MAXIM SERIES FUND, INC.
8515 EAST ORCHARD ROAD
ENGLEWOOD, COLORADO 80111
TO THE SHAREHOLDERS OF MAXIM SERIES FUND, INC.:
The bull market in stocks continued for the second consecutive year
in 1996. The two-year
gain ranks as the eighth best ever. Once again, the large
capitalization sector of the stock
market provided most of the fireworks. Along the way, the Dow
Jones Industrial Average
posted over 40 record daily closing all-time highs. As was the
case in 1995, the small-
capitalization sector of the stock market lagged behind. There
were, however, some sectors
of the small-cap market that performed extremely well.
The stock market's strong advance over the course of 1996 occurred
in the face of a bond
market which basically sat out the year. The total return on most
bond indexes was in the
mid-to-single digit range for the year, with all of the gains
coming from the coupon
component. The bond market did not sit around with nothing to do
all year - far from it.
Periodic signs of strong growth and inflation scares kept bond
analysts and portfolio
managers busy trading all year long.
Looking ahead into 1997, there is nothing that can be seen at this
time that will upset the
delicate balance of relatively slow economic growth accompanied by
low inflation and strong
corporate profitability. However, given the fact that current
stock market valuation levels
discount the "best of all worlds" outlook, it is difficult to
maintain expectations of another
year of substantial gains in stocks. A more likely scenario for
the stock market in 1997 is
a return to more average gains in the neighborhood of 10%. The
bond market is likely to
experience another range-bound year, with the yield on the 30-year
U.S. Treasury
periodically moving between 6-7% depending on market reaction to
economic developments
as they occur throughout the year.
Maxim Series Fund offers a wide variety of investment options.
Following is a review of the
Portfolios.
The investment adviser for Maxim Series Fund, Inc. is GW Capital
Management, Inc.
Yours truly,
James D. Motz
Chairman and President
<PAGE>
Maxim Bond Portfolio
1996 was a difficult one for bond market investors following 1995's
spectacular returns. Bond yields rose 125 basis points by
mid-year, although they ended only 69 basis points higher after
rallying through the fall. However, 1996 was a superb year for
spread product. For the second year in a row, corporates were the
best performing sector besting benchmark Treasuries by
152 basis points for the year.
The Maxim Bond Portfolio came into 1996 slightly longer than its
index's duration. During the first quarter, the fund moved
its duration back to that of the index, all the while favoring the
bonds in the lower credit ratings. As the market rallied in the
fall, the fund's duration was increased to about 110% of the index.
By overweighting the weaker credit sectors and by not
straying far from the index's duration, the Bond Portfolio
outperformed the index in 1996.
25
$21,406.90 Lehman Intermed.
Govt/Corp Bond Index
$20,579.92 Maxim Bond Portfolio
as of 12/31/96
20
15
10
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996
Bond Portfolio Total Return -One Year -4.26%
Five Year - 6.23%
Ten Year - 7.48%
Portfolio inception 2/25/82
Past performance is not predictive of future results
Maxim Total Return Portfolio
During 1996, the U.S. equity market advanced to record highs with
its second consecutive year of returns in excess of 20%.
The stock markets seemingly unstoppable advance is being spurred by
continuing moderate economic growth, strong corporate
profitability and favorable supply/demand conditions for U.S.
stocks. In the fixed income market, the year was marked by
increased volatility with interest rates finishing modestly higher
than when the year commenced, reflective of prospects for
continuing domestic economic growth.
In light of our favorable outlook for U.S. equities, we maintained
full exposure to stocks within the Portfolio throughout 1996.
With regard to sector emphasis, the Portfolio remained well
weighted in technology, energy and financial stocks. However,
performance was hindered by our exposure to the more economically
sensitive sectors of the market. This emphasis was
premised on our expectation for a return to synchronized global
growth in 1996, an element that was slow to materialize. Our
exposure to small capitalized stocks was also a drag on performance
given the domination of the blue chip stocks within the
market, particularly in the final quarter of the year.
The Portfolio's exposure to the fixed income market was below
average entering 1996 based on our view that a return to global
growth would contain any further decline in interest rates. As
global growth appeared to stall mid-year and rates around the
world declined precipitously, we increased our exposure to this
asset class. Within the Portfolio, we initiated a position in
Canadian bonds reflecting our expectation for a narrowing of the
Canada/U.S. spread. During the latter half of 1996, the spread
did, in fact, narrow substantially, favorably impacting the
portfolio's performance.
For 1997, the fundamental underpinnings of the U.S. equity market
remain positive. However, we anticipate more modest
returns that those experienced over the past two years as well as
increased volatility. Our expectation for synchronized global
growth has not dimmed, and is likely to unfold in 1997. This
should translate into out-performance by the more economically
sensitive sectors of the equity market while serving to hamper any
significant decline in U.S. rates at this juncture.
25
$23,660.26 Lipper Balanced
Fund Index
$23,242.53 Maxim Total Return
Portfolio as of 12/31/96
20
15
10
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996
Total Return Portfolio Total Return -One Year - 11.76%
Five Year - 9.56%
Since Inception- 9.37%
Portfolio inception 7/29/87
Past performance is not predictive of future results
Maxim U.S. Government Securities Portfolio
Mortgage-backed security (MBS) performance made a comeback in 1996,
outperforming comparable duration corporates as
well as governments. A fairly consistent upward move in interest
rates for much of the year allayed prepayment concerns and
resulted in increased demand for assets in the MBS sector. Spreads
narrowed versus Treasuries with the increase in demand.
However, achievable yields in the sector were greater than could
be achieved in alternative asset classes.
Tiering by production year was the main theme in the pass-through
market in 1996. This has occurred as a result of important
changes in the methodologies used for constructing MBS indices that
were implemented in 1996 for all major indices. This
effectively makes "seasoning" or "production year" a significant
issue when developing portfolio strategies. The impact of this
tiering is higher prices being required for increased seasoning.
Supply/demand technicals were favorable, especially given the
tightness of spreads in competing asset classes. The Agencies
played a significant role in the MBS market, buying mortgages for
their own portfolios. Their accumulation of mortgage
originations in 1996 provided support for the MBS market and
resulted in much lower spread volatility.
The Maxim U.S. Government Securities portfolio was underweighted in
MBS coming into 1996 and through the first quarter.
Interest rates turned sharply upward in February and as a result
the portfolio underperformed its benchmark index for the first
quarter. Portfolio rebalancing was effected by the end of the
second quarter which brought returns more in line with the Index.
The second half of 1996 was good from a performance standpoint as
the Maxim U.S. Government Securities Portfolio
outperformed its index for this period. This performance was not
strong enough to offset the first half of 1996 and
consequently, on a one year basis, Portfolio returns lagged the
benchmark.
25
$23,235.69 Merrill Lynch
Mortgage Index
$23,186.14 Lehman
Mortgage-Backed
Secs. Index
$21,907.82 Maxim U.S.
Government
Securities Portfolio
as of 12/31/96
20
15
10
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996
U.S. Government Securities Portfolio Total Return -One Year -
3.92%
Five Year -
6.83%
Ten Year-
8.16%
Portfolio inception 4/8/85
Past performance is not predictive of future results
Maxim Stock Index Portfolio
The stock market continued to defy gravity in 1996. Two weeks after
Federal Reserve Chairman Greenspan gave his "irrational
exuberance" speech, the S&P 500 index went up 14.22 points.
Favorable earnings reports continued to have a positive influence
on the market. During the month of December there were signs of
money shifting from large cap stocks toward medium and
small cap stocks. The S&P 500 started the year at the 675 and
broke the 700 level to end up at 740. Accordingly, the Stock
Index Portfolio had another good year.
50
$41,432.53 S&P 500 Index
$33,912.35 Maxim Stock Index
Portfolio as of 12/31/96
40
30
20
10
1987 1988 1989 1990 1991 1992 1993 1994 1995 1996
Stock Index Portfolio Total Return -One Year - 21.81%
Five Year - 13.98%
Ten Year- 12.99%
Portfolio inception 2/25/82
Past performance is not predictive of future results
Maxim Small-Cap Index Portfolio
The Russell 2000 Index continued to lag the larger stock indices
for 1996. However, in December investors started shifting
money out of large caps into the small cap market. The Russell 2000
was the best performing index in December, gaining 2.4%.
Continued improvement in earnings as well as a high level of merger
activity supported the market. The index ended at a record
high of 364.61.
15
$14,860.58 Russell 2000 Index
$14,040.68 Maxim Small-Cap
Index Portfolio
as of 12/31/96
12
9
1993 1994 1995 1996
Small-Cap Index Portfolio Total Return -One Year - 15.30%
Since Inception -
11.64%
Portfolio inception 12/1/93
Past performance is not predictive of future results
Maxim T. Rowe Price Equity/Income Portfolio
While the last 12 months were a strong period for the broad equity
market, it was challenging for income-oriented investors.
Bond and money market returns were generally in the mid-to-single
digit range in 1996, with shorter-maturity securities
returning more than those with longer maturities. Two traditional
high-yield sectors of the equity market, electric utilities and
telephone companies, were about flat on average for the year. These
sectors suffered due to their interest rate sensitivity and
concern about the impact of a newly deregulated environment.
Despite poor returns from many traditional yield vehicles, the
Portfolio performed reasonably well due to the continued
strength of companies in the financial, health care, and energy
sectors. Many of these holdings were purchased when they were,
for various reasons, out of favor and inexpensive on a relative
valuation basis. Investment decisions are often based on the
tendency of a company's fundamentals and stock price to regress
within historical ranges and for investor perceptions about
the relative values of these stocks to improve over the
intermediate term.
During the second half of the year, despite a market that had
advanced sharply, we were able to find opportunities in companies
with higher-than-average dividend yields, limited risk, and
attractive return potential. In many cases, investments that
interest
us often involve stocks that have suffered relative to the broad
market for various reasons. Controversy and underperformance
often create opportunities that we hope to exploit profitably on
the portfolio's behalf.
Over the last few years, stock prices have appreciated at a much
faster rate than the earnings and dividends of the underlying
companies. Because of this "delinkage," we expect more subdued
equity performance in 1997. We are not at the point of
yelling fire in a crowded theater but simply want to raise the
possibility that the year ahead may not live up to many investors'
high expectations for a continuation of recent trends.
Notwithstanding this cautionary tone, we continue to believe we
will find
interesting investment opportunities during the year.
20
$16,542.97 S&P 500 Index
$15,715.57 Lipper Equity/Income
Fund Index
$14,769.12 Maxim T. Rowe Price
Equity/Income Portfolio
as of 12/31/96
15
10
5
1994 1995 1996
Maxim T. Rowe Price Equity/Income Portfolio Total Return -One Year
- - 19.39%
Since
Inception - 23.20%
Portfolio inception 11/1/94
Past performance is not predictive of future results
Maxim Mid-Cap Portfolio
The markets produced substantial gains in 1996, despite a
considerable amount of volatility. While small capitalization
issues
made dramatic gains early in the year, they eventually encountered
tremendous volatility. In some market areas, such as
technology and other high P/E stocks, the action was brutal in the
third quarter, marked in many cases by indiscriminate selling.
However, equities proved resilient, and stocks produced very
respectable gains in the last half of the year, as a number of
indices ended the year at or near record levels.
The Portfolio lagged its benchmark index due in part to several
individual disappointments, especially in the wireless
communications area, but also because broad market advances had an
unusually narrow focus during the last three months.
Almost across the board, the fourth quarter rally was a flight to
liquidity - that is, investors put money almost exclusively into
companies with larger market capitalizations. Not only did large
stocks continue to outperform smaller stocks, but the largest
stocks in each capitalization category, small, mid and large-cap,
performed better than their smaller siblings. In terms of
individual holdings, some of the portfolio's positions came under
profit-taking, or were out of sync with market psychology,
even though their long-term fundamentals have not changed or have
even improved. Though the setbacks were real, they
should prove temporary because the long-term outlook for these
companies continues to be very positive.
Although recent performance was disappointing, the low valuations
in the mid-cap sector provided a number of attractive
buying opportunities. If the economic backdrop remains favorable,
it is expected that stocks will continue to perform well in
1997, though market history tells us it will be hard to match the
numbers of the past two years.
20
$15,050.43 S&P Mid-Cap 400
Index
$14,859.61 Maxim MidCap
Portfolio
as of 12/31/96
15
10
5
1994 1995 1996
Maxim MidCap Portfolio Total Return - One Year - 5.96%
Since Inception -
14.11%
Portfolio inception 1/1/94
Past performance is not predictive of future results
Maxim INVESCO Small-Cap Growth Portfolio
During 1996, the market averages performed well compared to
historical averages. The small capitalization index
underperformed the large capitalization index (Russell 2000 Index
+14.7% versus the S&P 500 Index +20.2%). The majority
of small-cap underperformance occurred in the fourth quarter as
investors placed an increasing premium on stocks with a high
degree of liquidity. The performance of the Portfolio was boosted
by high growth technology issues in the software and business
services area. High growth healthcare issues primarily in services
and outsourcing also aided the portfolio's performance. The
earnings growth rate of the Portfolio was about 25% versus
approximately 14% for the Russell 2000.
The investment philosophy of the Portfolio is that earnings and
earnings growth determines equity valuations long-term. A
corollary of this is that a diversified portfolio of companies with
significantly higher earnings growth should result in above-
average gains long-term. The investment strategy implemented by
portfolio management assumes that small company valuations
do not always reflect all relevant information. Therefore,
fundamental analysis adds value. The focus of the portfolio
manager
and research department is the generation of investment ideas
through fundamental analysis. The Portfolio looks for above
average earnings growth and seeks companies where earnings growth
is driven by revenue. The Portfolio also looks for
minimum long-term debt and high returns on equity. Industry
leading positions and competitive advantages that can be
maintained or increased are also important screening criteria.
Conservative accounting principles and a high percentage of
recurring revenue are other sought-after characteristics. The
Portfolio will use these qualities as well as other tools in the
implementation of investment philosophy.
20
$16,842.04 Russell 2000 Index
$14,742,54 Maxim INVESCO
Small-Cap Growth Portfolio
as of 12/31/96
15
10
5
1994 1995 1996
Maxim INVESCO Small-Cap Growth Portfolio Total Return -One Year -
26.74%
Since
Inception - 27.20%
Portfolio inception 11/1/94
Past performance is not predictive of future results
Maxim INVESCO ADR Portfolio
International equity markets in general ended 1996 on a strong
note. One notable exception, however, was Japan which was
particularly weak towards the end of the year on fears of a
significant tightening of fiscal policy. The Japanese market fell
by
15.5% for the year and had a major negative impact on the return
for the Morgan Stanley Capital International (MSCI) Europe
Australasia Far East (EAFE) index. The index increased by 6.0% for
the 12-month period, but ex-Japan was 20.4% higher.
European markets were bolstered by strong bond markets which
rallied on optimistic expectations for the implementation of
the European Monetary Union before the end of the decade. Spain
gave the best performance, rising by 40.1%. The Pacific
Rim markets were a mixed picture with Hong Kong and Malaysia
outperforming the local index while both Korea and Thailand
fell by over 35%. The emerging markets had, as always, widely
diverging returns with Eastern Europe leading the way.
In the Maxim INVESCO ADR Portfolio, we adopt a bottom-up investment
approach placing our primary emphasis on finding
attractively priced stocks in the foreign markets, rather than
using country selection as our starting point. The Portfolio
substantially outperformed the index over the year as we focused on
European stocks, particularly in the UK, the Netherlands
and Spain. We could find only limited value in Japan, and our
exposure in the Far East was concentrated on Australia and
Hong Kong. The best performing stocks in the Portfolio were in the
consumer staples, financial and utility sectors. By the
end of the year, we were invested in 14 different markets.
15
$13,830.40 Maxim INVESCO ADR
Portfolio
$11,334.59 MSCI EAFE Index
as of 12/31/96
12
9
1994 1995 1996
Maxim INVESCO ADR Portfolio Total Return - One Year -
21.17%
Since Inception
- - 16.15%
Portfolio inception 11/1/94
Past performance is not predictive of future results
Maxim Small-Cap Value Portfolio
We are pleased to report that the Small Cap Value Portfolio posted
solid gains for the year ending December 31, 1996. Over
this same period, the small stocks that make up the Russell 2500
Index fared slightly worse with a 19% gain. However, in
keeping with the market domination that has existed over much of
the last two years, the large company stocks that make up
the Standard & Poor's 500 Index rose 23% for the twelve months. It
is important to note that the Portfolio's year-end results
culminated with a very strong fourth quarter return of 9.7%. Over
the same three month period, the S&P 500 Index posted
a +8.3% gain while the Russell 2500 Index earned +5.6%.
In some ways, strong results for 1996 mask a very volatile year.
The first quarter was a period during which the portfolio's
conservative stance was overshadowed by the bigger gains of the
most expensive, volatile and aggressive issues. However, by
the end of the June, the tables began to turn. Specifically, the
expensive issues that appeared to effortlessly soar higher in the
first quarter and into April and May finally started to come down
to earth. Our lack of ownership of these characteristically
volatile securities permitted the Portfolio to avoid the mid-summer
free fall. Moreover, the Portfolio was further aided during
the period by a good number of the portfolio's undervalued
securities that finally began to reap the rewards of their
fundamental strength and predictability.
As the year came to a close, no one significant event impacted the
Portfolio during the last three months of 1996. And
although our analysis may sound overly simplistic, we solely
attribute the Portfolio's good fourth quarter results to sound
fundamentals among the small and medium-sized companies that make
up the Portfolio. For our holdings, the dominant theme
was business as usual. After Wall Street's lengthy infatuation
with newer companies hyping "breakthrough," "cutting edge,"
"next generation" and "leading" technology, we were pleased that
long-standing business franchises were finally rewarded
for their focus, their consistency, their predictable earnings,
their strong cash flows and their healthy balance sheets.
20
$17.347.53 S&P 500 Index
15
$13,697.49 Maxim Small-Cap Value
Portfolio as of 12/31/96
10
1993 1994 1995 1996
Maxim Small-Cap Value Portfolio Total Return -One Year -
17.95%
Since Inception
- - 10.74%
Portfolio inception 12/1/93
Past performance is not predictive of future results
Maxim Corporate Bond Portfolio
Calendar year 1996 proved to be a disappointing year for the
general bond market, but several less interest-rate sensitive
segments had solid, if not outstanding, years. These include the
high-yield sector, emerging-market debt and other select foreign
markets. The Corporate Bond Portfolio's exposure to these
non-market related sectors was most beneficial to relative
performance. Issue selection was also beneficial as was the
foreign component in general.
Yields on long, investment-grade domestic bonds soared during the
first quarter and spent most of 1996 trading in a range until
breaking through, on the down side in October, as market
participants perceived inflation pressures abating. The
high-yield
and emerging-market debt segments avoided the early year sell off
in interest sensitive issues on the way to a very solid 1996.
The Portfolio held approximately 30% in below investment-grade
securities throughout the year. In 1996, the Portfolio also
maintained a significant position in emerging-market debt,
primarily in the form of Latin American Brady's. We continue
to maintain exposure to these sectors.
Similar to 1995, the Portfolio's convertible bond positions
performed well on the heels of another strong domestic equity
market. Strong performing areas also included positions in
Canadian and New Zealand bonds.
Structurally, the Portfolio remains well diversified by quality and
sector. As of year end, approximately 31.8% was invested
in below investment-grade issues with the remainder in
investment-grade bonds. We continue to maintain much of the
foreign
diversification described above, and our focus remains at the
individual security level. We manage the "inventory" of bonds
by continually reviewing relative value and swapping from fully
valued issues to those more attractively priced relative to credit
fundamentals. If an appropriate investment opportunity is not
immediately found, we may temporarily hold assets in Treasury
issues. There is good credit upgrade potential built into the
Portfolio, yield advantage is high, and call protection remains
excellent.
15
$14,156.56 Maxim Corporate Bond
Portfolio
12
$12,306.02 Merrill Lynch
Govt/Corp Bond Index
as of 12/31/96
9
1994 1995 1996
Maxim Corporate Bond Portfolio Total Return -One Year - 10.37%
Since Inception -
17.39%
Portfolio inception 11/1/94
Past performance is not predictive of future results
Maxim International Equity Portfolio
Financial companies worldwide performed well in 1996. Solid
economic growth and low levels of provisions for bad debts drove
banks to post record returns on assets. Favorable interest rate
structures also allowed banks to re-capitalize themselves and
mergers and acquisitions increased. The Portfolio had strong
exposure to European banks, particularly in Spain and Sweden,
as well as banks in Australia and Hong Kong. Since we attempt to
normalize earnings power into the future, taking into
account more realistic loan provisions and return on assets, many
banks have now been trimmed from the Portfolio, despite
the positive short-term outlook.
Emerging markets presented a mixed bag of performance for 1996.
Among the top performing markets worldwide were China
and Hungary which rose 41% and 103% respectively. Closing out the
worst performers for the year were Korea and Thailand,
down 38% and 40%. Emerging markets exposure, built-up during the
uncertainties of the Peso crisis, performed well. Of the
more established and liquid emerging markets in Latin America,
Brazil rose 34% and Mexico continued its steady progress
toward reforming its economy, rewarding patient investors along the
way. Hong Kong, one of our largest emerging markets
weightings, rose over 33% according to the MSCI index, despite the
uncertainty surrounding Chinese control in 1997. We do
not pretend to know the outcome of the change in control in Hong
Kong, but we feel that despite the recent increase in prices,
the uncertainty of the event and the genuine concern of investors
is already reflected in the price of the shares.
Europe continued down the road of restructuring, eliminating costs,
reducing head count and debating new legislation which
would allow companies to create greater shareholder value. The fact
that restructuring was a reality and an inevitable part of
Europe's ability to compete on a global basis finally became
apparent to money managers who pushed up stock prices late
in 1996. Among the better performing markets in Europe were the
Nordic countries where we have built up strong positions
over the years.
We continued to struggle to find value in Japan during the year.
Our lack of success and substantial under-weighting in this
market was amply rewarded by its poor performance. According to the
MSCI index, Japan's market closed down 15% in U.S.
dollars for the 12 months ending December 1996. Average stock
market valuations in Japan support our under-weight stance.
Price-to-earnings ratios currently at 95-100x are excessive. Even
adjusting for differences in accounting and the possibility of
earnings doubling from currently depressed levels, stock prices are
still among the highest worldwide. Yields on common stocks
at 0.7% are unexciting. Despite price-to-book value below United
States levels (2.09 vs. 3.50), the return on book value is
roughly 3% in Japan and a return to more normalized levels of 10%
would only demand price-to-book value levels of roughly
1x in most foreign markets.
15
$13,980.79 Maxim International
Equity Portfolio
$13,689.14 MSCI EAFE Index
as of 12/31/96
12
9
1993 1994 1995 1996
Maxim International Equity Portfolio Total Return -One Year -
19.59%
Since Inception
- - 11.48%
Portfolio inception 12/1/92
Past performance is not predictive of future results
Maxim INVESCO Balanced Portfolio
The tremendous stock and bond market advance throughout October and
November coincided with large cash inflows to the
Portfolio. These inflows have been invested carefully so as not to
chase prices higher. In contrast, December's weaker market
presented some selective buying opportunities. Thus, it is
intended to maximize long-term performance even if there is a small
negative impact on short-term numbers.
Equity emphasis is currently concentrated in three groups:
pharmaceuticals, energy and utilities. The pharmaceutical
industry
appears to be entering a period of new product introduction; an
event which has, in the past, resulted in renewed interest in
the companies and higher valuations. The energy sector will
continue to benefit from higher worldwide demand for energy
and certain sectors, such as the oil field service companies, are
likely to lead the industry in equity performance. Utilities have
benefited from lower interest rates. This is one group where
weightings are likely to be reduced rather than expanded since
the managers do not look for rates to drop significantly from
current levels.
Over the next few months, the Portfolio's weighting in the
technology sector, where a real recovery appears to be developing,
is expected to increase. The Portfolio presently carries a
half-weight in this group. There will also likely be an increase
in the
basic industry sector. These stocks are cheap relative to
historical valuations but a fundamental turn has been slow in
coming.
If the economy remains solid going into the first quarter of 1997,
an increased weighting should be amply rewarded during the
year. Opportunities in commodity oriented industries will also be
sought, such as foods, as a place to expand positions. As
the impact of lower commodity prices hits the companies in 1997,
expanded profit margins should follow.
12
$10,557.00 Lipper Balanced
Index
$10,460.00 Maxim INVESCO
Balanced Portfolio
as of 12/31/96
10
1996
Maxim INVESCO Balanced Portfolio Total Return -Since Inception -
19.70%
annualized
Portfolio inception 10/1/96
Past performance is not predictive of future results
Maxim Foreign Equity Portfolio
The world economy continued on a course of low disinflationary
expansion - the product of the muted nature of the US
business cycle and the continuing de-synchronisation of growth
between the major blocs. The US economy is now in its sixth
year of economic expansion whilst the Japanese economy,
notwithstanding the strong fiscally induced growth of early 1996,
continued on a low growth path, flirting with recession once again
in the second half. European economies rebounded mid
year from winter weakness exacerbated by cold weather to subside to
a lower growth trajectory by year end. Continuing global
restructuring combined with subdued cyclical pressures kept
inflation rates low throughout the industrialized world.
Equity markets provided excellent performance in 1996 with the
world index returning 13.5% in US dollars in spite of the
relative strength of the US currency and the weakness of the
Japanese stock market which fell 15.5%. Equities outperformed
bonds almost everywhere except Japan which was the only significant
faller as a result of the weak Yen and renewed fears of
economic stagnation. Most other major markets achieved double
digit returns with the US up 24.1% and the UK up 27.4%,
the Scandinavian markets achieving significant gains and Spain
leading the way with a 43% return in dollar terms.
The Portfolio's relatively large exposure to the Japanese stock
market was the single biggest influence on investment
performance. The perception that the Japanese domestic economy was
weakening once again caused the stock market to
deteriorate in the second half. This impacted the fund from the
perspective both of the overall weighting and of the choice
of stocks.
Through the first half of the year we maintained Japan below its
weight in the non- US stock market benchmark, the UK
overweight, East Asia underweight and Continental Europe broadly in
line. In the fall, in response to lower Japanese stock
market and signs of an improvement in the economy, we slightly
increased our Japan weighting and shortly thereafter raised
the Japanese domestic exposure within the Portfolio. To date,
these decisions have not been proven to be correct and are the
primary reasons for the fund's underperformance.
Global monetary policy is currently very accommodative and global
interest rates at twenty year lows. This policy stance reflects
the 'headwinds' facing the world economy; continuing balance-sheet
problems in Japan, high labour costs and rigid labour
markets in Europe, together with the legacy of exchange rate
overvaluation and the prospect of tight fiscal policy to remedy
the ravages of the long recession in Japan and the wish to meet the
Maastricht criteria in Europe. We believe that this policy
mix generally favours stock markets over the medium term. The
discount rate applied to future earnings is likely to remain
low whilst an environment of low economic volatility favours
companies' restructuring efforts.
Japan presents a dilemma. The very poor relative performance (the
Japanese benchmark is currently lower than it closed after
1987's 'Black Monday') argues for a contrarian stance as does the
market's low correlation with the US stock market and those
investments tied to the US monetary and economic cycle.
Nevertheless, the recovery remains narrowly based and confidence
has not yet returned fully to the domestic sectors of the economy.
12
$11,334.59 MSCI EAFE Index
$10,753.09 Maxim Foreign Equity
Portfolio
as of 12/3196
10
8
1994 1995 1996
Maxim Foreign Equity Portfolio Total Return -One Year - 7.62%
Since Inception -
3.41%
Portfolio inception 11/1/94
Past performance is not predictive of future results
Maxim Investment Grade Corporate Bond Portfolio
The corporate bond market enjoyed a strong year through 1996.
Boosted by a highly robust equity environment spreads
tightened across all sectors, credits, and maturities, and spread
volatilities often dropped near their all-time lows. As a
consequence of the spread tightening and muted volatility through
1996, corporate bonds, both in total return terms and from
a risk adjusted perspective, significantly outperformed their
benchmark Treasuries. Additionally, 1996 saw a dramatic
compression of available spread dispersion across sectors and
credits.
Throughout 1996 the Investment Grade Corporate Bond Portfolio did
not stray far from its benchmark index's duration.
Instead, relative value was sought in the higher credit rating
sectors, which is in line with the objectives of the fund. Due to
the underweighting of the weaker credit categories, the Investment
Grade Corporate Bond Portfolio slightly underperformed
its index in 1996.
15
$13,588.71 Lehman Intermediate
Corporate Index
$12,862.95 Maxim Investment
Grade Corporate Bond
Portfolio as of 12/31/96
12
9
1992 1993 1994 1995 1996
Maxim Investment Grade Corporate Bond Portfolio Total Return -One
Year - 3.14%
Since Inception -6.36%
Portfolio inception 12/1/92
Past performance is not predictive of future results
Maxim Growth Index Portfolio
The stock market continued to defy gravity in 1996. Two weeks after
Federal Reserve Chairman Greenspan gave his "irrational
exuberance" speech, the S&P 500 index went up 14.22 points.
Favorable earnings reports continued to have a positive influence
on the market. During the month of December there were signs of
money shifting from large cap stocks toward medium and
small cap stocks. The S&P 500 started the year at the 675 and
broke the 700 level to end up at 740. Accordingly, the Maxim
Growth Index Portfolio had another banner year. Three was no
discernible difference between the value and growth styles of
investing with the Russell 1000 Value and Growth indices ending up
at 21.64% and 23.12% respectively.
20
$17,160.20 Russell 1000 Index
$16,970.14 Maxim Growth Index
Portfolio
as of 12/31/96
15
10
1992 1993 1994 1995 1996
Maxim Growth Index Portfolio Total Return -One Year - 22.09%
Since Inception -
18.71%
Portfolio inception 12/1/92
Past performance is not predictive of future results
Maxim Value Index Portfolio
The stock market continued to defy gravity in 1996. Two weeks after
Federal Reserve Chairman Greenspan gave his "irrational
exuberance" speech, the S&P 500 index went up 14.22 points.
Favorable earnings reports continued to have a positive influence
on the market. During the month of December there were signs of
money shifting from large cap stocks toward medium and
small cap stocks. The S&P 500 started the year at the 675 and
broke the 700 level to end up at 740. Accordingly, the Maxim
Value Index Portfolio had another banner year. Three was no
discernible difference between the value and growth styles of
investing with the Russell 1000 Value and Growth indices ending up
at 21.64% and 23.12% respectively.
20
$16,673.78 Russell 1000 Index
$16,303.68 Maxim Value Index
Portfolio as of 12/31/96
15
10
1992 1993 1994 1995 1996
Maxim Value Index Portfolio Total Return -One Year - 20.64%
Since Inception -
17.18%
Portfolio inception 12/1/92
Past performance is not predictive of future results
Maxim Small-Cap Aggressive Growth Portfolio
1996 ended as another strong year for stocks as the combination of
low inflation, slow economic growth and strong earnings
growth made for an attractive environment for equities. However
for the third year in a row, small cap stocks under performed
the large cap market. While the S&P 500 Index was up 23.1% for the
year, the Russell 2000 finished up only 16.5%. Despite
not having the wind at our back, the Portfolio was up 30.1%,
handily out pacing the Russell 2000 and other broader equity
benchmarks. In the fourth quarter, the Portfolio was up 9.5%
versus 5.2% for the Russell 2000.
In reviewing the year, it is important to note that the great
majority of the out-performance in the Portfolio came from stock
selection versus sector selection. While our over weighting in
energy stocks and our under weighting in technology stocks
proved to add value to the Portfolio, it was our stock selection in
these and the other areas that contributed the most to the
strong year. For instance in the health care sector which had a
negative return for the year, our stock picks added over 4.0%
to the outperformance of the Portfolio. In the technology stocks,
close to 3.0% of the value added return was generated in
a sector that was up only moderately for the year.
After the outsized gains in 1995 and 1996, we believe 1997 will
prove to be a more challenging year for equities. With this
in mind, the Portfolio has been positioned with a more defensive
posture. Several utilities and REITs have been added to the
portfolio due to their high dividend yields. We continue to be
underweighted in technology and overweighted in energy. While
the financial service stocks have been strong in recent years, we
believe that valuations are high and we are finding it difficult
to find attractive stocks. On the other hand, health care stocks,
after a dismal showing 1996, looked posed to have a good year
in 1997 and we are moving back into this area selectively.
Applying our value discipline along with our strong fundamental
analysis of companies has allowed us to beat the market
consistently over time. Stock selection has proven critical to
this challenge and 1997 will be no different. As we anticipate
a continuing slowing economy, we also anticipate that fewer
companies will have the strong earnings growth shown in the last
few years. More than ever, stock selection will be key to
producing good portfolio returns.
20
$16,492.29 Maxim Small-Cap
Aggressive Growth Portfolio
15
$14,738.05 Russell 2000 Index
as of 12/3196
10
5
1994 1995 1996
Maxim Small-Cap Aggressive Growth Portfolio Total Return -One Year
- - 30.09%
Since
Inception - 25.97%
Portfolio inception 11/1/94
Past performance is not predictive of future results
Short Term Maturity Bond Portfolio
1996 was a year of growth for the Short Term Maturity Bond
Portfolio. The newest fixed income fund which began in August
of 1996 started 1996 with assets of $15 million. As of December
31, 1996, the assets were over $38 million. The main objective
of the fund is preservation of capital. With this in mind, the
fund does not venture into the tripe BBB area and does not stray
far from its index duration. No investment is allowed with a
maturity of longer than three years, therefore, the duration is
always just under two years.
Over the course of 1996, the Short Term Maturity Bond Portfolio
slightly out-performed its benchmark index.
12
$10,887.25 Lehman 1-3 Year
Govt./Corp. Index
$10,786.19 Maxim Short Term
Maturity Bond Portfolio
10
5
1995 1996
Maxim Short Term Maturity Bond Portfolio Total Return -One Year -
4.70%
Since
Inception - 5.48%
Portfolio inception 8/1/95
Past performance is not predictive of future results
Maxim U.S. Government Mortgage Securities Portfolio
Mortgage-backed security (MBS) performance made a comeback in 1996,
outperforming comparable duration corporates as
well as governments. A fairly consistent upward move in interest
rates for much of the year allayed prepayment concerns and
resulted in increased demand for assets in the MBS sector. Spreads
narrowed versus Treasuries with the increase in demand,
however, achievable yields in the sector were greater than could
be achieved in alternative asset classes.
Tiering by production year was the main theme in the pass-through
market in 1996. This has occurred as a result of important
changes in the methodologies used for constructing MBS indices that
were implemented in 1996 for all major indices. This
effectively makes "seasoning" or "production year" a significant
issue when developing portfolio strategies. The impact of
this tiering is higher prices being required for increased
seasoning.
Supply/demand technicals were favorable, especially given the
tightness of spreads in competing asset classes. The Agencies
played a significant role in the MBS market, buying mortgages for
their own portfolios. Their accumulation of mortgage
originations in 1996, provided support for the MBS market and
resulted in much lower spread volatility.
The Maxim U.S. Government Mortgage Securities Portfolio was
underweighted in MBS coming into 1996 and through the first
quarter. Interest rates turned sharply upward in February and as a
result, the portfolio underperformed its Benchmark Index
for the first quarter. Portfolio rebalancing was effected
by the end of the second quarter which brought returns more in line
with the Index. The second half of 1996 was good from
a performance standpoint as the Maxim U.S. Government Mortgage
Securities Portfolio outperformed it Index for this period.
However, this performance was not strong enough to offset the first
half of 1996 and consequently, on a one year basis,
Portfolio returns lagged the benchmark.
15
$13,191.31 Merrill Lynch
Mortgage-Backed Index
$13,145.63 Maxim U.S.
Government
Mortgage Securities
Portfolio
$13,039.65 Lehman Brothers
Mortgage-Backed Index
as of 12/31/96
12
9
1992 1993 1994 1995 1996
Maxim U.S. Government Mortgage Securities Portfolio Total Return
- -One Year - 4.30%
Since Inception -6.93%
Portfolio inception 12/1/92
Past performance is not predictive of future results
MAXIM SERIES FUND, INC.
Financial Statements and Financial Highlights for
the Years Ended December 31, 1996 and 1995,
and Independent Auditors' Report
INDEPENDENT AUDITORS' REPORT
To the Board of Directors and Stockholders of
Maxim Series Fund, Inc.:
We have audited the accompanying statement of assets and
liabilities, including the schedule of investments, of the Bond
Portfolio, Money Market Portfolio, Stock Index Portfolio, Total
Return Portfolio, and U.S. Government Securities Portfolio, of
Maxim Series Fund, Inc., as of December 31, 1996, the related
statement of operations, and the statements of changes in net
assets and financial highlights, including the Zero-Coupon 1995
Treasury Portfolio of Maxim Series Fund, Inc., for each of the
periods indicated. These financial statements and financial
highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities
owned as of December 31, 1996, by correspondence with the custodian
and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of
the Bond Portfolio, Money Market Portfolio, Stock Index Portfolio,
Total Return Portfolio, and U.S. Government Securities Portfolio,
of Maxim Series Fund, Inc., at December 31, 1996 and the results of
their operations, the changes in their net assets and the financial
highlights, including the Zero-Coupon 1995 Treasury Portfolio, of
Maxim Series Fund, Inc., for each of the periods indicated, in
conformity with generally accepted accounting principles.
January 31, 1997
MAXIM SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
BOND PORTFOLIO
MONEY MARKET PORTFOLIO
STOCK INDEX PORTFOLIO
TOTAL RETURN PORTFOLIO
U.S. GOVERNMENT SECURITIES PORTFOLIO
ASSETS:
Investments at value:
Short-term investments
$368,931
$400,427,645
$5,323,009
$2,446,545
$6,370,415
Bonds
76,151,984
21,683,422
62,842,694
Common stocks
930,729,790
40,288,571
Total investments (cost $76,054,308; $400,427,645;
$597,078,465; $55,426,036; $67,806,551)
76,520,915
400,427,645
936,052,799
64,418,538
69,213,109
Cash
10,983
24,066
114,018
12,480
Dividends and interest receivable
1,603,961
351,104
1,568,066
397,259
373,906
Subscriptions receivable
30,553
Receivables for investments sold
511,700
23,927
Total assets
78,135,859
400,802,815
938,246,583
64,828,277
69,641,495
LIABILITIES:
Due to GW Capital Management
41,227
156,528
492,262
33,949
34,198
Redemptions payable
1,523
4,193,099
751,413
133,524
Payables for investments purchased
196,550
5,529,434
Total liabilities
42,750
4,349,627
1,440,225
167,473
5,563,632
NET ASSETS
$78,093,109
$396,453,188
$936,806,358
$64,660,804
$64,077,863
NET ASSETS REPRESENTED BY:
Capital stock, $.10 par value
$6,475,970
$39,618,509
$39,611,676
$4,821,225
$5,967,330
Additional paid-in capital
72,625,284
356,834,679
557,927,597
50,695,901
59,600,495
Net unrealized appreciation on investments
466,607
338,974,334
8,992,502
1,406,558
Undistributed net investment income
(30,000)
Accumulated net short-term realized gain
(loss) on investments
(1,025,192)
28,751
(61,774)
(194,811)
Accumulated net long-term realized gain
(loss) on investments
(449,560)
264,000
212,950
(2,671,709)
NET ASSETS
$78,093,109
$396,453,188
$936,806,358
$64,660,804
$64,077,863
NET ASSET VALUE PER OUTSTANDING SHARE
$1.2059
$1.0007
$2.3650
$1.3412
$1.0738
SHARES OF CAPITAL STOCK:
Authorized
200,000,000
400,000,000
500,000,000
100,000,000
200,000,000
Outstanding
64,759,695
396,185,085
396,116,761
48,212,249
59,673,302
See notes to financial statements.
MAXIM SERIES FUND, INC.
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
BOND PORTFOLIO
MONEY MARKET PORTFOLIO
STOCK INDEX PORTFOLIO
TOTAL RETURN PORTFOLIO
U.S. GOVERNMENT SECURITIES PORTFOLIO
INVESTMENT INCOME:
Interest
$5,247,243
$18,518,195
$347,152
$1,584,546
$4,415,879
Dividends
17,447,117
465,983
Less: Foreign withholding tax
(85,172)
(1,230)
Total income
5,247,243
18,518,195
17,709,097
2,049,299
4,415,879
EXPENSES:
Management fee
470,658
1,566,842
4,887,975
364,049
390,629
NET INVESTMENT INCOME
4,776,585
16,951,353
12,821,122
1,685,250
4,025,250
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net short-term realized gain (loss) on investments
(1,025,192)
367,869
(61,774)
(194,811)
Net long-term realized gain (loss) on investments
114,977
4,072,466
3,392,612
(10,233)
Change in net unrealized appreciation (depreciation) on
investments
(665,279)
145,236,441
1,763,008
(1,345,799)
Net change in realized and unrealized
appreciation (depreciation) on investments
(1,575,494)
149,676,776
5,093,846
(1,550,843)
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS
$3,201,091
$16,951,353
$162,497,898
$6,779,096
$2,474,407
See notes to financial statements
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31, 1996 AND 1995
BOND PORTFOLIO
1996
1995
MONEY MARKET PORTFOLIO
1996
1995
STOCK INDEX PORTFOLIO
1996
1995
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income
$4,776,585
$4,607,884
$16,951,353
$13,128,788
$12,821,122
$11,487,738
Net short-term realized gain (loss)
(1,025,192)
367,869
358,243
Net long-term realized gain
114,977
1,023,882
4,072,466
4,752,154
Change in net unrealized appreciation (depreciation)
(665,279)
4,832,438
145,236,441
164,079,871
Net increase in net assets resulting from
operations
3,201,091
10,464,204
16,951,353
13,128,788
162,497,898
180,678,006
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net short-term realized gain
(4,776,585)
(4,607,884)
(16,951,353)
(13,128,788)
(13,160,240)
(11,845,981)
From net long-term realized gain
(3,808,466)
(4,752,154)
Total distributions
(4,776,585)
(4,607,884)
(16,951,353)
(13,128,788)
(16,968,706)
(16,598,135)
SHARE TRANSACTIONS:
Net proceeds from sales of shares
21,377,613
25,657,889
487,115,045
326,553,215
292,635,996
212,318,545
Reinvestment of distributions
4,776,585
4,607,884
16,951,353
13,128,788
16,968,706
16,598,135
Cost of shares redeemed
(26,510,694)
(25,062,293)
(384,870,499)
(249,011,976)
(225,787,173)
(182,876,906)
Net increase (decrease) in net assets resulting from
share transactions
(356,496)
5,203,480
119,195,899
90,670,027
83,817,529
46,039,774
Total increase (decrease) in net assets
(1,931,990)
11,059,800
119,195,899
90,670,027
229,346,721
210,119,645
NET ASSETS:
Beginning of period
80,025,099
68,965,299
277,257,289
186,587,262
707,459,637
497,339,992
End of period
$78,093,109
$80,025,099
$396,453,188
$277,257,289
$936,806,358
$707,459,637
OTHER INFORMATION:
SHARES:
Sold
17,660,443
21,388,703
486,785,632
326,332,383
136,295,020
119,078,613
Issued in reinvestment of distributions
3,972,398
3,844,999
16,939,889
13,119,910
7,480,570
8,900,274
Redeemed
(21,930,923)
(20,925,704)
(384,610,230)
(248,843,582)
(105,028,108)
(102,667,090)
Net increase (decrease)
(298,082)
4,307,998
119,115,291
90,608,711
38,747,482
25,311,797
See notes to financial statements.
(Continued)
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31, 1996 AND 1995
TOTAL RETURN PORTFOLIO
1996
1995
U.S. GOVERNMENT SECURITIES PORTFOLIO
1996
1995
ZERO-COUPON 1995 TREASURY PORTFOLIO
1996
1995
INCREASE (DECREASE) IN NET ASSETS:
(A)
OPERATIONS:
Net investment income
$1,685,250
$1,661,151
$4,025,250
$4,222,664
$70,430
Net short-term realized gain (loss)
(61,774)
572,641
(194,811)
Net long-term realized gain (loss)
3,392,612
942,230
(10,233)
1,282,043
1,359
Change in net unrealized appreciation (depreciation)
1,763,008
6,702,960
(1,345,799)
3,759,018
(18,368)
Net increase in net assets resulting from
operations
6,779,096
9,878,982
2,474,407
9,263,725
53,421
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net short-term realized gain
(1,685,250)
(2,233,792)
(4,025,250)
(4,222,664)
From net long-term realized gain
(3,179,662)
(942,230)
Total Distributions
(4,864,912)
(3,176,022)
(4,025,250)
(4,222,664)
0
SHARE TRANSACTIONS:
Net proceeds from sales of shares
32,220,631
23,821,866
19,719,465
18,005,739
45,681
Reinvestment of distributions
4,864,912
3,176,022
4,025,250
4,222,664
Cost of shares redeemed
(29,514,951)
(19,873,337)
(20,589,968)
(21,133,740)
(1,058,299)
Net increase (decrease) in net assets resulting from
share transactions
7,570,592
7,124,551
3,154,747
1,094,663
(1,012,618)
Total increase (decrease) in net assets
9,484,776
13,827,511
1,603,904
6,135,724
(959,197)
NET ASSETS:
Beginning of period
55,176,028
41,348,517
62,473,959
56,338,235
959,197
End of period
$64,660,804
$55,176,028
$64,077,863
$62,473,959
$0
OTHER INFORMATION:
SHARES:
Sold
24,044,972
19,269,697
18,277,697
17,005,087
20,285
Issued in reinvestment of distributions
3,595,953
2,495,445
3,759,180
3,948,429
Redeemed
(21,972,635)
(16,013,482)
(19,150,378)
(19,740,168)
(458,923)
Net increase (decrease)
5,668,290
5,751,660
2,886,499
1,213,348
(438,638)
(A) The portfolio matured on November 15, 1995, and its net assets
were distributed to shareholders.
See notes to financial statements.
(Concluded)
MAXIM SERIES FUND, INC.
BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
years ended December 31, 1996, 1995, 1994, 1993, and 1992 is as
follows:
Year Ended December 31,
1996
1995
1994
1993
1992
Net Asset Value, Beginning of Year
$1.2301
$1.1352
$1.2274
$1.2259
$1.2929
Income From Investment Operations
Net investment income
0.0745
0.0736
0.0634
0.0632
0.0831
Net realized and unrealized gain (loss)
(0.0242)
0.0949
(0.0922)
0.0326
(0.0053)
Total Income (Loss) From
Investment Operations
0.0503
0.1685
(0.0288)
0.0958
0.0778
Less Distributions
From net investment income
(0.0745)
(0.0736)
(0.0634)
(0.0632)
(0.0760)
From net realized gains
(0.0311)
(0.0688)
Total Distributions
(0.0745)
(0.0736)
(0.0634)
(0.0943)
(0.1448)
Net Asset Value, End of Year
$1.2059
$1.2301
$1.1352
$1.2274
$1.2259
Total Return
4.26%
15.21%
(2.36)%
8.56%
6.24%
Net Assets, End of Year
$78,093,109
$80,025,099
$68,965,299
$84,696,187
$69,974,484
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
6.10%
6.16%
5.33%
5.02%
5.93%
Portfolio Turnover Rate
117.39%
191.58%
60.85%
164.32%
157.97%
(Continued)
MAXIM SERIES FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
years ended December 31, 1996, 1995, 1994, 1993, and 1992 is as
follows:
Year Ended December 31,
1996
1995
1994
1993
1992
Net Asset Value, Beginning of Year
$1.0007
$1.0007
$1.0007
$1.0007
$1.0006
Income From Investment Operations
Net investment income
0.0493
0.0555
0.0394
0.0278
0.0343
Net realized and unrealized gains
0.0001
Total Income From Investment
Operations
0.0493
0.0555
0.0394
0.0278
0.0344
Less Distributions
From net investment income
(0.0493)
(0.0555)
(0.0394)
(0.0278)
(0.0343)
Net Asset Value, End of Year
$1.0007
$1.0007
$1.0007
$1.0007
$1.0007
Net Assets, End of Year
$396,453,188
$277,257,289
$186,587,262
$96,997,973
$64,220,562
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
4.99%
5.55%
3.96%
2.82%
3.43%
(Continued)
MAXIM SERIES FUND, INC.
STOCK INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
years ended December 31, 1996, 1995, 1994, 1993, and 1992 is as
follows:
Year Ended December 31,
1996
1995
1994
1993
1992
Net Asset Value, Beginning of Year
$1.9796
$1.4978
$1.5575
$1.4506
$1.5206
Income From Investment Operations
Net investment income
0.0336
0.0334
0.0350
0.0320
0.0383
Net short-term realized gain
0.0009
0.0010
Net long-term realized and
unrealized gain (loss)
0.3951
0.4953
(0.0335)
0.1097
0.0502
Total Income From Investment
Operations
0.4296
0.5297
0.0015
0.1417
0.0885
Less Distributions
From net investment income and
net short-term realized gains
(0.0345)
(0.0344)
(0.0350)
(0.0320)
(0.0382)
From net long-term realized gains
(0.0097)
(0.0135)
(0.0262)
(0.0028)
(0.1203)
Total Distributions
(0.0442)
(0.0479)
(0.0612)
(0.0348)
(0.1585)
Net Asset Value, End of Year
$2.3650
$1.9796
$1.4978
$1.5575
$1.4506
Total Return
21.81%
35.60%
0.14%
9.84%
5.87%
Net Assets, End of Year
$936,806,358
$707,459,637
$497,339,992
$562,189,394
$462,539,021
Average Commission Rate Paid
Per Share Bought or Sold
$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
1.58%
1.91%
2.23%
2.14%
2.49%
Portfolio Turnover Rate
3.31%
5.25%
11.98%
1.68%
118.83%
(Continued)
MAXIM SERIES FUND, INC.
TOTAL RETURN PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
years ended December 31, 1996, 1995, 1994, 1993, and 1992 is as
follows:
Year Ended December 31,
1996
1995
1994
1993
1992
Net Asset Value, Beginning of Year
$1.2969
$1.1238
$1.2065
$1.1327
$1.1156
Income From Investment Operations
Net investment income
0.0366
0.0421
0.0382
0.0326
0.0424
Net short-term realized gain
0.0139
Net long-term realized and
unrealized gain (loss)
0.1146
0.1960
(0.0704)
0.1025
0.0165
Total Income (Loss) From
Investment Operations
0.1512
0.2520
(0.0322)
0.1351
0.0589
Less Distributions
From net investment income and
net short-term realized gains
(0.0366)
(0.0560)
(0.0382)
(0.0326)
(0.0375)
From net long-term realized gains
(0.0703)
(0.0229)
(0.0123)
(0.0287)
(0.0043)
Total Distributions
(0.1069)
(0.0789)
(0.0505)
(0.0613)
(0.0418)
Net Asset Value, End of Year
$1.3412
$1.2969
$1.1238
$1.2065
$1.1327
Total Return
11.75%
22.70%
(2.68)%
12.19%
5.45%
Net Assets, End of Year
$64,660,804
$55,176,028
$41,348,517
$39,297,459
$18,696,606
Average Commission Rate Paid
Per Share Bought or Sold
$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
2.78%
3.41%
3.30%
2.88%
3.56%
Portfolio Turnover Rate
74.52%
44.70%
74.85%
58.02%
29.26%
(Continued)
MAXIM SERIES FUND, INC.
U.S. GOVERNMENT SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
years ended December 31, 1996, 1995, 1994, 1993, and 1992 is as
follows:
Year Ended December 31,
1996
1995
1994
1993
1992
Net Asset Value, Beginning of Year
$1.1001
$1.0138
$1.1061
$1.1141
$1.1206
Income From Investment Operations
Net investment income
0.0675
0.0723
0.0572
0.0881
0.1037
Net realized and unrealized
gain (loss)
(0.0263)
0.0863
(0.0924)
(0.0006)
(0.0069)
Total Income (Loss) From
Investment Operations
0.0412
0.1586
(0.0352)
0.0875
0.0968
Less Distributions
From net investment income
(0.0675)
(0.0723)
(0.0571)
(0.0887)
(0.0581)
From net realized gains
(0.0068)
(0.0452)
Total Distributions
(0.0675)
(0.0723)
(0.0571)
(0.0955)
(0.1033)
Net Asset Value, End of Year
$1.0738
$1.1001
$1.0138
$1.1061
$1.1141
Total Return
3.92%
16.09%
(3.20)%
9.35%
8.94%
Net Assets, End of Year
$64,077,863
$62,473,959
$56,338,235
$51,424,663
$30,350,801
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
6.22%
6.76%
5.47%
8.49%
4.96%
Portfolio Turnover Rate
145.02%
185.57%
308.47%
27.28%
42.15%
(Continued)
MAXIM SERIES FUND, INC.
ZERO-COUPON 1995 TREASURY PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
years ended December 31, 1995, 1994, 1993, and 1992 is as follows:
Year Ended December 31,
1995
1994
1993
1992
1991
(A)
Net Asset Value, Beginning of Year
2.1868
$2.1794
$2.0587
$2.0339
$1.7671
Income From Investment Operations
Net investment income
0.1653
0.3595
0.2234
0.5395
0.1680
Net realized and unrealized
gain (loss)
(0.0401)
(0.3340)
(0.0904)
(0.4022)
0.0988
Total Income From Investment
Operations
0.1252
0.0255
0.1330
0.1373
0.2668
Less Distributions
Distribution upon maturity
(2.3120)
From net realized gains
(0.0181)
(0.0123)
(0.1125)
Total Distributions
(2.3120)
(0.0181)
(0.0123)
(0.1125)
Net Asset Value, End of Year
0.0000
$2.1868
$2.1794
$2.0587
$2.0339
Total Return
5.73%
1.17%
6.46%
6.75%
16.19%
Net Assets, End of Year
0
$959,197
$1,072,549
$1,061,441
$1,592,205
Ratio of Expenses
to Average Net Assets
0.50% *
0.50%
0.50%
0.50%
0.50%
Ratio of Net Investment Income
to Average Net Assets
7.51% *
8.12%
7.58%
7.97%
9.11%
* Annualized
(A) The portfolio matured on November 15, 1995, and its net assets
were distributed to shareholders.
(Concluded)
MAXIM SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
YEARS ENDED DECEMBER 31, 1996 AND 1995
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, U.S. Government Securities, and Zero-Coupon 1995 Treasury
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 The New
England Mutual Life Assurance Company ("TNE") to fund benefits
under variable annuity contracts issued by TNE. 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 $5,520,264 at December 31,
1996, 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 December 31, 1996 were as
follows:
Bond Portfolio
Aggregate Cost
5,900,160
Aggregate Fair Value
5,968,950
Percent of Net Assets
7.64%
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 December 31, 1996, 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 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 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, and prior to December 31, 1995 .50% of the average
daily net assets of the Zero-Coupon 1995 Treasury Portfolio.
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
December 31, 1996 were:
U.S. Government Obligations
Other Securities
Portfolio
Bond
$6,997,188
$82,488,043
Stock Index
116,079,378
Total Return
15,471,684
32,321,461
U.S. Government Securities
95,177,405
The proceeds from sales of U.S. Government obligations and
other securities, excluding short-term securities, during the year
ended December 31, 1996 were:
U.S. Government Obligations
Other Securities
Portfolio
Bond
$5,509,531
$83,585,606
Stock Index
26,687,576
Total Return
16,261,215
24,696,268
U.S. Government Securities
90,897,566
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as
follows as of December 31, 1996:
BOND PORTFOLIO
STOCK INDEX PORTFOLIO
TOTAL RETURN PORTFOLIO
U.S. GOVERNMENT SECURITIES PORTFOLIO
Gross appreciation
$853,738
$356,426,939
$9,514,743
$1,540,563
Gross depreciation
(387,131)
(17,452,605)
(522,241)
(134,005)
Net unrealized appreciation
$466,607
$338,974,334
$8,992,502
$1,406,558
<PAGE>
MAXIM SERIES FUND, INC.
