<PAGE> 1
CHAIRMAN'S LETTER
FELLOW SHAREHOLDER:
Common stock prices experienced two significant downdrafts--one in late March,
the other in late June--during the six months ended June 30, the first half of
Vanguard Index Trust's 1994 fiscal year. Nonetheless, reasonable strength
during the remainder of the period held the net decline in the total return of
all U.S. stocks to -4.5%.
In this environment, the return of each of the Trust's six Portfolios
was also negative, with our large capitalization Portfolios providing better
resistance to the decline than our medium and small capitalization Portfolios.
In each case, however, our "tracking" of our target index was excellent. This
comparative table shows the total return (capital change plus income) for each
Portfolio:
<TABLE>
<CAPTION>
- - -----------------------------------------------------------------
Total Return
--------------------------
Six Months Ended
June 30, 1994
--------------------------
Vanguard Target
Portfolio Index*
- - -----------------------------------------------------------------
<S> <C> <C>
LARGE STOCKS
500 PORTFOLIO -3.5% -3.4%
GROWTH PORTFOLIO -4.5 -4.4
VALUE PORTFOLIO -2.4 -2.4
- - -----------------------------------------------------------------
MEDIUM AND SMALL STOCKS
EXTENDED MARKET PORTFOLIO -5.7% -6.6%
SMALLCAP PORTFOLIO -5.3 -6.4
- - -----------------------------------------------------------------
ALL STOCKS
TOTAL STOCK MARKET PORTFOLIO -4.6% -4.5%
- - -----------------------------------------------------------------
</TABLE>
* The respective indexes are: The Standard & Poor's 500 Index, the Standard &
Poor's/BARRA Growth and Value Indexes, the Wilshire 4500 Index, the Russell
2000 Index, and the Wilshire 5000 Index. "Standard & Poor's," "S&P 500" and
"500" are registered trademarks of Standard & Poor's Corporation; "Wilshire
4500" and "Wilshire 5000" are registered trademarks of Wilshire Associates;
"Russell 2000" is a registered trademark of the Frank Russell Company.
Detailed per share figures for each Portfolio, including net asset values,
income dividends, and any capital gains distributions, are presented in the
table that follows this letter.
* THE PERIOD IN REVIEW
Following two years of relative tranquility, substantial volatility returned to
the stock market during the past six months, and stocks in aggregate showed a
net decline. While the decline in stock prices from the February high to the
June low (-8%) was fairly significant, it was a far cry from the market's sharp
dips in 1990 (-20%), 1987 (-34%), 1981 (-18%), and 1973-74 (-48%). (Price
change from high to low, excluding income.)
Although the recent price decline could be described as "moderate" in
an historical sense, it seemed to reflect investor concerns beyond the actual
dimensions of the problems confronting the market, most notably possible future
inflation. Surely, investor concerns were increased by the sharp six-month
decline in the prices of long-term U.S. Treasury bonds (-15%), as interest
rates leaped upward--from 6.4% at the start of our fiscal period to 7.6% at its
close. By way of perspective, this yield was 7.4% when 1993 began.
While these inflationary concerns have yet to be reflected in the
Consumer Price Index, the Federal Reserve has acted to "tighten" the money
supply and slow economic growth and potential future inflation, raising the
Federal funds rate (at which banks borrow from one another) four times--in
February, March, April, and again in May--from 3.00% to 4.25%. Theory suggests
that increases in short-term rates should be regarded by market participants as
a restraint on potential inflation, and thus cause long-term rates to fall.
However, this theory seldom holds true in practice, and 1994 has proved to be
no exception.
One of the most noteworthy features of this year's market (so far) is
that its pattern has been quite the reverse of last year's. In 1993, the small
and medium capitalization stocks led the market, while the large cap stocks
were laggards. This year, the largest stocks were, in general, the best place
to be. The net result is that last year's aggressive mutual funds have played
"second fiddle" to the conservative middle-of-the-road equity funds this year.
Investors who "stayed the course" in one
1
<PAGE> 2
category or the other have earned good positive returns on balance; most
investors who "shifted gears" to own last year's winners have not been very
successful.
Again in contrast to 1993, during the first half of 1994 index mutual
funds generally outpaced traditionally managed equity funds. As I mentioned in
our Annual Report six months ago, "the Standard & Poor's 500 Index, with its
large-cap bias, outpaced 'only' 40% of the managed funds for the year." So far
in 1994, the 500 Index has taken a large step upward, outpacing fully 70% of
all general equity funds for the period.
The first half of 1994, then, has been (1) a negative period for
equities, albeit really but a "blip" in a long-term perspective; and (2) a
period in which the six Portfolios of Vanguard Index Trust produced fine
results in tracking our target indexes, and even better results relative to our
industry peer groups. In short, Vanguard's low-cost, passively managed, market-
index funds continue to set the standard against which other mutual funds must
be measured.
Sincerely,
/s/ JOHN C.BOGLE
- - ----------------
John C. Bogle
Chairman of the Board July 18, 1994
Note: Mutual fund data from Lipper Analytical Services, Inc.
A NEW FUND ANNOUNCEMENT
In addition to the inherent advantages of indexing--the broadest possible
diversification at the lowest reasonable cost--index funds, as we have noted in
the past, have provided substantial tax savings to share owners. Regular mutual
funds tend to have high rates of portfolio turnover; thus, a high proportion of
their capital gains are realized and distributed--and shareholders must pay
taxes on them. Index funds normally have much lower portfolio turnover rates
and, as a result, realize and distribute a much lower proportion of their
capital appreciation.
To further improve on this situation, we are now introducing the
"Vanguard Tax-Managed Fund," a series of three new Portfolios designed to
further enhance the tax benefits of regular indexing. A special booklet
entitled, "An Innovative Solution to a Taxing Problem," is now available, and
may be obtained by calling 1-800-962-5273.
<TABLE>
<CAPTION>
- - -----------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
---------------------------------- DIVIDENDS PER SHARE FROM
INDEX TRUST PORTFOLIO DECEMBER 31, 1993 JUNE 30, 1994 NET INVESTMENT INCOME*
- - -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 . . . . . . . . . . . . . . $43.83 $41.81 $0.44
EXTENDED MARKET . . . . . . . 19.43 18.19 --
TOTAL STOCK MARKET . . . . . . 11.69 11.04 0.12
GROWTH . . . . . . . . . . . . 10.20 9.64 0.10
VALUE . . . . . . . . . . . . . 11.74 11.22 0.14
SMALLCAP . . . . . . . . . . . 15.67 14.84 --
- - -----------------------------------------------------------------------------------------------
</TABLE>
*In addition, "carry-over" distributions from net capital gains realized during
1993 were made in March by the 500 Portfolio ($0.08 per share), the Extended
Market Portfolio ($0.14), and the Value Portfolio ($0.11). The Extended Market
Portfolio and the SmallCap Portfolio pay income dividends annually, at each
year end.
2
<PAGE> 3
AVERAGE ANNUAL TOTAL RETURNS
AVERAGE ANNUAL TOTAL RETURNS--THE AVERAGE ANNUAL TOTAL RETURNS FOR THE
PORTFOLIOS (PERIODS ENDED JUNE 30, 1994) ARE AS FOLLOWS:
<TABLE>
<CAPTION>
10 YEARS
--------------------------------------
INCEPTION TOTAL CAPITAL INCOME
PORTFOLIO DATE 1 YEAR 5 YEARS RETURN RETURN RETURN
- - ------------------------------- ---- ------ ------- ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
SMALLCAP PORTFOLIO* 10/3/60 +4.33% + 9.15% + 8.49 + 7.63% +0.86%
500 PORTFOLIO** 8/31/76 +1.20 +10.06 +14.72 +11.00 +3.72
EXTENDED MARKET PORTFOLIO* 12/21/87 +1.32 + 9.15 +12.59+ +10.88+ +1.71+
TOTAL STOCK MARKET PORTFOLIO*** 4/27/92 +0.50 + 7.12+ -- -- --
GROWTH PORTFOLIO** 11/2/92 -0.57 - 0.09+ -- -- --
VALUE PORTFOLIO** 11/2/92 +2.94 +11.46+ -- -- --
</TABLE>
ALL OF THE DATA REPRESENT PAST PERFORMANCE. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
* PERFORMANCE FIGURES ARE ADJUSTED FOR THE 1% TRANSACTION FEE ON PURCHASES AND
THE ANNUAL ACCOUNT MAINTENANCE FEE OF $10.
** PERFORMANCE FIGURES ARE ADJUSTED FOR THE ANNUAL ACCOUNT MAINTENANCE FEE OF
$10.
*** PERFORMANCE FIGURES ARE ADJUSTED FOR THE .25% TRANSACTION FEE ON PURCHASES
AND THE ANNUAL ACCOUNT MAINTENANCE FEE OF $10.
+ ANNUALIZED RETURN SINCE INCEPTION.
3
<PAGE> 4
TOTAL INVESTMENT RETURN
The table below illustrates the results of an investment in VANGUARD INDEX
TRUST-500 PORTFOLIO during the period from August 31, 1976, to June 30, 1994,
the lifetime of the Portfolio. During this period, stock prices fluctuated
widely. These results should not be considered a representation of the dividend
income or capital gain or loss which may be realized from an investment made in
the Portfolio today.
<TABLE>
<CAPTION>
- - ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT
PERIOD PER SHARE DATA YEAR-END VALUE RETURN
- - ----------------------------------------------------------------------------------------------------------------------------------
Annual Percentage Change*
Value with Income -------------------------
Year Ended Net Asset Income Capital Gains Dividends & Capital 500 S&P 500 500 S&P 500
December 31 Value Dividends Distributions Gains Reinvested Portfolio Index Portfolio Index
- - ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INITIAL (8/76) $14.15 -- -- $ 14.15 $10,000 $10,000 -- --
- - ----------------------------------------------------------------------------------------------------------------------------------
1976 14.73 $ .17 -- 14.90 10,531 10,588 + 5.3% + 5.9%
- - ----------------------------------------------------------------------------------------------------------------------------------
1977 13.01 .57 -- 13.73 9,705 9,827 - 7.8 - 7.2
- - ----------------------------------------------------------------------------------------------------------------------------------
1978 13.11 .65 -- 14.54 10,275 10,467 + 5.9 + 6.5
- - ----------------------------------------------------------------------------------------------------------------------------------
1979 14.64 .75 $ .06 17.16 12,129 12,399 +18.0 +18.4
- - ----------------------------------------------------------------------------------------------------------------------------------
1980 17.84 .83 .53 22.64 16,000 16,421 +31.9 +32.4
- - ----------------------------------------------------------------------------------------------------------------------------------
1981 15.52 .83 .56 21.46 15,167 15,620 - 5.2 - 4.9
- - ----------------------------------------------------------------------------------------------------------------------------------
1982 17.56 .83 .25 25.96 18,348 18,978 +21.0 +21.5
- - ----------------------------------------------------------------------------------------------------------------------------------
1983 19.70 .87 .71 31.49 22,255 23,240 +21.3 +22.5
- - ----------------------------------------------------------------------------------------------------------------------------------
1984 19.52 .88 .48 33.45 23,638 24,686 + 6.2 + 6.2
- - ----------------------------------------------------------------------------------------------------------------------------------
1985 22.29 .91 1.61 43.89 31,019 32,497 +31.2 +31.6
- - ----------------------------------------------------------------------------------------------------------------------------------
1986 24.27 .89 2.02 51.82 36,621 38,548 +18.1 +18.6
- - ----------------------------------------------------------------------------------------------------------------------------------
1987 24.65 .69 .17 54.26 38,344 40,544 + 4.7 + 5.2
- - ----------------------------------------------------------------------------------------------------------------------------------
1988 27.18 1.10 .32 63.06 44,564 47,233 +16.2 +16.5
- - ----------------------------------------------------------------------------------------------------------------------------------
1989 33.64 1.20 .75 82.84 58,541 62,154 +31.4 +31.6
- - ----------------------------------------------------------------------------------------------------------------------------------
1990 31.24 1.17 .10 80.08 56,595 60,215 - 3.3 - 3.1
- - ----------------------------------------------------------------------------------------------------------------------------------
1991 39.32 1.15 .12 104.28 73,699 78,520 +30.2 +30.4
- - ----------------------------------------------------------------------------------------------------------------------------------
1992 40.97 1.12 .10 112.02 79,170 84,496 + 7.4 + 7.6
- - ----------------------------------------------------------------------------------------------------------------------------------
1993 43.83 1.13 .03 123.10 87,000 92,996 + 9.9 +10.1
- - ----------------------------------------------------------------------------------------------------------------------------------
1994 (6/30) 41.81 .44 .08 118.84 83,990 89,826 - 3.5 - 3.4
- - ----------------------------------------------------------------------------------------------------------------------------------
LIFETIME $16.18 $7.89 +739.9% +798.3% +12.7% +13.1%
- - ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Adjusted to include reinvestment of income dividends and any capital gains
distributions both for the Fund and the Index.
Note: No adjustment has been made for income taxes payable by shareholders on
reinvested income dividends and capital gains distributions.
4
<PAGE> 5
The table below illustrates the results of an investment in VANGUARD INDEX
TRUST-EXTENDED MARKET PORTFOLIO during the period from December 21, 1987, to
June 30, 1994, the lifetime of the Portfolio. During this period, stock prices
fluctuated widely. These results should not be considered a representation of
the dividend income or capital gain or loss which may be realized from an
investment made in the Portfolio today.
<TABLE>
<CAPTION>
- - -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT
PERIOD PER SHARE DATA YEAR-END VALUE RETURN
- - -----------------------------------------------------------------------------------------------------------------------------------
Annual Percentage Change*
Value with Income ---------------------------
Year Ended Net Asset Income Capital Gains Dividends & Capital Extended Wilshire Extended Wilshire
December 31 Value Dividends Distributions Gains Reinvested Market Portfolio 4500 Index Market Portfolio 4500 Index
- - -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INITIAL (12/87) $10.00 -- -- $14.15 $10,000 $10,000 -- --
- - -----------------------------------------------------------------------------------------------------------------------------------
1987 9.99 -- -- 14.14 9,990 10,048 - 0.1% + 0.5%
- - -----------------------------------------------------------------------------------------------------------------------------------
1988 11.60 $ .20 $ .16 16.93 11,963 12,112 +19.7 +20.5
- - -----------------------------------------------------------------------------------------------------------------------------------
1989 13.92 .23 .23 21.01 14,845 15,012 +24.1 +23.9
- - -----------------------------------------------------------------------------------------------------------------------------------
1990 11.48 .33 .16 18.06 12,760 12,976 -14.0 -13.6
- - -----------------------------------------------------------------------------------------------------------------------------------
1991 15.82 .25 .20 25.61 18,100 18,615 +41.8 +43.5
- - -----------------------------------------------------------------------------------------------------------------------------------
1992 17.35 .25 .18 28.80 20,357 20,824 +12.5 +11.9
- - -----------------------------------------------------------------------------------------------------------------------------------
1993 19.43 .23 .20 32.97 23,307 23,858 +14.5 +14.6
- - -----------------------------------------------------------------------------------------------------------------------------------
1994 (6/30) 18.19 -- .14 31.08 21,972 22,289 - 5.7 - 6.6
- - -----------------------------------------------------------------------------------------------------------------------------------
LIFETIME $1.49 $1.27 +119.7% +122.9% +12.8% +13.1%
- - -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Adjusted to include reinvestment of income dividends and any capital gains
distributions both for the Fund and the Index.
Note: No adjustment has been made for income taxes payable by shareholders on
reinvested income dividends and capital gains distributions.
5
<PAGE> 6
TOTAL INVESTMENT RETURN (continued)
The following table illustrates the results of a single share investment in
VANGUARD INDEX TRUST-SMALL CAPITALIZATION STOCK PORTFOLIO during the period
from October 3, 1960, to June 30, 1994, including the period prior to its
conversion in September 1989 from an actively managed portfolio to a passively
managed portfolio. During the period illustrated, stock prices fluctuated and
were higher at the end than at the beginning. These results do not represent
the dividend income or capital gain or loss which may be realized from an
investment made in the Portfolio today.
<TABLE>
<CAPTION>
- - -----------------------------------------------------------------------------------------------------------------------------
PERIOD PER SHARE DATA*
- - -----------------------------------------------------------------------------------------------------------------------------
Value with Income Year-end Value
Year Ended Net Asset Income Capital Gains Dividends & Capital of $10,000 Initial Total
September 30 Value Dividends Distributions** Gains Reinvested Investment Return+
- - -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1960 (10/3) $ 3.33 -- -- -- $10,000 --
- - -----------------------------------------------------------------------------------------------------------------------------
1961 3.72 -- $.0045 $ 3.72 11,170 +11.7%
- - -----------------------------------------------------------------------------------------------------------------------------
1962 3.07 $.022 -- 3.09 9,271 -17.0
- - -----------------------------------------------------------------------------------------------------------------------------
1963 3.71 .022 -- 3.76 11,283 +21.7
- - -----------------------------------------------------------------------------------------------------------------------------
1964 4.51 .018 -- 4.59 13,776 +22.1
- - -----------------------------------------------------------------------------------------------------------------------------
1965 5.23 .017 .027 5.37 16,118 +17.0
- - -----------------------------------------------------------------------------------------------------------------------------
1966 4.92 .225 .097 5.18 15,538 - 3.6
- - -----------------------------------------------------------------------------------------------------------------------------
1967 8.56 .037 .397 9.49 28,481 +83.3
- - -----------------------------------------------------------------------------------------------------------------------------
1968 10.51 .03 .407 12.14 36,427 +27.9
- - -----------------------------------------------------------------------------------------------------------------------------
1969 8.90 .022 -- 10.30 30,890 -15.2
- - -----------------------------------------------------------------------------------------------------------------------------
1970 7.78 .035 -- 9.04 27,121 -12.2
- - -----------------------------------------------------------------------------------------------------------------------------
1971 9.74 .13 .107 11.63 34,878 +28.6
- - -----------------------------------------------------------------------------------------------------------------------------
1972 11.66 .07 .153 14.22 42,655 +22.3
- - -----------------------------------------------------------------------------------------------------------------------------
1973 10.35 .047 .407 13.17 39,498 - 7.4
- - -----------------------------------------------------------------------------------------------------------------------------
1974 7.41 .133 -- 9.56 28,675 -27.4
- - -----------------------------------------------------------------------------------------------------------------------------
1975 9.09 .243 -- 12.08 36,245 +26.4
- - -----------------------------------------------------------------------------------------------------------------------------
1976 10.98 .19 .027 14.92 44,762 +23.5
- - -----------------------------------------------------------------------------------------------------------------------------
1977 11.72 .133 .017 16.17 48,522 + 8.4
- - -----------------------------------------------------------------------------------------------------------------------------
1978 13.45 .207 1.04 20.72 62,157 +28.1
- - -----------------------------------------------------------------------------------------------------------------------------
1979 12.07 .253 1.753 22.48 67,440 + 8.5
- - -----------------------------------------------------------------------------------------------------------------------------
1980 15.21 .337 .90 31.58 94,753 +40.5
- - -----------------------------------------------------------------------------------------------------------------------------
1981 12.09 .133 2.543 29.94 89,825 - 5.2
- - -----------------------------------------------------------------------------------------------------------------------------
1982 12.50 .033 2.107 36.89 110,664 +23.2
- - -----------------------------------------------------------------------------------------------------------------------------
1983 19.77 .303 .92 62.86 188,571 +70.4
- - -----------------------------------------------------------------------------------------------------------------------------
1984 13.15 -- 2.51 48.46 145,388 -22.9
- - -----------------------------------------------------------------------------------------------------------------------------
1985 11.68 .15 .77 46.68 140,052 - 3.7
- - -----------------------------------------------------------------------------------------------------------------------------
1986 13.24 -- -- 52.91 158,715 +13.3
- - -----------------------------------------------------------------------------------------------------------------------------
1987 15.73 -- 1.89 73.02 219,065 +38.0
- - -----------------------------------------------------------------------------------------------------------------------------
1988 11.96 -- 1.213 62.58 187,750 -14.3
- - -----------------------------------------------------------------------------------------------------------------------------
1989 11.88 .143 2.167 74.37 223,095 +18.8
- - -----------------------------------------------------------------------------------------------------------------------------
1990 8.55 .043 -- 53.75 161,235 -27.7
- - -----------------------------------------------------------------------------------------------------------------------------
1991 12.03 .18 .14 78.43 235,258 +45.9
- - -----------------------------------------------------------------------------------------------------------------------------
1992 12.63 .18 .29 85.76 257,231 + 9.3
- - -----------------------------------------------------------------------------------------------------------------------------
1993 16.23 .18 .15 112.86 338,516 +31.6
- - -----------------------------------------------------------------------------------------------------------------------------
1994 (6/30) 14.84 .18 .82 109.99 329,431 - 2.5
- - -----------------------------------------------------------------------------------------------------------------------------
LIFETIME $3.696 $20.8565 +3,194.3% +10.9%
- - -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Adjusted for 3-for-1 stock split, February 23, 1990.
** Prior to 1973 capital gains were retained and taxes were paid by the Fund.
Data from 1974 through 1993 represent capital gains distributions.
+ Adjusted to include reinvestment of income dividends and any capital gains
distributions.
Note: No adjustment has been made for taxes payable by shareholders on income
dividends and capital gains distributions.
