N-CSRS 1 v112676_ncsrs.txt ============================ OMB APPROVAL ============================ OMB Number: 3235-0570 Expires: August 31, 2010 Estimated average burden hours per response: 18.9 ============================ 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 811-4417 ----------------------- California Investment Trust -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 44 Montgomery Street, Suite 2100, San Francisco, CA 94104 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (415) 398-2727 -------------- Date of fiscal year end: August 31, 2008 --------------- Date of reporting period: February 29, 2008 ----------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. The Report to Shareholders is attached herewith. CALIFORNIA INVESTMENT TRUST ---------------- FUND GROUP Semi-Annual Report ---------------------------------------------- FEBRUARY 29, 2008 CALIFORNIA TAX-FREE INCOME FUND CALIFORNIA INSURED INTERMEDIATE FUND CALIFORNIA TAX-FREE MONEY MARKET FUND U.S. GOVERNMENT SECURITIES FUND SHORT-TERM U.S. GOVERNMENT BOND FUND THE UNITED STATES TREASURY TRUST S&P 500 INDEX FUND S&P MIDCAP INDEX FUND S&P SMALLCAP INDEX FUND EQUITY INCOME FUND EUROPEAN GROWTH & INCOME FUND NASDAQ-100 INDEX FUND (800) 225-8778 WWW.CALTRUST.COM EMAIL US AT INFO@CALTRUST.COM -------------------------------------------------------------------------------- This report is intended only for the information of shareholders or those who have received the offering prospectus covering shares of beneficial interest of California Investment Trust Fund Group which contains information about the management fee and other costs. Investments in shares of the funds of California Investment Trust Fund Group are neither insured nor guaranteed by the U.S. Government, and there is no assurance that any Fund which is a Money Market Fund will be able to maintain a stable net asset value of $1.00 per share. -------------------------------------------------------------------------------- ABOUT YOUR FUND'S EXPENSES (UNAUDITED) FEBRUARY 29, 2008 -------------------------------------------------------------------------------- We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Fund, you incur ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Fund's gross income, directly reduce the investment return of the Fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples below are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates the Fund's costs in two ways: Actual fund return - This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading "Expenses Paid During Period." Hypothetical 5% Return - This section is intended to help you compare the Fund's costs with those of other mutual funds. It assumes that the Fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess the Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Note the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, such as redemption fees. The Fund does not carry a sales load, nor does it charge redemption fees on shares held over seven days. Therefore, the information under the heading "Based on Hypothetical 5% Return before expenses" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included because of the timing of any redemptions, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. More information about the Fund's expenses, including annual expense ratios since inception, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund's prospectus.
Beginning Account Value Ending Account Value Expenses Paid September 1, 2007 February 29, 2008 During Period ------------------------- ---------------------- ------------------ CALIFORNIA TAX-FREE INCOME FUND Direct Shares Based on Actual Fund Return $1,000 $ 994 $ 3.52 (1) Based on Hypothetical 5% Return before expenses $1,000 $1,021 $ 3.57 (1) CALIFORNIA INSURED INTERMEDIATE FUND Direct Shares Based on Actual Fund Return $1,000 $1,020 $ 3.42 (2) Based on Hypothetical 5% Return before expenses $1,000 $1,022 $ 3.42 (2) CALIFORNIA TAX-FREE MONEY MARKET FUND Direct Shares Based on Actual Fund Return $1,000 $1,014 $ 2.65 (3) Based on Hypothetical 5% Return before expenses $1,000 $1,022 $ 2.66 (3) U.S. GOVERNMENT SECURITIES FUND Direct Shares Based on Actual Fund Return $1,000 $1,060 $ 3.79 (4) Based on Hypothetical 5% Return before expenses $1,000 $1,021 $ 3.72 (4) K Shares Based on Actual Fund Return $1,000 $1,057 $ 6.34 (4) Based on Hypothetical 5% Return before expenses $1,000 $1,019 $ 6.22 (4) SHORT-TERM U.S. GOVERNMENT BOND FUND Direct Shares Based on Actual Fund Return $1,000 $1,053 $ 3.01 (5) Based on Hypothetical 5% Return before expenses $1,000 $1,022 $ 2.97 (5) K Shares Based on Actual Fund Return $1,000 $1,050 $ 5.56 (5) Based on Hypothetical 5% Return before expenses $1,000 $1,020 $ 5.47 (5) THE UNITED STATES TREASURY TRUST Direct Shares Based on Actual Fund Return $1,000 $1,016 $ 2.66 (6) Based on Hypothetical 5% Return before expenses $1,000 $1,022 $ 2.66 (6) K Shares Based on Actual Fund Return $1,000 $1,013 $ 5.16 (6) Based on Hypothetical 5% Return before expenses $1,000 $1,020 $ 5.17 (6) S&P 500 INDEX FUND Direct Shares Based on Actual Fund Return $1,000 $ 910 $ 1.71 (7) Based on Hypothetical 5% Return before expenses $1,000 $1,023 $ 1.81 (7)
1 -------------------------------------------------------------------------------- ABOUT YOUR FUND'S EXPENSES (UNAUDITED) FEBRUARY 29, 2008 - (CONTINUED) --------------------------------------------------------------------------------
Beginning Account Value Ending Account Value Expenses Paid September 1, 2007 February 29, 2008 During Period ------------------------- ---------------------- ----------------- S&P 500 INDEX FUND K Shares Based on Actual Fund Return $1,000 $ 908 $ 4.08 (7) Based on Hypothetical 5% Return before expenses $1,000 $1,021 $ 4.32 (7) S&P MIDCAP INDEX FUND Direct Shares Based on Actual Fund Return $1,000 $ 916 $ 2.76 (8) Based on Hypothetical 5% Return before expenses $1,000 $1,022 $ 2.92 (8) K Shares Based on Actual Fund Return $1,000 $ 914 $ 5.14 (8) Based on Hypothetical 5% Return before expenses $1,000 $1,020 $ 5.42 (8) S&P SMALLCAP INDEX FUND Direct Shares Based on Actual Fund Return $1,000 $ 876 $ 3.45 (9) Based on Hypothetical 5% Return before expenses $1,000 $1,021 $ 3.72 (9) K Shares Based on Actual Fund Return $1,000 $ 873 $ 5.77 (9) Based on Hypothetical 5% Return before expenses $1,000 $1,019 $ 6.22 (9) EQUITY INCOME FUND Direct Shares Based on Actual Fund Return $1,000 $ 913 $ 4.19 (10) Based on Hypothetical 5% Return before expenses $1,000 $1,021 $ 4.42 (10) K Shares Based on Actual Fund Return $1,000 $ 911 $ 6.56 (10) Based on Hypothetical 5% Return before expenses $1,000 $1,018 $ 6.92 (10) EUROPEAN GROWTH & INCOME FUND Direct Shares Based on Actual Fund Return $1,000 $ 955 $ 4.86 (11) Based on Hypothetical 5% Return before expenses $1,000 $1,020 $ 5.02 (11) K Shares Based on Actual Fund Return $1,000 $ 952 $ 7.28 (11) Based on Hypothetical 5% Return before expenses $1,000 $1,018 $ 7.53 (11) NASDAQ-100 INDEX FUND Direct Shares Based on Actual Fund Return $1,000 $ 879 $ 3.08 (12) Based on Hypothetical 5% Return before expenses $1,000 $1,022 $ 3.32 (12) K Shares Based on Actual Fund Return $1,000 $ 876 $ 5.41 (12) Based on Hypothetical 5% Return before expenses $1,000 $1,019 $ 5.82 (12)
---------- (1) Expenses are equal to the Fund's expense ratio (0.71%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (2) Expenses are equal to the Fund's expense ratio (0.68%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (3) Expenses are equal to the Fund's expense ratio (0.53%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (4) Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K Shares 1.24%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (5) Expenses are equal to the Fund's expense ratio (Direct Shares 0.59%; K Shares 1.09%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (6) Expenses are equal to the Fund's expense ratio (Direct Shares 0.53%; K Shares 1.03%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (7) Expenses are equal to the Fund's expense ratio (Direct Shares 0.36%; K Shares 0.86%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (8) Expenses are equal to the Fund's expense ratio (Direct Shares 0.58%; K Shares 1.08%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (9) Expenses are equal to the Fund's expense ratio (Direct Shares 0.74%; K Shares 1.24%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (10) Expenses are equal to the Fund's expense ratio (Direct Shares 0.88%; K Shares 1.38%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (11) Expenses are equal to the Fund's expense ratio (Direct Shares 1.00%; K Shares 1.50%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 (12) Expenses are equal to the Fund's expense ratio (Direct Shares 0.66%; K Shares 1.16%), for the fiscal year, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366 2 -------------------------------------------------------------------------------- TOP HOLDINGS AND SECTOR BREAKDOWNS (UNAUDITED) FEBRUARY 29, 2008 --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 $4,117,588 3.6% 2 LOS ANGELES COMMUNITIES REDEVELOPMENT AGENCY Bunker Hill Project; Series A 3,858,560 3.4% 3 CALIFORNIA, STATE OF General Obligation Bonds; 2005 3,800,920 3.3% 4 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Stanford University Revenue Bonds; Series P 3,284,940 2.9% 5 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 3,280,961 2.9% 6 EAST SIDE UNION HIGH SCHOOL DISTRICT Santa Clara County; Ref-2012 Crossover 3,064,310 2.7% 7 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Revenue Bonds (Occidental College); Series 2005A 3,040,647 2.6% 8 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 2,989,570 2.6% 9 KERN HIGH SCHOOL DISTRICT Series General Obligation Refunding Bonds; 2004 Series A 2,859,019 2.5% 10 KERN HIGH SCHOOL DISTRICT General Obligation Refunding Bonds; 1996 Series A 2,777,643 2.4%
CALIFORNIA INSURED INTERMEDIATE FUND Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 MONTEREY, COUNTY OF Certificates of Participation $641,220 4.0% 2 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 578,551 3.6% 3 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 547,160 3.4% 4 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 2005 544,625 3.4% 5 FRESNO, CITY OF Water System Revenue Refunding; Series A 544,110 3.4% 6 BEVERLY HILLS PUBLIC FINANCIAL AUTHORITY Lease Revenue Refunding; Series A 542,020 3.4% 7 NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT 2005 General Obligation Refunding Bonds 539,655 3.4% 8 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 539,641 3.4% 9 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 2001A 537,880 3.4% 10 NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT General Obligation Bonds; 2002 Series A 535,055 3.3%
CALIFORNIA TAX-FREE MONEY MARKET FUND Percentage of Total Security Description Value Investment ------------------------------------------------------------------------------------------------------------------------------------ 1 BAY AREA TOLL AUTHORITY San Francisco Bay Area; Series B $4,100,000 5.2% 2 LOS ANGELES, COUNTY OF Tax and Revenue Anticipation Notes 3,008,587 3.8% 3 EAST BAY MUNICIPAL UTILITY DISTRICT Series B-1 3,000,000 3.8% 4 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commercial Paper Notes 3,000,000 3.8% 5 VENTURA, COUNTY OF Tax and Revenue Anticipation Notes 2,005,800 2.5% 6 LOS ANGELES, CITY OF Tax and Revenue Anticipation Notes 2,005,422 2.5% 7 SACRAMENTO, COUNTY OF Tax and Revenue Anticipation Notes 2,004,163 2.5% 8 CALIFORNIA, STATE OF Revenue Anticipation Notes 2,004,082 2.5% 9 CALIFORNIA, STATE OF General Obligation Bonds; Series C-1 2,000,000 2.5% 10 CALIFORNIA, STATE OF Kindergarten-Univ; Series A-7 2,000,000 2.5%
[BAR CHART] [BAR CHART] [BAR CHART] California Tax-Free Income Fund California Insured Intermediate Fund CALIFORNIA TAX-FREE MONEY MARKET FUND Long Term Securities 97.1% Long Term Securities 94.4% Variable Rate Demand Notes 71.1% Variable Rate Demand Notes 2.9% Variable Rate Demand Notes 5.6% Tax and Revenue Anticipation Notes 17.5% Commercial Paper 11.4%
3 -------------------------------------------------------------------------------- TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED) FEBRUARY 29, 2008 -------------------------------------------------------------------------------- U.S. GOVERNMENT SECURITIES FUND
Percentage of Total Security Maturity Value Investment ----------------------------------------------------------------------------------------- 1 United States Treasury Bond 5/15/2016 $3,826,173 13.8% 2 Government National Mortgage Association 4/15/2036 3,679,037 13.3% 3 Government National Mortgage Association II 7/20/2037 3,211,055 11.6% 4 United States Treasury Notes 5/15/2008 2,103,282 7.6% 5 United States Treasury Bills 3/20/2008 2,097,210 7.6% 6 Government National Mortgage Association II 7/20/2035 1,403,543 5.1% 7 Government National Mortgage Association II 12/20/2034 1,393,150 5.0% 8 United States Treasury Bills 6/12/2008 1,293,399 4.7% 9 Government National Mortgage Association 2/15/2019 1,263,309 4.6% 10 Government National Mortgage Association 7/15/2020 1,232,297 4.5%
[BAR CHART] Affiliated Accounts 0.3% Government National Mortgage Association 65.3% United States Treasury Bills 13.8% United States Treasury Bonds 7.6% United States Treasury Notes 13.0% SHORT-TERM U.S. GOVERNMENT BOND FUND Percentage of Total Security Maturity Value Investment ------------------------------------------------------------------------- 1 United States Treasury Notes 5/15/2010 $1,274,626 11.0% 2 United States Treasury Notes 8/15/2009 943,172 8.2% 3 United States Treasury Notes 7/15/2010 735,930 6.4% 4 United States Treasury Notes 2/15/2010 636,141 5.5% 5 United States Treasury Notes 3/31/2009 618,703 5.4% 6 United States Treasury Notes 5/15/2009 519,883 4.5% 7 United States Treasury Notes 4/30/2009 517,032 4.5% 8 United States Treasury Notes 2/15/2009 513,360 4.4% 9 United States Treasury Notes 1/15/2009 506,876 4.4% 10 United States Treasury Notes 3/15/2009 505,391 4.4% [BAR CHART] Affiliated Accounts 0.2% Government National Mortgage Association 6.1% United States Treasury Notes 91.1% United States Treasury Bills 2.6% THE UNITED STATES TREASURY TRUST Percentage of Total Security Maturity Value Investment ------------------------------------------------------------------------ 1 United States Treasury Bills 03/19/04 $14,978,383 38.2% 2 United States Treasury Bills 05/07/04 9,547,074 24.3% 3 United States Treasury Bills 06/11/04 8,844,998 22.5% 4 United States Treasury Bills 04/02/04 5,883,313 15.0% [BAR CHART] United States Treasury Bills 100.0% 4 -------------------------------------------------------------------------------- TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED) FEBRUARY 29, 2008 -------------------------------------------------------------------------------- S&P 500 INDEX FUND Percentage of Total Security Value Investment ---------------------------------------------------------------- Exxon Mobil Corp $4,031,173 4.1% General Electric Co 2,839,071 2.9% Microsoft Corp 1,850,470 1.9% AT&T Inc 1,791,411 1.8% Procter & Gamble Co 1,742,983 1.8% Chevron Corp 1,557,887 1.6% Johnson & Johnson 1,512,753 1.5% Bank of America Corp 1,484,130 1.5% Pfizer Inc 1,300,083 1.3% International Business Machines Corp 1,299,712 1.3% [BAR CHART] Basic Materials 3.5% Communications 10.7% Consumer, Cyclical 7.5% Consumer, Non-Cyclical 21.1% Diversified 0.1% Energy 13.3% Financial 16.8% Industrial 12.1% Technology 10.5% United States Treasury Bills 1.0% Utilities 3.4% S&P MIDCAP INDEX FUND Percentage of Total Security Value Investment --------------------------------------------------------------- United States Treasury Bills 4/3/08 $3,293,280 2.1% Southwestern Energy Co 1,630,750 1.0% Intuitive Surgical Inc 1,593,130 1.0% Activision Inc 1,165,265 0.7% Denbury Resources Inc 1,143,703 0.7% Hologic Inc 1,110,729 0.7% Equitable Resources Inc 1,097,822 0.7% FMC Technologies Inc 1,083,339 0.7% Arch Coal Inc 1,073,912 0.7% Newfield Exploration Co 1,065,290 0.7% [BAR CHART] Affiliated Accounts 0.1% Basic Materials 6.2% Communications 4.7% Consumer, Cyclical 11.3% Consumer, Non-Cyclical 19.0% Energy 11.0% Financial 14.4% Industrial 16.5% Technology 8.2% United States Treasury Bills 2.4% Utilities 6.2% S&P SMALLCAP INDEX FUND Percentage of Total Security Value Investment --------------------------------------------------------------- United States Treasury Bills 4/3/08 $1,497,686 5.1% United States Treasury Bills 5/8/08 598,031 2.0% Shaw Group Inc/The 318,295 1.1% Cabot Oil & Gas Corp 296,709 1.0% Respironics Inc 293,852 1.0% Flir Systems Inc 230,526 0.8% Oceaneering International Inc 207,600 0.7% Trimble Navigation Ltd 199,582 0.7% Pediatrix Medical Group Inc 198,954 0.7% Helix Energy Solutions Group Inc 198,148 0.7% [BAR CHART] Affiliated Accounts 0.1% Basic Materials 2.9% Communications 3.5% Consumer, Cyclical 14.0% Consumer, Non-Cyclical 16.5% Corporate Bond 0.1% Energy 8.5% Financial 13.9% Industrial 20.6% Technology 8.3% United States Treasury Bills 7.1% Utilities 4.5% 5 -------------------------------------------------------------------------------- TOP HOLDINGS AND SECTOR BREAKDOWNS - (CONTINUED) FEBRUARY 29, 2008 -------------------------------------------------------------------------------- EQUITY INCOME FUND Percentage of Total Security Value Investment ------------------------------------------------------------- Coca-Cola Co/The $847,670 3.9% McDonald's Corp 826,151 3.8% Baxter International Inc 756,105 3.5% Bank of America Corp 755,696 3.5% Wells Fargo & Co 715,960 3.3% United States Treasury Bills 5/8/08 697,703 3.2% Exxon Mobil Corp 673,109 3.1% Devon Energy Corp 601,117 2.7% Apache Corp 588,003 2.7% McGraw-Hill Cos Inc/The 539,376 2.5% [BAR CHART] Affiliated Accounts 0.2% Basic Materials 4.4% Communications 4.6% Consumer, Cyclical 9.7% Consumer, Non-Cyclical 22.1% Energy 15.1% Financial 20.8% Industrial 6.3% Technology 6.8% United States Treasury Bills 4.1% Utilities 5.9% EUROPEAN GROWTH & INCOME FUND Percentage of Total Security Value Investment ----------------------------------------------------- BP PLC ADR $699,039 5.0% Total SA 637,649 4.5% Vodafone Group PLC ADR 635,995 4.5% HSBC Holdings PLC ADR 621,941 4.4% Nestle SA ADR 590,835 4.2% Nokia OYJ ADR 573,567 4.1% Royal Dutch Shell A PLC ADR 480,144 3.4% Telefonica SA ADR 456,686 3.3% Novartis AG ADR 450,067 3.2% GlaxoSmithKline PLC ADR 442,964 3.2% [BAR CHART] Affiliated Accounts 0.4% Basic Materials 6.6% Communications 17.3% Consumer, Cyclical 2.1% Consumer, Non-Cyclical 18.5% Energy 16.9% Financial 28.5% Industrial 3.8% Technology 1.1% Utilities 4.8% NASDAQ-100 INDEX FUND Percentage of Total Security Value Investment -------------------------------------------------------------- Apple Inc $1,768,783 10.0% Microsoft Corp 1,018,300 5.8% QUALCOMM Inc 972,561 5.5% Google Inc 784,044 4.4% Research In Motion Ltd 673,558 3.8% Cisco Systems Inc 613,637 3.5% Gilead Sciences Inc 502,633 2.8% Intel Corp 474,930 2.7% Oracle Corp 465,902 2.6% Teva Pharmaceutical Industries Ltd 354,972 2.0% [BAR CHART] Affiliated Accounts 0.4% Basic Materials 0.8% Communications 28.1% Consumer, Cyclical 7.8% Consumer, Non-Cyclical 16.5% Industrial 3.8% Technology 39.8% United States Treasury Bills 2.8% 6 -------------------------------------------------------------------------------- CALIFORNIA TAX-FREE INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 --------------------------------------------------------------------------------
VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) -------------------------------------------------------------------------------------------------------------------- LONG-TERM SECURITIES (95.92%) BAY AREA TOLL AUTHORITY San Francisco; Series F $ 500,000 5.00% 4/1/2031 $ 480,130 CALIFORNIA DEPARTMENT OF WATER RESOURCES Water System Revenue Bonds, Central Valley J-1; Unrefunded 1,695,000 7.00% 12/1/2011 1,925,283 Water System Revenue Bonds, Central Valley J-3; Unrefunded 2,070,000 7.00% 12/1/2011 2,351,230 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY Pomona College Refunding Revenue Bonds; Series 1999 2,500,000 5.25% 1/1/2017 2,571,375 Revenue Bonds (Occidental College); Series 2005A 3,165,000 5.00% 10/1/2030 3,040,647 Stanford University Revenue Bonds; Series P 3,000,000 5.25% 12/1/2013 3,284,940 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY John Muir Health: Series A 3,000,000 5.00% 8/15/2036 2,656,050 UniHealth America; Certificates of Participation; 1993 Series A 2,160,000 5.50% 10/1/2014 2,347,704 CALIFORNIA, STATE OF Economic Recovery Bonds; Series 2004A & B 2,000,000 5.00% 7/1/2016 2,075,760 Economic Recovery Bonds; Series B 2,000,000 3.50% 7/1/2023 2,007,640 General Obligation Bonds 2,000,000 5.00% 6/1/2033 1,869,360 General Obligation Bonds; 2005 4,000,000 5.00% 5/1/2027 3,800,920 Variable Purpose 2,000,000 5.00% 3/1/2028 1,902,860 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 2,090,000 7.25% 8/1/2009 2,204,783 CONTRA COSTA WATER DISTRICT Water Revenue Bonds; Series E 1,715,000 6.25% 10/1/2012 1,821,604 CUCAMONGA COUNTY WATER DISTRICT Water Facilities and Refinancing, 2001 1,080,000 5.00% 9/1/2016 1,110,974 EAST SIDE UNION HIGH SCHOOL DISTRICT Santa Clara County; Ref-2012 Crossover 2,975,000 5.25% 9/1/2023 3,064,310 ELSINORE VALLEY MUNICIPAL WATER DISTRICT Certificates of Participation 1,000,000 6.00% 7/1/2012 1,037,260 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT Election 1999; Series C 2,000,000 0.00% 8/1/2027 596,180 KERN HIGH SCHOOL DISTRICT General Obligation Refunding Bonds; 1996 Series A 2,555,000 6.60% 8/1/2016 2,777,643 Series General Obligation Refunding Bonds; 2004 Series A 2,890,000 5.00% 8/1/2026 2,859,019 LA QUINTA REDEVELOPMENT AGENCY Redevelopment Project Area No.2; Series 1994 1,015,000 7.30% 9/1/2009 1,070,429 LOS ANGELES COMMUNITIES REDEVELOPMENT AGENCY Bunker Hill Project; Series A 4,000,000 5.00% 12/1/2027 3,858,560 LOS ANGELES CONVENTION & EXHIBIT CENTER AUTHORITY Lease Revenue Bonds; 1993 Series A 2,500,000 6.00% 8/15/2010 2,680,300 LOS ANGELES, COUNTY OF Certificates of Participation 1,060,000 5.00% 12/1/2010 1,110,944 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Sales Tax Revenue Refunding Bonds, 1991; Series B 2,865,000 6.50% 7/1/2010 2,989,570 LOS ANGELES UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1997 Series A 2,450,000 6.00% 7/1/2014 2,776,022 LOS ANGELES WASTEWATER SYSTEMS Series A 2,000,000 5.00% 6/1/2028 2,032,780 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Water System Revenue Bonds, 2005 Series A 2,000,000 5.00% 3/1/2016 2,132,720 M-S-R PUBLIC POWER AGENCY SAN JUAN PROJECT REVENUE San Juan Project Refunding Revenue Bonds; Series F 1,500,000 6.13% 7/1/2013 1,597,485 NOVATO UNIFIED SCHOOL DISTRICT General Obligation bonds; Election 2001; Series 2005 2,000,000 5.00% 8/1/2028 1,957,340 OAKLAND REDEVELOPMENT AGENCY Central District Redevelopment Project; Series 1992 2,000,000 5.50% 2/1/2014 2,111,200 Central District Redevelopment Project; Series 2005 1,000,000 5.00% 9/1/2022 956,920 ROSEVILLE NATURAL GAS FINANCING AUTHORITY Gas Revenue Bonds; Series 2007 1,000,000 5.00% 2/15/2024 885,020 ROSEVILLE WOODCREEK WEST Special Tax Refunding; Series 2005 1,000,000 5.00% 9/1/2030 935,900 SACRAMENTO CITY FINANCING AUTHORITY Capital Improvement: Series A 2,000,000 5.00% 12/1/2036 1,883,700 SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FIN AUTH. Special Tax Revenue Bonds; 1996 Series A 1,575,000 6.00% 9/1/2016 1,790,129 SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT Sales Tax Revenue Refunding Bonds; Series 1990 2,950,000 6.75% 7/1/2011 3,280,961 SAN MARINO UNIFIED SCHOOL DISTRICT General Obligation Bonds; 1998 Series B 1,440,000 5.25% 7/1/2016 1,570,219
See accompanying notes to financial statements 7
----------------------------------------------------------------------------------------------------------------------------- CALIFORNIA TAX-FREE INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED) 2/29/2008 ----------------------------------------------------------------------------------------------------------------------------- VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) ----------------------------------------------------------------------------------------------------------------------------- SANTA ANA UNIFIED SCHOOL DISTRICT General Obligation Bonds; Series 2000 $2,500,000 5.70% 8/1/2022 $ 2,576,900 SANTA CLARA COUNTY FINANCING AUTHORITY Lease Revenue Refunding Bonds; 1997 Series A 2,000,000 6.00% 11/15/2012 2,204,800 Lease Revenue Refunding Bonds; 1997 Series A 1,750,000 5.75% 11/15/2013 1,926,908 SANTA CLARA REDEVELOPMENT AGENCY Bayshore North Project, 1992 Tax Allocation Refunding Bonds 2,560,000 7.00% 7/1/2010 2,672,410 SANTA MARGARITA-DANA POINT AUTHORITY Improvement District; 1994 Series A 1,045,000 7.25% 8/1/2010 1,148,006 SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT Election 2004; Capital Appreciation Bonds 2,500,000 0.00% 8/1/2029 667,525 SANTA MONICA - MALIBU UNIFIED SCHOOL DISTRICT Election 2006; Series A 2,000,000 5.00% 8/1/2032 1,909,820 SONOMA COUNTY JUNIOR COLLEGE DISTRICT Election 2002; Series B 1,000,000 5.00% 8/1/2027 984,090 SONOMA, COUNTY OF Certificates of Participation; 2002 Series A 1,815,000 5.00% 11/15/2012 1,924,517 SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT Installment Sale Revenue Bonds; Series 1992 2,400,000 6.00% 8/1/2011 2,538,048 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Multiple Project Revenue Bonds; Series 1989 3,585,000 6.75% 7/1/2013 4,117,588 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA UC San Diego Medical Center; Series 2000 2,500,000 5.13% 12/1/2016 2,632,475 VAL VERDE UNIFIED SCHOOL DISTRICT Refunding and School Construction Project; 2005 Series B 635,000 5.00% 1/1/2024 682,854 School Construction Project; Unrefunded; 2005 Series B 1,345,000 5.00% 1/1/2024 1,296,432 WEST VALLEY MISSION COMMUNITY COLLEGE DISTRICT Election 2004; Series A 2,000,000 5.00% 8/1/2030 1,939,599 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT Election 2001; Capital Appreciation Bonds, Series B 3,595,000 0.00% 9/1/2029 1,035,970 ------------ Total Long-Term Securities (Cost $112,317,757) 111,663,813 ------------ VARIABLE RATE DEMAND NOTES* (2.87%) BAY AREA TOLL AUTHORITY San Francisco Bay Area; Series B 400,000 3.15% 3/6/2008 400,000 CALIFORNIA DEPARTMENT OF WATER RESOURCES Series B-5 200,000 2.74% 3/3/2008 200,000 Series D-3 1,000,000 4.00% 3/12/2008 1,000,000 CALIFORNIA INFRASTRUCTURE AND ECONOMIC DEVELOPMENT BANK The J. Paul Getty Trust 500,000 3.75% 3/3/2008 500,000 CALIFORNIA, STATE OF Economic Recovery Bonds; Series C-2 100,000 2.74% 3/3/2008 100,000 Economic Recovery Bonds; Series C-3 100,000 2.74% 3/3/2008 100,000 Series A-3 300,000 2.74% 3/3/2008 300,000 IRVINE, CITY OF Limited Obligation Improvement Bonds, Assessment District No. 93-14 141,000 2.72% 3/3/2008 141,000 IRVINE RANCH WATER DISTRICT Nos. 105, 140, 240, & 250 100,000 2.72% 3/3/2008 100,000 WESTERN RIVERSIDE, COUNTY OF Regional Wastewater Treatment 500,000 2.90% 3/3/2008 500,000 ------------ Total Variable Rate Demand Notes (Cost $3,341,000) 3,341,000 ------------ Total Investments (Cost $115,658,757) (a) (98.79%) 115,004,813 Other Net Assets (1.21%) 1,414,082 ------------ Net Assets (100.00%) $116,418,895 ============ (a) Aggregate cost for federal income tax purposes is $115,073,028. At February 29, 2008, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 4,212,242 Unrealized depreciation (4,280,457) ------------ Net unrealized appreciation (depreciation) $ (68,215) ============
* Stated maturity reflects next reset date. See accompanying notes to financial statements 8
------------------------------------------------------------------------------------------------------------------------ CALIFORNIA INSURED INTERMEDIATE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 ------------------------------------------------------------------------------------------------------------------------ VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) ------------------------------------------------------------------------------------------------------------------------ LONG-TERM SECURITIES (93.24%) ANAHEIM PUBLIC FINANCIAL AUTHORITY Convention Center Project; Series A $500,000 5.25% 8/1/2013 $ 531,605 BEVERLY HILLS PUBLIC FINANCIAL AUTHORITY Lease Revenue Refunding; Series A 500,000 5.25% 6/1/2013 542,020 CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY University of San Francisco Revenue Bonds; Series 1996 500,000 5.60% 10/1/2010 533,295 CALIFORNIA STATE PUBLIC WORKS BOARD CA State Prison - Lassen County; 2001 Series A 400,000 5.25% 6/1/2011 421,376 Lease Revenue Refunding Bonds; 2001 Series A 500,000 5.25% 6/1/2012 527,505 CASTAIC LAKE WATER AGENCY Water System Improvement Projects; Series 1994A 300,000 7.25% 8/1/2009 316,476 Water System Improvement Projects; Series 2001A 500,000 6.00% 8/1/2012 537,880 CENTRAL VALLEY SCHOOL DISTRICTS FINANCING AUTHORITY General Obligation Refi. Bonds; Series C 400,000 6.15% 2/1/2009 413,172 CHAFFEY UNION HIGH SCHOOL DISTRICT General Obligation Bonds; Series C 500,000 5.00% 5/1/2012 534,265 EASTERN MUNICIPAL WATER DISTRICT Certificates of Participation; Series A 550,000 5.25% 7/1/2012 578,551 FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT General Obligation Refunding Bonds 2005 500,000 5.50% 8/1/2012 544,625 FRESNO, CITY OF Water System Revenue Refunding; Series A 500,000 6.00% 6/1/2011 544,110 IMPERIAL IRRIGATION DISTRICT Certificates of Participation; 1997 Capital Projects 530,000 5.20% 11/1/2009 539,641 LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY Sales Tax Revenue Bonds; Series A 500,000 5.50% 7/1/2008 505,125 LOS ANGELES DEPARTMENT OF WATER AND POWER Power Project Revenue Bond; 2001 Series A 500,000 5.25% 7/1/2014 524,265 LOS ANGELES UNIFIED SCHOOL DISTRICT Election of 2004; Series F 500,000 5.00% 7/1/2010 519,760 LOS ANGELES, COUNTY OF Pension Obligation Certificates; Series A 400,000 6.90% 6/30/2008 405,844 MONTEREY, COUNTY OF Certificates of Participation 600,000 5.25% 8/1/2014 641,220 NORTH ORANGE COUNTY COMMUNITY COLLEGE DISTRICT 2005 General Obligation Refunding Bonds 500,000 5.00% 8/1/2014 539,655 General Obligation Bonds; 2002 Series A 500,000 5.00% 8/1/2012 535,055 OAKLAND JOINT POWERS FINANCING AUTHORITY Convention Centers; Series 2001 500,000 5.50% 10/1/2012 526,745 ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY Measure M Sales Tax Revenue 2nd Series, Series A 325,000 5.00% 2/15/2009 332,758 SAN BERNARDINO, COUNTY OF Certificates of Participation; Series 2002 A 500,000 5.00% 7/1/2015 527,595 SAN DIEGO PUBLIC FACILITIES FINANCING AUTHORITY Sewer Revenue Refunding Bonds; Series A 500,000 5.10% 5/15/2010 505,770 SAN FRANCISCO AIRPORT COMMISSION San Francisco International Airport Revenue Second; Series B 450,000 5.50% 5/1/2009 456,777 SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION Water Revenue Refunding Bonds; Series B 500,000 5.00% 11/1/2013 527,695 SANTA CLARA COUNTY FINANCING AUTHORITY Water Revenue Refunding Bonds; Series B 400,000 5.50% 5/15/2010 421,728 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY San Juan Power Project 2002 Refunding; Series A 500,000 5.50% 1/1/2013 547,160 THE REGENTS OF THE UNIVERSITY OF CALIFORNIA Multiple Purpose Projects; Series O 500,000 5.75% 9/1/2010 534,275 WALNUT, CITY OF Public Financing Authority Tax Allocation 500,000 5.38% 9/1/2013 531,864 ----------- Total Long-Term Securities (Cost $15,057,112) 15,147,812 ----------- VARIABLE RATE DEMAND NOTES* (5.54%) CALIFORNIA DEPARTMENT OF WATER RESOURCES Series B-4 100,000 3.85% 3/3/2008 100,000 Series D-3 500,000 4.00% 3/12/2008 500,000 IRVINE, CITY OF Limited Obligation Improvement Bonds, Assessment District No. 97-16 100,000 2.89% 3/3/2008 100,000 Limited Obligation Improvement Bonds, Assessment District No. 93-14 100,000 2.72% 3/3/2008 100,000
See accompanying notes to financial statements 9
--------------------------------------------------------------------------------------------------------------------- CALIFORNIA INSURED INTERMEDIATE FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED) 2/29/2008 --------------------------------------------------------------------------------------------------------------------- VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) --------------------------------------------------------------------------------------------------------------------- ORANGE COUNTY SANITATION DISTRICT Series B $100,000 2.90% 3/3/2008 $ 100,000 ----------- Total Variable Rate Demand Notes (Cost $900,000) 900,000 ----------- Total Investments (Cost $15,957,112) (a) (98.78%) 16,047,812 Other Net Assets (1.22%) 197,518 ----------- Net Assets (100.00%) $16,245,330 =========== (a) Aggregate cost for federal income tax purposes is $15,957,112. At February 29, 2008, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 138,634 Unrealized depreciation (47,934) ----------- Net unrealized appreciation (depreciation) $ 90,700 ===========
* Stated maturity reflects next reset date.