Financial Statements and Financial Highlights for
the Years Ended December 31, 1996 and 1995,
and Independent Auditors' Report
INDEPENDENT AUDITORS' REPORT
To the Board of Directors and Stockholders of
Maxim Series Fund, Inc.:
We have audited the accompanying statement of assets and
liabilities, including the schedule of investments, of the
Corporate Bond Portfolio, Small-Cap Index Portfolio and Small-Cap
Value Portfolio, of Maxim Series Fund, Inc., as of December 31,
1996, the related statement of operations for the year then ended
and the statements of changes in net assets and the financial
highlights for each of the periods indicated. These financial
statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on
these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities
owned as of December 31, 1996, by correspondence with the custodian
and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of
the Corporate Bond Portfolio, Small-Cap Index Portfolio and
Small-Cap Value Portfolio, of Maxim Series Fund, Inc., at December
31, 1996 and the results of their operations, the changes in their
net assets and the financial highlights for each of the periods
indicated, in conformity with generally accepted accounting
principles.
January 31, 1997
MAXIM SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
CORPORATE BOND PORTFOLIO
SMALL-CAP INDEX PORTFOLIO
SMALL-CAP VALUE PORTFOLIO
ASSETS:
Investments at value:
Short-term investments
$2,540,526
$1,136,789
$3,301,265
Bonds
75,091,838
Common stocks
81,989
79,309,073
34,363,636
Preferred stocks
4,359,560
Total investments (cost $78,304,546;$70,670,934;
$31,192,086)
82,073,913
80,445,862
37,664,901
Cash
23,682
11,136
Dividends and interest receivable
1,492,875
98,225
68,026
Subscriptions receivable
158,614
224,406
99,825
Receivables for securities sold
32,775
Total assets
83,725,402
80,824,950
37,843,888
LIABILITIES:
Due to GW Capital Management
64,690
41,258
34,116
Payable for securities purchased
15,683
1,210,121
Total liabilities
80,373
41,258
1,244,237
NET ASSETS
$83,645,029
$80,783,692
$36,599,651
NET ASSETS REPRESENTED BY:
Capital stock, $.10 par value
$7,199,729
$6,530,754
$2,932,620
Additional paid-in capital
72,261,766
64,679,770
27,688,771
Net unrealized appreciation on investments
3,648,802
9,774,928
6,472,815
Accumulated net short-term realized gain (loss) on investments
132,383
(46,799)
(309,786)
Accumulated net long-term realized gain (loss) on investments
281,784
(154,961)
(184,769)
Net unrealized appreciation on translation of assets and
liabilities denominated in foreign currencies
120,565
NET ASSETS
$83,645,029
$80,783,692
$36,599,651
NET ASSET VALUE PER OUTSTANDING SHARE
$1.1618
$1.2370
$1.2480
SHARES OF CAPITAL STOCK:
Authorized
100,000,000
100,000,000
100,000,000
Outstanding
71,997,289
65,307,537
29,326,200
See notes to financial statements.
MAXIM SERIES FUND, INC.
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
CORPORATE BOND PORTFOLIO
SMALL-CAP PORTFOLIO
SMALL-CAP VALUE PORTFOLIO
INVESTMENT INCOME:
Interest
$5,149,929
$39,307
$107,235
Dividends
341,839
1,069,433
497,727
Total income
5,491,768
1,108,740
604,962
EXPENSES:
Salaries
21,871
Legal and SEC fees
4,952
Directors' fees
425
Audit fees
6,005
Investment administration
48,683
Bank and custodial fees
28,880
Other expenses
3,747
Management fee
574,728
404,891
274,316
Total expenses
574,728
404,891
388,879
Less amount paid by the investment advisor
32,547
Net expenses
574,728
404,891
356,332
NET INVESTMENT INCOME
4,917,040
703,849
248,630
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net short-term realized gain (loss) on investments
503,724
2,204,892
(309,786)
Net long-term realized gain (loss) on investments
1,443,988
3,428,509
(184,769)
Change in net unrealized appreciation on investments
40,706
3,305,858
5,489,537
Change in net unrealized appreciation on translation of
assets and liabilities denominated in foreign currencies
168,357
Net change in realized and unrealized appreciation on
investments
2,156,775
8,939,259
4,994,982
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS
$7,073,815
$9,643,108
$5,243,612
See notes to financial statements.
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
PERIODS ENDED DECEMBER 31, 1996 AND 1995
CORPORATE BOND PORTFOLIO
1996
1995
SMALL-CAP INDEX PORTFOLIO
1996
1995
SMALL-CAP VALUE PORTFOLIO
1996
1995
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income
$4,917,040
$2,206,696
$703,849
$364,996
$248,630
$375,114
Net short-term realized gain (loss)
503,724
616,541
2,204,892
409,026
(309,786)
646,979
Net long-term realized gain (loss)
1,443,988
154,531
3,428,509
1,054,463
(184,769)
348,951
Change in net unrealized appreciation
(depreciation) on investments
40,706
3,834,695
3,305,858
6,611,525
5,489,537
962,763
Change in net unrealized appreciation
on translation of assets and liabilities denominated in foreign
currencies
168,357
49,750
Net increase in net assets
resulting from operations
7,073,815
6,862,213
9,643,108
8,440,010
5,243,612
2,333,807
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and
net short-term realized gains
(5,288,381)
(2,823,237)
(2,955,540)
(774,022)
(248,630)
(1,022,093)
From net long-term realized gains
(1,162,204)
(114,335)
(3,583,470)
(679,942)
(348,951)
Total distributions
(6,450,585)
(2,937,572)
(6,539,010)
(1,453,964)
(248,630)
(1,371,044)
SHARE TRANSACTIONS:
Net proceeds from sales of shares
64,596,297
37,824,383
50,049,809
31,434,085
23,068,482
14,092,128
Reinvestment of distributions
6,450,585
2,937,572
6,539,010
1,453,964
248,630
1,371,044
Cost of shares redeemed
(33,555,273)
(12,869,601)
(30,519,509)
(10,600,755)
(12,482,022)
(5,378,204)
Net increase in net assets
resulting from share transactions
37,491,609
27,892,354
26,069,310
22,287,294
10,835,090
10,084,968
Total increase in net assets
38,114,839
31,816,995
29,173,408
29,273,340
15,830,072
11,047,731
NET ASSETS:
Beginning of period
45,530,190
13,713,195
51,610,284
22,336,944
20,769,579
9,721,848
End of period
$83,645,029
$45,530,190
$80,783,692
$51,610,284
$36,599,651
$20,769,579
OTHER INFORMATION:
SHARES:
Sold
56,150,349
34,494,328
40,270,869
29,228,483
20,987,576
13,586,753
Issued in reinvestment of distributions
5,567,584
2,638,196
5,286,383
1,265,868
213,491
1,299,095
Redeemed
(29,238,506)
(11,728,418)
(24,437,703)
(9,719,341)
(11,342,266)
(5,165,741)
Net increase
32,479,427
25,404,106
21,119,549
20,775,010
9,858,801
9,720,107
See notes to financial statements.
MAXIM SERIES FUND, INC.
CORPORATE BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, and 1994 is as follows:
Period Ended December 31,
1996
1995
1994
(A)
Net Asset Value, Beginning of Period
$1.1521
$0.9716
$1.0000
Income From Investment Operations
Net investment income
0.0825
0.0842
0.0137
Net short-term realized gain
0.0055
0.0159
Net long-term realized and unrealized gain (loss)
0.0269
0.1835
(0.0284)
Total Income (Loss) From Investment Operations
0.1149
0.2836
(0.0147)
Less Distributions
From net investment income and net short-term
realized gains
(0.0880)
(0.1001)
(0.0137)
From net long-term realized gains
(0.0172)
(0.0030)
Total Distributions
(0.1052)
(0.1031)
(0.0137)
Net Asset Value, End of Period
$1.1618
$1.1521
$0.9716
Total Return
10.35%
30.19%
(1.47)%
Net Assets, End of Period
$83,645,029
$45,530,190
$13,713,195
Ratio of Expenses to Average Net Assets
0.90%
0.90%
1.08% *
Ratio of Net Investment Income to Average Net Assets
7.68%
7.89%
8.64% *
Portfolio Turnover Rate
40.02%
24.70%
9.45%
* Annualized
(A) The portfolio commenced operations on November 1, 1994.
(Continued)
MAXIM SERIES FUND, INC.
SMALL-CAP INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, 1994, and 1993 is as
follows:
Period Ended December 31,
1996
1995
1994
1993
(A)
Net Asset Value, Beginning of Period
$1.1680
$0.9540
$1.0112
$1.000
Income From Investment Operations
Net investment income
0.0124
0.0102
0.0097
0.0009
Net short-term realized gain
0.0374
.0095
Net long-term realized
and unrealized gain (loss)
0.1285
0.2298
(0.0572)
0.0112
Total Income (Loss)
From Investment Operations
0.1783
0.2495
(0.0475)
0.0121
Less Distributions
From net investment income and net
short-term realized gains
(0.0498)
(0.0197)
(0.0097)
(0.0009)
From net long-term realized gains
(0.0595)
(0.0158)
Total Distributions
(0.1093)
(0.0355)
(0.0097)
(0.0009)
Net Asset Value, End of Period
$1.2370
$1.1680
$0.9540
$1.0112
Total Return
15.30%
26.24%
(4.69)%
1.21%
Net Assets, End of Period
$80,783,692
$51,610,284
$22,336,944
$5,936,716
Average Commission Rate Paid
Per Share Bought or Sold
$0.0453
Ratio of Expenses
to Average Net Assets
0.60%
0.60%
0.60%
0.60% *
Ratio of Net Investment Income
to Average Net Assets
1.04%
1.00%
1.20%
1.24% *
Portfolio Turnover Rate
39.66%
30.17%
53.44%
0.72%
* Annualized
(A) The portfolio commenced operations on December 1, 1993.
(Continued)
MAXIM SERIES FUND, INC.
SMALL-CAP VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, 1994, and 1993 is as
follows:
Period Ended December 31,
1996
1995
1994
1993
(A)
Net Asset Value, Beginning of Period
$1.0669
$0.9974
$1.0330
$1.0000
Income From Investment Operations
Net investment income
0.0095
0.0286
0.0068
0.0012
Net short-term realized gain
0.0350
Net long-term realized and
unrealized gain (loss)
0.1811
0.0884
(0.0356)
0.0330
Total Income (Loss) From
Investment Operations
0.1906
0.1520
(0.0288)
0.0342
Less Distributions
From net investment income and
net short-term realized gains
(0.0095)
(0.0636)
(0.0068)
(0.0012)
From net long-term realized gains
(0.0189)
Total Distributions
(0.0095)
(0.0825)
(0.0068)
(0.0012)
Net Asset Value, End of Period
$1.2480
$1.0669
$0.9974
$1.0330
Total Return
17.94%
15.51%
(2.78)%
3.42%
Net Assets, End of Period
$36,599,651
$20,769,579
$9,721,848
$3,007,882
Average Commission Rate Paid
Per Share Bought or Sold
$0.0521
Ratio of Expenses to Average Net Assets
1.31% #
1.35% #
1.33 % #
1.33%*#
Ratio of Net Investment Income
to Average Net Assets
0.90%
2.51%
0.80%
1.52%*
Portfolio Turnover Rate
30.61%
17.78%
16.81%
0.00%
* 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.
(Concluded)
MAXIM SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
YEARS ENDED DECEMBER 31, 1996 AND 1995
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 The New England Mutual Life Assurance
Company ("TNE") to fund benefits under variable annuity contracts
issued by TNE. 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 Index and Small-Cap Value Portfolios,
additional capitalization of $5,000,000 and $2,500,000,
respectively, was received on December 1, 1993. At December 31,
1996, Great-West's investment in the Portfolios totaled $3,661,685.
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 December 31, 1996 were as
follows:
Corporate Bond Portfolio
Aggregate Cost
2,382,824
Aggregate Fair Value
2,259,213
Percent of Net Assets
2.70%
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 December 31, 1996, 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 year ended
December 31, 1996 were:
U.S. Government Obligations
Other Securities
Portfolio
Corporate Bond
$11,389,412
$47,242,140
Small-Cap Index
47,978,124
Small-Cap Value
18,205,075
The proceeds from sales of U.S. Government obligations and
other securities, excluding short-term securities, during the year
ended December 31, 1996 were:
U.S. Government Obligations
Other Securities
Portfolio
Corporate Bond
$5,431,609
$19,123,633
Small-Cap Index
26,465,648
Small-Cap Value
7,927,661
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as
follows as of December 31, 1996:
CORPORATE BOND PORTFOLIO
SMALL-CAP INDEX PORTFOLIO
SMALL-CAP VALUE PORTFOLIO
Gross appreciation
$5,569,379
$15,991,280
$7,278,558
Gross depreciation
(1,800,012)
(6,216,352)
(805,743)
Net unrealized appreciation
$3,769,367
$9,774,928
$6,472,815
<PAGE>
MAXIM SERIES FUND, INC.
Financial Statements and Financial Highlights for
the Years Ended December 31, 1996 and 1995,
and Independent Auditors' Report
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Board of Directors and Stockholders of
Maxim Series Fund, Inc.:
We have audited the accompanying statement of assets and
liabilities, including the schedule of investments, of the
International Equity Portfolio, INVESCO ADR Portfolio, INVESCO
Balanced Portfolio, INVESCO Small-Cap Growth Portfolio, Mid-Cap
Portfolio and T. Rowe Price Equity/Income Portfolio, of Maxim
Series Fund, Inc., as of December 31, 1996, the related statement
of operations for the year then ended and the statements of changes
in net assets and the financial highlights for each of the periods
indicated. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is
to express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities
owned as of December 31, 1996, by correspondence with the custodian
and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of
the International Equity Portfolio, INVESCO ADR Portfolio, INVESCO
Balanced Portfolio, INVESCO Small-Cap Growth Portfolio, Mid-Cap
Portfolio and T. Rowe Price Equity/Income Portfolio, of Maxim
Series Fund, Inc., at December 31, 1996 and the results of their
operations, the changes in their net assets and the financial
highlights for each of the periods indicated, in conformity with
generally accepted accounting principles.
<PAGE>
January 31, 1997
MAXIM SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
INTERNATIONAL EQUITY PORTFOLIO
INVESCO ADR PORTFOLIO
INVESCO BALANCED PORTFOLIO
INVESCO SMALL-CAP GROWTH PORTFOLIO
MID-CAP PORTFOLIO
T. ROWE PRICE EQUITY/INCOME PORTFOLIO
ASSETS:
Investments at value:
Short-term investments
$10,682,647
$901,731
$4,102,913
$6,714,368
$4,864,095
$7,841,062
Bonds
3,613,894
1,468,827
Common stocks
83,531,453
7,320,819
8,178,874
25,431,324
213,466,456
60,810,472
Preferred stocks
1,564,254
Total investments (cost $82,040,703; $7,027,695; $15,629,110;
$32,263,774; $185,907,917; $64,481,457)
95,778,354
8,222,550
15,895,681
32,145,692
218,330,551
70,120,361
Cash
142,257
13,121
12,355
11,182
Dividends and interest receivable
194,999
1,791
64,827
4,007
9,307
182,387
Receivables for securities sold
11,792
2,860,252
50,216
Subscriptions receivable
138,492
6,221
28,072
74,557
12,571
249,753
Total assets
96,265,894
8,243,683
16,000,935
32,235,438
221,212,681
70,602,717
LIABILITIES:
Due to GW Capital Management
90,524
7,977
13,769
29,790
189,430
56,642
Payable for securities purchased
3,321
540,848
377,870
5,623,583
1,010,172
Unrealized depreciation on forward foreign currency contracts
688,865
Total liabilities
93,845
548,825
13,769
407,660
6,501,878
1,066,814
NET ASSETS
$96,172,049
$7,694,858
$15,987,166
$31,827,778
$214,710,803
$69,535,903
NET ASSETS REPRESENTED BY:
Capital stock, $.10 par value
$7,269,697
$569,636
$1,536,082
$2,221,037
$14,986,964
$4,798,386
Additional paid-in capital
74,767,595
5,930,366
14,218,279
29,782,402
166,784,211
59,099,638
Net unrealized appreciation on (depreciation) on investments
13,995,002
1,194,855
266,571
(118,082)
29,953,246
5,667,973
Accumulated net investment (loss)
(1,245,198)
(1,025)
Accumulated net short-term realized gain (loss) on
investments
377,665
2,259
(33,766)
(57,579)
(4,870,222)
Accumulated net long-term realized gain (loss) on
investments
19,441
(2,258)
7,321,279
Net unrealized appreciation (depreciation) on translation of
assets and liabilities denominated in foreign currencies
(257,351)
1,780,523
(29,069)
NET ASSETS
$96,172,049
$7,694,858
$15,987,166
$31,827,778
$214,710,803
$69,535,903
NET ASSET VALUE PER OUTSTANDING SHARE
$1.3229
$1.3508
$1.0408
$1.4330
$1.4327
$1.4492
SHARES OF CAPITAL STOCK:
Authorized
100,000,000
100,000,000
100,000,000
100,000,000
200,000,000
100,000,000
Outstanding
72,696,970
5,696,363
15,360,820
22,210,373
149,869,643
47,983,856
See notes to financial statements.
MAXIM SERIES FUND, INC.
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
INTERNATIONAL EQUITY PORTFOLIO
INVESCO ADR PORTFOLIO
INVESCO BALANCED PORTFOLIO (A)
INVESCO SMALL-CAP GROWTH PORTFOLIO
MID-CP PORTFOLIO
T. ROWE PRICE EQUITY/INCOME PORTFOLIO
INVESTMENT INCOME:
Interest
$318,304
$16,027
$82,345
$236,573
$466,960
$311,350
Dividends
1,900,190
106,268
24,079
16,374
353,493
924,060
Less: Foreign withholding tax
(246,385)
(7,298)
(67)
(55,590)
(4,650)
Total income
1,972,109
114,997
106,424
252,880
764,863
1,230,760
EXPENSES:
Salaries
34,865
23,820
23,820
25,123
23,820
Legal and SEC fees
9,715
251
1,076
18,945
7,405
Directors' fees
1,164
72
299
2,883
512
Audit fees
14,550
6,005
6,005
8,262
6,005
Investment administration
71,437
16,829
37,307
57,785
57,785
Bank and custodial fees
135,218
10,023
25,203
95,500
27,191
Other expenses
23,483
1,232
3,120
23,678
6,975
Management fee
756,318
45,589
26,984
178,001
1,794,155
257,708
Total expenses
1,046,750
103,821
26,984
274,831
2,026,331
387,401
Less amount paid by the investment advisor
16,011
43,582
68,725
16,270
81,373
Net expenses
1,030,739
60,239
26,984
206,106
2,010,061
306,028
NET INVESTMENT INCOME
941,370
54,758
79,440
46,774
(1,245,198)
924,732
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net short-term realized gain (loss) on investments
692,684
2,259
(15,106)
2,959,838
(4,870,222)
562,056
Net long-term realized gain on investments
1,486,313
20,328
500,649
7,597,142
698,855
Change in net unrealized appreciation (depreciation) on
investments
11,998,654
898,066
266,571
(898,623)
5,117,611
4,318,555
Change in net unrealized appreciation (depreciation) on
translation of assets and liabilities denominated in foreign
currencies
(1,356,537)
1,774,166
(29,422)
Net change in realized and unrealized appreciation on
investments
12,821,114
920,653
251,465
2,561,864
9,618,697
5,550,044
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS
$13,762,484
$975,411
$330,905
$2,608,638
$8,373,499
$6,474,776
(A) The INVESCO Balanced Portfolio commenced operations on October
1, 1996.
See notes to financial statements.
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31, 1996 AND 1995
INTERNATIONAL EQUITY PORTFOLIO
1996
1995
INVESCO ADR PORTFOLIO
1996
1995
INVESCO BALANCED PORTFOLIO (A)
1996
INVESCO SMALL-CAP GROWTH PORTFOLIO
1996
1995
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income
$941,370
$774,034
$54,758
$26,154
$79,440
$46,774
$21,193
Net short-term realized gain (loss)
692,684
165,705
2,259
(15,106)
2,959,838
131,944
Net long-term realized gain (loss)
1,486,313
40,469
20,328
(15,301)
500,649
80,234
Change in net unrealized appreciation
(depreciation) on investments
11,998,654
2,053,649
898,066
325,054
266,571
(898,623)
769,596
Change in net unrealized appreciation
on translation of assets and liabilities
denominated in foreign currencies
(1,356,537)
1,001,880
Net increase (decrease) in net assets
resulting from operations
13,762,484
4,035,737
975,411
335,907
330,905
2,608,638
1,002,967
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and
net short-term realized gains
(1,256,389)
(939,740)
(54,758)
(26,154)
(98,100)
(3,064,191)
(153,137)
From net long-term realized gains
(1,466,872)
(7,284)
(500,649)
(80,234)
Total distributions
(2,723,261)
(939,740)
(62,042)
(26,154)
(98,100)
(3,564,840)
(233,371)
SHARE TRANSACTIONS:
Net proceeds from sales of shares
49,909,203
41,959,808
4,947,305
561,627
17,505,716
36,397,935
4,132,429
Reinvestment of distributions
2,723,261
939,740
62,042
26,154
98,100
3,564,840
233,371
Cost of shares redeemed
(22,517,306)
(23,158,826)
(909,827)
(192,399)
(1,849,455)
(13,563,975)
(772,596)
Net increase in net assets
resulting from share transactions
30,115,158
19,740,722
4,099,520
395,382
15,754,361
26,398,800
3,593,204
Total increase in net assets
41,154,381
22,836,719
5,012,889
705,135
15,987,166
25,442,598
4,362,800
NET ASSETS:
Beginning of period
55,017,668
32,180,949
2,681,969
1,976,834
0
6,385,180
2,022,380
End of period
$96,172,049
$55,017,668
$7,694,858
$2,681,969
$15,987,166
$31,827,778
$6,385,180
OTHER INFORMATION:
SHARES:
Sold
40,579,183
38,071,657
4,000,572
533,022
17,044,573
23,449,006
3,445,887
Issued in reinvestment of distributions
2,081,601
846,169
46,932
25,116
94,065
2,487,652
184,815
Redeemed
(18,244,110)
(20,788,292)
(734,123)
(180,329)
(1,777,818)
(8,740,654)
(627,862)
Net increase
24,416,674
18,129,534
3,313,381
377,809
15,360,820
17,196,004
3,002,840
(A) The INVESCO Balanced Portfolio commenced operations on October
1, 1996.
See notes to financial statements.
(Continued)
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31, 1996 AND 1995
MID-CAP PORTFOLIO
1996
1995
T. ROWE PRICE EQUITY/INCOME PORTFOLIO
1996
1995
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income
$(1,245,198)
$147,377
$924,732
$193,048
Net short-term realized gain (loss)
(4,870,222)
3,195,191
562,056
43,673
Net long-term realized gain (loss)
7,597,142
1,685,830
698,855
12,442
Change in net unrealized appreciation (depreciation)
on investments
5,117,611
22,738,369
4,318,555
1,387,991
Change in net unrealized appreciation (depreciation) on
translation of assets and liabilities denominated in foreign
currencies
1,774,166
(12,405)
(29,422)
353
Net increase (decrease) in net assets resulting from
operations
8,373,499
27,754,362
6,474,776
1,637,507
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net short-term realized gains
(3,342,569)
(1,487,813)
(236,721)
From net long-term realized gains
(275,863)
(632,032)
(698,855)
(11,265)
Total distributions
(275,863)
(3,974,601)
(2,186,668)
(247,986)
SHARE TRANSACTIONS:
Net proceeds from sales of shares
88,547,865
59,307,860
62,068,704
8,115,320
Reinvestment of distributions
275,863
3,974,601
2,186,668
247,986
Cost of shares redeemed
(30,474,755)
(19,886,682)
(9,957,772)
(912,934)
Net increase in net assets resulting from share transactions
58,348,973
43,395,779
54,297,600
7,450,372
Total increase in net assets
66,446,609
67,175,540
58,585,708
8,839,893
NET ASSETS:
Beginning of period
148,264,194
81,088,654
10,950,195
2,110,302
End of period
$214,710,803
$148,264,194
$69,535,903
$10,950,195
OTHER INFORMATION:
SHARES:
Sold
61,466,234
49,654,238
44,968,105
7,059,885
Issued in reinvestment of distributions
197,161
2,954,014
1,527,438
207,202
Redeemed
(21,306,676)
(16,792,730)
(7,179,849)
(751,198)
Net increase
40,356,719
35,815,522
39,315,694
6,515,889
See notes to financial statements.
(Concluded)
MAXIM SERIES FUND, INC.
INTERNATIONAL EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, 1994, and 1993 is as
follows:
Period Ended December 31,
1996
1995
1994
1993
(A)
Net Asset Value, Beginning of Period
$1.1395
$1.0673
$1.0110
$1.0000
Income From Investment Operations
Net investment income
0.0136
0.0190
0.0049
0.0009
Net short-term realized gain
0.0045
0.0034
Net long-term realized and unrealized gain
0.2042
0.0722
0.0563
0.0110
Total Income From Investment Operations
0.2223
0.0946
0.0612
0.0119
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
(0.0389)
(0.0224)
(0.0049)
(0.0009)
Net Asset Value, End of Period
$1.3229
$1.1395
$1.0673
$1.0110
Total Return
19.59%
8.93%
6.06%
1.19%
Net Assets, End of Period
$96,172,049
$55,017,668
$32,180,949
$3,126,038
Average Commission Rate Paid
Per Share Bought or Sold
$0.0146
Ratio of Expenses to Average Net Assets
1.39% #
1.50% #
1.49% #
1.48%*#
Ratio of Net Investment Income
to Average Net Assets
1.24%
1.70%
1.25%
1.09%*
Portfolio Turnover Rate
22.21%
20.28%
11.49%
0.00%
* 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)
MAXIM SERIES FUND, INC.
INVESCO ADR PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, and 1994
is as follows:
Period Ended December 31,
1996
1995
1994
(A)
Net Asset Value, Beginning of Period
$1.1255
$0.9859
$1.0000
Income From Investment Operations
Net investment income
0.0112
0.0120
0.0026
Net realized and unrealized gain (loss)
0.2266
0.1396
(0.0141)
Total Income (Loss) From Investment Operations
0.2378
0.1516
(0.0115)
Less Distributions
From net investment income
(0.0112)
(0.0120)
(0.0026)
From net long-term realized gains
(0.0013)
Total Distributions
(0.0125)
(0.0120)
(0.0026)
Net Asset Value, End of Period
$1.3508
$1.1255
$0.9859
Total Return
21.17%
15.48%
(1.16)%
Net Assets, End of Period
$7,694,858
$2,681,969
$1,976,834
Average Commission Rate Paid
Per Share Bought or Sold
$0.0628
Ratio of Expenses to Average Net Assets
1.33% #
1.50% #
1.50% * #
Ratio of Net Investment Income to Average Net Assets
1.20%
1.17%
1.56% *
Portfolio Turnover Rate
15.25%
5.88%
2.42%
* 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.
(Continued)
MAXIM SERIES FUND, INC.
INVESCO BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
period ended December 31, 1996 is as follows:
Period Ended
December 31,
1996
(A)
Net Asset Value, Beginning of Period
$1.0000
Income From Investment Operations
Net investment income
0.0052
Net short-term realized gain
0.0012
Net long-term realized and unrealized gain
0.0408
Total Income From Investment Operations
0.0472
Less Distributions
From net investment income and net short-term realized gains
(0.0064)
Total Distributions
(0.0064)
Net Asset Value, End of Period
$1.0408
Total Return
4.60%
Net Assets, End of Period
$15,987,166
Average Commission Rate Paid Per Share Bought or Sold
$0.0617
Ratio of Expenses to Average Net Assets
1.00% *
Ratio of Net Investment Income to Average Net Assets
2.84% *
Portfolio Turnover Rate
17.14%
* Annualized
(A) The portfolio commenced operations on October 1, 1996.
(Continued)
MAXIM SERIES FUND, INC.
INVESCO SMALL-CAP GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, and 1994
is as follows:
Period Ended December 31,
1996
1995
1994
(A)
Net Asset Value, Beginning of Period
$1.2734
$1.0054
$1.0000
Income From Investment Operations
Net investment income
0.0024
0.0069
0.0030
Net short-term realized gain
0.1530
0.0272
Net long-term realized and unrealized gain
0.1850
0.2846
0.0054
Total Income From Investment Operations
0.3404
0.3187
0.0084
Less Distributions
From net investment income and net short-term
realized gains
(0.1554)
(0.0341)
(0.0030)
From net long-term realized gains
(0.0254)
(0.0166)
Total Distributions
(0.1808)
(0.0507)
(0.0030)
Net Asset Value, End of Period
$1.4330
$1.2734
$1.0054
Total Return
26.73%
31.79%
0.84%
Net Assets, End of Period
$31,827,778
$6,385,180
$2,022,380
Average Commission Rate Paid
Per Share Bought or Sold
$0.0410
Ratio of Expenses to Average Net Assets
1.10% #
1.10% #
1.08% * #
Ratio of Net Investment Income to Average Net Assets
0.25%
0.58%
1.86% *
Portfolio Turnover Rate
265.05%
266.64%
0.00%
* 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)
MAXIM SERIES FUND, INC.
MID-CAP PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995 and 1994
is as follows:
Period Ended December 31,
1996
1995
1994
Net Asset Value, Beginning of Period
$1.3538
$1.1003
$1.0000
Income From Investment Operations
Net investment income
(0.0083)
0.0018
0.0076
Net short-term realized gain
0.0299
Net long-term realized and unrealized gain
0.0890
0.2594
0.1003
Total Income From Investment Operations
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
$1.4327
$1.3538
$1.1003
Total Return
5.96%
26.50%
10.86%
Net Assets, End of Period
$214,710,803
$148,264,194
$81,088,654
Average Commission Rate Paid
Per Share Bought or Sold
$0.0461
Ratio of Expenses to Average Net Assets
1.07% #
1.10% #
1.07% #
Ratio of Net Investment Income to Average Net Assets
(0.66)%
0.13%
1.26%
Portfolio Turnover Rate
80.31%
167.21%
166.12%
(A) The portfolio commenced operations January 3, 1994.
# Percentages are shown net of expenses reimbursed by The
Great-West Life Assurance Company or GW Capital Management, Inc.
(Continued)
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
periods ended December 31, 1996, 1995, and 1994
is as follows:
Period Ended December 31,
1996
1995
1994
(A)
Net Asset Value, Beginning of Period
$1.2633
$0.9805
$1.0000
Income From Investment Operations
Net investment income
0.0299
0.0345
0.0061
Net short-term realized gain
0.0121
0.0051
Net long-term realized and unrealized gain (loss)
0.2009
0.2841
(0.0195)
Total Income (Loss) From Investment Operations
0.2429
0.3237
(0.0134)
Less Distributions
From net investment income and net short-term realized gains
(0.0420)
(0.0396)
(0.0061)
From net long-term realized gains
(0.0150)
(0.0013)
Total Distributions
(0.0570)
(0.0409)
(0.0061)
Net Asset Value, End of Period
$1.4492
$1.2633
$0.9805
Total Return
19.39%
33.42%
(1.34)%
Net Assets, End of Period
$69,535,903
$10,950,195
$2,110,302
Average Commission Rate Paid
Per Share Bought or Sold
$0.0368
Ratio of Expenses to Average Net Assets
0.95% #
0.95% #
0.95% * #
Ratio of Net Investment Income to Average Net Assets
2.85%
3.46%
3.90% *
Portfolio Turnover Rate
26.15%
14.00%
2.74%
* 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)
MAXIM SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
YEARS ENDED DECEMBER 31, 1996 AND 1995
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, INVESCO Small-Cap Growth, and T. Rowe
Price Equity/Income portfolios, 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
December 31, 1996, Great-West's investment in the Portfolios
totaled $9,693,419.
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 December 31, 1996 were as
follows:
Mid-Cap Portfolio
T. Rowe Price Equity/Income Portfolio
Aggregate Cost
418,241
231,826
Aggregate Fair Value
700,463
240,350
Percent of Net Assets
0.33%
0.35%
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
December 31, 1996 were:
U.S. Government Obligations
Other Securities
Portfolio
International Equity
$
$40,540,418
INVESCO ADR
4,425,743
INVESCO Balanced
1,781,313
11,232,194
INVESCO Small-Cap Growth
56,073,326
Mid-Cap
206,619,473
T. Rowe Price Equity/Income
935,497
53,883,820
The proceeds from sales of U.S. Government obligations and
other securities, excluding short-term securities, during the year
ended December 31, 1996 were:
U.S. Government Obligations
Other Securities
Portfolio
International Equity
$
$14,883,248
INVESCO ADR
669,014
INVESCO Balanced
3,082
1,468,134
INVESCO Small-Cap Growth
38,630,185
Mid-Cap
145,674,781
T. Rowe Price Equity/Income
7,454,776
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is
as follows as of December 31, 1996:
International Equity Portfolio
INVESCO ADR Portfolio
INVESCO Balanced Portfolio
INVESCO Small-Cap Growth Portfolio
Mid-Cap Portfolio
T. Rowe Price Equity/Income Portfolio
Gross appreciation
$16,866,164
$1,276,789
$414,628
$1,219,473
$42,031,851
$6,058,341
Gross depreciation
(3,128,513)
(81,934)
(148,057)
(1,337,555)
(9,609,217)
(419,437)
Net unrealized
appreciation (depreciation)
$13,737,651
$1,194,855
$266,571
$(118,082)
$32,422,634
$5,638,904
6. FORWARD FOREIGN CURRENCY CONTRACTS
The following forward foreign currency contracts were held at
December 31, 1996:
MID-CAP PORTFOLIO
Sales
Delivery Value (Local Currency)
Settlement Date
Net Unrealized Gain (Loss) (USD)
British Pound
1,200,000
16-Jan-97
$(181,756)
British Pound
2,500,000
24-Jan-97
(402,241)
British Pound
590,000
11-Mar-97
(38,357)
British Pound
2,600,000
27-May-97
(66,511)
Unrealized Loss - December 31, 1996
$(688,865)
<PAGE>
MAXIM SERIES FUND, INC.
Financial Statements and Financial Highlights for
the Years Ended December 31, 1996 and 1995,
and Independent Auditors' Report
INDEPENDENT AUDITORS' REPORT
To the Board of Directors and Stockholders of
Maxim Series Fund, Inc.:
We have audited the accompanying statement of assets and
liabilities, including the schedule of investments, of the Foreign
Equity Portfolio, Growth Index Portfolio, Investment Grade
Corporate Bond Portfolio, Short-Term Maturity Bond Portfolio,
Small-Cap Aggressive Growth Portfolio, U.S. Government Mortgage
Securities Portfolio, and the Value Index Portfolio of Maxim Series
Fund, Inc., as of December 31, 1996, the related statement of
operations and the statements of changes in net assets and
financial highlights for each of the periods indicated. These
financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to
express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities
owned as of December 31, 1996, by correspondence with the custodian
and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of
the Foreign Equity Portfolio, Growth Index Portfolio, Investment
Grade Corporate Bond Portfolio, Short-Term Maturity Bond Portfolio,
Small-Cap Aggressive Growth Portfolio, U.S. Government Mortgage
Securities Portfolio and the Value Index Portfolio, of Maxim Series
Fund, Inc., at December 31, 1996 and the results of their
operations, the changes in their net assets and the financial
highlights for each of the periods indicated, in conformity with
generally accepted accounting principles.
January 31, 1997
MAXIM SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
FOREIGN EQUITY PORTFOLIO
GROWTH INDEX PORTFOLIO
INVESTMENT GRADE CORPORATE BOND PORTFOLIO
SHORT-TERM MATURITY BOND PORTFOLIO
SMALL-CAP AGGRESSIVE GROWTH PORTFOLIO
U.S. GOVERNMENT MORTGAGE SECURITIES PORTFOLIO
VALUE INDEX PORTFOLIO
ASSETS:
Investments at value:
Short-term investments
$4,329,266
$1,849,656
$249,953
$213,960
$9,092,598
$21,367,573
$1,287,760
Bonds
98,730,927
38,646,510
134,897,350
Common stocks
74,432,705
82,943,513
70,458,752
120,568,540
Preferred stocks
882,988
Total investments (cost $73,747,756; $72,586,976;
$98,333,268; $38,718,999; $69,691,541; $153,909,364; $98,650,371)
9,644,959
84,793,169
8,980,880
38,860,470
79,551,350
156,264,923
121,856,300
Cash
251,789
1,426
12,758
10,828
15,431
32,499
Dividends and interest receivable
125,985
125,374
2,021,412
585,248
77,141
856,095
231,506
Receivables for securities sold
47,644
36,600
144,076
23,122
35,000
Subscriptions receivable
121,057
175,458
67,032
490,985
190,975
Total assets
80,191,434
85,132,027
101,015,050
39,523,578
80,278,983
157,144,140
122,346,280
LIABILITIES:
Due to GW Capital Management
84,975
43,651
53,071
20,464
69,804
72,634
63,254
Redemptions payable
239,827
167,880
Payables for securities purchased
1,345,166
264,253
18,437,718
Total liabilities
84,975
1,388,817
292,898
20,464
334,057
18,678,232
63,254
NET ASSETS
$80,106,459
$83,743,210
$100,722,152
$39,503,114
$79,944,926
$138,465,908
$122,283,026
NET ASSETS REPRESENTED BY:
Capital stock, $.10 par value
$7,571,845
$5,638,361
$7,885,036
$3,924,888
$5,699,046
$12,020,486
$8,411,423
Additional paid-in capital
66,853,518
66,116,986
93,348,023
35,496,834
63,772,787
127,830,752
90,663,696
Net unrealized appreciation on investments
7,937,569
12,206,193
647,612
141,471
9,859,809
2,355,559
23,205,929
Undistributed net investment income
(395,257)
(21,665)
Accumulated net short-term realized gain
(loss) on investments
1,493,498
(95,049)
(1,238,570)
(60,079)
238,113
(344,155)
2,532
Accumulated net long-term realized gain
(loss) on investments
(1,314,348)
(123,281)
80,051
396,836
(3,396,734)
(554)
Net unrealized (depreciation) on translation of
assets and liabilities denominated in foreign currencies
(2,040,366)
NET ASSETS
$80,106,459
$83,743,210
$100,722,152
$39,503,114
$79,944,926
$138,465,908
$122,283,026
NET ASSET VALUE PER OUTSTANDING SHARE
$1.0580
$1.4852
$1.2774
$1.0065
$1.4028
$1.1519
$1.4538
SHARES OF CAPITAL STOCK:
Authorized
100,000,000
100,000,000
100,000,000
100,000,000
100,000,000
200,000,000
100,000,000
Outstanding
75,718,452
56,383,608
78,850,360
39,248,881
56,990,464
120,204,859
84,114,226
See notes to financial statements.
MAXIM SERIES FUND, INC.
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1996
FOREIGN EQUITY PORTFOLIO
GROWTH INDEX PORTFOLIO
INVESTMENT GRADE CORPORATE BOND PORTFOLIO
SHORT-TERM MATURITY BOND PORTFOLIO
SMALL-CAP AGGRESSIVE GROWTH PORTFOLIO
U.S. GOVERNMENT MORTGAGE SECURITIES PORTFOLIO
VALUE INDEX PORTFOLIO
INVESTMENT INCOME:
Interest
$127,750
$47,650
$6,415,479
$1,729,701
$397,141
$9,387,266
$63,998
Dividends
1,410,130
838,053
644,463
2,682,717
Less: Foreign withholding tax
(214,472)
(154)
(135)
Total income
1,323,408
885,703
6,415,479
1,729,701
1,041,450
9,387,266
2,746,580
EXPENSES:
Salaries
34,865
21,871
Legal and SEC fees
16,610
6,996
Directors' fees
1,084
743
Auditing fees
14,550
6,005
Investment administration
71,436
37,307
Bank and custodial fees
152,665
31,895
Other expenses
30,896
7,094
Management fee
711,998
371,758
575,853
179,920
469,293
791,813
552,296
Total expenses
1,034,104
371,758
575,853
179,920
581,204
791,813
552,296
Less amount paid by the investment advisor
4,231
3,707
Net expenses
1,029,873
371,758
575,853
179,920
577,497
791,813
552,296
NET INVESTMENT INCOME
293,535
513,945
5,839,626
1,549,781
463,953
8,595,453
2,194,284
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net short-term realized gain (loss) on investments
1,493,498
336,539
(1,238,570)
(60,079)
3,358,026
(344,155)
816,122
Net long-term realized gain on investments
1,913,362
6,909,305
80,051
2,255,775
154,023
2,185,585
Change in net unrealized appreciation (depreciation) on
investments
1,732,116
4,368,100
(1,637,586)
53,675
6,998,120
(2,751,951)
12,970,042
Change in net unrealized (depreciation) on translation of
assets and liabilities denominated in foreign currencies
(246,702)
Net change in realized and unrealized appreciation
(depreciation) on investments
4,892,274
11,613,944
(2,796,105)
(6,404)
12,611,921
(2,942,083)
15,971,749
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS
$5,185,809
$12,127,889
$3,043,521
$1,543,377
$13,075,874
$5,653,370
$18,166,033
See notes to financial statements.
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31, 1996 AND 1995
FOREIGN EQUITY PORTFOLIO
1996
1995
GROWTH INDEX PORTFOLIO
1996
1995
INVESTMENT GRADE CORPORATE BOND PORTFOLIO
1996
1995
SHORT-TERM MATURITY BOND PORTFOLIO
1996
1995(A)
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income
$293,535
$397,363
$513,945
$329,503
$5,839,626
$5,335,573
$1,549,781
$195,516
Net short-term realized gain (loss)
1,493,498
336,539
120,810
(1,238,570)
156,126
(60,079)
20,277
Net long-term realized gain (loss)
1,913,362
(2,577,673)
6,909,305
209,530
80,051
1,071,394
Change in net unrealized appreciation
(depreciation)
1,732,116
6,430,706
4,368,100
7,560,999
(1,637,586)
6,368,034
53,675
87,796
Change in net unrealized (depreciation) on
translation of assets and liabilities
denominated in foreign currencies
(246,702)
(974,267)
Net increase in net assets
resulting from operations
5,185,809
3,276,129
12,127,889
8,220,842
3,043,521
12,931,127
1,543,377
303,589
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net
short-term realized gains
(293,535)
(708,989)
(945,533)
(450,313)
(5,839,626)
(5,491,699)
(1,549,781)
(215,793)
From net long-term realized gains
(7,032,586)
(177,275)
Total distributions
(293,535)
(708,989)
(7,978,119)
(627,588)
(5,839,626)
(5,491,699)
(1,549,781)
(215,793)
SHARE TRANSACTIONS:
Net proceeds from sales of shares
46,933,053
55,447,688
72,692,642
33,310,887
51,398,029
49,926,709
52,044,506
20,737,802
Reinvestment of distributions
293,535
708,989
7,978,119
627,588
5,839,626
5,491,699
1,549,781
215,793
Cost of shares redeemed
(36,416,271)
(37,080,562)
(44,592,620)
(12,187,737)
(48,929,802)
(38,923,726)
(29,703,439)
(5,422,721)
Net increase in net assets resulting from
share transactions
10,810,317
19,076,115
36,078,141
21,750,738
8,307,853
16,494,682
23,890,848
15,530,874
Total increase in net assets
15,702,591
21,643,255
40,227,911
29,343,992
5,511,748
23,934,110
23,884,444
15,618,670
NET ASSETS:
Beginning of period
64,403,868
42,760,613
43,515,299
14,171,307
95,210,404
71,276,294
15,618,670
End 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
OTHER INFORMATION:
SHARES:
Sold
45,789,651
58,347,888
47,802,158
27,703,570
40,128,086
39,325,785
51,768,539
20,661,196
Issued in reinvestment of distributions
284,466
754,700
5,375,108
484,476
4,588,258
4,299,393
1,546,276
214,871
Redeemed
(35,600,077)
(38,798,865)
(29,126,291)
(9,858,532)
(38,210,297)
(30,585,272)
(29,542,541)
(5,399,460)
Net increase
10,474,040
20,303,723
24,050,975
18,329,514
6,506,047
13,039,906
23,772,274
15,476,607
(A) The portfolio commenced operations on August 1, 1995.
See notes to financial statements.
(Continued)
MAXIM SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31, 1996 AND 1995
SMALL-CAP AGGRESSIVE GROWTH PORTFOLIO
1996
1995
U.S. GOVERNMENT MORTGAGE SECURITIES PORTFOLIO
1996
1995
VALUE INDEX PORTFOLIO
1996
1995
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income
$463,953
$131,307
$8,595,453
$7,714,475
$2,194,284
$1,264,002
Net short-term realized gain (loss)
3,358,026
1,986,452
(344,155)
816,122
275,426
Net long-term realized gain (loss)
2,255,775
306,493
154,023
1,854,410
2,185,585
687,906
Change in net unrealized appreciation (depreciation)
6,998,120
3,062,251
(2,751,951)
6,454,899
12,970,042
11,173,657
Net increase in net assets resulting from operations
13,075,874
5,486,503
5,653,370
16,023,784
18,166,033
13,400,991
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income and net short-term realized gains
(3,583,866)
(2,117,759)
(8,595,453)
(7,755,725)
(3,007,874)
(1,539,428)
From net long-term realized gains
(1,858,939)
(271,607)
(2,186,139)
(684,281)
Total distributions
(5,442,805)
(2,389,366)
(8,595,453)
(7,755,725)
(5,194,013)
(2,223,709)
SHARE TRANSACTIONS:
Net proceeds from sales of shares
64,452,555
20,096,390
70,074,949
65,265,069
80,133,458
44,956,480
Reinvestment of distributions
5,442,805
2,389,366
8,595,453
7,755,725
5,194,013
2,223,709
Cost of shares redeemed
(26,178,114)
(9,951,691)
(66,812,091)
(45,125,539)
(41,200,363)
(18,784,047)
Net increase in net assets resulting from
share transactions
43,717,246
12,534,065
11,858,311
27,895,255
44,127,108
28,396,142
Total increase in net assets
51,350,315
15,631,202
8,916,228
36,163,314
57,099,128
39,573,424
NET ASSETS:
Beginning of period
28,594,611
12,963,409
129,549,680
93,386,366
65,183,898
25,610,474
End of period
$79,944,926
$28,594,611
$138,465,908
$129,549,680
$122,283,026
$65,183,898
OTHER INFORMATION:
SHARES:
Sold
48,298,315
18,217,542
60,620,445
56,907,542
59,397,860
39,672,567
Issued in reinvestment of distributions
3,944,562
2,063,696
7,479,648
6,748,850
3,609,410
1,841,181
Redeemed
(19,892,161)
(8,931,047)
(57,812,180)
(39,284,555)
(30,534,066)
(16,511,550)
Net increase
32,350,716
11,350,191
10,287,913
24,371,837
32,473,204
25,002,198
See notes to financial statements.
(Concluded)
MAXIM SERIES FUND, INC.
FOREIGN EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, and 1994 is as follows:
Period Ended December 31,
1996
1995
1994 (A)
Net Asset Value, Beginning of Period
$0.9871
$0.9515
$1.0000
Income From Investment Operations
Net investment income (loss)
0.0041
0.0073
(0.0019)
Net realized and unrealized gain (loss)
0.0709
0.0398
(0.0466)
Total Income (Loss) From Investment Operations
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
$1.0580
$0.9871
$0.9515
Total Return
7.61%
5.02%
(4.85)%
Net Assets, End of Period
$80,106,459
$64,403,868
$42,760,613
Average Commission Rate Paid
Per Share Bought or Sold
$0.0252
Ratio of Expenses to Average Net Assets
1.45% #
1.50% #
1.50% * #
Ratio of Net Investment Income to Average Net Assets
0.41%
0.69%
(1.26)% *
Portfolio Turnover Rate
75.65%
119.98%
19.85%
* 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)
MAXIM SERIES FUND, INC.
GROWTH INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, 1994, and 1993 is as
follows:
Period Ended December 31,
1996
1995
1994
1993 (A)
Net Asset Value, Beginning of Period
$1.3459
$1.0120
$1.0064
$1.0000
Income From Investment Operations
Net investment income
0.0114
0.0127
0.0133
0.0015
Net short-term realized gain
0.0084
0.0038
Net long-term realized and unrealized gain
0.2767
0.3394
0.0056
0.0064
Total Income From Investment Operations
0.2965
0.3559
0.0189
0.0079
Less Distributions
From net investment income and
net short-term realized gains
(0.0198)
(0.0165)
(0.0133)
(0.0015)
From net long-term realized gains
(0.1374)
(0.0055)
Total Distributions
(0.1572)
(0.0220)
(0.0133)
(0.0015)
Net Asset Value, End of Period
$1.4852
$1.3459
$1.0120
$1.0064
Total Return
22.10%
35.29%
1.93%
.79%
Net Assets, End of Period
$83,743,210
$43,515,299
$14,171,307
$3,099,916
Average Commission Rate Paid
Per Share Bought or Sold
$0.0358
Ratio of Expenses to Average Net Assets
0.60%
0.60%
0.60%
0.59%*
Ratio of Net Investment Income
to Average Net Assets
0.83%
1.15%
1.57%
1.98%*
Portfolio Turnover Rate
41.55%
17.90%
18.50%
0.06%
* Annualized
(A) The portfolio commenced operations on December 1, 1993.
(Continued)
MAXIM SERIES FUND, INC.
INVESTMENT GRADE CORPORATE BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, 1994, 1993, and 1992 is as
follows:
Period Ended December 31,
1996
1995
1994
1993
1992 (A)
Net Asset Value, Beginning of Period
$1.3161
$1.2019
$1.3090
$1.2957
$1.0000
Income From Investment Operations
Net investment income
0.0777
0.0794
0.0665
0.0691
0.0058
Net short-term realized gain
0.0022
Net long-term realized and
unrealized gain (loss)
(0.0387)
0.1142
(0.1071)
0.0452
0.2957
Total Income (Loss) From
Investment Operations
0.0390
0.1958
(0.0406)
0.1143
0.3015
Less Distributions
From net investment income and
net short-term realized gains
(0.0777)
(0.0816)
(0.0665)
(0.0686)
(0.0058)
From net long-term realized gains
(0.0324)
Total Distributions
(0.0777)
(0.0816)
(0.0665)
(0.1010)
(0.0058)
Net Asset Value, End of Period
$1.2774
$1.3161
$1.2019
$1.3090
$1.2957
Total Return
3.14%
16.71%
(3.15)%
8.95%
29.57%
Net Assets, End of Period
$100,722,152
$95,210,404
$71,276,294
$63,585,296
$49,607,522
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
6.08%
6.30%
5.37%
5.13%
4.71%*
Portfolio Turnover Rate
118.50%
159.21%
51.66%
151.14%
23.91%
* Annualized
(A) The portfolio commenced operations on November 1, 1992.
(Continued)
MAXIM SERIES FUND, INC.
SHORT-TERM MATURITY BOND
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996 and 1995 is as follows:
Period Ended December 31,
1996
1995 (A)
Net Asset Value, Beginning of Period
$1.0092
$1.0000
Income From Investment Operations
Net investment income
0.0489
0.0194
Net short-term realized gain
0.0013
Net long-term realized and unrealized gain (loss)
(0.0027)
0.0092
Total Income From Investment Operations
0.0462
0.0299
Less Distributions
From net investment income and net short-term realized gains
(0.0489)
(0.0207)
Total Distributions
(0.0489)
(0.0207)
Net Asset Value, End of Period
$1.0065
$1.0092
Total Return
4.70%
3.02%
Net Assets, End of Period
$39,503,114
$15,618,670
Ratio of Expenses to Average Net Assets
0.60%
0.53% *
Ratio of Net Investment Income to Average Net Assets
5.15%
4.61% *
Portfolio Turnover Rate
51.71%
97.87%
* Annualized
(A) The portfolio commenced operations on August 1, 1995.
(Continued)
MAXIM SERIES FUND, INC.
SMALL-CAP AGGRESSIVE GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, and 1994 is as follows:
Period Ended December 31,
1996
1995
1994 (A)
Net Asset Value, Beginning of Period
$1.1605
$0.9755
$1.0000
Income From Investment Operations
Net investment income (loss)
0.0091
0.0075
(0.0016)
Net short-term realized gain
0.0597
0.0878
Net long-term realized and unrealized gain (loss)
0.2779
0.1962
(0.0229)
Total Income (Loss) From Investment Operations
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
$1.4028
$1.1605
$0.9755
Total Return
30.09%
29.96%
(2.46)%
Net Assets, End of Period
$79,944,926
$28,594,611
$12,963,409
Average Commission Rate Paid
Per Share Bought or Sold
$0.0573
Ratio of Expenses to Average Net Assets
1.26% #
1.30% #
1.26% * #
Ratio of Net Investment Income to Average Net Assets
0.98%
0.65%
(1.08)% *
Portfolio Turnover Rate
62.63%
99.48%
8.84%
* 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)
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
periods ended December 31, 1996, 1995, 1994, 1993, and 1992 is as
follows:
Period Ended December 31,
1996
1995
1994
1993
1992 (A)
Net Asset Value, Beginning of Period
$1.1786
$1.0917
$1.1813
$1.1503
$1.0000
Income From Investment Operations
Net investment income
0.0751
0.0781
0.0620
0.0788
0.0029
Net realized and unrealized
gain (loss)
(0.0267)
0.0869
(0.0896)
0.0315
0.1598
Total Income (Loss) From
Investment Operations
0.0484
0.1650
(0.0276)
0.1103
0.1627
Less Distributions
From net investment income
(0.0751)
(0.0781)
(0.0620)
0.0788)
(0.0029)
From net realized gains
(0.0005)
(0.0095)
Total Distributions
(0.0751)
(0.0781)
(0.0620)
(0.0793)
(0.0124)
Net Asset Value, End of Period
$1.1519
$1.1786
$1.0917
$1.1813
$1.1503
Total Return
4.29%
15.55%
(2.34)%
9.65%
15.03%
Net Assets, End of Period
$138,465,908
$129,549,680
$93,386,366
$77,052,883
$28,107,848
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
6.51%
6.84%
5.67%
8.12%
3.16%*
Portfolio Turnover Rate
94.63%
188.04%
331.42%
17.78%
33.52%
* Annualized
(A) The portfolio commenced operations on November 1, 1992.
(Continued)
MAXIM SERIES FUND, INC.
VALUE INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share of capital stock of the portfolio for the
periods ended December 31, 1996, 1995, 1994, and 1993 is as
follows:
Period Ended December 31,
1996
1995
1994
1993 (A)
Net Asset Value, Beginning of Period
$1.2623
$0.9614
$1.0118
$1.0000
Income From Investment Operations
Net investment income
0.0298
0.0305
0.0253
0.0014
Net short-term realized gain
0.0101
0.0054
Net long-term realized and unrealized gain (loss)
0.2186
0.3144
(0.0504)
0.0119
Total Income (Loss) From Investment Operations
0.2585
0.3503
(0.0251)
0.0133
Less Distributions
From net investment income and
net short-term realized gains
(0.0399)
(0.0359)
(0.0253)
(0.0014)
From net long-term realized gains
(0.0271)
(0.0135)
(0.0001)
Total Distributions
(0.0670)
(0.0494)
(0.0253)
(0.0015)
Net Asset Value, End of Period
$1.4538
$1.2623
$0.9614
$1.0118
Total Return
20.63%
36.80%
(2.49)%
1.32%
Net Assets, End of Period
$122,283,026
$65,183,898
$25,610,474
$4,337,142
Average Commission Rate Paid
Per Share Bought or Sold
$0.0377
Ratio of Expenses to Average Net Assets
0.60%
0.60%
0.60%
0.59%*
Ratio of Net Investment Income
to Average Net Assets
2.38%
2.87%
3.18%
2.11%*
Portfolio Turnover Rate
16.31%
18.11%
16.88%
8.99%
* Annualized
(A) The portfolio commenced operations on December 1, 1993.
