016
Interest (unaffiliated)................. 980,943 2,673 1,370,371 45,466 3,055,072
----------- ---------- ----------- ------------ -----------
Total investment income*............... 1,793,541 161,039 1,371,718 5,342,502 3,063,088
----------- ---------- ----------- ------------ -----------
EXPENSES:
Advisory fees........................... 421,293 115,579 212,794 2,327,131 451,991
Custodian fees.......................... 66,713 24,066 24,447 75,438 26,381
Audit and tax services fees............. 6,647 2,734 3,402 19,954 5,627
Administrative services................. 58,981 10,113 29,791 203,624 63,279
Legal fees.............................. 1,027 165 478 3,435 953
Directors' fees......................... 7,014 855 3,636 23,839 8,211
Reports to shareholders................. 17,222 1,731 6,502 100,597 12,642
Transfer agency fees.................... 869 580 869 1,158 1,158
Interest................................ - - - - -
Miscellaneous........................... 1,744 604 1,010 4,277 1,666
----------- ---------- ----------- ------------ -----------
Total expenses......................... 581,510 156,427 282,929 2,759,453 571,908
----------- ---------- ----------- ------------ -----------
Expense reimbursements................. - - - (286,877) -
Fees paid indirectly (Note 6).......... - (2,530) - (28,398) -
----------- ---------- ----------- ------------ -----------
Net expenses........................... 581,510 153,897 282,929 2,444,178 571,908
----------- ---------- ----------- ------------ -----------
NET INVESTMENT INCOME (LOSS)............ 1,212,031 7,142 1,088,789 2,898,324 2,491,180
----------- ---------- ----------- ------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)............. 1,423,045 (135,339) 121,482 (19,724,076) (2,318,818)
Investments (affiliated)............... - - - - -
Futures contracts...................... 2,090,481 - - - -
Options written........................ - - - - -
Foreign exchange transactions and
other assets and liabilities......... - - - - -
----------- ---------- ----------- ------------ -----------
3,513,526 (135,339) 121,482 (19,724,076) (2,318,818)
----------- ---------- ----------- ------------ -----------
Net unrealized appreciation
(depreciation) on:
Investments (unaffiliated)............. 5,794,085 2,886,078 (2,393,398) 70,123,954 (7,037,680)
Investments (affiliated)............... 1,771 210 - 8,314 -
Futures contracts...................... (387,585) - - - -
Options written........................ - - - - -
Forward currency contracts............. - - - - -
Foreign exchange transactions and
other assets and liabilities......... (1) - - - -
----------- ---------- ----------- ------------ -----------
5,408,270 2,886,288 (2,393,398) 70,132,268 (7,037,680)
----------- ---------- ----------- ------------ -----------
Net realized and unrealized gain (loss)
on investments, foreign currencies,
futures and options contracts and
other assets and liabilities........... 8,921,796 2,750,949 (2,271,916) 50,408,192 (9,356,498)
----------- ---------- ----------- ------------ -----------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.............. $10,133,827 $2,758,091 $(1,183,127) $ 53,306,516 $(6,865,318)
----------- ---------- ----------- ------------ -----------
* Net of foreign withholding taxes on
dividends and interest of.............. 688 918 635 25,748 -
----------- ---------- ----------- ------------ -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
104
STATEMENTS OF OPERATIONS (Unaudited) - CONTINUED
For the Six Months Ended November 30, 2003
HEALTH INCOME &
GROWTH & GROWTH SCIENCES GROWTH
INCOME FUND FUND FUND FUND
----------- --------- ---------- -----------
INVESTMENT INCOME:
Dividends (unaffiliated)....................................................... $ 1,314,827 $21,860 $ 161,550 $ 2,517,386
Dividends (affiliated)......................................................... 3,388 - - -
Securities lending income...................................................... 4,930 28 15,794 7,502
Interest (unaffiliated)........................................................ 9,078 216 12,627 3,145
----------- --------- ---------- -----------
Total investment income*....................................................... 1,332,223 22,104 189,971 2,528,033
----------- --------- ---------- -----------
EXPENSES:
Advisory fees................................................................... 685,308 20,840 482,245 815,813
Custodian fees.................................................................. 20,641 24,066 24,130 24,092
Audit and tax services fees..................................................... 7,338 2,280 3,737 7,726
Administrative services......................................................... 63,962 1,536 33,757 74,165
Legal fees...................................................................... 1,190 88 353 1,248
Directors' fees................................................................. 7,670 165 2,566 8,383
Reports to shareholders......................................................... 21,107 375 4,434 21,797
Transfer agency fees............................................................ 869 1,158 580 580
Interest........................................................................ 5,388 - - -
Miscellaneous................................................................... - 518 799 1,854
----------- --------- ---------- -----------
Total expenses................................................................. 813,473 51,026 552,601 955,658
----------- --------- ---------- -----------
Expense reimbursements......................................................... (36,790) - - (76,276)
Fees paid indirectly (Note 6).................................................. - (1,053) (14,559) -
----------- --------- ---------- -----------
Net expenses................................................................... 776,683 49,973 538,042 879,382
----------- --------- ---------- -----------
NET INVESTMENT INCOME (LOSS).................................................... 555,540 (27,869) (348,071) 1,648,651
----------- --------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)..................................................... (1,807,232) (50,583) 3,056,606 3,039,362
Investments (affiliated)....................................................... - - - -
Futures contracts.............................................................. - - - 1,875
Options written................................................................ - - 281,863 -
Foreign exchange transactions and other assets and liabilities................. - - 32,165 -
----------- --------- ---------- -----------
(1,807,232) (50,583) 3,370,634 3,041,237
----------- --------- ---------- -----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)..................................................... 20,158,381 515,630 4,566,182 18,279,233
Investments (affiliated)....................................................... 2,118 - - -
Futures contracts.............................................................. - - - 15,387
Options written................................................................ - - 614,678 -
Forward currency contracts..................................................... - - - -
Foreign exchange transactions and other assets and liabilities................. - - (3,910) -
----------- --------- ---------- -----------
20,160,499 515,630 5,176,950 18,294,620
----------- --------- ---------- -----------
Net realized and unrealized gain (loss) on investments, foreign currencies,
futures and options contracts and other assets and liabilities................. 18,353,267 465,047 8,547,584 21,335,857
----------- --------- ---------- -----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $18,908,807 $ 437,178 $8,199,513 $22,984,508
----------- --------- ---------- -----------
* Net of foreign withholding taxes on dividends and interest of................. 3,124 5 2,568 -
----------- --------- ---------- -----------
INTERNATIONAL
EQUITIES FUND
-------------
INVESTMENT INCOME:
Dividends (unaffiliated)....................................................... $ 863,732
Dividends (affiliated)......................................................... -
Securities lending income...................................................... 2
Interest (unaffiliated)........................................................ 51,529
-----------
Total investment income*....................................................... 915,263
-----------
EXPENSES:
Advisory fees................................................................... 172,803
Custodian fees.................................................................. 76,126
Audit and tax services fees..................................................... 5,038
Administrative services......................................................... 34,561
Legal fees...................................................................... 571
Directors' fees................................................................. 3,609
Reports to shareholders......................................................... 9,304
Transfer agency fees............................................................ 5,063
Interest........................................................................ -
Miscellaneous................................................................... 1,168
-----------
Total expenses................................................................. 308,243
-----------
Expense reimbursements......................................................... -
Fees paid indirectly (Note 6).................................................. -
-----------
Net expenses................................................................... 308,243
-----------
NET INVESTMENT INCOME (LOSS).................................................... 607,020
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)..................................................... (2,489,140)
Investments (affiliated)....................................................... -
Futures contracts.............................................................. 934,776
Options written................................................................ -
Foreign exchange transactions and other assets and liabilities................. 1,107,135
-----------
(447,229)
-----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)..................................................... 16,777,976
Investments (affiliated)....................................................... -
Futures contracts.............................................................. (225,343)
Options written................................................................ -
Forward currency contracts..................................................... -
Foreign exchange transactions and other assets and liabilities................. (101,267)
-----------
16,451,366
-----------
Net realized and unrealized gain (loss) on investments, foreign currencies,
futures and options contracts and other assets and liabilities................. 16,004,137
-----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $16,611,157
-----------
* Net of foreign withholding taxes on dividends and interest of................. 91,045
-----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
105
For the Six Months Ended November 30, 2003
STATEMENTS OF OPERATIONS (Unaudited) - CONTINUED
INTERNATIONAL INTERNATIONAL LARGE CAP MONEY
GOVERNMENT GROWTH I GROWTH MIDCAP INDEX MARKET 1
BOND FUND FUND FUND FUND FUND
------------- ------------- ----------- ------------ ----------
INVESTMENT INCOME:
Dividends (unaffiliated).......................... $ - $ 2,842,983 $ 2,310,955 $ 6,856,361 $ -
Dividends (affiliated)............................ - - - - -
Securities lending income......................... 2,124 211,726 15,235 146,205 -
Interest (unaffiliated)........................... 3,559,988 25,564 51,719 204,620 2,878,975
------------ ----------- ----------- ------------ ----------
Total investment income*......................... 3,562,112 3,080,273 2,377,909 7,207,186 2,878,975
------------ ----------- ----------- ------------ ----------
EXPENSES:
Advisory fees..................................... 368,742 1,834,906 2,131,066 1,786,810 1,284,607
Custodian fees.................................... 83,422 304,640 36,020 66,330 24,540
Audit and tax services fees....................... 4,403 17,231 15,551 33,258 19,671
Administrative services........................... 51,624 128,444 157,026 430,307 179,845
Legal fees........................................ 650 2,266 2,736 5,757 3,589
Directors' fees................................... 5,745 15,023 18,176 42,860 25,960
Reports to shareholders........................... 9,333 40,800 50,197 98,203 63,841
Transfer agency fees.............................. 289 580 580 5,355 7,810
Interest.......................................... - 418 1,571 - -
Miscellaneous..................................... 1,180 3,529 2,032 10,402 4,605
------------ ----------- ----------- ------------ ----------
Total expenses................................... 525,388 2,347,837 2,414,955 2,479,282 1,614,468
------------ ----------- ----------- ------------ ----------
Expense reimbursements........................... - (402,836) (37,134) - (72,940)
Fees paid indirectly (Note 6).................... - - - - -
------------ ----------- ----------- ------------ ----------
Net expenses..................................... 525,388 1,945,001 2,377,821 2,479,282 1,541,528
------------ ----------- ----------- ------------ ----------
NET INVESTMENT INCOME (LOSS)...................... 3,036,724 1,135,272 88 4,727,904 1,337,447
------------ ----------- ----------- ------------ ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)....................... 5,275,995 9,015,180 3,332,307 40,038 -
Investments (affiliated)......................... - - - - -
Futures contracts................................ - - - 9,673,147 -
Options written.................................. - - - - -
Foreign exchange transactions and other assets
and liabilities................................ 2,093,201 15,014,128 - - -
------------ ----------- ----------- ------------ ----------
7,369,196 24,029,308 3,332,307 9,713,185 -
------------ ----------- ----------- ------------ ----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)....................... (8,540,213) 23,142,835 46,202,971 214,854,193 -
Investments (affiliated)......................... - - - - -
Futures contracts................................ - - - (3,121,943) -
Options written.................................. - - - - -
Forward currency contracts....................... 64,421 - - - -
Foreign exchange transactions and other assets
and liabilities................................ 15,462 (26,225) - - -
------------ ----------- ----------- ------------ ----------
(8,460,330) 23,116,610 46,202,971 211,732,250 -
------------ ----------- ----------- ------------ ----------
Net realized and unrealized gain (loss) on
investments, foreign currencies, futures and
options contracts and
other assets and liabilities..................... (1,091,134) 47,145,918 49,535,278 221,445,435 -
------------ ----------- ----------- ------------ ----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $ 1,945,590 $48,281,190 $49,535,366 $226,173,339 $1,337,447
------------ ----------- ----------- ------------ ----------
* Net of foreign withholding taxes on dividends
and interest of.................................. 21,881 321,063 9,361 - -
------------ ----------- ----------- ------------ ----------
NASDAQ-100
INDEX FUND
-----------
INVESTMENT INCOME:
Dividends (unaffiliated).......................... $ 82,736
Dividends (affiliated)............................ -
Securities lending income......................... 2,307
Interest (unaffiliated)........................... 46,314
-----------
Total investment income*......................... 131,357
-----------
EXPENSES:
Advisory fees..................................... 141,606
Custodian fees.................................... 24,066
Audit and tax services fees....................... 2,981
Administrative services........................... 24,781
Legal fees........................................ 209
Directors' fees................................... 1,468
Reports to shareholders........................... 2,361
Transfer agency fees.............................. 3,036
Interest.......................................... -
Miscellaneous..................................... 11,472
-----------
Total expenses................................... 211,980
-----------
Expense reimbursements........................... -
Fees paid indirectly (Note 6).................... -
-----------
Net expenses..................................... 211,980
-----------
NET INVESTMENT INCOME (LOSS)...................... (80,623)
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)....................... (160,311)
Investments (affiliated)......................... -
Futures contracts................................ 1,467,505
Options written.................................. -
Foreign exchange transactions and other assets
and liabilities................................ -
-----------
1,307,194
-----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)....................... 10,231,178
Investments (affiliated)......................... -
Futures contracts................................ 154,414
Options written.................................. -
Forward currency contracts....................... -
Foreign exchange transactions and other assets
and liabilities................................ -
-----------
10,385,592
-----------
Net realized and unrealized gain (loss) on
investments, foreign currencies, futures and
options contracts and
other assets and liabilities..................... 11,692,786
-----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $11,612,163
-----------
* Net of foreign withholding taxes on dividends
and interest of.................................. 459
-----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
106
For the Six Months Ended November 30, 2003
STATEMENTS OF OPERATIONS (Unaudited) - CONTINUED
SCIENCE & SOCIAL
TECHNOLOGY SMALL CAP SMALL CAP AWARENESS STOCK INDEX
FUND FUND INDEX FUND FUND FUND
------------ ------------ ----------- ----------- ------------
INVESTMENT INCOME:
Dividends (unaffiliated).......................... $ 2,059,902 $ 1,404,956 $ 1,786,408 $ 2,902,032 $ 33,796,728
Dividends (affiliated)............................ - - 350 4,722 118,346
Securities lending income......................... 77,783 141,830 96,416 10,053 88,388
Interest (unaffiliated)........................... 388,806 147,990 176,966 88,738 201,436
------------ ------------ ----------- ----------- ------------
Total investment income*......................... 2,526,491 1,694,776 2,060,140 3,005,545 34,204,898
------------ ------------ ----------- ----------- ------------
EXPENSES:
Advisory fees..................................... 5,899,390 2,644,503 569,829 920,033 5,049,368
Custodian fees.................................... 72,710 71,590 24,066 30,323 182,440
Audit and tax services fees....................... 36,065 19,274 8,738 12,905 114,007
Administrative services........................... 458,841 205,684 113,966 128,805 1,343,823
Legal fees........................................ 6,529 3,093 1,327 2,169 21,041
Directors' fees................................... 44,612 22,299 9,673 14,561 149,601
Reports to shareholders........................... 128,239 60,342 22,207 39,473 383,411
Transfer agency fees.............................. 4,194 580 3,905 869 7,810
Interest.......................................... - - - - -
Miscellaneous..................................... 10,610 4,205 6,893 3,226 48,423
------------ ------------ ----------- ----------- ------------
Total expenses................................... 6,661,190 3,031,570 760,604 1,152,364 7,299,924
------------ ------------ ----------- ----------- ------------
Expense reimbursements........................... (75,743) (240,151) - - -
Fees paid indirectly (Note 6).................... (99,847) - - - -
------------ ------------ ----------- ----------- ------------
Net expenses..................................... 6,485,600 2,791,419 760,604 1,152,364 7,299,924
------------ ------------ ----------- ----------- ------------
NET INVESTMENT INCOME (LOSS)...................... (3,959,109) (1,096,643) 1,299,536 1,853,181 26,904,974
------------ ------------ ----------- ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)....................... (9,904,539) 33,828,533 (558,154) 8,847,332 7,782,023
Investments (affiliated)......................... - - - - 25,069
Futures contracts................................ - - 10,605,722 2,198,977 3,545,768
Options written.................................. - - - - -
Foreign exchange transactions and other assets
and liabilities................................ (28,599) (20) - - -
------------ ------------ ----------- ----------- ------------
(9,933,138) 33,828,513 10,047,568 11,046,309 11,352,860
------------ ------------ ----------- ----------- ------------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)....................... 258,413,358 85,149,700 62,124,583 23,162,593 347,337,452
Investments (affiliated)......................... - - (2,716) 2,951 25,499
Futures contracts................................ - - (2,636,782) (370,946) (478,785)
Options written.................................. - - - - -
Forward currency contracts....................... - - - - -
Foreign exchange transactions and other assets
and liabilities................................ (627) - - - -
------------ ------------ ----------- ----------- ------------
258,412,731 85,149,700 59,485,085 22,794,598 346,884,166
------------ ------------ ----------- ----------- ------------
Net realized and unrealized gain (loss) on
investments, foreign currencies, futures and
options contracts and other assets and
liabilities...................................... 248,479,593 118,978,213 69,532,653 33,840,907 358,237,026
------------ ------------ ----------- ----------- ------------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $244,520,484 $117,881,570 $70,832,189 $35,694,088 $385,142,000
------------ ------------ ----------- ----------- ------------
* Net of foreign withholding taxes on dividends
and interest of.................................. 52,541 431 732 2,344 -
------------ ------------ ----------- ----------- ------------
VALUE FUND
----------
INVESTMENT INCOME:
Dividends (unaffiliated).......................... $ 138,464
Dividends (affiliated)............................ -
Securities lending income......................... -
Interest (unaffiliated)........................... 1,675
----------
Total investment income*......................... 140,139
----------
EXPENSES:
Advisory fees..................................... 46,973
Custodian fees.................................... 24,066
Audit and tax services fees....................... 2,470
Administrative services........................... 4,215
Legal fees........................................ 119
Directors' fees................................... 434
Reports to shareholders........................... 511
Transfer agency fees.............................. 529
Interest.......................................... -
Miscellaneous..................................... 547
----------
Total expenses................................... 79,864
----------
Expense reimbursements........................... -
Fees paid indirectly (Note 6).................... -
----------
Net expenses..................................... 79,864
----------
NET INVESTMENT INCOME (LOSS)...................... 60,275
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)....................... (49,390)
Investments (affiliated)......................... -
Futures contracts................................ -
Options written.................................. -
Foreign exchange transactions and other assets
and liabilities................................ -
----------
(49,390)
----------
Net unrealized appreciation (depreciation) on:
Investments (unaffiliated)....................... 1,067,001
Investments (affiliated)......................... -
Futures contracts................................ -
Options written.................................. -
Forward currency contracts....................... -
Foreign exchange transactions and other assets
and liabilities................................ -
----------
1,067,001
----------
Net realized and unrealized gain (loss) on
investments, foreign currencies, futures and
options contracts and other assets and
liabilities...................................... 1,017,611
----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $1,077,886
----------
* Net of foreign withholding taxes on dividends
and interest of.................................. 165
----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
107
STATEMENTS OF CHANGES IN NET ASSETS
ASSET ALLOCATION BLUE CHIP
FUND GROWTH FUND
-------------------------- -------------------------
For the For the
Six Months Six Months
Ended For the Ended For the
November 30, Year Ended November 30, Year Ended
2003 May 31, 2003 May 31,
(Unaudited) 2003 (Unaudited) 2003
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income (loss).......................................... $ 1,212,031 $ 3,743,245 $ 7,142 $ (29,878)
Net realized gain (loss) on investments, futures and options
contracts, and foreign currencies.................................... 3,513,526 807,632 (135,339) (2,570,778)
Net unrealized appreciation (depreciation) on investments, futures
and options contracts, and foreign currencies........................ 5,408,270 (3,919,715) 2,886,288 1,582,925
------------ ------------ ----------- ------------
Increase (decrease) in net assets resulting from operations.......... 10,133,827 631,162 2,758,091 (1,017,731)
------------ ------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................. (1,360,001) (3,851,623) - -
Net realized gain on securities....................................... - (123,336) - -
------------ ------------ ----------- ------------
Decrease in net assets resulting from distributions to shareholders.. (1,360,001) (3,974,959) - -
------------ ------------ ----------- ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold...................................... 8,347,326 24,908,488 11,384,576 18,660,500
Reinvestment of distributions......................................... 1,360,001 3,974,959 - -
Cost of capital stock reacquired...................................... (10,154,475) (41,707,657) (3,144,235) (13,978,057)
------------ ------------ ----------- ------------
Increase (decrease) in net assets resulting from capital stock
transactions....................................................... (447,148) (12,824,210) 8,240,341 4,682,443
------------ ------------ ----------- ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................... 8,326,678 (16,168,007) 10,998,432 3,664,712
NET ASSETS:
Beginning of year..................................................... 164,757,005 180,925,012 23,728,127 20,063,415
------------ ------------ ----------- ------------
End of year........................................................... $173,083,683 $164,757,005 $34,726,559 $ 23,728,127
------------ ------------ ----------- ------------
Undistributed net investment income (loss) included in net assets at
the end of the year.................................................. $ (49,178) $ 98,792 $ 7,321 $ 179
------------ ------------ ----------- ------------
SHARES ISSUED AND REACQUIRED:
Sold.................................................................. 723,679 2,387,295 1,592,328 3,022,001
Issued for distributions reinvested................................... 117,232 375,810 - -
Reacquired............................................................ (881,827) (4,003,456) (440,928) (2,290,338)
------------ ------------ ----------- ------------
Increase (decrease) in shares outstanding............................ (40,916) (1,240,351) 1,151,400 731,663
Shares outstanding:
Beginning of year.................................................... 14,703,716 15,944,067 3,494,951 2,763,288
