Personal Annuity Select
Stock Index Account
1999 Annual Report
TIAA-CREF Life Funds-Stock Index Fund
Audited financial statements
including statement of investments
December 31, 1999
[TIAA CREF LOGO]
<PAGE>
Dear Personal Annuity Select investor:
We are pleased to send you the first annual report for the TIAA-CREF Life
Funds--Stock Index Fund, the underlying fund of the Personal Annuity Select
Stock Index Account. You can use this report to learn more about your Personal
Annuity Select investment, since the overall performance of the Stock Index
Account option depends on the investment experience of the fund.
It has been an exciting first year for the Personal Annuity Select. We launched
this new TIAA-CREF Life product in January 1999 as a natural extension of our
low-cost annuities that had previously been available only to the education and
research communities. By the end of 1999, Personal Annuity Select, including its
fixed account option, had attracted $59.4 million in premiums to 1,889 Personal
Annuity Select contracts, for a total of $61.6 million in assets under
management. The total return for the Personal Annuity Select Stock Index Account
in 1999 was 20.91 percent. Of course, past performance does not guarantee future
results.
Even with this impressive start, we are pleased to announce that later this year
we plan to enhance our Personal Annuity Select product by offering a wider range
of investment choices. These new options will include Growth Equity, Growth &
Income, International Equity and Social Choice Equity accounts, as well as
variable payout options.
With the Personal Annuity Select, we are continuing our TIAA-CREF commitment to
provide products providing our solid investment management expertise and some of
the lowest expenses in the annuity industry.
/s/ John J. McCormack
John J. McCormack
President,
TIAA-CREF Enterprises, Inc.
<PAGE>
Personal Annuity Select
CONTENTS
TIAA-CREF LIFE FUNDS
3 Performance Report of the
Stock Index Fund
4 Statement of Investments
19 Report of Management Responsibility
20 Report of Independent Auditors
21 Statement of Assets and Liabilities
22 Statement of Operations
23 Statements of Changes in Net Assets
24 Financial Highlights
25 Notes to Financial Statements
STOCK INDEX ACCOUNT
27 Stock Index Account Summary
Financial Information (unaudited)
The Investment Company Act of 1940 requires TIAA-CREF Life Personal Annuity
Select Separate Account to provide its contractowners with this annual report to
report on the financial condition and portfolio holdings of the fund in which it
invests. A semi-annual report will also be provided each year towards the end of
August.
A note about the report's format
While most of this report discusses fund performance, the table below presents a
summary of the Stock Index Account's returns to give you a more complete picture
of performance under your Personal Annuity Select contract. These returns
reflect the performance of the underlying fund after deductions for investment
management charges, as well as mortality and risk expenses, and administrative
charges. This is why the return below is slightly less than the return of the
underlying fund reported on page 3. You can find additional summary financial
information for the Stock Index Account (TIAA-CREF Life Separate Account VA-1)
on page 27.
<TABLE>
<CAPTION>
Stock Index Account
AS OF 12/31/99
Performance at a Glance
<S> <C>
Net Assets (millions) $22.8
- -----------------------------------
Annual Expense Charge(1) 0.37%
- -----------------------------------
Cumulative Rate of Total
Return (Since Launch 1/4/99) 20.91%
- -----------------------------------
Accumulation Unit Value $31.55
- -----------------------------------
</TABLE>
1 Annual expenses reflect 0.30 percent charged by the VA-1 Separate Account and
0.07 percent charged by the underlying fund. A portion of the investment
advisory expense charge and certain separate account charges have been waived
for the Personal Annuity Select Stock Index Account. If the full 1.50 percent
of fees were applied, the total investment return would be lower.
2 TIAA-CREF Personal Annuity Select 1999 Annual Report
<PAGE>
TIAA-CREF Life Funds--Stock Index Fund
Investment Objective
The Stock Index Fund seeks to achieve favorable long-term returns through
capital appreciation and investment income, primarily from a broadly diversified
portfolio of common stocks.
Portfolio Profile
o Tracks the overall market for common stocks publicly traded in the U.S.
o Benchmarked to the Russell 3000(R) Index.
o Uses a sampling approach to create a portfolio that closely matches the
investment characteristics of the Russell 3000(R) Index without actually
investing in all 3000 stocks in the index.
Performance in 1999
Since its launch on January 4, 1999, the TIAA-CREF Life Funds-Stock Index Fund
posted a return of 21.20 percent, exceeding its benchmark the Russell 3000(R)
which showed a return of 20.90 percent.
The fund outperformed the index because we slightly overweighted its holdings of
large-cap stocks (companies capitalized at $1 billion or more) in the early part
of the year, when large-caps performed well. As the year progressed and the fund
grew, the portfolio moved toward a more neutral position relative to large caps,
to benefit from the initial gains and be less exposed to the relative
performance of large stocks versus the market. As the portfolio grows in size,
we would expect the returns to move toward those of the benchmark. (There can,
of course, be no guarantees that the performance of the portfolio will match or
exceed that of the benchmark.)
Despite steadily rising interest rates and concern over possible Y2K problems,
the U.S. equities market experienced a strong upsurge, particularly in the final
quarter of 1999, achieving an unprecedented fifth consecutive year of returns of
20 percent or more. Growth stocks, especially those related to technology in
general and the Internet phenomenon in particular, showed the strongest gains.
However, stocks associated with an "old" economy, even those with growth
characteristics such as health care, largely failed to participate in the market
upswing.
$10,000 over Life of Fund
Initial Investment Value: $10,000
<TABLE>
<CAPTION>
TIAA-CREF Life Russell
Stock Index Fund 3000 Index
Monthly Monthly
---------------- ----------
<S> <C> <C>
Jan-99 $10,000 $10,000
Jan-99 $10,380 $10,340
Feb-99 $10,035 $9,973
Mar-99 $10,392 $10,339
Apr-99 $10,845 $10,806
May-99 $10,626 $10,601
Jun-99 $11,175 $11,136
Jul-99 $10,848 $10,799
Aug-99 $10,741 $10,676
Sep-99 $10,461 $10,403
Oct-99 $11,098 $11,056
Nov-99 $11,401 $11,365
Dec-99 $12,120 $12,090
</TABLE>
Ten Largest Holdings as of 12/31/99
<TABLE>
<CAPTION>
Company Shares Market Value
<S> <C> <C>
General Electric Co 13,500 $2,089,125
- -------------------------------------------------------------
Microsoft Corp 15,500 1,809,625
- -------------------------------------------------------------
Cisco Systems, Inc 13,300 1,424,762
- -------------------------------------------------------------
Exxon Mobil Corp 14,364 1,157,199
- -------------------------------------------------------------
Intel Corp 13,700 1,127,681
- -------------------------------------------------------------
Lucent Technologies, Inc 12,672 948,024
- -------------------------------------------------------------
International Business Machines Corp 7,300 788,400
- -------------------------------------------------------------
Citigroup, Inc 14,150 786,209
- -------------------------------------------------------------
Wal-Mart Stores, Inc 11,200 774,200
- -------------------------------------------------------------
America Online, Inc 9,000 678,937
- -------------------------------------------------------------
</TABLE>
Fund Management
Quantitative Portfolio Management Group,
Teachers Advisors
The Stock Index Fund of the TIAA-CREF Life Funds is managed by Teachers
Advisors, Inc.'s quantitative portfolio management group, whose members are
jointly responsible for the day-to-day management of the Fund.
Performance at a Glance
AS OF 12/31/99
<TABLE>
<CAPTION>
Cumulative Rates
of Total Return(1) Expense Net Assets
1 year since launch(2) Ratio(3) in millions
<S> <C> <C> <C> <C>
Stock Index Fund 21.20% 21.20% 0.07% $54.34
Russell 3000(R)Index 20.90 20.90 -- --
</TABLE>
1 Past performance shouldn't be taken as a guarantee of the same future rates
of return from the Stock Index Fund. Future returns will fluctuate, as will
the value of investment principal. The shares you own may be worth more or
less than their original value upon redemption.
2 Launch date of the Stock Index Fund was 1/4/99.
3 Although Teachers Advisors, Inc., the Stock Index Fund's investment adviser,
is entitled to an annual fee of 0.30% of the fund's average daily net assets,
it has voluntarily agreed to waive a portion of its fee.
TIAA-CREF Personal Annuity Select 1999 Annual Report 3
<PAGE>
TIAA-CREF LIFE FUNDS
STATEMENT OF INVESTMENTS--STOCK INDEX FUND
DECEMBER 31, 1999
SUMMARY BY INDUSTRY
<TABLE>
<CAPTION>
VALUE %
----------- -----
<S> <C> <C>
COMMON STOCK
AMUSEMENT AND RECREATION SERVICES .......... $ 39,764 0.07%
APPAREL AND ACCESSORY STORES ............... 252,459 0.47
APPAREL AND OTHER TEXTILE PRODUCTS ......... 42,067 0.08
AUTO REPAIR, SERVICES AND PARKING .......... 37,991 0.07
AUTOMOTIVE DEALERS AND SERVICE STATIONS 32,037 0.06
BUILDING MATERIALS AND GARDEN SUPPLIES ..... 722,954 1.33
BUSINESS SERVICES .......................... 6,578,154 12.11
CHEMICALS AND ALLIED PRODUCTS .............. 5,824,949 10.72
COMMUNICATIONS ............................. 6,521,381 12.00
DEPOSITORY INSTITUTIONS .................... 3,213,418 5.91
EATING AND DRINKING PLACES ................. 336,831 0.62
EDUCATIONAL SERVICES ....................... 14,262 0.03
ELECTRIC, GAS, AND SANITARY SERVICES ....... 1,380,599 2.54
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 6,206,566 11.42
ENGINEERING AND MANAGEMENT SERVICES ........ 72,157 0.13
FABRICATED METAL PRODUCTS .................. 328,534 0.61
FOOD AND KINDRED PRODUCTS .................. 1,605,283 2.95
FOOD STORES ................................ 236,002 0.43
FORESTRY ................................... 4,925 0.01
FURNITURE AND FIXTURES ..................... 97,985 0.18
FURNITURE AND HOMEFURNISHINGS STORES ....... 131,791 0.24
GENERAL BUILDING CONTRACTORS ............... 22,768 0.04
GENERAL MERCHANDISE STORES ................. 1,282,205 2.36
HEALTH SERVICES ............................ 183,213 0.34
HEAVY CONSTRUCTION, EXCEPT BUILDING ........ 45,431 0.08
HOLDING AND OTHER INVESTMENT OFFICES ....... 396,843 0.73
HOTELS AND OTHER LODGING PLACES ............ 64,973 0.12
INDUSTRIAL MACHINERY AND EQUIPMENT ......... 4,924,466 9.06
INSTRUMENTS AND RELATED PRODUCTS ........... 1,009,988 1.86
INSURANCE AGENTS, BROKERS AND SERVICE ...... 90,167 0.17
INSURANCE CARRIERS ......................... 2,328,992 4.29
LEATHER AND LEATHER PRODUCTS ............... 5,287 0.01
LUMBER AND WOOD PRODUCTS ................... 133,887 0.25
METAL MINING ............................... 61,806 0.11
MISCELLANEOUS MANUFACTURING
INDUSTRIES ................................ 224,954 0.41
MISCELLANEOUS RETAIL ....................... 396,863 0.73
MOTION PICTURES ............................ 612,854 1.13
<CAPTION>
VALUE %
----------- -----
<S> <C> <C>
NONDEPOSITORY INSTITUTIONS ................. $ 973,812 1.79%
NONMETALLIC MINERALS, EXCEPT FUELS ......... 21,868 0.04
OIL AND GAS EXTRACTION ..................... 393,035 0.72
PAPER AND ALLIED PRODUCTS .................. 431,747 0.80
PERSONAL SERVICES .......................... 32,186 0.06
PETROLEUM AND COAL PRODUCTS ................ 1,902,100 3.50
PRIMARY METAL INDUSTRIES ................... 228,422 0.42
PRINTING AND PUBLISHING .................... 436,305 0.80
RAILROAD TRANSPORTATION .................... 176,049 0.32
REAL ESTATE ................................ 9,893 0.02
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS .................................. 201,197 0.37
SECURITY AND COMMODITY BROKERS ............. 795,453 1.46
SOCIAL SERVICES ............................ 9,450 0.02
SPECIAL TRADE CONTRACTORS .................. 5,650 0.01
STONE, CLAY, AND GLASS PRODUCTS ............ 187,822 0.35
TEXTILE MILL PRODUCTS ...................... 18,356 0.03
TOBACCO PRODUCTS ........................... 251,905 0.46
TRANSPORTATION BY AIR ...................... 195,333 0.36
TRANSPORTATION EQUIPMENT ................... 1,365,552 2.51
TRANSPORTATION SERVICES .................... 43,574 0.08
TRUCKING AND WAREHOUSING ................... 43,542 0.08
WATER TRANSPORTATION ....................... 26,162 0.05
WHOLESALE TRADE-DURABLE GOODS .............. 112,707 0.21
WHOLESALE TRADE-NONDURABLE GOODS ........... 261,193 0.48
----------- ------
TOTAL COMMON STOCK
(Cost $45,758,818) ......................... 53,588,119 98.61
----------- ------
SHORT TERM INVESTMENTS
U.S. GOVERNMENT AND AGENCIES ................ 682,718 1.26
----------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $682,718) ............................ 682,718 1.26