------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 ------------------------------------------------------------------------------------------------------------------------------ VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) ------------------------------------------------------------------------------------------------------------------------------ VARIABLE RATE DEMAND NOTES* (70.61%) ABAG FINANCIAL AUTHORITY FOR NON-PROFIT CORPS Revenue Bonds $1,475,000 2.85% 3/6/2008 $1,475,000 BAY AREA TOLL AUTHORITY San Francisco Bay Area; Series B 1,000,000 3.15% 3/6/2008 1,000,000 San Francisco Bay Area; Series B 4,100,000 3.15% 3/6/2008 4,100,000 CALIFORNIA DEPARTMENT OF WATER RESOURCES Power Supply Revenue Bonds; Series C-8 2,000,000 3.00% 3/6/2008 2,000,000 Series B-5 1,370,000 2.74% 3/3/2008 1,370,000 CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY Health Facility - Catholic West 100,000 2.82% 3/5/2008 100,000 CALIFORNIA INFRASTRUCTURE AND ECONOMIC DEVELOPMENT BANK The J. Paul Getty Trust 1,200,000 3.75% 3/3/2008 1,200,000 CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY Cathedral High School Project 1,000,000 2.60% 3/5/2008 1,000,000 Gemological Institute of America; Special Tax; Series 2001 1,900,000 4.00% 3/6/2008 1,900,000 CALIFORNIA, STATE OF Economic Recovery Bonds; Series C-2 100,000 2.74% 3/3/2008 100,000 Economic Recovery Bonds; Series C-3 200,000 2.74% 3/3/2008 200,000 General Obligation Bonds; Series A-2 800,000 3.85% 3/3/2008 800,000 General Obligation Bonds; Series A-3 200,000 2.74% 3/3/2008 200,000 General Obligation Bonds; Series C-1 2,000,000 2.85% 3/6/2008 2,000,000 Kindergarten-Univ; Series A-7 2,000,000 2.85% 3/6/2008 2,000,000 Kindergarten-Univ; Series B-3 1,600,000 2.89% 3/3/2008 1,600,000 EAST BAY MUNICIPAL UTILITY DISTRICT Series B-1 3,000,000 7.00% 3/5/2008 3,000,000 IRVINE RANCH WATER DISTRICT Consolidated Series 1991; Districts 105, 250, 290 400,000 3.60% 3/3/2008 400,000 General Obligation; Consolidated Series 130,000 3.60% 3/3/2008 130,000 General Obligation; Consolidated Series 1993 950,000 2.89% 3/3/2008 950,000 IRVINE, CITY OF Limited Obligation Improvement Bonds, Assessment District 00-18; Series A 200,000 2.89% 3/3/2008 200,000 Limited Obligation Improvement Bonds, Assessment District 89-10 400,000 2.91% 3/3/2008 400,000 Limited Obligation Improvement Bonds, Assessment District 93-14 1,449,000 2.72% 3/3/2008 1,449,000 Limited Obligation Improvement Bonds, Assessment District 94-15 1,300,000 2.89% 3/3/2008 1,300,000 Limited Obligation Improvement Bonds, Assessment District 97-16 900,000 2.89% 3/3/2008 900,000 LOS ANGELES COUNTY HOUSING AUTHORITY Rowland Heights Preservation; Series A 1,385,000 3.00% 3/5/2008 1,385,000 LOS ANGELES WASTEWATER SYSTEMS Series A 975,000 5.50% 3/6/2008 975,000 LOS ANGELES COUNTY TRANSPORTATION COMMISSION Tax Refunding Bonds; Series A 2,000,000 7.00% 3/5/2008 2,000,000 LOS ANGELES UNIFIED SCHOOL DISTRICT Belmont Learning Complex; Series A 1,240,000 0.85% 3/5/2008 1,240,000 METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA Series B-1 700,000 2.89% 3/3/2008 700,000 Series C-2 900,000 3.75% 3/3/2008 900,000 Water Revenue Refunding Bonds; 1996 Series A 1,685,000 5.00% 3/6/2008 1,685,000
See accompanying notes to financial statements 10
------------------------------------------------------------------------------------------------------------------------ CALIFORNIA TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED) 2/29/2008 ------------------------------------------------------------------------------------------------------------------------ VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) ------------------------------------------------------------------------------------------------------------------------ ORANGE COUNTY HOUSING AUTHORITY Lantern Pines PJ-CC $1,260,000 2.75% 3/5/2008 $ 1,260,000 Revenue Bonds, Village Niguel, Issue AA of 1985 1,800,000 2.75% 3/5/2008 1,800,000 ORANGE COUNTY SANITATION DISTRICT Refunding Certificates of Participation; Series 1993 300,000 3.90% 3/3/2008 300,000 Series A 1,080,000 2.90% 3/3/2008 1,080,000 Series B 600,000 2.90% 3/3/2008 600,000 RIVERSIDE, COUNTY OF Community Facilities District 89-5, Special Tax 2,000,000 7.30% 3/5/2008 2,000,000 SAN FRANCISCO CITY & COUNTY FINANCE CORP. Moscone Center Expansion Project; Series 2000-3 1,985,000 5.10% 3/6/2008 1,985,000 SAN FRANCISCO, CITY AND COUNTY Laguna Honda Hospital; Series B 1,495,000 5.10% 3/6/2008 1,495,000 SAN JOSE - SANTA CLARA CLEAN WATER FINANCING AUTHORITY Variable Rate Sewer Revenue Refunding Bonds Series 2005B 400,000 2.78% 3/5/2008 400,000 SANTA ANA HOUSING AUTHORITY Harbor Pointe Apartments; 1995 Series A 1,720,000 2.85% 3/6/2008 1,720,000 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY Southern Transmission 500,000 2.85% 3/5/2008 500,000 TRACY, CITY OF Sycamore: 7/03 1,000,000 2.85% 3/6/2008 1,000,000 TUSTIN, CITY OF Reassessment District No. 95-2; Series A 800,000 2.89% 3/3/2008 800,000 WESTERN RIVERSIDE COUNTY REGIONAL WASTEWATER AUTHORITY Regional Wastewater Treatment Bonds, 1996 500,000 2.90% 3/3/2008 500,000 WILLIAM S. HART UNION HIGH SCHOOL DISTRICT School Facility Bridge Funding Program 2,000,000 2.85% 3/6/2008 2,000,000 ----------- Total Variable Rate Demand Notes (Cost $56,099,000) 56,099,000 ----------- TAX AND REVENUE ANTICIPATION NOTES (17.35%) CALIFORNIA SCHOOL CASH RESERVE PROGRAM AUTHORITY 2007-2008; Series A 1,750,000 4.25% 7/1/2008 1,753,542 CALIFORNIA, STATE OF Revenue Anticipation Notes 2,000,000 4.00% 6/30/2008 2,004,082 LOS ANGELES, CITY OF Tax and Revenue Anticipation Notes 2,000,000 4.50% 6/30/2008 2,005,422 LOS ANGELES, COUNTY OF Tax and Revenue Anticipation Notes 3,000,000 4.50% 6/30/2008 3,008,587 SACRAMENTO, COUNTY OF Tax and Revenue Anticipation Notes 2,000,000 4.25% 7/9/2008 2,004,163 SAN DIEGO COUNTY AND SCHOOL DISTRICT Series A 1,000,000 4.50% 6/30/2008 1,002,914 VENTURA, COUNTY OF Tax and Revenue Anticipation Notes 2,000,000 4.50% 7/1/2008 2,005,800 ----------- Total Tax & Revenue Anticipation Notes (Cost $13,784,510) 13,784,510 ----------- COMMERCIAL PAPER (11.33%) CHINO BASIN Certificates of Participation 2,000,000 2.65% 5/5/2008 2,000,000 CONTRA COSTA COUNTY WATER Certificates of Participation 2,000,000 2.75% 3/5/2008 2,000,000 RIVERSIDE COUNTY TEETER Commercial Paper Notes 2,000,000 1.65% 4/1/2008 2,000,000 UNIVERSITY OF CALIFORNIA BOARD OF REGENTS Commercial Paper Notes 3,000,000 2.55% 4/2/2008 3,000,000 ----------- Total Commercial Paper (Cost $9,000,000) 9,000,000 ----------- Total Investments (Cost $78,883,510) (a) (99.29%) 78,883,510 Other Net Assets (0.71%) 565,731 ----------- Net Assets (100.00%) $79,449,241 =========== (a) Aggregate cost for federal income tax purposes is $78,883,510.
* Stated maturity reflects next reset date. See accompanying notes to financial statements 11
-------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT SECURITIES FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 -------------------------------------------------------------------------------------------------------------------------------- VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) -------------------------------------------------------------------------------------------------------------------------------- Government National Mortgage Association (64.96%) $ 89,606 6.000% 4/15/2014 $ 92,864 136,035 6.000% 4/15/2014 140,981 141,212 6.000% 4/15/2016 146,404 124,023 6.500% 4/15/2016 129,921 108,998 6.000% 5/15/2016 113,005 776,478 5.000% 2/15/2018 789,424 522,576 5.000% 4/15/2018 531,289 907,749 5.000% 9/15/2018 922,884 9,286 10.000% 9/15/2018 11,138 28,013 9.000% 10/15/2018 30,754 1,006,778 5.000% 1/15/2019 1,023,749 1,242,367 5.000% 2/15/2019 1,263,309 1,212,436 5.000% 7/15/2020 1,232,297 578,563 5.500% 1/15/2025 604,307 637,902 6.000% 1/15/2026 663,481 1,389,745 4.750% 12/20/2034 1,393,150 1,356,324 4.750% 7/20/2035 1,403,543 663,007 4.500% 8/20/2035 679,927 3,595,773 5.500% 4/15/2036 3,679,037 3,093,758 4.500% 7/20/2037 3,211,055 ----------- Total Government National Mortgage Association (Cost $17,627,999) 18,062,519 ----------- United States Treasury Bonds (13.76%) 3,000,000 7.250% 5/15/2016 3,826,173 ----------- Total United States Treasury Bonds (Cost $3,531,743) 3,826,173 ----------- United States Treasury Notes (7.56%) 2,100,000 2.625% 5/15/2008 2,103,282 ----------- Total United States Treasury Notes (Cost $2,093,533) 2,103,282 ----------- United States Treasury Bills (12.91%) 2,100,000 2.025% - 2.779% 3/20/2008 2,097,210 200,000 2.242% 5/8/2008 199,344 1,300,000 2.194% - 2.211% 6/12/2008 1,293,398 ----------- Total United States Treasury Bills (Cost $3,588,352) 3,589,952 ----------- Money Fund (0.33%) The United States Treasury Trust (b) 92,370 92,370 Total Investments (Cost $26,933,997) (a) (99.52%) 27,674,296 Other Net Assets (0.48%) 134,051 ----------- Net Assets (100.00%) $27,808,347 =========== (a) Aggregate cost for federal income tax purposes is $26,933,997. At February 29, 2008, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 793,776 Unrealized depreciation (53,477) ----------- Net unrealized appreciation (depreciation) $ 740,299 ===========
(b) See note 5 regarding investments in The United States Treasury Trust Fund.
----------------------------------------------------------------------------------------------------------------- SHORT-TERM U.S. GOVERNMENT BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 ----------------------------------------------------------------------------------------------------------------- VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) ----------------------------------------------------------------------------------------------------------------- Government National Mortgage Association (6.04%) $265,307 5.000% 6/20/2034 $266,649 436,482 4.750% 11/20/2034 437,598 -------- Total Government National Mortgage Association (Cost $706,858) 704,247 -------- United States Treasury Notes (90.35%) 500,000 3.250% 1/15/2009 506,876 500,000 4.500% 2/15/2009 513,360 500,000 2.625% 3/15/2009 505,391 600,000 4.500% 3/31/2009 618,703 500,000 4.500% 4/30/2009 517,032 500,000 4.875% 5/15/2009 519,883
See accompanying notes to financial statements 12
------------------------------------------------------------------------------------------------------------------------- SHORT-TERM U.S. GOVERNMENT BOND FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED) 2/29/2008 ------------------------------------------------------------------------------------------------------------------------- VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) ------------------------------------------------------------------------------------------------------------------------- $ 400,000 4.000% 6/15/2009 $ 412,688 300,000 3.625% 7/15/2009 308,555 200,000 3.500% 8/15/2009 205,656 900,000 4.875% 8/15/2009 943,172 100,000 3.375% 9/15/2009 102,766 100,000 3.375% 10/15/2009 102,899 400,000 4.625% 11/15/2009 420,375 300,000 3.125% 11/30/2009 307,805 100,000 3.500% 12/15/2009 103,367 300,000 3.625% 1/15/2010 311,156 300,000 6.500% 2/15/2010 327,867 600,000 4.750% 2/15/2010 636,141 300,000 4.000% 3/15/2010 314,321 200,000 4.000% 4/15/2010 209,781 300,000 3.875% 5/15/2010 314,391 1,200,000 4.500% 5/15/2010 1,274,626 700,000 3.875% 7/15/2010 735,929 300,000 4.375% 12/15/2010 320,952 ----------- Total United States Treasury Notes (Cost $10,088,321) 10,533,692 ----------- United States Treasury Bills (2.57%) 200,000 2.779% 4/3/2008 199,586 100,000 2.211% 6/12/2008 99,492 ----------- Total United States Treasury Bills (Cost $298,968) 299,078 ----------- Money Fund (0.21%) The United States Treasury Trust (b) 24,127 24,127 Total Investments (Cost $11,118,274) (a) (99.17%) 11,561,144 Other Net Assets (0.83%) 96,348 ----------- Net Assets (100.00%) $11,657,492 =========== (a) Aggregate cost for federal income tax purposes is $11,120,249. At February 29, 2008, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: Unrealized appreciation $ 444,420 Unrealized depreciation (3,525) ----------- Net unrealized appreciation (depreciation) $ 440,895 ===========
(b) See note 5 regarding investments in The United States Treasury Trust Fund. THE UNITED STATES TREASURY TRUST PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008
VALUE SECURITY DESCRIPTION PAR VALUE RATE MATURITY (NOTE 1) ------------------------------------------------------- -------------- -------------------- ----------- -------------- United States Treasury Bills (100.34%) $15,000,000 2.172% - 3.211% 3/20/2008 $14,978,383 5,900,000 2.078% - 3.254% 4/3/2008 5,883,313 9,600,000 2.111% - 3.030% 5/8/2008 9,547,074 8,900,000 2.211% 6/12/2008 8,844,998 ----------- Total United States Treasury Bills (Cost $39,253,768) 39,253,768 ----------- Total Investments (Cost $39,253,768) (a) (100.34%) 39,253,768 Other Net Liabilities (-0.34%) (134,866) ----------- Net Assets (100.00%) $39,118,902 ===========
(a) Aggregate cost for federal income tax purposes is $39,253,768. See accompanying notes to financial statements 13 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ---------------------------------------------------------------------- Common Stock (98.81%) Basic Materials (3.54%) Air Products & Chemicals Inc 1,787 $ 163,207 Alcoa Inc 7,434 276,099 Allegheny Technologies Inc 854 66,057 Ashland Inc 431 19,037 Dow Chemical Co/The 7,985 300,955 Eastman Chemical Co 710 46,725 Ecolab Inc 1,453 67,986 EI Du Pont de Nemours & Co 7,723 358,502 Freeport-McMoRan Copper & Gold Inc 3,207 323,458 Hercules Inc 1,129 20,683 International Flavors & Fragrances Inc 683 29,458 International Paper Co 3,595 113,962 MeadWestvaco Corp 1,512 38,798 Monsanto Co 4,620 534,442 Newmont Mining Corp 3,766 192,706 Nucor Corp 2,404 155,226 Plum Creek Timber Co Inc 1,537 62,541 PPG Industries Inc 1,387 85,966 Praxair Inc 2,667 214,107 Rohm & Haas Co 1,096 58,757 Sherwin-Williams Co/The 934 48,363 Sigma-Aldrich Corp 1,154 63,493 Titanium Metals Corp 700 14,434 United States Steel Corp 991 107,474 Vulcan Materials Co 768 53,837 Weyerhaeuser Co 1,867 114,260 ----------------- Total Basic Materials 3,530,533 ----------------- Communications (10.69%) Akamai Technologies Inc* 1,400 49,224 Amazon.Com Inc* 2,600 167,622 American Tower Corp* 3,400 130,696 AT&T Inc 51,433 1,791,411 CBS Corp 5,761 131,466 CenturyTel Inc 1,054 38,144 Ciena Corp* 821 21,206 Cisco Systems Inc* 51,369 1,251,863 Citizens Communications Co 3,037 32,617 Clear Channel Communications Inc 4,300 137,600 Comcast Corp* 26,012 508,274 Corning Inc 13,253 307,867 DIRECTV Group Inc/The* 6,400 160,320 eBay Inc* 9,603 253,135 Embarq Corp 1,281 53,725 EW Scripps Co 800 33,416 Expedia Inc* 1,700 38,981 Gannett Co Inc 2,073 62,501 Google Inc* 1,900 895,242 IAC/InterActiveCorp* 1,600 31,840 Interpublic Group of Cos Inc* 4,290 36,980 JDS Uniphase Corp* 1,800 23,670 Juniper Networks Inc* 4,300 115,326 McGraw-Hill Cos Inc/The 2,816 115,259 Meredith Corp 327 14,175 Motorola Inc 19,535 194,764 New York Times Co/The 1,459 27,181 News Corp 19,461 358,277 Omnicom Group Inc 2,762 123,379 QUALCOMM Inc 14,110 597,841 Qwest Communications International Inc 13,871 74,903 Sprint Nextel Corp 23,944 170,242 Symantec Corp* 7,568 127,445 Tellabs Inc* 3,680 24,214 Time Warner Inc 30,621 477,994 VeriSign Inc* 2,100 73,080 Verizon Communications Inc 24,443 887,770 Viacom Inc* 5,761 229,000 Walt Disney Co/The 16,306 528,477 Windstream Corp 4,013 47,193 Yahoo! Inc* 11,316 314,358 ----------------- Total Communications 10,658,678 ----------------- Consumer, Cyclical (7.44%) Abercrombie & Fitch Co 700 54,271 AutoNation Inc* 1,202 17,513 AutoZone Inc* 360 41,429 Bed Bath & Beyond Inc* 2,427 68,781 Best Buy Co Inc 2,966 127,568 Big Lots Inc* 835 14,070 Brunswick Corp/DE 956 15,573 Carnival Corp 3,638 143,155 Centex Corp 1,020 22,634 Cintas Corp 1,157 33,298 Circuit City Stores Inc 1,466 6,480 Coach Inc* 3,180 96,418 Costco Wholesale Corp 3,733 231,147 CVS Caremark Corp 12,432 502,004 Darden Restaurants Inc 1,181 36,410 Dillard's Inc 552 8,164 DR Horton Inc 2,596 36,422 Family Dollar Stores Inc 1,287 24,646 Ford Motor Co* 17,383 113,511 GameStop Corp* 1,500 63,540 Gap Inc/The 4,141 83,524 General Motors Corp 4,903 114,142 Genuine Parts Co 1,439 59,359 Goodyear Tire & Rubber Co/The* 1,764 47,804 Harley-Davidson Inc 2,164 80,414 Harman International Industries Inc 500 20,600 Hasbro Inc 1,349 34,764 Home Depot Inc 14,210 377,276 International Game Technology 2,867 129,445 JC Penney Co Inc 1,836 84,842 Johnson Controls Inc 5,136 168,769 Jones Apparel Group Inc 820 11,570 KB Home 776 18,570 Kohl's Corp* 2,678 119,010 Lennar Corp 1,300 24,193 Liz Claiborne Inc 876 15,575 Lowe's Cos Inc 12,462 298,714 Ltd Brands Inc 2,733 41,678 Macy's Inc 3,640 89,835 Marriott International Inc/DE 2,718 92,684 Mattel Inc 3,213 62,075 McDonald's Corp 10,012 541,749 Newell Rubbermaid Inc 2,365 53,686 Nike Inc 3,280 197,456 Nordstrom Inc 1,658 61,396 Office Depot Inc* 2,343 26,640 OfficeMax Inc 700 14,889 Paccar Inc 3,117 135,215 Polo Ralph Lauren Corp 500 31,095 Pulte Homes Inc 1,810 24,507 RadioShack Corp 1,294 22,580 Sears Holdings Corp* 677 64,735 Southwest Airlines Co 6,485 79,506 Staples Inc 6,039 134,368 Starbucks Corp* 6,248 112,277 Starwood Hotels & Resorts Worldwide Inc 1,746 82,638 Target Corp 7,141 375,688 Tiffany & Co 1,141 42,947 TJX Cos Inc 3,710 118,720 VF Corp 775 58,931 Walgreen Co 8,361 305,260 Wal-Mart Stores Inc 20,270 1,005,189 Wendy's International Inc 696 16,899 Whirlpool Corp 642 54,166 WW Grainger Inc 597 43,975 Wyndham Worldwide Corp 1,509 33,455 Yum! Brands Inc 4,336 149,375 ----------------- Total Consumer, Cyclical 7,419,219 ----------------- Consumer, Non-Cyclical (21.11%) Abbott Laboratories 13,018 697,114 Aetna Inc 4,350 215,760 Allergan Inc 2,558 151,510 Altria Group Inc 17,690 1,293,847 AmerisourceBergen Corp 1,554 64,833 Amgen Inc* 9,125 415,370 Anheuser-Busch Cos Inc 6,277 295,584 Apollo Group Inc* 1,216 74,638 Archer-Daniels-Midland Co 5,377 242,503 Automatic Data Processing Inc 4,474 178,736 Avery Dennison Corp 891 45,726 Avon Products Inc 3,658 139,223 Barr Pharmaceuticals Inc* 900 42,435 Baxter International Inc 5,431 320,538 Becton Dickinson & Co 2,048 185,180 Biogen Idec Inc* 2,456 143,332 Boston Scientific Corp* 11,263 141,801 Bristol-Myers Squibb Co 16,657 376,615 Brown-Forman Corp 679 43,300 Campbell Soup Co 1,775 57,315 Cardinal Health Inc 3,092 182,861 Celgene Corp* 3,200 180,384 Clorox Co 1,128 65,638 Coca-Cola Co/The 16,728 977,919 Coca-Cola Enterprises Inc 2,339 57,142 Colgate-Palmolive Co 4,325 329,089 ConAgra Foods Inc 4,122 91,096 Constellation Brands Inc* 1,669 32,061 Convergys Corp* 1,100 15,884 Coventry Health Care Inc* 1,300 67,431 Covidien Ltd 4,158 177,921 CR Bard Inc 884 83,794 Dean Foods Co 1,100 23,672 Eli Lilly & Co 8,327 416,517 Equifax Inc 1,159 39,661 Estee Lauder Cos Inc/The 1,100 46,838 Express Scripts Inc* 2,164 127,892 Forest Laboratories Inc* 2,726 108,413 Fortune Brands Inc 1,241 80,640 General Mills Inc 2,799 156,716 Genzyme Corp* 2,172 154,038 Gilead Sciences Inc* 7,850 371,462 See accompanying notes to financial statements 14 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ----------------------------------------------------------------------- H&R Block Inc 2,712 $ 50,579 Hershey Co/The 1,533 56,844 HJ Heinz Co 2,647 116,759 Hospira Inc* 1,350 57,456 Humana Inc* 1,388 94,842 Johnson & Johnson 24,415 1,512,753 Kellogg Co 2,222 112,700 Kimberly-Clark Corp 3,593 234,192 King Pharmaceuticals Inc* 2,430 25,758 Kraft Foods Inc 13,325 415,340 Kroger Co/The 5,936 143,948 Laboratory Corp of America Holdings* 1,002 77,465 McCormick & Co Inc/MD 1,075 37,034 McKesson Corp 2,457 144,373 Medco Health Solutions Inc* 4,482 198,597 Medtronic Inc 9,558 471,783 Merck & Co Inc 18,353 813,038 Millipore Corp* 423 29,568 Molson Coors Brewing Co 1,100 59,356 Monster Worldwide Inc* 1,196 31,802 Moody's Corp 1,875 71,213 Mylan Inc 2,107 24,947 Patterson Cos Inc* 1,300 45,760 Paychex Inc 2,899 91,203 Pepsi Bottling Group Inc 1,328 45,165 PepsiCo Inc 13,602 946,155 Pfizer Inc 58,352 1,300,083 Procter & Gamble Co 26,337 1,742,983 Quest Diagnostics Inc 1,280 61,018 Reynolds American Inc 1,470 93,668 Robert Half International Inc 1,510 40,695 RR Donnelley & Sons Co 1,958 62,323 Safeway Inc 3,802 109,269 Sara Lee Corp 6,096 76,992 Schering-Plough Corp 13,595 295,012 St Jude Medical Inc* 2,842 122,149 Stryker Corp 1,954 127,225 Supervalu Inc 1,839 48,274 Sysco Corp 5,149 144,481 Tenet Healthcare Corp* 4,695 22,583 Tyson Foods Inc 2,300 33,143 UnitedHealth Group Inc 11,199 520,530 UST Inc 1,350 73,292 Varian Medical Systems Inc* 1,100 57,695 Watson Pharmaceuticals Inc* 836 23,249 WellPoint Inc* 4,822 337,926 Western Union Co/The 6,540 136,032 Whole Foods Market Inc 1,300 45,695 WM Wrigley Jr Co 1,858 111,220 Wyeth 11,329 494,171 Zimmer Holdings Inc* 1,950 146,816 ------------------ Total Consumer, Non-Cyclical 21,047,583 ------------------ Diversified (0.06%) Leucadia National Corp 1,400 63,364 ------------------ Total Diversified 63,364 ------------------ Energy (13.29%) Anadarko Petroleum Corp 3,918 249,733 Apache Corp 2,784 319,353 Baker Hughes Inc 2,675 180,001 BJ Services Co 2,548 66,095 Chesapeake Energy Corp 3,500 158,270 Chevron Corp 17,977 1,557,887 ConocoPhillips 13,681 1,131,556 Consol Energy Inc 1,500 113,970 Devon Energy Corp 3,775 387,768 El Paso Corp 5,972 97,344 ENSCO International Inc 1,200 71,808 EOG Resources Inc 2,086 248,213 Exxon Mobil Corp 46,330 4,031,173 Halliburton Co 7,462 285,795 Hess Corp 2,293 213,662 Marathon Oil Corp 5,982 318,003 Murphy Oil Corp 1,600 128,608 Nabors Industries Ltd* 2,404 75,798 National Oilwell Varco Inc* 2,988 186,152 Noble Corp 2,216 108,916 Noble Energy Inc 1,400 108,360 Occidental Petroleum Corp 7,010 542,364 Peabody Energy Corp 2,200 124,564 Questar Corp 1,500 82,875 Range Resources Corp 1,400 85,652 Rowan Cos Inc 921 37,126 Schlumberger Ltd 10,000 864,500 Smith International Inc 1,700 107,151 Spectra Energy Corp 5,340 123,407 Sunoco Inc 1,006 61,446 Tesoro Corp 1,200 44,568 Transocean Inc* 1,703 239,289 Valero Energy Corp 4,652 268,746 Weatherford International Ltd* 2,800 192,976 Williams Cos Inc 5,123 184,530 XTO Energy Inc 4,061 250,604 ------------------ Total Energy 13,248,263 ------------------ Financial (16.75%) ACE Ltd 2,736 153,873 Aflac Inc 4,094 255,507 Allstate Corp/The 4,885 233,161 AMBAC Financial Group Inc 827 9,213 American Capital Strategies Ltd 1,600 58,064 American Express Co 9,991 422,619 American International Group Inc 21,596 1,011,989 Ameriprise Financial Inc 1,978 100,166 AON Corp 2,484 103,359 Apartment Investment & Management Co 829 28,559 Assurant Inc 800 50,040 AvalonBay Communities Inc 700 64,701 Bank of America Corp 37,346 1,484,130 Bank of New York Mellon Corp/The 9,567 419,704 BB&T Corp 4,620 143,821 Bear Stearns Cos Inc/The 941 75,148 Boston Properties Inc 1,000 86,170 Capital One Financial Corp 3,543 163,084 CB Richard Ellis Group Inc* 1,600 32,096 Charles Schwab Corp/The 7,995 156,782 Chubb Corp 3,356 170,820 Cigna Corp 2,346 104,585 Cincinnati Financial Corp 1,551 57,651 CIT Group Inc 1,717 38,152 Citigroup Inc 41,911 993,710 CME Group Inc 400 205,320 Comerica Inc 1,331 48,235 Commerce Bancorp Inc/NJ 1,700 64,226 Countrywide Financial Corp 5,126 32,345 Developers Diversified Realty Corp 1,000 38,560 Discover Financial Services 4,034 60,873 E*Trade Financial Corp* 3,742 15,978 Equity Residential 2,484 94,839 Federal National Mortgage Association 8,249 228,085 Federated Investors Inc 848 34,412 Fifth Third Bancorp 4,472 102,409 First Horizon National Corp 1,038 16,857 Franklin Resources Inc 1,329 125,418 Freddie Mac 5,500 138,490 General Growth Properties Inc 2,100 74,151 Genworth Financial Inc 3,700 85,766 Goldman Sachs Group Inc 3,322 563,511 Hartford Financial Services Group Inc 2,634 184,117 Host Hotels & Resorts Inc 4,600 74,474 Hudson City Bancorp Inc 4,300 68,241 Huntington Bancshares Inc/OH 3,125 38,188 IntercontinentalExchange Inc* 600 78,180 Janus Capital Group Inc 1,377 33,351 JPMorgan Chase & Co 28,524 1,159,501 Keycorp 3,287 72,478 Kimco Realty Corp 2,100 70,917 Legg Mason Inc 1,100 72,644 Lehman Brothers Holdings Inc 4,486 228,741 Lincoln National Corp 2,289 116,991 Loews Corp 3,768 157,653 M&T Bank Corp 659 54,091 Marsh & McLennan Cos Inc 4,530 115,379 Marshall & Ilsley Corp 2,248 52,154 MBIA Inc 1,215 15,759 Merrill Lynch & Co Inc 7,277 360,648 MetLife Inc 6,247 363,950 MGIC Investment Corp 844 12,500 Morgan Stanley 8,869 373,562 National City Corp 5,195 82,393 Northern Trust Corp 1,583 107,058 NYSE Euronext 2,200 144,474 PNC Financial Services Group Inc 2,926 179,744 Principal Financial Group Inc 2,207 121,893 Progressive Corp/The 6,108 111,960 Prologis 2,148 115,734 Prudential Financial Inc 3,888 283,707 Public Storage 1,000 81,360 Regions Financial Corp 5,885 124,762 Safeco Corp 887 41,033 Simon Property Group Inc 1,850 155,030 SLM Corp* 3,509 68,811 Sovereign Bancorp Inc 3,120 34,414 State Street Corp 3,254 255,602 SunTrust Banks Inc 2,946 171,251 T Rowe Price Group Inc 2,226 112,480 Torchmark Corp 787 47,425 Travelers Cos Inc/The 5,538 257,019 Unum Group 2,983 68,341 US Bancorp 14,513 464,706 Vornado Realty Trust 1,100 91,916 Wachovia Corp 16,031 490,869 Washington Mutual Inc 7,397 109,476 Wells Fargo & Co 28,148 822,766 See accompanying notes to financial statements 15 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ----------------------------------------------------------------------- XL Capital Ltd 1,549 $ 55,857 Zions Bancorporation 953 45,506 ------------------ Total Financial 16,695,685 ------------------ Industrial (12.03%) 3M Co 6,054 474,634 Agilent Technologies Inc* 3,215 98,411 Allied Waste Industries Inc* 2,502 25,871 Applera Corp - Applied Biosystems Group 1,572 52,992 Ball Corp 990 43,659 Bemis Co Inc 906 22,487 Black & Decker Corp 525 36,104 Boeing Co 6,596 546,083 Burlington Northern Santa Fe Corp 2,482 217,870 Caterpillar Inc 5,388 389,714 CH Robinson Worldwide Inc 1,500 76,155 Cooper Industries Ltd 1,506 63,147 CSX Corp 3,718 180,397 Cummins Inc 1,788 90,079 Danaher Corp 2,083 154,454 Deere & Co 3,710 316,129 Dover Corp 1,842 76,461 Eastman Kodak Co 2,384 40,480 Eaton Corp 1,240 99,981 Emerson Electric Co 6,662 339,496 Expeditors International Washington Inc 1,800 70,776 FedEx Corp 2,638 232,487 Fluor Corp 774 107,780 General Dynamics Corp 3,402 278,454 General Electric Co 85,669 2,839,071 Goodrich Corp 1,031 61,066 Honeywell International Inc 6,297 362,329 Illinois Tool Works Inc 3,558 174,591 Ingersoll-Rand Co Ltd 2,452 102,641 ITT Corp 1,498 84,248 Jabil Circuit Inc 1,699 21,951 Jacobs Engineering Group Inc* 1,000 80,290 L-3 Communications Holdings Inc 1,034 109,904 Leggett & Platt Inc 1,520 25,384 Lockheed Martin Corp 2,915 300,828 Manitowoc Co Inc/The 1,100 44,814 Masco Corp 3,084 57,640 Molex Inc 1,295 29,176 Norfolk Southern Corp 3,284 173,691 Northrop Grumman Corp 2,931 230,406 Pactiv Corp* 1,193 30,207 Pall Corp 1,025 40,354 Parker Hannifin Corp 1,509 97,527 PerkinElmer Inc 1,021 25,341 Precision Castparts Corp 1,200 132,468 Raytheon Co 3,648 236,536 Rockwell Automation Inc 1,270 69,482 Rockwell Collins Inc 1,357 79,927 Ryder System Inc 477 27,480 Sealed Air Corp 1,582 38,300 Snap-On Inc 609 30,401 Stanley Works/The 670 32,522 Terex Corp* 900 60,705 Textron Inc 2,066 111,915 Thermo Fisher Scientific Inc* 3,610 201,907 Trane Inc 1,457 65,638 Tyco Electronics Ltd 4,158 136,798 Tyco International Ltd 4,158 166,569 Union Pacific Corp 2,202 274,722 United Parcel Service Inc 8,844 621,203 United Technologies Corp 8,381 590,944 Waste Management Inc 4,328 142,088 Waters Corp* 883 52,636 ------------------ Total Industrial 11,997,801 ------------------ Technology (10.47%) Adobe Systems Inc* 5,034 169,394 Advanced Micro Devices Inc* 4,487 32,351 Affiliated Computer Services Inc* 805 40,854 Altera Corp 3,100 53,041 Analog Devices Inc 2,580 69,454 Apple Inc* 7,368 921,147 Applied Materials Inc 11,609 222,545 Autodesk Inc* 1,888 58,698 BMC Software Inc* 1,733 55,941 Broadcom Corp* 3,953 74,751 CA Inc 3,290 75,275 Citrix Systems Inc* 1,544 50,844 Cognizant Technology Solutions Corp* 2,400 72,504 Computer Sciences Corp* 1,490 64,741 Compuware Corp* 2,795 22,248 Dell Inc* 19,135 379,830 Electronic Arts Inc* 2,629 124,325 Electronic Data Systems Corp 4,289 74,285 EMC Corp/Massachusetts* 17,660 274,436 Fidelity National Information Services Inc 1,400 58,086 Fiserv Inc* 1,368 71,984 Hewlett-Packard Co 21,681 1,035,701 IMS Health Inc 1,733 39,010 Intel Corp 49,189 981,321 International Business Machines Corp 11,415 1,299,712 Intuit Inc* 2,806 74,527 Kla-Tencor Corp 1,659 69,695 Lexmark International Inc* 856 28,274 Linear Technology Corp 1,917 53,120 LSI Corp* 6,000 30,240 MEMC Electronic Materials Inc* 1,900 144,932 Microchip Technology Inc 1,800 55,404 Micron Technology Inc* 6,262 47,090 Microsoft Corp 67,982 1,850,470 National Semiconductor Corp 2,003 32,989 Network Appliance Inc* 2,959 63,974 Novell Inc* 2,982 22,216 Novellus Systems Inc* 1,106 24,420 Nvidia Corp* 4,572 97,795 Oracle Corp* 33,152 623,258 Pitney Bowes Inc 1,820 65,120 QLogic Corp* 1,486 23,553 SanDisk Corp* 2,000 47,100 Sun Microsystems Inc* 7,459 122,328 Teradata Corp* 1,575 39,737 Teradyne Inc* 2,030 24,340 Texas Instruments Inc 12,083 362,007 Total System Services Inc 1,406 31,255 Unisys Corp* 3,371 13,922 Xerox Corp 7,856 115,483 Xilinx Inc 2,504 55,989 ----------------- Total Technology 10,441,716 ----------------- Utilities (3.42%) AES Corp/The* 5,611 100,886 Allegheny Energy Inc 1,381 69,975 Ameren Corp 1,712 73,102 American Electric Power Co Inc 3,369 137,859 Centerpoint Energy Inc 2,697 39,592 CMS Energy Corp 2,062 29,672 Consolidated Edison Inc 2,227 91,062 Constellation Energy Group Inc 1,472 130,051 Dominion Resources Inc/VA 4,860 194,108 DTE Energy Co 1,568 62,516 Duke Energy Corp 10,582 185,608 Dynegy Inc* 4,200 31,080 Edison International 2,778 137,233 Entergy Corp 1,678 172,398 Exelon Corp 5,694 426,196 FirstEnergy Corp 2,518 170,192 FPL Group Inc 3,378 203,660 Integrys Energy Group Inc 615 28,272 Nicor Inc 460 15,686 NiSource Inc 2,493 42,855 Pepco Holdings Inc 1,700 42,959 PG&E Corp 3,092 116,445 Pinnacle West Capital Corp 969 34,448 PPL Corp 3,232 146,668 