6
<PAGE> 7
STATEMENT OF NET ASSETS FINANCIAL STATEMENTS (unaudited)
June 30, 1994
<TABLE>
<CAPTION>
Market
Value
500 PORTFOLIO Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- - ---------------------------------------------------------------
General Electric Co. 4,416,200 $ 205,905
AT&T Corp. 3,505,521 190,613
Exxon Corp. 3,206,247 181,554
Royal Dutch Petroleum Co. 1,384,102 144,812
Wal-Mart Stores, Inc. 5,934,806 143,919
The Coca-Cola Co. 3,339,423 135,664
Philip Morris Cos., Inc. 2,264,698 116,632
E.I. du Pont de Nemours & Co. 1,752,449 102,299
General Motors Corp. 1,922,766 96,619
Merck & Co., Inc. 3,237,680 96,321
Procter & Gamble Co. 1,765,886 94,254
International Business
Machines Corp. 1,501,137 88,192
Mobil Corp. 1,028,440 83,946
BellSouth Corp. 1,281,129 79,110
GTE Corp. 2,470,089 77,808
* Microsoft Corp. 1,486,944 76,578
Ford Motor Co. 1,293,044 76,290
Amoco Corp. 1,281,689 73,056
Johnson & Johnson 1,660,213 71,182
American International
Group, Inc. 820,127 71,043
Bristol-Myers Squibb Co. 1,319,829 70,776
Chevron Corp. 1,682,646 70,461
Southwestern Bell Corp. 1,549,830 67,418
Motorola, Inc. 1,439,108 64,040
PepsiCo, Inc. 2,063,394 63,191
Intel Corp. 1,079,775 63,167
Bell Atlantic Corp. 1,125,935 63,052
Abbott Laboratories, Inc. 2,116,795 61,387
Federal National Mortgage Assn. 705,613 58,919
The Walt Disney Co. 1,386,490 57,713
Minnesota Mining &
Manufacturing Co. 1,093,623 54,134
Ameritech Corp. 1,411,468 53,989
McDonald's Corp. 1,827,084 52,757
Pfizer, Inc. 828,596 52,305
Hewlett-Packard Co. 652,999 49,220
U.S. West Corp. 1,170,001 48,994
Home Depot, Inc. 1,157,021 48,740
Dow Chemical Co. 710,944 46,478
American Home Products Corp. 801,265 45,472
Sears, Roebuck & Co. 907,570 43,563
Chrysler Corp. 914,292 43,086
Eli Lilly & Co. 755,863 42,990
Atlantic Richfield Co. 413,205 42,199
Unilever NV 413,258 41,636
BankAmerica Corp. 903,734 41,346
Eastman Kodak Co. 852,961 41,049
The Boeing Co. 879,044 40,656
NYNEX Corp. 1,070,887 40,560
Texaco, Inc. 668,806 40,379
Citicorp 997,943 39,793
Schlumberger Ltd. 630,542 37,281
Gillette Co. 570,698 37,167
NationsBank, Inc. 695,851 35,749
Anheuser-Busch Co., Inc. 686,263 34,828
Time Warner, Inc. 975,159 34,252
Banc One Corp. 986,719 33,795
Pacific Telesis Group 1,088,534 33,608
WMX Technologies Inc. 1,248,260 33,079
J.C. Penney Co., Inc. 609,608 33,071
Emerson Electric Co. 579,527 32,961
American Express Co. 1,277,239 32,889
Columbia/HCA Healthcare Corp. 873,737 32,765
Kellogg Co. 580,898 31,586
Southern Co. 1,674,046 31,388
MCI Communications Corp. 1,401,497 31,008
Sprint Corp. 886,590 30,920
J.P. Morgan & Co., Inc. 499,330 30,896
Schering-Plough Corp. 498,695 30,545
* Airtouch Communications 1,271,971 30,050
Union Pacific Corp. 529,737 29,996
The Seagram Co. Ltd. 962,293 29,109
Capital Cities/ABC, Inc. 396,030 28,168
Federal Home Loan
Mortgage Corp. 464,530 28,104
* Oracle Systems Corp. 748,848 27,988
* McCaw Cellular
Communications, Inc. 539,659 27,860
Travelers Inc. 835,872 26,957
Caterpillar, Inc. 262,988 26,299
Xerox Corp. 269,001 26,295
Sara Lee Corp. 1,236,439 26,274
Pacific Gas & Electric Co. 1,104,348 26,228
Allied-Signal, Inc. 733,876 25,410
May Department Stores Co. 641,123 25,164
Chemical Banking Corp. 651,818 25,095
ITT Corp. 303,883 24,804
* Toys R Us, Inc. 749,948 24,561
The Dun & Bradstreet Corp. 439,463 24,390
* Tele-Communications, Inc.
Class A 1,161,301 23,662
General Re Corp. 216,881 23,640
Monsanto Co. 306,396 23,171
Warner-Lambert Co. 345,526 22,805
Raytheon Co. 349,576 22,635
Norfolk Southern Corp. 357,557 22,526
General Mills, Inc. 409,966 22,394
Campbell Soup Co. 647,727 22,266
Kimberly-Clark Corp. 415,836 21,987
Norwest Corp. 822,928 21,499
Wells Fargo & Co. 142,630 21,448
</TABLE>
7
<PAGE> 8
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Rockwell International Corp. 569,658 $ 21,291
Weyerhaeuser Co. 530,954 21,238
International Paper Co. 320,052 21,203
- - ---------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 5,147,572
- - ---------------------------------------------------------------
Phillips Petroleum Co. 675,127 21,098
Enron Corp. 643,654 21,080
United Technologies Corp. 327,742 21,057
* Compaq Computer Corp. 650,625 20,983
H.J. Heinz Co. 650,754 20,743
PPG Industries, Inc. 548,718 20,577
CSX Corp. 269,679 20,361
First Union Corp. 439,326 20,264
Tenneco, Inc. 436,677 20,251
Keycorp 623,667 19,879
Colgate-Palmolive Co. 380,856 19,805
Archer-Daniels-Midland Co. 845,369 19,655
Conagra, Inc. 640,439 19,533
Automatic Data Processing, Inc. 366,295 19,459
Duke Power Co. 528,904 18,908
Gannett Co., Inc. 379,462 18,783
AMP, Inc. 270,877 18,758
Baxter International, Inc. 714,316 18,751
Texas Instruments, Inc. 235,106 18,691
CPC International, Inc. 386,735 18,660
Merrill Lynch & Co., Inc. 527,281 18,455
The Chase Manhattan Corp. 476,595 18,230
Texas Utilities Co. 580,264 18,206
Albertson's, Inc. 655,364 18,023
Northern Telecom Ltd. 648,715 17,921
Unocal Corp. 623,129 17,837
American Barrick Resources 740,480 17,679
Corning, Inc. 539,314 17,595
PNC Bank Corp. 606,911 17,525
The Chubb Corp. 226,423 17,350
Computer Associates
International, Inc. 424,827 16,993
Aluminum Co. of America 228,188 16,686
Blockbuster Entertainment Corp. 643,070 16,639
Dean Witter Discover & Co. 440,383 16,514
First Interstate Bancorp. 214,403 16,509
American Brands, Inc. 521,796 16,502
Public Service Enterprise
Group Inc. 631,842 16,428
Kmart Corp. 1,055,134 16,355
The Limited, Inc. 937,431 16,171
Aetna Life & Casualty Co. 289,003 16,148
The Gap, Inc. 375,689 16,061
Consolidated Edison Co.
of New York, Inc. 605,641 16,049
Marsh & McLennan, Inc. 190,898 15,916
* Novell, Inc. 948,129 15,763
Dominion Resources, Inc. 433,247 15,759
Pitney Bowes, Inc. 408,630 15,630
U.S. Healthcare, Inc. 417,432 15,445
Nucor Corp. 225,176 15,425
United Healthcare Corp. 336,100 15,419
Suntrust Banks, Inc. 316,170 15,295
American General Corp. 553,629 15,294
* Cisco Systems, Inc. 660,934 15,284
Browning-Ferris Industries, Inc. 497,546 15,113
PECO Energy Corp. 571,960 15,085
Deere & Co. 221,335 14,968
Dayton-Hudson Corp. 184,641 14,956
SCE Corp. 1,156,258 14,887
Occidental Petroleum Corp. 787,146 14,857
Entergy Corp. 594,646 14,717
* Amgen, Inc. 343,444 14,682
FPL Group, Inc. 490,651 14,658
Wachovia Corp. 442,471 14,657
UST, Inc. 529,303 14,357
Wm. Wrigley, Jr. Co. 300,450 14,271
The Goodyear Tire & Rubber Co. 388,366 13,981
Georgia-Pacific Corp. 232,303 13,909
Burlington Resources, Inc. 334,893 13,856
Bankers Trust New York Corp. 205,986 13,724
Salomon, Inc. 285,514 13,633
CIGNA Corp. 186,326 13,625
American Electric Power Co., Inc. 476,439 13,459
Fleet Financial Group, Inc. 355,009 13,402
Lowes Cos., Inc. 387,394 13,268
Placer Dome Group, Inc. 615,396 13,231
Alcan Aluminium Ltd. 579,763 13,190
NBD Bancorp, Inc. 414,437 13,107
Upjohn Co. 446,613 13,008
American Cyanamid Co. 231,975 12,991
Commonwealth Edison Co. 552,921 12,579
Air Products & Chemicals, Inc. 295,387 12,517
CBS, Inc. 40,099 12,431
USX-Marathon Group 741,831 12,426
Burlington Northern, Inc. 229,655 12,258
Pacificorp 725,459 12,242
Quaker Oats Co. 173,273 12,107
Textron, Inc. 228,267 11,955
McDonnell Douglas Corp. 101,504 11,876
Medtronic, Inc. 147,759 11,839
Amerada Hess Corp. 239,699 11,805
* AMR Corp. 196,054 11,641
Walgreen Co. 318,613 11,629
Genuine Parts Co. 321,580 11,617
Nike, Inc. Class B 191,505 11,442
R.R. Donnelley & Sons Co. 410,557 11,393
Illinois Tool Works, Inc. 292,068 11,391
International Flavors &
Fragrances, Inc. 289,699 11,334
</TABLE>
8
<PAGE> 9
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Hercules, Inc. 105,592 $ 11,298
Conrail, Inc. 205,867 11,271
Masco Corp. 405,044 11,139
Barnett Banks of Florida, Inc. 252,134 11,031
- - ---------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 6,700,787
- - ---------------------------------------------------------------
Houston Industries, Inc. 337,601 11,014
Mattel, Inc. 433,825 11,008
Avon Products, Inc. 186,602 10,986
Rohm & Haas Co. 175,099 10,900
Rubbermaid, Inc. 415,131 10,897
Martin Marietta Corp. 246,612 10,882
Fluor Corp. 212,506 10,811
H & R Block, Inc. 274,902 10,790
First Chicago Corp. 223,628 10,762
Sysco Corp. 475,587 10,760
TRW, Inc. 166,129 10,715
* Federal Express Corp. 143,448 10,705
Westinghouse Electric Corp. 915,592 10,644
Cooper Industries, Inc. 295,656 10,644
Melville Corp. 272,556 10,562
Lockheed Corp. 161,248 10,542
Honeywell, Inc. 337,812 10,472
Union Carbide Corp. 389,970 10,432
Phelps Dodge Corp. 182,052 10,377
Central & South West Corp. 487,696 10,364
Lincoln National Corp. 243,631 10,324
Eastman Chemical 213,788 10,208
Eaton Corp. 196,311 10,208
Whirlpool Corp. 191,810 10,070
Scott Paper Co. 191,600 10,011
* Santa Fe Pacific Corp. 478,344 9,985
Great Lakes Chemical Corp. 184,283 9,974
Halliburton Co. 295,439 9,971
The Times Mirror Co. Class A 328,976 9,910
Morton International, Inc. 126,306 9,852
Hershey Foods Corp. 226,169 9,810
W.R. Grace & Co. 241,430 9,627
Carolina Power & Light Co. 416,079 9,622
CoreStates Financial Corp. 372,056 9,580
First Fidelity Bancorp. 206,576 9,580
Ingersoll-Rand Co. 272,604 9,575
Transamerica Corp. 182,374 9,506
Detroit Edison Co. 380,861 9,426
Newell Co. 203,786 9,425
Dresser Industries, Inc. 453,744 9,302
Mellon Bank Corp. 164,332 9,244
The Tribune Co. 172,991 9,212
Consolidated Natural Gas Co. 240,641 9,084
Safeco Corp. 162,886 9,040
American Stores Co. 368,974 9,040
Nordstrom, Inc. 212,436 9,029
Dillard Department Stores Class A 292,347 9,026
Ralston-Purina Group 259,811 8,996
Newmont Mining Corp. 221,114 8,900
UNUM Corp. 196,374 8,788
St. Paul Cos., Inc. 218,832 8,781
Marriott International 329,029 8,760
Dover Corp. 147,566 8,688
Louisiana-Pacific Corp. 284,581 8,680
MBNA Corp. 384,636 8,654
* Crown Cork & Seal Co., Inc. 229,508 8,549
McGraw-Hill, Inc. 127,800 8,499
Boatmen's Bancshares, Inc. 269,662 8,427
Union Electric Corp. 264,465 8,397
* Price/Costco Inc. 563,205 8,378
W.W. Grainger, Inc. 130,952 8,365
Household International, Inc. 244,147 8,301
Winn Dixie Stores, Inc. 192,228 8,266
Union Camp Corp. 180,739 8,201
Baltimore Gas & Electric Co. 377,959 8,032
* UAL Corp. 63,201 7,979
Dow Jones & Co., Inc. 257,186 7,973
Alco Standard Corp. 138,706 7,924
Apple Computer, Inc. 300,413 7,923
Champion International Corp. 240,886 7,919
VF Corp. 166,481 7,908
Providian Corp. 259,516 7,850
* Promus Co. Inc. 264,537 7,837
Becton, Dickinson & Co. 187,676 7,671
Williams Cos., Inc. 266,034 7,615
Pioneer Hi Bred International 231,414 7,579
McKesson Corp. 104,658 7,548
Loral Corp. 215,138 7,530
Baker Hughes, Inc. 362,808 7,438
Reynolds Metals Co. 154,885 7,434
Sun Co., Inc. 275,741 7,411
Torchmark Corp. 188,190 7,339
Inco Ltd. 299,809 7,308
Coastal Corp. 269,927 7,288
Dana Corp. 253,854 7,235
Knight-Ridder, Inc. 140,010 7,158
Northern States Power Co.
of Minnesota 172,407 7,090
Sherwin-Williams Co. 224,789 7,081
Harcourt General, Inc. 201,041 7,062
Ohio Edison Co. 394,112 7,045
Cyprus Amax 236,428 7,034
Sonat, Inc. 225,415 6,932
* Digital Equipment Corp. 356,164 6,901
Clorox Co. 139,922 6,839
Temple-Inland Inc. 143,132 6,817
Praxair, Inc. 346,046 6,748
The Mead Corp. 152,842 6,744
</TABLE>
9
<PAGE> 10
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Bank of Boston Corp. 272,545 $ 6,711
Hasbro, Inc. 226,495 6,710
National Medical Enterprises, Inc. 428,442 6,694
- - ---------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 7,584,632
- - ---------------------------------------------------------------
Homestake Mining Co. 355,477 6,665
U.S. Bancorp 257,366 6,659
General Dynamics Corp. 161,604 6,606
Shawmut National Corp. 299,146 6,581
USX-U.S. Steel Group 193,692 6,561
Hilton Hotels Corp. 123,626 6,552
New York Times Co. Class A 273,059 6,519
Comcast Corp. Class A 362,942 6,488
Mallinckrodt Group, Inc. 199,008 6,468
* The Kroger Co. 277,619 6,455
Golden West Financial Corp. 165,723 6,401
Reebok International Ltd. 213,754 6,386
Roadway Services, Inc. 100,782 6,299
Kerr-McGee Corp. 133,375 6,285
Englehard Corp. 248,324 6,270
Great Western Financial Corp. 341,018 6,266
Jefferson-Pilot Corp. 127,852 6,233
Premark International, Inc. 82,350 6,197
Panhandle Eastern Corp. 309,398 6,111
Pennzoil Co. 118,774 6,087
Interpublic Group of Cos., Inc. 194,684 6,035
* Advanced Micro Devices, Inc. 238,537 5,934
Delta Air Lines, Inc. 129,872 5,877
* Western Atlas Inc. 121,617 5,792
H.F. Ahmanson & Co. 301,851 5,697
American Greetings Corp. Class A 191,407 5,694
Nalco Chemical, Inc. 178,567 5,692
* DSC Communications Corp. 289,944 5,654
Tandy Corp. 163,851 5,653
Bausch & Lomb, Inc. 152,537 5,644
Deluxe Corp. 213,601 5,634
SuperValu, Inc. 186,227 5,633
Service Corp. International 218,525 5,627
Niagara Mohawk Power Corp. 367,301 5,555
Tyco International Ltd. 119,765 5,479
* Computer Sciences Corp. 130,370 5,427
Brunswick Corp. 246,119 5,415
Woolworth Corp. 340,750 5,409
Parker Hannifin Corp. 125,785 5,362
* National Semiconductor Corp. 309,553 5,340
Westvaco Corp. 172,802 5,314
Ashland Oil, Inc. 155,197 5,218
Maytag Corp. 276,888 5,122
* Bethlehem Steel Corp. 274,559 5,114
Circuit City Stores, Inc. 248,154 5,087
The Dial Corp. 118,974 5,086
Johnson Controls, Inc. 104,700 5,065
Brown-Forman Corp. Class B 178,665 5,047
* FMC Corp. 92,978 5,032
Ryder System, Inc. 198,971 4,999
Cooper Tire & Rubber Co. 215,833 4,991
Pep Boys (Manny, Moe & Jack) 157,636 4,985
* ALZA Corp. 211,087 4,960
Pet, Inc. 264,561 4,927
* Sun Microsystems, Inc. 241,415 4,919
Beneficial Corp. 133,596 4,876
Northrop Grumman Corp. 126,996 4,715
The Stanley Works 115,661 4,655
Cummins Engine Co., Inc. 106,966 4,626
Echlin, Inc. 153,187 4,615
Paccar, Inc. 100,402 4,593
Comcast Corp. Class A Special 253,986 4,540
Harris Corp. 102,879 4,539
Borden, Inc. 364,562 4,511
Rite Aid Corp. 222,276 4,501
Pall Corp. 299,986 4,500
Armstrong World Industries Inc. 95,984 4,475
Moore Corp. Ltd. 256,978 4,336
Worthington Industries, Inc. 234,194 4,333
Pacific Enterprises 216,827 4,309
* Lotus Development Corp. 117,792 4,299
Whitman Corp. 272,141 4,218
Avery Dennison Corp. 145,071 4,207
TJX Cos., Inc. 189,783 4,152
Wendys International, Inc. 265,612 4,151
* Varity Corp. 113,479 4,128
Snap-On Inc. 110,565 4,119
* Unisys Corp. 440,754 4,077
Liz Claiborne, Inc. 203,598 4,072
Manor Care Inc. 161,000 4,045
General Signal Corp. 122,234 4,034
Raychem Corp. 110,477 3,977
Polaroid Corp. 121,001 3,857
* King World Productions, Inc. 96,443 3,846
St. Jude Medical, Inc. 120,032 3,841
Millipore Corp. 72,220 3,810
Oryx Energy Co. 250,560 3,758
Black & Decker Corp. 216,547 3,735
Louisiana Land & Exploration Co. 85,662 3,641
* Inland Steel Industries, Inc. 104,161 3,633
NICOR, Inc. 136,710 3,606
Ecolab, Inc. 163,078 3,588
James River Corp. 210,952 3,586
Allergan, Inc. 165,032 3,569
* Columbia Gas Systems, Inc. 130,701 3,529
* Owens-Corning Fiberglas Corp. 110,815 3,449
McDermott International, Inc. 137,813 3,445
Foster Wheeler Corp. 92,195 3,354
National Service Industries, Inc. 128,237 3,334
</TABLE>
10
<PAGE> 11
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Scientific-Atlanta, Inc. 96,979 $ 3,334
- - ---------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 8,083,658
- - ---------------------------------------------------------------
Perkin-Elmer Corp. 113,592 3,323
* Tandem Computers, Inc. 294,790 3,316
* Stone Container Corp. 226,605 3,314
E-Systems, Inc. 87,287 3,262
United States Surgical Corp. 145,311 3,233
C.R. Bard, Inc. 134,361 3,208
* Biomet, Inc. 298,176 3,131
Echo Bay Mines Ltd. 289,792 3,115
PSI Resources, Inc. 147,389 3,114
Russell Corp. 105,632 3,077
Mercantile Stores Co., Inc. 95,405 3,065
Giant Food, Inc. Class A 154,456 3,031
Asarco, Inc. 107,762 3,031
Autodesk, Inc. 61,355 3,022
Thomas & Betts Corp. 48,771 2,999
Bemis Co., Inc. 132,501 2,948
Potlatch Corp. 75,379 2,902
The BF Goodrich Co. 66,342 2,886
Pittston Services Group 107,133 2,866
* Ceridian Corp. 114,095 2,810
USF&G Corp. 220,035 2,695
* Clark Equipment Co. 44,882 2,682
Fleming Cos., Inc. 95,377 2,647
The Timkin Co. 79,596 2,607
* Navistar International Corp. 193,693 2,591
* Beverly Enterprises Inc. 211,626 2,566
Trinova Corp. 73,326 2,539
Safety-Kleen Corp. 149,110 2,535
Briggs & Stratton Corp. 37,470 2,506
Federal Paper Board Co., Inc. 108,612 2,484
ENSERCH Corp. 171,122 2,460
Ogden Corp. 111,764 2,459
Charming Shoppes, Inc. 265,688 2,424
* Andrew Corp. 64,912 2,337
Teledyne Inc. 143,497 2,296
Fleetwood Enterprises, Inc. 118,244 2,261
Tektronix, Inc. 77,888 2,200
Continental Corp. 141,774 2,197
* Consolidated Freightways, Inc. 91,643 2,177
Santa Fe Energy Resources Inc. 232,036 2,175
EG & G, Inc. 144,107 2,162
Boise Cascade Corp. 97,517 2,158
Great Atlantic & Pacific
Tea Co., Inc. 98,913 2,127
Centex Corp. 81,430 2,097
Peoples Energy Corp. 89,554 2,093
USLIFE Corp. 58,189 2,066
Crane Co. 77,655 2,048
Ball Corp. 75,484 1,963
Longs Drug Stores, Inc. 53,762 1,922
* Rowan Cos., Inc. 216,626 1,895
Jostens Inc. 117,476 1,894
Noram Energy Corp. 314,521 1,887
Alexander & Alexander
Services, Inc. 111,961 1,819
Cincinnati Milacron, Inc. 86,533 1,806
Morrison-Knudsen Co., Inc. 80,875 1,739
Adolph Coors Co. Class B 100,155 1,728
* Maxus Energy Corp. 344,398 1,722
John H. Harland Co. 79,015 1,719
Brown Group, Inc. 45,345 1,706
Stride Rite Corp. 129,968 1,690
Transco Energy Co. 103,809 1,687
Helmerich & Payne, Inc. 63,394 1,680
Pulte Corp. 71,109 1,635
Amdahl Corp. 296,054 1,628
* Shoney's Inc. 105,265 1,605
Meredith Corp. 37,275 1,584
* Cray Research, Inc. 67,529 1,528
Alberto-Culver Co. Class B 70,466 1,524
* Armco, Inc. 267,077 1,502
Luby's Cafeterias, Inc. 66,635 1,499
Bruno's Inc. 204,526 1,432
Shared Medical Systems Corp. 59,498 1,428
Springs Industries Inc. Class A 45,432 1,357
Giddings & Lewis, Inc. 89,691 1,345
Community Psychiatric Centers 110,984 1,318
Harnischfeger Industries Inc. 65,790 1,283
Yellow Corp. 72,782 1,246
Eastern Enterprises 54,265 1,241
NACCO Industries, Inc. Class A 23,001 1,236
Oneok, Inc. 68,495 1,173
* Intergraph Corp. 120,006 1,125
Kaufman & Broad Home Corp. 83,958 1,123
Bassett Furniture Industries, Inc. 37,114 1,039
Outboard Marine Corp. 50,487 1,010
* Ryan's Family Steak Houses, Inc. 141,275 989
* USAir Group, Inc. 151,060 963
* Zenith Electronics Corp. 102,164 907
Handleman Co. 85,852 869
* Bally Entertainment Corp. 120,415 783
First Mississippi Corp. 51,070 779
Rollins Environmental
Services, Inc. 155,094 737
Gerber Products Co. 13,956 712
* Data General Corp. 90,392 701
Zurn Industries, Inc. 31,409 636
* National Intergroup, Inc. 33,250 582
SPX Corp. 35,559 551
Skyline Corp. 29,040 537
* M/A-Com, Inc. 65,052 520
</TABLE>
11
<PAGE> 12
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Oshkosh B Gosh, Inc. Class A 37,490 $ 515
* Hartmarx Corp. 82,015 502
* National Education Corp. 76,090 428
* Genesco, Inc. 62,490 203
- - ---------------------------------------------------------------
TOTAL COMMON STOCKS (98.2%)(1)
(Cost $7,464,317) 8,277,532
- - ---------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.8%)
- - ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
---------
<S> <C> <C>
U.S. TREASURY BILL--Note D
4.26%, 9/22/94 $ 9,000 8,913
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 4.26%, 7/1/94 144,205 144,205
- - ---------------------------------------------------------------
TOTAL TEMPORARY CASH
INVESTMENTS (Cost $153,118) 153,118
- - ---------------------------------------------------------------
TOTAL INVESTMENTS (100%)
(Cost $7,617,435) 8,430,650
- - ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- - ---------------------------------------------------------------
Other Assets--Notes B and E 82,902
Liabilities--Note E (80,853)
----------
2,049
- - ---------------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------------
Applicable to 201,693,335 outstanding
shares of beneficial interest
(unlimited authorization) $8,432,699
- - ---------------------------------------------------------------
NET ASSET VALUE PER SHARE $41.81
===============================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks and Standard & Poor's 500 Index
futures contracts represents 100.0% of net assets.