------------ ------------ ----------- ------------
End of year.......................................................... 14,662,800 14,703,716 4,646,351 3,494,951
------------ ------------ ----------- ------------
CAPITAL CONSERVATION
FUND CORE EQUITY FUND
-------------------------- ---------------------------
For the For the
Six Months Six Months
Ended For the Ended For the
November 30, Year Ended November 30, Year Ended
2003 May 31, 2003 May 31,
(Unaudited) 2003 (Unaudited) 2003
------------ ------------ ------------ -------------
OPERATIONS:
Net investment income (loss).......................................... $ 1,088,789 $ 3,001,653 $ 2,898,324 $ 6,150,294
Net realized gain (loss) on investments, futures and options
contracts, and foreign currencies.................................... 121,482 3,983,752 (19,724,076) (50,821,518)
Net unrealized appreciation (depreciation) on investments, futures
and options contracts, and foreign currencies........................ (2,393,398) 1,563,845 70,132,268 (14,807,191)
------------ ------------ ------------ -------------
Increase (decrease) in net assets resulting from operations.......... (1,183,127) 8,549,250 53,306,516 (59,478,415)
------------ ------------ ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................. (1,230,001) (3,172,002) (2,854,002) (6,153,017)
Net realized gain on securities....................................... - - - -
------------ ------------ ------------ -------------
Decrease in net assets resulting from distributions to shareholders.. (1,230,001) (3,172,002) (2,854,002) (6,153,017)
------------ ------------ ------------ -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold...................................... 10,934,242 52,329,360 16,346,039 165,958,192
Reinvestment of distributions......................................... 1,230,001 3,172,002 2,854,002 6,153,017
Cost of capital stock reacquired...................................... (18,660,352) (40,797,909) (35,192,648) (231,083,991)
------------ ------------ ------------ -------------
Increase (decrease) in net assets resulting from capital stock
transactions....................................................... (6,496,109) 14,703,453 (15,992,607) (58,972,782)
------------ ------------ ------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................... (8,909,237) 20,080,701 34,459,907 (124,604,214)
NET ASSETS:
Beginning of year..................................................... 89,865,610 69,784,909 560,038,211 684,642,425
------------ ------------ ------------ -------------
End of year........................................................... $ 80,956,373 $ 89,865,610 $594,498,118 $ 560,038,211
------------ ------------ ------------ -------------
Undistributed net investment income (loss) included in net assets at
the end of the year.................................................. $ (81,676) $ 59,536 $ 174,434 $ 130,112
------------ ------------ ------------ -------------
SHARES ISSUED AND REACQUIRED:
Sold.................................................................. 1,106,721 5,371,855 1,532,124 17,855,112
Issued for distributions reinvested................................... 126,331 325,995 265,673 644,267
Reacquired............................................................ (1,899,227) (4,183,787) (3,295,548) (24,816,764)
------------ ------------ ------------ -------------
Increase (decrease) in shares outstanding............................ (666,175) 1,514,063 (1,497,751) (6,317,385)
Shares outstanding:
Beginning of year.................................................... 8,954,168 7,440,105 55,357,660 61,675,045
------------ ------------ ------------ -------------
End of year.......................................................... 8,287,993 8,954,168 53,859,909 55,357,660
------------ ------------ ------------ -------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
108
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
GOVERNMENT SECURITIES GROWTH & INCOME
FUND FUND
-------------------------- --------------------------
For the For the
Six Months Six Months
Ended For the Ended For the
November 30, Year Ended November 30, Year Ended
2003 May 31, 2003 May 31,
(Unaudited) 2003 (Unaudited) 2003
------------ ------------ ------------ ------------
OPERATIONS:
Net investment income (loss).......................................... $ 2,491,180 $ 6,378,577 $ 555,540 $ 1,437,087
Net realized gain (loss) on investments, futures and options
contracts, and foreign currencies.................................... (2,318,818) 11,519,782 (1,807,232) (30,840,703)
Net unrealized appreciation (depreciation) on investments, futures
and options contracts, and foreign currencies........................ (7,037,680) 3,012,682 20,160,499 3,392,520
------------ ------------ ------------ ------------
Increase (decrease) in net assets resulting from operations.......... (6,865,318) 20,911,041 18,908,807 (26,011,096)
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................. (2,477,002) (6,603,003) (574,002) (1,435,004)
Net realized gain on securities....................................... - (1,128,550) - -
------------ ------------ ------------ ------------
Decrease in net assets resulting from distributions to shareholders.. (2,477,002) (7,731,553) (574,002) (1,435,004)
------------ ------------ ------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold...................................... 11,794,264 129,261,715 12,507,642 47,495,850
Reinvestment of distributions......................................... 2,477,002 7,731,553 574,002 1,435,004
Cost of capital stock reacquired...................................... (42,132,983) (84,486,909) (12,245,735) (67,871,091)
------------ ------------ ------------ ------------
Increase (decrease) in net assets resulting from capital stock
transactions....................................................... (27,861,717) 52,506,359 835,909 (18,940,237)
------------ ------------ ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................... (37,204,037) 65,685,847 19,170,714 (46,386,337)
NET ASSETS:
Beginning of year..................................................... 200,411,942 134,726,095 174,358,812 220,745,149
------------ ------------ ------------ ------------
End of year........................................................... $163,207,905 $200,411,942 $193,529,526 $174,358,812
------------ ------------ ------------ ------------
Undistributed net investment income (loss) included in net assets at
the end of the year.................................................. $ 91,642 $ 77,464 $ 22,311 $ 40,773
------------ ------------ ------------ ------------
SHARES ISSUED AND REACQUIRED:
Sold.................................................................. 1,083,375 11,858,793 1,047,640 4,476,353
Issued for distributions reinvested................................... 231,654 706,223 47,498 130,918
Reacquired............................................................ (3,894,998) (7,722,626) (1,030,934) (6,350,559)
------------ ------------ ------------ ------------
Increase (decrease) in shares outstanding............................ (2,579,969) 4,842,390 64,204 (1,743,288)
Shares outstanding:
Beginning of year.................................................... 17,835,704 12,993,314 15,402,079 17,145,367
------------ ------------ ------------ ------------
End of year.......................................................... 15,255,735 17,835,704 15,466,283 15,402,079
------------ ------------ ------------ ------------
GROWTH FUND HEALTH SCIENCES FUND
------------------------ --------------------------
For the For the Six
Six Months Months
Ended For the Ended For the
November 30, Year Ended November 30, Year Ended
2003 May 31, 2003 May 31,
(Unaudited) 2003 (Unaudited) 2003
------------ ----------- ------------ ------------
OPERATIONS:
Net investment income (loss).......................................... $ (27,869) $ (49,988) $ (348,071) $ (401,635)
Net realized gain (loss) on investments, futures and options
contracts, and foreign currencies.................................... (50,583) (878,013) 3,370,634 (5,722,513)
Net unrealized appreciation (depreciation) on investments, futures
and options contracts, and foreign currencies........................ 515,630 525,923 5,176,950 10,232,480
---------- ----------- ------------ ------------
Increase (decrease) in net assets resulting from operations.......... 437,178 (402,078) 8,199,513 4,108,332
---------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................. - - - -
Net realized gain on securities....................................... - - - -
---------- ----------- ------------ ------------
Decrease in net assets resulting from distributions to shareholders.. - - - -
---------- ----------- ------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold...................................... 1,219,681 2,312,993 34,875,379 50,807,902
Reinvestment of distributions......................................... - - - -
Cost of capital stock reacquired...................................... (840,841) (1,879,378) (11,845,866) (31,757,288)
---------- ----------- ------------ ------------
Increase (decrease) in net assets resulting from capital stock
transactions....................................................... 378,840 433,615 23,029,513 19,050,614
---------- ----------- ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................... 816,018 31,537 31,229,026 23,158,946
NET ASSETS:
Beginning of year..................................................... 3,961,588 3,930,051 77,673,127 54,514,181
---------- ----------- ------------ ------------
End of year........................................................... $4,777,606 $ 3,961,588 $108,902,153 $ 77,673,127
---------- ----------- ------------ ------------
Undistributed net investment income (loss) included in net assets at
the end of the year.................................................. $ (27,467) $ 402 $ (340,837) $ 7,234
---------- ----------- ------------ ------------
SHARES ISSUED AND REACQUIRED:
Sold.................................................................. 273,755 579,383 4,121,024 7,374,509
Issued for distributions reinvested................................... - - - -
Reacquired............................................................ (188,665) (475,026) (1,406,242) (4,672,098)
---------- ----------- ------------ ------------
Increase (decrease) in shares outstanding............................ 85,090 104,357 2,714,782 2,702,411
Shares outstanding:
Beginning of year.................................................... 940,870 836,513 9,731,686 7,029,275
---------- ----------- ------------ ------------
End of year.......................................................... 1,025,960 940,870 12,446,468 9,731,686
---------- ----------- ------------ ------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
109
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
INCOME & GROWTH FUND
---------------------------
For the
Six Months
Ended For the
November 30, Year Ended
2003 May 31,
(Unaudited) 2003
------------ -------------
OPERATIONS:
Net investment income (loss)....................................................... $ 1,648,651 $ 2,792,218
Net realized gain (loss) on investments, futures and options contracts, and foreign
currencies........................................................................ 3,041,237 (32,609,271)
Net unrealized appreciation (depreciation) on investments, futures and options
contracts, and foreign currencies................................................. 18,294,620 9,587,451
------------ -------------
Increase (decrease) in net assets resulting from operations...................... 22,984,508 (20,229,602)
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................................................. (1,749,002) (2,693,004)
Net realized gain on securities.................................................... - -
------------ -------------
Decrease in net assets resulting from distributions to shareholders.............. (1,749,002) (2,693,004)
------------ -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold................................................... 12,457,132 92,216,684
Reinvestment of distributions...................................................... 1,749,002 2,693,004
Cost of capital stock reacquired................................................... (12,961,674) (106,576,794)
------------ -------------
Increase (decrease) in net assets resulting from capital stock transactions...... 1,244,460 (11,667,106)
------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................................ 22,479,966 (34,589,712)
NET ASSETS:
Beginning of year.................................................................. 200,918,775 235,508,487
------------ -------------
End of year........................................................................ $223,398,741 $ 200,918,775
------------ -------------
Undistributed net investment income (loss) included in net assets at the end of the
year.............................................................................. $ 100,458 $ 200,809
------------ -------------
SHARES ISSUED AND REACQUIRED:
Sold............................................................................... 1,537,670 13,119,440
Issued for distributions reinvested................................................ 212,092 371,125
Reacquired......................................................................... (1,594,717) (15,145,877)
------------ -------------
Increase (decrease) in shares outstanding........................................ 155,045 (1,655,312)
Shares outstanding:
Beginning of year................................................................ 26,008,196 27,663,508
------------ -------------
End of year...................................................................... 26,163,241 26,008,196
------------ -------------
INTERNATIONAL EQUITIES FUND
----------------------------
For the
Six Months
Ended For the
November 30, Year Ended
2003 May 31,
(Unaudited) 2003
------------- -------------
OPERATIONS:
Net investment income (loss)....................................................... $ 607,020 $ 1,413,709
Net realized gain (loss) on investments, futures and options contracts, and foreign
currencies........................................................................ (447,229) (3,509,602)
Net unrealized appreciation (depreciation) on investments, futures and options
contracts, and foreign currencies................................................. 16,451,366 (11,743,957)
------------- -------------
Increase (decrease) in net assets resulting from operations...................... 16,611,157 (13,839,850)
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................................................. (600,001) (930,002)
Net realized gain on securities.................................................... - -
------------- -------------
Decrease in net assets resulting from distributions to shareholders.............. (600,001) (930,002)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold................................................... 318,412,747 378,590,730
Reinvestment of distributions...................................................... 600,001 930,002
Cost of capital stock reacquired................................................... (305,816,126) (375,633,057)
------------- -------------
Increase (decrease) in net assets resulting from capital stock transactions...... 13,196,622 3,887,675
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................................ 29,207,778 (10,882,177)
NET ASSETS:
Beginning of year.................................................................. 90,680,264 101,562,441
------------- -------------
End of year........................................................................ $ 119,888,042 $ 90,680,264
------------- -------------
Undistributed net investment income (loss) included in net assets at the end of the
year.............................................................................. $ 473,120 $ 466,101
------------- -------------
SHARES ISSUED AND REACQUIRED:
Sold............................................................................... 53,561,837 71,854,370
Issued for distributions reinvested................................................ 99,406 170,093
Reacquired......................................................................... (51,303,797) (70,759,366)
------------- -------------
Increase (decrease) in shares outstanding........................................ 2,357,446 1,265,097
Shares outstanding:
Beginning of year................................................................ 16,491,334 15,226,237
------------- -------------
End of year...................................................................... 18,848,780 16,491,334
------------- -------------
INTERNATIONAL GOVERNMENT
BOND FUND
--------------------------
For the
Six Months
Ended For the
November 30, Year Ended
2003 May 31,
(Unaudited) 2003
------------ ------------
OPERATIONS:
Net investment income (loss)....................................................... $ 3,036,724 $ 6,001,350
Net realized gain (loss) on investments, futures and options contracts, and foreign
currencies........................................................................ 7,369,196 3,650,596
Net unrealized appreciation (depreciation) on investments, futures and options
contracts, and foreign currencies................................................. (8,460,330) 20,363,495
------------ ------------
Increase (decrease) in net assets resulting from operations...................... 1,945,590 30,015,441
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................................................. - -
Net realized gain on securities.................................................... - (671,332)
------------ ------------
Decrease in net assets resulting from distributions to shareholders.............. - (671,332)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold................................................... 38,506,625 116,561,445
Reinvestment of distributions...................................................... - 671,332
Cost of capital stock reacquired................................................... (51,374,427) (91,152,062)
------------ ------------
Increase (decrease) in net assets resulting from capital stock transactions...... (12,867,802) 26,080,715
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................................ (10,922,212) 55,424,824
NET ASSETS:
Beginning of year.................................................................. 157,478,183 102,053,359
------------ ------------
End of year........................................................................ $146,555,971 $157,478,183
------------ ------------
Undistributed net investment income (loss) included in net assets at the end of the
year.............................................................................. $ 6,579,788 $ 3,543,064
------------ ------------
SHARES ISSUED AND REACQUIRED:
Sold............................................................................... 2,814,379 9,482,975
Issued for distributions reinvested................................................ - 55,805
Reacquired......................................................................... (3,775,039) (7,394,437)
------------ ------------
Increase (decrease) in shares outstanding........................................ (960,660) 2,144,343
Shares outstanding:
Beginning of year................................................................ 11,385,876 9,241,533
------------ ------------
End of year...................................................................... 10,425,216 11,385,876
------------ ------------
INTERNATIONAL GROWTH I
FUND
---------------------------
For the
Six Months
Ended For the
November 30, Year Ended
2003 May 31,
(Unaudited) 2003
------------ -------------
OPERATIONS:
Net investment income (loss)....................................................... $ 1,135,272 $ 4,337,409
Net realized gain (loss) on investments, futures and options contracts, and foreign
currencies........................................................................ 24,029,308 (71,514,334)
Net unrealized appreciation (depreciation) on investments, futures and options
contracts, and foreign currencies................................................. 23,116,610 3,156,515
------------ -------------
Increase (decrease) in net assets resulting from operations...................... 48,281,190 (64,020,410)
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................................................. (1,450,008) (6,113,264)
Net realized gain on securities.................................................... - -
------------ -------------
Decrease in net assets resulting from distributions to shareholders.............. (1,450,008) (6,113,264)
------------ -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold................................................... 83,002,622 139,848,350
Reinvestment of distributions...................................................... 1,450,008 6,113,264
Cost of capital stock reacquired................................................... (90,460,539) (169,089,011)
------------ -------------
Increase (decrease) in net assets resulting from capital stock transactions...... (6,007,909) (23,127,397)
------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................................ 40,823,273 (93,261,071)
NET ASSETS:
Beginning of year.................................................................. 345,212,707 438,473,778
------------ -------------
End of year........................................................................ $386,035,980 $ 345,212,707
------------ -------------
Undistributed net investment income (loss) included in net assets at the end of the
year.............................................................................. $ 250,847 $ 565,583
------------ -------------
SHARES ISSUED AND REACQUIRED:
Sold............................................................................... 12,736,198 23,905,095
Issued for distributions reinvested................................................ 221,138 1,019,156
Reacquired......................................................................... (13,811,075) (28,539,692)
------------ -------------
Increase (decrease) in shares outstanding........................................ (853,739) (3,615,441)
Shares outstanding:
Beginning of year................................................................ 56,825,356 60,440,797
------------ -------------
End of year...................................................................... 55,971,617 56,825,356
------------ -------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
110
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
LARGE CAP GROWTH FUND
---------------------------
For the
Six Months
Ended For the
November 30, Year Ended
2003 May 31,
(Unaudited) 2003
------------ -------------
OPERATIONS:
Net investment income (loss).......................................... $ 88 $ 193,043
Net realized gain (loss) on investments, futures and options
contracts, and foreign currencies.................................... 3,332,307 (94,315,183)
Net unrealized appreciation (depreciation) on investments, futures
and options contracts, and foreign currencies........................ 46,202,971 29,935,551
------------ -------------
Increase (decrease) in net assets resulting from operations.......... 49,535,366 (64,186,589)
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................. - (253,510)
Net realized gain on securities....................................... - -
------------ -------------
Decrease in net assets resulting from distributions to shareholders.. - (253,510)
------------ -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold...................................... 19,154,897 187,001,605
Reinvestment of distributions......................................... - 253,510
Cost of capital stock reacquired...................................... (25,224,675) (215,883,192)
------------ -------------
Increase (decrease) in net assets resulting from capital stock
transactions......................................................... (6,069,778) (28,628,077)
------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................... 43,465,588 (93,068,176)
NET ASSETS:
Beginning of year..................................................... 426,061,065 519,129,241
------------ -------------
End of year........................................................... $469,526,653 $ 426,061,065
------------ -------------
Undistributed net investment income (loss) included in net assets at
the end of the year.................................................. $ 9,453 $ 9,365
------------ -------------
SHARES ISSUED AND REACQUIRED:
Sold.................................................................. 3,344,333 37,554,968
Issued for distributions reinvested................................... - 48,824
Reacquired............................................................ (4,377,496) (43,186,199)
------------ -------------
Increase (decrease) in shares outstanding............................ (1,033,163) (5,582,407)
Shares outstanding:
Beginning of year.................................................... 78,169,795 83,752,202
------------ -------------
End of year.......................................................... 77,136,632 78,169,795
------------ -------------
MID CAP INDEX FUND
------------------------------
For the
Six Months
Ended For the
November 30, Year Ended
2003 May 31,
(Unaudited) 2003
-------------- --------------
OPERATIONS:
Net investment income (loss).......................................... $ 4,727,904 $ 7,425,442
Net realized gain (loss) on investments, futures and options
contracts, and foreign currencies.................................... 9,713,185 1,462,614
Net unrealized appreciation (depreciation) on investments, futures
and options contracts, and foreign currencies........................ 211,732,250 (114,914,632)
-------------- --------------
Increase (decrease) in net assets resulting from operations.......... 226,173,339 (106,026,576)
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................. (4,403,009) (6,863,215)
Net realized gain on securities....................................... - (33,800,632)
-------------- --------------
Decrease in net assets resulting from distributions to shareholders.. (4,403,009) (40,663,847)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold...................................... 135,178,868 307,316,826
Reinvestment of distributions......................................... 4,403,009 40,663,847
Cost of capital stock reacquired...................................... (46,257,236) (260,004,659)
-------------- --------------
Increase (decrease) in net assets resulting from capital stock
transactions......................................................... 93,324,641 87,976,014
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................... 315,094,971 (58,714,409)
NET ASSETS:
Beginning of year..................................................... 1,095,293,663 1,154,008,072
-------------- --------------
End of year........................................................... $1,410,388,634 $1,095,293,663
-------------- --------------
Undistributed net investment income (loss) included in net assets at
the end of the year.................................................. $ 934,747 $ 609,852
-------------- --------------
SHARES ISSUED AND REACQUIRED:
Sold.................................................................. 7,931,053 21,747,431
Issued for distributions reinvested................................... 248,264 2,830,456
Reacquired............................................................ (2,745,975) (18,529,208)
-------------- --------------
Increase (decrease) in shares outstanding............................ 5,433,342 6,048,679
Shares outstanding:
Beginning of year.................................................... 70,134,872 64,086,193
-------------- --------------