Progress Energy Inc 2,285 95,764 Public Service Enterprise Group Inc 4,382 193,245 Sempra Energy 2,196 116,672 Southern Co 6,412 221,405 TECO Energy Inc 1,982 29,689 Xcel Energy Inc 3,728 73,889 ----------------- Total Utilities 3,413,187 ----------------- Total Common Stock (Cost $70,702,891) 98,516,029 ----------------- Short-Term Investments (1.01%) Money Fund (0.01%) The United States Treasury Trust (b) 7,093 7,093 Par Value --------- $ 700,000 United States Treasury Bill 04/03/2008 (c) 698,765 300,000 United States Treasury Bill 05/08/2008 299,015 ----------------- Total United States Treasury Bills 997,780 ----------------- Total Short-Term Investments (Cost $1,004,826) 1,004,873 ----------------- Total Investments (Cost $71,707,717) (a) (99.82%) 99,520,902 Other Net Assets (0.18%) 184,197 ----------------- Net Assets (100.00%) $ 99,705,099 ================= See accompanying notes to financial statements 16 -------------------------------------------------------------------------------- S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED) 2/29/2008 -------------------------------------------------------------------------------- * Non-Income Producing Security (a) Aggregate cost for federal income tax purpose is $72,295,878. At February 29, 2008, unrealized appreciation (depreciation) of securities is as follows: Unrealized appreciation $ 36,051,445 Unrealized depreciation (8,826,421) ---------------- Net unrealized appreciation (depreciation) $ 27,225,024 ================ (b) See note 5 regarding investments in The United States Treasury Trust Fund. (c) At February 29, 2008, certain United States Treasury Bills with a market value of $199,660 were pledged to cover margin requirements for future contracts. (d) Futures contracts at February 29, 2008: Contracts-$250 times premium/delivery month/ commitment S&P 500 Index Unrealized Depreciation 3/March 08/ Long $ (68,439) ========= -------------------------------------------------------------------------------- S&P MID CAP INDEX FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ---------------------------------------------------------------------- Common Stock (97.77%) Basic Materials (6.20%) Airgas Inc 12,148 $ 590,271 Albemarle Corp 11,672 442,836 Cabot Corp 9,535 261,259 Carpenter Technology Corp 7,200 452,376 CF Industries Holdings Inc 7,000 854,560 Chemtura Corp 35,400 292,404 Cleveland-Cliffs Inc 6,100 728,706 Cytec Industries Inc 6,164 353,074 Ferro Corp 6,436 103,620 FMC Corp 11,068 626,559 Louisiana-Pacific Corp 15,200 165,376 Lubrizol Corp 10,101 588,888 Minerals Technologies Inc 2,779 167,518 Olin Corp 11,342 217,993 Potlatch Corp 5,863 241,966 Rayonier Inc 11,396 484,900 Reliance Steel & Aluminum Co 9,500 527,345 RPM International Inc 17,783 371,843 Sensient Technologies Corp 7,064 190,304 Steel Dynamics Inc 14,182 826,243 Temple-Inland Inc 16,200 222,426 Terra Industries Inc* 13,600 614,856 Valspar Corp 14,748 319,884 ------------------ Total Basic Materials 9,645,207 ------------------ Communications (4.73%) 3Com Corp* 58,172 191,386 ADC Telecommunications Inc* 17,200 235,124 Adtran Inc 8,517 156,883 Avocent Corp* 7,775 130,076 Belo Corp 13,313 156,694 Cincinnati Bell Inc* 36,400 141,232 CommScope Inc* 9,938 416,203 Digital River Inc* 5,900 192,517 Entercom Communications Corp 4,243 47,394 F5 Networks Inc* 12,602 279,260 Foundry Networks Inc* 22,000 261,140 Getty Images Inc* 7,000 225,120 Harris Corp 20,074 980,213 Harte-Hanks Inc 7,584 128,245 John Wiley & Sons Inc 6,800 248,064 Lamar Advertising Co 11,600 442,076 Lee Enterprises Inc 5,807 59,870 McAfee Inc* 23,335 776,355 Media General Inc 3,793 59,171 NetFlix Inc* 7,300 230,534 NeuStar Inc* 11,300 289,958 Plantronics Inc 7,361 138,828 Polycom Inc* 13,323 290,441 RF Micro Devices Inc* 42,536 133,988 Scholastic Corp* 4,026 140,387 Telephone & Data Systems Inc 15,593 731,312 Valueclick Inc* 14,400 278,064 ------------------ Total Communications 7,360,535 ------------------ Consumer, Cyclical (11.33%) 99 Cents Only Stores* 7,381 68,569 Advance Auto Parts Inc 14,648 491,294 Aeropostale Inc* 10,178 273,381 Airtran Holdings Inc* 14,141 102,098 Alaska Air Group Inc* 6,245 152,378 American Eagle Outfitters Inc 31,359 670,142 AnnTaylor Stores Corp* 9,387 225,476 ArvinMeritor Inc 11,108 125,409 Barnes & Noble Inc 7,063 198,612 BJ's Wholesale Club Inc* 9,426 297,485 Bob Evans Farms Inc 4,816 139,423 Borders Group Inc 9,465 87,646 BorgWarner Inc 17,054 735,198 Boyd Gaming Corp 8,237 173,718 Brinker International Inc 15,412 284,197 Callaway Golf Co 9,526 145,176 Carmax Inc* 31,976 587,079 CBRL Group Inc 3,529 128,526 Charming Shoppes Inc* 18,600 102,486 Cheesecake Factory/The* 10,471 218,949 Chico's FAS Inc* 25,796 240,161 Chipotle Mexican Grill Inc* 4,800 476,640 Coldwater Creek Inc* 9,100 50,323 Collective Brands Inc* 10,016 157,952 Copart Inc* 10,334 430,514 Dick's Sporting Goods Inc* 12,200 336,476 Dollar Tree Inc* 13,445 360,729 Fastenal Co 18,438 749,689 Foot Locker Inc 22,693 279,124 Furniture Brands International Inc 7,364 95,732 Guess ? Inc 8,000 329,040 Hanesbrands Inc* 14,000 407,400 Herman Miller Inc 8,688 259,163 HNI Corp 6,707 198,259 Hovnanian Enterprises Inc* 5,759 52,464 Ingram Micro Inc* 21,500 328,305 International Speedway Corp 4,733 188,563 JetBlue Airways Corp* 27,500 149,875 Lear Corp* 11,272 310,882 Life Time Fitness Inc* 4,900 142,394 Macrovision Corp* 8,061 123,253 MDC Holdings Inc 5,100 213,588 Modine Manufacturing Co 5,317 66,356 Mohawk Industries Inc* 8,287 591,775 MSC Industrial Direct Co 7,000 284,060 NVR Inc* 800 432,544 O'Reilly Automotive Inc* 16,898 455,570 Oshkosh Corp 10,900 436,763 Pacific Sunwear Of California* 10,538 117,604 PetSmart Inc 18,889 406,680 Phillips-Van Heusen Corp 8,300 303,033 Regis Corp 6,509 163,050 Ross Stores Inc 19,824 552,098 Ruby Tuesday Inc 8,522 60,591 Ryland Group Inc 6,133 173,503 Saks Inc* 20,765 323,103 Scientific Games Corp* 9,500 196,365 Tech Data Corp* 8,352 278,539 Thor Industries Inc 5,115 155,905 Timberland Co* 7,782 116,886 Toll Brothers Inc* 18,642 395,397 Urban Outfitters Inc* 16,524 475,561 Warnaco Group Inc/The* 6,700 251,652 Williams-Sonoma Inc 12,864 300,503 ------------------ Total Consumer, Cyclical 17,625,306 ------------------ Consumer, Non-Cyclical (19.05%) Advanced Medical Optics Inc* 9,344 213,791 Affymetrix Inc* 10,700 205,226 Alberto-Culver Co 12,400 332,320 Alliance Data Systems Corp* 11,516 583,055 American Greetings Corp 7,649 143,954 Apria Healthcare Group Inc* 6,872 149,191 Avis Budget Group Inc* 15,700 179,451 Beckman Coulter Inc 9,187 620,123 Blyth Inc 3,497 69,346 Career Education Corp* 13,378 198,663 Cephalon Inc* 9,805 591,634 Charles River Laboratories International Inc* 9,919 581,055 ChoicePoint Inc* 10,510 508,684 Church & Dwight Co Inc 9,709 519,043 Community Health Systems Inc* 13,998 434,918 Corinthian Colleges Inc* 13,615 108,239 Corn Products International Inc 11,000 403,810 Corporate Executive Board Co 5,200 211,172 Corrections Corp of America* 18,200 488,852 Covance Inc* 9,320 786,701 Deluxe Corp 8,036 167,390 Dentsply International Inc 22,178 865,829 DeVry Inc 8,801 386,716 Edwards Lifesciences Corp* 8,339 363,664 Endo Pharmaceuticals Holdings Inc* 19,700 517,322 Gartner Inc* 10,131 191,577 Gen-Probe Inc* 8,075 386,066 Hansen Natural Corp* 8,800 365,200 Health Management Associates Inc* 35,600 190,460 Health Net Inc* 16,159 710,026 Henry Schein Inc* 13,092 783,163 See accompanying notes to financial statements 17 -------------------------------------------------------------------------------- S&P MID CAP INDEX FUND 2/29/2008 PORTFOLIO OF INVESTMENTS (UNAUDITED)-(CONTINUED) -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------- -------- ------------------ Hillenbrand Industries Inc 9,117 $ 478,369 Hologic Inc* 18,417 1,110,729 Hormel Foods Corp 10,648 435,077 Intuitive Surgical Inc* 5,651 1,593,130 Invitrogen Corp* 6,840 577,912 ITT Educational Services Inc* 4,292 237,004 JM Smucker Co/The 8,468 433,477 Kelly Services Inc 3,406 65,429 Kindred Healthcare Inc* 4,400 92,796 Kinetic Concepts Inc* 7,900 405,981 Korn/Ferry International* 6,830 115,154 LifePoint Hospitals Inc* 8,993 225,365 Lincare Holdings Inc* 11,756 382,070 Manpower Inc 11,887 673,993 Medicis Pharmaceutical Corp 8,700 178,437 Millennium Pharmaceuticals Inc* 47,316 661,951 MPS Group Inc* 14,786 168,560 Navigant Consulting Inc* 6,700 109,277 NBTY Inc* 8,200 234,192 Omnicare Inc 17,830 374,073 Par Pharmaceutical Cos Inc* 5,482 96,977 PDL BioPharma Inc* 17,208 274,984 PepsiAmericas Inc 8,793 222,463 Perrigo Co 11,559 386,302 Pharmaceutical Product Development Inc 15,300 689,571 Psychiatric Solutions Inc* 8,400 237,636 Quanta Services Inc* 25,028 597,669 Rent-A-Center Inc/TX* 9,843 168,807 Resmed Inc* 11,300 457,537 Rollins Inc 6,276 110,771 Ruddick Corp 5,308 171,183 Scotts Miracle-Gro Co/The 6,460 229,911 Sepracor Inc* 16,338 350,777 Service Corp International/US 42,200 455,760 Smithfield Foods Inc* 17,160 472,758 Sotheby's 9,743 328,534 STERIS Corp 9,796 241,178 Strayer Education Inc 2,100 326,970 Techne Corp* 5,754 393,516 Tootsie Roll Industries Inc 4,129 100,046 Tupperware Brands Corp 9,257 337,695 United Rentals Inc* 11,043 221,964 Universal Corp/Richmond VA 4,144 235,835 Universal Health Services Inc 7,852 419,454 Valassis Communications Inc* 7,692 86,304 Valeant Pharmaceuticals International* 13,317 183,109 VCA Antech Inc* 12,329 395,884 Vertex Pharmaceuticals Inc* 19,486 341,005 WellCare Health Plans Inc* 6,100 291,214 ------------------ Total Consumer, Non-Cyclical 29,635,431 ------------------ Energy (10.99%) Arch Coal Inc 21,020 1,073,912 Bill Barrett Corp* 4,900 227,066 Cimarex Energy Co 12,100 637,670 Denbury Resources Inc* 35,864 1,143,703 Encore Acquisition Co* 8,200 301,760 Equitable Resources Inc 17,816 1,097,822 Exterran Holdings Inc* 9,591 668,013 FMC Technologies Inc* 19,120 1,083,339 Forest Oil Corp* 12,759 629,401 Frontier Oil Corp 15,500 553,505 Grant Prideco Inc* 18,638 940,660 Helmerich & Payne Inc 15,128 678,188 National Fuel Gas Co 12,202 574,104 Newfield Exploration Co* 19,236 1,065,290 Oneok Inc 15,234 709,447 Patterson-UTI Energy Inc 22,704 538,766 Pioneer Natural Resources Co 17,530 785,169 Plains Exploration & Production Co* 16,526 892,404 Pride International Inc* 24,480 867,571 Quicksilver Resources Inc* 15,068 518,339 Southwestern Energy Co* 25,000 1,630,750 Superior Energy Services* 11,800 480,142 ------------------ Total Energy 17,097,021 ------------------ Financial (14.48%) Alexandria Real Estate Equities Inc 4,700 431,460 AMB Property Corp 14,492 727,209 American Financial Group Inc/OH 10,882 281,517 AmeriCredit Corp* 16,693 240,045 Arthur J Gallagher & Co 13,800 325,680 Associated Banc-Corp 18,623 464,085 Astoria Financial Corp 11,982 313,569 Bank of Hawaii Corp 7,221 346,752 BRE Properties Inc 7,400 318,644 Brown & Brown Inc 16,664 297,119 Camden Property Trust 8,100 384,669 Cathay General Bancorp 7,300 160,016 City National Corp/CA 5,950 304,938 Colonial BancGroup Inc/The 23,037 278,287 Commerce Group Inc 6,300 228,312 Cousins Properties Inc 5,500 133,430 Cullen/Frost Bankers Inc 8,558 437,485 Duke Realty Corp 21,400 490,488 Eaton Vance Corp 18,082 575,912 Equity One Inc 5,700 121,980 Everest Re Group Ltd 9,220 893,234 Federal Realty Invs Trust 8,300 594,944 Fidelity National Financial Inc 31,622 556,863 First American Corp 13,483 469,613 First Community Bancorp Inc/CA 3,700 105,450 First Niagara Financial Group Inc 15,434 176,256 FirstMerit Corp 12,123 227,549 Hanover Insurance Group Inc/The 7,607 332,350 HCC Insurance Holdings Inc 17,292 416,046 Health Care REIT Inc 12,400 510,384 Highwoods Properties Inc 8,559 252,319 Horace Mann Educators Corp 6,562 114,048 Hospitality Properties Trust 13,761 499,937 IndyMac Bancorp Inc 11,027 67,816 Jefferies Group Inc 16,328 289,822 Jones Lang LaSalle Inc 5,400 412,506 Liberty Property Trust 13,428 398,946 Macerich Co/The 10,641 681,024 Mack-Cali Realty Corp 9,977 344,107 Mercury General Corp 5,400 246,240 Nationwide Health Properties Inc 13,800 418,554 New York Community Bancorp Inc 47,434 774,597 Old Republic International Corp 33,795 463,667 PMI Group Inc/The 11,914 86,615 Protective Life Corp 10,318 398,172 Radian Group Inc 12,470 88,786 Raymond James Financial Inc 13,910 312,558 Realty Income Corp 14,800 340,548 Regency Centers Corp 10,159 602,937 StanCorp Financial Group Inc 7,234 355,117 SVB Financial Group* 4,820 218,346 Synovus Financial Corp 48,200 555,746 TCF Financial Corp 15,928 296,420 UDR Inc 19,659 439,379 Unitrin Inc 7,551 268,816 Waddell & Reed Financial Inc 12,204 382,473 Washington Federal Inc 12,798 290,515 Webster Financial Corp 7,867 220,040 Weingarten Realty Investors 11,087 356,004 Westamerica Bancorporation 4,320 204,466 Wilmington Trust Corp 10,106 311,265 WR Berkley Corp 23,669 681,431 ------------------ Total Financial 22,517,503 ------------------ Industrial (16.61%) AGCO Corp* 13,448 872,237 Alexander & Baldwin Inc 6,322 278,421 Alliant Techsystems Inc* 4,772 500,774 Ametek Inc 15,640 666,108 Amphenol Corp 26,152 966,839 Aptargroup Inc 10,000 374,800 Arrow Electronics Inc* 17,983 586,426 Avnet Inc* 21,998 741,553 BE Aerospace Inc* 13,600 466,480 Brink's Co/The 7,113 476,073 Carlisle Cos Inc 9,316 340,313 Commercial Metals Co 17,400 530,004 Con-way Inc 6,652 301,402 Crane Co 7,509 309,596 Donaldson Co Inc 10,428 439,644 DRS Technologies Inc 6,000 336,540 Dycom Industries Inc* 6,201 70,939 Energizer Holdings Inc* 8,389 778,751 Federal Signal Corp 7,404 89,366 Flowserve Corp 8,393 913,998 GATX Corp 7,018 252,508 Gentex Corp 21,170 341,260 Graco Inc 9,249 321,033 Granite Construction Inc 5,296 159,886 Harsco Corp 12,354 697,877 Hubbell Inc 8,523 386,689 IDEX Corp 11,900 358,904 JB Hunt Transport Services Inc 12,852 351,759 Joy Global Inc 15,850 1,051,965 Kansas City Southern* 11,300 404,540 KBR Inc* 24,800 826,584 Kemet Corp* 13,751 68,205 Kennametal Inc 11,454 347,858 Lancaster Colony Corp 3,189 118,408 Lincoln Electric Holdings Inc 6,300 422,982 Martin Marietta Materials Inc 6,176 664,538 Matthews International Corp 4,500 201,870 Mine Safety Appliances Co 4,300 172,473 National Instruments Corp 8,425 217,871 Nordson Corp 4,952 254,483 See accompanying notes to financial statements 18 -------------------------------------------------------------------------------- S&P MID CAP INDEX FUND 2/29/2008 PORTFOLIO OF INVESTMENTS (UNAUDITED)-(CONTINUED) -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ---------------------------------------------------------------------- Overseas Shipholding Group Inc 4,284 $ 268,692 Packaging Corp of America 13,625 310,514 Pentair Inc 14,595 476,089 Republic Services Inc 23,604 720,630 Roper Industries Inc 12,900 727,560 Sonoco Products Co 14,551 409,902 SPX Corp 7,673 784,948 Stericycle Inc* 12,760 687,636 Teleflex Inc 5,812 328,669 Thomas & Betts Corp* 7,439 298,676 Tidewater Inc 7,997 449,032 Timken Co 14,000 421,820 Trinity Industries Inc 11,986 337,646 URS Corp* 11,700 471,276 Varian Inc* 4,471 242,105 Vishay Intertechnology Inc* 27,121 247,615 Wabtec Corp 7,400 256,114 Werner Enterprises Inc 6,585 117,147 Worthington Industries Inc 9,693 170,500 YRC Worldwide Inc* 8,700 119,712 Zebra Technologies Corp* 9,984 332,667 ------------------ Total Industrial 25,840,907 ------------------ Technology (8.16%) ACI Worldwide Inc* 5,905 104,282 Activision Inc* 42,762 1,165,265 Acxiom Corp 10,766 136,836 Advent Software Inc* 2,609 117,248 Atmel Corp* 66,892 217,399 Broadridge Financial Solutions Inc 20,400 390,660 Cadence Design Systems Inc* 39,461 419,076 Cerner Corp* 9,700 421,465 Cree Inc* 12,481 385,663 CSG Systems International Inc* 5,166 58,634 Cypress Semiconductor Corp* 23,379 508,259 Diebold Inc 9,658 232,951 DST Systems Inc* 7,568 531,728 Dun & Bradstreet Corp 8,457 738,634 Fair Isaac Corp 7,398 171,634 Fairchild Semiconductor International Inc* 18,260 203,599 Global Payments Inc 11,600 460,172 Imation Corp 4,829 108,894 Integrated Device Technology Inc* 27,877 233,888 International Rectifier Corp* 10,655 242,614 Intersil Corp 19,184 446,412 Jack Henry & Associates Inc 11,501 270,619 Lam Research Corp* 18,254 734,541 Mentor Graphics Corp* 12,832 116,771 Metavante Technologies Inc* 12,600 273,042 MoneyGram International Inc 12,835 46,976 NCR Corp* 26,550 588,348 Palm Inc 15,700 101,579 Parametric Technology Corp* 17,300 264,863 SEI Investments Co 18,522 463,235 Semtech Corp* 9,412 119,909 Silicon Laboratories Inc* 8,036 248,714 SRA International Inc* 6,300 151,200 Sybase Inc* 13,171 350,612 Synopsys Inc* 21,275 493,793 TriQuint Semiconductor Inc* 21,558 101,754 Western Digital Corp* 32,267 996,082 Wind River Systems Inc* 11,457 82,834 ------------------ Total Technology 12,700,185 ------------------ Utilities (6.21%) AGL Resources Inc 11,246 390,011 Alliant Energy Corp 16,132 560,426 Aqua America Inc 19,521 371,680 Aquila Inc* 56,770 185,070 Black Hills Corp 5,571 199,219 DPL Inc 16,680 425,507 Energen Corp 10,500 630,000 Energy East Corp 23,242 619,399 Great Plains Energy Inc 12,668 322,147 Hawaiian Electric Industries Inc 12,209 274,214 Idacorp Inc 6,734 200,673 MDU Resources Group Inc 26,721 701,693 Northeast Utilities 22,762 577,472 NSTAR 15,686 484,697 OGE Energy Corp 13,500 438,345 PNM Resources Inc 11,882 140,683 Puget Energy Inc 17,187 458,893 SCANA Corp 17,141 649,130 Sierra Pacific Resources 34,319 443,058 Vectren Corp 11,615 299,319 Westar Energy Inc 13,685 311,060 WGL Holdings Inc 7,205 224,724 Wisconsin Energy Corp 17,152 748,171 ------------------ Total Utilities 9,655,591 ------------------ Total Common Stock (Cost $130,370,874) 152,077,686 ------------------ Short-Term Investments (2.40%) Money Fund (0.03%) The United States Treasury Trust (b) 40,620 40,620 United States Treasury Bills (2.37%) $ 3,300,000 United States Treasury Bill 04/03/2008 (c) 3,293,280 400,000 United States Treasury Bill 05/08/2008 398,687 ------------------ Total United States Treasury Bills 3,691,967 ------------------ Total Short-Term Investments (Cost $3,732,523) 3,732,587 ------------------ Total Investments (Cost $134,103,397) (a) (100.17%) 155,810,273 Other Net Liabilities (-0.17%) (264,607) ------------------ Net Assets (100.00%) $ 155,545,666 ================== * Non-Income Producing Security (a) Aggregate cost for federal income tax purpose is $134,103,397. At February 29, 2008, unrealized appreciation (depreciation) of securities is as follows: Unrealized appreciation $ 39,746,817 Unrealized depreciation (18,039,941) ------------------ Net unrealized appreciation (depreciation) $ 21,706,876 ================== (b) See note 5 regarding investments in The United States Treasury Trust Fund. (c) At February 29, 2008, certain United States Treasury Bills with a market value of $199,660 were pledged to cover margin requirements for future contracts. (d) Futures contracts at February 29, 2008: Contracts-$100 times premium/delivery month/ commitment S&P Mini Mid Cap Unrealized Depreciation 47/March 08/ Long $ (44,128) ========= -------------------------------------------------------------------------------- S&P SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ----------------------------------- -------- --------------- Common Stock (92.71%) Basic Materials (2.91%) AMCOL International Corp 1,466 $ 42,250 Arch Chemicals Inc 1,494 52,156 Brush Engineered Materials Inc* 1,269 35,253 Buckeye Technologies Inc* 1,716 18,550 Caraustar Industries Inc* 1,296 2,851 Century Aluminum Co* 1,451 95,955 Deltic Timber Corp 590 28,049 Georgia Gulf Corp 1,993 12,078 HB Fuller Co 3,724 84,721 Material Sciences Corp* 683 5,041 Neenah Paper Inc 750 19,538 NewMarket Corp 800 53560 OM Group Inc* 1,855 112,283 Omnova Solutions Inc* 1,854 7,231 Penford Corp 400 8,756 PolyOne Corp* 5,408 35,152 Pope & Talbot Inc* 726 15 Quaker Chemical Corp 439 10,317 Rock-Tenn Co 2,117 56,799 RTI International Metals Inc* 1,366 74,952 Schulman A Inc 1,547 31,621 Schweitzer-Mauduit International Inc 770 17,687 Tronox Inc 2,300 10,143 Wausau Paper Corp 2,594 20,337 Zep Inc 1,342 21,069 ----------------- Total Basic Materials 856,364 ----------------- Communications (3.49%) 4Kids Entertainment Inc* 613 7,258 Adaptec Inc* 5,637 14,938 Anixter International Inc* 1,885 123,260 Applied Signal Technology Inc 560 6,664 Arris Group Inc* 8,093 46,535 Black Box Corp 903 27,993 Blue Coat Systems Inc* 1,400 32,872 Blue Nile Inc* 800 35,328 See accompanying notes to financial statements 19 -------------------------------------------------------------------------------- S&P SMALL CAP INDEX FUND 2/29/2008 PORTFOLIO OF INVESTMENTS (UNAUDITED)-(CONTINUED) -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ---------------------------------------------------------------------- Comtech Telecommunications Corp* 1,300 $ 56,394 Cybersource Corp* 2,757 40,280 DealerTrack Holdings Inc* 1,690 34,594 Ditech Networks Inc* 1,700 4,641 Factset Research Systems Inc 2,334 122,862 General Communication Inc* 2,942 17,034 Harmonic Inc* 4,854 43,249 Infospace Inc 1,900 19,361 inVentiv Health Inc* 1,900 60,420 j2 Global Communications Inc* 2,976 64,044 Knot Inc/The* 1,600 18,480 MIVA Inc* 1,508 3,167 Napster Inc* 1,603 2,950 Netgear Inc* 1,900 41,458 Network Equipment Technologies Inc* 1,066 6,076 Novatel Wireless Inc* 1,500 15,870 PC-Tel Inc* 942 6,293 Perficient Inc* 900 7,605 Radio One Inc* 4,400 5,544 Secure Computing Corp* 3,100 25,172 Stamps.com Inc* 1,100 9,735 Symmetricom Inc* 2,100 7,182 Tollgrade Communications Inc* 630 3,478 United Online Inc 3,500 34,930 Viasat Inc* 1,352 28,351 Websense Inc* 2,754 53,620 ----------------- Total Communications 1,027,638 ----------------- Consumer, Cyclical (14.04%) Angelica Corp 425 7,034 Arctic Cat Inc 1,013 7,658 Ashworth Inc* 600 2,028 Audiovox Corp* 1,050 9,450 Bassett Furniture Industries Inc 556 6,527 Bell Microproducts Inc* 1,276 4,275 Big 5 Sporting Goods Corp 1,300 12,025 Brightpoint Inc* 2,880 29,779 Brown Shoe Co Inc 2,695 39,563 Buffalo Wild Wings Inc* 600 13,902 Building Materials Holding Corp 1,680 9,710 Cabela's Inc* 2,300 31,165 California Pizza Kitchen Inc* 1,500 20,910 Casey's General Stores Inc 2,965 74,273 Cash America International Inc 1,744 56,436 Cato Corp/The 1,862 29,159 CEC Entertainment Inc* 1,917 51,433 Champion Enterprises Inc* 4,414 39,196 Charlotte Russe Holding Inc* 1,500 29,205 Childrens Place Retail Stores Inc/The* 1,478 31,570 Christopher & Banks Corp 1,875 20,250 CKE Restaurants Inc 3,700 40,996 Coachmen Industries Inc 746 3,305 Cost Plus Inc* 1,125 3,938 CROCS Inc* 4,200 102,144 Deckers Outdoor Corp* 600 66,384 Dress Barn Inc* 2,616 34,479 Ethan Allen Interiors Inc 1,913 52,110 Finish Line 2,500 7,075 First Cash Financial Services Inc* 1,500 14,025 Fleetwood Enterprises Inc* 3,730 15,890 Fossil Inc* 2,520 81,094 Fred's Inc 2,010 17,648 Frontier Airlines Holdings Inc* 1,612 4,723 G&K Services Inc 1,371 52,454 Genesco Inc* 1,318 39,474 Group 1 Automotive Inc 1,453 35,599 Gymboree Corp* 1,969 77,953 Haverty Furniture Cos Inc 1,157 11,362 Hibbett Sports Inc* 1,704 26,923 HOT Topic Inc* 2,397 11,002 Iconix Brand Group Inc* 3,300 68,574 Ihop Corp 898 41,110 Insight Enterprises Inc* 2,982 52,274 Interface Inc 3,181 53,314 Jack in the Box Inc* 4,144 108,863 Jakks Pacific Inc* 1,604 44,832 Jo-Ann Stores Inc* 1,470 24,255 JOS A Bank Clothiers Inc* 1,150 26,197 K-Swiss Inc 1,313 19,052 Landry's Restaurants Inc 826 14,645 La-Z-Boy Inc 2,673 22,533 Libbey Inc 640 9,952 Lithia Motors Inc 1,000 10,280 LKQ Corp* 5,200 110,448 Longs Drug Stores Corp 1,614 77,520 M/I Homes Inc 700 11,543 Maidenform Brands Inc* 1,100 13,607 Marcus Corp 1,435 22,874 MarineMax Inc* 800 9,824 Men's Wearhouse Inc 3,043 70,111 Meritage Homes Corp* 1,350 20,439 Mesa Air Group Inc* 1,462 3,538 Mobile Mini Inc* 2,228 41,463 Monaco Coach Corp 1,505 14,719 Monarch Casino & Resort Inc* 600 9,972 Movado Group Inc 1,100 21,186 Multimedia Games Inc* 1,431 10,017 National Presto Industries Inc* 327 17,135 Nautilus Inc 1,674 7,014 O'Charleys Inc 1,466 16,551 Owens & Minor Inc 2,315 99,476 Oxford Industries Inc 832 17,588 Panera Bread Co* 1,947 72,759 Papa John's International Inc* 1,264 33,054 PEP Boys-Manny Moe & Jack 3,075 35,178 PF Chang's China Bistro Inc* 1,512 43,137 Pinnacle Entertainment Inc* 3,726 58,349 Polaris Industries Inc 2,204 84,149 Pool Corp 3,136 59,741 Quiksilver Inc* 6,824 61,416 RC2 Corp* 1,100 20,405 Red Robin Gourmet Burgers Inc* 800 26,664 Ruth's Chris Steak House* 1,000 6,990 Scansource Inc* 1,286 43,685 School Specialty Inc* 1,075 32,809 Select Comfort Corp* 2,800 11,984 Shuffle Master Inc* 1,755 14,461 Skechers U.S.A. Inc* 1,400 29,806 Skyline Corp 400 11,280 Skywest Inc 3,979 88,015 Sonic Automotive Inc 1,573 27,968 Sonic Corp* 3,769 80,393 Spartan Motors Inc 1,900 15,447 Stage Stores Inc 2,706 34,258 Standard Motor Products Inc 916 6,788 Standard-Pacific Corp 3,990 16,399 Steak N Shake Co/The* 1,277 10,650 Stein Mart Inc 1,360 8,038 Superior Industries International Inc 1,200 20,832 Texas Roadhouse Inc* 3,100 28,830 Toro Co 2,494 120,161 Tractor Supply Co* 2,161 80,908 Triarc Cos Inc 3,965 33,385 Tuesday Morning Corp 1,500 8,085 Tween Brands Inc* 1,767 52,303 Unifirst Corp/MA 800 30,904 United Stationers Inc* 1,737 85,738 Universal Electronics Inc* 800 18,160 Volcom Inc* 800 15,816 Wabash National Corp 1,723 13,612 Watsco Inc 1,366 51,908 Winnebago Industries 1,700 34,119 WMS Industries Inc* 2,167 82,281 Wolverine World Wide Inc 3,460 91,690 World Fuel Services Corp 1,600 50,048 Zale Corp* 3,067 59,254 Zumiez Inc* 600 10,548 ----------------- Total Consumer, Cyclical 4,137,437 ----------------- Consumer, Non-Cyclical (16.47%) Aaron Rents Inc 3,047 59,782 ABM Industries Inc 2,408 47,823 Administaff Inc 1,536 37,878 Alliance One International Inc* 4,676 22,912 Alpharma Inc* 2,187 55,069 Amedisys Inc* 1,556 66,566 American Medical Systems Holdings Inc* 4,020 58,652 AMERIGROUP Corp* 3,038 109,368 AMN Healthcare Services Inc* 1,700 27,523 Amsurg Corp* 1,551 37,364 Arbitron Inc 1,587 66,527 Arqule Inc* 1,302 5,937 Arthrocare Corp* 1,479 59,382 Bankrate Inc* 500 21,130 Biolase Technology Inc* 1,245 4,370 Boston Beer Co Inc* 500 17,830 Bowne & Co Inc 1,795 23,820 Bright Horizons Family Solutions Inc* 1,400 62,972 Cambrex Corp 1,239 10,816 CDI Corp 607 13,809 Centene Corp* 2,478 44,406 Central Garden and Pet Co* 3,900 17,160 Chattem Inc* 1,200 93,480 Chemed Corp 1,544 73,664 Coinstar Inc* 1,600 46,656 Conmed Corp* 1,525 41,114 Consolidated Graphics Inc* 696 37,020 Cooper Cos Inc/The 2,776 94,911 CPI Corp 380 6,300 Cross Country Healthcare Inc* 1,040 11,294 CryoLife Inc* 1,113 10,473 Cyberonics Inc* 1,199 15,467 Datascope Corp 759 26,413 Enzo Biochem Inc* 1,519 14,309 Flowers Foods Inc 4,336 98,254 Gentiva Health Services Inc* 1,227 26,454 See accompanying notes to financial statements 20 -------------------------------------------------------------------------------- S&P SMALL CAP INDEX FUND 2/29/2008 PORTFOLIO OF INVESTMENTS (UNAUDITED)-(CONTINUED) -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------- Gevity HR Inc 1,500 $ 10,470 Great Atlantic & Pacific Tea Co* 919 24,887 Haemonetics Corp* 1,591 92,437 Hain Celestial Group Inc* 2,470 66,690 Healthcare Services Group 2,550 50,439 HealthExtras Inc* 1,600 44,080 Healthways Inc* 1,971 67,704 Heidrick & Struggles International Inc 972 33,272 Hooper Holmes Inc* 3,007 1,955 ICU Medical Inc* 655 17,580 Idexx Laboratories Inc* 3,564 197,695 Immucor Inc* 3,940 117,412 Integra LifeSciences Holdings Corp* 1,265 52,422 Invacare Corp 1,604 40,036 J&J Snack Foods Corp 834 20,558 Kendle International Inc* 700 31,367 Kensey Nash Corp* 574 15,584 Lance Inc 1,952 32,696 LCA-Vision Inc 1,173 16,164 LHC Group Inc* 600 10,200 Lifecell Corp* 1,000 40,350 Live Nation Inc* 4,000 47,480 Mannatech Inc 900 7,002 Martek Biosciences Corp* 1,900 54,454 Matria Healthcare Inc* 1,200 30,144 MAXIMUS Inc 1,113 40,424 Medcath Corp* 800 16,680 Mentor Corp 2,655 78,747 Meridian Bioscience Inc 1,800 61,686 Merit Medical Systems Inc* 1,295 20,526 Midas Inc* 700 10,591 Molina Healthcare Inc* 800 25,320 Nash Finch Co 581 20,376 Noven Pharmaceuticals Inc* 1,200 16,272 Odyssey HealthCare Inc* 1,878 16,414 On Assignment Inc* 2,167 13,414 Osteotech Inc* 821 3,588 Palomar Medical Technologies Inc* 1,000 13,310 Parexel International Corp* 1,639 90,063 Pediatrix Medical Group Inc* 3,014 198,954 Peet's Coffee & Tea Inc* 600 14,046 Performance Food Group Co* 1,978 64,285 PetMed Express Inc* 1,300 14,885 PharmaNet Development Group Inc* 1,139 32,837 PharMerica Corp* 1,800 26,496 Possis Medical Inc* 932 18,099 Pre-Paid Legal Services Inc* 540 25,731 PSS World Medical Inc* 4,200 73,500 Ralcorp Holdings Inc* 1,700 94,265 Regeneron Pharmaceuticals Inc* 4,056 80,187 RehabCare Group Inc* 746 14,920 Res-Care Inc* 1,200 25,848 Respironics Inc* 4,474 293,852 Rewards Network Inc* 1,161 5,341 Russ Berrie & Co Inc* 958 12,511 Sanderson Farms Inc 1,018 35,487 Savient Pharmaceuticals Inc* 2,760 62,597 Sciele Pharma Inc* 1,600 33,120 Spartan Stores Inc 1,300 27,404 Spectrum Brands Inc* 2,267 8,524 Spherion Corp* 3,098 20,075 Standard Register Co/The 613 5,241 Startek Inc* 740 6,371 Sunrise Senior Living Inc* 2,800 76,664 SurModics Inc* 809 35,734 Symmetry Medical Inc* 2,200 39,160 Theragenics Corp* 1,389 5,389 TreeHouse Foods Inc* 1,600 35,472 TrueBlue Inc* 2,823 35,259 United Natural Foods Inc* 2,400 40,608 Universal Technical Institute Inc* 1,300 16,250 USANA Health Sciences Inc* 500 15,590 Viad Corp 1,109 38,449 Viropharma Inc* 3,700 33,892 Vital Signs Inc 495 25,171 Volt Information Sciences Inc* 646 10,381 Watson Wyatt Worldwide Inc 2,652 140,689 WD-40 Co 826 25,672 Wright Express Corp* 2,300 66,562 --------------- Total Consumer, Non-Cyclical 4,852,912 --------------- Energy (8.51%) Atwood Oceanics Inc* 1,622 150,992 Basic Energy Services Inc* 1,300 27,508 Cabot Oil & Gas Corp 5,964 296,709 CARBO Ceramics Inc 1,024 37,827 Dril-Quip Inc* 1,300 60,814 Gulf Island Fabrication Inc 500 14,585 Headwaters Inc* 2,223 27,254 Helix Energy Solutions Group Inc* 5,626 198,148 Hornbeck Offshore Services Inc* 1,300 58,409 ION Geophysical Corp* 3,753 49,877 Lufkin Industries Inc 900 51,444 Massey Energy Co 4,994 191,070 Matrix Service Co* 1,500 30,510 NATCO Group Inc* 1,000 47,650 Oceaneering International Inc* 