<TABLE>
<CAPTION>
- - -------------------------------------------------------------
AT JUNE 30, 1994, NET ASSETS CONSISTED OF:
- - -------------------------------------------------------------
Amount Per
(000) Share
----------- --------
<S> <C> <C>
Paid in Capital--Note C $7,597,435 $37.67
Undistributed Net
Investment Income 36,521 .18
Overdistributed Net
Realized Gains--Note C (8,755) (.04)
Unrealized Appreciation of
Investments--Note D 807,498 4.00
- - -------------------------------------------------------------
NET ASSETS $8,432,699 $41.81
- - -------------------------------------------------------------
</TABLE>
12
<PAGE> 13
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
EXTENDED TOTAL STOCK
500 PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO
- - -----------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended Six Months Ended
June 30, 1994 June 30, 1994 June 30, 1994
(000) (000) (000)
- - -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . $ 119,147 $ 7,361 $ 7,141
Interest . . . . . . . . . . 1,603 355 252
- - ----------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . 120,750 7,716 7,393
- - ----------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . $ 23 $ 45 $ 45
Management and Administrative. . 6,170 682 374
Marketing and Distribution . . . 932 7,125 90 817 72 491
------ ----- -----
Taxes (other than income
taxes)--Note A . . . . . . . . . . 359 40 22
Custodians' Fees . . . . . . . . . . 65 43 37
Auditing Fees . . . . . . . . . . 11 5 5
Shareholders' Reports . . . . . . . 314 26 28
Annual Meeting and Proxy Costs . . . 57 5 6
Trustees' Fees and Expenses . . . . 24 3 1
- - ----------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . 7,955 939 590
- - ----------------------------------------------------------------------------------------------------------------------
Net Investment Income . . 112,795 6,777 6,803
- - ----------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold . . . . . . . 14,605 29,574 1,207
Futures Contracts . . . . . . . . . . 3,993 (234) 173
- - ----------------------------------------------------------------------------------------------------------------------
Realized Net Gain
(Loss) . . . . . . . . 18,598 29,340 1,380
- - ----------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities . . . . . . . (423,419) (91,471) (36,994)
Futures Contracts . . . . . . . . . (5,716) (1,023) (392)
- - ----------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation
(Depreciation) . . . . (429,135) (92,494) (37,386)
- - ----------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets
Resulting from
Operations . . . . . . $(297,742) $(56,377) $(29,203)
======================================================================================================================
</TABLE>
The Statements of Net Assets for the Extended Market, Total Stock Market,
Growth, Value, and Small Capitalization Stock Portfolios, integral parts of the
financial statements for each Portfolio, are included as an insert to this
Report.
13
<PAGE> 14
STATEMENT OF OPERATIONS (continued)
<TABLE>
<CAPTION>
SMALL
GROWTH VALUE CAPITALIZATION
PORTFOLIO PORTFOLIO STOCK PORTFOLIO*
- - ----------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended February 1 to
June 30, 1994 June 30, 1994 June 30, 1994
(000) (000) (000)
- - ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . $ 648 $ 4,214 $ 3,131
Interest . . . . . . . . . . 7 76 166
- - ----------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . 655 4,290 3,297
- - ----------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . $23 $ 20 $ 30
Management and Administrative . 5 167 248
Marketing and Distribution . . . 7 35 24 211 43 321
--- ---- ----
Taxes (other than income
taxes)--Note A . . . . . . . . . . 2 8 28
Custodians' Fees . . . . . . . . . . 4 9 5
Auditing Fees . . . . . . . . . . 4 4 5
Shareholders' Reports . . . . . . . 8 18 38
Annual Meeting and Proxy Costs . . . 1 2 5
Trustees' Fees and Expenses . . . . -- 1 --
- - ----------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . 54 253 402
- - ----------------------------------------------------------------------------------------------------------------------
Net Investment Income . 601 4,037 2,895
- - ----------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold . . . . . (248) 2,206 13,004
Futures Contracts . . . . . . . . . -- -- (311)
- - ----------------------------------------------------------------------------------------------------------------------
Realized Net Gain
(Loss) . . . . . . . . (248) 2,206 12,693
- - ----------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities . . . . . . . (2,842) (14,749) (65,201)
Futures Contracts . . . . . . . . . -- -- (563)
- - ----------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation
(Depreciation) . . . (2,842) (14,749) (65,764)
- - ----------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets
Resulting from
Operations . . . . . $(2,489) $ (8,506) $(50,176)
======================================================================================================================
</TABLE>
* See Note F to Financial Statements.
14
<PAGE> 15
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
EXTENDED
500 PORTFOLIO MARKET PORTFOLIO
- - ----------------------------------------------------------------------------------------------------------------------
SIX MONTHS Year Ended SIX MONTHS Year Ended
ENDED JUNE 30, December 31, ENDED JUNE 30, December 31,
1994 1993 1994 1993
(000) (000) (000) (000)
- - ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . $ 112,795 $ 200,575 $ 6,777 $ 10,621
Realized Net Gain (Loss) . . . . . . 18,598 173,055 29,340 15,802
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . (429,135) 339,279 (92,494) 65,663
- - ----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations . . . . (297,742) 712,909 (56,377) 92,086
- - ----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . (86,732) (205,138) -- (10,600)
Realized Net Gain . . . . . . . . (15,455) (5,173) (6,869) (9,116)
- - ----------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . (102,187) (210,311) (6,869) (19,716)
- - ----------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . 2,502 5,377 -- --
- - ----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . 1,170,874 2,390,015 104,207 193,349
-- In Lieu of Cash
Distributions . . . 91,033 186,995 6,465 17,892
-- Exchange . . . . . . 253,831 415,159 32,341 195,523
Redeemed -- Regular . . . . . . . (701,644) (1,262,521) (66,937) (69,797)
-- Exchange . . . . . . (256,665) (512,215) (22,028) (66,211)
- - ----------------------------------------------------------------------------------------------------------------------
Net Increase from Capital
Share Transactions . . . 557,429 1,217,433 54,048 270,756
- - ----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) . 160,002 1,725,408 (9,198) 343,126
NET ASSETS
Beginning of Period . . . . . . . . 8,272,697 6,547,289 927,971 584,845
- - ----------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . $8,432,699 $ 8,272,697 $918,773 $927,971
======================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . $ .44 $ 1.13 -- $ .23
Realized Net Gain . . . . . $ .08 $ .03 $ .14 $ .20
- - ----------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . 33,070 66,438 7,020 20,530
Issued in Lieu of Cash
Distributions . . . . . . 2,104 4,353 324 929
Redeemed . . . . . . . . . . (22,238) (41,844) (4,609) (7,408)
- - ----------------------------------------------------------------------------------------------------------------------
12,936 28,947 2,735 14,051
- - ----------------------------------------------------------------------------------------------------------------------
(3) Undistributed
(Overdistributed) Net
Investment Income . . . . $ 36,521 $ 7,956 $ 6,630 $ (147)
- - ----------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 16
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
TOTAL MARKET PORTFOLIO GROWTH PORTFOLIO
- - ----------------------------------------------------------------------------------------------------------------------
SIX MONTHS Year Ended SIX MONTHS Year Ended
ENDED JUNE 30, December 31, ENDED JUNE 30, December 31,
1994 1993 1994 1993
(000) (000) (000) (000)
- - ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . $ 6,803 $ 9,622 $ 601 $ 866
Realized Net Gain (Loss) . . . . . . 1,380 1,055 (248) (614)
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . (37,386) 31,282 (2,842) 788
- - ----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations . . . . (29,203) 41,959 (2,489) 1,040
- - ----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . (6,447) (10,140) (559) (931)
Realized Net Gain . . . . . . . . -- (1,183) -- --
- - ----------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . (6,447) (11,323) (559) (931)
- - ----------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . 330 563 21 56
- - ----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . 167,427 242,858 12,209 33,148
-- In Lieu of Cash
Distributions . . . 5,462 9,421 505 828
-- Exchange . . . . . . 31,143 37,291 6,899 19,111
Redeemed -- Regular . . . . . . . (21,176) (33,241) (3,334) (7,457)
-- Exchange . . . . . . (20,564) (50,647) (6,420) (16,269)
- - ----------------------------------------------------------------------------------------------------------------------
Net Increase from Capital
Share Transactions . . . . 162,292 205,682 9,859 29,361
- - ----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) . 126,972 236,881 6,832 29,526
- - ----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . 512,282 275,401 50,624 21,098
- - ----------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . $639,254 $512,282 $57,456 $ 50,624
======================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . $ .12 $ .26 $ .10 $ .21
Realized Net Gain . . . . . -- $ .03 -- --
- - ----------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . 17,195 25,030 1,915 5,217
Issued in Lieu of Cash
Distributions . . . . . . 475 829 51 83
Redeemed . . . . . . . . . . (3,617) (7,435) (971) (2,393)
- - ----------------------------------------------------------------------------------------------------------------------
14,053 18,424 995 2,907
- - ----------------------------------------------------------------------------------------------------------------------
(3) Undistributed
(Overdistributed)
Net Investment Income . . $ 644 $ (42) $ 48 $ (15)
- - ----------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 17
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- - ----------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED Year Ended
JUNE 30, 1994 December 31, 1993
(000) (000)
- - ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . $ 4,037 $ 3,794
Realized Net Gain (Loss) . . . . . . . . . . . . . . . . 2,206 3,321
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . . . . . . (14,749) 7,602
- - ----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . . . . . . . . (8,506) 14,717
- - ----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . . . . . . (3,380) (4,753)
Realized Net Gain . . . . . . . . . . . . . . . . . . (2,486) (941)
- - ----------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . . . . (5,866) (5,694)
- - ----------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . . . . . 494 925
- - ----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . . . . . . . . . . . 58,488 97,039
-- In Lieu of Cash Distributions . . . . . . 5,407 5,139
-- Exchange . . . . . . . . . . . . . . . . 92,366 96,804
Redeemed -- Regular . . . . . . . . . . . . . . . . . (15,622) (13,743)
-- Exchange . . . . . . . . . . . . . . . . (26,661) (28,619)
- - ----------------------------------------------------------------------------------------------------------------------
Net Increase from Capital Share Transactions . . 113,978 156,620
- - ----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) . . . . . . . . . . . 100,100 166,568
- - ----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . 190,111 23,543
- - ----------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . . . . . . $290,211 $190,111
======================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . . . . . . $ .14 $ .38
Realized Net Gain . . . . . . . . . . . . . . . $ .11 $ .06
- - ----------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . 12,871 17,153
Issued in Lieu of Cash Distributions . . . . . . 463 439
Redeemed . . . . . . . . . . . . . . . . . . (3,663) (3,680)
- - ----------------------------------------------------------------------------------------------------------------------
9,671 13,912
- - ----------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income . . . . . . . . . . . $ 1,122 $ (29)
- - ----------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 18
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO*
- - --------------------------------------------------------------------------------------------------------------------------
FEBRUARY 1 TO OCTOBER 1, 1993, TO Year Ended
JUNE 30, 1994 JANUARY 31, 1994 September 30, 1993
(000) (000) (000)
- - --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income . . . . . . . . . . . . . . . . . $ 2,895 $ 1,836 $ 4,653
Realized Net Gain (Loss) . . . . . . . . . . . . . . . . 12,693 1,459 22,606
Change in Unrealized Appreciation (Depreciation) . . . . (65,764) 27,298 51,362
- - -------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . . . . . . . . . . (50,176) 30,593 78,621
- - -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . . . . . . -- (5,260) (3,245)
Realized Net Gain . . . . . . . . . . . . . . . . . . -- (23,961) (2,705)
- - -------------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . . . . . . -- (29,221) (5,950)
- - -------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . . . . . -- -- --
- - -------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . . . . . . . . . . . 62,919 66,720 134,318
-- In Lieu of Cash Distributions . . . . . . -- 27,115 5,199
-- Exchange . . . . . . . . . . . . . . . . 32,613 41,937 86,107
Redeemed -- Regular . . . . . . . . . . . . . . . . . (20,807) (22,010) (24,260)
-- Exchange . . . . . . . . . . . . . . . . (21,439) (13,584) (43,946)
- - -------------------------------------------------------------------------------------------------------------------------
Net Increase from Capital Share Transactions . . . . 53,286 100,178 157,418
- - -------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) . . . . . . . . . . . . . 3,110 101,550 230,089
- - -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . 533,389 431,839 201,750
- - -------------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . . . . . . $536,499 $533,389 $431,839
=========================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . . . . . . -- $ .18 $ .18
Realized Net Gain . . . . . . . . . . . . . . . -- $ .82 $ .15
- - -------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . 6,014 6,660 14,929
Issued in Lieu of Cash Distributions . . . . . . -- 1,785 379
Redeemed . . . . . . . . . . . . . . . . . . (2,716) (2,214) (4,663)
- - -------------------------------------------------------------------------------------------------------------------------
3,298 6,231 10,645
- - -------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income . . . . . . . . . . . $ 3,115 $ 220 $ 3,644
- - -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* See Note F to Financial Statements.
18
<PAGE> 19
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
500 PORTFOLIO
- - ----------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED -------------------------------------------------
For a Share Outstanding Throughout Each Period JUNE 30, 1994 1993 1992 1991 1990 1989
- - ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $43.83 $40.97 $39.32 $31.24 $33.64 $27.18
------- ------- ------- ------- ------- -------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . .58 1.13 1.12 1.15 1.17 1.20
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . . . . . . (2.12) 2.89 1.75 8.20 (2.30) 7.21
------- ------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . (1.54) 4.02 2.87 9.35 (1.13) 8.41
- - ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . . (.44) (1.13) (1.12) (1.15) (1.17) (1.20)
Distributions from Realized Capital Gains . . . . . . . (.08) (.03) (.10) (.12) (.10) (.75)
------- ------- ------- ------- ------- -------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . (.48) (1.16) (1.22) (1.27) (1.27) (1.95)
- - ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $41.81 $43.83 $40.97 $39.32 $31.24 $33.64
==================================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . -3.46% +9.89% +7.42% +30.22% -3.32% +31.36%
- - ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- - ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . . $8,433 $8,273 $6,547 $4,345 $2,173 $1,804
Ratio of Expenses to Average Net Assets . . . . . . . . . . .19%* .19% .19% .20% .22% .21%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . . . . 2.68%* 2.65% 2.81% 3.07% 3.60% 3.62%
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . . 7%*+ 6%+ 4%+ 5%+ 23%+ 8%
- - ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
+ Portfolio turnover rates excluding in-kind redemptions were 6%, 2%, 1%, 1%,
and 6%.
19
<PAGE> 20
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
EXTENDED MARKET PORTFOLIO
- - ----------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED ---------------------------------------------------
For a Share Outstanding Throughout Each Period JUNE 30, 1994 1993 1992 1991 1990 1989
- - ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $19.43 $17.35 $15.82 $11.48 $13.92 $11.60
------ ------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . .13 .23 .24 .25 .30 .26
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . . . . . . (1.23) 2.28 1.72 4.54 (2.25) 2.52
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . (1.10) 2.51 1.96 4.79 (1.95) 2.78
- - ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . . -- (.23) (.25) (.25) (.33) (.23)
Distributions from Realized Capital Gains . . . . . . . (.14) (.20) (.18) (.20) (.16) (.23)
------ ------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . (.14) (.43) (.43) (.45) (.49) (.46)
- - ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $18.19 $19.43 $17.35 $15.82 $11.48 $13.92
==================================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . -5.73% +14.49% +12.47% +41.85% -14.05% +24.10%
- - ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- - ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . . $919 $928 $585 $372 $179 $147
Ratio of Expenses to Average Net Assets . . . . . . . . . . .20%* .20% .20% .19% .23% .23%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . . . . 1.44%* 1.48% 1.73% 2.14% 2.68% 2.92%
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . . 23%* 13% 9% 11% 9% 14%
- - ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the 1% transaction fee on purchases or
the annual account maintenance fee of $10.
20
<PAGE> 21
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO
- - --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED Year Ended March 16 to
For a Share Outstanding Throughout Each Period JUNE 30, 1994 December 31, 1993 December 31, 1992
- - --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $11.69 $10.84 $10.00
------- ------- -------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . .13 .26 .23
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . . . . . . (.66) .88 .84
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . (.53) 1.14 1.07
- - -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . . (.12) (.26) (.23)
Distributions from Realized Capital Gains . . . . . . . -- (.03) --
------- ------- -------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . (.12) (.29) (.23)
- - -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $11.04 $11.69 $10.84
=========================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . -4.58% +10.62% +10.41%
- - -------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- - ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . . $639 $512 $275
Ratio of Expenses to Average Net Assets . . . . . . . . . . .20%* .20% .21%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . . . . 2.31%* 2.31% 2.42%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . . 3%* 1% 3%
- - -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the .25% transaction fee on purchases or
the annual account maintenance fee of $10. Subscription period for the
Portfolio was from March 16, 1992, to April 26, 1992, during which time all
assets were held in money market instruments. Performance measurement begins on
April 27, 1992.