----------- ------
TOTAL PORTFOLIO
(Cost $46,441,536) ......................... 54,270,837 99.87
OTHER ASSETS & LIABILITIES, NET ............. 69,824 0.13
----------- ------
NET ASSETS .................................. $54,340,661 100.00%
=========== ======
</TABLE>
4 See notes to financial statements.
<PAGE>
TIAA-CREF LIFE FUNDS
STATEMENT OF INVESTMENTS--STOCK INDEX FUND
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C>
COMMON STOCK--98.61%
AMUSEMENT AND RECREATION SERVICES--0.07%
100 * ANCHOR GAMING CO .......................... $ 4,343
100 * ARGOSY GAMING CORP ........................ 1,556
700 * BOYD GAMING CORP .......................... 4,068
500 * HARRAH'S ENTERTAINMENT, INC ............... 13,218
100 * HOLLYWOOD PARK, INC ....................... 2,243
700 * MIRAGE RESORTS, INC ....................... 10,718
100 * SFX ENTERTAINMENT, INC (CLASS A) .......... 3,618
------------
39,764
------------
APPAREL AND ACCESSORY STORES--0.47%
700 * ABERCROMBIE & FITCH CO (CLASS A) .......... 18,681
100 * AMERICAN EAGLE OUTFITTERS, INC ............ 4,500
100 * ANN TAYLOR STORES CORP .................... 3,443
400 BURLINGTON COAT FACTORY WAREHOUSE
CORP ...................................... 5,550
100 CATO CORP (CLASS A) ....................... 1,262
200 CLAIRE'S STORES, INC ...................... 4,475
300 DEB SHOPS, INC ............................ 5,550
200 * FOOTSTAR, INC ............................. 6,100
2,450 GAP, INC .................................. 112,700
600 * GENESCO, INC .............................. 7,800
400 * GYMBOREE CORP ............................. 2,250
474 LIMITED, INC .............................. 20,530
200 * MEN'S WEARHOUSE, INC ...................... 5,875
200 NORDSTROM, INC ............................ 5,237
100 * PACIFIC SUNWEAR CALIFORNIA, INC ........... 3,187
200 * PAYLESS SHOESOURCE, INC ................... 9,400
700 ROSS STORES, INC .......................... 12,556
200 * SHOE CARNIVAL, INC ........................ 2,012
1,000 TJX COS, INC .............................. 20,437
53 * TOO, INC .................................. 914
------------
252,459
------------
APPAREL AND OTHER TEXTILE PRODUCTS--0.08%
450 * JONES APPAREL GROUP, INC .................. 12,206
200 LIZ CLAIBORNE, INC ........................ 7,525
300 OSHKOSH B'GOSH, INC (CLASS A) ............. 6,318
400 PHILLIPS VAN HEUSEN CORP .................. 3,325
300 VF CORP ................................... 9,000
300 WARNACO GROUP, INC (CLASS A) .............. 3,693
------------
42,067
------------
AUTO REPAIR, SERVICES AND PARKING--0.07%
100 * AUTOWEB.COM, INC .......................... 1,087
200 * AVIS RENT A CAR, INC ...................... 5,112
200 * DOLLAR THRIFTY AUTOMOTIVE GROUP, INC ...... 4,787
100 HERTZ CORP (CLASS A) ...................... 5,012
900 RYDER SYSTEM, INC ......................... 21,993
------------
37,991
------------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.06%
1,000 * AUTONATION, INC ........................... 9,250
600 * AUTOZONE, INC ............................. 19,387
100 * CSK AUTO CORP ............................. 1,750
200 * WEST MARINE, INC .......................... 1,650
------------
32,037
------------
BUILDING MATERIALS AND GARDEN SUPPLIES--1.33%
9,300 HOME DEPOT, INC ........................... 637,631
1,428 LOWES COS, INC ............................ 85,323
------------
722,954
------------
BUSINESS SERVICES--12.11%
100 * 24/7 MEDIA, INC ........................... 5,625
200 AARON RENTS, INC .......................... 3,550
<CAPTION>
SHARES VALUE
------ ------------
<S> <C>
100 * ABOUT.COM, INC ............................ $ 8,975
100 * ACTUATE CORP .............................. 4,287
100 * ACXIOM CORP ............................... 2,400
100 * ADFORCE, INC .............................. 7,137
600 ADOBE SYSTEMS, INC ........................ 40,350
150 * ADVENT SOFTWARE, INC ...................... 9,665
200 * AFFILIATED COMPUTER SERVICES, INC
(CLASS A) ................................. 9,200
148 * AMDOCS LTD ................................ 5,106
9,000 * AMERICA ONLINE, INC ....................... 678,937
300 * AMERICAN MANAGEMENT SYSTEMS, INC .......... 9,412
100 ANALYSTS INTERNATIONAL CORP ............... 1,250
300 * ANSWERTHINK CONSULTING GROUP .............. 10,275
200 * ARDENT SOFTWARE, INC ...................... 7,800
200 AUTODESK, INC ............................. 6,750
2,100 AUTOMATIC DATA PROCESSING, INC ............ 113,137
600 * BEA SYSTEMS, INC .......................... 41,962
100 * BEYOND.COM CORP ........................... 781
100 * BINDVIEW DEVELOPMENT CORP ................. 4,968
900 * BMC SOFTWARE, INC ......................... 71,943
300 * BROADVISION, INC .......................... 51,018
100 * BROCADE COMMUNICATIONS SYSTEMS, INC ....... 17,700
700 * CADENCE DESIGN SYSTEMS, INC ............... 16,800
100 * CATALINA MARKETING CORP ................... 11,575
200 * CDI CORP .................................. 4,825
3,420 * CENDANT CORP .............................. 90,843
300 * CENTURY BUSINESS SERVICES, INC ............ 2,531
300 * CERIDIAN CORP ............................. 6,468
100 * CHECKFREE HOLDINGS CORP ................... 10,450
200 * CHOICEPOINT, INC .......................... 8,275
300 * CITRIX SYSTEMS, INC ....................... 36,900
100 * CLARIFY, INC .............................. 12,600
300 * CMGI, INC ................................. 83,062
200 * CNET, INC ................................. 11,350
200 * COGNIZANT TECHNOLOGY SOLUTIONS ............ 21,862
300 COMDISCO, INC ............................. 11,175
1,700 COMPUTER ASSOCIATES INTERNATIONAL, INC .... 118,893
500 * COMPUTER SCIENCES CORP .................... 47,312
1,600 * COMPUWARE CORP ............................ 59,600
100 * CONCORD COMMUNICATIONS, INC ............... 4,437
200 * CONVERGYS CORP ............................ 6,150
100 * CRITICAL PATH, INC ........................ 9,437
600 * CSG SYSTEMS INTERNATIONAL, INC ............ 23,925
200 * DBT ONLINE, INC ........................... 4,875
100 * DOCUMENTUM, INC ........................... 5,987
100 * DOUBLECLICK, INC .......................... 25,306
100 * EARTHLINK NETWORK, INC .................... 4,250
100 * EARTHWEB, INC ............................. 5,031
100 * EBAY, INC ................................. 12,518
200 * ECLIPSYS CORP ............................. 5,125
300 * ELECTRO RENT CORP ......................... 3,487
300 * ELECTRONIC ARTS, INC ...................... 25,200
1,600 ELECTRONIC DATA SYSTEMS CORP .............. 107,100
200 * ELECTRONICS FOR IMAGING, INC .............. 11,625
100 * ENTRUST TECHNOLOGIES, INC ................. 5,993
200 * EPICOR SOFTWARE CORP ...................... 1,012
600 EQUIFAX, INC .............................. 14,137
308 * EXCITE AT HOME ............................ 13,205
2,000 FIRST DATA CORP ........................... 98,625
150 * FISERV, INC ............................... 5,746
91 * GARTNER GROUP, INC (CLASS B) .............. 1,256
100 * GETTY IMAGES, INC ......................... 4,887
215 * GO.COM .................................... 5,119
</TABLE>
See notes to financial statements.
5
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
- ------- -----------
<S> <C> <C>
BUSINESS SERVICES--(Continued)
100 * GO2NET, INC .................................. $ 8,700
1,000 * GT INTERACTIVE SOFTWARE CORP ................. 1,656
300 * GTECH HOLDINGS CORP .......................... 6,600
100 * HARBINGER CORP ............................... 3,181
74 * HEALTHEON/WEBMD CORP ......................... 2,775
100 * HNC SOFTWARE ................................. 10,575
100 * I2 TECHNOLOGIES, INC ......................... 19,500
100 * IMATION CORP ................................. 3,356
1,500 IMS HEALTH, INC .............................. 40,781
200 * INFOCURE CORP ................................ 6,237
100 * INFORMATION RESOURCES, INC ................... 925
900 * INFORMIX CORP ................................ 10,293
100 * INFOSPACE.COM, INC ........................... 21,400
600 * INFOUSA, INC ................................. 8,362
200 * INKTOMI CORP ................................. 17,750
100 * INTERGRAPH CORP .............................. 468
300 * INTERIM SERVICES, INC ........................ 7,425
900 INTERPUBLIC GROUP OF COS, INC ................ 51,918
600 * INTUIT, INC .................................. 35,962
100 * ISS GROUP, INC ............................... 7,112
100 * IVILLAGE, INC ................................ 2,025
200 * KEANE, INC ................................... 6,350
100 * KORN FERRY INTERNATIONAL ..................... 3,637
150 * LABOR READY, INC ............................. 1,818
200 * LAMAR ADVERTISING CO (CLASS A) ............... 12,112
500 * LEARN2.COM, INC .............................. 1,640
200 * LEGATO SYSTEMS, INC .......................... 13,762
100 * LHS GROUP, INC ............................... 2,456
300 * LYCOS, INC ................................... 23,868
100 * MACROMEDIA, INC .............................. 7,312
500 MANPOWER, INC ................................ 18,812
100 * MAPICS, INC .................................. 1,262
100 * MASTECH CORP ................................. 2,475
200 * MEDQUIST, INC ................................ 5,162
200 * MENTOR GRAPHICS CORP ......................... 2,637
100 * MERCURY INTERACTIVE CORP ..................... 10,793
100 * MESSAGEMEDIA, INC ............................ 1,406
100 * MICROMUSE, INC ............................... 17,000
15,500 * MICROSOFT CORP ............................... 1,809,625
200 * MICROSTRATEGY, INC ........................... 42,000
100 * MIDWAY GAMES, INC ............................ 2,393
100 * MINDSPRING ENTERPRISES, INC .................. 2,640
400 * MODIS PROFESSIONAL SERVICES .................. 5,700
100 * MPATH INTERACTIVE, INC ....................... 2,662
100 NATIONAL COMPUTER SYSTEMS, INC ............... 3,762
200 NATIONAL DATA CORP ........................... 6,787
100 * NATIONAL EQUIPMENT SERVICES, INC ............. 625
100 * NBC INTERNET, INC ............................ 7,725
100 * NCO GROUP, INC ............................... 3,012
600 * NETWORK APPLIANCE, INC ....................... 49,837
100 * NETWORK SOLUTIONS, INC ....................... 21,756
500 * NETWORK ASSOCIATES, INC ...................... 13,343
500 * NOVA CORP (GEORGIA) .......................... 15,781
1,100 * NOVELL, INC .................................. 43,931
400 * OLSTEN CORP .................................. 4,525
500 OMNICOM GROUP, INC ........................... 50,000
200 * ONEMAIN.COM, INC ............................. 3,000
100 * OPEN MARKET, INC ............................. 4,512
4,600 * ORACLE CORP .................................. 515,487
600 * PARAMETRIC TECHNOLOGY CORP ................... 16,237
750 PAYCHEX, INC ................................. 30,000
100 * PCORDER.COM, INC ............................. 5,100
600 * PEOPLESOFT, INC .............................. 12,787
100 * PEREGRINE SYSTEMS, INC ....................... 8,418
200 * PEROT SYSTEMS CORP (CLASS A) ................. 3,800
100 PITTSTON BRINKS GROUP CO ..................... 2,200
<CAPTION>
SHARES VALUE
- ------- -----------
<S> <C> <C>
200 * POLICY MANAGEMENT SYSTEMS CORP ............... $ 5,112
100 * PORTAL SOFTWARE, INC ......................... 10,287
100 * PRICELINE.COM, INC ........................... 4,737
200 # * PROCURENET, INC .............................. 30
100 * PROFESSIONAL DETAILING, INC .................. 2,993
100 * PROGRESS SOFTWARE CORP ....................... 5,675
100 * PROXICOM, INC ................................ 12,431
200 * PSINET, INC .................................. 12,350
150 * QRS CORP ..................................... 15,750
200 * RARE MEDIUM GROUP, INC ....................... 5,576
300 * RATIONAL SOFTWARE CORP ....................... 14,737
100 * RAZORFISH, INC ............................... 9,512
100 * REALNETWORKS, INC ............................ 12,031
100 * REMEDY CORP .................................. 4,737
200 * RENT-A-CENTER, INC ........................... 3,962
300 * ROBERT HALF INTERNATIONAL, INC ............... 8,568
100 * RSA SECURITY, INC ............................ 7,750
200 * SABRE HOLDINGS CORP .......................... 10,250
400 * SAFETY-KLEEN CORP ............................ 4,525
100 * SANTA CRUZ OPERATION, INC .................... 3,037
200 * SAPIENT CORP ................................. 28,187
200 * SCIENT CORP .................................. 17,287
100 SEI INVESTMENT CO ............................ 11,901
100 * SERENA SOFTWARE, INC ......................... 3,093
100 SHARED MEDICAL SYSTEMS CORP .................. 5,093
500 * SIEBEL SYSTEMS, INC .......................... 42,000
1,700 * SITEL CORP ................................... 11,900
200 * SNYDER COMMUNICATIONS, INC ................... 3,850
200 * SOURCE MEDIA, INC ............................ 3,700
100 * SPORTSLINE.COM ............................... 5,012
400 * STERLING COMMERCE, INC ....................... 13,625
200 * STERLING SOFTWARE, INC ....................... 6,300
200 * STRUCTURAL DYNAMICS RESEARCH CORP ............ 2,550
6,200 * SUN MICROSYSTEMS, INC ........................ 480,112
500 * SUNGARD DATA SYSTEMS, INC .................... 11,875
300 * SYBASE, INC .................................. 5,100
300 * SYMANTEC CORP ................................ 17,587
400 * SYNOPSYS, INC ................................ 26,700
200 * THESTREET.COM ................................ 3,837
150 * THQ, INC ..................................... 3,478
100 * TICKETMASTER ONLINE-CITYSEARCH, INC .......... 3,843
100 * TMP WORLDWIDE, INC ........................... 14,200
200 TRUE NORTH COMMUNICATIONS, INC ............... 8,937
200 * TYLER TECHNOLOGIES, INC ...................... 1,100
300 * UNITED RENTALS, INC .......................... 5,137
100 * USINTERNETWORKING, INC ....................... 6,987
300 * USWEB CORP ................................... 13,331
300 * VALASSIS COMMUNICATIONS, INC ................. 12,675
400 * VERIO, INC ................................... 18,475
300 * VERISIGN, INC ................................ 57,281
1,000 * VERITAS SOFTWARE CORP ........................ 143,125
200 * VERITY, INC .................................. 8,512
100 * VERTICALNET, INC ............................. 16,400
100 * VIGNETTE CORP ................................ 16,300
100 * VISIO CORP ................................... 4,750
300 * WEST TELESERVICES CORP ....................... 7,331
100 * WIND RIVER SYSTEMS, INC ...................... 3,662
477 * YAHOO, INC ................................... 206,391
200 YOUNG & RUBICAM, INC ......................... 14,150
------------
6,578,154
------------
CHEMICALS AND ALLIED PRODUCTS--10.72%
5,100 ABBOTT LABORATORIES CO ....................... 185,193
900 AIR PRODUCTS & CHEMICALS, INC ................ 30,206
300 ALBEMARLE CORP ............................... 5,756
600 ALBERTO CULVER CO (CLASS B) .................. 15,487
100 * ALKERMES, INC ................................ 4,912
500 ALLERGAN, INC ................................ 24,875
</TABLE>
6 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
CHEMICALS AND ALLIED PRODUCTS--(Continued)
200 ALPHARMA, INC (CLASS A) .................... $ 6,150
200 * ALZA CORP .................................. 6,925
5,100 AMERICAN HOME PRODUCTS CORP ................ 201,131
4,300 * AMGEN, INC ................................. 258,268
100 * ANDRX CORP ................................. 4,231
100 ARCH CHEMICALS, INC ........................ 2,093
1,000 AVON PRODUCTS, INC ......................... 33,000
600 * BIOGEN, INC ................................ 50,700
8,100 BRISTOL MYERS SQUIBB CO .................... 519,918
500 CABOT CORP ................................. 10,187
100 * CAMBREX CORP ............................... 3,443
1,000 * CAREMARK RX, INC ........................... 5,062
300 * CELL PATHWAYS, INC ......................... 2,775
100 * CEPHALON, INC .............................. 3,456
100 * CHIREX, INC ................................ 1,462
300 * CHIRON CORP ................................ 12,712
700 CK WITCO CORP .............................. 9,362
738 CLOROX CO .................................. 37,176
2,200 COLGATE PALMOLIVE CO ....................... 143,000
100 * COULTER PHARMACEUTICALS, INC ............... 2,268
200 * CYGNUS, INC ................................ 3,650
200 * CYTEC INDUSTRIES, INC ...................... 4,625
100 DIAGNOSTIC PRODUCTS CORP ................... 2,450
300 DIAL CORP .................................. 7,293
900 DOW CHEMICAL CO ............................ 120,262
3,916 DU PONT (E.I.) DE NEMOURS & CO ............. 257,966
200 EASTMAN CHEMICAL CO ........................ 9,537
300 ECOLAB, INC ................................ 11,737
100 * ENZON, INC ................................. 4,337
200 * FERRO CORP ................................. 4,400
200 * FMC CORP ................................... 11,462
400 * FOREST LABORATORIES, INC ................... 24,575
100 FULLER (H.B.) CO ........................... 5,593
400 * GENZYME CORP (GENERAL DIVISION) ............ 18,000
17 * GENZYME SURGICAL PRODUCTS .................. 98
200 GEON CO .................................... 6,500
200 * GILEAD SCIENCES, INC ....................... 10,825
700 * GRACE W.R. & CO ............................ 9,712
400 GREAT LAKES CHEMICAL CORP .................. 15,275
600 HANNA (M.A.) CO ............................ 6,562
600 HERCULES, INC .............................. 16,725
100 * HUMAN GENOME SCIENCES, INC ................. 15,262
600 ICN PHARMACEUTICALS, INC ................... 15,187
100 * ICOS CORP .................................. 2,925
100 * IDEC PHARMACEUTICALS CORP .................. 9,825
400 IMC GLOBAL, INC ............................ 6,550
100 * IMCLONE SYSTEMS, INC ....................... 3,962
300 * IMMUNEX CORP ............................... 32,850
300 * INTERNATIONAL SPECIALTY PRODUCTS, INC ...... 2,756
200 INTERNATIONAL FLAVORS & FRAGRANCES, INC .... 7,550
600 * IVAX CORP .................................. 15,450
5,727 JOHNSON & JOHNSON CO ....................... 533,326
300 JONES PHARMACEUTICAL, INC .................. 13,031
150 * KING PHARMACEUTICALS, INC .................. 8,409
100 * KV PHARMACEUTICAL CO (CLASS B) ............. 2,143
300 LAUDER (ESTEE) CO (CLASS A) ................ 15,131
3,600 LILLY (ELI) & CO ........................... 239,400
100 LILLY INDUSTRIES, INC (CLASS A) ............ 1,343
100 * LIPOSOME CO, INC ........................... 1,220
500 LUBRIZOL CORP .............................. 15,437
400 MALLINCKRODT, INC .......................... 12,725
100 * MEDCO RESEARCH, INC ........................ 3,006
100 * MEDICIS PHARMACEUTICAL CORP (CLASS A) ...... 4,256
200 * MEDIMMUNE, INC ............................. 33,175
9,900 MERCK & CO, INC ............................ 663,918
300 MILLENNIUM CHEMICAL, INC ................... 5,925
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
100 * MILLENNIUM PHARMACEUTICALS, INC ............... $ 12,200
2,100 MONSANTO CO ................................... 74,812
400 MYLAN LABORATORIES, INC ....................... 10,075
200 * NBTY, INC ..................................... 2,312
200 OMNOVA SOLUTIONS, INC ......................... 1,550
1,500 * PERRIGO CO .................................... 12,000
16,200 PFIZER, INC ................................... 525,487
200 * PHARMACEUTICAL RESOURCES, INC ................. 987
1,760 PHARMACIA & UPJOHN, INC ....................... 79,200
600 PPG INDUSTRIES, INC ........................... 37,537
500 PRAXAIR, INC .................................. 25,156
5,300 PROCTER & GAMBLE CO ........................... 580,681
200 * REXALL SUNDOWN, INC ........................... 2,062
358 ROHM & HAAS CO ................................ 14,566
900 * RPM, INC ...................................... 9,168
100 * SCHEIN PHARMACEUTICAL, INC .................... 1,212
5,900 SCHERING-PLOUGH CORP .......................... 248,906
400 SCHULMAN (A.), INC ............................ 6,525
200 * SCOTTS CO (CLASS A) ........................... 8,050
100 * SEPRACOR, INC ................................. 9,918
700 SHERWIN-WILLIAMS CO ........................... 14,700
312 * SHIRE PHARMACEUTICALS CORP .................... 9,087
400 SIGMA ALDRICH CORP ............................ 12,025
300 STEPAN CO ..................................... 7,012
100 * SUPERGEN, INC ................................. 2,937
200 * THERAGENICS CORP .............................. 1,812
100 * TRANSKARYOTIC THERAPIES, INC .................. 3,850
100 * TRIANGLE PHARMACEUTICALS, INC ................. 1,281
200 UNION CARBIDE CORP ............................ 13,350
700 USEC, INC ..................................... 4,900
100 VALSPAR CORP .................................. 4,187
66 * VENTIV HEALTH, INC ............................ 606
3,400 WARNER-LAMBERT CO ............................. 278,587
200 * WATSON PHARMACEUTICALS, INC ................... 7,162
100 WELLMAN, INC .................................. 1,862
100 WEST PHARMACEUTICAL SERVICES .................. 3,093
------------
5,824,949
------------
COMMUNICATIONS--12.00%
300 * ADELPHIA COMMUNICATIONS CORP
(CLASS A) ..................................... 19,687
100 * ADVANCED COMMUNICATIONS GROUP ................. 1,362
100 * AERIAL COMMUNICATIONS, INC .................... 6,087
200 * ALLEGIANCE TELECOM, INC ....................... 18,450
1,034 ALLTEL CORP ................................... 85,498
300 * AMERICAN MOBILE SATELLITE CORP ................ 6,318
549 * AMFM, INC ..................................... 42,959
100 * ASSOCIATED GROUP, INC (CLASS A) ............... 9,125
13,045 AT&T CORP ..................................... 662,033
4,168 * AT&T CORP-LIBERTY MEDIA GROUP (CLASS A) 236,534
6,400 BELL ATLANTIC CORP ............................ 394,000
7,500 BELLSOUTH CORP ................................ 351,093
500 BROADWING, INC ................................ 18,437
600 * CABLEVISION SYSTEMS CORP (CLASS A) ............ 45,300
3,081 * CBS CORP ...................................... 196,991
400 CENTURYTEL, INC ............................... 18,950
800 * CLEAR CHANNEL COMMUNICATIONS, INC ............. 71,400
2,800 COMCAST CORP (CLASS A) SPECIAL ................ 141,575
200 * CONCENTRIC NETWORK CORP ....................... 6,162
300 * COVAD COMMUNICATIONS GROUP .................... 16,781
392 * COX COMMUNICATIONS, INC (CLASS A) ............. 20,188
100 * CUMULUS MEDIA, INC ............................ 5,075
100 * E.SPIRE COMMUNICATIONS, INC ................... 581
200 * ENTERCOM COMMUNICATIONS CORP .................. 13,200
600 * EXODUS COMMUNICATIONS, INC .................... 53,287
700 * FOX ENTERTAINMENT GROUP, INC ................. 17,456
820 * GLOBAL CROSSING LTD ........................... 41,000
</TABLE>
See notes to financial statements.