3,460 207,600 Patriot Coal Corp* 1,600 85,920 Penn Virginia Corp 2,200 93,632 Petroleum Development Corp* 1,015 70,806 Pioneer Drilling Co* 1,100 14,751 SEACOR Holdings Inc* 1,251 120,083 St Mary Land & Exploration Co 3,828 141,177 Stone Energy Corp* 1,567 79,541 Superior Well Services Inc* 600 15,510 Swift Energy Co* 1,722 82,191 Tetra Technologies Inc* 4,434 76,176 Unit Corp* 2,846 156,957 W-H Energy Services Inc* 1,908 119,956 --------------- Total Energy 2,507,097 --------------- Financial (13.92%) Acadia Realty Trust 1,700 38,947 Anchor Bancorp Wisconsin Inc 1,149 21,751 Bank Mutual Corp 3,500 37,625 BankAtlantic Bancorp Inc 2,300 10,488 BankUnited Financial Corp 1,838 8,969 Boston Private Financial Holdings Inc 2,301 31,685 Brookline Bancorp Inc 3,628 34,865 Cascade Bancorp 1,500 15,240 Central Pacific Financial Corp 1,900 35,131 Colonial Properties Trust 2,886 70,303 Columbia Banking System Inc 1,100 25,399 Community Bank System Inc 1,600 35,360 Corus Bankshares Inc 1,800 18,594 Delphi Financial Group Inc 2,421 73,017 DiamondRock Hospitality Co 5,600 69,944 Dime Community Bancshares 1,914 29,131 Downey Financial Corp 1,234 32,318 East West Bancorp Inc 3,806 71,591 EastGroup Properties Inc 1,500 63,645 Entertainment Properties Trust 1,484 69,555 Essex Property Trust Inc 1,574 165,333 Financial Federal Corp 1,588 34,221 First Bancorp/Puerto Rico 5,128 46,357 First Commonwealth Financial Corp 4,000 42,320 First Financial Bancorp 1,700 19,703 First Midwest Bancorp Inc/IL 3,089 80,468 FirstFed Financial Corp* 1,070 33,438 Flagstar Bancorp Inc 1,822 13,046 Franklin Bank Corp/Houston TX* 1,200 4,608 Fremont General Corp* 3,856 3,856 Frontier Financial Corp 2,400 35,952 Glacier Bancorp Inc 2,850 48,992 Hancock Holding Co 1,400 51,856 Hanmi Financial Corp 2,300 17,549 Hilb Rogal & Hobbs Co 2,250 68,895 Home Properties Inc 1,900 87,438 Independent Bank Corp/MI 1,154 11,263 Infinity Property & Casualty Corp 1,100 44,187 Inland Real Estate Corp 3,700 51,578 Investment Technology Group Inc* 2,751 128,142 Irwin Financial Corp 950 7,135 Kilroy Realty Corp 2,057 97,564 Kite Realty Group Trust 1,800 22,752 LaBranche & Co Inc* 3,500 16,240 LandAmerica Financial Group Inc 971 35,752 Lexington Realty Trust 4,370 63,234 LTC Properties Inc 1,100 26,554 Medical Properties Trust Inc 2,700 32,346 Mid-America Apartment Communities Inc 1,600 77,584 Nara Bancorp Inc 1,163 12,746 National Retail Properties Inc 4,052 83,876 optionsXpress Holdings Inc 1,400 32,424 Parkway Properties Inc/Md 865 30,924 Philadelphia Consolidated Holding Co* 3,590 121,773 Piper Jaffray Cos* 1,018 39,427 Portfolio Recovery Associates Inc 1,000 36,520 Presidential Life Corp 1,505 25,224 PrivateBancorp Inc 1,017 30,602 ProAssurance Corp* 2,096 111,444 Prosperity Bancshares Inc 1,900 50,160 Provident Bankshares Corp 1,986 25,282 PS Business Parks Inc 900 43,695 RLI Corp 1,092 57,035 Royal Bank of Canada 287 14,356 Safety Insurance Group Inc 800 29,672 See accompanying notes to financial statements 21 -------------------------------------------------------------------------------- S&P SMALL CAP INDEX FUND 2/29/2008 PORTFOLIO OF INVESTMENTS (UNAUDITED)-(CONTINUED) -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------- SCPIE Holdings Inc* 473 $ 12,960 Selective Insurance Group 3,244 77,077 Senior Housing Properties Trust 4,600 97,842 Signature Bank/New York NY* 1,700 45,050 South Financial Group Inc/The 4,340 62,626 Sovran Self Storage Inc 1,159 44,679 Sterling Bancorp/NY 1,000 14,080 Sterling Bancshares Inc/TX 4,445 41,383 Sterling Financial Corp/WA 2,838 42,258 Stewart Information Services Corp 928 27,627 Susquehanna Bancshares Inc 3,263 64,901 SWS Group Inc 1,180 13,440 Tanger Factory Outlet Centers 1,900 67,450 Tower Group Inc 1,200 34,092 TradeStation Group Inc* 1,300 12,480 Triad Guaranty Inc* 700 4,116 Trustco Bank Corp NY 3,818 33,026 UCBH Holdings Inc 6,134 69,253 Umpqua Holdings Corp 3,893 55,164 United Bankshares Inc 2,234 58,687 United Community Banks Inc/GA 2,000 28,480 United Fire & Casualty Co 1,200 41,220 Whitney Holding Corp 3,726 89,461 Wilshire Bancorp Inc 800 5,664 Wintrust Financial Corp 1,538 51,908 World Acceptance Corp* 952 28,922 Zenith National Insurance Corp 2,073 70,648 --------------- Total Financial 4,101,575 --------------- Industrial (20.58%) AAR Corp* 2,078 53,799 Acuity Brands Inc 2,685 119,241 Advanced Energy Industries Inc* 2,153 27,601 Albany International Corp 1,699 58,327 AM Castle & Co 759 16,873 Analogic Corp 900 52,659 AO Smith Corp 1,208 44,007 Apogee Enterprises Inc 1,775 27,317 Applied Industrial Technologies Inc 2,236 61,803 Aptargroup Inc 4,350 163,038 Arkansas Best Corp 1,481 39,558 Astec Industries Inc* 914 34,604 Baldor Electric Co 2,589 74,227 Barnes Group Inc 2,470 56,168 Bel Fuse Inc 579 15,789 Belden Inc 2,764 108,625 Benchmark Electronics Inc* 4,408 74,054 Brady Corp 3,344 102,260 Briggs & Stratton Corp 3,004 53,681 Bristow Group Inc* 1,461 77,082 C&D Technologies Inc* 1,187 6,481 Cascade Corp 600 26,880 Ceradyne Inc* 1,721 53,540 Checkpoint Systems Inc* 2,228 53,918 Chesapeake Corp 1,001 3,504 Clarcor Inc 3,004 107,543 Cognex Corp 2,720 52,578 Coherent Inc* 1,849 52,586 CTS Corp 1,721 16,694 Cubic Corp 771 19,714 Curtiss-Wright Corp 2,554 107,421 Cymer Inc* 2,086 59,096 Daktronics Inc 1,886 32,590 Dionex Corp* 1,077 79,504 Drew Industries Inc* 1,200 32,352 Electro Scientific Industries Inc* 1,841 29,806 EMCOR Group Inc* 3,904 94,047 EnPro Industries Inc* 1,100 32,483 Esterline Technologies Corp* 1,486 77,866 FARO Technologies Inc* 600 19,650 FEI Co* 1,405 28,648 Flir Systems Inc* 8,100 230,526 Forward Air Corp 1,656 48,604 Gardner Denver Inc* 3,026 111,690 GenCorp Inc* 2,884 29,994 Gerber Scientific Inc* 1,029 8,952 Gibraltar Industries Inc 1,600 17,488 Greatbatch Inc* 1,017 21,733 Griffon Corp* 1,420 12,567 Heartland Express Inc 3,131 43,771 HUB Group Inc* 2,500 74,975 Insituform Technologies Inc* 1,227 17,141 Intevac Inc* 1,100 14,124 Itron Inc* 1,870 178,267 Kaman Corp 1,048 25,152 Kansas City Southern* 4,715 168,797 Kaydon Corp 1,747 74,614 Keithley Instruments Inc 720 6,516 Kirby Corp* 3,316 149,485 Knight Transportation Inc 3,384 50,049 Landstar System Inc 3,458 160,382 Lawson Products 456 11,582 Lennox International Inc 3,319 124,927 Lindsay Corp 549 43,162 Littelfuse Inc* 1,432 44,635 LoJack Corp* 1,100 13,728 Lydall Inc* 745 7,592 Magnetek Inc* 1,366 4,658 Methode Electronics Inc 1,654 17,615 Moog Inc* 2,602 106,786 Mueller Industries Inc 2,095 60,189 Myers Industries Inc 1,536 18,693 NCI Building Systems Inc* 1,100 33,374 Newport Corp* 2,500 26,275 Old Dominion Freight Line Inc* 1,500 40,875 Park Electrochemical Corp 1,018 23,974 Photon Dynamics Inc* 781 8,083 Planar Systems Inc* 664 3,094 Plexus Corp* 2,900 71,833 Quanex Corp 2,196 112,984 Regal-Beloit Corp 1,874 69,188 Robbins & Myers Inc 1,932 65,785 Rogers Corp* 850 26,928 Shaw Group Inc/The* 4,944 318,295 Simpson Manufacturing Co Inc 2,290 54,868 Sonic Solutions Inc* 1,173 10,592 Standex International Corp 564 10,722 Sturm Ruger & Co Inc* 1,292 10,207 Technitrol Inc 2,470 54,365 Teledyne Technologies Inc* 1,966 87,290 Tetra Tech Inc* 3,368 63,554 Texas Industries Inc 1,686 97,114 Tredegar Corp 1,471 23,257 Trimble Navigation Ltd* 7,300 199,582 Triumph Group Inc 1,014 57,382 TTM Technologies Inc* 2,500 27,550 Universal Forest Products Inc 1,181 32,808 Valmont Industries Inc 1,024 81,818 Vicor Corp 1,051 12,749 Waste Connections Inc* 4,258 129,273 Watts Water Technologies Inc 1,855 51,421 Woodward Governor Co 3,474 99,252 X-Rite Inc* 1,787 14,636 --------------- Total Industrial 6,065,136 --------------- Technology (8.26%) Actel Corp* 1,218 14,433 Agilysys Inc 1,491 18,891 Allscripts Healthcare Solutions Inc* 3,000 32,010 AMIS Holdings Inc* 3,800 25,916 Ansoft Corp* 1,000 24,320 Ansys Inc* 4,752 177,582 ATMI Inc* 2,001 54,707 Avid Technology Inc* 2,399 58,464 Axcelis Technologies Inc* 5,102 29,337 Blackbaud Inc 2,700 70,578 Brooks Automation Inc* 4,331 43,656 Cabot Microelectronics Corp* 1,300 43,537 CACI International Inc* 1,895 82,736 Captaris Inc* 1,544 5,358 Catapult Communications Corp* 597 3,725 Ciber Inc* 2,938 13,515 Cohu Inc 984 15,390 Concur Technologies Inc* 1,500 43,860 Digi International Inc* 989 10,414 Diodes Inc* 1,650 37,241 DSP Group Inc* 1,496 17,354 Epicor Software Corp* 3,100 34,317 EPIQ Systems Inc* 1,281 17,422 Exar Corp* 1,952 15,343 Hutchinson Technology Inc* 1,338 22,478 Informatica Corp* 5,400 94,284 JDA Software Group Inc* 1,393 23,779 Kopin Corp* 3,225 8,772 Kulicke & Soffa Industries Inc* 2,607 13,426 Manhattan Associates Inc* 1,548 34,149 Mantech International Corp* 939 41,391 Mercury Computer Systems Inc* 1,010 6,474 Micrel Inc 3,300 24,255 Micros Systems Inc* 5,000 160,200 Microsemi Corp* 4,651 101,159 MKS Instruments Inc* 2,000 40,180 MTS Systems Corp 1,024 31,939 Omnicell Inc* 900 17,100 Pericom Semiconductor Corp* 1,192 15,889 Phase Forward Inc* 2,400 38,232 Phoenix Technologies Ltd* 1,166 19,251 Photronics Inc* 2,089 21,036 Progress Software Corp* 2,349 67,040 Quality Systems Inc 800 26,064 Radiant Systems Inc* 1,286 18,364 Radisys Corp* 829 7,884 Rudolph Technologies Inc* 1,360 11,846 SI International Inc* 800 19,904 Skyworks Solutions Inc* 9,282 76,669 Smith Micro Software Inc* 900 4,608 See accompanying notes to financial statements 22 -------------------------------------------------------------------------------- S&P SMALL CAP INDEX FUND 2/29/2008 PORTFOLIO OF INVESTMENTS (UNAUDITED)-(CONTINUED) -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------- SPSS Inc* 1,104 41,985 Standard Microsystems Corp* 1,264 35,834 Stratasys Inc* 1,200 22,512 Supertex Inc* 890 18,423 SYKES Enterprises Inc* 1,600 26,864 Synaptics Inc* 1,300 34,827 SYNNEX Corp* 700 14,567 Take-Two Interactive Software Inc* 4,154 110,081 THQ Inc* 4,085 76,430 Tyler Technologies Inc* 900 12,465 Ultratech Inc* 1,126 10,843 Varian Semiconductor Equipment Associates Inc* 5,015 169,407 Veeco Instruments Inc* 1,520 23,560 --------------- Total Technology 2,434,277 --------------- Utilities (4.53%) Allete Inc 1,780 64,151 American States Water Co 1,045 34,015 Atmos Energy Corp 5,438 141,388 Avista Corp 3,283 59,882 Central Vermont Public Service Corp 573 13,723 CH Energy Group Inc 808 28,910 Cleco Corp 3,540 81,101 El Paso Electric Co* 2,842 58,147 Laclede Group Inc/The 1,063 36,301 New Jersey Resources Corp 1,614 74,260 Northwest Natural Gas Co 1,701 71,510 Piedmont Natural Gas Co 4,620 113,652 South Jersey Industries Inc 1,800 61,506 Southern Union Co 6,608 169,958 Southwest Gas Corp 2,579 65,997 UGI Corp 6,510 166,721 UIL Holdings Corp 1,540 45,261 Unisource Energy Corp 2,052 48,529 --------------- Total Utilities 1,335,012 --------------- Total Common Stock (Cost $24,118,088) 27,317,448 --------------- Corporate Bond (Cost $15,000) (0.05%) Par Value --------- $ 15,000 Mueller Industry 11/01/2014 6.00% 13,369 --------------- Short-Term Investments (7.24%) Money Fund (0.12%) The United States Treasury Trust (b) 36,717 36,717 United States Treasury Bills (7.12%) Par Value --------- $ 1,500,000 United States Treasury Bill 04/03/2008 (c) 1,497,686 600,000 United States Treasury Bill 05/08/2008 598,031 --------------- Total United States Treasury Bills 2,095,717 --------------- Total Short-Term Investments (Cost $2,132,338) $ 2,132,434 --------------- Total Investments (Cost $26,265,426) (a) (100.00%) 29,463,251 Other Net Assets (0.00%) 1,324 --------------- Net Assets (100.00%) $ 29,464,575 =============== * Non-Income Producing Security (a) Aggregate cost for federal income tax purpose is $26,265,426. At February 29, 2008, unrealized appreciation (depreciation) of securities is as follows: Unrealized appreciation $ 8,144,086 Unrealized depreciation (4,946,261) --------------- Net unrealized appreciation (depreciation) $ 3,197,825 =============== (b) See note 5 regarding investments in The United States Treasury Trust Fund. (c) At February 29, 2008, certain United States Treasury Bills with a market value of $199,660 were pledged to cover margin requirements for future contracts. (d) Futures contracts at February 29, 2008: Contracts-$100 times premium/delivery month/commitment Russell 2000 Mini Unrealized Depreciation 31/March 08/Long $ (213,288) ========== -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------- Common Stock (95.59%) Basic Materials (4.43%) Chemicals (2.10%) Praxair Inc 4,592 $ 368,646 Sherwin-Williams Co/The 1,746 90,408 --------------- 459,054 --------------- Forest Products & Paper (1.14%) Plum Creek Timber Co Inc 6,150 250,244 Mining (1.19%) Alcoa Inc 7,050 261,837 --------------- Total Basic Materials 971,135 --------------- Communications (4.56%) Media (2.46%) McGraw-Hill Cos Inc/The 13,178 539,376 Telecommunications (2.10%) AT&T Inc 13,244 461,289 --------------- Total Communications 1,000,665 --------------- Consumer, Cyclical (9.73%) Apparel (0.30%) Liz Claiborne Inc 3,736 66,426 Auto Manufacturers (1.77%) Ford Motor Co* 59,500 388,535 Retail (7.66%) McDonald's Corp 15,268 826,151 Ross Stores Inc 3,692 102,822 Sears Holdings Corp* 717 68,560 Starbucks Corp* 5,000 89,850 Target Corp 6,939 365,061 TJX Cos Inc 7,050 225,600 --------------- 1,678,044 --------------- Total Consumer, Cyclical 2,133,005 --------------- Consumer, Non-Cyclical (22.05%) Agriculture (2.58%) Altria Group Inc 2,500 182,850 Reynolds American Inc 5,992 381,810 --------------- 564,660 --------------- Beverages (4.66%) Anheuser-Busch Cos Inc 3,736 175,928 Coca-Cola Co/The 14,500 847,670 --------------- 1,023,598 --------------- Commercial Services (1.89%) Moody's Corp 5,092 193,394 Western Union Co/The 10,609 220,667 --------------- 414,061 --------------- Cosmetics/Personal Care (1.17%) Procter & Gamble Co 3,880 256,778 Food (2.75%) Kraft Foods Inc 4,384 136,649 Sara Lee Corp 15,200 191,976 Tyson Foods Inc 19,072 274,828 --------------- 603,453 --------------- Healthcare-Products (3.45%) Baxter International Inc 12,811 756,105 Healthcare-Services (1.94%) Aetna Inc 8,584 425,766 Household Products/Wares (0.64%) Fortune Brands Inc 2,146 139,447 Pharmaceuticals (2.97%) AmerisourceBergen Corp 6,906 288,118 Merck & Co Inc 1,200 53,160 Pfizer Inc 13,900 309,692 --------------- 650,970 --------------- Total Consumer, Non-Cyclical 4,834,838 Energy (15.03%) Oil & Gas (14.18%) Apache Corp 5,126 588,003 Chevron Corp 3,840 332,774 ConocoPhillips 5,348 442,333 Devon Energy Corp 5,852 601,117 ENSCO International Inc 4,170 249,533 Exxon Mobil Corp 7,736 673,109 Transocean Inc* 1,581 222,146 --------------- 3,109,015 --------------- Oil & Gas Services (0.85%) Baker Hughes Inc 2,780 187,066 --------------- Total Energy 3,296,081 --------------- Financial (20.75%) Banks (9.73%) Bank of America Corp 19,016 755,696 Fifth Third Bancorp 9,523 218,077 SunTrust Banks Inc 7,602 441,904 Wells Fargo & Co 24,494 715,960 --------------- 2,131,637 --------------- See accompanying notes to financial statements 23 -------------------------------------------------------------------------------- EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED)-(CONTINUED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------- Diversified Financial Services (3.37%) Citigroup Inc 20,811 $ 493,429 Franklin Resources Inc 2,600 245,362 --------------- 738,791 --------------- Insurance (7.65%) American International Group Inc 5,225 244,844 Arthur J Gallagher & Co 7,700 181,720 Fidelity National Financial Inc 4,559 80,284 Marsh & McLennan Cos Inc 13,700 348,939 MetLife Inc 7,328 426,929 StanCorp Financial Group Inc 6,950 341,176 XL Capital Ltd 1,501 54,126 --------------- 1,678,018 --------------- Total Financial 4,548,446 --------------- Industrial (6.31%) Aerospace/Defense (0.03%) Raytheon Co (Warrant) 220 6,314 Building Materials (0.32%) Masco Corp 3,804 71,097 Hand/Machine Tools (0.62%) Stanley Works/The 2,780 134,941 Home Furnishings (0.25%) Leggett & Platt Inc 3,325 55,528 Machinery - Construction & Mining (1.75%) Caterpillar Inc 5,292 382,770 Metal Fabricate/Hardware (0.83%) Worthington Industries Inc 10,400 182,936 Miscellaneous Manufacturing (1.82%) 3M Co 3,212 251,821 ITT Corp 2,634 148,136 --------------- 399,957 --------------- Oil and Gas Services (0.69)% Tidewater Inc 2,680 150,482 --------------- Total Industrial 1,384,025 --------------- Technology (6.81%) Computers (2.88%) Dell Inc* 12,249 243,143 Diebold Inc 2,146 51,762 Hewlett-Packard Co 7,050 336,779 --------------- 631,684 --------------- Office/Business Equipment (0.37%) Pitney Bowes Inc 2,280 81,578 Semiconductors (2.26%) Intel Corp 24,863 496,017 Software (1.30%) Fidelity National Information Services Inc 2,008 83,312 Microsoft Corp 7,373 200,693 --------------- 284,005 --------------- Total Technology 1,493,284 --------------- Utilities (5.91%) Electric (5.91%) Consolidated Edison Inc 7,700 314,853 Duke Energy Corp 9,200 161,368 Entergy Corp 2,146 220,480 Exelon Corp 3,846 287,873 Progress Energy Inc 1,979 82,940 SCANA Corp 6,000 227,220 --------------- 1,294,734 --------------- Total Utilities 1,294,734 --------------- Total Common Stock (Cost $18,006,517) 20,956,213 --------------- Short-Term Investments (4.25%) Money Fund (0.15%) The United States Treasury Trust (b) 33,944 $ 33,944 United States Treasury Bills (4.10%) Par Value --------- $ 200,000 United States Treasury Bill 04/03/2008 (c) 199,624 700,000 United States Treasury Bill 05/08/2008 697,702 --------------- Total United States Treasury Bills 897,326 --------------- Total Short-Term Investments (Cost $931,160) 931,270 --------------- Total Investments (Cost $18,937,677) (a) (99.84%) 21,887,483 Other Net Assets (0.16%) 36,005 --------------- Net Assets (100.00%) $ 21,923,488 =============== * Non-Income Producing Security (a) Aggregate cost for federal income tax purpose is $18,937,677. At February 29, 2008, unrealized appreciation (depreciation) of securities is as follows: Unrealized appreciation $ 5,639,613 Unrealized depreciation (2,689,807) --------------- Net unrealized appreciation (depreciation) $ 2,949,806 =============== (b) See note 5 regarding investments in The United States Treasury Trust Fund. -------------------------------------------------------------------------------- EUROPEAN GROWTH AND INCOME FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) -------------------------------------------------------------------- Common Stock (99.47%) Basic Materials (6.64%) Chemicals (2.46%) Arkema ADR* 148 $ 8,495 BASF SE* 1,744 220,616 Bayer AG ADR 1,515 115,595 ----------------- 344,706 ----------------- Mining (4.18%) Anglo American PLC ADR 3,320 105,310 BHP Billiton Ltd ADR 1,000 73,180 Rio Tinto PLC ADR 900 409,005 ----------------- 587,495 ----------------- Total Basic Materials 932,201 ----------------- Communications (17.25%) Telecommunications (17.25%) Alcatel-Lucent ADR 1,772 10,402 BT Group PLC ADR 2,960 133,999 Deutsche Telekom AG ADR 10,725 202,595 France Telecom SA ADR 6,500 217,425 Nokia OYJ ADR 15,928 573,567 Telecom Italia SpA ADR 2,947 73,439 Telefonaktiebolaget LM Ericsson ADR 5,494 118,121 Telefonica SA ADR 5,265 456,686 Vodafone Group PLC ADR 19,733 635,995 ----------------- 2,422,229 ----------------- Total Communications 2,422,229 ----------------- Consumer, Cyclical (2.09%) Auto Manufacturers (2.09%) Daimler AG 3,535 294,077 ----------------- Total Consumer, Cyclical 294,077 ----------------- Consumer, Non-Cyclical (18.5%) Beverages (1.37%) Diageo PLC ADR 2,335 191,704 Cosmetics/Personal Care (0.67%) L'Oreal SA ADR 4,005 94,118 Food (5.65%) Nestle SA ADR 4,965 590,835 Unilever NV ADR 6,508 202,399 ----------------- 793,234 ----------------- Pharmaceuticals (10.81%) AstraZeneca PLC ADR 5,198 195,601 GlaxoSmithKline PLC ADR 10,088 442,964 Novartis AG ADR 9,157 450,067 Roche Holding AG ADR 4,416 430,118 ----------------- 1,518,750 ----------------- Total Consumer, Non-Cyclical 2,597,806 ----------------- Energy (16.78%) Oil & Gas (16.78%) BP PLC ADR 10,776 699,039 ENI SpA ADR 4,332 298,605 Royal Dutch Shell A PLC ADR 6,720 480,144 Royal Dutch Shell B PLC ADR 3,435 240,587 Total SA 8,458 637,649 ----------------- 2,356,024 ----------------- Total Energy 2,356,024 ----------------- Financial (28.43%) Banks (21.52%) ABN AMRO Holding NV ADR 6,467 371,206 Banco Bilbao Vizcaya Argentaria SA ADR 13,679 280,556 Banco Santander SA ADR 22,858 406,415 Barclays PLC ADR 8,051 302,476 BNP Paribas ADR 5,452 240,978 Credit Suisse Group ADR 3,753 183,597 Deutsche Bank AG 1,796 199,284 See accompanying notes to financial statements 24 -------------------------------------------------------------------------------- EUROPEAN GROWTH AND INCOME FUND 2/29/2008 PORTFOLIO OF INVESTMENTS (UNAUDITED)-(CONTINUED) -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ----------------------------------------------------------------------- HSBC Holdings PLC ADR 8,265 $ 621,941 Lloyds TSB Group PLC ADR 5,255 188,234 UBS AG 7,050 227,997 ---------------- 3,022,684 ---------------- Insurance (6.91%) Aegon NV ADR 3,110 46,184 Allianz SE ADR 15,257 267,760 AXA SA ADR 6,484 218,251 ING Groep NV ADR 8,132 270,877 Prudential PLC ADR 2,089 50,512 Swiss Reinsurance ADR 960 76,800 Zurich Financial Services AG ADR 1,265 39,468 ---------------- 969,852 ---------------- Total Financial 3,992,536 ---------------- Industrial (3.84%) Electronics (1.08%) Koninklijke Philips Electronics NV ADR 3,884 151,165 Miscellaneous Manufacturing (2.76%) Siemens AG ADR 3,035 387,448 ---------------- Total Industrial 538,613 ---------------- Technology (1.14%) Software (1.14%) SAP AG ADR 3,367 159,629 ---------------- Total Technology 159,629 ---------------- Utilities (4.81%) Electric (3.04%) E.ON AG ADR 6,935 427,890 Water (1.77%) Suez SA ADR 3,937 248,032 ---------------- Total Utilities 675,922 ---------------- Total Common Stock (Cost $11,032,434) 13,969,037 ---------------- Short-Term Investments (0.37%) Money Fund (0.37%) The United States Treasury Trust (b) 52,340 52,340 Total Short-Term Investments (Cost $52,340) 52,340 ---------------- Total Investments (Cost $11,084,774) (a) (99.84%) 14,021,377 Other Net Assets (0.16%) 22,613 ---------------- Net Assets (100.00%) $ 14,043,990 ================ * Non-Income Producing Security (a) Aggregate cost for federal income tax purpose is $11,085,334. At February 29, 2008, unrealized appreciation (depreciation) of securities is as follows: Unrealized appreciation $ 3,729,384 Unrealized depreciation (793,341) ---------------- Net unrealized appreciation (depreciation) $ 2,936,043 ================ (b) See note 5 regarding investments in The United States Treasury Trust Fund. -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS (UNAUDITED) 2/29/2008 -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ----------------------------------------------------------------------- Common Stock (96.87%) Basic Materials (0.84%) Sigma-Aldrich Corp 1,436 $ 79,009 Steel Dynamics Inc 1,200 69,912 ---------------- Total Basic Materials 148,921 ---------------- Communications (28.07%) Akamai Technologies Inc* 1,800 63,288 Amazon.Com Inc* 3,246 209,270 Baidu.com* 300 75,399 Check Point Software Technologies* 2,506 54,932 Cisco Systems Inc* 25,180 613,637 Comcast Corp* 16,944 331,086 Discovery Holding Co* 2,767 62,451 DISH Network Corp* 2,514 74,540 eBay Inc* 11,739 309,440 Expedia Inc* 3,216 73,743 Focus Media Holding Ltd ADR* 1,200 60,444 Google Inc* 1,664 784,044 IAC/InterActiveCorp* 3,402 67,700 Juniper Networks Inc* 3,939 105,644 Lamar Advertising Co 915 34,871 Leap Wireless International Inc* 800 34,208 Level 3 Communications Inc* 17,400 38,802 Liberty Global Inc* 2,212 83,171 Liberty Media Corp - Interactive* 6,500 93,340 Millicom International Cellular SA* 1,100 121,550 NII Holdings Inc* 1,993 79,182 QUALCOMM Inc 22,954 972,561 Sirius Satellite Radio Inc* 18,479 52,480 Symantec Corp* 10,573 178,049 Tellabs Inc* 2,893 19,036 VeriSign Inc* 2,414 84,007 Virgin Media Inc 4,192 62,880 Yahoo! Inc* 7,488 208,017 ---------------- Total Communications 4,947,772 ---------------- Consumer, Cyclical (7.78%) Bed Bath & Beyond Inc* 4,144 117,441 Cintas Corp 2,196 63,201 Costco Wholesale Corp 2,704 167,432 Fastenal Co 1,708 69,447 PACCAR Inc 4,800 208,224 PetSmart Inc 1,528 32,898 Ryanair Holdings PLC ADR* 1,300 37,154 Sears Holdings Corp* 1,669 159,590 Staples Inc 5,531 123,065 Starbucks Corp* 11,806 212,154 UAL Corp 1,300 39,390 Wynn Resorts Ltd 1,400 140,980 ---------------- Total Consumer, Cyclical 1,370,976 ---------------- Consumer, Non-Cyclical (16.51%) Amgen Inc* 5,913 269,160 Amylin Pharmaceuticals Inc* 1,500 39,705 Apollo Group Inc* 1,998 122,637 Biogen Idec Inc* 3,654 213,247 Celgene Corp* 4,400 248,028 Cephalon Inc* 800 48,272 Dentsply International Inc 1,688 65,900 Express Scripts Inc* 2,588 152,951 Genzyme Corp* 3,871 274,531 Gilead Sciences Inc* 10,622 502,633 Hansen Natural Corp* 1,100 45,650 Henry Schein Inc* 1,000 59,820 Hologic Inc* 1,500 90,465 Intuitive Surgical Inc* 400 112,768 Monster Worldwide Inc* 1,518 40,364 Patterson Cos Inc* 1,604 56,461 Paychex Inc 4,133 130,024 Teva Pharmaceutical Industries Ltd 7,234 354,972 Vertex Pharmaceuticals Inc* 1,600 28,000 Whole Foods Market Inc 1,538 54,061 ---------------- Total Consumer, Non-Cyclical 2,909,649 ---------------- Industrial (3.84%) CH Robinson Worldwide Inc 1,946 98,798 Expeditors International Washington Inc 2,400 94,368 Flextronics International Ltd* 8,618 87,387 Foster Wheeler Ltd* 1,800 117,810 Garmin Ltd 2,380 139,730 Joy Global Inc 1,200 79,644 Stericycle Inc* 1,100 59,279 ---------------- Total Industrial 677,016 ---------------- Technology (39.83%) Activision Inc* 3,049 83,085 Adobe Systems Inc* 6,540 220,071 Altera Corp 5,469 93,575 Apple Inc* 14,148 1,768,783 Applied Materials Inc 8,312 159,341 Autodesk Inc* 2,800 87,052 BEA Systems Inc* 4,355 83,050 Broadcom Corp* 5,036 95,231 Cadence Design Systems Inc* 3,230 34,303 Citrix Systems Inc* 2,599 85,585 Cognizant Technology Solutions Corp* 3,300 99,693 Dell Inc* 9,557 189,706 Electronic Arts Inc* 3,704 175,162 Fiserv Inc* 2,373 124,867 Infosys Technologies Ltd 1,300 50,596 Intel Corp 23,806 474,930 Intuit Inc* 4,844 128,657 Kla-Tencor Corp 2,582 108,470 Lam Research Corp* 1,471 59,193 Linear Technology Corp 3,449 95,572 Logitech International SA* 2,100 53,718 Marvell Technology Group Ltd* 6,590 74,533 Microchip Technology Inc 2,116 65,130 See accompanying notes to financial statements 25 -------------------------------------------------------------------------------- NASDAQ-100 INDEX FUND 2/29/2008 PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED) -------------------------------------------------------------------------------- VALUE COMPANY SHARES (NOTE 1) ----------------------------------------------------------------------- Microsoft Corp 37,410 1,018,300 Network Appliance Inc* 4,214 91,107 Nvidia Corp* 6,297 134,693 Oracle Corp* 24,782 465,901 Research In Motion Ltd* 6,489 673,557 SanDisk Corp* 2,424 57,084 Sun Microsystems Inc* 4,209 69,027 Xilinx Inc 4,558 101,916 ---------------- Total Technology 7,021,888 ---------------- Total Common Stock (Cost $15,034,707) 17,076,222 ---------------- Short-Term Investments (3.19%) Money Fund (0.36%) The United States Treasury Trust (b) 62,752 $ 62,752 United States Treasury Bills (2.83%) Par Value --------- $ 200,000 United States Treasury Bill 04/03/2008 (c) $ 199,670 300,000 United States Treasury Bill 05/08/2008 299,015 ---------------- Total United States Treasury Bills 498,685 ---------------- Total Short-Term Investments (Cost $561,390) 561,437 ---------------- Total Investments (Cost $15,596,097) (a) (100.06%) $ 17,637,659 Other Net Liabilities (-0.06%) (9,731) ---------------- Net Assets (100.00%) $ 17,627,928 ================ * Non-Income Producing Security (a) Aggregate cost for federal income tax purpose is $15,702,646. At February 29, 2008, unrealized appreciation (depreciation) of securities is as follows: Unrealized appreciation $ 4,620,773 Unrealized depreciation (2,685,760) ---------------- Net unrealized appreciation (depreciation) $ 1,935,013 ================ (b) See note 5 regarding investments in The United States Treasury Trust Fund. (c) At February 29, 2008, certain United States Treasury Bills with a market value of $99,830 were pledged to cover margin requirements for future contracts. (d) Futures contracts at February 29, 2008: Contracts-$100 times premium/delivery month/commitment Unrealized Nasdaq 100 Stock Index Depreciation 3/March 08/Long $ (84,359) ========= See accompanying notes to financial statements 26 [This page intentionally left blank.] 27 -------------------------------------------------------------------------------- STATEMENTS OF ASSETS & LIABILITIES FEBRUARY 29, 2008 (UNAUDITED) --------------------------------------------------------------------------------