End of year.......................................................... 75,568,214 70,134,872
-------------- --------------
MONEY MARKET I FUND NASDAQ-100(R) INDEX FUND
---------------------------- --------------------------
For the For the
Six Months Six Months
Ended For the Ended For the
November 30, Year Ended November 30, Year Ended
2003 May 31, 2003 May 31,
(Unaudited) 2003 (Unaudited) 2003
------------- ------------- ------------ ------------
OPERATIONS:
Net investment income (loss).......................................... $ 1,337,447 $ 5,980,834 $ (80,623) $ (144,354)
Net realized gain (loss) on investments, futures and options
contracts, and foreign currencies.................................... - 6,557 1,307,194 (4,539,233)
Net unrealized appreciation (depreciation) on investments, futures
and options contracts, and foreign currencies........................ - - 10,385,592 7,235,237
------------- ------------- ------------ ------------
Increase (decrease) in net assets resulting from operations.......... 1,337,447 5,987,391 11,612,163 2,551,650
------------- ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................................. (1,337,447) (5,980,834) - -
Net realized gain on securities....................................... - (6,557) - -
------------- ------------- ------------ ------------
Decrease in net assets resulting from distributions to shareholders.. (1,337,447) (5,987,391) - -
------------- ------------- ------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold...................................... 510,142,519 777,753,185 55,037,941 63,494,848
Reinvestment of distributions......................................... 1,337,447 5,987,391 - -
Cost of capital stock reacquired...................................... (553,667,867) (993,429,130) (26,024,651) (40,188,959)
------------- ------------- ------------ ------------
Increase (decrease) in net assets resulting from capital stock
transactions......................................................... (42,187,901) (209,688,554) 29,013,290 23,305,889
------------- ------------- ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................... (42,187,901) (209,688,554) 40,625,453 25,857,539
NET ASSETS:
Beginning of year..................................................... 524,446,249 734,134,803 52,306,100 26,448,561
------------- ------------- ------------ ------------
End of year........................................................... $ 482,258,348 $ 524,446,249 $ 92,931,553 $ 52,306,100
------------- ------------- ------------ ------------
Undistributed net investment income (loss) included in net assets at
the end of the year.................................................. $ - $ 1,257 $ (79,517) $ 1,106
------------- ------------- ------------ ------------
SHARES ISSUED AND REACQUIRED:
Sold.................................................................. 510,142,519 777,753,185 14,820,841 21,739,423
Issued for distributions reinvested................................... 1,337,447 5,987,391 - -
Reacquired............................................................ (553,667,867) (993,429,130) (7,120,492) (13,955,096)
------------- ------------- ------------ ------------
Increase (decrease) in shares outstanding............................ (42,187,901) (209,688,554) 7,700,349 7,784,327
Shares outstanding:
Beginning of year.................................................... 524,446,249 734,134,803 15,570,072 7,785,745
------------- ------------- ------------ ------------
End of year.......................................................... 482,258,348 524,446,249 23,270,421 15,570,072
------------- ------------- ------------ ------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
111
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
SCIENCE & TECHNOLOGY
FUND SMALL CAP FUND
------------------------------ ---------------------------
For the For the
Six Months Six Months
Ended For the Ended For the
November 30, Year Ended November 30, Year Ended
2003 May 31, 2003 May 31,
(Unaudited) 2003 (Unaudited) 2003
-------------- -------------- ------------ -------------
OPERATIONS:
Net investment income (loss)................................. $ (3,959,109) $ (6,377,738) $ (1,096,643) $ (1,460,935)
Net realized gain (loss) on investments, futures and
options contracts, and foreign currencies................... (9,933,138) (403,027,801) 33,828,513 (91,290,620)
Net unrealized appreciation (depreciation) on investments,
futures and options contracts, and foreign currencies....... 258,412,731 351,673,816 85,149,700 8,384,565
-------------- -------------- ------------ -------------
Increase (decrease) in net assets resulting from operations. 244,520,484 (57,731,723) 117,881,570 (84,366,990)
-------------- -------------- ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................................ - - - -
Net realized gain on securities.............................. - - - -
-------------- -------------- ------------ -------------
Decrease in net assets resulting from distributions to
shareholders................................................ - - - -
-------------- -------------- ------------ -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................. 98,914,043 428,987,049 22,443,861 90,175,186
Reinvestment of distributions................................ - - - -
Cost of capital stock reacquired............................. (68,324,784) (425,812,281) (31,370,123) (126,983,410)
-------------- -------------- ------------ -------------
Increase (decrease) in net assets resulting from capital
stock transactions........................................ 30,589,259 3,174,768 (8,926,262) (36,808,224)
-------------- -------------- ------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...................... 275,109,743 (54,556,955) 108,955,308 (121,175,214)
NET ASSETS:
Beginning of year............................................ 1,180,380,498 1,234,937,453 535,869,743 657,044,957
-------------- -------------- ------------ -------------
End of year.................................................. $1,455,490,241 $1,180,380,498 $644,825,051 $ 535,869,743
-------------- -------------- ------------ -------------
Undistributed net investment income (loss) included in net
assets at the end of the year............................... $ (3,883,429) $ 75,680 $ (1,022,432) $ 74,211
-------------- -------------- ------------ -------------
SHARES ISSUED AND REACQUIRED:
Sold......................................................... 9,904,112 55,377,053 2,653,065 12,941,491
Issued for distributions reinvested.......................... - - - -
Reacquired................................................... (6,861,636) (55,379,511) (3,717,314) (18,171,492)
-------------- -------------- ------------ -------------
Increase (decrease) in shares outstanding................... 3,042,476 (2,458) (1,064,249) (5,230,001)
Shares outstanding:
Beginning of year........................................... 129,123,173 129,125,631 69,894,961 75,124,962
-------------- -------------- ------------ -------------
End of year................................................. 132,165,649 129,123,173 68,830,712 69,894,961
-------------- -------------- ------------ -------------
SOCIAL AWARENESS
SMALL CAP INDEX FUND FUND
-------------------------- ---------------------------
For the For the
Six Months Six Months
Ended For the Ended For the
November 30, Year Ended November 30, Year Ended
2003 May 31, 2003 May 31,
(Unaudited) 2003 (Unaudited) 2003
------------ ------------ ------------ -------------
OPERATIONS:
Net investment income (loss)................................. $ 1,299,536 $ 1,995,387 $ 1,853,181 $ 3,473,097
Net realized gain (loss) on investments, futures and
options contracts, and foreign currencies................... 10,047,568 (14,685,563) 11,046,309 (67,593,860)
Net unrealized appreciation (depreciation) on investments,
futures and options contracts, and foreign currencies....... 59,485,085 (5,898,937) 22,794,598 28,466,593
------------ ------------ ------------ -------------
Increase (decrease) in net assets resulting from operations. 70,832,189 (18,589,113) 35,694,088 (35,654,170)
------------ ------------ ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................................ (1,046,000) (1,695,206) (1,804,003) (3,400,608)
Net realized gain on securities.............................. - - - (7,443,700)
------------ ------------ ------------ -------------
Decrease in net assets resulting from distributions to
shareholders................................................ (1,046,000) (1,695,206) (1,804,003) (10,844,308)
------------ ------------ ------------ -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................. 96,216,698 104,101,327 15,688,363 102,753,710
Reinvestment of distributions................................ 1,046,000 1,695,206 1,804,003 10,844,308
Cost of capital stock reacquired............................. (33,018,684) (77,540,641) (18,148,556) (131,597,402)
------------ ------------ ------------ -------------
Increase (decrease) in net assets resulting from capital
stock transactions........................................ 64,244,014 28,255,892 (656,190) (17,999,384)
------------ ------------ ------------ -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...................... 134,030,203 7,971,573 33,233,895 (64,497,862)
NET ASSETS:
Beginning of year............................................ 265,017,828 257,046,255 349,609,900 414,107,762
------------ ------------ ------------ -------------
End of year.................................................. $399,048,031 $265,017,828 $382,843,795 $ 349,609,900
------------ ------------ ------------ -------------
Undistributed net investment income (loss) included in net
assets at the end of the year............................... $ 567,461 $ 313,925 $ 129,509 $ 80,331
------------ ------------ ------------ -------------
SHARES ISSUED AND REACQUIRED:
Sold......................................................... 7,884,279 11,034,579 945,384 7,228,949
Issued for distributions reinvested.......................... 81,822 178,004 107,485 744,454
Reacquired................................................... (2,721,097) (8,274,642) (1,090,408) (9,197,076)
------------ ------------ ------------ -------------
Increase (decrease) in shares outstanding................... 5,245,004 2,937,941 (37,539) (1,223,673)
Shares outstanding:
Beginning of year........................................... 24,411,231 21,473,290 22,220,544 23,444,217
------------ ------------ ------------ -------------
End of year................................................. 29,656,235 24,411,231 22,183,005 22,220,544
------------ ------------ ------------ -------------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
112
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
STOCK INDEX FUND VALUE FUND
------------------------------- ------------------------
For the For the
Six Months Six Months
Ended For the Ended For the
November 30, Year Ended November 30, Year Ended
2003 May 31, 2003 May 31,
(Unaudited) 2003 (Unaudited) 2003
-------------- --------------- ------------ -----------
OPERATIONS:
Net investment income (loss)............ $ 26,904,974 $ 46,711,201 $ 60,275 $ 90,599
Net realized gain (loss) on
investments, futures and options
contracts, and foreign currencies....... 11,352,860 19,922,920 (49,390) (1,211,085)
Net unrealized appreciation
(depreciation) on investments, futures
and options contracts, and foreign
currencies.............................. 346,884,166 (425,405,703) 1,067,001 133,082
-------------- --------------- ----------- -----------
Increase (decrease) in net assets
resulting from operations.............. 385,142,000 (358,771,582) 1,077,886 (987,404)
-------------- --------------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... (26,543,013) (46,092,003) (30,001) (74,702)
Net realized gain on securities......... - (84,411,750) - (35,050)
-------------- --------------- ----------- -----------
Decrease in net assets resulting from
distributions to shareholders.......... (26,543,013) (130,503,753) (30,001) (109,752)
-------------- --------------- ----------- -----------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold........ 214,452,775 994,359,859 2,817,802 4,371,190
Reinvestment of distributions........... 26,543,013 130,499,264 30,001 109,752
Cost of capital stock reacquired........ (181,119,186) (1,099,501,154) (2,108,458) (3,104,687)
-------------- --------------- ----------- -----------
Increase (decrease) in net assets
resulting from capital stock
transactions........................... 59,876,602 25,357,969 739,345 1,376,255
-------------- --------------- ----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS. 418,475,589 (463,917,366) 1,787,230 279,099
NET ASSETS:
Beginning of year....................... 3,627,136,893 4,091,054,259 11,134,249 10,855,150
-------------- --------------- ----------- -----------
End of year............................. $4,045,612,482 $ 3,627,136,893 $12,921,479 $11,134,249
-------------- --------------- ----------- -----------
Undistributed net investment income
included in net assets at the end of
the year................................ $ 1,380,387 $ 1,018,426 $ 46,171 $ 15,897
-------------- --------------- ----------- -----------
SHARES ISSUED AND REACQUIRED:
Sold.................................... 7,667,973 40,847,713 312,845 547,357
Issued for distributions reinvested..... 936,965 5,243,133 3,202 13,915
Reacquired.............................. (6,497,779) (45,160,376) (233,654) (390,524)
-------------- --------------- ----------- -----------
Increase in shares outstanding......... 2,107,159 930,470 82,393 170,748
Shares outstanding:
Beginning of year...................... 136,800,152 135,869,682 1,291,277 1,120,529
-------------- --------------- ----------- -----------
End of year............................ 138,907,311 136,800,152 1,373,670 1,291,277
-------------- --------------- ----------- -----------
SEE NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
113
NOTES TO FINANCIAL STATEMENTS (Unaudited)
Note 1 -- Organization
VALIC Company I (the "Series" or "VC I") was incorporated under the laws of
Maryland on December 7, 1984, by The Variable Annuity Life Insurance Company
("VALIC"). VALIC, the investment adviser to the Series, is an indirect
wholly-owned subsidiary of American International Group, Inc. ("AIG"). The
Series is registered under the Investment Company Act of 1940, as amended (the
"1940 Act"), as an open-end, management investment company. The Series consists
of 22 separate mutual funds (the "Funds"), each of which issues its own
separate class of capital shares:
Asset Allocation Fund International Growth I Fund
Blue Chip Growth Fund Large Cap Growth Fund
Capital Conservation Fund Mid Cap Index Fund
Core Equity Fund Money Market I Fund
Government Securities Fund Nasdaq-100(R) Index Fund
Growth & Income Fund Science & Technology Fund
Growth Fund (formerly Opportunities Fund) Small Cap Fund
Health Sciences Fund Small Cap Index Fund
Income & Growth Fund Social Awareness Fund
International Equities Fund Stock Index Fund
International Government Bond Fund Value Fund
Each Fund is diversified with the exception of International Government Bond
Fund, Nasdaq-100(R) Index Fund and Health Sciences Fund, which are
non-diversified as defined by the 1940 Act.
Indemnifications. Under the Series organizational documents, its officers and
directors are indemnified against certain liability arising out of the
performance of their duties to the Series. In addition, in the normal course of
business the Series enters into contracts that contain a variety of
representations and warranties which provide general indemnifications. The
Series' maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Series that have not yet
occurred. However, the Series expects the risk of loss to be remote.
Note 2 -- Significant Accounting Policies
The financial statements have been prepared in accordance with accounting
principles generally accepted in the United States of America ("GAAP"). GAAP
requires accruals which occasionally are based upon management estimates.
Actual results could differ from those estimates. The following is a summary
of significant accounting policies consistently followed by each fund in the
preparation of its financial statements.
A. Investment Valuation
Securities listed or traded on a national exchange are valued daily at their
last reported sale price as of the close of the customary trading session on
the exchange where the security is principally traded. Securities listed on the
NASDAQ exchange will be valued using the NASDAQ Official Closing Price
("NOCP"). Generally, the NOCP will be the last sale price unless the reported
trade for the security is outside the range of the bid/ask price. In such
cases, the NOCP will be normalized to the nearer of the bid or ask price. For
listed securities having no sales reported and for unlisted securities, such
securities will be valued based upon the last reported bid price.
Options traded on national securities exchanges are valued as of the close of
the exchange on which they are traded. Futures and options traded on
commodities exchanges are valued as of the close of such exchange. U.S.
Treasury securities and other obligations issued or guaranteed by the U.S.
government, its agencies and instrumentalities, are valued at representative
quoted prices. Such quoted prices generally are obtained from third party
pricing services; however, in circumstances where it is deemed appropriate to
do so, quotations may be obtained from dealers in government securities.
Publicly traded corporate bonds are valued at prices obtained from third party
pricing services.
Convertible bonds are valued at prices obtained from one or more of the major
dealers in such bonds. Where there is a discrepancy between dealers or when no
quotes are readily available, values may be adjusted based on a combination of
yields and premium spreads to the underlying common stock. Short-term debt
securities for which market quotations are readily available are valued at the
last reported bid price. However, any short term security with a remaining
maturity of 60 days or less and all investments of the Money Market I Fund are
valued by the amortized cost method which approximates fair market value.
Portfolio securities that are primarily traded on foreign securities exchanges
are generally valued at the last sale price on the exchange where such
securities are primarily traded. All foreign securities traded on the
over-the-counter market are valued at the last sale quote, if market quotations
are available, or the last closing bid price, if there is no active trading in
a particular security for a given day. Securities for which market quotations
are not readily available or if a development/event occurs that may
significantly impact the value of a security, then these securities may be fair
valued as determined pursuant to procedures adopted in good faith by the Board
of Directors.
B. Options, Futures, and Forward Currency Contracts
Call and Put Options. An option is a contract conveying a right to buy or sell
a financial instrument at a specified price during a stipulated period. When a
fund writes a call or a put option, an amount equal to the premium received is
recorded as a liability. The liability is "marked to market" daily to reflect
the current market value of the option written. When a written option expires,
the Fund realizes a gain in the amount of the premium originally received. If a
fund enters into a closing purchase transaction, the Fund realizes a gain or
loss in the amount of the original premium less the cost of the closing
transaction. If a written call option is exercised, the Fund realizes a gain or
loss from the sale of the underlying security, and the proceeds from such sale
are increased by the premium originally received. If a written put option is
exercised, the amount of the premium originally received reduces the cost of
the security which the Fund purchases upon exercise of the option by the holder.
Purchased options are recorded as investments. If a purchased option expires,
a fund realizes a loss in the amount of the cost of the option. If the Fund
enters into a closing transaction, it realizes a gain (or loss), to the extent
that the proceeds from the sale are greater (or less) than the cost of the
option. If a fund exercises a put option, it realizes a gain or loss from the
sale of the underlying security by adjusting the proceeds from such sale by the
amount of the premium originally paid. If a fund exercises a call option, the
cost of the security purchased upon exercise is increased by the premium
originally paid.
Futures Contracts. A futures contract is an agreement between two parties to
buy or sell a financial instrument at a set price on a future date. Upon
entering into such a contract the Fund is required to pledge to the broker an
amount of cash or U.S. government securities equal to the minimum "initial
margin" requirements of the exchange on which the futures contract is traded. A
Fund's participation in the futures markets involves certain risks, including
imperfect correlation between movements in the price of futures contracts and
movements in the price of the securities hedged or used for cover. The Fund's
activities in the futures contracts are conducted through regulated exchanges
which do not result in counterparty credit risks. Pursuant to a contract, the
Funds agree to receive from or pay to the broker an amount of cash equal to the
fluctuation in value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Funds as unrealized appreciation or
depreciation. When a contract is closed, the Funds record a realized gain or
loss equal to the difference between the value of the contract at the time it
was
- --------------------------------------------------------------------------------
114
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
opened and the value at the time it was closed. Futures contracts involve
elements of risk in excess of the amount reflected in the Statement of Assets
and Liabilities. Securities in the Funds which serve as collateral for open
futures contracts are indicated in the Schedule of Investments.
Forward Currency Contracts. Certain funds may enter into forward currency
contracts to attempt to protect securities and related receivables and payables
against changes in future foreign exchange rates or to enhance return. Forward
currency contracts are agreements between two parties to buy and sell
currencies at a set price on a future date. The U.S. dollar value of forward
currency contracts is determined using current forward currency exchange rates
supplied by a quotation service. The market value of the contract will
fluctuate with changes in currency exchange rates. During the period the
forward currency contract is open, the contract is "marked-to-market" daily and
the change in market value is recorded as an unrealized gain or loss. When the
contract is closed, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed. A fund could be exposed to risk if the value
of the currency changes unfavorably, if the counterparties to the contracts are
unable to meet the terms of their contracts, or if the Fund is unable to enter
into a closing position.
The Funds will cover outstanding forward contracts by maintaining liquid
portfolio securities denominated in, or whose value is tied to, the currency
underlying the forward contract or the currency being hedged. To the extent
that a fund is not able to cover its forward currency positions with underlying
portfolio securities, the custodian will segregate cash or other liquid assets
having a value equal to the aggregate amount of a fund's commitments under
forward contracts entered into with respect to position hedges, settlement
hedges and anticipatory hedges. Forward contracts involve elements of risk in
excess of the amount reflected in the Statement of Assets and Liabilities.
C. Repurchase Agreements
Pursuant to exemptive relief granted by the Securities and Exchange
Commission, the Funds are permitted to participate in joint repurchase
agreement transactions with other affiliated mutual funds. The Funds, along
with other affiliated registered investment companies, may transfer uninvested
cash balances into a single joint account, the daily aggregate balance of which
is invested in one or more repurchase agreements collateralized by U.S.
Treasury or federal agency obligations. The Funds' custodian takes possession
of the collateral pledged for investments in such repurchase agreements. The
underlying collateral is valued daily on a mark to market basis to ensure that
the value is equal to at least 102% of the repurchase price, including accrued
interest. In the event of default of the obligation to repurchase, a fund has
the right to liquidate the collateral and apply the proceeds in satisfaction of
the obligation. If the seller defaults and the value of the collateral declines
or if bankruptcy proceedings are commenced with respect to the seller of the
security, realization of the collateral by the Fund may be delayed or limited.
At November 30, 2003, the Money Market I Fund held a 13.33% undivided
interest, representing $20,000,000 in principal amount in a joint repurchase
agreement with United Bank of Switzerland, which is dated November 28, 2003,
bears interest at a rate of 1.02% per annum, has a principal amount of
$150,000,000, a repurchase price of $150,012,750, and matures December 1, 2003.
The repurchase agreement is collateralized by the following:
Interest Maturity Principal Market
Type of collateral Rate Date Amount Value
---------------------------------------------------------------
U.S. Treasury Bonds 3.38% 4/15/32 $ 1,774,000 $ 2,246,435
U.S. Treasury Notes 1.88% 7/15/13 150,000,000 150,433,069
As of November 30, 2003, the following funds held an undivided interest in the
joint repurchase agreement with State Street Bank & Trust Co.:
Percentage Principal
Fund Ownership Amount
--------------------------------------
Growth & Income. 1.30% $1,810,000
Large Cap Growth 1.79% 2,492,000
Money Market I.. 1.83% 2,546,000
As of such date, the repurchase agreement in that joint account and the
collateral therefore were as follows:
State Street Bank & Trust Co., dated November 28, 2003, bearing interest at a
rate of 0.97% per annum, with a principal amount of $139,423,000, a repurchase
price of $139,434,270, and maturity date of December 1, 2003. The repurchase
agreement is collateralized by the following:
Interest Maturity Principal
Type of collateral Rate Date Amount Market Value
---------------------------------------------------------------
U.S. Treasury Bills 0.85% 1/22/04 $101,560,000 $101,433,050
U.S. Treasury Notes 1.88% 9/30/04 20,250,000 20,401,875
U.S. Treasury Notes 5.00% 2/15/11 18,850,000 20,405,125
D. Mortgage-Backed Dollar Rolls
During the period ended November 30, 2003, the Asset Allocation Fund and
Capital Conservation Fund entered into dollar rolls using "to be announced"
("TBA") mortgage-backed securities ("TBA Rolls"). The Funds' policy is to
record the components of TBA Rolls as purchase/sale transactions. Any
difference between the purchase and sale price is recorded as a realized gain
or loss on the date the transaction is entered into. The Asset Allocation Fund
and Capital Conservation Fund had TBA Rolls outstanding at period end, which
are included in receivable for investments sold and payable for investments
purchased in the Statement of Assets and Liabilities.
Dollar roll transactions involve the risk that the market value of the
securities held by the Fund may decline below the price of the securities that
the Fund has sold but is obligated to repurchase under the agreement. In the
event that the buyer of securities in a dollar roll transaction files
bankruptcy or becomes insolvent, the Fund's use of the proceeds from the sale
of the securities may be restricted pending a determination by the other party,
or its trustee or receiver, whether to enforce the Fund's obligation to
repurchase the securities. The return earned by the Fund with the proceeds of
the dollar roll transaction may not exceed transaction costs.