7
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
COMMUNICATIONS--(Continued)
500 * GLOBAL TELESYSTEMS GROUP, INC .............. $ 17,312
3,900 GTE CORP ................................... 275,193
300 * HEARST-ARGYLE TELEVISION, INC .............. 7,987
100 * HISPANIC BROADCASTING CORP ................. 9,221
200 * ICG COMMUNICATIONS, INC .................... 3,750
1,350 * INFINITY BROADCASTING CORP (CLASS A) ....... 48,853
200 * INTERMEDIA COMMUNICATIONS, INC ............. 7,762
200 * INTRAWARE, INC ............................. 15,987
200 * ITC DELTACOM, INC .......................... 5,525
200 * JONES INTERCABLE, INC (CLASS A) ............ 13,862
200 * LAUNCH MEDIA, INC .......................... 3,787
100 * LEAP WIRELESS INTERNATIONAL, INC ........... 7,850
1,000 * LEVEL 3 COMMUNICATIONS, INC ................ 81,875
200 * LIBERTY DIGITAL, INC (CLASS A) ............. 14,850
12,672 LUCENT TECHNOLOGIES, INC ................... 948,024
11,103 * MCI WORLDCOM, INC .......................... 589,152
300 * MCLEODUSA, INC (CLASS A) ................... 17,662
2,300 * MEDIA ONE GROUP, INC ....................... 176,668
300 * METROMEDIA FIBER NETWORK (CLASS A) ......... 14,381
100 * NETWORK EVENT THEATER, INC ................. 2,975
700 * NEXTEL COMMUNICATIONS, INC (CLASS A) ....... 72,187
500 * NEXTLINK COMMUNICATIONS, INC ............... 41,531
600 NORTH PITTSBURGH SYSTEMS, INC .............. 8,850
475 * NTL, INC ................................... 59,256
100 * OMNIPOINT CORP ............................. 12,062
10 * PAC-WEST TELECOMM, INC ..................... 265
100 * PACIFIC GATEWAY EXCHANGE, INC .............. 1,706
2,200 * PAGING NETWORK, INC ........................ 1,787
400 * PANAMSAT CORP .............................. 23,750
500 * PAXSON COMMUNICATIONS CORP ................. 5,968
200 * POWERTEL, INC .............................. 20,075
600 * PREMIERE TECHNOLOGIES, INC ................. 4,200
300 * PRIMUS TELECOMMUNICATIONS GROUP, INC ....... 11,475
300 * QWEST COMMUNICATIONS INTERNATIONAL,
INC ........................................ 12,900
100 * RADIO ONE, INC ............................. 9,200
200 * RCN CORP ................................... 9,700
400 * RHYTHMS NETCONNECTIONS, INC ................ 12,400
13,769 SBC COMMUNICATIONS, INC .................... 671,238
100 * SIRIUS SATELLITE RADIO, INC ................ 4,450
2,700 SPRINT CORP (FON GROUP) .................... 181,743
900 * SPRINT CORP (PCS GROUP) .................... 92,250
700 * STAR TELECOMMUNICATIONS, INC ............... 5,534
100 * TALK.COM, INC .............................. 1,775
200 TELEPHONE & DATA SYSTEMS, INC .............. 25,200
100 * TELIGENT, INC .............................. 6,175
2,000 U.S. WEST, INC ............................. 144,000
200 * U.S.A. NETWORKS, INC ....................... 11,050
400 * UNITEDGLOBALCOM, INC (CLASS A) ............. 28,250
400 * UNIVISION COMMUNICATIONS, INC .............. 40,875
2,200 * VIACOM, INC (CLASS B) ...................... 132,962
100 * VIATEL, INC ................................ 5,362
400 * VOICESTREAM WIRELESS CORP .................. 56,925
600 * WAVO CORP .................................. 2,325
400 * WESTERN WIRELESS CORP (CLASS A) ............ 26,700
200 * WINSTAR COMMUNICATIONS, INC ................ 15,050
------------
6,521,381
------------
DEPOSITORY INSTITUTIONS--5.91%
1,935 AMSOUTH BANCORP ............................ 37,369
300 ASSOCIATED BANC-CORP ....................... 10,275
200 ASTORIA FINANCIAL CORP ..................... 6,087
100 BANCFIRST CORP ............................. 3,393
300 BANCORPSOUTH, INC .......................... 4,893
800 BANCWEST CORP .............................. 15,600
7,200 BANK OF AMERICA CORP ....................... 361,350
2,200 BANK OF NEW YORK CO, INC ................... 88,000
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
4,800 BANK ONE CORP ................................. $ 153,900
200 BANK UNITED CORP (CLASS A) .................... 5,450
200 BANKATLANTIC BANCORP, INC (CLASS B) ........... 1,025
700 BB&T CORP ..................................... 19,162
200 CCB FINANCIAL CORP ............................ 8,712
200 CENTURA BANKS, INC ............................ 8,825
735 CHARTER ONE FINANCIAL, INC .................... 14,056
3,300 CHASE MANHATTAN CORP .......................... 256,368
400 CHITTENDEN CORP ............................... 11,850
300 * CITIZENS BANKING CORP (MICHIGAN) .............. 6,712
300 CITY NATIONAL CORP ............................ 9,881
400 COLONIAL BANCGROUP, INC ....................... 4,150
700 COMERICA, INC ................................. 32,681
100 * COMMERCE BANCORP, INC ......................... 4,043
210 COMMERCE BANCSHARES, INC ...................... 7,113
300 COMMUNITY FIRST BANKSHARES, INC ............... 4,725
200 COMPASS BANCSHARES, INC ....................... 4,462
650 * CONCORD EFS, INC .............................. 16,737
600 CULLEN FROST BANKERS, INC ..................... 15,450
600 DIME BANCORP, INC ............................. 9,075
500 DOWNEY FINANCIAL CORP ......................... 10,093
210 F.N.B. CORP ................................... 4,672
600 FIFTH THIRD BANCORP ........................... 44,025
100 FIRST FEDERAL CAPITAL CORP .................... 1,462
600 FIRST SECURITY CORP ........................... 15,318
200 FIRST TENNESSEE NATIONAL CORP ................. 5,700
4,100 FIRST UNION CORP .............................. 134,531
200 FIRST VIRGINIA BANKS, INC ..................... 8,600
4,327 FIRSTAR CORP .................................. 91,407
3,821 FLEETBOSTON FINANCIAL CORP .................... 133,018
100 * FRONTIER FINANCIAL CORP ....................... 2,000
420 FULTON FINANCIAL CORP ......................... 7,560
300 GBC BANCORP ................................... 5,793
500 * GOLDEN STATE BANCORP, INC ..................... 8,625
500 GOLDEN WEST FINANCIAL CORP .................... 16,750
500 GREAT SOUTHERN BANCORP ........................ 11,000
300 GREENPOINT FINANCIAL CORP ..................... 7,143
100 * HAMILTON BANCORP, INC ......................... 1,775
800 HIBERNIA CORP (CLASS A) ....................... 8,500
612 HUDSON UNITED BANCORP ......................... 15,644
660 HUNTINGTON BANCSHARES, INC .................... 15,757
300 * IMPERIAL BANCORP .............................. 7,237
400 INDEPENDENCE COMMUNITY BANK CORP .............. 5,000
1,400 KEYCORP ....................................... 30,975
400 * KEYSTONE FINANCIAL, INC ....................... 8,425
1,000 * LOCAL FINANCIAL CORP .......................... 10,375
100 M & T BANK CORP ............................... 41,425
300 MARSHALL & ILSLEY CORP ........................ 18,843
2,900 MBNA CORP ..................................... 79,025
1,700 MELLON FINANCIAL CORP ......................... 57,906
500 MERCANTILE BANKSHARES CORP .................... 15,968
600 MORGAN (J.P.) & CO, INC ....................... 75,975
2,700 NATIONAL CITY CORP ............................ 63,956
300 * NATIONAL PROCESSING, INC ...................... 2,662
210 NBT BANCORP, INC .............................. 3,255
900 NORTH FORK BANCORP, INC ....................... 15,750
600 NORTHERN TRUST CORP ........................... 31,800
200 NORTHWEST BANCORP, INC ........................ 1,387
105 OLD KENT FINANCIAL CORP ....................... 3,714
200 ONE VALLEY BANCORP, INC ....................... 6,125
400 PACIFIC CENTURY FINANCIAL CORP ................ 7,475
700 * PEOPLES HERITAGE FINANCIAL GROUP, INC ......... 10,543
1,500 PNC BANK CORP ................................. 66,750
600 POPULAR, INC .................................. 16,762
200 PREMIER NATIONAL BANCORP ...................... 3,687
300 * PROVIDENT BANKSHARES CORP ..................... 5,193
500 PROVIDENT FINANCIAL GROUP ..................... 17,937
</TABLE>
8 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
DEPOSITORY INSTITUTIONS--(Continued)
700 PROVIDIAN FINANCIAL CORP ....................... $ 63,743
700 REGIONS FINANCIAL CORP ......................... 17,587
400 REPUBLIC NEW YORK CORP ......................... 28,800
200 ROSLYN BANCORP, INC ............................ 3,700
100 * S1 CORP ........................................ 7,812
200 * SILICON VALLEY BANCSHARES ...................... 9,900
292 SKY FINANCIAL GROUP, INC ....................... 5,876
700 SOUTHTRUST CORP ................................ 26,468
100 SOVEREIGN BANCORP, INC ......................... 745
400 STATE STREET CORP .............................. 29,225
200 STATEN ISLAND BANCORP, INC ..................... 3,600
1,100 SUMMIT BANCORP ................................. 33,687
1,096 SUNTRUST BANKS, INC ............................ 75,418
400 SYNOVUS FINANCIAL CORP ......................... 7,950
600 TCF FINANCIAL CORP ............................. 14,925
100 * TELEBANC FINANCIAL CORP ........................ 2,600
500 TEXAS REGIONAL BANCSHARES, INC
(CLASS A) ...................................... 14,500
200 TRUSTMARK CORP ................................. 4,321
3,400 U.S. BANCORP ................................... 80,962
100 U.S. TRUST CORP ................................ 8,018
110 UMB FINANCIAL CORP ............................. 4,152
600 UNION PLANTERS CORP ............................ 23,662
400 UNIONBANCAL CORP ............................... 15,775
300 UST CORP ....................................... 9,525
315 VALLEY NATIONAL BANCORP ........................ 8,820
800 WACHOVIA CORP .................................. 54,400
220 WASHINGTON FEDERAL, INC ........................ 4,345
2,500 WASHINGTON MUTUAL, INC ......................... 65,000
200 WEBSTER FINANCIAL CORP ......................... 4,712
7,000 WELLS FARGO CO ................................. 283,062
100 * WESTAMERICA BANCORP ............................ 2,793
200 WESTCORP ....................................... 2,900
200 * WILMINGTON TRUST CORP .......................... 9,650
100 ZIONS BANCORP .................................. 5,918
------------
3,213,418
------------
EATING AND DRINKING PLACES--0.62%
1,500 * ADVANTICA RESTAURANT GROUP, INC ................ 2,625
200 APPLEBEES INTERNATIONAL, INC ................... 5,900
300 BOB EVANS FARMS, INC ........................... 4,631
300 * BRINKER INTERNATIONAL, INC ..................... 7,200
200 * BUFFETS, INC ................................... 2,000
200 CBRL GROUP, INC ................................ 1,940
150 * CEC ENTERTAINMENT, INC ......................... 4,256
230 CKE RESTAURANTS, INC ........................... 1,351
900 DARDEN RESTAURANTS, INC ........................ 16,312
300 * JACK IN THE BOX, INC ........................... 6,206
700 * LANDRY'S SEAFOOD RESTAURANTS, INC .............. 6,081
500 MARRIOTT INTERNATIONAL (CLASS A) ............... 15,781
5,500 MCDONALD'S CORP ................................ 221,718
200 * OUTBACK STEAKHOUSE, INC ........................ 5,187
200 * P.F. CHANGS CHINA BISTRO, INC .................. 4,975
300 * RUBY TUESDAY, INC .............................. 5,456
100 * SONIC CORP ..................................... 2,850
400 * TRICON GLOBAL RESTAURANTS, INC ................. 15,450
100 VIAD CORP ...................................... 2,787
200 WENDY'S INTERNATIONAL, INC ..................... 4,125
------------
336,831
------------
EDUCATIONAL SERVICES--0.03%
100 * CAREER EDUCATION CORP .......................... 3,837
200 * DEVRY, INC ..................................... 3,725
100 * LEARNING TREE INTERNATIONAL, INC ............... 2,800
300 * SYLVAN LEARNING SYSTEMS, INC ................... 3,900
------------
14,262
------------
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
ELECTRIC, GAS, AND SANITARY SERVICES--2.54%
400 * AES CORP ....................................... $ 29,900
600 ALLEGHENY ENERGY, INC .......................... 16,162
200 ALLIANT ENERGY CORP ............................ 5,500
800 * ALLIED WASTE INDUSTRIES, INC ................... 7,050
600 AMEREN CORP .................................... 19,650
300 AMERICAN ELECTRIC POWER CO, INC ................ 9,637
100 ATMOS ENERGY CORP .............................. 2,043
400 AVISTA CORP .................................... 6,175
200 * CALPINE CORP ................................... 12,800
600 CAROLINA POWER & LIGHT CO ...................... 18,262
500 CASCADE NATURAL GAS CORP ....................... 8,062
900 CENTRAL & SOUTH WEST CORP ...................... 18,000
600 CINERGY CORP ................................... 14,475
800 CMS ENERGY CORP ................................ 24,950
700 COASTAL CORP ................................... 24,806
400 COLUMBIA ENERGY GROUP .......................... 25,300
900 CONECTIV, INC .................................. 15,131
600 CONSOLIDATED EDISON CO OF NEW YORK, INC. ....... 20,700
500 CONSOLIDATED NATURAL GAS CO .................... 32,468
800 CONSTELLATION ENERGY GROUP ..................... 23,200
900 DOMINION RESOURCES, INC ........................ 35,325
200 DPL, INC ....................................... 3,462
900 DTE ENERGY CO .................................. 28,237
1,400 DUKE ENERGY CORP ............................... 70,175
100 EASTERN ENTERPRISES CO ......................... 5,743
1,300 EDISON INTERNATIONAL CO ........................ 34,043
300 EL PASO ENERGY CORP ............................ 11,643
400 ENERGEN CORP ................................... 7,225
700 ENERGY EAST CORP ............................... 14,568
400 ENTERGY CORP ................................... 10,300
300 EQUITABLE RESOURCES, INC ....................... 10,012
1,400 FIRSTENERGY CORP ............................... 31,762
400 FLORIDA PROGRESS CORP .......................... 16,925
800 FPL GROUP, INC ................................. 34,250
400 GPU, INC ....................................... 11,975
200 HAWAIIAN ELECTRIC INDUSTRIES, INC .............. 5,775
200 IDACORP, INC ................................... 5,362
600 INDIANA ENERGY, INC ............................ 10,650
200 * IPALCO ENTERPRISES, INC ........................ 3,412
300 KANSAS CITY POWER & LIGHT CO ................... 6,618
400 KEYSPAN CORP ................................... 9,275
700 LOUISVILLE GAS & ELECTRIC ENERGY CORP .......... 12,206
400 MCN ENERGY GROUP, INC .......................... 9,500
300 * MIDAMERICAN ENERGY HOLDINGS CO ................. 10,106
200 NATIONAL FUEL GAS CO ........................... 9,300
500 NEW CENTURY ENERGIES, INC ...................... 15,187
600 * NIAGARA MOHAWK HOLDINGS, INC ................... 8,362
200 NICOR, INC ..................................... 6,500
500 NISOURCE, INC .................................. 8,937
100 NORTHEAST UTILITIES CO ......................... 2,056
800 NORTHERN STATES POWER CO ....................... 15,600
600 OGE ENERGY CORP ................................ 11,400
600 ONEOK, INC ..................................... 15,075
1,000 PECO ENERGY CO ................................. 34,750
300 PEOPLES ENERGY CORP ............................ 10,050
1,200 PG&E CORP ...................................... 24,600
200 PINNACLE WEST CAPITAL CORP ..................... 6,112
400 POTOMAC ELECTRIC POWER CO ...................... 9,175
1,200 PP&L RESOURCES, INC ............................ 27,450
1,200 PUBLIC SERVICE ENTERPRISE GROUP, INC ........... 41,775
600 PUGET SOUND ENERGY, INC ........................ 11,625
1,300 QUESTAR CORP ................................... 19,500
1,200 RELIANT ENERGY, INC ............................ 27,450
400 * REPUBLIC SERVICES, INC (CLASS A) ............... 5,750
300 RGS ENERGY GROUP, INC .......................... 6,168
400 SCANA CORP ..................................... 10,750
</TABLE>
See notes to financial statements.
