Aetna
Life Insurance and
Annuity Company
1 9 9 5
S e m i - A n n u a l R e p o r t
Aetna Variable Fund
<PAGE>
Table of Contents
<TABLE>
<CAPTION>
<S> <C>
Overview 3
Statement of Assets and Liabilities 4
Statement of Changes in Net Assets 5
Notes to Financial Statements 6
Financial Highlights 8
Portfolio of Investments 9
</TABLE>
2
<PAGE>
Semi-Annual Report--Overview
Dear Customer,
1995 has been an exciting year thus far for anyone involved in the financial
markets. The exceptional returns of both the U.S. equity and bond markets
have been fueled by the combination of a much more accommodative interest
rate environment and strong corporate earnings which have often exceeded Wall
Street analysts' predictions.
Six-month periods such as the one we have just experienced, while very
attractive, are not without historical precedent. In fact, in reviewing the
U.S. stock market back to 1925, we find that roughly one out of every eight
six-month periods have experienced stock market returns which exceeded 23%.
It is impossible to predict when the financial markets will make a rapid
advance, but one of the rewards of being a long term investor is being in a
position to take advantage of such periods.
In addition to the excitement caused by the financial markets this year,
ALIAC has created its own excitement through the introduction of the three
Aetna Generation Portfolios--Ascent, Crossroads and Legacy. These funds are
designed to provide individuals with investment vehicles which are easy to
use and which reflect one's investment time horizon and overall risk
tolerance.
Aetna Ascent Variable Portfolio is designed for individuals with an
investment horizon exceeding 15 years and who have a high level of risk
tolerance. Aetna Crossroads Variable Portfolio is designed for people who
have an investment horizon exceeding 10 years and who have a moderate level
of risk tolerance. Aetna Legacy Variable Portfolio is designed for
individuals who have a time horizon exceeding five years and who have a low
level of risk tolerance.
The Aetna Generation Portfolios are beginning to receive an enthusiastic
response, especially from customers who were searching for a simple way to
implement an asset allocation strategy for their retirement savings. Now
available in our retirement savings products, we anticipate that the
Portfolios will also be included in our individual variable life insurance
products in the near future.
We will continue to manage your investments for the long term, allowing
you to rely on our recognized position as a financially solid company. We are
pleased that all four major ratings agencies reaffirmed ALIAC's ratings on
July 12 as either excellent or superior, attesting to our financial strength.
We are ever mindful of the trust that you place in us by selecting ALIAC
to assist in your pursuit of retirement and other financial security goals.
Thank you for your trust and for your business.
Sincerely,
Daniel P. Kearney
President, Aetna Life Insurance
and Annuity Company
<PAGE>
To the Shareholders of Aetna Variable Fund:
Aetna Variable Fund achieved a total return of 15.74% for the first six
months of 1995 (net of investment management fees and other fund expenses),
compared to 20.19% for the S&P 500, an unmanaged index.
This six month period was an astounding one for stock fund investors,
marked by impressive corporate earnings and continual declines in interest
rates, both very powerful upward forces on the stock market.
The Fund was positioned very defensively entering 1995, a strategy which
worked well during the last quarter of 1994, but which proved detrimental
during the strong bull market which became evident during the first quarter
of 1995. Fund management responded to this change in market environment by
dramatically reducing cash levels by the middle of the first quarter, which
helped set the stage for strong second quarter performance.
Also noteworthy was our strategy of diversifying into small-
capitalization, international, and real estate-related stocks during the
first quarter. By investing modest amounts into these asset classes, we hope
to achieve enhanced returns and reduced portfolio volatility through
diversification over the long-term. The S&P 500, a large-cap benchmark, was
particularly strong relative to these other asset classes during the first
quarter, but if history is any guide, over time we expect to see each of the
diversifying asset classes enjoy the same or better success.
In keeping with our philosophy of managing the portfolio through a team of
specialists, we added a real estate portfolio manager to our staff who is
responsible for our investments in equity real estate investment trusts and
real estate operating companies. Given their high yield, low volatility, and
strong growth prospects, we believe that these securities are a very
attractive niche within the equity market.
With the Fund's risk-reduction and diversification moves now behind it,
turnover and its attendant transaction costs have diminished. We believe that
we are well positioned to achieve performance which will compare favorably to
both the overall market and our Growth and Income fund competitors. We thank
you for your investment in Aetna Variable Fund, and we will continue to work
hard to keep your trust.
Aetna Life Insurance and Annuity Company
Adviser to Aetna Variable Fund
3
<PAGE>
Aetna Variable Fund
Statement of Assets and Liabilities
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS:
Investments, at market value (Note 1) $5,022,795,940
Cash 1,770,570
Cash denominated in foreign currencies 1,382,494
Receivable for:
Dividends and interest 10,982,584
Investments sold 64,309,668
Trust shares sold 83,042
Recoverable taxes 56,391
Forward foreign currency exchange
contracts 107,880,239
------------
Total assets $5,209,260,928
-------------
LIABILITIES:
Payable for:
Investments purchased 103,168,440
Trust shares redeemed 89,407
Variation margin 144,181
Forward foreign currency exchange
contracts 109,440,781
Accrued investment advisory fees 1,082,027
Accrued service fees 163,441
Accrued custodian fees 49,135
Other liabilities 203,769
------------
Total liabilities 214,341,181
-------------
Net assets applicable to outstanding
shares $4,994,919,747
=============
Net assets represented by:
Paid-in capital $3,526,237,549
Net unrealized gain 1,035,914,426
Undistributed net investment income 64,328,993
Accumulated net realized gain 368,438,779
------------
Total--representing net assets
applicable to outstanding shares $4,994,919,747
=============
Shares authorized Unlimited
Shares outstanding 164,536,606
Net asset value per share $30.36
Cost of investments $3,984,970,676
Cost of foreign currencies $1,266,451
</TABLE>
Statement of Operations
Six-Month Period Ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME: (Note 1)
Interest $ 8,269,967
Dividends 61,340,101
----------
69,610,068
Foreign taxes withheld (799,670)
----------
Total investment income $ 68,810,398
------------
EXPENSES: (Note 2)
Investment advisory fee 5,830,446
Administrative personnel and service fees 934,678
Custodian and transfer agent fees 63,378
Trustees' fees 33,449
Audit fees 16,267
Miscellaneous 103,009
----------
Total expenses 6,981,227
------------
Net investment income 61,829,171
------------
NET REALIZED AND UNREALIZED GAIN
(LOSS): (Notes 1 and 3)
Net realized gain (loss) on:
Sales of investments, excluding
short-term investments 227,462,676
Written options (142,053)
Futures and forward foreign exchange
contracts 4,813,618
Foreign currency related transactions (714,822)
----------
Net realized gain 231,419,419
------------
Net change in unrealized gain (loss) on:
Investments 393,325,125
Futures and forward foreign exchange
contracts (2,026,881)
Foreign currency related transactions 116,043
----------
Net change in unrealized gain 391,414,287
------------
Net realized and change in unrealized
gain 622,833,706
------------
Net increase in net assets resulting from
operations $684,662,877
============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
Aetna Variable Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six-Month
Period Ended
June 30, Year Ended
1995 December 31,
(Unaudited) 1994
------------ ----------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 61,829,171 $ 118,921,019
Net realized gain 231,419,419 692,123,546
Net change in unrealized gain 391,414,287 (854,769,952)
------------ ----------------
Net increase (decrease) in net assets resulting from operations 684,662,877 (43,725,387)
------------ ----------------
DISTRIBUTIONS TO SHAREHOLDERS: (Note 1)
From net investment income 0 (119,240,804)
From net realized gains 0 (573,117,509)
------------ ----------------
Decrease in net assets from distributions to shareholders 0 (692,358,313)
------------ ----------------
SHARE TRANSACTIONS:
Proceeds from shares sold 224,419,356 339,330,848
Net asset value of shares issued to shareholders upon reinvestment of
distributions 0 692,177,111
Payments for shares redeemed (338,038,842) (859,162,291)
------------ ----------------
Net increase (decrease) in net assets from share transactions (113,619,486) 172,345,668
------------ ----------------
Change in net assets 571,043,391 (563,738,032)
NET ASSETS:
Beginning of period 4,423,876,356 4,987,614,388
------------ ----------------
End of period $4,994,919,747 $4,423,876,356
============ ================
End of period net assets includes undistributed net investment income $ 64,328,993 $ 9,617,086
============ ================
SHARE TRANSACTIONS
Shares sold 7,989,046 11,045,632
Shares issued upon reinvestment 0 25,965,977
Shares redeemed (12,117,295) (27,976,805)
------------ ----------------
Net increase (decrease) (4,128,249) 9,034,804
============ ================
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
Aetna Variable Fund
Notes to Financial Statements
June 30, 1995 (Unaudited)
1. Summary of Significant Accounting Policies
Aetna Variable Fund ("Fund") is registered under the Investment Company Act
of 1940 as a diversified open-end management investment trust whose shares
are currently sold to Aetna Life Insurance and Annuity Company ("Company"),
an Aetna Life Insurance Company Separate Account, and other shareholders of
the Fund only through reinvestment of dividends. The Company's shares are
allocated to certain of its variable life/annuity accounts. The Company's
accounts and affiliates held 97% of the Fund's shares outstanding at June 30,
1995.
The accompanying financial statements of the Fund have
been prepared in accordance with generally accepted accounting principles.
a. Valuation of Investments Investments are stated at market values based
upon closing sales prices as reported on national securities exchanges or,
for over-the-counter securities, at the mean of the bid and asked prices.
Short-term investments maturing in more than sixty days for which market
quotations are readily available are valued at current market value. Short-
term investments maturing in less than sixty days are valued at amortized
cost which when combined with accrued interest approximates market.
Securities for which market quotations are not considered to be readily
available are valued in good faith using methods approved by the Board of
Directors.
The accounting records of the Fund are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in a
foreign currency are translated into U.S. dollars at the prevailing rates of
exchange at the end of the period. Purchases and sales of securities, income
receipts, and expense payments are translated into U.S. dollars at the
prevailing exchange rate on the respective dates of the transactions.
b. Option Contracts The Fund may purchase and sell put and call options
and write covered call options as a hedge against adverse movements in the
value of portfolio holdings.
