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Previous: FIRST AMERICAN FUNDS INC, DEFS14A, 1997-09-19 |
Next: FIDELITY MASSACHUSETTS MUNICIPAL TRUST, N-30D, 1997-09-19 |
To The Shareholders of Maxim Series Fund, Inc.:
We are please to provide you with this semi-annual report for the period ending
June 30, 1997. This report contains financial statements, notes and highlights
and other pertinent data for the Maxim Portfolios. Any performance figures
quoted are for the Portfolios only and do not reflect fees and charges
associated with the contract issued by Great-West Life & Annuity Insurance
Company. All of the Maxim Portfolios available are included in this report,
although your plan may not make each of the Portfolios available to participants
or you may not have amounts allocated to each of these Portfolios at this time.
Economic and Market Overview
The U.S. stock market continued its bull run through the first half of 1997. The
broad-based Standard &Poor's 500 Index provided a 20.2% total return over the
six months ended 6/30/1997. Moderate economic growth and low inflation served as
a back drop to support strong corporate earnings growth, which translated into
higher stock prices. Once again, the large capitalization stocks of U.S.
corporate giants paced the market's advance. While showing more signs of life
than over the previous two years, the small capitalization sector of the U.S.
stock market continued to lag relative to large caps.
The international equity markets also produced strong gains during the first
half of 1997, with the Morgan Stanley EAFE international index rising 10.3% on a
price-only basis. As has been the case over the past several years, the Japanese
stock market was again a culprit in holding down international equity market
returns versus the United States market. At least the Japanese market was able
to produce a positive return of approximately 6% during the first half of this
year. Without Japan however, the EAFE index would have gained 12.9% on a
price-only basis over the same time period. International equity market returns
during the first half of 1997 were supported by low inflation and low interest
rates around the globe.
The U.S. stock market drew support from solid economic growth accompanied by low
inflation and stable interest rates. The yield on the 30 year U.S. Treasury bond
was rather flat over the first six months of the year, rising from 6.64% at
year-end 1996 to 6.78% on 6/30/1997. In this environment, most bond index
returns were once again tied to their income component.
The investment adviser for Maxim Series Fund, Inc. is G W Capital Management,
Inc.
Sincerely,
/s/ James D. Motz
James D. Motz
Chairman and President
<PAGE>
MAXIM SERIES FUND, INC.
Financial Statements and Financial Highlights for
the Six Months Ended June 30, 1997 and 1996
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
U.S.
MONEY STOCK TOTAL GOVERNMENT
BOND MARKET INDEX RETURN SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ----------------- ----------------- ----------------- -----------------
ASSETS:
Investments at value:
Short-term investments $ 788,000 $ 433,647,809 $ 12,632,000 $ 7,989,613 $ 6,191,011
Bonds 72,529,925 4,170,000 53,817,161
Common stocks 1,163,403,955 7,494,104
----------------- ----------------- ----------------- ----------------- -----------------
Total investments
(cost $73,179,767; $433,647,809;
73,317,925 433,647,809 1,176,035,955 19,653,717 60,008,172
$666,127,711; $17,467,662;$58,887,923)
Cash 176,763 10,270
Dividends and interest receivable 1,731,918 493,483 1,627,480 136,593 315,030
Subscriptions receivable 10,427 1,405,689 227,774
Receivables for investments sold 803,902 12,851,400 26,319,397 58,423,465 2,799,153
---------------- ----------------- ----------------- ----------------- -----------------
Total assets 75,864,172 448,575,144 1,204,210,606 78,213,775 63,132,625
LIABILITIES:
Dividends payable 185,218
Due to GW Capital Management 38,251 171,816 597,726 37,548 28,990
Redemptions payable 243,535 232,426
Payables for investments
purchased 790,649 13,357,223 12,897,837 3,762,403 6,213,313
----------------- ----------------- ----------------- ----------------- -----------------
Total liabilities 828,900 13,714,257 13,495,563 4,043,486 6,474,729
----------------- ----------------- ----------------- ----------------- -----------------
NET ASSETS $ 75,035,272 $ 434,860,887 $ 1,190,715,043 $ 74,170,289 $ 56,657,896
================= ================= ================= ================= =================
NET ASSETS REPRESENTED BY:
Capital stock, $.10 par value $ 6,242,313 $ 43,456,681 $ 42,447,125 $ 4,985,133 $ 5,272,443
Additional paid-in capital 70,019,293 391,404,206 627,753,519 52,853,482 52,804,615
Net unrealized appreciation
on investments 138,158 509,908,244 2,186,055 1,120,249
Undistributed net investment
income 38,353 (46,700) 12,866 61,942
Accumulated net short-term
realized gainl(loss) on
investments (1,098,275) 340,835 2,979,720 (222,216)
Accumulated net long-term
realized gain(loss) on investments (304,570) 10,312,020 11,153,033 (2,379,137)
---------------- ----------------- ----------------- ----------------- -----------------
NET ASSETS $ 75,035,272 $ 434,860,887 $ 1,190,715,043 $ 74,170,289 $ 56,657,896
================= ================= ================= ================= =================
NET ASSET VALUE PER
OUTSTANDING SHARE $ 1.2020 $ 1.0007 $ 2.8052 $ 1.4878 $ 1.0746
================= ================= ================= ================= =================
SHARES OF CAPITAL STOCK:
Authorized 200,000,000 500,000,000 500,000,000 100,000,000 200,000,000
Outstanding 62,423,134 434,566,811 424,471,253 49,851,332 52,724,429
</TABLE>
See notes to financial statements.
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
U.S.
MONEY STOCK TOTAL GOVERNMENT
BOND MARKET INDEX RETURN SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ---------------- ----------------- ----------------- ----------------
INVESTMENT INCOME:
Interest $ 2,579,970 $ 11,920,669 $ 250,937 $ 831,105 $ 2,157,223
Dividends 9,491,151 237,204
Less: Foreign
withholding tax (47,022) (368)
----------------- ---------------- ----------------- ----------------- ----------------
Total income 2,579,970 11,920,669 9,695,066 1,067,941 2,157,223
EXPENSES:
Management fee 226,349 992,873 3,127,831 204,123 183,101
----------------- ---------------- ----------------- ----------------- ----------------
NET INVESTMENT INCOME 2,353,621 10,927,796 6,567,235 863,818 1,974,122
----------------- ---------------- ----------------- ----------------- ----------------
REALIZED AND UNREALIZED
GAIN(LOSS) ON INVESTMENTS:
Net short-term realized gain
(loss) on investments (73,083) 312,084 3,041,494 (27,405)
Net long-term realized gain
(loss)on investments 144,990 10,048,020 10,940,083 292,573
Change in net unrealized
appreciation (depreciation) on(328,449) 170,933,910 (6,806,447) (286,309)
investments
----------------- ---------------- ----------------- ----------------- ----------------
Net change in realized and
unrealized appreciation
(depreciation) on investments (256,542) 181,294,014 7,175,130 (21,141)
----------------- ---------------- ----------------- ----------------- ----------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 2,097,079 $ 10,927,796 $ 187,861,249 $ 8,038,948 $ 1,952,981
================= ================ ================= ================= ================
</TABLE>
See notes to financial statements
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
BOND MONEY MARKET STOCK INDEX
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------ ------------------------------------ ----------------------
1997 1996 1997 1996 1997 1996
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,353,621 $ 2,354,292 $ 10,927,796 $ 7,639,103 $ 6,567,235 $6,132,478
Net short-term realized
gain (loss) (73,083) (728,063) 312,084 201,895
Net long-term realized gain 144,990 16,390 10,048,020 2,344,059
Change in net unrealized
appreciation (depreciation) (328,449) (1,708,808) 170,933,910 61,502,903
----------------- ----------------- ----------------- ----------------- ----------------- -----------
Net increase in net assets resulting
from operation 2,097,079 (66,189) 10,927,796 7,639,103 187,861,249 70,181,335
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and
net short-term realized (2,315,269) (2,341,234) (10,927,796) (7,639,103) (6,613,936) (6,144,534)
gain
From net long-term realized gain
----------------- ----------------- ----------------- ----------------- ----------------- ---------
Total distributions (2,315,269) (2,341,234) (10,927,796) (7,639,103) (6,613,936) (6,144,534)
SHARE TRANSACTIONS:
Net proceeds from sales
of shares 1,594,788 12,113,787 167,100,582 243,092,650 76,836,819 165,853,461
Reinvestment of
distributions 2,315,269 2,341,234 10,742,577 7,593,237 6,613,936 6,144,534
Cost of shares redeemed (6,749,704) (15,381,873) (139,435,460) (188,970,987) (10,789,383) (129,387,574)
----------------- ----------------- ----------------- ----------------- ----------------- ---------
Net increase (decrease) in net
assets resulting from
share transactions (2,839,647) (926,852) 38,407,699 61,714,900 72,661,372 42,610,421
----------------- ----------------- ----------------- ----------------- ----------------- -----------
Total increase (decrease)
in net assets (3,057,837) (3,334,275) 38,407,699 61,714,900 253,908,685 106,647,222
NET ASSETS:
Beginning of period 78,093,109 80,025,099 396,453,188 277,257,289 936,806,358 707,459,637
----------------- ----------------- ----------------- ----------------- ----------------- -------------
End of period $ 75,035,272 $ 76,690,824 $ 434,860,887 $ 338,972,189 $ 1,190,715,043 $814,106,859
================= ================= ================= ================= ================= ==============
OTHER INFORMATION:
SHARES:
Sold 1,323,894 9,981,613 166,987,580 242,928,258 30,230,857 79,925,411
Issued in reinvestment
of distributions 1,940,188 1,944,809 10,735,313 7,588,103 2,351,803 2,903,705
Redeemed (5,600,644) (12,728,728) (139,341,167) (188,843,196) (4,228,167) (62,273,108)
-----------------
----------------- ----------------- ----------------- ----------------- ----------------
Net increase
(decrease) (2,336,562) (802,306) 38,381,726 61,673,165 28,354,493 20,556,008
================= ================= ================= ================= ================= ==================
</TABLE>
See notes to financial statements. (Continued)
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
TOTAL RETURN U.S. GOVERNMENT
PORTFOLIO SECURITIES PORTFOLIO
----------------------------------- ------------------------------------
1997 1996 1997 1996
----------------- ------------------ ------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 863,818 $ 792,501 $ 1,974,122 $ 1,938,439
Net short-term realized gain (loss) 3,041,494 330,177 (27,405) (442,802)
Net long-term realized gain (loss) 10,940,083 2,318,558 292,573 40,649
Change in net unrealized appreciation
(depreciation) (6,806,447) (803,274) (286,309) (2,017,892)
----------------- ------------------ ------------------ ------------------
Net increase in net assets
resulting from operations 8,038,948 2,637,962 1,952,981 (481,606)
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net
short-term realized gain (850,951) (789,059) (1,882,180) (1,876,922)
From net long-term realized gain ----------------- ------------------ ------------------ ------------------
Total Distributions (850,951) (789,059) (1,882,180) (1,876,922)
SHARE TRANSACTIONS:
Net proceeds from sales of shares 4,105,634 20,983,597 3,777,663 11,989,595
Reinvestment of distributions 850,951 789,059 1,882,180 1,876,922
Cost of shares redeemed (2,635,097) (18,060,135) (13,150,611) (9,842,336)
----------------- ------------------ ------------------ ------------------
Net increase (decrease) in
net assets resulting from
share transactions 2,321,488 3,712,521 (7,490,768) 4,024,181
----------------- ------------------ ------------------ ------------------
Total increase (decrease) in net assets 9,509,485 5,561,424 (7,419,967) 1,665,653
NET ASSETS:
Beginning of period 64,660,804 55,176,028 64,077,863 62,473,959
----------------- ------------------ ------------------ ------------------
End of period $ 74,170,289 $ 60,737,452 $ 56,657,896 $ 64,139,612
================= ================== ================== ==================
OTHER INFORMATION:
SHARES:
Sold 2,935,393 15,791,144 3,523,172 11,067,627
Issued in reinvestment of distributions 571,254 592,815 1,768,315 1,751,917
Redeemed (1,867,564) (13,601,286) (12,240,361) (9,173,247)
----------------- ------------------ ------------------ ------------------
Net increase (decrease) 1,639,083 2,782,673 (6,948,874) 3,646,297
================= ================== ================== ==================
</TABLE>
See notes to financial statements. (Concluded)
<PAGE>
MAXIM SERIES FUND, INC.
BOND PORTFOLIO
FINANCIAL
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
----------------- --------------------------------------------------------------
1997 1996 1995 1994 1993
----------------- ---------------- ---------------- -------------- ----------------
Net Asset Value, Beginning of $ 1.2059 $ 1.2301 $1.1352 $ 1.2274 $ 1.2259
Year
Income From Investment
Operations
Net investment income 0.0380 0.0745 0.0736 0.0634 0.0632
Net short-term realized gain (loss) (0.0012)
Net long-term realized and (0.0033) (0.0242) 0.0949 (0.0922) 0.0326
unrealized gain (loss)
----------------- ---------------- ---------------- -------------- ----------------
Total Income (Loss) From
Investment Operations 0.0335 0.0503 0.1685 (0.0288) 0.0958
Less Distributions
From net investment income (0.0374) (0.0745) (0.0736) (0.0634) (0.0632)
From net realized gains (0.0311)
----------------- ---------------- ---------------- -------------- ----------------
Total Distributions (0.0374) (0.0745) (0.0736) (0.0634) (0.0943)
----------------- ---------------- ---------------- -------------- ----------------
Net Asset Value, End of Year $ 1.2020 $ 1.2059 $1.2301 $ 1.1352 $ 1.2274
================= ================ ================ ============== ================
Total Return 5.73%* 4.26% 15.21% (2.36)% 8.56%
Net Assets, End of Period $ 75,035,272 $ 78,093,109 $80,025,099 $ 68,965,299 $ 84,696,187
Ratio of Expenses
to Average Net Assets 0.60% * 0.60% 0.60% 0.60% 0.60%
Ratio of Net Investment Income
to Average Net Assets 6.84% * 6.10% 6.16% 5.33% 5.02%
Portfolio Turnover Rate 45.00% 117.39% 191.58% 60.85% 164.32%
* Annualized
(Continued)
</TABLE>
<PAGE>
MAXIM SERIES FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
---------------- -------------------------------------------------------------
1997 1996 1995 1994 1993
---------------- --------------- --------------- --------------- ---------------
Net Asset Value, Beginning of $ 1.0007 $ 1.0007 $1.0007 $ 1.0007 $ 1.0007
Year
Income From Investment
Operations
Net investment income 0.0247 0.0493 0.0555 0.0394 0.0278
Net realized and unrealized gains
---------------- --------------- --------------- --------------- ---------------
Total Income From Investment
Operations 0.0247 0.0493 0.0555 0.0394 0.0278
Less Distributions
From net investment income (0.0247) (0.0493) (0.0555) (0.0394) (0.0278)
---------------- --------------- --------------- --------------- ---------------
Net Asset Value, End of Year $ 1.0007 $ 1.0007 $1.0007 $ 1.0007 $ 1.0007
================ =============== =============== =============== ===============
Net Assets, End of Year $ 434,860,887 $ 396,453,188 $277,257,289 $ 186,587,262 $ 96,997,973
Ratio of Expenses
to Average Net Assets 0.46% * 0.46% 0.46% 0.46% 0.46%
Ratio of Net Investment Income
to Average Net Assets 5.59% * 4.99% 5.55% 3.96% 2.82%
* Annualized
(Continued)
</TABLE>
<PAGE>
MAXIM SERIES FUND, INC.
STOCK INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, 1994, 1993 is
as follows
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
------------------ ---------------------------------------------------------------
1997 1996 1995 1994 1993
------------------ ---------------- ---------------- --------------- ----------------
Net Asset Value, Beginning of $ 2.3650 $1.9796 $1.4978 $ 1.5575 $1.4506
Year
Income From Investment
Operations
Net investment income 0.0156 0.0336 0.0334 0.0350 0.0320
Net short-term realized gain 0.0007 0.0009 0.0010
Net long-term realized and
unrealized gain (loss) 0.4396 0.3951 0.4953 (0.0335) 0.1097
------------------ ---------------- ---------------- --------------- ----------------
Total Income From Investment
Operations 0.4559 0.4296 0.5297 0.0015 0.1417
Less Distributions
From net investment income
and
net short-term realized gains (0.0157) (0.0345) (0.0344) (0.0350) (0.0320)
From net long-term realized (0.0097) (0.0135) (0.0262) (0.0028)
gains
------------------ ---------------- ---------------- --------------- ----------------
Total Distributions (0.0157) (0.0442) (0.0479) (0.0612) (0.0348)
------------------ ---------------- ---------------- --------------- ----------------
Net Asset Value, End of Year $ 2.8052 $2.3650 $1.9796 $ 1.4978 $1.5575
================== ================ ================ =============== ================
Total Return 42.26%* 21.81% 35.60% 0.14% 9.84%
Net Assets, End of Year $ 1,190,715,043 $936,806,358 $707,459,637 $ 497,339,992 $562,189,394
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0340 0.0389
Ratio of Expenses
to Average Net Assets 0.60%* 0.60% 0.60% 0.60% 0.60%
Ratio of Net Investment Income
to Average Net Assets 1.26%* 1.58% 1.91% 2.23% 2.14%
Portfolio Turnover Rate 3.00% 3.31% 5.25% 11.98% 1.68%
</TABLE>
* Annualized
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
TOTAL RETURN PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
--------------- ----------------------------------------------------------------
1997 1996 1995 1994 1993
--------------- ---------------- --------------- --------------- -----------------
Net Asset Value, Beginning of $ 1.3412 $1.2969 $1.1238 $ 1.2065 $ 1.1327
Year
Income From Investment
Operations
Net investment income 0.0174 0.0366 0.0421 0.0382 0.0326
Net short-term realized gain (loss) 0.0610 0.0139
Net long-term realized and
unrealized gain (loss) 0.0854 0.1146 0.1960 (0.0704) 0.1025
--------------- ---------------- --------------- --------------- -----------------
Total Income (Loss) From
Investment Operations 0.1638 0.1512 0.2520 (0.0322) 0.1351
Less Distributions
From net investment income and
net short-term realized gains (0.0172) (0.0366) (0.0560) (0.0382) (0.0326)
From net long-term realized gains (0.0703) (0.0229) (0.0123) (0.0287)
--------------- ---------------- --------------- --------------- -----------------
Total Distributions (0.0172) (0.1069) (0.0789) (0.0505) (0.0613)
--------------- ---------------- --------------- --------------- -----------------
Net Asset Value, End of Year $ 1.4878 $1.3412 $1.2969 $ 1.1238 $ 1.2065
=============== ================ =============== =============== =================
Total Return 25.93%* 11.75% 22.70% (2.68)% 12.19%
Net Assets, End of Year $ 74,170,289 $64,660,804 $55,176,028 $ 41,348,517 $ 39,297,459
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0694 0.0691
Ratio of Expenses
to Average Net Assets 0.60% * 0.60% 0.60% 0.60% 0.60%
Ratio of Net Investment Income
to Average Net Assets 2.54% * 2.78% 3.41% 3.30% 2.88%
Portfolio Turnover Rate 29.00% 74.52% 44.70% 74.85% 58.02%
</TABLE>
* Annualized
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
U.S. GOVERNMENT SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------
Six Months
Ended
June 30, Year Ended December 31,
---------------
1997 1996 1995 1994 1993
--------------- ---------------- --------------- --------------- ----------------
Net Asset Value, Beginning of $ 1.0738 $1.1001 $1.0138 $ 1.1061 $ 1.1141
Year
Income From Investment
Operations
Net investment income 0.0360 0.0675 0.0723 0.0572 0.0881
Net short-term realized gain (loss) (0.0005)
Net long-term realized and 0.0001 (0.0263) 0.0863 (0.0924) (0.0006)
unrealized gain (loss)
---------------- --------------- --------------- ----------------
---------------
Total Income (Loss) From
Investment Operations 0.0356 0.0412 0.1586 (0.0352) 0.0875
Less Distributions
From net investment income (0.0348) (0.0675) (0.0723) (0.0571) (0.0887)
From net realized gains (0.0068)
--------------- ---------------- --------------- --------------- ----------------
Total Distributions (0.0348) (0.0675) (0.0723) (0.0571) (0.0955)
--------------- ---------------- --------------- --------------- ----------------
Net Asset Value, End of Year $ 1.0746 $1.0738 $1.1001 $ 1.0138 $ 1.1061
=============== ================ =============== =============== ================
Total Return 6.85%* 3.92% 16.09% (3.20)% 9.35%
Net Assets, End of Year $ 56,657,896 $64,077,863 $62,473,959 $ 56,338,235 $ 51,424,663
Ratio of Expenses
to Average Net Assets 0.60% * 0.60% 0.60% 0.60% 0.60%
Ratio of Net Investment Income
to Average Net Assets 6.49% * 6.22% 6.76% 5.47% 8.49%
Portfolio Turnover Rate 43.00% 145.02% 185.57% 308.47% 27.28%
</TABLE>
* Annualized
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
SIX MONTHS JUNE 30, 1997 AND 1996
1. HISTORY OF THE FUND
Maxim Series Fund, Inc. (the Fund) is a Maryland corporation organized
on December 7, 1981 as an open-end management investment company. Interests in
the Bond, Money Market, Stock Index, Total Return, and U.S. Government
Securities portfolios (the Portfolios) are represented by separate classes of
beneficial interest of the Fund. Shares of the Fund are sold only to Maxim
Series Account, Pinnacle Series Account, FutureFunds Series Account, FutureFunds
Series Account II, Qualified Series Account, and Retirement Plan Series Account
of Great-West Life & Annuity Insurance Company (the Company), to fund benefits
under variable annuity contracts and variable life insurance policies issued by
the Company and to the TNE Series (k) Account of Metropolitan Life Insurance
Company ("Met") to fund benefits under variable annuity contracts issued by Met.
The shares are sold at a price equal to the respective net asset value per share
of each class of shares.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
The following is a summary of the significant accounting policies of
the Fund:
Dividends
Dividends from investment income of the Money Market Portfolio are
declared daily and reinvested monthly. Dividends from investment income of the
Bond and U.S. Government Securities Portfolios are declared and reinvested
quarterly. Dividends from investment income of the Stock Index Portfolio, and
the Total Return Portfolio are declared and reinvested semi-annually. Dividends
from capital gains of all portfolios are declared in the fiscal year in which
they have been earned and are reinvested in additional shares at net asset
value.
Security Transactions
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). The cost of investments sold is determined on
the basis of the first-in, first-out method (FIFO) for the Stock Index Portfolio
and Total Return Portfolio, and specific lot selection for all other portfolios.
The U.S. Government Securities Portfolio may enter into repurchase
agreements which settle at a specified future date. Amounts owing to brokers
under these agreements are included in Payables for Investments Purchased in the
accompanying financial statements. These liabilities were $3,557,000 and
7,475,431 at June 30, 1997 and 1996, respectively, and are collateralized by
securities of approximately the same value.
Security Valuation
Securities traded on national securities exchanges are valued daily at
the closing prices of the securities on these exchanges, and securities traded
on over-the-counter markets are valued daily at the average between the quoted
bid and asked prices. Short-term and money market securities are valued at
amortized cost, which approximates market value.
The portfolios may own certain investment securities which are
restricted as to resale under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally to
qualified institutional buyers. These securities are valued after giving due
consideration to pertinent factors including recent private sales, market
conditions, and the issuer's financial performance. Aggregate cost and fair
value of these restricted securities held at June 30, 1997 were as follows:
Bond Portfolio
-------------------------------
Aggregate Cost $ 9,193,140
Aggregate Fair Value $ 9,175,200
Percent of Net Assets 12.23%
Dividend income for the Portfolios is accrued as of the ex-dividend
date and interest income is recorded daily.
Federal Income Taxes
For federal income tax purposes, each Portfolio qualifies as a
regulated investment company under the provisions of the Internal Revenue Code
by distributing substantially all of its taxable net income (both ordinary and
capital gain) to its shareholders and complying with other requirements for
regulated investment companies. Accordingly, no provision for federal income
taxes has been made. At June 30, 1997, the Bond and U.S. Government Securities
Portfolios had available for federal income tax purposes unused capital loss
carryovers of $1,511,990 and $2,947,911, respectively, which expire between 2002
and 2004.
3. INVESTMENT ADVISORY AGREEMENT
The Fund had entered into an investment advisory agreement with The
Great-West Life Assurance Company through October 31, 1996. Effective November
1, 1996, a wholly-owned subsidiary of the Company, GW Capital Management, Inc.,
serves as investment advisor. As compensation for its services to the Fund and
to cover operating expenses of the Fund, the investment advisor receives monthly
compensation at the annual rate of .46% of the average daily net assets of the
Money Market Portfolio, .60% of the average daily net assets of the Bond, Stock
Index, Total Return, and U.S. Government Securities Portfolios.
4. PURCHASES AND SALES OF SECURITIES
Costs of purchases of U.S. Government obligations and other securities,
excluding short-term securities, during the six months ended June 30, 1997 were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S. Government
Obligations Other Securities
-------------------------------- --------------------------------
Portfolio
Bond $ 1,493,906 $ 31,390,265
Stock Index 85,837,199
Total Return 7,058,859 9,437,355
U.S. Government Securities 25,433,728
</TABLE>
The proceeds from sales of U.S. Government obligations and other
securities, excluding short-term securities, during the six months ended June
30, 1997 were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S. Government
Obligations Other Securities
-------------------------------- --------------------------------
Portfolio
Bond $ 2,998,515 $ 33,114,290
Stock Index 34,457,049
Total Return 19,987,433 53,936,541
U.S. Government Securities 34,507,177
</TABLE>
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as
follows as of June 30, 1997:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S.
STOCK TOTAL GOVERNMEN
T
BOND INDEX RETURN SECURITIES
PORTFOLI PORTFOLI PORTFOLI PORTFOLIO
O O O
------------------ ------------------ ------------------ --------------------
Gross appreciation $ 511,144 $ 523,349,306 $ 2,238,892 $ 1,177,994
Gross depreciation (372,986) (13,441,062) (52,837) (57,745)
------------------ ------------------ ------------------ --------------------
Net unrealized $ 138,158 $ 509,908,244 $ 2,186,055 $ 1,120,249
appreciation
================== ================== ================== ====================
</TABLE>
<PAGE>
MAXIM SERIES FUND, INC.
Financial Statements and Financial Highlights for
the Six Months Ended June 30, 1997 and 1996
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
CORPORATE SMALL-CAP SMALL-CAP
BOND INDEX VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ----------------- -----------------
ASSETS:
Investments at value:
Short-term investments $ 7,320,691 $ 1,677,000 $ 20,285,023
Bonds 113,694,372
Common stocks 9,497 103,873,464 29,648,143
Preferred stocks 5,574,318
----------------- ----------------- -----------------
Total investments (cost $120,882,135;$84,430,354; $43,828,3126,598,878 105,550,464 49,933,166
Cash 3,611,657 8,485 5,329
Dividends and interest receivable 2,270,675 140,579 71,354
Subscriptions receivable 238,437 189,960 178,056
Receivables for securities sold 4,275,126 1,906,833 2,381,085
----------------- ----------------- -----------------
Total assets 136,994,773 107,796,321 52,568,990
----------------- ----------------- -----------------
LIABILITIES:
Dividends payable
Due to GW Capital Management 91,298 52,382 47,059
Payable for investments purchased 10,762,900 1,676,711 2,442,579
----------------- ----------------- -----------------
Total liabilities 10,854,198 1,729,093 2,489,638
----------------- ----------------- -----------------
NET ASSETS $ 126,140,575 $ 106,067,228 $ 50,079,352
================= ================= =================
NET ASSETS REPRESENTED BY:
Capital stock, $.10 par value $ 10,541,020 $ 7,854,202 $ 3,674,362
Additional paid-in capital 108,788,583 79,777,547 36,323,411
Net unrealized appreciation on investments 5,962,067 21,120,110 6,104,842
Undistributed net investment income 72,667 (49) 4,650
Accumulated net short-term realized gain (loss) on investments 420,736 (1,803,533) (111,564)
Accumulated net long-term realized gain (loss) on investments 600,826 (881,049) 4,083,651
Net unrealized appreciation on translation of assets and
liabilities denominated in foreign currencies (245,324)
----------------- ----------------- -----------------
NET ASSETS $ 126,140,575 $ 106,067,228 $ 50,079,352
================= ================= =================
NET ASSET VALUE PER OUTSTANDING SHARE $ 1.1967 $ 1.3505 $ 1.3629
================= ================= =================
SHARES OF CAPITAL STOCK:
Authorized 200,000,000 100,000,000 100,000,000
Outstanding 105,410,196 78,542,016 36,743,621
</TABLE>
See notes to financial statements.
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
CORPORATE SMALL-CAP SMALL-CAP
BOND INDEX VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- ------------------- ------------------
INVESTMENT INCOME:
Interest $ 3,985,505 $ 37,676 $ 114,393
Dividends 194,279 674,658 272,834
Less: Foreign withholding tax (54)
--------------------- ------------------- ------------------
Total income 4,179,784 712,280 387,227
EXPENSES:
Salaries 3,068
Legal and SEC fees 4,792
Directors' fees 377
Audit fees 3,410
Investment administration 38,311
Bank and custodial fees 6,864
Other expenses 3,219
Management fee 449,512 265,693 207,814
-------------------------------------------------------------
Total expenses 449,512 265,693 267,855
Less amount paid by the GW Capital Management 5,650
--------------------- ------------------- ------------------
Net expenses 449,512 265,693 262,205
--------------------- ------------------- ------------------
NET INVESTMENT INCOME 3,730,272 446,587 125,022
--------------------- ------------------- ------------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net short-term realized gain (loss) on investments 288,354 (1,756,733) 198,223
Net long-term realized gain (loss) on investments 319,041 (726,088) 4,268,420
Change in net unrealized appreciation on investments 2,313,264 11,345,182 (367,973)
Change in net unrealized appreciation on translation of
assets and liabilities denominated in foreign currencies(365,889)
--------------------- ------------------- ------------------
Net change in realized and unrealized appreciation on 2,554,770 8,862,361 4,098,670
investments
--------------------- ------------------- ------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 6,285,042 $ 9,308,948 $ 4,223,692
===================== =================== ==================
</TABLE>
See notes to financial statements.
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
CORPORATE SMALL-CAP SMALL-CAP
BOND INDEX VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------- --------------------------------- ------------------------------
1997 1996 1997 1996 1997 1996
----------------- ---------------- ---------------- ---------------- ----------- ----------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income $ 3,730,272 $ 2,096,878 $ 446,587 $ 300,120 $ 125,022 $ 126,160
Net short-term realized
gain (loss) 288,354 235,950 (1,756,733) 388,251 198,223 (73,909)
Net long-term realized
gain (loss) 319,041 407,394 (726,088) 285,631 4,268,420 307,398
Change in net unrealized
appreciation(depreciation)
on investments 2,313,264 (2,329,483) 11,345,182 4,753,950 (367,973) 1,326,620
Change in net unrealized
appreciation on translation
of assets and liabilities
denominated in foeign (365,889) 147,897
currencies
----------------- ---------------- ---------------- ---------------- ---------------- -----------
Net increase in net assets
resulting from operations 6,285,042 558,636 9,308,948 5,727,952 4,223,692 1,686,269
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and
net short-term realized gains (3,657,605) (2,083,589) (446,636) (300,526) (120,371) (126,818)
From net long-term realized gains
----------------- ---------------- ---------------- ---------------- ---------------- ------------
Total distributions (3,657,605) (2,083,589) (446,636) (300,526) (120,371) (126,818)
SHARE TRANSACTIONS:
Net proceeds from sales
of shares 37,804,826 35,010,231 17,529,898 27,264,587 12,001,295 12,438,104
Reinvestment of distributions 3,657,605 2,083,589 446,636 300,526 120,371 126,818
Cost of shares redeemed (1,594,322) (18,680,939) (1,555,310) (14,050,514) (2,745,286) (6,582,068)
----------------- ---------------- ---------------- ---------------- ---------------- --------------
Net increase in net assets
resulting from share
transactions 39,868,109 18,412,881 16,421,224 13,514,599 9,376,380 5,982,854
----------------- ---------------- ---------------- ---------------- ---------------- ---------------
Total increase in net assets 42,495,546 16,887,928 25,283,536 18,942,025 13,479,701 7,542,305
NET ASSETS:
Beginning of period 83,645,029 45,530,190 80,783,692 51,610,284 36,599,651 20,769,579
----------------- ---------------- ---------------- ---------------- ---------------- -------------
End of period $ 126,140,575 $ 62,418,118 $ 106,067,228 $ 70,552,309 $ 50,079,352 $ 28,311,884
================= ================ ================ ================ ================ ==============
OTHER INFORMATION:
SHARES:
Sold 31,717,124 30,942,344 7,054,757 22,115,406 9,484,119 11,589,132
Issued in reinvestment
of distributions 3,044,091 1,853,927 243,038 88,579 115,887
Redeemed (1,348,309) (16,550,851) (1,034,920) (11,317,383) (2,155,276) (6,149,642)
----------------
----------------- ---------------- ---------------- ---------------- ----------------
Net increase 33,412,906 16,245,420 6,019,837 11,041,061 7,417,422 5,555,377
================= ================ ================ ================ ================ ================
</TABLE>
See notes to financial statements.
<PAGE>
MAXIM SERIES FUND, INC.
CORPORATE BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years December 31, 1996, 1995, and 1994 is as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
------------------ ------------------------------------------------------------
1997 1996 1995 1994
------------------ ------------------ -------------------- ------------------
(A)
Net Asset Value, Beginning of Period $ 1.1618 $ 1.1521 $ 0.9716 $1.0000
Income From Investment Operations
Net investment income 0.0365 0.0825 0.0842 0.0137
Net short-term realized gain (loss) 0.0027 0.0055 0.0159
Net long-term realized and unrealized gain 0.0315 0.0269 0.1835 (0.0284)
(loss)
------------------ ------------------ -------------------- ------------------
Total Income (Loss) From Investment 0.0707 0.1149 0.2836 (0.0147)
Operations
Less Distributions
From net investment income and net short- (0.0358) (0.0880) (0.1001) (0.0137)
term realized gains
From net long-term realized gains (0.0172) (0.0030)
------------------ ------------------ -------------------- -------------------
Total Distributions (0.0358) (0.1052) (0.1031) (0.0137)
------------------ -------------------------------------------------------------
Net Asset Value, End of Period $ 1.1967 $ 1.1618 $ 1.1521 $0.9716
================== ================== ==================== ===================
Total Return 12.53%* 10.35% 30.19% (1.47)%
Net Assets, End of Period $ 126,140,575 $ 83,645,029 $ 45,530,190 $13,713,195
Ratio of Expenses to Average Net Assets 0.90% * 0.90% 0.90% 1.08% *
Ratio of Net Investment Income to 7.43% * 7.68% 7.89% 8.64% *
Average Net Assets
Portfolio Turnover Rate 15.00% 40.02% 24.70% 9.45%
</TABLE>
* Annualized
(A) The portfolio commenced operations on November 1, 1994. (Continued)
<PAGE>
MAXIM SERIES FUND, INC.
SMALL-CAP INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
----------------- --------------------------------------------------------------------
1997 1996 1995 1994 1993
----------------- ----------------- ---------------- ---------------- -----------------
(A)
Net Asset Value, Beginning of $1.2370 $ 1.1680 $ 0.9540 $ 1.0112 $ 1.0000
Period
Income From Investment Operations
Net investment income 0.0058 0.0124 0.0102 0.0097 0.0009
Net short-term realized gain (0.0224) 0.0374 0.0095
Net long-term realized
and unrealized gain (loss) 0.1358 0.1285 0.2298 (0.0572) 0.0112
----------------- ----------------- ---------------- ---------------- -----------------
Total Income (Loss)
From Investment Operations 0.1192 0.1783 0.2495 (0.0475) 0.0121
Less Distributions
From net investment income and
net
short-term realized gains (0.0057) (0.0498) (0.0197) (0.0097) (0.0009)
From net long-term realized gains (0.0595) (0.0158)
----------------- ----------------- ---------------- ---------------- -----------------
Total Distributions (0.0057) (0.1093) (0.0355) (0.0097) (0.0009)
----------------- ----------------- ---------------- ---------------- -----------------
Net Asset Value, End of Period $1.3505 $ 1.2370 $ 1.1680 $0.9540 $ 1.0112
================= ================= ================ ================ =================
Total Return 20.20%* 15.30% 26.24% (4.69)% 1.21%
Net Assets, End of Period $106,067,228 $ 80,783,692 $ 51,610,284 $22,336,944 $ 5,936,716
Average Commission Rate Paid
Per Share Bought or Sold $0.0320 $ 0.0453
Ratio of Expenses
to Average Net Assets 0.60%* 0.60% 0.60% 0.60% 0.60% *
Ratio of Net Investment Income
to Average Net Assets 1.01%* 1.04% 1.00% 1.20% 1.24% *
Portfolio Turnover Rate 9.00% 39.66% 30.17% 53.44% 0.72%
</TABLE>
* Annualized
(A) The portfolio commenced operations on December 1, 1993. (Continued)
<PAGE>
MAXIM SERIES FUND, INC.
SMALL-CAP VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
------------------ ---------------------------------------------------------------------
1997 1996 1995 1994 1993
------------------ ------------------ ----------------- ------------------ ----------
(A)
Net Asset Value, Beginning of $ 1.2480 $1.0669 $0.9974 $ 1.0330 $1.0000
Period
Income From Investment Operations
Net investment income 0.0034 0.0095 0.0286 0.0068 0.0012
Net short-term realized gain 0.0054 0.0350
Net long-term realized and
unrealized gain (loss) 0.1094 0.1811 0.0884 (0.0356) 0.0330
------------------ ------------------ ----------------- ------------------ -------
Total Income (Loss) From
Investment Operations 0.1182 0.1906 0.1520 (0.0288) 0.0342
Less Distributions
From net investment income and
net short-term realized gains (0.0033) (0.0095) (0.0636) (0.0068) (0.0012)
From net long-term realized gains (0.0189)
------------------ ------------------ ----------------- ------------------ -------
Total Distributions (0.0033) (0.0095) (0.0825) (0.0068) (0.0012)
------------------ ------------------ ----------------- ------------------ -------
Net Asset Value, End of Period $ 1.3629 $1.2480 $1.0669 $ 0.9974 $1.0330
================== ================== ================= ================== =======
Total Return 19.84%* 17.94% 15.51% (2.78)% 3.42%
Net Assets, End of Period $ 50,079,352 $36,599,651 $20,769,579 $ 9,721,848 $3,007,882
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0571 $0.0521
Ratio of Expenses to Average Net 1.25%*# 1.31% # 1.35% # 1.33 % # 1.33%*#
Assets
Ratio of Net Investment Income
to Average Net Assets 0.60%* 0.90% 2.51% 0.80% 1.52%*
Portfolio Turnover Rate 39.00% 30.61% 17.78% 16.81% 0.00%
</TABLE>
* Annualized
# Percentages are shown net of expenses reimbursed by The Great-West Life
Assurance Company or GW Capital Management, Inc.
(A) The portfolio commenced operations on December 1, 1993. (Concluded)
<PAGE>
MAXIM SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
1. HISTORY OF THE FUND
Maxim Series Fund, Inc. (the Fund) is a Maryland corporation organized
on December 7, 1981 as an open-end management investment company. Interests in
the Corporate Bond, Small-Cap Index, and Small-Cap Value portfolios (the
Portfolios) are represented by separate classes of beneficial interest of the
Fund. Shares of the Fund are sold only to Maxim Series Account, FutureFunds
Series Account, FutureFunds Series Account II, and Retirement Plan Series
Account of Great-West Life & Annuity Insurance Company (the Company), to fund
benefits under variable annuity contracts and variable life insurance policies
issued by the Company and to the TNE Series (k) Account of Metropolitan Life
Insurance Company ("Met") to fund benefits under variable annuity contracts
issued by Met. The shares are sold at a price equal to the respective net asset
value per share of each class of shares.
Initial capitalization of $100,000 for the Fund was received on
February 25, 1982 from the parent of the Company, The Great-West Life Assurance
Company (Great-West). In conjunction with the addition of the Small-Cap Value
Portfolio, additional capitalization of $2,500,000 was received on December 1,
1993. At June 30, 1997, Great-West's investment in the Portfolio totaled
$366,152.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
The following is a summary of the significant accounting policies of
the Fund:
Dividends
Dividends from investment income of the Corporate Bond, Small-Cap
Index, and Small-Cap Value portfolios are declared and reinvested semi-annually.
Dividends from capital gains of all portfolios are declared in the fiscal year
in which they have been earned and are reinvested in additional shares at net
asset value.
Security Transactions
Security transactions are accounted for on the date the security is
purchased or sold (trade date). The cost of investments sold is determined on
the basis of the first-in, first-out method (FIFO).
Security Valuation
Securities traded on national securities exchanges are valued daily at
the closing prices of the securities on these exchanges, and securities traded
on over-the-counter markets are valued daily at the average between the quoted
bid and asked prices. Short-term securities are valued at amortized cost which
approximates market value.
The portfolios may own certain investment securities which are
restricted as to resale under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally to
qualified institutional buyers. These securities are valued after giving due
consideration to pertinent factors including recent private sales, market
conditions, and the issuer's financial performance. Aggregate cost and fair
value of these restricted securities held at June 30, 1997 were as follows:
Corporate Bond
Portfolio
--------------------------------
Aggregate Cost $ 8,219,592
Aggregate Fair Value $ 8,362,128
Percent of Net Assets 6.63%
Dividend income for the Portfolios is accrued as of the ex-dividend
date and interest income is recorded daily.
Federal Income Taxes
For federal income tax purposes, each Portfolio of the Fund qualifies
as a regulated investment company under the provisions of the Internal Revenue
Code by distributing substantially all of its taxable net income (both ordinary
and capital gain) to its shareholders and complying with other requirements for
regulated investment companies. Accordingly, no provision for federal income
taxes has been made. At June 30, 1997, the Small Cap Value Portfolio had
available for federal income tax purposes an unused capital loss carryover of
$494,544 which expires in 2004.
Foreign Currency Translation
The accounting records of the Corporate Bond Portfolio 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
current exchange rate. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at the exchange rate on the
dates of the transactions.
The Corporate Bond Portfolio isolates that portion of the results of
operations resulting from changes in foreign exchange rates from the
fluctuations arising from changes in market prices of securities held.
Net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, and
currency gains or losses realized between the amounts of dividends, interest,
and foreign withholding taxes recorded by the Corporate Bond Portfolio, and the
U.S. dollar equivalent of the amounts actually received or paid. Net unrealized
foreign exchange gains and losses arise from changes in the value of assets and
liabilities including investments in securities at fiscal year end, resulting
from changes in the exchange rate.
3. INVESTMENT ADVISORY AGREEMENT
The Fund had entered into an investment advisory agreement with
Great-West through October 31, 1996. Effective November 1, 1996, a wholly-owned
subsidiary of the Company, GW Capital Management, Inc., serves as investment
advisor. As compensation for its services to the Fund, the investment advisor
receives monthly compensation at the annual rate of .60% of the average daily
net assets of the Small-Cap Index Portfolio, .90% of the average daily net
assets of the Corporate Bond Portfolio, and 1.00% of the average net assets of
the Small-Cap Value Portfolio. However, the investment advisor pays any expenses
of the Fund which exceed an annual rate of 1.35%, including management fees, of
the average daily net assets of the Small- Cap Value Portfolio.
4. PURCHASES AND SALES OF SECURITIES
Costs of purchases of U.S. Government obligations and other securities,
excluding short-term securities, during the six months ended June 30, 1997 were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S. Government Obligations Other Securities
-------------------------------- --------------------------------
Portfolio
Corporate Bond $ $ 50,840,088
Small-Cap Index 24,006,357
Small-Cap Value 14,279,176
</TABLE>
The proceeds from sales of U.S. Government obligations and other
securities, excluding short-term securities, during the six months ended June
30, 1997 were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S. Government Obligations Other Securities
-------------------------------- --------------------------------
Portfolio
Corporate Bond $ 6,195,086 $ 8,088,596
Small-Cap Index 8,304,328
Small-Cap Value 23,093,338
</TABLE>
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as
follows as of June 30, 1997:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CORPORATE SMALL-CAP SMALL-CAP
BOND INDEX VALUE
PORTFOLIO PORTFOLIO PORTFOLI)
------------------ ------------------ ------------------
Gross appreciation $ 7,990,801 $ 25,026,911 $ 6,211,059
Gross depreciation (2,274,058) (3,906,801) (106,217)
------------------ ------------------ ------------------
Net unrealized appreciation $ 5,716,743 $ 21,120,110 $ 6,104,842
================== ================== ==================
</TABLE>
****************
MAXIM SERIES FUND, INC.
Financial Statements and Financial Highlights for
the Six Months Ended June 30, 1997 and 1996
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
INVESCO
INTERNATIONAL INVESCO INVESCO SMALL-CAP T. ROWE PRICE
EQUITY ADR BALANCED GROWTH MID-CAP EQUITY/INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- ----------------- ---------------- ---------------- --------------- ----------------
ASSETS:
Investments at value:
Short-term investments $ 13,011,025 $ 640,000 $ 10,775,867 $ 4,402,719 $ 12,424,587 $ 13,716,036
Bonds 14,866,207 2,035,204
Common stocks 112,071,136 12,566,181 26,948,995 39,916,374 197,380,841 105,191,870
Preferred stocks 3,590,327
-------------------- ----------------- ---------------- ---------------- --------------- -----------------
Total investments
(cost $106,942,770;
$10,808,692; 128,672,488 13,206,181 52,591,069 44,319,093 209,805,428 120,943,110
$50,483,395;$39,759,828;
$165,961,021; $105,958,757)
Cash 588,136 7,915 89,006 12,548 72,555
Dividends and interest
receivable 449,887 5,964 186,790 18,344 73,678 298,585
Receivables for securities
sold 8,273,448 598,273 4,477,106 2,044,810 7,320,459 6,275,837
Subscriptions receivable 177,238 95,234 152,857 121,154 31,144 119,873
----------------- ----------------- ---------------- ---------------- --------------- --------------------
Total assets 138,161,197 13,913,567 57,496,828 46,515,949 217,230,709 127,709,960
-------------------- ----------------- ---------------- ---------------- --------------- --------------------
LIABILITIES:
Due to GW Capital
Management 106,523 13,883 31,316 40,103 167,001 87,841
Payable for securities
purchased 9,160,387 785,352 3,193,566 1,940,361 6,539,137 6,272,163
Unrealized depreciation
on forward foreign currency contracts 291,359
-------------------- ----------------- ---------------- ---------------- --------------- --------------------
Total liabilities 9,266,910 799,235 3,224,882 1,980,464 6,997,497 6,360,004
-------------------- ----------------- ---------------- ---------------- --------------- --------------------
NET ASSETS $ 128,894,287 $ 13,114,332 $ 54,271,946 $ 44,535,485 $ 210,233,212 $ 121,349,956
==================== ================= ================ ================ =============== ====================
NET ASSETS REPRESENTED BY:
Capital stock, $.10 par
value $ 8,865,089 $ 854,914 $ 4,473,586 $ 2,824,800 $ 14,341,027 $ 7,376,112
Additional paid-in
capital 94,803,191 9,581,221 46,615,279 37,792,671 158,976,608 95,911,181
Net unrealized
appreciation on (depreciation)
on investment 26,720,088 2,397,489 2,118,203 4,559,265 43,063,979 15,051,487
Undistributed net
investment income (loss) 1,535,285 50,158 9,114 (1,909) (1,732,984) (1,196)
Accumulated net short-term
realized gain (loss) on investments 607,083 27,971 1,066,293 (628,775) (14,359,204) 1,884,612
Accumulated net long-term
realized gain (loss) on investments 1,353,921 202,579 (10,567) 9,163,358 1,194,894
Net unrealized appreciation (depreciation) on translation of
assets and liabilities
denominated in foreign currencies (4,990,370) (10,529) 780,428 (67,134)
-------------------- ----------------- ---------------- ---------------- --------------- -------------
NET ASSETS $ 128,894,287 $ 13,114,332 $ 54,271,946 $ 44,535,485 $ 210,233,212 $ 121,349,956
==================== ================= ================ ================ =============== ==================
NET ASSET VALUE PER
OUTSTANDING SHAR $ 1.4540 $ 1.5340 $ 1.2132 $ 1.5766 $ 1.4660 $ 1.6452
==================== ================= ================ ================ =============== ==================
SHARES OF CAPITAL STOCK:
Authorized 100,000,000 100,000,000 100,000,000 100,000,000 200,000,000 100,000,000
Outstanding 88,650,893 8,549,140 44,735,858 28,247,998 143,410,266 73,761,120
</TABLE>
See notes to financial statements.
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
INVESCO
INTERNATIONAL INVESCO INVESCO SMALL-CAP T. ROWE PRICE
EQUITY ADR BALANCED GROWTH MID-CAP EQUITY/INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- --------------- --------------- --------------- --------------- ----------------
INVESTMENT INCOME:
Interest $ 388,607 $ 12,936 $ 336,641 $ 188,369 $ 356,318 $ 374,349
Dividends 2,099,720 106,489 80,189 35,769 197,474 1,333,524
Less: Foreign
withholding tax (226,119) (4,329) (1,674) (3,006) (9,829)
-------------------- --------------- --------------- --------------- --------------- ------------------
Total income 2,262,208 115,096 415,156 224,138 550,786 1,698,044
EXPENSES:
Salaries 3,599 2,910 2,962 3,338 2,993
Legal and SEC fees 12,439 1,713 9,281 25,521 21,424
Directors' fees 993 91 330 1,717 866
Audit fees 8,260 3,410 3,410 4,690 3,410
Investment administration 64,666 31,883 22,241 49,239 22,241
Bank and custodial fees 75,480 5,424 10,783 27,478 14,875
Other expenses 13,647 903 3,035 14,660 8,001
Management fee 551,775 49,953 106,849 174,293 933,477 377,619
-------------------- --------------- --------------- --------------- --------------- ------------------
Total expenses 730,859 96,287 106,849 226,335 1,060,120 451,429
-------------------- --------------- --------------- --------------- --------------- ------------------
Less amount paid by
the investment advisor 3,937 31,348 24,522 21,548 17,037
-------------------- --------------- --------------- --------------- --------------- -------------------
Net expenses 726,922 64,939 106,849 201,813 1,038,572 434,392
-------------------- --------------- --------------- --------------- --------------- -----------------
NET INVESTMENT INCOME 1,535,286 50,157 308,307 22,325 (487,786) 1,263,652
-------------------- --------------- --------------- --------------- --------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net short-term realized
gain (loss) on investments 229,418 25,712 1,100,059 (571,195) (9,488,983) 1,885,638
Net long-term realized gain
on investments 1,334,480 204,837 (10,567) 1,842,079 1,194,894
Change in net unrealized
appreciation (depreciation) on 12,725,086 1,202,635 1,851,631 4,677,347 13,110,733 9,383,514
investments
Change in net unrealized
appreciation (depreciation) on
translation of assets and
liabilities denominated in
foreign currencies (4,733,019) (10,529) (1,000,095) (38,065)
-------------------- --------------- --------------- --------------- --------------- ---------------
Net change in realized
and unrealized appreciation on 9,555,965 1,433,184 2,941,161 4,095,585 4,463,734 12,425,981
investments -------------------- --------------- --------------- --------------- --------------- ---------------
NET INCREASE IN NET
ASSETS RESULTING
FROM OPERATIONS $ 11,091,251 $ 1,483,341 $ 3,249,468 $ 4,117,910 $ 3,975,948 $ 13,689,633
==================== =============== =============== =============== =============== =================
</TABLE>
The INVESCO Balanced Portfolio commenced operations on October 1, 1996.
See notes to financial statements.
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
INVESCO
INTERNATIONAL EQUITY INVESCO ADR BALANCED INVESCO SMALL-CAP
GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------- -------------------------------- ------------------- --------------------------
1997 1996 1997 1996 1997 1997 1996
---------------- ---------------- ---------------- ---------------- ------------------- ---------------- --------
INCREASE IN
NET ASSETS: (A)
OPERATIONS:
Net investment
income $1,535,286 $ 777,862 $ 50,157 $ 32,876 $ 308,307 $ 22,325 $(21,782)
Net short-term
realized gain (loss) 229,418 306,454 25,712 4,722 1,100,059 (571,195) 712,409
Net long-term
realized gain (loss)1,334,480 841,537 204,837 2,821 (10,567) 52,546
Change in net
unrealized appreciation
(depreciation) on
investments 12,725,086 5,714,333 1,202,635 248,338 1,851,631 4,677,347 1,854,405
Change in net
unrealized appreciation
on translation of
assets and liabilities
denominated in
foreign currencies (4,733,019) (1,351,642) (10,529)
---------------- ---------------- ---------------- ---------------- ------------------- ---------------- -------
Net increase
(decrease) in net
assets resulting
from operations 11,091,251 6,288,544 1,483,341 288,757 3,249,468 4,117,910 2,597,578
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment
income and net
short-term
realized gains (133,481) (9,117) (299,193) (24,234)
From net long-term realized gains
---------------- ---------------- ---------------- ---------------- ------------------- ---------------- --------
Total distributions (133,481) (9,117) (299,193) (24,234)
SHARE TRANSACTIONS:
Net proceeds from
sales of shares 22,106,054 26,488,267 4,951,019 1,595,276 35,375,652 12,059,389 13,933,708
Reinvestment of
distributions 133,481 9,117 299,193 24,234
Cost of shares
redeemed (475,067) (11,827,968) (1,014,886) (284,703) (340,340) (3,469,592) (3,829,260)
---------------- ---------------- ---------------- ---------------- ------------------- ---------------- ---------
Net increase in net assets
resulting from
share transactions 21,630,987 14,793,780 3,936,133 1,319,690 35,334,505 8,614,031 10,104,448
---------------- ---------------- ---------------- ---------------- ------------------- ---------------- ----------
Total increase
in net assets 32,722,238 20,948,843 5,419,474 1,599,330 38,284,780 12,707,707 12,702,026
NET ASSETS:
Beginning of
period 96,172,049 55,017,668 7,694,858 2,681,969 15,987,166 31,827,778 6,385,180
---------------- ---------------- ---------------- ---------------- ------------------- -------------- -----------
End of period $ 128,894,287 $ 75,966,511 $ 13,114,332 $ 4,281,299 $ 54,271,946 $ 44,535,485 $ 19,087,206
================ ================ ================ ================ =================== ============== ============
OTHER INFORMATION:
SHARES:
Sold 16,297,966 22,056,968 3,574,045 1,363,860 29,426,208 8,445,338 9,414,231
Issued in reinvestment
of distributions 111,374 7,752 246,102 15,563
Redeemed (344,043) (9,821,957) (721,269) (242,966) (297,272) (2,423,276) (2,605,670)
---------------- ---------------- ---------------- ---------------- ---------------- -------------------
Net increase 15,953,923 12,346,385 2,852,776 1,128,646 29,375,038 6,037,625 6,808,561
================ ================ ================ ================ =================== ================ ===========
</TABLE>
(A) The INVESCO Balanced Portfolio commenced operations on October 1, 1996.