(Concluded)
MAXIM SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
YEARS ENDED DECEMBER 31, 1996 AND 1995
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 The New England Mutual Life Assurance Company
(TNE) to fund benefits under variable annuity contracts issued by
TNE. 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 Growth Index Portfolio and Short-Term Maturity Bond
Portfolio, additional capitalization of $2,500,000 was received on
December 1, 1993 and $3,500,000 was received on August 1, 1995,
respectively. At December 31, 1996, Great-West's investment in the
Portfolios totaled $3,009,793.
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 $18,152,201 and $7,906,667 at
December 31, 1996 and 1995, 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:
Investment Grade Corporate Bond Portfolio
Aggregate Cost
12,076,350
Aggregate Fair Value
12,344,130
Percent of Net Assets
12.26%
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 December 31,1996, 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 year ended
December 31, 1996 were:
U.S. Government Obligations
Other Securities
Portfolio
Foreign Equity
$
$57,571,936
Growth Index
53,708,387
Investment Grade Corporate Bond
7,572,109
112,499,625
Short-Term Maturity Bond
16,317,238
21,944,110
Small-Cap Aggressive Growth
59,608,944
U.S. Government Mortgage Securities
134,089,583
Value Index
55,583,076
The proceeds from sales of U.S. Government obligations and
other securities, excluding short-term investments, during the year
ended December 31, 1996 were:
U.S. Government Obligations
Other Securities
Portfolio
Foreign Equity
$
$49,031,643
Growth Index
25,460,837
Investment Grade Corporate Bond
1,524,219
108,710,818
Short-Term Maturity Bond
11,922,062
3,008,952
Small-Cap Aggressive Growth
25,463,841
U.S. Government Mortgage Securities
122,495,129
Value Index
14,876,269
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation (depreciation) of securities is as
follows as of December 31, 1996:
FOREIGN EQUITY PORTFOLIO
GROWTH INDEX PORTFOLIO
INVESTMENT GRADE CORPORATE BOND PORTFOLIO
SHORT-TERM MATURITY BOND PORTFOLIO
SMALL-CAP AGGRESSIVE GROWTH PORTFOLIO
U.S. GOVERNMENT MORTGAGE SECURITIES PORTFOLIO
VALUE INDEX PORTFOLIO
Gross appreciation
$10,560,528
$13,698,169
$1,182,489
$176,043
$11,042,182
$2,632,786
$24,068,972
Gross depreciation
(4,663,325)
(1,491,976)
(534,877)
(34,572)
(1,182,373)
(277,227)
(863,043)
Net unrealized appreciation
$5,897,203
$12,206,193
$647,612
$141,471
$9,859,809
$2,355,559
$23,205,929
<PAGE>
Maxim Series Fund, Inc.
Bond Portfolio
BONDS
CANADIAN - PROVINCIAL --- 8.1%
3,000,000 Province of Manitoba
3,019,080
Notes
6.750% March 1, 2003
3,000,000 Province of Quebec
3,191,520
Yankee Notes
8.690% February 22, 2001
$6,210,600
COMMUNICATIONS --- 4.2%
3,000,000 Continental Cablevision
3,196,410
Senior Notes
8.500% September 15, 2001
$3,196,410
CONSUMER SERVICES --- 3.9%
3,000,000 Loewen Group International
2,996,934
Guaranteed Senior Notes
7.500% April 15, 2001
$2,996,934
CREDIT INSTITUTIONS --- 27.1%
3,000,000 American Express Credit Corp
2,941,350
Notes
6.125% November 15, 2001
3,000,000 Associates Corporation of North America
2,829,810
Debentures
5.750% October 15, 2003
2,000,000 Capital One Bank
2,030,760
Medium Term Notes
7.350% June 20, 2000
2,000,000 Chrysler Financial Corp
2,008,920
Medium Term Notes
6.520% July 21, 1999
2,000,000 Citicorp
1,920,940
Subordinated Notes
6.375% January 15, 2006
3,000,000 Countrywide Funding Corp
2,903,503
Medium Term Notes
6.280% January 15, 2003
3,000,000 Ford Motor Credit Co
2,967,120
Medium Term Notes
5.370% September 8, 1998
3,000,000 General Electric Capital Corp
3,167,080
Eurodollar Medium Term Notes
8.100% February 15, 2002
$20,769,483
ELECTRIC --- 11.8%
2,000,000 Commonwealth Edison Co
2,030,912
First Mortgage Bonds
7.500% January 1, 2001
3,000,000 Gulf States Utilities Co
2,908,770
First Mortgage Bonds
6.410% August 1, 2001
3,000,000 Iberdrola International#
3,035,730
Notes
7.125% June 1, 2003
1,000,000 Ohio Edison Co
1,052,900
First Mortgage Bonds
8.250% April 1, 2002
$9,028,312
ENVIRONMENTAL SERVICES --- 4.5%
3,300,000 WMX Technologies Inc
3,453,516
Senior Notes
8.250% November 15, 1999
$3,453,516
FOREIGN BANKS --- 11.8%
3,000,000 Bangkok Bank Public Co#
2,933,220
Subordinated Notes
7.250% September 15, 2005
3,000,000 Bayerische Landesbanken NY
3,003,007
Medium Term Notes
6.375% August 31, 2000
3,000,000 Export-Import Bank of Korea
3,067,800
Euronotes
7.250% June 25, 2001
$9,004,027
MFTG - CONSUMER PRODS. --- 6.7%
2,000,000 Fomento Economico Mexicano SA
2,025,000
Euronotes
9.500% July 22, 1997
3,000,000 Fruit of the Loom Inc
3,074,430
Senior Notes
7.875% October 15, 1999
$5,099,430
SECURITIES & COMMODITIES --- 2.7%
2,000,000 World Financial Network Credit Card Trust
2,028,307
ABS Series 1996-B Class A
6.950% April 15, 2006
$2,028,307
SUPRANATIONALS --- 4.3%
3,000,000 Inter-American Development Bank
3,292,500
Eurobonds
8.875% August 22, 2001
$3,292,500
TRANSPORTATION EQUIPMENT --- 4.0%
3,000,000 Lockheed Martin Corp
3,026,700
Notes
6.850% May 15, 2001
$3,026,700
U.S. GOVERNMENTS --- 3.3%
2,500,000 United States of America
2,513,675
Treasury Notes
6.500% October 15, 2006
$2,513,675
WHOLE LOAN --- 3.2%
2,500,000 GE Capital Mortgage Services Inc
2,475,000
Mortgage Pass-Thru 1994-13 A2
6.500% April 25, 2024
$2,475,000
WHOLESALE TRADE -CONSUMER --- 4.0%
3,000,000 Supervalu Inc
3,057,090
Notes
7.250% July 15, 1999
$3,057,090
TOTAL BONDS --- 99.5%
$76,151,984
(Cost $75,685,377)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 0.5%
369,000 Prudential Funding Corp
368,931
$368,931
TOTAL SHORT-TERM INVESTMENTS --- 0.5%
$368,931
(Cost $368,931)
TOTAL BOND PORTFOLIO --- 100.0%
$76,520,915
(Cost $76,054,308)
Maxim Series Fund, Inc.
Money Market Portfolio
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 31.0%
19,200,000 American Express Credit Corp
18,780,188
3,480,000 Associates Corporation of North America
3,521,194
9,400,000 Bellsouth Capital Funding Corp
9,376,238
16,875,000 Ford Motor Credit Co
16,589,363
19,100,000 Halifax Building Society
18,918,181
19,400,000 Paccar Financial Corp
19,337,358
16,589,000 Prudential Funding Corp
16,585,913
2,000,000 Toyota Motor Credit
2,003,176
19,300,000 TransAmerica Financial Corp
19,031,916
$124,143,527
ELECTRIC --- 9.7%
15,302,000 Baltimore Gas & Electric Co
15,274,447
1,500,000 Carolina Power & Light Co
1,501,973
1,142,000 Duke Power Co
1,141,048
3,000,000 South Carolina Electric & Gas
2,987,445
18,000,000 Southern California Edison Co
17,970,542
$38,875,455
ELECTRONICS - HIGH TECH --- 9.6%
19,300,000 Sharp Electronics Corp
19,223,892
19,200,000 Xerox Corp
19,087,776
$38,311,668
FOREIGN BANKS --- 7.1%
14,000,000 Bank of Montreal
13,751,055
15,000,000 Bank of Nova Scotia
14,784,981
$28,536,036
INDUSTRIAL SERVICES --- 4.3%
17,090,000 Fluor Corp
17,021,092
$17,021,092
INSURANCE --- 6.2%
8,133,000 AIG Funding Inc
8,101,798
16,800,000 American General Corp
16,693,190
$24,794,988
LEASING --- 5.2%
4,000,000 International Lease Finance Corp
3,997,010
16,800,000 Pitney Bowes Credit Corp
16,637,757
$20,634,767
MFTG - CONSUMER PRODS. --- 2.1%
8,700,000 McGraw-Hill Companies Inc
8,592,059
$8,592,059
SECURITIES & COMMODITIES --- 14.5%
18,500,000 Bear Stearns Companies Inc
18,499,900
19,300,000 CS First Boston Inc
19,161,566
1,700,000 Merrill Lynch & Co Inc
1,659,094
18,900,000 Morgan Stanley Group Inc
18,804,257
$58,124,817
TELEPHONE --- 4.7%
19,228,000 Ameritech Corp
19,016,931
$19,016,931
U.S. GOVERNMENTS --- 1.2%
5,000,000 Federal National Mortgage Association
4,999,219
$4,999,219
WHOLESALE TRADE -CONSUMER --- 4.3%
17,400,000 Cargill Inc
17,377,086
$17,377,086
TOTAL SHORT-TERM INVESTMENTS --- 100.0%
$400,427,645
(Cost $400,427,645)
TOTAL MONEY MARKET PORTFOLIO --- 100.0%
$400,427,645
(Cost $400,427,645)
Maxim Series Fund, Inc.
Stock Index Portfolio
COMMON STOCK
AGENCY --- 0.6%
161,000 Federal National Mortgage Association
5,997,250
$5,997,250
AGRICULTURE --- 0.0%
8,900 Dole Food Company Inc
301,488
$301,488
AIR --- 0.3%
13,400 AMR Corp*
1,180,875
3,100 Airborne Freight Corp
72,463
2,100 Alaska Air Group Inc*
44,100
4,600 Atlantic Southeast Airlines Inc
100,625
11,000 Delta Air Lines Inc
779,625
6,100 Pittston Brink's Group
164,700
21,350 Southwest Airlines Co
472,369
9,500 US Air Group Inc*
222,063
$3,036,820
COMMUNICATIONS --- 3.5%
18,150 360 Communications Co*
419,719
6,000 AH Belo Corp Class A
209,250
238,900 AT&T Corp
10,392,150
73,900 Airtouch Communications Inc*
1,865,975
23,000 Cabletron Systems Inc*
764,750
4,454 Chris-Craft Industries Inc*
186,511
48,100 Comcast Corp Class A
856,757
7,200 Comsat Corp
177,300
20,800 Gannett Company Inc
1,557,400
6,075 HSN Inc*
144,281
33,350 Nextel Communications Inc Class A*
435,618
63,200 Pacific Telesis Group
2,322,600
3,700 TCA Cable TV Inc
111,463
97,900 Tele-Communications Inc Class A
1,278,770
9,000 Telephone & Data Systems Inc
326,250
83,800 Time Warner Inc
3,142,500
70,400 US West Communications Group
2,270,400
92,100 US West Media Group*
1,703,850
6,100 Vanguard Cellular Systems Inc Class A*
96,075
52,303 Viacom Inc Class B*
1,824,067
72,200 Westinghouse Electric Corp
1,434,975
60,340 Worldcom Inc*
1,572,581
$33,093,242
CONSTRUCTION --- 0.1%
4,200 Centex Corp
158,025
17,516 Clayton Homes Inc
236,466
2,650 Granite Construction Inc
50,350
5,700 Kaufman & Broad Home Corp
73,388
3,500 Pulte Corp
107,625
$625,854
CONSUMER SERVICES --- 8.0%
4,100 Acuson Corp*
99,938
8,000 Allegiance Corp
221,000
9,700 Allergan Inc
345,563
39,000 Amgen Inc*
2,120,625
7,500 Apria Healthcare Group Inc*
140,625
8,300 Bausch & Lomb Inc
290,500
40,200 Baxter International Inc
1,648,200
18,400 Becton Dickinson & Co
798,100
14,600 Beverly Enterprises Inc*
186,150
10,600 Biogen Inc*
410,750
17,000 Biomet Inc
257,125
73,800 Bristol-Myers Squibb Co
8,025,750
2,000 CPI Corp
33,500
8,400 CR Bard Inc
235,200
58,012 CUC International Inc*
1,377,785
15,600 CVS Corp
645,450
6,800 Carter-Wallace Inc
106,250
15,300 Circus Circus Enterprises Inc*
525,938
98,963 Columbia/HCA Healthcare Corp
4,032,742
2,400 Datascope Corp*
48,000
2,000 Diagnostic Products Corp
51,750
81,400 Eli Lilly & Co
5,942,200
6,100 FHP International Corp*
226,463
6,500 Forest Laboratories Inc*
212,875
10,600 Genzyme Corp*
230,550
15,300 H&R Block Inc
443,700
19,000 HFS Inc*
1,135,250
15,150 Harrah's Entertainment Inc*
301,106
6,750 Health Care & Retirement Corp*
193,219
5,100 HealthCare Compare Corp*
216,113
23,214 Healthsouth Corp*
896,641
36,400 Hilton Hotels Corp
950,950
7,652 Horizon/CMS Healthcare Corp*
96,607
24,000 Humana Inc*
459,000
17,200 ITT Corp*
746,050
17,950 Ivax Corp
183,988
196,394 Johnson & Johnson
9,770,602
5,500 King World Productions Inc*
202,813
18,056 Laboratory Corporation of America*
51,911
9,200 Manor Care Inc
248,400
18,850 Marriott International Inc
1,041,463
35,300 Medtronic Inc
2,400,400
177,728 Merck & Company Inc
14,084,944
26,950 Mirage Resorts Inc*
582,794
8,900 Nellcor Inc*
194,688
9,150 Novacare Inc*
100,650
4,600 Pacificare Health Systems Inc Class B*
392,150
7,575 Promus Hotel Corp*
224,409
34,800 Service Corporation International
974,400
11,950 St Jude Medical Inc*
509,369
14,300 Stryker Corp
427,213
32,000 Tenet Healthcare Corp*
700,000
100,030 The Walt Disney Co
6,964,589
27,150 United Healthcare Corp
1,221,750
9,300 United States Surgical Corp
366,188
10,300 Vencor Inc*
325,738
15,400 Whitman Corp
352,275
$74,972,399
CREDIT INSTITUTIONS --- 7.8%
69,900 American Express Co
3,949,350
63,050 Banc One Corp
2,711,150
6,000 Bancorp Hawaii Inc
252,000
22,600 Bank of Boston Corp
1,452,050
57,800 Bank of New York Company Inc
1,950,750
52,874 BankAmerica Corp
5,274,182
12,100 Bankers Trust New York Corp
1,043,625
28,800 Barnett Banks Inc
1,184,400
7,900 Beneficial Corp
500,663
23,000 Boatmen's Bancshares Inc
1,483,500
8,750 Central Fidelity Banks Inc
225,313
69,400 Citicorp
7,148,200
6,500 City National Corp
140,563
15,800 Comerica Inc
827,525
32,815 Corestates Financial Corp
1,702,278
6,300 Crestar Financial Corp
468,563
4,500 Dauphin Deposit Corp
148,500
15,600 Fifth Third Bancorp
979,867
19,800 First Bank System Inc
1,351,350
47,010 First Chicago NBD Corp
2,526,788
11,150 First Security Corp
376,313
9,900 First Tennessee National Corp
371,250
41,817 First Union Corp
3,094,458
4,800 First Virginia Banks Inc
229,800
9,000 First of America Bank Corp
541,125
11,100 Firstar Corp
582,750
38,685 Fleet Financial Group Inc
1,929,414
8,500 Golden West Financial Corp
536,563
20,300 Great Western Financial Corp
588,700
15,700 HF Ahmanson & Co
510,250
14,300 Household International Inc
1,319,175
27,500 JP Morgan & Company Inc
2,684,688
33,202 Keycorp
1,676,701
32,875 MBNA Corp
1,364,313
13,500 Marshall & Ilsley Corp
467,438
19,053 Mellon Bank Corp
1,352,763
8,875 Mercantile Bancorporation Inc
455,953
7,000 Mercantile Bankshares Corp
224,000
32,700 National City Corp
1,467,413
42,715 NationsBank Corp
4,175,391
16,600 Northern Trust Corp
601,750
54,600 Norwest Corp
2,375,100
50,300 PNC Bank Corp
1,892,538
9,200 Regions Financial Corp
475,520
11,800 State Street Boston Corp
761,100
32,900 Suntrust Banks Inc
1,620,325
22,303 US Bancorp
1,002,230
24,500 Wachovia Corp
1,384,250
13,800 Wells Fargo & Co
3,722,550
5,100 Wilmington Trust Co
201,450
$73,305,888
ELECTRIC --- 3.6%
11,339 AES Corp*
527,264
17,900 Allegheny Power System Inc
543,713
27,600 American Electric Power Company Inc
1,135,050
7,700 Atlantic Energy Inc
131,863
21,800 Baltimore Gas & Electric Co
583,150
2,100 Black Hills Corp
59,063
13,600 CMS Energy Corp
457,300
22,300 Carolina Power & Light Co
813,950
31,100 Central & South West Corp
796,938
3,300 Central Louisiana Electric Company Inc
91,163
4,800 Central Maine Power Co
55,800
23,293 Cinergy Corp
777,404
34,600 Consolidated Edison Company of New York Inc
1,012,050
21,400 DTE Energy Co
692,825
8,900 Delmarva Power & Light Co
181,338
26,600 Dominion Resources Inc
1,024,100
29,800 Duke Power Co
1,378,250
63,900 Edison International
1,270,013
34,000 Entergy Corp
943,500
27,000 FPL Group Inc
1,242,000
14,300 Florida Progress Corp
461,175
17,800 GPU Inc
598,525
4,500 Hawaiian Electric Industries Inc
162,563
34,600 Houston Industries Inc
782,825
5,500 Idaho Power Co
171,188
11,200 Illinova Corp
308,000
8,350 Ipalco Enterprises Inc
227,538
9,100 Kansas City Power & Light Co
259,350
9,800 LG&E Energy Corp
240,100
14,833 MidAmerican Energy Holdings Co
235,474
4,800 Minnesota Power & Light Co
132,000
8,000 Montana Power Co
171,000
7,100 Nevada Power Co
145,550
9,600 New England Electric System
334,800
10,500 New York State Electric & Gas Corp
227,063
21,200 Niagara Mohawk Power Corp*
209,350
9,000 Nipsco Industries Inc
356,625
18,800 Northeast Utilities
249,100
10,200 Northern States Power Co
467,925
22,500 Ohio Edison Co
511,875
6,000 Oklahoma Gas & Electric Co
250,500
23,900 PP&L Resources Inc
549,700
43,400 PacifiCorp
889,700
61,000 Pacific Gas & Electric Co
1,281,000
32,800 Peco Energy Co
828,200
12,900 Pinnacle West Capital Corp
409,575
7,500 Portland General Corp
315,000
17,500 Potomac Electric Power Co
450,625
9,600 Public Service Company of Colorado
373,200
6,100 Public Service Company of New Mexico
119,713
35,200 Public Service Enterprise Group Inc
959,200
9,400 Puget Sound Power & Light Co
225,600
15,550 Scana Corp
415,963
99,300 Southern Co
2,246,663
6,000 Southwestern Public Service Co
212,250
17,300 Teco Energy Inc
417,363
33,100 Texas Utilities Co
1,348,825
31,800 Unicom Corp
862,575
15,100 Union Electric Co
581,350
7,700 Utilicorp United Inc
207,900
4,500 WPL Holdings Inc
126,563
16,400 Wisconsin Energy Corp
440,750
$33,480,975
ELECTRONICS - HIGH TECH --- 13.8%
32,380 AMP Inc
1,242,583
8,500 AST Research Inc*
35,590
10,600 Adobe Systems Inc
396,175
20,100 Advanced Micro Devices Inc*
517,575
2,100 Advanced Technology Laboratories Inc*
65,100
17,900 Amdahl Corp*
217,038
13,900 American Power Conversion Corp*
378,775
4,750 Ametek Inc
105,688
17,525 Analog Devices Inc*
593,659
8,925 Andrew Corp*
473,578
18,300 Apple Computer Inc*
382,013
26,500 Applied Materials Inc*
952,331
14,500 Atmel Corp*
480,313
6,400 Avnet Inc
372,800
4,300 Beckman Instruments Inc
165,013
12,900 Black & Decker Corp
388,613
26,230 Boston Scientific Corp*
1,573,800
4,300 Briggs & Stratton Corp
189,200
9,600 Cirrus Logic Inc*
148,800
95,700 Cisco Systems Inc*
6,088,913
39,900 Compaq Computer Corp*
2,962,575
11,900 Cypress Semiconductor Corp*
168,088
17,300 DSC Communications Corp*
309,238
5,800 Data General Corp*
84,100
26,600 Dell Computer Corp*
1,413,125
4,000 Dentsply International Inc
190,000
6,775 Diebold Inc
425,978
22,800 Digital Equipment Corp*
829,350
49,400 Eastman Kodak Co
3,964,350
33,100 Emerson Electric Co
3,202,425
3,200 Exabyte Corp*
42,800
6,733 Federal Signal Corp
174,216
242,700 General Electric Co
23,996,963
20,200 General Instrument Corp*
436,825
111,500 General Motors Corp Class H
6,216,125
7,400 General Signal Corp
316,350
5,700 Harris Corp
391,163
150,026 Hewlett-Packard Co
7,538,807
18,700 Honeywell Inc
1,229,525
9,700 Hubbell Inc Class B
419,525
6,290 Imation Corp*
176,906
11,500 Integrated Device Technology Inc*
156,688
121,000 Intel Corp
15,843,377
6,900 Intergraph Corp*
70,725
76,300 International Business Machines Corp
11,521,300
18,500 International Game Technology
337,625
6,100 Johnson Controls Inc
505,538
5,200 Keystone International Inc
104,650
19,000 LSI Logic Corp*
508,250
11,000 Linear Technology Corp
482,625
6,900 Litton Industries Inc*
328,613
3,800 Magnetek Inc*
48,925
9,325 Mark IV Industries Inc
210,978
9,100 Maxim Integrated Products Inc*
393,575
14,900 Maytag Corp
294,275
2,400 Measurex Corp
57,600
9,400 Mentor Graphics Corp*
91,650
30,800 Micron Technology Inc
897,050
14,862 Molex Inc
581,476
87,400 Motorola Inc
5,364,175
20,400 National Semiconductor Corp*
497,250
38,100 Northern Telecom Ltd
2,357,438
50,700 Novell Inc*
480,028
3,000 OEA Inc
137,250
7,600 Octel Communications Corp*
133,000
6,400 Perkin-Elmer Corp
376,800
6,700 Polaroid Corp
291,450
8,500 Quantum Corp*
243,313
34,800 Raytheon Co
1,674,750
11,400 Scientific-Atlanta Inc
171,000
37,040 Seagate Technology Inc*
1,463,080
10,850 Sensormatic Electronics Corp
181,738
4,950 Sequent Computer Systems Inc*
87,863
25,800 Silicon Graphics Inc*
657,900
8,300 Solectron Corp*
443,013
11,100 Sterling Commerce Inc*
391,275
8,500 Storage Technology Corp*
404,813
3,500 Stratus Computer Inc*
95,375
54,200 Sun Microsystems Inc*
1,392,235
3,800 Symbol Technologies Inc*
168,150
17,400 Tandem Computers Inc*
239,250
4,800 Tektronix Inc
246,000
2,700 Teleflex Inc
140,738
26,400 Tellabs Inc*
993,300
12,300 Teradyne Inc*
299,813
28,000 Texas Instruments Inc
1,785,000
22,025 Thermo Electron Corp
908,531
7,800 Thomas & Betts Corp
346,125
13,000 US Robotics Corp*
936,000
25,800 Unisys Corp*
174,150
4,600 Varian Associates Inc
234,025
9,010 Vishay Intertechnology Inc*
210,609
7,800 WW Grainger Inc
625,950
11,000 Whirlpool Corp
512,875
47,900 Xerox Corp
2,520,738
10,800 Xilinx Inc*
397,570
6,400 York International Corp
357,600
$129,631,081
ENVIRONMENTAL SERVICES --- 0.5%
31,300 Browning-Ferris Industries Inc
821,625
46,300 Laidlaw Inc Class B
532,450
7,300 Ogden Corp
136,875
5,200 Rollins Inc
104,000
8,600 Safety-Kleen Corp
140,825
20,400 USA Waste Services Inc*
650,250
71,500 WMX Technologies Inc
2,332,688
$4,718,713
FORESTRY --- 0.5%
7,100 Boise Cascade Corp
225,425
3,400 Chesapeake Corp
106,675
13,500 Georgia-Pacific Corp
972,000
44,284 International Paper Co
1,787,967
7,600 Longview Fibre Co
139,650
16,000 Louisiana-Pacific Corp
338,000
29,200 Weyerhaeuser Co
1,383,350
$4,953,067
GAS --- 1.1%
8,200 AGL Resources Inc
173,225
7,300 Brooklyn Union Gas Co
219,913
8,100 Columbia Gas System Inc
515,363
14,000 Consolidated Natural Gas Co
773,500
3,000 Eastern Enterprises
106,125
8,084 El Paso Energy Corp
408,257
37,500 Enron Corp
1,617,188
3,300 Indiana Energy Inc
80,438
9,900 MCN Corp
285,863
5,600 National Fuel Gas Co
231,000
7,300 Nicor Inc
260,975
20,200 NorAm Energy Corp
310,575
4,000 OneOk Inc
120,000
12,500 Pacific Enterprises
379,688
22,300 Panenergy Corp
1,003,500
5,200 Peoples Energy Corp
176,150
6,000 Questar Corp
220,500
9,200 Seagull Energy Corp*
202,400
12,700 Sonat Inc
654,050
25,200 Tenneco Inc
1,137,150
6,500 Valero Energy Corp
186,063
6,400 Washington Gas Light Co
144,800
23,100 Williams Companies Inc
866,250
$10,072,973
HIGHWAYS --- 0.1%
3,900 Arnold Industries Inc
61,913
6,500 Consolidated Freightways Inc
144,625
12,100 Ryder System Inc
340,313
$546,851
HOLDING & INVEST. OFFICES --- 0.9%
64,696 Chase Manhattan Corp
5,774,118
25,200 Cognizant Corp*
831,600
18,000 Hibernia Corp
238,500
8,700 MGIC Investment Corp
661,200
8,100 Republic New York Corp
661,163
13,700 Summit Bancorp
599,375
$8,765,956
INDEPENDENT POWER PROD --- 0.0%
9,400 Calenergy Inc*
316,075
$316,075
INDUSTRIAL SERVICES --- 4.9%
8,366 AC Nielsen Corp*
126,536
6,400 Altera Corp*
465,197
13,900 America Online Inc*
462,175
7,500 Arrow Electronics Inc*
401,250
6,700 Autodesk Inc
187,600
42,800 Automatic Data Processing Inc
1,835,050
14,900 BMC Software Inc*
616,488
12,125 Cadence Design Systems Inc*
481,969
10,200 Ceridian Corp*
413,100
7,000 Cintas Corp
411,250
7,450 Comdisco Inc
236,538
53,750 Computer Associates International Inc
2,674,063
11,200 Computer Sciences Corp*
919,800
6,300 Compuware Corp*
315,788
12,100 Deluxe Corp
396,275
25,100 Dun & Bradstreet Corp
596,125
7,000 EG&G Inc
140,875
7,900 Electronic Arts Inc*
236,502
22,300 Equifax Inc
682,938
65,994 First Data Corp
2,408,781
6,650 Fiserv Inc*
244,388
12,300 Fluor Corp
771,825
6,000 Foster Wheeler Corp
222,750
6,400 Gtech Holdings Corp*
204,800
4,100 Information Resources Inc*
57,400
22,100 Informix Corp*
450,288
12,000 Interpublic Group of Companies Inc
570,000
3,800 Jacobs Engineering Group Inc*
89,775
5,650 Kelly Services Inc Class A
152,550
93,873 Lucent Technologies Inc
4,341,626
12,100 Manpower Inc
393,250
10,500 Medaphis Corp*
117,464
176,200 Microsoft Corp*
14,558,525
7,000 National Service Industries Inc
261,625
11,750 Olsten Corp
177,719
11,900 Omnicom Group Inc
544,425
96,950 Oracle Systems Corp*
4,047,663
5,100 PHH Corp
219,300
18,700 Parametric Technology Corp*
960,713
10,575 Paychex Inc
543,946
21,900 Pitney Bowes Inc
1,193,550
2,700 Policy Management Systems Corp*
124,538
11,900 Reynolds & Reynolds Co Class A
309,400
3,500 Shared Medical Systems Corp
172,375
8,200 Sothebys Holdings Inc Class A Ltd (vtg)
152,725
4,200 Standard Register Co
136,500
4,900 Structural Dynamics Research Corp*
98,000
8,050 Symantec Corp*
116,725
6,700 Wallace Computer Services Inc
231,150
7,900 Western Atlas Inc*
559,913
$46,033,208
INSURANCE --- 4.2%
16,000 AON Corp
994,000
22,252 Aetna Inc
1,780,160
20,512 Aflac Inc
876,888
6,600 Alexander & Alexander Services Inc
114,675
65,520 Allstate Corp
3,791,970
9,000 American Financial Group Inc
339,750
30,000 American General Corp
1,226,250
69,250 American International Group Inc
7,496,313
25,700 Chubb Capital Corp
1,381,375
11,200 Cigna Corp
1,530,200
8,700 Foundation Health Corp*
276,225
12,200 General Re Corp
1,924,550
3,000 Hartford Steam Boiler Inspection & Insurance Co
139,125
9,400 Healthsource Inc*
123,375
17,300 ITT Hartford Group Inc
1,167,750
10,500 Jefferson-Pilot Corp
594,563
15,400 Lincoln National Corp
808,500
17,000 Loews Corp
1,602,250
6,400 MBIA Inc
648,000
10,600 Marsh & McLennan Companies Inc
1,102,400
10,550 Progressive Corp
710,806
6,700 Provident Companies Inc
324,113
13,800 Providian Corp
708,975
18,600 SafeCo Corp
733,528
12,300 St Paul Companies Inc
721,088
17,600 SunAmerica Inc
781,000
5,200 The PMI Group Inc
287,950
10,500 Torchmark Corp
530,250
9,750 TransAmerica Corp
770,250
3,400 Transatlantic Holdings Inc
273,700
94,465 Travelers Group Inc
4,286,349
17,300 USF&G Corp
361,138
5,050 USLife Corp
167,913
10,800 Unum Corp
780,300
8,042 Value Health Inc*
156,819
$39,512,498
MFTG - CONSUMER PRODS. --- 11.0%
5,600 Adolph Coors Co Class B
106,400
4,100 Alberto-Culver Co Class B
196,800
25,100 American Brands Inc
1,245,588
11,000 American Greetings Corp Class A
312,125
73,600 Anheuser-Busch Companies Inc
2,944,000
80,183 Archer-Daniels-Midland Co
1,764,026
19,600 Avon Products Inc
1,119,650
4,600 Banta Corp
105,225
10,100 Bed Bath & Beyond Inc*
244,925
10,200 Brown-Forman Corp Class B
466,650
14,500 Brunswick Corp
348,000
9,200 Burlington Industries Inc*
101,200
21,300 CPC International Inc
1,650,750
10,700 Callaway Golf Co
307,625
34,500 Campbell Soup Co
2,768,625
2,900 Church & Dwight Inc
66,338
366,900 Coca-Cola Co
19,308,113
18,500 Coca-Cola Enterprises Inc
897,250
21,700 Colgate-Palmolive Co
2,001,825
35,700 ConAgra Inc
1,776,075
6,100 Dean Foods Co
196,725
14,100 Dial Corp
207,975
14,200 Dow Jones & Company Inc
481,025
2,000 Dreyer's Grand Ice Cream Inc
58,000
11,500 Eastman Chemical Co
635,375
8,650 Flowers Industries Inc
185,975
11,300 Fruit of the Loom Inc Class A*
427,988
23,300 General Mills Inc
1,476,638
2,400 Gibson Greetings Inc*
47,100
65,800 Gillette Co
5,115,950
3,700 Golden Books Family Entertainment
Inc.* 41,163
54,300 HJ Heinz Co
1,941,225
4,400 HON Industries Inc
145,200
10,700 Harcourt General Inc
493,538
12,700 Hasbro Inc
493,713
3,600 Herman Miller Inc
203,850
22,600 Hershey Foods Corp
988,750
11,300 Hormel Foods Corp
305,100
2,200 Houghton Mifflin Co
124,575
14,300 IBP Inc
346,775
16,300 International Flavors & Fragrances Inc
733,500
2,600 International Multifoods Corp
47,125
4,300 JM Smucker Co Class A
75,788
4,600 John H Harland Co
151,800
7,700 Jones Apparel Group Inc*
287,788
5,700 Jostens Inc
120,413
31,100 Kellogg Co
2,040,938
14,100 Knight-Ridder Inc
539,325
4,399 Lancaster Colony Corp
202,354
4,400 Lance Inc
79,200
4,900 Land's End Inc*
129,850
6,900 Lee Enterprises Inc
160,425
13,500 Leggett & Platt Inc
467,438
10,700 Liz Claiborne Inc
413,288
23,700 Masco Corp
853,200
40,141 Mattel Inc
1,113,913
11,900 McCormick & Company Inc (nonvtg)
280,388
14,700 McGraw-Hill Companies Inc
678,038
3,900 Media General Inc Class A
117,975
4,000 Meredith Corp
211,000
2,800 Michael Foods Inc
35,700
1,100 National Presto Industries Inc
41,113
14,370 New York Times Co Class A
546,060
23,400 Newell Co
737,100
5,300 Nine West Group Inc*
245,788
229,100 Pepsico Inc
6,701,175
120,100 Philip Morris Companies Inc
13,526,263
12,100 Pioneer Hi-Bred International Inc
847,000
20,000 Quaker Oats Co
762,500
22,500 RR Donnelley & Sons Co
705,938
15,600 Ralston-Ralston Purina Group
1,144,650
22,100 Rubbermaid Inc
502,775
5,600 Russell Corp
166,600
71,300 Sara Lee Corp
2,655,925
3,900 Savannah Foods & Industries Inc
52,650
2,400 Scholastic Corp*
161,400
55,000 Seagram Company Ltd
2,131,250
20,000 Shaw Industries Inc
235,000
3,000 Springs Industries Inc Class A
129,000
7,300 Stride Rite Corp
73,000
14,600 The Times Mirror Co Class A
726,350
5,100 Tiffany & Co
186,788
9,100 Tribune Co
717,763
9,200 Tupperware Corporation
493,350
21,400 Tyson Foods Inc Class A
732,950
27,600 UST Inc
893,550
8,700 Unifi Inc
279,488
23,600 Unilever NV ADR
4,135,900
5,200 Universal Corp
167,050
3,800 Universal Foods Corp
133,950
9,400 VF Corp
634,500
14,000 Viad Corp
231,000
7,700 Warnaco Group Inc Class A
228,113
1,600 Washington Post Co Class B
536,200
8,200 Willamette Industries Inc
570,925
17,100 Wm Wrigley Jr Co
961,875
$103,382,215
MFTG - INDUSTRIAL PRODS --- 11.7%
25,600 3Com Corp*
1,878,400
5,575 A Schulman Inc
136,588
2,400 AT Cross Co Class A
27,900
114,600 Abbott Laboratories
5,815,950
16,400 Air Products & Chemicals Inc
1,133,650
10,000 Airgas Inc*
220,000
4,500 Albany International Corp Class A
104,063
8,350 Albemarle Corp
151,344
33,400 Alcan Aluminium Ltd
1,123,075
25,750 Allegheny Teledyne Inc
592,250
25,600 Aluminum Company of America
1,632,000
12,500 Alza Corp*
323,438
94,200 American Home Products Corp
5,522,475
15,600 Armco Inc*
64,350
6,100 Armstrong World Industries Inc
423,950
3,300 Arvin Industries Inc
81,675
4,500 Ball Corp
117,000
28,563 Bay Networks Inc*
596,253
7,700 Bemis Company Inc
283,938
16,450 Bethlehem Steel Corp*
148,050
4,100 Betz Laboratories Inc
239,850
5,500 Bowater Inc
206,938
2,400 Brush Wellman Inc
39,300
10,500 Cabot Corp
263,813
5,900 Calgon Carbon Corp
72,275
2,200 Carlisle Companies Inc
133,100
2,500 Carpenter Technology Corp
91,563
10,800 Case Corp
588,600
28,300 Caterpillar Inc
2,129,575
10,200 Centocor Inc*
364,650
14,100 Champion International Corp
609,825
25,100 Chiron Corp*
467,488
5,850 Cincinnati Milacron Inc
127,969
7,600 Clorox Co
762,850
6,600 Consolidated Papers Inc
324,225
15,900 Cooper Industries Inc
669,788
12,300 Cooper Tire & Rubber Co
242,925
33,900 Corning Inc
1,567,875
6,800 Crane Co
197,200
10,700 Crompton & Knowles Corp
205,975
18,900 Crown Cork & Seal Company Inc
1,027,688
7,000 Cytec Industries Inc*
284,375
8,600 Danaher Corp
400,975
38,100 Deere & Co
1,547,813
3,500 Dexter Corp
111,563
16,700 Dover Corp
839,175
36,000 Dow Chemical Co
2,821,500
3,600 Duriron Company Inc
97,650
83,000 EI DuPont De Nemours & Co
7,833,125
34,300 EMC Corp*
1,136,188
9,500 Ecolab Inc
357,438
21,200 Engelhard Corp
405,450
17,400 Ethyl Corp
167,475
5,500 FMC Corp*
385,688
3,900 Ferro Corp
110,663
6,100 First Brands Corp
173,088
5,100 Georgia Gulf Corp
137,063
22,900 Goodyear Tire & Rubber Co
1,176,488
3,100 Goulds Pumps Inc
71,105
9,300 Great Lakes Chemical Corp
434,775
2,100 HB Fuller Co
98,700
7,250 Harnischfeger Industries Inc
348,906
3,700 Harsco Corp
253,450
15,100 Hercules Inc
653,075
13,600 IMC Global Inc
532,100
17,400 ITT Industries Inc
426,300
18,300 Illinois Tool Works Inc
1,461,713
16,100 Ingersoll-Rand Co
716,450
7,200 Inland Steel Industries Inc
144,000
12,700 James River Corporation of Virginia
420,688
2,400 Kaydon Corp
113,100
3,900 Kennametal Inc
151,613
41,690 Kimberly-Clark Corp
3,970,973
6,600 Lawter International Inc
83,325
8,800 Lubrizol Corp
272,800
2,200 Lukens Inc
44,275
11,800 Lyondell Petrochemical Co
259,600
7,600 MA Hanna Co
166,250
10,900 Mallinckrodt Inc
480,963
7,700 Mead Corp
447,563
6,400 Millipore Corp
264,800
3,300 Minerals Technologies Inc
135,300
61,600 Minnesota Mining & Manufacturing Co
5,105,100
4,400 Modine Manufacturing Co
117,700
86,700 Monsanto Co
3,370,463
14,700 Moore Corporation Ltd
299,513
21,000 Morton International Inc
855,750
17,900 Mylan Laboratories Inc
299,825
1,100 NCH Corp
66,275
1,300 Nacco Industries Inc Class A
69,550
9,900 Nalco Chemical Co
357,638
2,600 Nordson Corp
165,750
12,900 Nucor Corp
657,900
7,400 Olin Corp
278,425
3,800 Oregon Steel Mills Inc
63,650
6,300 PH Glatfelter Co
113,400
27,000 PPG Industries Inc
1,515,375
16,900 Pall Corp
430,950
10,950 Parker Hannifin Corp
424,313
5,500 Pentair Inc
177,375
11,200 Perrigo Co*
102,200
95,000 Pfizer Inc
7,873,125
74,960 Pharmacia & Upjohn Inc
2,970,290
4,300 Potlatch Corp
184,900
23,100 Praxair Inc
1,065,488
3,550 Precision Castparts Corp
176,169
3,500 RP Scherer Corp*
175,875
11,425 RPM Inc (Ohio)
194,225
6,600 Raychem Corp
528,825
9,400 Reynolds Metals Co
529,925
32,200 Rockwell Intl
1,960,175
9,600 Rohm & Haas Co
783,600
54,500 Schering-Plough Corp
3,528,875
6,300 Sealed Air Corp*
262,238
1,500 Sequa Corp Class A*
58,875
12,700 Sherwin-Williams Co
711,200
7,400 Sigma Aldrich Corp
462,034
9,000 Snap-On Inc
320,625
13,370 Sonoco Products Co
345,949
3,200 Southdown Inc
99,600
4,900 Stewart & Stevenson Services Inc
142,713
14,600 Stone Container Corp
217,175
5,400 Tambrands Inc
220,725
3,200 Tecumseh Products Co Class A
183,600
8,200 Temple-Inland Inc
443,825
7,900 The BF Goodrich Co
319,950
13,100 The Stanley Works
353,700
4,600 The Timken Co
211,025
6,300 Trinity Industries Inc
236,250
4,200 Trinova Corp
152,775
23,100 Tyco International Ltd
1,221,413
42,400 USX-Marathon Group
1,012,300
12,400 USX-US Steel Group
389,050
10,300 Union Camp Corp
491,825
19,000 Union Carbide Corp
776,625
4,600 Varco International Inc*
106,375
3,700 Verifone Inc*
109,150
13,100 WR Grace & Co
677,925
40,000 Warner-Lambert Co
3,000,000
5,400 Watson Pharmaceuticals Inc*
242,660
4,100 Watts Industries Inc Class A
97,888
5,391 Wausau Paper Mills Co
99,734
4,900 Wellman Inc
83,913
15,050 Westvaco Corp
432,688
8,400 Witco Corp
256,200
13,350 Worthington Industries Inc
241,969
$109,071,960
MINING --- 0.8%
8,100 Alumax Inc*
270,338
6,300 Asarco Inc
156,713
52,616 Barrick Gold Corp
1,512,710
33,000 Battle Mountain Gold Co
226,875
3,400 Calmat Co
63,750
1,700 Cleveland-Cliffs Inc
77,138
13,700 Cyprus Amax Minerals Co
320,238
20,500 Echo Bay Mines Ltd
135,813
28,694 Freeport-McMoran Copper & Gold Inc Class B
857,233
21,600 Homestake Mining Co
307,800
24,850 Inco Ltd
792,094
1,300 Maxxam Inc*
61,913
14,656 Newmont Mining Corp
655,856
9,600 Phelps Dodge Corp
648,000
35,300 Placer Dome Inc
767,775
19,360 Santa Fe Pacific Gold Corp
297,660
5,100 Vulcan Materials Co
310,463
$7,462,369
OIL & GAS --- 8.7%
13,700 Amerada Hess Corp
792,888
73,300 Amoco Corp
5,900,650
8,800 Anadarko Petroleum Corp
569,800
13,250 Apache Corp
468,719
9,500 Ashland Inc
416,813
23,700 Atlantic Richfield Co
3,140,250
5,600 BJ Services Company USA*
285,600
21,300 Baker Hughes Inc
734,850
18,400 Burlington Resources Inc
926,900
96,200 Chevron Corp
6,253,000
15,500 Coastal Corp
757,563
26,250 Dresser Industries Inc
813,750
10,400 Ensco International Inc*
504,400
10,300 Enserch Corp
236,900
183,100 Exxon Corp
17,943,800
5,050 Giddings & Lewis Inc
65,019
24,900 Global Marine Inc*
513,563
18,500 Halliburton Co
1,114,625
3,700 Helmerich & Payne Inc
192,863
7,200 Kerr-McGee Corp
518,400
5,050 Lousiana Land & Exploration Co
270,806
8,400 Mapco Inc
285,600
8,000 McDermott International Inc
133,000
58,100 Mobil Corp
7,102,725
6,600 Murphy Oil Corp
367,125
12,750 Nabors Industries Inc*
245,438
8,400 Noble Affiliates Inc
402,150
48,500 Occidental Petroleum Corp
1,133,688
15,400 Oryx Energy Co*
381,150
5,300 Parker & Parsley Petroleum Co
194,775
9,600 Parker Drilling Co*
92,400
6,900 Pennzoil Co
389,850
38,800 Phillips Petroleum Co
1,716,900
5,250 Quaker State Corp
74,156
14,500 Ranger Oil Ltd
143,188
12,600 Rowan Companies Inc*
285,075
79,000 Royal Dutch Petroleum Co ADR
13,489,250
13,300 Santa Fe Energy Resources Inc*
184,538
36,300 Schlumberger Ltd
3,625,463
5,900 Smith International Inc*
264,763
10,900 Sun Company Inc
265,688
39,000 Texaco Inc
3,826,875
6,400 Tosco Corp
506,400
7,600 Transocean Offshore Inc
475,950
10,986 Ultramar Diamond Shamrock Corp
347,432
36,866 Union Pacific Resources Group Inc
1,078,331
36,900 UnoCal Corp
1,499,063
7,726 Weatherford Enterra Inc*
231,780
$81,163,912
OTHER ASSET-BACKED --- 0.1%
20,300 Green Tree Financial Corp
784,088
14,175 Southtrust Corp
494,353
$1,278,441
OTHER TRANS. SERVICES --- 0.2%
3,800 APL Ltd
89,775
6,700 Alexander & Baldwin Inc
167,500
5,800 Caliber System Inc
111,650
16,800 Federal Express Corp*
747,600
3,000 GATX Corp
145,500
5,600 JB Hunt Transport Services Inc
78,400
5,300 Overseas Shipholding Group Inc
90,100
9,100 Tidewater Inc
411,775
$1,842,300
RAILROADS --- 0.9%
22,600 Burlington Northern Santa Fe
1,952,075
32,000 CSX Corp
1,352,000
11,900 Conrail Inc
1,185,538
9,050 Illinois Central Corp Class A
289,600
5,500 Kansas City Southern Industries Inc
247,500
18,500 Norfolk Southern Corp
1,618,750
36,100 Union Pacific Corp
2,170,513
$8,815,976
REAL ESTATE --- 0.0%
953 Echelon International Corp*
14,891
$14,891
RETAIL TRADE --- 5.1%
37,200 Albertson's Inc
1,325,250
21,500 American Stores Co
878,813
3,800 AnnTaylor Stores Corp*
66,500
24,300 Autozone Inc*
668,250
6,300 Best Buy Inc*
66,938
6,200 Bob Evans Farms Inc
83,700
11,400 Brinker International Inc*
182,400
6,600 Buffets Inc*
60,225
15,400 Charming Shoppes Inc*
77,955
14,400 Circuit City Stores Inc
433,800
7,025 Claire's Stores Inc
91,325
9,875 Consolidated Stores Corp*
318,469
8,900 Cracker Barrel Old Country Store Inc
225,838
23,100 Darden Restaurants Inc
202,125
32,000 Dayton Hudson Corp
1,256,000
16,700 Dillard Department Stores Inc Class A
515,613
10,782 Dollar General Corp
345,024
3,800 Donaldson Company Inc
127,300
4,000 Duty Free International Inc
58,000
8,400 Family Dollar Stores Inc
171,150
5,600 Fastenal Co
256,200
30,600 Federated Department Stores Inc*
1,044,225
6,800 Fingerhut Companies Inc
83,300
4,500 Fred Meyer Inc*
159,750
42,100 Gap Inc
1,268,263
4,900 Gencorp Inc
88,813
17,750 Genuine Parts Co
789,875
8,800 Giant Food Inc Class A
303,600
5,600 Great Atlantic & Pacific Tea Company Inc
178,500
3,200 Hancock Fabrics Inc
33,200
6,200 Hannaford Brothers Co
210,800
7,125 Heilig-Meyers Co
115,781
70,800 Home Depot Inc
3,548,850
5,100 Intelligent Electronics Inc*
40,800
3,300 International Dairy Queen Inc Class A*
66,000
34,000 JC Penney & Company Inc
1,657,500
71,300 K Mart Corp*
739,738
10,900 Kohls Corp*
427,825
18,550 Kroger Co*
862,575
40,000 Limited Inc
735,000
6,000 Lone Star Steakhouse & Saloon Inc*
160,500
2,900 Longs Drug Stores Corp
142,463
25,500 Lowe's Companies Inc
905,250
3,800 MacFrugal's Bargains-Close-Outs Inc*
99,275
37,100 May Department Stores Co
1,734,425
102,900 McDonald's Corp
4,656,225
5,400 Mercantile Stores Company Inc
266,625
5,100 Micro Warehouse Inc*
59,925
12,000 Nordstrom Inc
425,244
23,125 Office Depot Inc*
410,469
18,150 Officemax Inc*
192,844
7,100 Outback Steakhouse Inc*
189,925
7,600 Owens Corning
323,950
5,916 Payless Shoesource Inc*
221,850
9,200 Pep Boys - Manny Moe & Jack
282,900
10,100 Revco DS Inc*
373,700
18,100 Rite Aid Corp
719,475
6,800 Ruddick Corp
95,200
3,050 Sbarro Inc
77,775
57,700 Sears Roebuck & Co
2,661,413
14,600 Service Merchandise Co Inc*
62,050
23,670 Staples Inc*
427,528
11,500 TJX Companies Inc
544,813
8,700 Tandy Corp
382,800
40,400 Toys R Us Inc*
1,212,000
12,300 Viking Office Products Inc*
328,250
6,400 Vons Companies Inc*
383,200
4,800 Waban Inc*
124,800
338,200 Wal-Mart Stores Inc
7,736,325
36,300 Walgreen Co
1,452,000
19,100 Wendy's International Inc
391,550
22,300 Winn-Dixie Stores Inc
705,238
19,700 Woolworth Corp*
430,938
$47,946,195
SECURITIES & COMMODITIES --- 0.9%
9,350 AG Edwards Inc
314,394
17,089 Bear Stearns Companies Inc
476,356
25,850 Charles Schwab & Company Inc
827,200
23,703 Dean Witter Discover & Co
1,570,324
12,050 Franklin Resources Inc
823,919
24,300 Merrill Lynch & Co Inc
1,980,450
22,500 Morgan Stanley Group Inc
1,285,313
13,700 Paine Webber Group Inc
385,313
16,100 Salomon Inc
758,713
8,400 T Rowe Price & Associates Inc
365,400
$8,787,382
TELEPHONE --- 4.0%
19,200 ADC Telecommunications Inc*
597,600
5,400 Aliant Communications Inc
91,800
28,000 Alltel Corp
878,500
81,000 Ameritech Corp
4,910,625
64,500 Bell Atlantic Corp
4,176,375
146,500 Bellsouth Corp
5,914,938
8,800 Century Telephone Enterprises Inc
271,700
24,100 Frontier Corp
545,263
142,000 GTE Corp
6,461,000
101,000 MCI Communications Corp
3,301,387
64,900 Nynex Corp
3,123,313
89,000 SBC Communications Inc
4,605,750
9,700 Southern New England Telecommunications Corp
377,088
63,450 Sprint Corp
2,530,069
$37,785,408
TRANSPORTATION EQUIPMENT --- 3.4%
41,700 Allied-Signal Inc
2,793,900
107,400 Chrysler Corp
3,544,200
5,800 Cummins Engine Company Inc
266,800
15,000 Dana Corp
489,375
11,400 Eaton Corp
795,150
9,100 Echlin Inc
287,788
5,200 Federal-Mogul Corp
114,400
5,200 Fleetwood Enterprises Inc
143,000
174,800 Ford Motor Co
5,571,750
9,300 General Dynamics Corp
655,650
11,200 Harley-Davidson Inc
526,400
28,441 Lockheed Martin Corp
2,602,352
31,600 McDonnell Douglas Corp
2,022,400
11,090 Navistar International Corp*
101,196
5,020 Newport News Shipbuilding Inc*
75,300
8,500 Northrop Grumman Corp
703,375
5,720 Paccar Inc
388,960
3,300 Rohr Inc*
74,663
8,900 Sundstrand Corp
378,250
4,200 Superior Industries International Inc
97,125
19,000 TRW Inc
940,500
12,200 Textron Inc
1,149,850
52,848 The Boeing Co
5,621,706
2,700 Thiokol Corp
120,825
35,400 United Technologies Corp
2,336,400
$31,801,315
U.S. GOVERNMENTS --- 0.3%
26,400 Federal Home Loan Mortgage Corp
2,907,300
$2,907,300
WATER --- 0.0%
11,500 American Water Works Company Inc
237,188
$237,188
WHOLESALE TRADE - INDL --- 0.1%
19,200 Alco Standard Corp
991,200
1,700 Lawson Products Inc
37,188
6,300 McKesson Corp
352,800
$1,381,188
WHOLESALE TRADE -CONSUMER --- 1.9%
15,400 Avery Dennison Corp
544,775
5,940 Bergen Brunswig Corp Class A
169,290
14,830 Cardinal Health Inc
863,848
5,500 Fleming Companies Inc
94,875
42,500 Nike Inc Class B
2,539,375
28,971 Price/Costco Inc*
727,896
100,600 Procter & Gamble Co
10,814,500
4,300 Rayonier Inc
165,013
8,200 Reebok International Ltd
344,400
2,700 Stanhome Inc
71,550
9,900 Supervalu Inc
280,913
26,700 Sysco Corp
870,977
$17,487,412
TOTAL COMMON STOCK --- 99.4%
$930,729,790
(Cost $591,755,456)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 0.6%
5,324,000 Prudential Funding Corp
5,323,009
$5,323,009
TOTAL SHORT-TERM INVESTMENTS --- 0.6%
$5,323,009
(Cost $5,323,009)
TOTAL STOCK INDEX PORTFOLIO --- 100.0%
$936,052,799
(Cost $597,078,465)
Maxim Series Fund, Inc.