21
<PAGE> 22
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
GROWTH PORTFOLIO
- - --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED Year Ended November 2 to
For a Share Outstanding Throughout Each Period JUNE 30, 1994 December 31, 1993 December 31, 1992
- - --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $10.20 $10.26 $10.00
------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . .11 .21 .06
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . . . . . . (57) (.06) .26
------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . . (.46) .15 .32
- - -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . . (.10) (.21) (.06)
Distributions from Realized Capital Gains . . . . . . . -- -- --
------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . (.10) (.21) (.06)
- - -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $9.64 $10.20 $10.26
=========================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . -4.54% +1.53% +3.19%
- - -------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- - ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . . $57 $51 $21
Ratio of Expenses to Average Net Assets . . . . . . . . . . .20%* .20% 0%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . . . . 2.22%* 2.10% 2.85%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . . 33%* 36% 2%
- - -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
22
<PAGE> 23
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- - --------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED Year Ended November 2 to
For a Share Outstanding Throughout Each Period JUNE 30, 1994 December 31, 1993 December 31, 1992
- - --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $11.74 $10.30 $10.00
------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . .18 .38 .07
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . . . . . . (.45) 1.50 .30
------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . (.27) 1.88 .37
- - -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . . (.14) (.38) (.07)
Distributions from Realized Capital Gains . . . . . . . (.11) (.06) --
------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . (.25) (.44) (.07)
- - -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $11.22 $11.74 $10.30
=========================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . . . . -2.38% +18.35% +3.70%
- - -------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- - ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . . $290 $190 $24
Ratio of Expenses to Average Net Assets . . . . . . . . . . .20%* .20% 0%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . . . . . 3.21%* 3.26% 3.46%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . . 32%* 30% 4%
- - -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
23
<PAGE> 24
EFINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO(1)
- - -----------------------------------------------------------------------------------------------------------------------------------
Feb. 1 to Oct. 1, 1993 Year Ended September 30,
June 30, to Jan. 31, ---------------------------------------------
For a Share Outstanding Throughout Each Period(2) 1994 1994 1993 1992 1991 1990(3) 1989
- - -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $16.24 $16.23 $12.63 $12.03 $8.55 $11.88 $11.96
------ ------ ------ ------ ----- ------ ------
INVESTMENT ACTIVITIES
Net Investment Income . . . . . . . . . . . . . . . . . .08 .05 .20 .19 .20 17 .10
Net Realized and Unrealized
Gain (Loss) on Investments . . . . . . . . . . . . . (1.48) .96 3.73 .88 3.60 (3.46) 2.13
------ ------ ------ ------ ----- ------ ------
Total From Investment
Activities . . . . . . . . . . . . . . . . . (1.40) 1.01 3.93 1.07 3.80 (3.29) 2.23
- - -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from
Net Investment Income . . . . . . . . . . . . . . . -- (.18) (.18) (.18) (.18) (.04) (.14)
Distributions from
Realized Capital Gains . . . . . . . . . . . . . . . -- (.82) (.15) (.29) (.14) -- (2.17)
------ ------ ------ ------ ----- ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . -- (1.00) (.33) (.47) (.32) (.04) (2.31)
- - -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $14.84 $16.24 $16.23 $12.63 $12.03 $8.55 $11.88
===================================================================================================================================
TOTAL RETURN(4) . . . . . . . . . . . . . . . . . . -8.62% +6.65% +31.60% +9.34% +45.91% -27.73% +18.83%
- - -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- - ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . . $536 $533 $432 $202 $111 $40 $20
Ratio of Expenses to Average Net Assets . . . . . . . . . . .18%* .18%* .18% .18% .21% .31% 1.00%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . . . . 1.29%* 1.16%* 1.47% 1.65% 2.11% 1.91% .65%
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . . 48%* 5%* 26% 26% 33% 40% 160%
- - -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Results prior to January 31, 1994, are for the former Vanguard Small
Capitalization Stock Fund. See Note F to Financial Statements.
(2) Adjusted to reflect a 3-for-1 stock split as of February 23, 1990.
(3) Prior to September 11, 1989, Schroder Capital Management International, Inc.
provided investment advisory services to the Fund. Effective September 11,
1989, The Vanguard Group, Inc. provides investment advisory services on an
at-cost basis.
(4) Total return figures do not reflect the 1% transaction fee on purchases or
the annual account maintenance fee of $10.
* Annualized.
24
<PAGE> 25
NOTES TO FINANCIAL STATEMENTS
Vanguard Index Trust is registered under the Investment Company Act of 1940 as
a diversified open-end investment company, and consists of the 500, Extended
Market, Total Stock Market, Growth, Value, and Small Capitalization Stock
Portfolios.
* A. The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in the preparation of financial
statements.
1. SECURITY VALUATION: Securities listed on an exchange are valued at the
latest quoted sales prices as of 4:00 PM on the valuation date;
securities not traded are valued at the mean of the latest quoted bid
and asked prices. Unlisted securities held by the 500, Growth, and Value
Portfolios are valued at the latest quoted bid prices; such securities
held by the Extended Market, Total Stock Market, and Small
Capitalization Stock Portfolios are valued at the mean of the latest
quoted bid and asked prices. Temporary cash investments are valued at
amortized cost which approximates market value.
2. FEDERAL INCOME TAXES: Each Portfolio of the Trust intends to continue to
qualify as a regulated investment company and distribute all of its
taxable income. Accordingly, no provision for Federal income taxes is
required in the financial statements.
3. EQUALIZATION: The 500, Total Stock Market, Growth, and Value Portfolios
follow the accounting practice known as "equalization," under which a
portion of the price of capital shares issued and redeemed, equivalent
to undistributed net investment income per share on the date of the
transaction, is credited or charged to undistributed income. As a
result, undistributed income per share is unaffected by Portfolio share
sales or redemptions.
4. REPURCHASE AGREEMENTS: The Trust, along with other members of The
Vanguard Group of Investment Companies, transfers uninvested cash
balances into a Pooled Cash Account, the daily aggregate of which is
invested in repurchase agreements secured by U.S. Government
obligations. Securities pledged as collateral for repurchase agreements
are held by the Trust's custodian banks until maturity of each
repurchase agreement. Provisions of each agreement ensure that the
market value of this collateral is sufficient in the event of default;
however, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject
to legal proceedings.
5. FUTURES AND OPTIONS: The Trust may utilize index futures contracts and
options to a limited extent. The primary risks associated with the use
of futures contracts and options are imperfect correlation between the
change in market value of the securities held by the Trust and the
prices of futures contracts and options, and the possibility of an
illiquid market. Futures contracts and purchased options are valued
based upon their quoted daily settlement prices. The premium received
for a written option is recorded as an asset with an equal liability
which is marked to market based on the option's quoted daily settlement
price. Fluctuations in the value of such instruments are accounted for
as unrealized appreciation (depreciation) until the contracts are
closed, at which time realized gains (losses) are recognized. Unrealized
appreciation (depreciation) related to open futures contracts and
options is required to be treated as realized gain (loss) for Federal
income tax purposes. During the period ended June 30, 1994, the Trust
had no options transactions.
6. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold.
25
<PAGE> 26
NOTES TO FINANCIAL STATEMENTS (continued)
Costs used in determining realized gains and losses on the sale of
investment securities are those of specific securities sold. Dividend
income and distributions to shareholders are recorded on the ex-dividend
date.
* B. The Vanguard Group, Inc. furnishes at cost investment advisory,
corporate management, administrative, marketing and distribution services. The
costs of such services are allocated to the Trust under methods approved by the
Board of Trustees. At June 30, 1994, the Trust had contributed capital
aggregating $1,754,000 to Vanguard (included in Other Assets), representing
8.8% of Vanguard's capitalization. The Trust's officers and trustees are also
officers and directors of Vanguard.
* C. During the period ended June 30, 1994, purchases and sales of investment
securities other than U.S. Government securities and temporary cash investments
were:
<TABLE>
<CAPTION>
- - -----------------------------------------------------------
(000)
--------------------------
Portfolio Purchases Sales
- - -----------------------------------------------------------
<S> <C> <C>
500 $744,080 $304,901
EXTENDED MARKET 157,061 105,158
TOTAL STOCK MARKET 170,559 7,822
GROWTH 18,602 8,924
VALUE 152,366 39,959
SMALL CAPITALIZATION STOCK 171,506 116,841
- - -----------------------------------------------------------
</TABLE>
During the six months ended June 30, 1994, the 500 Portfolio and Extended
Market Portfolio realized approximately $26,856,000 and $12,000, respectively
of net capital gains resulting from in-kind redemptions. Such gains are not
taxable income to the Portfolios and therefore will not be distributed to
shareholders; accordingly, such gains have been reclassified from accumulated
net realized gains to paid in capital.
At December 31, 1993, the Growth Portfolio had available a capital loss
carryforward of $184,000 to offset future net capital gains through December
31, 2001.
* D. At June 30, 1994, unrealized appreciation (depreciation) of investment
securities for financial reporting and Federal income tax purposes was:
<TABLE>
<CAPTION>
- - ---------------------------------------------------------------------------
(000)
--------------------------------------------
Net Unrealized
Appreciated Depreciated Appreciation
Portfolio Securities Securities (Depreciation)
- - ---------------------------------------------------------------------------
<S> <C> <C> <C>
500 $1,244,447 $(431,232) $813,215
EXTENDED MARKET 160,204 (88,507) 71,697
TOTAL STOCK MARKET 57,389 (46,302) 11,087
GROWTH 2,312 (4,254) (1,942)
VALUE 9,074 (15,836) (6,762)
SMALL CAPITALIZATION STOCK 63,346 (43,418) 19,926
- - ---------------------------------------------------------------------------
</TABLE>
At June 30, 1994, the aggregate settlement value of open Standard & Poor's 500
Index futures contracts (500 and Total Stock Market Portfolios), New York Stock
Exchange Composite Index futures contracts (Extended Market and Small
Capitalization Stock Portfolios), Standard & Poor's Midcap 400 Index futures
contracts (Extended Market, Small Capitalization Stock, and Total Stock Market
Portfolios), and Russell 2000 Index futures contracts (Extended Market and
Small Capitalization Stock Portfolios) expiring in September 1994, the related
unrealized depreciation, and the market value of securities deposited as
initial margin for those contracts were:
<TABLE>
<CAPTION>
- - ---------------------------------------------------------------------------
(000)
------------------------------------------
Market Value
Aggregate of Securities
Settlement Unrealized Deposited as
Portfolio Value Depreciation Initial Margin
- - ---------------------------------------------------------------------------
<S> <C> <C> <C>
500 $157,770 $(5,717) $8,913
EXTENDED MARKET 22,538 (921) 693
TOTAL STOCK MARKET 8,577 (318) 594
SMALL CAPITALIZATION STOCK 7,479 (312) 396
- - ---------------------------------------------------------------------------
</TABLE>
26
<PAGE> 27
* E. The market value of securities on loan to broker/dealers at June 30,
1994, and cash collateral received with respect to such loans were:
<TABLE>
<CAPTION>
- - -----------------------------------------------------------
(000)
----------------------------
Market Value Cash
of Loaned Collateral
Portfolio Securities Received
- - -----------------------------------------------------------
<S> <C> <C>
500 $ 3,962 $ 4,370
EXTENDED MARKET 33,394 36,768
TOTAL STOCK MARKET 5,058 5,953
VALUE 165 185
SMALL CAPITALIZATION STOCK 17,844 19,630
- - -----------------------------------------------------------
</TABLE>
* F. On January 28, 1994, shareholders of Vanguard Small Capitalization
Stock Fund approved the tax-free reorganization of the Fund as the Small
Capitalization Stock Portfolio of Vanguard Index Trust. Such reorganization was
effective January 31, 1994.
27
<PAGE> 28
STATEMENT OF NET ASSETS FINANCIAL STATEMENTS (unaudited)
June 30, 1994
<TABLE>
<CAPTION>
Market
Value
EXTENDED MARKET PORTFOLIO Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- - ---------------------------------------------------------------
AAR Corp. 26,800 $ 362
* ABT Building Products Corp. 18,900 425
* ADC Telecommunications, Inc. 17,200 699
AFLAC, Inc. 64,388 2,173
AES Corp. 44,036 837
* ALC Communications 19,800 609
A.L. Laboratories, Inc. 20,200 278
* AST Research, Inc. 30,400 429
ARCO Chemical Co. 59,900 2,718
AT&T Capital Corp. 26,800 616
* Abex, Inc. 82,800 600
* Acceptance Insurance Cos., Inc. 32,200 439
Acclaim Entertainment Inc. 27,400 443
* Ace Cash Express, Inc. 22,200 172
Aceto Corp. 22,326 346
* Acme Electric Corp. 17,100 145
* Acme Metals, Inc. 21,900 504
* Action Performance Cos., Inc. 48,650 249
Actava Group Inc. 50,600 436
* Acuson Corp. 39,338 516
Adaptec, Inc. 42,300 738
* Addington Resources, Inc. 27,100 447
ADIA Services, Inc. 19,400 685
Adobe Systems, Inc. 27,100 745
* Advanced Logic Research 25,700 127
* Advanced Marketing Services 6,200 31
* Advanced Polymer Systems 60,400 294
* Advanced Surgical, Inc. 98,200 264
* Advanced Technologies
Laboratories, Inc. 46,137 600
ADVO, Inc. 28,675 437
Advanta Corp. Class A 24,700 877
* Agency Rent-a-Car, Inc. 41,476 459
* Air and Water Technologies Corp.
Class A 39,087 357
Airborne Freight Corp. 17,710 615
Airgas, Inc. 20,900 551
Airtran Corp. 31,500 236
* Alaska Air Group, Inc. 25,000 372
Albany International Corp. 29,200 551
Albemarle Corp. 35,502 581
Alex Brown & Sons, Inc. 21,020 520
* Aldus Corp. 21,753 552
Alexander & Baldwin, Inc. 27,500 701
* Alexander's, Inc. 8,700 449
Alleghany Corp. 4,120 612
Allegheny Ludlum Corp. 42,379 784
Allegheny Power System, Inc. 70,600 1,483
The Allen Group, Inc. 27,140 478
* Alliance Pharmaceutical Corp. 44,200 425
Allied Capital Commercial Corp. 40,700 682
* Allied Products Corp. 37,100 538
Allmerica Property & Casualty Cos. 36,900 618
Allstate Corp. 54,700 1,299
ALLTEL Corp. 114,794 2,884
* Allwaste, Inc. 76,446 449
Aloette Cosmetics, Inc. 91,300 280
* Altera Corp. 20,100 570
* Alumax, Inc. 27,200 697
Amax Gold, Inc. 55,137 434
AMBAC, Inc. 21,078 827
Amcast Industrial Corp. 17,200 376
American Annuity Group Inc. 43,178 383
American Maize Products Co. Class A 19,200 394
American Maize Products Co. Class B 3,300 65
* American Management Systems, Inc. 24,945 586
* American Medical Holdings, Inc. 46,900 1,178
* American Medical Response, Inc. 19,300 497
American National Insurance Co. 16,050 756
American Power Conversion Corp. 53,800 867
American Premier Underwriters Inc. 27,200 683
American President Cos., Ltd. 18,754 420
* American Re Corp. 28,600 883
* American Science & Engineering, Inc. 46,900 146
American Software, Inc. Class A 52,550 263
* American Travellers Corp. 39,600 544
American Water Works Co., Inc. 19,083 518
* Americredit Corp. 63,500 373
Ameron, Inc. 9,500 337
Ametek, Inc. 29,000 428
AMPCO-Pittsburgh Corp. 28,700 186
* Amphenol Corp. 31,400 502
</TABLE>
<TABLE>
<S> <C>
THE LISTINGS FOR EACH OF THE PORTFOLIOS BEGIN ON
THE FOLLOWING PAGES:
EXTENDED MARKET PORTFOLIO . . . . . . . . . . . 1
TOTAL STOCK MARKET PORTFOLIO . . . . . . . . . 17
GROWTH PORTFOLIO . . . . . . . . . . . . . . . 34
VALUE PORTFOLIO . . . . . . . . . . . . . . . . 37
SMALL CAPITALIZATION STOCK PORTFOLIO . . . . . 40
</TABLE>
1
<PAGE> 29
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Amre, Inc. 35,700 $ 116
* Amrep Corp. 64,600 476
* Amsco International, Inc. 51,915 428
Amsouth Bancorp 30,826 967
Amtech Corp. 23,650 272
* Amylin Pharmaceuticals, Inc. 44,600 265
* Anacomp, Inc. 108,900 327
Anadarko Petroleum Corp. 35,600 1,820
* Analog Devices, Inc. 30,331 872
* Anchor Bancorp Inc. 36,400 569
* Anchor Gaming 26,200 308
* Andros Analyzers 20,600 368
Angelica Corp. 16,400 432
* Ann Taylor Stores Corp. 16,000 614
Antec Corp. 24,400 576
* Anthem Electronics, Inc. 17,686 367
Anthony Industries, Inc. 23,377 356
Aon Corp. 63,252 2,143
Apache Corp. 37,000 1,022
Apogee Enterprises, Inc. 31,700 424
Applebee's International, Inc. 36,000 436
* Applied Bioscience
International, Inc. 68,500 398
Applied Materials, Inc. 50,000 2,134
Aptargroup Inc. 24,200 550
Aquarion Co. 14,408 366
Arbor Drugs, Inc. 23,300 437
Argonaut Group, Inc. 15,019 413
* Argosy Gaming Co. 34,700 507
Arkansas Best Corp. 39,100 494
Armor All Products Corp. 28,300 605
Arnold Industries, Inc. 29,600 573
* Arrow Electronics, Inc. 19,600 730
Arrow International, Inc. 24,200 484
* Artisoft, Inc. 35,696 531
Arvin Industries, Inc. 13,300 319
Ashland Coal Inc. 19,200 514
* Associated Communication Corp.
Class B 23,100 580
Astro-Med, Inc. 33,350 308
* Astrosystems, Inc. 48,700 216
* Atari Corp. 81,700 235
* Guy F. Atkinson Co. of California 37,800 397
Atlanta Gas Light Co. 14,700 498
Atlantic Energy, Inc. 32,300 549
Atlantic Southeast Airlines Inc. 21,500 524
* Atlas Corp. 53,005 338
* Atmel Corp. 34,400 813
* Atrix Laboratories, Inc. 48,223 337
* Atwood Oceanics, Inc. 29,500 384
* Aurora 43,325 330
* Autofinance Group Inc. 36,720 408
Autotote Corp. 18,600 295
* Autozone, Inc. 90,200 2,199
* Avatar Holding, Inc. 13,700 495
Aviall Inc. 30,500 263
Avnet, Inc. 24,600 775
* Aztar Corp. 53,700 315
BB&T Financial Corp. 18,818 590
BHA Group Class A 21,100 211
* BHC Communications, Inc. Class A 15,700 1,201
* BJ Services Co. 26,000 536
* BMC Industries, Inc. 15,676 425
BSB Bancorp, Inc. 16,350 445
* BMC Software, Inc. 15,950 694
BWIP Inc. 17,600 306
* Back Yard Burgers, Inc. 48,400 248
Badger Meter, Inc. 13,000 291
Bairnco Corp. 14,800 65
J. Baker, Inc. 24,500 470
Baldor Electric Co. 23,820 557
Baldwin & Lyons, Inc. Class B 29,400 426
Ballard Medical Products 37,266 377
Baltimore Bancorp. 24,546 488
Bancorp Hawaii, Inc. 25,499 813
Bandag, Inc. 16,462 850
The Bank of New York Co., Inc. 117,220 3,385
Bank South Corp. 43,040 777
Bankers Life Holding Corp. 32,000 644
BanPonce Corp. 19,522 615
Banta Corp. 12,250 393
* Barnes & Noble Inc. 18,300 439
Barnwell Industries, Inc. 13,400 263
* Basin Exploration Inc. 38,400 322
Battle Mountain Gold Co. Class A 48,600 498
Baybanks, Inc. 11,500 690
Bear Stearns Co., Inc. 71,550 1,216
Bearings, Inc. 12,300 390
Beauticontrol Cosmetics 34,450 487
Beckman Instruments 18,400 465
Bed Bath and Beyond 20,100 575
Beeba's Creations, Inc. 66,114 248
A. H. Belo Corp. Class A 12,400 535
* Ben & Jerry's
Homemade, Inc. Class A 22,200 372
Bergen Brunswig Corp. Class A 21,732 364
W. R. Berkley Corp. 11,300 439
* Berkshire Hathaway 728 11,830
* Berlitz International, Inc. 26,226 354
Berry Petroleum Class A 42,800 407
Best Buy, Inc. 31,700 915
* Best Power Technology, Inc. 23,200 383
Betz Laboratories, Inc. 17,400 737
BIC Corp. 14,700 419
</TABLE>
2
<PAGE> 30
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Bindly Western Industries, Inc. 28,400 $ 334
Binks Manufacturing Co. 15,550 323
* Bio-Rad Labs, Inc. Class A 22,000 399
* Biotechnology General 98,100 251
Biocraft Laboratories 24,900 339
* Biogen, Inc. 18,569 531
* Biomatrix, Inc. 40,300 237
* Biowhittaker Inc. 49,899 312
* Biospecifics Technology 33,000 303
Birmingham Steel Corp. 21,450 579
Blair Corp. 12,000 490
E.W. Blanch Holdings, Inc. 24,800 527
Blessings Corp. 14,350 429
* Block Development 55,200 84
Block Drug Co. Class A 11,986 384
Bob Evans Farms, Inc. 25,216 544
* Bolt Beranek and Newman, Inc. 34,400 413
Bombay Co. 24,562 316
Borg-Warner Automotive, Inc. 11,600 262
* Borland International, Inc. 45,629 468
Boston Bancorp 11,800 388
* Boston Chicken, Inc. 10,800 389
Boston Edison Co. 27,800 730
* Boston Scientific Corp. 59,300 749
* Boston Technology, Inc. 47,500 451
Bowater, Inc. 21,796 537
* Boyd Gaming Corp. 33,500 494
W.H. Brady Class A 9,600 437
* Breed Technological Inc. 24,000 666
Brinker International, Inc. 42,463 892
Brooke Group Ltd. 25,800 39
Brooklyn Union Gas Co. 28,150 686
Brush Wellman, Inc. 25,500 405
Buffets Inc. 28,600 525
* Builders Transport, Inc. 24,500 338
Burlington Coat Factory
Warehouse Corp. 24,250 418
* Burlington Industries 40,800 597
Burlington Resources Coal
Seamgas Royalty Trust 19,000 404
* Burr-Brown Corp. 40,600 325
Bush Industries, Inc. 18,450 470
CBI Industries, Inc. 23,559 660
CCB Financial Corp. 13,500 535
CCP Insurance, Inc. 17,900 365
* C-Cor Electronics, Inc. 19,700 478
* CII Financial, Inc. 26,300 141
CIPSCO, Inc. 20,900 533
CKE Restaurants Inc. 39,400 335
CMAC Investment Corp. 16,900 427
CML Group, Inc. 30,150 354
CMS Energy Corp. 51,239 1,070
CPI Corp. 26,300 437
* CNA Financial Corp. 41,000 2,521
CRS/Sirrine, Inc. 32,200 346
* C-TEC Corp. 14,800 377
* C-TEC Corp. Class B 11,100 326
* CUC International, Inc. 68,962 1,845
* Cablevision Systems Corp. Class B 10,500 491
* Cabletron Systems, Inc. 17,133 1,655
Cabot Corp. 11,100 567
Cabot Oil & Gas Corp. 33,264 694
* Cadence Design Systems, Inc. 27,800 466
* Caesars World, Inc. 14,600 529
* Calgene, Inc. 42,100 492
Calgon Carbon Corp. 40,400 555
* California Energy Co. 21,892 361
California Federal Bank Class A 52,768 620
Callaway Golf Co. 20,400 796
Calmat Co. 27,300 553
* Cambridge Biotech Corp. 33,900 17
* Canandaigua Wine Co., Inc. Class A 14,000 348
* Canandaigua Wine Co., Inc. Class B 6,375 174
Capitol American Financial Corp. 28,200 663
Capstead Mortgage Corp. 16,300 375
Cardinal Health, Inc. 20,850 1,016
Caremark International Inc. 42,900 713
Carlisle Co., Inc. 14,900 488
* Carmike Cinemas, Inc. Class A 17,200 314
Carnival Corp. Class A 87,864 3,888
Carolina Freight Corp. 29,800 283
Carpenter Technology Corp. 8,900 532
* Carrington Labs Inc. 30,500 259
Carter-Wallace, Inc. 27,900 520
Casey's General Stores 41,600 468
Cash America International Inc. 47,300 366
Casino Magic Corp. 51,000 290
A.M. Castle & Co. 20,350 463
* Catalina Lighting, Inc. 11,100 110
* Catellus Development Corp. 125,901 928
Cato Corp. Class A 26,900 340
* Cellular Communications Series A 11,400 544
* Celtrix Labs 55,500 333
* Centerbank Connecticut 39,200 681
Centerior Energy Corp. 88,800 899
Centerpoint Properties Corp. 8,400 172
* Centocor, Inc. 53,000 593
* Central Cooperative Bank 27,100 379
Central Fidelity Banks, Inc. 23,850 778
Central Hudson Gas
& Electric Corp. 20,000 525
Central Louisiana Electric Co. 25,192 592
Central Maine Power Co. 25,855 297
Central Newspapers Inc. 14,750 418
</TABLE>
3
<PAGE> 31
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Central Sprinkler Corp. 28,525 $ 307
Central Vermont Public
Service Corp. 23,600 345
Century Communications Corp.