9
<PAGE>
<TABLE>
SHARES VALUE
------ -----------
<S> <C> <C>
ELECTRIC, GAS, AND SANITARY SERVICES--(Continued)
174 SCOTTISH POWER PLC ADR ......................... $ 4,872
1,700 SEMPRA ENERGY .................................. 29,537
600 * SIERRA PACIFIC RESOURCES (NEW) ................. 10,387
300 SIG CORP, INC .................................. 6,825
2,800 SOUTHERN CO .................................... 65,800
100 SOUTHWESTERN ENERGY CO ......................... 656
700 TECO ENERGY, INC ............................... 12,993
1,400 TEXAS UTILITIES CO ............................. 49,787
500 UGI CORP ....................................... 10,218
800 UNICOM CORP .................................... 26,800
450 UTILICORP UNITED, INC .......................... 8,746
2,000 WASTE MANAGEMENT, INC .......................... 34,375
100 WESTERN GAS RESOURCES, INC ..................... 1,318
1,100 WILLIAMS COS, INC .............................. 33,618
1,000 WISCONSIN ENERGY CORP .......................... 19,250
200 WPS RESOURCES CORP ............................. 5,025
------------
1,380,599
------------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--11.42%
100 * ACTV, INC ...................................... 4,568
100 * ADAPTIVE BROADBAND CORP ........................ 7,381
600 * ADC TELECOMMUNICATIONS, INC .................... 43,537
300 * ADVANCED FIBRE COMMUNICATIONS .................. 13,406
400 * ADVANCED MICRO DEVICES, INC .................... 11,575
100 * ALPHA INDUSTRIES, INC .......................... 5,731
600 * ALTERA CORP .................................... 29,737
700 * AMERICAN POWER CONVERSION CORP ................. 18,462
100 * AMERICAN SUPERCONDUCTOR CORP ................... 2,800
200 * AMERICAN TOWER SYSTEMS (CLASS A) ............... 6,112
200 AMETEK, INC .................................... 3,812
500 * AMKOR TECHNOLOGY, INC .......................... 14,125
200 * AMPHENOL CORP (CLASS A) ........................ 13,312
100 * ANADIGICS, INC ................................. 4,718
800 * ANALOG DEVICES, INC ............................ 74,400
100 * ANCOR COMMUNICATIONS, INC ...................... 6,787
500 * ANDREW CORP .................................... 9,468
100 * APPLIED MICRO CIRCUITS CORP .................... 12,725
100 * ARGUSS HOLDINGS, INC ........................... 1,300
300 * ARTESYN TECHNOLOGIES, INC ...................... 6,300
200 * ASPECT COMMUNICATIONS CORP ..................... 7,825
600 * ATMEL CORP ..................................... 17,737
100 * AVX CORP ....................................... 4,993
400 BMC INDUSTRIES, INC ............................ 1,950
200 * BROADCOM CORP (CLASS A) ........................ 54,475
150 * BURR BROWN CORP ................................ 5,418
100 * CATAPULT COMMUNICATIONS CORP ................... 993
200 * CELLNET DATA SYSTEMS, INC ...................... 225
500 * CIENA CORP ..................................... 28,750
300 * COMMSCOPE, INC ................................. 12,093
300 * COMVERSE TECHNOLOGY, INC ....................... 43,425
600 * CONEXANT SYSTEMS, INC .......................... 39,825
200 COOPER INDUSTRIES, INC ......................... 8,087
100 * CREE RESEARCH, INC ............................. 8,537
200 CTS CORP ....................................... 15,075
400 * CYPRESS SEMICONDUCTOR CORP ..................... 12,950
100 DALLAS SEMICONDUCTOR CORP ...................... 6,443
200 * DIGITAL MICROWAVE CORP ......................... 4,687
100 * DII GROUP, INC ................................. 7,096
100 * E-TEK DYNAMICS, INC ............................ 13,462
200 * ECHOSTAR COMMUNICATIONS CORP
(CLASS A) ...................................... 19,500
1,400 EMERSON ELECTRIC CO ............................ 80,325
100 * ESS TECHNOLOGY, INC ............................ 2,218
100 * EXECUTONE INFORMATION SYSTEMS, INC ............. 543
1,000 EXIDE CORP ..................................... 8,312
13,500 GENERAL ELECTRIC CO ............................ 2,089,125
500 * GENERAL INSTRUMENT CORP ........................ 42,500
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
200 HARMAN INTERNATIONAL INDUSTRIES, INC ........... $ 11,225
200 * HARMONIC LIGHTWAVES, INC ....................... 18,987
200 HARRIS CORP .................................... 5,337
100 * HELIX TECHNOLOGY CORP .......................... 4,481
100 * HI / FN, INC ................................... 3,875
300 * INTEGRATED DEVICE TECHNOLOGY, INC .............. 8,700
13,700 INTEL CORP ..................................... 1,127,681
100 * INTERVOICE-BRITE, INC .......................... 2,325
100 * JABIL CIRCUIT, INC ............................. 7,300
800 * JDS UNIPHASE CORP .............................. 129,050
100 * KEMET CORP ..................................... 4,506
200 * KOMAG, INC ..................................... 625
100 * L-3 COMMUNICATIONS HOLDINGS, INC ............... 4,162
200 * LATTICE SEMICONDUCTOR CORP ..................... 9,425
500 LINEAR TECHNOLOGY CO ........................... 35,781
500 * LITTLEFUSE, INC ................................ 12,132
200 LSI INDUSTRIES, INC ............................ 4,325
700 * LSI LOGIC CORP ................................. 47,250
1,000 * MAXIM INTEGRATED PRODUCTS ...................... 47,187
500 MAYTAG CO ...................................... 24,000
200 * MEMC ELECTRONIC MATERIALS, INC ................. 2,450
300 METHODE ELECTRONICS, INC (CLASS A) ............. 9,637
100 * METRICOM, INC .................................. 7,862
200 * MICREL, INC .................................... 11,387
300 * MICROCHIP TECHNOLOGY, INC ...................... 20,531
800 * MICRON TECHNOLOGY, INC ......................... 62,200
100 * MMC NETWORKS, INC .............................. 3,437
200 MOLEX, INC ..................................... 11,337
2,500 MOTOROLA, INC .................................. 368,125
900 * NATIONAL SEMICONDUCTOR CORP .................... 38,531
500 NATIONAL SERVICE INDUSTRIES, INC ............... 14,750
100 * OAK INDUSTRIES, INC ............................ 10,612
100 PITTWAY CORP (CLASS A) ......................... 4,481
200 * PLANTRONICS, INC ............................... 14,312
200 * PMC-SIERRA, INC ................................ 32,062
100 * POLYCOM, INC ................................... 6,368
100 * QLOGIC CORP .................................... 15,987
2,400 * QUALCOMM, INC .................................. 422,700
100 * RAMBUS, INC .................................... 6,743
100 * RAYOVAC CORP ................................... 1,887
200 * READ RITE CORP ................................. 950
100 * RF MICRO DEVICES, INC .......................... 6,843
100 * S3, INC ........................................ 1,156
200 * SANMINA CORP ................................... 19,975
500 * SCI SYSTEMS, INC ............................... 41,093
300 SCIENTIFIC-ATLANTA, INC ........................ 16,687
100 * SDL, INC ....................................... 21,800
200 * SEMTECH CORP ................................... 10,425
400 * SENSORMATIC ELECTRONICS CORP ................... 6,975
200 * SILICONIX, INC ................................. 26,300
800 * SOLECTRON CORP ................................. 76,100
100 TECHNITROL, INC ................................ 4,450
100 * TEKELEC ....................................... 2,250
1,300 * TELLABS, INC ................................... 83,443
100 * TERAYON COMMUNCIATION SYSTEMS, INC ............. 6,281
3,100 TEXAS INSTRUMENTS, INC ......................... 300,312
300 THOMAS & BETTS CORP ............................ 9,562
100 * TITAN CORP ..................................... 4,712
100 * TRANSWITCH CORP ................................ 7,256
100 * TRIQUINT SEMICONDUCTOR, INC .................... 11,125
400 * UCAR INTERNATIONAL, INC ........................ 7,125
100 * VARIAN SEMICONDUCTOR EQUIPMENT
ASSOCIATES, INC ................................ 3,400
575 * VISHAY INTERTECHNOLOGY, INC .................... 18,184
600 * VITESSE SEMICONDUCTOR CORP ..................... 31,462
30 * WATER PIK TECHNOLOGIES, INC .................... 286
800 * WEBLINK WIRELESS, INC .......................... 12,400
</TABLE>
10 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(Continued)
300 WHIRLPOOL CORP .................................. $ 19,518
100 WOODWARD GOVERNOR CO ............................ 2,750
400 * WORLD ACCESS, INC ............................... 7,700
1,000 * XILINX, INC ..................................... 45,468
------------
6,206,566
------------
ENGINEERING AND MANAGEMENT SERVICES--0.13%
100 * AHL SERVICES, INC ............................... 2,087
300 * CATALYTICA, INC ................................. 4,068
50 * CIRCLE.COM ...................................... 615
100 * COVANCE, INC .................................... 1,081
500 DUN & BRADSTREET CORP ........................... 14,750
100 * F.Y.I., INC ..................................... 3,400
100 * IT GROUP, INC ................................... 918
200 * JACOBS ENGINEERING GROUP, INC ................... 6,500
200 * NAVIGANT CONSULTING CO .......................... 2,175
300 * QUINTILES TRANSNATIONAL CORP .................... 5,606
700 SERVICEMASTER CO ................................ 8,618
100 TEJON RANCH CO .................................. 2,375
85 * TELEDYNE TECHNOLOGIES, INC ...................... 802
200 * TETRA TECH, INC ................................. 3,075
300 * WHITTMAN HART, INC .............................. 16,087
------------
72,157
------------
FABRICATED METAL PRODUCTS--0.61%
100 * BALL CORP ....................................... 3,937
400 BUTLER MANUFACTURING CO ......................... 8,925
200 CRANE CO ........................................ 3,975
800 CROWN CORK & SEAL CO, INC ....................... 17,900
4,200 GILLETTE CO ..................................... 172,987
200 HARSCO CORP ..................................... 6,350
400 MARK IV INDUSTRIES, INC ......................... 7,075
1,100 MASCO CORP ...................................... 27,912
200 PARKER-HANNIFIN CORP ............................ 10,262
500 ROCKWELL INTERNATIONAL CORP ..................... 23,937
700 SNAP-ON, INC .................................... 18,593
600 STANLEY WORKS CO ................................ 18,075
300 * TOWER AUTOMOTIVE, INC ........................... 4,631
200 * U.S. CAN CORP ................................... 3,975
------------
328,534
------------
FOOD AND KINDRED PRODUCTS--2.95%
100 * AGRIBRANDS INTERNATIONAL, INC ................... 4,600
1,900 ANHEUSER-BUSCH COS, INC ......................... 134,662
1,680 ARCHER DANIELS MIDLAND CO ....................... 20,475
1,300 BESTFOODS, INC .................................. 68,331
100 BROWN FORMAN, INC (CLASS B) ..................... 5,725
1,100 CAMPBELL SOUP CO ................................ 42,556
100 * CANANDAIGUA BRANDS, INC (CLASS A) ............... 5,100
9,300 COCA COLA CO .................................... 541,725
900 COCA COLA ENTERPRISES, INC ...................... 18,112
1,900 CONAGRA, INC .................................... 42,868
100 COORS (ADOLPH) CO (CLASS B) ..................... 5,250
300 CORN PRODUCTS INTERNATIONAL, INC ................ 9,825
300 DEAN FOODS CO ................................... 11,925
400 * DEL MONTE FOODS CO .............................. 4,925
300 DOLE FOOD, INC .................................. 4,875
500 EARTHGRAINS CO .................................. 8,062
200 FLOWERS INDUSTRIES, INC ......................... 3,187
1,100 FORTUNE BRANDS, INC ............................. 36,368
800 GENERAL MILLS, INC .............................. 28,600
1,300 HEINZ (H.J.) CO ................................. 51,756
200 HERSHEY FOODS CORP .............................. 9,500
300 HORMEL FOODS CORP ............................... 12,187
600 IBP, INC ........................................ 10,800
400 * INTERNATIONAL HOME FOODS, INC ................... 6,950
300 INTERSTATE BAKERIES CORP ........................ 5,437
300 * KEEBLER FOODS CO ................................ 8,437
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
900 KELLOGG CO ...................................... $ 27,731
400 LANCASTER COLONY CORP ........................... 13,250
400 LANCE, INC ...................................... 4,000
400 MCCORMICK & CO, INC (NON-VOTE) .................. 11,900
1,800 NABISCO GROUP HOLDINGS .......................... 19,125
1,100 PEPSI BOTTLING GROUP, INC ....................... 18,218
5,800 PEPSICO, INC .................................... 204,450
600 QUAKER OATS CO .................................. 39,375
1,000 RALSTON PURINA CO ............................... 27,875
100 * ROBERT MONDAVI CORP (CLASS A) ................... 3,475
3,500 SARA LEE CORP ................................... 77,218
200 * SMITHFIELD FOODS, INC ........................... 4,800
200 * SUIZA FOODS CORP ................................ 7,925
103 TOOTSIE ROLL INDUSTRIES, INC .................... 3,392
900 TYSON FOODS, INC ................................ 14,625
600 UNIVERSAL FOODS CORP ............................ 12,225
200 * VLASIC FOODS INTERNATIONAL, INC ................. 1,137
300 WHITMAN CORP .................................... 4,031
100 WRIGLEY (WM) JR CO .............................. 8,293
------------
1,605,283
------------
FOOD STORES--0.43%
1,415 ALBERTSONS, INC ................................. 45,633
500 DELHAIZE AMERICA, INC (CLASS B) ................. 10,437
600 GREAT ATLANTIC & PACIFIC TEA CO, INC ............ 16,725
3,900 * KROGER CO ....................................... 73,612
1,700 * SAFEWAY, INC .................................... 60,456
500 * STARBUCKS CORP .................................. 12,125
100 * WHOLE FOODS MARKET, INC ........................ 4,637
450 * WILD OATS MARKETS, INC .......................... 9,984
100 WINN DIXIE STORES, INC .......................... 2,393
------------
236,002
------------
FORESTRY--0.01%
200 GEORGIA-PACIFIC CORP (TIMBER GROUP) ............. 4,925
------------
FURNITURE AND FIXTURES--0.18%
150 ETHAN ALLEN INTERIORS, INC ...................... 4,809
300 * FURNITURE BRANDS INTERNATIONAL, INC ............. 6,600
100 HON INDUSTRIES, INC ............................. 2,193
300 KIMBALL INTERNATIONAL, INC (CLASS B) ............ 4,950
200 * LA-Z-BOY, INC ................................... 3,362
600 * LEAR CORP ....................................... 19,200
500 LEGGETT & PLATT, INC ............................ 10,718
500 MILLER (HERMAN), INC ............................ 11,500
657 NEWELL RUBBERMAID, INC .......................... 19,053
600 STEELCASE, INC .................................. 7,200
600 U.S. INDUSTRIES, INC ............................ 8,400
------------
97,985
------------
FURNITURE AND HOMEFURNISHINGS STORES--0.24%
500 * BED BATH & BEYOND, INC ......................... 17,375
500 * BEST BUY, INC ................................... 25,093
400 * CDNOW, INC ...................................... 3,950
600 CIRCUIT CITY STORES-CIRCUIT CITY GROUP .......... 27,037
300 * COMPUSA, INC .................................... 1,537
200 * ELECTRONICS BOUTIQUE HOLDINGS CORP .............. 3,600
200 HAVERTY FURNITURE COS, INC ...................... 2,525
200 * LINENS 'N THINGS, INC ........................... 5,925
300 * MUSICLAND STORES CORP ........................... 2,531
500 PIER 1 IMPORTS, INC ............................. 3,187
700 TANDY CORP ...................................... 34,431
100 * WILLIAMS-SONOMA, INC ............................ 4,600
------------
131,791
------------
GENERAL BUILDING CONTRACTORS--0.04%
300 CENTEX CORP ..................................... 7,406
300 * CROSSMANN COMMUNITIES, INC ...................... 4,650
200 KAUFMAN & BROAD HOME CORP ....................... 4,837
100 * NVR, INC ........................................ 4,775
</TABLE>
See notes to financial statements.