Total Return Portfolio
BONDS
CANADIAN - FEDERAL --- 6.8%
5,425,000 Canada
4,410,436
Debentures
8.000% June 1, 2023
$4,410,436
CREDIT INSTITUTIONS --- 2.9%
1,000,000 Associates Corporation of North America
1,039,470
Senior Notes
8.800% August 1, 1998
825,000 Fleet Financial Group Shelf 12
840,502
Notes
7.250% September 1, 1999
$1,879,972
U.S. GOVERNMENTS --- 23.9%
4,475,000 United States of America
4,709,938
Treasury Notes
7.250% August 15, 2004
2,125,000 United States of America
2,180,123
Treasury Notes
8.125% February 15, 1998
1,600,000 United States of America
1,676,256
Treasury Notes
7.875% November 15, 1999
6,700,000 United States of America
6,826,697
Treasury Notes
6.750% April 30, 2000
$15,393,014
TOTAL BONDS --- 33.7%
$21,683,422
(Cost $21,391,738)
COMMON STOCK
COMMUNICATIONS --- 2.0%
15,600 Jacor Communications Inc Class A*
427,050
43,500 Westinghouse Electric Corp
864,563
$1,291,613
CONSUMER SERVICES --- 6.9%
27,500 ADT Ltd (Bermuda Reg)*
629,063
14,600 American Medical Response Inc*
474,500
10,600 Eli Lilly & Co
773,800
6,100 ITT Corp*
264,588
16,100 Marriott International Inc
889,525
28,798 MedPartners Inc*
604,758
29,900 Service Corporation International
837,200
$4,473,434
CREDIT INSTITUTIONS --- 5.7%
18,500 American Express Co
1,045,250
8,300 BankAmerica Corp
827,925
12,000 First Bank System Inc
819,000
14,100 Mellon Bank Corp
1,001,100
$3,693,275
ELECTRONICS - HIGH TECH --- 7.2%
15,000 Boston Scientific Corp*
900,000
9,100 Compaq Computer Corp*
675,675
7,000 Intel Corp
916,559
29,500 International Game Technology
538,375
15,700 Perkin-Elmer Corp
924,338
25,400 Sun Microsystems Inc*
652,450
$4,607,397
ENVIRONMENTAL SERVICES --- 0.4%
19,200 Philip Environmental Inc*
278,400
$278,400
GAS --- 1.2%
15,800 Pogo Producing Co
746,550
$746,550
HOLDING & INVEST. OFFICES --- 3.3%
9,900 Chase Manhattan Corp
883,575
12,300 Equity Residential Properties Trust
507,375
9,300 MGIC Investment Corp
706,800
$2,097,750
INDEPENDENT POWER PROD --- 1.3%
24,100 Calenergy Co Inc*
810,363
$810,363
INDUSTRIAL SERVICES --- 2.8%
10,650 COREStaff Inc*
252,267
19,200 Fiserv Inc*
705,600
10,400 Microsoft Corp*
859,300
$1,817,167
INSURANCE --- 2.5%
10,500 Allstate Corp
607,688
9,300 American International Group Inc
1,006,725
$1,614,413
MFTG - CONSUMER PRODS. --- 3.9%
21,800 Anheuser-Busch Companies Inc
872,000
10,400 Campbell Soup Co
834,600
15,300 Coca-Cola Co
805,163
$2,511,763
MFTG - INDUSTRIAL PRODS --- 5.6%
11,500 Aluminum Company of America
733,125
11,200 Kennametal Inc
435,400
19,000 Lear Corp*
648,375
12,200 Pfizer Inc
1,011,075
24,550 United States Filter Co*
779,463
$3,607,438
MINING --- 3.2%
12,600 Newmont Mining Corp
563,850
10,400 Phelps Dodge Corp
702,000
9,200 Potash Corporation of Saskatchewan Inc
782,000
$2,047,850
OIL & GAS --- 9.6%
18,100 Burlington Resources Inc
911,788
19,800 Coastal Corp
967,725
14,600 Devon Energy Corp
507,350
30,700 Nabors Industries Inc*
590,975
15,600 Newpark Resources Inc*
581,100
8,200 Schlumberger Ltd
818,975
9,400 Texaco Inc
922,375
14,400 Transocean Offshore Inc
901,800
$6,202,088
RETAIL TRADE --- 3.2%
26,400 Federated Department Stores Inc*
900,900
18,900 TJ International Inc
439,425
18,600 Walgreen Co
744,000
$2,084,325
TRANSPORTATION EQUIPMENT --- 2.6%
20,100 Chrysler Corp
663,300
9,600 The Boeing Co
1,021,200
$1,684,500
WHOLESALE TRADE -CONSUMER --- 1.1%
6,700 Procter & Gamble Co
720,245
$720,245
TOTAL COMMON STOCK --- 62.5%
$40,288,571
(Cost $31,587,753)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 3.8%
2,447,000 Prudential Funding Corp
2,446,545
$2,446,545
TOTAL SHORT-TERM INVESTMENTS --- 3.8%
$2,446,545
(Cost $2,446,545)
TOTAL TOTAL RETURN PORTFOLIO --- 100.0%
$64,418,538
(Cost $55,426,036)
Maxim Series Fund, Inc.
U S Government Securities Portfolio
BONDS
AGENCY --- 64.5%
3,000,000 Federal Farm Credit Bank
2,991,900
Medium Term Notes
6.320% June 4, 2001
599,438 Federal Home Loan Mortgage Corp
608,429
Pool #220010
8.750% August 1, 2001
785,482 Federal Home Loan Mortgage Corp
861,124
Pool #260025
10.250% October 1, 2010
1,000,568 Federal Home Loan Mortgage Corp
1,085,617
Pool #G00300
9.500% April 1, 2025
185,235 Federal Home Loan Mortgage Corp
179,736
Pool #E58355
6.000% April 1, 2009
1,000,000 Federal Home Loan Mortgage Corp
993,750
CMO Series 1714 Class E
6.250% September 15, 2018
105,923 Federal Home Loan Mortgage Corp
112,215
Pool #730105
10.000% July 1, 2005
217,913 Federal Home Loan Mortgage Corp
211,444
Pool #E55428
6.000% January 1, 2009
1,500,000 Federal Home Loan Mortgage Corp
1,503,750
Gold TBA
7.500% December 1, 2026
401,619 Federal Home Loan Mortgage Corp
389,695
Pool #G10257
6.000% July 1, 2009
1,666,952 Federal Home Loan Mortgage Corp
1,617,460
Pool #G10331
6.000% September 1, 2009
135,729 Federal Home Loan Mortgage Corp
131,699
Pool #E57977
6.000% April 1, 2009
1,487,884 Federal Home Loan Mortgage Corp
1,471,145
Pool #E00177
6.500% December 1, 2007
123,045 Federal Home Loan Mortgage Corp
119,392
Pool #E00241
6.000% October 1, 2008
477,558 Federal Home Loan Mortgage Corp
463,379
Pool #E00291
6.000% April 1, 2009
584,466 Federal Home Loan Mortgage Corp
567,113
Pool #G10205
6.000% May 1, 2009
214,477 Federal Home Loan Mortgage Corp
208,109
Pool #E58713
6.000% May 1, 2009
850,129 Federal Home Loan Mortgage Corp
1,009,783
Pool #N70016
11.000% July 1, 2020
789,814 Federal Home Loan Mortgage Corp
767,384
Pool #M70044
6.000% March 1, 2009
2,101,782 Federal Home Loan Mortgage Corp
2,169,460
Pool #G00256
8.000% November 1, 2023
56,493 Federal Home Loan Mortgage Corp
59,848
Pool #730096
10.000% July 1, 2005
115,152 Federal Home Loan Mortgage Corp
111,733
Pool #E57809
6.000% April 1, 2009
7,593 Federal Home Loan Mortgage Corp
7,587
Pool #230019
8.500% October 1, 2006
1,992,665 Federal National Mortgage Association
2,007,012
Pool #288748
7.500% September 1, 2024
939,859 Federal National Mortgage Association
946,626
Pool #288761
7.500% October 1, 2024
973,163 Federal National Mortgage Association
1,018,474
Pool #124652
8.500% July 1, 2022
91,859 Federal National Mortgage Association
88,098
Pool #050992
6.500% March 1, 2024
646,060 Federal National Mortgage Association
688,893
Pool #039271
8.950% December 1, 2016
924,708 Federal National Mortgage Association
900,490
Pool #288916
6.500% May 1, 2011
3,000,000 Federal National Mortgage Association
3,004,800
Pool #367214
7.500% October 1, 2025
2,000,000 Federal National Mortgage Association
1,958,800
TBA
7.000% December 1, 2026
436,278 Federal National Mortgage Association
418,417
Pool #249455
6.500% April 1, 2024
180,334 Federal National Mortgage Association
172,725
Pool #278431
6.500% May 1, 2024
1,051,140 Federal National Mortgage Association
973,671
CMO Series 1993-68 Class Z
6.000% May 25, 2008
1,989,263 Federal National Mortgage Association
2,088,129
Pool #335660
8.500% June 1, 2020
447,783 Federal National Mortgage Association
429,450
Pool #265868
6.500% January 1, 2024
527,734 Federal National Mortgage Association
506,129
Pool #267849
6.500% February 1, 2024
226,806 Federal National Mortgage Association
217,520
Pool #268691
6.500% May 1, 2024
487,552 Federal National Mortgage Association
467,591
Pool #274657
6.500% April 1, 2024
263,242 Federal National Mortgage Association
252,465
Pool #279255
6.500% April 1, 2024
486,357 Federal National Mortgage Association
465,838
Pool #286108
6.500% June 1, 2024
799,279 Federal National Mortgage Association
766,556
Pool #050965
6.500% January 1, 2024
3,379,740 Federal National Mortgage Association
3,547,713
Pool #303583
8.500% April 1, 2025
1,853,959 Federal National Mortgage Association
1,822,071
Pool #303450
7.000% November 1, 2024
1,709,847 Federal National Mortgage Association
1,722,158
Pool #288735
7.500% August 1, 2024
2,000,000 Federal National Mortgage Association
2,001,200
TBA
7.000% December 1, 2011
307,934 Federal National Mortgage Association
295,327
Pool #250178
6.500% September 1, 2024
219,071 Federal National Mortgage Association
210,102
Pool #025004
6.500% April 1, 2024
$44,612,007
U.S. GOVERNMENTS --- 26.3%
2,000,328 Government National Mortgage Association
2,004,128
Pool #399917
7.500% April 15, 2026
6,533,766 Government National Mortgage Association
6,401,131
Pool #417239
7.000% February 15, 2026
1,376,209 Government National Mortgage Association
1,476,397
Pool #248357
9.000% July 15, 2018
156,585 Government National Mortgage Association II
168,423
Pool #001831
9.500% May 20, 2022
1,000,000 US Department of Veterans Affairs
977,500
Vendee Trust Series 1996-3 1E
6.750% August 15, 2020
2,200,000 US Department of Veterans Affairs
2,239,160
Vendee Trust Series 1995-3 1C
7.250% July 15, 2014
2,492,000 US Department of Veterans Affairs
2,461,598
Vendee Trust Series 1996-1 1D
6.750% October 15, 2016
2,500,000 United States of America
2,502,350
Treasury Notes
6.250% October 31, 2001
$18,230,687
TOTAL BONDS --- 90.8%
$62,842,694
(Cost $61,436,136)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 4.9%
2,500,000 Ford Motor Credit Co
2,494,462
882,000 Prudential Funding Corp
881,836
$3,376,298
SECURITIES & COMMODITIES --- 4.3%
3,000,000 Morgan Stanley Group Inc
2,994,117
$2,994,117
TOTAL SHORT-TERM INVESTMENTS --- 9.2%
$6,370,415
(Cost $6,370,415)
TOTAL U S GOVERNMENT SECURITIES PORTFOLIO --- 100.0%
$69,213,109
(Cost $67,806,551)
Great-West Life & Annuity Insurance Company
Variable Annuity Account A
BONDS
WHOLESALE TRADE - INDL --- 0.0%
1,217 Surgical Laser Technologies Inc
0
Convertible Subordinated Notes
8.000% July 30, 1999
$0
TOTAL BONDS --- 0.0%
$00
(Cost $0)
COMMON STOCK
COMMUNICATIONS --- 3.0%
2,900 Jacor Communications Inc Class A*
79,388
7,600 Westinghouse Electric Corp
151,050
$230,438
CONSUMER SERVICES --- 10.2%
5,000 ADT Ltd*
114,375
3,000 American Medical Response Inc*
97,500
1,600 Eli Lilly & Co
116,800
1,400 ITT Corp*
60,725
2,700 Marriott International Inc
149,175
4,840 MedPartners Inc*
101,640
5,100 Service Corporation International
142,800
$783,015
CREDIT INSTITUTIONS --- 8.5%
3,100 American Express Co
175,150
1,500 BankAmerica Corp
149,625
2,300 First Bank System Inc
156,975
2,400 Mellon Bank Corp
170,400
$652,150
ELECTRONICS - HIGH TECH --- 10.8%
2,700 Boston Scientific Corp*
162,000
1,600 Compaq Computer Corp*
118,800
1,300 Intel Corp
170,218
5,000 International Game Technology
91,250
2,800 Perkin-Elmer Corp
164,850
4,600 Sun Microsystems Inc*
118,160
$825,278
ENVIRONMENTAL SERVICES --- 0.5%
2,900 Philip Environmental Inc*
42,050
$42,050
GAS --- 1.8%
2,900 Pogo Producing Co
137,025
$137,025
HOLDING & INVEST. OFFICES --- 4.6%
1,700 Chase Manhattan Corp
151,725
2,000 Equity Residential Properties Trust
82,500
1,500 MGIC Investment Corp
114,000
$348,225
INDEPENDENT POWER PROD --- 2.1%
4,800 Calenergy Inc*
161,400
$161,400
INDUSTRIAL SERVICES --- 4.1%
1,950 COREStaff Inc*
46,190
3,200 Fiserv Inc*
117,600
1,800 Microsoft Corp*
148,725
$312,515
INSURANCE --- 3.6%
1,800 Allstate Corp
104,175
1,600 American International Group Inc
173,200
$277,375
MFTG - CONSUMER PRODS. --- 6.0%
3,800 Anheuser-Busch Companies Inc
152,000
1,900 Campbell Soup Co
152,475
2,900 Coca-Cola Co
152,613
$457,088
MFTG - INDUSTRIAL PRODS --- 8.7%
2,100 Aluminum Company of America
133,875
2,300 Kennametal Inc
89,413
3,200 Lear Corp*
109,200
2,200 Pfizer Inc
182,325
4,650 United States Filter Co*
147,638
$662,451
MINING --- 4.6%
2,300 Newmont Mining Corp
102,925
1,800 Phelps Dodge Corp
121,500
1,500 Potash Corporation of Saskatchewan Inc
127,500
$351,925
OIL & GAS --- 14.5%
3,300 Burlington Resources Inc
166,238
3,600 Coastal Corp
175,950
2,200 Devon Energy Corp
76,450
5,000 Nabors Industries Inc*
96,250
2,800 Newpark Resources Inc*
104,300
1,700 Schlumberger Ltd
169,788
1,700 Texaco Inc
166,813
2,500 Transocean Offshore Inc
156,563
$1,112,352
RETAIL TRADE --- 4.7%
4,500 Federated Department Stores Inc*
153,563
3,500 TJ International Inc
81,375
3,200 Walgreen Co
128,000
$362,938
TRANSPORTATION EQUIPMENT --- 3.8%
3,400 Chrysler Corp
112,200
1,700 The Boeing Co
180,838
$293,038
WHOLESALE TRADE -CONSUMER --- 1.8%
1,300 Procter & Gamble Co
139,745
$139,745
TOTAL COMMON STOCK --- 93.5%
$7,149,008
(Cost $5,551,383)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 3.9%
300,000 TransAmerica Financial Corp
298,715
$298,715
SECURITIES & COMMODITIES --- 2.6%
200,000 Merrill Lynch & Co Inc
199,151
$199,151
TOTAL SHORT-TERM INVESTMENTS --- 6.5%
$497,866
(Cost $497,866)
TOTAL VARIABLE ANNUITY ACCOUNT A --- 100.0%
$7,646,874
(Cost $6,049,249)
Maxim Series Fund, Inc.
Corporate Bond Portfolio
BONDS
AGENCY --- 0.6%
586,331 Federal National Mortgage Association
507,358
CMO Series 1993-212 Class Z
6.000% November 25, 2008
$507,358
AIR --- 0.7%
90,700 NWA Trust
93,602
Notes
9.360% March 10, 2006
450,000 United Air Lines Inc
442,436
Pass Through Certificates
7.870% January 30, 2019
$536,038
CANADIAN - FEDERAL --- 3.1%
3,125,000 Canada
2,540,574
Debentures
8.000% June 1, 2023
$2,540,574
CANADIAN - PROVINCIAL --- 14.4%
275,000 British Columbia
211,361
Debentures
7.875% November 30, 2023
1,400,000 British Columbia
280,123
Principal Strips
0.000% June 9, 2014
2,500,000 British Columbia
312,546
Zero Coupon Bonds
0.000% September 5, 2020
6,500,000 British Columbia
1,379,363
Principal Strips
0.000% August 23, 2013
5,000,000 British Columbia
469,914
Principal Strips
0.000% August 23, 2024
1,350,000 British Columbia
1,064,306
Debentures
8.000% September 8, 2023
5,000,000 Manitoba
281,875
Zero Coupon Bonds
0% March 5, 2031
4,373,000 Manitoba
3,386,951
Bonds
7.750% December 22, 2025
2,450,000 Ontario Hydro
2,107,565
Bonds
8.900% August 18, 2022
4,800,000 Ontario Residual
511,056
Zero Coupon Bonds
0.000% July 13, 2022
2,165,000 Saskatchewan
1,842,637
Debentures
8.750% May 30, 2025
$11,847,697
COMMUNICATIONS --- 11.3%
100,000 Arch Communications Group Inc
57,000
Senior Discount Notes
Step% March 15, 2008
250,000 CBS Inc
211,718
Senior Notes
7.125% November 1, 2023
250,000 Comcast Corp Class A
127,500
Convertible Notes
1.125% April 15, 2007
450,000 Nextel Communications Inc
307,125
Senior Discount Notes
0.000% August 15, 2004
200,000 Rogers Cablesystems of America
142,763
Debentures
9.650% January 15, 2014
300,000 Rogers Communications Inc
168,000
Convertible Debentures
2.000% November 26, 2005
4,000,000 Tele-Communications Inc
3,577,840
Debentures
7.875% February 15, 2026
500,000 Time Warner Entertainment LP
506,935
Senior Debentures
8.375% March 15, 2023
400,000 Time Warner Inc
433,596
Debentures
9.150% February 1, 2023
4,000,000 Time Warner Inc
1,505,000
Convertible Senior Notes
0.000% December 17, 2012
750,000 Time Warner Inc
747,577
Debentures
8.050% January 15, 2016
700,000 Total Access Communication Public Company Ltd
734,125
Convertible Bonds
2.000% May 31, 2006
850,000 Westinghouse Electric Corp
778,132
Debentures
7.875% September 1, 2023
$9,297,311
CONSTRUCTION --- 1.5%
250,000 Hovnanian Enterprises Inc
225,000
Subordinated Notes
9.750% June 1, 2005
219,000 Midland-Ross Corp
134,685
Debentures
6.000% February 15, 2007
500,000 Pulte Corp
489,730
Guaranteed Senior Notes
7.300% October 24, 2005
450,000 Schuler Homes Inc
343,125
Convertible Sub Debentures
6.500% January 15, 2003
$1,192,540
CONSUMER SERVICES --- 0.2%
250,000 Envirotest Systems Corp
202,500
Senior Subordinated Notes
9.625% April 1, 2003
$202,500
CREDIT INSTITUTIONS --- 1.7%
150,000 DR Structured Finance Corp
125,880
Pass Through Certificates
8.375% August 15, 2015
200,000 DR Structured Finance Corp
166,000
Pass Through Certificates
8.550% August 15, 2019
500,000 First Union Capital#
498,625
Bonds
8.040% December 1, 2026
775,000,000 General Electric Capital Corp
567,989
Eurodollar Debentures
9.550% August 25, 2003
$1,358,494
ELECTRIC --- 3.6%
850,000 Beaver Valley Funding Corp
811,742
Debentures
9.000% June 1, 2017
500,000 Boston Edison Co
455,490
Debentures
7.800% March 15, 2023
238,000 Commonwealth Edison Co
178,583
Debentures
4.750% December 1, 2011
250,000 Empresa ICA Sociedad
173,750
Convertible Sub Debentures
5.000% March 15, 2004
239,166 GG1B Funding Corp
231,755
Debentures
7.430% January 15, 2011
750,000 Niagara Mohawk Power Corp
654,923
First Mortgage Bonds
7.875% April 1, 2024
250,000 Niagara Mohawk Power Corp
218,065
First Mortgage Notes
6.625% July 1, 2005
250,000 Niagara Mohawk Power Corp
221,198
First Mortgage Bonds
5.875% September 1, 2002
$2,945,506
ELECTRONICS - HIGH TECH --- 5.1%
900,000 AST Research Inc
288,000
Convertible Subordinated Notes
0.000% December 14, 2013
1,125,000 Apple Computer Inc
978,750
Notes
6.500% February 15, 2004
250,000 Cyrix Corp#
180,000
Subordinated Convertible Notes
5.500% June 1, 2001
250,000 Digital Equipment Corp
214,413
Debentures
7.750% April 1, 2023
150,000 EDO Corp
120,000
Convertible Bonds
7.000% December 15, 2011
500,000 Integrated Device Technology Inc
432,500
Convertible Subordinated Notes
5.500% June 1, 2002
250,000 Maxtor Corp
167,500
Convertible Debentures
5.750% March 1, 2012
250,000 Park Electrochemical Corp
221,875
Convertible Subordinated Notes
5.500% March 1, 2006
50,000 Richardson Electronics Ltd
42,063
Convertible Debentures
7.250% December 15, 2006
250,000 Samsung Corp
249,063
Convertible Bonds
.250% June 26, 2006
500,000 Softkey International Inc#
413,125
Convertible Senior Notes
5.500% November 1, 2000
62,332 Streamlogic Corp
62,332
Notes
14.000% October 7, 1998
500,000 Unisys Corp
465,000
Debentures
9.750% September 15, 2016
450,000 Zenith Electronics Corp
333,000
Convertible Sub Debentures
6.250% April 1, 2011
$4,167,621
ENVIRONMENTAL SERVICES --- 1.2%
350,000 Air & Water Technologies Corp
304,500
Convertible Debentures
8.000% May 15, 2015
125,000 Molten Metal Technology Inc
84,375
Convertible Subordinated Notes
5.750% May 1, 2006
495,000 Ogden Corp
468,394
Eurodollar Convert Sub Bonds
5.750% October 20, 2002
105,000 Ogden Corp
99,225
Eurodollar Convert Sub Bonds
6.000% June 1, 2002
$956,494
FINANCIAL SERVICES --- 0.6%
500,000 Finance One PLC
454,375
Convertible Subordinated Bonds
2.000% August 31, 2001
$454,375
FOREIGN BANKS --- 0.3%
300,000 Banco Central Costa Rica
242,250
Brady Bonds
6.250% May 21, 2010
$242,250
FOREIGN GOVERNMENTS --- 13.0%
4,500,000 Argentina
2,837,835
Debentures
Adj% March 31, 2023
350,000 Ecuador
161,658
Global Bonds
Adj% February 28, 2025
4,510,000 New Zealand
3,363,313
Bonds
8.000% November 15, 2006
785,000 New Zealand
579,253
Bonds
8.000% April 15, 2004
200,000 Petro Mexicanos#
162,000
Debentures
8.625% December 1, 2023
1,000,000 Poland
845,000
Global Bonds
4.000% October 27, 2014
7,500,000 Republic Of South Africa
1,311,768
Bonds
12.000% February 28, 2005
1,550,000 Republic of Brazil
975,539
Debentures
Adj% April 15, 2024
2,500,000 Republic of South Africa
438,409
Bonds
12.500% December 21, 2006
$10,674,775
FORESTRY --- 1.8%
125,000 Advance Argo Public Company Ltd
128,906
Convertible Unsubord Notes
3.500% June 17, 2001
1,450,000 Georgia-Pacific Corp
1,367,945
Debentures
7.375% December 1, 2025
$1,496,851
GAS --- 0.0%
7,500 NorAm Energy Corp
6,469
Convertible Sub Debentures
6.000% March 15, 2012
$6,469
HIGHWAYS --- 0.1%
175,000 Builders Transport Inc
105,000
Convertible Sub Debentures
8.000% August 15, 2005
$105,000
HOLDING & INVEST. OFFICES --- 2.7%
750,000 Federal Realty Investment Trust
686,250
Convertible Bonds
5.250% October 28, 2003
350,000 Meditrust Corp
384,563
Convertible Debentures
7.500% March 1, 2001
1,100,000 Rockefeller Center Properties Inc
657,250
Convertible Debentures
0.000% December 31, 2000
500,000 Security Capital Industrial Trust
520,720
Notes
8.650% May 15, 2016
$2,248,783
INDUSTRIAL SERVICES --- 0.3%
250,000 MacNeal-Schwendler Corp
226,250
Convertible Sub Debentures
7.875% August 18, 2004
$226,250
INSURANCE --- 0.2%
250,000 Healthsource Inc
197,500
Convertible Subordinated Notes
5.000% March 1, 2003
$197,500
MFTG - CONSUMER PRODS. --- 8.7%
750,000 Borden Inc
666,022
Debentures
7.875% February 15, 2023
700,000 Burns, Philp Treasury
619,500
Convertible Notes
5.500% April 30, 2004
50,000 Chiquita Brands International Inc
45,000
Eurodollar Convert Sub Bonds
7.000% March 28, 2001
100,000 Dixie Yarns Inc
79,000
Convertible Debentures
7.000% May 15, 2012
375,000 Fieldcrest Cannon Inc
284,062
Convertible Debentures
6.000% March 15, 2012
550,000 Fruit of the Loom Inc
508,376
Debentures
7.375% November 15, 2023
1,600,000 Penn Traffic Co
896,000
Senior Subordinated Notes
9.625% April 15, 2005
250,000 Phillips Van-Heusen Corp
207,435
Debentures
7.750% November 15, 2023
1,350,000 RJR Nabisco Inc
1,379,376
Notes
9.250% August 15, 2013
750,000 RJR Nabisco Inc
753,375
Notes
8.750% August 15, 2005
1,750,000 RJR Nabisco Inc
1,677,690
Notes
7.625% September 15, 2003
$7,115,836
MFTG - INDUSTRIAL PRODS --- 1.9%
50,000 Exide Corp#
29,625
Senior Convertible Sub Notes
2.900% December 15, 2005
800,000 Geneva Steel Co
654,000
Senior Notes
9.500% January 15, 2004
100,000 Geneva Steel Co
92,000
Senior Notes
11.125% March 15, 2001
75,000 Hexcel Corp
68,250
Convertible Debentures
7.000% August 1, 2011
200,000 Telxon Corp
164,750
Convertible Subordinated Notes
5.750% January 1, 2003
150,000 USX-Marathon Group
161,737
Debentures
8.500% March 1, 2023
350,000 USX-Marathon Group
362,929
Debentures
8.125% July 15, 2023
$1,533,291
MINING --- 1.2%
1,000,000 Banpu Public Company Ltd
1,000,000
Convertible Bonds
2.750% April 10, 2003
$1,000,000
OIL & GAS --- 0.4%
200,000 Maxus Energy Corp
198,000
Debentures
8.500% April 1, 2008
100,000 Oryx Energy Co
97,000
Convertible Debentures
7.500% May 15, 2014
$295,000
OTHER TRANS. SERVICES --- 0.3%
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 --- 5.5%
125,000 CML Group Inc
90,000
Convertible Jr Subordinated
5.500% January 15, 2003
250,000 General Host Corp
182,500
Convertible Notes
8.000% February 15, 2002
100,000 Jacobson Stores Inc
73,000
Convertible Debentures
6.750% December 15, 2011
250,000 K Mart Corp
204,375
Debentures
7.950% February 1, 2023
250,000 K Mart Funding Corp
221,250
Secured Lease Bonds
8.800% July 1, 2010
500,000 K Mart Pass-Thru Trust
442,500
Series 1995 K2
9.780% January 5, 2020
936,107 K Mart Pass-Thru Trust
795,690
Series 1995 K3
8.540% January 2, 2015
1,100,000 K Mart Pass-Thru Trust
946,000
Series 1995 K4
9.350% January 2, 2020
1,550,000 Shoney's Inc
666,500
Convertible Subordinated Notes
0.000% April 11, 2004
100,000 Sunglass Hut International Inc
71,000
Convertible Subordinated Notes
5.250% June 15, 2003
750,000 Woolworth Corp
790,837
Debentures
8.500% January 15, 2022
$4,483,652
TELEPHONE --- 0.1%
150,000 Sprint Spectrum LP
102,375
Senior Discount Notes
Step% August 15, 2006
$102,375
TRANSPORTATION EQUIPMENT --- 0.7%
400,000 Rohr Inc
366,000
Subordinated Debentures
9.250% March 1, 2017
213,000 Rohr Inc
196,492
Convertible Sub Debentures
7.000% October 1, 2012
$562,492
U.S. GOVERNMENTS --- 7.6%
2,600,000 United States of America
432,848
Principal Strips
0.000% August 15, 2023
4,900,000 United States of America
4,593,750
Treasury Bonds
6.250% August 15, 2023
1,000,000 United States of America
910,160
Treasury Bonds
6.000% February 15, 2026
300,000 United States of America
305,907
Treasury Bonds
6.875% August 15, 2025
$6,242,665
U.S. MUNICIPAL --- 0.6%
2,000,000 Orange County California Pension
457,766
General Obligation Bonds
0.000% September 1, 2016
$457,766
WHOLESALE TRADE - INDL --- 2.0%
650,000 Flagstar Corp
253,500
Senior Subordinated Debentures
11.250% November 1, 2004
200,000 Flagstar Corp
44,000
Convertible Debentures
10.000% November 1, 2014
550,000 Loxley Public Company Ltd
544,500
Convertible Bonds
2.500% April 4, 2001
750,000 Pioneer Standard Electronics Inc
759,375
Senior Notes
8.500% August 1, 2006
$1,601,375
WHOLESALE TRADE -CONSUMER --- 0.3%
250,000 Fuqua Industries Inc
197,500
Convertible Sub Debentures
6.500% August 4, 2002
50,000 Glycomed Inc
43,500
Convertible Sub Debentures
7.500% January 1, 2003
200,000 Vendell Healthcare Inc*
32,000
Senior Notes
12.000% May 15, 2000
$273,000
TOTAL BONDS --- 91.5%
$75,091,838
(Cost $71,331,594)
COMMON STOCK
ELECTRONICS - HIGH TECH --- 0.1%
119,167 Streamlogic Corp*
81,868
550 Streamlogic Corp (wts)*
121
$81,989
TOTAL COMMON STOCK --- 0.1%
$81,989
(Cost $216,738)
PREFERRED STOCK
CREDIT INSTITUTIONS --- 1.3%
1,500 Bank of Boston Corp
122,250
4,600 BankAmerica Corp
431,250
3,400 Citicorp
319,175
1,000 First Chicago Corp
90,250
1,500 HSBC Americas Inc
68,250
$1,031,175
ELECTRIC --- 2.2%
909 Central Louisiana Electric Company Inc
68,402
990 Commonwealth Energy System Cos
68,805
1,304 Entergy Louisiana Inc
65,526
5,500 Long Island Lighting Co
117,562
1,450 MDU Resources Group Inc
122,162
8,869 Nevada Power Co
150,773
2,205 New York State Electric & Gas Corp
100,879
2,500 Niagara Mohawk Power Corp 7.85%
61,563
31,800 Niagara Mohawk Power Corp Series B
620,100
12,500 Niagara Mohawk Power Corp Series C
237,500
2,850 Niagara Mohawk Power Corp Series E
142,500
300 Northern States Power Co
14,850
$1,770,622
ELECTRONICS - HIGH TECH --- 0.4%
10,000 Unisys Corp
345,000
$345,000
GAS --- 0.1%
2,500 Western Gas Resources Inc
97,500
$97,500
MFTG - INDUSTRIAL PRODS --- 1.4%
950 Aluminum Company of America
58,425
25,850 Bethlehem Steel Corp#
975,838
3,000 McDermott Inc
81,000
$1,115,263
TOTAL PREFERRED STOCK --- 5.3%
$4,359,560
(Cost $4,215,688)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 3.1%
2,541,000 Prudential Funding Corp
2,540,526
$2,540,526
TOTAL SHORT-TERM INVESTMENTS --- 3.1%
$2,540,526
(Cost $2,540,526)
TOTAL CORPORATE BOND PORTFOLIO --- 100.0%
$82,073,913
(Cost $78,304,546)
Maxim Series Fund, Inc.
Small-Cap Index Portfolio
COMMON STOCK
AGRICULTURE --- 0.3%
1,700 Barefoot Inc
26,988
1,800 Dekalb Genetics Corp Class B
91,800
2,300 Delta & Pine Land Co
73,600
1,000 Tejon Ranch Co
14,375
$206,763
AIR --- 0.6%
2,050 Air Express International Corp
66,113
2,300 Airborne Freight Corp
53,763
1,600 Alaska Air Group Inc*
33,600
5,580 America West Airlines Inc Class B*
88,583
2,700 Atlantic Southeast Airlines Inc
59,063
600 Eagle USA Airfreight Inc*
15,750
3,000 Mesa Air Group Inc*
20,250
600 Midwest Express Holdings Inc*
21,600
2,200 Offshore Logistics Inc*
42,625
2,400 Pittston Brink's Group
48,000
800 Skywest Inc
11,100
1,900 Trans World Airlines Inc*
12,943
4,100 Valujet Inc*
26,392
900 Western Pacific Airlines Inc*
6,300
$506,082
COMMUNICATIONS --- 2.4%
1,650 ACC Corp*
49,913
1,100 ACT Networks Inc*
40,150
1,800 Adelphia Communications Corp Class A*
10,350
1,800 American Mobil Satellite Corporation Inc*
22,050
400 American Paging Inc*
1,875
1,700 American Radio Systems Corp Class A*
46,325
1,100 American Telecasting Inc*
6,325
2,362 Arch Communications Group Inc*
22,144
1,300 Argyle Television Inc Class A*
31,850
700 Ascent Entertainment Group Inc*
11,288
700 Associated Group Inc Class A*
21,525
600 Atlantic Tele-Network Inc*
9,150
800 BET Holdings Inc Class A*
23,000
1,000 Brite Voice Systems Inc*
14,875
1,500 C-Tec Corp*
36,375
3,385 CAI Wireless Systems Inc*
3,385
1,100 Cellstar Corp*
19,800
1,300 Cellular Communications International Inc*
37,700
1,400 Cellular Communications Inc*
27,650
600 Cellularvision USA Inc*
4,200
1,900 Centennial Cellular Co*
23,038
3,700 Century Communications Corp Class A*
21,042
2,000 Chancellor Broadcasting Co Class A*
47,500
1,100 Coherent Communications Systems Corp*
21,450
1,600 Commnet Cellular Inc*
44,600
5,300 DSP Communications Inc*
102,688
700 Digital Systems International Inc*
11,200
1,100 EIS International Inc*
9,488
800 EZ Communications Inc Class A*
29,300
900 Emmis Broadcasting Corp Class A*
29,475
2,500 Evergreen Media Corp Class A*
62,500
2,800 General Communication Inc Class A*
22,750
1,000 HA-LO Industries Inc*
27,500
1,576 HSN Inc*
37,430
800 Heftel Broadcasting Corp Class A*
25,200
2,500 HighwayMaster Communications Inc*
45,313
400 IPC Information Systems Inc*
6,050
1,800 Intelidata Technologies Corp*
13,050
1,100 Intercel Inc*
13,475
1,700 Intermedia Communications Inc*
43,775
3,275 International Family Entertainment Inc Class B*
50,763
700 Jacor Communications Inc Class A*
19,163
2,421 Jones Intercable Inc*
25,723
1,400 LIN Television Corp*
59,150
800 MasTec Inc*
42,400
1,960 Metrocall Inc*
9,829
1,060 Metrocall Inc (rights)*
0
4,257 Metromedia International Group Inc*
42,038
6,300 Mobile Telecommunications Technologies Corp*
53,550
4,900 Mobilemedia Corp Class A*
2,141
900 Palmer Wireless Inc*
9,450
200 Paxson Communications Corp*
1,575
2,553 PriCellular Corp Class A*
29,360
1,200 Pronet Inc*
5,250
1,350 Renaissance Communications Corp*
48,263
700 SFX Broadcasting Inc Class A*
20,825
800 Saga Communications Inc Class A*
15,600
2,200 Sitel Corp*
31,075
1,900 TCA Cable TV Inc
57,238
1,400 TCSI Corp*
8,750
1,050 TSX Corp*
9,319
1,800 US Long Distance Corp
14,400
4,500 United International Holdings Inc Class A*
55,125
500 United Television Inc
43,063
1,200 United Video Satellite Group Inc Class A*
21,000
3,400 Vanguard Cellular Systems Inc Class A*
53,550
3,200 WinStar Communications Inc*
67,200
1,700 Wireless One Inc*
11,263
400 Xpedite Systems Inc*
8,500
1,000 Young Broadcasting Corp Class A*
29,250
$1,921,567
CONSTRUCTION --- 1.2%
1,300 Acme Metals Inc*
25,188
500 American Buildings Co*
11,938
1,600 Apogee Enterprises Inc
63,600
1,800 Castle & Cooke Inc*
28,575
1,375 Cavalier Homes Inc
15,813
3,300 Centex Corp
124,163
800 Continental Homes Holding Corp
17,000
2,066 DR Horton Inc*
22,468
700 Falcon Building Products Inc Class A*
10,325
2,600 Geon Co
51,025
1,300 Granite Construction Inc
24,700
2,390 Insituform Technologies Inc Class A*
17,626
4,500 Kaufman & Broad Home Corp
57,938
3,100 Lennar Corp
84,475
2,800 Manufactured Home Communities Co
65,100
1,100 Morrison Knudsen Corp*
9,900
1,300 NVR Inc*
16,900
1,800 Oasis Residential Inc
40,950
1,300 Palm Harbor Homes Inc*
36,400
2,100 Pulte Corp
64,575
1,050 Southern Energy Homes Inc*
12,075
3,500 Standard Pacific Corp
20,125
1,700 The Ryland Group Inc
23,375
2,600 Toll Brothers Inc*
50,700
1,300 US Home Corp*
33,800
$928,734
CONSUMER SERVICES --- 7.0%
1,500 7th Level Inc*
5,625
1,150 ABR Information Services Inc*
45,281
300 AMC Entertainment Inc*
4,313
1,500 Access Health Inc*
67,125
2,400 Acuson Corp*
58,500
950 American Homepatient Inc*
25,888
2,100 American Medical Response Inc*
68,250
5,400 American Oncology Resources*
55,350
300 Ameristar Casinos Inc*
1,613
900 Amisys Managed Care Systems*
15,300
700 Anchor Gaming Co*
28,175
1,000 Angelica Corp
19,125
1,600 Argosy Gaming Corp*
7,400
4,800 Aztar Corp*
33,600
200 Bally's Grand Inc*
7,200
400 Berlitz International Inc*
8,300
800 Biomatrix Inc*
12,800
2,800 Boyd Gaming Corp*
23,100
1,900 Bristol Hotel Company*
60,325
2,300 CNS Inc*
33,063
400 COMFORCE Corp*
5,700
1,600 CPI Corp
26,800
400 CRA Managed Care Inc*
18,000
1,500 Capstone Pharmacy Services Inc*
17,063
1,100 Carmike Cinemas Inc Class A*
27,913
2,600 Carter-Wallace Inc
40,625
2,580 Casino America Inc*
8,222
2,900 Casino Magic Corp*
7,157
500 Central Parking Corp
16,750
1,133 Chad Therapeutics Inc*
16,004
950 ClinTrials Research Inc*
21,613
1,800 Coastal Physician Group Inc*
6,300
2,200 Cocensys Inc*
12,650
300 Conceptus Inc*
3,075
4,800 Coram Healthcare Corp*
24,000
3,300 Coventry Corp*
30,575
3,400 Creative BioMolecules Inc*
35,275
800 Cryolife Inc*
10,000
1,200 Curative Technologies Inc*
33,224
700 Cybercash Inc*
16,100
300 Cytyc Corp*
8,100
1,600 Datascope Corp*
32,000
3,000 DeVry Inc*
70,500
1,000 Dendrite International Inc*
8,250
1,300 Depotech Corp*
21,288
1,300 Diagnostic Products Corp
33,638
3,533 Doubletree Corp*
158,987
800 Emcare Holdings Inc*
18,600
900 Emeritus Corp*
12,150
1,500 EndoSonics Corp*
22,875
500 Enterprise Systems Inc*
11,750
2,268 Enzo Biochem Inc*
41,108
1,600 Equimed Inc*
5,600
1,000 Equity Corp International*
20,000
2,700 Equity Inns Inc
35,100
1,000 Ergo Science Corp*
13,125
3,700 Extended Stay America Inc*
74,463
900 Fusion Systems Corp*
19,125
2,400 G&K Services Inc Class A
90,600
600 GC Companies Inc*
20,775
1,500 GelTex Pharmaceuticals Inc*
36,375
2,800 Genesis Health Ventures Inc*
87,150
2,665 Grancare Inc*
47,637
700 Harveys Casino Resorts
11,813
1,000 Healthplan Services Corp*
21,125
700 Henry Schein Inc*
24,063
1,700 Hollywood Park Inc*
25,500
5,949 Horizon/CMS Healthcare Corp*
75,106
3,500 Host Marriott Services Corp*
31,938
2,100 Human Genome Sciences Inc*
85,575
2,800 Hybridon Inc*
16,450
1,400 IDEC Pharmaceuticals Corp*
33,250
450 ITT Educational Services Inc*
10,406
9,000 Imatron Inc*
29,808
1,400 Incontrol Inc*
11,200
800 Incyte Pharmaceuticals Inc*
41,200
1,200 Inhale Therapeutic Systems*
18,150
3,300 Integra Lifesciences Corp*
15,263
2,600 Integrated Health Services Inc
63,375
300 Intercardia Inc*
6,450
1,800 Interim Services Inc*
63,900
1,200 Interpool Inc
28,050
500 Iron Mountain Inc*
15,125
800 Jenny Craig Inc*
7,100
1,400 KeraVision Inc*
19,250
1,300 KinderCare Learning Centers Inc*
24,375
700 LCA-Vision Inc*
1,750
800 LSI Industries Inc
10,600
300 Lab One Inc
5,550
9,800 Laboratory Corporation of America*
28,175
1,300 Lifecore Biomedical Inc*
23,400
1,600 Living Centers of America Inc*
44,400
3,800 Magellan Health Services Inc*
85,025
3,400 Mariner Health Group Inc*
28,475
1,500 Martek Biosciences Corp*
30,000
4,000 Matria Healthcare Inc*
19,000
800 May & Speh Inc*
9,800
1,300 MedCath Inc*
20,800
4,800 Mid Atlantic Medical Services Inc*
64,200
400 MiniMed Inc*
12,900
1,066 Morrison Health Care Inc
15,724
500 Movie Gallery Inc*
6,500
1,600 Multicare Companies Inc*
32,400
1,000 Myriad Genetics Inc*
25,250
1,430 National Auto Credit Inc*
17,160
4,200 National Education Corp*
64,050
1,000 National Surgery Centers Inc*
38,000
3,100 NeXstar Pharmaceuticals Inc*
46,500
2,200 Neoprobe Corp*
33,825
900 Neose Technologies Inc*
16,200
1,600 Neurex Corp*
27,200
3,400 Neuromedical Systems Inc*
45,050
7,400 Novacare Inc*
81,400
2,400 OccySystems Inc*
64,800
600 On Assignment Inc*
17,700
2,300 OrthoLogic Corp*
12,938
1,800 Orthodontic Centers of America Inc*
28,800
1,000 Ostex International Inc*
5,500
1,400 Owen Healthcare Inc*
37,100
650 PDT Inc*
18,200
1,400 PHP Healthcare Corp*
35,875
2,400 Palomar Medical Technologies Inc*
15,600
1,200 PathoGenesis Corp*
26,100
2,400 Patriot American Hospitality Inc
103,500
1,000 Pediatrix Medical Group*
37,000
600 Penn National Gaming Inc*
8,550
1,200 Peoples Choice TV Corp*
7,350
900 Perclose Inc*
18,225
1,300 Personnel Group of America Inc*
31,363
1,200 Pharmacopeia Inc*
23,250
2,200 Physician Computer Network Inc*
18,700
2,400 Physicians Resource Group Inc*
42,600
1,900 Physio-Control International Corp*
42,750
3,450 Players International Inc*
18,544
900 Primadonna Resorts Inc*
15,300
3,600 Prime Hospitality Corp*
58,050
1,000 Prime Medical Services Inc*
10,875
900 Protocol Systems Inc*
11,700
500 Quintel Entertainment Inc*
4,688
4,200 RISCORP Inc Class A*
15,225
1,300 RTW Inc*
23,888
1,100 Red Roof Inns Inc*
17,050
3,012 Regal Cinemas Inc*
92,619
1,900 Regency Health Services Inc*
18,288
1,300 Regis Corp
21,125
3,300 Renal Treatment Centers Inc*
84,150
720 Republic Industries Inc*
22,455
600 Res-Care Inc*
10,500
1,900 Rio Hotel & Casino Inc*
27,788
4,400 Rollins Truck Leasing Corp
55,550
700 Romac International Inc*
15,400
2,900 Rotech Medical Corp*
60,900
1,500 SangStat Medical Corp*
39,750
500 Seafield Capital Corp
19,375
950 Seattle Filmworks Inc*
19,356
3,300 Sequus Pharmaceuticals Inc*
52,800
1,000 Serologicals Corp*
35,375
1,900 Showboat Inc
32,775
1,300 Shuffle Master Inc*
11,538
1,700 Sierra Health Services Inc*
41,863
1,500 Spelling Entertainment Group Inc*
11,063
1,100 Spine-Tech Inc*
27,500
1,600 Staar Surgical Co*
21,200
2,900 Starsight Telecast Inc*
27,188
2,100 Station Casinos Inc*
21,263
2,400 Storage USA Inc
90,300
1,200 Stratosphere Corp*
1,012
1,050 Studio Plus Hotels Inc*
16,538
400 Summit Care Corp*
6,550
4,628 Sun Healthcare Group Inc*
62,478
400 Superior Services Inc*
8,150
2,100 Sylvan Learning Systems Inc*
59,850
1,400 The Marcus Corp
29,750
2,100 TheraTx Inc*
21,525
1,100 Theragenics Corp*
24,888
2,000 Toy Biz Inc Class A*
39,000
2,100 Transcend Services Inc*
11,025
5,100 Transitional Hospitals Corp*
49,088
2,700 Trump Hotels & Casino Resorts Inc*
32,400
1,300 UROHEALTH Systems Inc Class A*
10,400
2,400 UniFirst Corp
51,000
3,700 Universal Health Services Inc Class B*
105,913
1,900 Veterinary Centers of America Inc*
20,900
300 Vitalink Pharmacy Services Inc*
6,900
3,600 Westwood One Inc*
59,850
3,500 Xoma Corp*
17,938
800 Youth Services International Inc*
12,200
$5,637,078
CREDIT INSTITUTIONS --- 6.0%
1,600 Aames Financial Corp
57,400
1,440 Albank Financial Corp
45,180
1,000 American Annuity Group Inc
14,125
1,300 American Federal Bank FSB
24,538
600 Anchor Bancorp Wisconsin Inc
21,450
1,925 Associated Banc-Corp
81,813
2,400 Astoria Financial Corp
88,500
987 Bank of Granite Corp
28,623
700 Bay View Capital Corp
29,663
900 CBT Corp
24,750
5,300 Cal Fed Bancorp Inc*
129,850
1,300 Capsure Holdings Corp
14,788
1,100 Carolina First Corp
21,313
1,500 Citizens Bancorp
93,000
4,300 City National Corp
92,988
600 Cityscape Financial Corp*
15,750
900 Cole Taylor Financial Group Inc
23,850
2,300 Collective Bancorp Inc
80,788
1,300 Colonial Bancgroup Inc
52,000
1,376 Commerce Bancorp Inc
45,408
1,700 Commercial Federal Corp
81,600
2,030 Commonwealth Bancorp Inc
30,450
900 Corus Bankshares Inc
29,025
2,400 Credit Acceptance Corp*
56,400
2,600 Cullen/Frost Bankers Inc
86,450
3,500 Dauphin Deposit Corp
115,500
4,400 Deposit Guaranty Corp
136,400
1,300 First Citizens Bancshares Inc Class A
100,100
1,818 First Colorado Bancorp Inc
30,906
2,625 First Commercial Corp
97,453
2,600 First Commonwealth Financial Corp
48,425
1,695 First Financial Bancorp
55,088
4,250 First Financial Corp
104,125
651 First Financial Corp-Indiana
24,087
2,700 First Hawaiian Inc
94,500
3,133 First Michigan Bank Corp
92,815
1,750 First Midwest Bancorp Inc
57,094
1,200 First Savings Bank of Washington Bancorp Inc
22,050
1,200 FirstBank Illinois Co
41,700
1,450 FirstBank Puerto Rico
37,700
1,100 FirstFed Financial Corp*
24,200
3,500 FirstMerit Corp
124,250
5,100 Glendale Federal Bank FSB*
118,575
300 Harris Savings Bank
5,475
600 Homeland Bankshares Corp
24,900
1,996 Hubco Inc
48,902
1,913 Imperial Bancorp*
45,912
2,690 Imperial Credit Industries Inc*
56,490
400 Investment Technology Group Inc*
7,700
1,400 Klamath First Bancorp
22,050
600 Liberty Bancorp Inc
29,850
2,900 Long Island Bancorp Inc
101,500
1,700 ML Bancorp Inc
24,013
3,200 Magna Group Inc
94,400
1,600 Mark Twain Bancshares Inc
78,000
1,081 National City Bancshares Inc
31,619
1,051 New York Bancorp Inc
40,726
1,600 North American Mortgage Co
31,600
2,800 North Fork Bancorporation Inc
99,750
600 North Side Savings Bank
32,700
2,900 Old National Bancorp
113,825
3,900 Olympic Financial Ltd*
56,063
500 Park National Corp
26,500
1,400 Peoples Bank of Bridgeport
40,425
850 Pikeville National Corp
20,825
1,400 RCSB Financial Inc
40,600
1,272 Resource Bancshares Mortgage Group Inc
18,126
2,300 Riggs National Corp
39,675
2,150 St Paul Bancorp Inc
63,156
1,900 Standard Financial Inc
37,288
400 Student Loan Corp
14,900
500 Sumitomo Bank of California
12,500
1,500 Susquehanna Bancshares Inc
51,938
2,300 The Trust Company of New Jersey
32,200
1,300 Trans Financial Inc
29,900
2,377 Trustco Bank Corp
50,808
2,083 UMB Financial Corp
84,362
1,100 US Trust Corp
86,900
600 USBancorp Inc
25,425
1,800 UST Corp
37,125
1,700 United Bankshares Inc
56,100
2,750 United Carolina Bancshares Corp
108,625
1,500 Vallicorp Holdings Inc
30,563
540 WFS Financial Inc*
10,733
4,900 Washington Federal Inc
129,850
1,000 Wesbanco Inc
32,500
1,100 WestAmerica Bancorp
63,525
1,081 Westcorp Inc
23,647
1,950 Whitney Holding Corp
68,981
340 Winthrop Resources Corp
9,775
2,400 World Acceptance Corp*
16,500
$4,803,597
ELECTRIC --- 2.5%
6,100 Atlantic Energy Inc
104,463
1,700 Black Hills Corp
47,813
2,000 Central Hudson Gas & Electric Corp
62,750
2,600 Central Louisiana Electric Company Inc
71,825
3,700 Central Maine Power Co
43,013
8,927 Citizens Utilities Co Class B*
99,313
2,200 Commonwealth Energy System Cos
51,700
1,600 Destec Energy Inc*
25,000
2,400 Eastern Utilities Associates
41,700
6,900 El Paso Electric Co*
44,850
1,900 Empire District Electric Co
35,625
1,100 Energen Corp
33,275
3,500 IES Industries Inc
104,563
1,100 Interstate Power Co
31,900
3,300 MDU Resources Group Inc
75,900
1,850 Madison Gas & Electric Co
37,463
3,700 Minnesota Power & Light Co
101,750
5,500 Nevada Power Co
112,750
1,000 Northwestern Public Service Co
34,250
1,600 Orange & Rockland Utilities Inc
57,400
1,300 Otter Tail Power Co
41,763
600 Pennsylvania Enterprises Inc
26,325
4,300 Public Service Company of New Mexico
84,388
4,500 Rochester Gas & Electric Corp
86,063
1,800 SIGCORP Inc
62,325
3,500 Sierra Pacific Resources
100,625
1,200 TNP Enterprises Inc
32,850
3,720 Tucson Electric Power Co*
61,845
3,800 UGI Corp
85,025
1,600 United Illuminating Co
50,200
3,500 WPL Holdings Inc
98,438
2,800 WPS Resources Corp
79,800
$2,026,950
ELECTRONICS - HIGH TECH --- 13.1%
800 3D Systems Corp*
10,200
2,100 ADAC Laboratories
50,138
500 ANADIGICS Inc*
19,625
3,600 AST Research Inc*
15,073
1,900 ATS Medical Inc*
14,725
2,000 Actel Corp*
47,500
1,400 Activision Inc*
18,025
1,900 Advanced Polymer Systems Inc*
14,488
1,700 Advanced Technology Laboratories Inc*
52,700
400 Advent Software*
12,150
2,700 Allen Group Inc*
60,075
1,100 Alliant Techsystems Inc*
60,500
1,550 Altron Inc*
32,550
3,800 Ametek Inc
84,550
3,300 Ampex Inc Class A*
30,938
900 Analogic Corp
30,150
700 Ancor Communications Inc*
9,800
2,600 Angeion Corporation*
9,100
4,500 Anixter International Inc*
72,563
1,800 Antec Corp*
16,200
1,400 Applied Digital Access Inc*
7,700
1,000 Applied Innovation Inc*
6,125
3,000 Applied Magnetics Corp*
89,625
900 Applix Inc*
19,688
700 Arbor Health Care Co*
18,200
1,300 Arbor Software Corporation*
31,525
1,300 Arrow International Inc
37,375
600 ArthroCare Corp*
4,350
1,100 Aspen Technology Inc*
88,275
400 Astea International Inc*
2,275
2,900 Auspex Systems Inc*
33,713
1,700 BDM International*
92,225
2,340 Baldor Electric Co
57,623
3,100 Ballard Medical Products Co
57,738
1,600 Bell & Howell Company*
38,000
700 Berg Electronics Corp*
20,563
1,150 Bio Rad Labs Inc Class A*
34,500
2,000 Black Box Corp*
82,500
600 Boca Research Inc*
6,225
2,700 Boston Technology Inc*
77,625
1,400 Broadband Technolgies Inc*
20,650
1,850 Burr Brown Corp*
48,100
1,100 C COR Electronics Inc*
14,575
800 CMG Information Services Inc*
13,400
1,100 CP Clare Corp*
11,000
300 CSG Systems International Inc*
4,613
500 CTS Corp
21,375
2,050 Cable Design Technologies Co*
63,806
1,400 California Amplifier Inc*
8,575
1,800 California Microwave Inc*
26,775
1,600 Cellpro Inc*
20,000
1,400 Centennial Technologies Inc*
72,800
700 Charter Power Systems Inc
21,350
2,400 Checkfree Corp*
41,100
2,500 Chips & Technologies Inc*
45,625
11,300 Chyron Corp*
32,488
1,600 Cidco Inc*
28,000
1,200 Circon Corp*
18,300
2,900 Citrix Systems Inc*
113,280
1,200 Clarify Inc*
57,600
3,900 Cognex Corp*
72,150
1,300 Coherent Inc*
54,925
1,100 Cohu Inc
25,575
1,000 Collagen Corp
18,250
5,800 Coltec Industries Inc*
109,475
450 Computer Management Sciences Inc*
10,463
2,800 Computer Products Inc*
54,600
1,100 Comshare Inc*
19,250
2,500 Comverse Technology Inc*
94,530
1,700 Conmed Corp*
34,850
800 Cooper & Chyan Technology Inc*
26,200
2,450 Credence Systems Corp*
49,306
1,300 Cree Research Inc*
12,188
600 Cubic Corp
13,875
1,900 Cyrix Corp*
33,725
900 DH Technology Inc*
21,600
1,200 DII Group Inc*
27,900
3,100 Dallas Semiconductor Corp
71,300
1,200 Daniel Industries Inc
17,700
3,200 Data Broadcasting Corp*
22,400
4,100 Data General Corp*
59,450
400 Datastream Systems Inc*
7,200
600 Davok Corp*
24,750
900 DecisionOne Corp*
14,850
700 Desktop Data Inc*
13,475
1,300 Digi International Inc*
12,350
1,800 Digital Microwave Corp*
50,175
1,500 Dionex Corp*
52,500
1,100 Documentum Inc*
37,125
2,000 ESS Technology Inc*
56,250
800 Elcom International Inc*
6,300
1,000 Electro Scientific Industries Inc*
26,000
2,100 Electroglas Inc*
33,863
600 Eltron International Inc*
12,075
1,200 Energy Conversion Devices Inc*
16,350
1,500 Envoy Corp*
56,250
1,500 Epic Design Technology Inc*
37,500
1,000 Esterline Technologies Corp*
26,125
1,800 Etec Systems Inc*
68,850
1,000 Evans & Sutherland Computer Corp*
25,000
2,500 Exabyte Corp*
33,438
400 Excite Inc*
4,100
5,400 Executone Information Systems Inc*
12,825
1,200 FastComm Communications Corp*
7,350
700 Fluke Corp
31,238
500 Franklin Electric Company Inc
23,375
800 Galileo Corp*
20,100
800 Gelman Sciences Inc*
26,000
2,400 General Datacomm Industries Inc*
25,200
1,500 General Magic Inc*
3,468
2,600 Genrad Inc*
60,450
1,900 Genus Inc*
10,450
6,600 Geotek Communications Inc*
47,025
1,200 Geoworks*
29,400
1,500 Gulf South Medical Supply Inc*
38,438
300 HCIA Inc*
10,350
1,100 HMT Technology Corp*
16,517
1,800 HNC Software Inc*
56,250
1,500 HPR Inc*
20,625
425 Hach Co
8,075
1,000 Hadco Corp*
49,000
2,600 Haemonetics Corp*
49,075
1,100 Harbinger Corp*
28,875
1,750 Harman International Industries Inc
97,344
1,100 Harmonic Lightwaves Inc*
16,913
1,750 Health Management Systems Inc*
24,500
1,600 Heartland Wireless Communications Inc*
21,000
1,300 Hologic Inc*
32,175
1,150 Holophane Corp*
21,850
600 Hutchinson Technology Inc*
45,600
1,400 I-Stat Corp*
33,250
900 ICU Medical Inc*
7,088
500 IDT Corp*
5,500
600 IDX Systems Corp*
17,175
900 IKOS Systems Inc*
18,000
3,200 IMP Inc*
7,098
1,100 ITI Technologies Inc*
16,638
2,200 Identix Inc*
18,011
1,100 Imnet Systems Inc*
26,675
300 Individual Inc*
1,800
400 Indus Group Inc*
10,300
900 Inference Corp Class A*
6,525
900 Inso Corp*
35,775
8,900 Integrated Device Technology Inc*
121,263
300 Integrated Measurement Systems Inc*
5,213
1,000 Integrated Packaging Assembly Corp*
8,078
1,700 Integrated Process Equipment Corp*
30,600
1,700 Integrated Silicon Solution Inc*
14,663
900 Inter-Tel Inc*
17,100
5,300 Interdigital Communications Inc*
30,475
4,600 Intergraph Corp*
47,150
3,500 International Cabletel Inc*
88,375
1,900 Intervoice Inc*
23,275
300 Intevac Inc*
5,100
3,500 Invacare Corp
96,250
300 JDA Software Group Inc*
8,550
700 Jabil Circuit Inc*
28,000
2,100 Juno Lighting Inc
33,600
4,500 Kemet Corp*
104,625
3,600 Keystone International Inc
72,450
1,600 Kuhlman Corp
31,000
800 LS Starrett Co Class A
22,700
4,300 LTX Corp*
25,263
2,600 Lattice Semiconductor Corp*
119,600
2,100 Legato Systems Inc*
68,513
1,600 Level One Communications Inc*
57,200
1,400 Littelfuse Inc*
67,900
800 Logic Works Inc*
4,500
2,500 Lojack Corp*
25,000
650 Lunar Corp
22,750
1,000 MDL Information Systems Inc*
18,625
1,600 MRV Communications Inc*
34,800
1,100 MTS Systems Corp
22,000
2,300 Magnetek Inc*
29,613
2,000 Marshall Industries*
61,250
1,200 Mattson Technology Inc*
11,400
700 Maxis Inc*
8,575
1,700 Measurex Corp
40,800
800 Media 100 Inc
7,100
2,700 Mentor Corp
79,650
400 Merix Corp*
6,100
1,000 Metatools Inc*
11,750
3,600 Methode Electronics Inc Class A
72,900
1,300 Metricom Inc*
19,500
900 MicroTouch Systems Inc*
21,600
700 Microware Systems Corp*
9,975
400 Mine Safety Appliances Co
21,300
2,400 Mylex Corp*
30,000
1,600 National Computer Systems Inc
40,800
1,900 Network Appliance Inc*
96,663
2,400 Network Equipment Technologies Inc*
39,600
1,600 Nimbus CD International Inc*
13,600
1,300 Novadigm Inc*
10,725