E. Foreign Currency Translation
The accounting records of each fund are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
("local currencies") are translated into U.S. dollars at prevailing exchange
rates at the date of valuation.
Net realized gains or losses on foreign currency transactions include exchange
rate gains and losses from disposition of foreign currencies, currency gains
and losses realized between trade and settlement dates of security
transactions, and currency gains and losses realized on settlement of other
assets and liabilities settled in local currencies.
In determining realized and unrealized gains or losses on foreign securities
for the period, the Funds do not isolate exchange rate fluctuations from local
security price fluctuations. Foreign currencies and other assets and
liabilities denominated in local currencies are marked-to-market daily to
reflect fluctuations in foreign exchange rates.
- --------------------------------------------------------------------------------
115
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
F. Securities Lending
To realize additional income, a fund may lend portfolio securities with a
value of up to 33 1/3% of its total assets. Any such loans will be continuously
secured by collateral in an amount at least equal to the market value of the
securities loaned. Such collateral will be cash, U.S. government securities,
letters of credit, or other collateral as deemed appropriate. The Fund may use
the cash collateral received to invest in short-term investments. The
description of the short-term investments made with cash collateral from
securities lending is included in the applicable fund's Schedule of
Investments. The risks in lending portfolio securities, as with other
extensions of secured credit, consist of possible delays in receiving
additional collateral or in the recovery of the securities or possible loss of
rights in the collateral should the borrower fail financially. Loans by a fund
will only be made to broker-dealers deemed by the Custodian to be creditworthy
and will not be made unless, in the judgment of VALIC, the consideration to be
earned from such loans would justify the risk. It is the Series' policy to
obtain additional collateral from or return excess collateral to the borrower
by the end of the next business day. Therefore, the value of the collateral may
be temporarily less than the value of the securities on loan. Each fund
receives income earned on the securities loaned during the lending period and a
portion of the interest or rebate earned on the collateral received.
G. Investment Transactions, Investment Income, Expenses, Dividends and
Distributions to Shareholders
Securities transactions are recorded on a trade date basis. Realized gains and
losses on securities sold are determined on the basis of identified cost.
Dividend income is recorded on the ex-dividend date. Interest income on
investments is accrued daily. For financial statement purposes, VC I amortizes
all premiums and accretes all discounts on fixed income securities. Funds which
earn foreign income and capital gains may be subject to foreign withholding
taxes at various rates. Common expenses incurred by VC I are allocated among
the Funds based upon relative net assets or other appropriate allocation
methods. In all other respects, expenses are charged to each Fund as incurred
on a specific identification basis.
Distributions to shareholders are recorded on the ex-dividend date. Dividends
from net investment income, if any, are declared and paid quarterly, except for
the Money Market I Fund, which declares daily. Distributions from net realized
capital gains, if any, are normally declared and paid annually.
Investment income and capital gains and losses are recognized in accordance
with GAAP ("book"). Distributions from net investment income and realized
capital gains are based on earnings as determined in accordance with federal
tax regulations ("tax") which may differ from book basis earnings. These
differences are primarily due to differing treatments for capital loss
carryforwards, deferral of wash sales, post-October capital losses, net
operating losses, mortgage-backed securities and foreign currency transactions.
At the end of the fiscal year, offsetting adjustments to undistributed net
investment income, paid in capital and accumulated net realized gains (losses)
are made to eliminate permanent book/tax differences arising in the current
fiscal year. Net assets are not affected by these adjustments.
Each Fund intends to qualify as a "regulated investment company" under
Subchapter M of the Internal Revenue Code and to distribute all of its taxable
net investment income and taxable net realized capital gains, in excess of any
available capital loss carryovers. Therefore, no Federal income tax provision
is required.
Note 3 -- Advisory Fees and Other Transactions with Affiliates
VALIC, an indirect wholly owned subsidiary of American International Group,
Inc. ("AIG"), serves as investment adviser to VC I. Certain officers and
directors of VC I are officers and directors of VALIC or affiliates of VALIC.
VALIC receives from the Series a monthly fee based on each fund's average
daily net asset value at the following annual rates.
Stock Index Fund 0.35% on the first $500 million;
Mid Cap Index Fund 0.25% on the assets over $500 million
Small Cap Index Fund
International Equities Fund
--------------------------------------------------
Core Equity Fund 0.80%
Blue Chip Growth Fund
--------------------------------------------------
Growth & Income Fund 0.75%
--------------------------------------------------
Science & Technology Fund 0.90%
Small Cap Fund
--------------------------------------------------
Health Sciences Fund 1.00%
International Growth I Fund
--------------------------------------------------
Large Cap Growth Fund 0.95%
--------------------------------------------------
Social Awareness Fund 0.50%
Asset Allocation Fund
Capital Conservation Fund
Government Securities Fund
International Government Bond Fund
Money Market I Fund
--------------------------------------------------
Growth Fund 0.95%
--------------------------------------------------
Nasdaq-100(R) Index Fund 0.40%
--------------------------------------------------
Income & Growth Fund 0.77%
--------------------------------------------------
Value Fund 0.78%
- --------------------------------------------------------------------------------
116
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
VALIC agreed to waive a portion of its management fee or to reimburse certain
expenses of the funds listed below through September 30, 2004. Effective
October 1, 2003, VALIC ceased waiving a portion of its management fee or
certain expenses for the Science & Technology Fund. Prior to October 1, 2003,
the maximum expense limitation for the Science & Technology Fund was 1.00%. The
table below reflects total annual operating expenses by fund, as limited by the
adviser, shown as a percentage of average net assets.
Maximum
Expenses
Fund Limitation
---------------------------------
Core Equity........... 0.85%
Growth & Income....... 0.85%
Income & Growth....... 0.83%
International Growth I 1.06%
Large Cap Growth...... 1.06%
Money Market I........ 0.60%
Small Cap............. 0.95%
VALIC has entered into sub-advisory agreements with the following:
AIG Global Investment Corp.--sub-adviser for the Asset Allocation Fund,
Capital Conservation Fund, Government Securities Fund, International
Equities Fund, International Government Bond Fund, Mid Cap Index Fund,
Nasdaq-100(R) Index Fund, Small Cap Index Fund, Social Awareness Fund
and Stock Index Fund.
AIG SunAmerica Asset Management Corp.--sub-adviser for the Growth & Income
Fund, Large Cap Growth Fund and Money Market I Fund.
American Century Investment Management, Inc.--sub-adviser for the Income &
Growth Fund and International Growth I Fund.
Founders Asset Management LLC--co-sub-adviser for approximately 50% of the
Small Cap Fund.
Putnam Investment Management LLC--sub-adviser for the Growth Fund
and Value Fund.
T. Rowe Price Associates, Inc.--sub-adviser for the Blue Chip Growth Fund,
Health Sciences Fund, Science & Technology Fund and for approximately
50% of the Small Cap Fund.
WM Advisors, Inc.--sub-adviser for approximately 50% of the Core Equity
Fund.
Wellington Management Company, LLP--co-sub-adviser for approximately 50%
of the Core Equity Fund.
The sub-advisers are compensated for their services by VALIC.
Effective October 1, 2001, the Series entered into an Administrative Services
Agreement with AIG SunAmerica Asset Management Corp. ("SAAMCo"). SAAMCo
receives from each fund an annual fee of 0.07% based on the average daily net
assets of the Fund. Under the agreement, SAAMCo will provide certain accounting
and administrative services to VC I. During the period ended November 30, 2003,
the Series accrued $3,801,130 for accounting and administrative services.
Effective October 17, 2000, VC I entered into an amended Transfer Agency and
Services Agreement with VALIC. Under this agreement, VALIC provides services
which include the issuance and redemption of shares, payment of dividends
between the Series and their "institutional" shareholders and certain
shareholder reporting services including confirmation of transactions,
statements of account and tax reporting. For the period ended November 30,
2003, the Series incurred $48,421 in transfer agency and shareholder services
fees.
On January 23, 2001, the Board of Directors approved a Deferred Compensation
Plan for its independent directors who are not officers, directors, or
employees of VALIC, or an affiliate of VALIC. The effective date of the plan
was January 1, 2001. The first deferral of compensation was made in March 2001.
Under the deferred compensation plan, directors may elect to defer all or a
portion of their compensation. Amounts deferred may be invested in up to six
different investment options that are specified in the plan as selected by the
directors.
The Series provides a retirement plan for its independent directors who are
not officers, directors, or employees of VALIC or an affiliate of VALIC. VC I
is responsible for the payment of the retirement benefits, as well as all
expenses of administration of the plan. Benefits vested under the plan are
payable for a ten-year period upon retirement and are based upon each
director's years of service. As of November 30, 2003, VC I had a retirement
plan liability to its independent directors totaling $1,416,140 which is
included as a separate line of the Statement of Assets and Liabilities. During
the period ending November 30, 2003, a total of $27,923 was paid to retired
directors.
At November 30, 2003, VALIC, AIG Annuity Insurance Company ("AIGAIC"), and
American General Life Insurance Company ("AGL"), through their insurance
company separate accounts, owned over five percent of the outstanding shares of
the following Funds:
Fund VALIC AIGAIC AGL
---------------------------------- ------ ------ -----
Asset Allocation Fund............. 99.95% * *
Blue Chip Growth Fund............. 100.00% * *
Capital Conservation Fund......... 100.00% * *
Core Equity Fund.................. 100.00% * *
Government Securities Fund........ 87.93% 12.07% *
Growth & Income Fund.............. 93.26% 6.74% *
Growth Fund....................... 89.43% 10.57% *
Health Sciences Fund.............. 100.00% * *
Income & Growth Fund.............. 100.00% * *
International Equities Fund....... 94.63% * *
International Government Bond Fund 100.00% * *
International Growth I Fund....... 100.00% * *
Large Cap Growth Fund............. 100.00% * *
Mid Cap Index Fund................ 97.67% * *
Money Market I Fund............... 79.76% * 18.92%
Nasdaq-100(R) Fund................ 96.03% * *
Science & Technology Fund......... 99.75% * *
Small Cap Fund.................... 100.00% * *
Small Cap Index Fund.............. 98.94% * *
Social Awareness Fund............. 100.00% * *
Stock Index Fund.................. 93.72% * *
Value Fund........................ 100.00% * *
- --------
* Less than 5% ownership.
- --------------------------------------------------------------------------------
117
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
As disclosed in the schedule of investments, certain funds own common stock
issued by AIG or an affiliate thereof. During the period ended November 30,
2003, the following funds recorded realized gains (losses) and income on
security transactions of AIG and subsidiaries of AIG as follows:
Market Value
Fund Security Income at 5/31/03 Purchases Sales
- ---------------- ---------------------------------- -------- ------------ --------- -------
Asset Allocation American International Group, Inc. $ 2,827 $ 1,459,734 $ 1,732 $ -
Blue Chip
Growth.......... American International Group, Inc. 336 173,640 - -
Core Equity..... American International Group, Inc. 13,303 6,874,697 - -
Growth &
Income.......... American International Group, Inc. 3,388 1,750,870 - -
Small Cap
Index........... 21st Century Insurance Group 350 - 132,272 -
Social
Awareness....... American International Group, Inc. 4,722 2,440,221 - -
Stock Index..... American International Group, Inc. 118,346 61,092,340 766,278 30,176
Realized Unrealized Market Value
Fund Security Gain/(Loss) Gain/(Loss) at 11/30/03
- ---------------- ---------------------------------- ----------- ----------- ------------
Asset Allocation American International Group, Inc. $ - $ 1,771 $ 1,463,237
Blue Chip Growth American International Group, Inc. - 210 173,850
Core Equity..... American International Group, Inc. - 8,314 6,883,011
Growth & Income. American International Group, Inc. - 2,118 1,752,988
Small Cap Index. 21st Century Insurance Group - (2,716) 129,556
Social Awareness American International Group, Inc. - 2,951 2,443,172
Stock Index..... American International Group, Inc. 25,069 25,499 61,879,010
During the period, the following funds incurred brokerage commissions with
affiliated brokers which are affiliates of a sub-adviser:
Income & Growth International Growth I
--------------- ----------------------
J.P. Morgan Securities, Inc. $10 $38,529
Note 4 -- Investment Activity
During the period ended November 30, 2003, the cost of purchases and proceeds
from sales of securities, excluding short term securities and government
securities, were as follows:
Cost of Proceeds from
Securities Securities Sold
Fund Purchased or Matured
----------------------------- ------------ ---------------
Asset Allocation............. $ 34,337,661 $ 33,831,845
Blue Chip Growth............. 12,274,498 3,942,895
Capital Conservation......... 39,548,584 37,948,189
Core Equity.................. 75,547,992 99,726,576
Government Securities........ 6,920,161 13,523,476
Growth & Income.............. 139,997,146 140,193,876
Growth....................... 2,676,062 2,364,149
Health Sciences.............. 42,108,607 19,041,540
Income & Growth.............. 75,536,201 75,175,227
International Equities....... 14,325,441 7,363,729
International Government Bond 67,295,127 75,018,393
International Growth I....... 301,717,105 305,230,485
Large Cap Growth............. 290,053,173 310,440,115
Mid Cap Index................ 143,457,882 49,865,385
Nasdaq-100 Index............. 16,705,799 64,812
Science & Technology......... 353,544,684 279,593,353
Small Cap.................... 205,082,972 191,939,151
Small Cap Index.............. 99,943,764 48,335,917
Social Awareness............. 164,477,845 184,510,275
Stock Index.................. 75,623,300 23,568,222
Value........................ 3,066,702 2,429,127
The cost of purchases and proceeds from sales of U.S. government and
government agency obligations were:
Cost of Proceeds from
Securities Securities Sold
Fund Purchased or Matured
----------------------------- ------------ ---------------
Asset Allocation............. $ 25,851,844 $ 21,169,815
Capital Conservation......... 41,502,700 36,308,670
Government Securities........ 138,622,786 141,476,027
International Government Bond 22,486,613 23,836,360
- --------------------------------------------------------------------------------
118
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
Transactions in call and put options written during the period ended November
30, 2003 for the Health Sciences Fund are summarized as follows:
Written Options
---------------------
Number of Premiums
Contracts Received
--------- -----------
Beginning of year. 3,030 $ 803,937
Written........... 12,443 3,109,497
Closed............ (9,440) (2,283,307)
Exercised......... (8) (1,576)
Expired........... (1,110) (192,621)
--------- -----------
End of year....... 4,915 $ 1,435,930
--------- -----------
Open call option contracts written at November 30, 2003 for the Health
Sciences Fund were as follows:
Market Value
at Unrealized
Contract Strike Number of Premiums November 30, Appreciation
Issue Month Price Contracts Received 2003 (Depreciation)
- ---------------------------- -------- ------ --------- -------- ------------ --------------
Alcon, Inc.................. May-04 $ 60 65 $10,353 $20,150 $ (9,797)
Allergan, Inc............... Apr-04 85 27 3,853 3,105 748
Amgen, Inc.................. Jan-04 65 55 5,610 2,200 3,410
Amylin Pharmaceuticals, Inc. Apr-04 30 171 32,425 29,070 3,355
Amylin Pharmaceuticals, Inc. Jul-04 30 28 6,392 7,140 (748)
Biogen, Inc................. Apr-04 40 81 11,096 19,845 (8,749)
Boston Scientific Corp...... Dec-03 37.5 166 8,881 6,640 2,241
Cardinal Health, Inc........ Mar-04 65 113 13,785 19,775 (5,990)
Cephalon, Inc............... Dec-03 50 55 7,539 3,300 4,239
CV Therapeutics, Inc........ Apr-04 27.5 113 32,285 14,690 17,595
CV Therapeutics, Inc........ Apr-04 20 56 23,834 17,360 6,474
Eli Lilly & Co.............. Jan-04 70 54 11,802 21,060 (9,258)
Eli Lilly & Co.............. Jan-04 75 56 7,952 2,800 5,152
Genentech, Inc.............. Dec-03 90 56 5,233 2,800 2,433
Gilead Sciences, Inc........ Jan-04 60 109 9,662 26,705 (17,043)
Gilead Sciences, Inc........ Feb-04 60 273 37,847 92,820 (54,973)
Gilead Sciences, Inc........ Dec-03 60 42 4,303 4,620 (317)
ICN Pharmaceuticals, Inc.... Dec-03 25 81 6,958 4,860 2,098
ImClone Systems, Inc........ Jan-04 50 83 10,611 10,375 236
MedImmune, Inc.............. Jun-04 32.5 81 14,470 4,860 9,610
MedImmune, Inc.............. Jun-04 30 200 52,072 19,000 33,072
MedImmune, Inc.............. Mar-04 30 70 11,339 3,500 7,839
MedImmune, Inc.............. Jun-04 27.5 78 13,415 11,700 1,715
MedImmune, Inc.............. Mar-04 27.5 57 6,384 5,130 1,254
MGI Pharma, Inc............. Jan-04 40 45 9,318 8,550 768
Neurocrine Biosciences, Inc. Feb-04 55 53 5,936 11,395 (5,459)
Neurocrine Biosciences, Inc. May-04 60 83 13,736 17,015 (3,279)
Omnicare, Inc............... Mar-04 40 56 7,440 15,120 (7,680)
Pfizer, Inc................. Jun-04 37.5 165 16,004 1,2375 3,629
St. Jude Medical, Inc....... Jan-04 60 54 11,501 25,920 (14,419)
Market Value
at Unrealized
Contract Strike Number of Premiums November 30, Appreciation
Issue Month Price Contracts Received 2003 (Depreciation)
- ---------------------------- -------- ------ --------- -------- ------------ --------------
St. Jude Medical, Inc....... Apr-04 $60 29 $ 11,802 $ 18,560 $ (6,758)
Trimeris, Inc............... Apr-04 35 33 15,742 1,155 14,587
Trimeris, Inc............... Apr-04 30 306 56,193 26,010 30,183
Trimeris, Inc............... Jan-04 30 35 5,528 875 4,653
Universal Health Services,
Inc........................ Apr-04 50 55 15,409 33,000 (17,591)
Vertex Pharmaceuticals, Inc. Apr-04 10 59 4,446 5,015 (569)
Wyeth....................... Apr-04 45 197 28,565 17,730 10,835
Wyeth....................... Dec-03 40 55 4,592 5,500 (908)
-------- ------ --------- -------- ------------ --------------
3,395 $554,313 $551,725 $ 2,588
-------- ------ --------- -------- ------------ --------------
Open put option contracts written at November 30, 2003 for the Health
Sciences Fund were as follows:
Market Value
at Unrealized
Contract Strike Number of Premiums November 30, Appreciation
Issue Month Price Contracts Received 2003 (Depreciation)
- ----------------------------- -------- ------ --------- -------- ------------ --------------
Accredo Health, Inc.......... Jan-04 $ 25 40 $15,290 $ 1,200 $ 14,090
Adolar Corp.................. Apr-04 17.5 53 18,242 6,890 11,352
Amgen, Inc................... Apr-04 65 44 28,397 38,720 (10,323)
Angiotech Pharmaceuticals,
Inc......................... Mar-04 50 11 6,127 6,050 77
Anthem, Inc.................. Dec-03 75 20 10,834 6,600 4,234
Anthem, Inc.................. Mar-04 75 43 26,390 22,360 4,030
Anthem, Inc.................. Dec-03 80 22 17,323 17,600 (277)
Barr Laboratories, Inc....... May-04 75 27 25,298 9,450 15,848
Caremark Rx, Inc............. Jun-04 25 27 6,137 5,130 1,007
Cephalon, Inc................ Jan-04 40 24 13,203 1,560 11,643
Cephalon, Inc................ Jan-04 45 26 12,401 4,680 7,721
Chiron Corp.................. Jan-04 50 26 15,781 2,730 13,051
Chiron Corp.................. Apr-04 50 51 27,386 13,515 13,871
CR Bard, Inc................. Apr-04 70 26 13,797 4,940 8,857
CR Bard, Inc................. Apr-04 75 26 21,320 9,360 11,960
Eli Lilly & Co............... Apr-04 60 26 11,362 4,420 6,942
Esperion Therapeutics........ Apr-04 22.5 22 8,753 7,700 1,053
Fisher Scientific Group, Inc. Dec-03 40 25 11,456 2,125 9,331
Genentech, Inc............... Dec-03 90 26 23,150 16,120 7,030
Genentech, Inc............... Jan-04 95 32 37,450 36,480 970
Gilead Sciences, Inc......... Feb-04 50 11 3,940 1,265 2,675
Guidant Corp................. Apr-04 55 40 34,458 11,600 22,858
HCA, Inc..................... Jan-04 40 26 12,661 1,820 10,841
IDEC Pharmaceuticals Corp.... Apr-04 35 8 3,176 1,360 1,816
ImClone Systems, Inc......... Feb-04 40 39 30,972 23,790 7,182
ImClone Systems, Inc......... Feb-04 45 55 60,889 51,150 9,739
- --------------------------------------------------------------------------------
119
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
Unrealized
Contract Strike Number of Premiums Market Value at Appreciation
Issue Month Price Contracts Received November 30, 2003 (Depreciation)
- ---------------------------- -------- ------ --------- -------- ----------------- --------------
ImClone Systems, Inc........ May-04 $ 45 27 $ 37,987 $ 31,320 $ 6,667
Intermune, Inc.............. Apr-04 20 26 10,502 5,460 5,042
Intermune, Inc.............. Apr-04 25 26 16,732 13,520 3,212
Invitrogen Corp............. Feb-04 50 24 15,047 1,800 13,247
Laboratory Corp. of
America.................... May-04 35 14 4,663 2,940 1,723
Martek Biosciences Corp..... Jun-04 60 55 50,542 37,400 13,142
Medtronic, Inc.............. May-04 45 28 6,530 7,140 (610)
Merck, Inc.................. Jan-04 55 11 8,837 16,280 (7,443)
Merck, Inc.................. Jan-04 60 28 14,835 43,400 (28,565)
Merck, Inc.................. Jan-04 65 31 26,566 76,880 (50,314)
Merck, Inc.................. Jan-04 60 11 11,186 21,890 (10,704)
MGI Pharma, Inc............. Jan-04 45 27 15,178 20,790 (5,612)
Molecular Devices Corp...... Jan-04 22.5 53 20,580 16,430 4,150
OSI Pharmaceuticals, Inc.... Jan-04 25 28 6,496 2,380 4,116
Pfizer, Inc................. Mar-04 32.5 56 16,631 6,720 9,911
Pfizer, Inc................. Jun-04 32.5 108 36,394 18,900 17,494
Protein Design Laboratories,
Inc........................ Feb-04 12.5 54 16,307 6,750 9,557
Quest Diagnostics, Inc...... May-04 80 16 14,923 14,880 43
Stryker Corp................ Jan-04 75 25 17,174 1,750 15,424
Universal Health Services,
Inc........................ Jul-04 55 31 14,979 15,810 (831)
Wyeth....................... Apr-04 40 28 7,587 8,960 (1,373)
Wyeth....................... Apr-04 35 14 2,688 1,820 868
Zimmer Holdings, Inc........ Mar-04 60 23 13,060 3,220 9,840
-------- ------ --------- -------- ----------------- --------------
1,520 $881,617 $685,055 $196,562
-------- ------ --------- -------- ----------------- --------------
Note 5 -- Federal Income Taxes
The following tables detail the tax basis distributions as well as the
components of distributable earnings. The tax basis components of distributable
earnings differ from the amounts reflected in the Statements of Assets and
Liabilities due to temporary book/tax differences primarily arising from wash
sales, post October losses, investments in passive foreign investment
companies, and derivative transactions. Also included in the following tables
are the capital loss carryforwards at May 31, 2003.