See notes to financial statements. (Continued)
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE
MID-CAP EQUITY/INCOME
PORTFOLIO PORTFOLIO
------------------------------------ -------------------------------------
1997 1996 1997 1996
------------------ ----------------- ------------------ ------------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income $ (487,786) $ (615,582) $ 1,263,652 $ 301,864
Net short-term realized gain (loss) (9,488,983) 5,297,956 1,885,638 148,094
Net long-term realized gain (loss) 1,842,079 868,330 1,194,894 106,175
Change in net unrealized appreciation
(depreciation)on investments 13,110,733 12,357,331 9,383,514 769,221
Change in net unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies (1,000,095) (77,271) (38,065) (9,938)
------------------ ----------------- ------------------ ------------------
Net increase (decrease) in net assets
resulting from operations 3,975,948 17,830,764 13,689,633 1,315,416
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and
net short-term realized gains (1,264,848) (301,904)
From net long-term realized gains ------------------ ----------------- ------------------ ------------------
Total distributions (1,264,848) (301,904)
SHARE TRANSACTIONS:
Net proceeds from sales of shares 11,004,498 42,503,371 38,717,359 18,584,749
Reinvestment of distributions 1,264,848 301,904
Cost of shares redeemed (19,458,037) (12,527,774) (592,939) (3,301,535)
------------------ ----------------- ------------------ ------------------
Net increase in net assets resulting
from share transactions share transactions (8,453,539) 29,975,597 39,389,268 15,585,118
------------------ ----------------- ------------------ ------------------
Total increase in net assets (4,477,591) 47,806,361 51,814,053 16,598,630
NET ASSETS:
Beginning of period 214,710,803 148,264,194 69,535,903 10,950,195
------------------ ----------------- ------------------ ------------------
End of period $ 210,233,212 $ 196,070,555 $ 121,349,956 $ 27,548,825
================== ================= ================== ==================
OTHER INFORMATION:
SHARES:
Sold 8,099,570 29,643,684 25,403,171 14,136,871
Issued in reinvestment of distributions 768,756 226,839
Redeemed (14,558,948) (8,796,055) (394,662) (2,502,142)
------------------ ----------------- ------------------ ------------------
Net increase (6,459,378) 20,847,629 25,777,265 11,861,568
================== ================= ================== ==================
</TABLE>
See notes to financial statements. (Concluded)
<PAGE>
MAXIM SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
------------------ ----------------------------------------------------------------------
------------------
1997 1996 1995 1994 1993
------------------ ------------------ ----------------- ----------------- ------------
(A)
Net Asset Value, Beginning of Period $1.3229 $1.1395 $ 1.0673 $ 1.0110 $ 1.0000
Income From Investment Operations
Net investment income 0.0174 0.0136 0.0190 0.0049 0.0009
Net short-term realized gain 0.0026 0.0045 0.0034
Net long-term realized and unrealized 0.1111 0.2042 0.0722 0.0563 0.0110
gain
------------------ ------------------ ----------------- ----------------- ---------
Total Income From Investment 0.1311 0.2223 0.0946 0.0612 0.0119
Operations
Less Distributions
From net investment income and net
short-term realized gains (0.0181) (0.0224) (0.0049) (0.0009)
From net long-term realized gains (0.0208)
------------------ ------------------ ----------------- ----------------- --------
Total Distributions 0.0000 (0.0389) (0.0224) (0.0049) (0.0009)
------------------ ------------------ ----------------- ----------------- --------
Net Asset Value, End of Period $1.4540 $1.3229 $ 1.1395 $ 1.0673 $ 1.0110
================== ==================
================= ================= ========
Total Return 20.79%* 19.59% 8.93% 6.06% 1.19%
Net Assets, End of Period $128,894,287 $96,172,049 $ 55,017,668 $ 32,180,949 $ 3,126,038
Average Commission Rate Paid
Per Share Bought or Sold $0.0147 $0.0146
Ratio of Expenses to Average Net 1.32% *# 1.39% # 1.50% # 1.49% # 1.48%*#
Assets
Ratio of Net Investment Income
to Average Net Assets 4.60% * 1.24% 1.70% 1.25% 1.09%*
Portfolio Turnover Rate 13.00% 22.21% 20.28% 11.49% 0.00%
</TABLE>
* Annualized
(A) The portfolio commenced operations on December 1, 1993.
# Percentages are shown net of expenses reimbursed by The Great-West Life
Assurance Company or GW Capital Management, Inc. (Continued)
<PAGE>
MAXIM SERIES FUND, INC.
INVESCO ADR PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996, 1995, and 1994 is as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
--------------------- -------------------------------------------------------
---------------------
1997 1996 1995 1994
--------------------- ------------------- ------------------ -----------
(A)
Net Asset Value, Beginning of Period $1.3508 $1.1255 $ 0.9859 $1.0000
Income From Investment Operations
Net investment income 0.0059 0.0112 0.0120 0.0026
Net short-term realized gain (loss) 0.0030
Net realized and unrealized gain (loss) 0.1743 0.2266 0.1396 (0.0141)
--------------------- ------------------- ------------------ -----------
Total Income (Loss) From Investment 0.1832 0.2378 0.1516 (0.0115)
Operations
Less Distributions
From net investment income (0.0112) (0.0120) (0.0026)
From net long-term realized gains (0.0013)
--------------------- ------------------- ------------------ -----------
Total Distributions 0.0000 (0.0125) (0.0120) (0.0026)
--------------------- ------------------- ------------------ -----------
Net Asset Value, End of Period $1.5340 $1.3508 $ 1.1255 $0.9859
===================== =================== ==========
==================
Total Return 28.96%* 21.17% 15.48% (1.16)%
Net Assets, End of Period $13,114,332 $7,694,858 $ 2,681,969 $1,976,834
Average Commission Rate Paid
Per Share Bought or Sold $0.0599 $0.0628
Ratio of Expenses to Average Net Assets 1.30% *# 1.33% # 1.50% # 1.50% * #
Ratio of Net Investment Income to Average 1.01% * 1.20% 1.17% 1.56% *
Net Assets
Portfolio Turnover Rate 18.00% 15.25% 5.88% 2.42%
</TABLE>
* Annualized
(A) The portfolio commenced operations on November 1, 1994.
# Percentages are shown net of expenses reimbursed by The Great-West Life
Assurance Company or GW Capital Management, Inc.
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
INVESCO BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the year ended December 31, 1996 is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months Year
Ended Ended
June 30, December 31,
-------------------------
--------------------------
1997 1996
-------------------------- -------------------------
(A)
Net Asset Value, Beginning of Period 1.0408 $ 1.0000
Income From Investment Operations
Net investment income 0.0069 0.0052
Net short-term realized gain (loss) 0.0246 0.0012
Net long-term realized and unrealized gain (loss) 0.1476 0.0408
-------------------------- -------------------------
Total Income From Investment Operations 0.1791 0.0472
Less Distributions
From net investment income and net short-term realized
gains (0.0067) (0.0064)
-------------------------- -------------------------
Total Distributions (0.0067) (0.0064)
-------------------------- -------------------------
Net Asset Value, End of Period 1.2132 $ 1.0408
========================== =========================
Total Return 37.38%* 4.60%
Net Assets, End of Period 54,271,946 $ 15,987,166
Average Commission Rate Paid Per Share Bought or $ 0.0574 $ 0.0617
Sold
Ratio of Expenses to Average Net Assets 0.91% * 1.00% *
Ratio of Net Investment Income to Average Net Assets 2.63% * 2.84% *
Portfolio Turnover Rate 98.00% 17.14%
</TABLE>
* Annualized
(A) The portfolio commenced operations on October 1, 1996.
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
INVESCO SMALL-CAP GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996, 1995, and 1994 is as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
----------------- -------------------------------------------------------------
1997 1996 1995 1994
----------------- ------------------ ------------------ ----------------------
(A)
Net Asset Value, Beginning of Period $ 1.4330 $ 1.2734 $ 1.0054 $1.0000
Income From Investment Operations
Net investment income 0.0008 0.0024 0.0069 0.0030
Net short-term realized gain (loss) (0.0202) 0.1530 0.0272
Net long-term realized and unrealized 0.1639 0.1850 0.2846 0.0054
gain
----------------- ------------------ ------------------ ----------------------
Total Income From Investment 0.1445 0.3404 0.3187 0.0084
Operations
Less Distributions
From net investment income and net
short-term realized gains (0.0009) (0.1554) (0.0341) (0.0030)
From net long-term realized gains (0.0254) (0.0166)
----------------- ------------------ ------------------ ----------------------
Total Distributions (0.0009) (0.1808) (0.0507) (0.0030)
----------------- ------------------ ------------------ ----------------------
Net Asset Value, End of Period $ 1.5766 $ 1.4330 $ 1.2734 $1.0054
================= ================== ======================
==================
Total Return 21.17%* 26.73% 31.79% 0.84%
Net Assets, End of Period $ 44,535,485 $ 31,827,778 $ 6,385,180 $2,022,380
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0584 $ 0.0410
Ratio of Expenses to Average Net Assets 1.10% *# 1.10% # 1.10% # 1.08% * #
Ratio of Net Investment Income to 0.12% * 0.25% 0.58% 1.86% *
Average Net Assets
Portfolio Turnover Rate 110.00% 265.05% 266.64% 0.00%
</TABLE>
* Annualized
(A) The portfolio commenced operations on November 1, 1994.
# Percentages are shown net of expenses reimbursed by The Great-West Life
Assurance Company or GW Capital Management, Inc.
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
MID-CAP PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996, 1995 and 1994 is as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
------------------ --------------------------------------------------------
------------------
1997 1996 1995 1994
------------------ ----------------- ------------------ -------------------
Net Asset Value, Beginning of Period $ 1.4327 $ 1.3538 $ 1.1003 $1.0000
Income From Investment Operations
Net investment income (0.0121) (0.0083) 0.0018 0.0076
Net short-term realized gain (loss) (0.0662) 0.0299
Net long-term realized and unrealized gain 0.1116 0.0890 0.2594 0.1003
------------------ ----------------- ------------------ -----------
Total Income From Investment Operations 0.0333 0.0807 0.2911 0.1079
Less Distributions
From net investment income and net short-term
realized gains (0.0317) (0.0076)
From net long-term realized gains (0.0018) (0.0059)
------------------ ----------------- ------------------ -------------------
Total Distributions (0.0018) (0.0376) (0.0076)
------------------ ----------------- ------------------ -------------------
Net Asset Value, End of Period $ 1.4660 $ 1.4327 $ 1.3538 $1.1003
================== ================= ================== ==================
Total Return 2.93%* 5.96% 26.50% 10.86%
Net Assets, End of Period $ 210,233,212 $ 214,710,803 $ 148,264,194 $ 81,088,654
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0379 $ 0.0461
Ratio of Expenses to Average Net Assets 1.05% *# 1.07% # 1.10% # 1.07% #
Ratio of Net Investment Income to Average Net 0.49% * (0.66)% 0.13% 1.26%
Assets
Portfolio Turnover Rate 51.00% 80.31% 167.21% 166.12%
(A) The portfolio commenced operations January 3,
1994.
</TABLE>
* Annualized
#Percentages are shown net of expenses reimbursed by The Great-West Life
Assurance Company or GW Capital Management, Inc.
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
T. ROWE PRICE EQUITY/INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, and 1994 is as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
------------------- ---------------------------------------------------------
-------------------
1997 1996 1995 1994
------------------- ----------------- ----------------- -----------------
(A)
Net Asset Value, Beginning of Period $1.4492 $1.2633 $ 0.9805 $ 1.0000
Income From Investment Operations
Net investment income 0.0172 0.0299 0.0345 0.0061
Net short-term realized gain (loss) 0.0256 0.0121 0.0051
Net long-term realized and unrealized gain 0.1705 0.2009 0.2841 (0.0195)
(loss)
------------------- ----------------- ----------------- ----------------
Total Income (Loss) From Investment 0.2133 0.2429 0.3237 (0.0134)
Operations
Less Distributions
From net investment income and net short- (0.0173) (0.0420) (0.0396) (0.0061)
term realized gains
From net long-term realized gains (0.0150) (0.0013)
------------------- ----------------- ----------------- ----------------
Total Distributions (0.0173) (0.0570) (0.0409) (0.0061)
------------------- ----------------- ----------------- -----------------
Net Asset Value, End of Period $1.6452 $1.4492 $ 1.2633 $ 0.9805
=================== ================= ================
=================
Total Return 31.61%* 19.39% 33.42% (1.34)%
Net Assets, End of Period $121,349,956 $69,535,903 $ 10,950,195 $ 2,110,302
Average Commission Rate Paid
Per Share Bought or Sold $0.0346 $0.0368
Ratio of Expenses to Average Net Assets 0.92% *# 0.95% # 0.95% # 0.95% * #
Ratio of Net Investment Income to Average 2.69% * 2.85% 3.46% 3.90% *
Net Assets
Portfolio Turnover Rate 15.00% 26.15% 14.00% 2.74%
</TABLE>
* Annualized
(A) The portfolio commenced operations on November 1, 1994.
# Percentages are shown net of expenses reimbursed by The Great-West Life
Assurance Company or GW Capital Management, Inc.
(Concluded)
<PAGE>
MAXIM SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
1. HISTORY OF THE FUND
Maxim Series Fund, Inc. (the Fund) is a Maryland corporation organized
on December 7, 1981 as an open-end management investment company. Interests in
the International Equity, INVESCO ADR, INVESCO Balanced, INVESCO Small-Cap
Growth, Mid-Cap, and T. Rowe Price Equity/Income portfolios (the Portfolios) are
represented by separate classes of beneficial interest of the Fund. Shares of
the Fund are sold only to Maxim Series Account, FutureFunds Series Account, and
FutureFunds Series Account II of Great- West Life & Annuity Insurance Company
(the Company), to fund benefits under variable annuity contracts and variable
life insurance policies issued by the Company. The shares are sold at a price
equal to the respective net asset value per share of each class of shares.
Initial capitalization of $100,000 for the Fund was received on
February 25, 1982 from the parent of the Company, The Great-West Life Assurance
Company (Great-West). In conjunction with the addition of the INVESCO ADR
Portfolio, and the INVESCO Small-Cap Growth Portfolio, additional capitalization
of $2,000,000, respectively, for each Portfolio, was received on November 1,
1994. Initial capitalization of $2,500,000 for the INVESCO Balanced Portfolio
was received October 1, 1996. At June 30, 1997, Great- West's investment in the
Portfolios totaled $7,922,997.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
The following is a summary of the significant accounting policies of
the Fund:
Dividends
Dividends from investment income of the Mid-Cap, INVESCO Balanced,
INVESCO Small-Cap Growth, and T. Rowe Price Equity/Income portfolios are
declared and reinvested semi-annually. Dividends from investment income of the
International Equity and INVESCO ADR portfolios are declared and reinvested
annually. Dividends from capital gains of all portfolios are declared in the
fiscal year in which they have been earned and are reinvested in additional
shares at net asset value.
Security Transactions
Security transactions are accounted for on the date investments are
purchased or sold (trade date). The cost of investments sold is determined on
the basis of the first-in, first-out method (FIFO).
Security Valuation
Securities traded on national securities exchanges are valued daily at
the closing prices of the securities on these exchanges, and securities traded
on over-the-counter markets are valued daily at the average between the quoted
bid and asked prices. Short-term securities are valued at amortized cost which
approximates market value.
The Portfolios may own certain investment securities which are
restricted as to resale under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally to
qualified institutional buyers. These securities are valued after giving due
consideration to pertinent factors including recent private sales, market
conditions, and the issuer's financial performance. Aggregate cost and fair
value of these restricted securities held at June 30, 1997 were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
International Equity
Portfolio Mid-Cap Portfolio
----------------------------- --------------------------
Aggregate Cost $ 277,850 $ 418,241
Aggregate Fair Value $ 309,920 $ 793,030
Percent of Net Assets 0.24% 0.38%
</TABLE>
Dividend income for the Portfolios is accrued as of the ex-dividend
date and interest income is recorded daily.
Foreign Currency Translation
The accounting records of the International Equity, Mid-Cap, and T.
Rowe Price Equity/Income Portfolios 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 current exchange rate. Purchases and
sales of securities, income receipts and expense payments are translated into
U.S. dollars at the exchange rate on the dates of the transactions.
The International Equity, Mid-Cap, and T. Rowe Price Equity/Income
Portfolios isolate that portion of the results of operations resulting from
changes in foreign exchange rates from the fluctuations arising from changes in
market prices of securities held.
Net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, and
currency gains or losses realized between the amounts of dividends, interest,
and foreign withholding taxes recorded by the International Equity, Mid-Cap, and
T. Rowe Price Equity/Income Portfolios, and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign exchange gains and
losses arise from changes in the value of assets and liabilities including
investments in securities at fiscal year end, resulting from changes in the
exchange rate.
Federal Income Taxes
For federal income tax purposes, each Portfolio of the Fund qualifies
as a regulated investment company under the provisions of the Internal Revenue
Code by distributing substantially all of its taxable net income (both ordinary
and capital gain) to its shareholders and complying with other requirements for
regulated investment companies. Accordingly, no provision for federal income
taxes has been made.
3. INVESTMENT ADVISORY AGREEMENT
The Fund had entered into an investment advisory agreement with
Great-West through October 31, 1996. Effective November 1, 1996, a wholly-owned
subsidiary of the Company, GW Capital Management, Inc., serves as investment
advisor. As compensation for its services to the Fund, the investment advisor
receives monthly compensation at the annual rate of .80% of the average daily
net assets of the T. Rowe Price Equity/Income Portfolio, .95% of the average
daily net assets of the INVESCO Small-Cap Growth and Mid- Cap Portfolios, and
1.00% of the average net assets of the International Equity, INVESCO ADR, and
INVESCO Balanced Portfolios. However, Great-West pays any expenses which exceed
an annual rate, including management fees, of 1.50%, 1.10%, 1.10%, and .95% of
the average daily net assets of the International Equity, INVESCO Small-Cap
Growth, Mid-Cap, and T. Rowe Price Equity/Income Portfolios, respectively. At
March 1, 1996, the investment advisor pays any expenses which exceed an annual
rate, including management fees of 1.30% of the average net assets of the
INVESCO ADR Portfolio which has changed from the 1.50% rate which was effective
for the first two months of 1996 and all of 1995.
4. PURCHASES AND SALES OF SECURITIES
Costs of purchases of U.S. Government obligations and other securities,
excluding short-term securities, during the year ended June 30, 1997 were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S. Government Obligations Other Securities
-------------------------------- --------------------------------
Portfolio
International Equity $ $ 33,139,713
INVESCO ADR 5,527,612
INVESCO Balanced 8,006,016 38,074,261
INVESCO Small-Cap Growth 43,846,225
Mid-Cap 96,472,128
T. Rowe Price Equity/Income 44,918,821
</TABLE>
The proceeds from sales of U.S. Government obligations and other
securities, excluding short-term securities, during the year ended June 30, 1997
were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S. Government Obligations Other Securities
-------------------------------- --------------------------------
Portfolio
International Equity $ $ 12,129,923
INVESCO ADR 1,715,434
INVESCO Balanced 1,798,797 17,197,302
INVESCO Small-Cap Growth 33,456,760
Mid-Cap 111,636,304
T. Rowe Price Equity/Income 75,000 12,323,618
</TABLE>
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as
follows as of June 30, 1997:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
INVESCO T. Rowe
International INVESCO INVESCO Small-Cap Price
Equity ADR Balanced Growth Mid-Cap Equity/Incom
e
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
---------------- --------------- --------------- ---------------- --------------- ---------------
Gross appreciation $ 25,787,268 $ 2,444,886 $ 2,492,834 $ 5,363,270 $ 45,453,097 $ 15,659,031
Gross depreciation (4,057,550) (47,397) (385,160) (804,005) (1,608,690) (674,678)
---------------- --------------- --------------- ---------------- --------------- ---------------
Net unrealized
appreciation $ 21,729,718 $ 2,397,489 $ 2,107,674 $ 4,559,265 $ 43,844,407 $ 14,984,353
(depreciation)
================ =============== =============== ================ =============== ===============
</TABLE>
<PAGE>
6. FORWARD FOREIGN CURRENCY CONTRACTS
The following forward foreign currency contracts were held at June 30,
1997:
MID-CAP PORTFOLIO
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Unrealized
Delivery Value Settlement Gain (Loss)
Sales (Local Currency) Date (USD)
- ------------------------------ ---------------------- ---------------------------- ------------------------------
British Pound 1,200,000 18-Jul-97 $ 4,262
British Pound 2,700,000 24-Jul-97 (5,749)
British Pound 1,200,000 28-Jul-97 (54,993)
British Pound 1,500,000 20-Aug-97 (101,563)
British Pound 590,000 11-Sep-97 (37,701)
British Pound 2,600,000 28-Nov-97 (95,615)
------------------------------
$ (291,359)
==============================
</TABLE>
<PAGE>
MAXIM SERIES FUND, INC.
Financial Statements and Financial Highlights for
the Period Ended June 30, 1997 and 1996
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT U.S.
GRADE SHORT-TERM SMALL-CAP GOVERNMENT
FOREIGN GROWTH CORPORATE MATURITY AGGRESSIV MORTGAGE VALUE
EQUITY INDEX BOND BOND GROWTH SECURITIES INDEX
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ---------------- ---------------- ---------------- --------------- ----------------- -----------
ASSETS:
Investments at value:
Short-term
investments $ 29,970,607 $ 2,036,000 $ 987,000 $ 614,000 $ 20,516,341 $ 22,744,039 $2,230,000
Bonds 2,557,590 104,136,388 54,131,147 143,039,898
Common stocks 60,512,566 124,339,631 118,008,462 173,069,856
Preferred stocks 814,344
--------------- ---------------- ---------------- ---------------- --------------- ----------------- -----------
Total investments
(cost $87,086,222;
$98,496,656 93,855,107 126,375,631 105,123,388 54,745,147 138,524,803 165,783,937 175,299,856
$104,872,954;
$54,593,454; $121,710,483;
$163,212,701; $133,412,422)
Cash 11,079 27,373 2,043,267 7,059
Dividends and
interest receivable 115,636 147,330 1,866,322 934,384 135,252 863,007 321,920
Receivables for
securities sold 233,495 383,377 134,889 264,810 152,007 567,818
Subscriptions
receivable 7,399,351 8,573,577 960,438 567,258 7,387,626 10,795,053 12,919,228
--------------- ---------------- ---------------- ---------------- --------------- ----------------- -----------
Total assets 101,603,589 135,479,915 107,961,227 56,381,678 146,339,864 179,637,271 189,115,881
LIABILITIES:
Due to GW Capital
Management 79,544 65,876 54,283 25,042 113,391 75,367 92,913
Redemptions payable 145,210
Payables for securities
purchased 5,799,807 2,035,997 986,830 6,705,404 7,414,415 30,676,385 2,229,616
--------------- ---------------- ---------------- ---------------- --------------- ----------------- ----------
Total liabilities 5,879,351 2,101,873 1,186,323 6,730,446 7,527,806 30,751,752 2,322,529
--------------- ---------------- ---------------- ---------------- --------------- ----------------- -----------
NET ASSETS $ 95,724,238 $ 133,378,042 $ 106,774,904 $ 49,651,232 $ 138,812,058 $ 148,885,519 $186,793,352
=============== ================ ================ ================ =============== ================= ==============
NET ASSETS REPRESENTED BY:
Capital stock,
$.10 par value $8,741,195 $ 7,561,762 $ 8,395,907 $ 4,929,429 $ 8,835,135 $ 12,875,267 $ 11,052,850
Additional paid-
in capital 77,772,841 95,046,752 99,315,307 44,611,634 105,341,023 136,792,812 129,250,253
Net unrealized
appreciation on
investments 7,160,583 27,878,975 250,434 151,693 16,814,320 2,571,236 41,887,434
Undistributed
net investment
income (289,735) (6,053) 54,962 22,971 446,212 351,261 (6,919)
Accumulated net
short-term realized
gain(loss)on 1,488,664 (9,470) (1,460,947) (63,554) 5,075,012 (336,274) 205,354
investments
Accumulated net
long-term realized
gain (loss) on 1,242,388 2,906,076 219,241 (941) 2,300,356 (3,368,783) 4,404,380
investments
Net unrealized
(depreciation) on
translation of assets
and liabilities
denominated in
foreign currencies (391,698)
--------------- ---------------- ---------------- ---------------- --------------- ----------------- -------------
NET ASSETS $ 95,724,238 $ 133,378,042 $ 106,774,904 $ 49,651,232 $ 138,812,058 $ 148,885,519 $ 186,793,352
=============== ================ ================ ================ =============== ================= ==============
NET ASSET VALUE
PER OUTSTANDING
SHARE $ 1.0951 $ 1.7638 $ 1.2717 $ 1.0072 $ 1.5711 $ 1.1564 $ 1.6900
=============== ================ ================ ================ =============== ================= ==============
SHARES OF CAPITAL STOCK:
Authorized 100,000,000 100,000,000 100,000,000 100,000,000 100,000,000 200,000,000 200,000,000
Outstanding 87,411,950 75,617,618 83,959,069 49,294,293 88,351,348 128,752,665 110,528,505
</TABLE>
See notes to financial statements.
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT U.S.
GRADE SHORT- SMALL-CAP GOVERNMENT
TERM
FOREIGN GROWTH CORPORATE MATURITY AGGRESSIVE MORTGAGE VALUE
EQUITY INDEX BOND BOND GROWTH SECURITIES INDEX
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ---------------- ---------------- ---------------- ------------------ ----------
INVESTMENT INCOME:
Interest $ 309,243 $ 41,110 $ 3,460,598 $ 1,346,102 $ 468,788 $ 5,097,219 $ 51,771
Dividends 486,843 580,288 634,399 1,892,529
Less:Foreign
withholding tax (131,286) (142) (99)
-------------- ------------- ---------------- ---------------- ---------------- ------------------ -----------
Total income 664,800 621,398 3,460,598 1,346,102 1,103,045 5,097,219 1,944,201
EXPENSES:
Salaries 3,569 7,526
LegalandSECfees 5,574 16,513
Directors' fees 746 991
Auditing fees 8,260 3,410
Investment
administration 61,452 40,239
Bank and custodial
fees 65,653 20,516
Other expenses 15,193 9,541
Management fee 417,428 316,167 305,807 132,173 538,135 423,215 450,924
-------------- ------------- ---------------- ---------------- ----------------
Total expenses 577,875 316,167 305,807 132,173 636,871 423,215 450,924
-------------- ------------- ---------------- ---------------- ---------------- ------------------ -----------
Less amount paid
by GW Capital
Management 18,597 1,702
-------------- ------------- ---------------- ---------------- ---------------- ------------------ -----------
Net expenses 559,278 316,167 305,807 132,173 635,169 423,215 450,924
-------------- ------------- ---------------- ---------------- ---------------- ------------------ ------------
NET
INVESTMENT INCOME 105,522 305,231 3,154,791 1,213,929 467,876 4,674,004 1,493,277
------------- ------------- ---------------- ---------------- ---------------- ------------------ --------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net short-term realized
gain (loss) on
investments (4,833) 85,578 (222,378) (3,475) 4,836,900 7,881 202,822
Net long-term
realized gain on
investments 2,556,736 3,029,357 139,190 (941) 1,903,520 27,952 4,404,934
Change in net
unrealized appreciation
(depreciation) on (776,986) 15,672,782 (397,178) 10,222 6,954,511 215,677 18,681,505
investments
Change in net unrealized
(depreciation) on translation of
assets and liabilities
denominated in foreign
currencies 1,648,668
-------------- ------------- ---------------- ---------------- ---------------- ------------------ ------------
Net change in realized
and unrealized appreciation
(depreciation) on
investments 3,423,585 18,787,717 (480,366) 5,806 13,694,931 251,510 23,289,261
-------------- ------------- ---------------- ---------------- ---------------- ------------------ -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS
$ 3,529,107 $ 19,092,948 $ 2,674,425 $ 1,219,735 $ 14,162,807 $ 4,925,514 $ 24,782,538
============== ============= ================ ================ ================ ================== ============
</TABLE>
See notes to financial statements.
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM
FOREIGN INVESTMENT GRADE MATURITY
EQUITY GROWTH INDEX CORPORATE BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------- ----------------------------- ------------------------------ --------------------------
1997 1996 1997 1996 1997 1996 1997 1996
-------------- -------------- --------------- -------------- --------------- --------------- --------------- -------
INCREASE IN NET ASSETS: (A)
OPERATIONS:
Net investment
income $ 105,522 $ 225,757 $ 305,231 $ 226,203 $ 3,154,791 $ 2,789,469 $ 1,213,929 $590,277
Net short-
term realized
gain (loss) (4,833) 1,308,364 85,578 83,210 (222,378) (1,130,275) (3,475) (46,202)
Net long-term
realized
gain (loss) 2,556,736 1,015,334 3,029,357 68,468 139,190 61,411 (941)
Change in net
unrealized appreciation
(depreciation)(776,986) 2,628,061 15,672,782 5,248,794 (397,178) (3,028,834) 10,222 (264,786)
Change in net
unrealized (depreciation)
on translation of
assets and liabilities
denominated in
foreign
currencies 1,648,668 (866,102)
-------------- -------------- --------------- -------------- --------------- --------------- --------------- ---------
Net increase in net assets
resulting from
operations 3,529,107 4,311,414 19,092,948 5,626,675 2,674,425 (1,308,229) 1,219,735 279,289
-------------- -------------- --------------- -------------- --------------- --------------- --------------- --------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income and net
short-term realized
gains (138,672) (311,284) (227,079) (3,099,830) (2,773,669) (1,190,958) (585,692)
From net long-term
realized gains
-------------- -------------- --------------- -------------- --------------- --------------- --------------- ---------
Total
distributions 0 (138,672) (311,284) (227,079) (3,099,830) (2,773,669) (1,190,958) (585,692)
------------- -------------- --------------- -------------- --------------- --------------- --------------- ----------
SHARE TRANSACTIONS:
Net proceeds
from sales
of shares 14,463,269 22,851,224 31,145,525 29,786,410 9,166,284 30,983,498 12,725,524 36,238,105
Reinvestment
of distributions 138,672 311,284 227,079 3,099,830 2,773,669 1,190,958 585,692
Cost of shares
redeemed (2,374,597) (19,454,399) (603,641) (17,068,527) (5,787,957) (30,802,182) (3,797,141) (19,747,039)
-------------- -------------- --------------- -------------- --------------- --------------- --------------- ------------
Net increase in net
assets resulting from
share
transactions12,088,672 3,535,497 30,853,168 12,944,962 6,478,157 2,954,985 10,119,341 17,076,758
-------------- -------------- --------------- -------------- --------------- --------------- --------------- -----------
Total increase
in net assets
15,617,779 7,708,239 49,634,832 18,344,558 6,052,752 (1,126,913) 10,148,118 16,770,355
NET ASSETS:
Beginning of
period 80,106,459 64,403,868 83,743,210 43,515,299 100,722,152 95,210,404 39,503,114 15,618,670
-------------- -------------- --------------- -------------- --------------- --------------- --------------- ------------
End of
period $95,724,238 $ 72,112,107 $ 133,378,042 $ 61,859,857 $ 106,774,904 $ 94,083,491 $ 49,651,232 $ 32,389,025
============== ============== =============== ============== =============== =============== =============== ===============
OTHER INFORMATION:
SHARES:
Sold 13,987,223 22,621,354 19,439,134 20,927,190 7,182,635 24,200,723 12,611,194 36,108,953
Issued in
reinvestment
of distributions 138,086 175,993 156,398 2,456,165 2,176,322 1,187,018 585,995
Redeemed (2,293,725) (19,280,965) (381,117) (12,039,156) (4,530,091) (24,074,862) (3,752,801) (19,690,858)
-------------- ----------------------------- --------------- -------------- --------------- -------------- --------------
Net
increase 11,693,498 3,478,475 19,234,010 9,044,432 5,108,709 2,302,183 10,045,411 17,004,090
============= ============== =============== ============== =============== =============== =============== ==============
</TABLE>
(A) The portfolio commenced operations on August 1, 1995.
See notes to financial statements (Continued)
<PAGE>
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP
AGGRESSIVE U.S. GOVERNMENT
GROWTH MORTGAGE SECURITIES VALUE INDEX
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------- ----------------------------- ---------------------------
1997 1996 1997 1996 1997 1996
--------------- -------------- --------------- -------------- -------------- ------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income $ 467,876 $ 113,861 $ 4,674,004 $ 4,074,460 $ 1,493,277 $ 975,214
Net short-term realized gain (loss) 4,836,900 2,503,389 7,881 (614,876) 202,822 63,413
Net long-term realized gain (loss) 1,903,520 519,739 27,952 59,863 4,404,934 125,565
Change in net unrealized appreciation
(depreciation) on investments 6,954,511 1,830,471 215,677 (3,926,887) 18,681,505 3,972,574
Change in net unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies --------------- -------------- --------------- -------------- -------------- --------------
Net increase in net assets
resulting from operations 14,162,807 4,967,460 4,925,514 (407,440) 24,782,538 5,136,766
--------------- -------------- --------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net
short-term realized gains (50,596) (4,322,743) (3,865,454) (1,500,197) (976,028)
From net long-term realized gains
--------------- -------------- --------------- -------------- -------------- --------------
Total distributions 0 (50,596) (4,322,743) (3,865,454) (1,500,197) (976,028)
--------------- -------------- --------------- -------------- -------------- --------------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 45,623,600 22,710,214 11,386,565 43,380,965 40,603,553 45,137,613
Reinvestment of distributions 50,596 4,322,743 3,865,454 1,500,197 976,028
Cost of shares redeemed (919,275) (12,248,525) (5,892,468) (41,655,023) (875,765) (23,582,993)
--------------- -------------- --------------- -------------- -------------- --------------
Net increase in net assets resulting from
share transactions 44,704,325 10,512,285 9,816,840 5,591,396 41,227,985 22,530,648
--------------- -------------- --------------- -------------- -------------- --------------
Total increase in net assets 58,867,132 15,429,149 10,419,611 1,318,502 64,510,326 26,691,386
NET ASSETS:
Beginning of period 79,944,926 28,594,611 138,465,908 129,549,680 122,283,026 65,183,898
--------------- -------------- --------------- -------------- -------------- --------------
End of period $ 138,812,058 $ 44,023,760 $ 148,885,519 $ 130,868,182 $ 186,793,352 $ 91,875,284
=============== ============== =============== ============== ============== ==============
OTHER INFORMATION:
SHARES:
Sold 32,013,629 17,929,861 9,869,162 37,562,545 26,092,360 34,307,708
Issued in reinvestment
of distributions 40,885 3,772,016 3,360,779 884,510 734,076
Redeemed (652,745) (9,769,692) (5,093,372) (36,073,090) (562,591) (17,944,984)
--------------- -------------- -------------- --------------- -------------- --------------
Net increase 31,360,884 8,201,054 8,547,806 4,850,234 26,414,279 17,096,800
=============== ============== =============== ============== ============== ==============
</TABLE>
See notes to financial statements. (Concluded)
<PAGE>
MAXIM SERIES FUND, INC.
FOREIGN EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, and 1994 is as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
------------------ --------------------------------------------
1997 1996 1995 1994
------------------ ---------------- -------------------------
(A)
Net Asset Value, Beginning of Period $ 1.0580 $ 0.9871 $ 0.9515 $ 1.0000
Income From Investment Operations
Net investment income (loss) 0.0012 0.0041 0.0073 (0.0019)
Net short-term realized gain (loss) (0.0001)
Net long-term realized and unrealized gain (loss) 0.0360 0.0709 0.0398 (0.0466)
------------------ ---------------- ---------------- ---------
Total Income (Loss) From Investment Operations 0.0371 0.0750 0.0471 (0.0485)
Less Distributions
From net investment income (0.0041) (0.0115)
------------------ ---------------- ---------------- --------
Total Distributions (0.0041) (0.0115)
------------------ ---------------- ---------------- --------
Net Asset Value, End of Period $ 1.0951 $ 1.0580 $ 0.9871 $ 0.9515
================== ================ ================ =========
Total Return 7.14%* 7.61% 5.02% (4.85)%
Net Assets, End of Period $ 95,724,238 $ 80,106,459 $ 64,403,868 $ 42,760,613
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0029 $ 0.0252
Ratio of Expenses to Average Net Assets 1.33% *# 1.45% # 1.50% # 1.50% * #
Ratio of Net Investment Income to Average Net Assets 0.25% * 0.41% 0.69% (1.26)% *
Portfolio Turnover Rate 116.00% 75.65% 119.98% 19.85%
</TABLE>
* Annualized
(A) The portfolio commenced operations on November 1, 1994.
# Percentage is shown net of expenses reimbursed by The Great-West Life
Assurance Company or GW Capital Management, Inc.
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
GROWTH INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
---------------- ------------------------------------------------------------------
1997 1996 1995 1994 1993
---------------- ---------------- ---------------- ---------------- -----------
(A)
Net Asset Value, Beginning of Period $ 1.4852 $ 1.3459 $ 1.0120 $ 1.0064 $ 1.0000
Income From Investment Operations
Net investment income 0.0040 0.0114 0.0127 0.0133 0.0015
Net short-term realized gain (loss) 0.0011 0.0084 0.0038
Net long-term realized and unrealized 0.2776 0.2767 0.3394 0.0056 0.0064
gain
---------------- ---------------- ---------------- ---------------- ----------
Total Income From Investment 0.2827 0.2965 0.3559 0.0189 0.0079
Operations
Less Distributions
From net investment income and
net short-term realized gains (0.0041) (0.0198) (0.0165) (0.0133) (0.0015)
From net long-term realized gains (0.1374) (0.0055)
---------------- ---------------- ---------------- ---------------- ---------
Total Distributions (0.0041) (0.1572) (0.0220) (0.0133) (0.0015)
---------------- ---------------- ---------------- ---------------- -----------
Net Asset Value, End of Period $ 1.7638 $ 1.4852 $ 1.3459 $ 1.0120 $ 1.0064
================ ================ ================ ================ ===========
Total Return 41.70%* 22.10% 35.29% 1.93% .79%
Net Assets, End of Period $ 133,378,042 $ 83,743,210 $ 43,515,299 $ 14,171,307 $ 3,099,916
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0194 $ 0.0358
Ratio of Expenses to Average Net 0.60% * 0.60% 0.60% 0.60% 0.59%*
Assets
Ratio of Net Investment Income
to Average Net Assets 0.58% * 0.83% 1.15% 1.57% 1.98%*
Portfolio Turnover Rate 8.00% 41.55% 17.90% 18.50% 0.06%
</TABLE>
* Annualized
(A) The portfolio commenced operations on December 1, 1993.
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
INVESTMENT GRADE CORPORATE BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
---------------- --------------------------------------------------------------
1997 1996 1995 1994 1993
---------------- ----------------- --------------- --------------- ---------------
Net Asset Value, $1.2774 $1.3161 $ 1.2019 $ 1.3090 $ 1.2957
Beginning of Period
Income From Investment Operations
Net investment income 0.0386 0.0777 0.0794 0.0665 0.0691
Net short-term realized gain (0.0026) 0.0022
(loss)
Net long-term realized and
unrealized gain (loss) (0.0036) (0.0387) 0.1142 (0.1071) 0.0452
---------------- ----------------- --------------- --------------- ---------------
Total Income (Loss) From
Investment Operations 0.0324 0.0390 0.1958 (0.0406) 0.1143
Less Distributions
From net investment income and
net short-term realized gains (0.0381) (0.0777) (0.0816) (0.0665) (0.0686)
From net long-term realized (0.0324)
gains
---------------- ----------------- --------------- --------------- ---------------
Total Distributions (0.0381) (0.0777) (0.0816) (0.0665) (0.1010)
---------------- ----------------- --------------- --------------- ---------------
Net Asset Value, End of Period $1.2717 $1.2774 $ 1.3161 $ 1.2019 $ 1.3090
================ ================= =============== =============== ===============
Total Return 5.24%* 3.14% 16.71% (3.15)% 8.95%
Net Assets, End of Period $106,774,904 $100,722,152 $ 95,210,404 $ 71,276,294 $ 63,585,296
Ratio of Expenses
to Average Net Assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of Net Investment Income
to Average Net Assets 6.18% * 6.08% 6.30% 5.37% 5.13%
Portfolio Turnover Rate 37.00% * 118.50% 159.21% 51.66% 151.14%
</TABLE>
* Annualized
(A) The portfolio commenced operations on November 1, 1992.
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
SHORT-TERM MATURITY BOND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996 and 1995 is as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
--------------------- -----------------------------------------
1997 1996 1995
--------------------- ------------------- --------------------
(A)
Net Asset Value, Beginning of Period $1.0065 $ 1.0092 $ 1.0000
Income From Investment Operations
Net investment income 0.0263 0.0489 0.0194
Net short-term realized gain (0.0001) 0.0013
Net long-term realized and unrealized gain (loss) 0.0004 (0.0027) 0.0092
--------------------- ------------------- --------------------
Total Income From Investment Operations 0.0266 0.0462 0.0299
Less Distributions
From net investment income and net short-term realized (0.0259) (0.0489) (0.0207)
gains
--------------------- ------------------- --------------------
Total Distributions (0.0259) (0.0489) (0.0207)
--------------------- ------------------- --------------------
Net Asset Value, End of Period $1.0072 $ 1.0065 $ 1.0092
===================== =================== ====================
Total Return 5.43%* 4.70% 3.02%
Net Assets, End of Period $49,651,232 $ 39,503,114 $ 15,618,670
Ratio of Expenses to Average Net Assets 0.60% * 0.60% 0.53% *
Ratio of Net Investment Income to Average Net Assets 5.51% * 5.15% 4.61% *
Portfolio Turnover Rate 53.00% 51.71% 97.87%
</TABLE>
* Annualized
(A) The portfolio commenced operations on August 1, 1995.
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
SMALL-CAP AGGRESSIVE GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, and 1994 is as
follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
----------------- --------------------------------------------------
1997 1996 1995 1994
----------------- ---------------- ----------------- -------------
(A)
Net Asset Value, Beginning of Period $1.4028 $1.1605 $0.9755 $1.0000
Income From Investment Operations
Net investment income (loss) 0.0053 0.0091 0.0075 (0.0016)
Net short-term realized gain 0.0547 0.0597 0.0878
Net long-term realized and unrealized gain (loss) 0.1083 0.2779 0.1962 (0.0229)
----------------- ---------------- ----------------- ------------
Total Income (Loss) From Investment Operations 0.1683 0.3467 0.2915 (0.0245)
Less Distributions
From net investment income and net
short-term realized gains (0.0688) (0.0945)
From net long-term realized gains (0.0356) (0.0120)
----------------- ---------------- ----------------- ------------
Total Distributions (0.1044) (0.1065)
----------------- ---------------- ----------------- -------------
Net Asset Value, End of Period $1.5711 $1.4028 $1.1605 $0.9755
================= ================ ================= ============
Total Return 25.44%* 30.09% 29.96% (2.46)%
Net Assets, End of Period $138,812,058 $79,944,926 $28,594,611 $12,963,409
Average Commission Rate Paid
Per Share Bought or Sold $0.0549 $0.0573
Ratio of Expenses to Average Net Assets 1.18% *# 1.26% # 1.30% # 1.26% * #
Ratio of Net Investment Income to Average Net 0.87% * 0.98% 0.65% (1.08)% *
Assets
Portfolio Turnover Rate 42.00% 62.63% 99.48% 8.84%
</TABLE>
* Annualized
(A) The portfolio commenced operations on November 1, 1994.
# Percentage is shown net of expenses reimbursed by The Great-West Life
Assurance Company or GW Capital Management, Inc. (Continued)
<PAGE>
MAXIM SERIES FUND, INC.
U.S. GOVERNMENT MORTGAGE SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997, and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Sixth Months
Ended
June 30, Year Ended December 31,
------------------ ----------------------------------------------------------------
1997 1996 1995 1994 1993
------------------ ---------------- ---------------- ---------------- -----------------
Net Asset Value, Beginning of $1.1519 $ 1.1786 $1.0917 $ 1.1813 $1.1503
Period
Income From Investment
Operations
Net investment income 0.0375 0.0751 0.0781 0.0620 0.0788
Net short-term realized gain (loss) 0.0001
Net realized and unrealized
gain (loss) 0.0017 (0.0267) 0.0869 (0.0896) 0.0315
------------------ ---------------- ---------------- ---------------- -----------------
Total Income (Loss) From
Investment Operations 0.0393 0.0484 0.1650 (0.0276) 0.1103
Less Distributions
From net investment income (0.0348) (0.0751) (0.0781) (0.0620) (0.0788)
From net realized gains (0.0005)
------------------ ---------------- ---------------- ---------------- -----------------
Total Distributions (0.0348) (0.0751) (0.0781) (0.0620) (0.0793)
------------------ ---------------- ---------------- ---------------- -----------------
Net Asset Value, End of Period $1.1564 $ 1.1519 $1.1786 $ 1.0917 $1.1813
================== ================ ================ ================ =================
Total Return 7.04%* 4.29% 15.55% (2.34)% 9.65%
Net Assets, End of Period $148,885,519 $ 138,465,908 $129,549,680 $ 93,386,366 $77,052,883
Ratio of Expenses to
Average Net Assets 0.60% * 0.60% 0.60% 0.60% 0.60%
Ratio of Net Investment Income
to Average Net Assets 6.62% * 6.51% 6.84% 5.67% 8.12%
Portfolio Turnover Rate 36.00% 94.63% 188.04% 331.42% 17.78%
</TABLE>
* Annualized
(Continued)
<PAGE>
MAXIM SERIES FUND, INC.
VALUE INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of capital stock of the portfolio for the six months
ended June 30, 1997 and the years ended December 31, 1996, 1995, 1994, and 1993
is as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six Months
Ended
June 30, Year Ended December 31,
---------------------------------------------------------
---------------
1997 1996 1995 1994 1993
--------------- --------------- ---------------- --------------- --------
(A)
Net Asset Value, Beginning of Period $ 1.4538 $ 1.2623 $ 0.9614 $ 1.0118 $ 1.0000
Income From Investment Operations
Net investment income 0.0136 0.0298 0.0305 0.0253 0.0014
Net short-term realized gain (loss) 0.0018 0.0101 0.0054
Net long-term realized and unrealized gain (loss) 0.2345 0.2186 0.3144 (0.0504) 0.0119
--------------- --------------- ---------------- --------------- --------
Total Income (Loss) From Investment 0.2499 0.2585 0.3503 (0.0251) 0.0133
Operations
Less Distributions
From net investment income and
net short-term realized gains (0.0137) (0.0399) (0.0359) (0.0253) (0.0014)
From net long-term realized gains (0.0271) (0.0135) (0.0001)
--------------- --------------- ---------------- ----------- ------------
Total Distributions (0.0137) (0.0670) (0.0494) (0.0253) (0.0015)
--------------- --------------- ---------------- -------------------------
Net Asset Value, End of Period $ 1.6900 $ 1.4538 $ 1.2623 $ 0.9614 $ 1.0118
=============== =============== ================ ========================
Total Return 37.34%* 20.63% 36.80% (2.49)% 1.32%
Net Assets, End of Period $ 186,793,352 $ 122,283,026 $ 65,183,898 $ 25,610,474 $4,337,142
Average Commission Rate Paid
Per Share Bought or Sold $ 0.0222 $ 0.0377
Ratio of Expenses to Average Net Assets 0.60% * 0.60% 0.60% 0.60% 0.59%*
Ratio of Net Investment Income
to Average Net Assets 1.99% * 2.38% 2.87% 3.18% 2.11%*
Portfolio Turnover Rate 11.00% 16.31% 18.11% 16.88% 8.99%
</TABLE>
* Annualized
(A) The portfolio commenced operations on December 1, 1993.
(Concluded)
<PAGE>
MAXIM SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
SIX MONTHS ENDED JUNE 30, 1997 AND 1996
1. HISTORY OF THE FUND
Maxim Series Fund, Inc. (the Fund) is a Maryland corporation organized
on December 7, 1981 as an open-end management investment company. Interests in
the Foreign Equity, Growth Index, Investment Grade Corporate Bond, Short-Term
Maturity Bond, Small-Cap Aggressive Growth, U.S. Government Mortgage Securities,
and Value Index portfolios (the Portfolios) are represented by separate classes
of beneficial interest of the Fund. Shares of the Fund are sold only to
FutureFunds Series Account II, Qualified Series Account, and Retirement Plan
Series Account of Great-West Life & Annuity Insurance Company (the Company), to
fund benefits under variable annuity contracts issued by the Company and to the
TNE Series (k) Account of Metropolitan Life Insurance Company ("Met") to fund
benefits under variable annuity contracts issued by Met. The shares are sold at
a price equal to the respective net asset value per share of each class of
shares.
Initial capitalization of $100,000 for the Fund was received on
February 25, 1982 from the parent of the Company, The Great-West Life Assurance
Company (Great-West). In conjunction with the addition of the Short- Term
Maturity Bond Portfolio, additional capitalization of $3,500,000 was received on
August 1, 1995. At June 30, 1997, Great-West's investment in the Portfolio
totaled $440,056.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
The following is a summary of the significant accounting policies of
the Fund:
Dividends
Dividends from investment income of the Investment Grade Corporate
Bond, Short-Term Maturity Bond, and the U.S. Government Mortgage Securities
Portfolios are declared and reinvested quarterly. Dividends from investment
income of the Growth Index, and the Value Index Portfolios are declared and
reinvested semi-annually. Dividends from investment income of the Foreign Equity
and Small-Cap Aggressive Growth are declared and reinvested annually. Dividends
from capital gains of all portfolios are declared in the fiscal year in which
they have been earned and are reinvested in additional shares at net asset
value.
Security Transactions
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). The cost of investments sold is determined on
the basis of the first-in, first-out method (FIFO) for the Foreign Equity,
Growth Index, Small-Cap Aggressive Growth, and Value Index Portfolios and
specific lot selection for all other portfolios.
The U.S. Government Mortgage Securities Portfolio may enter into
repurchase agreements which settle at a specified future date. Amounts owing to
brokers under these agreements are included in Payables for Investments
Purchased in the accompanying financial statements. These liabilities were
$17,030,600 and $21,733,736 at June 30, 1997 and 1996, respectively, and are
collateralized by securities of approximately the same value.
Security Valuation
Securities traded on national securities exchanges are valued daily at
the closing prices of the securities on these exchanges, and securities traded
on over-the-counter markets are valued daily at the average between the quoted
bid and asked prices. Short-term securities are valued at amortized cost which
approximates market value.
The portfolios may own certain investment securities which are
restricted as to resale under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally to
qualified institutional buyers. These securities are valued after giving due
consideration to pertinent factors including recent private sales, market
conditions, and the issuer's financial performance. Aggregate cost and fair
value of these restricted securities held at December 31, 1996 were as follows:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Investment Grade Short-Term
Foreign Equity Corporate Maturity
Portfolio Bond Portfolio Bond Portfolio
------------------------ ------------------------------- --------------------------------
Aggregate Cost $ $956,610 $ 9,145,110 $ 1,997,800
Aggregate Fair Value $ $911,840 $ 9,316,050 $ 1,995,060
Percent of Net Assets 1.04% 8.72% 4.02%
</TABLE>
Dividend income for the Portfolios is accrued as of the ex-dividend
date and interest income is recorded daily.
Foreign Currency Translations
The accounting records of the Foreign Equity Portfolio 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
current exchange rate. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at the exchange rate on the
dates of the transactions.
The Foreign Equity Portfolio isolates that portion of the results of
operations resulting from changes in foreign exchange rates from the
fluctuations arising from changes in market prices of securities held.
Net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, and
currency gains or losses realized between the amounts of dividends, interest,
and foreign withholding taxes recorded by the Foreign Equity Portfolio, and the
U.S. dollar equivalent of the amounts actually received or paid. Net unrealized
foreign exchange gains and losses arise from changes in the value of assets and
liabilities including investments in securities at fiscal year end, resulting
from changes in the exchange rate.
Federal Income Taxes
For federal income tax purposes, each Portfolio of the Fund qualifies
as a regulated investment company under the provisions of the Internal Revenue
Code by distributing substantially all of its taxable net income (both ordinary
income and capital gains) to its shareholders and complying with other
requirements for regulated investment companies. Accordingly, no provision for
federal income taxes has been made. At June 30, 1997, the Foreign Equity,
Investment Grade Corporate Bond, Short-Term Maturity Bond and U.S. Government
Mortgage Securities Portfolios had available for federal income tax purposes
unused capital loss carryovers of $482,331, $1,336,369, $60,082, and $3,908,417,
respectively, which expire between 2002 and 2004.
3. INVESTMENT ADVISORY AGREEMENT
The Fund had entered into an investment advisory agreement with
Great-West through October 31, 1996. Effective November 1, 1996, a wholly-owned
subsidiary of the Company, GW Capital Management, Inc., serves as investment
advisor. As compensation for its services to the Fund, the investment advisor
receives monthly compensation at the annual rate of .60% of the average daily
net assets of the Growth Index Portfolio, Investment Grade Corporate Bond
Portfolio, Short-Term Maturity Bond Portfolio, U.S. Government Mortgage
Securities Portfolio, and Value Index Portfolio and 1.00% of the average daily
net assets of the Foreign Equity Portfolio and Small-Cap Aggressive Growth
Portfolio. However, the investment advisor shall pay any expenses of the Fund
which exceed an annual rate, including management fees, of 1.50% and 1.30% of
the average daily net assets of the Foreign Equity and Small-Cap Aggressive
Growth Portfolios, respectively.
4. PURCHASES AND SALES OF SECURITIES
Costs of purchases of U.S. Government obligations and other securities,
excluding short-term investments, during the six months ended June 30, 1997
were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S. Government
Obligations Other Securities
-------------------------------- --------------------------------
Portfolio
Foreign Equity $ $ 84,127,054
Growth Index 30,948,546
Investment Grade Corporate Bond 3,253,565 39,814,185
Short-Term Maturity Bond 1,986,016 36,680,540
Small-Cap Aggressive Growth 72,654,943
U.S. Government Mortgage 57,255,259
Securities
Value Index 44,827,594
</TABLE>
The proceeds from sales of U.S. Government obligations and other
securities, excluding short-term investments, during the six months ended June
30, 1997 were:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
U.S. Government
Obligations Other Securities
-------------------------------- --------------------------------
Portfolio
Foreign Equity $ $ 98,984,284
Growth Index 8,340,144
Investment Grade Corporate Bond 5,989,375 31,045,000
Short-Term Maturity Bond 5,768,390 17,334,716
Small-Cap Aggressive Growth 38,800,194
U.S. Government Mortgage 49,495,870 15,615,538
Securities
Value Index
</TABLE>
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as
follows as of June 30, 1997:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT U.S.