1,900 OEA Inc
86,925
2,100 Oak Industries Inc*
48,300
4,100 Oak Technology Inc*
46,125
500 OnTrak Systems Inc*
7,313
1,200 Optical Coating Laboratory Inc
12,900
800 Ortel Corp*
19,200
1,900 P-Com Inc*
56,288
700 PRI Automation Inc*
31,850
1,400 Pacific Scientific Co
15,750
1,100 Park Electrochemical Corp
25,025
900 Perceptron Inc*
30,825
800 Pinnacle Systems Inc*
8,400
1,700 Pittway Corp Class A
90,950
900 Pixar Inc*
11,700
1,000 Plantronics Inc*
45,000
1,600 Precision Systems Inc*
8,000
600 Premenos Technology Corp*
5,175
700 Premiere Technologies Inc*
17,500
500 Prism Solutions Inc*
4,125
700 Project Software & Development Inc*
29,663
1,100 Proxim Inc*
25,300
2,800 PsiNet Inc*
30,450
2,790 Pure Atria Corp*
69,053
700 Quick Response Services Inc*
19,950
1,600 Quickturn Design Systems Inc*
32,800
2,400 ROSS Technology Inc*
8,400
600 Radisys Corp*
29,250
700 Rainbow Technologies Inc*
13,038
3,400 Ramtron International Corp*
20,400
300 Raptor Systems Inc*
6,038
1,100 Recoton Corp*
16,431
1,400 Red Brick Systems Inc*
32,200
1,300 Remedy Corp*
69,875
1,100 Research Medical Inc*
25,300
1,800 Resound Corp*
12,825
2,000 Respironics Inc*
34,750
1,100 Rival Co
27,363
900 Rogers Corp*
24,413
950 SDL Inc*
24,938
1,700 SMART Modular Technologies Inc*
42,713
700 SPSS Inc*
19,513
300 SQA Inc*
9,975
900 Safeskin Corp*
43,875
1,900 Sandisk Corp*
18,525
2,000 Sanmina Corp*
113,000
200 Sapient Corp*
8,425
900 Scopus Technology Inc*
41,850
1,300 Secure Computing Corp*
11,863
300 Segue Software Inc*
5,475
750 Semitool Inc*
7,125
3,100 Sepracor Inc*
51,538
3,500 Sequent Computer Systems Inc*
62,125
1,000 Sheldahl Inc*
18,750
3,300 Sierra Semiconductor Corp*
49,500
2,300 Silicon Storage Technology Inc*
11,213
1,100 Siliconix Inc*
25,850
400 Smith Micro Software Inc*
1,950
2,500 Sofamor Danek Group Inc*
76,250
900 Software 2000 Inc*
7,538
1,200 Spacelabs Inc*
24,600
500 Speedfam International Inc*
14,250
1,400 Spyglass Inc*
17,500
1,600 Standard Microsystems Corp*
15,200
500 Stanford Telecommunications Inc*
17,250
400 Storage Computer Corp*
5,250
2,000 Stormedia Inc Class A*
32,250
3,000 Stratus Computer Inc*
81,750
1,400 SubMicron Systems Inc*
5,775
800 Summit Medical Systems Inc*
6,100
3,550 Summit Technology Inc*
19,525
2,600 SunRiver Corp*
4,225
1,900 Sunrise Medical Inc*
30,163
800 Supertex Inc*
10,500
1,800 Symmetricom Inc*
35,775
1,800 Synx Research Inc*
24,750
2,000 Systemsoft Corp*
29,750
1,200 Target Therapeutics Inc*
50,400
700 Tech-Sym Corp*
20,825
800 Technitrol Inc
30,700
1,700 Tecnol Medical Products Inc*
25,713
1,200 Telco Systems Inc*
22,800
2,000 Teleflex Inc
104,250
700 Teltrend Inc*
19,425
3,600 Tencor Instruments*
94,950
1,100 The Peak Technologies Group Inc*
13,200
300 ThermoSpectra Corp*
3,675
1,334 Thomas & Betts Corp
59,196
1,200 Thomas Industries Inc
25,050
1,000 Thoratec Laboratories Corp*
9,500
2,500 Tracor Inc*
53,125
1,300 TranSwitch Corp*
6,825
1,400 Trident Microsystems Inc*
23,625
2,200 Trimble Navigation Ltd*
25,300
900 Triquint Semiconductor Inc*
23,738
800 USDATA Corporation Inc*
4,500
1,800 Uniphase Corp*
94,500
400 Unison Software Inc*
10,700
1,200 Unitrode Corp*
35,250
5,300 VLSI Technology Inc*
126,538
1,800 Vanstar Corp*
44,100
2,200 Ventritex Inc*
54,175
1,150 Veritas Software Corp*
57,213
900 Verity Inc*
13,838
2,000 Viasoft Inc*
94,500
3,600 Vicor Corp*
60,073
1,400 VideoLan Technologies Inc*
2,187
1,500 VideoServer Inc*
63,750
900 Visio Corp*
44,550
500 Visioneer Inc*
2,250
1,200 Visx Inc*
26,550
700 Vital Signs Inc
18,200
2,100 Vitesse Semiconductor Corp*
95,550
2,900 Waters Corp*
88,088
900 Watkins Johnson Co
22,050
1,100 Wind River Systems*
52,113
2,000 Windmere Corp
25,750
1,600 Wireless Telecom Group Inc
16,600
1,500 X-Rite Inc
24,750
2,100 Xicor Inc*
21,525
300 Yahoo! Inc*
5,100
2,100 Zebra Technologies Corp Class A*
49,088
3,100 Zenith Electronics Corp*
33,713
2,300 Zilog Inc*
60,088
500 Zoran Corp*
9,000
400 Zygo Corp*
20,800
800 Zytec Corp*
8,500
$10,562,712
ENVIRONMENTAL SERVICES --- 0.8%
2,100 Air & Water Technologies Corp*
12,075
7,000 Allied Waste Industries Inc*
64,750
1,000 Continental Waste Industries Inc*
22,875
2,000 Molten Metal Technology Inc*
23,500
2,200 OHM Corp*
18,700
5,700 Ogden Corp
106,875
7,000 Rollins Environmental Services Inc*
12,250
2,500 Rollins Inc
50,000
6,700 Safety-Kleen Corp
109,713
1,500 Tetra Technologies Inc*
37,875
172 Thermo Remediation Inc
1,505
4,500 United Waste Systems Inc*
154,688
1,400 Zurn Industries Inc
36,575
$651,381
FINANCIAL SERVICES --- 0.1%
1,200 Jayhawk Acceptance Corp*
13,500
900 RAC Financial Group Inc*
19,013
600 Union Acceptance Corp Class A*
10,650
$43,163
FOREIGN GOVERNMENTS --- 0.0%
1,200 Periphonics Corp*
35,100
$35,100
FORESTRY --- 0.2%
2,400 Chesapeake Corp
75,300
6,000 Longview Fibre Co
110,250
$185,550
GAS --- 2.2%
6,400 AGL Resources Inc
135,200
600 Aquila Gas Pipeline Co
9,525
1,850 Atmos Energy Corp
44,169
1,500 Bay State Gas Co
42,375
1,000 Colonial Gas Co
21,250
1,000 Connecticut Energy Corp
21,250
1,200 Connecticut Natural Gas Corp
30,600
2,300 Eastern Enterprises
81,363
2,300 Indiana Energy Inc
56,063
1,200 KCS Energy Inc
42,900
2,335 KN Energy Inc
91,649
2,000 Laclede Gas Co
48,250
1,100 NUI Corp
24,888
2,100 New Jersey Resources Corp
61,425
700 North Carolina Natural Gas Corp
20,213
2,550 Northwest Natural Gas Co
61,200
2,700 OneOk Inc
81,000
3,400 Piedmont Natural Gas Company Inc
79,475
3,300 Pride Petroleum Services Inc*
76,725
2,200 Public Service Company of North Carolina Inc
40,150
6,892 Seagull Energy Corp*
151,624
900 South Jersey Industries Inc
21,938
1,422 Southeastern Michigan Gas Enterprises Inc
26,307
924 Southern Union Co*
20,328
3,000 Southwest Gas Corp
57,750
2,800 Southwestern Energy Co
42,350
1,505 Tejas Gas Corp*
71,676
1,500 United Cities Gas Corp
33,750
2,800 Washington Energy Co
57,750
5,000 Washington Gas Light Co
113,125
1,600 Western Gas Resources Inc
30,800
2,100 Wicor Inc
75,338
1,200 Yankee Energy Systems Inc
25,650
$1,798,056
HIGHWAYS --- 0.1%
2,300 Arnold Industries Inc
36,513
1,400 Swift Transportation Company Inc*
32,900
2,600 Yellow Corp*
37,375
$106,788
HOLDING & INVEST. OFFICES --- 8.3%
1,000 AMLI Residential Properties Trust
23,375
1,600 Allied Capital Commercial Corp
37,200
1,400 Amcore Financial Inc
37,450
1,900 Amerco Inc*
66,500
2,400 American Health Properties Inc
57,300
1,600 Amvestors Financial Corp
23,600
1,200 Associated Estates Realty Corp
28,500
3,400 Avalon Properties Inc
97,750
527 BOK Financial Corp*
14,229
3,740 BRE Properties Inc Class A
92,565
2,100 Bancorpsouth Inc
58,275
1,200 BankAtlantic Bancorp Inc Class B
16,050
1,460 Bankers Corp
29,383
900 Banknorth Group Inc
37,350
1,900 Bay Apartment Communities Inc
68,400
2,900 Berkshire Realty Inc
28,638
2,104 Bradley Real Estate Inc
37,872
605 Brenton Banks Inc
16,713
2,400 CBL & Associated Properties Inc
62,100
2,117 CNB Bancshares Inc
88,385
500 CPB Inc
14,875
1,700 Camden Property Trust
48,663
300 Capital Southwest Corp
21,600
4,175 Capstead Mortgage Corp
100,200
4,000 Carr Realty Corp
117,000
1,600 Centerpoint Properties Corp
52,400
2,600 Centura Banks Inc
116,025
1,300 Chelsea GCA Realty Inc
45,013
1,102 Chemical Financial Corp
43,805
1,250 Chittenden Corp
29,844
1,500 Cilcorp Inc
54,938
900 Citfed Bancorp Inc
29,700
1,200 Citizens Banking Corp
37,800
2,100 Coast Savings Financial Inc*
76,913
2,000 Colonial Properties Trust
60,750
1,300 Columbus Realty Trust
29,575
1,900 Commercial Net Lease Realty Inc
30,163
1,300 Community First Bancshares Inc
35,750
2,600 Cousins Properties Inc
73,125
3,500 Criimi Mae Inc
45,063
2,800 Crown American Realty Trust
21,000
2,200 Developers Diversified Realty Corp
81,675
3,400 Duke Realty Investments Inc
130,900
900 Eaton Vance Corp
42,863
1,700 Excel Realty Trust Inc
43,138
800 F&M Bankcorp Inc
23,800
2,210 F&M National Corp
47,239
1,071 FNB Corp
24,633
3,800 Federal Realty Investment Trust
103,075
942 Financial Trust Corp
37,562
1,400 First Commerce Bancshares Inc Class A
37,100
750 First Financial Bankshares Inc
30,000
739 First Indiana Corp
19,768
805 First Source Corp
19,723
750 First United Bancshares Inc
23,625
850 First Western Bancorp
22,313
4,700 Franchise Finance Corporation of America
129,838
800 Fund American Enterprises Holdings Inc
76,600
2,500 Glimcher Realty Trust
55,000
1,035 Hancock Holding Co
41,918
700 Harleysville Group Inc
21,350
750 Harleysville National Corp
18,188
3,300 Health Care Property Investors Inc
115,500
1,700 Health Care Real Estate Investment Trust Inc
41,650
1,400 Healthcare Realty Trust Co
37,100
600 Heritage Financial Services Inc
12,750
3,000 IRT Property Co
34,500
1,100 Inacom Corp*
44,000
600 Irwin Financial Corp
14,850
1,500 JP Realty Inc
38,813
1,000 JSB Financial Inc
38,000
1,700 Jefferson Bankshares Inc
48,663
4,349 Keystone Financial Inc
108,725
3,100 Kimco Realty Corp
108,113
1,900 Koger Equity Inc*
35,625
2,200 LTC Properties Inc
40,700
500 Liberty Financial Companies Inc
19,438
3,400 Liberty Property Trust
87,550
2,000 Life USA Holding Inc*
24,000
1,137 MAF Bancorp Inc
39,511
1,300 MGI Properties Inc
28,600
1,600 Magna Bancorp Inc
28,000
2,372 Mid-Am Inc
40,621
400 National Bancorp of Alaska Inc
27,400
2,800 National Commerce Bancorp
107,100
1,300 National Golf Properties Inc
41,113
2,200 National Health Investors Inc
83,325
771 National Penn Bancshares Inc
20,142
4,800 Nationwide Health Properties Inc
116,400
2,600 Noel Group Inc*
18,200
700 Omega Financial Corp
24,500
1,935 Omega Healthcare Investors Inc
64,339
1,600 Onbancorp Inc
59,400
2,375 One Valley Bancorp Inc
88,172
900 Pennsylvania Real Estate Investment Trust
21,938
961 Peoples First Corp
24,506
2,900 Peoples Heritage Financial Group Inc
81,200
2,500 Pioneer Group Inc
59,375
2,100 Provident Bancorp Inc
71,400
861 Provident Bankshares Corp
33,579
6,500 Public Storage Inc
201,500
800 Queens County Bancorp Inc
37,900
2,800 RFS Hotel Investments Inc
55,300
3,600 Ralcorp Holdings Inc*
76,050
1,200 Regency Realty Corp
31,500
1,853 Republic Bancorp Inc
21,541
4,002 Roosevelt Financial Group Inc
84,042
1,300 S&T Bancorp Inc
39,975
1,100 Saul Centers Inc
17,463
1,100 Security Capital Corp
81,125
1,000 Security-Connecticut Life Insurance Co
35,125
2,700 Shurgard Storage Centers Inc Class A
79,988
1,000 Silicon Valley Bancshares*
32,250
800 Sirrom Capital Corp
29,400
2,400 South West Property Trust Inc
40,500
5,514 Sovereign Bancorp Inc
72,371
2,200 Summit Properties Inc
48,675
1,700 Sun Communities Inc
58,650
900 TR Financial Corp
31,950
3,500 Taubman Centers Inc
45,063
1,800 Thornburg Mortgage Asset Co
38,475
1,800 Town & Country Trust
26,325
2,900 United Companies Financial Corp
77,213
6,600 United Dominion Realty Trust Inc
102,300
2,700 WHX Corp*
23,963
4,700 Walter Industries Inc*
66,388
3,700 Washington Real Estate Investment Trust
64,750
2,700 Weingarten Realty Investors
109,688
2,000 Wellsford Residential Property Trust
48,500
2,000 Western Investment Real Estate Trust
26,000
600 White River Corp*
32,700
$6,701,613
INDEPENDENT POWER PROD --- 0.0%
400 Trigen Energy Corp
11,500
$11,500
INDUSTRIAL SERVICES --- 6.0%
1,800 ABM Industries Inc
33,300
1,800 Aaron Rents Inc
25,200
3,800 Acclaim Entertainment Inc*
12,350
2,200 Ackerley Communications Inc
25,850
5,500 Acxiom Corp*
132,000
4,300 Advanced Tissue Sciences Inc*
41,117
2,500 Advo Inc
35,000
2,900 Affiliated Computer Services Inc Class A*
86,275
2,600 Alliance Semiconductor Corp*
18,525
3,700 Allwaste Inc*
18,963
1,600 Alternative Resources Corp*
27,800
1,150 American Business Information Inc*
25,588
1,700 Analysts International Corp
48,025
7,700 Aura Systems Inc*
16,840
1,730 Avant! Corp*
54,928
2,400 Avid Technology Inc*
24,900
2,300 BBN Corp*
51,750
600 BRC Holdings Inc*
26,850
600 Barra Inc*
16,500
1,700 Billing Information Concepts*
48,875
2,900 Bisys Group Inc*
107,480
2,100 Boole & Babbage Inc*
52,500
3,600 Borland International Inc*
19,573
2,000 Broderbund Software Inc*
59,500
1,100 Brooktrout Technology Inc*
30,800
1,100 CDI Corp*
31,213
300 CKS Group Inc*
8,363
1,500 COREStaff Inc*
35,531
1,500 Caere Corp*
17,250
2,362 Cellular Technical Services Co*
47,240
2,800 Cerner Corp*
43,400
1,500 Chronimed Inc*
20,438
900 Ciber Inc*
27,000
3,200 Columbia Laboratories Inc*
46,400
1,700 Computer Horizons Corp*
65,450
400 Computer Language Research Inc
4,300
1,000 Computer Task Group Inc
43,125
7,400 Computervision Corp*
68,450
1,600 Control Data Systems Inc*
35,200
1,800 Dames & Moore Inc
26,325
300 Data Processing Resources Corp*
5,550
200 Data Translation Inc*
800
1,000 Data Transmission Network Corp*
22,250
900 Dialogic Corp*
28,350
3,600 Diamond Multimedia Systems*
42,750
500 Eagle River Interactive Inc*
3,938
900 Electro Rent Corp*
22,388
2,200 Employee Solutions Inc*
45,100
1,900 Ennis Business Forms Inc
21,375
1,000 Excalibur Technologies Corp*
15,750
1,800 Executive Telecard Ltd*
11,250
3,800 FTP Software Inc*
22,800
900 Fair Isaac & Co Inc
35,213
2,100 Figgie International Inc Class A*
25,200
1,800 Filenet Corp*
57,600
1,100 GRC International Inc*
8,938
65 Grey Advertising Inc
16,250
3,800 Heritage Media Corp*
42,750
4,300 Hexcel Corp*
69,875
1,900 Hyperion Software Corp*
40,375
2,200 ImmuLogic Pharmaceutical Corp*
14,025
3,200 Information Resources Inc*
44,800
1,800 Integrated Systems Inc*
46,800
300 IntelliQuest Information Group Inc*
6,825
2,300 Intersolv Inc*
21,275
1,100 Itron Inc*
19,525
833 Jack Henry & Associates Inc
29,780
2,400 Jacobs Engineering Group Inc*
56,700
1,600 Katz Media Group Inc*
18,000
3,800 Keane Inc*
120,650
1,000 Landauer Inc
24,500
750 Learning Tree International Inc*
22,125
1,400 Logicon Inc
51,100
2,100 MacErich Co
54,863
900 Mail Boxes Etc*
20,250
900 Manugistics Group Inc*
35,775
1,900 Mercury Interactive Corp*
24,700
1,900 Microcom Inc*
23,513
1,050 NFO Research Inc*
23,100
3,000 National Data Corp
130,500
900 National Instruments Corp*
28,800
1,300 Neopath Inc*
23,725
1,300 NetCom On-Line Communication Services Inc*
16,900
3,500 NetManage Inc*
21,000
1,200 Network Peripherals Inc*
21,300
1,500 Neurogen Corp*
28,875
1,000 Nichols Research Corp*
25,500
1,500 Norrell Corp
40,875
2,100 OIS Optical Imaging Systems Inc*
3,280
4,000 PHH Corp
172,000
3,400 PMT Services Inc*
59,500
1,456 Pharmaceutical Product Development Inc*
36,764
1,900 Phoenix Technologies Ltd*
30,638
900 PhyMatrix Corp*
12,825
600 Pinkertons Inc*
15,075
900 Planar Systems Inc*
10,575
5,632 Platinum Technology Inc*
76,736
1,800 Policy Management Systems Corp*
83,025
2,500 Prepaid Legal Services Inc*
45,625
2,900 Primark Corp*
71,775
1,300 Progress Software Corp*
26,000
3,700 Quarterdeck Corp*
15,263
300 Renaissance Solutions Inc*
13,425
5,700 S3 Inc*
92,625
1,500 SEI Corp
33,375
800 SPS Transaction Services Inc*
12,200
2,200 Santa Cruz Operation Inc*
15,400
5,000 Sotheby's Holdings Inc
93,125
3,100 Spectrum Holobyte Inc*
23,250
1,500 Standard Register Co
48,750
1,200 State of the Art Inc*
14,850
800 Stone & Webster Inc
25,200
3,900 Structural Dynamics Research Corp*
78,000
6,300 Symantec Corp*
91,350
3,350 System Software Associates Inc*
35,594
400 Systemix Inc*
6,100
1,700 Systems & Computer Technology Corp*
27,200
2,000 Technology Solutions Co*
83,000
1,483 Tetra Tech Inc*
29,289
1,900 The 3DO Co*
9,143
500 The Profit Recovery Group International Inc*
8,000
1,100 Thermotrex Corp*
30,113
1,100 TransTexas Gas Corp*
15,950
3,000 Transaction Systems Inc Class A*
99,750
2,200 True North Communications Inc
48,125
2,450 United States Bioscience Inc*
30,931
1,000 Vantive Corp*
31,250
1,900 Viewlogic Systems Inc*
21,613
600 Volt Information Sciences Inc*
26,250
1,300 Wackenhut Corp
22,425
700 Wackenhut Corrections Corp*
14,000
900 Wall Data Inc*
13,613
1,600 Wonderware Corp*
14,224
400 Workgroup Technology Corp*
2,650
$4,864,308
INSURANCE --- 4.6%
5,300 20th Century Industries
89,438
1,400 Acceptance Insurance Companies Inc*
27,650
1,600 Acordia Inc
46,400
4,800 Alexander & Alexander Services Inc
83,400
2,300 Alfa Corp
29,038
2,400 Allied Group Inc
78,300
2,400 American Bankers Insurance Group Inc
122,700
900 American Heritage Life Investment Corp
23,625
3,000 Amerin Corp*
77,250
2,000 Argonaut Group Inc
61,500
1,600 Arthur J Gallagher & Co
49,600
1,300 Baldwin & Lyons Inc Class B
23,888
2,100 Bankers Life Holding Corp
52,500
2,600 CMAC Investment Corp
95,550
400 CapMAC Holdings Inc
13,250
1,200 Capital RE Corp
55,950
800 Citizens Corp
18,000
2,300 Commerce Group Inc
58,075
1,200 Compdent Corp*
42,300
962 Conseco Inc
61,328
2,800 Crawford & Co Class B
64,050
1,420 Delphi Financial Group Inc Class A*
41,890
1,200 EW Blanch Holdings
24,150
1,400 Enhance Financial Services Group Inc
51,100
1,300 Executive Risk Inc
48,100
1,100 Fidelity National Financial Inc
16,638
1,100 First American Financial Corp
45,238
1,000 Foremost Corporation of America
60,000
2,320 Fremont General Corp
71,920
1,300 Frontier Insurance Group Inc
49,725
2,171 Gainsco Inc
20,896
1,100 Guarantee Life Companies Inc
20,350
1,700 Guaranty National Corp
28,475
3,350 HCC Insurance Holdings Inc
80,400
2,300 Hartford Steam Boiler Inspection & Insurance Co
106,663
1,300 Highlands Insurance Group*
26,325
1,600 Hilb Rogal & Hamilton Co
21,200
1,400 Home Beneficial Corp Class B
53,025
2,700 Horace Mann Educators Corp
109,013
1,300 Inphynet Medical Management Inc*
23,400
1,500 Integon Corp
26,625
2,700 John Alden Financial Corp
49,950
400 Kansas City Life Insurance Co
25,400
1,700 Liberty Corp
66,725
1,100 Life Re Corp
42,488
968 MAIC Holdings Inc*
32,791
1,100 MMI Companies Inc
35,475
500 Markel Corp*
45,000
2,100 Maxicare Health Plans Inc*
46,725
500 Meadowbrook Insurance Group
10,500
1,700 NAC RE Corp
57,588
200 National Western Life Insurance Co Class A*
17,400
600 Nymagic Inc
10,800
1,600 Orion Capital Corp
97,800
1,534 PXRE Corp
37,967
2,600 Penncorp Financial Group Inc
93,600
4,500 Physician Corporation of America*
45,000
800 Physicians Health Services Inc Class A*
11,800
900 Pioneer Financial Services Inc
22,500
600 Poe & Brown Inc
15,900
2,900 Presidential Life Corp
34,980
675 RLI Corp
22,528
1,900 Reinsurance Group America Co
89,538
7,200 Reliance Group Holdings Inc
65,700
400 RightChoice Managed Care Inc Class A*
4,250
1,900 Risk Capital Holdings Inc*
36,813
1,700 Selective Insurance Group Inc
64,600
700 State Auto Financial Corp
12,600
700 Trenwick Group Inc
32,375
3,900 UICI*
126,750
600 United Dental Care Inc*
18,225
1,075 United Fire & Casualty Co
37,894
700 United Wisconsin Services Inc
18,375
2,150 Vesta Insurance Group Inc
67,456
1,600 WR Berkley Corp
81,200
1,200 Washington National Corp
33,000
1,200 Zenith National Insurance Corp
32,850
1,300 Zurich Reinsurance Centre Holdings Inc
40,625
$3,684,093
LEASING --- 0.1%
1,200 Financial Federal Corp*
20,100
600 Oxford Resources Corp Class A*
18,525
1,600 Renters Choice Inc*
23,200
$61,825
MFTG - CONSUMER PRODS. --- 7.6%
2,000 ATC Communications Group Inc*
26,500
800 Action Performance Companies Inc*
14,400
4,400 Adolph Coors Co Class B
83,600
400 Advanced Lighting Technologies*
9,700
1,400 American Business Products Inc
35,175
400 American Eagle Outfitters Inc*
3,150
4,800 American Media Inc Class A*
28,200
2,200 Authentic Fitness Corp
26,400
1,200 BT Office Products International Inc*
10,650
3,550 Banta Corp
81,206
1,500 Bassett Furniture Industries Inc
36,750
1,700 Big Flower Press Holdings Inc*
31,875
2,000 Boston Beer Company Inc*
20,500
2,000 Bowne & Company Inc
49,250
2,100 Brown Group Inc
38,588
2,000 Buckeye Cellulose Corp*
53,250
7,200 Burlington Industries Inc*
79,200
1,100 Bush Industries Inc Class A
21,175
800 CSS Industries Inc*
20,800
3,500 Calgene Inc*
17,500
2,000 Canandaigua Wine Company Inc Class B*
67,000
2,200 Catalina Marketing Corp*
121,275
5,660 Champion Enterprises Inc*
110,370
3,400 Chiquita Brands International Inc
43,350
2,100 Church & Dwight Inc
48,038
600 Coca-Cola Bottling Co
29,250
8,100 Collins & Aikman Corp*
50,625
2,200 Cone Mills Corp*
17,325
200 Culbro Corp*
12,975
1,300 Daka International Inc*
12,513
4,600 Dean Foods Co
148,350
700 Devon Group Inc*
19,250
315 Diana Corp*
8,663
3,950 Dimon Inc
91,344
1,100 Donnkenny Inc*
5,088
1,200 Dreyer's Grand Ice Cream Inc
34,800
4,800 Dura Pharmaceuticals Inc*
229,200
1,100 Earthgrains Co
57,475
1,000 Elcor Corp
21,375
1,600 Ethan Allen Interiors Inc
61,600
500 Fab Industries Inc
13,750
68 Farmer Brothers Co
10,336
1,000 Fibreboard Corp*
33,750
1,000 Fieldcrest Cannon Inc*
16,000
6,700 Flowers Industries Inc
144,050
1,400 FoodBrands America Inc*
19,250
1,900 Franklin Quest Co*
39,900
1,700 Galoob (Lewis) Toys Inc*
23,800
1,800 Gibson Greetings Inc*
35,325
2,000 Golden Books Family Entertainment Inc.*
22,250
1,400 Guilford Mills Inc
37,275
2,900 Gymboree Corp*
66,338
2,700 HON Industries Inc
89,100
1,910 Harte-Hanks Communications Inc
53,003
2,900 Hartmarx Corp*
16,313
2,900 Herman Miller Inc
164,213
2,800 Hollinger International Inc
32,200
1,700 Houghton Mifflin Co
96,263
2,450 Hudson Foods Inc Class A
46,550
1,100 Insilco Corp*
42,350
2,700 Interface Inc Class A
54,338
800 International Imaging Materials Inc*
18,200
1,900 International Multifoods Corp
34,438
3,400 JM Smucker Co Class A
59,925
1,300 JP Foodservice Inc*
36,238
3,500 John H Harland Co
115,500
1,500 John Wiley & Sons Inc Class A
48,375
3,900 Jostens Inc
82,388
2,100 Just For Feet Inc*
55,125
2,200 Justin Industries Inc
25,300
1,615 K2 Inc
44,413
2,450 Kellwood Co
49,000
700 Kenneth Cole Productions Inc Class A*
10,850
2,100 Kimball International Inc Class B
86,888
1,800 Kinetic Concepts Inc
22,050
1,500 La-Z-Boy Chair Co
44,250
1,700 Lance Inc
30,600
1,859 Land's End Inc*
49,264
2,000 Lydall Inc*
45,000
500 Mafco Consolidated Group*
12,688
200 Manhattan Bagel Company Inc*
1,450
700 Marisa Christina Inc*
5,775
3,500 McClatchy Newspapers Inc Class A
122,500
1,400 Media General Inc Class A
42,350
600 Merrill Corp
13,800
1,400 Michael Foods Inc
17,850
2,400 Mohawk Industries Inc*
52,800
900 Morningstar Group Inc*
17,663
400 National Presto Industries Inc
14,950
1,775 Nature's Sunshine Products Inc
31,950
1,400 New England Business Service Inc
30,100
1,600 Northland Cranberries Inc Class A
36,800
1,300 Oshkosh B'Gosh Inc
19,825
900 ParExel International Corp*
46,463
1,900 Pepsi-Cola Puerto Rico Bottling Company Class B*
7,600
1,000 Performance Food Group Co*
15,500
1,000 Petes Brewing Co*
8,000
2,700 Phillips Van-Heusen Corp
38,813
500 Pilgrims Pride Corp
4,313
2,100 Playboy Enterprises Inc*
20,475
2,900 Playtex Products Inc*
23,200
1,300 Ply-Gem Industries Inc
16,088
6,500 Premark International Inc
144,625
733 Pulitzer Publishing Co Class B
33,993
800 Quicksilver Inc*
17,100
1,000 Redhook Ale Brewery Inc*
9,625
800 Riviana Foods Inc
13,800
900 Robert Mondavi Corp Class A*
32,850
1,300 Samsonite Corp*
49,888
900 Sanderson Farms Inc
15,075
2,400 Savannah Foods & Industries Inc
32,400
1,400 Scholastic Corp*
94,150
1,800 Schweitzer-Mauduit International Inc
56,925
1,500 Scientific Games Holdings Corp*
40,125
32 Seaboard Corp
8,512
1,900 Smithfield Foods Inc*
72,200
2,800 Sola International Inc*
106,400
1,600 Springs Industries Inc Class A
68,800
1,300 Starter Corp*
7,475
300 Steck-Vaughn Publishing Corp*
3,300
1,300 Strategic Distribution Inc*
10,238
5,800 Stride Rite Corp
58,000
900 The Timberland Co Class A*
34,200
2,081 Tootsie Roll Industries Inc
82,460
4,900 Topps Company Inc*
19,600
1,700 Triangle Pacific Corp*
40,905
700 USA Detergents Inc*
29,138
1,100 Unitog Co
29,975
4,000 Universal Corp
128,500
3,000 Universal Foods Corp
105,750
1,400 Universal Forest Products Inc
18,550
2,500 Valassis Communications Inc*
52,813
1,200 Valhi Inc
7,650
1,850 WLR Foods Inc
22,894
400 Waverly Inc
9,500
1,900 Westpoint Stevens Inc*
56,763
3,225 Wolverine World Wide Inc
93,525
4,000 World Color Press Inc*
77,000
$6,077,550
MFTG - INDUSTRIAL PRODS --- 14.7%
4,300 A Schulman Inc
105,350
1,300 ABT Building Products Corp*
32,500
1,400 AT Cross Co Class A
16,275
700 Advanced Energy Industries*
3,763
400 Ag-Chem Equipment Company Inc*
7,300
1,500 Agouron Pharmaceutical Inc*
101,625
900 Alamo Group Inc
15,413
2,900 Albany International Corp Class A
67,063
1,700 Alkermes Inc*
39,525
3,400 Alliance Pharmaceutical Corp*
46,325
1,000 Allied Products Corp
29,750
900 Alltrista Corp*
23,175
1,500 Alpharma Inc Class A
21,375
1,800 Alteon Inc*
9,450
1,000 Amcast Industrial Corp
24,750
200 American Financial Enterprises Inc
5,550
600 American Homestar Corp*
13,650
400 Ameron International Inc
20,650
2,300 Amylin Pharmaceuticals Inc*
29,900
600 Aphton Corp*
11,700
1,400 Applied Power Inc Class A
55,475
2,100 Aptargroup Inc
74,025
4,100 Arcadian Corp
108,650
10,100 Armco Inc*
41,663
1,100 Armor All Products Corp
20,900
2,600 Arvin Industries Inc
64,350
1,800 Aviall Inc*
16,650
3,200 BMC Industries Inc
100,800
2,800 BWIP Holding Inc
46,200
300 Bacou USA Inc*
4,988
3,500 Ball Corp
91,000
2,349 Banctec Inc*
48,448
550 Barr Labs Inc*
13,956
2,700 Belden Inc
99,900
5,400 Bio-Technology General Corp*
70,875
3,300 Birmingham Steel Corp
62,700
1,494 Block Drug Inc Class A
68,724
1,300 Blount International Inc Class A
49,888
1,800 Brush Wellman Inc
29,475
700 Bush Boake Allen Inc*
18,638
750 Butler Manufacturing Co
30,375
2,200 COR Therapeutics Inc*
21,725
4,700 Calgon Carbon Corp
57,575
1,300 Cambrex Corp
42,575
2,800 Camco International Inc
129,150
2,900 Caraustar Industries Inc
96,425
1,500 Carlisle Companies Inc
90,750
1,800 Carpenter Technology Corp
65,925
900 Carrington Laboratories Inc*
6,975
1,100 Cascade Corp
17,738
1,200 Casino Data Systems Co*
8,250
1,300 Centex Construction Products Inc
23,400
2,800 Cephalon Inc*
57,400
600 Chaparral Steel Co
7,275
1,000 Chase Brass Industries Inc*
19,875
1,000 Chemed Corp
36,500
450 Chicago Miniature Lamp Inc*
18,675
4,600 Cincinnati Milacron Inc
100,625
800 Citation Corp*
8,200
1,700 Clarcor Inc
37,613
700 Coastcast Corp*
10,150
600 Columbus McKinnon Corp
9,375
1,600 Commercial Intertech Corp
21,800
1,000 Commonwealth Aluminum Corp
15,375
2,700 Computer Network Technology Corp*
13,500
800 Copley Pharmaceutical Inc*
7,400
5,300 Copytele Inc*
26,166
7,998 Crompton & Knowles Corp
153,962
1,600 Cuno Incorporated*
23,800
300 Curtiss-Wright Corp
15,113
1,900 Cygnus Inc*
27,550
2,200 Cytel Corp*
7,561
5,500 Cytogen Corp*
30,250
600 DT Industries Inc
21,000
600 Day Runner Inc*
11,700
2,800 Dexter Corp
89,250
2,850 Duriron Company Inc
77,306
2,000 Dynatech Corp*
88,500
1,600 Energy Ventures Inc*
81,400
1,400 Epitope Inc*
16,100
2,100 Exide Corp
48,300
2,600 FSI International Inc*
39,000
4,800 Fedders Corp
30,000
3,100 Ferro Corp
87,963
800 Florida Rock Industries Inc
26,200
1,600 Foamex International Inc*
26,400
500 Fossil Inc*
6,750
900 Franklin Electronic Publishers Inc*
10,913
1,400 Fuisz Technologies Ltd*
11,025
3,816 Fulton Financial Corp
82,044
1,000 Furon Co
21,250
950 Gasonics International Corp*
9,738
6,300 Gaylord Container Corp Class A*
38,588
4,200 Genelabs Technologies Inc*
25,725
700 General Binding Corp
20,825
900 General Scanning Inc*
10,575
1,400 Geneva Steel Co Class A*
4,200
3,000 Gensia Inc*
13,875
2,000 Gerber Scientific Inc
29,750
400 Gibraltar Steel Corp*
10,500
3,400 Gilead Sciences Inc*
85,000
400 Gleason Corp
13,250
2,600 Global Industries Technologies Inc*
57,525
2,500 Goulds Pumps Inc
57,343
1,475 Graco Inc
36,138
1,900 Greenfield Industries Inc
58,188
800 Greenwich Air Services Inc Class A
18,000
2,500 Greif Brothers Corp Class A
70,625
3,500 Griffon Corp*
42,875
1,600 HB Fuller Co
75,200
1,600 Handy & Harman
28,000
800 Helix Technology Corp
23,200
600 Huntco Inc Class A
8,850
3,902 ICN Pharmaceuticals Inc
76,577
3,400 ICOS Corp*
25,925
1,950 IDEX Corp
77,756
1,200 IMCO Recycling Inc
17,550
2,200 Imclone Systems Inc*
21,450
1,700 Immune Response Corp*
14,025
2,100 Immunex Corp*
40,950
2,400 Immunomedics Inc*
13,200
1,000 In Focus Systems Inc*
21,625
975 Inbrand Corp*
20,475
1,423 Intermagnetics General Corp*
17,076
2,000 Intermet Corp
32,250
1,800 Ionics Inc*
86,400
2,900 Isis Pharmaceuticals Inc*
52,200
2,100 J&L Specialty Steel Inc
23,888
2,500 Jones Medical Industries Inc
91,563
1,200 KFX Inc*
6,600
1,100 Kaiser Aluminum Corp*
12,788
1,900 Kaydon Corp
89,538
3,100 Kennametal Inc
120,513
1,000 Kronos Inc*
32,000
2,200 Kulicke & Soffa Industries Inc*
41,800
800 LL Knickerbocker Co*
5,100
300 Landec Corp*
2,288
3,500 Lawter International Inc
44,188
800 Learonal Inc
18,400
1,600 Libbey Inc
44,600
1,200 Life Technologies Inc
30,000
2,698 Ligand Pharmaceuticals Inc Class B*
40,133
2,150 Lilly Industries Inc Class A
39,238
2,900 Lincoln Electric Co
95,338
700 Lindsay Manufacturing Co
32,725
3,900 Liposome Company Inc*
74,588
500 Liqui-Box Corp
16,250
1,300 Lone Star Industries Inc
47,938
2,400 Lone Star Technologies Inc*
40,800
1,700 Lukens Inc
34,213
600 MacDermid Inc
16,500
1,400 Marquette Medical Systems Class A*
30,975
1,750 Material Sciences Corp*
31,500
2,100 Matrix Pharmaceuticals Inc*
12,863
900 Matthews International Corp Class A
25,425
700 McGrath Rentcorp
18,025
700 McWhorter Technologies Inc*
16,013
1,600 Medimmune Inc*
27,200
1,900 Medusa Corp
65,313
1,400 Mercer International Inc
14,350
1,000 Meridian Diagnostics Inc
13,000
4,100 Microchip Technology Inc*
208,588
900 Micros Systems Inc*
27,675
900 Mikasa Inc*
9,225
2,600 Minerals Technologies Inc
106,600
3,302 Mississippi Chemical Corp
132,239
2,500 Modine Manufacturing Co
66,875
1,086 Mosinee Paper Corp
38,553
2,000 Mueller Industries Inc*
77,000
2,100 Mycogen Corp*
45,150
1,462 Myers Industries Inc
24,671
3,600 NABI Inc*
31,500
1,900 NBTY Inc*
36,100
400 NCH Corp
24,100
700 NCI Building Systems Inc*
24,150
2,800 NL Industries Inc
30,450
975 NN Ball & Roller Inc
14,869
800 Nacco Industries Inc Class A
42,800
2,400 National Steel Corp*
22,200
1,400 Northfield Laboratories Inc*
15,050
1,900 Novellus Systems Inc*
102,955
1,700 Noven Pharmaceuticals Inc*
23,800
2,600 Nu-Kote Holding Inc Class A*
26,650
1,400 O'Sullivan Corp
15,400
2,300 Oncogene Science Inc*
14,663
1,100 Oneida Ltd
19,800
1,000 Optical Data Systems Inc*
12,000
900 Oregon Metallurgical Corp
29,025
2,600 Oregon Steel Mills Inc
43,550
1,475 Organogenesis Inc*
34,109
1,150 Osmonics Inc*
25,300
2,300 Outboard Marine Corp
37,950
3,000 PH Glatfelter Co
54,000
1,200 Paragon Trade Brands Inc*
36,000
900 Park-Ohio Industries Inc*
11,588
2,693 Paxar Corp*
46,454
1,000 Penn Engineering & Manufacturing Corp-Class A
20,750
4,300 Pentair Inc
138,675
7,800 Perrigo Co*
71,175
700 Petrolite Corp
33,600
1,050 Photronics Inc*
28,613
3,200 Polaris Industries Inc
76,000
1,500 Pope & Talbot Inc
23,813
1,400 Possis Corp*
29,225
2,400 Power Control Technologies Inc*
18,000
2,350 Precision Castparts Corp
116,619
1,300 Protein Design Labs Inc*
47,450
500 Puerto Rican Cement Company Inc
15,625
1,400 Quanex Corp
38,325
1,400 RMI Titanium Co*
39,375
2,600 RP Scherer Corp*
130,650
1,100 RailTex Inc*
27,775
2,400 Regal-Beloit Corp
47,100
2,300 Regeneron Pharmaceuticals Inc*
37,088
900 Reliance Steel & Aluminum Co
31,500
2,200 Rexene Corp
29,975
900 Robbins & Myers Inc
22,500
1,400 Roberts Pharmaceutical Corp*
15,750
1,800 Robotic Vision Systems Inc*
21,375
3,850 Rock-Tenn Co Class A
76,038
1,500 Roper Industries Inc
58,688
1,000 Rouge Steel Co Class A
21,125
1,100 Russ Berrie & Company Inc
19,800
700 SPS Technologies Inc*
44,975
500 Schnitzer Steel Industries Inc Class A
12,813
1,600 SciClone Pharmaceuticals Inc*
12,800
4,100 Scios Nova Inc*
25,174
1,100 Scotsman Industries Inc
25,988
2,200 Scotts Co Class A*
43,725
900 Sequa Corp Class A*
35,325
600 Shiloh Corp*
9,750
1,700 Shorewood Packaging Corp*
33,150
3,500 Silicon Valley Group Inc*
70,438
550 Simula Inc*
7,425
2,400 Somatix Therapy Corp*
7,949
2,100 Somatogen Inc*
23,100
2,000 Southdown Inc
62,250
1,800 Spartech Corp
20,025
1,200 Specialty Equipment Companies Inc*
15,000
100 Spinnaker Industries Class A*
5,800
2,400 Stac Inc*
15,900
1,400 Standex International Corp
43,225
800 Steel Technologies Inc
10,600
1,000 Stepan Co
20,375
3,600 Stewart & Stevenson Services Inc
104,850
2,200 Sturm Ruger Company Inc
42,625
2,100 Synetic Inc*
101,850
500 Syratech Corp*
15,750
1,000 Techne Corp*
26,000
1,900 Telxon Corp
23,275
1,000 Tennant Co
27,500
1,300 Texas Industries Inc
65,813
1,300 The Manitowoc Company Inc
52,650
1,850 TheraTech Inc*
24,513
500 Thermo Power Corp*
3,969
400 Thermo TerraTech Inc*
3,950
1,475 Thomas Nelson Inc
21,941
1,650 Titan Wheel International Inc
21,038
1,400 Toro Co
51,100
700 Tower Automotive Inc*
21,875
850 Tredegar Industries Inc
34,106
500 Tremont Corp*
18,063
1,800 Trimas Corp
42,975
3,100 Trinova Corp
112,763
1,600 Tseng Labs Inc*
5,000
500 TurboChef Inc*
11,063
4,000 Tyco Toys Inc*
47,000
2,600 UNR Industries Inc
15,600
2,100 Ultratech Stepper Inc*
49,875
1,300 United States Can Corp*
21,938
4,425 United States Filter Co*
140,494
2,400 Uromed Corp*
23,400
1,000 Valmont Industries Inc
41,250
1,800 Valspar Corp
101,925
1,300 Vans Inc*
16,250
2,000 Varco International Inc*
46,250
2,100 Vertex Pharmaceuticals Inc*
84,525
1,700 Vical Inc*
28,050
2,000 Vivus Inc*
72,500
800 WD-40 Co
40,812
2,500 WH Brady Co Class A
61,563
1,000 Walbro Corp
18,250
4,200 Wang Laboratories Inc*
85,050
2,200 Watts Industries Inc Class A
52,525
3,262 Wausau Paper Mills Co
60,347
3,400 Wellman Inc
58,225
1,500 West Inc
42,375
2,100 Westinghouse Air Brake Co
26,513
1,300 Whittaker Corp*
16,413
2,100 Williams Industries Inc*
42,000
1,600 Wolverine Tube Inc*
56,400
2,300 Wyman Gordon Co*
51,175
1,100 Wynn's International Inc
34,788
1,900 Xircom Inc*
41,325
1,600 Zero Corp
32,000
2,600 Zila Inc*
17,225
900 Zoltek Companies Inc*
32,738
$11,822,490
MINING --- 0.9%
2,000 AMCOL International Corp
31,500
5,800 Amax Gold Inc*
36,975
900 Ashland Coal Inc
24,975
26,300 Battle Mountain Gold Co
180,813
2,200 Calmat Co
41,250
1,200 Cleveland-Cliffs Inc
54,450
2,500 Coeur D'Alene Mines Co
37,813
1,500 Dravo Corp*
21,188
3,004 Getchell Gold Corp*
115,279
5,900 Helca Mining Co*
33,188
700 Maxxam Inc*
33,338
1,400 Royal Gold Inc*
18,725
1,700 Stillwater Mining Co*
30,813
25,400 Sunshine Mining Co*
23,800
550 Thermo Ecotek Corp*
8,388
1,700 Zeigler Coal Holding Co
36,338
$728,833
OIL & GAS --- 3.5%
600 Atwood Oceanics Inc*
38,100
4,218 BJ Services Company USA*
215,118
700 Belco Oil & Gas Corp*
19,163
1,100 Belden & Blake Corp*
28,050
3,300 Benton Oil & Gas Co*
74,663
2,200 Berry Petroleum Co Class A
31,625
2,100 Box Energy Corp*
19,163
2,400 Cabot Oil & Gas Corp
41,100
1,700 Cairn Energy USA Inc*
17,000
800 Cliffs Drilling Co*
50,600
1,800 Cross Timbers Oil Co
45,225
800 Crown Central Petroleum Corp Class A*
9,900
2,200 Devon Energy Corp
76,450
1,400 Falcon Drilling Company Inc*
54,950
1,300 Flores & Rucks Inc*
69,225
1,100 Forcenergy Inc*
39,875
2,600 Forest Oil Corp*
45,825
3,100 Freeport-McMoRan Inc
99,588
800 Giant Industries Inc
11,200
4,000 Giddings & Lewis Inc
51,500
2,500 Global Industries Ltd*
46,563
9,000 Harken Energy Corp*
27,000
2,900 Helmerich & Payne Inc
151,163
600 Holly Corp
16,050
300 Hondo Oil & Gas Co*
3,263
1,400 Hugoton Energy Corp*
14,175
3,200 Kelley Oil & Gas Corp*
7,798
1,700 Lomak Petroleum Inc
29,113
800 Louis Dreyfus Natural Gas Corp*
13,700
4,800 Marine Drilling Companies Inc*
94,498
7,500 Mesa Inc
39,375
4,300 Mitchell Energy & Development Corp Class A
96,213
4,200 Newfield Exploration Co*
109,200
1,245 Newpark Resources Inc*
46,376
1,400 Nuevo Energy Co*
72,800
2,700 Oceaneering International Inc*
42,863
4,100 Parker & Parsley Petroleum Co
150,675
6,400 Parker Drilling Co*
61,600
2,000 Plains Resources Inc*
31,250
2,000 Pool Energy Services Co*
30,750
900 Production Operators Corp
41,850
4,100 Quaker State Corp
57,913
1,200 Seitel Inc*
48,000
3,200 Snyder Oil Corp
55,600
1,700 Solv-Ex Corp*
23,800
1,000 Stone Energy Corp*
29,875
1,500 Swift Energy Co*
44,813
3,000 Tesoro Petroleum Corp*
42,000
2,200 Tom Brown Inc*
45,925
4,800 Tuboscope Vetco International Corp*
74,400
3,220 United Meridian Corp*
166,635
1,000 Veritas Software Corp*
18,500
1,200 Vintage Petroleum Inc
41,400
$2,813,456
OTHER ASSET-BACKED --- 0.1%
3,637 Financial Security Assurance Holdings Ltd
119,566
$119,566
OTHER TRANS. SERVICES --- 1.0%
2,600 APL Ltd
61,425
2,400 American Freightways Corp*
26,700
1,500 Brightpoint Inc*
44,625
2,800 Expeditors International of Washington Inc
64,400
1,000 Frozen Food Express Industries Inc
9,000
2,300 GATX Corp
111,550
5,300 Greyhound Lines Inc*
20,538
1,300 Harper Group Inc
30,875
1,784 Heartland Express Inc*
43,485
2,600 JB Hunt Transport Services Inc
36,400
200 Knight Transportation Inc*
3,800
1,500 Landstar System Inc*
34,875
1,000 MS Carriers Inc*
16,000
1,800 Miller Industries Inc*
36,000
3,200 Overseas Shipholding Group Inc
54,400
1,500 Roadway Express Inc
29,063
1,100 Rural/Metro Corp*
39,600
2,600 USFreightways Corp
71,336
2,450 Werner Enterprises Inc
44,406
$778,478
RAILROADS --- 0.1%
1,000 ABC Rail Products Corp*
19,875
400 Florida East Coast Industries Inc
34,950
$54,825
REAL ESTATE --- 3.7%
400 Alexanders Inc*
31,650
1,700 Amresco Inc*
45,475
1,400 Apartment Investment & Management Co Class A
39,550
800 Avatar Holdings Inc*
25,600
3,600 Beacon Properties Corp
131,850
2,000 Burnham Pacific Properties Inc
30,000
1,700 CCB Financial Corp
116,025
5,200 CWM Mortgage Holdings Inc
111,800
1,700 Cali Realty Corp
52,488
8,600 Catellus Development Corp*
97,825
1,100 Charles E Smith Residential Realty Inc
32,175
2,400 Crescent Real Estate Equities Inc
126,600
2,000 Del Webb Corp
32,750
2,100 Evans Withycombe Residential Inc
44,100
2,600 Felcor Suite Hotels Inc
91,975
2,800 First Industrial Realty Trust Inc
85,050
400 Forest City Enterprises Inc Class A
24,200
1,800 Gables Residential Trust
52,200
3,100 General Growth Properties Inc
99,975
3,600 Highwood Properties Inc
121,500
2,176 Horizon Group Inc
43,248
2,600 Hospitality Properties Trust
75,400
3,500 Insignia Financial Group Inc Class A*
78,750
2,100 Irvine Apartment Communities Inc
52,500
1,300 JDN Realty Corp
35,913
1,300 Meridian Industrial Trust Inc
27,300
4,200 Merry Land & Investment Company Inc
90,300
1,200 Mid-America Apartment Communities Inc
34,650
1,700 Mills Corp
40,588
800 NHP Inc*
12,400
1,700 Paragon Group Inc
30,175
2,500 Post Properties Inc
100,625
1,600 Price Enterprises Inc
27,800
1,300 ROC Communities Inc
36,075
2,600 Realty Income Corp
62,075
1,000 Reckson Associates Realty Corp
42,250
1,100 Redwood Trust Inc
40,975
2,300 Resource Mortgage Capital Inc
67,563
900 Sovran Self Storage Inc
28,125
3,500 Spieker Properties Inc
126,000
1,200 Storage Trust Realty
32,400
1,000 The Price Real Estate Investment Trust Inc
38,500
1,400 Trinet Corporate Realty Trust Inc
49,700
3,200 Trustmark Corp
81,600
900 Universal Health Realty Income Trust
18,450
1,100 Urban Outfitters Inc*
14,300
1,500 Urban Shopping Centers Inc
43,500
2,800 Vornado Realty Trust
147,000
1,300 Walden Residential Properties Inc
32,338
1,300 Weeks Corp
43,225
$2,946,513
RETAIL TRADE --- 5.7%
3,500 Americredit Corp*
71,750
1,500 Amre Inc*
2,438
2,700 AnnTaylor Stores Corp*
47,250
2,900 Apple South Inc
39,150
3,600 Applebees International Inc
99,000
3,075 Arbor Drugs Inc
53,428
1,250 BMC West Corp*
15,313
1,200 Baby Superstore Inc*
28,800
3,700 Best Buy Inc*
39,313
900 Blair Corp
17,325
4,900 Bob Evans Farms Inc
66,150
4,300 Bombay Company Inc*
19,888
1,200 Books-A-Million Inc*
8,250
200 Buckle Inc*
5,000
5,121 Buffets Inc*
46,729
1,800 Burlington Coat Factory Warehouse Corp*
23,400
2,200 CKE Restaurants Inc
79,200
5,700 CML Group Inc
19,238
1,900 Carson Pirie Scott & Co*
47,975
3,000 Caseys General Stores Inc
56,250
2,976 Cash America International Inc
25,296
2,700 Cato Corp Class A
13,500
10,900 Charming Shoppes Inc*
55,176
1,000 Cheesecake Factory Inc*
18,125
5,500 Claire's Stores Inc
71,500
1,300 Cole National Corp Class A*
34,125
1,290 Consolidated Products Inc*
25,155
900 Copart Inc*
11,813
148 Dart Group Corp Class A
13,764
700 Delchamps Inc
13,563
1,000 Discount Auto Parts Inc*
23,375
2,400 Donaldson Company Inc
80,400
2,300 Duty Free International Inc
33,350
2,200 Eagle Hardware & Garden Inc*
45,650
1,700 Egghead Inc*
8,925
1,100 Encad Inc*
45,375
1,900 Express Scripts Inc*
68,163
1,600 Fabri-Centers of America Inc Class A*
25,800
4,800 Family Dollar Stores Inc
97,800
5,400 Fingerhut Companies Inc
66,150
4,500 Foodmaker Inc*
39,938
3,100 Fred Meyer Inc*
110,050
1,600 Friedmans Inc Class A*
23,600
7,000 Furniture Brands International Inc*
98,000
1,000 Gadzooks Inc*
18,250
2,000 Garden Ridge Corp*
17,250
3,100 Gencorp Inc
56,188
2,900 Genesco Inc*
26,825
800 Getty Petroleum Corp
13,000
7,700 HEARx Ltd*
21,652
2,500 Hancock Fabrics Inc
25,938
700 Hardinge Inc
18,638
3,500 Hechinger Co Class A
7,217
5,700 Heilig-Meyers Co
92,625
2,500 Hollywood Entertainment Corp*
46,250
1,000 IHOP Corp*
23,625
800 Ingles Markets Inc Class A
10,000
3,500 Intelligent Electronics Inc*
28,000
1,700 International Dairy Queen Inc Class A*
34,000
1,900 Landrys Seafood Restaurant Co*
40,613
800 Longhorn Steaks Inc*
15,100
1,600 Longs Drug Stores Corp
78,600
2,800 Luby's Cafeterias Inc
55,650
3,000 MacFrugal's Bargains-Close-Outs Inc*
78,375
2,300 Michaels Stores Inc*
27,600
2,000 NPC International Inc*
16,500
1,700 National Media Corp*
11,900
500 O'Reilly Automotive Inc*
16,000
1,500 Papa John's International Inc*
50,625
4,600 Payless Cashways Inc*
9,200
1,750 Petco Animal Supplies Inc*
36,313
2,900 Petroleum Heat & Power Co
18,488
5,230 Pier 1 Imports Inc
92,179
2,000 Proffitts Inc*
73,750
800 Quality Dining Inc*
14,300
1,000 Quality Food Centers Inc*
33,750
1,000 Rainforest Cafe Inc*
23,500
1,150 Rexall Sundown Inc*
31,265
4,355 Rite Aid Corp
173,111
2,900 Ross Stores Inc
145,000
1,650 Ruby Tuesday Inc
30,525
3,100 Ruddick Corp
43,400
6,100 Ryan's Family Steak Houses Inc*
41,938
1,400 SPX Corp
54,250
1,450 Sbarro Inc
36,975
11,600 Service Merchandise Co Inc*
49,300
4,300 Shoney's Inc*
30,100
2,000 Shopko Stores Inc
30,000
1,800 Showbiz Pizza Time Inc*
32,625
1,419 Smiths Food & Drug Centers Inc
43,989
1,500 Sonic Corp*
38,250
2,250 Sports & Recreation Inc*
17,438
1,800 St John Knits Inc
78,300
1,900 Stant Corp
29,925
1,000 Stein Mart Inc*
20,250
800 Strawbridge & Clothier Class A
12,700
1,700 TJ International Inc
39,525
1,800 The Dress Barn Inc*
27,000
1,450 The Men's Wearhouse Inc*
35,525
3,650 The Sports Authority Inc*
79,388
2,680 Triarc Companies Inc Class A*
30,820
3,900 US Office Products Co*
133,088
1,100 Value City Department Stores Inc*
11,550
3,300 Valuevision International Inc Class A*
17,738
3,600 Waban Inc*
93,600
600 Wet Seal Inc Class A*
12,825
2,000 Whole Foods Market Inc*
45,000
2,175 Williams-Sonoma Inc*
79,116
1,000 Wilmar Industries Inc*
27,750
3,800 Zale Corp*
72,675
$4,611,282
SECURITIES & COMMODITIES --- 0.8%
1,700 Alex Brown Inc
123,250
400 Capital American Financial Corp
14,550
1,860 Downey Financial Corp
36,503
1,600 Great Financial Corp
46,600
1,450 Inter-Regional Financial Group Inc
51,113
1,100 Jefferies Group Inc
44,413
700 John Nuveen Co Class A
18,550
1,600 Legg Mason Inc
61,600
1,000 McDonald & Co Investments Inc
34,750
1,700 Morgan Keegan Inc
29,113
5,000 Phoenix Duff & Phelps Corp
35,625
1,200 Piper Jaffray Companies Inc
18,750
1,225 Quick & Reilly Group Inc
36,597
1,800 Raymond James Financial Inc
54,225
200 Value Line Inc
8,850
$614,489
TELEPHONE --- 0.2%
4,200 Aliant Communications Inc
71,400
1,500 CFW Communications Co
33,188
1,800 MIDCOM Communications Inc*
15,300
800 Tekelec*
12,600
900 Tel-Save Holdings Inc*
26,100
850 Transaction Network Services Inc*
9,775
1,400 TresCom International Inc*
11,200
$179,563
TRANSPORTATION EQUIPMENT --- 1.6%
1,800 AAR Corp
54,450
1,800 AO Smith Corp
53,775
2,500 Arctic Cat Inc
24,688
1,300 Avondale Industries Inc*
27,950
2,000 BE Aerospace Inc*
54,250
1,600 Borg-Warner Automotive Inc
61,600
1,400 Borg-Warner Security Corp*
15,050
1,600 Breed Technologies Inc
41,600
700 Cannondale Corp*
15,750
1,700 Coachmen Industries Inc
48,238
1,200 Covenant Transport Inc Class A*
17,250
1,000 Detroit Diesel Corp*
23,000
4,000 Federal-Mogul Corp
88,000
3,500 Gentex Corp*
70,438
600 Greenbrier Companies Inc
6,225
1,500 Huffy Corp
21,563
3,800 Mascotech Inc
62,225
8,700 Navistar International Corp*
79,388
3,300 Orbital Sciences Corp*
56,925
700 RPC Inc*
10,500
2,500 Rohr Inc*
56,563
1,900 Simpson Industries Inc
20,691
1,000 Skyline Corp
24,750
900 Standard Motor Products Inc
12,488
1,700 Standard Products Co
43,350
2,500 Superior Industries International Inc
57,813
2,100 Thiokol Corp
93,975
600 Thor Industries Inc
15,150
2,150 Wabash National Corp
39,506
900 West Marine Inc*
25,425
1,700 Winnebago Industries Inc
12,325
1,800 Xtra Corp
78,075
$1,312,976
WATER --- 0.5%
800 Aquarion Co
22,300
700 California Water Service Co
29,400
2,000 Culligan Water Technologies Inc*
81,000
900 E'Town Corp
28,463
3,000 Kirby Corp*
59,250
3,200 OMI Corp*
28,000
1,850 Philadelphia Suburban Corp
36,769
1,100 Seacor Holdings Inc*
69,300
900 Southern California Water Co
19,575
2,900 United Water Resources Inc
44,950
800 Western Water Co*
11,600
$430,607
WHOLESALE TRADE - INDL --- 1.0%
1,275 AM Castle & Co
24,544
1,900 Alliance Entertainment Corp*
3,563
1,500 Barnett Inc*
40,875
3,610 Barrett Resources Corp*
153,876
1,450 Bearings Inc
40,419
900 Bindley Western Industries Inc
17,438
1,400 Cort Business Services Corp*
28,875
1,980 Foxmeyer Health Corp*
3,218
1,583 Healthdyne Technologies Inc*
14,049
900 Hunt Manufacturing Co
16,313
2,600 Isolyser Company Inc*
18,200
800 Lawson Products Inc
17,500
1,650 Microage Inc*
33,000
4,400 Nautica Enterprises Inc*
111,100
2,200 OM Group Inc
59,400
1,500 Patterson Dental Co*
42,375
2,625 Pioneer Standard Electronics Inc
34,453
1,000 Sodak Gaming Inc*
15,375
2,700 TBC Corp*
20,250
3,200 Top Source Technologies Inc*
8,000
500 Tractor Supply Co*
10,313
1,400 Wyle Electronics
55,300
$768,436
WHOLESALE TRADE -CONSUMER --- 1.6%
1,500 ACX Technologies Inc*
29,813
1,600 APS Holding Corp Class A*
24,800
2,700 Amerisource Health Corp Class A*
130,275
400 Barnes Group Inc
24,000
1,433 Commercial Metals Co
43,169
2,700 Compucom Systems Inc*
29,025
400 Daisytek International Corp*
16,400
2,500 Department 56 Inc*
61,875
1,600 Fairchild Corp Class A*
23,600
2,200 Fisher Scientific International Inc
103,675
4,400 Fleming Companies Inc
75,900
1,400 Fort Wayne National Corp
53,200
3,900 Handleman Co*
33,150
1,438 Herbalife International Inc
46,915
800 Hughes Supply Inc
34,500
2,100 Kaman Corp Class A
27,300
2,800 Kent Electronics Corp*
72,100
1,300 Nash Finch Co
27,625
3,050 Owens & Minor Inc
31,263
600 Pec Israel Economic Corp*
10,050
1,500 Rexel Inc*
23,813
900 Riser Foods Inc Class A
28,575
3,050 Rykoff-Sexton Inc
48,419
400 Simpson Manufacturing Company Inc*
9,200
1,100 Smart & Final Inc
23,788
2,100 Stanhome Inc
55,650
4,300 Tech Data Corp*
117,713
1,700 United Stationers Inc*
33,150
2,200 VWR Scientific Products Corp*
36,850
1,300 Watsco Inc
37,356
$1,313,149
TOTAL COMMON STOCK --- 98.6%
$79,309,073
(Cost $69,534,145)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 1.4%
1,137,000 Prudential Funding Corp
1,136,789
$1,136,789
TOTAL SHORT-TERM INVESTMENTS --- 1.4%
$1,136,789
(Cost $1,136,789)
TOTAL SMALL-CAP INDEX PORTFOLIO --- 100.0%
$80,445,862
(Cost $70,670,934)
Maxim Series Fund, Inc.