Option contracts are valued daily. Unrealized gains or losses are recorded
based upon the last sales price on the principal exchange on which the option
is traded.
The Fund will realize a gain or loss upon the expiration or closing of the
option contract. When an option is exercised, the proceeds on sales for a
written call option, the purchase cost for a written put option, or the cost
of the security for a purchased put or call option is adjusted by the amount
of premium received or paid.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security increases and the
option is exercised. The risk in writing a put option is that the Fund may
incur a loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Fund pays a premium
whether or not the option is exercised. Risks may also arise from an illiquid
secondary market, or from the inability of counterparties to meet the terms
of the contract.
The following reflects the Fund's call and put option activity for the
six-month period ended June 30, 1995:
<TABLE>
<CAPTION>
Put Options Written
---------------------------------------
Number of Deferred Realized
Option Premium Gain
Contracts Received (Loss)
-------------- --------- ----------
<S> <C> <C> <C>
Outstanding December 31 -- $ -- $ --
Written 2,000 177,380 --
Cancelled (1,472) (131,243) (95,916)
Exercised -- -- --
Expired (528) (46,137) (46,137)
-------------- --------- ----------
Outstanding June 30 -- $ -- $(142,053)
============== ========= ==========
</TABLE>
c. Futures and Forward Foreign Currency Exchange Contracts A futures
contract is an agreement between two parties to buy and sell a specific
amount of a commodity, security or financial instrument including an index of
stocks at a set price on a future date. The Fund uses futures contracts as a
hedge against declines in the value of portfolio securities. The Fund may
also purchase futures contracts to gain market exposure as it may be more
cost effective than purchasing individual securities.
Upon entering into a futures contract, the Fund is required to deposit
with a broker, an amount (initial margin) equal to a percentage of the
purchase price indicated by the futures contract. Subsequent deposits
(variation margin) are received or paid each day by the Fund equal to the
daily fluctuations in the market value of the contract. These amounts are
recorded by the Fund as unrealized gains or losses. When a contract is
closed, the Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed. Generally, futures contracts are closed prior to
expiration.
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for
another currency at an agreed upon exchange rate. The Fund may use forward
foreign currency exchange contracts to hedge certain foreign currency assets.
Contracts are recorded at market value and marked-to-market daily.
The risks associated with futures and foreign currency exchange contracts
may arise from an imperfect correlation between the change in market value of
the securities held by the Fund and the price of the contracts. Risks may
also arise from an illiquid secondary market, or from the inability of
counterparties to meet the terms of the contract.
Realized and unrealized gains or losses on futures and foreign currency
exchange contracts are reflected in the accompanying financial statements.
For federal tax purposes, any futures and forward foreign currency exchange
contracts which remain open at the end of the fiscal year are
marked-to-market and the resultant net gain or loss is included in federal
taxable income.
6
<PAGE>
Aetna Variable Fund
d. Federal Income Taxes As a qualified regulated investment company, the
Fund is relieved of federal income and excise taxes by distributing its net
taxable investment income and capital gains, if any, in compliance with the
applicable provisions of the Internal Revenue Code.
e. Distributions The Fund distributes all net investment income and net
capital gains, if any, to shareholders semi-annually. Distributions from net
investment income are based on taxable net income. Distributions are recorded
on the ex-dividend date. Income and capital gain distributions are determined
in accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions and losses deferred
due to wash sales.
f. Other Investment transactions are accounted for on the day following
trade-date, except same day settlements which are accounted for on the
trade-date. Interest income is recorded on an accrual basis. Discounts and
premiums on securities purchased are amortized over the life of the
respective security. Dividend income and stock splits are recorded on the
ex-dividend date. Realized gains and losses from investment transactions are
determined on an identified cost basis.
2. Investment Advisory Fee and Other Expenses
The Fund pays the Company (its investment adviser) an annual fee of
one-quarter of one percent (.25%) of its average daily net assets. The Fund
also paid the Company $934,678 for administrative personnel and service fees
for the six-month period ended June 30, 1995. Other than expenses
specifically assumed by the Company under the Management Agreement, all
expenses incurred in the operation of the Fund are borne by the Fund.
3. Purchases and Sales of Investments
The cost of purchases and proceeds from sales of investments other than
short-term investments for the six-month period ended June 30, 1995
aggregated $2,566,392,277 and $2,357,106,682, respectively.
4. Forward Foreign Currency Exchange Contracts
At June 30, 1995, Aetna Variable Fund had the following open forward foreign
currency exchange contracts that obligate the Fund to deliver currencies at
specified future dates. The unrealized loss of $1,560,542 on these contracts
is included in the accompanying financial statements. The terms of the open
contracts are as follows:
<TABLE>
<CAPTION>
U.S. $ Value Currency to U.S. $ Value
Exchange Currency to be as of be as of
Date Delivered June 30, 1995 Received June 30, 1995
-------- ---------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
9/13/95 94,400,000
Austrian 9,549,528
Schilling $ 9,730,304 U.S. Dollar $ 9,549,528
-------- ---------------- ------------- ------------- --------------
9/21/95 41,215,600 9,579,676
Finnish Markka 9,633,212 U.S. Dollar 9,579,676
-------- ---------------- ------------- ------------- --------------
9/21/95 19,500,000 31,141,988
British Pound 30,965,610 U.S. Dollar 31,141,988
-------- ---------------- ------------- ------------- --------------
9/13/95 1,579,600,000 18,407,743
Japanese Yen 18,794,693 U.S. Dollar 18,407,743
-------- ---------------- ------------- ------------- --------------
9/13/95 7,329,648 590,000,000
U.S. Dollar 7,329,648 Japanese Yen 7,020,049
-------- ---------------- ------------- ------------- --------------
9/18/95 837,000,000 9,479,585
Japanese Yen 9,965,373 U.S. Dollar 9,479,585
-------- ---------------- ------------- ------------- --------------
9/18/95 13,980,000 8,982,267
Dutch Guilder 9,052,645 U.S. Dollar 8,982,267
-------- ---------------- ------------- ------------- --------------
9/7/95 59,800,000 9,460,090
Norwegian Krone 9,709,368 U.S. Dollar 9,460,090
-------- ---------------- ------------- ------------- --------------
9/28/95 5,900,000 4,259,313
Singapore Dollar 4,259,928 U.S. Dollar 4,259,313
------------- --------------
$109,440,781 $107,880,239
============= ==============
</TABLE>
7
<PAGE>
Aetna Variable Fund
Financial Highlights
Selected data for each share outstanding throughout each period:
<TABLE>
<CAPTION>
Six-Month
Period Ended
June 30, 1995 Year Ended December 31,
------------- --------------------------------------
(Unaudited) 1994 1993 1992 1991
------------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $26.229 31.245 31.602 30.954 25.498
------------- ------- ------- ------- --------
Income from investment operations:
Net investment income 0.372 0.765 0.822 0.810 0.922
Net realized and unrealized gain (loss) 3.757 (1.071) 1.287 1.229 5.780
------------- ------- ------- ------- --------
Total from investment operations 4.129 (0.306) 2.109 2.039 6.702
------------- ------- ------- ------- --------
Less distributions:
From net investment income 0.000 (0.811) (0.814) (0.866) (0.942)
From net realized gains on investments 0.000 (3.899) (1.652) (0.525) (0.304)
------------- ------- ------- ------- --------
Total distributions 0.000 (4.710) (2.466) (1.391) (1.246)
------------- ------- ------- ------- --------
Net asset value, end of period $30.358 26.229 31.245 31.602 30.954
============= ======= ======= ======= ========
Total return* 15.74% (0.96%) 6.74% 6.70% 26.41%
Net assets, end of period (millions) $4,995 $4,424 $4,988 $4,552 $3,818
Ratio of total expenses to average net assets 0.30% ** 0.30% 0.29% 0.30% 0.30%
Ratio of net investment income to average
net assets 2.68% ** 2.52% 2.57% 2.86% 3.22%
Portfolio turnover rate 53.07% 84.27% 25.22% 16.26% 12.08%
</TABLE>
* The total return percentage does not reflect any separate account charges
under variable annuity contracts.
** Annualized
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements.