The information in the following table is presented on the basis of cost for
Federal Income Tax purposes at November 30, 2003.
Identified Cost Gross Gross Net Unrealized
of Investments Unrealized Unrealized Appreciation
Fund Owned Appreciation Depreciation (Depreciation)
- ------------------------ --------------- -------------- ------------ --------------
Asset Allocation........ $ 163,820,976 $ 22,510,978 $ 7,001,923 $ 15,509,055
Blue Chip Growth........ 32,764,786 3,978,620 1,769,072 2,209,548
Capital Conservation.... 91,627,226 816,501 715,563 100,938
Core Equity............. 618,423,964 50,696,474 76,286,694 (25,590,220)
Government Securities... 163,308,100 513,649 1,995,527 (1,481,878)
Growth & Income......... 172,985,612 24,777,048 4,638,241 20,138,807
Growth.................. 4,547,260 589,016 299,658 289,358
Health Sciences......... 112,057,340 17,599,963 6,807,965 10,791,998
Income & Growth......... 221,339,848 28,143,824 19,892,503 8,251,321
International Equities.. 122,084,704 15,207,749 18,556,059 (3,348,310)
International Government
Bond................... 131,492,729 13,189,120 968,037 12,221,083
International Growth I.. 404,302,422 57,177,464 5,698,066 51,479,398
Large Cap Growth........ 422,380,920 61,030,150 12,447,645 48,582,505
Mid Cap Index........... 1,445,452,867 309,505,290 176,467,248 133,038,042
Money Market I.......... 488,988,693 - - -
NASDAQ-100 Index........ 91,964,296 9,488,122 6,733,710 2,754,412
Science & Technology.... 1,495,646,956 279,112,321 236,980,653 42,131,668
Small Cap............... 648,032,761 139,373,061 43,060,010 96,313,051
Small Cap Index......... 435,702,759 72,228,226 38,937,521 33,290,705
Social Awareness........ 371,930,062 36,025,242 20,770,926 15,254,316
Stock Index............. 3,155,259,342 1,506,324,076 463,355,356 1,042,968,720
Value................... 12,059,894 1,260,972 721,916 539,056
- --------------------------------------------------------------------------------
120
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
The tax character of distributions paid during the year ended May 31, 2003
were as follows:
Distributions paid from:
--------------------------------------------
Ordinary Net Long Term Total Taxable
Fund Income Capital Gains Distributions Paid
----------------------------- ----------- ------------- ------------------
Asset Allocation............. $ 3,974,959 $ - $ 3,974,959
Blue Chip Growth............. - - -
Capital Conservation......... 3,172,002 - 3,172,002
Core Equity.................. 6,153,017 - 6,153,017
Government Securities........ 6,603,003 1,128,550 7,731,553
Growth & Income.............. 1,435,004 - 1,435,004
Growth....................... - - -
Health Sciences.............. - - -
Income & Growth.............. 2,693,004 - 2,693,004
International Equities....... 930,002 - 930,002
International Government Bond - 671,332 671,332
International Growth I....... 6,113,264 - 6,113,264
Large Cap Growth............. 253,510 - 253,510
Mid Cap Index................ 6,863,215 33,800,632 40,663,847
Money Market I............... 5,987,391 - 5,987,391
Nasdaq-100(R) Index.......... - - -
Science & Technology......... - - -
Small Cap.................... - - -
Small Cap Index.............. 1,695,206 - 1,695,206
Social Awareness............. 9,873,151 971,157 10,844,308
Stock Index.................. 46,820,984 83,682,769 130,503,753
Value........................ 109,752 - 109,752
- --------------------------------------------------------------------------------
121
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
As of May 31, 2003, the components of accumulated earnings/(deficit) on a tax
basis were as follows:
Accumulated Earnings Accumulated Capital and Other Losses
--------------------------- ---------------------------------------------------------------
Post October 31, 2002 Capital Loss Carryforward
Undistributed Undistributed -------------------------- -------------------------
Ordinary Long-Term Capital Loss Currency Loss Other Loss
Fund Income Capital Gains Deferral Deferral Deferrals Amount* Expiration
- ---- ------------- ------------- ------------ ------------- ---------- -------------- ----------
Asset Allocation............. $ 417,902 $ 1,672,519 $ - $ - $ - $ - -
Blue Chip Growth............. - - 836,715 500 - 3,029,378 2009-2011
Capital Conservation......... 58,530 931,395 - - - - -
Core Equity.................. 130,112 - 22,159,911 - - 158,597,836 2009-2011
Government Securities........ 4,454,578 6,896,250 - - - - -
Growth & Income.............. 38,211 - 13,677,243 - - 39,734,533 2010-2011
Growth....................... - - 239,209 - - 3,000,557 2009-2011
Health Sciences.............. - - 2,152,346 - 366,291 5,215,472 2009-2011
Income & Growth.............. 192,635 - 15,610,453 - - 38,071,077 2009-2011
International Equities....... 529,413 - 862,771 - - 11,900,066 2010-2011
International Government Bond 4,685,936 1,030,527 - - 34,131 - -
International Growth I....... 535,635 - 32,139,878 151,245 - 244,178,218 2009-2011
Large Cap Growth............. - - 31,900,876 - - 352,027,854 2009-2011
Midcap Index................. 512,213 11,002,160 296,662 - - - -
Money Market I............... 1,257 - - - - - -
Nasdaq-100(R) Index Fund..... - - 2,142,983 - - 5,022,007 2009-2011
Science & Technology......... - - 175,487,353 2,446 - 1,534,191,711 2010-2011
Small Cap.................... - - 34,925,995 - - 158,480,448 2009-2011
Small Cap Index.............. 266,316 - - - - 6,898,480 2010-2011
Social Awareness............. 72,676 - 27,201,638 - - 43,322,372 2011
Stock Index.................. 3,124,159 11,718,422 - - - - -
Value........................ 15,897 - 708,920 - - 213,166 2011
Unrealized Total
Appreciation/ Accumulated
Fund (Depreciation) Earnings/(Deficit)
- ---- -------------- ------------------
Asset Allocation............. $ 9,713,196 $ 11,803,617
Blue Chip Growth............. (676,740) (4,543,333)
Capital Conservation......... 2,494,336 3,484,261
Core Equity.................. (95,722,488) (276,350,123)
Government Securities........ 5,555,803 16,906,631
Growth & Income.............. (21,692) (53,395,257)
Growth....................... (226,272) (3,466,038)
Health Sciences.............. 5,827,479 (1,906,630)
Income & Growth.............. (10,027,912) (63,516,807)
International Equities....... (20,016,545 (32,249,969)
International Government Bond 20,816,860 26,499,192
International Growth I....... 28,409,048 (247,524,658)
Large Cap Growth............. 2,379,534 (381,549,196)
Midcap Index................. (81,816,151) (70,598,440)
Money Market I............... - 1,257
Nasdaq-100(R) Index Fund..... (7,476,766) (14,641,756)
Science & Technology......... (216,280,856) (1,925,962,366)
Small Cap.................... 11,163,351 (182,243,092)
Small Cap Index.............. (28,831,162) (35,463,326)
Social Awareness............. (7,911,228) (78,362,562)
Stock Index.................. 695,605,769 710,448,350
Value........................ (527,945) (1,434,134)
*Net realized capital loss carryforwards may be utilized to offset future
capital gains. During the year ending May 31, 2003, the Capital Conservation
Fund utilized $1,910,566 of capital loss carryforwards to offset current year
gains.
- --------------------------------------------------------------------------------
122
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
Note 6 -- Expense Reductions
Through expense offset arrangements resulting from broker commission
recapture, a portion of the Fund's expenses have been reduced. For the year
ended November 30, 2003, the amount of expense reductions received by each fund
were as follows:
Fund Expense Reductions
---- ------------------
Blue Chip Growth.... 2,530
Core Equity......... 28,398
Growth.............. 1,053
Health Sciences..... 14,559
Science & Technology 99,847
Note 7 -- Investment Concentration
A significant portion of the Government Securities Fund's investments may be
in U.S. Government sponsored securities. No assurance can be given that the
U.S. Government will provide support to such U.S. Government sponsored agencies
or instrumentalities in the future since it is not required to do so by law. As
a result of the Fund's concentration in such investments, it may be subject to
risks associated with U.S. Government securities. At the end of the period, the
Fund had 46.81% of its net assets invested in such securities.
At the end of the period, the International Government Bond Fund,
International Equities Fund and International Growth I Fund had 15.28%, 18.13%,
and 20.21%, respectively, of its net assets invested in securities issued by
the Government of Japan or Japanese companies. In addition, the International
Growth I Fund and the International Equities Fund had 19.66% and 21.93%
respectively, in securities issued by United Kingdom companies. Future economic
and political developments in a foreign country could adversely affect the
liquidity and value of foreign securities or the currency exchange rates from
which foreign currencies are translated.
The Health Sciences Fund is concentrated in the health services industry and
is less diversified than stock funds investing in a broader range of
industries. The Fund may also invest a considerable portion of assets in
companies in the same business, such as pharmaceuticals, or in related
businesses, such as hospital management or managed care. Developments that
could adversely effect the Fund include increased competition in the health
care industry, changes in legislation or government regulations, reductions in
government funding, product liability or other litigation, and obsolescence
of popular products.
The Nasdaq-100(R) Index Fund is concentrated in the technology sector. As a
result, the Fund is subject to greater volatility than a fund that does not
concentrate in a particular sector. Because the Nasdaq-100(R) Index may consist
of relatively more companies in certain industry sectors than others, (such as
technology), the Fund's performance may be more susceptible to any developments
which effect those sectors emphasized by the Index.
Note 8 -- Commitments and Contingencies
The Series and VALIC Company II have established a $85 million committed and
$40 million uncommitted lines of credit with State Street Bank & Trust Company,
the Funds' custodian. Interest is currently payable at the Federal Funds Rate
plus 50 basis points on the committed line and State Street's discretionary bid
rate on the uncommitted line of credit. There is also a commitment fee of 10
basis points per annum for the daily unused portion of the committed line of
credit, which is included in miscellaneous expenses on the Statement of
Operations. For the period ended November 30, 2003, the following funds had
borrowings:
Average Weighted
Days Interest Debt Average
Outstanding Charges Utilized Interest
----------- -------- ---------- --------
Growth & Income Fund....... 32 $5,388 $3,892,102 1.57%
International Growth I Fund 6 418 1,646,368 1.52%
Large Cap Growth Fund...... 10 1,571 3,494,315 1.56%
As of November 30, 2003, none of the Funds had outstanding borrowings.
Pursuant to exemptive relief granted by the Securities and Exchange
Commission, the Portfolios are permitted to participate in an interfund lending
program among investment companies advised by VALIC or an affiliate. The
interfund lending program allows the participating Portfolios to borrow money
from and loan money to each other for temporary or emergency purposes. An
interfund loan will be made under this facility only if the participating
Portfolios receive a more favorable interest rate than would otherwise be
available from a typical bank for a comparable transaction. For the period
ended November 30, 2003, none of the Portfolios participated in the program.
Note 9 -- Investment Holdings by Country
As of November 30, 2003, the following represents investment holdings by
country:
International Growth I Fund International Equities Fund
-------------------------- ---------------------------
Percent of Percent of
Net Assets Market Value Net Assets Market Value
Country: ---------- ------------ ---------- ------------
Australia .................. 0.55 % $ 2,120,191 4.22% $ 5,063,824
Austria..................... 1.00 % 3,874,396 0.17% 207,530
Belgium..................... -- -- 0.87% 1,039,156
Bermuda .................... -- -- 0.09% 113,644
Cayman Island............... -- -- 0.01% 9,789
China....................... 1.65 % 6,373,360 -- --
Denmark .................... 0.43 % 1,671,692 0.64% 762,619
Finland..................... -- -- 1.57% 1,885,500
France...................... 13.39 % 51,700,815 8.07% 9,677,381
Germany .................... 11.52 % 44,462,555 5.67% 6,795,592
Greece...................... 0.37 % 1,435,826 0.35% 415,527
Hong Kong .................. 1.30 % 5,035,002 1.33% 1,591,808
Hungary..................... 0.56 % 2,164,648 -- --
Ireland .................... 2.44 % 9,426,368 0.60% 717,339
Italy....................... 0.76 % 2,922,015 3.31% 3,962,731
Japan....................... 20.21 % 78,029,270 18.13% 21,734,619
Korea....................... 2.49 % 9,608,176 -- --
Luxembourg.................. -- -- 0.07% 89,296
Netherlands................. 1.85 % 7,160,375 4.33% 5,194,282
New Zealand ................ -- -- 0.18% 216,390
Norway...................... -- -- 0.41% 490,508
Portugal.................... -- -- 0.31% 374,714
Singapore................... -- -- 0.71% 855,821
South Africa................ 0.33 % 1,290,752 -- --
Spain....................... 0.75 % 2,896,993 2.98% 3,576,797
Sweden...................... 3.18 % 12,294,327 1.91% 2,289,879
Switzerland................. 9.32 % 35,970,268 6.18% 7,411,898
United Kingdom.............. 19.66 % 75,912,391 21.93% 26,288,330
United States .............. 26.31 % 101,432,400 15.00% 17,971,420
-------------------------------------------------------
Total investments........... 118.07 % 455,781,820 99.04% 118,736,394
Other assets and liabilities (18.07)% (69,745,840) 0.96% 1,151,648
-------------------------------------------------------
Net assets ................ 100.00 % $386,035,980 100.00% $119,888,042
-------------------------------------------------------
- --------------------------------------------------------------------------------
123
FINANCIAL HIGHLIGHTS
Asset Allocation Fund
----------------------
Six Months Ended
November 30, 2003/(h)/
---------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 11.21
---------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.08/(f)/
Net realized and unrealized gain (loss) on securities and 0.60
foreign currency related transactions....................... ---------------------
Total income (loss) from investment operations............... 0.68
---------------------
Distributions from:
Investment income............................................ (0.09)
Realized gain on securities.................................. -
---------------------
Total distributions.......................................... (0.09)
---------------------
Net asset value at end of period................................ $ 11.80
---------------------
TOTAL RETURN/(a)(c)/............................................ 6.11%
---------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.69%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.69%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.44%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 1.44%/(b)/
Portfolio turnover rate......................................... 38%
Number of shares outstanding at end of period (000's)........... 14,663
Net assets at end of period (000's)............................. $173,084
Asset Allocation Fund
-----------------------------------------------------------
Year Ended May 31,
-----------------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 11.35 $ 12.71 $ 14.68 $ 14.43 $ 14.02
-------- -------- -------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.25/(f)/ 0.33 0.43 0.44 0.40
Net realized and unrealized gain (loss) on securities and (0.12) (1.03) (0.79) 0.51 1.26
foreign currency related transactions....................... -------- -------- -------- ---------- ----------
Total income (loss) from investment operations............... 0.13 (0.70) (0.36) 0.95 1.66
-------- -------- -------- ---------- ----------
Distributions from:
Investment income............................................ (0.26) (0.33) (0.43) (0.44) (0.40)
Realized gain on securities.................................. (0.01) (0.33) (1.18) (0.26) (0.85)
-------- -------- -------- ---------- ----------
Total distributions.......................................... (0.27) (0.66) (1.61) (0.70) (1.25)
-------- -------- -------- ---------- ----------
Net asset value at end of period................................ $ 11.21 $ 11.35 $ 12.71 $ 14.68 $ 14.43
-------- -------- -------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ 1.28%/(g)/ (5.57)% (2.46)% 6.65% 12.23%
-------- -------- -------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.72% 0.64% 0.58% 0.55% 0.57%
Ratio of expenses to average net assets/(e)/.................... 0.72% 0.64% 0.58% 0.55% 0.57%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 2.36% 2.71% 3.10% 2.98% 2.81%
Ratio of net investment income (loss) to average net assets/(e)/ 2.36% - - - -
Portfolio turnover rate......................................... 112% 71% 112% 162% 160%
Number of shares outstanding at end of period (000's)........... 14,704 15,944 16,388 16,135 17,222
Net assets at end of period (000's)............................. $164,757 $180,925 $208,369 $ 236,804 $ 248,473
Blue Chip Growth Fund
------------------------------------------------
Year Ended Year Ended
Six Months Ended May 31, May 31,
November 30, 2003/(h)/ 2003 2002
--------------------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 6.79 $ 7.26 $ 8.57
--------------------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. -/(f)/ (0.01)/(f)/ (0.01)
Net realized and unrealized gain (loss) on securities and 0.68 (0.46) (1.29)
foreign currency related transactions....................... --------------------- ---------- ----------
Total income (loss) from investment operations............... 0.68 (0.47) (1.30)
--------------------- ---------- ----------
Distributions from:
Investment income............................................ - - (0.01)
Realized gain on securities.................................. - - -
--------------------- ---------- ----------
Total distributions.......................................... - - (0.01)
--------------------- ---------- ----------
Net asset value at end of period................................ $ 7.47 $ 6.79 $ 7.26
--------------------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ 10.01% (6.47)% (15.22)%
--------------------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 1.08%/(b)/ 1.24% 1.15%
Ratio of expenses to average net assets/(e)/.................... 1.08%/(b)/ 1.24% 1.15%
Ratio of expense reductions to average net assets............... 0.01% 0.03% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.03%/(b)/ (0.19)% (0.17)%
Ratio of net investment income (loss) to average net assets/(e)/ 0.03%/(b)/ (0.19)% -
Portfolio turnover rate......................................... 14% 44% 39%
Number of shares outstanding at end of period (000's)........... 4,646 3,495 2,763
Net assets at end of period (000's)............................. $34,727 $23,728 $20,063
Blue Chip Growth Fund
---------------------
November 1, 2000*
to
May 31, 2001
---------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.00
---------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.02
Net realized and unrealized gain (loss) on securities and (1.43)
foreign currency related transactions....................... ---------------------
Total income (loss) from investment operations............... (1.41)
---------------------
Distributions from:
Investment income............................................ (0.02)
Realized gain on securities.................................. -
---------------------
Total distributions.......................................... (0.02)
---------------------
Net asset value at end of period................................ $ 8.57
---------------------
TOTAL RETURN/(a)(c)/............................................ (14.14)%
---------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.88%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.88%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.31%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ -
Portfolio turnover rate......................................... 70%
Number of shares outstanding at end of period (000's)........... 1,702
Net assets at end of period (000's)............................. $14,592
* Date Fund commenced operations.
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/The Fund's performance figure was increased by less than 0.01% from gains
on the disposal of investments in violation of investment restrictions.
/(h)/Unaudited.