Class A 53,481 394
Century Telephone
Enterprises, Inc. 33,377 864
* Cerner Corp. 17,000 465
* Chalone Wine Group Ltd. 56,800 327
* Chambers Development Co.
Class A 84,000 184
* Chambers Development Co.
Class B 20,500 51
Chaparral Steel Co. 42,500 382
Charter One Financial 25,800 527
* Charter Medical Corp. 15,500 351
Checkers Drive-In Restaurant 55,600 323
* Checkpoint Systems, Inc. 26,900 454
Chelsea GCA Realty, Inc. 16,300 446
Chemed Corp. 14,400 515
* Chemical Fabrics Corp. 19,650 221
Chemical Waste Management 128,400 1,123
Chesapeake Corp. of Virginia 24,483 624
Cheyenne Software, Inc. 23,700 201
* Chicago and Northwestern Co. 26,100 603
Chiquita Brands International, Inc. 42,665 533
* Chiron Corp. 19,662 1,076
Chock Full O'Nuts Corp. 39,232 270
* Cholestech Corp. 38,000 104
Chris-Craft Industries, Inc. 17,240 623
* Christiana Cos., Inc. 16,200 551
Church and Dwight, Inc. 14,600 332
Cilcorp, Inc. 16,400 478
Cincinnati Bell, Inc. 40,100 657
Cincinnati Financial Corp. 30,400 1,611
Cincinnati Gas & Electric Co. 53,600 1,166
* Circa Pharmaceuticals Inc. 42,400 392
* Circon Corp. 31,357 290
* Cirrus Logic 22,200 687
Cintas Corp. 27,900 903
Circus Circus Enterprises Inc. 52,159 1,121
Citizens Banking Corp. 20,900 504
Citizens Corp. 21,400 375
Citizens First Bancorp, Inc. 62,700 564
Citizens Utilities Co. Class A 114,821 1,593
* City National Corp. 63,025 630
Clarcor Inc. 23,600 407
Clayton Homes Inc. 37,683 664
* Clean Harbors Inc. 45,200 359
Clear Channel Communications 10,600 399
Cleveland-Cliffs Iron Co. 14,800 562
* The Clothestime, Inc. 59,700 276
Coachmen Industries, Inc. 20,900 261
* Coast Savings Financial, Inc. 33,600 567
Coca-Cola Enterprises, Inc. 77,062 1,310
* Code Alarm, Inc. 27,600 292
Coeur D'Alene Mines Corp. 24,600 458
* Coherent Communications Rights 9,266 21
Exp. 7/21/94
* Coherent, Inc. 29,223 369
* Coleman Inc. 16,000 480
Collective Bancorporation Inc. 26,650 583
* Collagen Corp. 20,803 393
Colonial Gas Co. 19,013 402
* Coltec Inc. 42,500 792
Columbus Realty Trust 18,900 397
Comair Holdings, Inc. 25,300 519
Comdisco, Inc. 24,300 465
Comerica, Inc. 74,550 2,106
Commerce Bancshares, Inc. 19,700 608
Commerce Clearing House, Inc.
Class A 6,100 104
Commerce Clearing House, Inc.
Class B 14,400 248
Commerce Group, Inc. 39,600 663
* Commercial Federal Corp. 23,100 547
Commercial Metals Co. 22,066 568
Commonwealth Energy Systems 17,000 689
Communications Systems, Inc. 21,500 266
Community First Bankshares 26,458 357
Compass Bancshares Inc. 21,700 543
* CompUSA, Inc. 35,500 315
Computer Data Systems, Inc. 31,200 429
* Computer Outsourcing
Services, Inc. 57,600 302
Computer Task Group, Inc. 35,700 303
* Compuware Corp. 22,000 910
Comsat Corp. 24,600 572
Computer Horizons Corp. 16,425 142
* Conmed Corp. 17,100 224
* Conner Peripherals, Inc. 44,393 538
Conseco, Inc. 16,500 769
Consolidated Papers 27,000 1,171
Consolidated Products Inc. 12,377 125
* Consolidated Stores, Inc. 28,241 346
* Consolidated Technology Group 32,700 213
* Contel Cellular, Inc. 61,052 1,015
Continental Bank Corp. 32,300 1,171
* Continental Materials Corp. 38,600 429
* Continental Medical Systems, Inc. 51,950 422
Conversion Industries, Inc. 43,300 152
* Convex Computer Corp. 52,500 302
Copley Pharmaceutical, Inc. 21,217 634
* Cordis Corp. 11,600 451
</TABLE>
4
<PAGE> 32
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Core Industries, Inc. 19,400 $ 196
CoreStates Financial Corp. 597 15
* Corrections Corp. of America 37,800 619
* Cosmetic Center, Inc. Class A 25,100 398
* Cosmetic Center, Inc. Class B 6,900 103
Countrywide Credit Industries, Inc. 54,079 777
Cracker Barrel Old Country
Stores, Inc. 36,833 875
* Craig Corp. 24,623 317
Jenny Craig Inc. 58,900 353
Crawford & Co. Class B 22,300 368
* Cray Computer Corp. 66,500 64
* Cree Research, Inc. 36,700 367
Crestar Financial Corp. 22,942 1,044
Crompton & Knowles Corp. 30,400 524
A.T. Cross Co. Class A 28,500 456
* Crown Central Petroleum
Corp. Class B 21,500 349
Crown Crafts, Inc. 21,340 403
* Cruise America, Inc. 12,000 32
* Crystal Brands, Inc. 27,600 12
Cullen/Frost Bankers, Inc. 15,130 537
Curtice-Burns, Inc. Class A 24,700 395
Curtiss-Wright Corp. 11,800 395
* Custom Chrome 21,400 302
* Cypress Semiconductor Corp. 31,500 512
* Cytogen Corp. 77,300 358
DPL, Inc. 66,575 1,315
DQE Inc. 31,900 945
* DRCA Medical Corp. of America 56,800 174
Dames & Moore, Inc. 33,000 483
Danaher Corp. 17,533 732
Dart Group Corp. Class A 4,700 358
* Datascope Corp. 29,000 457
Dauphin Deposit Bank & Trust 18,040 469
* Davis Water and Waste
Industry, Inc. 44,200 387
Dean Foods Corp. 23,733 641
Deb Shops, Inc. 50,700 345
Debartalo Realty Corp. 40,900 598
Dekalb Genetics Corp. Class B 14,300 429
* Dell Computer 22,650 597
Delmarva Power & Light Co. 35,500 643
Delta & Pine Land Co. 21,100 368
Delta Woodside 32,700 384
* Dentsply International 16,900 587
* Department 56 Inc. 12,400 395
Deposit Guaranty Corp. 20,600 603
* Desoto, Inc. 29,500 177
* Destec Energy Inc. 38,101 381
* Detroit Diesel Corp. 11,800 301
* Devcon International Corp. 13,200 107
Devon Energy Corp. 36,200 815
Dexter Corp. 26,400 640
Diagnostic Products Corp. 23,600 510
* Dial Page, Inc. 20,500 569
Diamond Shamrock, Inc. 18,100 459
* Diagnostek, Inc. 31,400 683
Dibrell Brothers, Inc. 15,600 265
Diebold, Inc. 18,556 791
* Digi International, Inc. 24,250 364
* Digital Microwave Corp. 41,500 431
* Digital Systems Inc. 18,700 72
* Dime Bankcorp Inc. 59,500 588
* Dionex Corp. 13,300 446
* Discovery Zone, Inc. 38,775 521
* Dr. Pepper/Seven Up Cos., Inc. 37,100 853
Dole Food Co. 35,800 967
Dollar General Corp. 38,170 959
Donaldson Co., Inc. 28,700 642
Donnelly Corp. 18,550 292
Douglas & Lomason 19,800 371
Downey Savings & Loan Assn. 23,900 478
* Dravo Corp. 33,961 369
* The Dress Barn, Inc. 39,500 397
* Drexler Technology Corp. 12,000 71
Dreyer's Grand Ice Cream, Inc. 16,400 377
Dreyfus Corp. 22,300 1,082
* Drug Emporium, Inc. 67,430 350
Duracell International, Inc. 72,575 2,830
* Duracraft Corp. 11,500 500
Duriron Co., Inc. 30,900 506
Duty Free International Inc. 18,626 198
* EA Engineering Sciences
and Technology Inc. 27,800 417
EMC Corp. 111,600 1,507
* Eagle Food 33,600 139
* Earth Technology USA 10,600 124
* Easel Corp. 27,300 109
Eastern Utilities Associates 23,020 532
Ecology and Environment, Inc. 20,500 218
Edison Brothers Stores, Inc. 13,000 328
* Edisto Resources Corp. 150,700 1,149
* Editek Inc. 95,100 196
Edo Corp. 9,900 45
A.G. Edwards & Sons, Inc. 35,398 611
* Egghead, Inc. 48,400 345
* El Paso Electric Co. 132,200 269
El Paso Natural Gas 22,132 714
* Elcor Corp. 20,100 492
* Electrocon Automation 62,600 376
* Electromagnetic Sciences, Inc. 16,900 146
Electronic Arts 29,200 405
* Electronics for Imaging, Inc. 25,500 408
</TABLE>
5
<PAGE> 33
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Eljer Industries, Inc. 37,600 $ 259
Empire District Electric Co. 24,872 407
* Energy Conversion Devices, Inc. 34,500 431
Energy Services, Inc. 34,850 610
* Engineered Support Systems, Inc. 65,100 252
Energy North, Inc. 16,784 313
Enron Oil & Gas Co. 96,876 2,228
* Enterra Corp. 23,594 495
* Epitope Inc. 34,400 555
Equifax, Inc. 45,270 1,279
The Equitable Cos. 86,200 1,530
Equitable of Iowa Co. 18,800 595
Equitable Resources, Inc. 20,750 713
Equivest Finance, Inc. 56,675 120
* Equity Res. Properties Trust 17,100 509
Essex County Gas Co. 4,800 119
* Esterline Technologies Corp. 36,000 311
Ethyl Corp. 71,004 861
* Europa Cruises Corp. 105,000 261
* Exabyte Corp. 31,900 459
Expeditors International
of Washington, Inc. 19,600 343
* Ezcorp, Inc. 26,800 358
* FHP International Corp. 19,760 469
FMC Gold Co. 81,500 438
* Failure Group, Inc. 64,500 298
* Fairchild Corp. 16,000 62
Family Dollar Stores, Inc. 33,300 445
Fastenal Co. 11,700 396
Federal-Mogul Corp. 21,300 620
Federal Realty Investment Trust 17,100 438
Federal Signal Corp. 28,537 485
* Federated Stores 77,300 1,546
Ferro Corp. 17,275 399
* Fibreboard Corp. 14,300 358
* Fieldcrest Cannon, Inc. 16,200 401
Fifth Third Bancorp 38,250 2,008
Figgie International Inc. Class A 36,600 371
* Filene's Basement Corp. 44,450 428
Fina Inc. 8,600 655
Fingerhut Co. 27,246 661
First Bancorp of Ohio 26,100 656
First American Corp. (Tenn.) 16,000 522
First American Bank Corp. 37,149 1,323
First Bank System, Inc. 68,982 2,518
First Brands Co. 12,900 472
First Citizens Bancshares Class A 13,100 570
First Colonial Bankshares 21,500 495
First Colony Corp. 29,400 632
First Commerce Corp. 15,116 429
First Data Corp. 67,700 2,801
First Empire State Corp. 4,100 642
* First Federal Financial 24,175 360
First Financial Savings Assn. 34,800 513
First Financial Management 36,240 2,011
First Hawaiian, Inc. 19,200 542
First Inter-Bancorp 15,950 376
First Security Corp. 28,175 821
First Tennessee National Corp. 17,400 759
First USA Inc. 34,100 1,309
First Virginia Banks, Inc. 19,842 732
* First Western Finance Corp. 14,100 123
Firstar Corp. 38,700 1,369
Firstfed Michigan Corp. 24,850 573
* Firstmiss Gold, Inc. 52,600 391
* Fiserv, Inc. 24,250 500
Firstier Financial Inc. 12,723 600
* Flagstar Cos. 52,000 429
Fleet Mortgage Group 31,300 442
Flexsteel Industry 22,100 296
Flightsafety International, Inc. 19,800 745
Florida East Coast Railway Co. 7,200 472
Florida Progress Corp. 54,200 1,402
Florida Rock Industries, Inc. 16,200 389
Flowers Industries, Inc. 23,000 420
Fluke Corp. 14,045 414
Food Lion Inc. Class A 232,450 1,424
Food Lion Inc. Class B 58,605 385
* Foodarama Supermarkets, Inc. 23,100 313
Foote, Cone & Belding
Communications, Inc. 13,400 603
Foothill Group 43,300 509
Foremost Corp. of America 12,800 402
* Forest City Enterprise Class A 9,800 338
* Forest Laboratories, Inc. 26,508 1,153
* Foundation Health Co. 18,100 704
Fourth Financial Corp. 15,525 448
Foxmeyer Corp. 39,826 558
* Frame Technology 39,000 419
* Franklin Electronic Publishers, Inc. 29,600 340
* Franklin Quest Co. 12,500 445
Franklin Resources Corp. 51,300 1,905
Fredericks of Hollywood Class A 14,666 60
Fredericks of Hollywood Class B 29,332 125
Freeport McMoRan, Inc. 85,996 1,397
Freeport McMoRan Copper &
Gold Inc. Class A 39,774 885
Fremont General Corp. 21,350 502
* Fretter Inc. 11,628 57
Frisch's Restaurants, Inc. 23,812 313
* Fruit of the Loom, Inc. 46,812 1,223
H.B. Fuller Co. 16,450 598
* Fund American Enterprise
Holding Co. 5,685 401
</TABLE>
6
<PAGE> 34
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
G & K Services, Inc. 32,325 $ 489
GATX Corp. 12,200 494
GEICO Corp. 44,500 2,275
GFC Financial Corp. 12,900 431
* GNI Group Inc. 28,400 96
GP Financial Corp. 33,400 741
Gainsco, Inc. 39,306 349
Arthur J. Gallagher & Co. 21,400 663
* Gander Mountain, Inc. 29,100 360
* Gateway 2000 Inc. 41,500 464
Gaylord Entertainment Class A 55,200 1,352
Gencorp, Inc. 28,800 331
* Genentech Inc. 70,817 3,488
General Binding Corp. 29,600 529
* General Instrument 37,700 2,149
General Motors Corp. Class E 146,900 5,123
General Motors Corp. Class H 56,700 2,034
General Nutrition Cos., Inc. 22,800 399
General Public Utilities Corp. 71,700 1,882
* Genetics Institute Inc. 15,800 654
Gentex Corp. 31,000 794
* Geneva Steel Class A 37,700 636
* Genlyte Group, Inc. 8,700 42
Genovese Drug Stores, Inc. Class A 24,648 280
* Genrad, Inc. 53,600 308
* Gensia Inc. 24,000 225
Geon Co. 16,300 424
* Genzyme Corp. 14,209 369
* Georgia Gulf Corp. 24,398 836
Gerber Products Co. 43,000 2,193
Gerber Scientific, Inc. 32,000 496
Germantown Savings Bank 6,800 407
* Gerrity Oil & Gas Corp. 45,200 412
* Getty Petroleum Corp. 21,432 268
Gibson Greetings, Inc. 24,800 400
* Gilead Sciences, Inc. 44,700 374
P.H. Glatfelter Co. 26,300 421
* Glenayre Technologies, Inc. 9,900 384
* Glendale Federal 67,748 711
* Global Marine Inc. 93,700 433
* Glycomed, Inc. 96,600 229
Golden Enterprises Inc. 45,400 346
* E. Gottschalk & Co., Inc. 37,300 396
Goulds Pumps, Inc. 18,391 393
Graco, Inc. 20,750 389
* Graham-Field Health Products Inc. 58,400 263
* Grand Casinos, Inc. 29,100 400
Graphic Industries, Inc. 47,700 465
* Greater New York Savings Bank 46,300 460
Green Mountain Power Corp. 12,811 315
Green Tree Financial Corp. 20,800 1,165
* Greenwich Pharmaceuticals, Inc. 44,900 22
Greiner Engineering, Inc. 21,833 262
* Grist Mill Co. 26,550 139
* Grossmans, Inc. 103,700 259
Grow Group, Inc. 26,600 456
* Gtech Holdings Corp. 25,600 432
Guaranty National Corp. 25,000 372
Guilford Mills, Inc. 21,450 440
* Gundle Environmental
Systems, Inc. 57,500 323
HBO and Co. 18,000 457
* Hadco Corp. 50,800 321
* Haemonetics Corp. 25,600 464
* Hamburger Hamlet Restaurants 16,900 101
Hancock Fabrics, Inc. 45,300 357
Handy & Harman 27,800 389
M.A. Hanna Co. 21,450 544
Hannaford Brothers Co. 24,500 548
* Hanover Direct, Inc. 86,800 391
Harley-Davidson, Inc. 22,994 1,052
Harman International
Industries, Inc. 18,900 473
Harper Group, Inc. 29,300 418
Harsco Corp. 15,016 616
Hartford Steam Boiler Inspection
& Insurance Co. 13,043 584
* Hauser Chemical Research 45,700 308
Hawaiian Electric Industries Inc. 16,535 513
Health and Rehabilitation
Properties Trust 34,800 500
Health Care Properties Investors 16,000 492
Health Equity Properties, Inc. 37,000 338
Health Management
Associates Class A 29,662 608
* Health Professionals, Inc. 39,200 32
* Health Systems 35,500 892
* Healthcare & Retirement Corp. 20,500 507
* Healthcare Compare Corp. 31,798 566
* Healthcare Services Group, Inc. 37,300 469
* HEALTHSOUTH
Rehabilitation Corp. 24,576 642
Healthsource, Inc. 18,400 524
* Healthtrust Inc. 55,500 1,540
* Healthwise of America Inc. 17,956 368
Hechinger Co. Class A 42,700 592
* Hecla Mining Co. 56,100 596
* Hector Communications Corp. 34,250 261
Heico Corp. 28,350 291
Heilig-Meyers Co. 29,125 790
Hein-Werner Corp. 13,969 75
* Helen of Troy Corp. 22,500 326
Helene Curtis, Inc. 17,300 480
</TABLE>
7
<PAGE> 35
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Herbalife International
of America, Inc. 21,500 $ 469
Hibernia Corp. Class A 53,128 458
Hillenbrand Industries, Inc. 44,700 1,224
* Hitox Corp. of America 43,100 156
Holly Corp. 15,700 447
* Hollywood Casino Corp. 43,500 272
Home Federal Financial Corp. 24,630 453
* Home Holdings Inc. Series A 25,200 331
* Home Shopping Network, Inc. 56,800 667
Homeowners Group, Inc. 50,000 94
* Hometown Buffet, Inc. 26,250 397
Hon Industries, Inc. 18,800 519
Horace Mann Educators Corp. 17,100 466
* Horizon Healthcare Corp. 22,225 508
George A. Hormel & Co. 45,800 956
Horsehead Resource
Development Co., Inc. 46,000 144
* Hospital Staffing Services, Inc. 54,300 156
* Hospitality Franchise Systems, Inc. 25,800 632
Host Marriott 87,300 851
Houghton Mifflin Co. 8,800 389
* House of Fabrics, Inc. 63,300 214
Hubbell Inc. Class A 2,000 105
Hubbell Inc. Class B 17,051 946
Hughes Supply, Inc. 13,600 284
* Humana, Inc. 99,900 1,611
J.B. Hunt Transport Services, Inc. 24,150 441
Huntington Bancshares Inc. 63,080 1,593
IBP, Inc. 28,100 748
* ICOS Corp. 75,900 332
IDB Communications Group, Inc. 43,076 398
IES Industries, Inc. 17,040 441
* IGI, Inc. 37,600 324
* IHOP Corp. 18,000 515
IMC Fertilizer Group, Inc. 18,397 637
IMCO Recycling, Inc. 27,500 385
* Idaho Power Co. 22,100 503
llinova Corp. 46,376 870
Illinois Central Corp. 25,700 851
* Image Business Systems Corp. 103,700 68
* Image Entertainment, Inc. 54,500 371
* Immulogic Pharmaceutical Corp. 49,900 368
* Immune Response 33,383 334
* Immunex Corp. 45,200 571
* Imo Industries, Inc. 54,000 513
Imperial Bancorp 36,029 612
* Immunomedics Inc. 66,800 225
* Inacom Corp. 25,696 209
Indiana Energy, Inc. 39,000 712
* Indressco Inc. 36,400 432
Infinity Broadcasting Corp. 20,200 487
Informix Corp. 39,000 607
* Information Resources, Inc. 17,765 262
Integon Corp. 26,250 466
Integra Financial Corp. 20,131 941
* Integrated Device Technology Inc. 24,800 612
Intelligent Electronics Inc. 31,686 483
* Interco Co. 29,800 443
Interface, Inc. 31,900 363
Interface Systems Inc. 22,700 112
* Interlink Electronics Inc. 36,800 315
Intermet Corp. 36,900 286
* International Dairy