CALIFORNIA CALIFORNIA CALIFORNIA TAX-FREE TAX-FREE INSURED MONEY INCOME FUND INTERMEDIATE FUND MARKET FUND --------------- ------------------- --------------- Assets Investments in securities Cost - Unaffiliated issuers $115,658,757 $15,957,112 $78,883,510 Cost - Sweep Money Fund (Note 5) - - - ------------ ----------- ----------- Total cost of investments 115,658,757 15,957,112 78,883,510 ============ =========== =========== Value - Unaffiliated issuers 115,004,813 16,047,812 78,883,510 Value - Sweep Money Fund (Note 5) - - - ------------ ----------- ----------- Total market value of investments (Note 1) 115,004,813 16,047,812 78,883,510 Cash 76,926 34,150 62,793 Interest receivable 1,336,017 176,523 540,608 Receivable for fund shares sold 197,700 - 7,857 Receivable for investments sold - - 28 Prepaid expenses - - 472 ------------ ----------- ----------- Total Assets $116,615,456 $16,258,485 $79,495,268 ------------ ----------- ----------- Liabilities Payable for fund shares repurchased 44,516 463 22,051 Payable to investment advisor 46,655 3,943 15,648 Distributions payable 96,405 6,432 3,656 Accrued 12b-1 fee - K Shares - - - Accrued shareholder service fee - K Shares - - - Accrued administration fee 7,475 1,030 4,672 Accrued expenses 1,510 1,287 - ------------ ----------- ----------- Total Liabilities $ 196,561 $ 13,155 $ 46,027 ------------ ----------- ----------- Net assets: $116,418,895 $16,245,330 $79,449,241 ============ =========== =========== Net Assets at February 29, 2008 consist of Paid-in capital 116,629,408 16,165,390 79,452,499 Undistributed net investment income 591,581 1,540 - Accumulated net realized gains (losses) (148,150) (12,300) (3,258) Unrealized appreciation (depreciation) of investments (653,944) 90,700 - ------------ ----------- ----------- $116,418,895 $16,245,330 $79,449,241 ============ =========== =========== Net Assets Direct Shares $116,418,895 $16,245,330 $79,449,241 ============ =========== =========== K Shares - - - ============ =========== =========== Shares Outstanding Direct Shares (no par value, unlimited shares authorized) 10,461,341 1,553,449 79,515,869 ============ =========== =========== K Shares (no par value, unlimited shares authorized) - - - ============ =========== =========== Net asset value per share Direct Shares $ 11.13 $ 10.46 $ 1.00 ============ =========== =========== K Shares - - - ============ =========== =========== U.S. SHORT-TERM U.S. THE UNITED GOVERNMENT GOVERNMENT STATES TREASURY SECURITIES FUND BOND FUND TRUST ----------------- ----------------- ---------------- Assets Investments in securities Cost - Unaffiliated issuers $26,841,627 $11,094,147 $39,253,768 Cost - Sweep Money Fund (Note 5) 92,370 24,127 - ----------- ----------- ----------- Total cost of investments 26,933,997 11,118,274 39,253,768 =========== =========== =========== Value - Unaffiliated issuers 27,581,926 11,537,017 39,253,768 Value - Sweep Money Fund (Note 5) 92,370 24,127 - ----------- ----------- ----------- Total market value of investments (Note 1) 27,674,296 11,561,144 39,253,768 Cash - - 73,941 Interest receivable 154,208 93,359 - Receivable for fund shares sold 226,041 14,144 283,450 Receivable for investments sold - - - Prepaid expenses - - - ----------- ----------- ----------- Total Assets $28,054,545 $11,668,647 $39,611,159 ----------- ----------- ----------- Liabilities Payable for fund shares repurchased 220,671 4,853 474,245 Payable to investment advisor 8,579 483 6,616 Distributions payable 6,803 1,310 1,518 Accrued 12b-1 fee - K Shares 1,100 402 469 Accrued shareholder service fee - K Shares 1,136 410 497 Accrued administration fee 1,716 728 2,484 Accrued expenses 6,193 2,969 6,428 ----------- ----------- ----------- Total Liabilities $ 246,198 $ 11,155 $ 492,257 ----------- ----------- ----------- Net assets: $27,808,347 $11,657,492 $39,118,902 =========== =========== =========== Net Assets at February 29, 2008 consist of Paid-in capital 27,474,844 11,556,625 39,119,461 Undistributed net investment income 2,932 1,173 105 Accumulated net realized gains (losses) (409,728) (343,176) (664) Unrealized appreciation (depreciation) of investments 740,299 442,870 - ----------- ----------- ----------- $27,808,347 $11,657,492 $39,118,902 =========== =========== =========== Net Assets Direct Shares $21,983,785 $ 9,428,369 $36,684,859 =========== =========== =========== K Shares $ 5,824,562 $ 2,229,123 $ 2,434,043 =========== =========== =========== Shares Outstanding Direct Shares (no par value, unlimited shares authorized) 2,070,702 918,912 36,685,336 =========== =========== =========== K Shares (no par value, unlimited shares authorized) 545,091 216,618 2,434,046 =========== =========== =========== Net asset value per share Direct Shares $ 10.62 $ 10.26 $ 1.00 =========== =========== =========== K Shares $ 10.69 $ 10.29 $ 1.00 =========== =========== ===========
See accompanying notes to financial statements. 28 -------------------------------------------------------------------------------- STATEMENTS OF ASSETS & LIABILITIES FEBRUARY 29, 2008 (UNAUDITED) - (CONTINUED) --------------------------------------------------------------------------------
S&P S&P 500 S&P MIDCAP SMALLCAP INDEX FUND INDEX FUND INDEX FUND ---------------- --------------- -------------- Assets Investments in securities Cost - Unaffiliated issuers $ 71,700,624 $134,062,777 $26,228,709 Cost - Sweep Money Fund (Note 5) 7,093 40,620 36,717 ------------ ------------ ----------- Total cost of investments 71,707,717 134,103,397 26,265,426 ============ ============ =========== Value - Unaffiliated issuers 99,513,809 155,769,653 29,426,534 Value - Sweep Money Fund (Note 5) 7,093 40,620 36,717 ------------ ------------ ----------- Total market value of investments (Note 1) 99,520,902 155,810,273 29,463,251 Cash - - 73,700 Interest receivable 125 87 367 Dividend receivable 227,668 171,989 12,245 Receivable for fund shares sold 364,573 180,678 161,230 Variation margin receivable - - - Prepaid expenses - - - ------------ ------------ ----------- Total Assets $100,113,268 $156,163,027 $29,710,793 ------------ ------------ ----------- Liabilities Payable for fund shares repurchased 361,736 458,442 169,096 Payable to investment advisor 5,544 40,226 6,430 Variation margin payable 25,875 101,050 51,770 Accrued 12b-1 fee - K Shares 1,360 1,147 1,426 Accrued shareholder service fee - K Shares 1,544 1,040 1,566 Accrued administration fee 6,381 9,922 1,892 Accrued expenses 5,729 5,534 14,038 ------------ ------------ ----------- Total Liabilities $ 408,169 $ 617,361 $ 246,218 ------------ ------------ ----------- Net assets: $ 99,705,099 $155,545,666 $29,464,575 ============ ============ =========== Net Assets at February 29, 2008 consist of Paid-in capital 75,919,501 125,346,640 25,756,674 Undistributed net investment income 282,672 63,981 (28,236) Accumulated net realized gains (losses) (4,241,820) 8,472,297 751,600 Unrealized appreciation (depreciation) of investments 27,813,185 21,706,876 3,197,825 Unrealized appreciation (depreciation) of futures contracts (68,439) (44,128) (213,288) ------------ ------------ ----------- $ 99,705,099 $155,545,666 $29,464,575 ============ ============ =========== Net Assets Direct Shares $ 92,823,811 $149,610,146 $22,063,583 ============ ============ =========== K Shares $ 6,881,288 $ 5,935,520 $ 7,400,992 ============ ============ =========== Shares Outstanding Direct Shares (no par value, unlimited shares authorized) 3,462,701 7,389,956 1,419,229 ============ ============ =========== K Shares (no par value, unlimited shares authorized) 255,559 293,502 478,368 ============ ============ =========== Net asset value per share Direct Shares $ 26.81 $ 20.25 $ 15.55 ============ ============ =========== K Shares $ 26.93 $ 20.22 $ 15.47 ============ ============ =========== EUROPEAN EQUITY GROWTH & NASDAQ-100 INCOME FUND INCOME FUND INDEX FUND ---------------- --------------- ---------------- Assets Investments in securities Cost - Unaffiliated issuers $ 18,903,733 $11,032,434 $ 15,533,345 Cost - Sweep Money Fund (Note 5) 33,944 52,340 62,752 ------------ ----------- -------------- Total cost of investments 18,937,677 11,084,774 15,596,097 ============ =========== ============== Value - Unaffiliated issuers 21,853,539 13,969,037 17,574,907 Value - Sweep Money Fund (Note 5) 33,944 52,340 62,752 ------------ ----------- -------------- Total market value of investments (Note 1) 21,887,483 14,021,377 17,637,659 Cash - - 841 Interest receivable 103 71 114 Dividend receivable 59,529 41,045 14,289 Receivable for fund shares sold 205,583 283,382 154,832 Variation margin receivable - - - Prepaid expenses - - 2,506 ------------ ----------- -------------- Total Assets $ 22,152,698 $14,345,875 $ 17,810,241 ------------ ----------- -------------- Liabilities Payable for fund shares repurchased 211,256 291,164 167,712 Payable to investment advisor 9,817 6,062 711 Variation margin payable - - 10,800 Accrued 12b-1 fee - K Shares 795 1,083 915 Accrued shareholder service fee - K Shares 899 1,183 1,045 Accrued administration fee 1,547 879 1,130 Accrued expenses 4,896 1,514 - ------------ ----------- -------------- Total Liabilities $ 229,210 $ 301,885 $ 182,313 ------------ ----------- -------------- Net assets: $ 21,923,488 $14,043,990 $ 17,627,928 ============ =========== ============== Net Assets at February 29, 2008 consist of Paid-in capital 18,728,245 11,371,469 28,452,608 Undistributed net investment income 32,759 22,195 (7,912) Accumulated net realized gains (losses) 212,678 (286,277) (12,773,971) Unrealized appreciation (depreciation) of investments 2,949,806 2,936,603 2,041,562 Unrealized appreciation (depreciation) of futures contracts - - (84,359) ------------ ----------- -------------- $ 21,923,488 $14,043,990 $ 17,627,928 ============ =========== ============== Net Assets Direct Shares $ 17,873,041 $ 8,439,168 $ 12,990,014 ============ =========== ============== K Shares $ 4,050,447 $ 5,604,822 $ 4,637,914 ============ =========== ============== Shares Outstanding Direct Shares (no par value, unlimited shares authorized) 1,119,405 787,896 2,975,447 ============ =========== ============== K Shares (no par value, unlimited shares authorized) 254,910 521,662 1,078,131 ============ =========== ============== Net asset value per share Direct Shares $ 15.97 $ 10.71 $ 4.37 ============ =========== ============== K Shares $ 15.89 $ 10.74 $ 4.30 ============ =========== ==============
See accompanying notes to financial statements. 29 -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FEBRUARY 29, 2008 (UNAUDITED) --------------------------------------------------------------------------------
CALIFORNIA CALIFORNIA CALIFORNIA TAX-FREE TAX-FREE INSURED MONEY INCOME FUND INTERMEDIATE FUND MARKET FUND --------------- ------------------- ------------- Investment income Sweep Money Fund (Note 5) $ - $ - $ - Interest income 3,009,778 324,735 1,495,527 ------------- --------- ---------- Total 3,009,778 324,735 1,495,527 Expenses Management fees (Note 2) 295,933 43,001 228,620 Administration fees (Note 2) 46,700 6,667 35,506 Transfer agent fees 22,760 8,365 12,028 Accounting services 29,871 8,303 21,977 Custodian fees 5,108 857 4,329 Legal, audit, and compliance fees (Note 2) 25,841 5,960 18,723 Trustees fees 1,844 1,873 1,839 Insurance 2,382 384 1,381 Printing 3,643 503 1,258 Registration and dues 2,056 575 2,152 12b-1 fees - K Shares (Note 2) - - - Shareholder service fee - K Shares (Note 2) - - - ------------- --------- ---------- Total expenses 436,138 76,488 327,813 Less reimbursement from manager (Note 2) - (17,983) (85,178) ------------- --------- ---------- Net expenses 436,138 58,505 242,635 ------------- --------- ---------- Net investment income (loss) 2,573,640 266,230 1,252,892 ============= ========= ========== Realized and unrealized gain (loss) on investments Net realized gain (loss) from security transactions (492) 1,192 - Change in unrealized appreciation (depreciation) of investments (3,129,877) 82,385 - ------------- --------- ---------- Net realized and unrealized gain (loss) of investments (3,130,369) 83,577 - ------------- --------- ---------- Net increase (decrease) in net assets resulting from operations $ (556,729) $ 349,807 $1,252,892 ============= ========= ========== U.S. SHORT-TERM GOVERNMENT U.S. GOVERNMENT THE UNITED STATES SECURITIES FUND BOND FUND TREASURY TRUST ----------------- ----------------- ------------------ Investment income Sweep Money Fund (Note 5) $ 954 $ 850 $ - Interest income 601,670 263,133 711,046 ---------- --------- --------- Total 602,624 263,983 711,046 Expenses Management fees (Note 2) 66,003 29,957 97,567 Administration fees (Note 2) 10,251 4,657 15,142 Transfer agent fees 13,950 9,398 15,023 Accounting services 10,431 7,630 14,169 Custodian fees 1,936 960 2,467 Legal, audit, and compliance fees (Note 2) 7,955 4,747 9,997 Trustees fees 1,884 1,818 1,827 Insurance 522 274 767 Printing 1,585 594 1,560 Registration and dues 2,257 742 2,993 12b-1 fees - K Shares (Note 2) 7,654 2,630 3,456 Shareholder service fee - K Shares (Note 2) 7,654 2,630 3,456 ---------- --------- --------- Total expenses 132,082 66,037 168,424 Less reimbursement from manager (Note 2) (19,007) (25,399) (58,053) ---------- --------- --------- Net expenses 113,075 40,638 110,371 ---------- --------- --------- Net investment income (loss) 489,549 223,345 600,675 ========== ========= ========= Realized and unrealized gain (loss) on investments Net realized gain (loss) from security transactions 854 31,280 7,776 Change in unrealized appreciation (depreciation) of investments 1,033,977 361,579 - ---------- --------- --------- Net realized and unrealized gain (loss) of investments 1,034,831 392,859 7,776 ---------- --------- --------- Net increase (decrease) in net assets resulting from operations $1,524,380 $ 616,204 $ 608,451 ========== ========= =========
See accompanying notes to financial statements. 30 -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FEBRUARY 29, 2008 (UNAUDITED) - (CONTINUED) --------------------------------------------------------------------------------
S&P 500 S&P MIDCAP INDEX FUND INDEX FUND ---------------- ---------------- Investment income Sweep Money Fund (Note 5) $ 787 $ 838 Interest income 23,788 37,812 Dividend income (net of foreign tax witheld: $52; $0; $72; $0; $16,822; $280 respectively) 1,103,469 1,080,848 ------------- ------------- Total 1,128,044 1,119,498 ------------- ------------- Expenses Management fees (Note 2) 137,785 342,616 Administration fees (Note 2) 42,742 66,288 Transfer agent fees 23,797 25,864 Accounting services 33,618 44,939 Custodian fees 4,945 8,263 Legal, audit, and compliance fees (Note 2) 22,925 29,440 Trustees fees 1,849 1,855 Insurance 2,037 3,323 Printing 10,113 11,895 Registration and dues 4,696 6,714 12b-1 fees - K Shares (Note 2) 10,239 8,813 Shareholder service fee - K Shares (Note 2) 10,239 8,813 Licensing fee 5,734 9,081 ------------- ------------- Total expenses 310,719 567,904 Less reimbursement from manager (Note 2) (91,589) (53,256) ------------- ------------- Net expenses 219,130 514,648 ------------- ------------- Net investment income (loss) 908,914 604,850 ============= ============= Realized and unrealized gain (loss) on investments Net realized gain (loss) from security transactions 2,817,253 11,223,734 Net realized gain (loss) from futures contracts (234,884) (277,030) Change in unrealized appreciation (depreciation) of investments (13,377,904) (25,976,283) Change in unrealized appreciation (depreciation) of futures contracts (47,159) (39,575) ------------- ------------- Net realized and unrealized gain (loss) on investments (10,842,694) (15,069,154) ------------- ------------- Net increase (decrease) in net assets resulting from operations $ (9,933,780) $ (14,464,304) ============= ============= S&P SMALLCAP EQUITY EUROPEAN GROWTH NASDAQ-100 INDEX FUND INCOME FUND & INCOME FUND INDEX FUND ---------------- --------------- ----------------- --------------- Investment income Sweep Money Fund (Note 5) $ 790 $ 709 $ 783 $ 721 Interest income 25,770 60,485 4,144 21,079 Dividend income (net of foreign tax witheld: $52; $0; $72; $0; $16,822; $280 respectively) 139,976 316,526 122,109 58,867 ------------ ------------ ---------- ------------ Total 166,536 377,720 127,036 80,667 ------------ ------------ ---------- ------------ Expenses Management fees (Note 2) 80,603 68,077 63,431 55,090 Administration fees (Note 2) 12,482 10,561 5,791 8,547 Transfer agent fees 17,198 13,767 11,889 16,960 Accounting services 20,521 8,858 7,658 8,813 Custodian fees 3,113 1,622 1,199 1,241 Legal, audit, and compliance fees (Note 2) 7,789 6,816 4,921 6,359 Trustees fees 1,860 1,842 1,918 2,036 Insurance 614 391 192 339 Printing 4,092 2,627 1,857 3,903 Registration and dues 2,297 2,018 1,742 1,382 12b-1 fees - K Shares (Note 2) 11,235 5,967 8,528 7,492 Shareholder service fee - K Shares (Note 2) 11,235 5,967 8,528 7,492 Licensing fee 1,358 - - 2,795 ------------ ------------ ---------- ------------ Total expenses 174,397 128,513 117,654 122,449 Less reimbursement from manager (Note 2) (32,519) - (25,934) (33,870) ------------ ------------ ---------- ------------ Net expenses 141,878 128,513 91,720 88,579 ------------ ------------ ---------- ------------ Net investment income (loss) 24,658 249,207 35,316 (7,912) ============ ============ ========== ============ Realized and unrealized gain (loss) on investments Net realized gain (loss) from security transactions 1,655,199 599,743 713 (200,280) Net realized gain (loss) from futures contracts (134,325) (272,093) - 61,886 Change in unrealized appreciation (depreciation) of investments (5,582,941) (3,054,644) (800,780) (2,575,005) Change in unrealized appreciation (depreciation) of futures contracts (198,858) 50,715 - (89,220) ------------ ------------ ---------- ------------ Net realized and unrealized gain (loss) on investments (4,260,925) (2,676,279) (800,067) (2,802,619) ------------ ------------ ---------- ------------ Net increase (decrease) in net assets resulting from operations $ (4,236,267) $ (2,427,072) $ (764,751) $ (2,810,531) ============ ============ ========== ============
See accompanying notes to financial statements. 31 -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE CALIFORNIA INSURED INCOME FUND INTERMEDIATE FUND -------------------------------- ------------------------------ Six Months Six Months Ended Ended February 29, Year Ended February 29, Year Ended 2008 August 31, 2008 August 31, (Unaudited) 2007 (Unaudited) 2007 ---------------- --------------- -------------- --------------- Operations Net investment income $ 2,573,640 $ 5,433,597 $ 266,230 $ 580,264 Net realized gain (loss) on investments (492) 956,445 1,192 (13,492) Change in unrealized appreciation (depreciation) of investments (3,129,877) (4,032,411) 82,385 (92,285) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations (556,729) 2,357,631 349,807 474,487 Distributions to shareholders Distributions from net investment income (2,499,902) (5,113,137) (266,269) (580,438) Distributions from realized capital gains on investments (640,958) (1,106,888) - (20,390) Capital share transactions Increase (decrease) in net assets resulting from capital share transactions (879,668) (2,319,049) (1,605,228) (1,737,512) ------------ ------------ ------------ ------------ Total increase (decrease) (4,577,257) (6,181,443) (1,521,690) (1,863,853) Net assets Beginning of period 120,996,152 127,177,595 17,767,020 19,630,873 ------------ ------------ ------------ ------------ End of period $116,418,895 $120,996,152 $ 16,245,330 $ 17,767,020 ============ ============ ============ ============ Including undistributed net investment income of: $ 591,581 $ 517,843 $ 1,540 $ 1,579 ============ ============ ============ ============ CALIFORNIA TAX-FREE MONEY MARKET FUND -------------------------------- Six Months Ended February 29, Year Ended 2008 August 31, (Unaudited) 2007 ---------------- --------------- Operations Net investment income $ 1,252,892 $ 2,836,260 Net realized gain (loss) on investments - - Change in unrealized appreciation (depreciation) of investments - - -------------- ------------ Net increase (decrease) in net assets resulting from operations 1,252,892 2,836,260 Distributions to shareholders Distributions from net investment income (1,252,892) (2,836,260) Distributions from realized capital gains on investments - - Capital share transactions Increase (decrease) in net assets resulting from capital share transactions (21,529,433) 19,103,174 -------------- ------------ Total increase (decrease) (21,529,433) 19,103,174 Net assets Beginning of period 100,978,674 81,875,500 -------------- ------------ End of period $ 79,449,241 $100,978,674 ============== ============ Including undistributed net investment income of: $ - $ - ============== ============
U.S. GOVERNMENT SHORT-TERM U.S. SECURITIES FUND GOVERNMENT BOND FUND ----------------------------- ------------------------------ Six Months Six Months Ended Ended February 29, Year Ended February 29, Year Ended 2008 August 31, 2008 August 31, (Unaudited) 2007 (Unaudited) 2007 -------------- -------------- -------------- --------------- Operations Net investment income $ 489,549 $ 1,048,457 $ 223,345 $ 536,380 Net realized gain (loss) on investments 854 (22,837) 31,280 (56,121) Change in unrealized appreciation (depreciation) of investments 1,033,977 121,202 361,579 168,934 ----------- ----------- ------------ ------------ Net increase (decrease) in net assets resulting from operations 1,524,380 1,146,822 616,204 649,193 Distributions to shareholders Distributions from net investment income Direct shares (401,108) (868,585) (189,536) (478,268) K shares (105,727) (217,107) (34,913) (60,451) Distributions from realized capital gains on investments Direct shares - - - - K shares - - - - Capital share transactions Increase (decrease) in net assets resulting from capital share transactions 699,781 (685,091) (1,213,919) (2,300,508) ----------- ----------- ------------ ------------ Total increase (decrease) 1,717,326 (623,961) (822,164) (2,190,034) Net assets Beginning of period 26,091,021 26,714,982 12,479,656 14,669,690 ----------- ----------- ------------ ------------ End of period $27,808,347 $26,091,021 $ 11,657,492 $ 12,479,656 =========== =========== ============ ============ Including undistributed net investment income of: $ 2,932 $ 9,730 $ 1,173 $ 1,365 =========== =========== ============ ============ THE UNITED STATES TREASURY TRUST ------------------------------- Six Months Ended February 29, Year Ended 2008 August 31, (Unaudited) 2007 -------------- ---------------- Operations Net investment income $ 600,675 $ 2,129,076 Net realized gain (loss) on investments 7,776 4,725 Change in unrealized appreciation (depreciation) of investments - - ----------- -------------- Net increase (decrease) in net assets resulting from operations 608,451 2,133,801 Distributions to shareholders Distributions from net investment income Direct shares (564,260) (2,020,470) K shares (36,415) (108,606) Distributions from realized capital gains on investments Direct shares - - K shares - - Capital share transactions Increase (decrease) in net assets resulting from capital share transactions (446,928) (11,537,959) ----------- -------------- Total increase (decrease) (439,152) (11,533,234) Net assets Beginning of period 39,558,054 51,091,288 ----------- -------------- End of period $39,118,902 $ 39,558,054 =========== ============== Including undistributed net investment income of: $ 105 $ 105 =========== ==============
See accompanying notes to financial statements. 32 -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS - (CONTINUED) --------------------------------------------------------------------------------
S&P 500 INDEX FUND ------------------------------------ Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ---------------- Operations Net investment income $ 908,914 $ 1,794,783 Net realized gain (loss) on investments 2,817,253 800,564 Net realized gain (loss) on futures contracts (234,884) 184,503 Change in unrealized appreciation (depreciation) of investments (13,377,904) 12,828,556 Change in unrealized appreciation (depreciation) of futures contracts (47,159) (27,455) -------------- ------------ Net increase (decrease) in net assets resulting from operations (9,933,780) 15,580,951 Distributions to shareholders Distributions from net investment income Direct shares (854,196) (1,744,011) K shares (47,221) (81,496) Distributions from realized capital gains on investments Direct shares - - K shares - - Capital share transactions Increase (decrease) in net assets resulting from capital share transactions (3,555,502) (6,746,166) -------------- ------------ Total increase (decrease) (14,390,699) 7,009,278 Net assets Beginning of period 114,095,798 107,086,520 -------------- ------------ End of period $ 99,705,099 $114,095,798 ============== ============ Including undistributed net investment income of: $ 282,672 $ 275,175 ============== ============ S&P MIDCAP INDEX FUND S&P SMALLCAP INDEX FUND ------------------------------------ ----------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended February 29, 2008 August 31, February 29, 2008 August 31, (Unaudited) 2007 (Unaudited) 2007 ------------------- ---------------- ------------------- --------------- Operations Net investment income $ 604,850 $ 1,152,979 $ 24,658 $ 167,048 Net realized gain (loss) on investments 11,223,734 16,828,377 1,655,199 3,095,309 Net realized gain (loss) on futures contracts (277,030) 175,885 (134,325) 244,341 Change in unrealized appreciation (depreciation) of investments (25,976,283) 7,792,765 (5,582,941) 750,484 Change in unrealized appreciation (depreciation) of futures contracts (39,575) (21,453) (198,858) (73,501) ------------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations (14,464,304) 25,928,553 (4,236,267) 4,183,681 Distributions to shareholders Distributions from net investment income Direct shares (529,795) (1,337,188) (48,849) (171,494) K shares (11,074) (18,091) (4,045) (21,190) Distributions from realized capital gains on investments Direct shares (18,322,733) (9,401,138) (2,673,869) (2,041,575) K shares (801,838) (341,474) (1,076,960) (635,110) Capital share transactions Increase (decrease) in net assets resulting from capital share transactions 11,349,981 (5,109,674) 3,486,191 804,598 ------------- ------------ ------------ ------------ Total increase (decrease) (22,779,763) 9,720,988 (4,553,799) 2,118,910 Net assets Beginning of period 178,325,429 168,604,441 34,018,374 31,899,464 ------------- ------------ ------------ ------------ End of period $ 155,545,666 $178,325,429 $ 29,464,575 $34,018,374 ============= ============ ============ ============ Including undistributed net investment income of: $ 63,981 $ - $ (28,236) $ - ============= ============ ============ ============
EQUITY INCOME FUND ----------------------------------- Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- --------------- Operations Net investment income $ 249,207 $ 378,722 Net realized gain (loss) on investments 599,743 208,501 Net realized gain (loss) on futures contracts (272,093) 488,727 Change in unrealized appreciation (depreciation) of investments (3,054,644) 1,832,372 Change in unrealized appreciation (depreciation) of futures contracts 50,715 (175,227) ------------ ----------- Net increase (decrease) in net assets resulting from operations (2,427,072) 2,733,095 Distributions to shareholders Distributions from net investment income Direct shares (191,764) (342,422) K shares (33,003) (58,595) Distributions from realized capital gains on investments Direct shares (414,338) (638,614) K shares (89,543) (145,687) Capital share transactions Increase (decrease) in net assets resulting from capital share transactions (3,383,543) 5,996,413 ------------ ----------- Total increase (decrease) (6,539,263) 7,544,190 Net assets Beginning of period 28,462,751 20,918,561 ------------ ----------- End of period $ 21,923,488 $28,462,751 ============ =========== Including undistributed net investment income of: $ 32,759 $ 8,319 ============ =========== EUROPEAN GROWTH & INCOME FUND NASDAQ-100 INDEX FUND ----------------------------------- ----------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended February 29, 2008 August 31, February 29, 2008 August 31, (Unaudited) 2007 (Unaudited) 2007 ------------------- --------------- ------------------- --------------- Operations Net investment income $ 35,316 $ 242,185 $ (7,912) $ (41,715) Net realized gain (loss) on investments 713 (10,517) (200,280) (546,420) Net realized gain (loss) on futures contracts - - 61,886 75,958 Change in unrealized appreciation (depreciation) of investments (800,780) 1,497,153 (2,575,005) 4,521,146 Change in unrealized appreciation (depreciation) of futures contracts - - (89,220) (5,125) ----------- ----------- ------------ ----------- Net increase (decrease) in net assets resulting from operations (764,751) 1,728,821 (2,810,531) 4,003,844 Distributions to shareholders Distributions from net investment income Direct shares (37,567) (159,991) - - K shares (15,892) (112,583) - - Distributions from realized capital gains on investments Direct shares - - - - K shares - - - - Capital share transactions Increase (decrease) in net assets resulting from capital share transactions 975,698 2,135,808 917,819 (463,539) ----------- ----------- ------------ ----------- Total increase (decrease) 157,488 3,592,055 (1,892,712) 3,540,305 Net assets Beginning of period 13,886,502 10,294,447 19,520,640 15,980,335 ----------- ----------- ------------ ----------- End of period $14,043,990 $13,886,502 $ 17,627,928 $19,520,640 =========== =========== ============ =========== Including undistributed net investment income of: $ 22,195 $ 40,338 $ (7,912) $ - =========== =========== ============ ===========
See accompanying notes to financial statements. 33 -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS - (CONTINUED) --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND -------------------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- -------------------------------------- Shares Value Shares Value ------------- --------------- --------------- ---------------------- Shares sold 364,669 $ 4,200,246 743,628 $ 8,701,465 Shares issued in reinvestment of distributions 211,822 2,437,937 406,332 4,767,483 ------- ------------- ------- --------------- 576,491 6,638,183 1,149,960 13,468,948 Shares repurchased (649,246) (7,517,851) (1,344,638) (15,787,997)(a) -------- ------------- ---------- --------------- Net increase (decrease) (72,755) $ (879,668) (194,678) $ (2,319,049) ======== ============= ========== =============== CALIFORNIA INSURED INTERMEDIATE FUND ----------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- ----------------------------- Shares Value Shares Value ------------- --------------- ------------- --------------- Shares sold 14,918 $ 157,441 115,224 $ 1,199,042 Shares issued in reinvestment of distributions 21,506 226,138 49,245 514,471 ------ ------------ ------- ------------ 36,424 383,579 164,469 1,713,513 Shares repurchased (188,470) (1,988,807) (330,125) (3,451,025) -------- ------------ -------- ------------ Net increase (decrease) (152,046) $ (1,605,228) (165,656) $ (1,737,512) ======== ============ ======== ============