11
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
GENERAL BUILDING CONTRACTORS--(Continued)
100 STANDARD-PACIFIC CORP .............................. $ 1,100
------------
22,768
------------
GENERAL MERCHANDISE STORES--2.36%
300 * BJ'S WHOLESALE CLUB, INC ........................... 10,950
300 CASEY'S GENERAL STORES, INC ........................ 3,131
500 * CONSOLIDATED STORES CORP ........................... 8,125
150 * COST PLUS, INC ..................................... 5,343
800 * COSTCO WHOLESALE CORP .............................. 73,000
1,700 DAYTON HUDSON CORP ................................. 124,843
400 DILLARDS, INC (CLASS A) ............................ 8,075
375 DOLLAR GENERAL CORP ................................ 8,531
300 * DOLLAR TREE STORES, INC ............................ 14,531
500 FAMILY DOLLAR STORES, INC .......................... 8,156
1,100 * FEDERATED DEPARTMENT STORES, INC ................... 55,618
100 * HARCOURT GENERAL, INC .............................. 4,025
1,500 * K MART CORP ........................................ 15,093
500 * KOHLS CORP ......................................... 36,093
1,450 MAY DEPARTMENT STORES CO ........................... 46,762
100 * NEIMAN MARCUS GROUP, INC (CLASS A) ................. 2,793
700 PENNEY, (J.C.) CO, INC ............................. 13,956
600 * SAKS, INC .......................................... 9,337
1,700 SEARS ROEBUCK & CO ................................. 51,743
100 * SHOPKO STORES, INC ................................. 2,300
800 * VENATOR GROUP, INC ................................. 5,600
11,200 WAL-MART STORES, INC ............................... 774,200
------------
1,282,205
------------
HEALTH SERVICES--0.34%
100 * BEVERLY ENTERPRISES, INC ........................... 437
2,600 COLUMBIA/HCA HEALTHCARE CORP ....................... 76,212
100 * ENZO BIOCHEMICAL, INC .............................. 4,506
200 * EXPRESS SCRIPTS, INC ............................... 12,800
800 * HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) (NEW) .................................... 10,700
1,900 * HEALTHSOUTH CORP ................................... 10,212
1,100 * INTEGRATED HEALTH SERVICES, INC .................... 99
200 * LASER VISION CENTERS, INC .......................... 2,112
184 * LIFEPOINT HOSPITALS, INC ........................... 2,173
200 * LINCARE HOLDINGS, INC .............................. 6,937
400 * MATRIA HEALTHCARE, INC ............................. 1,650
100 * PEDIATRIX MEDICAL GROUP, INC ....................... 700
300 * PHYCOR, INC ........................................ 562
300 * QUEST DIAGNOSTICS, INC ............................. 9,168
900 * QUORUM HEALTH GROUP, INC ........................... 8,381
200 * RENAL CARE GROUP, INC .............................. 4,675
1,000 * TENET HEALTHCARE CORP .............................. 23,500
300 * TOTAL RENAL CARE HOLDINGS, INC ..................... 2,006
184 * TRIAD HOSPITALS, INC ............................... 2,783
100 * UNIVERSAL HEALTH SERVICES, INC ..................... 3,600
------------
183,213
------------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.08%
100 * DYCOM INDUSTRIES, INC .............................. 4,406
600 FLUOR CORP ......................................... 27,525
200 FOSTER WHEELER CORP ................................ 1,775
100 * INSITUFORM TECHNOLOGIES, INC (CLASS A) ............. 2,825
200 * MASTEC, INC ........................................ 8,900
------------
45,431
------------
HOLDING AND OTHER INVESTMENT OFFICES--0.73%
600 AMB PROPERTY CORP .................................. 11,962
400 AMERICAN INDUSTRIAL PROPERTIES REIT ................ 4,950
400 APARTMENT INVESTMENT & MANAGEMENT
CO ................................................. 15,925
300 ARCHSTONE COMMUNITIES TRUST ........................ 6,150
300 AVALONBAY COMMUNITIES, INC ......................... 10,293
300 BEDFORD PROPERTY INVESTORS, INC .................... 5,118
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
300 BOSTON PROPERTIES, INC ............................. $ 9,337
300 BRANDYWINE REALTY TRUST ............................ 4,912
200 CAMDEN PROPERTY TRUST .............................. 5,475
800 CAPITAL AUTOMOTIVE REIT ............................ 9,750
200 CARRAMERICA REALTY CORP ............................ 4,225
200 CENTERPOINT PROPERTIES CORP ........................ 7,175
200 COLONIAL PROPERTIES TRUST .......................... 4,637
600 CORNERSTONE PROPERTIES, INC ........................ 8,775
100 COUSINS PROPERTIES, INC ............................ 3,393
400 CRESCENT REAL ESTATE EQUITIES CO ................... 7,350
100 DEVELOPERS DIVERSIFIED REALTY CORP ................. 1,287
600 DUKE-WEEKS REALTY CORP ............................. 11,700
300 EASTGROUP PROPERTIES, INC .......................... 5,550
1,100 EQUITY OFFICE PROPERTIES TRUST ..................... 27,087
600 EQUITY RESIDENTIAL PROPERTIES TRUST CO ............. 25,612
300 FEDERAL REALTY INVESTMENT TRUST .................... 5,643
300 FELCOR LODGING TRUST, INC .......................... 5,250
100 FIRST INDUSTRIAL REALTY TRUST, INC ................. 2,743
200 FRANCHISE FINANCE CORP OF AMERICA .................. 4,787
200 GENERAL GROWTH PROPERTIES, INC ..................... 5,600
200 HEALTH CARE PROPERTY INVESTORS, INC ................ 4,775
200 HIGHWOODS PROPERTIES, INC .......................... 4,650
300 HOSPITALITY PROPERTIES TRUST ....................... 5,718
200 INDYMAC MORTGAGE HOLDINGS, INC ..................... 2,550
200 KIMCO REALTY CORP .................................. 6,775
400 LIBERTY PROPERTY TRUST CO .......................... 9,700
100 MACERICH CO ........................................ 2,081
200 MACK-CALI REALTY CORP .............................. 5,212
300 MERISTAR HOSPITALITY CORP .......................... 4,800
900 NEW PLAN EXCEL REALTY TRUST ........................ 14,231
300 PAN PACIFIC RETAIL PROPERTIES, INC ................. 4,893
100 POST PROPERTIES, INC ............................... 3,825
200 PRENTISS PROPERTIES TRUST .......................... 4,200
300 PRIME GROUP REALTY TRUST ........................... 4,556
400 PRISON REALTY TRUST, INC ........................... 2,025
300 PROLOGIS TRUST ..................................... 5,775
400 PUBLIC STORAGE, INC ................................ 9,075
300 RECKSON ASSOCIATES REALTY CORP ..................... 6,150
300 ROUSE CO ........................................... 6,375
100 SHURGARD STORAGE CENTERS, INC ...................... 2,318
400 SIMON PROPERTY GROUP, INC .......................... 9,175
300 SPIEKER PROPERTIES, INC ............................ 10,931
303 STARWOOD FINANCIAL TRUST ........................... 5,132
200 TANGER FACTORY OUTLET CENTERS, INC ................. 4,150
100 TOWN & COUNTRY TRUST ............................... 1,793
500 UNITED DOMINION REALTY TRUST, INC .................. 4,937
900 VENTAS, INC ........................................ 3,768
300 VORNADO REALTY TRUST ............................... 9,750
200 WASHINGTON REAL ESTATE INVESTMENT
TRUST .............................................. 3,000
200 WEINGARTEN REALTY INVESTORS, INC ................... 7,787
100 WHITE MOUNTAINS INSURANCE .......................... 12,050
------------
396,843
------------
HOTELS AND OTHER LODGING PLACES--0.12%
500 * AZTAR CORP ......................................... 5,437
100 * CRESTLINE CAPITAL CORP ............................. 2,062
400 * EXTENDED STAY AMERICA, INC ......................... 3,050
550 HILTON HOTELS CORP ................................. 5,293
400 * MANDALAY RESORT GROUP .............................. 8,050
100 * MGM GRAND, INC ..................................... 5,031
1,200 * PARK PLACE ENTERTAINMENT CORP. ..................... 15,000
800 STARWOOD HOTELS & RESORTS
WORLDWIDE .......................................... 18,800
100 * TRENDWEST RESORTS, INC ............................. 2,250
------------
64,973
------------
</TABLE>
12 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
INDUSTRIAL MACHINERY AND EQUIPMENT--9.06%
1,600 * 3COM CORP .................................... $ 75,200
300 * ADAPTEC, INC ................................. 14,962
500 * AMERICAN STANDARD COS, INC ................... 22,937
600 * APPLE COMPUTER, INC .......................... 61,687
1,600 * APPLIED MATERIALS, INC ....................... 202,700
200 APPLIED POWER, INC (CLASS A) ................. 7,350
100 * ASYST TECHNOLOGIES, INC ...................... 6,556
800 BAKER HUGHES, INC ............................ 16,850
300 BLACK & DECKER CORP .......................... 15,675
700 BRUNSWICK CORP ............................... 15,575
200 * C-CUBE MICROSYSTEMS, INC ..................... 12,450
700 * CABLETRON SYSTEMS, INC ....................... 18,200
1,100 CATERPILLAR, INC ............................. 51,768
400 * CIRRUS LOGIC, INC ............................ 5,325
13,300 * CISCO SYSTEMS, INC ........................... 1,424,762
700 CMI CORP ..................................... 4,943
7,200 COMPAQ COMPUTER CORP ......................... 194,850
200 * COOPER CAMERON CORP .......................... 9,787
500 CUMMINS ENGINE CO, INC ....................... 24,156
900 DEERE & CO ................................... 39,037
8,400 * DELL COMPUTER CORP ........................... 428,400
300 DIEBOLD, INC ................................. 7,050
300 DONALDSON CO, INC ............................ 7,218
1,100 DOVER CORP ................................... 49,912
4,100 * EMC CORP ..................................... 447,925
200 * EMULEX CORP .................................. 22,500
200 * EXTREME NETWORKS, INC ........................ 16,700
300 FLOWSERVE CORP ............................... 5,100
800 * FSI INTERNATIONAL, INC ....................... 9,200
100 * GARDNER DENVER, INC .......................... 1,668
600 * GATEWAY, INC ................................. 43,237
300 * GLOBAL IMAGING SYSTEMS, INC .................. 3,675
700 x * HARNISCHFEGER INDUSTRIES, INC ................ 284
3,500 HEWLETT-PACKARD CO ........................... 398,781
100 IDEX CORP .................................... 3,037
100 * IN FOCUS SYSTEMS, INC ........................ 2,318
400 INGERSOLL-RAND CO ............................ 22,025
7,300 INTERNATIONAL BUSINESS MACHINES CORP ......... 788,400
300 JLG INDUSTRIES, INC .......................... 4,781
100 * KRONOS, INC .................................. 6,000
100 * KULICHE & SOFFA INDUSTRIES, INC .............. 4,256
200 * LAM RESEARCH CORP ............................ 22,312
500 * LEXMARK INTERNATIONAL GROUP (CLASS A)......... 45,250
300 LINCOLN ELECTRIC HOLDINGS CO ................. 6,187
800 * MAXTOR CORP .................................. 5,800
200 * MICROS SYSTEMS, INC .......................... 14,800
200 * NOVELLUS SYSTEMS, INC ........................ 24,506
600 PALL CORP .................................... 12,937
300 PENTAIR, INC ................................. 11,550
1,300 PITNEY BOWES, INC ............................ 62,806
800 * QUANTUM CORP-DLT & STORAGE SYSTEM
GROUP ........................................ 12,100
400 * QUANTUM CORP-HARD DISK DRIVE GROUP ........... 2,775
200 ROPER INDUSTRIES, INC ........................ 7,562
100 * SANDISK CORP ................................. 9,625
900 * SEAGATE TECHNOLOGY, INC ...................... 41,906
700 * SILICON GRAPHICS, INC ........................ 6,868
100 * SILICON VALLEY GROUP, INC .................... 1,775
200 * SMITH INTERNATIONAL, INC ..................... 9,937
400 * STORAGE TECHNOLOGY CORP ...................... 7,375
300 SYMBOL TECHNOLOGIES, INC ..................... 19,068
100 TECUMSEH PRODUCTS CO (CLASS A) ............... 4,718
120 * TENNECO AUTOMOTIVE, INC ...................... 1,117
200 * TEREX CORP ................................... 5,550
200 TIMKEN CO .................................... 4,087
1,000 * UNISYS CORP .................................. 31,937
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
400 * VARCO INTERNATIONAL, INC ..................... $ 4,075
200 * VISUAL NETWORKS, INC ......................... 15,850
700 * WESTERN DIGITAL CORP ......................... 2,931
200 * XIRCOM, INC .................................. 15,000
400 YORK INTERNATIONAL CORP ...................... 10,975
100 * ZEBRA TECHNOLOGY CORP ........................ 5,850
------------
4,924,466
------------
INSTRUMENTS AND RELATED PRODUCTS--1.86%
100 * AFFYMETRIX, INC .............................. 16,968
500 * ALARIS MEDICAL, INC .......................... 937
200 * BARD (C.R.), INC ............................. 10,600
200 BAUSCH & LOMB, INC ........................... 13,687
1,100 BAXTER INTERNATIONAL, INC .................... 69,093
300 BECKMAN COULTER, INC ......................... 15,262
800 BECTON DICKINSON & CO ........................ 21,400
300 BIOMET, INC .................................. 12,000
900 * BOSTON SCIENTIFIC CORP ....................... 19,687
200 * BRITESMILE, INC .............................. 1,625
100 * COGNEX CORP................................... 3,900
200 * CONMED CORP .................................. 5,175
100 COOPER COS, INC .............................. 3,012
100 * CREDENCE SYSTEMS CORP ........................ 8,650
100 * CYBERONICS, INC .............................. 1,593
100 * CYMER, INC ................................... 4,600
100 * CYTYC CORP ................................... 6,106
100 DATASCOPE CORP ............................... 4,000
400 DENTSPLY INTERNATIONAL, INC .................. 9,450
1,300 EASTMAN KODAK CO ............................. 86,125
100 * GLIATECH, INC ................................ 1,662
1,072 * GUIDANT CORP ................................. 50,384
300 JOHNSON CONTROLS, INC ........................ 17,062
400 * KLA-TENCOR CORP .............................. 44,550
100 * LITTON INDUSTRIES, INC ....................... 4,987
100 * LTX CORP ..................................... 2,237
100 * MEDICAL MANAGER CORP ......................... 8,425
4,636 MEDTRONIC, INC ............................... 168,924
100 MENTOR CORP .................................. 2,581
200 * METTLER-TOLEDO INTERNATIONAL, INC ............ 7,637
100 MILLIPORE CORP ............................... 3,862
100 * MINIMED, INC ................................. 7,325
100 * MKS INSTRUMENTS, INC ......................... 3,612
200 * NOVOSTE CORP ................................. 3,300
100 OPTICAL COATING LABORATORIES, INC ............ 29,600
150 * PE CORP-CELERA GENOMICS GROUP ................ 22,350
300 PE CORP-PE BIOSYSTEMS GROUP .................. 36,093
100 * PERKINELMER, INC ............................. 4,168
300 POLAROID CORP ................................ 5,643
1,000 RAYTHEON CO (CLASS B) ........................ 26,562
200 * RESMED, INC .................................. 8,350
400 * SCOTT TECHNOLOGIES, INC ...................... 7,550
400 * ST. JUDE MEDICAL, INC ........................ 12,275
300 * STERIS CORP .................................. 3,093
200 STRYKER CORP ................................. 13,925
300 * SUMMIT TECHNOLOGY, INC ....................... 3,506
400 * SUNRISE TECHNOLOGY INTERNATIONAL, INC......... 4,725
300 * SYBRON INTERNATIONAL CORP .................... 7,406
500 TEKTRONIX, INC ............................... 19,437
100 TELEFLEX, INC ................................ 3,131
700 * TERADYNE, INC ................................ 46,200
1,100 * THERMO ELECTRON CORP ......................... 16,500
100 * THERMOQUEST CORP ............................. 1,031
300 * VISX, INC .................................... 15,525
200 VITAL SIGNS, INC ............................. 4,575
300 * WATERS CORP .................................. 15,900
200 * WESLEY JESSEN VISIONCARE, INC ................ 7,575
2,400 XEROX CORP ................................... 54,450
------------
1,009,988
------------
</TABLE>
See notes to financial statements.