Queen, Inc. Class A 31,112 521
* International Imaging
Materials Inc. 20,600 376
International Game Technology 80,198 1,514
International Multifoods Corp. 29,169 463
International Recovery Corp. 23,700 308
International Specialty
Products, Inc. 61,000 419
* Intervoice, Inc. 55,200 386
Invacare Corp. 16,400 443
Iowa-Illinois Gas & Electric Co. 17,400 357
Ipalco Enterprises, Inc. 23,400 676
* Isomedix Inc. 20,600 348
* Itel Corp. 20,000 628
IVAX Corp. 51,900 850
JDN Realty Corp. 9,900 217
* J & J Snack Foods Corp. 27,900 357
J & L Specialty Steel Inc. 40,800 704
* JB's Restuarants Inc. 17,900 92
JMC Group Inc. 72,600 218
JSB Financial 19,299 475
Jackpot Enterprises, Inc. 22,727 182
* Jacobs Engineering Group Inc. 28,600 586
* Jay Jacobs, Inc. 12,100 17
* Jamesway Corp. 16,200 7
* Jan Bell Marketing Inc. 56,150 365
John Alden Financial Group 18,600 642
* Jones Apparel Group, Inc. 21,500 607
Justin Industries, Inc. 36,900 447
* KLA Instruments Corp. 12,800 477
KN Energy, Inc. 20,850 464
K U Energy Corp. 22,600 568
* K-V Pharmaceutical Co. Class A 29,400 250
* K-V Pharmaceutical Co. Class B 12,200 102
* Kaiser Aluminum &
Chemical Corp. 62,400 601
Kaman Corp. Class A 38,400 355
Kansas City Power & Light Co. 37,300 723
Kansas City Southern
Industries, Inc. 25,738 1,049
</TABLE>
8
<PAGE> 36
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Kaydon Corp. 23,300 $ 495
* Kelly Oil Corp. 48,000 342
Kellwood Co. 20,400 436
Kelly Services, Inc. Class A 23,337 636
* Kemet Corp. 30,100 508
Kemper Corp. 19,612 1,187
* Kendall International Inc. 11,600 592
* Kenetech Corp. 18,700 339
Kennametal, Inc. 12,381 610
* Kent Electronics Corp. 13,500 412
* Kentucky Medical Insurance Co. 38,611 280
* Ketema, Inc. 23,510 353
* Key Tronic Corp. 44,700 291
* Keystone Consolidated
Industries, Inc. 29,550 428
Keystone International Fund, Inc. 21,425 418
Kimball International, Inc. Class B 13,300 304
Kimco Realty Corp. 11,900 427
* Kimmins Environmental
Service Corp. 45,950 98
* Kinder Care Learning Centers Inc. 32,300 432
Kinetic Concepts, Inc. 95,700 341
* Kirby Corp. 30,800 504
* Kirschner Medical Corp. 22,300 219
Knape & Vogt Manufacturing Co. 18,875 361
* Knowledgeware, Inc. 36,500 196
* Kohls Corp. 22,100 1,039
* Komag, Inc. 29,900 549
* Kulicke & Soffa Industries, Inc. 20,400 278
* L.A. Gear Inc. 35,800 228
* LDDS Communications, Inc. 72,346 1,257
LG&E Energy Corp. 19,750 721
L & N Housing Corp. 34,300 270
* LSI Logic Corp. 29,400 735
LTV Corp. 64,923 998
* LTX Corp. 114,400 265
La Quinta Inns Inc. 23,800 622
La-Z-Boy Chair Co. 11,700 310
Lab One Inc. 23,100 442
Lafarge Corp. 32,000 620
Lakeland First Financial Group Inc. 28,341 567
LAM Research Corp. 13,650 384
Lancaster Colony Corp. 13,433 640
Lance, Inc. 22,641 385
* Landmark Graphics Corp. 23,000 702
* Landry's Seafood Restaurants, Inc. 16,000 296
Lands' End, Inc. 31,800 553
* Larizza Industries, Inc. 50,100 282
* Laser Precision Corp. 21,100 84
* Laserscope 16,100 74
Lattice Semiconductor Corp. 30,300 568
Lawson Products, Inc. 22,350 520
Lawter International Inc. 31,354 368
Lawyers Title Insurance Corp. 26,250 312
Learonal Inc. 24,100 410
* Lechters Corp. 32,500 451
Lee Enterprises, Inc. 14,000 448
* Legent Corp. 21,853 585
Legg Mason Inc. 22,000 415
Leggett & Platt, Inc. 24,400 915
* Lehman Brothers Holdings, Inc. 79,900 1,208
Lennar Corp. 21,150 399
Leucadia National Corp. 16,838 606
Liberty Corp. 21,200 580
* Liberty Media Corp. Class A 79,760 1,585
Liberty National Bancorp Inc. 15,249 469
Life Re Corp. 20,700 414
Lilly Industries Inc. Class A 35,388 500
* Lin Broadcasting Corp. 32,168 3,860
Lincare Holdings Inc. 16,500 324
Lincoln Telecommunications Co. 38,100 576
Linear Technology Corp. 21,702 952
* Liposome Co., Inc. 59,600 339
* Littelfuse, Inc. 17,800 374
Litton Industries, Inc. 27,700 931
* Live Entertainment Inc. 87,900 165
Loctite Corp. 21,100 891
Loews Corp. 40,000 3,410
* Lomas Financial Corp. 52,500 328
* Lone Star Steakhouse & Saloon 20,563 362
* Lone Star Technologies, Inc. 47,600 339
Long Island Lighting Co. 67,765 1,203
Longview Fiber Co. 32,070 561
Lubrizol Corp. 42,100 1,442
Lukens, Inc. 10,700 350
* Lynx Therapeutic 5,808 1
* Lynx Therapeutic Pfd. 8,448 8
Lyondell Petrochemical Co. 48,954 1,205
MBIA, Inc. 25,000 1,434
MCN Corp. 18,600 744
* MDT Corp. 56,900 274
MDU Resources Group, Inc. 21,400 572
* MFS Communications Co., Inc. 36,800 902
MGIC Investment Corp. 35,098 930
* MGI Pharmaceutical, Inc. 42,700 443
* MGM Grand Inc. 28,000 655
* M.S. Carriers Inc. 21,300 423
* MacFrugal's Bargains Close-Outs, Inc. 35,500 617
The MacNeal-Schwendler Corp. 28,600 400
* Magma Copper Co. Class B 37,300 564
* Magma Power Co. 14,300 415
Magna Group 30,700 589
* Magnatek 32,600 473
</TABLE>
9
<PAGE> 37
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Maine Public Service Co. 7,100 $ 184
Manpower Inc. 44,000 924
Manville Corp. 74,300 520
Mapco Inc. 18,100 1,068
Margaretten Financial Corp. 28,900 723
Marion Merrell Dow, Inc. 170,674 3,115
Mark IV Industries, Inc. 25,609 509
* Mark VII, Inc. 5,200 72
Mark Twain Bancshares, Inc. 18,050 519
* Marquest Medical Products Inc. 21,500 40
* Marquette Electronics Class A 27,200 435
Marshall & Ilsley Corp. 79,227 1,594
* Marshall Industries 22,572 497
* Martin Marietta Materials, Inc. 27,200 598
Marvel Entertainment Group 58,934 1,076
Maryland Federal Bancorp 18,276 493
Mascotech Inc. 37,400 496
* Masland Corp. 24,700 432
* Mastec Inc. 50,400 403
* Maxim Integrated Products, Inc. 8,700 451
* Maxtor Corp. 65,000 321
Maybelline, Inc. 25,051 692
* Maxxam Inc. 13,200 450
McClatchy Newspapers, Inc. 17,300 413
McCormick & Co., Inc. 48,983 992
* McMoRan Oil and Gas 8,599 39
* McWorter 18,400 283
Measurex Corp. 22,800 405
Medford Savings Bank 14,500 546
Media General, Inc. Class A 24,500 652
* Medical Care America 18,034 489
* Medical Imaging Centers
of America, Inc. 36,800 14
* Medical Technology Systems, Inc. 16,100 130
Medicine Shoppe
International, Inc. 18,750 427
* Medimmune Inc. 40,000 345
* Medical Dynamics, Inc. 116,800 226
Meditrust 19,500 663
* Megahertz Corp. 40,500 276
* Menley & James Inc. 19,300 17
Men's Wearhouse, Inc. 18,300 407
Mentor Corp. 25,700 392
Mentor Graphics Corp. 54,200 566
Merchantile Bancorp, Inc. 25,750 904
Mercantile Bankshares Corp. 28,650 568
Mercury Finance Co. 70,270 1,159
Mercury General Corp. 16,400 488
Meridian Bancorp, Inc. 35,295 1,070
* Merisel, Inc. 35,610 307
Merrill Corp. 14,400 320
Merry-Go-Round Enterprises, Inc. 50,523 101
* Mesa Airlines, Inc. 25,100 251
Met-Pro Corp. 21,922 315
Metro Bancshares Inc. 24,525 527
Metropolitan Financial Corp. 36,061 568
Fred Meyer, Inc. 15,800 575
Michael Foods, Inc. 41,400 453
* Michaels Stores, Inc. 14,100 474
Michigan National Corp. 9,000 650
* Micropolis Corp. 52,900 314
* Microcom Corp. 62,600 399
Micron Technology Inc. 61,850 2,134
* Micronics Computers, Inc. 71,000 306
* Microtouch Systems, Inc. 27,600 518
Mid-America Apartment
Communities, Inc. 13,300 333
Mid Atlantic Medical Services 12,900 573
Mid-American Waste Systems, Inc. 33,100 186
Mid-Iowa Financial Corp. 2,640 44
Midlantic Corp. 31,100 904
Midwest Grain Products 15,650 563
Midwest Resources Inc. 33,697 489
Herman Miller, Inc. 14,771 384
* Milwaukee Land Co. 2,300 16
Minerals Technologies, Inc. 14,300 415
Minnesota Power & Light Co. 18,300 474
Mirage Resorts Inc. 54,000 1,013
Mitchell Energy & Development
Corp. Class A 32,000 648
* Mobile Telecommunications
Technologies Corp. 21,300 386
Modern Controls, Inc. 28,775 216
Modine Manufacturing Co. 18,100 462
* Mohawk Industries, Inc. 24,100 428
* Molecular Biosystems, Inc. 24,300 267
Molex, Inc. 38,011 1,435
The Money Store 28,950 492
Monk Austin, Inc. 32,800 426
Montana Power Co. 31,400 703
Morgan Stanley Group, Inc. 46,384 2,638
Morrison Restaurants 22,425 510
Mosinee Paper Corp. 12,400 391
* Motor Club of America 19,500 67
* Mueller Industries Inc. 14,500 422
* Multimedia, Inc. 21,903 632
Murphy Oil Corp. 27,730 1,185
Myers Industries, Inc. 20,739 417
Mylan Laboratories, Inc. 48,400 1,029
NBB Bancorp, Inc. 13,900 653
NCH Corp. 9,300 572
NAC Re Corp. 13,025 384
N.S. Bancorp Inc. 14,800 437
NWNL Cos., Inc. 18,300 608
</TABLE>
10
<PAGE> 38
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* nVIEW Corp. 62,249 $ 307
NYMAGIC, Inc. 16,200 328
* Nabors Industries, Inc. 42,500 313
Nashua Corp. 13,800 352
* National Beverage Corp. 2,280 40
National City Corp. 97,006 2,656
National Computer Systems, Inc. 31,500 366
National Data Corp. 23,100 396
National Fuel & Gas Co. 22,400 658
National Gypsum Co. 12,300 381
National Health Labs Holdings 54,500 661
* National Pizza Corp. Class A 41,850 272
* National Pizza Corp. Class B 36,750 230
National Presto Industries, Inc. 10,963 444
National Re Holdings Corp. 21,200 549
* National Record Mart, Inc. 57,800 231
* National Steel Corp. Class B 42,400 657
* Nationwide Cellular Service Inc. 25,200 304
Nationwide Health Properties, Inc. 10,400 406
* Nautica Enterprises 19,762 477
Neiman Marcus Group Inc. 37,904 602
* Nellcor Inc. 20,100 533
* Network Equipment Technologies 39,547 341
* Network General Corp. 28,244 445
* Network Systems Corp. 59,000 391
Neutrogena Corp. 28,800 558
Nevada Power Co. 25,252 483
New England Business Service, Inc. 23,200 441
New England Electric System 39,400 1,285
* New Mexico & Arizona Land Co. 32,100 293
New Plan Realty Trust 29,300 637
New York State Electric
& Gas Corp. 43,500 1,033
Newcor, Inc. 29,500 310
Newhall Land & Farming Co. 41,200 613
Newmont Gold Co. 63,491 2,476
* Nextel Communications 58,200 1,753
* Nine West Group, Inc. 21,100 549
Noble Affiliates, Inc. 29,500 892
Nordson Corp. 11,240 615
* Nortek, Inc. 31,952 300
North American Mortgage 23,200 557
North Fork Bancorporation, Inc. 35,900 476
North Side Savings Bank 25,235 593
* North Star Universal Inc. 63,800 339
* Northeast Federal Corp. 14,113 136
Northeast Utilities 81,100 1,764
Northern Indiana Public Service Co. 39,870 1,176
Northern Trust Corp. 32,250 1,322
* Northwest Airlines Corp. Class A 67,000 959
Northwest Natural Gas Co. 17,700 527
Northwestern Public Service Co. 15,300 421
* NovaCare, Inc. 38,712 619
Novellus Systems, Inc. 8,800 304
OEA, Inc. 23,300 647
OHM Corp. 31,000 329
Oasis Residential, Inc. 17,700 438
* O'Brien Environmental
Energy Inc. Class A 15,700 11
* Oceaneering International, Inc. 36,900 517
* Octel Communications Corp. 19,900 333
Office Depot, Inc. 86,925 1,739
* Offshore Logistics, Inc. 31,800 429
* Offshore Pipelines Inc. 23,800 467
* Ogden Projects, Inc. 22,529 389
Ohio Art Co. 8,700 209
Ohio Casualty Corp. 21,456 603
Oklahoma Gas & Electric Co. 24,300 738
* Old America Stores 31,500 345
Old Kent Financial Corp. 24,100 840
Old National Bancorp 11,027 400
Old Republic International Corp. 30,774 685
Olin Corp. 13,300 717
Olsten Corp. 24,850 795
Omnicom Group Inc. 20,100 970
Onbancorp Inc. 15,700 473
Oneida Ltd. 25,789 364
* Oneita Industries 23,733 217
Optical Coating Laboratory, Inc. 44,466 289
* Optical Radiation Corp. 19,800 453
Orange & Rockland Utilities, Inc. 17,100 534
* Orbital Sciences Corp. 25,200 403
* Oregon Metallurgical Corp. 48,500 294
Oregon Steel Mills, Inc. 25,300 484
* O'Reilly Automotive, Inc. 15,800 419
Oriole Homes Corp. Class B 7,500 52
* Orthomet Inc. 43,300 287
O'Sullivan Corp. 35,675 339
* Outback Steakhouse 24,150 581
Overseas Shipholding Group Inc. 20,300 370
* Owens-Illinois, Inc. 73,972 814
Oxford Health Plan 10,400 462
PCA International, Inc. 33,693 295
* PDG Environment Industries 7,140 7
PHH Corp. 11,100 395
* PS Group, Inc. 29,600 303
* Pacific Crest Capital Inc. 43,645 316
Pacific Scientific Co. 17,900 463
Pacific Telecom, Inc. 23,800 512
* Pacificare Health Systems
Inc. Class A 14,700 726
* Pacificare Health Systems
Inc. Class B 2,100 102
Paging Network Inc. 31,400 860
</TABLE>
11
<PAGE> 39
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
PaineWebber Group, Inc. 44,775 $ 700
* Parametric Technology Corp. 33,204 751
Paramount Communications, Inc. 37,002 1,721
* Park Communications, Inc. 26,750 625
* Park-Ohio Industries, Inc. 25,900 335
Parker & Parsley Petroleum Co. 16,100 411
* Parker Drilling Co. 87,600 526
Paul Revere Corp. 27,500 547
Paychex, Inc. 18,450 542
* Payless Cashways, Inc. 21,300 288
* Pec Israel Economic Corp. 17,800 416
Pegasus Gold 20,500 328
Penn Engineering &
Manufacturing Co. 7,200 339
Pennsylvania Enterprises Inc. 12,850 386
Pennsylvania Power and Light Co. 92,598 1,817
Pentair, Inc. 11,154 402
Penwest Ltd. 18,609 419
Peoples Heritage Financial
Group Inc. 33,800 444
* Peoplesoft Inc. 23,700 832
* Perfumania Inc. 14,300 44
* Perini Corp. 15,600 172
Perrigo 65,500 892
* Perry Drug Stores Inc. 52,200 281
Petrie Stores Corp. 28,331 698
Petroleum Heat & Power Co. 47,600 336
Petroleum Heat & Power Co.
Class B 4,300 80
Petrolite Corp. 14,700 458
Petsmart, Inc. 16,100 459
* Pharmaceutical Resources Inc. 40,970 318
Pharmaceutical Resources, Inc.
Series A Convertible Pfd. 1,199 9
Phillips-Van Heusen Corp. 16,093 404
Physician Corp. of America 32,200 733
* Photronics Labs Inc. 23,000 420
* Picturetel Inc. 29,400 369
* Piedmont Management Inc. 27,600 335
Piedmont Natural Gas, Inc. 30,028 608
Pier 1 Imports Inc. 39,077 298
Pilgrim's Pride Corp. 40,000 255
Pinnacle West Capital Corp. 52,700 863
Pioneer Financial 37,800 378
Pioneer Standard Electronics Inc. 20,900 530
Pioneer Financial Corp. 22,500 512
Pittway Corp. Class A 13,800 480
Plains Petroleum Co. 20,500 438
* Playboy Enterprises Inc. Class A 22,850 160
* Playboy Enterprises Inc. Class B 31,150 210
Plenum Publishing Corp. 13,600 364
* Plexus Corp. 21,650 257
Ply-Gem Industries, Inc. 24,100 497
* Pogo Producing Co. 28,400 657
* Policy Management Systems Corp. 13,964 461
* Pool Energy Service Co. 44,967 467
Pope & Talbot, Inc. 19,000 342
Portland General Electric Co. 29,500 502
Potomac Electric Power Co. 73,100 1,398
* Powersoft Corp. 14,300 694
Precision Castparts Corp. 17,200 546
Premier Industrial Corp. 52,447 996
President Riverboat Casinos, Inc. 48,417 351
Presidential Life Corp. 42,600 296
* Premier Bancorp, Inc. 32,600 571
* Presidio Oil Co. Class A 18,100 34
T. Rowe Price 17,200 458
* Primadonna Resorts, Inc. 19,100 468
Primark Corp. 32,800 369
Prime Bancorp Inc. 25,630 541
Production Operators Corp. 16,500 435
Progressive Corp. of Ohio 44,106 1,467
* Pronet, Inc. 22,100 265
Property Trust of America 24,800 443
Protective Life Corp. 14,900 600
Protein Design Labs 27,600 507
Provident Life & Accident
Insurance Co. of America Class B 27,200 694
* Providential Corp. 33,200 174
Public Service Co. of Colorado 37,500 980
* Public Service Co. of New Mexico 25,120 289
Puerto Rican Cement Co., Inc. 13,700 392
Puget Sound Power & Light Co. 38,015 713
Pulitzer Publishing Co. 16,180 572
Puritan-Bennett Corp. 23,200 461
* Pyramid Technology Corp. 45,300 266
* Pyxis Corp. 21,200 405
* QMS, Inc. 39,800 279
* QVC Network, Inc. 24,725 943
Quaker State Corp. 48,500 679
* Qualcomm, Inc. 30,000 488
Quality Food Centers Inc. 12,124 274
Quanex Corp. 24,900 476
* Quarterdeck Office Systems 105,500 297
* Quantum Corp. 40,100 519
Questar Corp. 23,615 765
Quincy Savings Banks 24,600 595
RFS Hotel Investors, Inc. 13,000 228
* RJR Nabisco Holdings, Inc. 704,047 4,312
R.L.I. Corp. 17,200 372
* RPC Energy Services 44,700 369
RPM Inc. (Ohio) 32,925 558
* Rainbow Technologies, Inc. 16,600 201
* Rasterops 58,300 251
</TABLE>
12
<PAGE> 40
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Raymond James Financial, Inc. 33,050 $ 479
* Read-Right Corp. 44,114 571
Reader's Digest Assn., Inc. Class A 72,200 2,996
* Reading & Bates Corp. 74,520 540
Redman Industries, Inc. 21,400 345
Regal-Beloit Corp. 15,900 425
Regions Financial Corp. 29,727 1,033
* Reliance Electric Co. 29,000 526
Reliance Group Holdings 66,714 359
* Rentrak Corp. 52,200 356
Republic New York Corp. 31,850 1,469
* Research Industries Corp. 37,150 293
Response Technologies, Inc. 79,000 217
Revco Drug Stores, Inc. 30,500 488
* Revco Drug Stores, Inc.