8
<PAGE>
Aetna Variable Fund
Portfolio of Investments--June 30, 1995 (Unaudited)
COMMON AND PREFERRED STOCKS (97.1%)
Common Stocks (96.0%)
<TABLE>
<CAPTION>
Number of
Shares Market Value
------------- -----------------
<S> <C> <C>
Aerospace & Defense (2.2%)
Gencorp, Inc. 59,500 $ 639,625
Kaman Corp. Class A 37,000 471,750
Lockheed Martin Corp. 361,504 22,819,940
Loral Corp. 234,800 12,150,900
McDonnell Douglas Corp. 937,300 71,937,775
Precision Castparts Corp. 4,300 151,038
Smiths Industries Plc 116,200 959,437
Watkins-Johnson Co. 52,700 2,345,150
-----------------
111,475,615
-----------------
Autos & Auto Equipment (1.7%)
Bandag, Inc. 12,100 756,250
Borg Warner Automotive, Inc. 86,700 2,470,950
Breed Technologies, Inc. 62,500 1,500,000
Detroit Diesel Corp.+ 2,400 50,700
Eaton Corp. 432,000 25,110,000
Echlin, Inc. 96,400 3,349,900
Ford Motor Co. 1,060,200 31,540,950
Kaydon Corp. 25,500 758,625
Masland Corp. 39,900 508,725
Smith (A.O.) Corp. 65,000 1,527,500
SPX Corp. 8,000 91,000
TRW Inc. 182,900 14,609,138
-----------------
82,273,738
-----------------
Banks (5.7%)
AMMB Holdings Bhd 33,000 392,535
Associated Banc-Corp. 8,375 257,008
Bank of Boston Corp. 763,200 28,620,000
Bank of Montreal 31,900 667,534
Bankamerica Corp. 907,300 47,746,580
Bankers Corp. 42,000 690,375
Barnett Banks of Florida, Inc. 90,600 4,643,250
BayBanks, Inc. 41,900 3,325,813
Bell Bancorp, Inc. 20,000 572,500
Brooklyn Bancorp+ 15,000 502,500
Canadian Imperial Bank of Commerce 23,500 564,452
CCB Financial Corp. 6,800 285,600
Centura Banks, Inc. 13,700 381,888
Charter One Financial, Inc. 29,000 712,313
Chemical Banking Corp. 1,077,400 50,907,150
Citicorp 455,000 26,333,125
Citizens Bancorp 4,100 120,950
City National Corp. 92,300 1,049,913
CNB Bancshares, Inc. 6,800 202,300
Commerce Asset Holding Bhd 113,000 579,368
Commerce Bancorp, Inc. 9,500 183,469
Commerce Bancshares Inc. 7,000 218,750
Commercial Federal Corp.+ 23,000 628,188
Corestates Financial Corp. 200,000 6,975,000
Creditanstalt-Bankverein 18,600 1,072,008
Cullen/Frost Bankers, Inc. 28,000 1,137,500
Development Bank of Singapore Ltd. 66,000 750,912
FFY Financial Corp. 23,000 442,750
First American Corp. (Tenn.) 34,400 1,236,250
First Bank System, Inc. 58,500 2,398,500
First Citizens Bancshares Class A 200 9,750
First Commercial Corp. 2,800 71,050
First Commonwealth Financial Corp. 13,500 204,188
First Empire State Corp. 3,900 668,850
First Interstate Bancorp 537,800 43,158,450
First Midwest Bancorp 1,000 24,500
Firstbank of Illinois Co. 400 $ 10,900
Firstier Financial, Inc. 5,200 193,050
Great Southern Bancorp 200 3,750
Hibernia Corp. Class A 87,000 772,125
HSBC Holdings Plc 126,000 1,624,675
JSB Financial, Inc. 27,700 803,300
Life Bancorp, Inc. 20,500 284,438
Loyola Capital Corp. 5,500 169,469
MAF Bancorp, Inc. 5,800 134,125
Mark Twain Bancshares, Inc. 15,900 510,788
MBNA Corp. 167,500 5,653,125
Mellon Bank Corp. 264,100 10,993,163
Midlantic Corp. 10,000 398,750
NBT Bancorp, Inc. 600 9,788
New York Bancorp, Inc. 8,600 170,925
North Fork Bancorporation, Inc. 14,000 253,750
Oversea-Chinese Banking 27,000 299,463
Queens County Bancorp, Inc. 21,000 672,000
Reliance Bancorp, Inc. 42,000 595,875
Republic Bancorp, Inc. 10,200 119,850
River Forest Bancorp, Inc. 2,300 92,863
Royal Bank of Canada 25,300 566,253
Security Capital Corp.+ 26,500 1,298,500
Silicon Valley Bancshares+ 6,500 116,188
St. Francis Capital Corp.+ 8,500 172,125
Standard Financial, Inc.+ 70,000 918,750
Star Banc Corp. 42,000 1,932,000
Summit Bancorporation 32,500 694,688
Suntrust Banks, Inc. 75,000 4,368,750
Susquehanna Bancshares, Inc. 6,000 140,250
TCF Financial Corp. 15,100 717,250
The Bank of New York Co., Inc. 387,900 15,661,463
The Boston Bancorp 12,000 507,750
Trustmark Corp. 6,700 115,994
Union Planters Corp. 82,000 2,193,500
Valley National Bancorp 25,400 612,775
-----------------
281,517,677
-----------------
Building Materials & Construction
(0.4%)
American Buildings Co.+ 29,900 523,250
Amsteel Corp. 102,000 151,452
Butler Manufacturing Co. 4,200 175,875
Champion Enterprises, Inc.+ 135,800 2,155,825
Clayton Homes, Inc. 175,000 2,865,625
Granite Construction, Inc. 18,900 422,888
Hojng Leong Industries Bhd 57,000 355,373
Hume Industries (Malaysia) Bhd 53,000 289,130
IJM Corp. 35,000 139,253
Metra Oy Class B 10,300 452,694
National Steel Corp.+ 16,200 251,100
NCI Building Systems, Inc.+ 11,000 180,125
Radex-Heraklith Industrial AG 12,800 435,271
Redman Industries, Inc.+ 49,700 1,068,550
Skyline Corp. 11,000 199,375
Stone & Webster, Inc. 18,000 531,000
Strabag Oesterreich AG 3,400 513,474
Texas Industries, Inc. 31,000 1,205,125
Tredegar Industries, Inc. 11,000 273,625
VA Technologie AG 8,800 1,102,068
Vulcan Materials Co. 36,000 1,962,000
Webb (Del E.) Corp. 141,300 3,285,225
Weinerberger Baustofindustrie 1,900 730,041
-----------------
19,268,344
-----------------
9
<PAGE>
Number of
Shares Market Value
------------- -----------------
Chemicals (3.6%)
Airgas, Inc.+ 15,000 $ 403,125
Arcadian Partners, L.P. 25,200 696,150
ARCO Chemical Co. 55,000 2,495,625
Cabot Corp. 90,400 4,768,600
Chemed Corp. 11,500 399,625
Cytec Industries+ 31,900 1,303,913
Dow Chemical Co. 325,000 23,359,375
Du Pont (E.I.) De Nemours 235,000 16,156,250
Dyno Industrier AS 16,400 413,658
Fuji Photo Film Ord 33,000 781,272
Loctite Corp. 11,000 500,500
Lyondell Petrochemical Co. 150,600 3,859,125
Morton International, Inc. 440,000 12,870,000
Norsk Hydro AS 83,800 3,513,755
Olin Corp. 63,600 3,275,400
OM Group, Inc. 30,200 856,925
PPG Industries, Inc. 961,900 41,361,700
Praxair, Inc. 491,500 12,287,500
Sekisui Chemical Co. 56,000 659,600
Sterling Chemicals, Inc.+ 142,000 1,650,750
The Geon Co. 130,100 3,740,375
Union Carbide Corp. 1,136,400 37,927,350
Valspar Corp. 24,700 935,513
Vigoro Corp. 89,000 3,693,500
Wellman, Inc. 80,300 2,198,213
-----------------
180,107,799
-----------------
Commercial Services (0.9%)
ADVO, Inc. 24,400 460,550
Alco Standard Corp. 215,000 17,173,125
California Water Service Co. 4,200 132,300
CDI Corp.+ 20,000 410,000
Devry, Inc.+ 85,600 1,728,050
Flightsafety International, Inc. 13,000 633,750
Franklin Quest Co.+ 55,000 1,320,000
GRC International, Inc.+ 28,000 441,000
Inchcape Plc 327,100 1,529,927
Interim Services, Inc.+ 5,700 141,788
Jacobs Engineering Group Inc.+ 8,500 187,000
Kelly Services Inc. Class A 45,000 1,147,500
Kindercare Learning Centers, Inc.+ 50,300 672,763
Manpower Inc. 132,000 3,366,000
Orkla AS Class A 38,600 1,728,078
Robert Half International Inc.+ 146,000 3,741,250
Rollins Inc. 27,700 664,800
Royal PTT Nederland NV 37,400 1,343,554
Service Corp. International 100,000 3,162,500
Stewart Enterprises, Inc. 40,000 1,345,000
True North Communications, Inc. 27,400 517,175
Welsh Water Plc 86,500 915,125
-----------------
42,761,235
-----------------
Computer Software (1.0%)
Adobe Systems, Inc. 44,500 2,592,125
American Management Systems, Inc.+ 44,500 1,109,719
Analysts International Corp. 4,900 126,788
Autodesk, Inc. 140,100 5,989,275
BMC Software, Inc.+ 112,700 8,677,900
Boole & Babbage Inc.+ 9,000 275,625
Cadence Design Systems, Inc.+ 101,600 3,289,300
Computer Language Research, Inc. 1,500 14,625
Continum, Inc.+ 6,000 198,750
Inso Corp.+ 2,200 130,213
Kronos, Inc.+ 19,700 736,288
Novell, Inc.+ 546,300 10,891,856
Oracle Systems Corp.+ 151,100 $ 5,826,794
Peoplesoft Inc.+ 3,500 189,000
Phoenix Technologies Ltd.+ 20,600 221,450
Policy Management Systems 45,000 2,070,000
PRI Automation, Inc.+ 15,800 521,400
Reynolds & Reynolds Co. 40,000 1,180,000
Sterling Software, Inc.+ 44,000 1,694,000
Sungard Data Systems, Inc.+ 54,300 2,850,750
Tekelec+ 28,000 668,500
The MacNeal-Schwendler Corp. 32,600 456,400
Triad Systems Corp.+ 18,200 130,813
-----------------
49,841,571
-----------------