13
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
INSURANCE AGENTS, BROKERS AND SERVICE--0.17%
100 CRAWFORD & CO (CLASS B) ......................... $ 1,362
100 * FIRST HEALTH GROUP CORP ......................... 2,687
900 MARSH & MCLENNAN COS, INC ....................... 86,118
------------
90,167
------------
INSURANCE CARRIERS--4.29%
400 20TH CENTURY INDUSTRIES ......................... 7,725
600 AETNA, INC ...................................... 33,487
1,300 AFLAC, INC ...................................... 61,343
400 ALLMERICA FINANCIAL CORP ........................ 22,250
2,400 ALLSTATE CORP ................................... 57,600
500 AMBAC FINANCIAL GROUP, INC ...................... 26,093
200 AMERICAN FINANCIAL GROUP, INC ................... 5,275
1,000 AMERICAN GENERAL CORP ........................... 75,875
5,220 AMERICAN INTERNATIONAL GROUP, INC ............... 564,412
750 AON CORP ........................................ 30,000
600 AXA FINANCIAL, INC .............................. 20,325
10 * BERKSHIRE HATHAWAY, INC (CLASS B) ............... 18,300
623 CHUBB CORP ...................................... 35,082
900 CIGNA CORP ...................................... 72,506
700 CINCINNATI FINANCIAL CORP ....................... 21,831
14,150 CITIGROUP, INC .................................. 786,209
300 * CNA FINANCIAL CORP .............................. 11,681
100 COMMERCE GROUP, INC ............................. 2,612
700 CONSECO, INC .................................... 12,512
200 ENHANCE FINANCIAL SERVICES GROUP, INC ........... 3,250
100 ERIE INDEMNITY CO (CLASS A) ..................... 3,237
200 EVEREST REINSURANCE HOLDINGS, INC ............... 4,462
400 FBL FINANCIAL GROUP, INC (CLASS A) .............. 8,000
120 FIDELITY NATIONAL FINANCIAL, INC ................ 1,725
100 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD .................................... 5,212
300 FIRST AMERICAN FINANCIAL CORP ................... 3,731
900 * FOUNDATION HEALTH SYSTEMS (CLASS A) ............. 8,943
600 HARTFORD FINANCIAL SERVICES
GROUP, INC ...................................... 28,425
200 HARTFORD LIFE, INC (CLASS A) .................... 8,800
200 HORACE MANN EDUCATORS CORP ...................... 3,925
600 * HUMANA, INC ..................................... 4,912
400 JEFFERSON-PILOT CORP ............................ 27,300
100 LANDAMERICA FINANCIAL GROUP, INC ................ 1,837
600 LINCOLN NATIONAL CORP ........................... 24,000
200 LOEWS CORP ...................................... 12,137
400 MBIA, INC ....................................... 21,125
700 MGIC INVESTMENT CORP ............................ 42,131
100 MONY GROUP, INC ................................. 2,918
300 NATIONWIDE FINANCIAL SERVICES, INC
(CLASS A) ....................................... 8,381
700 OLD REPUBLIC INTERNATIONAL CORP ................. 9,537
500 * OXFORD HEALTH PLANS, INC ........................ 6,343
300 * PACIFICARE HEALTH SYSTEMS, INC (CLASS A)......... 15,900
400 PMI GROUP, INC .................................. 19,525
200 PROGRESSIVE CORP ................................ 14,625
300 RADIAN GROUP, INC ............................... 14,325
150 REINSURANCE GROUP OF AMERICA, INC ............... 4,162
200 RELIASTAR FINANCIAL CORP ........................ 7,837
200 SAFECO CORP ..................................... 4,975
700 ST. PAUL COS, INC ............................... 23,581
700 TORCHMARK CORP .................................. 20,343
200 TRAVELERS PROPERTY CASUALTY CORP ................ 6,850
400 * TRIAD GUARANTY, INC ............................. 9,100
100 * TRIGON HEALTHCARE, INC .......................... 2,950
900 UNITED HEALTHCARE CORP .......................... 47,812
573 UNUMPROVIDENT CORP .............................. 18,371
200 * WELLPOINT HEALTH NETWORKS, INC .................. 13,187
------------
2,328,992
------------
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
LEATHER AND LEATHER PRODUCTS--0.01%
100 * TIMBERLAND CO ................................... $ 5,287
------------
LUMBER AND WOOD PRODUCTS--0.25%
1,400 CLAYTON HOMES, INC .............................. 12,862
1,000 GEORGIA-PACIFIC CORP (PACKING GROUP) ............ 50,750
900 LOUISIANA PACIFIC CORP .......................... 12,825
800 WEYERHAEUSER CO ................................. 57,450
------------
133,887
------------
METAL MINING--0.11%
100 * BATTLE MOUNTAIN GOLD CO ......................... 206
1,200 * FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS B) ....................................... 25,350
1,500 HOMESTAKE MINING CO ............................. 11,718
400 NEWMONT MINING CORP ............................. 9,800
172 PHELPS DODGE CORP ............................... 11,545
100 * STILLWATER MINING CO ............................ 3,187
------------
61,806
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.41%
100 * BRADY CORP (CLASS A) ............................ 3,393
400 CALLAWAY GOLF CO ................................ 7,075
800 HASBRO, INC ..................................... 15,250
100 * INTERNATIONAL GAME TECHNOLOGY CO ................ 2,031
300 JOSTENS, INC .................................... 7,293
600 * LYDALL, INC ..................................... 3,975
500 * MARVEL ENTERPRISES .............................. 2,750
1,280 MATTEL, INC ..................................... 16,800
1,700 MINNESOTA MINING & MANUFACTURING CO.............. 166,387
------------
224,954
------------
MISCELLANEOUS RETAIL--0.73%
700 * AMAZON.COM, INC ................................. 53,287
300 * BARNES & NOBLE, INC ............................. 6,187
500 * BORDERS GROUP, INC .............................. 8,031
100 * CDW COMPUTER CENTERS, INC ....................... 7,862
100 * COLDWATER CREEK, INC ............................ 2,050
1,500 CVS CORP ........................................ 59,906
113 * EGGHEAD.COM, INC ................................ 1,829
100 * INSIGHT ENTERPRISES, INC ........................ 4,062
100 * ITURF, INC ...................................... 1,243
100 * JO-ANN STORES, INC (CLASS A) .................... 1,125
200 * MICHAELS STORES, INC ............................ 5,700
2,450 * OFFICE DEPOT, INC ............................... 26,796
100 * PC CONNECTION, INC .............................. 3,450
200 * PETCO ANIMAL SUPPLIES, INC ...................... 2,975
900 RITE AID CORP ................................... 10,068
1,700 * STAPLES, INC .................................... 35,275
100 * SUNGLASS HUT INTERNATIONAL, INC ................. 1,125
200 * SYSTEMAX, INC ................................... 1,700
200 TIFFANY & CO .................................... 17,850
1,400 * TOYS R US, INC .................................. 20,037
100 * VALUEVISION INTERNATIONAL, INC .................. 5,731
3,500 WALGREEN CO ..................................... 102,375
100 * WHITEHALL JEWELLERS, INC ........................ 3,687
300 * ZALE CORP ....................................... 14,512
------------
396,863
------------
MOTION PICTURES--1.13%
200 * AMC ENTERTAINMENT, INC .......................... 1,725
100 * CARMIKE CINEMAS, INC (CLASS A) .................. 781
8,600 DISNEY (WALT) CO ................................ 251,550
100 * HOLLYWOOD ENTERTAINMENT CORP .................... 1,450
466 * METRO-GOLDWYN-MAYER, INC ........................ 10,980
500 * METROMEDIA INTERNATIONAL GROUP, INC ............. 2,375
100 * PIXAR, INC ...................................... 3,537
4,700 TIME WARNER, INC ................................ 340,456
------------
612,854
------------
</TABLE>
14 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
NONDEPOSITORY INSTITUTIONS--1.79%
1,900 AMERICAN EXPRESS CO .......................... $ 315,875
300 * AMERICREDIT CORP ............................. 5,550
100 * ARCADIA FINANCIAL LTD ........................ 443
3,200 ASSOCIATES FIRST CAPITAL CORP ................ 87,800
900 CAPITAL ONE FINANCIAL CORP ................... 43,368
300 CIT GROUP, INC (CLASS A) ..................... 6,337
800 * CONTIFINANCIAL CORP .......................... 187
300 COUNTRYWIDE CREDIT INDUSTRIES, INC ........... 7,575
100 * CREDITRUST CORP .............................. 768
4,200 FEDERAL NATIONAL MORTGAGE
ASSOCIATION .................................. 262,237
200 * FINET.COM, INC ............................... 262
200 FINOVA GROUP, INC ............................ 7,100
2,300 FREDDIE MAC .................................. 108,243
2,200 HOUSEHOLD INTERNATIONAL, INC ................. 81,950
300 LEUCADIA NATIONAL CORP ....................... 6,937
500 METRIS COS, INC .............................. 17,843
300 * NEXTCARD, INC ................................ 8,662
300 SLM HOLDINGS CORP ............................ 12,675
------------
973,812
------------
NONMETALLIC MINERALS, EXCEPT FUELS--0.04%
600 AMCOL INTERNATIONAL CORP ..................... 9,675
200 MARTIN MARIETTA MATERIALS, INC ............... 8,200
100 VULCAN MATERIALS CO .......................... 3,993
------------
21,868
------------
OIL AND GAS EXTRACTION--0.72%
300 ANADARKO PETROLEUM CORP ...................... 10,237
500 APACHE CORP .................................. 18,468
300 * ATWOOD OCEANICS, INC ......................... 11,587
100 * BASIN EXPLORATION, INC ....................... 1,762
400 BERRY PETROLEUM CO (CLASS A) ................. 6,050
100 * BJ SERVICES CO ............................... 4,181
200 * BROWN (TOM), INC ............................. 2,675
400 BURLINGTON RESOURCES, INC .................... 13,225
100 * CAL DIVE INTERNATIONAL, INC .................. 3,312
300 * CONSOL ENERGY, INC ........................... 3,037
400 CROSS TIMBERS OIL CO ......................... 3,625
89 DEVON ENERGY CORP (NEW) ...................... 2,925
400 DIAMOND OFFSHORE DRILLING, INC ............... 12,225
600 ENSCO INTERNATIONAL, INC ..................... 13,725
300 * EOG RESOURCES, INC ........................... 5,268
300 * FOREST OIL CORP .............................. 3,956
285 * FRIEDE GOLDMAN HALTER, INC ................... 1,977
1,400 * GLOBAL INDUSTRIES LTD ........................ 12,075
500 * GLOBAL MARINE, INC ........................... 8,312
900 * GREY WOLF, INC ............................... 2,587
1,400 HALLIBURTON CO ............................... 56,350
400 * HARKEN ENERGY CORP ........................... 300
300 HELMERICH & PAYNE, INC ....................... 6,543
400 KERR-MCGEE CORP .............................. 24,800
200 * MARINE DRILLING CO, INC ...................... 4,487
200 * MERIDIAN RESOURCE CORP ....................... 612
200 * NABORS INDUSTRIES, INC ....................... 6,187
100 NOBLE AFFILIATES, INC ........................ 2,143
500 * NOBLE DRILLING CORP .......................... 16,375
100 * NUEVO ENERGY CO .............................. 1,875
1,000 OCCIDENTAL PETROLEUM CORP .................... 21,625
1,700 * OCEAN ENERGY, INC (NEW) ...................... 13,175
200 * OCEANEERING INTERNATIONAL, INC ............... 2,987
1,000 * PARKER DRILLING CO ........................... 3,187
100 * PATTERSON ENERGY, INC ........................ 1,300
800 * PIONEER NATURAL RESOURCES CO ................. 7,150
800 * R & B FALCON CORP ............................ 10,600
400 * ROWAN COS, INC ............................... 8,675
900 RPC, INC ..................................... 5,175
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
1,000 * SANTA FE SNYDER CORP ......................... $ 8,000
300 * SYNTROLEUM CORP .............................. 2,437
300 * TRANSOCEAN SEDCO FOREX, INC .................. 10,106
1,000 UNION PACIFIC RESOURCES GROUP, INC ........... 12,750
200 VASTAR RESOURCES, INC ........................ 11,800
100 * VINTAGE PETROLEUM, INC ....................... 1,206
300 * WEATHERFORD INTERNATIONAL .................... 11,981
------------
393,035
------------
PAPER AND ALLIED PRODUCTS--0.80%
400 AVERY DENNISON CORP .......................... 29,150
300 BEMIS, INC ................................... 10,462
400 BOISE CASCADE CORP ........................... 16,200
200 BOWATER, INC ................................. 10,862
300 * BUCKEYE TECHNOLOGIES, INC .................... 4,462
300 CHAMPION INTERNATIONAL CORP .................. 18,581
700 FORT JAMES CORP .............................. 19,162
600 GLATFELTER (P.H.) CO ......................... 8,737
1,445 INTERNATIONAL PAPER CO ....................... 81,552
100 * IVEX PACKAGING CORP .......................... 1,000
2,100 KIMBERLY-CLARK CORP .......................... 137,025
100 * MAIL-WELL, INC ............................... 1,350
200 MEAD CORP .................................... 8,687
100 * POTLATCH CORP ................................ 4,462
500 ROCK-TENN CO (CLASS A) ....................... 7,375
800 * SMURFIT-STONE CONTAINER CORP ................. 19,600
400 SONOCO PRODUCTS CO ........................... 9,100
100 ST. JOE CO ................................... 2,431
200 TEMPLE-INLAND, INC ........................... 13,187
300 WESTVACO CORP ................................ 9,787
400 WILLAMETTE INDUSTRIES, INC ................... 18,575
------------
431,747
------------
PERSONAL SERVICES--0.06%
400 BLOCK (H&R), INC ............................. 17,500
100 * CARRIAGE SERVICES, INC (CLASS A) ............. 593
200 CINTAS CORP .................................. 10,625
500 SERVICE CORP INTERNATIONAL ................... 3,468
------------
32,186
------------
PETROLEUM AND COAL PRODUCTS--3.50%
500 AMERADA HESS CORP ............................ 28,375
200 ASHLAND, INC ................................. 6,587
1,100 ATLANTIC RICHFIELD CO ........................ 95,150
200 BP AMOCO PLC (SPONS ADR) ..................... 11,862
2,600 CHEVRON CORP ................................. 225,225
3,139 CONOCO, INC (CLASS B) ........................ 78,082
100 ELCOR CORP ................................... 3,012
14,364 EXXON MOBIL CORP ............................. 1,157,199
200 MURPHY OIL CORP .............................. 11,475
200 PENNZOIL-QUAKER STATE CO ..................... 2,037
1,000 PHILLIPS PETROLEUM CO ........................ 47,000
400 SUNOCO, INC .................................. 9,400
300 * TESORO PETROLEUM CORP ........................ 3,468
1,900 TEXACO, INC .................................. 103,193
800 TOSCO CORP ................................... 21,750
900 ULTRAMAR DIAMOND SHAMROCK CORP ............... 20,418
700 UNOCAL CORP .................................. 23,493
1,800 USX-MARATHON GROUP, INC ...................... 44,437
500 * VALERO ENERGY CORP ........................... 9,937
------------
1,902,100
------------
PRIMARY METAL INDUSTRIES--0.42%
1,300 ALCOA, INC ................................... 107,900
300 ALLEGHENY TECHNOLOGIES, INC .................. 6,731
100 BELDEN, INC .................................. 2,100
1,100 * BETHLEHEM STEEL CORP ......................... 9,212
100 * CABLE DESIGN TECHNOLOGIES CO ................. 2,300
200 CARPENTER TECHNOLOGY CORP .................... 5,487
</TABLE>
See notes to financial statements.