Rights Exp. 7/7/94 9,302 17
Rexall Sundown, Inc. 40,200 332
Reynolds & Reynolds Class A 25,000 578
Rhone-Poulenc Rorer, Inc. 85,704 2,614
* Riedel Environmental 25,300 3
* Riggs National Corp. 49,900 443
Riverwood International Corp. 40,500 673
* Robert Half International, Inc. 24,300 981
* Roberts Pharmaceuticals 14,200 291
* Rochester Community Savings Bank 28,100 541
Rochester Gas and Electric Corp. 23,248 506
Rochester Telephone Corp. 42,244 956
Rockefeller Center Properties Inc. 72,800 419
Rodman and Renshaw Capital
Group, Inc. 2,239 11
* Rogers Corp. 10,100 335
* Rohr, Inc. 37,200 391
Rollins, Inc. 22,000 536
Rollins Truck Leasing 31,050 520
Roosevelt Financial Group 29,100 467
* Ropak Corp. 43,644 245
Ross Stores, Inc. 35,200 513
* The Rottlund Co. 43,600 382
Rouse Co. 30,000 566
* Royal Appliance Manufacturing Co. 83,400 323
Royal Grip, Inc. 31,100 257
Russ Berrie, Inc. 33,100 505
Rust International, Inc. 51,500 785
* Rykoff-Sexton, Inc. 21,625 405
Ryland Group, Inc. 24,800 434
* SCI Systems, Inc. 33,300 502
SJW Corp. 9,300 334
SPI Pharmaceuticals 31,900 502
* SPS Transaction Services 8,300 464
* Safeguard Health Enterprises, Inc. 35,300 452
Safeguard Scientifics, Inc. 13,900 363
* Safety First Inc. 16,500 363
* Safeway, Inc. 62,928 1,502
St. Ives Laboratories, Inc. 39,500 301
St. Joe Paper Co. 18,600 925
St. Paul Bancorp, Inc. 27,150 597
* Salant Corp. 4,700 33
San Diego Gas & Electric Co. 71,200 1,317
Sanderson Farms, Inc. 23,700 409
* Sanifill, Inc. 24,200 611
Saul Centers, Inc. 22,800 402
Savannah Foods & Industries, Inc. 40,900 486
Sbarro, Inc. 14,394 536
Scana Corp. 27,900 1,196
* R. P. Scherer Corp. 13,726 453
* Scholastic Corp. 16,200 605
A. Schulman Inc. 26,262 676
Schult Home Corp. 22,700 301
Charles Schwab Corp. 35,489 878
* Sci-Med Life Systems, Inc. 10,400 272
* Scios Nova, Inc. 59,100 380
Scope Industries 2,400 62
E.W. Scripps Co. Class A 45,324 1,326
Scripps Howard Broadcasting 6,100 607
* Seagate Technology 42,042 825
Seafield Capital Corp. 12,100 454
Seagull Energy Corp. 22,700 587
* Sealed Air Corp. 21,600 599
* The Seibels Bruce Group, Inc. 25,700 49
Selective Insurance Group 19,000 480
* Selfix, Inc. 24,120 157
Sensormatic Electronics Corp. 36,561 1,051
Sequa Corp. Class A 14,900 440
* Sequent Computer Systems, Inc. 38,700 530
* Service Merchandise Co., Inc. 59,387 379
Shaw Industries, Inc. 87,400 1,442
Shawmut National Corp. 825 18
Shelby Williams Industries, Inc. 25,900 265
Shopko Stores, Inc. 45,855 459
Sholodge, Inc. 32,133 647
* Shorewood Packaging 35,200 664
* Show Biz Pizza Time, Inc. 25,600 285
Showboat, Inc. 21,016 352
Sierra Pacific Resources 33,000 619
* Sierra Semiconductor 45,294 377
Sigma Aldrich Corp. 30,200 1,216
Signet Banking Corp. 35,530 1,435
Silicon Graphics, Inc. 84,480 1,869
Simon Property Group 29,100 775
Sithe Energies, Inc. 32,000 372
Sizzler International 52,425 308
* Skybox International Inc. 43,300 498
A.O. Smith Corp. 18,500 472
</TABLE>
13
<PAGE> 41
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Smith International, Inc. 55,300 $ 843
* Smithfield Foods, Inc. 26,600 748
Smiths Food & Drug Centers,
Class B 21,200 400
J.M. Smucker Co. Class A 17,400 409
J.M. Smucker Co. Class B 1,200 26
Snapple Beverage Corp. 75,700 1,552
* Sofamor/Danek Group Inc. 29,900 389
Softdesk, Inc. 21,200 265
* Software Publishing Corp. 70,950 302
Solectron Corp. 24,900 632
Sonoco Products 53,700 1,108
Sotheby's Holdings Class A 32,800 406
South Jersey Industries, Inc. 18,784 338
* Southdown, Inc. 22,700 477
Southern Indiana Gas & Electric 19,254 529
Southern National Corp. 27,100 542
Southern New England
Telecom Corp. 38,600 1,177
* Southern Pacific Rail Corp. 96,600 1,896
Southern Union Co. 21,654 382
* Southland Corp. 246,300 1,532
Southtrust Corp. 47,151 967
Southwest Airlines Co. 84,239 2,201
Southwest Gas Corp. 29,700 535
Southwestern Energy Co. 32,500 561
Southwestern Life Corp. 78,900 414
Southwestern Public Service Co. 24,200 602
Sovereign Bancorp, Inc. 49,038 527
* Spaghetti Warehouse, Inc. 36,600 275
Spartan Motors, Inc. 30,350 381
* Spec's Music Inc. 43,366 249
Spelling Entertainment 56,600 481
Spiegel, Inc. Class A 67,100 1,292
Standard Federal Bank 19,500 488
Standard Products Co. 18,050 528
The Standard Register Co. 21,700 461
Standex International Corp. 20,500 538
Stanhome, Inc. 11,500 380
Staples, Inc. 24,174 656
Star Banc Corp. 17,500 663
Starbucks Corp. 16,400 408
L. S. Starrett Co. Class A 16,700 359
L. S. Starrett Co. Class B 400 9
* Starter Corp. 36,600 375
State Street Boston Corp. 47,200 1,829
Station Casinos, Inc. 36,600 403
Sterling Chemicals, Inc. 64,700 607
* Sterling Software, Inc. 11,500 345
Stewart & Stevenson Services, Inc. 19,582 815
Stewart Information Services Corp. 19,800 359
* Stolt Nielson SA 19,100 329
Stone & Webster, Inc. 19,200 629
* Stop & Shop Cos. Inc. 30,100 722
* Storage Technology Corp. 25,345 827
* Stratus Computer, Inc. 14,900 421
Strawbridge & Clothier Class A 19,364 387
* Structural Dynamics
Research Corp. 42,900 424
Stryker Corp. 30,000 799
Student Loan Marketing Assn. 54,000 1,944
Student Loan Corp. 27,300 536
* Submicron Systems Corp. 61,800 255
Summit Bancorp 29,180 627
* Summit Technology, Inc. 20,500 554
Sunamerica Inc. 20,100 822
Sunbeam Oster 49,900 998
Sundstrand Corp. 21,800 1,025
* Sungard Data Systems 11,400 416
Super Food Services, Inc. 40,600 482
* Supercuts, Inc. 29,700 316
Superior Industries
International, Inc. 18,319 586
Surgical Care Affiliates, Inc. 28,800 382
* Swift Energy Co. 31,900 343
Swift Transportation Co., Inc. 22,350 721
Sybase, Inc. 28,400 1,388
* Sybron Corp. 22,000 660
* Symantec Corp. 38,300 407
* Symbol Technologies, Inc. 22,100 553
* Synergen, Inc. 36,450 292
* Synopsys, Inc. 15,563 586
SynOptics Communications, Inc. 38,400 521
Synovus Financial Corp. 40,500 724
Syntex Corp. 136,500 3,140
* Systemix, Inc. 21,930 387
* TBC Corp. 40,875 475
TCA Cable Television, Inc. 27,500 619
TCBY Enterprises, Inc. 62,100 342
TCF Financial Corp. 11,800 400
TECO Energy, Inc. 70,500 1,348
* TIE Communications, Inc. 11,000 83
TIG Holdings, Inc. 38,500 770
TJ International, Inc. 20,700 398
TNP Enterprises, Inc. 23,800 357
* T.P.I. Enterprises, Inc. 43,200 257
T Squared Medical 26,600 276
* Takecare, Inc. 7,900 606
Talbots, Inc. 21,500 645
* Talley Industries, Inc. 51,700 336
Tambrands, Inc. 23,477 863
Taubman Co. 51,200 589
* Tech Data Corp. 34,600 580
* Technical Communications Corp. 20,300 150
</TABLE>
14
<PAGE> 42
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Technology Solutions Co. 59,300 $ 360
Tecumseh Products Co. Class A 6,400 297
Tecumseh Products Co. Class B 11,800 580
Tejas Gas Corp. 11,887 571
Tejon Ranch Co. 28,800 392
Teleflex Inc. 13,400 437
Telephone & Data Systems, Inc. 30,838 1,141
Tellabs, Inc. 34,300 1,059
Telxon Corp. 36,300 581
* Teradyne, Inc. 21,200 562
Terra Industries, Inc. 82,992 643
* Tesoro Petroleum Corp. 54,000 587
Texas Industries, Inc. 14,157 476
Thermo Electron Corp. 28,650 1,067
Thermo Instrument Systems, Inc. 28,100 794
Thermedics, Inc. 42,000 614
Thiokol Corp. 22,200 536
* 3 Com Corp. 18,400 946
Tidewater, Inc. 32,000 744
Tiffany & Co. 18,766 650
* Todd Shipyards Corp. 26,800 114
* Tokos Medical 72,378 299
Tootsie Roll Industries, Inc. 6,543 387
The Topps Co., Inc. 76,340 544
The Toro Co. 17,200 409
Tosco Corp. 20,166 600
Total Petroleum
(North America) Ltd. 46,800 562
Total System Services, Inc. 20,400 413
Transatlantic Holdings 13,700 716
Transtechnology Corp. 28,800 367
* Tremont Corp. 46,895 363
* Triarc Cos. Inc. 25,000 413
Trimas Corp. 22,800 524
* Trimble Navigation Ltd. 37,400 358
* Trimedyne, Inc. 39,600 225
Trinity Industries, Inc. 23,450 824
* Triton Energy Corp. 21,372 708
Trustco Bank 22,104 503
* Tucson Electric Power Co. 120,400 361
* Tuesday Morning, Inc. 62,400 226
Tultex Corp. 66,100 306
Turner Broadcasting Class A 26,900 457
Turner Broadcasting Class B 90,800 1,578
20th Century Industries 30,600 516
Tyco Toys, Inc. 54,598 382
Tyson Foods, Inc. 89,907 2,107
UGI Corp. Holding Co. 18,955 377
United Jersey Bank Financial Corp. 31,300 865
UMB Financial Corp. 17,037 569
* UNC, Inc. 62,700 345
* URS Corp. 29,050 153
USG Corp. 27,200 493
USLICO Corp. 23,800 440
Ultramar Corp. 23,100 606
Unifi, Inc. 43,925 1,027
Union Bank of San Francisco 21,108 625
* Union Corp. 33,700 320
Union Planters Corp. 24,702 661
Union Texas Petroleum Holdings 56,200 1,005
United Asset Management Co. 15,100 498
United Carolina Bancshare Corp. 20,500 479
United Cos. Finance Corp. 14,894 611
United Dominion Industries Ltd. 35,185 616
* United Gaming, Inc. 37,800 196
* United Guardian, Inc. 51,400 199
United Illuminating Co. 16,600 546
* United International
Holdings, Inc. Class A 22,800 314
* United States Banknotes 85,600 300
* U.S. Bioscience 54,829 370
* United States Cellular 34,800 866
* U.S. Energy Corp. 52,630 247
* U.S. Long Distance Corp. 31,500 321
U.S. Shoe Corp. 36,965 702
United States Trust Corp. 11,800 600
United Stationers, Inc. 35,200 343
* United Television, Inc. 18,200 878
United Water Resources, Inc. 48,944 630
Unitil Corp. 16,900 283
Unitrin Inc. 31,870 1,271
Universal Corp. 21,200 413
Universal Foods Corp. 16,362 517
* Universal Health Services Class B 22,500 588
US Bancorp, Inc. 13,800 347
Utilicorp United, Inc. 25,510 730
VSB Bancorp, Inc. 7,776 165
* Vaalco Energy, Inc. 84,900 233
Valassis Communication 42,200 680
Valero Energy Corp. 25,800 452
Valhi, Inc. 107,100 549
Valley National Bancorp 18,067 479
Valspar Corp. 12,800 467
* Value City Department Stores, Inc. 36,100 483
* Value Health, Inc. 22,796 872
* Vanguard Cellular
Systems, Inc. Class A 16,058 528
* Varco International, Inc. 65,100 439
Varian Associates, Inc. 21,400 760
Vectra Tech Inc. 48,600 231
* Vencor, Inc. 18,550 640
* Ventritex Inc. 26,100 483
Venture Stores, Inc. 24,900 492
* VeriFone, Inc. 29,500 457
</TABLE>
15
<PAGE> 43
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Versa Technology, Inc. 16,900 $ 213
* Vertex Communications Corp. 18,000 223
* Vestar, Inc. 50,800 305
* Viacom International Class A 19,400 655
* Viacom International Class B 55,800 1,765
* Vicor Corp. 26,700 504
* Vicorp Restaurants, Inc. 25,200 365
Viking Office Products 23,600 593
Virco Manufacturing Corp. 14,054 112
Virginia Beach Federal
Financial Corp. 11,850 104
Vishay Intertechnology, Inc. 14,289 577
* Vital Signs, Inc. 19,564 191
* Vons Cos., Inc. 25,700 437
Vornado Realty Trust 13,598 496
Vulcan International Corp. 5,900 121
Vulcan Materials Co. 21,800 1,000
* WMS Industries, Inc. 18,000 342
WPL Holdings, Inc. 18,600 507
* Waban, Inc. 34,400 572
Wackenhut Corp. 24,700 361
* Wainoco Oil Corp. 72,200 343
Wallace Computer Services, Inc. 13,400 429
* Warnaco Group 18,800 552
Washington Energy Co. 30,207 446
Washington Federal
Savings & Loan Assn. 23,390 512
Washington Gas Light Corp. 12,601 476
Seattle (WA) Mutual Savings Bank 36,385 755
Washington National Corp. 20,350 432
Washington Post Co. Class B 7,100 1,642
Washington Real Estate
Investment Trust 25,400 492
Washington Water Power Co. 31,300 450
Watts Industries Class A 26,200 616
Wausau Paper Mills Co. 16,799 399
* Weatherford International, Inc. 55,400 748
Del E. Webb Corp. 29,000 457
Webster Financial Corp. 19,580 436
Weingarten Realty Investors 15,700 597
Weis Markets, Inc. 26,700 674
* Wellfleet Communications 36,800 918
Wellman, Inc. 19,155 534
* Wellpoint Health
Networks, Inc. Class A 61,700 1,820
Werner Enterprises, Inc. 24,700 695
Wesco Financial Corp. 4,158 481
West Co., Inc. 17,400 376
West One Bancorp 20,112 576
* Western Beef 40,660 239
* Western Digital Corp. 29,800 380
Western Gas Resources, Inc. 15,100 400
* Western Publishing Group, Inc. 36,500 431
Western Resources, Inc. 37,586 1,010
* Roy F. Weston, Inc. 41,500 249
Westpoint Stevens, Inc. 38,800 534
* Westwood One, Inc. 13,300 102
Wheelabrator Technologies 114,406 2,131
* Wheeling Pittsburgh Corp. 31,850 557
* White River 12,042 394
* Whittaker Corp. 24,600 369
John Wiley & Sons Class A 6,600 566
Willamette Industries, Inc. 33,100 1,423
* Willcox & Gibbs, Inc. 49,644 316
* Clayton Williams Energy, Inc. 40,500 278
Wilmington Trust Corp. 23,000 615
* Windmere Corp. 36,500 360
* Windmere Corp. Warrants
Exp. 1/19/98 297 1
* Wisconsin Central
Transportation Corp. 5,100 329
Wisconsin Energy Corp. 66,461 1,587
Wisconsin Public Service Corp. 14,600 412
Wiser Oil Co. 26,200 419
Witco Chemical Corp. 35,100 1,044
Wolverine World Wide, Inc. 26,800 570
* World Corp. 49,900 200
* Worldtex Inc. 75,544 378
Wyle Laboratories 22,700 380
* Wyman Gordon Corp. 70,400 427
* Xilinx, Inc. 13,900 476
* Xoma Corp. 54,000 145
Xtra Corp. 9,900 478
* Xylogics, Inc. 16,600 293
Yankee Energy Systems 18,577 464
York International Corp. 23,000 845
Zenith National Insurance Corp. 31,460 728
Zions Bancorp. 14,400 581
* Zurich Reinsurance Centre
Holdings, Inc. 15,600 419
* Zycad Corp. 39,400 106
- - ---------------------------------------------------------------
TOTAL COMMON STOCKS (97.6%)(1)
(Cost $825,018) 896,715
- - ---------------------------------------------------------------
</TABLE>
16
<PAGE> 44
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (2.7%)
- - ---------------------------------------------------------------
U.S. TREASURY BILL--Note D
4.26%, 9/22/94 $ 700 $ 693
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 4.26%, 7/1/94 23,732 23,732
- - ---------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $24,425) 24,425
- - ---------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(Cost $849,443) 921,140
- - ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.3%)
Other Assets--Notes B and E 45,951
Liabilities--Note E (48,318)
---------
(2,367)
- - ---------------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------------
Applicable to 50,503,083 outstanding
shares of beneficial interest
(unlimited authorization) $918,773
- - ---------------------------------------------------------------
NET ASSET VALUE PER SHARE $18.19
===============================================================
</TABLE>
+ See Note A to Financial Statements.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index, Standard & Poor's Midcap 400 Index, and Russell 2000 Index
futures contracts represents 100.1% of net assets.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
- - ---------------------------------------------------------------
AT JUNE 30, 1994, NET ASSETS CONSISTED OF:
- - ---------------------------------------------------------------
Amount Per
(000) Share
--------- ---------
<S> <C> <C>
Paid in Capital--Note C $812,154 $16.08
Undistributed Net Investment
Income 6,630 .13
Accumulated Net Realized
Gains--Note C 29,213 .58
Unrealized Appreciation of
Investments--Note D 70,776 1.40
- - ---------------------------------------------------------------
NET ASSETS $918,773 $18.19
- - ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
Value
TOTAL STOCK MARKET PORTFOLIO Shares (000)
- - ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- - ---------------------------------------------------------------
* ABC Rail Products Corp. 9,500 $ 181
* ADC Telecommunications, Inc. 6,000 244
* AES Corp. 10,026 190
AFLAC, Inc. 15,886 536
* AGCO Corp. 4,400 161
* AMR Corp. 10,093 599
ARCO Chemical Co. 13,000 590
* AST Research, Inc. 10,700 151
AT&T Corp. 188,862 10,269
AT&T Capital Corp. 5,500 126
Abbott Laboratories, Inc. 113,329 3,286
* Abex, Inc. 13,279 96
* Ace Cash Express, Inc. 2,700 21
* Action Performance Cos., Inc. 30,400 156
* Acuson Corp. 11,312 148
Adobe Systems, Inc. 5,500 151
* Advacare Inc. 13,500 32
* Advanced Magnetics, Inc. 6,000 82
* Advanced Micro Devices, Inc. 12,260 305
* Advanced Technologies
Laboratories, Inc. 10,939 142
* Advanced Tissue Sciences Inc. 9,600 42
* Advanta Corp. Class A 5,850 208
Aetna Life & Casualty Co. 15,750 880
* Agency Rent-a-Car, Inc. 9,139 101
H.F. Ahmanson & Co. 15,623 295
* Air and Water
Technologies Corp. Class A 15,400 140
* Air Products & Chemicals, Inc. 16,829 713
Airborne Freight Corp. 5,390 187
* Airtouch Communications 68,272 1,613
Alamo Group, Inc. 8,600 139
Albank Financial Corp. 4,300 98
Albemarle Corp. 16,715 274
Alberto-Culver Co. Class B 5,723 124
Albertson's, Inc. 36,574 1,006
Alco Standard Corp. 7,253 414
Alex Brown & Sons, Inc. 7,280 180
* Aldus Corp. 6,647 169
Alexander & Alexander
Services, Inc. 4,220 68
Alexander & Baldwin, Inc. 5,400 138
* Alexander's, Inc. 3,000 155
* All American Semiconductor, Inc. 34,600 95
* Alleghany Corp. 2,018 300
Allegheny Ludlum Corp. 10,400 192
* Allegheny Power System, Inc. 16,700 351
Allergan, Inc. 9,029 195
* Alliance Entertainment 25,300 130
* Alliance Pharmaceutical Corp. 16,700 161
* Alliant Techsystems, Inc. 6,500 188
</TABLE>
17
<PAGE> 45
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Allied Capital Commercial Corp. 8,100 $ 136
Allied Capital Lending Corp. 4,900 67
Allied-Signal, Inc. 39,294 1,360
* Allmerica Property & Casualty Cos. 16,700 280
Allstate Corp. 11,800 280
ALLTEL Corp. 26,300 661
* Allwaste, Inc. 17,200 101
* Alumax, Inc. 5,241 134
Aluminum Co. of America 12,492 913
* ALZA Corp. 11,631 273
* Amax Gold, Inc. 26,193 206
AMBAC, Inc. 5,122 201
Amcast Industrial Corp. 3,400 74
* Amdahl Corp. 23,173 127
Amerada Hess Corp. 13,180 649