- --------------------------------------------------------------------------------
124
FINANCIAL HIGHLIGHTS - CONTINUED
Capital Conservation Fund
--------------------------------------------------------------
Year Ended May 31,
Six Months Ended ---------------------------------------
November 30, 2003/(g)/ 2003 2002 2001 2000
--------------------- ------- ------- ------- -------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.04 $ 9.38 $ 9.34 $ 8.78 $ 9.39
--------------------- ------- ------- ------- -------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.13/(f)/ 0.36/(f)/ 0.52 0.58 0.62
Net realized and unrealized gain (loss) on securities and (0.25) 0.68 0.04 0.56 (0.61)
foreign currency related transactions....................... --------------------- ------- ------- ------- -------
Total income (loss) from investment operations............... (0.12) 1.04 0.56 1.14 0.01
--------------------- ------- ------- ------- -------
Distributions from:
Investment income............................................ (0.15) (0.38) (0.52) (0.58) (0.62)
Realized gain on securities.................................. - - - - -
--------------------- ------- ------- ------- -------
Total distributions.......................................... (0.15) (0.38) (0.52) (0.58) (0.62)
--------------------- ------- ------- ------- -------
Net asset value at end of period................................ $ 9.77 $ 10.04 $ 9.38 $ 9.34 $ 8.78
--------------------- ------- ------- ------- -------
TOTAL RETURN/(a)(c)/............................................ (1.23)% 11.31% 6.12% 13.35% 0.13%
--------------------- ------- ------- ------- -------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.66%/(b)/ 0.70% 0.65% 0.58% 0.55%
Ratio of expenses to average net assets/(e)/.................... 0.66%/(b)/ 0.70% 0.65% 0.58% 0.55%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 2.56%/(b)/ 3.77% 5.50% 6.35% 6.73%
Ratio of net investment income (loss) to average net assets/(e)/ 2.56%/(b)/ 3.77% - - -
Portfolio turnover rate......................................... 88% 218% 132% 418% 144%
Number of shares outstanding at end of period (000's)........... 8,288 8,954 7,440 6,058 5,756
Net assets at end of period (000's)............................. $80,956 $89,866 $69,785 $56,560 $50,525
Capital Conservation Fund
-------------------------
Year Ended May 31,
-------------------------
1999
-------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 9.68
-------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.60
Net realized and unrealized gain (loss) on securities and (0.29)
foreign currency related transactions....................... -------
Total income (loss) from investment operations............... 0.31
-------
Distributions from:
Investment income............................................ (0.60)
Realized gain on securities.................................. -
-------
Total distributions.......................................... (0.60)
-------
Net asset value at end of period................................ $ 9.39
-------
TOTAL RETURN/(a)(c)/............................................ 3.25%
-------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.60%
Ratio of expenses to average net assets/(e)/.................... 0.60%
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 6.24%
Ratio of net investment income (loss) to average net assets/(e)/ -
Portfolio turnover rate......................................... 41%
Number of shares outstanding at end of period (000's)........... 6,720
Net assets at end of period (000's)............................. $63,131
Core Equity Fund
----------------------
Six Months Ended
November 30, 2003/(g)/
---------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.12
---------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.05/(f)/
Net realized and unrealized gain (loss) on securities and 0.92
foreign currency related transactions....................... ---------------------
Total income (loss) from investment operations............... 0.97
---------------------
Distributions from:
Investment income............................................ (0.05)
Realized gain on securities.................................. -
---------------------
Total distributions.......................................... (0.05)
---------------------
Net asset value at end of period................................ $ 11.04
---------------------
TOTAL RETURN/(a)(c)/............................................ 9.63%
---------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.85%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.95%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.99%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 0.89%/(b)/
Portfolio turnover rate......................................... 13%
Number of shares outstanding at end of period (000's)........... 53,860
Net assets at end of period (000's)............................. $594,498
Core Equity Fund
----------------------------------------------------------
Year Ended May 31,
----------------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 11.10 $ 13.36 $ 23.31 $ 24.12 $ 22.08
-------- -------- -------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.11/(f)/ 0.07 0.04 - (0.08)
Net realized and unrealized gain (loss) on securities and (0.98) (2.26) (2.54) 0.20 3.13
foreign currency related transactions....................... -------- -------- -------- ---------- ----------
Total income (loss) from investment operations............... (0.87) (2.19) (2.50) 0.20 3.05
-------- -------- -------- ---------- ----------
Distributions from:
Investment income............................................ (0.11) (0.07) (0.04) - -
Realized gain on securities.................................. - - (7.41) (1,01) (1.01)
-------- -------- -------- ---------- ----------
Total distributions.......................................... (0.11) (0.07) (7.45) (1.01) (1.01)
-------- -------- -------- ---------- ----------
Net asset value at end of period................................ $ 10.12 $ 11.10 $ 13.36 $ 23.31 $ 24.12
-------- -------- -------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ (7.79)% (16.43)% (11.62)% 0.96% 14.20%
-------- -------- -------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.85% 0.84% 0.86% 0.85% 0.86%
Ratio of expenses to average net assets/(e)/.................... 0.97% 0.93% 0.88% 0.85% 0.86%
Ratio of expense reductions to average net assets............... 0.05% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.08% 0.55% 0.24% 0.02% (0.36)%
Ratio of net investment income (loss) to average net assets/(e)/ 0.96% - - - -
Portfolio turnover rate......................................... 25% 64% 71% 134% 42%
Number of shares outstanding at end of period (000's)........... 55,358 61,675 68,430 48,685 52,690
Net assets at end of period (000's)............................. $560,038 $684,642 $913,980 $1,135,083 $1,271,034
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/Unaudited.
- --------------------------------------------------------------------------------
125
FINANCIAL HIGHLIGHTS - CONTINUED
Government Securities Fund
--------------------------
Six Months Ended
November 30, 2003/(g)/
--------------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 11.24
--------------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.15/(f)/
Net realized and unrealized gain (loss) on securities and (0.53)
foreign currency related transactions....................... --------------------------
Total income (loss) from investment operations............... (0.38)
--------------------------
Distributions from:
Investment income............................................ (0.16)
Realized gain on securities.................................. -
--------------------------
Total distributions.......................................... (0.16)
--------------------------
Net asset value at end of period................................ $ 10.70
--------------------------
TOTAL RETURN/(a)(c)/............................................ (3.41)%
--------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.63%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.63%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 2.76%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 2.76%/(b)/
Portfolio turnover rate......................................... 82%
Number of shares outstanding at end of period (000's)........... 15,256
Net assets at end of period (000's)............................. $163,208
Government Securities Fund
----------------------------------------------------
Year Ended May 31,
----------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- -------- --------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.37 $ 10.07 $ 9.51 $ 9.90 $ 10.09
-------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.38/(f)/ 0.51 0.58 0.55 0.55
Net realized and unrealized gain (loss) on securities and 0.95 0.30 0.56 (0.39) (0.19)
foreign currency related transactions....................... -------- -------- -------- -------- --------
Total income (loss) from investment operations............... 1.33 0.81 1.14 0.16 0.36
-------- -------- -------- -------- --------
Distributions from:
Investment income............................................ (0.39) (0.51) (0.58) (0.55) (0.55)
Realized gain on securities.................................. (0.07) - - - -
-------- -------- -------- -------- --------
Total distributions.......................................... (0.46) (0.51) (0.58) (0.55) (0.55)
-------- -------- -------- -------- --------
Net asset value at end of period................................ $ 11.24 $ 10.37 $ 10.07 $ 9.51 $ 9.90
-------- -------- -------- -------- --------
TOTAL RETURN/(a)(c)/............................................ 12.99% 8.17% 12.23% 1.74% 3.58%
-------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.66% 0.63% 0.58% 0.55% 0.59%
Ratio of expenses to average net assets/(e)/.................... 0.66% 0.63% 0.58% 0.55% 0.59%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 3.54% 4.89% 5.83% 5.68% 5.46%
Ratio of net investment income (loss) to average net assets/(e)/ 3.54% - - - -
Portfolio turnover rate......................................... 201% 89% 84% 132% 39%
Number of shares outstanding at end of period (000's)........... 17,836 12,993 11,873 10,581 10,853
Net assets at end of period (000's)............................. $200,412 $134,726 $119,514 $100,648 $107,425
Growth & Income Fund
----------------------
Six Months Ended
November 30, 2003/(g)/
---------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 11.32
---------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.04/(f)/
Net realized and unrealized gain (loss) on securities and 1.19
foreign currency related transactions....................... ---------------------
Total income (loss) from investment operations............... 1.23
---------------------
Distributions from:
Investment income............................................ (0.04)
Realized gain on securities.................................. -
---------------------
Total distributions.......................................... (0.04)
---------------------
Net asset value at end of period................................ $ 12.51
---------------------
TOTAL RETURN/(a)(c)/............................................ 10.85%
---------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.85%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.89%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.61%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 0.57%/(b)/
Portfolio turnover rate......................................... 78%
Number of shares outstanding at end of period (000's)........... 15,466
Net assets at end of period (000's)............................. $193,530
Growth & Income Fund
------------------------------------------------------
Year Ended May 31,
------------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- -------- --------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 12.87 $ 14.84 $ 21.04 $ 21.53 $ 19.91
-------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.09/(f)/ 0.08 0.11 0.15 0.06
Net realized and unrealized gain (loss) on securities and (1.55) (1.75) (2.39) 1.96 3.17
foreign currency related transactions....................... -------- -------- -------- -------- --------
Total income (loss) from investment operations............... (1.46) (1.67) (2.28) 2.11 3.23
-------- -------- -------- -------- --------
Distributions from:
Investment income............................................ (0.09) (0.09) (0.11) (0.14) (0.08)
Realized gain on securities.................................. - (0.21) (3.81) (2.46) (1.53)
-------- -------- -------- -------- --------
Total distributions.......................................... (0.09) (0.30) (3.92) (2.60) (1.61)
-------- -------- -------- -------- --------
Net asset value at end of period................................ $ 11.32 $ 12.87 $ 14.84 $ 21.04 $ 21.53
-------- -------- -------- -------- --------
TOTAL RETURN/(a)(c)/............................................ (11.31)% (11.36)% (10.91)% 9.67% 16.92%
-------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.85% 0.85% 0.82% 0.80% 0.82%
Ratio of expenses to average net assets/(e)/.................... 0.91% 0.87% 0.83% 0.80% 0.82%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.82% 0.59% 0.62% 0.70% 0.29%
Ratio of net investment income (loss) to average net assets/(e)/ 0.76% - - - -
Portfolio turnover rate......................................... 97% 110% 65% 89% 102%
Number of shares outstanding at end of period (000's)........... 15,402 17,145 18,026 15,665 13,790
Net assets at end of period (000's)............................. $174,359 $220,745 $267,487 $329,588 $296,885
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/Unaudited.
- --------------------------------------------------------------------------------
126
FINANCIAL HIGHLIGHTS - CONTINUED
Growth Fund
------------------------------------------------
Year Ended Year Ended
Six Months Ended May 31, May 31,
November 30, 2003/(h)/ 2003 2002
--------------------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 4.21 $ 4.70 $ 6.46
--------------------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. (0.03)/(f)/ (0.06)/(f)/ (0.05)
Net realized and unrealized gain (loss) on securities and 0.48 (0.43) (1.71)
foreign currency related transactions....................... --------------------- ---------- ----------
Total income (loss) from investment operations............... 0.45 (0.49) (1.76)
--------------------- ---------- ----------
Distributions from:
Investment income............................................ - - -
Realized gain on securities.................................. - - -
--------------------- ---------- ----------
Total distributions.......................................... - - -
--------------------- ---------- ----------
Net asset value at end of period................................ $ 4.66 $ 4.21 $ 4.70
--------------------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ 10.69% (10.43)% (27.24)%
--------------------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 2.33%/(b)/ 2.67% 1.88%
Ratio of expenses to average net assets/(e)/.................... 2.33%/(b)/ 2.67% 1.88%
Ratio of expense reductions to average net assets............... 0.02% 0.05% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ (1.32)%/(b)/ (1.46)% (1.05)%
Ratio of net investment income (loss) to average net assets/(e)/ (1.32)%/(b)/ (1.46)% -
Portfolio turnover rate......................................... 55% 76% 72%
Number of shares outstanding at end of period (000's)........... 1,026 941 837
Net assets at end of period (000's)............................. $4,778 $ 3,962 $ 3,930
Growth Fund
----------------
October 2, 2000*
to
May 31, 2001
----------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.00
----------------
Income (loss) from investment operations:
Net investment income (loss)................................. (0.01)
Net realized and unrealized gain (loss) on securities and (3.52)
foreign currency related transactions....................... ----------------
Total income (loss) from investment operations............... (3.53)
----------------
Distributions from:
Investment income............................................ (0.01)
Realized gain on securities.................................. -
----------------
Total distributions.......................................... (0.01)
----------------
Net asset value at end of period................................ $ 6.46
----------------
TOTAL RETURN/(a)(c)/............................................ (35.40)%
----------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 1.02%/(b)/
Ratio of expenses to average net assets/(e)/.................... 1.02%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ (0.27)%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ -
Portfolio turnover rate......................................... 51%
Number of shares outstanding at end of period (000's)........... 611
Net assets at end of period (000's)............................. $ 3,945
Health Sciences Fund
------------------------------------------------
Year Ended Year Ended
Six Months Ended May 31, May 31,
November 30, 2003/(h)/ 2003 2002
--------------------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 7.98 $ 7.76 $ 8.93
--------------------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. (0.03)/(f)/ (0.05)/(f)/ (0.04)
Net realized and unrealized gain (loss) on securities and 0.80 0.27 (1.13)
foreign currency related transactions....................... --------------------- ---------- ----------
Total income (loss) from investment operations............... 0.77 0.22 (1.17)
--------------------- ---------- ----------
Distributions from:
Investment income............................................ - - -
Realized gain on securities.................................. - - -
--------------------- ---------- ----------
Total distributions.......................................... - - -
--------------------- ---------- ----------
Net asset value at end of period................................ $ 8.75 $ 7.98 $ 7.76
--------------------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ 9.65% 2.84%/(g)/ (13.10)%
--------------------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 1.15%/(b)/ 1.24% 1.22%
Ratio of expenses to average net assets/(e)/.................... 1.15%/(b)/ 1.24% 1.22%
Ratio of expense reductions to average net assets............... 0.02% 0.03% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ (0.75)%/(b)/ (0.75)% (0.65)%
Ratio of net investment income (loss) to average net assets/(e)/ (0.75)%/(b)/ (0.75)% -
Portfolio turnover rate......................................... 20% 48% 70%
Number of shares outstanding at end of period (000's)........... 12,446 9,732 7,029
Net assets at end of period (000's)............................. $108,902 $77,673 $54,514
Health Sciences Fund
--------------------
November 1, 2000*
to
May 31, 2001
--------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.00
--------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.01
Net realized and unrealized gain (loss) on securities and (1.07)
foreign currency related transactions....................... --------------------
Total income (loss) from investment operations............... (1.06)
--------------------
Distributions from:
Investment income............................................ (0.01)
Realized gain on securities.................................. -
--------------------
Total distributions.......................................... (0.01)
--------------------
Net asset value at end of period................................ $ 8.93
--------------------
TOTAL RETURN/(a)(c)/............................................ (10.60)%
--------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 1.08%/(b)/
Ratio of expenses to average net assets/(e)/.................... 1.08%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ (0.03)%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ -
Portfolio turnover rate......................................... 158%
Number of shares outstanding at end of period (000's)........... 2,684
Net assets at end of period (000's)............................. $23,965
* Date Fund commenced operations.
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/The Fund's performance figure was increased by less than 0.01% from gains
on the disposal of investments in violation of investment restrictions.
/(h)/Unaudited.
- --------------------------------------------------------------------------------
127
FINANCIAL HIGHLIGHTS - CONTINUED
Income & Growth Fund
-------------------------------------------------
Year Ended Year Ended
Six Months Ended May 31, May 31,
November 30, 2003/(g)/ 2003 2002
--------------------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 7.73 $ 8.51 $ 9.61
--------------------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.06/(f)/ 0.11/(f)/ 0.08
Net realized and unrealized gain (loss) on securities and 0.82 (0.79) (1.10)
foreign currency related transactions....................... --------------------- ---------- ----------
Total income (loss) from investment operations............... 0.88 (0.68) (1.02)
--------------------- ---------- ----------
Distributions from:
Investment income............................................ (0.07) (0.10) (0.08)
Realized gain on securities.................................. - - -
--------------------- ---------- ----------
Total distributions.......................................... (0.07) (0.10) (0.08)
--------------------- ---------- ----------
Net asset value at end of period................................ $ 8.54 $ 7.73 $ 8.51
--------------------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ 11.38% (7.87)% (10.58)%
--------------------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.83%/(b)/ 0.83% 0.83%
Ratio of expenses to average net assets/(e)/.................... 0.90%/(b)/ 0.93% 0.93%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.55%/(b)/ 1.47% 0.91%
Ratio of net investment income (loss) to average net assets/(e)/ 1.48%/(b)/ 1.37% -
Portfolio turnover rate......................................... 36% 64% 65%
Number of shares outstanding at end of period (000's)........... 26,163 26,008 27,664
Net assets at end of period (000's)............................. $223,399 $200,919 $235,508
Income & Growth Fund
--------------------
December 11, 2000*
to
May 31, 2001
--------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.00
--------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.04
Net realized and unrealized gain (loss) on securities and (0.40)
foreign currency related transactions....................... --------------------
Total income (loss) from investment operations............... (0.36)
--------------------
Distributions from:
Investment income............................................ (0.03)
Realized gain on securities.................................. -
--------------------
Total distributions.......................................... (0.03)
--------------------
Net asset value at end of period................................ $ 9.61
--------------------
TOTAL RETURN/(a)(c)/............................................ (3.60)%
--------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.83%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.87%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.79%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ -
Portfolio turnover rate......................................... 72%
Number of shares outstanding at end of period (000's)........... 27,197
Net assets at end of period (000's)............................. $261,303
International Equities Fund
---------------------------
Six Months Ended
November 30, 2003/(g)/
---------------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 5.50
---------------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.04/(f)/
Net realized and unrealized gain (loss) on securities and 0.85
foreign currency related transactions....................... ---------------------------
Total income (loss) from investment operations............... 0.89
---------------------------
Distributions from:
Investment income............................................ (0.03)
Realized gain on securities.................................. -
---------------------------
Total distributions.......................................... (0.03)
---------------------------
Net asset value at end of period................................ $ 6.36
---------------------------
TOTAL RETURN/(a)(c)/............................................ 16.28%
---------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.62%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.62%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.23%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 1.23%/(b)/
Portfolio turnover rate......................................... 8%
Number of shares outstanding at end of period (000's)........... 18,849
Net assets at end of period (000's)............................. $119,888
International Equities Fund
------------------------------------------------------
Year Ended May 31,
------------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- -------- --------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 6.67 $ 8.78 $ 12.55 $ 11.32 $ 11.95
-------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.09/(f)/ 0.09 0.12 0.15 0.22
Net realized and unrealized gain (loss) on securities and (1.20) (1.07) (2.46) 1.90 0.30
foreign currency related transactions....................... -------- -------- -------- -------- --------
Total income (loss) from investment operations............... (1.11) (0.98) (2.34) 2.05 0.52
-------- -------- -------- -------- --------
Distributions from:
Investment income............................................ (0.06) (0.16) (0.09) (0.14) (0.25)
Realized gain on securities.................................. - (0.97) (1.34) (0.68) (0.90)
-------- -------- -------- -------- --------
Total distributions.......................................... (0.06) (1.13) (1.43) (0.82) (1.15)
-------- -------- -------- -------- --------
Net asset value at end of period................................ $ 5.50 $ 6.67 $ 8.78 $ 12.55 $ 11.32
-------- -------- -------- -------- --------
TOTAL RETURN/(a)(c)/............................................ (16.64)% (10.66)% (19.59)% 18.01% 4.43%
-------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.68% 0.78% 0.42% 0.41% 0.43%
Ratio of expenses to average net assets/(e)/.................... 0.68% 0.78% 0.42% 0.41% 0.43%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.71% 1.16% 1.08% 1.20% 1.89%
Ratio of net investment income (loss) to average net assets/(e)/ 1.71% - - - -
Portfolio turnover rate......................................... 0% 45% 45% 25% 8%
Number of shares outstanding at end of period (000's)........... 16,491 15,226 13,501 12,980 12,559
Net assets at end of period (000's)............................. $ 90,680 $101,562 $118,524 $162,840 $142,108
* Date Fund commenced operations.
/(a)/ The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/ Annualized.
/(c)/ Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/ Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/ Excludes, if any, expense reimbursements and expense reductions.
/(f)/ The per share amounts are calculated using the average share method.
/(g) /Unaudited.
- --------------------------------------------------------------------------------
128
FINANCIAL HIGHLIGHTS - CONTINUED
International Government Bond Fund
---------------------------------------------------------------------------
Year Ended May 31,
Six Months Ended -----------------------------------------------------
November 30, 2003/(g)/ 2003 2002 2001 2000 1999
--------------------- -------- -------- ------- -------- --------
PER SHARE DATA
Net asset value at beginning of period............. $ 13.83 $ 11.04 $ 10.10 $ 10.88 $ 11.62 $ 11.42
--------------------- -------- -------- ------- -------- --------
Income (loss) from investment operations:
Net investment income (loss).................... 0.28/(f)/ 0.05/(f)/ 0.54 0.43 0.48 0.51
Net realized and unrealized gain (loss)
on securities and foreign currency related (0.05) 2.81 0.49 (0.91) (0.98) 0.24
transactions................................... --------------------- -------- -------- ------- -------- --------
Total income (loss) from investment operations.. 0.23 2.86 1.03 (0.48) (0.50) 0.75
--------------------- -------- -------- ------- -------- --------
Distributions from:
Investment income............................... - - - (0.26) (0.23) (0.48)
Realized gain on securities..................... - (0.07) (0.09) (0.04) (0.01) (0.07)
--------------------- -------- -------- ------- -------- --------
Total distributions............................. - (0.07) (0.09) (0.30) (0.24) (0.55)
--------------------- -------- -------- ------- -------- --------
Net asset value at end of period................... $ 14.06 $ 13.83 $ 11.04 $ 10.10 $ 10.88 $ 11.62
--------------------- -------- -------- ------- -------- --------
TOTAL RETURN/(a)(c)/............................... 1.66% 25.96% 10.23% (4.47)% (4.43)% 6.40%
--------------------- -------- -------- ------- -------- --------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/....... 0.71%/(b)/ 0.77% 0.73% 0.58% 0.52% 0.57%
Ratio of expenses to average net assets/(e)/....... 0.71%/(b)/ 0.77% 0.73% 0.58% 0.52% 0.57%
Ratio of expense reductions to average net assets.. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to
average net assets/(d)/........................... 4.12%/(b)/ 4.81% 5.71% 3.82% 4.07% 4.27%
Ratio of net investment income (loss) to
average net assets/(e)/........................... 4.12%/(b)/ 4.81% - - - -
Portfolio turnover rate............................ 62% 70% 110% 72% 15% 22%
Number of shares outstanding at end of period
(000's)........................................... 10,425 11,386 9,242 9,898 12,044 13,647
Net assets at end of period (000's)................ $146,556 $157,478 $102,053 $99,977 $130,978 $158,509
International Growth I Fund
--------------------------------------------------------------
Year Ended Year Ended December 11, 2000*
Six Months Ended May 31, May 31, to
November 30, 2003/(g)/ 2003 2002 May 31, 2001
--------------------- ---------- ---------- ------------------
PER SHARE DATA
Net asset value at beginning of period............. $ 6.07 $ 7.25 $ 8.31 $ 10.00
--------------------- ---------- ---------- ------------------
Income (loss) from investment operations:
Net investment income (loss).................... 0.02/(f)/ 0.08/(f)/ 0.05 0.05
Net realized and unrealized gain (loss)
on securities and foreign currency related 0.84 (1.15) (1.09) (1.70)
transactions................................... --------------------- ---------- ---------- ------------------
Total income (loss) from investment operations.. 0.86 (1.07) (1.04) (1.65)
--------------------- ---------- ---------- ------------------
Distributions from:
Investment income............................... (0.03) (0.11) (0.02) (0.04)
Realized gain on securities..................... - - - -
--------------------- ---------- ---------- ------------------
Total distributions............................. (0.03) (0.11) (0.02) (0.04)
--------------------- ---------- ---------- ------------------
Net asset value at end of period................... $ 6.90 $ 6.07 $ 7.25 $ 8.31
--------------------- ---------- ---------- ------------------
TOTAL RETURN/(a)(c)/............................... 14.12% (14.76)% (12.56)% (3.60)%
--------------------- ---------- ---------- ------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/....... 1.06%/(b)/ 1.06% 1.06% 1.06%/(b)/
Ratio of expenses to average net assets/(e)/....... 1.28%/(b)/ 1.36% 1.33% 1.10%/(b)/
Ratio of expense reductions to average net assets.. 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to
average net assets/(d)/........................... 0.62%/(b)/ 1.25% 0.67% 0.99%/(b)/
Ratio of net investment income (loss) to
average net assets/(e)/........................... 0.40%/(b)/ 0.95% - -
Portfolio turnover rate............................ 85% 192% 205% 183%
Number of shares outstanding at end of period
(000's)........................................... 55,972 56,825 60,441 64,151
Net assets at end of period (000's)................ $386,036 $345,213 $438,474 $533,368
* Date Fund commenced operations.