Computers & Office Equipment
(5.4%)
Adaptec, Inc.+ 55,800 2,057,625
American Express 864,800 41,942,800
Ceridian Corp.+ 382,400 14,101,000
Champion Industries, Inc. 8,000 175,000
Comdisco, Inc. 25,000 759,375
Dell Computer Corp.+ 79,400 4,778,888
Gateway 2000, Inc.+ 117,800 2,687,313
HBO & Co. 4,500 245,813
In Focus Systems, Inc.+ 66,800 1,807,775
International Business Machines
Corp. 1,252,100 120,201,600
Microsoft Corp.+ 404,000 36,536,750
Planar Systems, Inc.+ 85,000 1,891,250
Read-Rite Corp.+ 185,600 4,953,200
Silicon Graphics Inc.+ 12,348 492,377
Standard Register Co. 4,600 87,975
Sun Microsystems, Inc.+ 425,000 20,639,063
Trident Microsystems, Inc.+ 47,000 975,250
United Stationers, Inc. 587 10,346
Xerox Corp. 146,700 17,200,575
-----------------
271,543,975
-----------------
Consumer Products (0.5%)
American Greetings Corp. Class A 120,000 3,517,500
American Safety Razor Co.+ 20,500 246,000
Block Drug Co. Class A 7,200 249,300
Cobra Golf, Inc.+ 62,900 1,989,213
Dekalb Genetics Corp. Class B 18,000 789,750
Eastman Kodak Co. 199,900 12,118,938
Fieldcrest Cannon, Inc.+ 47,200 1,020,700
First Brands Corp. 81,200 3,481,450
Guilford Mills, Inc. 2,400 58,500
Helene Curtis Industries, Inc. 10,000 285,000
Huffy Corp. 22,700 295,100
Libbey, Inc. 12,200 253,150
Maybelline, Inc. 39,000 799,500
Natures Sunshine Products, Inc. 5,500 85,250
NCH Corp. 6,100 350,750
Reckitt & Coleman Plc 144,100 1,519,919
-----------------
27,060,020
-----------------
Diversified (2.5%)
Acma Ltd. 65,000 206,512
Applied Power, Inc. 16,900 487,988
Astec Industries, Inc.+ 19,800 222,750
BIC Corp. 13,000 510,250
Brascan Ltd. Class A 20,200 317,945
Cyrk International, Inc.+ 46,300 422,488
Dover Corp. 600,100 43,657,275
Elkjop Norge AS 26,000 518,735
First Capital Corp. Ltd. 71,000 219,478
Gadek (Malaysia) Bhd 4,000 24,774
Griffon Corp.+ 74,400 595,200
10
<PAGE>
Number of
Shares Market Value
------------- -----------------
Diversified (continued)
Hagemeyer N.V. 10,800 $ 481,316
Harrisons & Crosfield Plc 621,975 1,405,090
Harsco Corp. 64,000 3,376,000
Helix Technology Corp. 16,900 728,813
Insilco Corp.+ 2,700 94,838
ITT Corp. 345,900 40,643,250
Kulicke & Soffa Industries, Inc.+ 65,100 4,321,013
Lonrho Plc 761,510 1,793,000
Lydall, Inc.+ 13,000 286,000
Oasis Residential Inc. 330,200 7,181,850
Plantronics, Inc.+ 9,100 243,425
SPS Technologies, Inc.+ 4,800 180,600
Standex International Corp. 15,100 475,650
Straits Steamship Land Ltd. 48,000 166,240
Textron Inc. 80,000 4,650,000
Valmet Corp. Class A 18,200 410,590
VF Corp. 165,500 8,895,625
Westmont Bhd 55,000 272,970
-----------------
122,789,665
-----------------
Electrical Equipment (5.5%)
3Com Corp.+ 45,100 3,021,700
ADFlex Solutions, Inc.+ 12,000 288,750
Ametek, Inc. 60,400 1,087,200
AMP Inc. 576,400 24,352,900
Avnet, Inc. 72,000 3,483,000
Belden Inc. 35,800 966,600
Burr-Brown Corp.+ 48,450 1,308,150
Cidco, Inc.+ 105,000 3,300,938
Colonial Data Technologies Corp.+ 800 15,100
Dionex Corp.+ 6,300 287,438
Emerson Electric Co. 748,400 53,510,600
General Electric Co. 1,312,600 73,997,825
Harman International Industries 37,500 1,518,750
Hitachi Ltd. (Hit. Seisakusho) 93,000 925,618
International Rectifier Corp.+ 118,200 3,841,500
Itel Corp.+ 10,700 417,300
Kemet Corp.+ 14,600 768,325
Kent Electronics Corp.+ 6,300 238,613
Linear Technology Corp. 5,500 361,625
Littlefuse, Inc.+ 20,000 630,000
Marshall Industries+ 24,000 804,000
Methode Electronics, Inc. Class A 22,600 440,700
Microchip Technology Corp.+ 262,200 9,570,300
Molex, Inc. 17,900 691,388
Park Electrochemical Corp. 16,200 820,125
Parker-Hannifin Corp. 771,000 27,948,750
Pittway Corp. Class A 13,600 622,200
Sundstrand Corp. 18,000 1,075,500
Tektronix, Inc. 165,000 8,126,250
Telco Systems, Inc.+ 43,000 435,375
Teleflex, Inc. 10,000 430,000
Teradyne, Inc.+ 66,100 4,321,288
Texas Instruments, Inc. 344,200 46,079,775
Valmont Industries 8,700 184,331
-----------------
275,871,914
-----------------
Electrical & Electronics (3.3%)
Austria Mikro Systeme
International 5,100 670,660
Bell Industries, Inc.+ 15,645 334,412
CTS Corp. 7,500 228,750
Dynatech Corp.+ 41,600 790,400
Esterline Technologies+ 70,300 1,590,538
FPL Group, Inc. 633,000 24,449,625
Glenayre Technologies, Inc.+ 66,300 3,397,875
Hewlett Packard Co. 288,000 $ 21,456,000
Input/Output Inc.+ 49,200 1,771,200
Intel Corp. 1,000,000 63,312,500
Kyocera Corp. 11,000 904,358
Logicon, Inc. 33,000 1,468,500
Matsushita Electric Industrial Co.
Ltd. 61,000 948,410
Mattson Technology, Inc.+ 14,000 652,750
Maxim Integrated Products, Inc.+ 47,900 2,442,900
Motorola, Inc. 59,000 3,960,375
MTS Systems Corp. 3,600 98,100
Nintendo Co. Ltd. 15,000 860,424
Phillips Electronics NV 31,200 1,320,039
Pioneer Standard Electronics 9,600 237,600
Rohm Co. 26,000 1,341,343
Seagate Technology, Inc.+ 53,200 2,088,100
Tandy Corp. 502,100 26,046,438
The Panda Project, Inc.+ 8,800 254,650
Tracor Inc.+ 48,300 652,050
Unitrode Corp.+ 22,100 621,563
Varian Associates, Inc. 33,700 1,861,925
Venture Manufacturing Ltd. 34,000 89,531
Wyle Laboratories 13,900 390,938
-----------------
164,241,954
-----------------
Financial Services (2.9%)
Abbey National PLC 147,026 1,094,669
ABN-Amro Hodlings N.V. 16,200 624,805
Advanta Corp. Class A 31,000 1,290,375
ALBANK Financial Corp. 22,100 580,125
Alex Brown & Sons, Inc. 57,000 2,365,500
American General Corp. 112,700 3,803,625
Amresco, Inc. 27,000 244,688
Astoria Financial Corp.+ 36,800 1,320,200
AT&T Capital Corp. 9,700 259,475
Barclays Plc 150,800 1,620,577
Bear Stearns Co., Inc. 120,000 2,565,000
CNA Financial Corp.+ 8,400 725,550
Dean Witter Discover and Co. 658,300 30,940,100
Deposit Guaranty Corp. 18,000 697,500
Federal Home Loan Mortgage Corp. 220,100 15,131,875
First USA, Inc. 30,000 1,331,250
Fort Wayne National Corp. 6,400 175,200
Great Financial Corp. 40,000 755,000
Greenpoint Financial Corp. 123,600 2,920,050
Home Financial Corp. 54,700 776,056
Household International, Inc. 170,000 8,415,000
Kagoshima Bank 93,000 832,509
Keystone Financial, Inc. 4,300 120,669
Leader Financial Corp. 30,000 856,875
Liberty Financial Co. 4 103
Lion Land Bhd 371,000 448,913
Mercury Finance Co. 48,200 927,850
Nippon Shinpan Co. 107,000 685,607
Orient Corp. 137,000 684,193
Peoples Heritage Financial Group 40,700 618,131
Pioneer Group, Inc. 50,000 1,356,250
Promise Co. Ltd. 17,000 708,834
Rashid Hussain Bhd 153,000 489,500
Raymond James Financial, Inc. 500 9,688
Sanyo Shinpan Finance Co. 13,000 949,352
Sumitomo Bank of California 300 7,388
Transamerica Corp. 279,000 16,251,750
Travelers, Inc. 891,900 39,020,625
Union Bank 55,000 2,303,125
Unitas Bank Ltd. Class A+ 223,700 721,697
11
<PAGE>
Number of
Shares Market Value
------------- -----------------
Financial Services (continued)
United Overseas Bank Ltd. 28,000 $ 264,472
United States Trust Corp. 4,600 329,475
Vallicorp Holdings, Inc. 19,700 307,813
World Acceptance Corp.+ 4,300 145,125
Yasuda Banking & Trust+ 120,000 784,452
-----------------
146,461,016
-----------------
Foods & Beverages (8.0%)
Anheuser-Busch Co., Inc. 839,700 47,757,938
Archer-Daniels-Midland Co. 1,847,700 34,413,413
Bols Wessanen CVA 24,900 515,505
Cadbury Schweppes Plc 118,300 863,854
Cagle's, Inc. 18,000 301,500
Campbell Soup Co. 99,000 4,851,000
Cerebos Pacific Ltd. 67,000 393,131
Coca-Cola Co. 1,272,000 81,090,000
Coca-Cola Enterprises, Inc. 140,000 3,062,500
ConAgra, Inc. 1,448,100 50,502,488
CPC International Inc. 458,000 28,281,500
Cultor Oy 9,500 308,708
Goodmark Foods, Inc. 12,900 203,175
Heinz (H.J.) Co. 232,000 10,295,000
Hillsdown Holding Plc 517,338 1,481,459
Hormel Foods Corp. 66,000 1,724,250
Hudson Foods, Inc. Class A 148,800 2,064,600
Huhtamaki Group Class "I" 15,100 494,214
IBP, Inc. 101,000 4,393,500
International Multifoods Corp. 47,000 1,057,500
Kikkoman 81,000 561,943