Small-Cap Value Portfolio
COMMON STOCK
COMMUNICATIONS --- 1.4%
18,900 BET Holdings Inc Class A*
543,375
$543,375
CONSUMER SERVICES --- 0.8%
15,800 Angelica Corp
302,175
$302,175
ENVIRONMENTAL SERVICES --- 6.0%
36,400 Rollins Inc
728,000
93,700 Safety-Kleen Corp
1,534,338
$2,262,338
INDUSTRIAL SERVICES --- 3.9%
3,800 Omnicom Group Inc
173,850
27,300 Sothebys Holdings Inc Class A Ltd (vtg)
508,463
35,300 True North Communications Inc
772,188
$1,454,501
INSURANCE --- 2.8%
34,400 Arthur J Gallagher & Co
1,066,400
$1,066,400
MFTG - CONSUMER PRODS. --- 25.1%
222,500 American Media Inc Class A*
1,307,188
45,400 Central Newspapers Inc Class A
1,997,600
66,400 Harte-Hanks Communications Inc
1,842,600
34,400 Herman Miller Inc
1,947,900
94,000 Interface Inc Class A
1,891,750
13,100 Leggett & Platt Inc
453,588
$9,440,626
MFTG - INDUSTRIAL PRODS --- 25.4%
18,850 Ecolab Inc
709,231
81,500 First Brands Corp
2,312,563
35,586 General Binding Corp
1,058,684
12,700 Oil-Dri Corporation of America
190,500
73,900 Shorewood Packaging Corp*
1,441,050
141,600 Specialty Equipment Companies Inc*
1,770,000
76,700 Thomas Nelson Inc
1,140,913
38,500 WH Brady Co Class A (non vtg)
948,063
$9,571,004
REAL ESTATE --- 6.0%
71,700 The Rouse Co
2,276,475
$2,276,475
RETAIL TRADE --- 6.9%
69,300 Bob Evans Farms Inc
935,550
33,600 Longs Drug Stores Corp
1,650,600
$2,586,150
SECURITIES & COMMODITIES --- 5.8%
119,300 Phoenix Duff & Phelps Corp
850,013
30,300 T Rowe Price & Associates Inc
1,318,050
$2,168,063
WHOLESALE TRADE - INDL --- 2.9%
60,500 Hunt Manufacturing Co
1,096,563
$1,096,563
WHOLESALE TRADE -CONSUMER --- 4.2%
55,999 Bergen Brunswig Corp Class A
1,595,966
$1,595,966
TOTAL COMMON STOCK --- 91.2%
$34,363,636
(Cost $27,890,821)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 8.8%
500,000 American Express Credit Corp
498,032
1,156,000 Ford Motor Credit Co
1,154,540
1,649,000 Prudential Funding Corp
1,648,693
$3,301,265
TOTAL SHORT-TERM INVESTMENTS --- 8.8%
$3,301,265
(Cost $3,301,265)
TOTAL SMALL-CAP VALUE PORTFOLIO --- 100.0%
$37,664,901
(Cost $31,192,086)
Maxim Series Fund, Inc.
International Equity Portfolio
COMMON STOCK
ARGENTINA --- 1.7%
OIL & GAS
47,700 Transportadora de Gas del Sur SA
584,325
22,700 YPF SA sponsored ADR
573,175
$1,157,500
TELEPHONE
16,600 Telefonica de Argentina SA
429,525
$429,525
TOTAL ARGENTINA --- 1.7%
$1,587,025
AUSTRALIA --- 6.5%
FOREIGN BANKS
135,923 Australia & New Zealand Banking Group Ltd
855,828
$855,828
HOLDING & INVEST. OFFICES
263,000 BTR PLC Class A
1,206,991
$1,206,991
INSURANCE
422,723 Gio Australia Holdings Ltd
1,080,767
548,163 HIH Winterthur International Holdings Ltd
1,371,010
$2,451,777
MFTG - CONSUMER PRODS.
367,413 Burns Philp & Co Ltd
653,466
$653,466
MFTG - INDUSTRIAL PRODS
339,300 Pioneer International Ltd
1,010,266
$1,010,266
TOTAL AUSTRALIA --- 6.5%
$6,178,328
AUSTRIA --- 3.5%
ELECTRIC
6,720 EVN-Energie Versorgung AG
1,013,190
$1,013,190
INDUSTRIAL SERVICES
4,200 VA Technologie AG
660,244
$660,244
MFTG - INDUSTRIAL PRODS
13,300 Boehler-Uddeholm AG
953,427
$953,427
RETAIL TRADE
26,600 Baumax AG
750,439
$750,439
TOTAL AUSTRIA --- 3.5%
$3,377,300
BELGIUM --- 1.2%
MFTG - INDUSTRIAL PRODS
1,120 Solvay SA Class A
685,985
$685,985
MINING
7,500 NV Union Miniere SA*
508,434
$508,434
TOTAL BELGIUM --- 1.2%
$1,194,419
BERMUDA --- 1.2%
INSURANCE
33,300 PartnerRe Ltd
1,132,200
$1,132,200
TOTAL BERMUDA --- 1.2%
$1,132,200
CANADA --- 1.8%
ELECTRONICS - HIGH TECH
26,600 Newbridge Networks Corp
751,450
$751,450
FOREIGN BANKS
21,500 Canadian Imperial Bank of Commerce
949,084
$949,084
TOTAL CANADA --- 1.8%
$1,700,534
CHILE --- 0.9%
MFTG - INDUSTRIAL PRODS
34,100 Madeco SA sponsored ADR
826,925
$826,925
TOTAL CHILE --- 0.9%
$826,925
CZECH REPUBLIC --- 1.7%
COMMUNICATIONS
7,400 SPT Telekom AS*
916,474
$916,474
ELECTRIC
20,100 Ceske Energeticke Zavody AS ADR*
719,748
$719,748
TOTAL CZECH REPUBLIC --- 1.7%
$1,636,222
DENMARK --- 2.4%
CREDIT INSTITUTIONS
21,400 Unidanmark AS Class A
1,111,584
$1,111,584
TELEPHONE
6,400 Tele Danmark AS ADR
174,400
17,960 Tele Danmark AS Class B
994,073
$1,168,473
TOTAL DENMARK --- 2.4%
$2,280,057
ECUADOR --- 0.4%
MFTG - INDUSTRIAL PRODS
200 La Cemento Nacional
45,800
1,490 La Cemento Nacional GDR#
341,210
$387,010
TOTAL ECUADOR --- 0.4%
$387,010
FINLAND --- 2.8%
ELECTRONICS - HIGH TECH
27,400 Nokia AB
1,590,895
$1,590,895
MFTG - INDUSTRIAL PRODS
46,000 Enso OY Class A*
369,393
38,500 Metsa-Serla OY Class B
289,058
27,800 Outokumpu OY (wts)
474,919
$1,133,370
TOTAL FINLAND --- 2.8%
$2,724,265
FRANCE --- 9.7%
ELECTRONICS - HIGH TECH
15,800 Alcatel Alsthom (Cie Gen El)
1,270,095
$1,270,095
FOREIGN BANKS
28,738 Banque Nationale de Paris
1,112,939
$1,112,939
INSURANCE
18,682 AXA
1,189,018
$1,189,018
MFTG - INDUSTRIAL PRODS
12,055 Pechiney International SA Class A
505,450
30,803 Rhone-Poulenc Class A
1,050,926
$1,556,376
MINING
24,100 Eramet SLN
1,264,262
$1,264,262
OIL & GAS
11,316 Compagnie Francaise de Petroleum Total SA Class B
920,994
9,249 Societe Nationale Elf Aquitaine
842,488
$1,763,482
RETAIL TRADE
8,000 Compagnie de Saint Gobain
1,132,498
$1,132,498
TOTAL FRANCE --- 9.7%
$9,288,670
GERMANY --- 2.0%
ELECTRIC
17,000 Veba AG
977,646
$977,646
FOREIGN BANKS
20,800 Deutsche Bank AG
970,459
$970,459
TOTAL GERMANY --- 2.0%
$1,948,105
HONG KONG --- 6.4%
ELECTRIC
472,100 Consolidated Electric Power Asia Ltd
1,107,858
124,000 Shandong Huaneng Power
1,209,000
$2,316,858
HOLDING & INVEST. OFFICES
34,803 HSBC Holdings PLC
744,711
95,083 Jardine Matheson Holdings Ltd
627,534
100,000 Jardine Strategic Holdings Ltd
362,000
$1,734,245
MFTG - CONSUMER PRODS.
1,116,000 Yue Yuen Industrial Holdings
425,657
$425,657
REAL ESTATE
141,000 Cheung Kong Holdings Ltd
1,253,329
47,000 Hutchison Whampoa Ltd
369,162
$1,622,491
TOTAL HONG KONG --- 6.4%
$6,099,251
INDONESIA --- 1.8%
FOREIGN BANKS
460,000 PT Bank Bali
1,148,540
$1,148,540
MFTG - CONSUMER PRODS.
550,800 PT Indo-Rama Synthetics
536,115
$536,115
TOTAL INDONESIA --- 1.8%
$1,684,655
ISRAEL --- 0.5%
ELECTRONICS - HIGH TECH
45,500 Scitex Corp
432,250
$432,250
TOTAL ISRAEL --- 0.5%
$432,250
ITALY --- 3.6%
COMMUNICATIONS
400,000 Stet Societa' Finanziaria Telefonica SPA
1,341,448
467,000 Telecom Italia SPA
1,204,019
$2,545,467
MFTG - INDUSTRIAL PRODS
312,600 Fiat SPA
938,905
$938,905
TOTAL ITALY --- 3.6%
$3,484,372
JAPAN --- 2.7%
CONSTRUCTION
55,500 Daito Trust Construction Co Ltd
618,478
$618,478
ELECTRONICS - HIGH TECH
66,000 Hitachi Koki
472,650
64,000 Hitachi Ltd
597,097
14,200 Sony Corp
931,047
$2,000,794
TOTAL JAPAN --- 2.7%
$2,619,272
MEXICO --- 0.9%
MFTG - CONSUMER PRODS.
1,549,100 Grupo Herdez SA Series A
413,461
$413,461
TELEPHONE
13,800 Telefonos de Mexico SA sponsored ADR Class L
455,400
$455,400
TOTAL MEXICO --- 0.9%
$868,861
NETHERLANDS --- 6.9%
FOREIGN BANKS
16,173 ABN Amro Holding NV
1,053,396
28,430 ING Groep NV
1,024,712
$2,078,108
INDUSTRIAL SERVICES
25,823 Koninklijke PTT Nederland NV
986,113
$986,113
MFTG - INDUSTRIAL PRODS
6,600 Akzo Nobel NV
902,590
11,525 European Vinyls Corporation International NV
365,979
$1,268,569
TRANSPORTATION EQUIPMENT
39,800 Koninklijke Nedlloyd NV
1,093,191
38,040 Koninklijke Pakhoed NV
1,190,334
$2,283,525
TOTAL NETHERLANDS --- 6.9%
$6,616,315
NEW ZEALAND --- 2.8%
HOLDING & INVEST. OFFICES
645,000 Brierley Investments Ltd
597,042
$597,042
MFTG - INDUSTRIAL PRODS
345,000 Carter Holt Harvey Ltd
782,524
802,540 Fletcher Challenge Ltd
1,343,967
$2,126,491
TOTAL NEW ZEALAND --- 2.8%
$2,723,533
NORWAY --- 2.3%
AIR
72,900 Helikopter Service ASA
951,847
$951,847
CONSUMER SERVICES
53,800 Nycomed ASA Class A*
825,179
28,777 Nycomed ASA Class B*
443,642
$1,268,821
TOTAL NORWAY --- 2.3%
$2,220,668
PHILLIPINES --- 0.9%
HOLDING & INVEST. OFFICES
3,472,000 Metro Pacific Corp
858,099
$858,099
TOTAL PHILLIPINES --- 0.9%
$858,099
SINGAPORE --- 0.4%
MFTG - CONSUMER PRODS.
76,000 Asia Pacific Resource International Holdings Ltd Class
A 427,500
$427,500
TOTAL SINGAPORE --- 0.4%
$427,500
SPAIN --- 5.6%
ELECTRIC
35,480 Compania Sevillana de Electricidad
405,651
11,000 Empresa Nacional de Electridad SA
787,846
78,200 Iberdrola SA
1,115,324
$2,308,821
FOREIGN BANKS
5,010 Banco Intercontinental Espanol (Bankinter)
781,732
2,000 Banco Popular Espanol SA
395,318
$1,177,050
MINING
78,400 Asturiana de Zinc SA*
780,901
$780,901
TELEPHONE
46,200 Telefonica de Espana SA
1,079,707
$1,079,707
TOTAL SPAIN --- 5.6%
$5,346,479
SWEDEN --- 5.8%
FOREIGN BANKS
20,000 Stadshypotek AB
550,259
25,000 Svenska Handelsbanken Inc Class A
720,927
$1,271,186
MFTG - CONSUMER PRODS.
77,000 Stora Kopparbergs Bergslags Aktiebolag Class A
1,064,913
$1,064,913
MFTG - INDUSTRIAL PRODS
12,500 Assidomaen AB
349,429
9,400 Astra AB
455,008
45,500 Sandvik AB Class B
1,238,450
$2,042,887
TRANSPORTATION EQUIPMENT
30,400 Volvo AB Class B
673,140
$673,140
WHOLESALE TRADE -CONSUMER
9,300 Electrolux AB
541,843
$541,843
TOTAL SWEDEN --- 5.8%
$5,593,969
SWITZERLAND --- 3.3%
CONSUMER SERVICES
400 Kuoni Reisenburo Holdings AG Class B
971,745
$971,745
ELECTRONICS - HIGH TECH
830 SMH AG
511,848
$511,848
HOLDING & INVEST. OFFICES
5,500 CS Holding AG
565,294
$565,294
MFTG - INDUSTRIAL PRODS
960 Novartis (registered)*
1,100,075
$1,100,075
TOTAL SWITZERLAND --- 3.3%
$3,148,962
THAILAND --- 0.5%
AGRICULTURE
132,000 Charoen Pokphand Feedmill Public Co Ltd
478,550
$478,550
TOTAL THAILAND --- 0.5%
$478,550
UNITED KINGDOM --- 5.8%
ELECTRIC
153,510 National Power PLC
1,285,137
$1,285,137
ELECTRONICS - HIGH TECH
155,500 BICC Group
732,094
$732,094
GAS
96,700 British Gas PLC
371,661
$371,661
INDUSTRIAL SERVICES
237,400 Transport Development Group PLC
766,118
$766,118
MFTG - CONSUMER PRODS.
540,000 Albert Fisher Group PLC
388,282
$388,282
RETAIL TRADE
147,738 Kwik Save Group PLC
811,897
$811,897
WATER
93,500 Hyder PLC
1,194,143
$1,194,143
TOTAL UNITED KINGDOM --- 5.8%
$5,549,332
UNITED STATES --- 1.2%
INSURANCE
18,600 Ace Ltd
1,118,325
$1,118,325
TOTAL UNITED STATES --- 1.2%
$1,118,325
TOTAL COMMON STOCK --- 87.2%
$83,531,453
(Cost $70,149,457)
PREFERRED STOCK
AUSTRALIA --- 1.3%
MFTG - CONSUMER PRODS.
276,961 News Corp Ltd (vtg)
1,231,480
$1,231,480
TOTAL AUSTRALIA --- 1.3%
$1,231,480
BRAZIL --- 0.3%
TELEPHONE
4,350 Telecomunicacoes Brasileiras SA
332,774
$332,774
TOTAL BRAZIL --- 0.3%
$332,774
TOTAL PREFERRED STOCK --- 1.6%
$1,564,254
(Cost $1,208,599)
SHORT-TERM INVESTMENTS
UNITED STATES --- 11.2%
CREDIT INSTITUTIONS
865,000 American Express Credit Corp
864,865
4,600,000 Ford Motor Credit Co
4,597,990
4,224,000 Prudential Funding Corp
4,223,214
$9,686,069
WHOLESALE TRADE -CONSUMER
1,000,000 Cargill Inc
996,578
$996,578
TOTAL UNITED STATES --- 11.2%
$10,682,647
TOTAL SHORT-TERM INVESTMENTS --- 11.2%
$10,682,647
(Cost $10,673,036)
TOTAL INTERNATIONAL EQUITY PORTFOLIO --- 100.0%
$95,778,354
(Cost $82,031,092)
Maxim Series Fund, Inc.
INVESCO ADR Portfolio
COMMON STOCK
AUSTRALIA --- 7.2%
FOREIGN BANKS
4,000 National Australia Bank Ltd ADR
235,500
$235,500
MFTG - INDUSTRIAL PRODS
4,000 Amcor Ltd ADR
102,000
$102,000
MINING
4,000 CRA Ltd sponsored ADR
253,396
$253,396
TOTAL AUSTRALIA --- 7.2%
$590,896
DENMARK --- 2.0%
MFTG - INDUSTRIAL PRODS
3,500 Novo-Nordisk AS ADR
163,625
$163,625
TOTAL DENMARK --- 2.0%
$163,625
FRANCE --- 6.7%
MFTG - CONSUMER PRODS.
3,500 Groupe Danone sponsored ADR
97,563
2,500 LVMH Moet Hennessy Louis Vuitton Inc sponsored ADR
140,000
$237,563
OIL & GAS
4,000 Total SA sponsored ADR
161,000
$161,000
SECURITIES & COMMODITIES
7,000 Societe Generale Paris ADR
148,750
$148,750
TOTAL FRANCE --- 6.7%
$547,313
GERMANY --- 6.1%
MFTG - INDUSTRIAL PRODS
4,000 BASF AG ADR
151,000
4,500 Bayer AG sponsored ADR
180,563
$331,563
OIL & GAS
4,000 RWE AG sponsored ADR
167,000
$167,000
TOTAL GERMANY --- 6.1%
$498,563
HONG KONG --- 4.3%
AIR
12,000 Swire Pacific Ltd sponsored ADR
112,320
$112,320
REAL ESTATE
10,000 Sun Hung Kai Properties Ltd sponsored ADR
121,250
5,000 Wharf Holdings Ltd sponsored ADR
123,125
$244,375
TOTAL HONG KONG --- 4.3%
$356,695
ITALY --- 2.2%
COMMUNICATIONS
4,000 Stet-Societa Finanziaria Telefonica SA sponsored ADR
179,000
$179,000
TOTAL ITALY --- 2.2%
$179,000
JAPAN --- 15.1%
CONSTRUCTION
600 Sekisui Houses Ltd ADR
61,097
$61,097
ELECTRONICS - HIGH TECH
4,000 Fuji Photo Film Company Ltd ADR
132,000
1,500 Hitachi Ltd ADR
138,750
2,000 Konica Corp ADR
132,550
1,000 Matsushita Electric Industries Company Ltd ADR
163,250
2,000 TDK Corp ADR
131,500
$698,050
MFTG - CONSUMER PRODS.
1,500 Kirin Brewery Co Ltd ADR
147,750
$147,750
MFTG - INDUSTRIAL PRODS
1,500 Kyocera Corp ADR
183,000
$183,000
RETAIL TRADE
2,500 Marui Ltd ADR
90,180
$90,180
TRANSPORTATION EQUIPMENT
1,000 Toyota Motor Corp ADR
57,500
$57,500
TOTAL JAPAN --- 15.1%
$1,237,577
MEXICO --- 1.5%
MFTG - INDUSTRIAL PRODS
10,000 Cemex SA de CV sponsored ADR
77,660
$77,660
TELEPHONE
1,500 Telefonos de Mexico SA sponsored ADR Class L
49,500
$49,500
TOTAL MEXICO --- 1.5%
$127,160
NETHERLANDS --- 10.1%
FOREIGN BANKS
2,557 ABN Amro Holding NV sponsored ADR
164,287
$164,287
INSURANCE
3,000 Aegon NV ADR
189,750
$189,750
MFTG - CONSUMER PRODS.
4,000 Elsevier NV sponsored ADR
135,000
1,000 Unilever NV (NY Reg)
175,250
$310,250
MFTG - INDUSTRIAL PRODS
2,500 Akzo Nobel NV ADR
168,750
$168,750
TOTAL NETHERLANDS --- 10.1%
$833,037
SINGAPORE --- 2.3%
FOREIGN BANKS
3,500 Development Bank of Singapore Ltd sponsored ADR
186,375
$186,375
TOTAL SINGAPORE --- 2.3%
$186,375
SPAIN --- 7.6%
ELECTRIC
2,000 Empresa Nacional de Electricidad SA sponsored ADR
140,000
$140,000
FOREIGN BANKS
2,500 Banco Santander SA ADR
158,750
$158,750
OIL & GAS
4,000 Repsol SA sponsored ADR
152,500
$152,500
TELEPHONE
2,500 Telefonica de Espana SA sponsored ADR
173,125
$173,125
TOTAL SPAIN --- 7.6%
$624,375
SWEDEN --- 2.4%
MFTG - INDUSTRIAL PRODS
4,000 Astra AB sponsored ADR
196,000
$196,000
TOTAL SWEDEN --- 2.4%
$196,000
SWITZERLAND --- 5.3%
CONSUMER SERVICES
4,799 Novartis AG sponsored ADR*
273,543
$273,543
MFTG - CONSUMER PRODS.
3,000 Nestle SA sponsored ADR
160,125
$160,125
TOTAL SWITZERLAND --- 5.3%
$433,668
UNITED KINGDOM --- 16.4%
AIR
1,500 British Airways PLC ADR
154,125
$154,125
ELECTRIC
4,000 PowerGen PLC sponsored ADR
158,000
$158,000
FOREIGN BANKS
750 HSBC Holdings PLC sponsored ADR
160,926
$160,926
MFTG - CONSUMER PRODS.
22,000 Associated British Foods Ltd ADR
179,234
$179,234
MFTG - INDUSTRIAL PRODS
7,000 Glaxo Wellcome PLC sponsored ADR
222,250
$222,250
OIL & GAS
2,000 Shell Transport and Trading Co (NY Reg)
204,750
$204,750
RETAIL TRADE
5,000 J Sainsbury PLC sponsored ADR
130,000
$130,000
TELEPHONE
2,000 British Telecommunications PLC ADR
137,250
$137,250
TOTAL UNITED KINGDOM --- 16.4%
$1,346,535
TOTAL COMMON STOCK --- 89.0%
$7,320,819
(Cost $6,125,964)
SHORT-TERM INVESTMENTS
UNITED STATES --- 11.0%
CREDIT INSTITUTIONS
152,000 American Express Credit Corp
151,976
343,000 Ford Motor Credit Co
342,944
307,000 Prudential Funding Corp
306,943
$801,863
ELECTRIC
100,000 Baltimore Gas & Electric Co
99,868
$99,868
TOTAL UNITED STATES --- 11.0%
$901,731
TOTAL SHORT-TERM INVESTMENTS --- 11.0%
$901,731
(Cost $901,731)
TOTAL INVESCO ADR PORTFOLIO --- 100.0%
$8,222,550
(Cost $7,027,695)
Maxim Series Fund, Inc.
INVESCO Balanced Portfolio
BONDS
AGENCY --- 6.2%
996,918 Federal Home Loan Mortgage Corp
978,844
Pool #E65630
6.500% November 1, 2011
$978,844
COMMUNICATIONS --- 2.9%
400,000 Continental Cablevision Inc
456,604
Debentures
9.500% August 1, 2003
$456,604
CONSUMER SERVICES --- 1.1%
200,000 McKesson Corp
176,000
Convertible Notes
4.500% March 1, 2004
$176,000
ELECTRIC --- 5.4%
200,000 DQU II Funding Corp
209,612
Debentures
8.700% June 1, 2016
250,000 Enersis SA
243,998
Yankee Notes
6.900% December 1, 2006
150,000 Philadelphia Electric Co
157,167
First Referral Mortgage
8.750% April 1, 2022
250,000 Public Service Company of Indiana
248,183
Debentures
6.350% November 15, 2006
$858,960
FOREIGN BANKS --- 1.5%
250,000 Export-Import Bank of Korea
244,900
Yankee Notes
6.500% November 15, 2006
$244,900
MINING --- 0.6%
100,000 Freeport-McMoran Copper & Gold Inc
98,716
Debentures
7.200% November 15, 2026
$98,716
U.S. GOVERNMENTS --- 5.0%
800,000 United States of America
799,870
Treasury Notes
6.000% August 15, 1999
$799,870
TOTAL BONDS --- 22.7%
$3,613,894
(Cost $3,640,893)
COMMON STOCK
COMMUNICATIONS --- 0.6%
2,000 News Corporation Ltd
41,750
4,000 Scottish Television PLC
45,745
$87,495
CONSUMER SERVICES --- 8.7%
2,000 Biogen Inc*
77,500
2,900 Bristol-Myers Squibb Co
315,375
2,300 Eli Lilly & Co
167,900
13,900 Granada Group PLC*
205,366
5,800 Hilton Hotels Corp
151,525
2,300 Merck & Company Inc
182,275
4,100 Smithkline Beecham PLC
278,800
$1,378,741
CREDIT INSTITUTIONS --- 2.7%
1,500 Banc One Corp
64,500
1,800 Bank of Boston Corp
115,650
4,600 Banponce Corp
155,250
1,000 Corestates Financial Corp
51,875
700 Mellon Bank Corp
49,700
$436,975
ELECTRIC --- 1.8%
3,000 Entergy Corp
83,250
6,500 Idaho Power Co
202,313
$285,563
ELECTRONICS - HIGH TECH --- 2.9%
2,700 Calpine Corp*
54,000
1,700 Compaq Computer Corp*
126,225
1,700 Emerson Electric Co
164,475
2,000 Nokia Corp AB*
115,250
$459,950
FINANCIAL SERVICES --- 0.5%
2,000 Green Tree Financial Corp
77,250
$77,250
GAS --- 4.2%
1,000 Columbia Gas System Inc
63,625
1,700 Enron Corp
73,313
4,000 Questar Corp
147,000
7,500 Sonat Inc
386,250
$670,188
INDEPENDENT POWER PROD --- 2.4%
28,000 Forcenergy Group Inc*
389,301
$389,301
INDUSTRIAL SERVICES --- 1.3%
1,200 Computer Associates International Inc
59,700
1,100 Fluor Corp
69,025
2,300 Konami Company Ltd*
78,481
$207,206
INSURANCE --- 0.3%
1,900 WR Berkley Corp*
49,163
$49,163
MFTG - CONSUMER PRODS. --- 4.2%
5,500 Anheuser-Busch Companies Inc
220,000
1,700 Avon Products Inc
97,113
2,500 Flowers Industries Inc
53,750
2,000 Philip Morris Companies Inc
225,250
3,200 Premark International Inc
71,200
$667,313
MFTG - INDUSTRIAL PRODS --- 6.4%
3,400 ARCO Chemical Co
166,600
2,300 Abbott Laboratories
116,725
4,600 Astra AB*
225,400
2,900 Glaxo Wellcome PLC*
92,075
4,400 Gradall Industries Inc*
54,450
2,000 James River Corporation of Virginia
66,250
2,000 Potlatch Corp
86,000
2,900 Warner-Lambert Co
217,500
$1,025,000
MINING --- 0.3%
1,000 Franco-Nevada Mining Corporation Ltd*
45,823
$45,823
OIL & GAS --- 7.5%
4,000 Alberta Energy Company Ltd*
96,000
1,100 Amoco Corp
88,550
3,500 Coastal Corp
171,063
2,900 Elf Aquitaine SA*
131,225
2,300 Exxon Corp
225,400
4,600 Oryx Energy Co*
113,850
3,400 Rowan Companies Inc*
76,925
7,500 Santa Fe Energy Resources Inc*
104,063
2,900 Union Pacific Resources Group Inc
84,825
2,300 UnoCal Corp
93,438
$1,185,339
OTHER TRANS. SERVICES --- 1.1%
2,300 Sabre Group Holdings Inc*
64,113
2,500 Tidewater Inc
113,125
$177,238
RAILROADS --- 0.9%
5,200 Canadian Pacific Ltd
137,800
$137,800
RETAIL TRADE --- 2.7%
2,700 American Stores Co
110,363
3,000 Dayton Hudson Corp
117,750
2,900 Dollar General Corp
92,800
2,900 Pep Boys - Manny Moe & Jack
89,175
600 Toys R Us Inc*
18,000
$428,088
TELEPHONE --- 0.7%
5,000 Deutsche Telekom AG*
104,295
$104,295
TRANSPORTATION EQUIPMENT --- 2.1%
1,100 Northrop Grumman Corp
91,025
2,300 Thiokol Corp
102,921
2,200 United Technologies Corp
145,200
$339,146
WHOLESALE TRADE - INDL --- 0.2%
1,000 OM Group Inc
27,000
$27,000
TOTAL COMMON STOCK --- 51.5%
$8,178,874
(Cost $7,885,304)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 11.2%
600,000 American Express Credit Corp
597,638
480,000 Ford Motor Credit Co
479,127
707,000 Prudential Funding Corp
706,868
$1,783,633
ELECTRIC --- 2.2%
350,000 Baltimore Gas & Electric Co
349,168
$349,168
ELECTRONICS - HIGH TECH --- 4.1%
650,000 Xerox Corp
647,971
$647,971
MFTG - CONSUMER PRODS. --- 1.9%
300,000 General Mills Inc
299,633
$299,633
SECURITIES & COMMODITIES --- 4.1%
650,000 Morgan Stanley Group Inc
648,440
$648,440
TELEPHONE --- 2.4%
375,000 Ameritech Corp
374,068
$374,068
TOTAL SHORT-TERM INVESTMENTS --- 25.8%
$4,102,913
(Cost $4,102,913)
TOTAL INVESCO BALANCED PORTFOLIO --- 100.0%
$15,895,681
(Cost $15,629,110)
Maxim Series Fund, Inc.
INVESCO Small-Cap Growth Portfolio
COMMON STOCK
COMMUNICATIONS --- 2.8%
24,000 HA-LO Industries Inc*
660,000
16,100 Sitel Corp*
227,413
$887,413
CONSUMER SERVICES --- 18.3%
22,000 Emisphere Technologies Inc*
409,750
15,800 Forrester Research Inc*
406,850
20,900 Health Images Inc
347,463
29,000 Healthcare Financial Partners Inc*
369,750
8,700 Incyte Pharmaceuticals Inc*
448,050
7,500 Medicis Pharmaceutical Corp Class A*
330,000
13,900 NCS HealthCare Inc Class A*
404,838
13,400 Omnicare Inc
430,475
34,000 Prime Hospitality Corp*
548,250
12,300 Renal Treatment Centers Inc*
313,650
26,200 Sequus Pharmaceuticals Inc*
419,200
7,600 St Jude Medical Inc*
323,950
14,900 Sylvan Learning Systems Inc*
424,650
9,800 Total Renal Care Holdings Inc*
355,250
31,600 Warrantech Corp*
363,400
$5,895,526
CREDIT INSTITUTIONS --- 0.9%
13,700 FirstFed Financial Corp*
301,400
$301,400
ELECTRONICS - HIGH TECH --- 27.1%
12,400 CBT Group PLC sponsored ADR*
672,700
9,300 Cable Design Technologies Co*
289,463
16,500 Cognos Inc*
464,063
19,900 ESC Medical Systems Ltd*
507,450
11,000 Etec Systems Inc*
420,750
11,200 HNC Software Inc*
350,000
16,000 JDA Software Group Inc*
456,000
15,600 Pairgain Technologies Inc*
474,817
46,000 Procom Technology Inc*
437,000
10,400 Project Software & Development Inc*
440,700
15,000 SBS Technologies Inc*
555,000
17,800 Saville Systems Ireland PLC ADR*
723,125
7,400 Scopus Technology Inc*
344,100
5,600 Security Dynamics Technologies Inc*
176,400
19,000 Teradyne Inc*
463,125
13,650 Veritas Software Corp*
679,088
22,000 Versatility Inc*
330,000
6,600 Visio Corp*
326,700
12,850 Wind River Systems*
608,769
$8,719,250
INDUSTRIAL SERVICES --- 11.8%
6,800 APAC Teleservices Inc*
260,950
13,200 Avant! Corp*
419,100
7,600 Cerner Corp*
117,800
22,000 Employee Solutions Inc*
451,000
10,000 HBO & Co
593,750
15,000 Hyperion Software Corp*
318,750
3,000 Learning Tree International Inc*
88,500
10,700 Pegasystems Inc*
322,338
6,100 Quintiles Transnational Corp*
404,125
8,000 Technology Solutions Co*
332,000
9,400 TeleTech Holdings Inc*
244,400
24,200 Willbros Group Inc*
235,950
$3,788,663
INSURANCE --- 5.0%
10,900 Frontier Insurance Group Inc
416,925
17,300 HCC Insurance Holdings Inc
415,200
6,300 Mercury General Corp
330,750
7,300 Orion Capital Corp
446,213
$1,609,088
MFTG - CONSUMER PRODS. --- 3.3%
17,550 Amrion Inc*
397,069
12,800 ParExel International Corp*
660,800
$1,057,869
MFTG - INDUSTRIAL PRODS --- 1.2%
5,900 Arris Pharmaceutical Corp*
79,650
12,000 Gilead Sciences Inc*
300,000
$379,650
REAL ESTATE --- 1.7%
20,200 Amresco Inc*
540,350
$540,350
RETAIL TRADE --- 7.0%
14,300 Insight Enterprises Inc*
400,400
10,900 Proffitts Inc*
401,938
12,200 Rexall Sundown Inc*
331,681
27,000 Stage Stores Inc*
492,750
17,500 The Sports Authority Inc*
380,625
3,100 US Office Products Co*
105,788
6,500 Wet Seal Inc Class A*
138,933
$2,252,115
TOTAL COMMON STOCK --- 79.1%
$25,431,324
(Cost $25,549,406)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 10.0%
1,500,000 American Express Credit Corp
1,494,096
723,000 Ford Motor Credit Co
722,881
1,006,000 Prudential Funding Corp
1,005,813
$3,222,790
ELECTRONICS - HIGH TECH --- 3.1%
1,000,000 Xerox Corp
998,678
$998,678
INDUSTRIAL SERVICES --- 1.5%
500,000 Fluor Corp
497,469
$497,469
INSURANCE --- 2.2%
700,000 AIG Funding Inc
698,551
$698,551
SECURITIES & COMMODITIES --- 4.0%
1,300,000 Morgan Stanley Group Inc
1,296,880
$1,296,880
TOTAL SHORT-TERM INVESTMENTS --- 20.9%
$6,714,368
(Cost $6,714,368)
TOTAL INVESCO SMALL-CAP GROWTH PORTFOLIO --- 100.0%
$32,145,692
(Cost $32,263,774)
Maxim Series Fund, Inc.
Mid-Cap Portfolio
COMMON STOCK
AGENCY --- 0.9%
63,475 Federal Agriculture Mortgage Corp*
1,951,856
$1,951,856
COMMUNICATIONS --- 12.1%
149,975 Commnet Cellular Inc*
4,180,553
75,100 Millicom International Cellular SA*
2,412,588
206,975 OmniPoint Corp*
3,984,269
697,850 Paging Network Inc*
10,642,213
279,022 PriCellular Corp Class A*
3,208,753
55,450 Univision Communications Inc*
2,051,650
$26,480,026
CONSUMER SERVICES --- 16.8%
238,100 CUC International Inc*
5,654,875
77,075 Choice Hotels International Inc.*
1,358,447
196,300 Coinmach Laundry Corp*
3,533,400
88,625 Depotech Corp*
1,451,234
47,925 Doubletree Corp*
2,156,625
159,525 Family Golf Centers Inc*
4,805,691
66,025 Fresenius Medical Care AG*
1,856,953
175,450 HFS Inc*
10,483,138
77,175 Karrington Health Inc*
964,688
66,500 Omnicare Inc
2,136,313
84,875 Sunrise Assisted Living Inc*
2,365,891
$36,767,255
CREDIT INSTITUTIONS --- 0.7%
23,300 Associates First Capital Corp*
1,028,113
6,425 Fifth Third Bancorp
403,567
175 First Empire State Corp
50,400
$1,482,080
ELECTRONICS - HIGH TECH --- 3.3%
36,050 Boston Scientific Corp*
2,163,000
8,221 Grand Optical-Photoservice
1,333,435
48,700 Littelfuse Inc*
2,361,950
34,350 Littelfuse Inc (wts)*
1,356,825
$7,215,210
INDEPENDENT POWER PROD --- 3.1%
237,725 Trigen Energy Corp
6,834,594
$6,834,594
INDUSTRIAL SERVICES --- 16.6%
125,000 BA Merchant Services Inc*
2,234,375
60,400 Concord EFS Inc*
1,706,300
125,000 ECsoft Group PLC*
1,203,125
52,700 First USA Paymentech Inc*
1,785,213
189,525 Global DirectMail Corp*
8,268,028
20,000 Paychex Inc
1,028,740
1,269,476 Rentokil Group PLC
9,562,709
10,675 Robert Half International Inc*
366,953
16,175 Safeguard Scientifics Inc*
513,556
82,925 TeleTech Holdings Inc*
2,156,050
71,125 The Profit Recovery Group International Inc*
1,138,000
239,325 Viking Office Products Inc*
6,386,866
$36,349,915
INSURANCE --- 1.3%
69,400 Protective Life Corp
2,767,325
$2,767,325
MFTG - INDUSTRIAL PRODS --- 4.8%
87,775 Dayton Superior Corp Class A*
1,152,047
102,375 Minerals Technologies Inc
4,197,375
116,200 Sealed Air Corp*
4,836,825
5,900 Teva Pharmaceutical Industries Ltd*
296,475
$10,482,722
RAILROADS --- 3.7%
206,325 Wisconsin Central Transportation Corp*
8,175,628
$8,175,628
REAL ESTATE --- 3.9%
382,650 Insignia Financial Group Inc Class A*
8,609,625
$8,609,625
RETAIL TRADE --- 25.0%
330,725 Fastenal Co
15,130,669
527,535 JD Wetherspoon PLC
10,566,737
34,970 JD Wetherspoon PLC #
700,463
10,425 MSC Industrial Direct Company Inc Class A*
385,725
57,400 O'Reilly Automotive Inc*
1,836,800
209,575 Papa John's International Inc*
7,073,156
198,125 Pet Food Warehouse Inc*
829,549
300,000 Petco Animal Supplies Inc*
6,225,000
1,173,243 PizzaExpress PLC
10,595,323
57,725 Planet Hollywood International Inc*
1,140,069
$54,483,491
SECURITIES & COMMODITIES --- 1.1%
72,600 Charles Schwab & Company Inc
2,323,200
$2,323,200
TELEPHONE --- 0.3%
9,050 Cincinnati Bell Inc
557,706
$557,706
WATER --- 1.9%
104,750 Culligan Water Technologies Inc*
4,242,375
$4,242,375
WHOLESALE TRADE - INDL --- 0.7%
57,850 Barnett Inc*
1,576,413
$1,576,413
WHOLESALE TRADE -CONSUMER --- 1.5%
204,325 APS Holding Corp Class A*
3,167,035
$3,167,035
TOTAL COMMON STOCK --- 97.8%
$213,466,456
(Cost $181,043,822)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 2.2%
4,865,000 Prudential Funding Corp
4,864,095
$4,864,095
TOTAL SHORT-TERM INVESTMENTS --- 2.2%
$4,864,095
(Cost $4,864,095)
TOTAL MID-CAP PORTFOLIO --- 100.0%
$218,330,551
(Cost $185,907,917)
Maxim Series Fund, Inc.