GRADE SHORT-TERM SMALL-CAP GOVERNMENT
FOREIGN GROWTH CORPORATE MATURITY AGGRESSIVE MORTGAGE VALUE
EQUITY INDEX BOND BOND GROWTH SECURITIES INDEX
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ -------------- -------------- ----------- ---------------- -------------
Gross
appreciation $7,347,450 $29,850,301 $834,905 $217,161 $19,396,480 $ 2,918,378 $ 42,843,083
Gross
depreciation (578,565) (1,971,326) (584,471) (65,468) (2,582,160) (347,142) (955,649)
----------- ------------- ----------- --------------- -------------- ------------------ ---------------
Net unrealized $6,768,885 $27,878,975 $250,434 $151,693 $16,814,320 $2,571,236 $ 41,887,434
appreciation
============= ============ ========= ============== ============== ================ ===================
</TABLE>
*****************
Maxim Series Fund
Bond Portfolio
BONDS
AIR --- 4.1%
3,000,000 America West Airlines 2,993,100
Pass Thru Certificates
6.860% July 2, 2004
$2,993,100
CANADIAN - PROVINCIAL --- 4.1%
3,000,000 Manitoba 2,995,590
Global Notes
6.750% March 1, 2003
$2,995,590
COMMUNICATIONS --- 6.4%
2,000,000 Summit Communications Group Inc 2,172,500
Senior Subordinated Debentures
10.500% April 15, 2005
2,500,000 US West Capital Funding Inc 2,497,325
Notes
6.850% January 15, 2002
$4,669,825
CONSUMER SERVICES --- 4.1%
3,000,000 Columbia/HCA Healthcare 3,015,600
Medium Term Notes
6.875% July 15, 2001
$3,015,600
CREDIT INSTITUTIONS --- 24.4%
3,000,000 American Express Credit Corp 2,930,220
Senior Notes
6.125% November 15, 2001
3,000,000 Associates Corp of North America 2,825,190
Senior Notes
5.750% October 15, 2003
2,000,000 Capital One Bank 2,022,480
Medium Term Notes
7.350% June 20, 2000
2,000,000 Chrysler Financial Corp 2,003,160
Medium Term Notes
6.520% July 21, 1999
3,000,000 Countrywide Funding Corp 2,892,749
Medium Term Notes
6.280% January 15, 2003
2,000,000 Ford Motor Credit Co 2,108,780
Notes
8.200% February 15, 2002
3,000,000 General Electric Capital Corp 3,133,549
Eurodollar Medium Term Notes
8.100% February 15, 2002
$17,916,128
ELECTRIC --- 12.2%
2,000,000 Commonwealth Edison Co 2,018,894
First Mortgage Bonds
7.500% January 1, 2001
3,000,000 Gulf States Utilities Co 2,900,820
First Mortgage Med. Term Notes
6.410% August 1, 2001
3,000,000 Iberdrola International# 3,012,030
Notes
7.125% June 1, 2003
1,000,000 Ohio Edison Co 1,042,440
First Mortgage Bonds
8.250% April 1, 2002
$8,974,184
FOREIGN BANKS --- 8.2%
3,000,000 Bayerische Landesbanken NY 2,990,424
Medium Term Notes
6.375% August 31, 2000
3,000,000 Export-Import Bank of Korea 3,019,200
Eurodollar Notes
7.250% June 25, 2001
$6,009,624
HIGHWAYS --- 4.3%
3,000,000 Zhuhai Highway Company Ltd# 3,134,670
Senior Notes
9.125% July 1, 2006
$3,134,670
MFTG - CONSUMER PRODS. --- 7.0%
2,000,000 Fomento Economico Mexicano SA 2,010,000
Eurodollar Notes
9.500% July 22, 1997
3,000,000 Fruit of the Loom Inc Class A 3,090,000
Senior Notes
7.875% October 15, 1999
$5,100,000
RAILROADS --- 4.1%
3,000,000 National Rail Corp# 3,028,500
Yankee Debentures
7.470% August 8, 2010
$3,028,500
REAL ESTATE --- 4.0%
3,000,000 Highwoods/Forsyth LP 2,941,620
Notes
6.750% December 1, 2003
$2,941,620
SECURITIES & COMMODITIES --- 2.7%
2,000,000 World Financial Network Credit Card Master Trust 2,010,410
Credit Card MST TR 1996-B Cl A
6.950% April 15, 2006
$2,010,410
SUPRANATIONALS --- 4.4%
3,000,000 Inter-American Development Bank 3,234,819
Eurodollar Notes
8.875% August 22, 2001
$3,234,819
U.S. GOVERNMENTS --- 1.4%
1,000,000 United States of America 997,190
Treasury Notes
6.500% August 15, 2005
$997,190
WHOLE LOAN --- 3.4%
2,500,000 GE Capital Mortgage Services Inc 2,463,275
CMO Series 1994-13 Class A2
6.500% April 25, 2024
$2,463,275
WHOLESALE TRADE -CONSUMER --- 4.2%
3,000,000 SuperValu Inc 3,045,390
Notes
7.250% July 15, 1999
$3,045,390
TOTAL BONDS --- 98.9% $72,529,925
(Cost $72,391,767)
SHORT-TERM INVESTMENTS
SECURITIES & COMMODITIES --- 1.1%
788,000 Merrill Lynch & Co Inc 788,000
$788,000
TOTAL SHORT-TERM INVESTMENTS --- 1.1% $788,000
(Cost $788,000)
TOTAL BOND PORTFOLIO --- 100.0% $73,317,925
(Cost $73,179,767)
Maxim Series Fund
Money Market Portfolio
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 26.3%
21,400,000 American Express Credit Corp 21,220,689
5,000,000 Associates Corp of North America 5,011,730
3,000,000 Bear Stearns 3,001,578
12,900,000 Bellsouth Capital Funding Corp 12,743,738
21,000,000 Ford Motor Credit Co 20,745,714
22,800,000 Halifax Building Society 22,652,732
21,790,000 Paccar Financial Corp 21,622,427
3,000,000 Prudential Funding Corp 3,000,000
3,900,000 TransAmerica Financial Corp 3,878,342
$113,876,950
ELECTRIC --- 3.0%
5,855,000 Baltimore Gas & Electric Co 5,774,957
7,251,000 Southern California Edison Co 7,231,864
$13,006,821
ELECTRONICS - HIGH TECH --- 13.8%
22,500,000 General Electric Co 22,392,475
21,500,000 Sharp Electronics Corp 21,337,333
16,200,000 Xerox Corp 16,047,248
$59,777,056
FOREIGN BANKS --- 5.2%
3,000,000 Bank of Montreal 2,997,340
20,000,000 Bank of Nova Scotia 19,759,417
$22,756,757
HOLDING & INVEST. OFFICES --- 4.9%
21,700,000 American General Finance Corp 21,334,681
$21,334,681
INDUSTRIAL SERVICES --- 5.0%
21,500,000 PHH Corp 21,466,735
$21,466,735
INSURANCE --- 7.6%
8,500,000 AIG Funding Inc 8,378,790
21,800,000 Ameritech Capital Funding Corp 21,788,824
3,000,000 Travelers Group Inc 2,994,210
$33,161,824
LEASING --- 4.6%
20,100,000 Pitney Bowes Credit Corp 20,049,098
$20,049,098
MFTG - CONSUMER PRODS. --- 9.0%
22,900,000 Hasbro Inc 22,826,028
16,400,000 McGraw-Hill Companies Inc 16,221,421
$39,047,449
SECURITIES & COMMODITIES --- 9.6%
20,500,000 Bear Stearns Companies Inc 20,493,183
10,850,000 CS First Boston Inc 10,803,080
10,481,000 Merrill Lynch & Co Inc 10,364,392
$41,660,655
TELEPHONE --- 5.0%
21,800,000 American Telephone & Telegraph Co 21,526,666
$21,526,666
U.S. GOVERNMENTS --- 1.2%
5,000,000 Federal Home Loan Bank 5,000,000
$5,000,000
WHOLESALE TRADE -CONSUMER --- 4.8%
21,090,000 Cargill Inc 20,983,117
$20,983,117
TOTAL SHORT-TERM INVESTMENTS --- 100.0% $433,647,809
(Cost $433,647,809)
TOTAL MONEY MARKET PORTFOLIO --- 100.0% $433,647,809
(Cost $433,647,809)
Maxim Series Fund
Stock Index Portfolio
COMMON STOCK
AGENCY --- 0.6%
163,600 Federal National Mortgage Association (nonvtg) 7,137,050
$7,137,050
AGRICULTURE --- 0.1%
9,700 Agco Corp* 348,589
9,300 Dole Food Company Inc 397,575
$746,164
AIR --- 0.3%
14,000 AMR Corp* 1,295,000
4,700 ASA Holdings Inc 134,538
3,300 Airborne Freight Corp* 138,188
2,300 Alaska Air Group Inc* 58,938
11,300 Delta Air Lines Inc 926,600
6,500 Pittston Brink's Group 195,000
22,650 Southwest Airlines Co 586,069
12,300 US Air Group Inc* 430,500
$3,764,833
COMMUNICATIONS --- 3.1%
19,250 360 Communications Co* 329,656
9,600 AH Belo Corp Class A* 399,600
250,600 AT&T Corp* 8,786,537
77,600 Airtouch Communications Inc* 2,124,300
3,764 Ascent Entertainment Group Inc* 34,344
24,000 Cabletron Systems Inc* 679,488
4,893 Chris-Craft Industries Inc* 236,087
50,200 Comcast Corp Class A 1,073,025
7,700 Comsat Corp 183,352
21,800 Gannett Company Inc 2,152,750
37,250 Nextel Communications Inc Class A* 705,403
3,900 TCA Cable TV Inc 146,738
102,400 Tele-Communications Inc - TCI Group Class A* 1,523,200
9,200 Telephone & Data Systems Inc 349,020
86,200 Time Warner Inc 4,159,150
73,900 US West Communications Group 2,785,069
93,500 US West Media Group* 1,893,375
6,400 Vanguard Cellular Systems Inc Class A* 87,200
54,303 Viacom Inc Class B* 1,629,090
98,000 Westinghouse Electric Corp 2,266,250
137,740 Worldcom Inc* 4,407,680
$35,951,314
CONSTRUCTION --- 0.1%
4,500 Centex Corp 182,813
18,416 Clayton Homes Inc 262,428
2,850 Granite Construction Inc 56,288
6,100 Kaufman & Broad Home Corp 107,128
3,200 Pulte Corp 110,598
$719,255
CONSUMER SERVICES --- 8.5%
4,500 Acuson Corp* 103,500
9,000 Allegiance Corp* 245,250
10,200 Allergan Inc* 324,482
40,800 Amgen Inc* 2,371,500
8,000 Apria Healthcare Group Inc* 142,000
8,500 Bausch & Lomb Inc* 400,563
42,800 Baxter International Inc* 2,236,300
18,800 Becton Dickinson & Co* 951,750
15,400 Beverly Enterprises Inc* 250,250
11,500 Biogen Inc* 389,563
17,300 Biomet Inc* 322,213
154,200 Bristol-Myers Squibb Co 12,490,200
2,000 CPI Corp 42,000
8,900 CR Bard Inc* 323,177
63,012 CUC International Inc* 1,626,466
25,760 CVS Corp 1,320,200
7,200 Carter-Wallace Inc 128,700
15,300 Circus Circus Enterprises Inc* 376,763
102,963 Columbia/HCA Healthcare Corp 4,047,681
8,975 Covance Inc* 173,325
2,500 Datascope Corp* 49,063
2,100 Diagnostic Products Corp 66,280
85,600 Eli Lilly & Co 9,357,107
6,300 Forest Laboratories Inc* 261,053
19,270 Foundation Health Systems* 584,112
11,900 Genzyme Corp* 330,225
16,200 H&R Block Inc* 522,450
24,355 HFS Inc* 1,412,590
16,050 Harrah's Entertainment Inc* 288,900
6,950 Health Care & Retirement Corp* 231,956
5,100 HealthCare Compare Corp* 267,113
52,828 Healthsouth Corp* 1,317,372
38,400 Hilton Hotels Corp 1,019,981
8,152 Horizon/CMS Healthcare Corp* 163,545
25,100 Humana Inc* 580,438
17,900 ITT Corp* 1,093,010
18,950 Ivax Corp* 211,994
205,394 Johnson & Johnson 13,222,239
5,800 King World Productions Inc 203,000
19,056 Laboratory Corp of America 50,022
9,900 Manor Care Inc 322,988
19,450 Marriott International Inc 1,193,744
36,700 Medtronic Inc 2,972,700
186,228 Merck & Company Inc 19,274,598
27,250 Mirage Resorts Inc* 688,063
9,900 Nellcor Inc* 179,438
9,450 Novacare Inc* 131,119
6,391 Pacific Health Systems* 408,225
7,975 Promus Hotel Corp* 309,031
36,900 Service Corporation International 1,213,088
14,250 St Jude Medical Inc* 555,750
14,800 Stryker Corp* 516,150
46,500 Tenet Healthcare Corp* 1,374,633
104,130 The Walt Disney Co 8,356,433
28,650 United Healthcare Corp 1,489,800
11,400 United States Surgical Corp 424,650
10,600 Vencor Inc* 447,850
15,600 Whitman Corp 374,400
$99,730,993
CREDIT INSTITUTIONS --- 7.9%
72,900 American Express Co* 5,431,050
66,550 Banc One Corp* 3,223,482
59,700 Bank of New York Company Inc* 2,596,950
109,348 BankAmerica Corp 7,059,726
22,600 BankBoston Corp 1,628,601
11,900 Bankers Trust New York Corp* 1,035,300
30,600 Barnett Banks Inc* 1,606,500
8,200 Beneficial Corp* 582,708
10,300 Capital One Financial Corp 388,825
9,250 Central Fidelity Banks Inc 328,375
71,400 Citicorp 8,608,127
7,200 City National Corp 173,246
16,200 Comerica Inc 1,101,600
31,815 Corestates Financial Corp 1,710,056
16,100 Countrywide Credit Industries Inc 502,111
17,200 Crestar Financial Corp 668,650
4,800 Dauphin Deposit Corp* 213,898
16,300 Fifth Third Bancorp 1,337,611
20,500 First Bank System Inc 1,750,188
48,110 First Chicago NBD Corp 2,910,655
17,275 First Security Corp 471,815
9,800 First Tennessee National Corp 470,400
44,117 First Union Corp 4,080,823
5,500 First Virginia Banks Inc 331,716
13,950 First of America Bank Corp 638,213
22,200 Firstar Corp 677,100
40,385 Fleet Financial Group Inc 2,554,351
8,900 Golden West Financial Corp 623,000
21,200 Great Western Financial Corp* 1,139,500
15,500 HF Ahmanson & Co* 666,500
16,400 Household International Inc 1,925,967
28,400 JP Morgan & Company Inc 2,964,250
34,402 Keycorp 1,922,212
51,512 MBNA Corp 1,886,627
13,700 Marshall & Ilsley Corp 556,563
39,906 Mellon Bank Corp 1,800,758
11,375 Mercantile Bancorporation Inc 691,031
7,400 Mercantile Bankshares Corp 296,000
34,000 National City Corp 1,785,000
112,544 NationsBank Corp 7,259,088
17,100 Northern Trust Corp 827,213
57,600 Norwest Corp 3,240,000
49,600 PNC Bank Corp 2,064,600
6,000 Pacific Century Financial Corp 277,500
20,400 Regions Financial Corp 645,150
25,000 State Street Boston Corp 1,156,250
34,000 Suntrust Banks Inc 1,872,108
22,703 US Bancorp 1,455,830
10,200 Union Planters Corp 529,125
24,900 Wachovia Corp 1,451,969
13,700 Wells Fargo & Co 3,692,150
5,300 Wilmington Trust Co 242,475
$93,052,943
ELECTRIC --- 2.9%
12,339 AES Corp* 872,984
19,000 Allegheny Power System Inc* 507,053
29,100 American Electric Power Company Inc* 1,222,200
8,200 Atlantic Energy Inc* 137,858
23,000 Baltimore Gas & Electric Co* 613,801
2,300 Black Hills Corp* 65,550
14,700 CMS Energy Corp 518,175
23,300 Carolina Power & Light Co 835,888
32,700 Central & South West Corp 694,875
3,500 Central Louisiana Electric Company Inc 98,438
5,000 Central Maine Power Co 61,875
24,293 Cinergy Corp 845,688
36,200 Consolidated Edison Company of New York Inc 1,065,619
22,600 DTE Energy Co 624,325
9,500 Delmarva Power & Light Co 181,089
28,400 Dominion Resources Inc 1,040,150
55,438 Duke Power Co 2,657,531
63,200 Edison International 1,572,100
36,600 Entergy Corp 1,001,925
28,100 FPL Group Inc 1,294,342
15,100 Florida Progress Corp 472,811
18,500 GPU Inc 663,688
4,800 Hawaiian Electric Industries Inc 185,400
36,000 Houston Industries Inc 771,732
5,900 Idaho Power Co 185,113
11,800 Illinova Corp 259,600
7,050 Ipalco Enterprises Inc 220,313
9,200 Kansas City Power & Light Co 262,770
10,400 LG&E Energy Corp 229,445
15,733 MidAmerican Energy Holdings Co 272,370
5,100 Minnesota Power & Light Co 154,913
8,500 Montana Power Co 197,090
7,700 Nevada Power Co 163,625
10,100 New England Electric System 373,700
10,800 New York State Electric & Gas Corp 225,450
22,500 Niagara Mohawk Power Corp* 192,645
9,600 Nipsco Industries Inc 396,595
20,000 Northeast Utilities 191,240
10,600 Northern States Power Co 548,550
23,800 Ohio Edison Co 519,126
25,600 PP&L Resources Inc 510,387
45,600 PacifiCorp 1,003,200
34,300 Peco Energy Co 720,300
13,100 Pinnacle West Capital Corp 393,812
8,000 Portland General Corp* 317,496
18,500 Potomac Electric Power Co 427,813
10,200 Public Service Company of Colorado 423,300
6,500 Public Service Company of New Mexico 116,188
35,700 Public Service Enterprise Group Inc 892,500
13,200 Puget Sound Power & Light Co 349,800
16,650 Scana Corp 413,120
105,100 Southern Co 2,299,063
6,400 Southwestern Public Service Co 251,597
18,400 Teco Energy Inc 470,341
34,600 Texas Utilities Co 1,191,520
33,300 Unicom Corp 740,925
15,900 Union Electric Co 599,223
8,400 Utilicorp United Inc 244,650
4,800 WPL Holdings Inc 134,098
17,500 Wisconsin Energy Corp 435,313
$34,332,288
ELECTRONICS - HIGH TECH --- 13.3%
33,880 AMP Inc* 1,414,490
11,200 Adobe Systems Inc 392,694
21,600 Advanced Micro Devices Inc* 777,600
2,200 Advanced Technology Laboratories Inc* 94,600
4,400 Aeroquip-Vickers Inc* 207,900
19,100 Amdahl Corp* 168,309
14,800 American Power Conversion Corp* 281,200
5,150 Ametek Inc* 121,025
24,666 Analog Devices Inc* 655,178
14,237 Andrew Corp* 400,416
19,700 Apple Computer Inc* 280,725
27,900 Applied Materials Inc* 1,975,655
15,500 Atmel Corp* 434,000
6,500 Avnet Inc* 373,750
4,500 Beckman Instruments Inc* 217,125
14,700 Black & Decker Corp* 546,649
30,030 Boston Scientific Corp* 1,844,953
3,900 Briggs & Stratton Corp 195,000
10,200 Cirrus Logic Inc* 107,100
102,300 Cisco Systems Inc* 6,866,888
42,300 Compaq Computer Corp* 4,198,275
13,800 Cypress Semiconductor Corp* 200,100
18,300 DSC Communications Corp* 407,175
6,300 Data General Corp* 163,800
25,800 Dell Computer Corp* 3,029,875
4,200 Dentsply International Inc 205,800
10,712 Diebold Inc 417,768
23,500 Digital Equipment Corp* 832,770
3,700 Durco International Inc 108,225
50,700 Eastman Kodak Co 3,891,225
68,600 Emerson Electric Co 3,777,253
3,500 Exabyte Corp* 44,842
7,033 Federal Signal Corp 176,704
506,000 General Electric Co 33,079,750
21,300 General Instrument Corp* 532,500
7,800 General Signal Corp 340,275
6,200 Harris Corp 520,800
160,526 Hewlett-Packard Co 8,989,456
19,600 Honeywell Inc 1,487,150
10,500 Hubbell Inc Class B 462,000
6,690 Imation Corp* 176,449
12,400 Integrated Device Technology Inc* 130,200
126,300 Intel Corp 17,910,856
7,400 Intergraph Corp* 62,900
153,200 International Business Machines Corp 13,816,648
18,600 International Game Technology 330,150
12,900 Johnson Controls Inc 529,700
5,600 Keystone International Inc 194,247
12,100 LCI International Inc* 264,688
21,800 LSI Logic Corp* 697,600
11,300 Lexmark International Group Inc Class A* 343,238
11,600 Linear Technology Corp 600,300
7,200 Litton Industries Inc* 347,846
4,100 Magnetek Inc* 68,163
10,011 Mark IV Industries Inc 240,264
9,900 Maxim Integrated Products Inc* 563,063
15,000 Maytag Corp 391,875
10,100 Mentor Graphics Corp* 93,425
32,400 Micron Technology Inc* 1,293,959
19,327 Molex Inc 705,436
91,600 Motorola Inc 6,961,600
15,631 NCR Corp* 465,022
21,800 National Semiconductor Corp* 667,625
40,100 Northern Telecom Ltd 3,649,100
54,100 Novell Inc* 375,292
3,200 OEA Inc* 126,400
8,200 Octel Communications Corp* 192,183
63,000 PG&E Corp 1,527,750
6,800 Perkin-Elmer Corp 541,022
6,900 Polaroid Corp 382,950
20,300 Quantum Corp* 412,334
36,400 Raytheon Co 1,856,400
4,500 SCI Systems Inc* 286,875
12,100 Scientific-Atlanta Inc 264,688
37,740 Seagate Technology Inc* 1,327,957
11,550 Sensormatic Electronics Corp 148,706
5,450 Sequent Computer Systems Inc* 114,788
27,600 Silicon Graphics Inc* 414,000
8,300 Solectron Corp* 581,515
13,900 Sterling Commerce Inc* 456,963
9,600 Storage Technology Corp* 427,200
3,500 Stratus Computer Inc* 175,000
56,900 Sun Microsystems Inc* 2,117,704
6,150 Symbol Technologies Inc 206,794
17,800 Tandem Computers Inc* 360,450
5,200 Tektronix Inc 312,000
5,700 Teleflex Inc 178,125
27,800 Tellabs Inc* 1,553,325
13,000 Teradyne Inc* 510,250
29,400 Texas Instruments Inc 2,471,423
23,125 Thermo Electron Corp* 794,922
8,400 Thomas & Betts Corp 441,521
27,300 Unisys Corp* 208,163
4,700 Varian Associates Inc 254,975
10,080 Vishay Intertechnology Inc* 291,685
7,900 WW Grainger Inc 617,677
11,600 Whirlpool Corp 632,919
49,900 Xerox Corp 3,935,863
11,200 Xilinx Inc* 549,494
6,800 York International Corp 312,800
$156,087,467
ENVIRONMENTAL SERVICES --- 0.5%
32,700 Browning-Ferris Industries Inc 1,087,275
48,400 Laidlaw Inc Class B 668,501
7,800 Ogden Corp 169,650
5,400 Rollins Inc 108,675
9,100 Safety-Kleen Corp 153,563
24,100 USA Waste Services Inc* 930,863
69,100 WMX Technologies Inc* 2,219,838
700 Waste Management Inc 22,488
$5,360,853
FORESTRY --- 0.5%
7,600 Boise Cascade Corp* 268,371
3,700 Chesapeake Corp 124,875
14,100 Georgia-Pacific Corp 1,203,788
46,384 International Paper Co 2,252,500
8,100 Longview Fibre Co 134,663
17,000 Louisiana-Pacific Corp 359,125
30,500 Weyerhaeuser Co 1,586,000
$5,929,322
GAS --- 0.8%
8,700 AGL Resources Inc* 179,438
7,800 Brooklyn Union Gas Co 223,275
8,600 Columbia Gas System Inc 561,150
14,600 Consolidated Natural Gas Co 785,655
3,200 Eastern Enterprises 110,998
9,284 El Paso Energy Corp 510,620
39,300 Enron Corp 1,603,912
3,500 Indiana Energy Inc 85,530
12,000 MCN Corp 367,500
5,900 National Fuel Gas Co 247,428
7,700 Nicor Inc 276,238
4,300 OneOk Inc 138,404
12,800 Pacific Enterprises 430,400
5,500 Peoples Energy Corp 205,904
6,400 Questar Corp 258,400
9,900 Seagull Energy Corp* 173,250
13,200 Sonat Inc 676,500
26,400 Tenneco Inc* 1,192,937
8,400 Valero Energy Corp 304,500
6,800 Washington Gas Light Co 170,850
24,400 Williams Companies Inc 1,067,500
$9,570,389
HIGHWAYS --- 0.0%
4,100 Arnold Industries Inc* 69,700
11,900 Ryder System Inc 392,700
$462,400
HOLDING & INVEST. OFFICES --- 0.9%
66,496 Chase Manhattan Corp 6,454,235
25,800 Cognizant Corp 1,044,900
20,100 Hibernia Corp 280,134
18,200 MGIC Investment Corp 872,453
8,300 Republic New York Corp 892,250
15,200 Summit Bancorp 761,900
$10,305,872
INDEPENDENT POWER PROD --- 0.1%
9,900 Calenergy Inc* 376,200
6,300 OGE Energy Corp 286,650
$662,850
INDUSTRIAL SERVICES --- 5.4%
8,866 AC Nielsen Corp* 173,995
13,700 Altera Corp* 691,850
15,000 America Online Inc* 834,375
7,600 Arrow Electronics Inc* 403,750
7,400 Autodesk Inc* 283,509
45,100 Automatic Data Processing Inc* 2,119,700
15,600 BMC Software Inc* 863,850
15,025 Cadence Design Systems Inc* 503,338
12,500 Ceridian Corp* 528,125
7,500 Cintas Corp 515,625
11,475 Comdisco Inc 298,350
55,950 Computer Associates International Inc 3,115,688
11,800 Computer Sciences Corp* 851,075
13,200 Compuware Corp* 630,300
12,800 Deluxe Corp 436,800
26,300 Dun & Bradstreet Corp 690,375
7,300 EG&G Inc 164,250
8,400 Electronic Arts Inc* 282,450
23,300 Equifax Inc 866,457
69,194 First Data Corp 3,040,177
7,950 Fiserv Inc* 354,769
12,900 Fluor Corp 711,912
6,300 Foster Wheeler Corp 255,150
6,700 Gtech Holdings Corp* 216,075
4,400 Information Resources Inc* 62,150
23,600 Informix Corp* 212,400
12,600 Interpublic Group of Companies Inc 772,531
4,000 Jacobs Engineering Group Inc* 107,500
5,950 Kelly Services Inc Class A 186,681
98,673 Lucent Technologies Inc 7,110,574
12,600 Manpower Inc 560,700
11,300 Medaphis Corp* 113,701
184,800 Microsoft Corp* 23,354,100
6,900 National Service Industries Inc 335,940
12,650 Olsten Corp 245,878
12,700 Omnicom Group Inc 782,638
100,750 Oracle Systems Corp* 5,075,281
19,600 Parametric Technology Corp* 834,215
16,862 Paychex Inc 640,756
22,400 Pitney Bowes Inc 1,556,800
2,800 Policy Management Systems Corp* 131,600
12,700 Reynolds & Reynolds Co Class A 200,025
9,400 Robert Half International Inc* 442,383
3,900 Shared Medical Systems Corp 210,600
8,700 Sotheby's Holdings Inc Class A 146,813
4,500 Standard Register Co 137,813
5,200 Structural Dynamics Research Corp* 136,500
6,700 Sungard Data System Inc* 311,550
8,650 Symantec Corp* 168,675
6,700 Wallace Computer Services Inc 201,415
8,200 Western Atlas Inc* 600,650
$63,471,814
INSURANCE --- 4.6%
25,650 AON Corp* 1,327,388
23,252 Aetna Inc* 2,380,424
21,012 Aflac Inc* 992,817
68,020 Allstate Corp* 4,965,460
5,400 Ambac Inc* 412,425
9,500 American Financial Group Inc 403,152
37,221 American General Corp* 1,777,303
72,350 American International Group Inc* 10,807,281
26,900 Chubb Capital Corp 1,798,938
11,400 Cigna Corp 2,023,500
28,200 Conseco Inc 1,043,400
12,400 General Re Corp 2,256,800
3,100 HSB Group Inc 165,463
18,100 Hartford Financial Services Group Inc 1,497,775
11,000 Jefferson-Pilot Corp 768,625
15,900 Lincoln National Corp 1,023,563
17,700 Loews Corp 1,772,213
6,600 MBIA Inc 744,559
25,400 Marsh & McLennan Companies Inc 1,812,925
12,000 Oxford Health Plans Inc* 861,000
10,950 Progressive Corp 952,650
10,400 Provident Companies Inc 556,400
14,600 Providian Financial Corp 469,025
19,400 SafeCo Corp 905,728
12,800 St Paul Companies Inc 976,000
18,400 SunAmerica Inc 897,000
5,400 The PMI Group Inc 336,825
10,700 Torchmark Corp 762,375
10,150 TransAmerica Corp 949,654
3,600 Transatlantic Holdings Inc 357,300
98,865 Travelers Group Inc 6,234,625
17,200 USF&G Corp 412,800
21,500 Unum Corp 903,000
8,542 Value Health Inc* 172,976
$53,721,369
MFTG - CONSUMER PRODS. --- 11.1%
5,900 Adolph Coors Co Class B 157,088
8,700 Alberto-Culver Co Class B* 243,600
11,700 American Greetings Corp Class A* 434,363
76,500 Anheuser-Busch Companies Inc* 3,208,181
82,283 Archer-Daniels-Midland Co* 1,933,651
20,300 Avon Products Inc* 1,432,409
4,800 Banta Corp* 130,200
10,700 Bed Bath & Beyond Inc* 325,013
10,600 Brown-Forman Corp Class B 517,407
15,400 Brunswick Corp 481,250
9,700 Burlington Industries Inc* 116,400
22,100 CPC International Inc 2,040,095
71,700 Campbell Soup Co 3,585,000
3,000 Church & Dwight Inc 80,250
382,400 Coca-Cola Co 25,812,000
59,400 Coca-Cola Enterprises Inc 1,366,200
45,500 Colgate-Palmolive Co 2,968,875
7,000 CompUSA Inc* 150,500
36,800 ConAgra Inc 2,359,800
6,300 Dean Foods Co 254,363
15,000 Dial Corp 234,375
14,700 Dow Jones & Company Inc 590,749
2,100 Dreyer's Grand Ice Cream Inc 82,950
13,775 Flowers Industries Inc 231,585
11,900 Fruit of the Loom Inc Class A* 368,900
24,800 General Mills Inc 1,615,100
2,500 Gibson Greetings Inc* 56,250
85,900 Gillette Co 8,139,025
4,100 Golden Books Family Entertainment Inc* 51,250
56,700 HJ Heinz Co 2,615,288
4,700 HON Industries Inc 207,975
11,000 Harcourt General Inc 523,875
19,750 Hasbro Inc 560,406
7,400 Herman Miller Inc 266,400
23,500 Hershey Foods Corp 1,299,832
10,700 Hillenbrand Industries Inc 508,250
12,000 Hormel Foods Corp 322,500
2,300 Houghton Mifflin Co 153,525
14,400 IBP Inc 334,800
20,400 Ikon Office Solutions Inc 508,715
16,800 International Flavors & Fragrances Inc 848,400
2,800 International Multifoods Corp 70,350
5,800 Interstate Bakeries Co 344,010
4,500 JM Smucker Co Class A 97,875
4,800 John H Harland Co 109,498
8,100 Jones Apparel Group Inc* 386,775
6,000 Jostens Inc 160,500
32,000 Kellogg Co 2,740,000
14,000 Knight-Ridder Inc 686,868
4,599 Lancaster Colony Corp 222,477
4,700 Lance Inc 89,888
5,100 Land's End Inc* 151,088
7,200 Lee Enterprises Inc 189,900
14,300 Leggett & Platt Inc 614,900
10,800 Liz Claiborne Inc 503,550
24,800 Masco Corp 1,035,400
44,941 Mattel Inc 1,522,376
11,800 McCormick & Company Inc (nonvtg) 297,950
15,400 McGraw-Hill Companies Inc 905,705
4,100 Media General Inc Class A 164,000
8,300 Meredith Corp 240,700
1,100 National Presto Industries Inc 44,343
14,670 New York Times Co Class A 726,165
24,500 Newell Co 970,813
5,600 Nine West Group Inc* 213,847
236,400 Pepsico Inc 8,879,657
374,700 Philip Morris Companies Inc 16,627,313
12,600 Pioneer Hi-Bred International Inc 1,008,000
21,000 Quaker Oats Co 942,375
22,500 RR Donnelley & Sons Co 824,063
16,400 Ralston-Ralston Purina Group 1,347,867
23,100 Rubbermaid Inc 687,225
5,600 Russell Corp 165,900
74,100 Sara Lee Corp 3,084,413
4,100 Savannah Foods & Industries Inc 72,004
2,500 Scholastic Corp* 87,500
57,200 Seagram Company Ltd 2,302,300
20,800 Shaw Industries Inc 221,000
3,100 Springs Industries Inc Class A 163,525
12,200 Starbucks Corp* 475,031
7,700 Stride Rite Corp 99,138
14,700 The Times Mirror Co Class A 812,175
5,400 Tiffany & Co 249,410
18,900 Tribune Co 908,372
9,500 Tupperware Corp 346,750
33,350 Tyson Foods Inc Class A 637,819
28,300 UST Inc 785,325
9,500 Unifi Inc 355,063
24,600 Unilever NV ADR 5,362,800
5,500 Universal Corp 174,625
4,000 Universal Foods Corp 152,500
9,800 VF Corp 830,550
15,000 Viad Corp 288,750
8,100 Warnaco Group Inc Class A 258,188
1,600 Washington Post Co Class B 636,800
8,600 Willamette Industries Inc 602,000
17,900 Wm Wrigley Jr Co 1,199,300
$130,193,511
MFTG - INDUSTRIAL PRODS --- 11.9%
51,150 3Com Corp* 2,301,750
5,875 A Schulman Inc 144,672
4,200 AK Steel Holding Corp* 185,325
119,300 Abbott Laboratories* 7,963,275
16,900 Air Products & Chemicals Inc* 1,373,125
10,700 Airgas Inc* 211,988
4,800 Albany International Corp Class A* 108,000
8,650 Albemarle Corp* 182,186
35,000 Alcan Aluminium Ltd* 1,214,045
27,050 Allegheny Teledyne Inc* 730,350
26,700 Aluminum Company of America* 2,012,513
13,200 Alza Corp* 382,800
99,300 American Home Products Corp* 7,596,450
16,500 Armco Inc* 63,938
6,200 Armstrong World Industries Inc* 454,925
3,900 Arvin Industries Inc* 106,275
4,700 Ball Corp* 141,291
30,663 Bay Networks Inc* 814,471
8,300 Bemis Company Inc* 358,975
17,450 Bethlehem Steel Corp* 182,126
4,500 Betz Laboratories Inc* 297,000
6,100 Bowater Inc 282,125
2,500 Brush Wellman Inc 52,343
10,900 Cabot Corp 309,288
6,200 Calgon Carbon Corp 86,025
11,300 Callaway Golf Co 401,150
4,700 Carlisle Companies Inc 163,913
3,000 Carpenter Technology Corp 137,250
11,400 Case Corp 785,175
29,100 Caterpillar Inc 3,124,613
10,900 Centocor Inc* 338,576
14,700 Champion International Corp 812,175
26,600 Chiron Corp* 555,275
6,250 Cincinnati Milacron Inc 162,106
7,900 Clorox Co 1,042,800
7,000 Consolidated Papers Inc 378,000
18,200 Cooper Industries Inc 905,450
12,100 Cooper Tire & Rubber Co 266,200
35,300 Corning Inc 1,963,563
7,100 Crane Co 296,865
11,400 Crompton & Knowles Corp 253,650
19,800 Crown Cork & Seal Company Inc 1,058,053
7,000 Cytec Industries Inc* 261,625
9,200 Danaher Corp 467,470
39,300 Deere & Co 2,156,588
3,700 Dexter Corp 118,400
17,300 Dover Corp 1,063,950
35,900 Dow Chemical Co 3,127,788
174,100 EI DuPont De Nemours & Co 10,946,538
37,900 EMC Corp* 1,478,100
12,000 Eastman Chemical Co 762,000
10,100 Ecolab Inc 482,275
22,500 Engelhard Corp 471,083
18,400 Ethyl Corp 170,200
4,000 Ferro Corp 148,248
6,300 First Brands Corp 144,503
5,400 Georgia Gulf Corp 156,935
24,000 Goodyear Tire & Rubber Co 1,519,488
9,300 Great Lakes Chemical Corp 487,088
11,400 Guidant Corp 969,000
2,200 HB Fuller Co 121,000
7,650 Harnischfeger Industries Inc 317,475
7,700 Harsco Corp 311,850
15,400 Hercules Inc 737,275
14,400 IMC Global Inc 504,000
18,200 ITT Industries Inc 468,650
38,400 Illinois Tool Works Inc 1,917,581
16,700 Ingersoll-Rand Co 1,031,225
7,600 Inland Steel Industries Inc 198,550
13,300 James River Corporation of Virginia 492,100
2,600 Kaydon Corp 129,025
4,000 Kennametal Inc 172,000
86,280 Kimberly-Clark Corp 4,292,430
7,100 Lawter International Inc 89,638
8,900 Lubrizol Corp 373,239
2,300 Lukens Inc 43,268
12,500 Lyondell Petrochemical Co 272,650
8,000 MA Hanna Co 230,496
11,300 Mallinckrodt Inc 429,400
8,100 Mead Corp 504,225
6,800 Millipore Corp 299,200
3,500 Minerals Technologies Inc 131,250
64,200 Minnesota Mining & Manufacturing Co 6,548,400
4,700 Modine Manufacturing Co 139,825
91,200 Monsanto Co 3,927,254
13,700 Moore Corporation Ltd 269,712
21,600 Morton International Inc 652,039
19,000 Mylan Laboratories Inc 280,250
1,100 NCH Corp 68,750
1,300 Nacco Industries Inc Class A 73,368
10,200 Nalco Chemical Co 393,975
2,700 Nordson Corp 173,475
13,500 Nucor Corp 762,750
8,000 Olin Corp 312,496
4,000 Oregon Steel Mills Inc 79,748
6,600 PH Glatfelter Co 132,000
27,800 PPG Industries Inc 1,615,875
19,700 Pall Corp 458,025
11,450 Parker Hannifin Corp 694,866
5,900 Pentair Inc 193,963
11,900 Perrigo Co* 148,750
99,600 Pfizer Inc 11,902,200
78,260 Pharmacia & Upjohn Inc 2,719,535
4,500 Potlatch Corp 203,625
24,300 Praxair Inc 1,360,800
3,750 Precision Castparts Corp 223,594
3,700 RP Scherer Corp* 191,013
12,225 RPM Inc (Ohio) 224,634
6,700 Raychem Corp 498,313
11,200 Reynolds Metals Co 798,000
32,800 Rockwell International Corp 1,935,200
9,500 Rohm & Haas Co 855,589
112,800 Schering-Plough Corp 5,400,300
6,600 Sealed Air Corp* 313,500
1,600 Sequa Corp Class A* 90,200
26,500 Sherwin-Williams Co 818,188
15,600 Sigma Aldrich Corp 546,967
9,500 Snap-On Inc 374,063
14,070 Sonoco Products Co 428,249
3,400 Southdown Inc 148,325
5,200 Stewart & Stevenson Services Inc 135,200
15,500 Stone Container Corp Series E* 221,836
5,800 Tambrands Inc 289,275
3,400 Tecumseh Products Co Class A 203,575
8,600 Temple-Inland Inc 464,400
8,400 The BF Goodrich Co 363,821
13,700 The Stanley Works 548,000
9,800 The Timken Co 348,508
6,700 Trinity Industries Inc 212,725
25,900 Tyco International Ltd* 1,801,656
44,300 USX-Marathon Group 1,279,163
13,300 USX-US Steel Group 466,325
10,800 Union Camp Corp 540,000
19,300 Union Carbide Corp 908,297
10,500 Unisource Worlwide Inc 168,000
11,500 United States Filter Co* 313,375
4,900 Varco International Inc* 158,025
11,200 WR Grace & Co 617,400
41,800 Warner-Lambert Co 5,193,650
6,700 Watson Pharmaceuticals Inc* 283,075
4,200 Watts Industries Inc Class A 100,800
5,691 Wausau Paper Mills Co 107,418
4,900 Wellman Inc 85,138
15,850 Westvaco Corp 498,276
8,900 Witco Corp 337,639
15,050 Worthington Industries Inc 275,596
$140,076,870
MINING --- 0.6%
8,600 Alumax Inc* 326,258
6,700 Asarco Inc* 205,188
57,416 Barrick Gold Corp* 1,263,152
35,800 Battle Mountain Gold Co* 203,595
3,600 Calmat Co 77,400
1,800 Cleveland-Cliffs Inc 73,350
14,500 Cyprus Amax Minerals Co 355,250
21,600 Echo Bay Mines Ltd* 124,200
30,894 Freeport-McMoran Copper & Gold Inc Class B 961,576
22,900 Homestake Mining Co 299,120
25,650 Inco Ltd 771,090
1,300 Maxxam Inc* 60,775
24,024 Newmont Mining Corp 936,936
9,500 Phelps Dodge Corp 809,277
37,300 Placer Dome Inc 610,788
5,200 Vulcan Materials Co 408,200
$7,486,155
OIL & GAS --- 8.4%
14,300 Amerada Hess Corp* 794,537
76,200 Amoco Corp* 6,624,599
9,100 Anadarko Petroleum Corp* 546,000
14,050 Apache Corp* 456,625
11,400 Ashland Inc* 528,675
49,600 Atlantic Richfield Co* 3,496,800
6,000 BJ Services Company USA* 321,750
22,400 Baker Hughes Inc* 866,589
19,200 Burlington Resources Inc 847,200
100,800 Chevron Corp 7,452,850
16,300 Coastal Corp 866,948
27,150 Dresser Industries Inc 1,011,338
11,000 Ensco International Inc* 580,250
11,000 Enserch Corp 244,750
383,000 Exxon Corp 23,554,500
5,150 Giddings & Lewis Inc 107,506
26,600 Global Marine Inc* 618,450
19,500 Halliburton Co 1,545,375
3,900 Helmerich & Payne Inc 224,738
7,300 Kerr-McGee Corp 462,638
5,350 Lousiana Land & Exploration Co 305,619
8,300 Mapco Inc 261,450
8,600 McDermott International Inc 251,008
121,300 Mobil Corp 8,475,838
7,000 Murphy Oil Corp 341,250
15,050 Nabors Industries Inc* 376,250
8,900 Noble Affiliates Inc 344,314
20,600 Noble Drilling Corp* 464,777
50,800 Occidental Petroleum Corp 1,273,150
16,400 Oryx Energy Co* 346,450
5,500 Parker & Parsley Petroleum Co 194,563
11,700 Parker Drilling Co* 130,163
7,300 Pennzoil Co 560,275
40,600 Phillips Petroleum Co 1,776,250
5,550 Quaker State Corp 84,638
15,400 Ranger Oil Ltd 143,405
13,400 Rowan Companies Inc* 377,706
330,800 Royal Dutch Petroleum Co ADR* 17,863,200
15,600 Santa Fe Energy Resources Inc* 229,117
38,000 Schlumberger Ltd 4,750,000
6,300 Smith International Inc* 382,725
11,400 Sun Company Inc 353,400
40,600 Texaco Inc 4,415,250
24,200 Tosco Corp 724,475
7,800 Transocean Offshore Inc 566,475
11,686 Ultramar Diamond Shamrock Corp 381,256
39,066 Union Pacific Resources Group Inc 971,767
38,500 UnoCal Corp 1,494,262
8,126 Weatherford Enterra Inc* 312,851
$99,304,002
OTHER ASSET-BACKED --- 0.1%
20,900 Green Tree Financial Corp 744,563
15,375 Southtrust Corp 636,141
$1,380,704
OTHER TRANS. SERVICES --- 0.2%
3,900 APL Ltd 121,875
7,100 Alexander & Baldwin Inc* 185,488
6,100 Caliber System Inc 227,225
5,800 FMC Corp* 460,735
17,600 Federal Express Corp* 1,016,400
3,800 GATX Corp 219,450
5,700 JB Hunt Transport Services Inc 84,788
5,700 Overseas Shipholding Group Inc 111,863
9,400 Tidewater Inc 413,600
$2,841,424
RAILROADS --- 0.8%
23,700 Burlington Northern Santa Fe Corp 2,130,038
33,500 CSX Corp 1,859,250
9,550 Illinois Central Corp Class A 333,648
5,500 Kansas City Southern Industries Inc 354,750
19,300 Norfolk Southern Corp 1,944,475
38,000 Union Pacific Corp 2,679,000
$9,301,161
RETAIL TRADE --- 5.2%
38,600 Albertson's Inc* 1,408,900
22,500 American Stores Co* 1,110,938
4,000 AnnTaylor Stores Corp* 78,000
23,500 Autozone Inc* 553,707
6,700 Best Buy Inc* 99,663
6,600 Bob Evans Farms Inc* 111,784
12,100 Brinker International Inc* 172,425
7,000 Buffets Inc* 59,059
16,400 Charming Shoppes Inc* 85,575
15,100 Circuit City Stores Inc 536,986
7,425 Claire's Stores Inc 129,938
12,968 Consolidated Stores Corp* 450,638
9,500 Cracker Barrel Old Country Store Inc 251,750
23,800 Darden Restaurants Inc 215,676
33,400 Dayton Hudson Corp 1,776,446
17,500 Dillards Inc Class A 605,938
14,102 Dollar General Corp 528,825
3,900 Donaldson Company Inc 148,200
4,300 Duty Free International Inc 80,625
8,900 Family Dollar Stores Inc 242,525
5,900 Fastenal Co 289,100
32,000 Federated Department Stores Inc* 1,112,000
7,200 Fingerhut Companies Inc 125,546
26,500 Fortune Brands Inc 988,768
4,000 Fred Meyer Inc* 206,748
42,200 Gap Inc 1,640,525
6,400 Gencorp Inc 148,000
27,675 Genuine Parts Co 937,491
9,300 Giant Food Inc Class A 303,413
6,000 Great Atlantic & Pacific Tea Company Inc 163,122
3,300 Hancock Fabrics Inc 45,375
6,600 Hannaford Brothers Co 234,709
8,325 Heilig-Meyers Co 163,378
74,900 Home Depot Inc 5,163,381
5,500 Intelligent Electronics Inc* 15,466
3,400 International Dairy Queen Inc Class A* 81,600
38,100 JC Penney & Company Inc 1,988,325
74,800 K Mart Corp* 916,300
11,500 Kohls Corp* 608,776
39,100 Kroger Co* 1,133,900
41,800 Limited Inc 846,450
6,400 Lone Star Steakhouse & Saloon Inc* 166,400
6,100 Longs Drug Stores Corp 159,741
26,600 Lowe's Companies Inc 987,525
3,800 MacFrugal's Bargains-Close-Outs Inc* 103,550
36,500 May Department Stores Co 1,724,625
106,400 McDonald's Corp 5,140,397
5,700 Mercantile Stores Company Inc 358,741
5,400 Micro Warehouse Inc* 92,475
12,400 Nordstrom Inc 608,369
24,525 Office Depot Inc* 476,692
19,250 Officemax Inc* 277,912
7,400 Outback Steakhouse Inc* 178,984
8,300 Owens Corning 357,938
6,216 Payless Shoesource Inc* 339,934
9,500 Pep Boys - Manny Moe & Jack 323,589
18,900 Rite Aid Corp 942,638
7,300 Ruddick Corp 120,450
3,150 Sbarro Inc 87,413
60,400 Sears Roebuck & Co 3,246,500
15,500 Service Merchandise Co Inc* 46,500
25,270 Staples Inc* 587,528
24,200 TJX Companies Inc 638,275
8,300 Tandy Corp 464,800
44,000 Toys R Us Inc* 1,540,000
13,100 Viking Office Products Inc* 248,900
5,100 Waban Inc* 164,154
349,500 Wal-Mart Stores Inc 11,817,294
37,900 Walgreen Co 2,032,388
20,200 Wendy's International Inc 523,927
22,900 Winn-Dixie Stores Inc 853,025
20,900 Woolworth Corp* 501,600
$60,872,235
SECURITIES & COMMODITIES --- 1.0%
9,850 AG Edwards Inc 421,088
18,553 Bear Stearns Companies Inc* 634,271
26,950 Charles Schwab & Company Inc 1,096,515
19,375 Franklin Resources Inc 1,405,889
51,100 Merrill Lynch & Co Inc 3,046,838
88,381 Morgan Stanley, Dean Witter, Discover and Co 3,805,863
14,300 Paine Webber Group Inc 500,500
16,600 Salomon Inc 923,375
9,000 T Rowe Price & Associates Inc 464,625
$12,298,964
TELEPHONE --- 4.0%
20,100 ADC Telecommunications Inc* 670,838
5,700 Aliant Communications Inc* 111,150
28,700 Alltel Corp* 959,642
84,700 Ameritech Corp* 5,754,264
67,500 Bell Atlantic Corp* 5,121,563
153,100 Bellsouth Corp* 7,100,013
9,400 Century Telephone Enterprises Inc 316,658
25,600 Frontier Corp 510,387
147,300 GTE Corp 6,462,788
105,900 MCI Communications Corp 4,053,958
67,900 Nynex Corp 3,912,738
140,717 SBC Communications Inc 8,706,864
10,300 Southern New England Telecommunications Corp 400,413
66,350 Sprint Corp 3,491,669
$47,572,945
TRANSPORTATION --- 0.0%
7,100 CNF Transportation Inc 228,975
$228,975
TRANSPORTATION EQUIPMENT --- 3.7%
43,600 Allied-Signal Inc* 3,662,400
106,100 Chrysler Corp 3,481,353
5,900 Cummins Engine Company Inc 416,316
15,900 Dana Corp 604,200
11,900 Eaton Corp 1,039,013
9,700 Echlin Inc 349,200
5,500 Federal-Mogul Corp 192,500
5,500 Fleetwood Enterprises Inc 163,966
183,500 Ford Motor Co 6,927,125
9,600 General Dynamics Corp 720,000
112,400 General Motors Corp 6,259,219
11,800 Harley-Davidson Inc 565,657
29,741 Lockheed Martin Corp 3,080,037
32,300 McDonnell Douglas Corp 2,212,550
11,490 Navistar International Corp* 198,203
5,420 Newport News Shipbuilding Inc 105,349
9,000 Northrop Grumman Corp 790,308
11,940 Paccar Inc 554,458
3,900 Rohr Inc* 85,554
9,200 Sundstrand Corp 496,800
4,400 Superior Industries International Inc 116,600
19,200 TRW Inc 1,090,790
25,400 Textron Inc 1,685,925
111,196 The Boeing Co* 5,900,282
2,900 Thiokol Corp 203,000
36,500 United Technologies Corp 3,029,500
$43,930,305
U.S. GOVERNMENTS --- 0.3%
107,200 Federal Home Loan Mortgage Corp 3,685,000
$3,685,000
WATER --- 0.0%
12,300 American Water Works Company Inc* 262,913
$262,913
WHOLESALE TRADE - INDL --- 0.0%
1,800 Lawson Products Inc 48,600
6,900 McKesson Corp 534,750
$583,350
WHOLESALE TRADE -CONSUMER --- 1.9%
15,900 Avery Dennison Corp* 637,988
7,800 Bergen Brunswig Corp Class A* 217,425
16,730 Cardinal Health Inc 957,793
32,571 Costco Companies Inc* 1,070,772
5,900 Fleming Companies Inc 106,200
44,500 Nike Inc Class B 2,597,688
104,500 Procter & Gamble Co 14,760,625
4,600 Rayonier Inc 193,485
8,600 Reebok International Ltd* 403,658
2,800 Stanhome Inc 92,050
10,400 SuperValu Inc 358,800
26,900 Sysco Corp 981,781
$22,378,265
TOTAL COMMON STOCK --- 98.9% $1,163,403,955
(Cost )
SHORT-TERM INVESTMENTS
SECURITIES & COMMODITIES --- 1.1%
12,632,000 Merrill Lynch & Co Inc 12,632,000
$12,632,000
TOTAL SHORT-TERM INVESTMENTS --- 1.1% $12,632,000
(Cost $12,632,000)
TOTAL STOCK INDEX PORTFOLIO --- 100.0% $1,176,035,955
(Cost )
Maxim Series Fund
Total Return Portfolio
BONDS
U.S. GOVERNMENTS --- 21.2%
4,000,000 United States of America 4,170,000
Treasury Notes
7.250% August 15, 2004
$4,170,000
TOTAL BONDS --- 21.2% $4,170,000
(Cost $4,115,818)
COMMON STOCK
COMMUNICATIONS --- 1.5%
3,000 Jacor Communications Inc Class A* 114,750
8,200 Westinghouse Electric Corp 189,625
$304,375
CONSUMER SERVICES --- 4.2%
4,100 ADT Ltd* 135,300
1,700 Eli Lilly & Co 185,830
4,798 MedPartners Inc* 103,757
6,200 Philip Services Corp* 98,425
4,800 Service Corporation International 157,800
5,200 Tenet Healthcare Corp* 153,722
$834,834
CREDIT INSTITUTIONS --- 3.5%
2,400 American Express Co 178,800
2,800 BankAmerica Corp 180,774
1,900 First Bank System Inc 162,213
3,700 Mellon Bank Corp 166,963
$688,750
ELECTRONICS - HIGH TECH --- 4.2%
2,100 Boston Scientific Corp* 129,018
1,800 Compaq Computer Corp* 178,650
1,100 Intel Corp 155,993
1,900 International Business Machines Corp 171,355
2,300 Perkin-Elmer Corp 182,993
$818,009
HOLDING & INVEST. OFFICES --- 2.1%
1,600 Chase Manhattan Corp 155,299
2,900 Equity Residential Properties Trust 137,750
2,600 MGIC Investment Corp 124,636
$417,685
INDEPENDENT POWER PROD --- 0.7%
3,800 Calenergy Inc* 144,400
$144,400
INDUSTRIAL SERVICES --- 2.6%
3,200 Fiserv Inc* 142,800
2,700 Lucent Technologies Inc 194,567
1,400 Microsoft Corp* 176,925
$514,292
INSURANCE --- 1.9%
2,400 Allstate Corp 175,200
1,300 American International Group Inc 194,188
$369,388
MFTG - CONSUMER PRODS. --- 2.9%
2,700 Anheuser-Busch Companies Inc 113,230
3,400 Campbell Soup Co 170,000
2,500 Coca-Cola Co 168,750
2,600 Samsonite Corp* 114,725
$566,705
MFTG - INDUSTRIAL PRODS --- 2.9%
1,800 Aluminum Company of America 135,675
3,100 Lear Corp* 137,563
1,700 Pfizer Inc 203,150
3,650 United States Filter Co* 99,463
$575,851
MINING --- 1.6%
2,200 Newmont Mining Corp 85,800
1,400 Phelps Dodge Corp 119,262
1,500 Potash Corporation of Saskatchewan Inc 112,593
$317,655
OIL & GAS --- 4.5%
3,100 Coastal Corp 164,880
3,400 Devon Energy Corp 124,950
3,900 Nabors Industries Inc* 97,500
4,600 Newpark Resources Inc* 155,250
1,400 Schlumberger Ltd 175,000
1,600 Texaco Inc 174,000
$891,580
RETAIL TRADE --- 1.0%
3,500 Walgreen Co 187,688
$187,688
SECURITIES & COMMODITIES --- 0.7%
3,600 Charles Schwab & Company Inc 146,473
$146,473
TRANSPORTATION --- 0.8%
4,800 CNF Transportation Inc 154,800
$154,800
TRANSPORTATION EQUIPMENT --- 2.0%
3,600 Chrysler Corp 118,120
5,500 Mascotech Inc 114,813
3,000 The Boeing Co 159,186
$392,119
WHOLESALE TRADE -CONSUMER --- 0.9%
1,200 Procter & Gamble Co 169,500
$169,500
TOTAL COMMON STOCK --- 38.1% $7,494,104
(Cost $5,362,231)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 17.8%
3,500,000 Ford Motor Credit Co 3,499,613
$3,499,613
SECURITIES & COMMODITIES --- 17.8%
3,490,000 Merrill Lynch & Co Inc 3,490,000
$3,490,000
TELEPHONE --- 5.1%
1,000,000 American Telephone & Telegraph Co 1,000,000
$1,000,000
TOTAL SHORT-TERM INVESTMENTS --- 40.7% $7,989,613
(Cost $7,989,613)
TOTAL TOTAL RETURN PORTFOLIO --- 100.0% $19,653,717
(Cost $17,467,662)
Maxim Series Fund
U S Government Securities Portfolio
BONDS
AGENCY --- 84.7%
3,000,000 Federal Farm Credit Bank 2,987,400
Medium Term Notes
6.320% June 4, 2001
1,266,663 Federal Home Loan Mortgage Corp 1,225,876
Pool #30148
6.500% August 1, 2023
131,310 Federal Home Loan Mortgage Corp 127,657
Pool #E57977
6.000% April 1, 2009
108,802 Federal Home Loan Mortgage Corp 105,776
Pool #E57809
6.000% April 1, 2009
208,564 Federal Home Loan Mortgage Corp 202,762
Pool #E58713
6.000% May 1, 2009
701,167 Federal Home Loan Mortgage Corp 684,760
Pool #M70044
6.000% March 1, 2009
862,346 Federal Home Loan Mortgage Corp 932,455
Pool #G00300
9.500% April 1, 2025
552,463 Federal Home Loan Mortgage Corp 537,094
Pool #G10205
6.000% May 1, 2009
1,576,958 Federal Home Loan Mortgage Corp 1,533,087
Pool #G10331
6.000% September 1, 2009
115,262 Federal Home Loan Mortgage Corp 112,300
Pool #E00241
6.000% October 1, 2008
1,390,998 Federal Home Loan Mortgage Corp 1,374,501
Pool #E00177
6.500% December 1, 2007
205,116 Federal Home Loan Mortgage Corp 199,845
Pool #E55428
6.000% January 1, 2009
40,457 Federal Home Loan Mortgage Corp 42,015
Pool #730096
10.000% July 1, 2005
730,964 Federal Home Loan Mortgage Corp 806,253
Pool #260025
10.250% October 1, 2010