Kroger Co. (The)+ 400,000 10,750,000
Lance, Inc. 13,000 240,500
Luby's Cafeterias, Inc. 7,500 150,938
McDonald's Corp. 340,000 13,302,500
Michael Foods, Inc. 22,600 244,363
Molson Companies Ltd. 31,500 513,001
Mondavi (Robert) Corp.+ 10,000 175,000
Nash-Finch Co. 17,000 276,250
Oester Brau-Beteiligungs 8,200 431,326
PepsiCo, Inc. 870,000 39,693,750
Richfood Holdings, Inc. 34,400 761,100
Safeway, Inc.+ 77,600 2,900,300
Sanderson Farms, Inc. 450 4,950
Sara Lee Corp. 1,824,900 52,009,650
Sbarro, Inc. 500 11,625
Super Food Services, Inc. 10,600 125,875
Thorn Apple Valley 22,800 530,100
Unilever N.V. 9,300 1,209,210
Universal Foods Corp. 23,700 767,288
-----------------
398,714,904
-----------------
Health Services (1.5%)
Advantage Health Corp.+ 7,800 203,775
Baxter International, Inc. 89,100 3,241,013
Bergen Brunswig Corp. Class A 93,000 2,127,375
Beverly Enterprises Inc.+ 22,224 275,020
Columbia/HCA Healthcare Corp. 948,600 41,026,950
Diagnostic Products Corp. 15,000 547,500
Genetics Institute, Inc. Dep Shrs+ 10,000 340,000
GranCare, Inc.+ 24,000 387,000
Health Management Associates Class
A+ 19,500 570,375
Health Management, Inc.+ 44,800 490,000
HealthCare COMPARE Corp.+ 33,800 1,014,000
Healthdyne Technologies, Inc.+ 33,600 348,600
Horizon Healthcare Corp.+ 175,000 3,128,125
Human Genome Sciences, Inc.+ 13,000 216,125
Invacare Corp. 28,400 $ 1,185,700
Lincare Holdings, Inc.+ 95,300 2,537,363
Manor Care Inc. 331,800 9,663,675
Nellcor, Inc.+ 47,800 2,133,075
Owens & Minor Inc. (Holding Co.) 32,000 400,000
Quorum Health Group, Inc.+ 17,000 341,063
Respironics, Inc.+ 8,000 112,000
Sun Healthcare Group, Inc.+ 105,000 1,653,750
Surgical Care Affiliates, Inc. 48,500 927,563
TheraTx, Inc.+ 19,000 251,750
Universal Health Services, Inc.+ 32,700 948,300
West Co., Inc. 5,900 165,200
-----------------
74,235,297
-----------------
Health Technology (0.3%)
A.L. Pharma Inc. Class A 48,700 913,125
Amsco International, Inc.+ 182,600 2,533,575
Barr Labs Inc.+ 4,600 99,475
Coherent, Inc.+ 10,700 315,650
Cordis Corp.+ 35,100 2,351,700
Datascope Corp.+ 26,100 440,438
Kinetic Concepts, Inc. 11,800 82,600
Research Industries Corp.+ 30,000 684,375
Rhone-Poulenc Rorer, Inc. 65,200 2,665,050
Spacelabs Medical, Inc.+ 5,800 147,175
Sullivan Dental Products, Inc.+ 3,500 30,188
Sybron International Corp.+ 70,300 2,803,213
Watson Pharmaceuticals+ 68,400 2,659,050
-----------------
15,725,614
-----------------
Home Furnishings & Appliances
(0.1%)
Haverty Furniture Company, Inc. 45,000 450,000
Kimball International, Inc. Class
B 4,500 120,938
Leggett & Platt, Inc. 85,000 3,740,000
-----------------
4,310,938
-----------------
Hotels & Restaurants (0.6%)
Compass Group Plc 219,800 1,297,312
Hotel Properties Ltd 153,000 270,419
La Quinta Inns Inc. 71,900 1,941,300
Marcus Corp. 5,800 175,450
Marriott International 569,300 20,423,638
Prime Hospitality Corp.+ 32,700 322,913
RFS Hotel Investors Inc. 126,100 1,907,263
Rock Bottom Restaurants, Inc.+ 4,100 118,388
Sonic Corp.+ 64,900 1,768,525
Uno Restaurant Corp.+ 5,525 56,977
-----------------
28,282,185
-----------------
Household Products (1.1%)
Berkshire Hathaway+ 100 2,345,000
Carlisle Cos., Inc. 7,400 283,050
Dial Corp. (The) 240,000 5,940,000
Gillette Co. 451,400 20,143,725
Oneida Ltd. 8,600 126,850
Procter & Gamble Co. 342,000 24,581,250
Springs Industries, Inc. Class A 33,400 1,244,150
Toro Co. 36,000 1,008,000
Wing Tai Holdings 234,000 450,419
-----------------
56,122,444
-----------------
Insurance (3.5%)
Acceptance Insurance Cos. Inc.+ 19,000 275,500
Aegon N.V. 31,250 1,080,297
Aflac, Inc. 120,000 5,250,000
Allied Group, Inc. 12,100 341,825
Allstate Corp. 93,300 2,764,013
12
<PAGE>
Number of
Shares Market Value
------------- -----------------
Insurance (continued)
American Bankers Insurance Group 53,200 $ 1,682,450
American Travellers Corp.+ 20,900 367,056
Aon Corp. 30,000 1,117,500
Argonaut Group, Inc. 8,000 253,000
Capital American Financial Corp. 13,900 316,225
Capital Guaranty Corp. 5,200 93,600
Cigna Corp. 153,100 11,884,388
CMAC Investment Corp. 77,700 3,370,238
Commerce Group, Inc. 3,200 56,800
E. W. Blanch Holdings, Inc. 4,100 76,363
EA-Generali AG 3,600 1,061,467
EMC Insurance Group, Inc. 400 4,600
Fremont General Corp. 44,880 1,082,730
Frontier Insurance Group, Inc. 3,700 99,438
Fund American Enterprises, Inc.+ 7,044 502,766
Gallagher (Arthur J.) & Co. 22,400 814,800
General Re Corp. 334,500 44,781,188
Guardian Royal Exchange Plc 338,000 1,113,089
HCC Insurance Holdings, Inc.+ 4,600 119,600
Healthwise of America, Inc.+ 49,400 1,272,050
Horace Mann Educators Corp. 56,600 1,301,800
Humana Inc.+ 1,019,800 17,973,975
Lawyers Title Corp. 8,000 125,000
Life Partners Group, Inc. 17,900 358,000
Loews Corp. 26,500 3,206,500
Markel Corp.+ 5,000 281,250
Maxicare Health Plans, Inc. 144,000 2,214,000
MMI Companies, Inc. 700 13,738
Mutual Assurance, Inc. 5,400 159,975
NAC Re Corp. 16,000 498,000
Orion Capital Corp. 30,000 1,170,000
Penncorp Financial Group Inc. 31,000 573,500
Pohjola Insurance Company Ltd. 18,000 281,940
Protective Life Corp. 56,000 1,526,000
R.L.I. Corp. 1,250 28,438
Reliastar Financial Corp. 72,985 2,791,676
RightCHOICE Managed Care+ 6,200 74,400
Royal Insurance Holdings Plc 251,600 1,236,836
Security-Connecticut Corp. 29,000 746,750
Selective Insurance Group 21,600 707,400
St. Paul Companies., Inc. 720,000 35,460,000
State Auto Financial Corp. 600 11,475
TIG Holdings, Inc. 645,000 14,835,000
Transatlantic Holdings, Inc. 39,300 2,554,500
Trenwick Group, Inc. 4,100 175,275
UNI Storebrand AS+ 353,500 1,588,313
United American Healthcare Corp.+ 12,000 210,000
Unitrin, Inc. 55,200 2,622,000
Vesta Insurance Group, Inc. 62,000 2,131,250
-----------------
174,637,974
-----------------
Machinery & Equipment (1.3%)
Acme-Cleveland Corp. 15,000 354,375
Asyst Technologies, Inc.+ 43,000 1,596,375
Barnes Group, Inc. 12,000 483,000
Blount, Inc. Class A 24,500 1,093,313
Caterpillar, Inc. 420,200 26,997,850
Clarcor, Inc. 9,800 224,175
Commercial Intertech Corp. 400 6,400
Danaher Corp. 50,000 1,512,500
Donaldson Co., Inc. 65,100 1,700,738
Duracraft Corp.+ 17,000 448,375
Electroglas, Inc.+ 2,200 126,500
Fluor Corp. 121,200 6,302,400
FSI International, Inc.+ 22,600 $ 531,100
Harnischfeger Industries, Inc. 65,000 2,250,625
Indresco Inc.+ 105,000 1,627,500
Jenbacher Werke AG 3,900 699,570
JLG Industries, Inc. 10,600 276,925
Kone Corp. Class B 2,400 270,438
Koyo Seiko Co., Ltd. 95,000 704,947
Modine Manufacturing Co. 28,700 1,058,313
Raymond Corp. (The)+ 7,035 143,338
Regal Beloit 20,600 319,300
Special Devices, Inc.+ 16,000 350,000
Tecumseh Products Co. Class A 54,300 2,375,625
Tsukishima Kikai 61,000 1,020,259
Watts Industries, Inc. 12,400 313,100
York International Corp. 260,000 11,700,000
-----------------
64,487,041
-----------------
Media & Entertainment (2.3%)
Arctco, Inc. 133,000 1,529,500
Belo Corp. Class A 107,200 3,283,000
Capital Cities/ABC, Inc. 537,700 58,071,600
Carmike Cinemas, Inc. Class A+ 27,000 654,750
Casino America, Inc.+ 26,000 394,875
Chris-Craft Industries Inc.+ 70,000 2,450,000
Clear Channel Communications,
Inc.+ 5,800 373,375
E.W. Scripps Co. 500 16,125
Finnair OY 36,900 244,131
Genting Bhd 79,000 780,927
Granada Group Plc 83,600 808,635
Magnum Corp. Bhd 282,000 659,311
Media General, Inc. 29,700 905,850
Mirage Resorts, Inc.+ 143,200 4,385,500
Regal Cinemas, Inc.+ 60,000 1,927,500
Viacom, Inc. Class B + 296,000 13,727,000
Walt Disney Co. 435,100 24,202,438
-----------------
114,414,517
-----------------
Metals & Mining (2.0%)
Acme Metals, Inc.+ 20,500 320,313
Alcan Aluminum Ltd. 559,400 16,920,824
Alumax, Inc.+ 107,000 3,330,375
Aluminum Co. of America 110,000 5,513,750
Asarco, Inc. 190,000 5,795,000
Ashland Coal Inc. 14,400 385,200
Brenco, Inc. 13,800 166,463