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/Unaudited.
- --------------------------------------------------------------------------------
129
FINANCIAL HIGHLIGHTS - CONTINUED
Large Cap Growth Fund
--------------------------------------------------
Year Ended Year Ended
Six Months Ended May 31, May 31,
November 30, 2003/(g)/ 2003 2002
--------------------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 5.45 $ 6.20 $ 7.43
--------------------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. -/(f)/ - /(f)/ (0.01)
Net realized and unrealized gain (loss) on securities and 0.64 (0.75) (1.22)
foreign currency related transactions....................... --------------------- ---------- ----------
Total income (loss) from investment operations............... 0.64 (0.75) (1.23)
--------------------- ---------- ----------
Distributions from:
Investment income............................................ - - -
Realized gain on securities.................................. - - -
--------------------- ---------- ----------
Total distributions.......................................... - - -
--------------------- ---------- ----------
Net asset value at end of period................................ $ 6.09 $ 5.45 $ 6.20
--------------------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ 11.74% (12.04)% (16.55)%
--------------------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 1.06%/(b)/ 1.06% 1.05%
Ratio of expenses to average net assets/(e)/.................... 1.08%/(b)/ 1.10% 1.15%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.00%/(b)/ 0.05% (0.13)%
Ratio of net investment income (loss) to average net assets/(e)/ (0.02)%/(b)/ 0.01% -
Portfolio turnover rate......................................... 67% 86% 150%
Number of shares outstanding at end of period (000's)........... 77,137 78,170 83,752
Net assets at end of period (000's)............................. $469,527 $426,061 $519,129
Large Cap Growth Fund
---------------------
December 11, 2000*
to
May 31, 2001
---------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.00
---------------------
Income (loss) from investment operations:
Net investment income (loss)................................. (0.01)
Net realized and unrealized gain (loss) on securities and (2.56)
foreign currency related transactions....................... ---------------------
Total income (loss) from investment operations............... (2.57)
---------------------
Distributions from:
Investment income............................................ -
Realized gain on securities.................................. -
---------------------
Total distributions.......................................... -
---------------------
Net asset value at end of period................................ $ 7.43
---------------------
TOTAL RETURN/(a)(c)/............................................ (25.70)%
---------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 1.06%/(b)/
Ratio of expenses to average net assets/(e)/.................... 1.10%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ (0.27)%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ -
Portfolio turnover rate......................................... 94%
Number of shares outstanding at end of period (000's)........... 84,055
Net assets at end of period (000's)............................. $624,700
Mid Cap Index Fund
---------------------------------------------------------------
Year Ended May 31,
Six Months Ended ----------------------------------------
November 30, 2003/(g)/ 2003 2002 2001
--------------------- ---------- ----------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 15.62 $ 18.01 $ 19.82 $ 23.73
--------------------- ---------- ----------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.06/(f)/ 0.11/(f)/ 0.13 0.19
Net realized and unrealized gain (loss) on securities and 3.04 (1.88) 0.16 1.74
foreign currency related transactions....................... --------------------- ---------- ----------- ----------
Total income (loss) from investment operations............... 3.10 (1.77) 0.29 1.93
--------------------- ---------- ----------- ----------
Distributions from:
Investment income............................................ (0.06) (0.10) (0.14) (0.19)
Realized gain on securities.................................. - (0.52) (1.96) (5.65)
--------------------- ---------- ----------- ----------
Total distributions.......................................... (0.06) (0.62) (2.10) (5.84)
--------------------- ---------- ----------- ----------
Net asset value at end of period................................ $ 18.66 $ 15.62 $ 18.01 $ 19.82
--------------------- ---------- ----------- ----------
TOTAL RETURN/(a)(c)/............................................ 19.87% (9.50)% 2.03% 10.11%
--------------------- ---------- ----------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.40%/(b)/ 0.45% 0.41% 0.38%
Ratio of expenses to average net assets/(e)/.................... 0.40%/(b)/ 0.45% 0.41% 0.38%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.77%/(b)/ 0.77% 0.74% 0.84%
Ratio of net investment income (loss) to average net assets/(e)/ 0.77%/(b)/ 0.77% - -
Portfolio turnover rate......................................... 4% 10% 17% 34%
Number of shares outstanding at end of period (000's)........... 75,568 70,135 64,086 52,860
Net assets at end of period (000's)............................. $1,410,389 $1,095,294 $1,154,008 $1,047,680
Mid Cap Index Fund
-------------------
Year Ended May 31,
--------------------
2000 1999
-------- ---------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 25.64 $ 25.27
-------- ---------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.22 0.23
Net realized and unrealized gain (loss) on securities and 4.49 2.54
foreign currency related transactions....................... -------- ---------
Total income (loss) from investment operations............... 4.71 2.77
-------- ---------
Distributions from:
Investment income............................................ (0.22) (0.23)
Realized gain on securities.................................. (6.40) (2.17)
-------- ---------
Total distributions.......................................... (6.62) (2.40)
-------- ---------
Net asset value at end of period................................ $ 23.73 $ 25.64
-------- ---------
TOTAL RETURN/(a)(c)/............................................ 21.36% 11.91%
-------- ---------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.36% 0.38%
Ratio of expenses to average net assets/(e)/.................... 0.36% 0.38%
Ratio of expense reductions to average net assets............... 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.90% 0.92%
Ratio of net investment income (loss) to average net assets/(e)/ - -
Portfolio turnover rate......................................... 41% 41%
Number of shares outstanding at end of period (000's)........... 38,889 31,886
Net assets at end of period (000's)............................. $922,679 $817,573
* Date Fund commenced operations.
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/Unaudited.
- --------------------------------------------------------------------------------
130
FINANCIAL HIGHLIGHTS - CONTINUED
Money Market I Fund
----------------------
Six Months Ended
November 30, 2003/(g)/
----------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 1.00
----------------------
Income (loss) from investment operations:
Net investment income (loss)................................. -/(f)/
Net realized and unrealized gain (loss) on securities and -
foreign currency related transactions....................... ----------------------
Total income (loss) from investment operations............... -
----------------------
Distributions from:
Investment income............................................ -
Realized gain on securities.................................. -
----------------------
Total distributions.......................................... -
----------------------
Net asset value at end of period................................ $ 1.00
----------------------
TOTAL RETURN/(a)(c)/............................................ 0.26%
----------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.60%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.63%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.52%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 0.49%/(b)/
Portfolio turnover rate......................................... N/A
Number of shares outstanding at end of period (000's)........... 482,258
Net assets at end of period (000's)............................. $482,258
Money Market I Fund
----------------------------------------------------
Year Ended May 31,
----------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- -------- --------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.01/(f)/ 0.02 0.06 0.05 0.05
Net realized and unrealized gain (loss) on securities and - - - - -
foreign currency related transactions....................... -------- -------- -------- -------- --------
Total income (loss) from investment operations............... 0.01 0.02 0.06 0.05 0.05
-------- -------- -------- -------- --------
Distributions from:
Investment income............................................ (0.01) (0.02) (0.06) (0.05) (0.05)
Realized gain on securities.................................. - - - - -
-------- -------- -------- -------- --------
Total distributions.......................................... (0.01) (0.02) (0.06) (0.05) (0.05)
-------- -------- -------- -------- --------
Net asset value at end of period................................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
TOTAL RETURN/(a)(c)/............................................ 1.00% 2.14% 5.77% 5.21% 4.84%
-------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.59% 0.60% 0.57% 0.56% 0.57%
Ratio of expenses to average net assets/(e)/.................... 0.64% 0.62% 0.58% 0.56% 0.57%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.01% 2.07% 5.59% 5.13% 4.66%
Ratio of net investment income (loss) to average net assets/(e)/ 0.96% - - - -
Portfolio turnover rate......................................... N/A N/A N/A N/A N/A
Number of shares outstanding at end of period (000's)........... 524,446 734,135 579,507 484,934 347,394
Net assets at end of period (000's)............................. $524,446 $734,135 $579,507 $484,934 $347,394
Nasdaq-100(R) Index Fund
------------------------------------------------
Year Ended Year Ended
Six Months Ended May 31, May 31,
November 30, 2003/(g)/ 2003 2002
--------------------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 3.36 $ 3.40 $ 5.09
--------------------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. -/(f)/ (0.01)/(f)/ (0.01)
Net realized and unrealized gain (loss) on securities and 0.63 (0.03) (1.68)
foreign currency related transactions....................... --------------------- ---------- ----------
Total income (loss) from investment operations............... 0.63 (0.04) (1.69)
--------------------- ---------- ----------
Distributions from:
Investment income............................................ - - -
Realized gain on securities.................................. - - -
--------------------- ---------- ----------
Total distributions.......................................... - - -
--------------------- ---------- ----------
Net asset value at end of period................................ $ 3.99 $ 3.36 $ 3.40
--------------------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ 18.75% (1.18)% (33.20)%
--------------------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.60%/(b)/ 0.81% 0.77%
Ratio of expenses to average net assets/(e)/.................... 0.60%/(b)/ 0.81% 0.77%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ (0.23)%/(b)/ (0.48)% (0.36)%
Ratio of net investment income (loss) to average net assets/(e)/ (0.23)%/(b)/ (0.48)% -
Portfolio turnover rate......................................... 0% 6% 2%
Number of shares outstanding at end of period (000's)........... 23,270 15,570 7,786
Net assets at end of period (000's)............................. $92,932 $52,306 $26,449
Nasdaq-100(R) Index Fund
------------------------
October 2, 2000*
to
May 31, 2001
-----------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.00
-----------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.01
Net realized and unrealized gain (loss) on securities and (4.91)
foreign currency related transactions....................... -----------------------
Total income (loss) from investment operations............... (4.90)
-----------------------
Distributions from:
Investment income............................................ (0.01)
Realized gain on securities.................................. -
-----------------------
Total distributions.......................................... (0.01)
-----------------------
Net asset value at end of period................................ $ 5.09
-----------------------
TOTAL RETURN/(a)(c)/............................................ (49.01)%
-----------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.52%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.52%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.31%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ -
Portfolio turnover rate......................................... 19%
Number of shares outstanding at end of period (000's)........... 3,732
Net assets at end of period (000's)............................. $19,005
* Date Fund commenced operations.
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/Unaudited.
131
FINANCIAL HIGHLIGHTS - CONTINUED
Science & Technology Fund
-------------------------
Six Months Ended
November 30, 2003/(g)/
-------------------------
PER SHARE DATA
Net asset value at beginning of period............. $ 9.14
-------------------------
Income (loss) from investment operations:
Net investment income (loss).................... (0.03)/(f)/
Net realized and unrealized gain (loss)
on securities and foreign currency related 1.90
transactions................................... -------------------------
Total income (loss) from investment operations.. 1.87
-------------------------
Distributions from:
Investment income............................... -
Realized gain on securities..................... -
-------------------------
Total distributions............................. -
-------------------------
Net asset value at end of period................... $ 11.01
-------------------------
TOTAL RETURN/(a)(c)/............................... 20.46%
-------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/....... 1.00%/(b)/
Ratio of expenses to average net assets/(e)/....... 1.01%/(b)/
Ratio of expense reductions to average net assets.. 0.01%
Ratio of net investment income (loss) to
average net assets/(d)/........................... (0.62)%/(b)/
Ratio of net investment income (loss) to
average net assets/(e)/........................... (0.63)%/(b)/
Portfolio turnover rate............................ 23%
Number of shares outstanding at end of period
(000's)........................................... 132,166
Net assets at end of period (000's)................ $1,455,490
Science & Technology Fund
-------------------------------------------------------------------
Year Ended May 31,
------------------------------------------------------------------
2003 2002 2001 2000 1999
---------- ---------- ---------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period............. $ 9.56 $ 17.28 $ 41.14 $ 29.95 $ 22.07
---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss).................... (0.05)/(f)/ (0.07) (0.17) (0.11) (0.10)
Net realized and unrealized gain (loss)
on securities and foreign currency related (0.37) (6.86) (15.86) 16.37 10.36
transactions................................... ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment operations.. (0.42) (6.93) (16.03) 16.26 10.26
---------- ---------- ---------- ---------- ----------
Distributions from:
Investment income............................... - - - - -
Realized gain on securities..................... - (0.79) (7.83) (5.07) (2.38)
---------- ---------- ---------- ---------- ----------
Total distributions............................. - (0.79) (7.83) (5.07) (2.38)
---------- ---------- ---------- ---------- ----------
Net asset value at end of period................... $ 9.14 $ 9.56 $ 17.28 $ 41.14 $ 29.95
---------- ---------- ---------- ---------- ----------
TOTAL RETURN/(a)(c)/............................... (4.39)% (41.26)% (42.24)% 52.65% 48.34%
---------- ---------- ---------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/....... 1.00% 1.00% 0.98% 0.96% 0.96%
Ratio of expenses to average net assets/(e)/....... 1.04% 1.02% 0.98% 0.96% 0.96%
Ratio of expense reductions to average net assets.. 0.02% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to
average net assets/(d)/........................... (0.66)% (0.59)% (0.66)% (0.40)% (0.46)%
Ratio of net investment income (loss) to
average net assets/(e)/........................... (0.71)% - - - -
Portfolio turnover rate............................ 53% 104% 176% 130% 149%
Number of shares outstanding at end of period
(000's)........................................... 129,123 129,126 116,654 80,564 56,211
Net assets at end of period (000's)................ $1,180,380 $1,234,937 $2,015,574 $3,314,052 $1,683,585
Small Cap Fund
---------------------------------------------------------------
Year Ended Year Ended December 11, 2000*
Six Months Ended May 31, May 31, to
November 30, 2003/(g)/ 2003 2002 May 31, 2001
--------------------- ---------- ---------- ------------------
PER SHARE DATA
Net asset value at beginning of period............. $ 7.67 $ 8.75 $ 9.09 $ 10.00
--------------------- ---------- ---------- ------------------
Income (loss) from investment operations:
Net investment income (loss).................... (0.02)/(f)/ (0.02)/(f)/ (0.01) (0.01)
Net realized and unrealized gain (loss)
on securities and foreign currency related 1.72 (1.06) (0.33) (0.90)
transactions................................... --------------------- ---------- ---------- ------------------
Total income (loss) from investment operations.. 1.70 (1.08) (0.34) (0.91)
--------------------- ---------- ---------- ------------------
Distributions from:
Investment income............................... - - - -
Realized gain on securities..................... - - - -
--------------------- ---------- ---------- ------------------
Total distributions............................. - - - -
--------------------- ---------- ---------- ------------------
Net asset value at end of period................... $ 9.37 $ 7.67 $ 8.75 $ 9.09
--------------------- ---------- ---------- ------------------
TOTAL RETURN/(a)(c)/............................... 22.16% (12.34)% (3.74)% 11.51%
--------------------- ---------- ---------- ------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/....... 0.95%/(b)/ 0.95% 0.95% 0.95%/(b)/
Ratio of expenses to average net assets/(e)/....... 1.03%/(b)/ 1.06% 1.06% 1.00%/(b)/
Ratio of expense reductions to average net assets.. 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to
average net assets/(d)/........................... (0.37)%/(b)/ (0.29)% (0.15)% (0.14)%/(b)/
Ratio of net investment income (loss) to
average net assets/(e)/........................... (0.45)%/(b)/ (0.40)% - -
Portfolio turnover rate............................ 34% 74% 68% 130%
Number of shares outstanding at end of period
(000's)........................................... 68,831 69,895 75,125 78,572
Net assets at end of period (000's)................ $644,825 $535,870 $657,045 $714,608
* Date Fund commenced operations.
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/Unaudited.
- --------------------------------------------------------------------------------
132
FINANCIAL HIGHLIGHTS - CONTINUED
Small Cap Index Fund
----------------------
Six Months Ended
November 30, 2003/(g)/
---------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 10.86
---------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.05/(f)/
Net realized and unrealized gain (loss) on securities and 2.59
foreign currency related transactions....................... ---------------------
Total income (loss) from investment operations............... 2.64
---------------------
Distributions from:
Investment income............................................ (0.04)
Realized gain on securities.................................. -
---------------------
Total distributions.......................................... (0.04)
---------------------
Net asset value at end of period................................ $ 13.46
---------------------
TOTAL RETURN/(a)(c)/............................................ 24.30%
---------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.47%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.47%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.80%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 0.80%/(b)/
Portfolio turnover rate......................................... 17%
Number of shares outstanding at end of period (000's)........... 29,656
Net assets at end of period (000's)............................. $399,048
Small Cap Index Fund
-----------------------------------------------------
Year Ended May 31,
-----------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- -------- --------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 11.97 $ 14.11 $ 15.66 $ 15.84 $ 17.94
-------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.09/(f)/ 0.13 0.19 0.18 0.19
Net realized and unrealized gain (loss) on securities and (1.12) (0.32) 0.40 1.43 (0.74)
foreign currency related transactions....................... -------- -------- -------- -------- --------
Total income (loss) from investment operations............... (1.03) (0.19) 0.59 1.61 (0.55)
-------- -------- -------- -------- --------
Distributions from:
Investment income............................................ (0.08) (0.13) (0.19) (0.18) (0.19)
Realized gain on securities.................................. - (1.82) (1.95) (1.61) (1.36)
-------- -------- -------- -------- --------
Total distributions.......................................... (0.08) (1.95) (2.14) (1.79) (1.55)
-------- -------- -------- -------- --------
Net asset value at end of period................................ $ 10.86 $ 11.97 $ 14.11 $ 15.66 $ 15.84
-------- -------- -------- -------- --------
TOTAL RETURN/(a)(c)/............................................ (8.55)% (1.08)% 5.23% 10.22% (2.45)%
-------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.52% 0.48% 0.44% 0.40% 0.41%
Ratio of expenses to average net assets/(e)/.................... 0.52% 0.48% 0.44% 0.40% 0.41%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.93% 1.03% 1.31% 1.12% 1.20%
Ratio of net investment income (loss) to average net assets/(e)/ 0.93% - - - -
Portfolio turnover rate......................................... 35% 34% 57% 35% 36%
Number of shares outstanding at end of period (000's)........... 24,411 21,473 16,769 14,596 13,890
Net assets at end of period (000's)............................. $265,018 $257,046 $236,530 $228,602 $220,002
Social Awareness Fund
----------------------
Six Months Ended
November 30, 2003/(g)/
---------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 15.73
---------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.08/(f)/
Net realized and unrealized gain (loss) on securities and 1.53
foreign currency related transactions....................... ---------------------
Total income (loss) from investment operations............... 1.61
---------------------
Distributions from:
Investment income............................................ (0.08)
Realized gain on securities.................................. -
---------------------
Total distributions.......................................... (0.08)
---------------------
Net asset value at end of period................................ $ 17.26
---------------------
TOTAL RETURN/(a)(c)/............................................ 10.26%
---------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.63%/(b)/
Ratio of expenses to average net assets/(e)/.................... 0.63%/(b)/
Ratio of expense reductions to average net assets............... 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.01%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 1.01%/(b)/
Portfolio turnover rate......................................... 48%
Number of shares outstanding at end of period (000's)........... 22,183
Net assets at end of period (000's)............................. $382,844
Social Awareness Fund
------------------------------------------------------
Year Ended May 31,
------------------------------------------------------
2003 2002 2001 2000 1999
-------- -------- -------- -------- --------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 17.66 $ 21.01 $ 24.77 $ 24.11 $ 22.16
-------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.16/(f)/ 0.13 0.20 0.20 0.21
Net realized and unrealized gain (loss) on securities and (1.60) (2.76) (3.23) 1.61 4.08
foreign currency related transactions....................... -------- -------- -------- -------- --------
Total income (loss) from investment operations............... (1.44) (2.63) (3.03) 1.81 4.29
-------- -------- -------- -------- --------
Distributions from:
Investment income............................................ (0.15) (0.14) (0.20) (0.18) (0.22)
Realized gain on securities.................................. (0.34) (0.58) (0.53) (0.97) (2.12)
-------- -------- -------- -------- --------
Total distributions.......................................... (0.49) (0.72) (0.73) (1.15) (2.34)
-------- -------- -------- -------- --------
Net asset value at end of period................................ $ 15.73 $ 17.66 $ 21.01 $ 24.77 $ 24.11
-------- -------- -------- -------- --------
TOTAL RETURN/(a)(c)/............................................ (7.89)% (12.77)% (12.33)% 7.49% 20.05%
-------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.65% 0.61% 0.58% 0.55% 0.57%
Ratio of expenses to average net assets/(e)/.................... 0.65% 0.61% 0.58% 0.55% 0.57%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.05% 0.69% 0.85% 0.79% 0.93%
Ratio of net investment income (loss) to average net assets/(e)/ 1.05% - - - -
Portfolio turnover rate......................................... 58% 40% 29% 40% 49%
Number of shares outstanding at end of period (000's)........... 22,221 23,444 23,321 23,509 21,646
Net assets at end of period (000's)............................. $349,610 $414,108 $489,982 $582,403 $521,965
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/Unaudited.