438,836 Federal Home Loan Mortgage Corp 449,412
Pool #220010
8.750% August 1, 2001
177,293 Federal Home Loan Mortgage Corp 172,361
Pool #E58355
6.000% April 1, 2009
843,126 Federal Home Loan Mortgage Corp 1,007,620
Pool #N70016
11.000% July 1, 2020
1,933,092 Federal Home Loan Mortgage Corp 2,009,256
Pool #G00256
8.000% November 1, 2023
2,917,133 Federal Home Loan Mortgage Corp 2,991,870
Pool #G00411
8.000% November 1, 2025
380,140 Federal Home Loan Mortgage Corp 369,565
Pool #G10257
6.000% July 1, 2009
450,596 Federal Home Loan Mortgage Corp 438,060
Pool #E00291
6.000% April 1, 2009
83,920 Federal Home Loan Mortgage Corp 88,250
Pool #730105
10.000% July 1, 2005
1,500,000 Federal Home Loan Mortgage Corp 1,510,800
Gold TBA
7.500% December 1, 2026
1,319,733 Federal National Mortgage Association 1,265,756
Pool #331689
6.500% February 1, 2026
559,027 Federal National Mortgage Association 595,700
Pool #039271
8.950% December 1, 2016
934,896 Federal National Mortgage Association 945,273
Pool #288761
7.500% October 1, 2024
1,696,921 Federal National Mortgage Association 1,715,757
Pool #288735
7.500% August 1, 2024
885,980 Federal National Mortgage Association 922,199
Pool #124652
8.500% July 1, 2022
893,117 Federal National Mortgage Association 877,755
Pool #288916
6.500% May 1, 2011
1,982,850 Federal National Mortgage Association 2,004,859
Pool #288748
7.500% September 1, 2024
1,024,558 Federal National Mortgage Association 952,326
CMO Series 1993-68 Class Z
6.000% May 25, 2008
3,168,049 Federal National Mortgage Association 3,328,352
Pool #303583
8.500% April 1, 2025
2,000,000 Federal National Mortgage Association 2,046,200
TBA
8.000% January 1, 2024
1,790,338 Federal National Mortgage Association 1,762,373
Pool #303450
7.000% August 1, 2025
1,286,279 Government National Mortgage Association 1,384,423
Pool #248357
9.000% July 15, 2018
1,897,818 Government National Mortgage Association 1,910,344
Pool #399917
7.500% April 15, 2026
6,412,758 Government National Mortgage Association 6,316,566
Pool #417239
7.000% February 15, 2026
1,273,245 Government National Mortgage Association II 1,301,511
Pool #2059
8.000% August 20, 2025
135,971 Government National Mortgage Association II 146,549
Pool #001831
9.500% May 20, 2022
2,492,000 US Department of Veteran Affairs 2,438,743
Vendee Trust Ser 1996-1 Cl 1d
6.750% October 15, 2016
1,000,000 US Department of Veteran Affairs 977,100
Vendee Trust Ser 1996-3 Cl 1e
6.750% August 15, 2020
$50,800,761
U.S. GOVERNMENTS --- 5.0%
1,000,000 United States of America 1,008,280
Treasury Notes
6.625% May 15, 2007
2,000,000 United States of America 2,008,120
Treasury Notes
6.500% May 31, 2002
$3,016,400
TOTAL BONDS --- 89.7% $53,817,161
(Cost $52,696,912)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 3.3%
2,000,000 Ford Motor Credit Co 1,996,006
$1,996,006
ELECTRONICS - HIGH TECH --- 2.5%
1,500,000 General Electric Co 1,497,005
$1,497,005
SECURITIES & COMMODITIES --- 4.5%
2,698,000 Merrill Lynch & Co Inc 2,698,000
$2,698,000
TOTAL SHORT-TERM INVESTMENTS --- 10.3% $6,191,011
(Cost $6,191,011)
TOTAL U S GOVERNMENT SECURITIES PORTFOLIO --- 100.0% $60,008,172
(Cost $58,887,923)
Great-West Life & Annuity Insurance Company
Variable Annuity Account
COMMON STOCK
COMMUNICATIONS --- 1.2%
2,800 AT&T Corp 98,174
$98,174
CONSUMER SERVICES --- 4.4%
2,600 Bausch & Lomb Inc 122,525
3,500 CR Bard Inc 127,092
2,700 King World Productions Inc 94,500
$344,117
CREDIT INSTITUTIONS --- 4.0%
1,500 American Express Co 111,750
3,100 First Hawaiian Inc 105,788
2,200 Mellon Bank Corp 99,275
$316,813
ELECTRIC --- 2.5%
3,800 Baltimore Gas & Electric Co 101,411
3,300 Consolidated Edison Company of New York Inc 97,142
$198,553
ELECTRONICS - HIGH TECH --- 6.5%
2,300 Aeroquip-Vickers Inc 108,675
5,000 International Game Technology 88,750
2,700 Johnson Controls Inc 110,867
4,200 Maytag Corp 109,725
1,800 Varian Associates Inc 97,650
$515,667
ENVIRONMENTAL SERVICES --- 1.3%
4,700 Ogden Corp 102,225
$102,225
GAS --- 1.4%
4,500 Washington Gas Light Co 113,063
$113,063
HIGHWAYS --- 1.3%
3,000 Ryder System Inc 99,000
$99,000
HOLDING & INVEST. OFFICES --- 2.5%
2,000 Equity Residential Properties Trust 95,000
2,200 MGIC Investment Corp 105,461
$200,461
INDUSTRIAL SERVICES --- 5.4%
3,000 Deluxe Corp 102,375
4,200 Kelly Services Inc Class A 131,775
3,400 Reynolds & Reynolds Co Class A 53,550
5,500 True North Communications Inc 136,125
$423,825
INSURANCE --- 4.4%
1,600 Allstate Corp 116,800
800 American International Group Inc 119,500
3,000 Arthur J Gallagher & Co 113,250
$349,550
MFTG - CONSUMER PRODS. --- 9.3%
3,100 American Greetings Corp Class A 115,088
2,300 Anheuser-Busch Companies Inc 96,455
3,000 Brown Group Inc 56,061
1,500 Kellogg Co 128,438
2,200 Lancaster Colony Corp 106,425
2,800 Leggett & Platt Inc 120,400
2,100 Springs Industries Inc Class A 110,775
$733,642
MFTG - INDUSTRIAL PRODS --- 25.7
4,800 Albany International Corp Class A 108,000
1,500 American Home Products Corp 114,750
1,700 Bandag Inc 83,300
2,700 Chemed Corp 101,080
3,900 Cooper Tire & Rubber Co 85,800
1,800 EI DuPont De Nemours & Co 113,175
1,900 Goodyear Tire & Rubber Co 120,293
2,400 Hercules Inc 114,900
2,000 Kennametal Inc 86,000
2,700 Mallinckrodt Inc 102,600
1,800 Mead Corp 112,050
3,800 Modine Manufacturing Co 113,050
5,000 Moore Corporation Ltd 98,435
1,600 NCH Corp 100,000
2,900 Pharmacia & Upjohn Inc 100,775
1,700 Tecumseh Products Co Class A 101,788
3,600 The Timken Co 128,023
3,400 USX-US Steel Group 119,211
3,800 Westvaco Corp 119,461
$2,022,691
MINING --- 1.4%
1,300 Phelps Dodge Corp 110,743
$110,743
OIL & GAS --- 6.6%
1,100 Amoco Corp 95,631
1,400 Atlantic Richfield Co 98,700
2,100 Coastal Corp 111,693
1,600 Mobil Corp 111,800
4,000 Occidental Petroleum Corp 100,248
$518,072
OTHER TRANS. SERVICES --- 1.3%
3,800 Alexander & Baldwin Inc 99,275
$99,275
RETAIL TRADE --- 5.2%
3,000 Blair Corp 43,125
5,400 Limited Inc 109,350
4,000 Luby's Cafeterias Inc 79,748
3,500 Sbarro Inc 97,125
3,500 TJ International Inc 82,250
$411,598
TELEPHONE --- 3.0%
1,700 Bell Atlantic Corp 128,988
1,700 SBC Communications Inc 105,188
$234,176
TRANSPORTATION EQUIPMENT --- 2.5%
3,400 Chrysler Corp 111,561
3,300 Superior Industries International Inc 87,450
$199,011
WHOLESALE TRADE -CONSUMER --- 2.6%
6,100 Kaman Corp Class A 93,783
800 Procter & Gamble Co 113,000
$206,783
TOTAL COMMON STOCK --- 92.6% $7,297,439
(Cost $6,449,119)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 7.4%
230,000 American Express Credit Corp 228,917
350,000 Ford Motor Credit Co 350,000
$578,917
TOTAL SHORT-TERM INVESTMENTS --- 7.4% $578,917
(Cost $578,917)
TOTAL VARIABLE ANNUITY ACCOUNT --- 100.0% $7,876,356
(Cost $7,028,036)
Maxim Series Fund
Corporate Bond Portfolio
BONDS
AGENCY --- 0.4%
604,143 Federal National Mortgage Association 536,932
CMO Series 1993-212 Class Z
6.000% November 25, 2008
$536,932
AIR --- 0.4%
88,400 NWA Trust 95,180
Notes
9.360% March 10, 2006
450,000 United Air Lines Inc 440,951
Pass Through Certificates
7.870% January 30, 2019
$536,131
CANADIAN - FEDERAL --- 4.8%
3,763,000 Canada 3,086,989
Debentures
8.000% June 1, 2023
4,650,000 Canadian Residual 612,214
Debentures
0.000% June 1, 2022
16,500,000 Canadian Residual 2,333,599
Debentures
0.000% June 1, 2021
$6,032,802
CANADIAN - PROVINCIAL --- 11.9%
5,000,000 British Columbia 527,649
Principal Strips
0.000% August 23, 2024
275,000 British Columbia 214,719
Debentures
7.875% November 30, 2023
2,500,000 British Columbia 346,338
Zero Coupon Bonds
0.000% September 5, 2020
1,400,000 British Columbia 303,793
Principal Strips
0.000% June 9, 2014
4,100,000 British Columbia 498,849
Principal Strips
0.000% August 19, 2022
6,500,000 British Columbia 1,497,032
Principal Strips
0.000% August 23, 2013
9,815,000 British Columbia 1,243,214
Debentures
0.000% June 9, 2022
1,350,000 British Columbia 1,084,221
Debentures
8.000% September 8, 2023
5,000,000 Manitoba 335,444
Zero Coupon Bonds
0.000% March 5, 2031
4,373,000 Manitoba 3,456,905
Bonds
7.750% December 22, 2025
3,550,000 Ontario Hydro 3,118,584
Bonds
8.900% August 18, 2022
4,800,000 Ontario Residual 586,798
Zero Coupon Bonds
0.000% July 13, 2022
2,165,000 Saskatchewan 1,886,697
Debentures
8.750% May 30, 2025
$15,100,243
COMMUNICATIONS --- 16.3%
1,500,000 Arch Communications Group Inc 795,000
Senior Discount Notes
0.000% March 15, 2008
250,000 CBS Inc 215,655
Senior Notes
7.125% November 1, 2023
2,500,000 Comcast Cable 2,725,025
Corporate Bond
8.875% May 1, 2017
250,000 Comcast Corp Class A 145,000
Convertible Notes
1.125% April 15, 2007
500,000 Intercel Inc 320,000
Senior Discount Notes
0.000% February 1, 2006
450,000 Nextel Communications Inc Class A 344,250
Senior Discount Notes
% August 15, 2004
200,000 Rogers Cablesystems of America 146,207
Debentures
9.650% January 15, 2014
300,000 Rogers Communications Inc 169,500
Convertible Debentures
2.000% November 26, 2005
5,250,000 Tele-Communications Inc 5,045,250
Debentures
7.875% February 15, 2026
925,000 Tele-Communications Inc 903,124
Debentures
7.875% August 1, 2013
2,500,000 Time Warner Entertainment LP 2,567,475
Senior Debentures
8.375% March 15, 2023
400,000 Time Warner Inc 441,796
Debentures
9.150% February 1, 2023
750,000 Time Warner Inc 760,073
Debentures
8.050% January 15, 2016
4,000,000 Time Warner Inc 1,570,000
Convertible Senior Notes
% December 17, 2012
700,000 Total Access Communication Public Company Ltd 730,625
Convertible Bonds
2.000% May 31, 2006
2,000,000 US West Capital Funding Inc 2,006,436
Bonds
7.900% February 1, 2027
1,850,000 Westinghouse Electric Corp 1,714,506
Debentures
7.875% September 1, 2023
$20,599,922
CONSTRUCTION --- 1.0%
250,000 Hovnanian Enterprises Inc 245,000
Subordinated Notes
9.750% June 1, 2005
219,000 Midland-Ross Corp 142,350
Debentures
6.000% February 15, 2007
500,000 Pulte Corp 487,555
Senior Notes
7.300% October 24, 2005
450,000 Schuler Homes Inc 354,375
Convertible Sub Debentures
6.500% January 15, 2003
$1,229,280
CONSUMER SERVICES --- 0.3%
250,000 Aktiebolaget SKF 184,194
Senior Convertible Unsubord
0.000% July 26, 2002
250,000 Envirotest Systems Corp 226,250
Senior Subordinated Notes
9.625% April 1, 2003
$410,444
CREDIT INSTITUTIONS --- 1.0%
150,000 DR Structured Finance Corp 138,750
Pass Through Certificates
8.375% August 15, 2015
200,000 DR Structured Finance Corp 185,000
Pass Through Certificates
8.550% August 15, 2019
500,000 First Union Capital 498,670
Bonds
8.040% December 1, 2026
300,000 Sappi BVI Finance Ltd 284,625
Convertible Bonds
7.500% August 1, 2002
125,000 Sun Life Canada 129,673
Debentures
8.526% May 29, 2049
$1,236,718
ELECTRIC --- 2.6%
500,000 Boston Edison Co 479,695
Debentures
7.800% March 15, 2023
1,000,000 Commonwealth Edison Co 996,440
Bonds
8.500% January 15, 2027
238,000 Commonwealth Edison Co 178,940
Debentures
4.750% December 1, 2011
250,000 Empresa Nacional de Electridad SA 197,500
Convertible Sub Debentures
5.000% March 15, 2004
239,166 GG1B Funding Corp 231,831
Debentures
7.430% January 15, 2011
250,000 Niagara Mohawk Power Corp 231,248
First Mortgage Notes
6.625% July 1, 2005
250,000 Niagara Mohawk Power Corp 231,838
First Mortgage Bonds
5.875% September 1, 2002
750,000 Niagara Mohawk Power Corp 713,588
First Mortgage Bonds
7.875% April 1, 2024
$3,261,080
ELECTRONICS - HIGH TECH --- 5.6%
1,125,000 Apple Computer Inc 945,000
Notes
6.500% February 15, 2004
375,000 Apple Computer Inc 316,875
Convertible Subordinated Notes
6.000% June 1, 2001
1,000,000 Broadband Technolgies Inc 720,000
Convertible Subordinated Notes
5.000% May 15, 2001
650,000 Cirrus Logic Inc# 470,438
Debenture
6.000% December 15, 2003
250,000 Cyrix Corp 205,000
Subordinated Convertible Notes
5.500% June 1, 2001
500,000 Digital Equipment Corp 450,980
Debentures
7.750% April 1, 2023
150,000 EDO Corp 124,500
Convertible Bonds
7.000% December 15, 2011
400,000 Integrated Device Technology Inc 334,000
Convertible Subordinated Notes
5.500% June 1, 2002
250,000 Maxtor Corp 175,000
Convertible Debentures
5.750% March 1, 2012
250,000 Park Electrochemical Corp 227,500
Convertible Subordinated Notes
5.500% March 1, 2006
50,000 Richardson Electronics Ltd 38,875
Convertible Debentures
7.250% December 15, 2006
250,000 Samsung Corp 251,875
Convertible Bonds
.250% June 26, 2006
1,000,000 Seagate Technology Inc 999,450
Debentures
7.875% March 1, 2017
62,332 Streamlogic Corp 62,332
Notes
14.000% October 7, 1998
1,100,000 The Learning Company Inc 899,250
Convertible Senior Notes
5.500% November 1, 2000
500,000 Unisys Corp 492,500
Debentures
9.750% September 15, 2016
515,000 Zenith Electronics Corp 430,025
Convertible Sub Debentures
6.250% April 1, 2011
$7,143,600
ENVIRONMENTAL SERVICES --- 1.0%
350,000 Air & Water Technologies Corp 287,000
Convertible Debentures
8.000% May 15, 2015
725,000 Molten Metal Technology Inc 268,250
Convertible Subordinated Notes
5.500% May 1, 2006
575,000 Molten Metal Technology Inc 212,750
Convertible Subordinated Notes
5.500% May 1, 2006
495,000 Ogden Corp 459,113
Eurodollar Convert Sub Bonds
5.750% October 20, 2002
105,000 Ogden Corp 98,175
Eurodollar Convert Sub Bonds
6.000% June 1, 2002
$1,325,288
FINANCIAL SERVICES --- 0.2%
500,000 Finance One PLC 252,500
Convertible Subordinated Bonds
2.000% August 31, 2001
$252,500
FOREIGN BANKS --- 2.3%
300,000 Banco Central Costa Rica 255,000
Brady Bonds
6.250% May 21, 2010
1,000,000 Bangkok Bank Pub Co (HK) 770,000
Convertible Bonds
3.250% March 3, 2004
1,500,000 Bangkok Bank Public Co Ltd# 1,487,760
Subordinated Notes
8.375% January 15, 2027
400,000 Siam Commercial Bank Co 256,000
Convertible Bonds
3.250% January 24, 2004
100,000 Yasuda Trust & Banking 80,875
Convertible Bonds
2.875% September 30, 2003
$2,849,635
FOREIGN GOVERNMENTS --- 14.4%
4,500,000 Argentina 3,116,250
Debentures
0.000% March 31, 2023
3,950,000 FNMA 2,721,644
Foreign Government
7.250% June 20, 2002
500,000 Irish Government 866,100
Irish Gilts
8.250% August 18, 2015
2,585,000 New Zealand 1,876,596
Bonds
8.000% November 15, 2006
225,000 PTC International Finance Bv 139,005
Bonds
% July 1, 2007
200,000 Petro Mexicanos# 175,000
Debentures
8.625% December 1, 2023
250,000 Poland 213,438
Global Bonds
4.000% October 27, 2014
3,000,000 Republic Of South Africa 589,815
Bonds
12.000% February 28, 2005
2,500,000 Republic Of South Africa 491,512
Bonds
12.000% February 28, 2005
2,000,000 Republic Of South Africa 393,210
Bonds
12.000% February 28, 2005
150,000 Republic of Argentina 167,175
Bonds
11.375% January 30, 2017
250,000 Republic of Brazil 169,375
Bonds
0.000% April 15, 2024
5,300,000 Republic of Brazil 5,101,250
Debentures
10.125% May 15, 2027
1,300,000 Republic of Brazil 880,750
Debentures
0.000% April 15, 2024
2,500,000 Republic of South Africa 517,641
Bonds
13.500% September 15, 2015
2,500,000 Republic of South Africa 495,865
Bonds
12.500% December 21, 2006
3,450,000 SCDA Generic Residual 345,350
Debentures
0.000% May 30, 2005
$18,259,976
FORESTRY --- 1.2%
125,000 Advance Argo Public Company Ltd 124,375
Convertible Unsubord Notes
3.500% June 17, 2001
1,450,000 Georgia-Pacific Corp 1,376,239
Debentures
7.375% December 1, 2025
$1,500,614
GAS --- 0.4%
500,000 NGC Corp Capital Trust 517,050
Bonds
8.316% June 1, 2027
7,500 NorAm Energy Corp 6,600
Convertible Sub Debentures
6.000% March 15, 2012
$523,650
HIGHWAYS --- 0.1%
175,000 Builders Transport Inc 89,250
Convertible Sub Debentures
8.000% August 15, 2005
$89,250
HOLDING & INVEST. OFFICES --- 2.0%
750,000 Federal Realty Investment Trust 669,375
Convertible Bonds
5.250% October 28, 2003
350,000 Meditrust Corp 382,813
Convertible Debentures
7.500% March 1, 2001
1,100,000 Rockefeller Center Properties Inc 750,750
Convertible Debentures
0.000% December 31, 2000
500,000 Security Capital Industrial Trust 535,020
Notes
8.650% May 15, 2016
250,000 Sizeler Property Investors Inc 240,625
Convertible Sub Debentures
8.000% July 15, 2003
$2,578,583
INSURANCE --- 0.2%
250,000 Loews Corp 224,433
Senior Notes
7.000% October 15, 2023
$224,433
MFTG - CONSUMER PRODS. --- 11.4%
750,000 Borden Inc 681,218
Debentures
7.875% February 15, 2023
450,000 Burns, Philp Treasury 389,250
Convertible Notes
5.500% April 30, 2004
100,000 Dixie Yarns Inc 83,000
Convertible Debentures
7.000% May 15, 2012
375,000 Fieldcrest Cannon Inc 298,125
Convertible Debentures
6.000% March 15, 2012
550,000 Fruit of the Loom Inc Class A 507,870
Debentures
7.375% November 15, 2023
5,350,000 Philip Morris Companies Inc 5,246,424
Debentures
7.750% January 15, 2027
250,000 Phillips Van-Heusen Corp 227,068
Debentures
7.750% November 15, 2023
700,000 RJR Nabisco Inc 696,283
Debentures
8.500% July 1, 2007
2,250,000 RJR Nabisco Inc 2,310,458
<PAGE>
Notes
9.250% August 15, 2013
1,950,000 RJR Nabisco Inc 1,920,672
Notes
7.625% September 15, 2003
1,200,000 RJR Nabisco Inc 1,217,940
Notes
8.750% August 15, 2005
1,600,000 The Penn Traffic Co 864,000
Senior Subordinated Notes
9.625% April 15, 2005
$14,442,308
MFTG - INDUSTRIAL PRODS --- 2.1%
125,000 Bell Sports Corp 106,563
Convertible Sub Debentures
4.250% November 15, 2000
1,000,000 Champion International Corp 944,400
Debentures
7.350% November 1, 2025
50,000 Exide Corp 30,813
Senior Convertible Sub Notes
2.900% December 15, 2005
800,000 Geneva Steel Co Class A 640,000
Senior Notes
9.500% January 15, 2004
100,000 Geneva Steel Co Class A 90,000
Senior Notes
11.125% March 15, 2001
75,000 Hexcel Corp 72,750
Convertible Debentures
7.000% August 1, 2011
125,000 NABI Inc 102,500
Convertible Bonds
6.500% February 1, 2003
200,000 Telxon Corp 182,000
Convertible Subordinated Notes
5.750% January 1, 2003
150,000 USX-Marathon Group 158,624
Debentures
8.500% March 1, 2023
350,000 USX-Marathon Group 358,617
Debentures
8.125% July 15, 2023
$2,686,267
MINING --- 0.7%
1,000,000 Banpu Public Company Ltd 932,500
Convertible Bonds
2.750% April 10, 2003
$932,500
OIL & GAS --- 0.3%
200,000 Maxus Energy Corp 202,000
Debentures
8.500% April 1, 2008
250,000 Ssangyong Oil Refining Co 170,313
Unsubordinated Convertible
3.000% December 31, 2004
$372,313
OTHER TRANS. SERVICES --- 0.2%
100,000 Preston Corp 70,000
Convertible Bonds
7.000% May 1, 2011
250,000 Worldway Corp 150,000
Convertible Sub Debentures
6.250% April 15, 2011
$220,000
RETAIL TRADE --- 4.0%
275,000 CML Group Inc 200,750
Convertible Jr Subordinated
5.500% January 15, 2003
250,000 General Host Corp 203,750
Convertible Notes
8.000% February 15, 2002
100,000 Jacobson Stores Inc 86,250
Convertible Debentures
6.750% December 15, 2011
500,000 K Mart Corp 500,000
Pass Through Certificates
9.780% January 5, 2020
1,100,000 K Mart Corp 1,045,000
Pass Through Certificates
9.350% January 2, 2020
936,107 K Mart Corp 879,940
Pass Through Certificates
8.540% January 2, 2015
250,000 K Mart Corp 226,250
Debentures
7.950% February 1, 2023
250,000 K Mart Funding Corp 240,000
Secured Lease Bond
8.800% July 1, 2010
2,100,000 Shoneys Inc 903,000
Convertible Subordinated Notes
0.000% April 11, 2004
750,000 Woolworth Corp 787,268
Debentures
8.500% January 15, 2022
$5,072,208
TELEPHONE --- 0.1%
150,000 Sprint Spectrum 109,500
Senior Discount Notes
0.000% August 15, 2006
$109,500
TRANSPORTATION --- 0.1%
100,000 American Presidents Company Ltd 92,497
Debentures
8.000% January 15, 2024
$92,497
TRANSPORTATION EQUIPMENT --- 0.8%
400,000 Rohr Inc 372,000
Subordinated Debentures
9.250% March 1, 2017
213,000 Rohr Inc 195,960
Convertible Sub Debentures
7.000% October 1, 2012
750,000 TFM SA de Cv 431,250
Debentures
% June 15, 2009
$999,210
U.S. GOVERNMENTS --- 1.4%
2,600,000 United States of America 438,568
Principal Strips
0.000% August 15, 2023
1,000,000 United States of America 895,000
Treasury Notes
6.000% February 15, 2026
300,000 United States of America 301,125
Treasury Bonds
6.875% August 15, 2025
125,000 United States of America 115,723
Treasury Bonds
6.250% August 15, 2023
$1,750,416
U.S. MUNICIPAL --- 0.4%
2,000,000 Orange County California Pension 476,020
General Obligation Bonds
0.000% September 1, 2016
$476,020
WHOLESALE TRADE - INDL --- 1.9%
125,000 Acindar Industria Argentina de Aceros SA 131,875
Bonds
11.250% February 15, 2004
1,400,000 Flagstar Corp 574,000
Senior Subordinated Debentures
11.250% November 1, 2004
1,050,000 Loxley Public Company Ltd 913,500
Convertible Bonds
2.500% April 4, 2001
750,000 Pioneer Standard Electronics Inc 777,177
Senior Notes
8.500% August 1, 2006
$2,396,552
WHOLESALE TRADE -CONSUMER --- 0.4%
250,000 Fuqua Industries Inc 213,750
Convertible Sub Debentures
6.500% August 4, 2002
50,000 Glycomed Inc 43,000
Convertible Sub Debentures
7.500% January 1, 2003
250,000 International Semi-Tech Microelec 148,750
Senior Discount Notes
% August 15, 2003
200,000 Vendell Healthcare Inc* 48,000
Senior Notes
12.000% May 15, 2000
$453,500
TOTAL BONDS --- 89.8% $113,694,372
(Cost $108,337,025)
COMMON STOCK
ELECTRONICS - HIGH TECH --- 0.0%
119,167 Streamlogic Corp* 4,767
550 Streamlogic Corp wts* 4,730
$9,497
TOTAL COMMON STOCK --- 0.0% $9,497
(Cost $216,737)
PREFERRED STOCK
COMMUNICATIONS --- 0.4%
5,139 Cablevision Systems Corp* 516,470
$516,470
CREDIT INSTITUTIONS --- 0.8%
4,600 BankAmerica Corp* 444,475
1,500 BankBoston Corp 129,750
3,400 Citicorp 328,950
1,000 First Chicago Corp 90,250
$993,425
ELECTRIC --- 1.5%
909 Central Louisiana Electric Company Inc 67,266
980 Commonwealth Energy System Cos 73,010
1,304 Entergy Louisiana Inc 70,416
5,500 Long Island Lighting Co 133,719
1,220 MDU Resources Group Inc 102,023
8,869 Nevada Power Co 154,099
2,205 New York State Electric & Gas Corp 105,840
2,500 Niagara Mohawk Power Corp Series A 62,500
31,800 Niagara Mohawk Power Corp Series B 693,638
12,500 Niagara Mohawk Power Corp Series C 279,688
2,850 Niagara Mohawk Power Corp Series E 153,900
300 Northern States Power Co 15,466
$1,911,565
ELECTRONICS - HIGH TECH --- 0.3%
10,000 Unisys Corp 388,750
$388,750
FOREIGN BANKS --- 0.3%
420,000 Sakura Finance Reg S Series II* 370,286
$370,286
GAS --- 0.1%
2,500 Western Gas Resources Inc 99,063
$99,063
MFTG - INDUSTRIAL PRODS --- 1.0%
950 Aluminum Company of America* 59,909
25,850 Bethlehem Steel Corp 1,046,925
3,000 McDermott Inc 94,875
2,000 Stone Container Corp Series E* 34,250
$1,235,959
RETAIL TRADE --- 0.0%
78,400 Flagstar Companies Inc* 58,800
$58,800
TOTAL PREFERRED STOCK --- 4.4% $5,574,318
(Cost $5,007,682)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 0.8%
1,000,000 Ford Motor Credit Co 995,691
$995,691
SECURITIES & COMMODITIES --- 5.0%
<PAGE>
6,325,000 Merrill Lynch & Co Inc 6,325,000
$6,325,000
TOTAL SHORT-TERM INVESTMENTS --- 5.8% $7,320,691
(Cost $7,320,691)
TOTAL CORPORATE BOND PORTFOLIO --- 100.0% $126,598,878
(Cost $120,882,135)
Maxim Series Fund
Small-Cap Index Portfolio
COMMON STOCK
AGRICULTURE --- 0.3%
1,900 Dekalb Genetics Corp Class B 151,525
3,900 Delta & Pine Land Co 138,938
1,300 Tejon Ranch Co 24,700
$315,163
AIR --- 0.8%
3,200 ASA Holdings Inc 91,600
2,650 Air Express International Corp* 105,338
2,900 Airborne Freight Corp* 121,438
2,100 Alaska Air Group Inc* 53,813
6,380 America West Holdings Corp Class B* 92,510
1,600 Circle International Group Inc 42,200
1,100 Comair Holdings Inc 30,456
700 Eagle USA Airfreight Inc* 18,988
3,700 Mesa Air Group Inc* 19,888
1,050 Midwest Express Holdings Inc* 28,744
2,800 Offshore Logistics Inc* 52,850
2,800 Pittston Brink's Group 78,750
2,400 Trans World Airlines Inc* 21,000
5,100 Valujet Inc* 35,221
$792,796
COMMERCIAL/OTHER --- 0.0%
1,245 Community Trust Bancorp Inc 33,304
$33,304
COMMUNICATIONS --- 2.6%
2,050 ACC Corp* 63,294
2,200 Adelphia Communications Corp Class A* 15,675
3,300 Allen Group Inc* 68,475
2,200 American Mobil Satellite Corporation Inc* 22,550
3,310 American Radio Systems Corp Class A* 131,986
800 Ascent Entertainment Group Inc* 7,300
800 Associated Group Inc Class A* 32,000
1,000 BET Holdings Inc Class A* 32,750
1,700 C-Tec Corp* 59,288
1,950 Cellstar Corp* 59,719
1,400 Cellular Communications International Inc* 46,900
700 Cellularvision USA Inc* 5,600
2,300 Centennial Cellular Co* 36,513
4,500 Century Communications Corp Class A* 24,188
2,500 Chancellor Corp Class A* 100,000
1,300 Coherent Communications Systems Corp* 32,500
2,000 Commnet Cellular Inc* 69,500
6,300 DSP Communications Inc* 69,300
1,100 Emmis Broadcasting Corp Class A* 47,988
4,200 Evergreen Media Corp Class A* 187,425
3,600 General Communication Inc Class A* 28,800
1,200 HA-LO Industries Inc* 28,350
6,976 HSN Inc* 218,000
1,000 Heftel Broadcasting Corp Class A* 55,250
3,100 HighwayMaster Communications Inc* 47,275
2,300 Intelidata Technologies Corp* 11,068
1,400 Intercel Inc* 19,425
2,300 Intermedia Communications Inc* 74,463
4,275 International Family Entertainment Inc Class B* 146,953
900 Jacor Communications Inc Class A* 34,425
3,021 Jones Intercable Inc* 35,119
1,800 LIN Television Corp* 79,425
1,500 MasTec Inc* 70,968
1,060 Metrocall Inc* 0
5,257 Metromedia International Group Inc* 66,370
7,700 Mobile Telecommunications Technologies Corp* 110,202
800 Mosaix Inc* 10,900
500 NTN Communications Inc* 2,219
1,100 Palmer Wireless Inc* 18,563
200 Paxson Communications Corp* 2,625
800 Picturetel Corp* 7,600
3,153 PriCellular Corp Class A* 28,377
800 SFX Broadcasting Inc Class A* 33,750
1,550 Saga Communications Inc Class A* 28,675
3,100 Sitel Corp* 63,938
2,300 TCA Cable TV Inc 86,538
2,300 US Long Distance Corp* 39,675
5,500 United International Holdings Inc Class A* 57,063
600 United Television Inc 59,400
1,500 United Video Satellite Group Inc Class A* 31,500
4,100 Vanguard Cellular Systems Inc Class A* 55,863
4,000 WinStar Communications Inc* 53,500
500 Xpedite Systems Inc* 8,625
$2,727,855
CONSTRUCTION --- 1.2%
1,700 Acme Metals Inc* 29,113
600 American Buildings Co* 16,200
3,900 Apogee Enterprises Inc* 83,850
2,200 Castle & Cooke Inc* 36,436
4,200 Centex Corp 170,625
2,766 DR Horton Inc 28,697
3,100 Geon Co 62,775
1,600 Granite Construction Inc 31,600
2,990 Insituform Technologies Inc Class A* 18,314
5,600 Kaufman & Broad Home Corp 98,347
3,900 Lennar Corp 124,554
400 MDC Holdings Inc 3,700
3,500 Manufactured Home Communities Co 80,717
3,100 Morrison Knudsen Corp* 42,238
1,600 NVR Inc* 24,400
2,200 Oasis Residential Inc 51,700
1,700 Palm Harbor Homes Inc* 55,888
2,400 Pulte Corp 82,949
1,350 Southern Energy Homes Inc* 12,319
4,300 Standard Pacific Corp 44,075
2,100 The Ryland Group Inc 29,663
3,300 Toll Brothers Inc* 60,638
1,700 US Home Corp* 45,155
$1,233,953
CONSUMER SERVICES --- 6.8%
2,900 ABR Information Services Inc* 84,100
400 AMC Entertainment Inc* 7,350
1,800 Access Health Inc* 44,100
3,100 Acuson Corp* 71,300
1,250 American Homepatient Inc* 31,250
6,700 American Oncology Resources* 113,063
900 Anchor Gaming Co* 42,975
1,300 Angelica Corp* 22,750
6,500 Aztar Corp* 45,903
200 Bally's Grand Inc* 10,200
400 Berlitz International Inc* 9,975
1,000 Biomatrix Inc* 19,000
3,600 Boyd Gaming Corp* 20,700
2,400 Bristol Hotel Co* 92,400
2,900 CNS Inc* 26,463
1,900 CPI Corp 39,900
500 CRA Managed Care Inc* 26,094
2,000 Capstone Pharmacy Services Inc* 21,750
1,400 Carmike Cinemas Inc Class A* 45,850
3,200 Carter-Wallace Inc 57,200
700 Central Parking Corp 24,368
4,200 Cineplex Odeon Corp* 7,610
4,100 Coventry Corp* 62,013
4,400 Creative BioMolecules Inc* 31,073
1,500 Curative Technologies Inc* 43,125
800 Cybercash Inc* 9,000
400 Cytyc Corp* 10,850
2,000 Datascope Corp* 39,250
3,800 DeVry Inc* 102,600
1,600 Depotech Corp* 21,800
1,600 Diagnostic Products Corp 50,499
5,733 Doubletree Corp* 235,770
900 Emcare Holdings Inc* 32,963
600 Enterprise Systems Inc* 18,975
2,968 Enzo Biochem Inc* 46,930
1,200 Equity Corp International* 29,024
3,400 Equity Inns Inc 45,475
6,434 Extended Stay America Inc* 101,336
2,400 Franklin Covey Co.* 60,749
1,100 Fusion Systems Corp* 43,518
2,700 G&K Services Inc Class A 100,575
800 GC Companies Inc* 36,600
1,900 GelTex Pharmaceuticals Inc* 38,238
5,100 Genesis Health Ventures Inc* 172,125
2,865 Grancare Inc 30,976
1,000 Grand Casinos Inc* 14,750
900 Harveys Casino Resorts* 15,806
1,800 Healthplan Services Corp 33,975
1,100 Henry Schein Inc* 34,375
2,100 Hollywood Park Inc* 30,713
7,449 Horizon/CMS Healthcare Corp* 149,442
4,000 Host Marriott Services Corp* 47,000
2,700 Human Genome Sciences Inc* 89,775
3,500 Hybridon Inc* 17,500
1,700 IDEC Pharmaceuticals Corp* 41,225
650 ITT Educational Services Inc* 16,128
11,000 Imatron Inc* 27,841
1,800 Incontrol Inc* 15,975
1,000 Incyte Pharmaceuticals Inc* 67,000
1,600 Inhale Therapeutic Systems* 39,600
300 Insurance Auto Actions Inc* 2,850
3,700 Integrated Health Services Inc* 142,450
2,300 Interim Services Inc* 102,350
2,250 Interpool Inc 33,188
600 Iron Mountain Inc* 18,000
300 Lab One Inc* 5,475
12,000 Laboratory Corp of America 31,500
1,700 Lifecore Biomedical Inc* 23,375
700 Lincare Holdings Inc* 30,100
1,900 Living Centers of America Inc* 75,050
4,600 Magellan Health Services Inc* 135,700
4,200 Mariner Health Group Inc* 64,835
1,900 Martek Biosciences Corp* 22,325
1,000 May & Speh Inc* 13,500
1,600 MedCath Inc* 23,800
1,888 MedPartners Inc* 40,828
5,900 Mid Atlantic Medical Services Inc* 91,816
500 MiniMed Inc* 13,313
1,366 Morrison Health Care Inc 21,770
2,600 Multicare Companies Inc* 71,175
1,200 Myriad Genetics Inc* 32,400
2,130 National Auto Credit Inc* 18,904
1,300 National Surgery Centers Inc* 45,988
3,700 NeXstar Pharmaceuticals Inc* 52,725
2,700 Neoprobe Corp* 37,800
2,000 Neurex Corp* 28,250
4,200 Neuromedical Systems Inc* 23,230
700 North American Vaccine Inc* 13,518
8,900 Novacare Inc* 123,488
2,900 OccySystems Inc* 84,100
1,800 Omnicare Inc 56,475
700 On Assignment Inc* 27,300
2,800 Orthodontic Centers of America Inc* 50,924
850 PDT Inc* 31,025
1,700 PHP Healthcare Corp* 22,313
2,000 PathoGenesis Corp* 58,250
6,000 Patriot American Hospitality Inc 153,000
1,300 Pediatrix Medical Group* 59,556
800 Penn National Gaming Inc* 11,900
1,100 Perclose Inc* 27,500
1,700 Personnel Group of America Inc* 48,980
1,600 Pharmacopeia Inc* 21,200
1,500 Phycor Inc* 51,656
2,600 Physician Computer Network Inc* 17,550
3,400 Physicians Resource Group Inc* 30,600
2,400 Physio-Control International Corp* 36,000
1,100 Primadonna Resorts Inc* 21,243
4,400 Prime Hospitality Corp* 86,900
1,400 Prime Medical Services Inc* 15,137
600 Quintel Entertainment Inc* 9,900
1,400 Red Roof Inc* 25,200
3,812 Regal Cinemas Inc* 125,796
2,300 Regency Health Services Inc* 35,363
1,800 Regis Corp 42,525
4,200 Renal Treatment Centers Inc* 112,875
800 Res-Care Inc* 15,300
2,400 Rio Hotel & Casino Inc* 36,149
5,300 Rollins Truck Leasing Corp 78,838
900 Romac International Inc* 29,475
3,300 Rotech Medical Corp* 66,205
1,900 SangStat Medical Corp* 43,938
700 Seafield Capital Corp 25,025
1,725 Seattle Filmworks Inc* 20,700
4,200 Sequus Pharmaceuticals Inc* 26,775
1,850 Serologicals Corp* 42,550
2,300 Showboat Inc 40,105
2,100 Sierra Health Services Inc* 65,625
1,900 Spelling Entertainment Group Inc* 13,063
1,400 Spine-Tech Inc* 51,975
2,000 Staar Surgical Co* 24,500
2,600 Station Casinos Inc* 21,775
3,500 Storage USA Inc 133,875
5,428 Sun Healthcare Group Inc* 112,968
500 Superior Services Inc* 11,875
2,600 Sylvan Learning Systems Inc* 88,400
1,800 The Marcus Corp 46,125
1,300 Theragenics Corp* 29,900
2,500 Toy Biz Inc Class A* 20,625
5,800 Transitional Hospitals Corp* 92,075
3,300 Trump Hotels & Casino Resorts Inc* 35,475
2,200 UROHEALTH Systems Inc Class A* 13,165
2,900 UniFirst Corp 58,000
4,700 Universal Health Services Inc Class B* 180,950
2,300 Veterinary Centers of America Inc* 28,030
1,880 Vitalink Pharmacy Services Inc* 35,955
4,400 Westwood One Inc* 141,900
4,800 Xoma Corp* 23,098
$7,126,255
CREDIT INSTITUTIONS --- 6.2%
3,600 Aames Financial Corp 66,600
1,640 Albank Financial Corp* 64,780
1,200 American Annuity Group Inc* 21,600
1,500 American Federal Bank FSB* 48,375
700 Anchor Bancorp Wisconsin Inc* 34,125
5,400 Arcadia Financial Ltd* 49,610
3,130 Associated Banc-Corp* 123,635
2,500 Astoria Financial Corp* 118,750
1,287 Bank of Granite Corp* 38,932
1,800 Bay View Capital Corp 47,250
1,100 CBT Corp 24,063
1,600 Capsure Holdings Corp* 20,699
1,620 Carolina First Corp* 23,895
1,100 Charter One Financial Inc 59,263
5,700 City National Corp 137,153
800 Cityscape Financial Corp* 15,950
2,900 Collective Bancorp Inc 130,138
4,000 Colonial Bancgroup Inc 97,000
1,844 Commerce Bancorp Inc 71,455
3,150 Commercial Federal Corp 116,944
2,530 Commonwealth Bancorp Inc 41,429
1,100 Corus Bankshares Inc 31,075
3,000 Credit Acceptance Corp* 38,625
3,300 Cullen/Frost Bankers Inc 139,838
4,400 Dauphin Deposit Corp* 196,073
5,400 Deposit Guaranty Corp 170,100
200 First Banks America Inc* 2,650
1,600 First Citizens Bancshares Inc Class A 139,200
2,118 First Colorado Bancorp Inc 40,507
3,225 First Commercial Corp 132,628
3,200 First Commonwealth Financial Corp 68,000
2,095 First Financial Bancorp 84,324
5,250 First Financial Corp 154,219
751 First Financial Corp-Indiana 27,975
3,400 First Hawaiian Inc 116,025
4,009 First Michigan Bank Corp 121,272
2,150 First Midwest Bancorp Inc 68,127
1,400 First Savings Bank of Washington Bancorp Inc 31,150
1,500 FirstBank Illinois Co 58,688
1,750 FirstBank Puerto Rico 45,281
1,400 FirstFed Financial Corp* 43,487
4,300 FirstMerit Corp 206,400
1,000 Firstplus Financial Group Inc* 34,000
6,300 Glendale Federal Bank FSB* 164,588
400 Harris Savings Bank 8,500
2,796 Hubco Inc 81,084
2,714 Imperial Bancorp* 78,367
3,490 Imperial Credit Industries Inc* 71,761
500 Investment Technology Group Inc* 13,438
1,500 Klamath First Bancorp 28,688
3,500 Long Island Bancorp Inc 127,092
1,700 ML Bancorp Inc 32,938
4,790 Magna Group Inc 166,453
1,381 National City Bancshares Inc 57,312
1,876 New York Bancorp Inc 65,191
2,000 North American Mortgage Co 47,374
9,366 North Fork Bancorporation Inc 200,198
3,845 Old National Bancorp 169,180
600 Park National Corp 47,850
2,650 Peoples Bank of Bridgeport 68,569
1,700 RCSB Financial Inc 81,388
1,572 Resource Bancshares Mortgage Group Inc 31,047
3,000 Riggs National Corp 61,875
3,287 St Paul Bancorp Inc 108,882
2,300 Standard Financial Inc 56,350
600 Student Loan Corp 25,462
600 Sumitomo Bank of California 17,325
1,900 Susquehanna Bancshares Inc 74,575
1,141 TCF Financial Corp 56,337
2,800 The Trust Company of New Jersey 53,900
1,600 Trans Financial Inc 44,600
2,877 Trustco Bank Corp 61,496
2,283 UMB Financial Corp 98,454
2,800 US Trust Corp 131,950
700 USBancorp Inc 38,150
2,300 UST Corp 51,463
2,200 United Bankshares Inc 92,950
3,450 United Carolina Bancshares Corp* 179,400
640 WFS Financial Inc* 10,720
6,710 Washington Federal Inc 172,360
1,300 Wesbanco Inc 51,513
1,991 WestAmerica Bancorp 151,316
1,281 Westcorp Inc 23,538
2,450 Whitney Holding Corp 103,513
1,400 Zions Bancorp 52,675
$6,561,112
ELECTRIC --- 2.4%
7,500 Atlantic Energy Inc* 126,090
200 Bangor Hydro Electric Co* 1,150
2,100 Black Hills Corp* 59,850
2,500 Central Hudson Gas & Electric Corp 86,093
3,200 Central Louisiana Electric Company Inc 90,000
4,600 Central Maine Power Co 56,925
300 Central Vermont Public Service Corp 3,319
11,354 Citizens Utilities Co Class B* 90,832
2,600 Commonwealth Energy System Cos 62,236
2,900 Eastern Utilities Associates 52,925
8,500 El Paso Electric Co* 60,027
2,300 Empire District Electric Co 39,818
1,400 Energen Corp 47,162
100 Green Mountain Power Corp 2,369
4,300 IES Industries Inc 126,850
1,400 Interstate Power Co 40,075
4,100 MDU Resources Group Inc 98,400
2,250 Madison Gas & Electric Co 46,125
4,300 Minnesota Power & Light Co 130,613
7,000 Nevada Power Co 148,750
2,500 Northwestern Public Service Co 53,750
1,900 Orange & Rockland Utilities Inc 63,888
1,600 Otter Tail Power Co 52,800
1,400 Pennsylvania Enterprises Inc 35,787
5,300 Public Service Company of New Mexico 94,738
5,500 Rochester Gas & Electric Corp 115,841
3,400 SIGCORP Inc 86,275
4,400 Sierra Pacific Resources 140,800
1,700 TNP Enterprises Inc 39,418
4,520 Tucson Electric Power Co* 65,540
4,700 UGI Corp 103,988
2,000 United Illuminating Co 61,750
4,400 WPL Holdings Inc 122,923
3,400 WPS Resources Corp 90,950
$2,498,057
ELECTRONICS - HIGH TECH --- 11.8%
2,700 ADAC Laboratories* 63,788
2,800 Actel Corp* 47,774
1,700 Activision Inc* 24,438
2,100 Advanced Technology Laboratories Inc* 90,300
500 Advent Software* 13,313
3,800 Aeroquip-Vickers Inc* 179,550
1,300 Alliant Techsystems Inc* 71,500
1,850 Altron Inc* 27,750
4,700 Ametek Inc* 110,450
4,200 Ampex Inc Class A* 24,675
300 Amtech Corp* 1,406
1,000 Anadigics Inc* 31,000
1,100 Analogic Corp* 37,400
5,100 Anixter International Inc* 87,654
3,550 Antec Corp* 41,713
3,500 Applied Magnetics Corp* 79,188
800 Arbor Health Care Co* 24,800
1,700 Arbor Software Corp* 59,925
1,600 Arrow International Inc* 46,800
1,200 Aspect Telecommunications Corp* 26,700
2,900 Aspen Technology Inc* 109,113
3,600 Auspex Systems Inc* 34,650
4,100 BDM International* 94,300
2,940 Baldor Electric Co* 86,912
3,900 Ballard Medical Products Co* 78,242
2,000 Bell & Howell Co* 61,624
100 Benchmark Electronics Inc* 4,050
900 Berg Electronics Corp* 32,343
1,450 Bio Rad Labs Inc Class A* 37,790
2,500 Black Box Corp* 100,625
3,500 Boston Technology Inc* 103,467
3,525 Burr Brown Corp* 121,613
900 C-Cube Microsystems Inc* 15,806
400 CSG Systems International Inc* 12,350
600 CTS Corp 41,362
2,350 Cable Design Technologies Co* 69,177
2,300 California Microwave Inc* 32,200
200 Centigram Communications Corp* 2,587
2,900 Checkfree Corp* 51,113
800 Checkpoint Systems Inc 12,850
<PAGE>
3,200 Chips & Technologies Inc* 33,200
4,666 Chyron Corp* 20,997
1,900 Cidco Inc* 26,125
3,400 Citrix Systems Inc* 149,175
1,500 Clarify Inc* 16,968
4,700 Cognex Corp* 124,550
1,600 Coherent Inc* 71,200
1,300 Cohu Inc 40,625
1,300 Collagen Corp 22,750
7,000 Coltec Industries Inc* 136,500
650 Computer Management Sciences Inc* 13,325
3,500 Computer Products Inc* 87,500
3,100 Comverse Technology Inc* 161,200
2,200 Conmed Corp* 37,400
300 Core Industries Inc 7,425
3,150 Credence Systems Corp* 94,302
1,600 Cree Research Inc* 19,600
700 Cubic Corp 18,200
2,400 Cyrix Corp* 51,300
1,800 DII Group Inc* 79,200
4,100 Dallas Semiconductor Corp 160,925
2,100 Daniel Industries Inc 32,418
4,000 Data Broadcasting Corp* 19,000
5,600 Data General Corp* 145,600
1,200 Davox Corp* 42,900
1,100 DecisionOne Corp* 25,025
2,300 Digital Microwave Corp* 69,000
1,800 Dionex Corp* 92,250
1,300 Documentum Inc* 32,338
3,450 Durco International Inc 100,913
2,500 ESS Technology Inc* 33,593
1,000 Elcom International Inc* 6,859
1,200 Electro Scientific Industries Inc* 50,250
2,600 Electroglas Inc* 65,486
700 Eltron International Inc* 20,825
1,700 Envoy Corp* 56,525
1,200 Esterline Technologies Corp* 42,750
2,100 Etec Systems Inc* 90,038
1,300 Evans & Sutherland Computer Corp* 36,238
3,100 Exabyte Corp* 39,717
900 Fluke Corp 53,325
700 Franklin Electric Company Inc 34,825
3,000 General Datacomm Industries Inc* 21,375
4,000 Genrad Inc* 90,500
8,400 Geotek Communications Inc* 45,671
1,900 Gulf South Medical Supply Inc* 37,050
300 HCIA Inc* 10,050
1,300 HMT Technology Corp* 16,818
2,700 HNC Software Inc* 102,938
2,000 HPR Inc* 37,000
525 Hach Co 10,369
1,200 Hadco Corp* 78,600
3,300 Haemonetics Corp* 63,113
2,450 Harbinger Corp* 68,600
2,150 Harman International Industries Inc 90,569
200 Harmon Industries Inc 4,300
1,400 Harmonic Lightwaves Inc* 23,975
1,600 Hologic Inc* 42,600
1,450 Holophane Corp* 29,000
2,300 Hutchinson Technology Inc* 56,063
1,900 I-Stat Corp* 32,538
700 IDX Systems Corp* 24,150
1,200 IKOS Systems Inc* 25,650
400 IMO Industries Inc* 2,350
2,700 Identix Inc* 30,375
1,400 Imnet Systems Inc* 43,487
500 Indus Group Inc* 10,125
1,000 Input/Output Inc* 18,125
1,100 Inso Corp* 22,618
300 Integrated Circuit Systems Inc* 6,806
11,100 Integrated Device Technology Inc* 116,550
2,000 Integrated Process Equipment Corp* 50,624
1,200 Inter-Tel Inc* 25,500
6,800 Interdigital Communications Inc* 37,400
5,800 Intergraph Corp* 49,300
1,200 International Rectifier Corp* 22,350
2,300 Intervoice Inc* 21,130
400 Intevac Inc* 4,800
4,000 Invacare Corp 93,500
400 JDA Software Group Inc* 13,650
900 Jabil Circuit Inc* 75,488
2,600 Juno Lighting Inc 42,250
5,300 Kemet Corp* 131,838
4,400 Keystone International Inc 152,623
1,200 Komag Inc* 19,650
2,100 Kuhlman Corp 67,725
1,000 LS Starrett Co Class A 31,875
5,000 LTX Corp* 32,500
3,200 Lattice Semiconductor Corp* 180,800
2,700 Legato Systems Inc* 49,950
2,000 Level One Communications Inc* 76,874
3,400 Littelfuse Inc* 96,050
3,000 Lojack Corp* 43,125
850 Lunar Corp* 18,488
1,800 MRV Communications Inc* 53,100
1,300 MTS Systems Corp 39,650
3,100 Magnetek Inc* 51,538
2,400 Marshall Industries* 89,400
3,100 Mentor Corp 91,838
4,500 Methode Electronics Inc Class A 89,438
1,100 MicroTouch Systems Inc* 25,300
500 Mine Safety Appliances Co 30,250
3,000 Mylex Corp* 28,500
1,900 National Computer Systems Inc 50,588
2,300 Network Appliance Inc* 87,400
3,100 Network Equipment Technologies Inc* 55,800
2,100 Nimbus CD International Inc* 23,100
2,300 OEA Inc* 90,850
2,600 Oak Industries Inc* 74,750
5,100 Oak Technology Inc* 49,725
600 OnTrak Systems Inc* 18,000
1,000 Ortel Corp* 18,000
2,300 P-Com Inc* 75,900
4,100 PMC Sierra Inc* 107,625
1,900 PRI Automation Inc* 72,080
1,800 Pacific Scientific Co 23,850
1,400 Park Electrochemical Corp 36,837
1,100 Perceptron Inc* 29,838
2,700 Pittway Corp Class A 134,325
1,200 Pixar Inc* 18,900
1,300 Plantronics Inc* 65,163
200 Plexus Corp* 11,162
1,000 Premiere Technologies Inc* 26,000
3,600 PsiNet Inc* 27,000
3,690 Pure Atria Corp* 52,121
1,000 Quick Response Services Inc* 36,250
800 Radisys Corp* 31,800
3,800 Ramtron International Corp* 23,036
400 Raptor Systems Inc* 4,475
1,100 Read-Rite Corp* 22,963
1,400 Recoton Corp* 18,287
1,600 Remedy Corp* 64,000
2,500 Respironics Inc* 52,813
1,400 Rival Co 20,650
1,100 Rogers Corp* 38,775
600 Royal Appliance Manufacturing Co* 5,137
2,100 SMART Modular Technologies Inc* 70,875
800 SPSS Inc* 23,200
2,200 Safeskin Corp* 64,761
2,400 Sandisk Corp* 35,100
2,500 Sanmina Corp* 158,750
200 Sapient Corp* 9,900
1,900 Scopus Technology Inc* 42,513
3,800 Sepracor Inc* 98,086
4,300 Sequent Computer Systems Inc* 90,567
1,300 Sheldahl Inc* 26,813
1,400 Siliconix Inc* 38,500
3,300 Sofamor Danek Group Inc* 150,975
1,400 Spacelabs Inc* 35,700
700 Speedfam International Inc* 25,113
2,000 Standard Microsystems Corp* 17,750
1,400 Stanford Telecommunications Inc* 21,612
800 Steris Corp* 29,900
500 Storage Computer Corp* 5,625
2,500 Stormedia Inc Class A* 17,813
3,400 Stratus Computer Inc* 170,000
4,350 Summit Technology Inc* 28,819
2,400 Sunrise Medical Inc* 36,300
2,400 Systemsoft Corp* 25,800
900 Tech-Sym Corp* 30,038
1,900 Technitrol Inc 52,013
2,100 Tecnol Medical Products Inc* 46,725
5,200 Teleflex Inc 162,500
400 ThermoSpectra Corp* 4,725
1,500 Thomas Industries Inc 43,125
200 Three Five Systems Inc* 2,975
3,100 Tracor Inc* 77,888
2,800 Trimble Navigation Ltd* 49,700
1,200 Triquint Semiconductor Inc* 41,250
2,300 Uniphase Corp* 133,975
1,500 Unitrode Corp* 75,563
6,500 VLSI Technology Inc* 153,563
500 Valence Technology Inc* 4,313
2,400 Vanstar Corp* 33,900
1,350 Veritas Software Corp* 67,838
2,400 Viasoft Inc* 121,800
4,500 Vicor Corp* 101,250
1,800 VideoServer Inc* 23,850
1,000 Visio Corp* 70,500
1,500 Visx Inc* 35,625
900 Vital Signs Inc 15,806
4,150 Vitesse Semiconductor Corp* 135,651
3,700 Waters Corp* 132,738
1,200 Watkins Johnson Co 36,900
2,050 Wind River Systems* 78,413
2,500 Windmere Corp 40,938
2,000 Wireless Telecom Group Inc 22,124
2,000 X-Rite Inc 38,000
400 Yahoo! Inc* 14,100
2,800 Zebra Technologies Corp Class A* 78,050
4,100 Zenith Electronics Corp* 48,429
3,000 Zilog Inc* 57,000
100 Zoll Medical Corp* 750
700 Zoran Corp* 15,838
1,200 Zygo Corp* 36,900
$12,428,934
ENVIRONMENTAL SERVICES --- 0.9%
2,800 Air & Water Technologies Corp* 8,400
10,600 Allied Waste Industries Inc* 184,175
8,600 Laidlaw Environmental Svcs* 25,800
2,100 Molten Metal Technology Inc* 10,500
2,800 OHM Corp* 23,624
7,100 Ogden Corp 154,425
2,900 Rollins Inc 58,363