British Steel Plc 486,407 1,329,044
Carpenter Technology Corp. 6,000 408,750
Cleveland-Cliffs, Inc. 20,000 770,000
Commercial Metals Co. 12,600 340,200
Cyprus Amax Minerals Co. 256,400 7,307,400
Dofasco, Inc. 34,000 426,887
Falconbridge Ltd. 31,400 559,939
Handy & Harman 64,900 1,005,950
J & L Specilty Steel, Inc. 105,800 2,036,650
Kennametal Inc. 227,000 8,001,750
Kon. Ned. Hoogovens En 12,500 496,614
Lukens, Inc. 30,000 967,500
Magma Copper Co.+ 157,400 2,557,750
Minerals Technologies, Inc. 19,700 709,200
Mueller Indusries Inc.+ 21,000 1,034,250
Noranda, Inc. 34,200 672,101
Nucor Corp. 196,300 10,502,050
Phelps Dodge Corp. 347,600 20,508,400
Placer Dome, Inc. 195,000 5,094,375
Rautaruukki Oy 75,400 528,814
13
<PAGE>
Number of
Shares Market Value
------------- -----------------
Metals & Mining (continued)
Trinity Industries, Inc. 41,000 $ 1,363,250
UNR Industries, Inc. 20,000 146,250
Varlen Corp. 8,250 191,813
WHX Corp.+ 35,800 420,650
Wolverine Tube, Inc.+ 10,000 321,250
-----------------
100,132,762
-----------------
Oil & Gas (8.3%)
Alberta Energy Co., Ltd. 31,900 475,981
Apache Corp. 100,000 2,737,500
Atlantic Richfield Co. 135,000 14,816,250
Benton Oil & Gas Co.+ 70,000 962,500
Berry Petroleum Class A 3,300 32,175
Box Energy Corp. Class B+ 14,600 122,275
Burmah Castrol Plc 91,700 1,329,017
Cairn Energy USA, Inc.+ 41,000 443,313
Camco International, Inc. 85,000 1,986,875
Chesapeake Energy Corp.+ 34,000 875,500
Coda Energy, Inc.+ 19,100 128,925
Conwest Exploration Co., Ltd. 15,800 299,003
Diamond Shamrock, Inc. 18,300 471,225
Edisto Resources Corp.+ 11,500 83,375
Enron Oil & Gas Co. 27,800 604,650
Exxon Corp. 1,524,500 107,667,813
Global Industries Ltd.+ 35,800 783,125
Halliburton Co. 250,000 8,937,500
Holly Corp. 3,200 74,000
Imperial Oil Ltd. 16,200 601,354
KCS Energy, Inc. 6,900 147,488
Leviathan Gas Pipeline Partners
L.P. 65,600 1,558,000
Mobil Corp. 789,900 75,830,400
Newfield Exploration Co.+ 12,500 354,688
OEMV AG 9,500 1,096,037
Oneok, Inc. 95,000 2,030,625
Panhandle Eastern Corp. 299,800 7,307,625
Petro-Canada 41,900 396,463
Pride Petroleum Services, Inc.+ 33,000 245,438
Quaker State Corp. 41,500 622,500
Royal Dutch Petroleum Co. 951,900 116,012,813
Saga Petroleum AS 36,200 513,788
Santa Fe Pacific Pipeline Partners
L.P. 12,100 440,138
Schlumberger, Ltd. 730,000 45,351,250
Shell Transport and Trading Co. 123,000 8,902,125
Smith International, Inc.+ 241,900 4,051,825
Sonat Offshore Drilling Co. 69,400 1,995,250
Tesoro Petroleum Corp.+ 70,000 700,000
Texas Meridian Resources Corp.+ 7,200 77,400
Tide West Oil Co.+ 14,000 157,500
Transcanada Pipelines Ltd. 36,700 490,838
Union Texas Petroleum Holdings,
Inc. 126,100 2,663,863
Valero Energy Corp. 55,000 1,113,750
Westcoast Energy, Inc. 29,000 430,071
-----------------
415,922,231
-----------------
Paper & Containers (3.0%)
Abitibi-Price, Inc. 38,500 623,499
ACX Technologies Inc.+ 3,400 140,675
Aptargroup, Inc. 4,700 150,988
Ball Corp. 100,000 3,487,500
Bowater, Inc. 41,800 1,875,775
Champion International Corp. 265,000 13,813,125
Chesapeake Corp. 140,200 4,363,725
Consolidated Papers, Inc. 73,300 4,223,913
Gaylord Container Corp.+ 75,600 907,200
Georgia-Pacific Corp. 288,800 25,053,400
Glatfelter (P.H.) Co. 20,000 $ 402,500
International Paper Co. 655,700 56,226,275
Koninklijke KNP BHT 17,400 522,954
Kymmene Oy 23,900 743,121
Leykam-Muerztaler Papier+ 9,600 426,066
Longview Fibre Co. 51,300 872,100
Macmillan Bloedel Ltd. 42,400 594,075
Mayr-Melnhof Karton AG 10,500 607,323
Mead Corp. 330,300 19,611,563
Mesta Seria Class B 14,800 657,393
Rayoner Inc. 94,200 3,344,100
Repola Oy 42,800 900,526
Rock-Tenn Co. Class A 8,100 142,763
Stone Container Corp.+ 299,900 6,372,875
Stone-Consolidated Corp. 28,400 392,751
Thermo Fibertek Inc.+ 4,500 89,438
Willamette Industries, Inc. 82,000 4,530,500
-----------------
151,076,123
-----------------
Pharmaceuticals (6.8%)
Allergan, Inc. 58,500 1,586,813
Becton, Dickinson & Co. 477,900 27,837,675
Bristol-Myers Squibb Co. 614,100 41,835,563
Foxmeyer Health Corp.+ 34,600 618,475
ICN Pharmaceuticals, Inc. 32,000 504,000
Johnson & Johnson 1,255,900 84,930,238
Lilly (Eli) & Co. 111,900 8,784,150
Marion Merrell Dow, Inc. 107,700 2,746,350
Medtronic, Inc. 423,000 32,623,875
Merck & Co., Inc. 97,000 4,753,000
Mylan Laboratories 88,700 2,727,525
Pfizer, Inc. 734,700 67,867,913
Schering Plough 894,800 39,483,050
Smithkline Beecham Plc 565,300 25,579,825
-----------------
341,878,452
-----------------
Pollution Control (0.4%)
Allwaste, Inc.+ 30,200 166,100
Browning-Ferris Industries, Inc. 560,000 20,230,000
Western Waste Industries+ 16,500 332,063
-----------------
20,728,163
-----------------
Printing & Publishing (1.2%)
American Publishing Co. 3,300 34,650
Banta Corp. 86,200 2,898,475
Cadmus Communications Corp. 5,400 127,575
CCH, Inc. 4,400 96,800
Central Newspapers, Inc. Class A 39,400 1,167,225
Devon Group, Inc.+ 29,700 868,725
Gannett Company, Inc. 664,200 36,032,850
International Imaging Materials,
Inc.+ 5,800 147,900
Lee Enterprises, Inc. 10,000 381,250
Meredith Corp. 31,200 791,700
Omnicom Group 27,700 1,679,313
Pulitzer Publishing Co. 24,400 1,040,050
Scholastic Corp.+ 46,000 2,507,000
Scientific Games Holdings Corp.+ 50,000 1,368,750
Tribune Co. 184,900 11,348,238
VNU-Verenigde Nederlands Uitgev
Ver Bezit 6,200 741,761
-----------------
61,232,262
-----------------
Real Estate Investment Trusts
(2.5%)
AMLI Residential Properties Trust 55,900 1,062,100
Apartment Investment & Management
Co. 27,500 556,875
Associated Estates Realty Corp. 89,300 1,886,463
Bay Apartment Communities, Inc. 5,800 113,100
Beacon Properties Corp. 14,700 292,163
14
<PAGE>
Number of
Shares Market Value
------------- -----------------
Real Estate Investment Trusts
(continued)
BRE Properties Inc. Class A 23,500 $ 728,500
Burnham Pacific Properties, Inc. 4,700 63,450
Camden Property Trust 78,400 1,715,000
Capstone Capital Trust, Inc. 29,000 518,375
CBL & Associates Properties, Inc. 99,700 1,981,538
Centerpoint Properties Corp. 2,600 53,625
Chelsea GCA Realty, Inc. 106,400 2,872,800
Colonial Properties Trust 102,500 2,357,500
Cousins Properties, Inc. 29,000 514,750
Crescent Real Estate Equities,
Inc. 90,700 2,891,063
Crown America Realty Trust 177,900 2,245,988
Debartolo Realty Corp. 403,300 5,898,263
Developers Diversified Realty
Corp. 67,700 1,946,375
Duff & Phelps Corp. 93,800 1,008,350
Duke Realty Investments, Inc. 258,400 7,299,800
Equity Inns, Inc. 111,000 1,200,188
Equity Residential Properties
Trust 162,500 4,529,688
Essex Property Trust, Inc. 48,000 870,000
Evans Withycombe Residential, Inc. 27,300 556,238
Excel Realty Trust, Inc. 8,400 166,950
Factory Stores of America, Inc. 62,300 1,277,150
Franchise Finance Corp. of America 78,200 1,681,300
General Growth Properties 67,600 1,377,350
Health Care Property Investors,
Inc. 38,700 1,238,400
Healthcare Realty Trust, Inc. 63,000 1,275,750
Highwood Properties, Inc. 158,900 4,051,950
Irvine Apartment Communities, Inc. 226,300 3,903,675
Kimco Realty Corp. 84,600 3,214,800
Kranzco Realty Trust 45,300 809,738
LTC Properties, Inc. 115,500 1,515,938
Macerich Co. (The) 58,000 1,138,250
Merry Land & Investment Co., Inc. 351,000 7,151,625
MGI Properties, Inc. 36,200 543,000
Mills Corp. 43,900 872,513
Mycom Bhd 115,000 155,660
National Golf Properties, Inc. 74,900 1,572,900
National Health Investors, Inc. 37,100 1,010,975
O.Y.L. Industries Bhd 35,000 249,795
Olympia Industries Bhd 338,000 321,641
Pelangi Bhd 146,000 190,435
Post Properties, Inc. 181,400 5,487,350
RPS Realty Trust 65,900 296,550
Santa Anita Realty Enterprises,
Inc. 8,400 121,800
Security Capital Industrial Trust 121,000 1,966,250
Security Capital Pacific Trust 1,500 26,063
Sekisui House 65,000 803,887
Shurgard Storage Centers Inc.