CALIFORNIA TAX-FREE MONEY MARKET FUND ------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ------------------- ----------------- Shares/Value Shares/Value ------------------- ----------------- Shares sold 54,599,080 188,353,844 Shares issued in reinvestment of distributions 1,219,579 2,762,969 ---------- ----------- 55,818,659 191,116,813 Shares repurchased (77,348,092) (172,013,639) ----------- ------------ Net increase (decrease) (21,529,433) 19,103,174 =========== ============
THE UNITED STATES TREASURY TRUST -------------------------------------------------------------------------- DIRECT SHARES K SHARES ------------------------------------- ------------------------------------ Six Months Ended Six Months Ended February 29, 2008 Year Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 (Unaudited) August 31, 2007 ------------------- ----------------- ------------------- ---------------- Shares/Value Shares/Value Shares/Value Shares/Value ------------------- ----------------- ------------------- ---------------- Shares sold 26,066,600 54,030,800 641,157 1,809,273 Shares issued in reinvestment of distributions 550,912 1,978,758 36,416 108,859 ---------- ---------- ------- --------- 26,617,512 56,009,558 677,573 1,918,132 Shares repurchased (26,603,793) (67,954,018) (1,138,220) (1,511,631) ----------- ----------- ---------- ---------- Net increase (decrease) 13,719 (11,944,460) (460,647) 406,501 =========== =========== ========== ==========
U.S. GOVERNMENT DIRECT SHARES SECURITIES FUND ----------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- ----------------------------- Shares Value Shares Value ------------- --------------- ------------- --------------- Shares sold 230,166 $ 2,411,843 200,898 $ 2,056,100 Shares issued in reinvestment of distributions 34,201 356,995 74,388 760,383 ------- ------------- ------- ------------ 264,367 2,768,838 275,286 2,816,483 Shares repurchased (128,037) (1,331,332) (442,955) (4,533,192) -------- ------------- -------- ------------ Net increase (decrease) 136,330 $ 1,437,506 (167,669) $ (1,716,709) ======== ============= ======== ============ U.S. GOVERNMENT K SHARES SECURITIES FUND --------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- --------------------------- Shares Value Shares Value ------------- --------------- ------------ -------------- Shares sold 92,769 $ 976,255 173,429 $ 1,786,220 Shares issued in reinvestment of distributions 10,067 105,726 21,106 217,107 ------ ------------- ------- ----------- 102,836 1,081,981 194,535 2,003,327 Shares repurchased (172,980) (1,819,706) (94,327) (971,709) -------- ------------- ------- ----------- Net increase (decrease) (70,144) $ (737,725) 100,208 $ 1,031,618 ======== ============= ======= ===========
SHORT-TERM U.S. DIRECT SHARES GOVERNMENT BOND FUND ----------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- ----------------------------- Shares Value Shares Value ------------- --------------- ------------- --------------- Shares sold 169,629 $ 1,712,830 126,341 $ 1,248,990 Shares issued in reinvestment of distributions 17,936 180,845 46,143 455,589 ------- ------------ ------- ------------ 187,565 1,893,675 172,484 1,704,579 Shares repurchased (313,533) (3,168,932) (470,073) (4,650,060) -------- ------------ -------- ------------ Net increase (decrease) (125,968) $ (1,275,257) (297,589) $ (2,945,481) ======== ============ ======== ============ SHORT-TERM U.S. K SHARES GOVERNMENT BOND FUND ----------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 -------------------------- -------------------------- Shares Value Shares Value ------------ ------------- ------------ ------------- Shares sold 47,816 $ 486,733 109,409 $1,082,338 Shares issued in reinvestment of distributions 3,452 34,913 6,109 60,451 ------ ----------- ------- ---------- 51,268 521,646 115,518 1,142,789 Shares repurchased (45,382) (460,308) (50,150) (497,816) ------- ----------- ------- ---------- Net increase (decrease) 5,886 $ 61,338 65,368 $ 644,973 ======= =========== ======= ==========
DIRECT SHARES S&P 500 INDEX FUND ------------------------------------------------------------------ Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- ------------------------------------ Shares Value Shares Value ------------- --------------- ------------- ---------------------- Shares sold 85,467 $ 2,429,597 205,299 $ 5,944,252 Shares issued in reinvestment of distributions 23,469 705,360 49,321 1,407,546 ------ ------------ ------- --------------- 108,936 3,134,957 254,620 7,351,798 Shares repurchased (209,088) (6,078,007) (528,410) (15,379,775)(b) -------- ------------ -------- --------------- Net increase (decrease) (100,152) $ (2,943,050) (273,790) $ (8,027,977) ======== ============ ======== =============== K SHARES S&P 500 INDEX FUND --------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ---------------------------- ---------------------------- Shares Value Shares Value ------------ --------------- ------------ --------------- Shares sold 35,417 $ 1,040,179 84,185 $ 2,433,442 Shares issued in reinvestment of distributions 1,546 46,682 2,802 80,544 ------ ------------- ------ ------------- 36,963 1,086,861 86,987 2,513,986 Shares repurchased (59,432) (1,699,313) (42,172) (1,232,175) ------- ------------- ------- ------------- Net increase (decrease) (22,469) $ (612,452) 44,815 $ 1,281,811 ======= ============= ======= =============
(a) Net of redemption fees of: $20 (b) Net of redemption fees of: $2 See accompanying notes to financial statements. 34 -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS - (CONTINUED) --------------------------------------------------------------------------------
DIRECT SHARES S&P MIDCAP INDEX FUND -------------------------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------------- -------------------------------------- Shares Value Shares Value ------------ ---------------------- --------------- ---------------------- Shares sold 358,387 $ 8,171,664 669,323 $ 16,395,744 Shares issued in reinvestment of distributions 771,389 17,086,554 409,070 9,585,181 ------- --------------- ------- --------------- 1,129,776 25,258,218 1,078,393 25,980,925 Shares repurchased (621,362) (13,982,388)(a) (1,317,600) (32,245,381)(b) --------- --------------- ---------- --------------- Net increase (decrease) 508,414 $ 11,275,830 (239,207) $ (6,264,456) ========= =============== ========== =============== K SHARES S&P MIDCAP INDEX FUND --------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ---------------------------- ---------------------------- Shares Value Shares Value ------------ --------------- ------------ --------------- Shares sold 35,925 $ 830,387 78,397 $ 1,919,676 Shares issued in reinvestment of distributions 36,729 812,434 15,347 358,734 ------ ------------- ------ ------------- 72,654 1,642,821 93,744 2,278,410 Shares repurchased (73,006) (1,568,670) (45,360) (1,123,628) ------- ------------- ------- ------------- Net increase (decrease) (352) $ 74,151 48,384 $ 1,154,782 ======= ============= ======= =============
DIRECT SHARES S&P SMALLCAP INDEX FUND ---------------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ---------------------------------- ----------------------------- Shares Value Shares Value ------------ --------------------- ------------- --------------- Shares sold 128,297 $ 2,136,411 137,863 $ 2,793,437 Shares issued in reinvestment of distributions 157,115 2,676,722 111,927 2,174,733 ------- -------------- ------- ------------ 285,412 4,813,133 249,790 4,968,170 Shares repurchased (82,855) (1,483,816)(c) (303,240) (6,131,615) ------- -------------- -------- ------------ Net increase (decrease) 202,557 $ 3,329,317 (53,450) $ (1,163,445) ======= ============== ======== ============ K SHARES S&P SMALLCAP INDEX FUND --------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- --------------------------- Shares Value Shares Value ------------- --------------- ------------ -------------- Shares sold 65,282 $ 1,169,577 134,437 $ 2,687,631 Shares issued in reinvestment of distributions 63,816 1,081,006 33,908 656,299 ------ ------------- ------- ------------ 129,098 2,250,583 168,345 3,343,930 Shares repurchased (127,695) (2,093,709) (68,556) (1,375,887) -------- ------------- ------- ------------ Net increase (decrease) 1,403 $ 156,874 99,789 $ 1,968,043 ======== ============= ======= ============
DIRECT SHARES EQUITY INCOME FUND ----------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- ----------------------------- Shares Value Shares Value ------------- --------------- ------------- --------------- Shares sold 94,335 $ 1,591,365 427,974 $ 7,917,605 Shares issued in reinvestment of distributions 32,700 573,824 51,827 903,098 ------ ------------ ------- ------------- 127,035 2,165,189 479,801 8,820,703 Shares repurchased (321,099) (5,288,643) (200,500) (3,560,762) -------- ------------ -------- ------------- Net increase (decrease) (194,064) $ (3,123,454) 279,301 $ 5,259,941 ======== ============ ======== ============= K SHARES EQUITY INCOME FUND --------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ---------------------------- ---------------------------- Shares Value Shares Value ------------ --------------- ------------ --------------- Shares sold 43,769 $ 752,252 88,431 $ 1,573,891 Shares issued in reinvestment of distributions 7,020 122,444 11,717 204,256 ------ ------------- ------ ------------- 50,789 874,696 100,148 1,778,147 Shares repurchased (68,722) (1,134,785) (58,517) (1,041,675) ------- ------------- ------- ------------- Net increase (decrease) (17,933) $ (260,089) 41,631 $ 736,472 ======= ============= ======= =============
EUROPEAN GROWTH DIRECT SHARES & INCOME FUND -------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 -------------------------- ----------------------------- Shares Value Shares Value ------------ ------------- ------------- --------------- Shares sold 193,289 $2,233,763 198,232 $ 2,192,831 Shares issued in reinvestment of distributions 3,064 36,451 14,293 155,118 ------- ---------- ------- ------------- 196,353 2,270,214 212,525 2,347,949 Shares repurchased (62,012) (691,034) (136,006) (1,467,919) ------- ---------- -------- ------------- Net increase (decrease) 134,341 $1,579,180 76,519 $ 880,030 ======= ========== ======== ============= EUROPEAN GROWTH K SHARES & INCOME FUND --------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- --------------------------- Shares Value Shares Value ------------- --------------- ------------ -------------- Shares sold 101,367 $ 1,177,082 184,866 $ 1,992,272 Shares issued in reinvestment of distributions 1,330 15,890 10,235 112,579 ------- ------------- ------- ----------- 102,697 1,192,972 195,101 2,104,851 Shares repurchased (157,431) (1,796,454) (79,008) (849,073) -------- ------------- ------- ----------- Net increase (decrease) (54,734) $ (603,482) 116,093 $ 1,255,778 ======== ============= ======= ===========
DIRECT SHARES NASDAQ-100 INDEX FUND ----------------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------------- ----------------------------- Shares Value Shares Value ------------- --------------------- ------------- --------------- Shares sold 1,068,771 $ 5,414,006 271,685 $ 1,250,717 Shares issued in reinvestment of distributions - - - - --------- -------------- ------- ------------ 1,068,771 5,414,006 271,685 1,250,717 Shares repurchased (816,202) (3,881,119)(d) (597,034) (2,713,242) --------- -------------- -------- ------------ Net increase (decrease) 252,569 $ 1,532,887 (325,349) $ (1,462,525) ========= ============== ======== ============ K SHARES NASDAQ-100 INDEX FUND --------------------------------------------------------- Six Months Ended February 29, 2008 Year Ended (Unaudited) August 31, 2007 ----------------------------- --------------------------- Shares Value Shares Value ------------- --------------- ------------- ------------- Shares sold 194,447 $ 963,700 440,595 $1,983,147 Shares issued in reinvestment of distributions - - - - ------- ------------- ------- ---------- 194,447 963,700 440,595 1,983,147 Shares repurchased (333,766) (1,578,768) (217,750) (984,161) -------- ------------- -------- ---------- Net increase (decrease) (139,319) $ (615,068) 222,845 $ 998,986 ======== ============= ======== ==========
(a) Net of redemption fees of: $ 10 (b) Net of redemption fees of: $ 26 (c) Net of redemption fees of: $ 43 (d) Net of redemption fees of: $ 9 See accompanying notes to financial statements. 35 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE INCOME FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ---------------- Net asset value, beginning of period $ 11.49 $ 11.85 --------- --------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.25 0.52 Net gain (loss) on securities (both realized and unrealized) (0.31) (0.29) --------- --------- Total from investment operations (0.06) 0.23 --------- --------- LESS DISTRIBUTIONS Dividends from net investment income (0.24) (0.49) Distributions from capital gains (0.06) (0.10) --------- --------- Total distributions (0.30) (0.59) --------- --------- Paid in capital from redemption fee (Note 1) - (0.00)(a) --------- --------- Net asset value, end of period $ 11.13 $ 11.49 ========= ========= Total return (0.57)%* 1.95% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 116,419 $ 120,996 Ratio of expenses to average net assets: 0.72%** 0.71% Ratio of net investment income to average net assets: 4.25%** 4.39% Portfolio turnover 0.25%* 9.30% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ---------------- ---------------- ------------ ----------- Net asset value, beginning of period $ 12.41 $ 12.78 $ 12.66 $ 13.24 --------- --------- ------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.50 0.50 0.50 0.50 Net gain (loss) on securities (both realized and unrealized) (0.29) (0.13) 0.22 (0.42) --------- --------- ------- -------- Total from investment operations 0.21 0.37 0.72 0.08 --------- --------- ------- -------- LESS DISTRIBUTIONS Dividends from net investment income (0.50) (0.51) (0.50) (0.50) Distributions from capital gains (0.27) (0.23) (0.10) (0.16) --------- --------- -------- -------- Total distributions (0.77) (0.74) (0.60) (0.66) --------- --------- -------- -------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A --------- --------- -------- -------- Net asset value, end of period $ 11.85 $ 12.41 $ 12.78 $ 12.66 ========= ========= ======== ======== Total return 1.84% 2.96% 5.82% 0.61% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 127,178 $ 142,125 $158,327 $172,488 Ratio of expenses to average net assets: 0.71% 0.66% 0.62% 0.61% Ratio of net investment income to average net assets: 4.17% 4.05% 3.86% 3.82% Portfolio turnover 17.01% 31.95% 11.64% 1.44%
CALIFORNIA INSURED INTERMEDIATE FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 10.42 $ 10.49 -------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.16 0.33 Net gain (loss) on securities (both realized and unrealized) 0.04 (0.06) -------- ------- Total from investment operations 0.20 0.27 -------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.16) (0.33) Distributions from capital gains - (0.01) --------- ------- Total distributions (0.16) (0.34) --------- ------- Paid in capital from redemption fee (Note 1) - - --------- ------- Net asset value, end of period $ 10.46 $ 10.42 ========= ======= Total return 1.96%* 2.64% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 16,245 $17,767 Ratio of expenses to average net assets: Before expense reimbursements 0.89%** 0.88% After expense reimbursements 0.68%** 0.68% Ratio of net investment income to average net assets: Before expense reimbursements 2.87%** 2.96% After expense reimbursements 3.08%** 3.16% Portfolio turnover 0.00%* 0.00% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ------------ ------------ ------------ ----------- Net asset value, beginning of period $ 10.79 $ 10.98 $ 10.80 $ 11.22 ------- ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.33 0.34 0.33 0.33 Net gain (loss) on securities (both realized and unrealized) (0.16) (0.17) 0.21 (0.21) ------- ------- ------- ------- Total from investment operations 0.17 0.17 0.54 0.12 ------- ------- ------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.33) (0.34) (0.33) (0.33) Distributions from capital gains (0.14) (0.02) (0.03) (0.21) ------- ------- ------- ------- Total distributions (0.47) (0.36) (0.36) (0.54) ------- ------- ------- ------- Paid in capital from redemption fee (Note 1) - - N/A N/A ------- ------- ------- ------- Net asset value, end of period $ 10.49 $ 10.79 $ 10.98 $ 10.80 ======= ======= ======= ======= Total return 1.67% 1.58% 5.06% 1.03% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $19,631 $22,066 $26,353 $27,906 Ratio of expenses to average net assets: Before expense reimbursements 0.89% 0.78% 0.71% 0.71% After expense reimbursements 0.68% 0.65% 0.59% 0.58% Ratio of net investment income to average net assets: Before expense reimbursements 2.92% 2.95% 2.85% 2.83% After expense reimbursements 3.12% 3.08% 2.97% 2.96% Portfolio turnover 2.75% 9.18% 21.62% 22.45%
(a) Less than $0.01 per share * Not Annualized ** Annualized 36 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
CALIFORNIA TAX-FREE MONEY MARKET FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------- Net asset value, beginning of period $ 1.000 $ 1.000 -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income $ 0.014 $ 0.030 LESS DISTRIBUTIONS Dividends from net investment income $ (0.014) $ (0.030) -------- -------- Net asset value, end of period $ 1.000 $ 1.000 ======== ======== Total return 1.36%* 3.00% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 79,449 $100,979 Ratio of expenses to average net assets: Before expense reimbursements 0.71%** 0.71% After expense reimbursements 0.53%** 0.53% Ratio of net investment income to average net assets: Before expense reimbursements 2.54%** 2.79% After expense reimbursements 2.72%** 2.97% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ------------ ------------ ------------ ------------- Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income $ 0.025 $ 0.014 $ 0.005 $ 0.007 LESS DISTRIBUTIONS Dividends from net investment income $ (0.025) $ (0.014) $ (0.005) $ (0.007) -------- -------- -------- -------- Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 ======== ======== ======== ======== Total return 2.52% 1.46% 0.54% 0.70% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 81,876 $ 55,785 $ 93,180 $ 88,804 Ratio of expenses to average net assets: Before expense reimbursements 0.75% 0.69% 0.65% 0.65% After expense reimbursements 0.53% 0.50% 0.44% 0.43% Ratio of net investment income to average net assets: Before expense reimbursements 2.32% 1.22% 0.33% 0.48% After expense reimbursements 2.54% 1.41% 0.54% 0.70%
* Not Annualized ** Annualized 37 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 10.22 $ 10.19 --------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.20 0.42 Net gain (loss) on securities (both realized and unrealized) 0.40 0.04 --------- -------- Total from investment operations 0.60 0.46 --------- -------- LESS DISTRIBUTIONS Dividends from net investment income (0.20) (0.43) Distributions from capital gains - - --------- -------- Total distributions (0.20) (0.43) --------- -------- Paid in capital from redemption fee (Note 1) - - --------- -------- Net asset value, end of period $ 10.62 $ 10.22 ========= ======== Total return 5.96%** 4.63% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 21,984 $19,762 Ratio of expenses to average net assets: Before expense reimbursements 0.88%*** 0.87% After expense reimbursements 0.74%*** 0.74% Ratio of net investment income to average net assets: Before expense reimbursements 3.66%*** 3.95% After expense reimbursements 3.80%*** 4.08% Portfolio turnover 0.00%** 56.53% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ------------ ---------------- ------------ ----------- Net asset value, beginning of period $ 10.51 $ 10.60 $ 10.56 $ 10.73 ------- --------- -------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.42 0.37 0.35 0.35 Net gain (loss) on securities (both realized and unrealized) (0.32) (0.00)(a) 0.09 (0.08) ------- --------- -------- ------- Total from investment operations 0.10 0.37 0.44 0.27 ------- --------- -------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.42) (0.37) (0.32) (0.44) Distributions from capital gains - (0.09) (0.08) - ------- --------- -------- ------- Total distributions (0.42) (0.46) (0.40) (0.44) ------- --------- -------- ------- Paid in capital from redemption fee (Note 1) - (0.00)(a) N/A N/A ------- --------- -------- ------- Net asset value, end of period $ 10.19 $ 10.51 $ 10.60 $ 10.56 ======= ========= ======== ======= Total return 1.00% 3.60% 4.23% 2.52% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $21,430 $ 25,024 $ 27,454 $31,585 Ratio of expenses to average net assets: Before expense reimbursements 0.86% 0.79% 0.75% 0.71% After expense reimbursements 0.74% 0.71% 0.65% 0.65% Ratio of net investment income to average net assets: Before expense reimbursements 3.94% 3.46% 2.92% 3.22% After expense reimbursements 4.06% 3.54% 3.02% 3.28% Portfolio turnover 71.63% 39.85% 103.98% 39.29%
K Shares Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 10.29 $ 10.26 -------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.17 0.37 Net gain (loss) on securities (both realized and unrealized) 0.41 0.04 -------- ------- Total from investment operations 0.58 0.41 -------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.18) (0.38) Distributions from capital gains - - -------- -------- Total distributions (0.18) (0.38) -------- -------- Paid in capital from redemption fee (Note 1) - - -------- -------- Net asset value, end of period $ 10.69 $ 10.29 ======== ======== Total return 5.69%** 4.07% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 5,825 $ 6,329 Ratio of expenses to average net assets: Before expense reimbursements 1.38%*** 1.36% After expense reimbursements 1.24%*** 1.24% Ratio of net investment income to average net assets: Before expense reimbursements 3.16%*** 3.45% After expense reimbursements 3.30%*** 3.58% Portfolio turnover 0.00%** 56.53% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 ------------ ------------ ------------------ Net asset value, beginning of period $ 10.57 $ 10.65 $ 10.55 -------- -------- --------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.36 0.31 0.23 Net gain (loss) on securities (both realized and unrealized) (0.31) 0.01 0.15 -------- -------- --------- Total from investment operations 0.05 0.32 0.38 -------- -------- --------- LESS DISTRIBUTIONS Dividends from net investment income (0.36) (0.31) (0.20) Distributions from capital gains - (0.09) (0.08) -------- -------- --------- Total distributions (0.36) (0.40) (0.28) -------- -------- --------- Paid in capital from redemption fee (Note 1) - - N/A -------- -------- --------- Net asset value, end of period $ 10.26 $ 10.57 $ 10.65 ======== ======== ========= Total return 0.55% 3.07% 3.66%** RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 5,285 $ 4,308 $ 1,689 Ratio of expenses to average net assets: Before expense reimbursements 1.36% 1.30% 1.25%*** After expense reimbursements 1.24% 1.22% 1.15%*** Ratio of net investment income to average net assets: Before expense reimbursements 3.44% 2.95% 2.42%*** After expense reimbursements 3.56% 3.03% 2.52%*** Portfolio turnover 71.63% 39.85% 103.98%
* Commencement of operations ** Not Annualized *** Annualized (a) Less than $0.01 per share 38 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
SHORT-TERM U.S. GOVERNMENT BOND FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 9.94 $ 9.86 -------- ------ INCOME FROM INVESTMENT OPERATIONS Net investment income 0.19 0.40 Net gain (loss) on securities (both realized and unrealized) 0.33 0.08 -------- ------ Total from investment operations 0.52 0.48 -------- ------ LESS DISTRIBUTIONS Dividends from net investment income (0.20) (0.40) Distributions from capital gains - - -------- ------- Total distributions (0.20) (0.40) -------- ------- Net asset value, end of period $ 10.26 $ 9.94 ======== ======= Total return 5.25%** 4.94% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 9,428 $10,381 Ratio of expenses to average net assets: Before expense reimbursements 1.00%*** 0.94% After expense reimbursements 0.59%*** 0.59% Ratio of net investment income to average net assets: Before expense reimbursements 3.36%*** 3.61% After expense reimbursements 3.78%*** 3.96% Portfolio turnover 19.21%** 64.03% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ------------ ---------------- ------------ ----------- Net asset value, beginning of period $ 9.96 $ 10.09 $ 10.11 $ 10.17 ------- --------- ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.34 0.21 0.11 0.18 Net gain (loss) on securities (both realized and unrealized) (0.10) (0.13) - (0.06) ------- --------- ------- ------- Total from investment operations 0.24 0.08 0.11 0.12 ------- --------- ------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.34) (0.21) (0.12) (0.18) Distributions from capital gains - (0.00)(a) (0.01) - ------- --------- ------- ------- Total distributions (0.34) (0.21) (0.13) (0.18) ------- --------- ------- ------- Net asset value, end of period $ 9.86 $ 9.96 $ 10.09 $ 10.11 ======= ========= ======= ======= Total return 2.43% 0.82% 1.06% 1.17% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $13,235 $ 15,354 $15,098 $21,500 Ratio of expenses to average net assets: Before expense reimbursements 0.92% 0.85% 0.80% 0.80% After expense reimbursements 0.59% 0.56% 0.50% 0.49% Ratio of net investment income to average net assets: Before expense reimbursements 3.06% 1.77% 0.85% 1.35% After expense reimbursements 3.39% 2.06% 1.15% 1.66% Portfolio turnover 82.25% 159.11% 62.58% 74.45%
K Shares Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 9.96 $ 9.87 -------- ------ INCOME FROM INVESTMENT OPERATIONS Net investment income 0.17 0.34 Net gain (loss) on securities (both realized and unrealized) 0.33 0.09 -------- ------ Total from investment operations 0.50 0.43 -------- ------ LESS DISTRIBUTIONS Dividends from net investment income (0.17) (0.34) Distributions from capital gains - - -------- ------- Total distributions (0.17) (0.34) -------- ------- Net asset value, end of period $ 10.29 $ 9.96 ======== ======= Total return 5.03%** 4.41% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 2,229 $ 2,099 Ratio of expenses to average net assets: Before expense reimbursements 1.50%*** 1.44% After expense reimbursements 1.09%*** 1.09% Ratio of net investment income to average net assets: Before expense reimbursements 2.86%*** 3.11% After expense reimbursements 3.28%*** 3.46% Portfolio turnover 19.21%** 64.03% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 ------------ ---------------- ------------------ Net asset value, beginning of period $ 9.96 $ 10.10 $ 10.12 ------- --------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.28 0.15 0.05 Net gain (loss) on securities (both realized and unrealized) (0.09) (0.14) (0.01) ------- ---------- -------- Total from investment operations 0.19 0.01 0.04 ------- ---------- -------- LESS DISTRIBUTIONS Dividends from net investment income (0.28) (0.15) (0.05) Distributions from capital gains - (0.00)(a) (0.01) ------- ---------- -------- Total distributions (0.28) (0.15) (0.06) ------- ---------- -------- Net asset value, end of period $ 9.87 $ 9.96 $ 10.10 ======= ========== ======== Total return 1.98% 0.20% 0.41%** RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 1,435 $ 1,277 $ 1,235 Ratio of expenses to average net assets: Before expense reimbursements 1.42% 1.35% 1.30%*** After expense reimbursements 1.09% 1.06% 1.00%*** Ratio of net investment income to average net assets: Before expense reimbursements 2.56% 1.27% 0.35%*** After expense reimbursements 2.89% 1.56% 0.65%*** Portfolio turnover 82.25% 159.11% 62.58%
* Commencement of operations ** Not Annualized *** Annualized (a) Less than $0.01 per share 39 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
THE UNITED STATES TREASURY TRUST Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 1.000 $ 1.000 --------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income $ 0.015 $ 0.044 LESS DISTRIBUTIONS Dividends from net investment income $ (0.015) $ (0.044) --------- -------- Net asset value, end of period $ 1.000 $ 1.000 ========= ======== Total return 1.56%** 4.54% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 36,685 $ 36,664 Ratio of expenses to average net assets: Before expense reimbursements 0.82%*** 0.78% After expense reimbursements 0.53%*** 0.53% Ratio of net investment income to average net assets: Before expense reimbursements 2.81%*** 4.20% After expense reimbursements 3.11%*** 4.45% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ------------ ------------ ------------ ------------- Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income $ 0.037 $ 0.017 $ 0.006 $ 0.008 LESS DISTRIBUTIONS Dividends from net investment income $ (0.037) $ (0.017) $ (0.006) $ (0.008) -------- -------- -------- -------- Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 ======== ======== ======== ======== Total return 3.74% 1.72% 0.63% 0.86% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 48,604 $ 36,919 $ 39,143 $ 40,635 Ratio of expenses to average net assets: Before expense reimbursements 0.80% 0.74% 0.71% 0.70% After expense reimbursements 0.53% 0.48% 0.36% 0.42% Ratio of net investment income to average net assets: Before expense reimbursements 3.61% 1.59% 0.28% 0.56% After expense reimbursements 3.88% 1.85% 0.63% 0.84%