8,300 Safety-Kleen Corp 140,063
1,800 Tetra Technologies Inc* 42,750
5,700 United Waste Systems Inc* 233,700
1,800 Zurn Industries Inc 51,750
$933,550
FOREIGN GOVERNMENTS --- 0.0%
1,400 Periphonics Corp* 30,100
$30,100
FORESTRY --- 0.2%
3,000 Chesapeake Corp 101,250
7,300 Longview Fibre Co 121,363
$222,613
GAS --- 2.1%
7,900 AGL Resources Inc* 162,938
800 Aquila Gas Pipeline Co 11,150
2,250 Atmos Energy Corp* 54,000
1,900 Bay State Gas Co* 50,588
300 Cascade Natural Gas Corp 4,913
1,200 Colonial Gas Co 25,274
1,300 Connecticut Energy Corp 31,525
1,500 Connecticut Natural Gas Corp* 33,000
2,900 Eastern Enterprises 100,592
2,800 Indiana Energy Inc 68,424
2,800 KCS Energy Inc 57,050
3,035 KN Energy Inc 127,849
2,500 Laclede Gas Co 54,375
1,400 NUI Corp 31,412
2,600 New Jersey Resources Corp 81,575
900 North Carolina Natural Gas Corp 30,038
3,150 Northwest Natural Gas Co 82,489
3,300 OneOk Inc 106,217
4,200 Piedmont Natural Gas Company Inc 107,885
800 Pogo Producing Co 30,950
4,500 Pride Petroleum Services Inc* 108,000
2,800 Public Service Company of North Carolina Inc 53,724
8,692 Seagull Energy Corp* 152,110
1,100 South Jersey Industries Inc 24,475
1,808 Southeastern Michigan Gas Enterprises Inc* 31,640
3,800 Southwest Gas Corp 75,525
3,500 Southwestern Energy Co 45,500
2,105 Tejas Gas Corp* 82,621
1,900 United Cities Gas Corp 44,650
6,200 Washington Gas Light Co 155,775
2,200 Western Gas Resources Inc 42,900
2,600 Wicor Inc 101,236
1,500 Yankee Energy Systems Inc 36,750
$2,207,150
HIGHWAYS --- 0.1%
3,200 Arnold Industries Inc* 54,400
1,600 Swift Transportation Company Inc* 47,200
$101,600
HOLDING & INVEST. OFFICES --- 8.5%
1,300 AMLI Residential Properties Trust* 30,713
2,000 Allied Capital Commercial Corp* 48,000
1,700 Amcore Financial Inc* 46,325
2,600 Amerco Inc* 78,325
3,000 American Health Properties Inc* 75,375
1,900 Amvestors Financial Corp* 35,625
1,600 Associated Estates Realty Corp* 37,600
4,100 Avalon Properties Inc* 117,363
727 BOK Financial Corp* 25,627
4,640 BRE Properties Inc Class A* 116,580
2,700 Bancorpsouth Inc* 78,300
1,760 Bankers Corp* 49,280
1,100 Banknorth Group Inc 50,875
2,700 Bay Apartment Communities Inc* 99,900
3,600 Berkshire Realty Inc* 38,250
2,904 Bradley Real Estate Inc 55,902
885 Brenton Banks Inc 24,338
3,000 CBL & Associated Properties Inc 72,000
2,717 CNB Bancshares Inc 110,039
700 CPB Inc 26,075
3,616 Camden Property Trust 114,356
400 Capital Southwest Corp* 28,600
5,175 Capstead Mortgage Corp* 127,755
5,400 Carr Realty Corp 155,250
2,100 Centerpoint Properties Corp 66,675
3,700 Centura Banks Inc 169,738
2,000 Chelsea GCA Realty Inc 76,000
1,402 Chemical Financial Corp 48,369
1,550 Chittenden Corp 53,088
1,900 Cilcorp Inc 78,255
1,000 Citfed Bancorp Inc 38,750
1,600 Citizens Banking Corp 54,800
2,600 Coast Savings Financial Inc* 118,136
3,700 Colonial Properties Trust 108,688
1,900 Columbus Realty Trust 43,225
2,900 Commercial Net Lease Realty Inc 44,405
2,400 Community First Bancshares Inc 92,100
3,300 Cousins Properties Inc 91,575
4,700 Criimi Mae Inc 75,200
3,500 Crown American Realty Trust 32,375
2,700 Developers Diversified Realty Corp 108,000
4,400 Duke Realty Investments Inc 178,200
2,200 Eaton Vance Corp 61,186
2,100 Excel Realty Trust Inc 55,388
1,100 F&M Bankcorp Inc 44,000
2,710 F&M National Corp 70,460
1,329 FNB Corp 42,860
4,900 Federal Realty Investment Trust 132,300
1,187 First Financial Bankshares Inc 45,996
1,123 First Indiana Corp 25,268
1,231 First Source Corp 32,622
950 First United Bancshares Inc* 40,613
1,050 First Western Bancorp 39,638
5,800 Franchise Finance Corporation of America 151,160
900 Fund American Enterprises Holdings Inc 94,500
3,100 Glimcher Realty Trust 63,938
1,335 Hancock Holding Co 65,415
900 Harleysville Group Inc 34,088
997 Harleysville National Corp 31,904
4,100 Health Care Property Investors Inc 144,525
2,700 Health Care Real Estate Investment Trust Inc 65,642
2,100 Healthcare Realty Trust Co 58,538
1,050 Heritage Financial Services Inc 21,656
3,700 IRT Property Co 43,475
1,300 Inacom Corp* 40,463
900 Irwin Financial Corp 26,550
1,900 JP Realty Inc 51,538
1,100 JSB Financial Inc 47,575
2,100 Jefferson Bankshares Inc 75,600
7,398 Keystone Financial Inc 231,188
3,800 Kimco Realty Corp 120,650
2,700 Koger Equity Inc 49,275
3,200 LTC Properties Inc 58,000
700 Liberty Financial Companies Inc 34,913
4,300 Liberty Property Trust 106,963
2,300 Life USA Holding Inc* 32,775
1,537 MAF Bancorp Inc 64,362
1,700 MGI Properties Inc 37,505
1,900 Magna Bancorp Inc 52,013
2,972 Mid-Am Inc 54,239
600 National Bancorp of Alaska Inc 50,700
7,100 National Commerce Bancorp 156,200
1,800 National Golf Properties Inc 62,550
3,000 National Health Investors Inc 117,750
971 National Penn Bancshares Inc 32,771
5,900 Nationwide Health Properties Inc 129,800
1,300 Omega Financial Corp 45,175
2,635 Omega Healthcare Investors Inc 86,130
1,800 Onbancorp Inc 91,800
2,775 One Valley Bancorp Inc 116,550
1,100 Pennsylvania Real Estate Investment Trust 24,681
1,209 Peoples First Corp 33,852
3,600 Peoples Heritage Financial Group Inc 136,350
3,100 Pioneer Group Inc 71,300
1,109 Provident Bankshares Corp 46,162
2,900 Provident Financial Group Inc 123,975
9,000 Public Storage Inc 263,250
1,450 Queens County Bancorp Inc 65,975
3,800 RFS Hotel Investments Inc 68,400
1,500 Regency Realty Corp 40,875
2,153 Republic Bancorp Inc 30,680
1,600 S&T Bancorp Inc 53,600
1,400 Saul Centers Inc 24,150
1,300 Security Capital Corp 122,850
1,200 Security-Connecticut Life Insurance Co* 66,074
3,900 Shurgard Storage Centers Inc Class A 109,200
1,300 Silicon Valley Bancshares* 58,825
1,000 Sirrom Capital Corp* 34,500
8,976 Sovereign Bancorp Inc 136,884
2,900 Summit Properties Inc 59,813
2,200 Sun Communities Inc 73,836
2,300 TR Financial Corp 57,930
4,500 Taubman Centers Inc 59,625
2,300 Thornburg Mortgage Asset Co 49,450
2,200 Town & Country Trust 33,825
3,800 United Companies Financial Corp 107,350
12,099 United Dominion Realty Trust Inc 171,649
3,000 WHX Corp* 22,875
5,700 Walter Industries Inc* 95,475
4,500 Washington Real Estate Investment Trust 79,875
3,300 Weingarten Realty Investors 139,425
2,400 Western Investment Real Estate Trust 33,300
600 White River Corp* 43,725
$8,997,975
INDEPENDENT POWER PROD --- 0.0%
600 Trigen Energy Corp 15,000
$15,000
INDUSTRIAL SERVICES --- 5.6%
2,300 ABM Industries Inc* 44,418
4,600 Acclaim Entertainment Inc* 18,975
2,800 Ackerley Group Inc* 30,450
6,300 Acxiom Corp* 129,150
5,300 Advanced Tissue Sciences Inc* 68,238
3,200 Advo Inc* 52,000
3,700 Affiliated Computer Services Inc Class A* 103,600
3,300 Alliance Semiconductor Corp* 27,017
4,300 Allwaste Inc* 40,850
1,900 Alternative Resources Corp* 38,713
1,450 American Business Information Inc* 31,538
1,000 American Management Systems Inc* 26,750
2,100 Analysts International Corp* 70,350
2,730 Avant! Corp* 88,212
3,000 Avid Technology Inc* 79,125
800 BRC Holdings Inc* 30,400
700 Barra Inc* 23,100
2,100 Billing Information Concepts* 73,238
3,500 Bisys Group Inc* 146,125
2,400 Boole & Babbage Inc* 51,000
4,500 Borland International Inc* 31,217
2,400 Broderbund Software Inc* 59,249
1,600 CDI Corp* 66,699
400 CKS Group Inc* 13,500
1,900 COREStaff Inc* 51,300
2,962 Cellular Technical Services Co* 27,028
3,500 Cerner Corp* 73,500
1,400 Ciber Inc* 47,862
3,900 Columbia Laboratories Inc* 63,863
3,150 Computer Horizons Corp* 107,888
400 Computer Language Research Inc* 3,900
2,000 Computer Task Group Inc 74,500
9,000 Computervision Corp* 41,625
1,900 Control Data Systems Inc* 28,263
1,800 Corrections Corporation of America* 71,550
2,100 Dames & Moore Inc 25,988
400 Data Processing Resources Corp* 9,350
1,300 Data Transmission Network Corp* 41,275
1,200 Dialogic Corp* 31,950
4,400 Diamond Multimedia Systems* 31,623
700 Eagle River Interactive Inc* 5,600
1,100 Electro Rent Corp* 27,225
2,800 Employee Solutions Inc* 15,574
2,300 Ennis Business Forms Inc* 22,138
4,800 FTP Software Inc* 23,400
1,200 Fair Isaac & Co Inc 53,474
2,700 Figgie International Inc Class A* 37,125
2,200 Filenet Corp* 31,900
165 Grey Advertising Inc 54,450
4,700 Heritage Media Corp* 88,713
2,400 Hyperion Software Corp* 53,700
3,900 Information Resources Inc* 55,088
2,200 Integrated Systems Inc* 25,850
2,800 Intersolv Inc* 26,250
1,400 Itron Inc* 36,225
1,699 Jack Henry & Associates Inc 41,201
3,000 Jacobs Engineering Group Inc* 80,625
4,800 Keane Inc* 249,600
1,200 Landauer Inc 27,824
950 Learning Tree International Inc* 42,156
1,800 Logicon Inc 95,400
3,000 MacErich Co 83,250
1,000 Mail Boxes Etc* 27,875
2,200 Manugistics Group Inc* 97,900
2,300 Mercury Interactive Corp* 34,213
1,250 NFO Research Inc* 30,938
3,700 National Data Corp 160,254
1,200 National Instruments Corp* 42,300
1,600 Neopath Inc* 30,400
1,000 Network General Corp* 14,875
1,700 Neurogen Corp* 38,675
1,400 Nichols Research Corp* 29,400
2,100 Norrell Corp 69,300
2,600 OIS Optical Imaging Systems Inc* 6,336
4,200 PMT Services Inc* 64,050
500 Perseptive Biosystems Inc* 3,063
1,856 Pharmaceutical Product Development Inc* 40,832
2,600 Phoenix Technologies Ltd* 33,800
1,100 PhyMatrix Corp* 16,913
700 Pinkertons Inc* 21,525
400 Platinum Software Corp* 4,150
7,032 Platinum Technology Inc* 93,174
2,100 Policy Management Systems Corp* 98,700
3,200 Prepaid Legal Services Inc* 67,600
3,800 Primark Corp* 101,175
1,600 Progress Software Corp* 25,600
600 Renaissance Solutions Inc* 22,200
7,000 S3 Inc* 77,000
1,900 SEI Investments Companies 45,838
1,000 SPS Transaction Services Inc* 18,500
2,800 Santa Cruz Operation Inc* 9,974
6,300 Sotheby's Holdings Inc Class A 106,313
4,000 Spectrum Holobyte Inc* 19,500
1,800 Standard Register Co 55,125
900 Sterling Software Inc* 28,125
1,100 Stone & Webster Inc 46,956
5,000 Structural Dynamics Research Corp* 131,250
7,800 Symantec Corp* 152,100
4,250 System Software Associates Inc* 32,406
2,000 Systems & Computer Technology Corp* 53,500
2,400 Technology Solutions Co* 94,800
1,783 Tetra Tech Inc* 43,015
700 The Profit Recovery Group International Inc* 9,713
1,300 Thermotrex Corp* 32,418
1,400 TransTexas Gas Corp* 22,400
3,800 Transaction Systems Inc Class A* 131,100
2,600 True North Communications Inc 64,350
3,150 United States Bioscience Inc* 30,319
1,600 Vantive Corp* 45,200
2,300 Viewlogic Systems Inc* 33,638
1,200 Volt Information Sciences Inc* 60,600
1,700 Wackenhut Corp 40,800
900 Wackenhut Corrections Corp* 26,213
1,100 Wall Data Inc* 29,013
$5,867,561
INSURANCE --- 4.7%
6,900 20th Century Industries 144,900
1,700 Acceptance Insurance Companies Inc* 38,675
2,000 Acordia Inc* 80,000
2,800 Alfa Corp* 38,850
2,900 Allied Group Inc* 110,200
2,900 American Bankers Insurance Group Inc* 183,425
1,100 American Heritage Life Investment Corp* 36,300
3,200 Amerin Corp* 77,600
2,500 Argonaut Group Inc* 73,750
2,300 Arthur J Gallagher & Co 86,825
2,000 Baldwin & Lyons Inc Class B* 45,250
3,300 CMAC Investment Corp 157,575
1,600 Capital RE Corp 85,600
500 Capmac Holdings Inc 16,813
1,000 Citizens Corp 27,625
2,800 Commerce Group Inc 68,950
1,400 Compdent Corp* 29,487
5,000 Crawford & Co Class B 81,250
1,754 Delphi Financial Group Inc Class A* 67,529
1,400 EW Blanch Holdings* 37,362
1,800 Enhance Financial Services Group Inc 78,975
1,400 Executive Risk Inc 72,800
1,500 Fidelity National Financial Inc 25,313
1,400 First American Financial Corp 54,600
1,200 Foremost Corporation of America 71,850
3,020 Fremont General Corp 121,555
1,600 Frontier Insurance Group Inc 103,600
2,671 Gainsco Inc 25,041
1,400 Guarantee Life Companies Inc 35,175
2,100 Guaranty National Corp 50,400
4,150 HCC Insurance Holdings Inc 110,751
2,900 HSB Group Inc 154,788
1,600 Highlands Insurance Group* 32,200
1,900 Hilb Rogal & Hamilton Co 32,300
3,400 Horace Mann Educators Corp 166,600
1,900 Integon Corp 47,500
3,300 John Alden Financial Corp 69,092
400 Kansas City Life Insurance Co 31,600
2,100 Liberty Corp 85,575
1,400 Life Re Corp 65,275
1,600 MMI Companies Inc 41,800
600 Markel Corp* 76,800
2,500 Maxicare Health Plans Inc* 55,938
700 Meadowbrook Insurance Group 17,456
1,226 Medical Assurance Inc* 49,806
400 Mutual Risk Management Ltd 18,350
2,100 NAC RE Corp 101,588
300 National Western Life Insurance Co Class A* 26,775
700 Nymagic Inc 14,438
2,000 Orion Capital Corp 147,500
1,934 PXRE Corp 59,471
3,300 Penncorp Financial Group Inc 127,050
5,500 Physician Corporation of America* 35,063
900 Physicians Health Services Inc Class A* 24,300
800 Poe & Brown Inc 29,600
3,500 Presidential Life Corp 67,813
700 Protective Life Corp 35,175
875 RLI Corp 31,882
2,400 Reinsurance Group America Co 138,000
8,900 Reliance Group Holdings Inc 105,688
500 RightChoice Managed Care Inc Class A* 6,781
2,400 Risk Capital Holdings Inc* 50,400
2,100 Selective Insurance Group Inc 101,718
800 State Auto Financial Corp 18,000
1,300 Trenwick Group Inc 48,750
4,800 UICI* 141,600
700 United Dental Care Inc* 10,500
1,275 United Fire & Casualty Co 47,813
1,200 United Wisconsin Services Inc 40,424
2,650 Vesta Insurance Group Inc 114,613
2,000 WR Berkley Corp* 117,750
1,600 Washington National Corp 45,600
1,600 Zenith National Insurance Corp 43,200
1,600 Zurich Reinsurance Centre Holdings Inc* 63,200
$4,977,798
LEASING --- 0.1%
1,500 Financial Federal Corp* 33,000
2,000 Renters Choice Inc* 39,750
$72,750
MFTG - CONSUMER PRODS. --- 7.9%
1,000 Action Performance Companies Inc* 24,250
5,200 Adolph Coors Co Class B 138,450
600 Advanced Lighting Technologies* 15,150
1,700 American Business Products Inc* 38,675
5,900 American Media Inc Class A* 41,300
300 Ashworth Inc* 3,019
2,800 Authentic Fitness Corp* 35,350
1,400 BT Office Products International Inc* 10,500
4,450 Banta Corp* 120,706
1,900 Bassett Furniture Industries Inc* 53,793
2,400 Big Flower Press Holdings Inc* 49,800
2,500 Boston Beer Company Inc* 24,688
2,500 Bowne & Company Inc 87,188
2,500 Brown Group Inc 46,718
2,200 Buckeye Cellulose Corp* 74,250
8,800 Burlington Industries Inc* 105,600
1,400 Bush Industries Inc Class A 33,250
1,000 CSS Industries Inc* 31,625
400 Canandaigua Wine Company Inc Class B* 13,600
2,700 Catalina Marketing Corp* 129,938
7,060 Champion Enterprises Inc* 105,900
5,700 Chiquita Brands International Inc 78,375
2,500 Church & Dwight Inc 66,875
800 Coca-Cola Bottling Co 38,800
9,700 Collins & Aikman Corp* 97,000
2,200 CompUSA Inc* 47,300
2,800 Cone Mills Corp* 22,400
300 Culbro Corp* 41,756
300 Cyrk Inc* 3,525
5,700 Dean Foods Co 230,138
600 Delta Woodside Industries Inc* 4,050
400 Designs Inc* 1,950
900 Devon Group Inc* 32,175
4,850 Dimon Inc 128,525
1,500 Dreyer's Grand Ice Cream Inc 59,250
6,000 Dura Pharmaceuticals Inc* 239,250
1,300 Earthgrains Co 85,231
1,300 Elcor Corp 36,238
2,100 Ethan Allen Interiors Inc 119,700
<PAGE>
600 Fab Industries Inc 18,750
168 Farmer Brothers Co 21,336
1,300 Fieldcrest Cannon Inc* 24,700
12,350 Flowers Industries Inc 207,628
300 Galey & Lord Inc* 5,625
2,500 Galoob (Lewis) Toys Inc* 47,188
2,300 Gibson Greetings Inc* 51,750
2,800 Golden Books Family Entertainment Inc* 35,000
200 GoodMark Foods Inc 3,750
2,650 Guilford Mills Inc 55,152
3,700 Gymboree Corp* 88,800
3,300 HON Industries Inc 146,025
200 Haggar Corp 2,550
2,410 Harte-Hanks Communications Inc 71,095
3,600 Hartmarx Corp* 29,700
6,700 Herman Miller Inc 241,200
3,600 Hollinger International Inc 40,273
2,000 Houghton Mifflin Co 133,500
3,050 Hudson Foods Inc Class A 49,752
1,300 Insilco Corp* 48,750
3,000 Interface Inc Class A 66,375
900 International Imaging Materials Inc* 14,625
2,300 International Multifoods Corp 57,788
200 J&J Snack Foods Corp* 3,075
4,100 JM Smucker Co Class A 89,175
2,000 JP Foodservice Inc* 57,374
4,600 John H Harland Co 104,935
1,900 John Wiley & Sons Inc Class A 64,363
200 Johnston Industries Inc 1,275
4,800 Jostens Inc 128,400
2,800 Just For Feet Inc* 48,824
2,700 Justin Industries Inc 34,425
100 K-Swiss Inc 1,575
2,015 K2 Inc 63,849
2,950 Kellwood Co 81,863
1,000 Kenneth Cole Productions Inc Class A* 16,312
2,600 Kimball International Inc Class B 104,650
2,300 Kinetic Concepts Inc 41,400
1,900 La-Z-Boy Chair Co 68,400
2,200 Lance Inc 42,075
2,159 Land's End Inc* 63,960
700 Levitz Furniture Inc* 1,006
2,500 Lydall Inc* 52,813
2,900 M & F Worldwide Corp* 25,375
700 Mafco Consolidated Group 23,450
5,375 McClatchy Newspapers Inc Class A 157,891
1,700 Media General Inc Class A 68,000
800 Merrill Corp 29,100
1,700 Michael Foods Inc 31,450
3,200 Mohawk Industries Inc* 72,800
1,100 Morningstar Group Inc* 32,313
500 National Presto Industries Inc 20,156
2,275 Nature's Sunshine Products Inc 41,234
1,600 New England Business Service Inc 42,099
1,800 Northland Cranberries Inc Class A* 29,025
1,100 Oakwood Homes Corp 26,400
1,300 Oshkosh B'Gosh Inc Class A 28,275
200 Oxford Industries Inc 5,675
2,800 ParExel International Corp* 88,900
200 Penwest Ltd 6,750
1,200 Performance Food Group Co* 25,200
300 Pharmaceutical Marketing Services Inc* 3,263
3,400 Phillips Van-Heusen Corp 51,000
600 Pilgrims Pride Corp 7,087
300 Pillowtex Corp 6,581
2,900 Playboy Enterprises Inc* 33,530
3,400 Playtex Products Inc* 31,875
100 Plenum Publishing Corp 3,850
1,500 Ply-Gem Industries Inc 27,188
8,600 Premark International Inc 230,050
833 Pulitzer Publishing Co Class B 44,149
1,000 Quicksilver Inc* 32,000
1,200 RDM Sports Group Inc* 1,350
4,400 Ralcorp Holdings Inc 64,900
1,000 Riviana Foods Inc 20,000
1,200 Robert Mondavi Corp Class A* 56,700
1,700 Samsonite Corp* 75,013
1,100 Sanderson Farms Inc 19,250
2,900 Savannah Foods & Industries Inc 50,930
1,800 Scholastic Corp* 63,000
2,300 Schweitzer-Mauduit International Inc 86,250
1,700 Scientific Games Holdings Corp* 35,063
32 Seaboard Corp 8,448
2,200 Smithfield Foods Inc* 135,300
3,600 Sola International Inc* 120,600
2,000 Springs Industries Inc Class A 105,500
300 Steck-Vaughn Publishing Corp* 4,050
7,100 Stride Rite Corp 91,413
200 Swiss Army Brands Incorporated* 2,425
300 The Dixie Group Inc* 3,075
1,200 The Timberland Co Class A* 77,400
2,546 Tootsie Roll Industries Inc 113,297
6,000 Topps Company Inc* 25,122
2,100 Triangle Pacific Corp* 67,200
700 Tultex Corp* 4,288
1,000 USA Detergents Inc* 10,250
1,300 Unitog Co 35,100
5,000 Universal Corp 158,750
3,600 Universal Foods Corp 137,250
1,700 Universal Forest Products Inc 24,863
3,400 Valassis Communications Inc* 81,600
1,500 Valhi Inc 12,188
500 Waverly Inc 10,750
2,400 Westpoint Stevens Inc* 93,900
6,137 Wolverine World Wide Inc 186,411
5,000 World Color Press Inc* 118,750
$8,372,401
MFTG - INDUSTRIAL PRODS --- 14.2%
5,400 A Schulman Inc 132,975
1,500 ABT Building Products Corp* 39,375
1,800 AT Cross Co Class A 22,950
800 Advanced Energy Industries* 12,300
600 Ag-Chem Equipment Company Inc* 13,800
1,900 Agouron Pharmaceutical Inc* 153,663
1,100 Alamo Group Inc* 22,893
3,600 Albany International Corp Class A* 81,000
2,300 Alkermes Inc* 33,350
4,300 Alliance Pharmaceutical Corp* 43,267
1,200 Allied Products Corp* 39,750
1,100 Alltrista Corp* 30,113
2,000 Alpharma Inc Class A* 31,874
1,200 Amcast Industrial Corp* 30,000
300 American Financial Enterprises Inc* 12,300
850 American Homestar Corp* 18,169
600 Ameron International Inc* 33,975
3,000 Amylin Pharmaceuticals Inc* 41,250
800 Aphton Corp* 11,800
1,800 Applied Power Inc Class A* 92,925
2,500 Aptargroup Inc* 113,125
12,400 Armco Inc* 48,050
3,200 Arvin Industries Inc* 87,200
200 Astec Industries Inc* 2,487
2,200 Aviall Inc* 30,800
4,000 BMC Industries Inc* 137,000
3,400 BWIP Holding Inc* 69,061
400 Bacou USA Inc* 6,500
4,300 Ball Corp* 129,267
3,049 Banctec Inc* 79,082
1,075 Barr Labs Inc* 47,300
3,400 Belden Inc* 115,811
300 Bell Sports Corp* 2,438
6,900 Bio-Technology General Corp* 93,150
4,200 Birmingham Steel Corp* 65,100
1,894 Block Drug Inc Class A* 82,863
1,600 Blount International Inc Class A* 68,099
2,300 Brush Wellman Inc 48,155
900 Bush Boake Allen Inc* 28,013
950 Butler Manufacturing Co 31,469
800 C&D Technologies Inc 30,000
2,800 COR Therapeutics Inc* 29,750
5,600 Calgon Carbon Corp 77,700
1,700 Cambrex Corp 67,363
5,060 Camco International Inc 277,035
3,600 Caraustar Industries Inc 124,650
3,900 Carlisle Companies Inc 136,013
2,400 Carpenter Technology Corp 109,800
1,400 Cascade Corp 27,037
1,600 Centex Construction Products Inc 31,200
3,500 Cephalon Inc* 40,250
800 Chaparral Steel Co 11,950
1,200 Chase Brass Industries Inc* 29,250
100 Chase Industries Inc* 2,438
1,200 Chemed Corp 44,924
3,000 Chemfirst Inc 81,375
550 Chicago Miniature Lamp Inc* 13,681
5,700 Cincinnati Milacron Inc 147,841
1,000 Citation Corp* 17,125
2,300 Clarcor Inc 56,925
800 Columbus McKinnon Corporation 15,200
2,000 Commercial Intertech Corp 27,874
1,200 Commonwealth Aluminum Corp* 24,450
100 Commonwealth Industries Inc 2,038
6,600 Copytele Inc* 35,884
10,398 Crompton & Knowles Corp 231,356
1,800 Cuno Incorporated* 30,150
300 Curtiss-Wright Corp 17,475
2,300 Cygnus Inc* 39,675
6,900 Cytogen Corp* 33,638
700 DT Industries Inc 25,025
700 Day Runner Inc* 23,275
3,300 Dexter Corp 105,600
2,500 Dynatech Corp* 89,375
2,600 Exide Corp 57,036
3,300 FSI International Inc* 52,800
6,100 Fedders Corp 34,691
3,700 Ferro Corp 137,129
900 Florida Rock Industries Inc 36,563
300 Flow International Corp* 2,925
2,000 Foamex International Inc* 26,250
700 Fossil Inc* 12,425
1,800 Fuisz Technologies Ltd* 15,975
5,177 Fulton Financial Corp 139,779
1,300 Furon Co 40,788
7,500 Gaylord Container Corp Class A* 57,653
5,200 Genelabs Technologies Inc* 14,622
900 General Binding Corp 25,650
3,700 Gensia Inc* 16,417
2,400 Gerber Scientific Inc 47,400
500 Gibraltar Steel Corp* 11,500
4,300 Gilead Sciences Inc* 118,788
500 Gleason Corp 23,250
3,200 Global Industries Technologies Inc* 65,600
1,775 Graco Inc 53,472
2,300 Greenfield Industries Inc 62,100
1,000 Greenwich Air Services Inc Class A 28,625
2,600 Greif Brothers Corp Class A 70,200
4,400 Griffon Corp* 60,223
2,000 HB Fuller Co 110,000
1,900 Handy & Harman 33,013
300 Hauser Inc* 1,613
1,100 Helix Technology Corp 44,550
5,102 ICN Pharmaceuticals Inc 146,361
4,200 ICOS Corp* 34,650
3,775 IDEX Corp 124,575
900 IDEXX Laboratories Inc* 11,193
1,600 IMCO Recycling Inc 30,200
2,600 Immunex Corp* 94,250
3,000 Immunomedics Inc* 13,125
1,200 In Focus Systems Inc* 30,750
1,275 Inbrand Corp* 38,250
200 Insteel Industries Inc 1,625
2,500 Intermet Corp 40,155
2,300 Ionics Inc* 104,650
3,600 Isis Pharmaceuticals Inc* 52,423
2,500 J&L Specialty Steel Inc 30,000
3,300 Jones Medical Industries Inc 156,750
1,400 Kaiser Aluminum Corp* 17,150
2,300 Kaydon Corp 114,138
3,800 Kennametal Inc 163,400
1,200 Kronos Inc* 33,000
2,800 Kulicke & Soffa Industries Inc* 90,910
300 LSB Industries Inc 1,238
4,400 Lawter International Inc 55,550
1,000 Learonal Inc 28,500
2,100 Libbey Inc 73,500
1,500 Life Technologies Inc 41,625
3,498 Ligand Pharmaceuticals Inc Class B* 45,037
2,750 Lilly Industries Inc Class A 55,344
3,500 Lincoln Electric Co* 122,500
1,400 Lindsay Manufacturing Co 45,850
4,800 Liposome Company Inc* 42,898
600 Liqui-Box Corp 20,250
1,600 Lone Star Industries Inc 72,499
2,900 Lone Star Technologies Inc* 83,013
2,100 Lukens Inc 39,505
800 MacDermid Inc 36,700
1,500 Marquette Medical Systems Class A* 33,000
2,250 Material Sciences Corp* 34,733
1,100 Matthews International Corp Class A 40,150
1,700 McGrath Rentcorp 34,850
1,000 McWhorter Technologies Inc* 23,875
<PAGE>
2,200 Medimmune Inc* 40,700
2,400 Medusa Corp 92,100
7,300 Microchip Technology Inc* 217,175
1,100 Micros Systems Inc* 46,200
1,000 Mikasa Inc 14,250
3,200 Minerals Technologies Inc 120,000
4,001 Mississippi Chemical Corp 83,021
400 Modecular Biosystems Inc* 3,600
3,200 Modine Manufacturing Co 95,200
2,029 Mosinee Paper Corp 49,711
2,800 Mueller Industries Inc* 122,500
2,600 Mycogen Corp* 51,025
1,762 Myers Industries Inc 29,734
4,500 NABI Inc* 29,813
2,400 NBTY Inc* 67,200
500 NCH Corp 31,250
900 NCI Building Systems Inc* 29,138
3,400 NL Industries Inc* 49,300
1,275 NN Ball & Roller Inc 15,938
1,000 Nacco Industries Inc Class A 56,437
200 Nashua Corp* 2,175
3,000 National Steel Corp* 50,436
600 Northwestern Steel and Wire Co* 1,650
2,300 Novellus Systems Inc* 198,950
2,100 Noven Pharmaceuticals Inc* 14,963
1,300 ODS Networks Inc* 15,438
1,300 Oneida Ltd 34,693
1,100 Oregon Metallurgical Corp* 30,938
3,300 Oregon Steel Mills Inc 65,792
2,318 Organogenesis Inc* 45,345
1,550 Osmonics Inc* 28,577
2,900 Outboard Marine Corp 51,475
3,700 PH Glatfelter Co 74,000
1,500 Paragon Trade Brands Inc* 25,593
3,493 Paxar Corp* 65,930
1,200 Penn Engineering & Manufacturing Corp-Class A 22,500
5,400 Pentair Inc 177,525
9,500 Perrigo Co* 118,750
800 Petrolite Corp* 49,500
400 Pharmaceutical Resources Inc* 1,100
1,250 Photronics Inc* 59,688
3,900 Polaris Industries Inc 126,992
1,900 Pope & Talbot Inc 31,230
1,700 Possis Corp* 28,688
3,450 Precision Castparts Corp 205,706
1,700 Protein Design Labs Inc* 48,450
600 Puerto Rican Cement Company Inc 19,537
200 Quaker Chemical Corp 3,475
1,800 Quanex Corp 55,237
1,700 RMI Titanium Co* 46,325
3,300 RP Scherer Corp* 170,363
1,300 RailTex Inc* 23,400
2,900 Regal-Beloit Corp 75,942
2,900 Regeneron Pharmaceuticals Inc* 29,363
1,650 Reliance Steel & Aluminum Co 42,900
300 Republic Group Inc 6,038
2,700 Rexene Corp 42,017
1,100 Robbins & Myers Inc 35,750
2,000 Roberts Pharmaceutical Corp* 22,374
2,800 Robotic Vision Systems Inc* 33,250
4,750 Rock-Tenn Co Class A 82,232
1,900 Roper Industries Inc 98,563
1,200 Rouge Steel Co Class A 20,250
<PAGE>
1,600 Russ Berrie & Company Inc 35,099
800 SPS Technologies Inc* 56,600
5,200 Scios Nova Inc* 33,150
1,500 Scotsman Industries Inc 42,750
2,700 Scotts Co Class A* 78,300
1,100 Sequa Corp Class A* 62,013
700 Shiloh Corp* 14,131
2,100 Shorewood Packaging Corp* 47,775
4,300 Silicon Valley Group Inc* 113,413
3,000 Southdown Inc 130,875
2,400 Spartech Corp 31,200
1,800 Specialty Equipment Companies Inc* 26,550
100 Spinnaker Industries Class A* 3,350
3,000 Stac Inc* 10,686
1,700 Standex International Corp 51,000
1,200 Stepan Co 29,550
4,500 Stewart & Stevenson Services Inc 117,000
2,800 Sturm Ruger Company Inc 54,950
2,400 Synetic Inc* 88,800
1,300 Techne Corp* 39,325
2,300 Telxon Corp 41,400
1,300 Tennant Co 42,900
3,200 Texas Industries Inc 84,998
1,600 The Manitowoc Company Inc 74,800
2,250 TheraTech Inc* 26,438
500 Thermo TerraTech Inc* 5,688
1,875 Thomas Nelson Inc 26,016
2,350 Titan Wheel International Inc* 41,419
1,800 Toro Co 68,175
1,000 Tower Automotive Inc* 43,000
1,150 Tredegar Industries Inc 63,825
700 Tremont Corp* 30,713
2,300 Trimas Corp 64,688
600 TurboChef Inc* 8,100
3,200 UNR Industries Inc* 22,000
2,500 Ultratech Stepper Inc* 57,188
1,700 United States Can Corp* 24,225
7,525 United States Filter Co* 205,056
2,700 Valmont Industries Inc 51,300
4,400 Valspar Corp 130,350
1,500 Vans Inc* 22,688
2,600 Varco International Inc* 83,850
3,000 Vertex Pharmaceuticals Inc* 114,750
2,100 Vical Inc* 26,775
4,800 Vivus Inc* 114,298
1,000 WD-40 Co 60,000
3,100 WH Brady Co Class A 89,900
1,200 Walbro Corp 24,300
5,100 Wang Laboratories Inc* 108,691
2,600 Watts Industries Inc Class A 62,400
3,962 Wausau Paper Mills Co 74,783
3,900 Wellman Inc 67,763
1,800 West Inc 51,525
2,000 Westinghouse Air Brake Co 40,000
2,500 Williams Industries Inc 62,655
2,000 Wolverine Tube Inc* 55,750
2,800 Wyman Gordon Co* 75,600
2,050 Wynn's International Inc 58,169
2,400 Xircom Inc* 29,849
1,600 Zero Corp 42,000
3,300 Zila Inc* 22,275
1,100 Zoltek Companies Inc* 42,075
$15,035,514
MINING --- 0.8%
2,400 AMCOL International Corp 43,500
7,300 Amax Gold Inc* 44,713
1,200 Ashland Coal Inc* 34,200
32,600 Battle Mountain Gold Co* 185,396
2,700 Calmat Co 58,050
1,500 Cleveland-Cliffs Inc 61,125
3,100 Coeur D'Alene Mines Co* 40,105
1,900 Dravo Corp* 20,663
3,704 Getchell Gold Corp* 130,103
700 Glamis Gold Ltd 5,075
7,500 Helca Mining Co* 40,313
900 Maxxam Inc* 42,075
2,100 Stillwater Mining Co* 46,725
36,200 Sunshine Mining Co* 24,869
650 Thermo Ecotek Corp* 10,034
2,100 Zeigler Coal Holding Co 49,088
$836,034
OIL & GAS --- 3.6%
700 Atwood Oceanics Inc* 46,900
5,418 BJ Services Company USA* 290,540
800 Belco Oil & Gas Corp* 17,150
1,400 Belden & Blake Corp* 37,537
4,300 Benton Oil & Gas Co* 64,500
2,800 Berry Petroleum Co Class A* 53,200
2,900 Cabot Oil & Gas Corp 51,113
2,100 Cairn Energy USA Inc* 27,563
2,200 Cliffs Drilling Co* 80,300
3,200 Cross Timbers Oil Co 61,600
2,900 Devon Energy Corp 106,575
4,200 EVI Inc* 176,400
1,800 Falcon Drilling Company Inc* 103,725
1,700 Flores & Rucks Inc* 78,625
1,300 Forcenergy Inc* 39,488
3,400 Forest Oil Corp* 49,936
3,400 Freeport-McMoRan Inc 98,175
4,700 Giddings & Lewis Inc 98,113
3,600 Global Industries Ltd* 84,092
400 HS Resources Inc* 5,650
10,800 Harken Energy Corp* 75,600
3,500 Helmerich & Payne Inc 201,688
800 Holly Corp 19,850
1,700 Hugoton Energy Corp* 23,588
2,200 Lomak Petroleum Inc 39,186
1,000 Louis Dreyfus Natural Gas Corp* 16,250
5,900 Marine Drilling Companies Inc* 115,788
9,100 Mesa Inc* 52,325
5,300 Mitchell Energy & Development Corp Class A 107,325
5,400 Newfield Exploration Co* 108,000
4,490 Newpark Resources Inc* 151,538
1,800 Nuevo Energy Co* 73,800
3,400 Oceaneering International Inc* 62,900
5,100 Parker & Parsley Petroleum Co 180,413
7,900 Parker Drilling Co* 87,888
2,600 Plains Resources Inc* 38,350
2,500 Pool Energy Services Co* 45,313
5,000 Quaker State Corp 76,250
1,500 Seitel Inc* 57,000
3,900 Snyder Oil Corp 71,663
2,200 Solv-Ex Corp* 7,286
300 St Mary Land & Exploration Co 10,538
1,600 Stone Energy Corp* 43,800
2,100 Swift Energy Co* 50,138
3,800 Tesoro Petroleum Corp* 56,286
2,700 Tom Brown Inc* 57,375
6,100 Tuboscope Vetco International Corp* 121,238
4,820 United Meridian Corp* 144,600
2,200 Veritas Software Corp* 49,500
1,800 Vintage Petroleum Inc 55,350
200 Wiser Oil Co 3,687
$3,775,695
OTHER ASSET-BACKED --- 0.2%
4,237 Financial Security Assurance Holdings Ltd 164,976
$164,976
OTHER TRANS. SERVICES --- 1.0%
3,000 APL Ltd 93,750
3,100 American Freightways Corp* 48,438
500 Arkansas Best Corp* 4,563
2,525 Brightpoint Inc* 82,219
3,400 Expeditors International of Washington Inc 96,475
800 Fritz Companies Inc* 7,750
1,400 Frozen Food Express Industries Inc 12,075
2,900 GATX Corp 167,475
6,500 Greyhound Lines Inc* 29,250
2,384 Heartland Express Inc* 56,024
3,200 JB Hunt Transport Services Inc 47,600
300 Knight Transportation Inc* 7,613
1,800 Landstar System Inc* 50,625
1,200 MS Carriers Inc* 30,150
2,600 Miller Industries Inc* 41,600
4,000 Overseas Shipholding Group Inc 78,500
1,900 Roadway Express Inc 44,413
1,400 Rural/Metro Corp* 40,643
3,200 USFreightways Corp 82,800
3,250 Werner Enterprises Inc 62,969
$1,084,932
RAILROADS --- 0.1%
500 Florida East Coast Industries Inc 55,500
$55,500
REAL ESTATE --- 3.9%
500 Alexanders Inc* 35,188
2,500 Amresco Inc* 53,750
1,900 Apartment Investment & Management Co Class A 53,675
1,000 Avatar Holdings Inc* 33,500
5,600 Beacon Properties Corp* 186,900
2,400 Burnham Pacific Properties Inc 33,000
2,200 CCB Financial Corp 160,875
6,900 CWM Mortgage Holdings Inc* 165,165
3,700 Cali Realty Corp 125,800
10,900 Catellus Development Corp* 197,563
1,600 Charles E Smith Residential Realty Inc 46,200
9,100 Crescent Real Estate Equities Inc 288,925
2,500 Del Webb Corp 40,625
5,900 Dynex Capital Inc 82,228
2,700 Evans Withycombe Residential Inc 56,025
3,600 Felcor Suite Hotels Inc 134,100
3,400 First Industrial Realty Trust Inc 99,450
800 Forest City Enterprises Inc Class A 38,200
2,700 Gables Residential Trust 68,175
3,900 General Growth Properties Inc 130,650
5,000 Highwood Properties Inc 160,000
2,676 Horizon Group Inc 35,957
3,200 Hospitality Properties Trust 98,000
4,700 Insignia Financial Group Inc Class A* 85,188
2,600 Irvine Apartment Communities Inc 76,375
1,600 JDN Realty Corp 50,000
1,600 Meridian Industrial Trust Inc 37,600
5,400 Merry Land & Investment Company Inc 117,110
1,500 Mid-America Apartment Communities Inc 42,093
2,200 Mills Corp 60,911
1,000 NHP Inc* 22,500
3,100 Post Properties Inc 125,742
1,800 Price Enterprises Inc 34,650
3,300 Realty Income Corp 86,625
2,900 Reckson Associates Realty Corp 66,700
1,300 Redwood Trust Inc 60,775
1,500 Sovran Self Storage Inc 43,875
4,400 Spieker Properties Inc 154,823
1,700 Storage Trust Realty 45,050
1,300 The Price Real Estate Investment Trust Inc 47,288
2,000 Trinet Corporate Realty Trust Inc 66,124
3,900 Trustmark Corp 109,200
1,200 Universal Health Realty Income Trust* 22,724
1,300 Urban Outfitters Inc* 18,200
1,900 Urban Shopping Centers Inc 60,563
3,500 Vornado Realty Trust 252,438
1,700 Walden Residential Properties Inc 43,563
1,800 Weeks Corp 56,250
$4,110,318
RETAIL TRADE --- 6.1%
4,400 Americredit Corp* 92,400
3,600 AnnTaylor Stores Corp* 70,200
3,600 Apple South Inc* 54,900
4,400 Applebees International Inc* 117,700
3,875 Arbor Drugs Inc* 77,984
300 Au Bon Pain Inc* 2,025
1,750 BMC West Corp* 21,438
200 Bertuccis Inc* 1,362
4,500 Best Buy Inc* 66,938
1,100 Blair Corp* 15,813
5,900 Bob Evans Farms Inc* 99,928
5,400 Bombay Company Inc* 27,000
500 Buckle Inc* 11,500
6,421 Buffets Inc* 54,174
2,200 Burlington Coat Factory Warehouse Corp* 42,900
4,800 CKE Restaurants Inc* 151,800
2,300 Carson Pirie Scott & Co* 73,025
3,700 Caseys General Stores Inc 79,665
3,576 Cash America International Inc 37,548
13,500 Charming Shoppes Inc* 70,443
1,200 Cheesecake Factory Inc* 25,200
6,700 Claire's Stores Inc 117,250
1,700 Cole National Corp Class A* 74,800
1,819 Consolidated Products Inc* 33,879
1,000 Copart Inc* 16,500
200 Danmark International Inc* 3,100
248 Dart Group Corp Class A 25,482
800 Delchamps Inc 25,600
1,300 Discount Auto Parts Inc* 25,350
3,000 Donaldson Company Inc 114,000
2,800 Duty Free International Inc 52,500
3,400 Eagle Hardware & Garden Inc* 77,775
<PAGE>
1,300 Encad Inc* 53,950
2,300 Express Scripts Inc* 96,025
2,100 Fabri-Centers of America Inc Class A* 57,225
5,900 Family Dollar Stores Inc 160,775
500 Filenes Basement Corp* 3,313
6,900 Fingerhut Companies Inc 120,315
5,600 Foodmaker Inc* 91,700
3,800 Fred Meyer Inc* 196,411
2,100 Friedmans Inc Class A* 48,038
9,000 Furniture Brands International Inc* 174,375
1,200 Gadzooks Inc* 23,400
2,500 Garden Ridge Corp* 31,250
3,900 Gencorp Inc 90,188
3,700 Genesco Inc* 52,492
1,000 Getty Petroleum Corp 17,625
200 Gottschalks Inc* 1,650
3,000 Hancock Fabrics Inc 41,250
900 Hardinge Inc* 26,325
7,400 Heilig-Meyers Co 145,225
3,100 Hollywood Entertainment Corp* 70,913
1,200 IHOP Corp* 37,200
1,000 Ingles Markets Inc Class A 16,375
2,100 International Dairy Queen Inc Class A* 50,400
300 J Baker Inc* 2,363
600 Jan Bell Marketing Inc* 1,462
2,500 Landrys Seafood Restaurant Co* 57,500
400 Lechters Corp* 1,750
200 Lillian Vernon Corp 3,375
3,900 Longs Drug Stores Corp 102,129
3,300 Luby's Cafeterias Inc 65,792
3,700 MacFrugal's Bargains-Close-Outs Inc* 100,825
2,800 Michaels Stores Inc* 59,324
2,400 NPC International Inc* 27,900
2,800 National Media Corp* 18,200
700 O'Reilly Automotive Inc* 26,950
1,800 Papa John's International Inc* 66,150
2,350 Petco Animal Supplies Inc* 70,500
6,430 Pier 1 Imports Inc 170,395
2,400 Proffitts Inc* 105,300
1,300 Quality Dining Inc* 6,093
1,300 Quality Food Centers Inc* 49,400
1,500 Rainforest Cafe Inc* 38,063
1,100 Rare Hospitality International Inc* 13,613
1,450 Rexall Sundown Inc* 56,550
7,000 Ross Stores Inc 228,809
2,050 Ruby Tuesday Inc* 45,996
3,800 Ruddick Corp 62,700
7,300 Ryan's Family Steak Houses Inc* 62,503
1,700 SPX Corp 110,180
1,750 Sbarro Inc 48,563
14,300 Service Merchandise Co Inc* 42,900
6,200 Shoney's Inc* 36,809
2,700 Shopko Stores Inc* 68,850
2,200 Showbiz Pizza Time Inc* 58,025
1,719 Smiths Food & Drug Centers Inc* 92,181
1,900 Sonic Corp* 41,800
2,200 St John Knits Inc 118,800
1,500 Stein Mart Inc* 45,000
1,000 Strawbridge & Clothier Class A 16,250
600 TCBY Enterprises Inc 3,787
2,200 TJ International Inc 51,700
400 Taco Cabana Inc* 1,600
2,300 The Dress Barn Inc* 44,850
1,750 The Men's Wearhouse Inc* 55,125
4,550 The Sports Authority Inc* 88,438
3,280 Triarc Companies Inc Class A* 66,830
4,900 US Office Products Co* 149,754
1,400 Value City Department Stores Inc* 11,375
4,400 Waban Inc* 141,623
800 Wet Seal Inc Class A* 25,250
2,700 Whole Foods Market Inc* 89,438
2,775 Williams-Sonoma Inc* 118,631
1,400 Wilmar Industries Inc* 34,125
4,700 Zale Corp* 93,116
$6,465,241
SECURITIES & COMMODITIES --- 1.0%
3,250 Alex Brown Inc* 229,531
2,573 Downey Financial Corp 60,787
2,000 Great Financial Corp 70,250
1,850 Interra Financial Inc 77,583
1,400 Jefferies Group Inc 79,800
800 John Nuveen Co Class A 25,000
2,200 Legg Mason Inc 118,386
1,300 McDonald & Co Investments Inc 59,638
2,100 Morgan Keegan Inc 41,738
6,300 Phoenix Duff & Phelps Corp 46,463
1,700 Piper Jaffray Companies Inc 34,850
2,687 Quick & Reilly Group Inc 62,473
3,400 Raymond James Financial Inc 93,075
300 Value Line Inc 12,975
$1,012,549
TELEPHONE --- 0.3%
5,200 Aliant Communications Inc* 101,400
1,800 CFW Communications Co 33,075
1,500 Corecomm Inc* 25,875
4,300 NTL Inc* 106,963
1,000 Tekelec* 35,375
3,400 Tel-Save Holdings Inc* 51,850
$354,538
TRANSPORTATION EQUIPMENT --- 1.9%
2,300 AAR Corp* 74,318
2,100 AO Smith Corp 74,680
3,100 Arctic Cat Inc* 32,163
1,600 Avondale Industries Inc* 33,600
2,600 BE Aerospace Inc* 82,225
2,000 Borg-Warner Automotive Inc* 108,124
1,700 Borg-Warner Security Corp* 30,388
2,200 Breed Technologies Inc 50,600
900 Cannondale Corp* 15,975
2,400 Coachmen Industries Inc 41,100
1,500 Covenant Transport Inc Class A* 24,563
1,200 Detroit Diesel Corp* 28,724
5,000 Federal-Mogul Corp 175,000
4,300 Gentex Corp* 84,925
1,900 Huffy Corp 27,788
4,900 Mascotech Inc 102,288
10,500 Navistar International Corp* 181,125
4,400 Orbital Sciences Corp* 69,850
900 RPC Inc* 13,275
3,700 Rohr Inc* 81,167
2,300 Simpson Industries Inc 24,438
1,200 Skyline Corp 29,550
300 Spartan Motors Inc 2,325
1,200 Standard Motor Products Inc 16,500
2,100 Standard Products Co 53,025
3,000 Superior Industries International Inc 79,500
2,600 Thiokol Corp 182,000
700 Thor Industries Inc 17,413
400 UNC Inc* 5,850
2,650 Wabash National Corp 73,869
1,200 West Marine Inc* 30,900
2,200 Winnebago Industries Inc 15,811
2,200 Xtra Corp 96,661
3,200 Yellow Corp* 71,600
$2,031,320
U.S. GOVERNMENTS --- 0.1%
5,400 Hexcel Corp* 93,150
$93,150
WATER --- 0.5%
1,000 Aquarion Co 27,000
900 California Water Service Co 39,825
200 Consumers Water Co 3,550
2,600 Culligan Water Technologies Inc* 116,350
1,100 E'Town Corp 33,825
400 Halter Marine Group Inc* 9,600
3,500 Kirby Corp* 63,875
4,500 OMI Corp* 43,029
2,350 Philadelphia Suburban Corp 44,944
1,500 Seacor Holdings Inc* 78,468
1,100 Southern California Water Co 26,950
3,600 United Water Resources Inc 69,750
$557,166
WHOLESALE TRADE - INDL --- 0.9%
1,575 AM Castle & Co 34,847
1,750 Applied Industrial Technology Inc 63,000
2,000 Barnett Inc* 49,000
4,310 Barrett Resources Corp* 129,028
240 Bell Industries Inc* 3,750
1,200 Bindley Western Industries Inc* 27,524
1,900 Cort Business Services Corp* 56,050
1,783 Healthdyne Technologies Inc* 30,757
1,200 Hunt Manufacturing Co 22,500
1,000 Lawson Products Inc 27,000
2,050 MicroAge Inc* 37,669
5,100 Nautica Enterprises Inc* 134,829
2,700 OM Group Inc 89,438
2,000 Patterson Dental Co* 68,624
3,225 Pioneer Standard Electronics Inc 43,538
1,300 Sodak Gaming Inc* 19,175
1,100 Sybron International Corp* 43,863
3,400 TBC Corp* 28,475
600 Tractor Supply Co* 10,800
1,800 Wyle Electronics 71,100
$990,967
WHOLESALE TRADE -CONSUMER --- 1.7%
1,900 ACX Technologies Inc* 42,750
3,500 Amerisource Health Corp Class A* 174,563
1,500 Barnes Group Inc* 44,438
1,733 Commercial Metals Co 55,889
3,400 Compucom Systems Inc* 24,225
100 Custom Chrome Inc* 1,613
600 Daisytek International Corp* 23,775
3,100 Department 56 Inc* 68,780
2,000 Fairchild Corp Class A* 36,000
3,000 Fisher Scientific International Inc 142,500
5,400 Fleming Companies Inc 97,200
1,700 Fort Wayne National Corp 79,900
4,800 Handleman Co* 30,600
1,838 Herbalife International Inc 29,868
1,100 Hughes Supply Inc 44,000
2,600 Kaman Corp Class A 39,975
3,600 Kent Electronics Corp* 132,073
1,600 Nash Finch Co 35,400
3,750 Owens & Minor Inc 56,014
800 Pec Israel Economic Corp* 19,200
2,100 Rexel Inc* 38,850
1,100 Richfood Holdings Inc 28,600
3,850 Rykoff-Sexton Inc 89,751
600 Simpson Manufacturing Company Inc* 15,900
1,500 Smart & Final Inc 36,750
2,500 Stanhome Inc 82,044
200 Syncor International Corp* 2,100
5,500 Tech Data Corp* 172,904
2,100 United Stationers Inc* 53,025
2,600 VWR Scientific Products Corp* 40,950
2,000 Watsco Inc 50,000
$1,789,637
TOTAL COMMON STOCK --- 98.4% $103,873,464
(Cost )
SHORT-TERM INVESTMENTS
SECURITIES & COMMODITIES --- 1.6%
1,677,000 Merrill Lynch & Co Inc 1,677,000
$1,677,000
TOTAL SHORT-TERM INVESTMENTS --- 1.6% $1,677,000
(Cost $1,677,000)
TOTAL SMALL-CAP INDEX PORTFOLIO --- 100.0% $105,550,464
(Cost )
Maxim Series Fund
Small-Cap Value Portfolio
COMMON STOCK
CONSUMER SERVICES --- 2.9%
13,200 Allergan Inc 419,918
16,900 Berlitz International Inc* 421,435
24,300 Whitman Corp* 583,200
$1,424,553
CREDIT INSTITUTIONS --- 3.8%
39,500 Northern Trust Corp* 1,910,813
$1,910,813
ENVIRONMENTAL SERVICES --- 2.4%
70,200 Safety-Kleen Corp 1,184,625
$1,184,625
INDUSTRIAL SERVICES --- 2.1%
13,800 Omnicom Group Inc 850,425
8,600 True North Communications Inc 212,850
$1,063,275
INSURANCE --- 3.0%
11,000 Arthur J Gallagher & Co 415,250
9,500 MBIA Inc 1,071,714
$1,486,964
MFTG - CONSUMER PRODS. --- 17.9%
238,600 American Media Inc Class A* 1,670,200
40,400 Central Newspapers Inc 2,893,650
7,500 Golden Books Family Entertainment Inc* 93,750
40,700 Hasbro Inc 1,154,863
15,400 Herman Miller Inc 554,400
83,000 Interface Inc Class A 1,836,375
4,600 Lee Enterprises Inc* 121,325
14,100 Leggett & Platt Inc 606,300
$8,930,863
MFTG - INDUSTRIAL PRODS --- 13.9%
23,900 Ecolab Inc 1,141,225
49,600 First Brands Corp 1,137,675
46,286 General Binding Corp 1,319,151
7,400 Oil-Dri Corporation of America 118,859
68,300 Shorewood Packaging Corp* 1,553,825
87,500 Specialty Equipment Companies Inc* 1,290,625
13,200 WH Brady Co Class A 382,800
$6,944,160
REAL ESTATE --- 1.9%
33,000 The Rouse Co 973,500
$973,500
RETAIL TRADE --- 4.8%
41,800 Bob Evans Farms Inc 707,967
65,400 Longs Drug Stores Corp 1,712,630
$2,420,597
SECURITIES & COMMODITIES --- 1.8%
17,100 T Rowe Price & Associates Inc 882,788
$882,788
WHOLESALE TRADE - INDL --- 2.1%
55,800 Hunt Manufacturing Co 1,046,250
$1,046,250
WHOLESALE TRADE -CONSUMER --- 2.8%
49,498 Bergen Brunswig Corp Class A 1,379,755
$1,379,755
TOTAL COMMON STOCK --- 59.4% $29,648,143
(Cost $23,543,301)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 20.3%
2,400,000 American Express Credit Corp 2,400,000
2,000,000 Chevron Oil Finance Co 2,000,000
2,400,000 Ford Motor Credit Co 2,396,961
960,000 Paccar Financial Corp 959,120
2,400,000 Prudential Funding Corp 2,399,633
$10,155,714
ELECTRONICS - HIGH TECH --- 4.8%
2,400,000 Xerox Corp 2,386,752
$2,386,752
HOLDING & INVEST. OFFICES --- 5.8%
2,900,000 American General Finance Corp 2,899,557
$2,899,557
SECURITIES & COMMODITIES --- 4.9%
2,443,000 Merrill Lynch & Co Inc 2,443,000
$2,443,000
TELEPHONE --- 4.8%
2,400,000 American Telephone & Telegraph Co 2,400,000
$2,400,000
TOTAL SHORT-TERM INVESTMENTS --- 40.6% $20,285,023
(Cost $20,285,023)
TOTAL SMALL-CAP VALUE PORTFOLIO --- 100.0% $49,933,166
(Cost $43,828,324)
Maxim Series Fund
International Equity Portfolio
COMMON STOCK
ARGENTINA --- 2.2%
MFTG - INDUSTRIAL PRODS
236,700 Ciadea SA 1,036,746
$1,036,746
OIL & GAS
47,700 Transportadora de Gas del Sur SA* 596,250
$596,250
TELEPHONE
34,900 Telefonica De Argentina SA* 1,208,413
$1,208,413
TOTAL ARGENTINA --- 2.2% $2,841,409
AUSTRALIA --- 5.0%
FOREIGN BANKS
135,923 Australia & New Zealand Banking Group Ltd* 1,011,247
$1,011,247
HOLDING & INVEST. OFFICES
263,000 BTR PLC Class A 869,636
$869,636
INSURANCE
422,723 Gio Australia Holdings Ltd 1,302,473
548,163 HIH Winterthur International Holdings Ltd* 1,318,222
$2,620,695
MFTG - CONSUMER PRODS.