Class A 10,400 239,200
Smith (Charles E.) Residential
Realty Co. 16,700 396,625
South West Property Trust 103,625 1,191,688
Spieker Properties, Inc. 198,100 4,432,488
Storage Equities Inc. 357,800 5,858,975
Summit Properties Inc. 61,300 1,057,425
Tan & Tan Development Bhd 225,000 280,558
Tanger Factory Outlet Centers,
Inc. 94,100 2,387,788
United Dominion Realty Trust, Inc. 371,600 5,481,100
Vornado Realty Trust 188,800 6,584,400
Walden Residential Properties,
Inc. 25,600 470,400
Weingarten Realty Investors 166,200 6,274,050
Wellsford Residential Property
Trust 200,900 4,570,475
-----------------
124,809,059
-----------------
Retail (5.3%)
Albertson's, Inc. 1,431,700 $ 42,593,075
Arbor Drugs, Inc. 25,200 409,500
Argyll Group Plc 262,500 1,403,174
Big B, Inc. 107,400 1,503,600
Blair Corp. 12,800 440,000
Bon-Ton Stores, Inc.+ 12,400 130,200
Bruno's, Inc. 84,000 981,750
Burlington Industries, Inc.+ 50,000 575,000
Burton Group Plc 1,263,759 1,663,700
Cali Realty Corp. 44,000 852,500
Cardinal Health, Inc. 75,100 3,548,475
Casey's General Stores, Inc. 37,500 667,969
Cash America International, Inc. 18,700 137,913
Chic By H I S Inc.+ 19,000 213,750
Circuit City Stores, Inc. 377,000 11,922,625
Citizen Watch Co., Ltd. 59,000 364,841
Delchamps, Inc. 2,600 49,075
Eckerd, Corp.+ 27,900 892,800
Egghead, Inc.+ 40,000 532,500
Fabri-Centers of America+ 8,100 168,075
Fastenal Co. 74,000 2,030,375
Fay's Drug Co. 23,100 176,138
General Host Corp.+ 65,500 401,188
Genovese Drug Stores, Inc. 3,400 38,675
Gresvig AS 20,800 313,771
Gymboree Corp.+ 110,000 3,203,750
Hannaford Brothers, Co. 46,000 1,311,000
Hi-Lo Automotive, Inc.+ 100 1,050
Horizon Outlet Centers, Inc. 87,800 2,041,350
Hudson's Bay Co. 29,100 577,171
Ito-Yokado Co., Ltd. 17,000 895,053
JUSCO Co. 42,000 870,671
Kesko 51,700 517,302
Koninklijke Ahold N.V. 23,300 834,021
Kroger Equity, Inc.+ 22,700 198,625
Laclede Gas Co. 44,000 863,500
Medicine Shoppe International,
Inc. 29,200 1,014,700
National Vision Associates, Ltd.+ 5,000 18,438
Neiman Marcus Group, Inc. 23,000 327,750
Nike, Inc. 583,000 48,972,000
Office Depot, Inc.+ 455,200 12,802,500
Oriental Holdings Bhd 71,000 378,589
Pier 1 Imports Inc. 65,900 609,575
Proffitt's Inc.+ 23,000 678,500
Rex Stores Corp+ 35,000 490,000
Rite Aid Corp. 635,000 16,271,875
Robinson & Co. Ltd. 24,000 98,748
Ruddick Corp. 13,100 271,825
Russ Berrie & Co. Inc. 33,000 457,875
Sears, Roebuck & Co. 810,400 48,522,700
Shopko Stores, Inc. 17,600 189,200
Staples, Inc.+ 260,100 7,526,644
Stop & Shop Companies, Inc.+ 26,000 666,250
Strawbridge & Clothier Class A 13,400 273,025
Sun Television & Appliances, Inc. 47,000 355,438
Tesco Plc 502,497 2,318,325
Topps Co., Inc.+ 4,600 29,038
Urban Shopping Centers, Inc. 68,200 1,415,150
Viking Office Products, Inc.+ 78,800 2,886,050
Vons Cos., Inc.+ 83,000 1,670,375
Wal-Mart Stores, Inc. 859,800 22,999,650
Walgreen Co. 179,900 9,017,488
Zale Corp.+ 25,000 335,938
-----------------
263,921,808
-----------------
15
<PAGE>
Number of
Shares Market Value
------------- -----------------
Specialty Comsumer Durables (0.2%)
Bio-Rad Labs, Inc. Class A+ 23,900 $ 860,400
Coats Viyella Plc 342,700 1,014,075
Collagen Corp. 53,000 901,000
Conmed Corp.+ 7,300 178,850
Department 56, Inc.+ 17,300 661,725
Fusion Systems Corp.+ 13,000 440,375
Polaris Industries, Inc. 83,100 3,344,775
Superior Surgical Manufacturing
Co. 10,000 105,000
Whittacker Corp.+ 11,000 242,000
-----------------
7,748,200
-----------------
Telecommunications (1.7%)
Ameritech Corp. 1,436,700 63,214,800
ALC Communications+ 13,300 600,163
Computer Associates International,
Inc. 340,000 23,035,000
Executone Information Systems,
Inc.+ 34,500 93,797
-----------------
86,943,760
-----------------
Transportation (1.2%)
Air Express International Corp. 1,600 38,000
AMR Corp.+ 291,900 21,783,038
Arkansas Best Corp. 5,900 52,363
Bergesen d.y. AS Class B 15,000 340,633
British Airways Plc 172,500 1,130,653
Conrail, Inc. 200,000 11,125,000
CSX Corp. 70,000 5,258,750
Det Norske Luftfartselskap AS 17,400 747,932
East Japan Railway Co. 124 635,336
Expeditors International of
Washington, Inc. 13,600 307,700
Finnlines OY 9,800 194,740
Florida East Coast Railway Co. 3,500 258,125
Flughafen Wien AG 14,800 787,614
Fritz Companies, Inc.+ 30,700 1,803,625
GATX Corp. 700 32,988
Harper Group, Inc. 25,000 412,500
Illinois Central 24,500 845,250
Jurong Shipyard, Ltd. 26,000 186,047
Keppel Corporation Ltd. 56,000 456,816
KLM Royal Dutch Airlines Co. 22,400 726,682
Kvaerner AS 28,500 1,294,404
Laidlaw Inc. Class B 42,200 403,141
Landstar Systems, Inc.+ 47,600 1,225,700
M.S. Carriers, Inc.+ 38,800 722,650
Malaysian International Shipping 43,000 118,171
Peninsular & Orient Steam
Navigation Co. 205,400 1,892,003
PHH Corp. 20,000 890,000
Singapore Airlines Ltd. 56,000 516,923
Swift Transportation Co., Inc.+ 22,100 375,700
TNT Freightways Corp. 24,500 490,000
UAL Corp.+ 27,100 3,800,775
Werner Enterprises, Inc. 37,000 730,750
-----------------
59,584,009
-----------------
Utilities--Electric (3.5%)
American Water Works Co., Inc. 13,200 419,100
Aquarion Co. 10,300 236,900
Boston Edison Co. 96,100 2,510,613
California Energy Co.+ 95,000 1,555,625
Central Hudson Gas & Electric Co. 41,900 1,131,300
Central Maine Power Co. 95,500 1,134,063
Cilcorp, Inc. 23,000 836,625
Commonwealth Energy System, Inc. 12,100 456,775
Consolidated Edison Co. of New
York, Inc. 527,200 15,552,400
DQE, Inc. 118,950 2,795,325
General Public Utilities Corp. 95,100 2,829,225
Green Mountain Power Corp. 9,200 $ 231,150
Hokkaido Electric Power Co. 39,000 1,047,350
IES Industries, Inc. 70,000 1,557,500
Illinova Corp. 142,700 3,621,013
LG&E Corp. 19,200 748,800
MDU Resources Group, Inc. 20,600 612,850
Midwest Resources, Inc. 25,000 371,875
Montana Power Co. 6,500 149,500
National Power PLC ADR (b) (d) 42,050 520,369
New York State Electric & Gas
Corp. 97,000 2,267,375
Nipsco Industries, Inc. 50,000 1,700,000
Northern States Power Co. (Minn.) 54,200 2,499,975
Oesterreichisch Elektriz 16,000 1,173,654
Oklahoma Gas & Electric Co. 43,500 1,527,938
Orange & Rockland Utilities, Inc. 40,000 1,350,000
Otter Tail Power Co. 6,500 216,938
Peco Energy Co. 893,700 24,688,463
Pinnacle West Capital Corp. 173,600 4,253,200
Portland General Corp. 50,000 1,106,250
Powergen PLC ADR (b) (d) 42,050 515,113
Public Service Co. of New Mexico+ 234,100 3,335,925
SCEcorp 1,909,800 32,705,325
Sierra Pacific Resources 57,000 1,239,750
Siliconix, Inc. 2,600 49,400
Sithe Energies, Inc.+ 793,600 7,737,600
Southern Co. 303,200 6,784,100
Tenaga Nasional Bhd 103,000 420,365
TNP Enterprises, Inc. 9,700 156,413
Transalta Corp. 44,800 472,815
Unicom Corp. 1,217,100 32,405,288
Union Electric Co. 136,400 5,080,900
United Illuminating Co. 19,500 643,500
Wisconsin Energy Corp. 156,300 4,376,400
WPS Resources Corp. 36,300 1,061,775
-----------------
176,086,820
-----------------
Utilities--Natural Gas (0.6%)
Brooklyn Union Gas Co. (The) 22,700 595,875
Coastal Corp. 350,000 10,631,250
Equitable Resources, Inc. 275,000 7,940,625
Public Service Co. of North
Carolina, Inc. 10,000 163,750
South Jersey Industries, Inc. 6,000 126,000
Williams Cos. Inc. 323,400 11,278,575
-----------------
30,736,075
-----------------
Utilities--Oil & Gas (0.2%)
Atlanta Gas Light Co. 25,000 868,750
Connecticut Energy Corp. 8,300 162,888
MCN Corp. 23,400 462,150
New Jersey Resources Corp. 43,000 994,375
Northwest Natural Gas Co. 12,100 375,856
Pacific Enterprises 225,100 5,514,950
Phoenix Resource Co., Inc. 34,500 1,095,375
Piedmont Natural Gas, Inc. 16,500 342,375
Public Service Co. of Colorado 10,600 344,500
Southern Indiana Gas & Electric
Co. 16,000 514,000
Southwest Gas Corp. 3,900 55,575
-----------------
10,730,794
-----------------
Utilities--Telephone (4.8%)
AT&T Corp. 871,300 46,287,813
BCE Inc. Canadian 633,000 20,335,125
Bell Atlantic Corp. 225,000 12,600,000
BellSouth Corp. 1,084,300 68,853,050
Cable & Wireless PLC 154,700 1,058,283
Century Telephone Enterprises 117,400 3,331,225
16
<PAGE>
Number of
Shares Market Value
------------- -----------------
Utilities--Telephone (continued)
Cincinnati Bell, Inc. 483,900 $ 12,218,475
Citizens Utilities Co.+ 21,118 250,773
DDI Corp. 111 889,046
Nippon Telphone & Telegraph Corp. 93 777,739
Pacific Telesis Group 423,400 11,325,950
Singapore Telecommunications Ltd. 132,000 257,860
Southern New England Telecom.