133
FINANCIAL HIGHLIGHTS - CONTINUED
Stock Index Fund
----------------------------------------------------------------
Year Ended May 31,
Six Months Ended -----------------------------------------
November 30, 2003/(g)/ 2003 2002 2001
--------------------- ---------- ---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 26.51 $ 30.11 $ 36.89 $ 42.98
--------------------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.20/(f)/ 0.35/(f)/ 0.33 0.35
Net realized and unrealized gain (loss) on securities and 2.60 (2.97) (5.45) (4.99)
foreign currency related transactions....................... --------------------- ---------- ---------- ----------
Total income (loss) from investment operations............... 2.80 (2.62) (5.12) (4.64)
--------------------- ---------- ---------- ----------
Distributions from:
Investment income............................................ (0.19) (0.34) (0.34) (0.35)
Realized gain on securities.................................. - (0.64) (1.32) (1.10)
--------------------- ---------- ---------- ----------
Total distributions.......................................... (0.19) (0.98) (1.66) (1.45)
--------------------- ---------- ---------- ----------
Net asset value at end of period................................ $ 29.12 $ 26.51 $ 30.11 $ 36.89
--------------------- ---------- ---------- ----------
TOTAL RETURN/(a)(c)/............................................ 10.59% (8.44)% (14.16)% (10.87)%
--------------------- ---------- ---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.38%/(b)/ 0.40% 0.37% 0.34%
Ratio of expenses to average net assets/(e)/.................... 0.38%/(b)/ 0.40% 0.37% 0.34%
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.40%/(b)/ 1.39% 1.01% 0.86%
Ratio of net investment income (loss) to average net assets/(e)/ 1.40%/(b)/ 1.39% - -
Portfolio turnover rate......................................... 1% 6% 6% 7%
Number of shares outstanding at end of period (000's)........... 138,907 136,800 135,870 131,180
Net assets at end of period (000's)............................. $4,045,612 $3,627,137 $4,091,054 $4,839,632
Stock Index Fund
-----------------------
Year Ended May 31,
-----------------------
2000 1999
---------- ----------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 39.73 $ 33.38
---------- ----------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.41 0.40
Net realized and unrealized gain (loss) on securities and 3.59 6.51
foreign currency related transactions....................... ---------- ----------
Total income (loss) from investment operations............... 4.00 6.91
---------- ----------
Distributions from:
Investment income............................................ (0.39) (0.41)
Realized gain on securities.................................. (0.36) (0.15)
---------- ----------
Total distributions.......................................... (0.75) (0.56)
---------- ----------
Net asset value at end of period................................ $ 42.98 $ 39.73
---------- ----------
TOTAL RETURN/(a)(c)/............................................ 10.10% 20.85%
---------- ----------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 0.31% 0.32%
Ratio of expenses to average net assets/(e)/.................... 0.31% 0.32%
Ratio of expense reductions to average net assets............... 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 0.97% 1.13%
Ratio of net investment income (loss) to average net assets/(e)/ - -
Portfolio turnover rate......................................... 6% 2%
Number of shares outstanding at end of period (000's)........... 125,003 116,731
Net assets at end of period (000's)............................. $5,373,192 $4,637,628
Value Fund
-------------------------------------------------
December 31, 2001*
Six Months Ended Year Ended to
November 30, 2003/(g)/ May 31, 2003 May 31, 2002
--------------------- ------------ ------------------
PER SHARE DATA
Net asset value at beginning of period.......................... $ 8.62 $ 9.69 $ 10.00
--------------------- ------------ ------------------
Income (loss) from investment operations:
Net investment income (loss)................................. 0.04/(f)/ 0.07/(f)/ 0.02
Net realized and unrealized gain (loss) on securities and 0.77 (1.05) (0.31)
foreign currency related transactions....................... --------------------- ------------ ------------------
Total income (loss) from investment operations............... 0.81 (0.98) (0.29)
--------------------- ------------ ------------------
Distributions from:
Investment income............................................ (0.02) (0.06) (0.02)
Realized gain on securities.................................. - (0.03) -
--------------------- ------------ ------------------
Total distributions.......................................... (0.02) (0.09) (0.02)
--------------------- ------------ ------------------
Net asset value at end of period................................ $ 9.41 $ 8.62 $ 9.69
--------------------- ------------ ------------------
TOTAL RETURN/(a)(c)/............................................ 9.42% (10.01)% (2.89)%
--------------------- ------------ ------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets/(d)/.................... 1.33%/(b)/ 1.50% 1.46%/(b)/
Ratio of expenses to average net assets/(e)/.................... 1.33%/(b)/ 1.50% 1.46%/(b)/
Ratio of expense reductions to average net assets............... 0.00% 0.00% 0.00%
Ratio of net investment income (loss) to average net assets/(d)/ 1.00%/(b)/ 0.94% 0.52%/(b)/
Ratio of net investment income (loss) to average net assets/(e)/ 1.00%/(b)/ 0.94% -
Portfolio turnover rate......................................... 21% 40% 20%
Number of shares outstanding at end of period (000's)........... 1,374 1,291 1,121
Net assets at end of period (000's)............................. $12,921 $11,134 $10,855
*Date Fund commenced operations.
/(a)/The effect of fees and charges incurred at the separate account level are
not reflected in these performance figures.
/(b)/Annualized.
/(c)/Total return is not annualized. It does include, if any, expense
reimbursements and expense reductions.
/(d)/Includes, if any, expense reimbursement, but excludes, if any, expense
reductions.
/(e)/Excludes, if any, expense reimbursements and expense reductions.
/(f)/The per share amounts are calculated using the average share method.
/(g)/Unaudited.
- --------------------------------------------------------------------------------
134
DIRECTOR INFORMATION (Unaudited)
November 30, 2003
Term of Office and
Name, Birth Date Position Held With Length of Time
and Address* VALIC Complex Served (4) Principal Occupations During Past Five Years
- --------------------------------------------------------------------------------------------------------------------------------
Independent Directors
Dr. Judith L. Craven Director 1998- Retired Administrator. Formerly, President, United Way of
DOB: October 6, 1945 Present the Texas Gulf Coast, a not for profit organization
(1992-1998).
- --------------------------------------------------------------------------------------------------------------------------------
William F. Devin Director 2001- Member, Board of Governors, Boston Stock Exchange
DOB: December 30, 1938 Present (1985-Present). Formerly, Executive Vice President,
Fidelity Capital Markets, a division of National Financial
Services Corp. (1966-1996).
- --------------------------------------------------------------------------------------------------------------------------------
Dr. Timothy J. Ebner Director 1998- Professor and Head, Department of Neuroscience, and
DOB: July 15, 1949 Present Visscher Chair of Physiology, University of Minnesota
(1999-Present). Formerly, Director, Graduate Program in
Neuroscience, University of Minnesota (1995-1999);
Professor of Neurosurgery, University of Minnesota
(1980-1999); Consultant to EMPI Inc. (1994-1995); and
Medtronic Inc. (1997-1998).
- --------------------------------------------------------------------------------------------------------------------------------
Judge Gustavo E. Gonzales, Jr. Director 1998- Municipal Court Judge, Dallas, Texas (1995-Present).
DOB: July 27, 1940 Present
- --------------------------------------------------------------------------------------------------------------------------------
Dr. Norman Hackerman Director 1984- President Emeritus, Rice University, Houston, Texas
DOB: March 2, 1912 Present (1985-Present).
- --------------------------------------------------------------------------------------------------------------------------------
Dr. John Wm. Lancaster Director 1984- Pastor Emeritus and Director of Planned Giving, First
DOB: December 15, 1923 Present Presbyterian Church (1997-Present).
- --------------------------------------------------------------------------------------------------------------------------------
Kenneth J. Lavery Director 2001- Vice President of Massachusetts Capital Resources
DOB: December 30, 1949 Present Company (1982-Present).
- --------------------------------------------------------------------------------------------------------------------------------
Ben H. Love Director 1993- Retired. Formerly Director, Mid-American Waste, Inc.,
DOB: September 26, 1930 Present (1993-1997); Chief Executive, Boy Scouts of America
(1985-1993)
- --------------------------------------------------------------------------------------------------------------------------------
Dr. John E. Maupin, Jr. Director 1998- President, Meharry Medical College, Nashville,
DOB: October 28, 1946 Present Tennessee (1994-Present).
- --------------------------------------------------------------------------------------------------------------------------------
Number of Funds in Fund
Name, Birth Date Complex Overseen by
and Address* Director (2) Other Directorships Held by Director (3)
- -----------------------------------------------------------------------------------------------------------
Independent Directors
Dr. Judith L. Craven 75 Director, A.G. Belo Corporation, a media company
DOB: October 6, 1945 (1992-Present); Director SYSCO Corporation, a
food marketing and distribution company (1996-
Present); Director, Luby's, Inc., a restaurant chain
(1998-Present); Director, University of Texas Board
of Regents (2001-Present).
- -----------------------------------------------------------------------------------------------------------
William F. Devin 75 None.
DOB: December 30, 1938
- -----------------------------------------------------------------------------------------------------------
Dr. Timothy J. Ebner 37 None.
DOB: July 15, 1949
- -----------------------------------------------------------------------------------------------------------
Judge Gustavo E. Gonzales, Jr. 37 None.
DOB: July 27, 1940
- -----------------------------------------------------------------------------------------------------------
Dr. Norman Hackerman 37 Chairman--Scientific Advisory Board for The
DOB: March 2, 1912 Robert A. Welch Foundation (1983-Present).
- -----------------------------------------------------------------------------------------------------------
Dr. John Wm. Lancaster 37 None.
DOB: December 15, 1923
- -----------------------------------------------------------------------------------------------------------
Kenneth J. Lavery 37 Director, Board of Overseers, Newton Wellesley
DOB: December 30, 1949 Hospital (1996-Present).
- -----------------------------------------------------------------------------------------------------------
Ben H. Love 37 None.
DOB: September 26, 1930
- -----------------------------------------------------------------------------------------------------------
Dr. John E. Maupin, Jr. 37 Director, Monarch Dental Corporation
DOB: October 28, 1946 (1997-Present); Director, Pinnacle Financial
Partners, Inc. (2000-Present).
- -----------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
135
November 30, 2003
DIRECTOR INFORMATION (Unaudited) - CONTINUED
Term of Office and
Name, Birth Date Position Held With Length of Time
and Address* VALIC Complex Served (4) Principal Occupations During Past Five Years
- -----------------------------------------------------------------------------------------------------------------------
Interested Directors
Robert P. Condon (1) Director and 2001- President, VALIC (2000-Present); Executive Vice
DOB: December 28, 1941 Chairman Present President-Sales and Marketing, American General
Retirement Services (1999-Present). Formerly, Executive
Vice President, Fidelity Federal Bank
(1993-1999).
- -----------------------------------------------------------------------------------------------------------------------
Paige T. Davis (1) Director 2002- Formerly, Regional Manager, VALIC (1976-2001).
DOB: July 4, 1943 Present
- -----------------------------------------------------------------------------------------------------------------------
Peter A. Harbeck (1) Director 2001- President and Chief Executive Officer, SAAMCo
DOB: January 23, 1954 Present (1995-Present); President, AIG SunAmerica Fund
Services, Inc. (1988-Present).
- -----------------------------------------------------------------------------------------------------------------------
Number of Funds in Fund
Name, Birth Date Complex Overseen by
and Address* Director (2) Other Directorships Held by Director (3)
- ---------------------------------------------------------------------------------------------------
Interested Directors
Robert P. Condon (1) 37 None.
DOB: December 28, 1941
- ---------------------------------------------------------------------------------------------------
Paige T. Davis (1) 37 Director, Maryland African American Museum
DOB: July 4, 1943 Corporation (1999-Present); Director, Maryland
Racing Commission (1996-Present); Director,
Morgan State University Foundation, Inc.
(1998-Present); Director, Maryland Health and
Higher Education Facilities Authority
(1987-Present).
- ---------------------------------------------------------------------------------------------------
Peter A. Harbeck (1) 84 Director, AIG Asset Management International, Inc.
DOB: January 23, 1954 (2000-Present); Managing Director, John McStay
Investment Counsel, L.P. (1999-Present); Director,
SunAmerica Capital Services, Inc. (1993-Present);
Director, SAAMCo (1995-Present); Director,
SunAmerica Fund Services, Inc. (1988-Present).
- ---------------------------------------------------------------------------------------------------
* The business address for each Director is, 2929 Allen Parkway, Houston, TX,
77019.
(1)Interested Director, as defined within the Investment Company Act of 1940
(the "1940 Act"), because of current or former employment by VALIC (Messrs.
Condon and Davis) or SAAMCo (Mr. Harbeck), companies affiliated with VALIC.
(2)The "Fund Complex" consists of all registered investment company portfolios
for which SAAMCo or an affiliated person of SAAMCo serves as investment
adviser or business manager. The "Fund Complex" includes the SunAmerica
Equity Funds (7 funds), SunAmerica Income Funds (6 funds), SunAmerica Money
Market Funds, Inc. (2 funds), SunAmerica Senior Floating Rate Fund, Inc. (1
fund), SunAmerica Strategic Investment Series, Inc. (7 funds), SunAmerica
Style Select Series, Inc. (15 portfolios), Anchor Pathway Fund (7 funds),
Anchor Series Trust (9 portfolios), Seasons Series Trust (19 portfolios),
SunAmerica Series Trust (32 portfolios), VALIC Company I (22 funds), and
VALIC Company II (15 funds).
(3)Directorships of companies required to report to the Securities and Exchange
Commission under the Securities Exchange Act of 1934 (i.e. "public
companies") or other investment companies registered under the 1940 Act
other than those listed under the preceding column.
(4)Directors serve until their successors are duly elected and qualified.
Additional Information concerning the Directors is contained in the
Statement of Additional Information and is available without charge by
calling 1-800-448-2542.
- --------------------------------------------------------------------------------
136
VALIC COMPANY I
BOARD OF DIRECTORS TRANSFER AND SHAREHOLDER SERVICE AGENT
Robert P. Condon The Variable Annuity
Judith L. Craven Life Insurance Company (VALIC)
Paige T. Davis 2929 Allen Parkway
William F. Devin Houston, Texas 77019
Timothy J. Ebner
Gustavo E. Gonzales, Jr. OFFICERS
Norman Hackerman Robert P. Condon,
Peter A. Harbeck Chairman
John W. Lancaster Evelyn M. Curran,
Kenneth J. Lavery President and Chief Executive Officer
Ben H. Love John Packs,
John E. Maupin, Jr. Vice President and Senior Investment Officer
Gregory R. Kingston,
CUSTODIAN Treasurer and Chief Financial Officer
State Street Bank and Trust Company Nori L. Gabert,
225 Franklin Street Vice President and Secretary
Boston, Massachusetts 02110 Cynthia A. Gibbons,
Chief Compliance Officer and Assistant Secretary
INVESTMENT ADVISER Robert M. Zakem,
The Variable Annuity Vice President and Assistant Secretary
Life Insurance Company (VALIC) Donna Handel,
2929 Allen Parkway Vice President and Assistant Treasurer
Houston, Texas 77019 Kathryn A. Pearce,
Assistant Treasurer
INVESTMENT SUB-ADVISERS Donald H. Guire,
AIG Global Investment Corp. Assistant Treasurer
175 Water Street
New York, New York 10038
AIG SunAmerica Asset Management Corp.
Harborside Financial Center
3200 Plaza 5
Jersey City, New Jersey 07311
American Century Investment Management, Inc.
4500 Main Street
Kansas City, Missouri 64111
Founders Asset Management, LLC
210 University Boulevard, Suite 800
Denver, Colorado 80206
Putnam Investment Management, LLC
One Post Office Square
Boston, Massachusetts 02109
T. Rowe Price Associates, Inc.
100 East Pratt Street
Baltimore, Maryland 21202
WM Advisors, Inc.
1201 Third Avenue
Seattle, Washington 98101
Wellington Management Company, LLP
75 State Street
Boston, Massachusetts 02109
INDEPENDENT AUDITORS
Ernst & Young LLP
1401 McKinney, Suite 1200
Houston, Texas 77010
This report is for the information of the shareholders and variable contract
owners participating in the VALIC Company I. It is authorized for distribution
to other persons only when preceded or accompanied by an effective prospectus
which contains information on how to purchase shares and other pertinent
information.
If you would like further information about this material or products issued
by VALIC or American General Life Insurance Company, please contact your
financial professional.
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses to determine
how to vote proxies relating to securities held in the Fund's portfolio which
is available in the Fund's Statement of Additional Information, may be obtained
without charge upon request, by calling (800) 448-2542. This information is
also available from the EDGAR database on the SEC's Internet site at
http://www.sec.gov.
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137
VALIC COMPANY I
AIG VALIC ONLINE
Account Access
Manage your account on the Web through AIG VALIC
Online!
You must establish a Enjoy quick, easy and secure access -- now or anytime.
Go to www.aigvalic.com, and click on "View your
account".
You'll find these exciting features:
Personal Identification . View your current portfolio valuation.
. View your account and transaction confirmation
statements.
Number (PIN) before . View fund performance and unit values.
using the automated . View your transaction history.
account services. . View information about your financial advisor.
. Change your Personal Identification Number (PIN).
. Change your address, e-mail and telephone number.
. Change your allocation of future contributions.
. Transfer money among investment options.
Your PIN is valid for . Rebalance account to your desired allocation mix.
both AIG VALIC by Phone . Perform loan modeling.
. Request forms for a variety of services.
. Enroll in the electronic document delivery service.
Start exploring AIG VALIC Online today by establishing
at 1.800.448.2542 a Personal Identification Number (PIN)!
and AIG VALIC Online. To set up a PIN through AIG VALIC Online:
. Go to www.aigvalic.com.
. Click "View your account".
. Click "I am a new user".
. For verification, enter your Social Security
number, last name and date of birth.
. Choose, enter and verify your numeric PIN.
. Click "I Agree" to accept AIG VALIC's access
agreement (required).
. Verify and/or update your address, e-mail and
telephone number information.
Your PIN setup is complete when the Client Summary
screen appears.
This PIN is valid for both AIG VALIC by Phone at
1.800.448.2542 and AIG VALIC Online.
AIG VALIC by Phone is AIG VALIC's toll-free automated
phone line for 24-hour access to your account.
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PRSRT STD
U.S. POSTAGE
PAID
LANCASTER, PA
PERMIT NO. 1765
VALIC Company I
P.O. Box 3206
Houston, Texas 77253-3206
VL 4873 VER 11/03
Item 2. Code of Ethics.
VALIC Company I has adopted a Code of Ethics applicable to its Principal
Executive and Principal Accounting Officers pursuant to Section 406 of the
Sarbanes-Oxley Act of 2002.
Item 3. Audit Committee Financial Expert.
Currently, VALIC Company I does not have an Audit Committee member who possesses
all of the attributes required to be an "audit committee financial expert" as
defined in instruction 2(b)of Item 3 of Form N-CSR. However, the Board of
Directors believes that each member of the Audit Committee has substantial
experience relating to the review of financial statements and the operations of
audit committees. Accordingly, the Board believes that the members are qualified
to evaluate the Fund's financial statements, supervise the Fund's preparation of
its financial statements, and oversee the work of the Fund's independent
auditors.
Item 4. Principal Accountant Fees and Services.
Not applicable
Item 5. Audit Committee of Listed Registrants.
Not applicable
Item 6. Reserved.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable
Item 8. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers
Not applicable
Item 9. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report,
under the supervision and with the participation of the registrant's
management, including the President and Treasurer, of the effectiveness of
the design and operation of the registrant's disclosure controls and
procedures. Based on that evaluation, the registrant's management,
including the President and Treasurer, concluded that the registrant's
disclosure controls and procedures are effective.
(b) There was no change in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act)
that occurred during the Registrant's first fiscal half-year that has
materially affected, or is reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
Item 10. Exhibits.
(a) (1) Code of Ethics applicable to its Principal Executive and Principal
Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of
2002 attached hereto as Exhibit 99.406.Code of Ethics.
(b) (1) Certification pursuant to Rule 30a-2 under the Investment Company Act
of 1940 (17 CFR 270.30a-2) attached hereto as Exhibit 99.CERT.
(2) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
attached hereto as Exhibit 99.906.CERT.
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.
VALIC Company I
By: /s/ Evelyn M. Curran
Evelyn M. Curran
President
Date: February 6, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Evelyn M. Curran
Evelyn M. Curran
President
Date: February 6, 2004
By: /s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: February 6, 2004