367,413 Burns Philp & Co Ltd 679,233
$679,233
MFTG - INDUSTRIAL PRODS
339,300 Pioneer International Ltd 1,305,518
$1,305,518
TOTAL AUSTRALIA --- 5.0% $6,486,329
AUSTRIA --- 2.0%
ELECTRIC
6,720 EVN-Energie Versorgung AG* 865,612
$865,612
MFTG - INDUSTRIAL PRODS
13,300 Boehler-Uddeholm AG 1,031,167
$1,031,167
RETAIL TRADE
26,600 Baumax AG* 715,637
$715,637
TOTAL AUSTRIA --- 2.0% $2,612,416
BERMUDA --- 2.5%
HOLDING & INVEST. OFFICES
227,383 Jardine Matheson Holdings Ltd* 1,614,419
$1,614,419
INSURANCE
42,600 PartnerRe Ltd 1,624,125
$1,624,125
TOTAL BERMUDA --- 2.5% $3,238,544
BRAZIL --- 1.8%
FOREIGN BANKS
126,900 Banco Bradesco SA* 1,253,138
$1,253,138
MFTG - INDUSTRIAL PRODS
100,900 Usinas Siderurgicas de Minas SA* 1,109,900
$1,109,900
TOTAL BRAZIL --- 1.8% $2,363,038
CANADA --- 1.9%
ELECTRONICS - HIGH TECH
26,600 Newbridge Networks Corp* 1,157,100
$1,157,100
RETAIL TRADE
84,900 Oshawa Group Ltd 1,265,880
$1,265,880
TOTAL CANADA --- 1.9% $2,422,980
CHILE --- 0.6%
MFTG - INDUSTRIAL PRODS
34,100 Madeco SA sponsored ADR 835,450
$835,450
TOTAL CHILE --- 0.6% $835,450
CZECH REPUBLIC --- 1.0%
COMMUNICATIONS
7,400 SPT Telekom AS* 777,743
$777,743
ELECTRIC
20,100 Ceske Energeticke Zavody AS ADR* 556,090
$556,090
TOTAL CZECH REPUBLIC --- 1.0% $1,333,833
DENMARK --- 1.8%
COMMUNICATIONS
17,960 Tele Danmark A/S* 933,950
6,400 Tele Danmark AS ADR* 167,200
$1,101,150
FINANCIAL SERVICES
21,400 Unidanmark* 1,203,153
$1,203,153
TOTAL DENMARK --- 1.8% $2,304,303
ECUADOR --- 0.3%
MFTG - INDUSTRIAL PRODS
200 La Cemento Nacional CA 41,600
1,490 La Cemento Nacional GDR 309,920
$351,520
TOTAL ECUADOR --- 0.3% $351,520
FINLAND --- 2.3%
ELECTRONICS - HIGH TECH
17,200 Nokia AB 1,287,014
$1,287,014
MFTG - INDUSTRIAL PRODS
148,900 Enso OY Class A 1,378,704
38,500 Metsa-Serla OY Class B* 314,149
$1,692,853
TOTAL FINLAND --- 2.3% $2,979,867
FRANCE --- 8.4%
ELECTRONICS - HIGH TECH
15,800 Alcatel Alsthom (Cie Gen El)* 1,978,697
$1,978,697
FOREIGN BANKS
28,738 Banque Nationale de Paris* 1,184,336
$1,184,336
INSURANCE
23,682 AXA 1,472,821
$1,472,821
MFTG - INDUSTRIAL PRODS
12,055 Pechiney International SA Class A* 474,857
30,803 Rhone-Poulenc SA* 1,257,907
$1,732,764
MINING
24,100 Eramet SLN 1,111,298
$1,111,298
OIL & GAS
9,249 Elf Aquitaine SA 997,765
11,316 Total* 1,143,730
$2,141,495
RETAIL TRADE
8,000 Compagnie de Saint Gobain* 1,166,582
$1,166,582
TOTAL FRANCE --- 8.4% $10,787,993
GERMANY --- 1.7%
ELECTRIC
17,000 Veba AG* 955,440
$955,440
FOREIGN BANKS
20,800 Deutsche Bank AG 1,221,495
$1,221,495
TOTAL GERMANY --- 1.7% $2,176,935
HONG KONG --- 6.7%
CONSUMER SERVICES
82,000 Swire Pacific Ltd B* 124,377
$124,377
ELECTRIC
124,000 Shandong Huaneng Power 1,333,000
$1,333,000
ELECTRONICS - HIGH TECH
360,000 Hongkong Electric Holdings Ltd 1,449,926
$1,449,926
HOLDING & INVEST. OFFICES
34,803 HSBC Holdings PLC* 1,046,795
47,000 Hutchison Whampoa Ltd* 406,501
15,200 Jardine Matheson Holdings Ltd* 107,977
100,000 Jardine Strategic Holdings Ltd* 378,000
223,200 Yue Yuen Industrial Holdings* 462,443
$2,401,716
REAL ESTATE
141,000 Cheung Kong Holdings Ltd 1,392,417
$1,392,417
SECURITIES & COMMODITIES
905,000 Peregrine Investment Holdings Ltd* 1,863,366
$1,863,366
TOTAL HONG KONG --- 6.7% $8,564,802
INDONESIA --- 1.5%
FOREIGN BANKS
517,500 PT Bank Bali* 1,383,689
$1,383,689
MFTG - CONSUMER PRODS.
550,800 PT Indo-Rama Synthetics* 498,461
$498,461
TOTAL INDONESIA --- 1.5% $1,882,150
ISRAEL --- 0.3%
ELECTRONICS - HIGH TECH
45,500 Scitex Corp* 400,946
$400,946
TOTAL ISRAEL --- 0.3% $400,946
ITALY --- 3.3%
COMMUNICATIONS
400,000 Stet Societa' Finanziaria Telefonica SPA RNC* 1,387,418
467,000 Telecom Italia SPA* 1,397,430
$2,784,848
MFTG - INDUSTRIAL PRODS
416,800 Fiat SPA* 1,499,597
$1,499,597
TOTAL ITALY --- 3.3% $4,284,445
JAPAN --- 3.2%
CONSTRUCTION
122,400 Daito Trust Construction Co Ltd 1,442,388
$1,442,388
ELECTRONICS - HIGH TECH
64,000 Hitachi Ltd* 715,084
14,200 Sony Corp 1,238,286
$1,953,370
MFTG - INDUSTRIAL PRODS
76,000 Yamato Kogyo Co Ltd* 749,651
$749,651
TOTAL JAPAN --- 3.2% $4,145,409
MEXICO --- 2.0%
MFTG - INDUSTRIAL PRODS
186,042 Desc SA de CV 1,353,288
$1,353,288
TELEPHONE
25,700 Telefonos de Mexico SA sponsored ADR Class L 1,227,175
$1,227,175
TOTAL MEXICO --- 2.0% $2,580,463
NETHERLANDS --- 6.1%
FOREIGN BANKS
64,692 ABN Amro Holding NV* 1,206,301
$1,206,301
HOLDING & INVEST. OFFICES
28,430 ING Groep NV* 1,310,839
$1,310,839
MFTG - INDUSTRIAL PRODS
6,600 Akzo Nobel NV* 904,524
6,850 European Vinyls Corporation International NV* 173,449
$1,077,973
RETAIL TRADE
21,906 Macintosh NV 436,379
$436,379
TELEPHONE
34,723 Kon Ptt Nederland 1,362,172
$1,362,172
TRANSPORTATION EQUIPMENT
39,800 Koninklijke Nedlloyd NV* 1,149,715
38,040 Koninklijke Pakhoed NV* 1,341,129
$2,490,844
TOTAL NETHERLANDS --- 6.1% $7,884,508
NEW ZEALAND --- 4.3%
AIR
466,000 Air New Zealand Ltd 1,422,605
$1,422,605
HOLDING & INVEST. OFFICES
1,352,800 Brierley Investments Ltd 1,321,545
$1,321,545
MFTG - INDUSTRIAL PRODS
603,800 Carter Holt Harvey Ltd* 1,560,644
817,785 Fletcher Challenge Ltd 1,187,241
$2,747,885
TOTAL NEW ZEALAND --- 4.3% $5,492,035
NORWAY --- 1.7%
AIR
72,900 Helikopter Service ASA 940,549
$940,549
CONSUMER SERVICES
53,800 Nycomed ASA Class A 793,283
28,777 Nycomed ASA Class B 410,567
$1,203,850
TOTAL NORWAY --- 1.7% $2,144,399
PHILIPPINES --- 1.4%
FOREIGN BANKS
124,162 Philippine National Bank* 843,133
$843,133
HOLDING & INVEST. OFFICES
4,569,000 Metro Pacific Corporation 987,986
$987,986
TOTAL PHILIPPINES --- 1.4% $1,831,119
SINGAPORE --- 0.3%
MFTG - CONSUMER PRODS.
76,000 Asia Pacific Resource International Holdings Ltd Class A 361,000
$361,000
WHOLESALE TRADE -CONSUMER
17,000 Inchcape Berhad* 61,258
$61,258
TOTAL SINGAPORE --- 0.3% $422,258
SPAIN --- 4.5%
ELECTRIC
35,480 Compania Sevillana de Electricidad* 366,046
11,000 Empresa Nacional de Electridad SA* 923,573
78,200 Iberdrola SA* 987,253
$2,276,872
FOREIGN BANKS
2,000 Banco Popular Espanol SA 490,056
$490,056
MINING
78,400 Asturiana de Zinc SA* 1,660,273
$1,660,273
TELEPHONE
46,200 Telefonica de Espana 1,335,858
$1,335,858
TOTAL SPAIN --- 4.5% $5,763,059
SWEDEN --- 4.8%
FOREIGN BANKS
25,000 Svenska Handelsbanken 800,629
$800,629
MFTG - INDUSTRIAL PRODS
45,700 Assidomaen AB 1,300,933
25,066 Astra AB* 445,968
23,750 Granges Ab* 319,605
45,500 Sandvik AB 1,292,296
77,000 Stora Kopparbergs Bergslags Aktiebolag Series A 1,245,423
$4,604,225
TRANSPORTATION
30,400 Volvo Series B 814,254
$814,254
TOTAL SWEDEN --- 4.8% $6,219,108
SWITZERLAND --- 4.8%
CONSUMER SERVICES
400 Kuoni Reisenburo Holdings AG Class B 1,369,675
960 Novartis (registered) 1,534,475
$2,904,150
ELECTRONICS - HIGH TECH
830 SMH AG 474,058
$474,058
HOLDING & INVEST. OFFICES
5,500 Credit Suisse Group 706,239
$706,239
INSURANCE
5,300 Zurich Versicherungs 2,108,821
$2,108,821
TOTAL SWITZERLAND --- 4.8% $6,193,268
THAILAND --- 0.4%
COMMUNICATIONS
626,000 Jasmine International PLC 555,264
$555,264
TOTAL THAILAND --- 0.4% $555,264
UNITED KINGDOM --- 9.0%
ELECTRONICS - HIGH TECH
330,000 BICC Group* 972,176
153,510 National Power 1,333,721
$2,305,897
HOLDING & INVEST. OFFICES
130,300 BTR PLC 445,671
$445,671
INDUSTRIAL SERVICES
446,400 Transport Development Group PLC 1,289,084
$1,289,084
MFTG - CONSUMER PRODS.
339,000 British Steel* 843,526
92,000 Storehouse PLC* 288,640
$1,132,166
MFTG - INDUSTRIAL PRODS
362,100 The Weir Group PLC* 1,491,631
$1,491,631
OIL & GAS
96,700 Centrica PCL* 117,492
$117,492
RETAIL TRADE
270,000 Inchcape PLC* 1,271,768
147,738 Kwik Save Group PLC 748,751
<PAGE>
244,500 Lex Service PLC 1,536,220
$3,556,739
WATER
93,500 Hyder PLC 1,260,533
$1,260,533
TOTAL UNITED KINGDOM --- 9.0% $11,599,213
UNITED STATES --- 1.1%
INSURANCE
18,600 Ace Ltd 1,374,073
$1,374,073
TOTAL UNITED STATES --- 1.1% $1,374,073
TOTAL COMMON STOCK --- 87.1% $112,071,136
(Cost $91,615,903)
PREFERRED STOCK
AUSTRALIA --- 1.0%
MFTG - CONSUMER PRODS.
276,961 News Corp Ltd (vtg)* 1,321,665
$1,321,665
TOTAL AUSTRALIA --- 1.0% $1,321,665
BRAZIL --- 1.8%
TELEPHONE
14,950 Telecomunicacoes Brasileiras SA* 2,268,662
$2,268,662
TOTAL BRAZIL --- 1.8% $2,268,662
TOTAL PREFERRED STOCK --- 2.8% $3,590,327
(Cost $2,315,842)
SHORT-TERM INVESTMENTS
UNITED STATES --- 10.1%
CREDIT INSTITUTIONS
1,600,000 American Express Credit Corp 1,592,029
5,600,000 Ford Motor Credit Co 5,589,538
$7,181,567
ELECTRONICS - HIGH TECH
1,000,000 Sharp Electronics Corp 998,458
$998,458
SECURITIES & COMMODITIES
4,831,000 Merrill Lynch & Co Inc 4,831,000
$4,831,000
TOTAL UNITED STATES --- 10.1% $13,011,025
TOTAL SHORT-TERM INVESTMENTS --- 10.1% $13,011,025
(Cost $13,011,025)
TOTAL INTERNATIONAL EQUITY PORTFOLIO --- 100.0% $128,672,488
(Cost $106,942,770)
Maxim Series Fund
INVESCO ADR Portfolio
COMMON STOCK
AUSTRALIA --- 7.0%
FOREIGN BANKS
5,000 National Australia Bank Ltd 356,560
$356,560
MFTG - INDUSTRIAL PRODS
9,000 Amcor Ltd 236,250
$236,250
MINING
5,000 Rio Tinto Ltd* 335,000
$335,000
TOTAL AUSTRALIA --- 7.0% $927,810
DENMARK --- 4.3%
FOREIGN BANKS
3,000 Den Danske Bank Unsponsored ADR* 289,500
$289,500
MFTG - INDUSTRIAL PRODS
5,000 Novo-Nordisk AS 274,375
$274,375
TOTAL DENMARK --- 4.3% $563,875
FRANCE --- 6.6%
MFTG - CONSUMER PRODS.
9,000 Groupe Danone 298,125
$298,125
OIL & GAS
5,000 Total SA* 253,125
$253,125
SECURITIES & COMMODITIES
14,000 Societe Generale Paris 315,000
$315,000
TOTAL FRANCE --- 6.6% $866,250
GERMANY --- 6.1%
FOREIGN BANKS
5,000 Deutsche Bank Sponsored ADR* 290,000
$290,000
MFTG - INDUSTRIAL PRODS
7,000 BASF AG 254,625
$254,625
OIL & GAS
6,000 RWE AG* 256,500
$256,500
TOTAL GERMANY --- 6.1% $801,125
HONG KONG --- 2.6%
ELECTRIC
30,000 China Light & Power Company Ltd 168,000
$168,000
REAL ESTATE
15,000 Sun Hung Kai Properties Ltd 178,125
$178,125
TOTAL HONG KONG --- 2.6% $346,125
ITALY --- 4.7%
COMMUNICATIONS
6,000 Stet-Societa Finanziaria Telefonica SA 350,250
$350,250
FOREIGN BANKS
10,000 Istituto Mobiliare Italiano SPA Sponsored ADR 271,250
$271,250
TOTAL ITALY --- 4.7% $621,500
JAPAN --- 13.7%
CONSTRUCTION
1,500 Sekisui Houses Ltd* 154,500
$154,500
ELECTRONICS - HIGH TECH
6,000 Fuji Photo Film Company Ltd* 242,250
2,500 Hitachi Ltd* 282,500
4,500 Konica Corp* 272,250
1,400 Matsushita Electric Industries Company Ltd* 286,300
$1,083,300
MFTG - CONSUMER PRODS.
2,500 Kirin Brewery Co Ltd 260,000
$260,000
MFTG - INDUSTRIAL PRODS
2,000 Kyocera Corp* 318,000
$318,000
TOTAL JAPAN --- 13.7% $1,815,800
MEXICO --- 1.4%
MFTG - INDUSTRIAL PRODS
20,000 Cemex SA de CV* 190,000
$190,000
TOTAL MEXICO --- 1.4% $190,000
NETHERLANDS --- 6.9%
FOREIGN BANKS
16,000 ABN Amro Holding NV* 302,000
$302,000
MFTG - CONSUMER PRODS.
1,500 Unilever NV ADR 327,000
$327,000
MFTG - INDUSTRIAL PRODS
4,000 Akzo Nobel NV 276,500
$276,500
TOTAL NETHERLANDS --- 6.9% $905,500
NORWAY --- 2.1%
MFTG - INDUSTRIAL PRODS
5,000 Norsk Hydro ASA 270,935
$270,935
TOTAL NORWAY --- 2.1% $270,935
SINGAPORE --- 1.9%
FOREIGN BANKS
5,000 Development Bank of Singapore Ltd 251,250
$251,250
TOTAL SINGAPORE --- 1.9% $251,250
SPAIN --- 10.0%
ELECTRIC
3,500 Empresa Nacional de Electridad SA 297,717
$297,717
FOREIGN BANKS
9,000 Banco Santander SA 278,433
$278,433
OIL & GAS
7,000 Repsol SA sponsored ADR 297,059
$297,059
TELEPHONE
3,500 Portugal Telecom S A* 140,437
3,500 Telefonica de Espana SA 301,875
$442,312
TOTAL SPAIN --- 10.0% $1,315,521
SWEDEN --- 4.9%
MFTG - INDUSTRIAL PRODS
19,960 Astra AB 379,240
10,000 Volvo AB sponsored ADR-Rights 267,500
$646,740
TOTAL SWEDEN --- 4.9% $646,740
SWITZERLAND --- 5.4%
CONSUMER SERVICES
4,799 Novartis AG 384,520
$384,520
MFTG - CONSUMER PRODS.
5,000 Nestle SA 329,375
$329,375
TOTAL SWITZERLAND --- 5.4% $713,895
UNITED KINGDOM --- 17.6%
AIR
2,500 British Airways PLC 287,343
$287,343
COMMUNICATIONS
6,000 Carlton Communications PLC sponsored ADR* 258,000
$258,000
ELECTRIC
6,000 PowerGen PLC* 291,000
$291,000
FOREIGN BANKS
1,000 HSBC Holdings PLC 300,703
$300,703
MFTG - CONSUMER PRODS.
33,000 Associated British Foods Ltd 288,750
$288,750
MFTG - INDUSTRIAL PRODS
7,000 Glaxo Wellcome PLC 292,684
$292,684
OIL & GAS
2,500 Shell Transport and Trading Co 314,375
$314,375
TELEPHONE
4,000 British Telecommunications PLC 297,000
$297,000
TOTAL UNITED KINGDOM --- 17.6% $2,329,855
TOTAL COMMON STOCK --- 95.2% $12,566,181
(Cost $10,168,692)
SHORT-TERM INVESTMENTS
UNITED STATES --- 4.8%
SECURITIES & COMMODITIES
640,000 Merrill Lynch & Co Inc 640,000
$640,000
TOTAL UNITED STATES --- 4.8% $640,000
TOTAL SHORT-TERM INVESTMENTS --- 4.8% $640,000
(Cost $640,000)
TOTAL INVESCO ADR PORTFOLIO --- 100.0% $13,206,181
(Cost $10,808,692)
Maxim Series Fund
INVESCO Balanced Portfolio
BONDS
AGENCY --- 2.8%
1,479,896 Federal Home Loan Mortgage Corp 1,451,216
Pool #E66283
6.500% February 1, 2012
$1,451,216
CONSUMER SERVICES --- 1.7%
1,000,000 McKesson Corp 875,000
Convertible Notes
4.500% March 1, 2004
$875,000
CREDIT INSTITUTIONS --- 1.1%
334,000 Fisher Brothers 339,945
Mortgage Backed
10.750% December 17, 2000
250,000 GMAC# 249,183
Private Placement
6.500% January 17, 2000
$589,128
ELECTRIC --- 5.5%
500,000 Carolina Power & Light Co 563,175
Debentures
8.625% September 15, 2021
300,000 DQU II Funding Corp 326,031
Debentures
8.700% June 1, 2016
250,000 Enersis SA 242,820
Yankee Notes
6.900% December 1, 2006
1,000,000 Jersey Central Power & Light 924,470
Debentures
7.500% May 1, 2023
250,000 Pennsylvania Power & Light Co 243,465
1st Mortgage
7.875% February 1, 2023
150,000 Philadelphia Electric Co 158,133
First Ref Mortgage
8.750% April 1, 2022
200,000 Philadelphia Electric Co 186,542
1st Ref Mortgage
7.250% November 1, 2024
250,000 Public Service Company of Indiana 247,904
Debentures
6.350% November 15, 2006
$2,892,540
INDUSTRIAL SERVICES --- 1.9%
1,000,000 Xerox Corp 978,110
Medium Term Notes
6.250% November 15, 2026
$978,110
MFTG - INDUSTRIAL PRODS --- 1.0%
500,000 Quno Corp 537,500
Debentures
9.125% May 15, 2005
$537,500
MINING --- 0.9%
500,000 Freeport-McMoran Copper & Gold Inc Class B 496,177
Debentures
7.200% November 15, 2026
$496,177
RETAIL TRADE --- 0.5%
250,000 JC Penney & Company Inc 251,418
Debentures
6.900% August 15, 2026
$251,418
SECURITIES & COMMODITIES --- 0.5%
250,000 Lehman Brothers Holdings Inc 281,148
Senior Notes
8.800% March 1, 2015
$281,148
U.S. GOVERNMENTS --- 12.4%
5,000,000 United States of America 5,020,300
Treasury Notes
6.500% May 31, 2002
1,500,000 United States of America 1,493,670
Treasury Notes
6.500% October 15, 2006
$6,513,970
TOTAL BONDS --- 28.3% $14,866,207
(Cost $14,997,312)
COMMON STOCK
AIR --- 0.4%
2,800 UAL Corp* 200,374
$200,374
COMMUNICATIONS --- 1.3%
26,000 General Cable Corp* 666,250
$666,250
CONSUMER SERVICES --- 3.2%
4,700 Bristol-Myers Squibb Co 380,700
7,000 Hilton Hotels Corp 185,934
2,000 Merck & Company Inc 207,000
100 Novartis (registered) 159,841
4,400 Smithkline Beecham PLC 403,150
11,800 Tenet Healthcare Corp* 348,832
$1,685,457
CREDIT INSTITUTIONS --- 2.6%
16,000 Bank of New York Company Inc 696,000
2,000 Fleet Financial Group Inc 126,500
14,200 MBNA Corp 520,075
$1,342,575
ELECTRONICS - HIGH TECH --- 3.9%
6,400 Cisco Systems Inc* 429,600
8,000 Emerson Electric Co 440,496
5,000 Honeywell Inc 379,375
5,000 International Business Machines Corp 450,935
4,500 Xerox Corp 354,938
$2,055,344
GAS --- 2.0%
4,700 Columbia Gas System Inc 306,675
12,000 Enron Corp* 229,500
9,900 Sonat Inc 507,375
$1,043,550
INDUSTRIAL SERVICES --- 1.4%
5,900 America Online Inc* 328,188
9,400 Ceridian Corp* 397,150
$725,338
INSURANCE --- 1.7%
3,600 Lincoln National Corp 231,750
4,700 St Paul Companies Inc 358,375
5,600 WR Berkley Corp* 329,700
$919,825
MFTG - CONSUMER PRODS. --- 6.1%
6,000 Avon Products Inc 423,372
275,000 Beijing Enterprises* 1,732,373
9,000 Brunswick Corp 281,250
5,000 HJ Heinz Co 230,625
2,400 Kellogg Co 205,500
13,100 Premark International Inc 350,425
$3,223,545
MFTG - INDUSTRIAL PRODS --- 9.8%
8,000 Abbott Laboratories 534,000
11,000 Champion International Corp 607,750
20,500 Chicago Bridge & Iron Co NV* 453,563
14,000 Ferro Corp 518,868
9,000 Grupo IMSA SA 243,000
7,500 Kennametal Inc 322,500
5,000 Minnesota Mining & Manufacturing Co 510,000
21,200 Owens-Illinois Inc* 657,200
9,400 Praxair Inc 526,400
7,000 Tyco International Ltd* 486,934
2,300 Warner-Lambert Co 285,775
$5,145,990
MINING --- 1.1%
9,000 Asarco Inc 275,625
7,625 Newmont Mining Corp 297,375
$573,000
OIL & GAS --- 4.8%
3,300 Coastal Corp 175,517
9,600 Exxon Corp 590,400
5,900 Lousiana Land & Exploration Co 337,038
24,000 Santa Fe International Corp* 816,000
13,100 Union Pacific Resources Group Inc 325,863
9,000 United Meridian Corp* 270,000
$2,514,818
RAILROADS --- 0.2%
1,000 Norfolk Southern Corp 100,750
$100,750
RETAIL TRADE --- 6.3%
30,000 Avis Europe* 67,908
5,000 Dayton Hudson Corp 265,935
15,700 Dollar General Corp 588,750
15,500 Federated Department Stores Inc* 538,625
12,000 Fortune Brands Inc 447,744
28,800 TJX Companies Inc 759,600
11,800 Tandy Corp 660,800
$3,329,362
SECURITIES & COMMODITIES --- 0.5%
6,700 Morgan Stanley, Dean Witter, Discover and Co 288,515
$288,515
TELEPHONE --- 1.4%
7,500 Bell Atlantic Corp* 569,060
7,000 Deutsche Telekom AG* 172,019
$741,079
TRANSPORTATION EQUIPMENT --- 3.7%
6,500 Allied-Signal Inc 546,000
4,000 Northrop Grumman Corp 351,248
12,900 Sundstrand Corp 696,600
4,700 Thiokol Corp 329,000
$1,922,848
WHOLESALE TRADE - INDL --- 0.9%
14,200 OM Group Inc 470,375
$470,375
TOTAL COMMON STOCK --- 51.2% $26,948,995
(Cost $24,710,216)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 10.4%
1,100,000 American Express Credit Corp 1,097,378
2,700,000 Chevron Oil Finance Co 2,695,845
1,700,000 Ford Motor Credit Co 1,699,745
$5,492,968
HOLDING & INVEST. OFFICES --- 1.3%
700,000 American General Finance Corp 697,091
$697,091
INSURANCE --- 3.8%
2,000,000 American General Corp 1,998,173
$1,998,173
SECURITIES & COMMODITIES --- 2.1%
1,089,000 Merrill Lynch & Co Inc 1,089,000
$1,089,000
WHOLESALE TRADE -CONSUMER --- 2.8%
1,500,000 Cargill Inc 1,498,635
$1,498,635
TOTAL SHORT-TERM INVESTMENTS --- 20.5% $10,775,867
(Cost $10,775,867)
TOTAL INVESCO BALANCED PORTFOLIO --- 100.0% $52,591,069
(Cost $50,483,395)
Maxim Series Fund
INVESCO Small-Cap Growth Portfolio
COMMON STOCK
COMMUNICATIONS --- 0.5%
18,700 Celeritek Inc* 233,750
$233,750
CONSUMER SERVICES --- 12.9%
27,000 Coventry Corp* 408,375
18,400 Enterprise Systems Inc* 581,900
30,700 Extended Stay America Inc* 483,525
39,000 Healthcare Financial Partners Inc* 794,625
11,300 IDEC Pharmaceuticals Corp* 274,025
9,900 MGM Grand Inc* 366,300
20,000 Memtec Ltd* 540,000
11,900 NCS HealthCare Inc Class A* 361,463
21,000 Prime Hospitality Corp* 414,750
18,000 Regis Corp 425,250
16,300 Renal Treatment Centers Inc* 438,063
3,900 Total Renal Care Holdings Inc* 156,729
46,600 Warrantech Corp* 483,475
$5,728,480
CREDIT INSTITUTIONS --- 2.3%
13,700 FirstFed Financial Corp* 425,549
18,000 Firstplus Financial Group Inc* 612,000
$1,037,549
ELECTRONICS - HIGH TECH --- 20.5%
12,600 ADAC Laboratories* 297,675
9,950 Anadigics Inc* 308,450
12,000 Aspen Technology Inc* 451,500
8,900 Black Box Corp* 358,225
6,400 CBT Group PLC sponsored ADR* 404,000
12,000 Cable Design Technologies Co* 353,244
10,200 Cognos Inc* 317,475
9,200 Comverse Technology Inc* 478,400
24,000 Cypress Semiconductor Corp* 348,000
18,300 Gilat Satellite Networks Ltd* 608,475
11,700 Helen Of Troy Corp* 299,813
17,500 Lam Research Corp* 648,585
5,800 Lattice Semiconductor Corp* 327,700
5,400 Level One Communications Inc* 207,560
4,900 Natural Microsystems Corp* 176,400
35,000 Peregrine Systems Inc* 538,125
5,000 SCI Systems Inc* 318,750
9,000 Scopus Technology Inc* 201,375
21,500 Sepracor Inc* 554,958
10,000 Teradyne Inc* 392,500
4,400 Unitrode Corp* 221,650
18,000 VLSI Technology Inc* 425,250
42,000 Versatility Inc* 530,250
8,275 Wind River Systems* 316,519
$9,084,879
HOLDING & INVEST. OFFICES --- 2.5%
25,000 Criimi Mae Inc 400,000
17,180 Provident Bankshares Corp 715,118
$1,115,118
INDUSTRIAL SERVICES --- 7.5%
20,000 AC Nielsen Corp* 392,500
19,000 Alternative Resources Corp* 387,125
12,500 Global DirectMail Corp* 325,775
12,100 NCO Group Inc* 355,438
13,200 Norrell Corp 435,600
12,200 Pegasystems Inc* 382,775
10,000 Technology Solutions Co* 395,000
11,000 TeleTech Holdings Inc* 286,682
24,200 Willbros Group Inc* 384,175
$3,345,070
INSURANCE --- 7.2%
8,000 Enhance Financial Services Group Inc 351,000
6,400 Frontier Insurance Group Inc 414,400
25,300 HCC Insurance Holdings Inc 675,181
12,000 Liberty Corp 489,000
6,300 Mercury General Corp 458,325
6,000 Orion Capital Corp 442,500
9,600 Penncorp Financial Group Inc 369,600
$3,200,006
MFTG - CONSUMER PRODS. --- 5.4%
5,500 Cymer Inc* 268,125
8,300 Helen of Troy Ltd* 212,688
12,600 McClatchy Newspapers Inc Class A 370,125
31,000 North Face Inc* 565,750
42,000 Playtex Products Inc* 393,750
18,000 Quicksilver Inc* 576,000
$2,386,438
MFTG - INDUSTRIAL PRODS --- 7.3%
10,500 Dynatech Corp* 375,375
7,000 Gilead Sciences Inc* 193,375
11,900 Interneuron Pharmaceutical Inc* 239,488
9,000 Jones Medical Industries Inc 427,500
50,000 Larscom Inc* 537,500
19,000 Omniquip International Inc* 439,375
20,600 Pharmacyclics Inc* 319,300
16,000 Stratasys Inc* 258,000
10,000 Tower Automotive Inc* 430,000
$3,219,913
OIL & GAS --- 5.2%
3,500 Falcon Drilling Company Inc* 201,688
25,400 Gulf Island Fabrication Inc* 650,875
27,600 Newfield Exploration Co* 552,000
10,000 Nuevo Energy Co* 410,000
17,400 Rowan Companies Inc* 490,454
$2,305,017
OTHER TRANS. SERVICES --- 2.7%
12,200 Brightpoint Inc* 397,256
12,000 Remec Inc* 282,000
27,100 Simon Transportation Services, Inc* 538,613
$1,217,869
OTHER UTILITIES --- 1.0%
20,000 American Disposal Services* 450,000
$450,000
REAL ESTATE --- 2.8%
21,000 Amresco Inc* 451,500
10,000 Felcor Suite Hotels Inc 372,500
24,500 Intrawest Corporation* 401,188
$1,225,188
RETAIL TRADE --- 8.6%
19,600 Friedmans Inc Class A* 448,350
21,000 Heilig-Meyers Co 412,120
24,000 Nuco2 Inc* 414,000
15,000 O'Reilly Automotive Inc* 577,500
13,900 Proffitts Inc* 609,863
12,000 Showbiz Pizza Time Inc* 316,500
24,300 Stage Stores Inc* 634,838
13,000 US Office Products Co* 397,306
$3,810,477
SECURITIES & COMMODITIES --- 0.3%
5,900 ARM Financial Group Inc* 118,000
$118,000
TELEPHONE --- 1.1%
14,800 McLeod Inc* 499,500
$499,500
WHOLESALE TRADE -CONSUMER --- 2.1%
42,000 Graham-Field Health Products Inc* 572,250
10,000 Kent Electronics Corp* 366,870
$939,120
TOTAL COMMON STOCK --- 90.1% $39,916,374
(Cost $35,357,109)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 4.3%
1,400,000 American Express Credit Corp 1,396,780
500,000 Ford Motor Credit Co 499,537
$1,896,317
HOLDING & INVEST. OFFICES --- 1.8%
800,000 American General Finance Corp 798,402
$798,402
SECURITIES & COMMODITIES --- 3.9%
1,708,000 Merrill Lynch & Co Inc 1,708,000
$1,708,000
TOTAL SHORT-TERM INVESTMENTS --- 9.9% $4,402,719
(Cost $4,402,719)
TOTAL INVESCO SMALL-CAP GROWTH PORTFOLIO --- 100.0% $44,319,093
(Cost $39,759,828)
Maxim Series Fund
Mid-Cap Portfolio
COMMON STOCK
COMMUNICATIONS --- 6.7%
76,475 Clear Channel Communications Inc* 4,703,213
11,025 Commnet Cellular Inc* 383,119
51,925 Evergreen Media Corp Class A* 2,317,153
34,625 Heftel Broadcasting Corp Class A* 1,913,031
291,897 PriCellular Corp Class A* 2,627,073
55,450 Univision Communications Inc* 2,169,481
$14,113,070
CONSTRUCTION --- 0.0%
3,400 Johns Manville Corp 40,161
$40,161
CONSUMER SERVICES --- 20.2%
143,200 Apollo Group Inc Class A* 5,047,800
31,425 Choice Hotels International Inc.* 532,245
118,775 Coinmach Laundry Corp* 2,820,906
72,300 Depotech Corp* 985,088
2,075 Extended Stay America Inc* 32,681
137,875 Family Golf Centers Inc* 3,171,125
136,775 HFS Inc* 7,932,950
77,175 Karrington Health Inc* 1,157,625
160,800 Omnicare Inc 5,045,100
67,050 Premier Parks Inc* 2,472,469
91,200 Regal Cinemas Inc* 3,009,600
18,650 Rental Service Corp* 489,563
51,125 Royal Caribbean Cruises Ltd* 1,786,180
38,550 Sunrise Assisted Living Inc* 1,349,250
99,650 Teva Pharmaceutical Industries Ltd* 6,452,338
$42,284,920
CREDIT INSTITUTIONS --- 2.9%
14,825 Associates First Capital Corp* 822,788
41,450 Credit Acceptance Corp* 533,669
3,000 First Empire State Corp 1,011,000
3,700 Household International Inc 434,517
91,825 Medallion Financial Corp* 1,756,153
1,375 Northern Trust Corp 66,516
17,400 Regions Financial Corp 550,275
4,425 TCF Financial Corp 218,484
22,575 Western National Corp 605,281
$5,998,683
ELECTRONICS - HIGH TECH --- 6.3%
24,900 Amdahl Corp* 219,419
12,450 Dentsply International Inc 610,050
114,050 Littelfuse Inc* 3,221,913
68,700 Littelfuse Inc* 1,554,338
22,525 MSC Industrial Direct Company Inc Class A* 903,816
146,525 Sofamor Danek Group Inc* 6,703,519
$13,213,055
ENVIRONMENTAL SERVICES --- 0.4%
217,588 Rentokil Initial* 762,695
$762,695
HOLDING & INVEST. OFFICES --- 0.1%
3,450 Finova Group Inc 263,925
$263,925
INDEPENDENT POWER PROD --- 2.8%
236,300 Trigen Energy Corp 5,907,500
$5,907,500
INDUSTRIAL SERVICES --- 3.3%
45,025 Outdoor Systems Inc* 1,722,206
109,037 Paychex Inc 4,143,406
2,400 Robert Half International Inc* 112,949
65,400 The Profit Recovery Group International Inc* 907,425
$6,885,986
INSURANCE --- 4.5%
8,075 Aflac Inc* 381,544
49,400 Hartford Life Class A* 1,852,500
11,000 Nationwide Financial Services Inc* 292,182
11,900 Progressive Corp 1,035,300
82,125 Protective Life Corp 4,126,781
8,675 Travelers Group Inc 547,063
37,350 UICI* 1,101,825
$9,337,195
MFTG - CONSUMER PRODS. --- 1.0%
5,225 Catalina Marketing Corp* 251,453
20,000 Central Newspapers Inc 1,432,500
30,950 Weider Nutrition International Inc* 491,331
$2,175,284
MFTG - INDUSTRIAL PRODS --- 2.7%
2,850 Betz Laboratories Inc* 188,100
16,875 JLK Direct Distribution* 432,422
27,975 Minerals Technologies Inc 1,049,063
84,150 Sealed Air Corp* 3,997,125
$5,666,710
RAILROADS --- 2.7%
149,900 Wisconsin Central Transportation Corp* 5,583,775
$5,583,775
REAL ESTATE --- 3.2%
372,975 Insignia Financial Group Inc Class A* 6,760,172
$6,760,172
RETAIL TRADE --- 30.6%
334,375 Fastenal Co 16,384,375
21,525 Fred Meyer Inc* 1,112,563
536,535 JD Wetherspoon PLC* 12,167,246
34,970 JD Wetherspoon PLC#* 793,030
57,400 O'Reilly Automotive Inc* 2,209,900
233,500 Papa John's International Inc* 8,581,125
340,797 Petco Animal Supplies Inc* 10,223,910
1,068,680 PizzaExpress PLC* 11,188,092
31,350 Quality Food Centers Inc* 1,191,300
8,975 Safeway Inc* 413,972
$64,265,513
SECURITIES & COMMODITIES --- 1.0%
50,325 Charles Schwab & Company Inc 2,047,573
$2,047,573
TELEPHONE --- 0.1%
4,100 Cincinnati Bell Inc 129,150
$129,150
U.S. GOVERNMENTS --- 1.1%
63,475 Federal Agriculture Mortgage Corp* 2,300,969
$2,300,969
WATER --- 2.4%
110,300 Culligan Water Technologies Inc* 4,935,925
$4,935,925
WHOLESALE TRADE - INDL --- 2.1%
175,800 Barnett Inc* 4,307,100
1,350 Sybron International Corp* 53,831
$4,360,931
WHOLESALE TRADE -CONSUMER --- 0.2%
10,575 Costco Companies Inc* 347,649
$347,649
TOTAL COMMON STOCK --- 94.1% $197,380,841
(Cost $153,536,434)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 1.8%
1,000,000 American Express Credit Corp 999,847
2,800,000 Ford Motor Credit Co 2,787,450
$3,787,297
ELECTRONICS - HIGH TECH --- 0.3%
600,000 General Electric Co 597,507
$597,507
HOLDING & INVEST. OFFICES --- 1.2%
2,500,000 American General Finance Corp 2,490,783
$2,490,783
SECURITIES & COMMODITIES --- 2.6%
5,549,000 Merrill Lynch & Co Inc 5,549,000
$5,549,000
TOTAL SHORT-TERM INVESTMENTS --- 5.9% $12,424,587
(Cost $12,424,587)
TOTAL MID-CAP PORTFOLIO --- 100.0% $209,805,428
(Cost $165,961,021)
Maxim Series Fund
T.Rowe Price Equity/Income Portfolio
BONDS
U.S. GOVERNMENTS --- 1.7%
300,000 United States of America 268,500
Treasury Notes
6.000% February 15, 2026
200,000 United States of America 193,123
Treasury Notes
5.750% August 15, 2003
25,000 United States of America 26,063
Treasury Notes
7.250% August 15, 2004
20,000 United States of America 20,125
Treasury Notes
7.375% November 15, 1997
50,000 United States of America 51,821
Treasury Notes
7.750% January 31, 2000
80,000 United States of America 75,138
Treasury Notes
5.625% February 15, 2006
200,000 United States of America 201,094
Treasury Notes
6.500% May 31, 2001
200,000 United States of America 205,750
Treasury Notes
7.000% July 15, 2006
1,000,000 United States of America 993,590
Treasury Notes
5.875% November 15, 1999
$2,035,204
TOTAL BONDS --- 1.7% $2,035,204
(Cost $2,026,037)
COMMON STOCK
AGENCY --- 0.8%
22,000 Federal National Mortgage Association (nonvtg) 959,750
$959,750
COMMUNICATIONS --- 1.7%
31,800 AT&T Corp* 1,114,972
4,600 Gannett Company Inc 454,250
11,800 US West Media Group 444,707
$2,013,929
CONSUMER SERVICES --- 3.7%
17,500 Bausch & Lomb Inc 824,688
12,400 Baxter International Inc 647,900
13,900 CR Bard Inc 504,737
21,600 H&R Block Inc 696,600
13,800 ITT Corp* 842,656
609 Novartis (registered) 973,432
5,000 Smith & Nephew PLC* 13,919
$4,503,932
CREDIT INSTITUTIONS --- 8.9%
10,100 American Express Co 752,450
22,300 Banc One Corp 1,080,145
9,000 BankBoston Corp 648,558
10,800 Bankers Trust New York Corp 939,600
14,000 Fleet Financial Group Inc 885,500
3,600 Great Western Financial Corp 193,500
11,000 JP Morgan & Company Inc 1,148,125
45,000 Mellon Bank Corp 2,030,625
10,000 Mercantile Bankshares Corp 400,000
11,700 National City Corp 614,250
10,900 PNC Bank Corp 453,713
19,700 Signet Banking Corp 709,200
3,300 Wells Fargo & Co 889,350
$10,745,016
ELECTRIC --- 6.9%
13,500 Baltimore Gas & Electric Co 360,275
26,400 Centerior Energy Corp 295,337
13,800 Central & South West Corp 293,250
17,387 DQE Inc 491,183
18,000 Dominion Resources Inc 659,250
22,900 Duke Power Co 1,097,757
13,900 Edison International 345,763
17,100 Entergy Corp 468,113
6,600 Florida Progress Corp 206,659
5,400 GPU Inc 193,725
19,800 Ohio Edison Co 431,878
25,500 PacifiCorp 561,000
26,300 Peco Energy Co 552,300
17,500 Public Service Enterprise Group Inc 437,500
31,200 Southern Co 682,500
31,200 Unicom Corp 694,200
16,300 Western Resources Inc 528,723
$8,299,413
ELECTRONICS - HIGH TECH --- 3.4%
20,900 AMP Inc 872,575
24,300 General Electric Co 1,588,613
13,400 Hubbell Inc Class B 589,600
14,800 PG&E Corp 358,900
13,800 Whirlpool Corp 752,956
$4,162,644
FORESTRY --- 1.7%
13,800 Georgia-Pacific Corp 1,178,175
18,200 International Paper Co 883,828
$2,062,003
HOLDING & INVEST. OFFICES --- 2.4%
15,196 Chase Manhattan Corp 1,474,954
152,700 Lonrho PLC 324,046
8,900 Security Capital Pacific Trust 203,588
139,600 Tomkins PLC* 604,111
7,500 Weingarten Realty Investors 316,875
$2,923,574
INDUSTRIAL SERVICES --- 0.7%
8,400 Deluxe Corp 286,650
22,500 Dun & Bradstreet Corp 590,625
$877,275
INSURANCE --- 4.9%
22,300 American General Corp 1,064,825
13,700 Exel Limited 722,675
6,500 Hilb Rogal & Hamilton Co 110,500
8,900 Lincoln National Corp 572,938
16,000 SafeCo Corp 746,992
15,100 St Paul Companies Inc 1,151,375
13,100 Travelers Group Inc 826,112
16,400 USF&G Corp 393,600
25,900 Willis Corroon Group PLC 289,743
$5,878,760
MFTG - CONSUMER PRODS. --- 12.7%
23,200 Anheuser-Busch Companies Inc 972,938
14,300 Brown-Forman Corp Class B 698,012
16,100 Cadbury Schweppes PLC* 143,631
19,600 Dow Jones & Company Inc 787,665
15,700 Gallaher Group Plc* 289,461
18,700 General Mills Inc 1,217,838
5,800 Grand Metropolitan PLC 227,285
19,300 HJ Heinz Co 890,213
27,600 International Flavors & Fragrances Inc 1,393,800
8,000 Kellogg Co 685,000
23,800 Knight-Ridder Inc 1,167,676
28,200 McCormick & Company Inc (nonvtg) 712,050
9,700 McGraw-Hill Companies Inc 570,476
16,850 Philip Morris Companies Inc 747,719
22,700 Quaker Oats Co 1,018,663
22,900 RR Donnelley & Sons Co 838,713
19,500 Readers Digest Association Inc Class A 559,397
3,300 Readers Digest Association Inc Class A 91,367
9,300 Sara Lee Corp 387,113
35,600 UST Inc 987,900
4,600 Unilever NV ADR 1,002,800
$15,389,717
MFTG - INDUSTRIAL PRODS --- 15.5%
13,800 Abbott Laboratories 921,150
15,300 American Home Products Corp 1,170,450
7,700 Armstrong World Industries Inc 564,988
10,300 Betz Laboratories Inc 679,800
14,100 Consolidated Papers Inc 761,400
13,811 Cooper Industries Inc 687,097
21,800 Dow Chemical Co 1,899,325
23,000 EI DuPont De Nemours & Co 1,446,125
8,600 Eastman Chemical Co 546,100
19,200 Great Lakes Chemical Corp 1,005,600
11,500 Imperial Chemical Industries PLC 654,063
14,000 Lubrizol Corp 587,118
7,550 Minnesota Mining & Manufacturing Co 770,100
14,600 Nalco Chemical Co 563,925
24,100 Pall Corp 560,325
28,612 Pharmacia & Upjohn Inc 994,267
11,900 Reynolds Metals Co 847,875
23,100 Tambrands Inc 1,152,113
24,150 USX-Marathon Group 697,331
23,100 Union Camp Corp 1,155,000
29,800 Witco Corp 1,130,523
$18,794,675
MINING --- 0.7%
23,186 Newmont Mining Corp 904,254
$904,254
OIL & GAS --- 9.6%
11,100 Amerada Hess Corp* 616,738
11,400 Amoco Corp 991,082
26,600 Atlantic Richfield Co 1,875,300
11,000 British Petroleum PLC ADR 823,625
15,050 Chevron Corp 1,112,752
26,700 Exxon Corp 1,642,050
15,000 Mobil Corp 1,048,125
13,600 Phillips Petroleum Co 595,000
12,500 Repsol SA sponsored ADR 530,463
20,000 Royal Dutch Petroleum Co ADR 1,080,000
12,100 Texaco Inc 1,315,875
$11,631,010
OTHER TRANS. SERVICES --- 0.6%
9,400 Alexander & Baldwin Inc 245,575
3,300 FMC Corp 262,142
4,100 GATX Corp 236,775
$744,492
RAILROADS --- 1.6%
10,000 Burlington Northern Santa Fe Corp 898,750
14,550 Union Pacific Corp 1,025,775
$1,924,525
REAL ESTATE --- 1.1%
35,396 Simon Debartolo Group Inc 1,132,672
6,100 The Rouse Co 179,950
$1,312,622
RETAIL TRADE --- 2.8%
15,700 Fortune Brands Inc 585,798
19,450 Genuine Parts Co 658,869
24,800 JC Penney & Company Inc 1,294,238
14,000 Limited Inc 283,500
11,300 May Department Stores Co 533,925
$3,356,330
TELEPHONE --- 5.8%
36,600 Alltel Corp 1,223,794
21,800 BCE Inc 610,400
13,700 Bell Atlantic Corp 1,039,488
17,300 Bellsouth Corp 802,288
23,500 Frontier Corp 468,520
20,900 GTE Corp 916,988
15,309 SBC Communications Inc 947,244
12,200 Southern New England Telecommunications Corp 474,275
9,300 Sprint Corp 489,413
$6,972,410
TRANSPORTATION EQUIPMENT --- 1.4%
6,800 Eaton Corp 593,709
9,300 Ford Motor Co 351,075
14,200 General Motors Corp 790,755
$1,735,539
TOTAL COMMON STOCK --- 87.0% $105,191,870
(Cost $90,216,684)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 5.0%
6,000,000 Ford Motor Credit Co 5,992,294
$5,992,294
HOLDING & INVEST. OFFICES --- 1.6%
2,000,000 American General Finance Corp 1,986,742
$1,986,742
SECURITIES & COMMODITIES --- 4.7%
5,737,000 Merrill Lynch & Co Inc 5,737,000
$5,737,000
TOTAL SHORT-TERM INVESTMENTS --- 11.3% $13,716,036
(Cost $13,716,036)
TOTAL T.ROWE PRICE EQUITY/INCOME PORTFOLIO --- 100.0% $120,943,110
(Cost $105,958,757)
Maxim Series Fund
Foreign Equity Portfolio
BONDS
ARGENTINA --- 1.3%
FOREIGN GOVERNMENTS
1,750,000 Republic of Argentina 1,190,000
Brady Bond
5.500% March 31, 2023
$1,190,000
TOTAL ARGENTINA --- 1.3% $1,190,000
THAILAND --- 1.5%
ELECTRONICS - HIGH TECH
360,000 Total Access Communication 375,750
Convertible
2.000% May 31, 2006
$375,750
FOREIGN BANKS
1,000,000 Bangkok Bank Public Co Ltd# 991,840
Subordinated Notes
8.375% January 15, 2027
$991,840
TOTAL THAILAND --- 1.5% $1,367,590
TOTAL BONDS --- 2.7% $2,557,590
(Cost $2,405,532)
COMMON STOCK
AUSTRALIA --- 5.4%
CONSTRUCTION
129,000 Leighton Holdings Ltd* 625,383
$625,383
ELECTRONICS - HIGH TECH
560,000 ERG Ltd 631,260
$631,260
INSURANCE
85,000 QBE Insurance Group Ltd* 511,020
$511,020
MFTG - INDUSTRIAL PRODS
166,685 West Australian Newspaper* 742,814
$742,814
OIL & GAS
46,000 Woodside Petroleum Ltd 394,087
$394,087
OTHER TRANS. SERVICES
34,500 Brambles Industries Ltd 679,048
$679,048
RETAIL TRADE
137,381 Foodland Associated Ltd 929,176
$929,176
WATER
53,994 Howard Smith Ltd 511,264
$511,264
TOTAL AUSTRALIA --- 5.4% $5,024,052
BRAZIL --- 5.5%
ELECTRIC
16,200,000 CIA Energetica Minas Gerais* 815,643
$815,643
FOREIGN BANKS
83,000,000 Banco Bradesco S.A. 832,699
$832,699
MFTG - CONSUMER PRODS.