15
<PAGE>
<TABLE>
SHARES VALUE
------ ------------
<S> <C> <C>
PRIMARY METAL INDUSTRIES--(Continued)
600 ENGELHARD CORP .................................... $ 11,325
1,200 * LTV CORP .......................................... 4,950
100 * MAXXAM, INC ....................................... 4,287
200 * MUELLER INDUSTRIES, INC ........................... 7,250
300 NUCOR CORP ........................................ 16,443
600 * OPTICAL CABLE CORP ................................ 12,000
300 QUANEX CORP ....................................... 7,650
100 REYNOLDS METALS CO ................................ 7,662
500 USX-US STEEL GROUP, INC ........................... 16,500
400 WORTHINGTON INDUSTRIES, INC ....................... 6,625
------------
228,422
------------
PRINTING AND PUBLISHING--0.80%
400 AMERICAN GREETINGS CORP (CLASS A) ................. 9,450
300 BANTA CORP ........................................ 6,768
800 BELO (A.H.) CORP SERIES A ......................... 15,250
200 CENTRAL NEWSPAPERS, INC (CLASS A) ................. 7,875
500 DELUXE CORP ....................................... 13,718
700 DONNELLEY (R.R.) & SONS CO ........................ 17,368
100 DOW JONES & CO, INC ............................... 6,800
1,300 GANNETT CO, INC ................................... 106,031
700 HARLAND (JOHN H.) CO .............................. 12,818
100 * IDG BOOKS WORLDWIDE, INC .......................... 1,156
200 KNIGHT-RIDDER, INC ................................ 11,900
300 LEE ENTERPRISES, INC .............................. 9,581
700 MCGRAW HILL COS, INC .............................. 43,137
100 * MEDIA GENERAL, INC (CLASS A) ...................... 5,200
200 MEREDITH CORP ..................................... 8,337
500 NEW YORK TIMES CO (CLASS A) ....................... 24,562
800 * PRIMEDIA, INC ..................................... 13,200
400 REYNOLDS & REYNOLDS CO (CLASS A) .................. 9,000
300 SCRIPPS (E.W.) CO (CLASS A) ....................... 13,443
700 TRIBUNE CO ........................................ 38,543
200 WALLACE COMPUTER SERVICES, INC .................... 3,325
100 WASHINGTON POST CO (CLASS B) ...................... 55,587
100 WILEY (JOHN) & SONS, INC (CLASS A) ................ 1,675
100 * ZIFF-DAVIS, INC-ZDNET ............................. 1,581
------------
436,305
------------
RAILROAD TRANSPORTATION--0.32%
2,000 BURLINGTON NORTHERN SANTA FE CORP ................. 48,500
700 CSX CORP .......................................... 21,962
700 KANSAS CITY SOUTHERN INDUSTRIES, INC .............. 52,237
900 NORFOLK SOUTHERN CORP ............................. 18,450
800 UNION PACIFIC CORP ................................ 34,900
------------
176,049
------------
REAL ESTATE--0.02%
300 ARDEN REALTY GROUP, INC ........................... 6,018
100 * FAIRFIELD COMMUNITIES, INC ........................ 1,075
100 STEWART ENTERPRISES, INC (CLASS A) ................ 475
200 * TRAMMELL CROW CO .................................. 2,325
------------
9,893
------------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.37%
100 APTARGROUP, INC ................................... 2,512
400 ARMSTRONG WORLD INDUSTRIES, INC ................... 13,350
300 BANDAG, INC ....................................... 7,500
100 * CARLISLE COS, INC ................................. 3,600
700 COOPER TIRE & RUBBER CO ........................... 10,893
300 GOODYEAR TIRE & RUBBER CO ......................... 8,456
1,004 ILLINOIS TOOL WORKS, INC .......................... 67,832
300 MYERS INDUSTRIES, INC ............................. 4,725
500 NIKE, INC (CLASS B) ............................... 24,781
600 * PACTIV CORP ....................................... 6,375
300 * SAFESKIN CORP ..................................... 3,637
400 * SEALED AIR CORP ................................... 20,725
600 SOLUTIA, INC ...................................... 9,262
<CAPTION>
SHARES VALUE
------ ------------
900 TUPPERWARE CORP ................................... $ 15,243
300 * U.S. PLASTIC LUMBER CORP .......................... 2,306
------------
201,197
------------
SECURITY AND COMMODITY BROKERS--1.46%
200 * AFFILIATED MANAGERS GROUP, INC .................... 8,087
200 * AMERITRADE HOLDINGS CORP (CLASS A) ................ 4,337
430 BEAR STEARNS COS, INC ............................. 18,382
100 DAIN RAUSCHER CORP ................................ 4,650
500 * E TRADE GROUP, INC ................................ 13,062
400 EDWARDS (A.G.), INC ............................... 12,825
800 FEDERATED INVESTORS, INC .......................... 16,050
800 FRANKLIN RESOURCES, INC ........................... 25,650
400 * KNIGHT/TRIMARK GROUP, INC ......................... 18,400
100 LEGG MASON, INC ................................... 3,625
400 LEHMAN BROTHERS HOLDINGS, INC ..................... 33,875
1,400 MERRILL LYNCH & CO, INC ........................... 116,900
2,200 MORGAN STANLEY, DEAN WITTER, & CO ................. 314,050
400 PAINE WEBBER GROUP, INC ........................... 15,525
700 PRICE (T. ROWE) ASSOCIATES, INC ................... 25,856
200 RAYMOND JAMES FINANCIAL CORP ...................... 3,737
2,700 SCHWAB (CHARLES) CORP ............................. 103,612
100 SOUTHWEST SECURITIES GROUP, INC ................... 2,737
400 THE GOLDMAN SACHS GROUP, INC ...................... 37,675
300 UNITED ASSET MANAGEMENT CORP ...................... 5,568
400 WADDELL & REED FINANCIAL, INC (CLASS A) ........... 10,850
------------
795,453
------------
SOCIAL SERVICES--0.02%
100 * BRIGHT HORIZONS FAMILY SOLUTIONS, INC ............. 1,875
300 * PROVANT, INC ...................................... 7,575
------------
9,450
------------
SPECIAL TRADE CONTRACTORS--0.01%
200 * QUANTA SERVICES, INC .............................. 5,650
------------
STONE, CLAY, AND GLASS PRODUCTS--0.35%
200 CENTEX CONSTRUCTION PRODUCTS, INC ................. 7,800
1,000 CORNING, INC ...................................... 128,937
100 * DEPARTMENT 56, INC ................................ 2,262
200 * DUPONT PHOTOMASKS, INC ............................ 9,650
200 LAFARGE CORP ...................................... 5,525
200 LIBBEY, INC ....................................... 5,750
300 OWENS CORNING CO .................................. 5,793
300 * OWENS ILLINOIS, INC ............................... 7,518
100 SOUTHDOWN, INC .................................... 5,162
200 USG CORP .......................................... 9,425
------------
187,822
------------
TEXTILE MILL PRODUCTS--0.03%
200 * MOHAWK INDUSTRIES, INC ............................ 5,275
400 RUSSELL CORP ...................................... 6,700
300 SHAW INDUSTRIES, INC .............................. 4,631
100 WESTPOINT STEVENS, INC ............................ 1,750
------------
18,356
------------
TOBACCO PRODUCTS--0.46%
105 BROOKE GROUP LTD .................................. 1,568
10,000 PHILIP MORRIS COS, INC ............................ 231,875
333 RJR REYNOLDS TOBACCO HOLDINGS, INC ................ 5,869
500 UST, INC .......................................... 12,593
------------
251,905
------------
TRANSPORTATION BY AIR--0.36%
300 AIRBORNE FREIGHT CORP ............................. 6,600
100 * ALASKA AIR GROUP, INC ............................. 3,512
300 * AMERICA WEST HOLDINGS CORP (CLASS B) .............. 6,225
500 * AMR CORP .......................................... 33,500
300 * CONTINENTAL AIRLINES, INC (CLASS B) ............... 13,312
700 DELTA AIRLINES, INC ............................... 34,868
1,100 * FDX CORP .......................................... 45,031
100 * MESABA HOLDINGS, INC .............................. 1,143
300 * OFFSHORE LOGISTICS, INC ........................... 2,812
200 PITTSTON BAX GROUP ................................ 2,125
</TABLE>
16 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
TRANSPORTATION BY AIR--(Continued)
1,500 SOUTHWEST AIRLINES CO .............................. $ 24,281
200 * U.S. AIRWAYS GROUP, INC ............................ 6,412
200 * UAL CORP ........................................... 15,512
------------
195,333
------------
TRANSPORTATION EQUIPMENT--2.51%
200 * ABC RAIL PRODUCTS CORP ............................. 1,650
300 ARCTIC CAT, INC .................................... 3,000
300 ARVIN INDUSTRIES, INC .............................. 8,512
300 AUTOLIV, INC ....................................... 8,775
100 * BE AEROSPACE, INC .................................. 843
4,000 BOEING CO .......................................... 166,250
100 BORG-WARNER AUTOMOTIVE, INC ........................ 4,050
100 CLARCOR, INC ....................................... 1,800
400 CORDANT TECHNOLOGIES, INC .......................... 13,200
600 DANA CORP .......................................... 17,962
300 DANAHER CORP ....................................... 14,475
1,788 DELPHI AUTOMOTIVE SYSTEMS CORP ..................... 28,161
400 EATON CORP ......................................... 29,050
300 FEDERAL-MOGUL CORP ................................. 6,037
600 FLEETWOOD ENTERPRISES, INC ......................... 12,375
4,400 FORD MOTOR CO ...................................... 235,585
200 GENCORP, INC ....................................... 1,975
500 GENERAL DYNAMICS CORP .............................. 26,375
2,700 GENERAL MOTORS CORP ................................ 196,256
400 * GENERAL MOTORS CORP (CLASS H)....................... 38,400
300 * GENTEX CORP ........................................ 8,325
568 GOODRICH (B.F.) CO ................................. 15,620
500 HARLEY DAVIDSON, INC ............................... 32,031
3,150 HONEYWELL INTERNATIONAL, INC ....................... 181,715
800 ITT INDUSTRIES, INC ................................ 26,750
1,000 LOCKHEED MARTIN CORP ............................... 21,875
100 MASCOTECH, INC ..................................... 1,268
400 MERITOR AUTOMOTIVE, INC ............................ 7,750
300 * NAVISTAR INTERNATIONAL CORP ........................ 14,212
500 NORTHROP GRUMMAN CORP .............................. 27,031
400 PACCAR, INC ........................................ 17,725
200 POLARIS INDUSTRIES, INC ............................ 7,250
200 SMITH (A.O.) CORP .................................. 4,375
100 * SPX CORP ........................................... 8,081
400 TEXTRON, INC ....................................... 30,675
200 TRINITY INDUSTRIES, INC ............................ 5,687
600 TRW, INC ........................................... 31,162
1,600 UNITED TECHNOLOGIES CORP ........................... 104,000
298 WESTINGHOUSE AIR BRAKE CO .......................... 5,289
------------
1,365,552
------------
TRANSPORTATION SERVICES--0.08%
100 * C.H. ROBINSON WORLDWIDE, INC ....................... 3,975
100 EXPEDITORS INTERNATIONAL OF
WASHINGTON ......................................... 4,381
500 GALILEO INTERNATIONAL, INC ......................... 14,968
600 GATX CORP .......................................... 20,250
------------
43,574
------------
TRUCKING AND WAREHOUSING--0.08%
200 CNF TRANSPORTATION, INC ............................ 6,900
200 * CONSOLIDATED FREIGHTWAYS CORP ...................... 1,587
200 * COVENANT TRANSPORT, INC (CLASS A) .................. 3,475
300 * M.S. CARRIERS, INC ................................. 7,162
400 ROADWAY EXPRESS, INC ............................... 8,650
300 USFREIGHTWAYS CORP ................................. 14,362
100 WERNER ENTERPRISES, INC ............................ 1,406
------------
43,542
------------
WATER TRANSPORTATION--0.05%
200 ALEXANDER & BALDWIN, INC ........................... 4,562
600 TIDEWATER, INC ..................................... 21,600
------------
26,162
------------
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
WHOLESALE TRADE-DURABLE GOODS--0.21%
400 * ANICOM, INC ........................................ $ 1,700
200 * ARROW ELECTRONICS, INC ............................. 5,075
100 * AVNET, INC ......................................... 6,050
200 BRIGGS & STRATTON CORP ............................. 10,725
400 COMMERCIAL METALS CO ............................... 13,575
200 * FISHER SCIENTIFIC INTERNATIONAL, INC ............... 7,225
500 GENUINE PARTS CO ................................... 12,406
100 GRAINGER (W.W.), INC ............................... 4,781
44 * HUTTIG BUILDING PRODUCTS, INC ...................... 217
700 IKON OFFICE SOLUTIONS, INC ......................... 4,768
300 * INGRAM MICRO, INC (CLASS A) ........................ 3,937
400 * JLK DIRECT DISTRIBUTION, INC (CLASS A) ............. 4,125
200 * LANIER WORLDWIDE, INC .............................. 775
200 LAWSON PRODUCTS, INC ............................... 4,625
400 * MERISEL, INC ....................................... 525
100 * MIAMI COMPUTER SUPPLY CORP ......................... 3,712
100 * PATTERSON DENTAL CO ................................ 4,262
100 * SAFEGUARD SCIENTIFICS, INC ......................... 16,206
100 * SCP POOL CORP ...................................... 2,593
200 * TECH DATA CORP ..................................... 5,425
------------
112,707
------------
WHOLESALE TRADE-NONDURABLE GOODS--0.48%
100 * AIRGAS, INC ........................................ 950
200 * AMERISOURCE HEALTH CORP (CLASS A) .................. 3,037
600 BERGEN BRUNSWIG CORP (CLASS A) ..................... 4,987
1,100 CARDINAL HEALTH, INC ............................... 52,662
2,200 ENRON CORP ......................................... 97,625
300 INTERNATIONAL MULTIFOODS CORP ...................... 3,975
100 * KENNETH COLE PRODUCTIONS, INC ...................... 4,575
655 MCKESSON HBOC, INC ................................. 14,778
300 * NU SKIN ENTERPRISES, INC (CLASS A) ................. 2,718
200 * SCHOOL SPECIALTY, INC .............................. 3,025
100 * SMART & FINAL, INC ................................. 725
1,100 SUPERVALU, INC ..................................... 22,000
100 * SYNCOR INTERNATIONAL CORP .......................... 2,912
1,000 SYSCO CORP ......................................... 39,562
1,200 * TERRA INDUSTRIES, INC .............................. 1,950
200 * UNITED STATIONERS, INC ............................. 5,712
------------
261,193
------------
TOTAL COMMON STOCK
(Cost $45,758,818) ................................. 53,588,119
------------
<CAPTION>
PRINCIPAL
---------
<S> <C> <C>
SHORT TERM INVESTMENTS--1.26%
U.S. GOVERNMENT AND AGENCIES--1.26%
FEDERAL HOME LOAN MORTGAGE CORP (FHLMC)
$ 215,000 5.405%, 02/25/00 213,209
475,000 5.550%, 03/16/00 469,509
------------
682,718
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $682,718) ....................................................... 682,718
-------
TOTAL PORTFOLIO
(Cost $46,441,536) .................................................... $54,270,837
===========
- ------------
* Non-income producing
x In Bankruptcy
# Restricted Security-Investment in security not registered under the
Securities Act of 1933 or not publicly traded on foreign markets. At December
31, 1999, the value of this security amounted to $30 or 0.00% of net assets.