Corp. 64,900 2,287,725
Sprint Corp. 1,695,000 56,994,375
Telekom Malaysia Bhd 63,000 478,056
Tellabs, Inc.+ 37,200 1,787,925
Transaction Network Services,
Inc.+ 9,800 159,250
-----------------
239,892,670
-----------------
Total Common Stocks (cost
$3,780,798,503) $4,797,568,625
-----------------
Preferred Stocks (1.1%)
Automobiles & Trucks (0.7%)
Ford Motor Co. 335,200 32,556,300
-----------------
Banks (0.1%)
Barnett Banks, Inc. 23,000 2,231,000
Norwest Corp. 43,000 3,418,500
-----------------
5,649,500
-----------------
Diversified (0.0%)
Sea Containers, Ltd. 36,000 1,638,000
-----------------
Electrical & Electronics (0.1%)
Nokia Class A 76,000 4,441,847
-----------------
Financial (0.1%)
Security Capital Pacific Trust 19,400 431,650
Travelers Inc. 41,800 2,622,950
-----------------
3,054,600
-----------------
Food & Beverages (0.0%)
ConAgra, Inc. 9,300 328,988
Union Planters Corp. 18,600 648,675
-----------------
977,663
-----------------
Industrial (0.1%)
ALCO Standard Corp. 20,800 1,861,600
AMC Entertainment, Inc. 11,300 313,575
Case Corp. (b) 14,200 1,144,875
Corning Delaware L.P. 13,900 710,638
-----------------
4,030,688
-----------------
Metals & Mining (0.0%)
Cyprus Amax Minerals Co. (b) 28,200 1,773,075
-----------------
Pollution Control (0.0%)
William Co., Inc. 27,900 1,733,288
-----------------
Retail (0.0%)
Tanger Factory Outlets Centers,
Inc. 55,800 1,262,475
-----------------
Total Preferred Stocks (cost
$39,358,010) $ 57,117,436
-----------------
Total Common and Preferred Stocks
(cost $3,820,156,513) $4,854,686,061
-----------------
</TABLE>
U.S. GOVERNMENT OBLIGATIONS (0.3%)
<TABLE>
<CAPTION>
Principal
Amount Market Value
----------- -------------
<S> <C> <C>
U.S. Treasury Note, 4.25%, 07/31/95 (c) $13,500,000 $13,482,071
U.S. Treasury Note, 5.12%, 03/31/96 (e) 900,000 896,343
-------------
Total U.S. Government Obligations (cost
$14,370,650) $14,378,414
-------------
</TABLE>
Convertible Bonds (1.3%)
<TABLE>
<CAPTION>
Principal
Amount Market Value
---------- -------------
<S> <C> <C>
3Com Corp., 10.25%, 11/01/01 (b) $ 465,000 $ 595,200
AGCO Corp., 6.50%, 06/01/08 1,260,000 3,742,200
Agnico-Eagle Mines Ltd., 3.50%, 01/27/04 2,900,000 2,479,500
Allegheny Ludlum., 5.88%, 03/15/02 930,000 1,025,325
Amoco Canada Petroleum Co. Ltd., 7.38%,
09/01/13 11,708,000 14,956,970
AMR Corp., 6.13%, 11/01/24 930,000 971,850
Apache Corp., 6.00%, 10/15/02 1,470,000 1,639,050
Arrow Electric Inc., 5.75%, 01/15/02 485,000 734,775
Automatic Data Processing, Inc., Zero
Coupon, 02/20/12 3,800,000 1,691,000
Baker Hughes Inc., Zero Coupon, 05/05/08 9,975,000 5,985,000
Battle Mountain Gold Co., 6.00%, 01/04/05 500,000 423,750
Bindley Western Co., 6.50%, 10/01/02 930,000 931,163
Browning-Ferris Industries, Inc., 6.75%,
07/18/05 2,850,000 2,850,000
California Energy Corp., 5.00%, 07/31/00 950,000 866,875
Carnival Corp.,4.50%, 07/01/97 680,000 933,300
Consolidated Natural Gas Co., 7.25%,
12/15/15 950,000 986,813
Costco Wholesale Inc., 5.75%, 05/15/02 2,225,000 2,077,594
Fieldcrest Cannon, Inc., 6.00%, 03/15/12 450,000 351,000
Guilford Mills, 6.00%, 09/15/12 1,762,000 1,684,913
Hechinger Co., 5.50%, 04/01/12 2,630,000 1,673,338
Horace Mann Co., 6.50%, 12/01/99 930,000 923,025
Integrated Health Services, Inc., 5.75%,
01/01/01 930,000 1,004,400
International Paper Co., 5.75%, 09/23/02 1,000,000 1,210,000
Kroger Co., 6.38%, 12/01/99 950,000 1,390,563
Motorola, Inc., Zero Coupon, 09/27/13 1,000,000 821,250
Office Depot Inc., Zero Coupon, 12/11/07 1,100,000 908,875
Ogden Corp., 6.00%, 06/01/02 475,000 435,219
Old Republic International Corp., 5.75%,
08/15/02 1,415,000 1,505,206
OMNICOM Group, Inc. 4.50%, 09/01/00 1,395,000 1,597,275
Penzoil Corp., 4.75%, 10/01/03 1,000,000 935,000
Pogo Producing Corp., 5.50%, 03/15/04 1,395,000 1,637,381
Potomac Electric Power Co., 7.00%,
01/15/18 750,000 721,875
Proffitt's Inc., 4.75%, 11/01/03 1,860,000 1,641,450
Re Capital Corp., 5.50%, 08/01/00 950,000 1,023,625
Seagate Technology Corp., 6.75%, 05/01/12 1,860,000 1,943,700
-------------
Total Convertible Bonds (cost
$61,010,509) $64,298,460
-------------
Short Term Investments (1.8%)
Detroit Edison Co., Comm. Paper, 6.10%,
07/03/95 $ 5,000,000 $ 5,000,000
Fleet Mortgage Group, Inc., Comm. Paper,
6.25%, 07/05/95 850,000 849,705
General Motors Acceptance Corp., Comm.
Paper, 6.25%, 07/0 8,650,000 8,650,000
Houston Industries, Inc., Comm. Paper,
6.35%, 07/07/95 28,500,000 28,479,892
Source One Mortgage Services Corp., Comm.
Paper, 6.40%, 0 6,500,000 6,497,689
Sprint Capital Corp., Comm. Paper, 6.50%,
07/06/95 12,476,000 12,469,242
TCI Communications, Inc., Comm. Paper,
6.55%, 07/05/95 13,500,000 13,495,088
TCI Communications, Inc., Comm. Paper,
6.45%, 07/07/95 10,000,000 9,992,833
</TABLE>
17
<PAGE>
SHORT-TERM INVESTMENTS (continued)
<TABLE>
<CAPTION>
Principal
Amount Market Value
---------- -------------
<S> <C> <C>
TCI Communications, Inc., Comm.
Paper, 6.50%, 07/05/95 $4,000,000 $ 3,998,556
-------------
Total Short Term Investments (cost
$89,433,004) $ 89,433,005
-------------
TOTAL INVESTMENTS--(cost
$3,984,970,676) $5,022,795,940
=============
</TABLE>
Notes to Portfolio of Investments
+Non-income producing security.
(a) The cost of investments for income tax purposes amounted to
$3,990,151,212. Unrealized gains and losses, based on identified tax cost at
June 30, 1995 are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains $1,058,892,055
Unrealized losses (26,247,327)
-------------
Net unrealized gain $1,032,644,728
=============
</TABLE>
(b) Securities that may be resold to "qualified institutional buyers" under
rule 144A or securities offered pursuant to Section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines determined by the Board of Trustees.
(c) At June 30, 1995, U.S. Treasury Note 4.25%, 07/31/95, par value
$13,500,000 was pledged to cover margin requirements for open futures
contracts (see Note 1 of Notes to Financial Statements). Information
concerning open futures contracts is shown below:
<TABLE>
<CAPTION>
No. of Face Expiration Unrealized
Contracts Value Date Gain/Loss
--------- ---------- --------- -----------
<S> <C> <C> <C> <C>
All Ordinaries Share Price
Index Future 196 $7,350,445 Sept. 95 $(161,842)
CAC 40 Stock Index Future 116 9,086,585 Sept. 95 (282,372)
FTSE 100 Future 36 4,765,938 June 95 (57,272)
-----------
$(501,486)
===========
</TABLE>
(d) Represents an installment purchase. Remaining amount to be paid is
$950,241 on February 6, 1996 and $744,133 on September 17, 1996. Future
commitment is collateral by a U.S. Treasury Note 5.12%, 03/31/96, par value
$900,000.
(e) Security segregated as collateral for installment purchase.
Category percentages are based on net assets.
18
<PAGE>
Aetna Life Insurance and Annuity Company
151 Farmington Avenue
Hartford, Connecticut 06156
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other pertinent information.
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