T.Rowe Price Equity/Income Portfolio
BONDS
ELECTRIC --- 0.3%
200,000 El Paso Electric Co
208,528
First Mortgage Notes
8.900% February 1, 2006
$208,528
MFTG - INDUSTRIAL PRODS --- 0.0%
25,000 Coca-Cola Bottling Company of the Southwest
25,438
Senior Subordinated Notes
9.000% November 15, 2003
$25,438
REAL ESTATE --- 0.2%
100,000 BF Saul Real Estate Investment Trust
108,000
Senior Notes
11.625% April 1, 2002
$108,000
U.S. GOVERNMENTS --- 1.6%
20,000 United States of America
20,287
Treasury Notes
7.375% November 15, 1997
80,000 United States of America
75,700
Treasury Notes
5.625% February 15, 2006
200,000 United States of America
207,781
Treasury Notes
7.000% July 15, 2006
200,000 United States of America
202,188
Treasury Notes
6.500% May 31, 2001
75,000 United States of America
75,223
Treasury Notes
6.625% March 31, 1997
25,000 United States of America
26,313
Treasury Notes
7.250% August 15, 2004
200,000 United States of America
194,000
Treasury Notes
5.750% August 15, 2003
300,000 United States of America
273,048
Treasury Notes
6.000% February 15, 2026
50,000 United States of America
52,321
Treasury Notes
7.750% January 31, 2000
$1,126,861
TOTAL BONDS --- 2.1%
$1,468,827
(Cost $1,433,771)
COMMON STOCK
AGENCY --- 1.4%
12,200 Federal National Mortgage Association
454,450
5,300 Student Loan Marketing Association
493,563
$948,013
COMMUNICATIONS --- 2.5%
20,600 AT&T Corp
896,100
4,200 Gannett Company Inc
314,475
8,900 Pacific Telesis Group
327,075
7,600 US West Communications Group
245,100
$1,782,750
CONSUMER SERVICES --- 3.4%
11,000 Bausch & Lomb Inc
385,000
8,300 Baxter International Inc
340,300
6,100 CR Bard Inc
170,800
17,000 H&R Block Inc
493,000
126 Homestead Village Inc (wts)*
1,024
10,300 ITT Corp*
446,763
7,900 Smithkline Beecham PLC
537,200
$2,374,087
CREDIT INSTITUTIONS --- 9.2%
10,600 American Express Co
598,900
7,600 Banc One Corp
326,800
7,200 Bank of Boston Corp
462,600
4,900 Bankers Trust New York Corp
422,625
10,100 Fleet Financial Group Inc
503,738
7,700 JP Morgan & Company Inc
751,713
14,200 Mellon Bank Corp
1,008,200
7,700 Mercantile Bankshares Corp
246,400
8,800 National City Corp
394,900
9,900 PNC Bank Corp
372,488
9,000 Signet Banking Corp
276,750
8,300 US Bancorp
372,977
2,600 Wells Fargo & Co
701,350
$6,439,441
ELECTRIC --- 6.8%
6,800 Baltimore Gas & Electric Co
181,900
26,400 Centerior Energy Corp
283,800
5,687 DQE Inc
164,923
10,100 Dominion Resources Inc
388,850
4,600 Duke Power Co
212,750
13,900 Edison International
276,263
13,300 Entergy Corp
369,075
6,600 Florida Progress Corp
212,850
5,400 GPU Inc
181,575
9,100 Ohio Edison Co
207,025
20,300 PacifiCorp
416,150
10,800 Pacific Gas & Electric Co
226,800
18,400 Peco Energy Co
464,600
11,500 Public Service Enterprise Group Inc
313,375
8,500 Southern Co
192,313
16,000 Unicom Corp
434,000
8,900 Western Resources Inc
274,788
$4,801,037
ELECTRONICS - HIGH TECH --- 4.5%
9,300 AMP Inc
356,888
3,100 Eastman Kodak Co
248,775
12,000 General Electric Co
1,186,500
4,500 General Motors Corp Class H
250,875
4,000 Honeywell Inc
263,000
11,100 Hubbell Inc Class B
480,075
8,500 Whirlpool Corp
396,313
$3,182,426
FORESTRY --- 1.5%
8,700 Georgia-Pacific Corp
626,400
11,400 International Paper Co
460,275
$1,086,675
GAS --- 0.1%
3,400 TransCanada Pipelines Ltd
59,500
$59,500
HOLDING & INVEST. OFFICES --- 2.3%
11,696 Chase Manhattan Corp
1,043,868
2,400 Cognizant Corp
79,200
87,700 Lonrho PLC
186,913
3,700 Security Capital Pacific Trust
84,638
5,300 Weingarten Realty Investors
215,313
$1,609,932
INDUSTRIAL SERVICES --- 0.9%
5,500 Deluxe Corp
180,125
13,900 Dun & Bradstreet Corp
330,125
2,600 Pitney Bowes Inc
141,700
$651,950
INSURANCE --- 4.5%
11,800 Alexander & Alexander Services Inc
205,025
16,700 American General Corp
682,613
1,500 Hilb Rogal & Hamilton Co
19,875
5,600 Lincoln National Corp
294,000
3,600 Provident Companies Inc
174,150
4,400 SafeCo Corp
173,523
8,800 St Paul Companies Inc
515,900
12,600 Travelers Group Inc
571,725
12,900 USF&G Corp
269,288
20,900 Willis Corroon Group PLC #
240,350
$3,146,449
MFTG - CONSUMER PRODS. --- 12.6%
11,600 American Brands Inc
575,650
12,000 Anheuser-Busch Companies Inc
480,000
10,000 Brown-Forman Corp Class B
457,500
7,300 Dow Jones & Company Inc
247,288
12,800 General Mills Inc
811,200
11,400 Grand Metropolitan PLC
360,525
15,300 HJ Heinz Co
546,975
15,500 International Flavors & Fragrances Inc
697,500
3,600 Kellogg Co
236,250
20,800 McCormick & Company Inc (nonvtg)
490,090
7,300 McGraw-Hill Companies Inc
336,713
4,150 Philip Morris Companies Inc
467,394
18,000 Quaker Oats Co
686,250
6,800 RJR Nabisco Holdings Corp
231,200
12,500 RR Donnelley & Sons Co
392,188
10,200 Readers Digest Association Inc Class A
410,550
3,300 Readers Digest Association Inc Class B
119,625
7,500 Sara Lee Corp
279,375
12,800 UST Inc
414,400
3,400 Unilever NV ADR
595,850
$8,836,523
MFTG - INDUSTRIAL PRODS --- 16.9%
11,800 Abbott Laboratories
598,850
10,800 American Home Products Corp
633,150
3,700 Armstrong World Industries Inc
257,150
8,300 Betz Laboratories Inc
485,550
7,300 Consolidated Papers Inc
358,613
9,511 Cooper Industries Inc
400,651
12,500 Corning Inc
578,125
8,300 Dow Chemical Co
650,513
8,400 EI DuPont De Nemours & Co
792,750
3,300 FMC Corp*
231,413
9,700 Great Lakes Chemical Corp
453,475
6,100 James River Corporation of Virginia
202,063
3,100 Kimberly-Clark Corp
295,275
11,600 Lubrizol Corp
359,600
5,750 Minnesota Mining & Manufacturing Co
476,531
10,500 Nalco Chemical Co
379,313
494 Novartis AG*
566,080
17,012 Pharmacia & Upjohn Inc
674,101
9,400 Reynolds Metals Co
529,925
12,000 Tambrands Inc
490,500
16,550 USX-Marathon Group
395,131
15,700 Union Camp Corp
749,675
11,500 Warner-Lambert Co
862,500
13,700 Witco Corp
417,850
$11,838,784
MINING --- 0.6%
9,186 Newmont Mining Corp
411,074
$411,074
OIL & GAS --- 9.6%
6,600 Amoco Corp
531,300
8,500 Atlantic Richfield Co
1,126,250
4,200 British Petroleum PLC ADR
593,775
10,450 Chevron Corp
679,250
10,600 Exxon Corp
1,038,800
8,900 McDermott International Inc
147,963
4,500 Mobil Corp
550,125
9,600 Repsol SA sponsored ADR
366,000
4,000 Royal Dutch Petroleum Co ADR
683,000
7,391 Sun Company Inc
180,156
8,800 Texaco Inc
863,500
$6,760,119
OTHER TRANS. SERVICES --- 0.5%
6,400 Alexander & Baldwin Inc
160,000
4,100 GATX Corp
198,850
$358,850
RAILROADS --- 0.8%
1,872 Conrail Inc
186,498
6,450 Union Pacific Corp
387,806
$574,304
REAL ESTATE --- 1.5%
440 Echelon International Corporation Inc*
6,875
28,496 Simon Debartolo Group Inc
883,376
6,000 The Rouse Co
190,500
$1,080,751
RETAIL TRADE --- 1.5%
4,200 Genuine Parts Co
186,900
250 Hancock Fabrics Inc
2,594
13,200 JC Penney & Company Inc
643,500
5,200 May Department Stores Co
243,100
$1,076,094
TELEPHONE --- 4.7%
17,400 Alltel Corp
545,925
8,600 BCE Inc
410,650
6,300 Bell Atlantic Corp
407,925
13,200 Bellsouth Corp
532,950
13,000 Frontier Corp
294,125
12,100 GTE Corp
550,550
5,300 SBC Communications Inc
274,275
6,900 Southern New England Telecommunications
268,238
$3,284,638
TRANSPORTATION EQUIPMENT --- 0.7%
4,500 Eaton Corp
313,875
4,600 Ford Motor Co
146,625
$460,500
WHOLESALE TRADE -CONSUMER --- 0.1%
2,700 Fleming Companies Inc
46,575
$46,575
TOTAL COMMON STOCK --- 86.7%
$60,810,472
(Cost $55,206,624)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 7.3%
1,800,000 Ford Motor Credit Co
1,796,722
3,331,000 Prudential Funding Corp
3,330,380
$5,127,102
ELECTRIC --- 0.3%
220,000 Baltimore Gas & Electric Co
219,710
$219,710
SECURITIES & COMMODITIES --- 3.6%
2,500,000 Morgan Stanley Group Inc
2,494,250
$2,494,250
TOTAL SHORT-TERM INVESTMENTS --- 11.2%
$7,841,062
(Cost $7,841,062)
TOTAL T.ROWE PRICE EQUITY/INCOME PORTFOLIO --- 100.0%
$70,120,361
(Cost $64,481,457)
Maxim Series Fund, Inc.
Foreign Equity Portfolio
COMMON STOCK
AUSTRALIA --- 5.1%
FOREIGN BANKS
62,050 Australia & New Zealand Banking Group Ltd
390,693
66,900 Westpac Banking Corp Ltd
380,329
$771,022
HOLDING & INVEST. OFFICES
56,900 Southcorp Holdings Ltd
180,714
$180,714
INSURANCE
17,550 Lend Lease Corp Ltd
340,007
$340,007
MFTG - CONSUMER PRODS.
86,700 John Fairfax Holdings Ltd
196,193
63,500 News Corp Ltd
334,782
18,700 Wesfarmers Ltd
130,661
$661,636
MFTG - INDUSTRIAL PRODS
58,843 Boral Ltd
167,262
39,100 Capral Aluminum Ltd
124,182
$291,444
MINING
18,800 Broken Hill Proprietary Co Ltd
267,495
216,200 Normandy Mining Ltd
298,693
58,320 Normandy Mining Ltd (wts)*
19,449
104,400 North Ltd
305,048
102,900 QNI Ltd
206,708
58,850 WMC Ltd
370,544
$1,467,937
OIL & GAS
173,500 Oil Search Ltd
337,510
$337,510
TOTAL AUSTRALIA --- 5.1%
$4,050,270
BELGIUM --- 1.3%
ELECTRIC
1,590 Powerfin NPV
243,150
$243,150
MFTG - INDUSTRIAL PRODS
2,740 Glaverbel SA
318,364
$318,364
RETAIL TRADE
7,820 Delhaize-Le Lion SA
464,786
$464,786
TOTAL BELGIUM --- 1.3%
$1,026,300
DENMARK --- 0.9%
FOREIGN BANKS
3,300 BG Bank AS*
155,114
$155,114
INDUSTRIAL SERVICES
13,790 ISS International Service System AS Class B
364,020
$364,020
MFTG - INDUSTRIAL PRODS
4,000 Crisplant Industries AS*
194,148
$194,148
TOTAL DENMARK --- 0.9%
$713,282
FINLAND --- 2.1%
MFTG - CONSUMER PRODS.
5,310 Huhtamaki Group Class I
247,294
4,800 Raision Tehtaat OY (rights)
302,931
$550,225
MFTG - INDUSTRIAL PRODS
1,760 Kone Corp
194,572
3,900 Metra OY Class A
219,821
20,960 UPM-Kymmene Corp*
440,173
$854,566
RETAIL TRADE
16,600 Kesko
234,454
$234,454
TOTAL FINLAND --- 2.1%
$1,639,245
GERMANY --- 7.3%
AIR
26,700 Deutsche Lufthansa AG*
360,534
$360,534
ELECTRIC
18,320 Veba AG
1,053,558
$1,053,558
MFTG - CONSUMER PRODS.
7,820 Adidas AG
675,846
$675,846
MFTG - INDUSTRIAL PRODS
24,430 Hoechst AG
1,131,886
2,440 Mannesmann AG
1,057,561
1,550 Preussag AG
350,510
3,420 SGL Carbon AG
431,361
$2,971,318
RETAIL TRADE
13,680 Tarkett AG
277,351
$277,351
TELEPHONE
8,500 Deutsche Telekom AG*
177,302
$177,302
TRANSPORTATION EQUIPMENT
390 Bayerische Motoren Werke AG*
269,140
$269,140
TOTAL GERMANY --- 7.3%
$5,785,049
ITALY --- 3.2%
COMMUNICATIONS
195,800 Stet Societa' Finanziaria Telefonica SPA
656,639
$656,639
FOREIGN BANKS
157,700 Banca Fideuram SPA
344,150
$344,150
OIL & GAS
61,600 Edison SPA
386,965
123,000 Ente Nazionale Idrocarburi SPA*
626,590
112,350 Saipem SPA
513,155
$1,526,710
TOTAL ITALY --- 3.2%
$2,527,499
JAPAN --- 29.0%
CONSTRUCTION
78,000 Sato Kogyo
272,218
83,000 Taisei Corp
430,200
$702,418
ELECTRIC
32,000 Tokyo Electric Power*
702,142
$702,142
ELECTRONICS - HIGH TECH
34,000 Denso Corp
819,454
56,000 Matsushita Electric Industrial Co Ltd
914,306
10,000 Nintendo Corp Ltd
716,137
15,000 Secom
908,345
10,000 Sony Corp
655,667
$4,013,909
FOREIGN BANKS
144,000 Daiwa Bank Ltd
752,592
56,000 Fuji Bank Ltd
817,554
325,000 Hokkaido Takushoku Bank
631,695
150,000 Nippon Credit Bank
395,214
45,000 Sakura Bank Ltd
321,873
45,000 Sanwa Bank Ltd
614,202
25,000 Sumitomo Bank
360,660
74,000 Tokai Bank
773,497
141,000 Yasuda Trust & Banking
598,056
$5,265,343
GAS
208,000 Osaka Gas Co
569,592
$569,592
MFTG - CONSUMER PRODS.
47,000 Dai Nippon Printing Co Ltd
824,205
38,000 Kirin Brewery Co Ltd
374,223
40,000 Onward Kashiyama Co Ltd
563,234
$1,761,662
MFTG - INDUSTRIAL PRODS
51,000 Asahi Glass Co Ltd
480,218
144,000 Ishikawajima-Harima Heavy Industries Co Ltd
640,636
1,000 Kawasaki Steel Corp
2,877
87,000 Mitsubishi Chemical Corp
281,833
51,000 Mitsubishi Heavy Industries Ltd
405,321
200,000 Nippon Steel Co
590,878
51,000 Ricoh Corp Ltd
585,954
410 Sumitomo Rubber Industries Ltd
3,057
51,000 Toto Ltd
581,548
56,000 Yakult Honsha
580,511
$4,152,833
OTHER TRANS. SERVICES
45,000 Mitsubishi Logistics Corp
583,103
$583,103
RAILROADS
156 East Japan Railway Co
702,108
95,250 Odakyu Electric Railway
571,862
$1,273,970
REAL ESTATE
45,000 Mitsui Fudosan
450,933
$450,933
RETAIL TRADE
92,000 Mitsukoshi Ltd
653,283
36,000 Takashimaya Co
432,274
$1,085,557
SECURITIES & COMMODITIES
20,000 Daiwa Securities Co Ltd
177,954
34,000 Nomura Securities Co Ltd
511,057
$689,011
TELEPHONE
68 Nippon Telegraph & Telephone Corp
515,757
$515,757
TRANSPORTATION EQUIPMENT
16,000 Toyota Motor Corp
460,263
$460,263
WHOLESALE TRADE - INDL
45,000 Mitsubishi Corp
466,482
51,000 Mitsui & Co
414,133
$880,615
TOTAL JAPAN --- 29.0%
$23,107,108
NETHERLANDS --- 3.9%
FOREIGN BANKS
4,900 ABN Amro Holding NV
319,152
$319,152
HOLDING & INVEST. OFFICES
31,825 Fortis Amev NV
1,115,728
$1,115,728
MFTG - CONSUMER PRODS.
4,900 Ahrend Groep NV
273,437
$273,437
MFTG - INDUSTRIAL PRODS
1,520 Akzo Nobel NV
207,869
3,900 CSM NV
216,955
$424,824
RETAIL TRADE
23,400 Vendex International NV
1,002,063
$1,002,063
TOTAL NETHERLANDS --- 3.9%
$3,135,204
NORWAY --- 2.4%
MFTG - CONSUMER PRODS.
21,500 Schibsted AS
397,409
$397,409
MFTG - INDUSTRIAL PRODS
4,400 Orkla AS
308,017
19,700 Unitor ASA
254,122
$562,139
OIL & GAS
21,600 Smedvig ASA Class B*
445,130
$445,130
RETAIL TRADE
9,800 Narvesen ASA
292,915
$292,915
TRANSPORTATION
28,200 Benor Tankers Ltd*
186,320
$186,320
TOTAL NORWAY --- 2.4%
$1,883,913
SPAIN --- 3.4%
CONSTRUCTION
14,700 Aumar Autopistas del Mare Nostrum SA
232,447
$232,447
FOREIGN BANKS
16,100 Banco Santander SA
1,037,059
$1,037,059
HOLDING & INVEST. OFFICES
155,250 Corp Financiera Reunida SA*
512,646
$512,646
INDUSTRIAL SERVICES
8,360 Abengoa SA*
291,605
$291,605
MFTG - CONSUMER PRODS.
5,000 Tabacalera SA
216,650
14,100 Viscofan Industria Navarra De Envolturas Celulosicas SA
207,658
$424,308
OIL & GAS
5,700 Repsol SA
220,029
$220,029
TOTAL SPAIN --- 3.4%
$2,718,094
SWEDEN --- 0.4%
CONSUMER SERVICES
20,400 Scandic Hotels AB*
342,161
$342,161
TOTAL SWEDEN --- 0.4%
$342,161
SWITZERLAND --- 6.5%
AIR
320 Danzas Holding AG
355,210
489 Swissair AG*
395,864
$751,074
CONSTRUCTION
391 Schindler Holding AG
425,254
$425,254
HOLDING & INVEST. OFFICES
525 Nestle SA
563,930
$563,930
INDUSTRIAL SERVICES
1,954 Adecco SA
490,764
$490,764
INSURANCE
171 Baloise Holding Ltd
343,841
$343,841
MFTG - INDUSTRIAL PRODS
900 Alusuisse-Lonza Holding AG
717,820
489 Novartis (registered)*
560,351
115 Roche Holding AG
895,295
$2,173,466
RETAIL TRADE
2,700 TAG Heuer International SA*
435,940
$435,940
TOTAL SWITZERLAND --- 6.5%
$5,184,269
UNITED KINGDOM --- 28.0%
AIR
91,250 BAA PLC
760,010
$760,010
COMMUNICATIONS
64,000 British Sky Broadcasting Group PLC
571,945
68,300 Carlton Communications PLC
598,212
211,950 Orange PLC
682,174
38,500 Reuters Holdings PLC
494,670
211,950 TeleWest Communications PLC*
449,944
$2,796,945
CONSUMER SERVICES
23,940 EMI Group PLC
565,597
60,150 Greenalls Group PLC
602,929
251,350 Ladbroke Group PLC
994,019
107,700 Rank Group PLC
807,595
39,600 Smithkline Beecham PLC
547,785
$3,517,925
ELECTRIC
173,550 National Grid Group PLC
580,865
$580,865
ELECTRONICS - HIGH TECH
77,250 General Electric Co PLC
506,525
$506,525
FOREIGN BANKS
93,400 Barclays PLC
1,599,808
42,400 National Westminster Bank PLC
497,959
$2,097,767
HOLDING & INVEST. OFFICES
102,900 BTR PLC
502,070
380,700 Hanson PLC
534,442
191,750 Tomkins PLC
881,421
$1,917,933
MFTG - CONSUMER PRODS.
76,370 Cadbury Schweppes PLC
644,575
42,650 Pearson PLC
547,261
64,510 Reed International PLC
1,216,509
$2,408,345
MFTG - INDUSTRIAL PRODS
48,000 BPB PLC
315,556
63,500 British Aerospace PLC
1,391,514
75,000 Caradon PLC
308,160
60,100 Glaxo Wellcome PLC
975,409
84,150 IMI PLC
538,802
95,050 TI Group PLC
947,063
$4,476,504
OIL & GAS
61,200 British Petroleum Company PLC
733,421
35,810 Shell Transport & Trading Co PLC
620,424
$1,353,845
RETAIL TRADE
52,100 Bass PLC
732,293
76,750 J Sainsbury PLC
509,816
$1,242,109
TELEPHONE
97,950 British Telecommunications PLC
661,538
$661,538
TOTAL UNITED KINGDOM --- 28.0%
$22,320,311
TOTAL COMMON STOCK --- 93.5%
$74,432,705
(Cost $68,785,137)
PREFERRED STOCK
GERMANY --- 1.1%
MFTG - CONSUMER PRODS.
390 Hugo Boss AG
489,876
$489,876
MFTG - INDUSTRIAL PRODS
7,960 Henkel KGAA*
393,112
$393,112
TOTAL GERMANY --- 1.1%
$882,988
TOTAL PREFERRED STOCK --- 1.1%
$882,988
(Cost $633,353)
SHORT-TERM INVESTMENTS
UNITED STATES --- 5.4%
CREDIT INSTITUTIONS
1,300,000 Ford Motor Credit Co
1,298,830
3,031,000 Prudential Funding Corp
3,030,436
$4,329,266
TOTAL UNITED STATES --- 5.4%
$4,329,266
TOTAL SHORT-TERM INVESTMENTS --- 5.4%
$4,329,266
(Cost $4,329,266)
TOTAL FOREIGN EQUITY PORTFOLIO --- 100.0%
$79,644,959
(Cost $73,747,756)
Maxim Series Fund, Inc.
Growth Index Portfolio
COMMON STOCK
AGENCY --- 1.3%
2,300 Federal Home Loan Mortgage Corp
253,288
20,200 Federal National Mortgage Association
752,450
1,300 Student Loan Marketing Association
121,063
$1,126,801
AGRICULTURE --- 0.1%
300 Agco Corp
8,588
1,300 Dole Food Company Inc
44,038
$52,626
AIR --- 0.2%
100 Atlas Air Inc*
4,775
900 Comair Holdings Inc
21,600
500 Continental Airlines Inc Class B*
14,125
900 Pittston Brink's Group
24,300
2,800 Southwest Airlines Co
61,950
500 US Air Group Inc*
11,688
$138,438
COMMUNICATIONS --- 5.0%
1,333 360 Communications Co*
30,826
1,100 AH Belo Corp Class A
38,363
30,000 AT&T Corp
1,305,000
13,500 Airtouch Communications Inc*
340,875
2,900 Cabletron Systems Inc*
96,425
100 Cablevision Systems Corp*
3,063
1,900 Cascade Communications Corp*
104,738
1,300 Clear Channel Communications Inc*
46,963
7,223 Comcast Corp Class A
128,656
2,200 Gannett Company Inc
164,725
1,597 Gaylord Entertainment Co
36,531
675 HSN Inc*
16,031
3,175 Infinity Broadcasting Corp Class A*
106,759
2,638 MFS Communications Company Inc*
143,771
100 New World Communications Group Inc Class A*
2,525
200 OmniPoint Corp*
3,850
2,800 Paging Network Inc*
42,700
700 PanAmSat Corp*
19,600
1,000 Picturetel Corp*
26,000
1,500 Qualcomm Inc*
59,813
20 Scripps Howard Broadcasting Co Class A
700
100 Sinclair Broadcast Group Inc Class A*
2,600
1,309 TCI Satellite Network*
12,926
200 Tele Communications International Inc Class A*
2,650
4,247 Tele-Communications Inc - Liberty Media Group Class A*
121,303
17,590 Tele-Communications Inc Class A
229,761
700 Telephone & Data Systems Inc
25,375
12,625 Time Warner Inc
473,438
900 United States Satellite Broadcasting Company Inc Class
A 9,000
3,800 Viacom Inc Class B*
132,525
11,900 Westinghouse Electric Corp
236,513
10,580 Worldcom Inc*
275,736
$4,239,741
CONSTRUCTION --- 0.0%
2,341 Clayton Homes Inc
31,604
$31,604
CONSUMER SERVICES --- 14.7%
1,000 Accustaff Inc*
21,125
1,100 Allegiance Corp
30,388
900 Allergan Inc
32,063
7,300 Amgen Inc*
396,938
1,400 Apollo Group Inc Class A*
46,812
1,300 Apria Healthcare Group Inc*
24,375
3,200 Becton Dickinson & Co
138,800
800 Beverly Enterprises Inc*
10,200
2,000 Biogen Inc*
77,500
3,100 Biomet Inc
46,888
6,400 Bristol-Myers Squibb Co
696,000
500 CR Bard Inc
14,000
9,227 CUC International Inc*
219,141
1,100 Choice Hotels International Inc.*
19,388
2,800 Circus Circus Enterprises Inc*
96,250
18,202 Columbia/HCA Healthcare Corp
741,732
12,400 Eli Lilly & Co
905,200
300 FHP International Corp*
11,138
1,000 Forest Laboratories Inc*
32,750
300 Genetics Institute Inc*
25,425
1,800 Genzyme Corp*
39,150
900 Grand Casinos Inc*
12,150
2,800 H&R Block Inc
81,200
3,600 HFS Inc*
215,100
2,750 Harrah's Entertainment Inc*
54,656
1,000 Health Care & Retirement Corp*
28,625
2,675 Health Management Associates Inc*
60,188
1,000 Health Systems International Inc*
24,750
900 HealthCare Compare Corp*
38,138
4,086 Healthsouth Corp*
157,822
5,500 Hilton Hotels Corp
143,688
300 Homestead Village Inc (wts)*
5,400
300 Host Marriott Corp
4,800
3,800 Humana Inc*
72,675
2,300 ITT Corp*
99,763
2,900 Ivax Corp
29,725
35,876 Johnson & Johnson
1,784,831
1,825 La Quinta Inns Inc
34,903
800 Lincare Holdings Inc*
32,800
448 MGM Grand Inc*
15,624
1,200 Manor Care Inc
32,400
2,800 Marriott International Inc
154,700
3,399 MedPartners Inc*
71,379
6,500 Medtronic Inc
442,000
32,700 Merck & Company Inc
2,591,475
5,300 Mirage Resorts Inc*
114,613
1,700 Nellcor Inc*
37,188
1,700 Omnicare Inc
54,613
1,300 Ornda Healthcorp*
38,025
700 Pacificare Health Systems Inc Class B*
59,675
1,600 Phycor Inc*
45,400
700 Physician Reliance Network Inc*
5,425
1,000 Physician Sales & Services Inc*
14,375
1,425 Promus Hotel Corp*
42,216
1,300 Quorum Health Group Inc*
38,675
4,000 Republic Industries Inc*
124,748
6,300 Service Corporation International
176,400
100 Speedway Motorsports Inc*
2,100
2,250 St Jude Medical Inc*
95,906
900 Stewart Enterprises Inc Class A
30,600
2,000 Stryker Corp
59,750
1,100 Tenet Healthcare Corp*
24,063
18,408 The Walt Disney Co
1,281,657
500 Total Renal Care Holdings Inc*
18,125
4,700 United Healthcare Corp
211,500
1,400 United States Surgical Corp
55,125
1,280 Vencor Inc*
40,480
1,000 Vivra Inc*
27,625
2,500 Whitman Corp
57,188
$12,469,527
CREDIT INSTITUTIONS --- 1.4%
1,100 Advanta Corp Class A
47,025
4,400 American Express Co
248,600
145 Beneficial Corp
9,189
200 Capital One Financial Corp
7,200
1,500 Concord EFS Inc*
42,375
300 Countrywide Credit Industries Inc
8,588
100 Equitable of Iowa Cos
4,588
1,550 Fifth Third Bancorp
97,359
3,000 First USA Inc
103,875
1,800 Household International Inc
166,050
5,250 MBNA Corp
217,875
3,950 Mercury Finance Co
48,388
300 State Street Boston Corp
19,350
2,900 Synovus Financial Corp
93,163
100 TCF Financial Corp
4,350
900 The Money Store Inc
24,863
100 Western National Corp
1,925
$1,144,763
ELECTRIC --- 0.1%
1,503 AES Corp*
69,890
$69,890
ELECTRONICS - HIGH TECH --- 20.3%
3,200 AMP Inc
122,800
600 AVX Corporation
12,900
3,100 Adaptec Inc*
124,000
1,800 Adobe Systems Inc
67,275
400 Adtran Inc*
16,600
1,000 Advanced Micro Devices Inc*
25,750
2,100 American Power Conversion Corp*
57,225
1,000 Amphenol Corp*
22,250
3,450 Analog Devices Inc*
116,869
1,650 Andrew Corp*
87,552
4,800 Applied Materials Inc*
172,498
3,300 Ascend Communications Inc*
205,013
600 Aspect Telecommunications Corp*
38,100
2,700 Atmel Corp*
89,438
200 Avnet Inc
11,650
200 Beckman Instruments Inc
7,675
600 Black & Decker Corp
18,075
2,800 Boston Scientific Corp*
168,000
100 Briggs & Stratton Corp
4,400
800 C-Cube Microsystems Inc*
29,550
1,000 Checkpoint Systems Inc*
24,750
1,600 Cirrus Logic Inc*
24,800
18,400 Cisco Systems Inc*
1,170,700
6,500 Compaq Computer Corp*
482,625
1,400 Cypress Semiconductor Corp*
19,775
3,100 DSC Communications Corp*
55,413
800 DST Systems Inc*
25,100
4,000 Dell Computer Corp*
212,500
500 Dentsply International Inc
23,750
1,150 Diebold Inc
72,306
3,300 Duracell International Inc
230,588
6,200 Eastman Kodak Co
497,550
100 EchoStar Communications Corp Class A*
2,200
9,100 Electronic Data Systems Corp
393,575
1,800 Emerson Electric Co
174,150
1,100 FORE Systems Inc*
36,163
1,233 Federal Signal Corp
31,904
600 Forte Software Inc*
19,650
600 GT Interactive Software Corp*
4,275
460 Gateway 2000 Inc*
24,639
38,500 General Electric Co
3,806,688
3,700 General Instrument Corp*
80,013
1,737 Glenayre Technologies Inc*
37,453
22,100 Hewlett-Packard Co
1,110,525
1,100 Honeywell Inc
72,325
220 Hubbell Inc Class B
9,515
890 Imation Corp*
25,031
1,200 Input/Output Inc*
22,200
22,200 Intel Corp
2,906,801
3,100 International Game Technology
56,575
1,400 International Rectifier Corp*
21,350
100 Johnson Controls Inc
8,288
1,400 KLA Instruments Corp*
49,700
1,300 Komag Inc*
35,263
2,400 LCI International Inc*
51,600
3,500 LSI Logic Corp*
93,625
700 Lam Research Corp*
19,688
1,000 Learning Company Inc*
14,375
1,600 Lexmark International Group Inc Class A*
44,200
2,100 Linear Technology Corp
92,138
100 MSC Industrial Direct Company Inc Class A*
3,700
900 Macromedia Inc*
16,200
1,900 Maxim Integrated Products Inc*
82,175
500 Memc Electronic Materials Inc*
11,250
1,600 Mentor Graphics Corp*
15,600
500 Micron Electronics Inc*
9,719
5,000 Micron Technology Inc
145,625
1,818 Molex Inc
71,129
15,900 Motorola Inc
975,863
1,200 Netscape Communications Corp*
68,250
6,800 Novell Inc*
64,382
300 Objective Systems Integrators Inc*
7,163
1,500 Octel Communications Corp*
26,250
2,000 Pairgain Technologies Inc*
60,874
1,200 Perkin-Elmer Corp
70,650
300 Presstek Inc*
21,375
800 Quantum Corp*
22,900
1,000 Rational Software Corp*
39,562
600 Read-Rite Corp*
15,150
800 SCI Systems Inc*
35,700
1,800 Scientific-Atlanta Inc
27,000
5,000 Seagate Technology Inc*
197,500
800 Security Dynamics Technologies Inc*
25,200
900 Sensormatic Electronics Corp
15,075
4,600 Silicon Graphics Inc*
117,300
1,200 Solectron Corp*
64,050
900 Steris Corp*
39,150
2,014 Sterling Commerce Inc*
70,994
10,200 Sun Microsystems Inc*
262,007
600 Symbol Technologies Inc*
26,550
100 Tektronix Inc
5,125
4,400 Tellabs Inc*
165,550
1,200 Teradyne Inc*
29,250
3,600 Texas Instruments Inc
229,500
500 Thermedics Inc*
9,063
3,800 Thermo Electron Corp
156,750
370 Thermo Instrument Systems Inc*
12,256
40 Thomas & Betts Corp
1,775
2,360 US Robotics Corp*
169,920
2,200 Unisys Corp*
14,850
800 Varian Associates Inc
40,700
571 Vishay Intertechnology Inc*
13,347
100 WW Grainger Inc
8,025
400 Westell Technologies Inc Class A*
9,150
2,320 Xerox Corp
122,090
2,100 Xilinx Inc*
77,305
1,100 York International Corp
61,463
$17,215,848
ENVIRONMENTAL SERVICES --- 0.4%
800 Browning-Ferris Industries Inc
21,000
2,750 USA Waste Services Inc*
87,656
6,700 WMX Technologies Inc
218,588
$327,244
FINANCIAL SERVICES --- 0.0%
100 ContiFinancial Corp*
3,613
$3,613
GAS --- 0.4%
5,500 Enron Corp
237,188
1,700 NGC Corp
39,525
900 Pogo Producing Co
42,525
100 Sonat Inc
5,150
500 Valero Energy Corp
14,313
300 Williams Companies Inc
11,250
$349,951
HIGHWAYS --- 0.0%
100 Consolidated Freightways Inc
2,225
$2,225
HOLDING & INVEST. OFFICES --- 0.4%
4,000 Cognizant Corp*
132,000
200 Finova Group Inc
12,850
300 Green Point Financial Corp
14,213
1,500 MGIC Investment Corp
114,000
500 TIG Holdings Inc
16,938
800 US Industries Inc*
27,500
$317,501
INDEPENDENT POWER PROD --- 0.0%
800 Calenergy Inc*
26,900
300 Wheelabrator Technologies Inc
4,875
$31,775
INDUSTRIAL SERVICES --- 7.9%
1,366 AC Nielsen Corp*
20,661
400 APAC Teleservices Inc*
15,350
1,200 Altera Corp*
87,224
2,400 America Online Inc*
79,800
1,100 American Management Systems Inc*
26,950
700 Arrow Electronics Inc*
37,450
1,100 Autodesk Inc
30,800
7,800 Automatic Data Processing Inc
334,425
2,800 BMC Software Inc*
115,850
150 CDW Computer Centers Inc*
8,897
2,450 Cadence Design Systems Inc*
97,388
900 Cambridge Technology Partners Inc*
30,206
1,800 Ceridian Corp*
72,900
800 Cintas Corp
47,000
7,850 Computer Associates International Inc
390,538
1,916 Computer Sciences Corp*
157,352
1,000 Compuware Corp*
50,125
2,300 Corrections Corporation of America*
70,438
500 Deluxe Corp
16,375
2,200 Dun & Bradstreet Corp
52,250
1,400 Electronic Arts Inc*
41,912
3,900 Equifax Inc
119,438
11,270 First Data Corp
411,355
1,200 Fiserv Inc*
44,100
2,300 Fluor Corp
144,325
1,000 Foster Wheeler Corp
37,125
200 Global DirectMail Corp*
8,725
1,200 Gtech Holdings Corp*
38,400
2,200 HBO & Co
130,625
4,100 Informix Corp*
83,538
1,900 Interpublic Group of Companies Inc
90,250
1,000 Intuit Inc*
31,500
300 Kelly Services Inc Class A
8,100
5,853 Lucent Technologies Inc
270,701
2,100 Manpower Inc
68,250
1,100 McAfee Associates Inc*
48,400
1,900 Medaphis Corp*
21,255
700 Medic Computer Systems Inc*
28,218
21,500 Microsoft Corp*
1,776,438
100 National Service Industries Inc
3,738
1,600 Olsten Corp
24,200
2,000 Omnicom Group Inc
91,500
13,700 Oracle Systems Corp*
571,975
3,600 Parametric Technology Corp*
184,950
1,525 Paychex Inc
78,441
2,000 Peoplesoft Inc*
95,874
400 Pitney Bowes Inc
21,800
400 Quintiles Transnational Corp*
26,500
2,300 Reynolds & Reynolds Co Class A
59,800
1,700 Robert Half International Inc*
58,438
600 Shared Medical Systems Corp
29,550
700 Shiva Corp*
24,413
900 Sterling Software Inc
28,463
1,100 Sungard Data System Inc*
43,450
2,000 Sybase Inc*
33,374
1,100 Synopsys Inc*
50,875
400 Thermo Cardiosystems Inc*
12,000
400 Thermolase Corp*
6,300
708 Total System Services Inc
19,028
2,400 Viking Office Products Inc*
64,049
260 Wallace Computer Services Inc
8,970
700 Western Atlas Inc*
49,613
$6,731,935
INSURANCE --- 1.4%
2,374 Aetna Inc
189,920
650 Aflac Inc
27,788
100 Allmerica Financial Corporation
3,350
35 Ambac Inc
2,323
2,500 American International Group Inc
270,625
400 Equitable Companies Inc
9,850
600 Erie Indemnity Co Class A
18,600
300 Everest Reinsurance Holdings Inc
8,625
1,500 Foundation Health Corp*
47,625
300 General Re Corp
47,325
1,700 Healthsource Inc*
22,313
1,800 Marsh & McLennan Companies Inc
187,200
2,200 Oxford Health Plans Inc*
128,836
30 Paul Revere Corp
1,118
400 Progressive Corp
26,950
200 Protective Life Corp
7,975
40 Reliastar Financial Corp
2,310
2,700 SunAmerica Inc
119,813
300 The PMI Group Inc
16,613
40 Transatlantic Holdings Inc
3,220
866 Travelers Group Inc
39,295
100 Travelers/Aetna Property Casualty Corp Class A
3,538
100 Unum Corp
7,225
1,300 Value Health Inc*
25,350
$1,217,787
MFTG - CONSUMER PRODS. --- 15.7%
2,600 Anheuser-Busch Companies Inc
104,000
3,400 Avon Products Inc
194,225
1,200 Bed Bath & Beyond Inc*
29,100
700 Brown-Forman Corp Class B
32,025
600 Brunswick Corp
14,400
3,400 CPC International Inc
263,500
3,200 Campbell Soup Co
256,800
67,100 Coca-Cola Co
3,531,138
1,500 Coca-Cola Enterprises Inc
72,750
4,000 Colgate-Palmolive Co
369,000
2,500 CompUSA Inc*
51,563
5,700 ConAgra Inc
283,575
2,400 Dial Corp
35,400
100 Dow Jones & Company Inc
3,388
1,000 Fort Howard Corp*
27,687
300 Fruit of the Loom Inc Class A*
11,363
1,300 Gartner Group Inc Class A*
50,618
3,500 General Mills Inc
221,813
12,000 Gillette Co
933,000
3,950 HJ Heinz Co
141,213
1,400 Harcourt General Inc
64,575
1,500 Hershey Foods Corp
65,625
1,200 Hillenbrand Industries Inc
43,500
2,500 International Flavors & Fragrances Inc
112,500
500 Interstate Bakeries Co
24,563
1,000 Jones Apparel Group Inc*
37,375
3,500 K-III Communications Corp*
37,625
2,100 Kellogg Co
137,813
300 Knight-Ridder Inc
11,475
533 Lancaster Colony Corp
24,518
1,000 Lee Enterprises Inc
23,250
2,200 Leggett & Platt Inc
76,175
100 Liz Claiborne Inc
3,863
500 Marvel Entertainment Group Inc*
938
2,500 Masco Corp
90,000
7,483 Mattel Inc
207,653
500 McCormick & Company Inc (nonvtg)
11,781
900 McGraw-Hill Companies Inc
41,513
600 Meredith Corp
31,650
1,000 Nabisco Holdings Corp Class A
38,875
800 New York Times Co Class A
30,400
4,300 Newell Co
135,450
700 Nine West Group Inc*
32,463
500 Oakley Inc*
5,438
1,200 Oakwood Homes Corp
27,450
39,200 Pepsico Inc
1,146,600
22,000 Philip Morris Companies Inc
2,477,750
1,900 Pioneer Hi-Bred International Inc
133,000
700 Quaker Oats Co
26,688
1,000 RJR Nabisco Holdings Corp
34,000
200 RR Donnelley & Sons Co
6,275
2,400 Ralston-Ralston Purina Group
176,100
2,100 Readers Digest Association Inc Class A
84,525
4,000 Rubbermaid Inc
91,000
11,200 Sara Lee Corp
417,200
500 Shaw Industries Inc
5,875
2,100 Starbucks Corp*
60,113
300 Talbots Inc
8,588
2,100 The Times Mirror Co Class A
104,475
800 Tiffany & Co
29,300
1,300 Tribune Co
102,538
900 Tupperware Corporation
48,263
400 Tyson Foods Inc Class A
13,700
5,100 UST Inc
165,113
900 Unifi Inc
28,913
2,300 Viad Corp
37,950
1,300 Warnaco Group Inc Class A
38,513
10 Washington Post Co Class B
3,351
2,800 Wm Wrigley Jr Co
157,500
$13,340,356
MFTG - INDUSTRIAL PRODS --- 12.4%
4,500 3Com Corp*
330,188
200 AK Steel Holding Corp
7,925
21,000 Abbott Laboratories
1,065,750
500 Air Products & Chemicals Inc
34,563
1,600 Airgas Inc*
35,200
100 Albemarle Corp
1,813
1,117 Allegheny Teledyne Inc
25,691
2,300 Alza Corp*
59,513
12,100 American Home Products Corp
709,363
2,100 American Standard Companies Inc*
80,325
200 Armstrong World Industries Inc
13,900
4,935 Bay Networks Inc*
103,018
1,200 Bemis Company Inc
44,250
200 Betz Laboratories Inc
11,700
500 Blyth Industries Inc*
22,813
100 Cabot Corp
2,513
1,900 Callaway Golf Co
54,625
125 Case Corp
6,813
1,500 Centocor Inc*
53,625
4,400 Chiron Corp*
81,950
700 Clorox Co
70,263
400 Cooper Tire & Rubber Co
7,900
6,100 Corning Inc
282,125
300 Crane Co
8,700
2,200 Crown Cork & Seal Company Inc
119,625
1,200 Cytec Industries Inc*
48,750
800 Danaher Corp
37,300
2,800 Dover Corp
140,700
500 Dow Chemical Co
39,188
1,500 EI DuPont De Nemours & Co
141,563
5,900 EMC Corp*
195,438
1,500 Ecolab Inc
56,438
700 Electronics for Imaging Inc*
57,575
2,600 Engelhard Corp
49,725
900 First Brands Corp
25,538
1,000 Georgia Gulf Corp
26,875
400 Great Lakes Chemical Corp
18,700
2,000 Guidant Corp
114,000
330 Harnischfeger Industries Inc
15,881
100 Harsco Corp
6,850
2,800 Hercules Inc
121,100
1,000 IDEXX Laboratories Inc*
36,000
2,500 Illinois Tool Works Inc
199,688
1,000 Interneuron Pharmaceutical Inc*
26,000
3,200 Iomega Corp*
55,600
1,200 JLG Industries Inc
19,200
4,780 Kimberly-Clark Corp
455,295
1,800 Lear Corp*
61,425
400 Lyondell Petrochemical Co
8,800
350 MA Hanna Co
7,656
200 Mallinckrodt Inc
8,825
1,200 Millipore Corp
49,650
3,500 Minnesota Mining & Manufacturing Co
290,063
16,100 Monsanto Co
625,888
3,300 Morton International Inc
134,475
3,300 Mylan Laboratories Inc
55,275
100 Nalco Chemical Co
3,613
200 Network General Corp*
6,050
400 Nordson Corp
25,500
2,400 Nucor Corp
122,400
1,000 Owens-Illinois Inc*
22,750
500 PPG Industries Inc
28,063
3,100 Pall Corp
79,050
17,200 Pfizer Inc
1,425,450
5,500 Pharmacia & Upjohn Inc
217,938
4,200 Praxair Inc
193,725
1,425 RPM Inc (Ohio)
24,225
1,200 Raychem Corp
96,150
900 Rhone-Poulenc Class A
70,313
9,900 Schering-Plough Corp
641,025
1,000 Sealed Air Corp*
41,625
100 Sherwin-Williams Co
5,600
1,100 Sigma Aldrich Corp
68,681
1,750 Sonoco Products Co
45,281
600 Tambrands Inc
24,525
300 The BF Goodrich Co
12,150
200 The Stanley Works
5,400
300 Thermo Fibertech Inc*
2,794
700 Trinity Industries Inc
26,250
3,858 Tyco International Ltd
203,992
500 UCAR International Inc*
18,813
1,200 USG Corp*
40,650
800 USX-US Steel Group
25,100
700 Verifone Inc*
20,650
2,500 WR Grace & Co
129,375
4,800 Warner-Lambert Co
360,000
800 Watson Pharmaceuticals Inc*
35,950
1,000 Western Digital Corp*
56,875
100 Witco Corp
3,050
1,700 Worthington Industries Inc
30,813
$10,477,438
MINING --- 0.4%
4,600 Freeport-McMoran Copper & Gold Inc Class B
137,425
1,100 Homestake Mining Co
15,675
300 Newmont Gold Co
13,125
2,624 Newmont Mining Corp
117,424
3,500 Santa Fe Pacific Gold Corp
53,813
200 Southern Peru Copper Corp
2,925
$340,387
OIL & GAS --- 1.8%
1,400 Anadarko Petroleum Corp
90,650
600 Apache Corp
21,225
2,900 Baker Hughes Inc
100,050
200 Burlington Resources Inc
10,075
500 Chesapeake Energy Corp*
27,813
300 Coastal Corp
14,663
400 Cooper Cameron Corp*
30,600
500 Diamond Offshore Drilling Inc*
28,500
1,700 Dresser Industries Inc
52,700
1,600 Enron Oil & Gas Co
40,400
1,900 Ensco International Inc*
92,150
300 Enserch Corp
6,900
3,200 Global Marine Inc*
66,000
2,900 Halliburton Co
174,725
700 Lousiana Land & Exploration Co
37,538
1,300 Nabors Industries Inc*
25,025
1,200 Noble Affiliates Inc
57,450
900 Noble Drilling Corp*
17,888
2,400 Oryx Energy Co*
59,400
2,600 Phillips Petroleum Co
115,050
1,500 Reading & Bates Corp*
39,750
1,100 Smith International Inc*
49,363
800 Tosco Corp
63,300
525 Transocean Offshore Inc
32,878
100 Ultramar Diamond Shamrock Corp
3,163
6,700 Union Pacific Resources Group Inc
195,975
900 Union Texas Petroleum Holdings Inc
20,138
400 UnoCal Corp
16,250
500 Vastar Resources Inc
19,000
800 Weatherford Enterra Inc*
24,000
$1,532,619
OTHER ASSET-BACKED --- 0.2%
3,800 Green Tree Financial Corp
146,775
$146,775
OTHER TRANS. SERVICES --- 0.1%
400 Federal Express Corp*
17,800
400 Fritz Companies Inc*
5,100
1,600 Tidewater Inc
72,400
$95,300
RAILROADS --- 0.2%
593 Burlington Northern Santa Fe
51,220
1,400 Illinois Central Corp Class A
44,800
200 Kansas City Southern Industries Inc
9,000
1,400 Wisconsin Central Transportation Corp*
55,475
$160,495
REAL ESTATE --- 0.1%
2,100 Simon Debartolo Group Inc
65,100
1,400 The Rouse Co
44,450
$109,550
RETAIL TRADE --- 6.7%
6,000 Albertson's Inc
213,750
4,100 Autozone Inc*
112,750
600 Barnes & Noble Inc*
16,200
300 Boise Cascade Office Products Corp*
6,300
500 Borders Group Inc*
17,938
1,500 Boston Chicken Inc*
53,813
1,450 Brinker International Inc*
23,200
2,700 Circuit City Stores Inc
81,338
1,875 Consolidated Stores Corp*
60,469
2,000 Corporate Express Inc*
58,874
1,600 Cracker Barrel Old Country Store Inc
40,600
400 Darden Restaurants Inc
3,500
500 Dayton Hudson Corp
19,625
2,388 Dollar General Corp
76,416
500 Dollar Tree Stores Inc*
19,125
700 Fastenal Co
32,025
1,900 Federated Department Stores Inc*
64,838
2,400 Food Lion Inc Class A
24,300
500 Footstar Inc*
12,438
5,800 Gap Inc
174,725
2,300 General Nutrition Companies Inc*
38,813
400 Hannaford Brothers Co
13,600
13,100 Home Depot Inc
656,638
1,100 Intimate Brands Inc Class A
18,700
492 JC Penney & Company Inc
23,985
1,400 Kohls Corp*
54,950
2,900 Kroger Co*
134,850
1,200 Limited Inc
22,050
900 Lone Star Steakhouse & Saloon Inc*
24,075
3,900 Lowe's Companies Inc
138,450
18,800 McDonald's Corp
850,700
700 Micro Warehouse Inc*
8,225
400 Neiman Marcus Group Inc*
10,200
700 Nordstrom Inc
24,806
3,650 Office Depot Inc*
64,788
2,850 Officemax Inc*
30,281
1,300 Outback Steakhouse Inc*
34,775
1,200 Owens Corning
51,150
740 Payless Shoesource Inc*
27,750
1,700 Pep Boys - Manny Moe & Jack
52,275
3,000 Petsmart Inc*
65,625
700 Revco DS Inc*
25,900
300 Rite Aid Corp
11,925
6,500 Safeway Inc*
277,875
8,600 Sears Roebuck & Co
396,675
2,200 Southland Corp*
6,530
200 Spiegel Inc*
1,412
4,525 Staples Inc*
81,731
1,500 Sunglass Hut International Inc*
10,875
2,400 TJX Companies Inc
113,700
700 Tandy Corp
30,800
900 Toys R Us Inc*
27,000
300 Vons Companies Inc*
17,963
38,300 Wal-Mart Stores Inc
876,113
6,700 Walgreen Co
268,000
2,100 Wendy's International Inc
43,050
1,200 Winn-Dixie Stores Inc
37,950
$5,686,409
SECURITIES & COMMODITIES --- 0.4%
3,100 Charles Schwab & Company Inc
99,200
800 Dean Witter Discover & Co
53,000
1,400 Franklin Resources Inc
95,725
1,300 T Rowe Price & Associates Inc
56,550
1,400 United Asset Management Corp
37,275
$341,750
TELEPHONE --- 1.1%
3,500 ADC Telecommunications Inc*
108,938
300 Alltel Corp
9,413
1,600 Ameritech Corp
97,000
200 Century Telephone Enterprises Inc
6,175
1,900 Cincinnati Bell Inc
117,088
3,400 Frontier Corp
76,925
9,000 GTE Corp
409,500
1,200 MCI Communications Corp
39,224
2,000 SBC Communications Inc
103,500
$967,763
TRANSPORTATION EQUIPMENT --- 1.5%
4,700 Allied-Signal Inc
314,900
500 Echlin Inc
15,813
2,000 Harley-Davidson Inc
94,000
300 Newport News Shipbuilding Inc*
4,500
600 Premisys Communications Inc*
20,250
450 Sundstrand Corp
19,125
7,200 The Boeing Co
765,900
1,100 United Technologies Corp
72,600
$1,307,088
WHOLESALE TRADE - INDL --- 0.3%
3,600 Alco Standard Corp
185,850
400 Jefferson Smurfit Corp*
6,425
100 McKesson Corp
5,600
1,300 Sybron International Corp*
42,900
$240,775
WHOLESALE TRADE -CONSUMER --- 3.2%
2,600 Avery Dennison Corp
91,975
100 Bergen Brunswig Corp Class A
2,850
2,513 Cardinal Health Inc
146,382
240 Coleman Company Inc*
3,300
3,500 Nike Inc Class B
209,125
2,400 Price/Costco Inc*
60,300
18,400 Procter & Gamble Co
1,978,000
1,200 Richfood Holdings Inc
29,100
700 Safeguard Scientifics Inc*
22,225
1,000 Sunbeam-Oster Co
25,750
4,800 Sysco Corp
156,532
$2,725,539
TOTAL COMMON STOCK --- 97.8%
$82,943,513
(Cost $70,737,320)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 2.2%
1,850,000 Prudential Funding Corp
1,849,656
$1,849,656
TOTAL SHORT-TERM INVESTMENTS --- 2.2%
$1,849,656
(Cost $1,849,656)
TOTAL GROWTH INDEX PORTFOLIO --- 100.0%
$84,793,169
(Cost $72,586,976)
Maxim Series Fund, Inc.
Investment Grade Corporate Bond Portfolio
BONDS
AIR --- 3.2%
3,000,000 Swire Pacific Ltd#
3,214,380
Global Notes
8.500% September 29, 2004
$3,214,380
CANADIAN - PROVINCIAL --- 3.3%
3,000,000 Province of Quebec
3,301,830
Debentures
8.800% April 15, 2003
$3,301,830
COMMUNICATIONS --- 2.1%
2,000,000 Airtouch Communications Inc
2,032,400
Notes
7.125% July 15, 2001
$2,032,400
CONSUMER SERVICES --- 3.0%
3,000,000 Service Corporation International
3,014,130
Notes
6.750% June 1, 2001
$3,014,130
CREDIT INSTITUTIONS --- 30.6%
3,000,000 Aristar Inc
2,956,620
Notes
6.125% December 1, 2000
4,000,000 Associates Corp North America
4,035,200
Medium Term Notes
6.870% August 12, 2002
3,000,000 BHP Finance USA Corp
2,969,730
Guaranteed Debentures
6.420% March 1, 2026
3,000,000 Capital One Bank
3,046,140
Medium Term Notes
7.350% June 20, 2000
3,000,000 Citicorp
2,881,410
Subordinated Notes
6.375% January 15, 2006
3,000,000 Commercial Credit Co
3,080,400
Notes
7.375% March 15, 2002
3,000,000 Ford Motor Credit Co
2,999,310
Medium Term Notes
6.600% March 26, 2001
3,000,000 General Electric Capital Corp
3,167,080
Eurodollar Medium Term Notes
8.100% February 15, 2002
2,000,000 General Motors Acceptance Corp
2,074,160
Medium Term Notes
7.625% May 5, 2003
3,000,000 Heller Financial Inc
3,054,231
Medium Term Notes
7.210% September 13, 2001
$30,264,281
ELECTRIC --- 8.1%
3,000,000 Commonwealth Edison Co
3,046,368
First Mortgage Bonds
7.500% January 1, 2001
2,000,000 Florida Power & Light Co
1,963,700
First Mortgage Bonds
5.500% July 1, 1999
3,000,000 Iberdrola International#
3,035,730
Notes
7.125% June 1, 2003
$8,045,798
ELECTRONICS - HIGH TECH --- 2.1%
2,000,000 Xerox Corp
2,029,880
Notes
7.150% August 1, 2004
$2,029,880
FOREIGN BANKS --- 9.0%
3,000,000 Abbey National PLC
2,946,930
Global Notes
6.690% October 17, 2005
3,000,000 Bayerische Landesbanken NY
3,003,007
Medium Term Notes
6.375% August 31, 2000
3,000,000 Korea Development Bank
2,978,160
Notes
6.250% May 1, 2000
$8,928,097
INDUSTRIAL SERVICES --- 4.1%
4,000,000 Lucent Technologies Inc
4,051,880
Notes
6.900% July 15, 2001
$4,051,880
INSURANCE --- 6.0%
3,000,000 London Insurance Group
2,961,660
Yankee Notes
6.875% September 15, 2005
3,000,000 Prudential Insurance Co#
2,967,330
Capital Notes
6.875% April 15, 2003
$5,928,990
LEASING --- 3.3%
3,000,000 US Leasing International
3,246,690
Senior Notes
8.750% December 1, 2001
$3,246,690
MFTG - INDUSTRIAL PRODS --- 3.1%
3,000,000 Hanson Overseas BV
3,078,090
Guaranteed Notes
7.375% January 15, 2003
$3,078,090
OIL & GAS --- 2.2%
2,000,000 BP America Inc
2,141,250
Guaranteed Eurodollar Notes
9.750% March 1, 1999
$2,141,250
SECURITIES & COMMODITIES --- 9.2%
3,000,000 CS First Boston Inc#
3,126,690
Subordinated Notes
7.750% May 15, 2006
3,000,000 Lehman Brothers Holdings Inc
3,006,360
Notes
7.250% October 15, 2003
3,000,000 Merrill Lynch & Co Inc
2,995,920
Notes
6.875% March 1, 2003
$9,128,970
U.S. GOVERNMENTS --- 6.1%
6,000,000 United States of America
6,032,820
Treasury Notes
6.500% October 15, 2006
$6,032,820
WHOLESALE TRADE -CONSUMER --- 4.3%
4,000,000 Procter & Gamble Co
4,291,441
Debentures
8.000% November 15, 2003
$4,291,441
TOTAL BONDS --- 99.7%
$98,730,927
(Cost $98,083,315)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 0.3%
250,000 Prudential Funding Corp
249,953
$249,953
TOTAL SHORT-TERM INVESTMENTS --- 0.3%
$249,953
(Cost $249,953)
TOTAL INVESTMENT GRADE CORPORATE BOND PORTFOLIO --- 100.0%
$98,980,880
(Cost $98,333,268)
Maxim Series Fund, Inc.