</TABLE>
See notes to financial statements.
17
<PAGE>
Additional information on the restricted security is as follows:
<TABLE>
<CAPTION>
ACQUISITION ACQUISITION
SECURITY DATE COST
- --------------------------- ------------- ------------
<S> <C> <C>
PROCURENET, INC ......... 04/15/99 $30
===
</TABLE>
At December 31, 1999, the aggregate cost of portfolio investments for federal
income tax purposes was $46,502,151. Net unrealized appreciation aggregated
$7,768,686, of which $11,067,864 related to appreciated portfolio investments
and $3,299,178 related to depreciated portfolio investments.
18 See notes to financial statements.
<PAGE>
[TIAA CREF LOGO]
- --------------------------------------------------------------------------------
REPORT OF MANAGEMENT RESPONSIBILITY
To the Shareholders of
the Stock Index Fund of TIAA-CREF Life Funds:
The accompanying financial statements of the Stock Index Fund of TIAA-CREF Life
Funds ("the Fund") are the responsibility of management. They have been
prepared in accordance with accounting principles generally accepted in the
United States and have been presented fairly and objectively in accordance with
such principles.
TIAA-CREF Life Insurance Company ("TIAA-CREF Life") has established and
maintains a strong system of internal controls designed to provide reasonable
assurance that assets are properly safeguarded and transactions are properly
executed in accordance with management's authorization, and to carry out the
ongoing responsibilities of management for reliable financial statements. In
addition, the Fund's internal audit personnel provide a continuing review of
the internal controls and operations of the Fund.
The accompanying financial statements have been audited by the independent
auditing firm of Ernst & Young LLP. The independent auditors' report, which
appears on the following page, expresses an independent opinion on the fairness
of presentation of these financial statements.
/s/ Thomas G. Walsh
---------------------------------
President
and Chief Executive Officer
/s/ Richard L. Ris
---------------------------------
Executive Vice President and
Principal Accounting Officer
19
<PAGE>
[Ernst & Young LLP Letterhead]
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Board of Trustees of
TIAA-CREF Life Funds:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of the Stock Index Fund of TIAA-CREF Life Funds
(the "Fund") as of December 31, 1999, and the related statement of operations
for the year then ended, and the statements of changes in net assets and
financial highlights for the year then ended and for the period from December
1, 1998 (commencement of operations) to December 31, 1998. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence
with the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Stock Index Fund of the Fund at December 31, 1999, the results of its
operations for the year then ended, and the changes in its net assets and the
financial highlights for the year then ended and for the period from December
1, 1998 to December 31, 1998, in conformity with accounting principles
generally accepted in the United States.
/s/ Ernst & Young LLP
February 4, 2000
Ernst & Young LLP is a member of Ernst & Young International, Ltd.
20
<PAGE>
TIAA-CREF LIFE FUNDS
STOCK INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS
Investments, at cost ................................................. $46,441,536
Net unrealized appreciation of investments ........................... 7,829,301
-----------
Investments, at value ................................................ 54,270,837
Cash ................................................................. 25,557
Dividends and interest receivable .................................... 48,205
-----------
TOTAL ASSETS 54,344,599
-----------
LIABILITIES
Payable for fund shares repurchased .................................. 186
Accrued expenses ..................................................... 3,752
-----------
TOTAL LIABILITIES 3,938
-----------
NET ASSETS ............................................................ $54,340,661
===========
Net assets consist of:
Paid in capital ...................................................... $46,556,953
Accumulated undistributed net investment income ...................... 307
Accumulated overdistributed net realized gain on investments ......... (45,900)
Accumulated net unrealized appreciation on investments ............... 7,829,301
-----------
NET ASSETS ............................................................ $54,340,661
===========
NUMBER OF SHARES OUTSTANDING, $.0001 par value,
unlimited number of shares of beneficial interest authorized ......... 1,746,701
===========
NET ASSET VALUE PER SHARE ............................................. $ 31.11
===========
</TABLE>
See notes to financial statements.
21
<PAGE>
TIAA-CREF LIFE FUNDS
STOCK INDEX FUND
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME
Income:
Dividends .................................................... $ 440,440
Interest ..................................................... 20,676
----------
TOTAL INCOME 461,116
----------
Expenses--Notes 3 and 5:
Management fee ............................................... 101,980
Trustee fees and expenses .................................... 748
----------
EXPENSES BEFORE WAIVER 102,728
Less fee waived by the advisor ............................... 78,185
----------
NET EXPENSES 24,543
----------
INVESTMENT INCOME--NET 436,573
----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS--Note 4
Net realized gain on investments ............................. 293,727
Net change in unrealized appreciation on investments ......... 6,771,381
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 7,065,108
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $7,501,681
==========
</TABLE>
See notes to financial statements.
22
<PAGE>
TIAA-CREF LIFE FUNDS
STOCK INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
December 1, 1998
Year (commencement of
Ended operations) to
December 31, 1999 December 31, 1998
------------------- ------------------
<S> <C> <C>
FROM OPERATIONS
Investment income--net ....................................... $ 436,573 $ 54,377
Net realized gain on investments ............................. 293,727 --
Net change in unrealized appreciation on investments ......... 6,771,381 1,057,920
----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 7,501,681 1,112,297
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................... (437,803) (52,840)
From realized gains .......................................... (339,627) --
----------- -----------
TOTAL DISTRIBUTIONS (777,430) (52,840)
----------- -----------
SHAREHOLDER TRANSACTIONS
Seed money subscriptions ..................................... -- 25,100,000
Subscriptions ................................................ 20,733,305 --
Reinvestment of distributions ................................ 777,430 52,840
Redemptions .................................................. (106,622) --
----------- -----------
NET INCREASE FROM SHAREHOLDER TRANSACTIONS 21,404,113 25,152,840
----------- -----------
NET INCREASE IN NET ASSETS 28,128,364 26,212,297
NET ASSETS
Beginning of period .......................................... 26,212,297 --
----------- -----------
End of period ................................................ $54,340,661 $26,212,297
=========== ===========
CHANGE IN FUND SHARES
Shares outstanding, beginning of period ....................... 1,006,046 --
Shares sold .................................................. 718,792 1,004,000
Shares issued in reinvestment of distributions ............... 25,249 2,046
Shares redeemed .............................................. (3,386) --
----------- -----------
Shares outstanding, end of period ............................. 1,746,701 1,006,046
=========== ===========
</TABLE>
See notes to financial statements.
23
<PAGE>
TIAA-CREF LIFE FUNDS
STOCK INDEX FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
December 1, 1998
Year (commencement of
Ended operations) to
December 31, 1999 December 31,1998(1)
------------------- --------------------
<S> <C> <C>
SELECTED PER SHARE DATA:
Net asset value, beginning of period .............................. $ 26.05 $ 25.00
------- -------
Gain from investment operations:
Net investment income ............................................ 0.26 0.05
Net realized and unrealized gain on investments .................. 5.26 1.05
------- -------
Total gain from investment operations ............................. 5.52 1.10
------- -------
Distributions:
From net investment income ....................................... (0.26) (0.05)
From net realized gains .......................................... (0.20) --
------- -------
Total distributions ............................................... (0.46) (0.05)
------- -------
Net asset value, end of period .................................... $ 31.11 $ 26.05
======= =======
TOTAL RETURN ...................................................... 21.20% 4.41%
RATIOS AND SUPPLEMENTAL DATA
Net assets at end of period (in thousands) ........................ $54,341 $26,212
Ratio of expenses to average net assets before expense waiver ..... 0.30% 0.03%
Ratio of expenses to average net assets after expense waiver ...... 0.07% 0.01%
Ratio of net investment income to average net assets .............. 1.28% 0.22%
Portfolio turnover rate ........................................... 14.22% 0.00%
</TABLE>
(1) The percentages shown for this period are not annualized.
See notes to financial statements.
24
<PAGE>
TIAA-CREF LIFE FUNDS
STOCK INDEX FUND
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
TIAA-CREF Life Funds is a Delaware business trust that was organized on August
13, 1998 and is registered with the Securities and Exchange Commission
("Commission") under the Investment Company Act of 1940 as an open-end
management investment company. It currently consists of one series, the Stock
Index Fund (the "Fund") which invests in a diversified portfolio selected to
track the overall market for common stocks publicly traded in the United
States, as represented by a broad stock market index. TIAA-CREF Life Separate
Account VA-1 (the "Account") which is registered with the Commission as a unit
investment trust under the 1940 Act invests in the Fund. The Account is a
separate account of TIAA-CREF Life Insurance Company ("TIAA-CREF Life") which
commenced operations as a legal reserve life insurance company under the
insurance laws of the State of New York on December 18, 1996, and is a
wholly-owned indirect subsidiary of Teachers Insurance and Annuity Association
of America ("TIAA"), also a legal reserve life insurance company which was
established under the insurance laws of the State of New York in 1918.
The Fund commenced operations on December 1, 1998 when the Account purchased
4,000 shares at $25 per share, for a total of $100,000 and TIAA purchased
1,000,000 shares at $25 per share, for a total of $25,000,000. At December 31,
1999, the Account owned 729,801 shares in the Fund, with a total value of
$22,704,108 and TIAA owned 1,016,900 shares in the Fund, with a total value of
$31,636,553.
Teachers Advisors, Inc. ("Advisors"), an indirect subsidiary of TIAA, which is
registered with the Commission as an investment adviser, provides investment
advisory services for the Fund pursuant to an Investment Management Agreement
between TIAA-CREF Life, Advisors and the Fund.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements may require management to make
estimates and assumptions that affect the reported amounts of assets,
liabilities, income, expenses and related disclosures. Actual results may
differ from those estimates. The following is a summary of the significant
accounting policies consistently followed by the Fund, which are in conformity
with accounting principles generally accepted in the United States.
Valuation of Investments: Securities listed or traded on any United States
national securities exchange are valued at the last sale price as of the close
of the principal securities exchange on which such securities are traded or, if
there is no sale, at the mean of the last bid and asked prices on such
exchange. Securities traded only in the over-the-counter market and quoted in
the NASDAQ National Market System are valued at the last sale price, or at the
mean of the last bid and asked prices if no sale is reported. All other
over-the-counter securities are valued at the mean of the last bid and asked
prices. Short-term money market instruments are stated at market value.
Portfolio securities for which market quotations are not readily available are
valued at fair value as determined in good faith under the direction of the
Board of Trustees.
Accounting for Investments: Securities transactions are accounted for as of the
date the securities are purchased or sold (trade date). Interest income is
recorded as earned and, for short-term money market instruments, includes
accrual of discount and amortization of premium. Dividend income is recorded on
the ex-dividend date. Realized gains and losses on securities transactions are
accounted for on the specific identification basis.
Federal Income Taxes: As a qualified regulated investment company under
Subchapter M of the Internal Revenue Code, the Fund will not be subject to
federal income taxes to the extent that it distributes substantially all
taxable income each year.
NOTE 3--MANAGEMENT AGREEMENTS
Daily charges are deducted from the net assets of the Fund for investment
management services provided by Advisors. The Investment Management Agreement
sets the investment advisory fee at an annual rate of 0.30% of the net assets
of the Fund. Currently, Advisors has agreed to waive a portion of such fee, so
that the daily deduction is equivalent to an annual charge of 0.07% of the net
assets of the Fund.
25
<PAGE>
TIAA-CREF LIFE FUNDS
STOCK INDEX FUND
NOTES TO FINANCIAL STATEMENTS (Concluded)
NOTE 4--INVESTMENTS
At December 31, 1999, the net unrealized appreciation on investments was
$7,829,301, consisting of gross unrealized appreciation of $11,128,479 and
gross unrealized depreciation of $3,299,178.
Purchases and sales of securities, other than short-term money market
instruments, for the year ended December 31, 1999, were $25,610,980 and
$5,179,423, respectively.
NOTE 5--TRUSTEE FEES
The Fund pays its Trustees, who are not also officers or affiliated persons of
the Fund, certain remuneration for their services, plus travel and other
expenses incurred in attending Board meetings. Trustees who are also officers
or affiliated persons receive no remuneration for their services as Trustees
from the Fund.
26
<PAGE>
TIAA-CREF LIFE SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
SUMMARY FINANCIAL INFORMATION
(unaudited)
<TABLE>
<S> <C>
As of December 31, 1999:
Investments, at cost ............................................. $ 21,060,407
------------
Shares held in Stock Index Fund of TIAA-CREF Life Funds ......... 729,801
Net asset value per share ("NAV") ............................... 31.11
------------
Investments, at value (shares x NAV) ............................. 22,704,108
Other assets ..................................................... 122,928
------------
NET ASSETS--Accumulation Fund .................................... $ 22,827,036
============
Number of Accumulation Units outstanding ......................... 723,457
============
Net asset value, per Accumulation Unit ........................... $ 31.55
============
For the year ended December 31, 1999:
CHANGES IN NET ASSETS:
FROM OPERATIONS
Investment income-net ........................................... $ 302,113
Realized gains on investments ................................... 13,768
Net change in unrealized appreciation on investments ............ 1,639,500
------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 1,955,381
------------
FROM CONTRACTOWNER TRANSACTIONS
Premiums ........................................................ 20,407,270
Net Contractowner transfers from fixed account .................. 532,628
Withdrawals and death benefits .................................. (172,630)
------------
NET INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 20,767,268
------------
NET INCREASE IN NET ASSETS 22,722,649
NET ASSETS
Beginning of year ............................................... 104,387
------------
End of year ..................................................... $ 22,827,036
============
TOTAL RETURN ..................................................... 20.91%
============
RATIO OF EXPENSES TO AVERAGE NET ASSETS .......................... 0.30%
============
</TABLE>
27
<PAGE>
[TIAA CREF LOGO]
-------------------
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STANDARD
U.S. POSTAGE PAID
TIAA-CREF
-------------------
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