26,300,000 Cia Bras Distr Pao Acucar* 598,560
$598,560
OIL & GAS
2,800,000 Petroleo Brasileiro S.A.* 767,301
$767,301
RETAIL TRADE
1,100,000 CIA Cervejaira Brahma* 843,010
$843,010
TELEPHONE
3,260,000 Telec de Minas Gerais* 578,412
3,260,000 Telec de Minas Gerais* 0
4,900,000 Telecomun Brasileiras SA* 746,038
$1,324,450
TOTAL BRAZIL --- 5.5% $5,181,663
FINLAND --- 5.1%
FOREIGN BANKS
230,000 Merita Ltd Series A 764,924
$764,924
INSURANCE
9,000 Sampo Insurance Company Ltd 876,736
$876,736
MFTG - CONSUMER PRODS.
20,800 Huhtamaki Group Class I 896,759
$896,759
MFTG - INDUSTRIAL PRODS
8,000 Metra OY Class A* 246,914
20,000 Metra OY Class B* 603,781
30,000 Neste OY 798,611
27,000 Rauma OY 619,792
$2,269,098
TOTAL FINLAND --- 5.1% $4,807,517
GERMANY --- 5.3%
FOREIGN BANKS
12,000 Deutsche Bank AG* 704,708
$704,708
MFTG - INDUSTRIAL PRODS
9,500 Daimler-Benz AG* 770,918
18,000 Duerr AG* 743,247
4,000 Jungheinrich 648,728
$2,162,893
RETAIL TRADE
19,000 Douglas Holding AG* 762,746
$762,746
TELEPHONE
25,000 Deutsche Telekom AG* 614,355
$614,355
TRANSPORTATION EQUIPMENT
575 Porsche AG* 748,552
$748,552
TOTAL GERMANY --- 5.3% $4,993,254
ITALY --- 2.1%
MFTG - CONSUMER PRODS.
78,000 Arnoldo Mondadori Editore SPA 450,299
$450,299
MFTG - INDUSTRIAL PRODS
48,700 Burgo (Cartiere) SPA 269,983
$269,983
OIL & GAS
229,000 ENI 1,295,781
$1,295,781
TOTAL ITALY --- 2.1% $2,016,063
JAPAN --- 10.6%
CONSTRUCTION
57,000 Daiwa House Industry Company Ltd 696,578
$696,578
CONSUMER SERVICES
24,000 Sankyo Co Ltd 806,564
55,000 Tanabe Seiyaku* 494,501
$1,301,065
ELECTRIC
10,000 TDK Corp 734,113
$734,113
ELECTRONICS - HIGH TECH
36,000 Canon Inc* 980,447
39,000 Omron Corp 827,252
11,000 Sony Corp 959,235
28,000 Yamada Denki* 664,804
$3,431,738
MFTG - INDUSTRIAL PRODS
11,000 SMC* 929,469
$929,469
RETAIL TRADE
20,000 FamilyMart* 981,145
22,000 Ito-Yokado Co Ltd* 1,277,060
$2,258,205
TRANSPORTATION EQUIPMENT
21,000 Honda Motor Company Ltd 632,420
$632,420
TOTAL JAPAN --- 10.6% $9,983,588
NEW ZEALAND --- 3.6%
COMMUNICATIONS
200,000 Telecom Corporation of New Zealand Ltd 1,017,600
$1,017,600
ELECTRONICS - HIGH TECH
92,000 PDL Holdings Ltd* 483,699
$483,699
MFTG - CONSUMER PRODS.
857,100 Corporate Investments Ltd* 476,794
$476,794
MFTG - INDUSTRIAL PRODS
147,800 Nuplex Industries Ltd* 401,070
$401,070
RAILROADS
120,000 Tranz Rail Holdings Ltd* 683,827
$683,827
REAL ESTATE
257,000 St Lukes Group Ltd* 270,241
$270,241
TOTAL NEW ZEALAND --- 3.6% $3,333,231
NORWAY --- 5.0%
MFTG - CONSUMER PRODS.
38,000 Elkem ASA 747,082
30,000 Norske Skogindustrier ASA-A* 1,040,344
35,000 Schibsted AS 688,102
$2,475,528
MFTG - INDUSTRIAL PRODS
95,700 Unitor ASA 1,371,903
$1,371,903
OIL & GAS
33,600 Smedvig ASA Class B 821,135
$821,135
TOTAL NORWAY --- 5.0% $4,668,566
PORTUGAL --- 4.8%
CREDIT INSTITUTIONS
57,000 Banco Espirito Santo 1,292,112
$1,292,112
ELECTRIC
1,000 Electricdidade De Portugal SA* 18,355
$18,355
MFTG - INDUSTRIAL PRODS
140,000 Portucel Industrial Empresa Produtora de Celulosa 1,038,245
$1,038,245
RETAIL TRADE
21,000 Sonae Investimentos 878,212
$878,212
TELEPHONE
32,000 Portugal Telecom SA 1,291,129
$1,291,129
TOTAL PORTUGAL --- 4.8% $4,518,053
SINGAPORE --- 3.9%
HOLDING & INVEST. OFFICES
245,000 Parkway Holdings Limited 1,097,117
298,000 Wing Tai Holdings Ltd* 859,054
$1,956,171
MFTG - INDUSTRIAL PRODS
166,250 Keppel Corporation Ltd 738,656
$738,656
REAL ESTATE
97,000 City Developments Ltd* 950,182
$950,182
TOTAL SINGAPORE --- 3.9% $3,645,009
SPAIN --- 8.4%
CONSUMER SERVICES
76,000 Prosegur Comp Seguridad* 928,528
$928,528
FOREIGN BANKS
8,000 BCO Bilbao Vizcaya* 649,969
$649,969
FOREIGN GOVERNMENTS
9,000 Fomento Construcciones Y Contratas* 1,147,831
$1,147,831
INSURANCE
19,960 Catalana Occidente SA* 994,410
$994,410
MFTG - INDUSTRIAL PRODS
4,500 Acerinox SA* 843,311
35,000 Cimpor Cimentos de Portugal 815,878
$1,659,189
MINING
35,000 Asturiana de Zinc SA* 741,193
$741,193
RETAIL TRADE
44,000 Ebro Agricolas, Compania de Alimentacion SA 858,617
$858,617
WATER
21,000 Sociedade General de Aguas de Barcelona, SA* 859,499
$859,499
TOTAL SPAIN --- 8.4% $7,839,236
THAILAND --- 0.5%
ELECTRIC
139,000 Electricity General Publishing Co* 340,397
$340,397
MINING
7,200 Banpu Public Co Ltd* 104,960
$104,960
TOTAL THAILAND --- 0.5% $445,357
UNITED KINGDOM --- 4.3%
CONSUMER SERVICES
29,340 EMI Group PLC 527,402
32,100 Smithkline Beecham PLC 590,638
$1,118,040
ELECTRONICS - HIGH TECH
77,250 General Electric Co PLC 461,584
$461,584
MFTG - INDUSTRIAL PRODS
47,550 Glaxo Wellcome PLC 983,342
$983,342
OIL & GAS
61,200 British Petroleum Company PLC 760,904
107,430 Shell Transport & Trading Co PLC 733,107
$1,494,011
TOTAL UNITED KINGDOM --- 4.3% $4,056,977
TOTAL COMMON STOCK --- 64.5% $60,512,566
(Cost $53,946,086)
PREFERRED STOCK
GERMANY --- 0.9%
MFTG - INDUSTRIAL PRODS
14,460 Henkel KGAA 814,344
$814,344
TOTAL GERMANY --- 0.9% $814,344
TOTAL PREFERRED STOCK --- 0.9% $814,344
(Cost $763,997)
SHORT-TERM INVESTMENTS
UNITED KINGDOM --- 5.0%
CREDIT INSTITUTIONS
4,700,000 Halifax Building Society 4,700,000
$4,700,000
TOTAL UNITED KINGDOM --- 5.0% $4,700,000
UNITED STATES --- 26.9%
CREDIT INSTITUTIONS
4,000,000 American Express Credit Corp 3,997,849
4,700,000 Chevron Oil Finance Co 4,699,790
4,700,000 Ford Motor Credit Co 4,687,233
3,300,000 Prudential Funding Corp 3,299,496
$16,684,368
ELECTRONICS - HIGH TECH
1,500,000 Sharp Electronics Corp 1,497,667
$1,497,667
HOLDING & INVEST. OFFICES
2,800,000 American General Finance Corp 2,799,572
$2,799,572
SECURITIES & COMMODITIES
4,289,000 Merrill Lynch & Co Inc 4,289,000
$4,289,000
TOTAL UNITED STATES --- 26.9% $25,270,607
TOTAL SHORT-TERM INVESTMENTS --- 31.9% $29,970,607
(Cost $29,970,607)
TOTAL FOREIGN EQUITY PORTFOLIO --- 100.0% $93,855,107
(Cost $87,086,222)
Maxim Series Fund
Growth Index Portfolio
COMMON STOCK
AGENCY --- 0.9%
25,500 Federal National Mortgage Association (nonvtg) 1,112,438
$1,112,438
AGRICULTURE --- 0.1%
400 Agco Corp* 14,375
1,600 Dole Food Company Inc 68,400
$82,775
AIR --- 0.2%
100 Atlas Air Inc* 3,450
1,200 Comair Holdings Inc 33,224
700 Continental Airlines Inc Class B* 24,456
1,000 Pittston Brink's Group 30,000
3,500 Southwest Airlines Co 90,563
700 US Air Group Inc* 24,500
$206,193
COMMUNICATIONS --- 4.4%
1,833 360 Communications Co* 31,390
1,400 AH Belo Corp Class A* 58,275
38,100 AT&T Corp* 1,335,862
17,100 Airtouch Communications Inc* 468,113
3,800 Cabletron Systems Inc* 107,586
100 Cablevision Systems Corp* 5,350
2,100 Cascade Communications Corp* 58,013
1,700 Clear Channel Communications Inc* 104,550
9,023 Comcast Corp Class A 192,867
2,800 Gannett Company Inc 276,500
2,097 Gaylord Entertainment Co 48,361
200 OmniPoint Corp* 3,325
3,500 Paging Network Inc* 30,734
700 PanAmStat Corp* 20,300
1,100 Picturetel Corp* 10,450
1,800 Qualcomm Inc* 91,575
120 Scripps Howard Broadcasting Co Class A 4,995
100 Sinclair Broadcast Group Inc Class A* 3,088
1,509 TCI Satellite Entertainment* 11,883
300 Tele Communications International Inc Class A* 4,631
7,370 Tele-Communications Inc - TCI Group Class A* 175,038
24,290 Tele-Communications Inc - TCI Group Class A* 361,314
900 Telephone & Data Systems Inc 34,143
15,825 Time Warner Inc 763,556
1,200 United States Satellite Broadcasting Company Inc Class A 9,900
4,900 Viacom Inc Class B* 147,000
21,829 Westinghouse Electric Corp 504,796
22,019 Worldcom Inc* 704,608
$5,568,203
CONSTRUCTION --- 0.0%
2,941 Clayton Homes Inc 41,909
$41,909
CONSUMER SERVICES --- 15.3%
1,900 Accustaff Inc* 45,005
1,400 Allegiance Corp* 38,150
1,100 Allergan Inc* 34,993
9,000 Amgen Inc* 523,125
1,700 Apollo Group Inc Class A* 59,925
1,700 Apria Healthcare Group Inc* 30,175
4,000 Becton Dickinson & Co* 202,500
1,000 Beverly Enterprises Inc* 16,250
2,400 Biogen Inc* 81,300
3,900 Biomet Inc* 72,638
16,100 Bristol-Myers Squibb Co 1,304,100
700 CR Bard Inc* 25,418
13,127 CUC International Inc* 338,834
707 CVS Corp 36,234
1,300 Choice Hotels International Inc.* 22,018
3,200 Circus Circus Enterprises Inc* 78,800
23,102 Columbia/HCA Healthcare Corp 908,186
1,650 Covance Inc* 31,865
15,600 Eli Lilly & Co 1,705,267
1,200 Forest Laboratories Inc* 49,724
3,910 Foundation Health Systems* 118,520
2,400 Genzyme Corp* 66,600
1,100 Grand Casinos Inc* 16,225
3,500 H&R Block Inc* 112,875
4,700 HFS Inc* 272,600
3,450 Harrah's Entertainment Inc* 62,100
1,300 Health Care & Retirement Corp* 43,388
3,475 Health Management Associates Inc* 99,038
1,100 HealthCare Compare Corp* 57,613
10,672 Healthsouth Corp* 266,128
6,400 Hilton Hotels Corp 169,997
500 Homestead Village Inc (wts)* 8,938
300 Host Marriott Corp* 5,344
4,800 Humana Inc* 111,000
2,900 ITT Corp* 177,080
3,600 Ivax Corp* 40,273
45,276 Johnson & Johnson 2,914,643
2,225 La Quinta Inns Inc 48,672
1,000 Lincare Holdings Inc* 43,000
548 MGM Grand Inc* 20,276
1,500 Manor Care Inc 48,938
3,500 Marriott International Inc 214,813
4,699 MedPartners Inc* 101,616
8,000 Medtronic Inc 648,000
41,100 Merck & Company Inc 4,253,850
6,500 Mirage Resorts Inc* 164,125
2,100 Nellcor Inc* 38,063
2,500 Omnicare Inc 78,438
1,052 Pacific Health Systems* 67,197
1,900 Phycor Inc* 65,430
800 Physician Reliance Network Inc* 7,500
1,200 Physician Sales & Services Inc* 22,800
1,725 Promus Hotel Corp* 66,844
775 Quest Diagnostics Inc* 15,936
1,700 Quorum Health Group Inc* 60,775
5,000 Republic Industries Inc* 124,375
8,300 Service Corporation International 272,863
200 Speedway Motorsports Inc* 4,350
2,750 St Jude Medical Inc* 107,250
1,100 Stewart Enterprises Inc Class A 46,200
2,500 Stryker Corp* 87,188
4,090 Tenet Healthcare Corp* 120,909
23,308 The Walt Disney Co 1,870,467
700 Total Renal Care Holdings Inc* 28,131
6,100 United Healthcare Corp 317,200
1,800 United States Surgical Corp 67,050
1,580 Vencor Inc* 66,755
3,100 Whitman Corp 74,400
$19,300,280
CREDIT INSTITUTIONS --- 1.5%
1,400 Advanta Corp Class A* 51,450
5,500 American Express Co* 409,750
5,129 Banc One Corp* 248,433
145 Beneficial Corp* 10,304
300 Capital One Financial Corp 11,325
1,900 Concord EFS Inc* 49,163
400 Countrywide Credit Industries Inc 12,475
100 Equitable of Iowa Cos 5,600
1,950 Fifth Third Bancorp 160,021
2,300 Household International Inc 270,105
10,475 MBNA Corp 383,647
900 State Street Boston Corp 41,625
5,400 Synovus Financial Corp 148,835
100 TCF Financial Corp 4,938
1,100 The Money Store Inc 31,556
200 Western National Corp 5,362
$1,844,589
ELECTRIC --- 0.1%
1,803 AES Corp* 127,562
$127,562
ELECTRONICS - HIGH TECH --- 19.5%
4,000 AMP Inc* 167,000
700 AVX Corporation* 18,900
3,800 Adaptec Inc* 132,050
2,200 Adobe Systems Inc 77,136
500 Adtran Inc* 12,375
1,300 Advanced Micro Devices Inc* 46,800
2,700 American Power Conversion Corp* 51,300
6,000 Analog Devices Inc* 159,372
3,075 Andrew Corp* 86,484
6,100 Applied Materials Inc* 431,953
4,000 Ascend Communications Inc* 157,500
1,700 Aspect Telecommunications Corp* 37,825
3,300 Atmel Corp* 92,400
300 Avnet Inc* 17,250
200 Beckman Instruments Inc* 9,650
800 Black & Decker Corp* 29,750
3,500 Boston Scientific Corp* 215,030
200 Briggs & Stratton Corp 10,000
1,000 C-Cube Microsystems Inc* 17,562
1,200 Checkpoint Systems Inc 19,274
2,000 Cirrus Logic Inc* 21,000
22,300 Cisco Systems Inc* 1,496,888
8,300 Compaq Computer Corp* 823,775
1,800 Cypress Semiconductor Corp* 26,100
4,000 DSC Communications Corp* 89,000
1,000 DST Systems Inc* 33,312
4,700 Dell Computer Corp* 551,954
700 Dentsply International Inc 34,300
2,075 Diebold Inc 80,925
7,600 Eastman Kodak Co 583,300
100 EchoStar Communications Corp Class A* 1,563
11,400 Electronic Data Systems Corp 467,400
4,700 Emerson Electric Co 258,791
1,300 FORE Systems Inc* 17,713
1,533 Federal Signal Corp 38,517
600 Forte Software Inc* 8,062
900 GT Interactive Software Corp* 10,688
1,220 Gateway 2000 Inc* 39,573
96,600 General Electric Co 6,315,225
4,600 General Instrument Corp* 115,000
2,037 Glenayre Technologies Inc* 33,356
28,700 Hewlett-Packard Co 1,607,200
1,400 Honeywell Inc 106,225
220 Hubbell Inc Class B 9,680
990 Imation Corp* 26,111
1,500 Input/Output Inc* 27,188
27,900 Intel Corp 3,956,555
3,800 International Game Technology 67,450
1,700 International Rectifier Corp* 31,663
200 Johnson Controls Inc 8,212
1,700 KLA-Tencor Corp* 82,875
1,700 Komag Inc* 27,838
2,900 LCI International Inc* 63,438
4,500 LSI Logic Corp* 144,000
900 Lam Research Corp* 33,356
1,300 Learning Company Inc* 12,188
2,100 Lexmark International Group Inc Class A* 63,788
2,500 Linear Technology Corp 129,375
200 MSC Industrial Direct Company Inc Class A* 8,025
1,000 Macromedia Inc* 8,625
2,200 Maxim Integrated Products Inc* 125,125
700 Memc Electronic Materials Inc* 22,925
2,000 Mentor Graphics Corp* 18,500
600 Micron Electronics Inc* 10,687
5,800 Micron Technology Inc* 231,635
2,872 Molex Inc 104,828
20,800 Motorola Inc 1,580,800
2,975 NCR Corp* 88,506
1,500 Netscape Communications Corp* 48,093
8,600 Novell Inc* 59,658
400 Objective Systems Integrators Inc* 3,450
1,800 Octel Communications Corp* 42,187
2,500 Pairgain Technologies Inc* 38,750
1,500 Perkin-Elmer Corp 119,343
400 Presstek Inc* 34,700
2,200 Quantum Corp* 44,686
1,400 Rational Software Corp* 23,537
800 Read-Rite Corp* 16,700
1,000 SCI Systems Inc* 63,750
2,300 Scientific-Atlanta Inc 50,313
7,300 Seagate Technology Inc* 256,865
900 Security Dynamics Technologies Inc* 33,188
1,200 Sensormatic Electronics Corp 15,450
6,300 Silicon Graphics Inc* 94,500
1,600 Solectron Corp* 112,099
1,100 Steris Corp* 41,113
2,714 Sterling Commerce Inc* 89,223
12,500 Sun Microsystems Inc* 465,225
1,150 Symbol Technologies Inc 38,669
100 Tektronix Inc 6,000
5,600 Tellabs Inc* 312,900
1,500 Teradyne Inc* 58,875
4,800 Texas Instruments Inc 403,498
700 Thermedics Inc* 10,981
5,100 Thermo Electron Corp* 175,313
470 Thermo Instrument Systems Inc* 14,335
140 Thomas & Betts Corp 7,359
2,900 Unisys Corp* 22,113
1,100 Varian Associates Inc 59,675
809 Vishay Intertechnology Inc* 23,410
200 WW Grainger Inc 15,637
500 Westell Technologies Inc Class A* 12,500
2,820 Xerox Corp 222,428
2,500 Xilinx Inc* 122,655
1,300 York International Corp 59,800
$24,651,829
ENVIRONMENTAL SERVICES --- 0.4%
1,000 Browning-Ferris Industries Inc 33,250
4,250 USA Waste Services Inc* 164,156
8,300 WMX Technologies Inc* 266,638
$464,044
GAS --- 0.3%
7,000 Enron Corp 285,684
2,700 NGC Corp 41,680
1,200 Pogo Producing Co 46,424
200 Sonat Inc 10,250
600 Valero Energy Corp 21,750
400 Williams Companies Inc 17,500
$423,288
HOLDING & INVEST. OFFICES --- 0.4%
5,100 Cognizant Corp 206,550
300 Finova Group Inc 22,950
400 Green Point Financial Corp 26,625
3,800 MGIC Investment Corp 182,161
600 TIG Holdings Inc 18,750
1,000 US Industries Inc* 35,625
$492,661
INDEPENDENT POWER PROD --- 0.0%
1,200 Calenergy Inc* 45,600
400 Wheelabrator Technologies Inc 6,175
$51,775
INDUSTRIAL SERVICES --- 8.3%
1,666 AC Nielsen Corp* 32,695
600 APAC Teleservices Inc* 11,662
3,000 Altera Corp* 151,500
3,700 America Online Inc* 205,813
1,400 American Management Systems Inc* 37,450
800 Arrow Electronics Inc* 42,500
1,400 Autodesk Inc* 53,637
9,900 Automatic Data Processing Inc* 465,300
3,700 BMC Software Inc* 204,888
150 CDW Computer Centers Inc* 7,959
3,350 Cadence Design Systems Inc* 112,225
1,000 Cambridge Technology Partners Inc* 32,000
2,600 Ceridian Corp* 109,850
1,000 Cintas Corp 68,750
9,550 Computer Associates International Inc 531,811
2,416 Computer Sciences Corp* 174,254
2,400 Compuware Corp* 114,600
2,900 Corrections Corporation of America* 115,275
600 Deluxe Corp 20,475
2,700 Dun & Bradstreet Corp 70,875
1,800 Electronic Arts Inc* 60,525
4,900 Equifax Inc 182,216
14,270 First Data Corp 626,981
1,500 Fiserv Inc* 66,938
2,900 Fluor Corp 160,042
1,200 Foster Wheeler Corp 48,600
300 Global DirectMail Corp* 7,819
1,400 Gtech Holdings Corp* 45,150
3,100 HBO & Co 213,513
5,100 Informix Corp* 45,900
2,400 Interpublic Group of Companies Inc 147,149
1,200 Intuit Inc* 27,524
400 Kelly Services Inc Class A 12,550
7,353 Lucent Technologies Inc 529,872
2,700 Manpower Inc 120,150
1,300 McAfee Associates Inc* 82,063
2,400 Medaphis Corp* 24,149
900 Medic Computer Systems Inc* 20,025
27,100 Microsoft Corp* 3,424,763
100 National Service Industries Inc 4,869
300 Network General Corp* 4,463
2,000 Olsten Corp 38,874
2,500 Omnicom Group Inc 154,063
17,300 Oracle Systems Corp* 871,488
4,300 Parametric Technology Corp* 183,017
2,937 Paychex Inc 111,606
2,200 Peoplesoft Inc* 116,050
500 Pitney Bowes Inc 34,750
700 Quintiles Transnational Corp* 48,738
2,900 Reynolds & Reynolds Co Class A 45,675
2,100 Robert Half International Inc* 98,830
800 Shared Medical Systems Corp 43,200
800 Shiva Corp* 8,350
1,100 Sterling Software Inc* 34,375
1,400 Sungard Data System Inc* 65,100
2,700 Sybase Inc* 40,163
1,300 Synopsys Inc* 47,775
600 Thermo Cardiosystems Inc* 15,600
500 Thermolase Corp* 7,031
808 Total System Services Inc 19,644
260 Wallace Computer Services Inc 7,816
800 Western Atlas Inc* 58,600
$10,469,525
INSURANCE --- 1.5%
3,074 Aetna Inc* 314,701
850 Aflac Inc* 40,163
100 Allmerica Financial Corp* 3,988
35 Ambac Inc* 2,673
3,100 American International Group Inc* 463,063
500 Equitable Companies Inc 16,625
800 Erie Indemnity Co Class A 31,400
400 Everest Reinsurance Holdings Inc 15,850
400 General Re Corp 72,800
4,600 Marsh & McLennan Companies Inc 328,325
2,600 Oxford Health Plans Inc* 186,550
500 Progressive Corp 43,500
300 Protective Life Corp 15,075
23 Provident Companies Inc 1,231
140 Reliastar Financial Corp 10,238
3,900 SunAmerica Inc 190,125
300 The PMI Group Inc 18,713
40 Transatlantic Holdings Inc 3,970
1,166 Travelers Group Inc 73,530
100 Travelers Property Casualty Corp 3,988
300 Unum Corp 12,600
1,600 Value Health Inc* 32,400
$1,881,508
MFTG - CONSUMER PRODS. --- 16.5%
3,300 Anheuser-Busch Companies Inc* 138,392
4,300 Avon Products Inc* 303,417
1,500 Bed Bath & Beyond Inc* 45,563
900 Brown-Forman Corp Class B 43,931
800 Brunswick Corp 25,000
4,200 CPC International Inc 387,710
7,600 Campbell Soup Co 380,000
84,300 Coca-Cola Co 5,690,250
5,700 Coca-Cola Enterprises Inc 131,100
10,000 Colgate-Palmolive Co 652,500
3,200 CompUSA Inc* 68,800
7,300 ConAgra Inc 468,113
2,900 Dial Corp 45,313
200 Dow Jones & Company Inc 8,037
1,300 Fort Howard Corp* 65,813
400 Fruit of the Loom Inc Class A* 12,400
1,500 Gartner Group Inc Class A* 53,906
4,500 General Mills Inc 293,063
18,883 Gillette Co 1,789,164
4,850 HJ Heinz Co 223,706
1,800 Harcourt General Inc 85,725
1,900 Hershey Foods Corp 105,093
1,500 Hillenbrand Industries Inc 71,250
4,600 Ikon Office Solutions Inc 114,710
3,200 International Flavors & Fragrances Inc 161,600
600 Interstate Bakeries Co 35,587
1,300 Jones Apparel Group Inc* 62,075
4,400 K-III Communications Corp* 52,800
2,700 Kellogg Co 231,188
300 Knight-Ridder Inc 14,719
733 Lancaster Colony Corp 35,459
1,200 Lee Enterprises Inc 31,650
2,900 Leggett & Platt Inc 124,700
100 Liz Claiborne Inc 4,663
3,200 Masco Corp 133,600
9,783 Mattel Inc 331,399
500 McCormick & Company Inc (nonvtg) 12,625
1,200 McGraw-Hill Companies Inc 70,574
1,500 Meredith Corp 43,500
1,300 Nabisco Holdings Corp Class A 51,838
1,000 New York Times Co Class A 49,500
5,400 Newell Co 213,975
900 Nine West Group Inc* 34,368
700 Oakley Inc* 9,843
1,600 Oakwood Homes Corp 38,400
48,800 Pepsico Inc 1,833,026
82,500 Philip Morris Companies Inc 3,660,938
2,300 Pioneer Hi-Bred International Inc 184,000
900 Quaker Oats Co 40,388
1,300 RJR Nabisco Holdings Corp 42,900
300 RR Donnelley & Sons Co 10,988
2,900 Ralston-Ralston Purina Group 238,342
2,700 Readers Digest Association Inc Class A 77,455
5,100 Rubbermaid Inc 151,725
14,100 Sara Lee Corp 586,913
600 Shaw Industries Inc 6,375
2,600 Starbucks Corp* 101,236
400 Talbots Inc* 13,600
2,400 The Times Mirror Co Class A 132,600
1,100 Tiffany & Co 50,806
3,200 Tribune Co 153,798
1,100 Tupperware Corp 40,150
800 Tyson Foods Inc Class A 15,300
6,200 UST Inc 172,050
1,100 Unifi Inc 41,113
2,800 Viad Corp 53,900
1,700 Warnaco Group Inc Class A 54,188
10 Washington Post Co Class B 3,980
3,500 Wm Wrigley Jr Co 234,500
$20,847,290
MFTG - INDUSTRIAL PRODS --- 12.9%
11,230 3Com Corp* 505,350
200 AK Steel Holding Corp* 8,825
26,300 Abbott Laboratories* 1,755,525
700 Air Products & Chemicals Inc* 56,875
2,000 Airgas Inc* 39,624
100 Albemarle Corp* 2,106
1,317 Allegheny Teledyne Inc* 35,559
2,900 Alza Corp* 84,100
15,400 American Home Products Corp* 1,178,100
2,700 American Standard Companies Inc* 120,825
200 Armstrong World Industries Inc* 14,675
6,335 Bay Networks Inc* 168,270
1,600 Bemis Company Inc* 69,200
300 Betz Laboratories Inc* 19,800
1,050 Blyth Industries Inc* 35,438
200 Cabot Corp 5,675
2,400 Callaway Golf Co 85,200
125 Case Corp 8,609
1,900 Centocor Inc* 59,018
5,400 Chiron Corp* 112,725
900 Clorox Co 118,800
500 Cooper Tire & Rubber Co 11,000
7,700 Corning Inc 428,313
400 Crane Co 16,725
2,800 Crown Cork & Seal Company Inc 149,624
1,400 Cytec Industries Inc* 52,325
1,000 Danaher Corp 50,812
3,500 Dover Corp 215,250
700 Dow Chemical Co 60,988
3,700 EI DuPont De Nemours & Co 232,638
8,100 EMC Corp* 315,900
1,900 Ecolab Inc 90,725
1,700 Electronics for Imaging Inc* 80,325
3,300 Engelhard Corp 69,092
1,100 First Brands Corp 25,231
1,200 Georgia Gulf Corp 34,874
500 Great Lakes Chemical Corp 26,188
2,500 Guidant Corp 212,500
430 Harnischfeger Industries Inc 17,845
300 Harsco Corp 12,150
3,500 Hercules Inc 167,563
1,100 IDEXX Laboratories Inc* 13,681
6,400 Illinois Tool Works Inc 319,597
1,200 Interneuron Pharmaceutical Inc* 24,150
4,000 Iomega Corp* 79,500
1,500 JLG Industries Inc* 20,438
12,060 Kimberly-Clark Corp 599,985
2,300 Lear Corp* 102,063
600 Lyondell Petrochemical Co 13,087
450 MA Hanna Co 12,965
300 Mallinckrodt Inc 11,400
1,500 Millipore Corp 66,000
4,400 Minnesota Mining & Manufacturing Co 448,800
20,500 Monsanto Co 882,771
2,200 Morton International Inc 66,411
4,100 Mylan Laboratories Inc 60,475
100 Nalco Chemical Co 3,863
500 Nordson Corp 32,125
3,000 Nucor Corp 169,500
1,300 Owens-Illinois Inc* 40,300
600 PPG Industries Inc 34,875
4,300 Pall Corp 99,975
21,700 Pfizer Inc 2,593,150
7,000 Pharmacia & Upjohn Inc 243,250
5,600 Praxair Inc 313,600
1,825 RPM Inc (Ohio) 33,534
1,600 Raychem Corp 119,000
1,100 Rhone-Poulenc Class A 99,963
24,800 Schering-Plough Corp 1,187,300
1,300 Sealed Air Corp* 61,750
300 Sherwin-Williams Co 9,263
2,700 Sigma Aldrich Corp 94,667
2,150 Sonoco Products Co 65,440
800 Tambrands Inc 39,900
300 The BF Goodrich Co 12,994
300 The Stanley Works 12,000
400 Thermo Fibertech Inc* 4,100
900 Trinity Industries Inc 28,575
4,958 Tyco International Ltd* 344,888
700 UCAR International Inc* 32,025
1,600 USG Corp* 58,400
1,000 USX-US Steel Group 35,062
1,500 Unisource Worlwide Inc 24,000
2,600 WR Grace & Co 143,325
6,100 Warner-Lambert Co 757,925
1,100 Watson Pharmaceuticals Inc* 46,475
2,700 Western Digital Corp* 85,388
100 Witco Corp 3,794
2,200 Worthington Industries Inc 40,286
$16,346,382
MINING --- 0.3%
6,100 Freeport-McMoran Copper & Gold Inc Class B 189,863
1,400 Homestake Mining Co 18,287
400 Newmont Gold Co 15,975
5,316 Newmont Mining Corp 207,324
300 Southern Peru Copper Corp 5,850
$437,299
OIL & GAS --- 1.7%
1,800 Anadarko Petroleum Corp* 108,000
800 Apache Corp* 26,000
3,600 Baker Hughes Inc* 139,273
200 Burlington Resources Inc 8,825
1,300 Chesapeake Energy Corp* 12,756
400 Coastal Corp 21,275
1,000 Cooper Cameron Corp* 46,750
700 Diamond Offshore Drilling Inc* 54,688
2,100 Dresser Industries Inc 78,225
2,000 Enron Oil & Gas Co 36,250
2,400 Ensco International Inc* 126,600
300 Enserch Corp 6,675
4,000 Global Marine Inc* 93,000
4,100 Halliburton Co 324,925
900 Lousiana Land & Exploration Co 51,413
1,700 Nabors Industries Inc* 42,500
1,600 Noble Affiliates Inc 61,899
1,200 Noble Drilling Corp* 27,074
3,100 Oryx Energy Co* 65,488
3,300 Phillips Petroleum Co 144,375
2,200 Reading & Bates Corp* 58,850
1,400 Smith International Inc* 85,050
2,900 Tosco Corp 86,817
1,025 Transocean Offshore Inc 74,441
200 Ultramar Diamond Shamrock Corp 6,525
8,500 Union Pacific Resources Group Inc 211,438
1,100 Union Texas Petroleum Holdings Inc 23,031
500 UnoCal Corp 19,406
600 Vastar Resources Inc 21,037
1,000 Weatherford Enterra Inc* 38,500
$2,101,086
OTHER ASSET-BACKED --- 0.1%
4,800 Green Tree Financial Corp 171,000
$171,000
OTHER TRANS. SERVICES --- 0.1%
500 Federal Express Corp* 28,875
500 Fritz Companies Inc* 4,844
1,900 Tidewater Inc 83,600
$117,319
RAILROADS --- 0.2%
793 Burlington Northern Santa Fe Corp 71,271
1,800 Illinois Central Corp Class A 62,887
200 Kansas City Southern Industries Inc 12,900
1,700 Wisconsin Central Transportation Corp* 63,325
$210,383
REAL ESTATE --- 0.1%
3,300 Simon Debartolo Group Inc 105,600
2,100 The Rouse Co 61,950
$167,550
RETAIL TRADE --- 6.8%
7,500 Albertson's Inc* 273,750
698 Autoliv Inc* 27,309
5,200 Autozone Inc* 122,522
800 Barnes & Noble Inc* 34,400
400 Boise Cascade Office Products Corp* 6,800
1,100 Borders Group Inc* 26,538
1,800 Boston Chicken Inc* 25,200
1,750 Brinker International Inc* 24,938
3,400 Circuit City Stores Inc 120,911
2,993 Consolidated Stores Corp* 104,007
4,000 Corporate Express Inc* 57,748
2,100 Cracker Barrel Old Country Store Inc 55,650
500 Darden Restaurants Inc 4,531
700 Dayton Hudson Corp 37,231
3,735 Dollar General Corp 140,063
500 Dollar Tree Stores Inc* 25,188
900 Fastenal Co 44,100
2,300 Federated Department Stores Inc* 79,925
3,000 Food Lion Inc Class A 21,561
700 Footstar Inc* 18,288
7,100 Gap Inc 276,013
2,800 General Nutrition Companies Inc* 78,400
500 Hannaford Brothers Co 17,781
17,100 Home Depot Inc 1,178,823
1,400 Intimate Brands Inc Class A 29,400
792 JC Penney & Company Inc 41,332
1,800 Kohls Corp* 95,287
7,400 Kroger Co* 214,600
1,500 Limited Inc 30,375
1,100 Lone Star Steakhouse & Saloon Inc* 28,600
5,000 Lowe's Companies Inc 185,625
23,500 McDonald's Corp 1,135,332
900 Micro Warehouse Inc* 15,413
700 Neiman Marcus Group Inc* 18,375
800 Nordstrom Inc 39,250
4,650 Office Depot Inc* 90,382
3,550 Officemax Inc* 51,251
1,600 Outback Steakhouse Inc* 38,699
1,600 Owens Corning 69,000
940 Payless Shoesource Inc* 51,406
2,100 Pep Boys - Manny Moe & Jack 71,530
3,600 Petsmart Inc* 41,400
500 Rite Aid Corp 24,938
7,327 Safeway Inc* 337,958
10,900 Sears Roebuck & Co 585,875
2,800 Southland Corp* 9,360
300 Spiegel Inc* 2,063
5,425 Staples Inc* 126,131
1,800 Sunglass Hut International Inc 144a* 11,362
6,200 TJX Companies Inc 163,525
800 Tandy Corp 44,800
1,100 Toys R Us Inc* 38,500
2,800 Viking Office Products Inc* 53,200
48,000 Wal-Mart Stores Inc 1,622,976
8,500 Walgreen Co 455,813
2,800 Wendy's International Inc 72,624
1,500 Winn-Dixie Stores Inc 55,875
$8,653,934
SECURITIES & COMMODITIES --- 0.5%
3,900 Charles Schwab & Company Inc 158,679
2,750 Franklin Resources Inc 199,546
2,000 Morgan Stanley, Dean Witter, Discover and Co 86,124
1,600 T Rowe Price & Associates Inc 82,600
1,800 United Asset Management Corp 50,962
$577,911
TELEPHONE --- 1.0%
4,400 ADC Telecommunications Inc* 146,850
300 Alltel Corp* 10,031
2,000 Ameritech Corp* 135,874
300 Century Telephone Enterprises Inc 10,106
4,700 Cincinnati Bell Inc 148,050
4,300 Frontier Corp 85,729
11,300 GTE Corp 495,788
1,500 MCI Communications Corp 57,422
2,500 SBC Communications Inc 154,688
$1,244,538
TRANSPORTATION --- 0.0%
100 CNF Transportation Inc 3,225
$3,225
TRANSPORTATION EQUIPMENT --- 1.4%
5,900 Allied-Signal Inc* 495,600
700 Echlin Inc 25,200
2,600 Harley-Davidson Inc 124,636
300 Newport News Shipbuilding Inc 5,831
700 Premisys Communications Inc* 11,025
550 Sundstrand Corp 29,700
18,100 The Boeing Co* 960,422
1,400 United Technologies Corp 116,200
$1,768,614
U.S. GOVERNMENTS --- 0.5%
11,500 Federal Home Loan Mortgage Corp 395,313
1,500 Student Loan Marketing Association 190,500
$585,813
WATER --- 0.0%
178 Halter Marine Group Inc* 4,272
$4,272
WHOLESALE TRADE - INDL --- 0.1%
500 Jefferson Smurfit Corp* 8,000
100 McKesson Corp 7,750
1,600 Sybron International Corp* 63,800
$79,550
WHOLESALE TRADE -CONSUMER --- 3.4%
3,300 Avery Dennison Corp* 132,413
125 Bergen Brunswig Corp Class A* 3,484
3,613 Cardinal Health Inc 206,844
340 Coleman Company Inc* 5,865
2,700 Costco Companies Inc* 88,763
4,400 Nike Inc Class B 256,850
23,200 Procter & Gamble Co 3,277,000
1,300 Richfood Holdings Inc 33,800
1,000 Safeguard Scientifics Inc* 31,812
1,300 Sunbeam-Oster Co 49,075
6,000 Sysco Corp 218,980
$4,304,886
TOTAL COMMON STOCK --- 98.4% $124,339,631
(Cost )
SHORT-TERM INVESTMENTS
SECURITIES & COMMODITIES --- 1.6%
2,036,000 Merrill Lynch & Co Inc 2,036,000
$2,036,000
TOTAL SHORT-TERM INVESTMENTS --- 1.6% $2,036,000
(Cost $2,036,000)
TOTAL GROWTH INDEX PORTFOLIO --- 100.0% $126,375,631
(Cost )
Maxim Series Fund
Investment Grade Corporate Bond Portfolio
BONDS
AGENCY --- 2.2%
2,245,000 US Department of Veterans Affairs 2,274,454
Vendee Trust 1995-3 1h
7.250% December 15, 2002
$2,274,454
AIR --- 3.0%
3,000,000 Swire Pacific Ltd# 3,199,350
Notes
8.500% September 29, 2004
$3,199,350
CANADIAN - PROVINCIAL --- 3.1%
3,000,000 Quebec 3,264,690
Yankee Bonds
8.800% April 15, 2003
$3,264,690
COMMUNICATIONS --- 5.2%
2,000,000 Airtouch Communications Inc 2,020,720
Notes
7.125% July 15, 2001
3,500,000 US West Capital Funding Inc 3,496,255
Notes
6.850% January 15, 2002
$5,516,975
CONSUMER SERVICES --- 2.9%
3,000,000 Service Corporation International 2,996,820
Notes
6.750% June 1, 2001
$2,996,820
CREDIT INSTITUTIONS --- 26.0%
3,000,000 Aristar Inc 2,944,140
Notes
6.125% December 1, 2000
4,000,000 Associates Corp North America 4,006,440
Medium Term Notes
6.870% August 12, 2002
3,000,000 BHP Finance USA Corp 2,939,640
Guaranteed Yankee Notes
6.420% March 1, 2026
3,000,000 Capital One Bank 3,033,720
Medium Term Notes
7.350% June 20, 2000
3,000,000 Commercial Credit Corporation Ltd 3,065,040
Notes
7.375% March 15, 2002
3,000,000 Ford Motor Credit Co 3,163,170
Notes
8.200% February 15, 2002
3,000,000 General Electric Capital Corp 3,133,549
Eurodollar Medium Term Notes
8.100% February 15, 2002
2,000,000 General Motors Acceptance Corp 2,063,060
Medium Term Notes
7.625% May 5, 2003
3,000,000 Heller Financial Inc 3,029,595
Medium Term Notes
7.210% September 13, 2001
$27,378,354
ELECTRIC --- 5.7%
3,000,000 Commonwealth Edison Co 3,028,341
First Mortgage Bonds
7.500% January 1, 2001
3,000,000 Iberdrola International# 3,012,030
Notes
7.125% June 1, 2003
$6,040,371
ELECTRONICS - HIGH TECH --- 1.9%
2,000,000 Xerox Corp 2,026,940
Notes
7.150% August 1, 2004
$2,026,940
FOREIGN BANKS --- 8.5%
3,000,000 Abbey National PLC 2,931,480
Global Notes
6.690% October 17, 2005
3,000,000 Bayerische Landesbanken NY 2,990,424
Medium Term Notes
6.375% August 31, 2000
3,000,000 Korea Development Bank 2,972,700
Yankee Notes
6.250% May 1, 2000
$8,894,604
INDUSTRIAL SERVICES --- 3.7%
4,000,000 Comdisco Inc 3,915,560
Notes
6.375% November 30, 2001
$3,915,560
INSURANCE --- 5.7%
3,000,000 London Insurance Group 2,947,470
Yankee Notes
6.875% September 15, 2005
3,000,000 Prudential Insurance of America 3,035,730
Surplus Notes
7.650% July 1, 2007
$5,983,200
LEASING --- 3.1%
3,000,000 US Leasing International 3,215,880
Senior Notes
8.750% December 1, 2001
$3,215,880
MFTG - INDUSTRIAL PRODS --- 2.9%
3,000,000 Hanson Overseas BV 3,053,190
Guaranteed Yankee Senior Notes
7.375% January 15, 2003
$3,053,190
OIL & GAS --- 6.1%
2,000,000 BP America Inc 2,105,000
Guaranteed Eurodollar Notes
9.750% March 1, 1999
4,000,000 Texaco Capital Inc 4,314,720
Debentures
8.500% February 15, 2003
$6,419,720
RETAIL TRADE --- 3.8%
4,000,000 Sears Roebuck Acceptance Corp 3,983,600
Medium Term Notes
6.930% June 17, 2004
$3,983,600
SECURITIES & COMMODITIES --- 14.2%
3,000,000 CS First Boston Inc 3,104,670
Subordinated Notes
7.750% May 15, 2006
3,000,000 Lehman Brothers Holdings Inc 3,014,040
Notes
7.250% October 15, 2003
3,000,000 Morgan Stanley, Dean Witter, Discover and Co 2,945,490
Notes
6.875% March 1, 2007
3,000,000 Salomon Inc 2,973,600
Medium Term Notes
6.625% November 30, 2000
3,000,000 Smith Barney Holdings 2,937,690
Notes
6.625% November 15, 2003
$14,975,490
U.S. GOVERNMENTS --- 0.9%
1,000,000 United States of America 997,190
Treasury Notes
6.500% August 15, 2005
$997,190
TOTAL BONDS --- 99.1% $104,136,388
(Cost $103,885,954)
SHORT-TERM INVESTMENTS
SECURITIES & COMMODITIES --- 0.9%
987,000 Merrill Lynch & Co Inc 987,000
$987,000
TOTAL SHORT-TERM INVESTMENTS --- 0.9% $987,000
(Cost $987,000)
TOTAL INVESTMENT GRADE CORPORATE BOND PORTFOLIO --- 100.0% $105,123,388
(Cost $104,872,954)
Maxim Series Fund
Short-Term Maturity Bond Portfolio
BONDS
AGENCY --- 2.5%
1,388,596 Federal Home Loan Mortgage Corp 1,382,153
Pool #L90105
6.000% April 1, 1999
$1,382,153
CREDIT INSTITUTIONS --- 25.7%
1,000,000 American General Financial 1,014,530
Notes
7.125% December 1, 1999
2,000,000 Associates Corp of North America 1,998,200
Notes
6.375% June 15, 2000
2,000,000 Banc One Corp 2,009,320
Senior Medium Notes
6.700% March 24, 2000
1,000,000 CIT Group Holdings Inc 998,105
Notes
6.250% October 25, 1999
1,000,000 Chrysler Financial Corp 990,450
Notes
5.625% January 15, 1999
1,000,000 First National Bank Commerce 998,680
Bank Notes
6.500% January 14, 2000
1,000,000 Ford Motor Credit Co 991,540
Notes
5.625% December 15, 1998
1,000,000 General Electric Capital Corp 1,042,936
Medium Term Notes
6.650% April 14, 1998
2,000,000 Household Finance Corp 2,029,780
Medium Term Notes
7.150% June 15, 2000
2,000,000 Sanwa Business Credit 1,995,060
Medium Term
6.540% June 20, 2000
$14,068,601
ELECTRIC --- 22.8%
1,000,000 Carolina Power & Light Co 992,670
First Mortgage Bonds
5.375% July 1, 1998
2,000,000 Houston Lighting & Power Co 1,981,200
Secured Medium Term Notes
6.100% March 1, 2000
1,500,000 Idaho Power Co 1,569,585
First Mortgage Bonds
8.650% January 1, 2000
2,000,000 Monongahela Power 1,951,800
First Mortgage Bonds
5.625% April 1, 2000
1,000,000 Pacific Gas & Electric Co 991,130
First Mortgage Bonds
5.375% August 1, 1998
1,000,000 Public Service Electric & Gas Co 1,000,880
First Mortgage Bonds
6.000% January 1, 1998
2,000,000 Southwestern Electric Power Co 1,989,560
First Mortgage Bond
6.125% September 1, 1999
2,000,000 Western Resources Inc 2,024,520
First Mortgage Bonds
7.250% July 1, 1999
$12,501,345
FOREIGN BANKS --- 1.8%
1,000,000 Korea Development Bank 994,790
Yankee Notes
5.875% December 1, 1998
$994,790
FOREIGN GOVERNMENTS --- 1.8%
1,000,000 Swedish Government 977,900
Eurodollar Medium Term Notes
4.500% March 24, 1999
$977,900
INDUSTRIAL SERVICES --- 3.7%
2,000,000 Comdisco Inc 2,015,980
Medium Term Notes
6.930% May 2, 2000
$2,015,980
LEASING --- 1.8%
1,000,000 International Lease Finance Corp 1,004,500
Notes
6.625% April 1, 1999
$1,004,500
MFTG - CONSUMER PRODS. --- 3.7%
1,000,000 Donnelley & Sons 1,033,230
Medium Term Notes
7.960% November 8, 1999
1,000,000 Sara Lee Corp 1,003,274
Medium Term Notes
6.500% September 20, 1999
$2,036,504
MFTG - INDUSTRIAL PRODS --- 7.3%
2,000,000 Air Products & Chemicals Inc 1,978,340
Medium Term Notes
6.010% December 15, 1999
1,000,000 Caterpillar Inc 1,007,160
Medium Term Notes
6.800% August 24, 1999
1,000,000 Ingersoll-Rand Co 1,000,670
Medium Term Notes
6.540% August 10, 1999
$3,986,170
RAILROADS --- 3.8%
2,000,000 SNCB Belgium Rail 2,080,000
Euro Medium Term Note
8.250% February 2, 2000
$2,080,000
RETAIL TRADE --- 9.2%
2,000,000 J Sainsbury PLC 2,005,000
Eurodollar Medium Term Notes
6.625% December 31, 1999
1,000,000 JC Penney & Company Inc 1,008,740
Notes
6.875% June 15, 1999
1,000,000 Nordstrom Credit Inc 1,007,744
Medium Term Notes
6.875% September 15, 1999
1,000,000 Sears Roebuck Acceptance Corp 1,002,140
Medium Term Notes
6.380% February 16, 1999
$5,023,624
SECURITIES & COMMODITIES --- 3.7%
2,000,000 Merrill Lynch & Co 2,004,520
Medium Term Notes
6.620% June 13, 2000
$2,004,520
SUPRANATIONALS --- 1.8%
1,000,000 Inter-American Development Bank 1,010,540
Yankee Notes
9.500% October 15, 1997
$1,010,540
TELEPHONE --- 3.7%
1,000,000 MCI Communications Corp 997,630
Senior Notes
6.250% March 23, 1999
1,000,000 Nippon Telegraph & Telephone Co 1,034,460
Yankee Notes
9.500% July 27, 1998
$2,032,090
TRANSPORTATION EQUIPMENT --- 1.8%
1,000,000 Lockheed Martin Corp 1,004,930
Notes
6.625% June 15, 1998
$1,004,930
U.S. GOVERNMENTS --- 3.7%
2,000,000 Federal National Mortgage Association 2,007,500
Medium Term Notes
6.420% October 1, 1999
$2,007,500
TOTAL BONDS --- 98.9% $54,131,147
(Cost $53,979,454)
SHORT-TERM INVESTMENTS
<PAGE>
SECURITIES & COMMODITIES --- 1.1%
614,000 Merrill Lynch & Co Inc 614,000
$614,000
TOTAL SHORT-TERM INVESTMENTS --- 1.1% $614,000
(Cost $614,000)
TOTAL SHORT-TERM MATURITY BOND PORTFOLIO --- 100.0% $54,745,147
(Cost $54,593,454)
Maxim Series Fund
Small-Cap Aggressive Growth Portfolio
COMMON STOCK
AIR --- 1.7%
48,400 Circle International Group Inc 1,276,550
40,200 Pittston Brink's Group 1,130,625
$2,407,175
CONSTRUCTION --- 0.2%
11,800 Apogee Enterprises Inc* 253,700
$253,700
CONSUMER SERVICES --- 6.5%
56,400 American General Hospitality Corp 1,395,900
24,100 CR Bard Inc* 875,119
64,857 Grancare Inc 701,234
56,800 Healthplan Services Corp 1,072,100
33,700 Integrated Health Services Inc* 1,297,450
49,600 Physicians Resource Group Inc* 446,400
48,300 Rotech Medical Corp* 968,995
40,100 Sierra Health Services Inc* 1,253,125
53,501 Vitalink Pharmacy Services Inc* 1,023,207
$9,033,530
CREDIT INSTITUTIONS --- 4.1%
22,700 Bank United Corp Class A 862,600
41,700 City National Corp 1,003,385
28,600 Commercial Federal Corp 1,061,775
34,200 DVI Inc* 495,900
31,700 First Financial Corp 931,188
15,500 Firstplus Financial Group Inc* 527,000
44,220 WFS Financial Inc* 740,685
$5,622,533
ELECTRONICS - HIGH TECH --- 12.2%
28,600 Brown & Sharpe Manufacturing Company* 432,575
69,600 Calpine Corp* 1,322,400
61,425 Conmed Corp* 1,044,225
55,300 Gulf South Medical Supply Inc* 1,078,350
28,875 Harman International Industries Inc 1,216,359
42,000 Hologic Inc* 1,118,250
62,400 Inter-Tel Inc* 1,326,000
42,200 International Rectifier Corp* 785,975
58,100 Invacare Corp 1,358,088
38,100 Merix Corp* 633,413
32,700 National Computer Systems Inc 870,638
26,600 Perceptron Inc* 721,525
34,300 Semitool Inc* 398,738
15,200 Sofamor Danek Group Inc* 695,400
52,000 Trident Microsystems Inc* 585,000
40,900 VLSI Technology Inc* 966,263
23,800 Woodhead Industries Inc 449,225
76,300 Xicor Inc* 448,263
31,400 York International Corp 1,444,400
$16,895,087
GAS --- 1.4%
59,900 Pride Petroleum Services Inc* 1,437,600
23,700 Public Service Company of North Carolina Inc 454,732
$1,892,332
HOLDING & INVEST. OFFICES --- 4.6%
41,000 Health Care Property Investors Inc 1,445,250
69,500 Koger Equity Inc 1,268,375
49,800 Liberty Property Trust 1,238,775
32,500 Sun Communities Inc 1,090,765
43,100 TIG Holdings Inc 1,346,875
$6,390,040
INDUSTRIAL SERVICES --- 5.4%
27,100 Alternative Resources Corp* 552,163
25,700 American Management Systems Inc* 687,475
6,400 CDI Corp* 266,797
30,200 Network General Corp* 449,225
31,850 Nichols Research Corp* 668,850
28,600 PhyMatrix Corp* 439,725
43,700 Platinum Technology Inc* 579,025
38,100 Sterling Software Inc* 1,190,625
37,700 Symantec Corp* 735,150
8,000 TEAM America Corp* 67,000
47,500 Tetra Tech Inc* 1,145,938
45,100 Wonderware Corp* 637,038
$7,419,011
INSURANCE --- 6.7%
30,600 Allied Group Inc 1,162,800
23,100 Capital RE Corp 1,235,850
25,600 Capmac Holdings Inc 860,800