Short-Term Maturity Bond Portfolio
BONDS
AGENCY --- 3.8%
1,498,908 Federal Home Loan Mortgage Corp
1,480,637
Pool #L90105
6.000% April 1, 1999
$1,480,637
CANADIAN - PROVINCIAL --- 2.6%
1,000,000 Ontario Hydro
997,830
Guaranteed Notes
5.800% March 31, 1998
$997,830
COMMUNICATIONS --- 2.6%
1,000,000 Gannett Company Inc
992,440
Notes
5.250% March 1, 1998
$992,440
CONSUMER SERVICES --- 2.6%
1,000,000 Baxter International Inc
1,005,480
Notes
7.500% May 1, 1997
$1,005,480
CREDIT INSTITUTIONS --- 18.1%
1,000,000 Associates Corporation of North America
1,009,330
Notes
6.625% July 15, 1999
1,000,000 Avco Financial Services Inc
993,710
Notes
5.500% May 1, 1998
1,000,000 Beneficial Corp
1,001,820
Medium Term Notes
6.060% September 23, 1997
1,000,000 CIT Group Holdings Inc
1,000,579
Notes
6.250% October 25, 1999
1,000,000 Chrysler Financial Corp
989,910
Notes
5.625% January 15, 1999
1,000,000 Ford Motor Credit Co
989,440
Notes
5.625% December 15, 1998
1,000,000 General Electric Capital Corp
1,038,457
Medium Term Notes
6.650% April 14, 1998
$7,023,246
ELECTRIC --- 10.5%
1,100,000 Baltimore Gas & Electric
1,107,109
Medium Term Notes
6.900% July 8, 1997
1,000,000 Carolina Power & Light Co
989,610
First Mortgage Bonds
5.375% July 1, 1998
1,000,000 Pacific Gas & Electric Co
987,880
First Mortgage Bonds
5.375% August 1, 1998
1,000,000 Public Service Electric & Gas
999,930
First Mortgage Bonds
6.000% January 1, 1998
$4,084,529
ELECTRONICS - HIGH TECH --- 2.6%
1,000,000 International Business Machines Corp
1,003,610
Global Notes
6.375% November 1, 1997
$1,003,610
FOREIGN BANKS --- 2.6%
1,000,000 Korea Development Bank
994,560
Notes
5.875% December 1, 1998
$994,560
FOREIGN GOVERNMENTS --- 2.5%
1,000,000 Swedish Government
970,800
Eurodollar Medium Term Notes
4.500% March 24, 1999
$970,800
GAS --- 2.6%
1,000,000 Indiana Gas Company Inc
1,004,870
Notes
6.625% December 1, 1997
$1,004,870
LEASING --- 2.6%
1,000,000 International Lease Finance Corp
1,004,020
Notes
6.625% April 1, 1999
$1,004,020
MFTG - CONSUMER PRODS. --- 2.6%
1,000,000 Sara Lee Corp
1,006,730
Medium Term Notes
6.500% September 20, 1999
$1,006,730
MFTG - INDUSTRIAL PRODS --- 8.3%
1,200,000 Alcan Aluminum Corp
1,203,684
Guaranteed Debentures
6.375% September 1, 1997
1,000,000 Caterpillar Inc
1,011,430
Medium Term Notes
6.800% August 24, 1999
1,000,000 Ingersoll-Rand Co
1,003,490
Medium Term Notes
6.540% August 10, 1999
$3,218,604
RETAIL TRADE --- 7.8%
1,000,000 JC Penney & Company Inc
1,011,490
Notes
6.875% June 15, 1999
1,000,000 Nordstrom Credit Inc
1,012,071
Medium Term Notes
6.875% September 15, 1999
1,000,000 Sears Roebuck Acceptance Corp
1,002,530
Medium Term Notes
6.380% February 16, 1999
$3,026,091
SECURITIES & COMMODITIES --- 2.7%
1,000,000 Bear Stearns Companies Inc
1,037,320
Senior Notes
9.125% April 15, 1998
$1,037,320
SUPRANATIONALS --- 2.6%
1,000,000 Inter-American Development Bank
1,028,160
Notes
9.500% October 15, 1997
$1,028,160
TELEPHONE --- 5.3%
1,000,000 MCI Communications Corp
999,920
Notes
6.250% March 23, 1999
1,000,000 Nippon Telegraph & Telephone Co
1,050,980
Notes
9.500% July 27, 1998
$2,050,900
TRANSPORTATION EQUIPMENT --- 2.6%
1,000,000 Lockheed Martin Corp
1,007,710
Guaranteed Notes
6.625% June 15, 1998
$1,007,710
U.S. GOVERNMENTS --- 14.7%
2,000,000 Federal National Mortgage Association
2,015,940
Medium Term Notes
6.420% October 1, 1999
2,000,000 United States of America
1,999,680
Treasury Notes
6.000% August 15, 1999
1,700,000 United States of America
1,693,353
Treasury Notes
5.875% November 15, 1999
$5,708,973
TOTAL BONDS --- 99.4%
$38,646,510
(Cost $38,505,039)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 0.6%
214,000 Prudential Funding Corp
213,960
$213,960
TOTAL SHORT-TERM INVESTMENTS --- 0.6%
$213,960
(Cost $213,960)
TOTAL SHORT-TERM MATURITY BOND PORTFOLIO --- 100.0%
$38,860,470
(Cost $38,718,999)
Maxim Series Fund, Inc.
Small-Cap Aggressive Growth Portfolio
COMMON STOCK
AIR --- 0.9%
33,900 Pittston Brink's Group
678,000
$678,000
COMMUNICATIONS --- 0.4%
15,400 Vertex Communication Corp*
279,125
$279,125
CONSUMER SERVICES --- 7.3%
54,557 Grancare Inc*
975,206
35,100 Health Images Inc
583,538
33,600 Healthplan Services Corp*
709,800
35,300 Integrated Health Services Inc
860,438
25,200 Patriot American Hospitality Inc
1,086,750
19,800 Protocol Systems Inc*
257,400
32,400 Regency Health Services Inc*
311,850
47,300 Rotech Medical Corp*
993,300
$5,778,282
CREDIT INSTITUTIONS --- 5.1%
27,500 Bank United Corp Class A
735,625
3,275 Charter One Financial Inc
137,550
10,600 Commercial Federal Corp
508,800
34,200 DVI Inc*
444,600
24,500 First Financial Corp
600,250
17,960 Imperial Credit Industries Inc*
377,160
28,600 Magna Group Inc
843,700
20,520 WFS Financial Inc*
407,835
$4,055,520
ELECTRONICS - HIGH TECH --- 10.9%
25,500 Amphenol Corp*
567,375
18,900 Award Software International Inc*
184,275
30,200 Brown & Sharpe Manufacturing Co Class A*
422,800
20,000 Burr Brown Corp*
520,000
50,200 Calpine Corp*
1,004,000
35,325 Conmed Corp*
724,163
19,100 ESS Technology Inc*
537,188
5,600 Etec Systems Inc*
214,200
6,875 Harman International Industries Inc
382,422
26,600 Inter-Tel Inc*
505,400
29,000 Keystone International Inc
583,625
24,800 Merix Corp*
378,200
26,900 National Computer Systems Inc
685,950
33,800 Sofamor Danek Group Inc*
1,030,900
20,000 Unitrode Corp*
587,500
23,800 Woodhead Industries Inc
327,250
$8,655,248
GAS --- 1.7%
49,600 Pride Petroleum Services Inc*
1,153,200
12,000 Public Service Company of North Carolina Inc
219,000
$1,372,200
HOLDING & INVEST. OFFICES --- 3.5%
19,300 Dignity Partners Inc*
50,663
44,700 Koger Equity Inc*
838,125
40,900 Liberty Property Trust
1,053,175
23,500 Sun Communities Inc
810,750
$2,752,713
INDUSTRIAL SERVICES --- 3.1%
19,050 Boole & Babbage Inc*
476,250
11,600 CDI Corp*
329,150
47,000 Hexcel Corp*
763,750
16,950 Nichols Research Corp*
432,225
27,100 Symantec Corp*
392,950
8,000 TEAM America Corp*
91,000
$2,485,325
INSURANCE --- 7.0%
30,600 Allied Group Inc
998,325
13,400 CapMAC Holdings Inc
443,875
18,500 Capital RE Corp
862,563
28,500 Everest Reinsurance Holdings Inc
819,375
17,900 Meadowbrook Insurance Group
375,900
21,800 Protective Life Corp
869,275
15,600 Reinsurance Group America Co
735,150
16,375 Triad Guaranty Inc*
470,781
$5,575,244
LEASING --- 0.6%
29,600 Financial Federal Corp*
495,800
$495,800
MFTG - CONSUMER PRODS. --- 9.2%
30,850 Banta Corp
705,694
28,900 Cadmus Communications Corp
447,950
26,200 Flowers Industries Inc
563,300
18,600 Houghton Mifflin Co
1,053,225
9,000 Insilco Corp*
346,500
10,300 Kenneth Cole Productions Inc Class A*
159,650
38,800 Lance Inc
698,400
33,800 Michael Foods Inc
430,950
36,600 Premark International Inc
814,350
31,500 Scientific Games Holdings Corp*
842,625
39,200 Stride Rite Corp
392,000
51,900 Viad Corp
856,350
$7,310,994
MFTG - INDUSTRIAL PRODS --- 15.6%
8,200 Amcast Industrial Corp
202,950
7,700 Aptargroup Inc
271,425
16,900 BWIP Holding Inc
278,850
17,600 Belden Inc
651,200
10,500 Bush Boake Allen Inc*
279,563
7,100 Cambrex Corp
232,525
10,000 Caraustar Industries Inc
332,500
33,600 Citation Corp*
344,400
23,000 Dayton Superior Corp Class A*
301,875
33,500 Dexter Corp
1,067,813
48,600 Giant Cement Holding Inc*
783,675
18,600 Greenfield Industries Inc
569,625
80,750 Griffon Corp*
989,188
23,800 Intertape Polymer Group Inc
547,400
58,500 Lawter International Inc
738,563
12,400 Learonal Inc
285,200
24,800 Lone Star Technologies Inc*
421,600
46,700 Oregon Steel Mills Inc
782,225
19,000 Prime Service Inc*
522,500
8,300 RMI Titanium Co*
233,438
29,500 Toro Co
1,076,750
52,200 UNR Industries Inc
313,200
46,000 United States Can Corp*
776,250
22,300 Williams Industries Inc*
446,000
$12,448,715
MINING --- 0.8%
14,500 Cleveland-Cliffs Inc
657,938
$657,938
OIL & GAS --- 5.7%
39,200 American Exploration Co*
627,200
20,300 Belden & Blake Corp*
517,650
35,900 Global Industries Ltd*
668,638
34,500 Lomak Petroleum Inc
590,813
15,400 Seitel Inc*
616,000
31,900 Tuboscope Vetco International Corp*
494,450
10,600 Vintage Petroleum Inc
365,700
21,100 Weatherford Enterra Inc*
633,000
$4,513,451
OTHER TRANS. SERVICES --- 2.4%
33,100 Harper Group Inc
786,125
42,200 USFreightways Corp
1,157,841
$1,943,966
REAL ESTATE --- 2.8%
24,800 Brandywine Realty Trust*
483,600
20,000 Cali Realty Corp
617,500
51,000 Capstone Capital Trust Inc
1,141,125
$2,242,225
RETAIL TRADE --- 5.2%
21,400 99 Cents Only Stores Inc*
350,425
22,500 Carson Pirie Scott & Co*
568,125
36,750 Cato Corp Class A
183,750
29,300 Cole National Corp Class A*
769,125
17,800 Cooker Restaurant Corp*
206,925
11,300 Crossmann Communities Inc*
192,100
41,200 Family Dollar Stores Inc
839,450
5,900 Hardinge Inc
157,088
31,500 Tandycrafts Inc*
189,000
35,500 Zale Corp*
678,938
$4,134,926
TELEPHONE --- 0.9%
44,200 Aliant Communications Inc
751,400
$751,400
TRANSPORTATION EQUIPMENT --- 1.5%
10,700 Borg-Warner Automotive Inc
411,950
24,200 Echlin Inc
765,325
$1,177,275
WHOLESALE TRADE - INDL --- 2.0%
47,800 Bindley Western Industries Inc
926,125
31,700 Cort Business Services Corp*
653,813
$1,579,938
WHOLESALE TRADE -CONSUMER --- 2.0%
28,200 Congoleum Corp Class A*
391,275
13,800 Department 56 Inc*
341,550
14,800 Kaman Corp Class A
192,400
29,000 World Fuel Services Corp
645,242
$1,570,467
TOTAL COMMON STOCK --- 88.6%
$70,458,752
(Cost $60,598,943)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 6.3%
1,300,000 Ford Motor Credit Co
1,299,596
3,703,000 Prudential Funding Corp
3,702,311
$5,001,907
INSURANCE --- 2.1%
1,700,000 AIG Funding Inc
1,696,483
$1,696,483
SECURITIES & COMMODITIES --- 3.0%
2,400,000 Morgan Stanley Group Inc
2,394,208
$2,394,208
TOTAL SHORT-TERM INVESTMENTS --- 11.4%
$9,092,598
(Cost $9,092,598)
TOTAL SMALL-CAP AGGRESSIVE GROWTH PORTFOLIO --- 100.0%
$79,551,350
(Cost $69,691,541)
Maxim Series Fund, Inc.
U S Government Mortgage Securities Portfolio
BONDS
AGENCY --- 52.7%
1,000,000 Federal Home Loan Bank
1,000,000
Callable Agency Notes
7.250% November 1, 2001
1,184,378 Federal Home Loan Mortgage Corp
1,258,401
Pool #C90085
9.000% December 1, 2014
2,765,939 Federal Home Loan Mortgage Corp
2,834,257
Pool #D64588
8.000% August 1, 2024
1,408,922 Federal Home Loan Mortgage Corp
1,433,578
Pool #D91201
7.500% October 1, 2015
1,134,943 Federal Home Loan Mortgage Corp
1,187,831
Pool #D91202
8.500% February 1, 2013
596,836 Federal Home Loan Mortgage Corp
666,785
Pool #N70005
9.500% November 1, 2020
2,736,905 Federal Home Loan Mortgage Corp
2,825,034
Pool #G00256
8.000% November 1, 2023
4,596,361 Federal Home Loan Mortgage Corp
4,987,052
Pool #G00300
9.500% April 1, 2025
2,106,954 Federal Home Loan Mortgage Corp
2,270,243
Pool #G10006
10.000% January 1, 2006
1,450,966 Federal Home Loan Mortgage Corp
1,518,146
Pool #G10289
8.500% February 1, 2008
1,000,000 Federal Home Loan Mortgage Corp
993,750
CMO Series 1714 Class E
6.250% September 15, 2018
222,503 Federal Home Loan Mortgage Corp
231,959
Pool #730326
8.500% November 1, 2006
1,493,517 Federal Home Loan Mortgage Corp
1,662,882
Pool #884002
9.500% June 1, 2020
10,000,000 Federal Home Loan Mortgage Corp
10,025,000
Gold TBA
7.500% December 1, 2026
5,810,683 Federal Home Loan Mortgage Corp
5,685,346
Pool #O20005
6.500% January 1, 2018
1,279,622 Federal Home Loan Mortgage Corp
1,230,037
Pool #O30006
6.000% February 1, 2009
3,000,000 Federal Home Loan Mortgage Corp
2,995,200
CMO Series 1544 Class E
6.250% June 15, 2008
2,848,594 Federal Home Loan Mortgage Corp
2,816,548
Pool #E00219
6.500% June 1, 2008
594,745 Federal Home Loan Mortgage Corp
656,836
Pool #884018
9.500% September 1, 2020
959,617 Federal Home Loan Mortgage Corp
948,822
Pool #E00177
6.500% December 1, 2007
3,765,843 Federal National Mortgage Assocation
3,682,279
Pool #346907
7.000% June 1, 2026
1,249,172 Federal National Mortgage Association
1,259,665
Pool #367209
7.500% June 1, 2016
2,469,866 Federal National Mortgage Association
2,524,697
Pool #367215
8.000% September 1, 2026
66,991 Federal National Mortgage Association
67,159
Pool #294674
7.500% September 1, 2024
79,099 Federal National Mortgage Association
79,297
Pool #294255
7.500% October 1, 2024
1,341,799 Federal National Mortgage Association
1,403,387
Pool #335658
8.500% August 1, 2021
830,710 Federal National Mortgage Association
879,555
Pool #316711
9.000% September 1, 2019
81,632 Federal National Mortgage Association
81,759
Pool #303031
7.500% October 1, 2024
803,431 Federal National Mortgage Association
805,439
Pool #293638
7.500% December 1, 2024
786,561 Federal National Mortgage Association
788,527
Pool #281429
7.500% May 1, 2024
477,136 Federal National Mortgage Association
477,880
Pool #285019
7.500% December 1, 2024
83,763 Federal National Mortgage Association
83,894
Pool #296964
7.500% December 1, 2024
49,804 Federal National Mortgage Association
49,881
Pool #295529
7.500% September 1, 2024
40,095 Federal National Mortgage Association
40,158
Pool #291511
7.500% August 1, 2024
2,673,219 Federal National Mortgage Association
2,627,240
Pool #303450
7.000% November 1, 2024
2,510,046 Federal National Mortgage Association
2,634,795
Pool #303583
8.500% April 1, 2025
217,525 Federal National Mortgage Association
238,081
Pool #091122
9.500% March 1, 2020
730,523 Federal National Mortgage Association
732,350
Pool #250060
7.500% June 1, 2024
3,114,397 Federal National Mortgage Association
3,243,956
Pool #250111
8.500% August 1, 2024
44,507 Federal National Mortgage Association
44,576
Pool #278839
7.500% December 1, 2024
5,000,000 Federal National Mortgage Association
5,003,000
TBA
7.000% December 1, 2011
71,488 Federal National Mortgage Association
71,600
Pool #286136
7.500% June 1, 2024
1,532,544 Federal National Mortgage Association
1,534,934
Pool #286579
7.500% June 1, 2024
68,520 Federal National Mortgage Association
68,627
Pool #286640
7.500% June 1, 2024
77,870 Federal National Mortgage Association
78,065
Pool #287606
7.500% September 1, 2024
703,189 Federal National Mortgage Association
704,947
Pool #050796
7.500% September 1, 2023
1,081,778 Federal National Mortgage Association
1,046,426
Pool #291650
6.500% December 1, 2017
470,833 Federal National Mortgage Association
481,568
Pool #339260
8.000% April 1, 2021
55,794 Federal National Mortgage Association
55,881
Pool #297124
7.500% October 1, 2024
738,321 Federal National Mortgage Association
739,473
Pool #298452
7.500% November 1, 2024
980,332 Federal National Mortgage Association
954,657
Pool #288916
6.500% May 1, 2011
1,748,840 Federal National Mortgage Association
1,761,431
Pool #288769
7.500% November 1, 2024
763,027 Federal National Mortgage Association
781,416
Pool #302587
8.000% December 1, 2024
60,015 Federal National Mortgage Association
60,109
Pool #289190
7.500% August 1, 2024
$82,314,416
U.S. GOVERNMENTS --- 33.6%
253,452 Government National Mortgage Association
249,255
Pool #343630
7.000% July 15, 2023
703,755 Government National Mortgage Association
692,101
Pool #358062
7.000% August 15, 2023
376,184 Government National Mortgage Association
369,955
Pool #334996
7.000% November 15, 2022
3,850,505 Government National Mortgage Association
3,783,121
Pool #371006
7.000% January 15, 2024
86,010 Government National Mortgage Association
84,504
Pool #370412
7.000% April 15, 2024
328,147 Government National Mortgage Association
329,378
Pool #369426
7.500% January 15, 2024
506,658 Government National Mortgage Association
508,082
Pool #385761
7.500% June 15, 2024
56,320 Government National Mortgage Association
56,584
Pool #352835
7.500% February 15, 2024
69,558 Government National Mortgage Association
69,819
Pool #351163
7.500% August 15, 2023
319,458 Government National Mortgage Association
320,656
Pool #362184
7.500% January 15, 2024
6,509,688 Government National Mortgage Association
6,554,605
Pool #340729
7.500% April 15, 2023
7,088,284 Government National Mortgage Association
7,281,085
Pool #780077
8.000% March 15, 2025
3,000,000 Government National Mortgage Association
2,939,100
TBA
7.000% November 15, 2024
99,232 Government National Mortgage Association
99,604
Pool #372858
7.500% January 15, 2024
86,017 Government National Mortgage Association
86,339
Pool #374270
7.500% January 15, 2024
410,679 Government National Mortgage Association
412,219
Pool #376514
7.500% May 15, 2024
324,809 Government National Mortgage Association
326,329
Pool #326977
7.500% May 15, 2023
143,796 Government National Mortgage Association
141,415
Pool #332076
7.000% November 15, 2022
459,411 Government National Mortgage Association
461,561
Pool #348622
7.500% April 15, 2023
85,981 Government National Mortgage Association
86,304
Pool #338887
7.500% May 15, 2023
132,564 Government National Mortgage Association
130,244
Pool #379840
7.000% March 15, 2024
543,247 Government National Mortgage Association
545,789
Pool #379462
7.500% June 15, 2024
1,141,693 Government National Mortgage Association
1,196,608
Pool #380118
8.500% July 15, 2024
46,967 Government National Mortgage Association
46,145
Pool #382973
7.000% April 15, 2024
52,240 Government National Mortgage Association
52,386
Pool #385740
7.500% June 15, 2024
398,759 Government National Mortgage Association
391,781
Pool #371136
7.000% April 15, 2024
213,885 Government National Mortgage Association
210,142
Pool #344968
7.000% July 15, 2023
401,344 Government National Mortgage Association
394,320
Pool #345116
7.000% December 15, 2023
334,154 Government National Mortgage Association
328,306
Pool #346023
7.000% February 15, 2024
433,905 Government National Mortgage Association
435,532
Pool #355753
7.500% August 15, 2023
85,073 Government National Mortgage Association
85,918
Pool #355360
7.500% October 15, 2021
255,768 Government National Mortgage Association
256,727
Pool #357659
7.500% May 15, 2023
436,483 Government National Mortgage Association
438,526
Pool #357837
7.500% August 15, 2023
297,289 Government National Mortgage Association
292,087
Pool #368293
7.000% January 15, 2024
1,710,419 Government National Mortgage Association
1,749,417
Pool #365382
8.000% June 15, 2025
463,170 Government National Mortgage Association
464,907
Pool #362176
7.500% January 15, 2024
393,819 Government National Mortgage Association
386,927
Pool #377983
7.000% April 15, 2024
94,928 Government National Mortgage Association
95,284
Pool #335265
7.500% February 15, 2024
314,615 Government National Mortgage Association
315,795
Pool #338752
7.500% May 15, 2023
503,570 Government National Mortgage Association
505,458
Pool #376533
7.500% June 15, 2024
65,114 Government National Mortgage Association
65,419
Pool #360300
7.500% June 15, 2023
310,128 Government National Mortgage Association
311,291
Pool #358452
7.500% August 15, 2023
298,073 Government National Mortgage Association
292,857
Pool #361826
7.000% September 15, 2023
261,719 Government National Mortgage Association
262,944
Pool #360618
7.500% July 15, 2023
65,543 Government National Mortgage Association
65,788
Pool #378750
7.500% January 15, 2024
299,021 Government National Mortgage Association
300,421
Pool #197968
7.500% May 15, 2023
479,821 Government National Mortgage Association
481,620
Pool #404064
7.500% March 15, 2025
299,452 Government National Mortgage Association
300,575
Pool #397435
7.500% May 15, 2024
341,697 Government National Mortgage Association
335,075
Pool #395145
7.000% April 15, 2024
460,219 Government National Mortgage Association
461,512
Pool #388198
7.500% May 15, 2024
322,647 Government National Mortgage Association
323,857
Pool #339079
7.500% February 15, 2023
119,968 Government National Mortgage Association II
123,643
Pool #002142
8.500% December 20, 2025
256,870 Government National Mortgage Association II
264,738
Pool #002158
8.500% January 20, 2026
962,831 Government National Mortgage Association II
992,323
Pool #002235
8.500% June 20, 2026
395,540 Government National Mortgage Association II
404,321
Pool #001477
8.000% November 20, 2023
576,878 Government National Mortgage Association II
594,547
Pool #002250
8.500% July 20, 2026
461,595 Government National Mortgage Association II
475,733
Pool #002220
8.500% May 20, 2026
2,000,000 Tennessee Valley Authority
1,968,440
Notes
6.375% June 15, 2005
2,000,000 US Department of Veterans Affairs
2,035,600
Vendee Trust Series 1995-3 1C
7.250% July 15, 2014
1,354,000 US Department of Veterans Affairs
1,323,535
Vendee Trust Series 1996-3 1E
6.750% August 15, 2020
2,000,000 United States of America
2,001,880
Treasury Notes
6.250% October 31, 2001
4,000,000 United States of America
4,023,760
Treasury Notes
6.375% September 30, 2001
2,000,000 United States of America
1,998,740
Treasury Notes
6.125% September 30, 2000
$52,582,934
TOTAL BONDS --- 86.3%
$134,897,350
(Cost $132,541,791)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 5.4%
5,000,000 Ford Motor Credit Co
4,990,286
3,408,000 Prudential Funding Corp
3,407,366
$8,397,652
ELECTRONICS - HIGH TECH --- 1.9%
3,000,000 Xerox Corp
2,991,100
$2,991,100
SECURITIES & COMMODITIES --- 3.2%
5,000,000 Morgan Stanley Group Inc
4,990,196
$4,990,196
WHOLESALE TRADE -CONSUMER --- 3.2%
5,000,000 Cargill Inc
4,988,625
$4,988,625
TOTAL SHORT-TERM INVESTMENTS --- 13.7%
$21,367,573
(Cost $21,367,573)
TOTAL U S GOVERNMENT MORTGAGE SECURITIES PORTFOLIO --- 100.0%
$156,264,923
(Cost $153,909,364)
Maxim Series Fund, Inc.
Value Index Portfolio
COMMON STOCK
AGENCY --- 0.4%
12,700 Federal National Mortgage Association
473,075
$473,075
AGRICULTURE --- 0.1%
1,900 Agco Corp
54,388
1,600 Terra Industries Inc
23,600
$77,988
AIR --- 0.7%
3,600 AMR Corp*
317,250
100 Atlas Air Inc*
4,775
600 Continental Airlines Inc Class B*
16,950
3,000 Delta Air Lines Inc
212,625
2,800 Northwest Airlines Corp Class A*
109,550
300 Pittston Brink's Group
8,100
1,800 Southwest Airlines Co
39,825
2,300 UAL Corp*
143,750
1,800 US Air Group Inc*
42,075
$894,900
COMMUNICATIONS --- 2.7%
2,533 360 Communications Co*
58,576
19,700 AT&T Corp
856,950
200 BHC Communications Inc Class A*
20,275
600 Cablevision Systems Corp Class A*
18,375
624 Chris-Craft Industries Inc*
26,130
1,900 Comsat Corp Series I
46,788
2,600 Cox Communications Inc Class A*
60,125
2,200 Gannett Company Inc
164,725
400 Lee Enterprises Inc
9,300
1,500 New World Communications Group Inc Class A*
37,875
5,500 Nextel Communications Inc Class A*
71,841
100 OmniPoint Corp*
1,925
16,800 Pacific Telesis Group
617,400
1,300 PanAmSat Corp*
36,400
1,000 Scripps Howard Broadcasting Co Class A
35,000
800 TCI Satellite Entertainment Series A*
7,900
400 Tele Communications International Inc Series A*
5,300
1,100 Telephone & Data Systems Inc
39,875
18,600 US West Communications Group
599,850
18,600 US West Media Group*
344,100
420 United States Cellular Corp*
11,708
6,900 Viacom Inc Class B*
240,638
$3,311,056
CONSUMER SERVICES --- 1.9%
680 Allegiance Corp
18,785
1,200 Allergan Inc
42,750
2,000 Bausch & Lomb Inc
70,000
10,600 Baxter International Inc
434,600
400 Becton Dickinson & Co
17,350
2,700 Beverly Enterprises Inc*
34,425
10,300 Bristol-Myers Squibb Co
1,120,125
1,400 CR Bard Inc
39,200
500 Centocor Inc*
17,875
300 Choice Hotels International Inc.*
5,288
1,300 FHP International Corp*
48,263
300 Forest Laboratories Inc*
9,825
100 Health Care & Retirement Corp*
2,863
213 Homestead Village Inc (wts)*
3,834
5,900 Host Marriott Corp
94,400
800 Humana Inc*
15,300
1,300 ITT Corp*
56,388
1,000 King World Productions Inc*
36,875
100 Ornda Healthcorp*
2,925
200 Speedway Motorsports Inc*
4,200
250 Stewart Enterprises Inc Class A
8,500
6,252 Tenet Healthcare Corp*
136,763
100 Total Renal Care Holdings Inc*
3,625
400 United Healthcare Corp
18,000
500 United States Surgical Corp
19,688
193 Vencor Inc*
6,104
600 Wellpoint Health Networks
20,625
400 Whitman Corp
9,150
$2,297,726
CREDIT INSTITUTIONS --- 16.5%
2,200 AmSouth Bancorp
106,425
12,500 American Express Co
706,250
17,042 Banc One Corp
732,806
1,650 Bancorp Hawaii Inc
69,300
6,040 Bank of Boston Corp
388,070
15,200 Bank of New York Company Inc
513,000
14,299 BankAmerica Corp
1,426,325
3,100 Bankers Trust New York Corp
267,375
2,600 Banponce Corp
87,750
7,400 Barnett Banks Inc
304,325
1,900 Beneficial Corp
120,413
6,100 Boatmen's Bancshares Inc
393,450
2,300 Central Fidelity Banks Inc
59,225
1,880 Charter One Financial Inc
78,960
18,800 Citicorp
1,936,400
4,400 Comerica Inc
230,450
1,529 Commerce Bancshares Inc
70,716
1,600 Compass Bancshares Inc
63,600
8,605 Corestates Financial Corp
446,384
3,600 Countrywide Credit Industries Inc
103,050
1,700 Crestar Financial Corp
126,438
1,000 Equitable of Iowa Cos
45,875
1,050 Fifth Third Bancorp
65,953
1,200 First American Corp
69,150
5,400 First Bank System Inc
368,550
12,382 First Chicago NBD Corp
665,533
1,500 First Commerce Corp
58,313
243 First Empire State Corp
69,984
3,000 First Security Corp
101,250
2,600 First Tennessee National Corp
97,500
10,735 First Union Corp
794,390
1,300 First Virginia Banks Inc
62,238
2,400 First of America Bank Corp
144,300
2,500 Firstar Corp
131,250
10,265 Fleet Financial Group Inc
511,967
1,900 Golden West Financial Corp
119,938
5,200 Great Western Financial Corp
150,800
4,200 HF Ahmanson & Co
136,500
1,200 Household International Inc
110,700
5,711 Huntington Bancshares Inc
150,628
7,900 JP Morgan & Company Inc
771,238
8,982 Keycorp
453,591
3,600 Marshall & Ilsley Corp
124,650
5,346 Mellon Bank Corp
379,566
2,400 Mercantile Bancorporation Inc
123,300
1,900 Mercantile Bankshares Corp
60,800
8,700 National City Corp
390,413
11,404 NationsBank Corp
1,114,741
4,400 Northern Trust Corp
159,500
14,600 Norwest Corp
635,100
1,812 Old Kent Financial Corp
86,523
13,365 PNC Bank Corp
502,858
2,400 Regions Financial Corp
124,049
2,400 Signet Banking Corp
73,800
4,370 Southern National Corp
158,413
1,200 Standard Federal Bancorporation Inc
68,250
1,100 Star Banc Corp
101,063
2,700 State Street Boston Corp
174,150
8,700 Suntrust Banks Inc
428,475
400 Synovus Financial Corp
12,850
1,200 TCF Financial Corp
52,200
6,023 US Bancorp
270,656
1,800 Union Planters Corp
70,200
600 Unionbancal Corp
31,800
1,400 Valley National Bancorp
35,875
6,600 Wachovia Corp
372,900
2,800 Washington Mutual Inc
121,274
3,633 Wells Fargo & Co
980,002
1,300 Wilmington Trust Co
51,350
600 Zions Bancorp
62,400
$20,077,518
ELECTRIC --- 7.5%
4,700 Allegheny Power System Inc
142,763
7,300 American Electric Power Company Inc
300,213
5,800 Baltimore Gas & Electric Co
155,150
1,900 Boston Edison Co
51,063
3,600 CMS Energy Corp
121,050
5,700 Carolina Power & Light Co
208,050
5,800 Centerior Energy Corp
62,350
7,700 Central & South West Corp
197,313
6,216 Cinergy Corp
207,459
1,200 Cipsco Inc
43,350
9,200 Consolidated Edison Company of New York Inc
269,100
4,000 DPL Inc
98,000
3,000 DQE Inc
87,000
5,700 DTE Energy Co
184,538
2,400 Delmarva Power & Light Co
48,900
6,900 Dominion Resources Inc
265,650
7,900 Duke Power Co
365,375
17,100 Edison International
339,863
3,800 Enova Corp
86,450
8,979 Entergy Corp
249,167
6,900 FPL Group Inc
317,400
3,800 Florida Progress Corp
122,550
4,700 GPU Inc
158,038
1,200 Hawaiian Electric Industries Inc
43,350
8,600 Houston Industries Inc
194,575
1,500 Idaho Power Co
46,688
3,000 Illinova Corp
82,500
2,250 Ipalco Enterprises Inc
61,313
1,500 KU Energy Corp
45,000
2,400 Kansas City Power & Light Co
68,400
2,600 LG&E Energy Corp
63,700
4,700 Long Island Lighting Co
103,988
3,900 MidAmerican Energy Holdings Co
61,913
2,100 Montana Power Co
44,888
2,500 New England Electric System
87,188
2,600 New York State Electric & Gas Corp
56,225
5,700 Niagara Mohawk Power Corp*
56,288
2,400 Nipsco Industries Inc
95,100
4,400 Northeast Utilities
58,300
2,700 Northern States Power Co
123,863
5,800 Ohio Edison Co
131,950
1,600 Oklahoma Gas & Electric Co
66,800
6,300 PP&L Resources Inc
144,900
11,500 PacifiCorp
235,750
16,100 Pacific Gas & Electric Co
338,100
8,700 Peco Energy Co
219,675
3,100 Pinnacle West Capital Corp
98,425
2,000 Portland General Corp
84,000
4,600 Potomac Electric Power Co
118,450
2,500 Public Service Company of Colorado
97,188
9,600 Public Service Enterprise Group Inc
261,600
2,500 Puget Sound Power & Light Co
60,000
4,100 Scana Corp
109,675
26,400 Southern Co
597,300
1,600 Southwestern Public Service Co
56,600
4,300 Teco Energy Inc
103,738
8,800 Texas Utilities Co
358,600
8,500 Unicom Corp
230,563
4,000 Union Electric Co
154,000
1,800 Utilicorp United Inc
48,600
2,200 Washington Water Power Co
40,975
2,500 Western Resources Inc
77,188
4,300 Wisconsin Energy Corp
115,563
$9,123,711
ELECTRONICS - HIGH TECH --- 9.4%
4,000 AMP Inc
153,500
3,900 Advanced Micro Devices Inc*
100,425
2,600 Amdahl Corp*
31,525
4,800 Apple Computer Inc*
100,200
1,400 Avnet Inc
81,550
900 Beckman Instruments Inc
34,538
2,700 Black & Decker Corp
81,338
900 Briggs & Stratton Corp
39,600
100 Cirrus Logic Inc*
1,550
1,500 Compaq Computer Corp*
111,375
1,000 Cypress Semiconductor Corp*
14,125
200 Diebold Inc
12,575
6,000 Digital Equipment Corp*
218,250
4,300 Eastman Kodak Co
345,075
6,100 Emerson Electric Co
590,175
8,700 General Electric Co
860,213
29,600 General Motors Corp
1,650,200
3,800 General Motors Corp Class H
213,750
1,800 General Signal Corp
76,950
1,500 Harris Corp
102,938
3,300 Honeywell Inc
216,975
2,400 Hubbell Inc Class B
103,800
460 Imation Corp*
12,938
20,400 International Business Machines Corp
3,080,400
500 International Game Technology
9,125
1,500 Johnson Controls Inc
124,313
100 Komag Inc*
2,713
200 Lam Research Corp*
5,625
1,400 Litton Industries Inc*
66,675
16,498 Lucent Technologies Inc
763,033
2,422 Mark IV Industries Inc
54,798
3,900 Maytag Corp
77,025
300 Mentor Graphics Corp*
2,925
400 Molex Inc
15,650
5,400 National Semiconductor Corp*
131,625
1,800 Novell Inc*
17,042
1,400 Polaroid Corp
60,900
900 Quantum Corp*
25,763
9,200 Raytheon Co
442,750
750 Read-Rite Corp*
18,938
200 Scientific-Atlanta Inc
3,000
1,300 Seagate Technology Inc*
51,350
1,500 Sensormatic Electronics Corp
25,125
2,400 Storage Technology Corp*
114,300
4,700 Tandem Computers Inc*
64,625
1,100 Tektronix Inc
56,375
1,400 Teradyne Inc*
34,125
2,100 Texas Instruments Inc
133,875
1,500 Thomas & Betts Corp
66,563
3,500 Unisys Corp*
23,625
1,200 Vishay Intertechnology Inc*
28,050
1,400 WW Grainger Inc
112,350
300 Western Digital Corp*
17,063
2,900 Whirlpool Corp
135,213
9,700 Xerox Corp
510,463
150 York International Corp
8,381
$11,437,348
ENVIRONMENTAL SERVICES --- 0.4%
6,900 Browning-Ferris Industries Inc
181,125
9,700 WMX Technologies Inc
316,463
$497,588
FINANCIAL SERVICES --- 0.0%
200 ContiFinancial Corp*
7,225
$7,225
FORESTRY --- 1.0%
1,700 Boise Cascade Corp
53,975
3,500 Georgia-Pacific Corp
252,000
11,718 International Paper Co
473,114
4,200 Louisiana-Pacific Corp
88,725
7,800 Weyerhaeuser Co
369,525
$1,237,339
GAS --- 1.7%
1,900 Brooklyn Union Gas Co
57,238
2,200 Columbia Gas System Inc
139,975
3,700 Consolidated Natural Gas Co
204,425
1,914 El Paso Energy Corp
96,647
600 Enron Corp
25,875
1,400 Equitable Resources Inc
41,650
2,600 MCN Corp
75,075
2,800 NGC Corp
65,100
1,500 National Fuel Gas Co
61,875
2,000 Nicor Inc
71,500
5,400 NorAm Energy Corp
83,025
3,200 Pacific Enterprises
97,200
5,900 Panenergy Corp
265,500
1,400 Peoples Energy Corp
47,425
1,400 Questar Corp
51,450
3,200 Sonat Inc
164,800
6,700 Tenneco Inc
302,338
900 Valero Energy Corp
25,763
5,700 Williams Companies Inc
213,750
$2,090,611
HIGHWAYS --- 0.1%
1,600 Consolidated Freightways Inc
35,600
3,200 Ryder System Inc
90,000
$125,600
HOLDING & INVEST. OFFICES --- 2.3%
17,116 Chase Manhattan Corp
1,527,603
2,217 Cincinnati Financial Corp
143,828
4,200 Dime Bancorp Inc*
61,950
1,500 Equity Residential Properties Trust
61,875
700 Finova Group Inc
44,975
1,200 Green Point Financial Corp
56,850
2,600 Health & Retirement Property Trust
50,375
4,800 Hibernia Corp Class A
63,600
2,400 Meditrust Corp
96,000
2,300 New Plan Realty Trust
58,363
2,200 Republic New York Corp
179,575
1,633 Security Capital Industrial Trust
34,905
1,800 Security Capital Pacific Trust
41,175
3,800 Southtrust Corp
132,525
3,600 Summit Bancorp
157,500
1,600 TIG Holdings Inc
54,200
12 Wesco Financial Corp
2,244
$2,767,543
INDEPENDENT POWER PROD --- 0.0%
600 Calenergy Inc*
20,175
2,400 Wheelabrator Technologies Inc
39,000
$59,175
INDUSTRIAL SERVICES --- 0.7%
433 AC Nielsen Corp*
6,549
1,000 Arrow Electronics Inc*
53,500
900 Cognizant Corp
29,700
1,600 Comdisco Inc
50,800
2,600 Deluxe Corp
85,150
3,500 Dun & Bradstreet Corp
83,125
1,800 EG&G Inc
36,225
100 Flightsafety International Inc
4,788
100 Foster Wheeler Corp
3,713
1,000 Kelly Services Inc Class A (non vtg)
27,000
1,700 National Service Industries Inc
63,538
5,300 Pitney Bowes Inc
288,850
700 Viad Corp
11,550
200 Wallace Computer Services Inc
6,900
700 Western Atlas Inc*
49,613
$801,001
INSURANCE --- 7.5%
3,700 AON Corp
229,863
2,400 Aetna Inc
192,000
4,650 Aflac Inc
198,788
138 Allegheny Corp*
29,256
1,900 Allmerica Financial Corporation
63,650
2,300 Allmerica Property & Casualty Companies Inc
69,863
16,403 Allstate Corp
949,324
1,100 Ambac Inc
73,013
1,200 American Financial Group Inc
45,300
8,400 American General Corp
343,350
11,800 American International Group Inc
1,277,350
400 American National Insurance Co
29,500
400 CNA Financial Corp*
42,800
6,800 Chubb Capital Corp
365,500
3,100 Cigna Corp
423,538
2,800 Conseco Inc
178,500
2,300 Equitable Companies Inc
56,638
1,500 Everest Reinsurance Holdings Inc
43,125
200 Foundation Health Corp*
6,350
2,640 General Re Corp
416,460
4,600 ITT Hartford Group Inc
310,500
2,800 Jefferson-Pilot Corp
158,550
1,500 Leucadia National Corp
40,125
4,100 Lincoln National Corp
215,250
2,800 Loews Corp
263,900
1,700 MBIA Inc
172,125
200 Marsh & McLennan Companies Inc
20,800
400 Mercury General Corp
21,000
1,400 Ohio Casualty Corp
49,700
3,650 Old Republic International Corp
97,638
200 Paul Revere Corp
7,450
1,200 Progressive Corp
80,850
900 Protective Life Corp
35,888
900 Provident Companies Inc
43,538
3,700 Providian Corp
190,088
1,300 Reliastar Financial Corp
75,075
4,900 SafeCo Corp
193,241
3,000 St Paul Companies Inc
175,875
600 The PMI Group Inc
33,225
2,800 Torchmark Corp
141,400
2,600 TransAmerica Corp
205,400
500 Transatlantic Holdings Inc
40,250
23,720 Travelers Group Inc
1,076,295
2,000 Travelers/Aetna Property Casualty Corp Class A#
70,750
4,600 USF&G Corp
96,025
1,200 USLife Corp
39,900
1,100 Unitrin Inc
61,325
2,700 Unum Corp
195,075
200 Value Health Inc*
3,900
2,300 Western National Corp
44,275
$9,193,581
MFTG - CONSUMER PRODS. --- 4.2%
800 Alberto-Culver Co Class B
38,400
6,700 American Brands Inc
332,488
2,900 American Greetings Corp Class A
82,288
14,500 Anheuser-Busch Companies Inc
580,000
21,335 Archer-Daniels-Midland Co
469,370
900 Brown-Forman Corp Class B
41,175
3,000 Brunswick Corp
72,000
700 CPC International Inc
54,250
700 Campbell Soup Co
56,175
600 Central Newspapers Inc Class A
26,400
500 Coca-Cola Enterprises Inc
24,250
600 ConAgra Inc
29,850
500 Dial Corp
7,375
1,800 Dow Jones & Company Inc
60,975
3,100 Eastman Chemical Co
171,275
2,600 Fruit of the Loom Inc Class A*
98,475
1,000 General Mills Inc
63,375
7,100 HJ Heinz Co
253,825
2,900 Hasbro Inc
112,738
1,700 Hershey Foods Corp
74,375
150 Hillenbrand Industries Inc
5,438
1,700 Hormel Foods Corp
45,900
3,800 IBP Inc
92,150
100 Interstate Bakeries Co
4,913
500 Kellogg Co
32,813
3,000 Knight-Ridder Inc
114,750
400 Leggett & Platt Inc
13,850
2,600 Liz Claiborne Inc
100,425
2,600 Masco Corp
93,600
2,500 McCormick & Company Inc (nonvtg)
58,905
2,500 McGraw-Hill Companies Inc
115,313
1,300 Nabisco Holdings Corp Class A
50,538
2,700 New York Times Co Class A
102,600
5,800 Pepsico Inc
169,650
4,200 Quaker Oats Co
160,125
11,374 RJR Nabisco Holdings Corp
386,716
3,900 RR Donnelley & Sons Co
122,363
700 Ralston-Ralston Purina Group
51,363
500 Readers Digest Association Inc Class A (non vtg)
20,125
1,300 Russell Corp
38,675
2,700 Sara Lee Corp
100,575
4,100 Shaw Industries Inc
48,175
100 Talbots Inc
2,863
300 The Times Mirror Co Series A
14,925
100 Tribune Co
7,888
1,000 Tupperware Corporation
53,625
2,400 Tyson Foods Inc Class A
82,200
900 US Industries Inc*
30,938
900 Unifi Inc
28,913
2,100 VF Corp
141,750
200 Warnaco Group Inc Class A
5,925
225 Washington Post Co Class B
75,403
2,200 Willamette Industries Inc
153,175
$5,175,626
MFTG - INDUSTRIAL PRODS --- 10.2%
600 AK Steel Holding Corp
23,775
400 ARCO Chemical Co
19,600
3,600 Air Products & Chemicals Inc
248,850
1,300 Albemarle Corp
23,563
3,600 Allegheny Teledyne Inc
82,800
6,500 Aluminum Company of America
414,375
7,300 American Home Products Corp
427,963
1,400 Armstrong World Industries Inc
97,300
900 Bandag Inc
42,638
300 Bemis Company Inc
11,063
4,400 Bethlehem Steel Corp*
39,600
730 Betz Laboratories Inc
42,705
1,500 Bowater Inc
56,438
2,600 Cabot Corp
65,325
2,000 Case Corp
109,000
7,500 Caterpillar Inc
564,375
3,100 Champion International Corp
134,075
400 Clorox Co
40,150
1,100 Consolidated Papers Inc
54,038
3,600 Cooper Industries Inc
151,650
2,000 Cooper Tire & Rubber Co
39,500
1,117 Crane Co
32,393
600 Crown Cork & Seal Company Inc
32,625
300 Cytec Industries Inc*
12,188
10,200 Deere & Co
414,375
300 Dover Corp
15,075
8,800 Dow Chemical Co
689,700
19,800 EI DuPont De Nemours & Co
1,868,625
3,800 Ethyl Corp
36,575
300 First Brands Corp
8,513
6,100 Goodyear Tire & Rubber Co
313,388
1,900 Great Lakes Chemical Corp
88,825
1,400 Harnischfeger Industries Inc
67,375
800 Harsco Corp
54,800
3,020 IMC Global Inc
118,158
4,700 ITT Industries Inc
115,150
200 Illinois Tool Works Inc
15,975
4,200 Ingersoll-Rand Co
186,900
1,700 Inland Steel Industries Inc
34,000
700 International Specialty Products Inc*
8,575
3,400 James River Corporation of Virginia
112,625
4,016 Kimberly-Clark Corp
382,524
4,200 LTV Corp
49,875
2,000 Lafarge Corp
40,250
2,300 Lubrizol Corp
71,300
900 Lyondell Petrochemical Co
19,800
1,150 MA Hanna Co
25,156
2,600 Mallinckrodt Inc
114,725
1,765 Martin Marietta Materials Inc
41,036
2,100 Mead Corp
122,063
11,300 Minnesota Mining & Manufacturing Co
936,488
800 Morton International Inc
32,600
2,500 Nalco Chemical Co
90,313
1,400 Network General Corp*
42,350
1,800 Olin Corp
67,725
2,500 Owens-Illinois Inc*
56,875
6,700 PPG Industries Inc
376,038
2,900 Parker Hannifin Corp
112,375
9,200 Pharmacia & Upjohn Inc
364,550
1,000 Potlatch Corp
43,000
800 RPM Inc (Ohio)
13,600
2,500 Reynolds Metals Co
140,938
400 Rhone-Poulenc Class A
31,250
6,400 Rockwell Intl
389,600
1,700 Rohm & Haas Co
138,763
2,600 Sherwin-Williams Co
145,600
400 Sigma Aldrich Corp
24,975
2,400 Snap-On Inc
85,500
1,000 Sonoco Products Co
25,875
400 St Joe Corp
26,000
3,300 Stone Container Corp
49,088
600 Tambrands Inc
24,525
800 Tecumseh Products Co Class A
45,900
2,200 Temple-Inland Inc
119,075
1,700 The BF Goodrich Co
68,850
2,300 The Stanley Works
62,100
1,000 The Timken Co
45,875
700 Trinity Industries Inc
26,250
11,200 USX-Marathon Group
267,400
2,200 USX-US Steel Group
69,025
2,700 Union Camp Corp
128,925
4,900 Union Carbide Corp
200,288
3,600 Warner-Lambert Co
270,000
3,550 Westvaco Corp
102,063
2,100 Witco Corp
64,050
600 Worthington Industries Inc
10,875
$12,480,056
MINING --- 0.4%
1,600 Alumax Inc*
53,400
1,700 Asarco Inc
42,288
3,600 Cyprus Amax Minerals Co
84,150
4,200 Homestake Mining Co
59,850
2,600 Phelps Dodge Corp
175,500
500 Southern Peru Copper Corp
7,313
1,200 Vulcan Materials Co
73,050
$495,551
OIL & GAS --- 11.9%
3,200 Amerada Hess Corp
185,200
19,400 Amoco Corp
1,561,700
2,400 Apache Corp
84,900
2,200 Ashland Inc
96,525
6,300 Atlantic Richfield Co
834,750
1,500 Baker Hughes Inc
51,750
4,700 Burlington Resources Inc
236,763
25,500 Chevron Corp
1,657,500
3,200 Coastal Corp
156,400
300 Cooper Cameron Corp*
22,950
100 Diamond Offshore Drilling Inc*
5,700
4,600 Dresser Industries Inc
142,600
100 Enron Oil & Gas Co
2,525
2,300 Enserch Corp
52,900
100 Enserch Exploration Inc*
1,175
48,600 Exxon Corp
4,762,800
138 Fina Inc Class A
6,659
1,000 Global Marine Inc*
20,625
300 Halliburton Co
18,075
2,000 Kerr-McGee Corp
144,000
200 Lousiana Land & Exploration Co
10,725
2,000 Mapco Inc
68,000
15,400 Mobil Corp
1,882,650
1,700 Murphy Oil Corp
94,563
1,900 Nabors Industries Inc*
36,575
3,000 Noble Drilling Corp*
59,625
12,700 Occidental Petroleum Corp
296,863
600 Oryx Energy Co*
14,850
1,800 Pennzoil Co
101,700
4,400 Phillips Petroleum Co
194,700
200 Reading & Bates Corp*
5,300
2,900 Rowan Companies Inc*
65,613
3,100 Santa Fe Energy Resources Inc*
43,013
2,900 Sun Company Inc
70,688
10,200 Texaco Inc
1,000,875
600 Tosco Corp
47,475
1,600 Ultramar Diamond Shamrock Corp
50,600
2,100 Union Texas Petroleum Holdings Inc
46,988
9,200 UnoCal Corp
373,750
900 Weatherford Enterra Inc*
27,000
$14,537,050
OTHER TRANS. SERVICES --- 0.3%
1,800 Alexander & Baldwin Inc
45,000
900 Caliber System Inc
17,325
1,200 FMC Corp*
84,150
3,900 Federal Express Corp*
173,550
$320,025
RAILROADS --- 1.7%
5,282 Burlington Northern Santa Fe
456,233
8,400 CSX Corp
354,900
2,600 Conrail Inc
259,025
150 Illinois Central Corp Series A
4,800
1,000 Kansas City Southern Industries Inc
45,000
5,000 Norfolk Southern Corp
437,500
8,656 Union Pacific Corp
520,442
$2,077,900
REAL ESTATE --- 0.0%
253 Echelon International Corp*
3,953
$3,953
RETAIL TRADE --- 2.9%
4,700 American Stores Co
192,113
30 Barnes & Noble Inc*
810
800 Borders Group Inc*
28,700
400 Boston Chicken Inc*
14,350
1,000 Brinker International Inc*
16,000
3,800 CVS Corp
157,225
5,500 Darden Restaurants Inc
48,125
7,800 Dayton Hudson Corp
306,150
4,500 Dillard Department Stores Inc Class A
138,938
5,400 Federated Department Stores Inc*
184,275
10,300 Food Lion Inc Class B
104,288
536 Footstar Inc*
13,333
4,400 Genuine Parts Co
195,800
1,900 Giant Food Inc Class A (non vtg)
65,550
700 Great Atlantic & Pacific Tea Company Inc
22,313
700 Hannaford Brothers Co
23,800
7,400 JC Penney & Company Inc
360,750
19,100 K Mart Corp*
198,163
300 Kroger Co*
13,950
6,800 Limited Inc
124,950
200 MSC Industrial Direct Company Inc Class A*
7,400
9,800 May Department Stores Co
458,150
900 Mercantile Stores Company Inc
44,438
1,000 Nordstrom Inc
35,437
800 Officemax Inc*
8,500
100 Owens Corning
4,263
496 Payless Shoesource Inc*
18,600
800 Revco DS Inc*
29,600
2,900 Rite Aid Corp
115,275
1,000 Schuller Corporation
10,625
900 Sears Roebuck & Co
41,513
3,500 Southland Corp*
10,388
300 Spiegel Inc Class A (non vtg)*
2,119
1,200 Tandy Corp
52,800
8,600 Toys R Us Inc*
258,000
700 Vons Companies Inc*
41,913
600 Weis Markets Inc
19,125
2,100 Wendy's International Inc
43,050
1,800 Winn-Dixie Stores Inc
56,925
5,200 Woolworth Corp*
113,750
$3,581,454
SECURITIES & COMMODITIES --- 1.5%
2,525 AG Edwards Inc
84,903
5,008 Bear Stearns Companies Inc
139,598
4,600 Dean Witter Discover & Co
304,750
400 Donaldson, Lufkin & Jenrette Inc
14,400
4,600 Lehman Brothers Holdings Inc
144,325
7,400 Merrill Lynch & Co Inc
603,100
3,600 Morgan Stanley Group Inc
205,650
2,900 Paine Webber Group Inc
81,563
4,100 Salomon Inc
193,213
600 United Asset Management Corp
15,975
$1,787,477
TELEPHONE --- 7.2%
7,100 Alltel Corp
222,763
19,400 Ameritech Corp
1,176,125
17,200 Bell Atlantic Corp
1,113,700
38,900 Bellsouth Corp
1,570,588
1,600 Century Telephone Enterprises Inc
49,400
1,400 Frontier Corp
31,675
24,700 GTE Corp
1,123,850
25,300 MCI Communications Corp
826,981
17,200 Nynex Corp
827,750
20,908 SBC Communications Inc
1,081,989
2,400 Southern New England Telecommunications Corp
93,300
17,000 Sprint Corp
677,875
$8,795,996
TRANSPORTATION EQUIPMENT --- 4.8%
3,000 Allied-Signal Inc
201,000
24,600 Chrysler Corp
811,800
900 Consolidated Freightways Inc*
7,988
1,300 Cummins Engine Company Inc
59,800
4,000 Dana Corp
130,500
2,600 Eaton Corp
181,350
1,600 Echlin Inc
50,600
1,400 Fleetwood Enterprises Inc
38,500
46,300 Ford Motor Co
1,475,813
1,900 General Dynamics Corp
133,950
6,469 Lockheed Martin Corp
591,914
6,000 McDonnell Douglas Corp
384,000
1,320 Newport News Shipbuilding Inc*
19,800
1,900 Northrop Grumman Corp
157,225
1,215 Paccar Inc
82,620
1,700 Sundstrand Corp
72,250
5,100 TRW Inc
252,450
2,700 Textron Inc
254,475
3,464 The Boeing Co
368,483
8,600 United Technologies Corp
567,600
$5,842,118
U.S. GOVERNMENTS --- 0.3%
3,600 Federal Home Loan Mortgage Corp
396,450
300 Student Loan Marketing Association
27,938
$424,388
WATER --- 0.0%
2,500 American Water Works Company Inc
51,563
$51,563
WHOLESALE TRADE - INDL --- 0.1%
500 Jefferson Smurfit Corp*
8,031
1,300 McKesson Corp
72,800
$80,831
WHOLESALE TRADE -CONSUMER --- 0.4%
200 Avery Dennison Corp
7,075
1,500 Bergen Brunswig Corp Class A
42,750
600 Estee Lauder Companies Class A
30,525
4,100 Price/Costco Inc*
103,013
1,125 Rayonier Inc
43,172
2,200 Reebok International Ltd
92,400
1,900 Sunbeam-Oster Co
48,925
2,600 Supervalu Inc
73,707
$441,567
TOTAL COMMON STOCK --- 98.9%
$120,568,540
(Cost $97,362,611)
SHORT-TERM INVESTMENTS
CREDIT INSTITUTIONS --- 1.1%
1,288,000 Prudential Funding Corp
1,287,760
$1,287,760
TOTAL SHORT-TERM INVESTMENTS --- 1.1%
$1,287,760
(Cost $1,287,760)
TOTAL VALUE INDEX PORTFOLIO --- 100.0%
$121,856,300
(Cost $98,650,371)