K Shares Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 1.000 $ 1.000 --------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income $ 0.013 $ 0.039 LESS DISTRIBUTIONS Dividends from net investment income $ (0.013) $ (0.039) --------- -------- Net asset value, end of period $ 1.000 $ 1.000 ========= ======== Total return 1.31%** 4.02% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 2,434 $ 2,894 Ratio of expenses to average net assets: Before expense reimbursements 1.32%*** 1.28% After expense reimbursements 1.03%*** 1.03% Ratio of net investment income to average net assets: Before expense reimbursements 2.31%*** 3.70% After expense reimbursements 2.61%*** 3.95% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 K Shares ------------ ------------ ------------------ Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 -------- -------- --------- INCOME FROM INVESTMENT OPERATIONS Net investment income $ 0.032 $ 0.012 $ 0.001 LESS DISTRIBUTIONS Dividends from net investment income $ (0.032) $ (0.012) $ (0.001) -------- -------- --------- Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 ======== ======== ========= Total return 3.22% 1.22% 0.12%** RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 2,487 $ 2,490 $ 944 Ratio of expenses to average net assets: Before expense reimbursements 1.30% 1.25% 1.21%*** After expense reimbursements 1.03% 0.99% 0.86%*** Ratio of net investment income to average net assets: Before expense reimbursements 3.11% 1.08% (0.22)%*** After expense reimbursements 3.38% 1.34% (0.13)%***
* Commencement of operations ** Not Annualized *** Annualized 40 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
S&P 500 INDEX FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ---------------- Net asset value, beginning of period $ 29.70 $ 26.31 ---------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.25 0.46 Net gain (loss) on securities (both realized and unrealized) (2.90) 3.40 ---------- --------- Total from investment operations (2.66) 3.86 ---------- --------- LESS DISTRIBUTIONS Dividends from net investment income (0.24) (0.47) Distributions from capital gains - - ---------- --------- Total distributions (0.24) (0.47) ---------- --------- Paid in capital from redemption fee (Note 1) - (0.00)(a) ---------- --------- Net asset value, end of period $ 26.81 $ 29.70 ========== ========= Total return (9.00)%** 14.75% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 92,824 $ 105,804 Ratio of expenses to average net assets: Before expense reimbursements 0.52%* ** 0.51% After expense reimbursements 0.36%* ** 0.36% Ratio of net investment income to average net assets: Before expense reimbursements 1.52%* ** 1.44% After expense reimbursements 1.68%* ** 1.59% Portfolio turnover 2.75%* * 2.63% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ---------------- ---------------- ------------ ----------- Net asset value, beginning of period $ 24.61 $ 22.32 $ 20.36 $18.48 --------- --------- -------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.42 0.44 0.32 0.29 Net gain (loss) on securities (both realized and unrealized) 1.68 2.29 1.95 1.89 --------- --------- -------- ------- Total from investment operations 2.10 2.73 2.27 2.18 --------- --------- -------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.40) (0.44) (0.31) (0.30) Distributions from capital gains - - - - --------- --------- -------- ------- Total distributions (0.40) (0.44) (0.31) (0.30) --------- --------- -------- ------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A --------- --------- -------- ------- Net asset value, end of period $ 26.31 $ 24.61 $ 22.32 $ 20.36 ========= ========= ======== ======= Total return 8.61% 12.31% 11.16% 12.03% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 100,927 $ 102,899 $106,305 $98,264 Ratio of expenses to average net assets: Before expense reimbursements 0.53% 0.46% 0.43% 0.45% After expense reimbursements 0.36% 0.33% 0.27% 0.25% Ratio of net investment income to average net assets: Before expense reimbursements 1.44% 1.35% 1.27% 1.35% After expense reimbursements 1.61% 1.48% 1.43% 1.55% Portfolio turnover 3.56% 3.36% 2.00% 3.63%
K Shares Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 29.82 $ 26.41 ---------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.17 0.32 Net gain (loss) on securities (both realized and unrealized) (2.89) 3.41 ---------- --------- Total from investment operations (2.72) 3.73 ---------- --------- LESS DISTRIBUTIONS Dividends from net investment income (0.17) (0.32) Distributions from capital gains - - ---------- --------- Total distributions (0.17) (0.32) ---------- --------- Paid in capital from redemption fee (Note 1) - - ---------- --------- Net asset value, end of period $ 26.93 $ 29.82 ========== ========= Total return (9.19)%** 14.17% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 6,881 $ 8,292 Ratio of expenses to average net assets: Before expense reimbursements 1.02%*** 1.01% After expense reimbursements 0.86%*** 0.86% Ratio of net investment income to average net assets: Before expense reimbursements 1.02%*** 0.94% After expense reimbursements 1.18%*** 1.09% Portfolio turnover 2.75%** 2.63% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 ------------ ------------ ------------------ Net asset value, beginning of period $ 24.70 $ 22.37 $ 21.17 -------- ------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.28 0.29 0.12 Net gain (loss) on securities (both realized and unrealized) 1.69 2.33 1.16 -------- ------- -------- Total from investment operations 1.97 2.62 1.28 -------- ------- -------- LESS DISTRIBUTIONS Dividends from net investment income (0.26) (0.29) (0.08) Distributions from capital gains - - - -------- -------- --------- Total distributions (0.26) (0.29) (0.08) -------- -------- --------- Paid in capital from redemption fee (Note 1) - - N/A -------- -------- --------- Net asset value, end of period $ 26.41 $ 24.70 $ 22.37 ======== ======== ========= Total return 8.04% 11.77% 6.05%** RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 6,159 $ 4,641 $ 2,261 Ratio of expenses to average net assets: Before expense reimbursements 1.03% 0.97% 0.93%*** After expense reimbursements 0.86% 0.84% 0.77%*** Ratio of net investment income to average net assets: Before expense reimbursements 0.94% 0.84% 0.77%*** After expense reimbursements 1.11% 0.97% 0.93%*** Portfolio turnover 3.56% 3.36% 2.00%
* Commencement of operations ** Not Annualized *** Annualized (a) Less than $0.01 per share 41 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ---------------- Net asset value, beginning of period $ 24.85 $ 22.89 ---------- --------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.08 0.16 Net gain (loss) on securities (both realized and unrealized) (1.93) 3.34 ---------- ----------- Total from investment operations (1.85) 3.50 ---------- ----------- LESS DISTRIBUTIONS Dividends from net investment income (0.07) (0.19) Distributions from capital gains (2.68) (1.35) ---------- ----------- Total distributions (2.75) (1.54) ---------- ----------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) ---------- ----------- Net asset value, end of period $ 20.25 $ 24.85 ========== =========== Total return (8.35)%** 15.74% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 149,610 $ 171,024 Ratio of expenses to average net assets: Before expense reimbursements 0.64%* ** 0.63% After expense reimbursements 0.58%* ** 0.58% Ratio of net investment income to average net assets: Before expense reimbursements 0.66%* ** 0.61% After expense reimbursements 0.72%* ** 0.66% Portfolio turnover 11.22%* * 14.61% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ---------------- ---------------- ------------ ----------- Net asset value, beginning of period $ 23.34 $ 19.00 $ 17.01 $ 14.60 --------- --------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.21 0.18 0.13 0.12 Net gain (loss) on securities (both realized and unrealized) 1.11 4.34 1.98 2.41 --------- --------- -------- -------- Total from investment operations 1.32 4.52 2.11 2.53 --------- --------- -------- -------- LESS DISTRIBUTIONS Dividends from net investment income (0.21) (0.18) (0.12) (0.12) Distributions from capital gains (1.56) - - - --------- --------- -------- -------- Total distributions (1.77) (0.18) (0.12) (0.12) --------- --------- -------- -------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A --------- --------- -------- -------- Net asset value, end of period $ 22.89 $ 23.34 $ 19.00 $ 17.01 ========= ========= ======== ======== Total return 5.80% 23.87% 12.44% 17.46% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 162,988 $ 161,655 $126,678 $103,771 Ratio of expenses to average net assets: Before expense reimbursements 0.64% 0.59% 0.58% 0.58% After expense reimbursements 0.58% 0.55% 0.49% 0.46% Ratio of net investment income to average net assets: Before expense reimbursements 0.84% 0.80% 0.60% 0.66% After expense reimbursements 0.91% 0.84% 0.69% 0.78% Portfolio turnover 13.83% 18.07% 12.75% 8.33%
K Shares Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 24.85 $ 22.88 ---------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.03 0.04 Net gain (loss) on securities (both realized and unrealized) (1.95) 3.35 ---------- -------- Total from investment operations (1.92) 3.39 ---------- -------- LESS DISTRIBUTIONS Dividends from net investment income (0.03) (0.07) Distributions from capital gains (2.68) (1.35) ---------- -------- Total distributions (2.71) (1.42) ---------- -------- Paid in capital from redemption fee (Note 1) - - ---------- -------- Net asset value, end of period $ 20.22 $ 24.85 ========== ======== Total return (8.64)%** 15.22% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 5,936 $ 7,302 Ratio of expenses to average net assets: Before expense reimbursements 1.14%* ** 1.13% After expense reimbursements 1.08%* ** 1.08% Ratio of net investment income to average net assets: Before expense reimbursements 0.16%* ** 0.11% After expense reimbursements 0.22%* ** 0.16% Portfolio turnover 11.22%* * 14.61% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 ------------ ------------ ------------------ Net asset value, beginning of period $ 23.34 $ 19.00 $ 17.78 -------- ------- --------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.09 0.07 0.05 Net gain (loss) on securities (both realized and unrealized) 1.10 4.34 1.19 -------- ------- --------- Total from investment operations 1.19 4.41 1.24 -------- ------- --------- LESS DISTRIBUTIONS Dividends from net investment income (0.09) (0.07) (0.02) Distributions from capital gains (1.56) - - -------- -------- --------- Total distributions (1.65) (0.07) (0.02) -------- -------- --------- Paid in capital from redemption fee (Note 1) - - N/A -------- -------- --------- Net asset value, end of period $ 22.88 $ 23.34 $ 19.00 ======== ======== ========= Total return 5.23% 23.26% 6.96%** RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 5,617 $ 4,881 $ 2,459 Ratio of expenses to average net assets: Before expense reimbursements 1.14% 1.09% 1.08%*** After expense reimbursements 1.08% 1.05% 0.99%*** Ratio of net investment income to average net assets: Before expense reimbursements 0.34% 0.30% 0.10%*** After expense reimbursements 0.41% 0.34% 0.19%*** Portfolio turnover 13.83% 18.07% 12.75%
* Commencement of operations ** Not Annualized *** Annualized (a) Less than $0.01 per share 42 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 20.11 $ 19.38 ----------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.03 0.12 Net gain (loss) on securities (both realized and unrealized) (2.34) 2.38 ----------- ------- Total from investment operations (2.31) 2.50 ----------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.04) (0.13) Distributions from capital gains (2.21) (1.64) ----------- ------- Total distributions (2.25) (1.77) ----------- ------- Paid in capital from redemption fee (Note 1) (0.00)(a) - ----------- ------- Net asset value, end of period $ 15.55 $ 20.11 =========== ======= Total return (12.43)%** 13.25% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 22,064 $24,462 Ratio of expenses to average net assets: Before expense reimbursements 0.94%*** 0.90% After expense reimbursements 0.74%*** 0.74% Ratio of net investment income to average net assets: Before expense reimbursements 0.10%*** 0.44% After expense reimbursements 0.30%*** 0.60% Portfolio turnover 3.66%** 9.19% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ---------------- ---------------- ------------ ----------- Net asset value, beginning of period $ 19.08 $ 15.85 $ 14.07 $ 11.60 --------- --------- ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.10 0.09 0.04 0.03 Net gain (loss) on securities (both realized and unrealized) 1.18 3.99 1.92 2.51 --------- --------- ------- ------- Total from investment operations 1.28 4.08 1.96 2.54 --------- --------- ------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.10) (0.09) (0.04) (0.03) Distributions from capital gains (0.88) (0.76) (0.14) (0.04) --------- --------- ------- ------- Total distributions (0.98) (0.85) (0.18) (0.07) --------- --------- ------- ------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A --------- --------- ------- ------- Net asset value, end of period $ 19.38 $ 19.08 $ 15.85 $ 14.07 ========= ========= ======= ======= Total return 6.94% 26.17% 13.93% 22.04% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 24,609 $ 24,250 $20,742 $18,526 Ratio of expenses to average net assets: Before expense reimbursements 0.92% 0.86% 0.82% 0.88% After expense reimbursements 0.74% 0.71% 0.65% 0.65% Ratio of net investment income to average net assets: Before expense reimbursements 0.33% 0.37% 0.09% 0.08% After expense reimbursements 0.51% 0.52% 0.26% 0.31% Portfolio turnover 11.24% 7.25% 14.60% 16.51%
K Shares Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 20.04 $ 19.33 ----------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income (0.02) 0.02 Net gain (loss) on securities (both realized and unrealized) (2.33) 2.38 ----------- -------- Total from investment operations (2.35) 2.40 ----------- -------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) (0.05) Distributions from capital gains (2.21) (1.64) ----------- -------- Total distributions (2.22) (1.69) ----------- -------- Paid in capital from redemption fee (Note 1) - - ----------- -------- Net asset value, end of period $ 15.47 $ 20.04 =========== ======== Total return (12.68)%** 12.70% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 7,401 $ 9,556 Ratio of expenses to average net assets: Before expense reimbursements 1.44%*** 1.40% After expense reimbursements 1.24%*** 1.24% Ratio of net investment income to average net assets: Before expense reimbursements (0.40)%*** (0.06)% After expense reimbursements (0.20)%*** 0.10% Portfolio turnover 3.66%** 9.19% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 ------------ ------------ ------------------ Net asset value, beginning of period $ 19.04 $ 15.82 $ 14.78 -------- -------- ---------- INCOME FROM INVESTMENT OPERATIONS Net investment income - 0.01 (0.01) Net gain (loss) on securities (both realized and unrealized) 1.18 3.97 1.19 -------- -------- ---------- Total from investment operations 1.18 3.98 1.18 -------- -------- ---------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) - - Distributions from capital gains (0.88) (0.76) (0.14) -------- -------- ---------- Total distributions (0.89) (0.76) (0.14) -------- -------- ---------- Paid in capital from redemption fee (Note 1) - - N/A -------- -------- ---------- Net asset value, end of period $ 19.33 $ 19.04 $ 15.82 ======== ======== ========== Total return 6.38% 25.53% 7.99%** RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 7,290 $ 6,070 $ 2,700 Ratio of expenses to average net assets: Before expense reimbursements 1.42% 1.36% 1.32%*** After expense reimbursements 1.24% 1.21% 1.15%*** Ratio of net investment income to average net assets: Before expense reimbursements (0.17)% (0.13)% (0.41)%*** After expense reimbursements 0.01% 0.02% (0.24)%*** Portfolio turnover 11.24% 7.25% 14.60%
* Commencement of operations ** Not Annualized *** Annualized (a) Less than $0.01 per share 43 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
EQUITY INCOME FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 17.96 $ 16.52 ---------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.17 0.29 Net gain (loss) on securities (both realized and unrealized) (1.69) 2.08 ---------- ------- Total from investment operations (1.53) 2.37 ---------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.15) (0.31) Distributions from capital gains (0.32) (0.62) ---------- ------- Total distributions (0.47) (0.93) ---------- ------- Paid in capital from redemption fee (Note 1) - - ---------- ------- Net asset value, end of period $ 15.97 $ 17.96 ========== ======= Total return (8.71)%** 14.56% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 17,873 $23,584 Ratio of expenses to average net assets: Before expense reimbursements 0.86%*** 0.88% After expense reimbursements 0.86%*** 0.88% Ratio of net investment income to average net assets: Before expense reimbursements 1.92%*** 1.64% After expense reimbursements 1.92%*** 1.64% Portfolio turnover 8.87%** 1.48% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ---------------- ---------------- ------------ ----------- Net asset value, beginning of period $ 16.12 $ 14.07 $ 12.32 $ 11.38 --------- --------- ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.26 0.26 0.20 0.15 Net gain (loss) on securities (both realized and unrealized) 0.76 2.05 1.70 0.94 --------- --------- ------- ------- Total from investment operations 1.02 2.31 1.90 1.09 --------- --------- ------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.27) (0.26) (0.15) (0.15) Distributions from capital gains (0.35) - - - --------- --------- ------- -------- Total distributions (0.62) (0.26) (0.15) (0.15) --------- --------- ------- -------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A --------- --------- ------- -------- Net asset value, end of period $ 16.52 $ 16.12 $ 14.07 $ 12.32 ========= ========= ======= ======== Total return 6.50% 16.51% 15.51% 9.77% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 17,090 $ 16,641 $13,137 $ 9,818 Ratio of expenses to average net assets: Before expense reimbursements 0.91% 0.87% 0.90% 0.95% After expense reimbursements 0.90% 0.85% 0.80% 0.80% Ratio of net investment income to average net assets: Before expense reimbursements 1.61% 1.70% 1.04% 1.24% After expense reimbursements 1.62% 1.72% 1.14% 1.39% Portfolio turnover 2.59% 3.25% 14.43% 30.01%
K Shares Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 17.88 $ 16.56 ---------- --------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.12 0.21 Net gain (loss) on securities (both realized and unrealized) (1.67) 1.96 ---------- --------- Total from investment operations (1.55) 2.17 ---------- --------- LESS DISTRIBUTIONS Dividends from net investment income (0.12) (0.23) Distributions from capital gains (0.32) (0.62) ---------- --------- Total distributions (0.44) (0.85) ---------- --------- Paid in capital from redemption fee (Note 1) - - ---------- --------- Net asset value, end of period $ 15.89 $ 17.88 ========== ========= Total return (8.91)%** 13.29% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 4,050 $ 4,878 Ratio of expenses to average net assets: Before expense reimbursements 1.36%*** 1.38% After expense reimbursements 1.36%*** 1.38% Ratio of net investment income to average net assets: Before expense reimbursements 1.42%*** 1.14% After expense reimbursements 1.42%*** 1.14% Portfolio turnover 8.87%** 1.48% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 ------------ ------------ ------------------ Net asset value, beginning of period $ 16.17 $ 14.10 $ 12.90 -------- ------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.18 0.18 0.01 Net gain (loss) on securities (both realized and unrealized) 0.75 2.07 1.21 -------- ------- -------- Total from investment operations 0.93 2.25 1.22 -------- ------- -------- LESS DISTRIBUTIONS Dividends from net investment income (0.19) (0.18) (0.02) Distributions from capital gains (0.35) - - -------- -------- --------- Total distributions (0.54) (0.18) (0.02) -------- -------- --------- Paid in capital from redemption fee (Note 1) - - N/A -------- -------- --------- Net asset value, end of period $ 16.56 $ 16.17 $ 14.10 ======== ======== ========= Total return 5.92% 16.00% 9.47%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 3,829 $ 3,234 $ 1,470 Ratio of expenses to average net assets: Before expense reimbursements 1.41% 1.37% 1.40%*** After expense reimbursements 1.40% 1.35% 1.30%*** Ratio of net investment income to average net assets: Before expense reimbursements 1.11% 1.20% 0.54%*** After expense reimbursements 1.12% 1.22% 0.64%*** Portfolio turnover 2.59% 3.25% 14.43%
* Commencement of operations ** Not Annualized *** Annualized (a) Less than $0.01 per share 44 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
EUROPEAN GROWTH & INCOME FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 11.27 $ 9.91 ---------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.04 0.23 Net gain (loss) on securities (both realized and unrealized) (0.54) 1.40 ---------- ------- Total from investment operations (0.50) 1.63 ---------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.06) (0.27) Distributions from capital gains - - ---------- ------- Total distributions (0.06) (0.27) ---------- ------- Paid in capital from redemption fee (Note 1) - - ---------- ------- Net asset value, end of period $ 10.71 $ 11.27 ========== ======= Total return (4.52)%** 16.54% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 8,439 $ 7,367 Ratio of expenses to average net assets: Before expense reimbursements 1.34%*** 1.41% After expense reimbursements 1.00%*** 1.00% Ratio of net investment income to average net assets: Before expense reimbursements 0.34%*** 1.83% After expense reimbursements 0.70%*** 2.24% Portfolio turnover 0.00%** 0.00% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ------------ ---------------- ------------ ----------- Net asset value, beginning of period $ 8.57 $ 7.10 $ 6.18 $ 5.80 ------- -------- ------- ------ INCOME FROM INVESTMENT OPERATIONS Net investment income 0.24 0.15 0.16 0.11 Net gain (loss) on securities (both realized and unrealized) 1.29 1.48 0.89 0.35 ------- -------- ------- ------ Total from investment operations 1.53 1.63 1.05 0.46 ------- -------- ------- ------ LESS DISTRIBUTIONS Dividends from net investment income (0.19) (0.16) (0.13) (0.08) Distributions from capital gains - - - - ------- --------- ------- ------- Total distributions (0.19) (0.16) (0.13) (0.08) ------- --------- ------- ------- Paid in capital from redemption fee (Note 1) - (0.00)(a) N/A N/A ------- --------- ------- ------- Net asset value, end of period $ 9.91 $ 8.57 $ 7.10 $ 6.18 ======= ========= ======= ======= Total return 17.97% 23.15% 17.04% 8.17% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 5,719 $ 5,024 $ 3,923 $ 3,364 Ratio of expenses to average net assets: Before expense reimbursements 1.49% 1.55% 1.72% 1.99% After expense reimbursements 1.00% 0.98% 0.95% 0.95% Ratio of net investment income to average net assets: Before expense reimbursements 2.48% 1.41% 1.17% 0.83% After expense reimbursements 2.97% 1.98% 1.94% 1.87% Portfolio turnover 3.24% 1.47% 2.01% 0.00%
K Shares Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ------------ Net asset value, beginning of period $ 11.31 $ 9.94 ---------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.01 0.18 Net gain (loss) on securities (both realized and unrealized) (0.55) 1.40 ---------- ------- Total from investment operations (0.54) 1.58 ---------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.03) (0.21) Distributions from capital gains - - ---------- ------- Total distributions (0.03) (0.21) ---------- ------- Paid in capital from redemption fee (Note 1) - - ---------- ------- Net asset value, end of period $ 10.74 $ 11.31 ========== ======= Total return (4.83)%** 16.02% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 5,605 $ 6,519 Ratio of expenses to average net assets: Before expense reimbursements 1.84%*** 1.91% After expense reimbursements 1.50%*** 1.50% Ratio of net investment income to average net assets: Before expense reimbursements (0.16)%*** 1.33% After expense reimbursements 0.20%*** 1.74% Portfolio turnover 0.00%** 0.00% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 ------------ ------------ ------------------ Net asset value, beginning of period $ 8.60 $ 7.11 $ 6.61 ------- ------ -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.19 0.10 0.08 Net gain (loss) on securities (both realized and unrealized) 1.29 1.51 0.48 ------- ------ -------- Total from investment operations 1.48 1.61 0.56 ------- ------ -------- LESS DISTRIBUTIONS Dividends from net investment income (0.14) (0.12) (0.06) Distributions from capital gains - - - ------- ------- --------- Total distributions (0.14) (0.12) (0.06) ------- ------- --------- Paid in capital from redemption fee (Note 1) - - N/A ------- ------- --------- Net asset value, end of period $ 9.94 $ 8.60 $ 7.11 ======= ======= ========= Total return 17.31% 22.78% 8.43%** RATIOS/SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 4,576 $ 3,052 $ 1,177 Ratio of expenses to average net assets: Before expense reimbursements 1.99% 2.07% 2.22%*** After expense reimbursements 1.50% 1.50% 1.45%*** Ratio of net investment income to average net assets: Before expense reimbursements 1.98% 0.89% 0.67%*** After expense reimbursements 2.47% 1.46% 1.44%*** Portfolio turnover 3.24% 1.47% 2.01%
* Commencement of operations ** Not Annualized *** Annualized (a) Less than $0.01 per share 45 -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) - (CONTINUED) --------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 ------------------- ---------------- Net asset value, beginning of period $ 4.97 $ 3.96 ----------- --------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.00(a) (0.00)(a) Net gain (loss) on securities (both realized and unrealized) (0.60) 1.01 ----------- --------- Total from investment operations (0.60) 1.01 ----------- --------- LESS DISTRIBUTIONS Dividends from net investment income - - Distributions from capital gains - - ----------- --------- Total distributions - - ----------- --------- Paid in capital from redemption fee (Note 1) (0.00)(a) - ----------- --------- Net asset value, end of period $ 4.37 $ 4.97 =========== ========= Total return (12.07)%** 25.51% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 12,990 $ 13,542 Ratio of expenses to average net assets: Before expense reimbursements 0.98%*** 1.01% After expense reimbursements 0.66%*** 0.74% Ratio of net investment income to average net assets: Before expense reimbursements (0.24)%*** (0.36)% After expense reimbursements 0.06%*** (0.09)% Portfolio turnover 14.27%** 5.02% Year Ended Year Ended Year Ended Year Ended August 31, August 31, August 31, August 31, 2006 2005 2004 2003 ---------------- ---------------- ------------ ----------- Net asset value, beginning of period $ 3.98 $ 3.46 $ 3.41 $ 2.41 --------- --------- ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income (0.00)(a) 0.03 (0.01) (0.01) Net gain (loss) on securities (both realized and unrealized) (0.01) 0.51 0.06 1.01 --------- --------- ------- ------- Total from investment operations (0.01) 0.54 0.05 1.00 --------- --------- ------- ------- LESS DISTRIBUTIONS Dividends from net investment income (0.01) (0.02) - - Distributions from capital gains - - - - --------- --------- ------- ------- Total distributions (0.01) (0.02) - - --------- --------- ------- ------- Paid in capital from redemption fee (Note 1) (0.00)(a) (0.00)(a) N/A N/A --------- --------- ------- ------- Net asset value, end of period $ 3.96 $ 3.98 $ 3.46 $ 3.41 ========= ========= ======= ======= Total return (0.24)% 15.47% 1.47% 41.49% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 12,072 $ 15,161 $14,349 $14,928 Ratio of expenses to average net assets: Before expense reimbursements 1.03% 0.95% 0.91% 1.05% After expense reimbursements 0.74% 0.71% 0.65% 0.65% Ratio of net investment income to average net assets: Before expense reimbursements (0.34)% 0.41% (0.62)% (0.80)% After expense reimbursements (0.05)% 0.65% (0.36)% (0.40)% Portfolio turnover 14.07% 9.94% 8.82% 8.64%
Six Months Ended Year Ended February 29, 2008 August 31, (Unaudited) 2007 K Shares ------------------- ------------ Net asset value, beginning of period $ 4.91 $ 3.93 ----------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income (0.01) (0.02) Net gain (loss) on securities (both realized and unrealized) (0.60) 1.00 ----------- -------- Total from investment operations (0.61) 0.98 ----------- -------- LESS DISTRIBUTIONS Dividends from net investment income - - Distributions from capital gains - - ----------- -------- Total distributions - - ----------- -------- Paid in capital from redemption fee (Note 1) - - ----------- -------- Net asset value, end of period $ 4.30 $ 4.91 =========== ======== Total return (12.42)%** 24.94% RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 4,638 $ 5,978 Ratio of expenses to average net assets: Before expense reimbursements 1.48%* ** 1.51% After expense reimbursements 1.16%* ** 1.24% Ratio of net investment income to average net assets: Before expense reimbursements (0.74)%*** (0.86)% After expense reimbursements (0.44)%*** (0.59)% Portfolio turnover 14.27%* * 5.02% Year Ended Year Ended October 16, 2003* August 31, August 31, to August 31, 2006 2005 2004 ------------ ------------ ------------------ Net asset value, beginning of period $ 3.96 $ 3.45 $ 3.62 -------- -------- ---------- INCOME FROM INVESTMENT OPERATIONS Net investment income (0.02) - (0.01) Net gain (loss) on securities (both realized and unrealized) (0.01) 0.52 (0.16) -------- -------- ---------- Total from investment operations (0.03) 0.52 (0.17) -------- -------- ---------- LESS DISTRIBUTIONS Dividends from net investment income - (0.01) - Distributions from capital gains - - - -------- -------- ---------- Total distributions - (0.01) - -------- -------- ---------- Paid in capital from redemption fee (Note 1) - - N/A -------- -------- ---------- Net asset value, end of period $ 3.93 $ 3.96 $ 3.45 ======== ======== ========== Total return (0.76)% 15.13% (4.70)%** RATIOS / SUPPLEMENTAL DATA Net assets, end of period (in 000's) $ 3,908 $ 3,417 $ 1,651 Ratio of expenses to average net assets: Before expense reimbursements 1.53% 1.46% 1.41%*** After expense reimbursements 1.24% 1.22% 1.15%*** Ratio of net investment income to average net assets: Before expense reimbursements (0.84)% (0.10)% (1.12)%*** After expense reimbursements (0.55)% 0.14% (0.86)%*** Portfolio turnover 14.07% 9.94% 8.82%