5,600 Compdent Corp* 117,947
51,600 Everest Reinsurance Holdings Inc 2,044,650
36,600 Protective Life Corp 1,839,150
21,700 Reinsurance Group America Co 1,247,750
16,375 Triad Guaranty Inc* 743,016
$9,251,963
LEASING --- 0.5%
29,600 Financial Federal Corp* 651,200
$651,200
MFTG - CONSUMER PRODS. --- 9.1%
40,350 Banta Corp 1,094,494
42,400 Cadmus Communications Corp 657,200
18,000 Houghton Mifflin Co 1,201,500
9,000 Insilco Corp* 337,500
29,400 International Multifoods Corp 738,675
62,100 Lance Inc 1,187,663
80,500 Michael Foods Inc 1,489,250
50,300 Premark International Inc 1,345,525
58,200 Scientific Games Holdings Corp* 1,200,375
23,900 Sola International Inc* 800,650
6,600 The Timberland Co Class A* 425,700
100,000 Viad Corp 1,925,000
10,200 Weider Nutrition International Inc* 161,925
$12,565,457
MFTG - INDUSTRIAL PRODS --- 12.9%
8,200 Amcast Industrial Corp 205,000
9,600 Aptargroup Inc 434,400
40,400 BWIP Holding Inc 820,605
17,600 Bush Boake Allen Inc* 547,800
46,000 Citation Corp* 787,750
52,400 Cuno Incorporated* 877,700
23,000 Dayton Superior Corp* 293,250
52,800 Dexter Corp 1,689,600
18,100 Dynatech Corp* 647,075
48,600 Giant Cement Holding Inc* 911,250
39,200 Greenfield Industries Inc 1,058,400
78,250 Griffon Corp* 1,071,008
44,200 LTV Corp 629,850
82,400 Lawter International Inc 1,040,300
12,400 Learonal Inc 353,400
29,500 Lone Star Technologies Inc* 844,438
37,300 Marquette Medical Systems Class A* 820,600
69,800 Oregon Steel Mills Inc 1,391,603
28,100 Telxon Corp 505,800
36,600 Toro Co 1,386,225
52,200 UNR Industries Inc* 358,875
74,600 United States Can Corp* 1,063,050
5,800 Wausau Paper Mills Co 109,475
$17,847,454
MINING --- 0.4%
61,200 Agnico-Eagle Mines Ltd* 589,050
$589,050
OIL & GAS --- 5.0%
14,700 Falcon Drilling Company Inc* 847,088
35,600 Key Energy Group Inc* 634,107
57,800 Lomak Petroleum Inc 1,029,534
23,100 Seitel Inc* 877,800
51,900 Tuboscope Vetco International Corp* 1,031,513
31,700 Vintage Petroleum Inc 974,775
39,100 Weatherford Enterra Inc* 1,505,350
$6,900,167
REAL ESTATE --- 2.9%
54,400 Brandywine Realty Trust 1,101,600
47,500 Cali Realty Corp 1,615,000
52,400 Capstone Capital Trust Inc 1,283,800
$4,000,400
RETAIL TRADE --- 5.3%
36,500 Buffets Inc* 307,951
18,200 Carson Pirie Scott & Co* 577,850
36,750 Cato Corp Class A 199,810
17,800 Cooker Restaurant Corp 190,229
11,300 Crossmann Communities Inc* 240,125
30,800 Family Dollar Stores Inc 839,300
22,800 Gencorp Inc 527,250
5,900 Hardinge Inc 172,575
71,000 Heilig-Meyers Co 1,393,375
31,500 Tandycrafts Inc* 149,625
36,100 United Auto Group Inc* 715,213
26,700 Wet Seal Inc Class A* 842,705
57,200 Zale Corp* 1,133,246
$7,289,254
SECURITIES & COMMODITIES --- 0.6%
33,800 Downey Financial Corp 798,525
$798,525
TELEPHONE --- 0.9%
63,300 Aliant Communications Inc 1,234,350
$1,234,350
TRANSPORTATION EQUIPMENT --- 1.6%
16,800 Borg-Warner Automotive Inc 908,242
36,200 Echlin Inc 1,303,200
$2,211,442
U.S. GOVERNMENTS --- 0.4%
32,700 Hexcel Corp* 564,075
$564,075
WHOLESALE TRADE - INDL --- 2.3%
47,800 Bindley Western Industries Inc 1,096,379
36,700 Cort Business Services Corp* 1,082,650
32,100 OM Group Inc 1,063,313
$3,242,342
WHOLESALE TRADE -CONSUMER --- 0.7%
43,400 World Fuel Services Corp 949,375
$949,375
TOTAL COMMON STOCK --- 85.2% $118,008,462
(Cost $101,194,142)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 6.1%
4,300,000 American Express Credit Corp 4,289,680
4,200,000 Ford Motor Credit Co 4,172,854
$8,462,534
ELECTRONICS - HIGH TECH --- 0.4%
500,000 General Electric Co 498,921
$498,921
HOLDING & INVEST. OFFICES --- 2.7%
3,800,000 American General Finance Corp 3,780,811
$3,780,811
INSURANCE --- 1.1%
1,500,000 American General Corp 1,493,075
$1,493,075
SECURITIES & COMMODITIES --- 4.5%
6,281,000 Merrill Lynch & Co Inc 6,281,000
$6,281,000
TOTAL SHORT-TERM INVESTMENTS --- 14.8% $20,516,341
(Cost $20,516,341)
TOTAL SMALL-CAP AGGRESSIVE GROWTH PORTFOLIO --- 100.0% $138,524,803
(Cost $121,710,483)
Maxim Series Fund
Government Mortgage Securities Portfolio
BONDS
AGENCY --- 78.4%
590,782 Federal Home Loan Mortgage Corp 658,309
Pool #N70005
9.500% November 1, 2020
2,517,240 Federal Home Loan Mortgage Corp 2,616,419
Pool #G00256
8.000% November 1, 2023
3,961,404 Federal Home Loan Mortgage Corp 4,283,466
Pool #G00300
9.500% April 1, 2025
1,277,492 Federal Home Loan Mortgage Corp 1,332,552
Pool #G10289
8.500% February 1, 2008
1,322,776 Federal Home Loan Mortgage Corp 1,349,364
Pool #D91201
7.500% October 1, 2015
2,699,188 Federal Home Loan Mortgage Corp 2,782,592
Pool #D64588
8.000% August 1, 2024
897,131 Federal Home Loan Mortgage Corp 886,491
Pool #E00177
6.500% December 1, 2007
1,058,204 Federal Home Loan Mortgage Corp 1,124,976
Pool #C90085
9.000% December 1, 2014
8,000,000 Federal Home Loan Mortgage Corp 8,057,600
Gold TBA
7.500% December 1, 2026
1,327,601 Federal Home Loan Mortgage Corp 1,467,928
Pool #884002
9.500% June 1, 2020
949,213 Federal Home Loan Mortgage Corp 995,820
Pool #D91202
8.500% February 1, 2013
1,823,481 Federal Home Loan Mortgage Corp 1,961,154
Pool #G10006
10.000% January 1, 2006
5,721,415 Federal Home Loan Mortgage Corp 5,551,546
Pool #O20005
6.500% January 1, 2018
1,236,662 Federal Home Loan Mortgage Corp 1,199,525
Pool #O30006
6.000% February 1, 2009
3,000,000 Federal Home Loan Mortgage Corp 2,991,300
CMO Series 1544 Class E
6.250% June 15, 2008
2,649,207 Federal Home Loan Mortgage Corp 2,615,006
Pool #E00219
6.500% June 1, 2008
527,773 Federal Home Loan Mortgage Corp 578,545
Pool #884018
9.500% September 1, 2020
197,689 Federal Home Loan Mortgage Corp 205,478
Pool #730326
8.500% November 1, 2006
1,261,551 Federal National Mortgage Association 1,259,911
Fnma Pool # 374210
% March 1, 2027
6,017,714 Federal National Mortgage Association 6,057,431
Pool #313017
7.000% July 1, 2003
4,523,757 Federal National Mortgage Association 4,438,936
Pool #330420
7.000% November 1, 2025
472,996 Federal National Mortgage Association 475,654
Pool #285019
7.500% December 1, 2024
781,107 Federal National Mortgage Association 786,231
Pool #281429
7.500% May 1, 2024
44,181 Federal National Mortgage Association 44,429
Pool #278839
7.500% December 1, 2024
2,865,661 Federal National Mortgage Association 2,989,171
Pool #250111
8.500% August 1, 2024
700,322 Federal National Mortgage Association 704,916
Pool #250060
7.500% June 1, 2024
202,105 Federal National Mortgage Association 219,668
Pool #091122
9.500% March 1, 2020
64,685 Federal National Mortgage Association 65,110
Pool #286640
7.500% June 1, 2024
77,287 Federal National Mortgage Association 77,794
Pool #287606
7.500% September 1, 2024
946,840 Federal National Mortgage Association 930,555
Pool #288916
6.500% May 1, 2011
1,735,183 Federal National Mortgage Association 1,754,443
Pool #288769
7.500% November 1, 2024
59,614 Federal National Mortgage Association 59,949
Pool #289190
7.500% August 1, 2024
934,827 Federal National Mortgage Association 905,605
Pool #291650
6.500% December 1, 2017
759,569 Federal National Mortgage Association 781,444
Pool #302587
8.000% December 1, 2024
78,421 Federal National Mortgage Association 78,936
Pool #303031
7.500% October 1, 2024
3,733,428 Federal National Mortgage Association 3,663,427
Pool #346907
7.000% June 1, 2026
1,150,596 Federal National Mortgage Association 1,163,126
Pool #367209
7.500% June 1, 2016
2,415,369 Federal National Mortgage Association 2,474,232
Pool #367215
8.000% September 1, 2026
6,000,000 Federal National Mortgage Association 6,020,400
TBA
7.500% December 1, 2026
65,899 Federal National Mortgage Association 66,331
Pool #286136
7.500% June 1, 2024
1,471,755 Federal National Mortgage Association 1,481,410
Pool #286579
7.500% June 1, 2024
2,581,483 Federal National Mortgage Association 2,541,161
Pool #303450
7.000% August 1, 2025
2,352,829 Federal National Mortgage Association 2,471,882
Pool #303583
8.500% April 1, 2025
644,697 Federal National Mortgage Association 682,605
Pool #316711
9.000% September 1, 2019
978,607 Federal National Mortgage Association 1,025,091
Pool #335658
8.500% August 1, 2021
448,394 Federal National Mortgage Association 461,128
Pool #339260
8.000% April 1, 2021
2,017,892 Federal National Mortgage Association 1,946,257
Pool #347434
6.500% June 1, 2026
38,519 Federal National Mortgage Association 38,735
Pool #291511
7.500% August 1, 2024
794,668 Federal National Mortgage Association 799,134
Pool #293638
7.500% December 1, 2024
78,572 Federal National Mortgage Association 79,013
Pool #294255
7.500% October 1, 2024
66,013 Federal National Mortgage Association 66,384
Pool #294674
7.500% September 1, 2024
49,484 Federal National Mortgage Association 49,762
Pool #295529
7.500% September 1, 2024
83,147 Federal National Mortgage Association 83,615
Pool #296964
7.500% December 1, 2024
46,481 Federal National Mortgage Association 46,742
Pool #297124
7.500% October 1, 2024
719,392 Federal National Mortgage Association 723,435
Pool #298452
7.500% November 1, 2024
668,202 Federal National Mortgage Association 672,586
Pool #050796
7.500% September 1, 2023
311,836 Government National Mortgage Association 307,452
Pool #346023
7.000% February 15, 2024
675,246 Government National Mortgage Association 666,387
Pool #358062
7.000% August 15, 2023
312,416 Government National Mortgage Association 314,465
Pool #369426
7.500% January 15, 2024
81,140 Government National Mortgage Association 79,999
Pool #370412
7.000% April 15, 2024
3,680,656 Government National Mortgage Association 3,628,906
Pool #371006
7.000% January 15, 2024
386,311 Government National Mortgage Association 380,880
Pool #371136
7.000% April 15, 2024
94,029 Government National Mortgage Association 94,645
Pool #372858
7.500% January 15, 2024
85,487 Government National Mortgage Association 86,048
Pool #374270
7.500% January 15, 2024
395,209 Government National Mortgage Association 397,802
Pool #376514
7.500% May 15, 2024
445,381 Government National Mortgage Association 448,721
Pool #348622
7.500% April 15, 2023
64,395 Government National Mortgage Association 64,878
Pool #351163
7.500% August 15, 2023
53,091 Government National Mortgage Association 53,439
Pool #352835
7.500% February 15, 2024
80,386 Government National Mortgage Association 81,154
Pool #355360
7.500% October 15, 2021
425,892 Government National Mortgage Association 429,087
Pool #355753
7.500% August 15, 2023
252,939 Government National Mortgage Association 254,836
Pool #357659
7.500% May 15, 2023
433,056 Government National Mortgage Association 436,304
Pool #357837
7.500% August 15, 2023
477,814 Government National Mortgage Association 480,948
Pool #376533
7.500% June 15, 2024
457,339 Government National Mortgage Association 460,340
Pool #388198
7.500% May 15, 2024
314,092 Government National Mortgage Association 309,675
Pool #395145
7.000% April 15, 2024
279,676 Government National Mortgage Association 281,511
Pool #397435
7.500% May 15, 2024
476,636 Government National Mortgage Association 478,270
Pool #404064
7.500% March 15, 2025
296,647 Government National Mortgage Association 298,872
Pool #197968
7.500% May 15, 2023
302,617 Government National Mortgage Association 304,887
Pool #326977
7.500% May 15, 2023
114,405 Government National Mortgage Association 113,010
Pool #332076
7.000% November 15, 2022
1,070,552 Government National Mortgage Association 1,127,398
Pool #380118
8.500% July 15, 2024
44,703 Government National Mortgage Association 44,075
Pool #382973
7.000% April 15, 2024
49,710 Government National Mortgage Association 50,037
Pool #385740
7.500% June 15, 2024
478,044 Government National Mortgage Association 481,180
Pool #385761
7.500% June 15, 2024
308,168 Government National Mortgage Association 310,479
Pool #358452
7.500% August 15, 2023
62,927 Government National Mortgage Association 63,399
Pool #360300
7.500% June 15, 2023
232,707 Government National Mortgage Association 234,452
Pool #360618
7.500% July 15, 2023
282,430 Government National Mortgage Association 278,724
Pool #361826
7.000% September 15, 2023
362,741 Government National Mortgage Association 358,319
Pool #334996
7.000% November 15, 2022
92,832 Government National Mortgage Association 93,441
Pool #335265
7.500% February 15, 2024
292,810 Government National Mortgage Association 295,006
Pool #338752
7.500% May 15, 2023
82,622 Government National Mortgage Association 83,242
Pool #338887
7.500% May 15, 2023
303,501 Government National Mortgage Association 305,777
Pool #339079
7.500% February 15, 2023
6,099,918 Government National Mortgage Association 6,170,677
Pool #340729
7.500% April 15, 2023
6,701,788 Government National Mortgage Association 6,913,564
Pool #780077
8.000% March 15, 2025
3,000,000 Government National Mortgage Association 2,952,600
TBA
7.000% November 15, 2024
382,453 Government National Mortgage Association 377,076
Pool #377983
7.000% April 15, 2024
61,331 Government National Mortgage Association 61,733
Pool #378750
7.500% January 15, 2024
125,195 Government National Mortgage Association 123,435
Pool #379840
7.000% March 15, 2024
538,478 Government National Mortgage Association 542,011
Pool #379462
7.500% June 15, 2024
377,442 Government National Mortgage Association 372,490
Pool #345116
7.000% December 15, 2023
284,706 Government National Mortgage Association 280,703
Pool #368293
7.000% January 15, 2024
1,701,708 Government National Mortgage Association 1,750,036
Pool #365382
8.000% June 15, 2025
307,556 Government National Mortgage Association 309,574
Pool #362184
7.500% January 15, 2024
434,974 Government National Mortgage Association 437,827
Pool #362176
7.500% January 15, 2024
204,615 Government National Mortgage Association 201,930
Pool #344968
7.000% July 15, 2023
245,476 Government National Mortgage Association 242,255
Pool #343630
7.000% July 15, 2023
538,120 Government National Mortgage Association II 554,574
Pool #002250
8.500% July 20, 2026
231,468 Government National Mortgage Association II 239,350
Pool #002158
8.500% January 20, 2026
251,423 Government National Mortgage Association II 257,004
Pool #2059
8.000% August 20, 2025
368,456 Government National Mortgage Association II 379,289
Pool #001477
8.000% November 20, 2023
108,053 Government National Mortgage Association II 111,732
Pool #002142
8.500% December 20, 2025
426,112 Government National Mortgage Association II 440,362
Pool #002220
8.500% May 20, 2026
869,613 Government National Mortgage Association II 898,693
Pool #002235
8.500% June 20, 2026
1,354,000 US Department of Veteran Affairs 1,321,452
Vendee Trust Ser 1996-3 1E
6.750% August 15, 2020
2,000,000 US Department of Veterans Affairs 2,031,059
Vendee Trust Ser 1995-3 Cl 1c
7.250% July 15, 2014
$129,992,181
U.S. GOVERNMENTS --- 7.9%
2,000,000 Tennessee Valley Authority 1,954,079
Notes
6.375% June 15, 2005
5,000,000 United States of America 5,039,859
Treasury Notes
6.625% May 15, 2007
6,000,000 United States of America 6,053,779
Treasury Notes
6.625% April 30, 2002
$13,047,717
TOTAL BONDS --- 86.3% $143,039,898
(Cost $140,468,662)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 6.8%
5,400,000 American Express Credit Corp 5,359,941
6,000,000 Ford Motor Credit Co 5,986,926
$11,346,867
HOLDING & INVEST. OFFICES --- 4.0%
6,600,000 American General Finance Corp 6,586,172
$6,586,172
SECURITIES & COMMODITIES --- 2.9%
4,811,000 Merrill Lynch & Co Inc 4,811,000
$4,811,000
TOTAL SHORT-TERM INVESTMENTS --- 13.7% $22,744,039
(Cost $22,744,039)
TOTAL GOVERNMENT MORTGAGE SECURITIES PORTFOLIO --- 100.0% $165,783,937
(Cost $163,212,701)
Maxim Series Fund
Value Index Portfolio
COMMON STOCK
AGENCY --- 0.4%
15,800 Federal National Mortgage Association (nonvtg) 689,275
$689,275
AGRICULTURE --- 0.1%
2,500 Agco Corp* 89,843
2,100 Terra Industries Inc* 24,413
$114,256
AIR --- 0.7%
4,400 AMR Corp* 407,000
200 Atlas Air Inc* 6,900
800 Continental Airlines Inc Class B* 27,950
3,600 Delta Air Lines Inc 295,200
3,400 Northwest Airlines Corp* 123,675
400 Pittston Brink's Group 12,000
2,400 Southwest Airlines Co 62,100
2,800 UAL Corp* 200,374
2,400 US Air Group Inc* 84,000
$1,219,199
COMMUNICATIONS --- 1.9%
3,533 360 Communications Co* 60,503
24,500 AT&T Corp* 859,019
1,222 Ascent Entertainment Group Inc* 11,151
300 BHC Communications Inc* 35,850
800 Cablevision Systems Corp* 42,800
845 Chris-Craft Industries Inc* 40,771
2,500 Comsat Corp 59,530
3,400 Cox Communications Inc* 81,600
2,700 Gannett Company Inc 266,625
7,400 Nextel Communications Inc Class A* 140,134
100 OmniPoint Corp* 1,663
200 PanAmStat Corp* 5,800
1,300 Scripps Howard Broadcasting Co Class A 54,113
1,100 TCI Satellite Entertainment* 8,663
500 Tele Communications International Inc Class A* 7,719
1,500 Telephone & Data Systems Inc 56,906
23,300 US West Communications Group 878,107
26,500 US West Media Group* 536,625
520 United States Cellular Corp* 15,405
8,500 Viacom Inc Class B* 255,000
$3,417,984
CONSTRUCTION --- 0.0%
1,300 Johns Manville Corp 15,356
$15,356
CONSUMER SERVICES --- 2.3%
780 Allegiance Corp* 21,255
1,500 Allergan Inc* 47,718
2,500 Bausch & Lomb Inc* 117,813
11,900 Baxter International Inc* 621,775
600 Becton Dickinson & Co* 30,375
3,600 Beverly Enterprises Inc* 58,500
25,500 Bristol-Myers Squibb Co 2,065,500
1,900 CR Bard Inc* 68,993
5,672 CVS Corp 290,690
400 Choice Hotels International Inc.* 6,775
500 Covance Inc* 9,656
300 Forest Laboratories Inc* 12,431
100 Health Care & Retirement Corp* 3,338
213 Homestead Village Inc (wts)* 3,807
7,500 Host Marriott Corp* 133,590
1,100 Humana Inc* 25,438
1,500 ITT Corp* 91,593
1,300 King World Productions Inc 45,500
246 Pacific Health Systems* 15,713
200 Quest Diagnostics Inc* 4,112
300 Speedway Motorsports Inc* 6,525
350 Stewart Enterprises Inc Class A 14,700
8,787 Tenet Healthcare Corp* 259,761
200 Total Renal Care Holdings Inc* 8,037
600 United Healthcare Corp 31,200
600 United States Surgical Corp 22,350
193 Vencor Inc* 8,154
700 Wellpoint Health Networks* 32,113
600 Whitman Corp 14,400
$4,071,812
CREDIT INSTITUTIONS --- 17.0%
4,050 AmSouth Bancorp* 153,139
15,500 American Express Co* 1,154,750
5,370 BB&T Corp* 241,650
21,042 Banc One Corp* 1,019,211
18,900 Bank of New York Company Inc* 822,150
35,198 BankAmerica Corp* 2,272,453
7,440 BankBoston Corp 536,141
4,000 Bankers Trust New York Corp* 348,000
9,100 Barnett Banks Inc* 477,750
2,300 Beneficial Corp* 163,443
2,800 Central Fidelity Banks Inc 99,400
2,380 Charter One Financial Inc 128,223
23,300 Citicorp 2,809,095
5,200 Comerica Inc 353,600
1,929 Commerce Bancshares Inc 87,287
3,200 Compass Bancshares Inc 107,600
10,205 Corestates Financial Corp 548,519
4,700 Countrywide Credit Industries Inc 146,579
4,100 Crestar Financial Corp 159,388
1,300 Equitable of Iowa Cos 72,800
1,250 Fifth Third Bancorp 102,578
3,000 First American Corp 115,125
6,400 First Bank System Inc 546,400
15,282 First Chicago NBD Corp 924,561
2,000 First Commerce Corp 88,000
243 First Empire State Corp 81,891
5,450 First Security Corp 148,850
3,200 First Tennessee National Corp 153,600
13,635 First Union Corp 1,261,238
1,500 First Virginia Banks Inc 90,468
4,450 First of America Bank Corp 203,588
6,000 Firstar Corp 183,000
12,765 Fleet Financial Group Inc 807,386
2,300 Golden West Financial Corp 161,000
6,800 Great Western Financial Corp* 365,500
5,200 HF Ahmanson & Co* 223,600
1,500 Household International Inc 176,156
7,311 Huntington Bancshares Inc 214,761
9,700 JP Morgan & Company Inc 1,012,438
11,082 Keycorp 619,207
4,400 Marshall & Ilsley Corp 178,750
12,692 Mellon Bank Corp 572,727
2,900 Mercantile Bancorporation Inc 176,175
2,400 Mercantile Bankshares Corp 96,000
10,900 National City Corp 572,250
37,868 NationsBank Corp 2,442,486
5,400 Northern Trust Corp 261,225
18,300 Norwest Corp 1,029,375
2,427 Old Kent Financial Corp 131,058
16,165 PNC Bank Corp 672,868
2,050 Pacific Century Financial Corp 94,813
3,200 Popular Inc 129,200
5,900 Regions Financial Corp 186,588
3,100 Signet Banking Corp 111,600
4,200 Star Banc Corp 177,450
6,600 State Street Boston Corp 305,250
10,400 Suntrust Banks Inc 572,645
700 Synovus Financial Corp 19,293
1,600 TCF Financial Corp 79,000
7,323 US Bancorp 469,587
3,200 Union Planters Corp 166,000
800 Unionbancal Corp 57,500
2,285 Valley National Bancorp 61,981
8,000 Wachovia Corp 466,496
3,500 Washington Mutual Inc 209,125
4,333 Wells Fargo & Co 1,167,744
3,400 Western National Corp 91,161
1,600 Wilmington Trust Co 73,200
3,000 Zions Bancorp 112,875
$29,864,947
ELECTRIC --- 6.3%
5,900 Allegheny Power System Inc* 157,453
9,100 American Electric Power Company Inc* 382,200
7,100 Baltimore Gas & Electric Co* 189,478
2,500 Boston Edison Co 65,938
4,400 CMS Energy Corp 155,100
6,900 Carolina Power & Light Co 247,538
7,600 Centerior Energy Corp 85,021
9,500 Central & South West Corp 201,875
7,616 Cinergy Corp 265,128
1,600 Cipsco Inc 58,499
11,400 Consolidated Edison Company of New York Inc 335,582
4,800 DPL Inc 118,200
3,700 DQE Inc 104,525
7,000 DTE Energy Co 193,375
3,100 Delmarva Power & Light Co 59,092
8,800 Dominion Resources Inc 322,300
17,446 Duke Power Co 836,309
20,300 Edison International 504,963
4,700 Enova Corp 113,091
11,379 Entergy Corp 311,500
8,400 FPL Group Inc 386,921
4,700 Florida Progress Corp 147,166
5,800 GPU Inc 208,075
1,600 Hawaiian Electric Industries Inc 61,800
9,900 Houston Industries Inc 212,226
1,900 Idaho Power Co 59,613
3,900 Illinova Corp 85,800
2,950 Ipalco Enterprises Inc 92,188
1,900 KU Energy Corp 64,838
2,800 Kansas City Power & Light Co 79,974
3,400 LG&E Energy Corp 75,011
5,800 Long Island Lighting Co 133,400
5,200 MidAmerican Energy Holdings Co 90,022
2,800 Montana Power Co 64,924
3,300 New England Electric System 122,100
3,400 New York State Electric & Gas Corp 70,975
7,500 Niagara Mohawk Power Corp* 64,215
2,800 Nipsco Industries Inc 115,674
5,800 Northeast Utilities 55,460
3,300 Northern States Power Co 170,775
7,000 Ohio Edison Co 152,684
7,800 PP&L Resources Inc 155,509
14,300 PacifiCorp 314,600
10,800 Peco Energy Co 226,800
3,800 Pinnacle West Capital Corp 114,236
2,600 Portland General Corp* 103,186
5,700 Potomac Electric Power Co 131,813
3,300 Public Service Company of Colorado 136,950
11,200 Public Service Enterprise Group Inc 280,000
4,000 Puget Sound Power & Light Co 106,000
5,100 Scana Corp 126,541
32,900 Southern Co 719,688
2,100 Southwestern Public Service Co 82,555
5,300 Teco Energy Inc 135,479
10,900 Texas Utilities Co 375,363
10,400 Unicom Corp 231,400
4,900 Union Electric Co 184,666
2,700 Utilicorp United Inc 78,638
2,900 Washington Water Power Co* 56,913
3,300 Western Resources Inc 107,042
5,400 Wisconsin Energy Corp 134,325
$11,022,712
ELECTRONICS - HIGH TECH --- 7.6%
4,900 AMP Inc* 204,575
5,200 Advanced Micro Devices Inc* 187,200
3,500 Amdahl Corp* 30,842
6,400 Apple Computer Inc* 91,200
1,600 Avnet Inc* 92,000
1,100 Beckman Instruments Inc* 53,075
3,500 Black & Decker Corp* 130,155
1,300 Briggs & Stratton Corp 65,000
200 Cirrus Logic Inc* 2,100
1,800 Compaq Computer Corp* 178,650
1,300 Cypress Semiconductor Corp* 18,850
300 Diebold Inc 11,700
7,500 Digital Equipment Corp* 265,778
5,200 Eastman Kodak Co 399,100
15,000 Emerson Electric Co 825,930
21,300 General Electric Co 1,392,488
2,200 General Signal Corp 95,975
1,800 Harris Corp 151,200
4,100 Honeywell Inc 311,088
3,000 Hubbell Inc Class B 132,000
560 Imation Corp* 14,770
48,700 International Business Machines Corp 4,392,107
600 International Game Technology 10,650
3,800 Johnson Controls Inc 156,036
100 Komag Inc* 1,638
200 Lam Research Corp* 7,412
1,800 Litton Industries Inc* 86,962
300 MSC Industrial Direct Company Inc Class A* 12,038
3,368 Mark IV Industries Inc 80,832
4,700 Maytag Corp 122,788
300 Mentor Graphics Corp* 2,775
625 Molex Inc 22,813
831 NCR Corp* 24,722
6,800 National Semiconductor Corp* 208,250
2,400 Novell Inc* 16,649
19,800 PG&E Corp 480,150
1,800 Polaroid Corp 99,900
2,800 Quantum Corp* 56,874
11,400 Raytheon Co 581,400
950 Read-Rite Corp* 19,831
200 Scientific-Atlanta Inc 4,375
2,000 Seagate Technology Inc* 70,374
2,000 Sensormatic Electronics Corp 25,750
3,000 Storage Technology Corp* 133,500
5,800 Tandem Computers Inc* 117,450
1,500 Tektronix Inc 90,000
1,800 Teradyne Inc* 70,650
2,700 Texas Instruments Inc 226,967
2,400 Thomas & Betts Corp 126,149
4,700 Unisys Corp* 35,838
1,675 Vishay Intertechnology Inc* 48,469
1,700 WW Grainger Inc 132,918
3,600 Whirlpool Corp 196,423
12,000 Xerox Corp 946,500
250 York International Corp 11,500
$13,274,366
ENVIRONMENTAL SERVICES --- 0.4%
8,400 Browning-Ferris Industries Inc 279,300
11,000 WMX Technologies Inc* 353,375
700 Waste Management Inc 22,488
$655,163
FINANCIAL SERVICES --- 0.0%
300 ContiFinancial Corp* 10,950
$10,950
FORESTRY --- 1.0%
2,300 Boise Cascade Corp* 81,218
4,400 Georgia-Pacific Corp 375,650
14,518 International Paper Co 705,023
5,200 Louisiana-Pacific Corp 109,850
9,600 Weyerhaeuser Co 499,200
$1,770,941
GAS --- 1.3%
2,600 Brooklyn Union Gas Co 74,425
2,600 Columbia Gas System Inc 169,650
4,600 Consolidated Natural Gas Co 247,535
2,513 El Paso Energy Corp 138,215
800 Enron Corp 32,650
1,800 Equitable Resources Inc* 51,075
3,500 MCN Corp 107,188
4,600 NGC Corp 71,010
2,000 National Fuel Gas Co 83,874
2,500 Nicor Inc 89,688
3,900 Pacific Enterprises 131,138
1,800 Peoples Energy Corp 67,387
1,900 Questar Corp 76,713
3,900 Sonat Inc 199,875
8,300 Tenneco Inc* 375,052
1,300 Valero Energy Corp 47,125
7,200 Williams Companies Inc 315,000
$2,277,600
HIGHWAYS --- 0.1%
3,800 Ryder System Inc 125,400
$125,400
HOLDING & INVEST. OFFICES --- 2.2%
21,316 Chase Manhattan Corp 2,068,974
2,617 Cincinnati Financial Corp 206,743
1,100 Cognizant Corp 44,550
5,500 Dime Bancorp Inc 96,250
2,000 Equity Residential Properties Trust 95,000
1,000 Finova Group Inc 76,500
1,600 Green Point Financial Corp 106,499
3,700 Health & Retirement Property Trust 69,604
6,300 Hibernia Corp 87,803
2,900 Meditrust Corp 115,638
3,000 New Plan Realty Trust 66,186
2,600 Republic New York Corp 279,500
2,333 Security Capital Industrial Trust 50,160
2,400 Security Capital Pacific Trust 54,900
4,700 Summit Bancorp 235,588
2,100 TIG Holdings Inc 65,625
1,100 US Industries Inc* 39,188
62 Wesco Financial Corp 20,166
$3,778,874
INDEPENDENT POWER PROD --- 0.1%
900 Calenergy Inc* 34,200
2,100 OGE Energy Corp 95,550
3,100 Wheelabrator Technologies Inc 47,855
$177,605
INDUSTRIAL SERVICES --- 1.5%
433 AC Nielsen Corp* 8,498
1,300 Arrow Electronics Inc* 69,063
3,100 Comdisco Inc 80,600
3,100 Deluxe Corp 105,788
4,300 Dun & Bradstreet Corp 112,875
2,400 EG&G Inc 54,000
200 Foster Wheeler Corp 8,100
1,200 Kelly Services Inc Class A 37,650
20,498 Lucent Technologies Inc 1,477,127
2,000 National Service Industries Inc 97,374
1,900 Network General Corp* 28,263
6,400 Pitney Bowes Inc 444,800
200 Wallace Computer Services Inc 6,012
900 Western Atlas Inc* 65,925
$2,596,075
INSURANCE --- 8.1%
7,000 AON Corp* 362,250
2,900 Aetna Inc* 296,888
5,650 Aflac Inc* 266,963
191 Allegheny Generating Co* 41,543
2,400 Allmerica Financial Corp* 95,700
3,100 Allmerica Property & Casualty Companies Inc 101,525
20,303 Allstate Corp* 1,482,119
1,300 Ambac Inc* 99,288
1,600 American Financial Group Inc 67,899
11,760 American General Corp* 561,540
14,600 American International Group Inc* 2,180,875
500 American National Insurance Co* 44,625
500 CNA Financial Corp* 52,719
8,400 Chubb Capital Corp 561,750
3,600 Cigna Corp 639,000
7,700 Conseco Inc 284,900
3,100 Equitable Companies Inc 103,075
2,000 Everest Reinsurance Holdings Inc 79,250
3,340 General Re Corp 607,880
5,700 Hartford Financial Services Group Inc 471,675
3,400 Jefferson-Pilot Corp 237,575
1,900 Leucadia National Corp* 58,780
5,000 Lincoln National Corp 321,875
3,400 Loews Corp 340,425
2,100 MBIA Inc 236,905
600 Marsh & McLennan Companies Inc 42,825
500 Mercury General Corp 36,375
1,800 Ohio Casualty Corp 79,200
4,550 Old Republic International Corp 137,920
1,600 Progressive Corp 139,200
1,200 Protective Life Corp 60,300
1,353 Provident Companies Inc 72,386
4,500 Providian Financial Corp 144,563
1,700 Reliastar Financial Corp 124,313
6,100 SafeCo Corp 284,791
3,700 St Paul Companies Inc 282,125
700 The PMI Group Inc 43,663
3,300 Torchmark Corp 235,125
3,200 TransAmerica Corp 299,398
600 Transatlantic Holdings Inc 59,550
29,720 Travelers Group Inc 1,874,203
2,700 Travelers Property Casualty Corp 107,663
5,600 USF&G Corp 134,400
1,400 Unitrin Inc 85,400
6,400 Unum Corp 268,800
300 Value Health Inc* 6,075
$14,115,299
MFTG - CONSUMER PRODS. --- 3.7%
2,100 Alberto-Culver Co Class B* 58,800
3,400 American Greetings Corp Class A* 126,225
18,000 Anheuser-Busch Companies Inc* 754,866
26,235 Archer-Daniels-Midland Co* 616,523
1,100 Brown-Forman Corp Class B 53,693
3,900 Brunswick Corp 121,875
900 CPC International Inc 83,081
1,700 Campbell Soup Co 85,000
700 Central Newspapers Inc 50,138
2,100 Coca-Cola Enterprises Inc 48,300
800 ConAgra Inc 51,300
585 Deltic Timber Corp* 17,148
500 Dial Corp 7,813
2,300 Dow Jones & Company Inc 92,430
3,100 Fruit of the Loom Inc Class A* 96,100
1,200 General Mills Inc 78,150
8,700 HJ Heinz Co 401,288
5,400 Hasbro Inc 153,225
2,200 Hershey Foods Corp 121,686
250 Hillenbrand Industries Inc 11,875
2,300 Hormel Foods Corp 61,813
4,900 IBP Inc 113,925
200 Interstate Bakeries Co 11,862
600 Kellogg Co 51,375
3,600 Knight-Ridder Inc 176,623
500 Lee Enterprises Inc 13,188
500 Leggett & Platt Inc 21,500
3,200 Liz Claiborne Inc 149,200
3,200 Masco Corp 133,600
3,100 McCormick & Company Inc (nonvtg) 78,275
3,100 McGraw-Hill Companies Inc 182,317
1,800 Nabisco Holdings Corp Class A 71,775
3,400 New York Times Co Class A 168,300
7,100 Pepsico Inc 266,690
5,200 Quaker Oats Co 233,350
14,074 RJR Nabisco Holdings Corp 464,442
4,600 RR Donnelley & Sons Co 168,475
900 Ralston-Ralston Purina Group 73,968
700 Readers Digest Association Inc Class A 20,081
1,700 Russell Corp 50,363
3,300 Sara Lee Corp 137,363
5,200 Shaw Industries Inc 55,250
100 Talbots Inc* 3,400
400 The Times Mirror Co Class A 22,100
300 Tribune Co 14,419
1,300 Tupperware Corp 47,450
4,700 Tyson Foods Inc Class A 89,888
1,200 Unifi Inc 44,850
2,500 VF Corp 211,875
700 Viad Corp 13,475
300 Warnaco Group Inc Class A 9,563
275 Washington Post Co Class B 109,450
2,600 Willamette Industries Inc 182,000
$6,481,721
MFTG - INDUSTRIAL PRODS --- 10.8%
700 AK Steel Holding Corp* 30,888
600 ARCO Chemical Co* 28,537
4,400 Air Products & Chemicals Inc* 357,500
1,700 Albemarle Corp* 35,805
4,700 Allegheny Teledyne Inc* 126,900
7,900 Aluminum Company of America* 595,463
9,100 American Home Products Corp* 696,150
1,800 Armstrong World Industries Inc* 132,075
1,200 Bandag Inc* 58,800
400 Bemis Company Inc* 17,300
5,800 Bethlehem Steel Corp* 60,535
1,030 Betz Laboratories Inc* 67,980
1,900 Bowater Inc 87,875
3,400 Cabot Corp 96,475
2,500 Case Corp 172,188
9,200 Caterpillar Inc 987,850
700 Centocor Inc* 21,743
3,900 Champion International Corp 215,475
400 Clorox Co 52,800
1,500 Consolidated Papers Inc 81,000
4,500 Cooper Industries Inc 223,875
2,500 Cooper Tire & Rubber Co 55,000
1,517 Crane Co 63,429
800 Crown Cork & Seal Company Inc 42,750
300 Cytec Industries Inc* 11,213
12,300 Deere & Co 674,963
500 Dover Corp 30,750
10,600 Dow Chemical Co 923,525
49,100 EI DuPont De Nemours & Co 3,087,163
3,700 Eastman Chemical Co 234,950
5,000 Ethyl Corp 46,250
400 First Brands Corp 9,175
7,500 Goodyear Tire & Rubber Co 474,840
2,400 Great Lakes Chemical Corp 125,700
1,900 Harnischfeger Industries Inc 78,850
2,100 Harsco Corp 85,050
3,720 IMC Global Inc 130,200
5,800 ITT Industries Inc 149,350
600 Illinois Tool Works Inc 29,962
5,200 Ingersoll-Rand Co 321,100
2,300 Inland Steel Industries Inc 60,088
900 International Specialty Products Inc* 12,656
3,600 James River Corporation of Virginia 133,200
9,932 Kimberly-Clark Corp 494,117
5,600 LTV Corp 79,800
2,700 Lafarge Corp 66,150
3,000 Lubrizol Corp 125,811
1,200 Lyondell Petrochemical Co 26,174
1,350 MA Hanna Co 38,896
3,200 Mallinckrodt Inc 121,600
2,365 Martin Marietta Materials Inc 76,567
2,500 Mead Corp 155,625
13,900 Minnesota Mining & Manufacturing Co 1,417,800
3,900 Morton International Inc 117,729
3,100 Nalco Chemical Co 119,738
2,500 Olin Corp 97,655
3,100 Owens-Illinois Inc* 96,100
7,900 PPG Industries Inc 459,188
3,600 Parker Hannifin Corp 218,473
11,300 Pharmacia & Upjohn Inc 392,675
1,300 Potlatch Corp 58,825
1,100 RPM Inc (Ohio) 20,213
3,500 Reynolds Metals Co 249,375
500 Rhone-Poulenc Class A 45,438
8,000 Rockwell International New 472,000
2,000 Rohm & Haas Co 180,124
6,400 Sherwin-Williams Co 197,600
1,000 Sigma Aldrich Corp 35,062
3,100 Snap-On Inc 122,063
1,300 Sonoco Products Co 39,568
500 St Joe Corp 41,875
4,400 Stone Container Corp Series E* 62,973
700 Tambrands Inc 34,913
1,000 Tecumseh Products Co Class A 59,875
2,600 Temple-Inland Inc 140,400
2,300 The BF Goodrich Co 99,618
2,900 The Stanley Works 116,000
2,600 The Timken Co 92,461
900 Trinity Industries Inc 28,575
13,900 USX-Marathon Group 401,363
2,900 USX-US Steel Group 101,680
3,300 Union Camp Corp 165,000
5,800 Union Carbide Corp 272,960
1,100 Unisource Worlwide Inc 17,600
4,400 Warner-Lambert Co 546,700
800 Western Digital Corp* 25,300
4,350 Westvaco Corp 136,751
2,500 Witco Corp 94,843
800 Worthington Industries Inc 14,650
$18,905,281
MINING --- 0.4%
2,600 Alumax Inc* 98,636
2,200 Asarco Inc* 67,375
4,500 Cyprus Amax Minerals Co 110,250
5,500 Homestake Mining Co 71,841
3,100 Phelps Dodge Corp 264,080
700 Southern Peru Copper Corp 13,650
1,500 Vulcan Materials Co 117,750
$743,582
OIL & GAS --- 11.8%
3,900 Amerada Hess Corp* 216,692
24,000 Amoco Corp* 2,086,488
3,200 Apache Corp* 104,000
2,700 Ashland Inc* 125,213
15,900 Atlantic Richfield Co* 1,120,950
2,000 Baker Hughes Inc* 77,374
5,700 Burlington Resources Inc 251,513
31,700 Chevron Corp 2,343,803
3,900 Coastal Corp 207,429
900 Cooper Cameron Corp* 42,075
100 Diamond Offshore Drilling Inc* 7,813
5,600 Dresser Industries Inc 208,600
200 Enron Oil & Gas Co 3,625
3,100 Enserch Corp 68,975
100 Enserch Exploration Inc* 1,094
120,500 Exxon Corp 7,410,750
238 Fina Inc 15,173
1,300 Global Marine Inc* 30,225
400 Halliburton Co 31,700
2,300 Kerr-McGee Corp 145,763
300 Lousiana Land & Exploration Co 17,138
2,600 Mapco Inc 81,900
38,200 Mobil Corp 2,669,225
2,000 Murphy Oil Corp 97,500
2,600 Nabors Industries Inc* 65,000
4,400 Noble Drilling Corp* 99,273
16,000 Occidental Petroleum Corp 400,992
800 Oryx Energy Co* 16,900
2,200 Pennzoil Co 168,850
5,500 Phillips Petroleum Co 240,625
300 Reading & Bates Corp* 8,025
3,900 Rowan Companies Inc* 109,929
4,200 Santa Fe Energy Resources Inc* 61,685
3,500 Sun Company Inc 108,500
12,600 Texaco Inc 1,370,250
2,500 Tosco Corp 74,843
3,300 Ultramar Diamond Shamrock Corp 107,663
2,800 Union Texas Petroleum Holdings Inc 58,624
11,500 UnoCal Corp 446,338
1,200 Weatherford Enterra Inc* 46,200
$20,748,715
OTHER ASSET-BACKED --- 0.1%
4,600 Southtrust Corp 190,325
$190,325
OTHER TRANS. SERVICES --- 0.3%
2,300 Alexander & Baldwin Inc* 60,088
1,200 Caliber System Inc 44,700
1,500 FMC Corp* 119,156
4,800 Federal Express Corp* 277,200
$501,144
RAILROADS --- 1.5%
6,482 Burlington Northern Santa Fe Corp 582,570
10,500 CSX Corp 582,750
150 Illinois Central Corp Class A 5,241
1,300 Kansas City Southern Industries Inc 83,850
6,000 Norfolk Southern Corp 604,500
10,256 Union Pacific Corp 723,048
$2,581,959
RETAIL TRADE --- 3.0%
5,700 American Stores Co* 281,438
3,941 Autoliv Inc* 154,192
130 Barnes & Noble Inc* 5,590
2,000 Borders Group Inc* 48,250
500 Boston Chicken Inc* 7,000
1,400 Brinker International Inc* 19,950
7,100 Darden Restaurants Inc 64,340
9,600 Dayton Hudson Corp 510,595
5,400 Dillards Inc Class A 186,975
6,700 Federated Department Stores Inc* 232,825
13,500 Food Lion Inc Class A 97,025
536 Footstar Inc* 14,003
8,300 Fortune Brands Inc 309,690
8,200 Genuine Parts Co 277,775
2,600 Giant Food Inc Class A 84,825
900 Great Atlantic & Pacific Tea Company Inc 24,468
900 Hannaford Brothers Co 32,006
9,200 JC Penney & Company Inc 480,120
23,700 K Mart Corp* 290,325
700 Kroger Co* 20,300
8,400 Limited Inc 170,100
12,500 May Department Stores Co 590,625
1,100 Mercantile Stores Company Inc 69,231
1,300 Nordstrom Inc 63,781
1,000 Officemax Inc* 14,437
200 Owens Corning 8,625
596 Payless Shoesource Inc* 32,593
4,900 Rite Aid Corp 244,388
1,082 Safeway Inc* 49,907
1,100 Sears Roebuck & Co 59,125
4,600 Southland Corp* 15,378
400 Spiegel Inc* 2,750
1,500 Tandy Corp 84,000
11,000 Toys R Us Inc* 385,000
800 Weis Markets Inc 23,100
2,900 Wendy's International Inc 75,217
2,300 Winn-Dixie Stores Inc 85,675
6,500 Woolworth Corp* 156,000
$5,271,624
SECURITIES & COMMODITIES --- 1.7%
3,125 AG Edwards Inc 133,594
6,378 Bear Stearns Companies Inc* 218,045
600 Donaldson, Lufkin & Jenrette Inc 35,850
5,700 Lehman Brothers Holdings Inc 230,850
18,800 Merrill Lynch & Co Inc 1,120,950
19,120 Morgan Stanley, Dean Witter, Discover and Co 823,345
3,600 Paine Webber Group Inc 126,000
5,200 Salomon Inc 289,250
900 United Asset Management Corp 25,481
$3,003,365
TELEPHONE --- 7.6%
8,600 Alltel Corp* 287,558
23,800 Ameritech Corp* 1,616,901
21,300 Bell Atlantic Corp* 1,616,138
48,100 Bellsouth Corp* 2,230,638
2,200 Century Telephone Enterprises Inc 74,111
1,900 Frontier Corp 37,880
30,400 GTE Corp 1,333,800
31,100 MCI Communications Corp 1,190,539
21,300 Nynex Corp 1,227,413
40,598 SBC Communications Inc 2,512,001
2,900 Southern New England Telecommunications Corp 112,738
21,100 Sprint Corp 1,110,388
$13,350,105
TRANSPORTATION --- 0.0%
2,200 CNF Transportation Inc 70,950
$70,950
TRANSPORTATION EQUIPMENT --- 6.0%
3,700 Allied-Signal Inc* 310,800
29,500 Chrysler Corp 967,954
1,100 Consolidated Freightways Corp* 18,013
1,500 Cummins Engine Company Inc 105,843
5,000 Dana Corp 190,000
3,200 Eaton Corp 279,398
2,100 Echlin Inc 75,600
1,500 Fleetwood Enterprises Inc 44,718
57,700 Ford Motor Co 2,178,175
2,300 General Dynamics Corp 172,500
36,600 General Motors Corp Gm 2,038,089
4,700 General Motors Corp Gmh 271,425
7,769 Lockheed Martin Corp 804,573
7,200 McDonnell Douglas Corp 493,200
1,320 Newport News Shipbuilding Inc 25,657
2,300 Northrop Grumman Corp 201,968
2,930 Paccar Inc 136,060
2,000 Sundstrand Corp 108,000
6,200 TRW Inc 352,234
6,600 Textron Inc 438,075
7,828 The Boeing Co* 415,369
10,500 United Technologies Corp 871,500
$10,499,151
U.S. GOVERNMENTS --- 0.4%
17,700 Federal Home Loan Mortgage Corp 608,438
400 Student Loan Marketing Association 50,800
$659,238
WATER --- 0.1%
3,400 American Water Works Company Inc* 72,675
678 Halter Marine Group Inc* 16,272
$88,947
WHOLESALE TRADE - INDL --- 0.1%
700 Jefferson Smurfit Corp* 11,200
1,500 McKesson Corp 116,250
$127,450
WHOLESALE TRADE -CONSUMER --- 0.4%
400 Avery Dennison Corp* 16,050
2,475 Bergen Brunswig Corp Class A* 68,991
4,500 Costco Companies Inc* 147,938
800 Estee Lauder Cos 40,200
1,525 Rayonier Inc 64,145
2,200 Reebok International Ltd* 103,261
2,400 Sunbeam-Oster Co 90,600
3,400 SuperValu Inc 117,300
$648,485
TOTAL COMMON STOCK --- 98.7% $173,069,856
(Cost )
SHORT-TERM INVESTMENTS
SECURITIES & COMMODITIES --- 1.3%
2,230,000 Merrill Lynch & Co Inc 2,230,000
$2,230,000
TOTAL SHORT-TERM INVESTMENTS --- 1.3% $2,230,000
(Cost $2,230,000)
TOTAL VALUE INDEX PORTFOLIO --- 100.0% $175,299,856
(Cost )
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