* Commencement of operations ** Not Annualized *** Annualized (a) Less than $0.01 per share 46 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST FEBRUARY 29, 2008 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -------------------------------------------------------------------------------- Note 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES California Tax-Free Income Fund, California Insured Intermediate Fund, California Tax-Free Money Market Fund, U.S. Government Securities Fund, Short-Term U.S. Government Bond Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund, and Nasdaq-100 Index Fund are a series of shares of beneficial interest of California Investment Trust. The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to issue an unlimited number of no par value shares in one or more series. The Trust, originally organized as two separate Massachusetts business trusts formed by Declarations of Trust dated September 11, 1985, as subsequently amended, was reorganized into a single Delaware statutory trust after the close of trading on December 29, 2006. The investment objectives of the Funds are as follows: California Tax-Free Income Fund and California Insured Intermediate Fund seek as high a level of income exempt from federal and California personal income taxes as is consistent with prudent investment management and safety of capital. California Tax-Free Money Market Fund seeks capital preservation, liquidity and the highest achievable current income exempt from both federal and California personal income taxes consistent with safety. U.S. Government Securities Fund seeks safety from credit risk, liquidity, and as high a level of income as is consistent with these objectives by investment in full faith and credit obligations of the U.S. Government and its agencies or instrumentalities. The United States Treasury Trust seeks preservation of capital, safety, liquidity and consistent with these objectives, the highest attainable current income exempt from state income taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are diversified mutual funds that seek to provide investment results that correspond to the total return of publicly traded common stocks represented in the Standard & Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income Fund seeks a high level of income and capital appreciation (when consistent with high income) by investing primarily in income-producing U.S. equity securities. European Growth & Income Fund seeks to provide long-term capital appreciation and income by investing in large-sized European companies. Nasdaq-100 Index Fund attempts to replicate the performance of the largest non-financial companies as measured by the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund seeks liquidity, safety from credit risk, preservation of investors principal and has a high level of income as is consistent with these objectives by investing in mainly U.S. government securities. California Investment Trust began offering an additional class of shares, Class K, on October 16, 2003. Income, expenses (other than the expenses attributable to a specific class), realized and unrealized gains or losses on investments of the Funds are allocated proportionately to the two classes of shares offered based on the daily net assets, except for Rule 12b-1 distribution fees and shareholder service fees, which are charged only to K Shares. The following is a summary of significant accounting policies followed by the Funds. (a) Security Valuation - Portfolio securities of the S&P 500, S&P MidCap, S&P SmallCap Index Funds, Equity Income Fund, European Growth & Income Fund, and Nasdaq-100 Index Fund listed on a national exchange are valued at the last reported sales price. U.S. Treasury Bills are valued at amortized cost which approximates market value. Portfolio securities of the California Tax-Free Income Fund and the California Insured Intermediate Fund are valued by an independent pricing service that uses market quotations, representing the latest available bid price, prices provided by market makers, or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics, in accordance with procedures established by the Funds' Board of Trustees. The U.S. Government Securities Fund and the Short-Term U.S. Government Bond Fund are valued by an independent pricing service that uses market quotations representing the latest available mean between the bid and ask price, prices provided by market makers or estimates of market value obtained from yield data relating to instruments or securities with similar characteristics. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. All other securities are valued at their fair value as determined in good faith by the Board of Trustees. California Tax-Free Money Market Fund and The United States Treasury Trust securities are valued at amortized cost, which the Board of Trustees has determined in good faith to constitute fair value. (b) Futures Contracts - Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash, as collateral, for the account of the broker (a Fund's agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income, European Growth & Income Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts. (c) Federal Income Taxes - No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders. Capital loss carry forwards, as of August 31, 2007, available to offset future capital gains, if any, are as follows:
Short-Term California United States United States Tax-Free Money Government Government The United States S&P 500 European Growth Nasdaq-100 Expiring Market Fund Securities Fund Bond Fund Treasury Trust Index Fund & Income Fund Index Fund ---------- ---------------- ----------------- -------------- ------------------- ------------ ----------------- -------------- 2008 $ - $ - $ - $ - $ - $ 53,456 $ 537,333 2009 - - - - 3,651,999 40,585 2,356,290 2011 - - - - 2,790,405 104,291 3,015,439 2012 3,258 - - - - 2,426 1,963,355 2013 - 19,440 15,901 60 - 59,164 2,084,713 2014 - 266,271 187,828 5,937 - 9,731 251,077 2015 - 80,163 144,017 2,443 - 6,268 1,821,380 ------ -------- -------- ------ ---------- -------- ----------- Total $3,258 $365,874 $347,746 $8,440 $6,442,404 $275,921 $12,029,587 ====== ======== ======== ====== ========== ======== ===========
47 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST FEBRUARY 29, 2008 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - (CONTINUED) -------------------------------------------------------------------------------- Accounting principles generally accepted in the United States of America require certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended August 31, 2007, permanent differences resulting from different book and tax accounting for net operating losses, expiration of capital loss carryforwards and treatment of accretion of discount have been reclassified to paid-in capital, undistributed net investment income/loss and accumulated realized gain/loss as follows:
Increase (Decrease) Increase (Decrease) Undistributed Net Increase (Decrease) Paid-in Capital Investment Income (Loss) Accumulated Gain/(Loss) --------------------- -------------------------- ------------------------ California Tax-Free Income Fund $ - $ (46,825) $ 46,825 U.S. Government Securities Fund - 43,874 (43,874) Short-Term U.S. Government Bond Fund - 2,172 (2,172) S&P Mid Cap Index Fund - 12,360 (12,360) S&P Small Cap Index Fund - 24,675 (24,675) European Growth & Income Fund (806) - 806 Nasdaq-100 Index Fund (41,715) 41,715 -
(d) Security Transactions, Investment Income and Distributions to Shareholders - Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for, in accordance with the Trust's understanding of the applicable country's tax rules and rates. Distributions to shareholders are recorded on the ex-dividend date for the California Tax-Free Income Fund, the California Insured Intermediate Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for futures contracts, redemptions-in-kind and post-October capital losses. For the California Tax-Free Money Market Fund and The United States Treasury Trust, dividends from net investment income are declared daily and reinvested or paid in cash monthly. The two Funds intend to maintain a continuous net asset value per share of $1.00.If net asset value per share using available market information deviates from $1.00 by $.005 or more, the Board of Trustees would consider what steps, if any, should be taken to restore net asset value per share to $1.00. (e) Concentration - The California Tax-Free Income Fund, the California Insured Intermediate Fund and the California Tax-Free Money Market Fund invest in debt instruments of municipal issuers. The issuers' abilities to meet their obligations may be affected by economic developments in the state of California. (f) Use of Estimates in Financial Statements - In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of income and expense during the year. Actual results may differ from these estimates. (g) Share Valuations - The net asset value ("NAV") per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund, rounded to the nearest cent. A Fund's shares will not be priced on the days on which the NYSE is closed for trading. Bond and Money Market Funds are closed on Columbus Day (observed) and Veteran's Day (observed). The offering and redemption price per share of each Fund is equal to a Fund's NAV per share. Shares of certain funds were charged a 1% redemption fee on shares redeemed or exchanged within seven days of purchase. These fees were deducted from the redemption proceeds otherwise payable to the shareholder. Each Fund retained the fee charged as paid-in capital, and such fees became part of that Fund's daily NAV calculation. The redemption fee was established January 1, 2005. (h) Accounting for Uncertainty in Income Taxes - On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax return to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management has completed their analysis and the adoption of FIN 48 did not impact the Funds' net assets or results of operations. (i) Fair Value Measurements - In September 2006, the FASB issued Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to accounting principles generally accepted in the United States of America from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. Management does not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported on the statement of changes in net assets for a fiscal period. Note 2 - INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS CCM Partners ("CCM"), a California limited partnership, provides each Fund with management and limited administrative services pursuant to a management agreement. In accordance with the terms of the management agreements with California Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust, CCM receives compensation at the annual rate of 0.50% of the Funds' average daily net assets not exceeding $100 million, 0.45% on net assets from $100 million to $500 million, and 0.40% on net assets above $500 million. In accordance with the terms of the management agreements with the S&P 500 Index Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of 0.25% and 0.40%, respectively, of the Funds' average daily net assets. In accordance with the terms of the management agreements with the S&P SmallCap Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund, CCM receives compensation at the annual rate of 0.50% of the first $500 million of net assets, plus 0.45% on net assets from $500 million to $1 billion, and 0.40% of net assets above $1 billion. In accordance with the terms of the management agreement with the European Growth & Income Fund, CCM receives compensation at the annual rate of 0.85% of the Fund's average daily net assets. CCM has agreed to reduce its fee by, or reimburse the respective Funds for, any amount necessary to prevent a Fund's total expenses, excluding extraordinary items, from exceeding 1.00% (or 1.50% for Class K shares) of that Fund's average daily net assets. CCM has voluntarily reimbursed more expenses than contractually obligated. This voluntary reimbursement is effective for a calendar year, with renewal at the end of each calendar year, and is subject to recoupment within three fiscal years following a particular reimbursement, but only to the extent the reimbursement does not cause the Fund to exceed any applicable expense limit and the effect of the reimbursement is measured after all ordinary operating expenses are calculated; any such reimbursement is subject to the Board of Trustees' review and approval. Reimbursement from the manager for the six months ended February 29, 2008, is as follows:
Voluntary Expense Limitation -------------------------------------------------- Fund Reimburse Direct Shares K Shares Expiration --------------------------------------- ----------- --------------- ---------- ----------- California Insured Intermediate Fund $17,983 0.68% N/A 12/31/08 California Tax-Free Money Market Fund $85,178 0.53% N/A 12/31/08 U.S. Government Securities Fund $19,007 0.74% 1.24% 12/31/08
48 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST FEBRUARY 29, 2008 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - (CONTINUED) --------------------------------------------------------------------------------
Voluntary Expense Limitation -------------------------------------------------- Fund Reimburse Direct Shares K Shares Expiration -------------------------------------- ----------- --------------- ---------- ----------- Short-Term U.S. Government Bond Fund $25,399 0.59% 1.09% 12/31/08 The United States Treasury Trust $58,053 0.53% 1.03% 12/31/08 S&P 500 Index Fund $91,589 0.36% 0.86% 12/31/08 S&P MidCap Index Fund $53,256 0.58% 1.08% 12/31/08 S&P SmallCap Index Fund $32,519 0.74% 1.24% 12/31/08 European Growth & Income Fund $25,934 1.00% 1.50% 12/31/08 Nasdaq-100 Index Fund $33,870 0.49% 0.99% 12/31/08
At August 31, 2007, the remaining cumulative unreimbursed amount paid and/or waived by the Advisor on behalf of the Funds that may be reimbursed was $1,656,567. The Advisor may recapture a portion of the above amount no later than the dates as stated below:
Expires Expires Fund 8/31/09 8/31/10 --------------------------------------- ----------- ---------- California Insured Intermediate Fund $ 41,744 $ 36,934 California Tax-Free Money Market Fund $145,589 $175,932 U.S. Government Securities Fund $ 31,857 $ 33,268 Short-Term U.S. Government Bond Fund $ 50,442 $ 49,017 The United States Treasury Trust $104,529 $118,097 S&P 500 Index Fund $187,303 $176,669 S&P MidCap Index Fund $108,736 $ 89,673 S&P SmallCap Index Fund $ 57,446 $ 56,922 Equity Income Fund $ 950 $ - European Growth & Income Fund $ 44,359 $ 49,572 Nasdaq-100 Index Fund $ 51,952 $ 48,276
The Funds must pay its current ordinary operating expenses before the Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is contingent upon Board of Trustee review and approval prior to the time the reimbursement is initiated. As compensation for administrative duties not covered by the management agreement, CCM receives an administration fee, which became effective February 28, 2005. The administration fee is based on assets held, in aggregate, by the Funds comprising California Investment Trust . The fee rates are 0.10% on the first $100 million, 0.08% on the next $400 million, and 0.06% on combined assets over $500 million. Certain officers and trustees of the Trust are also partners of CCM. The Chief Compliance Officer ("CCO") of the Trust is also employed by CCM Partners, the Advisor and Administrator to the Trust. The Trust is responsible for the portion of salary allocated to duties as the CCO of the Trust, and CCM Partners is reimbursed by the Trust for this salary. The level of reimbursement is reviewed and determined by the Board of Trustees at least annually. California Investment Trust has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby the Class K Shares of each Fund of California Investment Trust pays the Distributor for expenses that relate to the promotion and distribution of shares. Under the Plan, the Class K Share of the Funds will pay the Distributor a fee at an annual rate of 0.25%, payable monthly, of the daily net assets attributable to such Fund's Class K Shares. California Investment Trust has adopted a Shareholder Services Plan (the "Services Plan"), whereby the Class K Shares of each Fund of California Investment Trust pay CCM Partners, LP, the Funds' Distributor or other service providers, an annual rate of 0.25% of the average daily net assets of Class K Shares. Such amounts are compensation for providing certain services to clients owning Class K Shares, including processing purchase and redemption transactions, assisting in other administrative details and providing other information with respect to each Fund. For the six months ended February 29, 2008, the following were paid by the Class K Shares of each Fund of California Investment Trust:
Shareholder Fund 12b-1 Fees Service Fees -------------------------------------- ------------ ------------- U.S. Government Securities Fund $ 7,654 $ 7,654 Short-Term U.S. Government Bond Fund $ 2,630 $ 2,630 The United States Treasury Trust $ 3,456 $ 3,456 S&P 500 Index Fund $10,239 $10,239 S&P MidCap Index Fund $ 8,813 $ 8,813 S&P SmallCap Index Fund $11,235 $11,235 Equity Income Fund $ 5,967 $ 5,967 European Growth & Income Fund $ 8,528 $ 8,528 Nasdaq-100 Index Fund $ 7,492 $ 7,492
Note 3 - PURCHASES AND SALES OF SECURITIES Purchases and sales of securities other than short-term investments during the six months ended February 29, 2008 were as follows:
Fund Purchases Sales -------------------------------------- ------------- ------------- California Tax-Free Income Fund $ 2,089,640 $ 285,000 California Insured Intermediate Fund $ - $ 392,700 U.S. Government Securities Fund $ - $ 2,975,625 Short-Term U.S. Government Bond Fund $ 2,231,430 $ 3,415,230 S&P 500 Index Fund $ 3,019,994 $ 5,904,779 S&P MidCap Index Fund $19,127,727 $21,386,750 S&P SmallCap Index Fund $ 1,134,426 $ 1,409,662 Equity Income Fund $ 2,143,470 $ 2,834,360 European Growth & Income Fund $ 1,246,907 $ - Nasdaq-100 Index Fund $ 3,892,889 $ 2,949,486
49 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST FEBRUARY 29, 2008 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - (CONTINUED) -------------------------------------------------------------------------------- Note 4 - TAX CHARACTER Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund as a whole. The tax character of distributions paid during the year ended August 31, 2007 was as follows:
Long-Term Capital Exempt-Interest Ordinary Income Gains Dividends Total Distributions ----------------- ------------------- ---------------- -------------------- California Tax-Free Income Fund 2007 $ - $1,106,888* $5,113,137 $ 6,220,025 California Insured Intermediate Fund 2007 $ - $ 20,390* $ 580,438 $ 600,828 California Tax-Free Money Market Fund 2007 $ - $ - $2,836,260 $ 2,836,260 U.S. Government Securities Fund 2007 $1,085,692 $ - $ - $ 1,085,692 Short-Term U.S. Government Bond Fund 2007 $ 538,719 $ - $ - $ 538,719 The United States Treasury Trust 2007 $2,129,076 $ - $ - $ 2,129,076 S&P 500 Index Fund 2007 $1,825,506 $ - $ - $ 1,825,506 S&P MidCap Index Fund 2007 $1,355,279 $9,742,612* $ - $ 11,097,891 S&P Small Cap Index Fund 2007 $ 456,866 $2,412,503* $ - $ 2,869,369 Equity Income Fund 2007 $ 401,017 $ 784,301* $ - $ 1,185,318 European Growth & Income Fund 2007 $ 272,574 $ - $ - $ 272,574 Nasdaq-100 Index Fund 2007 $ - $ - $ - $ -
* The Funds designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Internal Revenue Code for the year ended August 31, 2007. The tax character of distributable earnings at August 31, 2007 was as follows:
Undistributed Undistributed Long-Term Ordinary Income Capital Gain ----------------- --------------- California Tax-Free Income Fund $ 22,733 $ 484,477 California Insured Intermediate Fund $ 1,579 $ - California Tax-Free Money Market Fund $ - $ - U.S. Government Securities Fund $ 9,730 $ - Short-Term U.S. Government Bond Fund $ 1,365 $ - The United States Treasury Trust $ 105 $ - S&P 500 Index Fund $ 275,175 $ - S&P MidCap Index Fund $ 169,580 $ 16,476,031 S&P Small Cap Index Fund $ 236,577 $ 2,730,548 Equity Income Fund $ 181,053 $ 165,460 European Growth & Income Fund $ 40,338 $ - Nasdaq-100 Index Fund $ - $ - Unrealized Total Capital Loss Appreciation Post October Distributable Carry Forwards (Depreciation) Losses** Earnings ---------------- ---------------- -------------- ---------------- California Tax-Free Income Fund $ - $ 2,979,866 $ - $ 3,487,076 California Insured Intermediate Fund $ - $ 8,315 $ (13,492) $ (3,598) California Tax-Free Money Market Fund $ (3,258) $ - $ - $ (3,258) U.S. Government Securities Fund $ (365,874) $ (293,678) $ (34,220) $ (684,042) Short-Term U.S. Government Bond Fund $ (347,746) $ 79,293 $ (23,800) $ (290,888) The United States Treasury Trust $ (8,440) $ - $ - $ (8,335) S&P 500 Index Fund $ (6,442,404) $ 40,788,024 $ - $ 34,620,795 S&P MidCap Index Fund $ - $ 47,683,159 $ - $ 64,328,770 S&P Small Cap Index Fund $ - $ 8,780,766 $ - $ 11,474,891 Equity Income Fund $ - $ 6,004,450 $ - $ 6,350,963 European Growth & Income Fund $ (275,921) $ 3,736,823 $ (10,509) $ 3,490,731 Nasdaq-100 Index Fund $ (12,029,587) $ 4,510,018 $ (494,580) $ (8,014,149)
** Under the current tax law, capital losses realized after October 31 and prior to the Funds' fiscal year end may be deferred as occurring on the first day of the following fiscal year. The difference between book basis and tax basis unrealized appreciation is attributable primarily to the realization for tax purposes of unrealized gains on future contracts, wash sales, the treatment of accretion of discounts, and other deferrals. 50 -------------------------------------------------------------------------------- CALIFORNIA INVESTMENT TRUST FEBRUARY 29, 2008 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - (CONTINUED) -------------------------------------------------------------------------------- Note 5 - INVESTMENTS IN THE UNITED STATES TREASURY TRUST FUND The United States Treasury Trust (the Sweep Money Fund) is also managed by CCM and may be considered an affiliate since it has the same Officers, Trustees, and Investment Manager as the Funds. Management fees paid by the Funds are reduced on assets invested in the Sweep Money Fund, in an amount not to exceed the management fees paid by the Sweep Money Fund.
Balance of Shares Held September 1, Fund Name of Issuer 2007 --------------------------------------- ---------------------------------- -------------- U.S. Government Securities Fund The United States Treasury Trust 10,633 Short-Term U.S. Government Bond Fund The United States Treasury Trust 19,703 S&P 500 Index Fund The United States Treasury Trust 61,520 S&P MidCap Index Fund The United States Treasury Trust 11,527 S&P SmallCap Index Fund The United States Treasury Trust 27,005 Equity Income Fund The United States Treasury Trust 87,433 European Growth & Income Fund The United States Treasury Trust 12,943 Nasdaq-100 Index Fund The United States Treasury Trust 16,981 Income from Investments Gross Balance of in Affiliated Purchases Gross Sales Shares Held Value Issuers and Addi- and February 29, February 29, Included in Fund tions Reductions 2008 2008 Total Income --------------------------------- ----------- ------------- -------------- -------------- -------------- U.S. Government Securities Fund 1,440,320 1,358,583 92,370 $92,370 $954 Short-Term U.S. Government Bond Fund 1,263,103 1,258,679 24,127 $24,127 $850 S&P 500 Index Fund 1,758,371 1,812,798 7,093 $ 7,093 $787 S&P MidCap Index Fund 2,249,160 2,220,067 40,620 $40,620 $838 S&P SmallCap Index Fund 1,942,016 1,932,304 36,717 $36,717 $790 Equity Income Fund 1,629,281 1,682,770 33,944 $33,944 $709 European Growth & Income Fund 1,571,564 1,532,167 52,340 $52,340 $783 Nasdaq-100 Index Fund 1,543,103 1,497,332 62,752 $62,752 $721
-------------------------------------------------------------------------------- (UNAUDITED) Fund Holdings: The Fund holdings shown in this report are as of August 31, 2007. Holdings are subject to change at any time, so holdings shown in this report may not reflect current Fund holdings. The Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Form N-Q is available on the SEC's website at www.sec.gov and may be reviewed and copied at the Commission's Public Reference Room to Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The information filed in the form N-Q also may be obtained by visiting the Funds' website at www.caltrust.com or by calling (800) 225-8778. Proxy Voting Record: The Funds' Statement of Additional Information ("SAI") containing a description of the policies and procedures that the California Investment Trust Fund Group uses to determine how to vote proxies relating to portfolio securities, along with each Fund's proxy voting record relating to portfolio securities held during the 12-month period ended June 30, 2007, is available upon request, at no charge, at the phone number below, or on the SEC's website at www.sec.gov. This report is submitted for the general information of the shareholders of the California Investment Trust Fund Group. It is authorized for distribution only if preceded or accompanied by a current California Investment Trust Fund Group prospectus. Additional copies of the prospectus may be obtained by calling (800) 225-8778 or can be downloaded from the Funds' website at www.caltrust.com. Please read the prospectus carefully before you invest or send money, as it explains the risks, fees and expenses of investing in the Funds. 51 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND EXECUTIVE OFFICERS -------------------------------------------------------------------------------- Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise its day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:
Trustee Address Date of Birth Position Held with the Trust Length of Time Served ----------------------- ------------------------- --------------- -------------------------------- ---------------------- Stephen C. Rogers P.O. Box 387 06/27/66 President, Secretary, Chairman Since August 1998 San Francisco, CA 94104 & Trustee James W. Miller, Jr. P.O. Box 387 05/28/66 Trustee Since August 2001 San Francisco, CA 94104 Kevin T. Kogler P.O. Box 387 02/21/66 Trustee Since May 2006 San Francisco, CA 94104 Stephen H. Sutro P.O. Box 387 04/09/69 Trustee Since May 2006 San Francisco, CA 94104 Christopher P. Browne P.O. Box 387 02/07/67 Treasurer Since October 2004 San Francisco, CA 94104
Each Trustee oversees the Trust's twelve Funds. The principal occupations of the Trustees and Executive Officers of the Fund during the past five years and public directorships held by the Trustees are set forth below: *Stephen C. Rogers Chief Executive Officer, CCM Partners, 1999 to present; Chief Operating Officer, CCM Partners 1997 to 1999; Administrative Officer, CCM Partners 1994 - 1997; Marketing Representative, CCM Part- ners, 1993 to 1994. James W. Miller, Jr. Director, RREEF 2006 to present; Executive Vice President, Jones Lang LaSalle Americas, Inc. 1999 to 2006; Associate, Orrick Herrington & Sutcliffe LLP, 1996 - 1999; Associate, Gordon & Rees LLP, 1992 - 1993. Kevin T. Kogler Partner, Robertson Piper Software Group, 2006 to present; Senior Vice President, Technology Invest- ment Banking, Friedman, Billings Ramsey, 2003 to 2006; Director, Technology Investment Banking, Salomon Smith Barney, 2001 - 2002;Vice President, Technology Investment Banking, CS First Boston/Donaldson Lufkin & Jenrette, 1997 - 2001 Stephen H. Sutro Partner, Duane Morris LLP (law firm), 2003 to present; Associate, Duane Morris LLP 2000 - 2002, Associate, Hancock Rothert & Bunshoft (law firm), 1994 - 1999. Christopher P. Browne Portfolio Manager, CCM Partners, 2004 to present; Manager, Autodesk, 2000 - 2004; Principal, Baystar Capital, 1998 - 2000.
Additional information on the Trustees may be found in the SAI, which is available, without charge, upon request, by calling (800) 225-8778. * Trustee deemed to be an "interested person" of the Trust, as defined in the Investment Company Act of 1940. Mr. Rogers is an interested person because he is the CEO of CCM Partners, the Trust's Advisor and Administrator. 52 CALIFORNIA INVESTMENT TRUST ---------------- FUND GROUP P.O. Box 387 San Francisco, CA 94104 ITEM 2. CODE OF ETHICS. N/A for semi-annual reports. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. N/A for semi-annual reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. N/A for semi-annual reports. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. N/A ITEM 6. SCHEDULE OF INVESTMENTS Included under Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. N/A ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. N/A ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVEESTMENT COMPANY AND AFFILIATED PURCHASERS. N/A ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant's board of trustees since the Registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or this Item. -2- ITEM 11. CONTROLS AND PROCEDURES. (a) The Registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during the Registrant's last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS (a)(1) Code of Ethics not applicable for semi-annual report. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. California Investment Trust By (Signature and Title) /s/ Stephen C. Rogers -------------------------------------------------------- Stephen C. Rogers, President Date: May 9, 2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Stephen C. Rogers -------------------------------------------------------- Stephen C. Rogers, President Date: May 9, 2008 By (Signature and Title) /s/ Christopher P. Browne -------------------------------------------------------- Christopher P. Browne, Treasurer Date: May 9, 2008 -3-