* American Annuity Group Inc. 13,817 123
American Brands, Inc. 28,097 888
American Classic Voyager Co. 10,000 162
American Cyanamid Co. 12,227 685
American Electric Power Co., Inc. 24,790 700
American Express Co. 68,360 1,760
American General Corp. 29,620 818
American Greetings Corp. Class A 9,962 298
American Health Properties, Inc. 6,500 156
American Home Products Corp. 43,111 2,446
American International Group, Inc. 44,248 3,833
* American List Corp. 5,775 106
* American Medical Holdings, Inc. 9,700 244
American National Insurance Co. 3,800 179
* American Power Conversion Corp. 12,000 193
American Premier Underwriters Inc. 5,900 148
* American President Cos., Ltd. . 9,200 206
* American Re Corp. 6,600 204
American Stores Co. 19,790 485
American Studios, Inc. 36,800 124
Amerifed Financial Corp. 2,100 90
Ameritech Corp. 76,530 2,927
Ametek, Inc. 16,100 237
* Amgen, Inc. 18,160 777
Amoco Corp. 68,930 3,929
AMP, Inc. 14,842 1,028
* Amphenol Corp. 14,000 224
* Amsco International, Inc. 22,585 186
Amsouth Bancorp 6,574 206
Amtech Corp. 3,375 39
* Amylin Pharmaceuticals, Inc. 6,900 41
Anadarko Petroleum Corp. 8,400 429
* Analog Devices, Inc. 7,069 203
* Anchor Bancorp Inc. 8,100 127
* Andrew Corp. 5,325 194
* Andros Analyzers 4,900 88
Angelica Corp. 3,300 87
Anheuser-Busch Co., Inc. 37,680 1,912
* Ann Taylor Stores Corp. 7,200 276
* Anthem Electronics, Inc. 2,514 52
* Anthony Industries, Inc. 5,869 90
Aon Corp. 14,448 489
Apache Corp. 12,269 339
Apple Computer, Inc. 15,755 417
* Applied Bioscience
International, Inc. 10,300 60
* Applied Materials, Inc. 11,000 470
Arbor Drugs, Inc. 10,900 204
Archer-Daniels-Midland Co. 44,607 1,037
Argent Bank 2,000 43
Argonaut Group, Inc. 8,881 244
* Armco, Inc. 17,296 97
Armor All Products Corp. 5,200 111
Armstrong World Industries Inc. 5,192 242
* Arrow Electronics, Inc. 4,600 171
* Artisoft, Inc. 9,104 135
Asarco, Inc. 7,124 200
Ashland Oil, Inc. 8,371 281
* Aspect Telecommunications 5,800 163
* Associated Communication
Corp. Class B 8,000 201
Astro-Med, Inc. 4,300 40
* Asyst Technologies, Inc. 11,500 135
Atlanta Gas Light Co. 3,800 129
* Atlanta Sosnoff Capital 8,900 52
Atlantic Energy, Inc. 6,300 107
Atlantic Richfield Co. 22,151 2,262
Atlantic Southeast Airlines Inc. 4,100 100
* Atmos Energy Corp. 3,750 69
* Atwood Oceanics, Inc. 4,400 57
* Aura Systems, Inc. 20,500 180
Autodesk, Inc. 3,195 158
Automatic Data Processing, Inc. 20,101 1,068
* Automotive Industries Inc. Class A 5,200 139
* Autozone, Inc. 19,300 470
Avemco Corp. 8,700 121
Avery Dennison Corp. 7,787 226
Aviall Inc. 12,919 111
Avnet, Inc. 4,900 154
Avon Products, Inc. 9,765 575
* BHC Communications, Inc. Class A 3,700 283
* BMC Industries, Inc. 6,200 168
* BMC Software, Inc. 3,900 170
* BMJ Financial Corp. 13,900 156
* BOK Financial Corp. 3,000 61
* BPI Packaging Technologies Inc. 28,900 110
* Badger Paper Mills, Inc. 9,300 110
Baker Hughes, Inc. 18,190 373
Baldor Electric Co. 4,920 115
</TABLE>
18
<PAGE> 46
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Baldwin Technology Class A 11,900 $ 54
Ball Corp. 9,501 247
* Ballard Medical Products 7,466 76
Baltimore Gas & Electric Co. 20,553 437
* Banc One Corp. 52,000 1,781
Bancorp Hawaii, Inc. 5,900 188
Bandag, Inc. 2,738 141
Bandag, Inc. Class A 538 25
Bangor Hydro-Electric Co. 6,900 91
* Bank of Boston Corp. 14,089 347
The Bank of New York Co., Inc. 25,486 736
Bank North Group 3,300 70
BankAmerica Corp. 49,918 2,284
Bankers Corp. 8,580 153
Bankers Life Holding Corp. 6,900 139
Bankers Trust New York Corp. 11,071 738
BanPonce Corp. 9,477 299
C.R. Bard, Inc. 6,118 146
* Barefoot, Inc. 4,700 155
Barnes Group, Inc. 2,700 95
Barnett Banks of Florida, Inc. 13,046 571
* Barr Labs Inc. 5,500 102
Bassett Furniture Industries, Inc. 2,863 81
* Battle Mountain Gold Co. Class A 16,600 170
Bausch & Lomb, Inc. 7,768 287
Baxter International, Inc. 38,658 1,015
Baybanks, Inc. 2,700 162
Bear Stearns Co., Inc. 15,866 270
Beauticontrol Cosmetics 5,800 82
Becton, Dickinson & Co. 10,061 411
Bell Atlantic Corp. 60,567 3,392
* Bell Bancorp, Inc. 1,800 97
Bell Industries, Inc. 9,700 161
BellSouth Corp. 69,255 4,276
A. H. Belo Corp. Class A 3,200 138
Bemis Co., Inc. 7,201 160
Beneficial Corp. 7,006 256
Bergen Brunswig Corp. Class A 7,049 118
* Berkshire Hathaway 168 2,730
Berkshire Realty Co., Inc. 18,400 196
* Berlitz International, Inc. 11,928 161
Berry Petroleum Class A 6,800 65
* Bertucci's Holding Corp. 7,800 109
* Best Buy, Inc. 8,100 234
* BET Holdings Inc. Class A 4,700 69
* Bethlehem Steel Corp. 13,682 255
* Bettis Corp. 6,600 31
Betz Laboratories, Inc. 3,900 165
* Beverly Enterprises Inc. 20,179 245
* Biogen, Inc. 7,500 215
* Biomet, Inc. 14,089 149
* Biotechnology General 26,600 68
* Black & Decker Corp. 11,841 204
Black Hawk Gaming &
Development Co., Inc. 13,300 120
E. W. Blanch Holdings, Inc. 6,000 128
Blimpie International, Inc. 8,300 51
Block Drug Co. Class A 3,451 111
H & R Block, Inc. 14,256 560
Blockbuster Entertainment Corp. 33,918 878
* Boatmen's Bancshares, Inc. 14,246 447
Bob Evans Farms, Inc. 11,500 248
Boddie Noell Restaurant 12,800 182
The Boeing Co. 47,414 2,193
Boise Cascade Corp. 10,538 233
* Bolt Beranek and Newman, Inc. 12,000 144
Borden, Inc. 18,260 226
* Borland International, Inc. 17,700 181
Boston Edison Co. 6,700 176
* Boston Scientific Corp. 14,400 182
Bowater, Inc. 11,800 291
* Breed Technological Inc. 6,500 180
Briggs & Stratton Corp. 3,514 235
* Bright Voice Systems, Inc. 13,000 143
* Brinker International, Inc. 9,224 194
Bristol-Myers Squibb Co. 71,514 3,835
Brooklyn Union Gas Co. 5,150 126
Brown-Forman Corp. Class B 9,351 264
Browning-Ferris Industries, Inc. 26,209 796
Bruno's Inc. 11,944 85
Brunswick Corp. 13,297 293
Bryn Mawr Bank Corp. 1,900 62
* Burlington Coat Factory
Warehouse Corp. 7,875 136
Burlington Northern, Inc. 12,287 656
Burlington Resources, Inc. 17,800 736
Burnham Pacific Properties, Inc. 10,800 184
* Business Records Corp. 3,500 105
CBI Industries, Inc. 7,591 213
CBS, Inc. 2,204 683
CCP Insurance, Inc. 4,700 96
CFSB Bancorp, Inc. 3,600 68
CIGNA Corp. 9,863 721
CIPSCO, Inc. 3,600 92
CML Group, Inc. 11,700 137
CMS Energy Corp. 11,161 233
* CNA Financial Corp. 8,333 512
CPC International, Inc. 20,843 1,006
CPI Corp. 4,500 75
CRI Liquidating REIT, Inc. 10,400 59
CSX Corp. 14,203 1,072
* CUC International, Inc. 15,550 416
* Cabletron Systems, Inc. 4,167 403
Cabot Corp. 2,700 138
</TABLE>
19
<PAGE> 47
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Cadence Design Systems, Inc. 17,100 $ 286
Cadmus Communications 6,700 121
* Caesars World, Inc. 5,100 185
* Caldor Corp. 3,100 87
Calgon Carbon Corp. 8,300 114
* California Federal Bank Class A 18,700 220
Callaway Golf Co. 7,800 304
Camco International, Inc. 9,800 200
Campbell Soup Co. 34,999 1,203
* Canonie Environmental
Services Corp. 3,600 14
Capital Bancorporation 3,700 81
Capital Cities/ABC, Inc. 21,820 1,552
Capital Re Corp. 9,100 191
Capitol American Financial Corp. 8,500 200
* Capsure Holdings 5,200 79
Caraustar Industries, Inc. 12,100 209
Cardinal Health, Inc. 3,900 190
* Caremark International, Inc. 10,564 176
* Carmike Cinemas, Inc. Class A 4,500 82
Carnival Corp. Class A 19,436 860
Carolina Power & Light Co. 21,566 499
Carpenter Technology Corp. 1,700 102
Carter-Wallace, Inc. 4,800 89
* Casino Magic Corp. 5,600 32
Catalyst Semiconductor, Inc. 33,100 62
* Catellus Development Corp. 23,600 174
Caterpillar, Inc. 14,199 1,420
* Catherines Stores 18,300 162
* Cellular Communications Series A 3,000 143
* Celtrix Labs 7,000 42
* Center Banks Inc. 14,800 185
Centerior Energy Corp. 19,900 201
Centex Corp. 4,236 109
* Centigram Communications 3,800 71
Central & South West Corp. 25,102 533
Central Fidelity Banks, Inc. 5,750 188
Central Hudson Gas & Electric Corp. 8,000 210
Central Jersey Bancorp 5,800 178
Central Louisiana Electric Co. 3,908 92
Central Newspapers Inc. 7,950 226
Central Reserve Life Corp. 14,900 125
Century Telephone Enterprises, Inc. 7,780 201
* Ceridian Corp. 12,235 301
* Chalone Wine Group Ltd. 27,800 160
Champion International Corp. 12,352 406
* Chantal Pharmaceutic Corp. 10,100 9
Charming Shoppes, Inc. 11,392 105
* Charter One Financial 4,200 86
The Chase Manhattan Corp. 26,114 999
Chealsea GCA Realty, Inc. 2,900 79
* Checkers Drive-In Restaurant 8,550 50
Chemed Corp. 2,900 104
Chemical Banking Corp. 35,354 1,361
* Chemical Waste Management 28,200 247
Chesapeake Corp. of Virginia 6,217 159
Chester Valley Bancorp. 900 18
Chevron Corp. 90,672 3,797
* Cheyenne Software, Inc. 6,525 55
* Chic by H.I.S., Inc. 10,800 135
Chicago and Northwestern
Transportation Co. 11,300 261
* Chipcom Corp. 5,100 201
Chiquita Brands International, Inc. 17,235 215
* Chiron Corp. 4,228 231
Chittenden Corp. 6,575 136
Chrysler Corp. 49,420 2,329
The Chubb Corp. 12,381 949
Church and Dwight, Inc. 4,600 105
* Churchill Downs, Inc. 3,200 139
Cilcorp, Inc. 6,600 192
Cincinnati Bell, Inc. 7,800 128
Cincinnati Financial Corp. 6,500 345
Cincinnati Gas & Electric Co. 11,350 247
* Cintas Corp. 5,700 185
* Circa Pharmaceuticals Inc. 9,900 92
* Circon Corp. 16,200 150
Circuit City Stores, Inc. 12,736 261
* Circus Circus Enterprises Inc. 11,241 242
* Cisco Systems, Inc. 34,528 803
* Citicorp 54,042 2,155
Citizens Corp. 14,400 252
* Citizens First Bancorp, Inc. 14,100 127
* Citizens Utilities Co. Class A 23,881 331
* Clayton Homes Inc. 8,312 146
* Clear Channel Communications 3,906 147
Clorox Co. 7,202 352
* Coast Savings Financial, Inc. 5,300 89
Coastal Corp. 13,616 368
* Coastal Healthcare Group, Inc. 3,700 124
Coca-Cola Bottling Co. 3,200 89
The Coca-Cola Co. 180,735 7,342
Coca-Cola Enterprises, Inc. 17,300 294
* Coeur D'Alene Mines Corp. 10,500 196
* Cognex Corp. 5,600 78
* Coherent Communications
Rights Exp. 7/21/94 4,000 9
Colgate-Palmolive Co. 20,751 1,079
Collective Bancorporation Inc. 7,349 161
* Coltec Inc. 8,400 156
* Columbia First Federal Savings
and Loan Assn. 2,300 93
* Columbia Gas Systems, Inc. 6,198 167
Columbia/HCA Healthcare Corp. 47,038 1,764
</TABLE>
20
<PAGE> 48
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Columbia Real Estate
Investments, Inc. 10,900 $ 110
* Comcast Corp. Class A 12,860 231
* Comcast Corp. Class A Special 20,650 370
* Comdial Corp. 8,300 25
Comdisco, Inc. 13,200 252
Comerica, Inc. 16,952 479
* Commander Aircraft Co. 28,600 125
Commerce Clearing
House, Inc. Class A 3,500 60
Commerce Clearing
House, Inc. Class B 5,500 95
* Commercial Federal Corp. 8,800 208
* Commercial Metals Co. 5,100 131
Commonwealth Edison Co. 29,361 668
* Community Healthcare Systems 5,799 120
* Community Psychiatric Centers 15,263 181
* Compaq Computer Corp. 34,580 1,115
* CompUSA, Inc. 10,500 93
* Computer Associates
International, Inc. 22,894 916
* Computer Sciences Corp. 6,784 282
* Compuware Corp. 6,900 285
Comsat Corp. 4,700 109
Conagra, Inc. 34,583 1,055
* Cone Mills Corp. 16,500 212
Connecticut Natural Gas Corp. 2,400 61
Connecticut Water Services, Inc. 4,000 93
* Conner Peripherals, Inc. 13,707 166
Conrail, Inc. 11,348 621
Conseco, Inc. 3,700 173
* Consilium, Inc. 6,700 41
Consolidated Edison Co. of
New York, Inc. 32,896 872
Consolidated Natural Gas Co. 12,485 471
Consolidated Papers 6,400 278
* Consolidated Stores, Inc. 7,159 88
* Contel Cellular, Inc. 14,448 240
Continental Bank Corp. 7,400 268
Continental Corp. 6,564 102
* Continuum Inc. 7,900 161
* Control Data Corp. 17,533 158
* Convex Computer Corp. 14,000 81
Cooper Industries, Inc. 15,512 558
Cooper Tire & Rubber Co. 11,252 260
* Cordis Corp. 4,300 167
CoreStates Financial Corp. 26,485 682
Corning, Inc. 29,514 963
Countrywide Credit Industries, Inc. 13,317 191
Cracker Barrel Old
Country Stores, Inc. 8,354 198
* Craig Corp. 6,577 85
Crane Co. 4,948 131
* Cray Research, Inc. 5,109 116
* Creative Technology 28,300 124
* Credit Acceptance Corp. 6,250 145
* Cree Research, Inc. 9,000 90
Crestar Financial Corp. 6,020 274
Criimi Mae Inc. 6,700 70
Crompton & Knowles Corp. 5,900 102
* Crosscom Corp. 2,600 24
* Crown Books Corp. 8,500 149
* Crown Cork & Seal Co., Inc. 12,635 471
Crown Crafts, Inc. 7,300 138
* Cryomedical Sciences 50,100 113
Cummins Engine Co., Inc. 6,066 262
* Cygne Designs, Inc. 6,900 150
* Cygnus Therapeutic Systems 17,300 136
Cyprus Amax 13,148 391
* Cytec Industries, Inc. 1,418 28
* Cytrex Corp. 16,300 68
* DF & R Restaurants, Inc. 3,000 70
DPL, Inc. 14,150 279
DQE Inc. 7,200 213
* DSC Communications Corp. 14,302 280
* Daily Journal Corp. 3,100 56
Dames & Moore, Inc. 5,400 79
Dana Corp. 13,446 383
* Data Race, Inc. 4,300 23
Dauphin Deposit Bank & Trust 10,820 281
* Davel Communications Group, Inc. 4,800 50
Dayton-Hudson Corp. 10,094 818
Dean Foods Corp. 8,467 229
Dean Witter Discover & Co. 24,050 902
Deere & Co. 11,964 809
* Dell Computer 10,500 277
Delmarva Power & Light Co. 6,700 121
* Delphi Information Systems Inc. 35,900 130
Delta Air Lines, Inc. 6,723 304
Deluxe Corp. 10,736 283
* Dentsply International 3,300 115
* Desoto, Inc. 17,000 102
* Destec Energy Inc. 6,800 68
* Detroit Diesel Corp. 8,300 212
Detroit Edison Co. 20,096 497
Developers Divers Realty Corp. 7,000 217
Dexter Corp. 5,000 121
Diagnostic Products Corp. 4,100 89
The Dial Corp. 6,312 270
* Dial Page, Inc. 6,200 172
* Diasonics Ultrasound 33,500 130
Dibrell Brothers, Inc. 3,500 60
* Diebold, Inc. 6,793 290
* Digi International, Inc. 3,600 54
</TABLE>
21
<PAGE> 49
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Digital Equipment Corp. 18,484 $ 358
Dillard Department Stores Class A 15,450 477
The Walt Disney Co. 75,219 3,131
* Dr. Pepper/Seven Up Cos., Inc. 8,500 196
Dole Food Co. 8,500 230
Dollar General Corp. 7,890 198
Dominion Resources, Inc. 23,443 853
R.R. Donnelley & Sons Co. 22,802 633
Donnelly Corp. 4,100 65
* Dovatron International Inc. 6,657 131
Dover Corp. 7,471 440
Dow Chemical Co. 37,980 2,483
Dow Jones & Co., Inc. 13,595 421
* Dravo Corp. 14,639 159
* The Dress Barn, Inc. 7,400 74
Dresser Industries, Inc. 23,876 489
Dreyfus Corp. 4,700 228
* Drug Emporium, Inc. 33,370 173
E.I. du Pont de Nemours & Co. 94,512 5,517
* Dual Drilling Co. 16,700 184
Duke Power Co. 28,611 1,023
The Dun & Bradstreet Corp. 24,772 1,375
Duracell International, Inc. 16,425 641
Duriron Co., Inc. 5,250 86
Duty Free International Inc. 6,274 67
EG & G, Inc. 14,836 223
* EMC Corp. 25,100 339
* ESSEF Corp. 5,000 72
E-Systems, Inc. 4,054 152
* Easel Corp. 12,300 49
Eastern Enterprises 9,077 208
Eastern Utilities Associates 5,071 117
Eastman Chemical 13,744 656
Eastman Kodak Co. 45,577 2,193
Eaton Corp. 10,296 535
Echlin, Inc. 8,442 254
* Echo Bay Mines Ltd. 15,800 170
Ecolab, Inc. 9,292 204
Edison Brothers Stores, Inc. 4,200 106
* Edisto Resources Corp. 25,400 194
Edo Corp. 17,800 80
* Education Alternatives, Inc. 7,700 95
A.G. Edwards & Sons, Inc. 6,733 116
El Paso Natural Gas 4,449 143
Elco Industries Inc. 5,700 101
* Electronic Arts 13,700 190
Emerson Electric Co. 31,417 1,787
Empire District Electric Co. 9,700 159
* Empire of Carolina, Inc. 6,200 38
Emulex 23,950 163
Energen Corp. 3,200 67
* Energy Ventures Inc. 11,900 152
* Engelhard Corp. 12,576 318
Enquirer/Star Group Inc. Class A 9,800 173
Enron Corp. 34,082 1,116
Enron Oil & Gas Co. 22,124 509
ENSERCH Corp. 7,912 114
Entergy Corp. 32,424 802
* Enterra Corp. 10,106 212
Equifax, Inc. 12,200 345
The Equitable Cos. 20,400 362
Equitable of Iowa Co. 9,500 300
Equitable Resources, Inc. 4,900 168
* Ethan Allen Interiors Inc. 7,200 148
* Ethyl Corp. 15,530 188
* Exabyte Corp. 7,200 104
Excel Realty Trust, Inc. 7,800 154
* Expeditors International of
Washington, Inc. 5,900 103
* Express America Holdings Co. 13,400 127
* Express Scripts 5,300 131
* Exstar Financial Corp. 5,800 46
Exxon Corp. 173,334 9,815
* FHP International Corp. 9,600 228
FM Properties Inc. 35,900 121
* FMC Corp. 5,276 286
FMC Gold Co. 37,300 200
F.N.B. Corp. 8,132 129
FPL Group, Inc. 26,234 784
* Fair Issac & Co. 4,100 122
Family Dollar Stores, Inc. 8,300 111
* Farm & Home Financial Corp. 3,450 111
Farmer Brothers, Inc. 1,200 153
Fay's Drug Co. 10,075 67
* Fedders Corp. 12,345 94
* Federal Express Corp. 7,521 561
Federal Home Loan Mortgage Corp. 24,608 1,489
Federal-Mogul Corp. 9,000 262
Federal National Mortgage Assn. 37,896 3,164
Federal Paper Board Co., Inc. 8,728 200
Federal Signal Corp. 12,662 215
* Federated Stores 16,700 334
Ferro Corp. 4,700 109
Fifth Third Bancorp 8,600 452
* 50-Off Stores, Inc. 7,400 26
Figgie International Inc. Class A 9,500 96
Figgie International Inc. Class B 900 9
* Filene's Basement Corp. 13,700 132
* Filenet Corp. 6,900 119
Fina Inc. 2,200 167
Fingerhut Co. 7,654 186
First American Bank Corp. 7,700 274
First American Corp. (Tenn.) 5,700 186
First American Financial Corp. 5,500 127
</TABLE>
22
<PAGE> 50
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
First Bancorp of Ohio 8,300 $ 209
First Bank System, Inc. 15,200 555
First Chicago Corp. 12,122 583
First Citizens Bancshares Class A 2,000 87
First Colonial Bankshares 6,300 145
First Colony Corp. 5,824 125
* First Commerce Corp. 3,892 110
First Commercial Bank
Shares Class A 2,900 48
First Commonwealth Financial Corp. 6,400 111
First Data Corp. 15,600 645
First Empire State Corp. 2,000 313
* First Federal Financial 4,200 62
First Federal Savings
Bank/Puerto Rico 11,550 182
First Fidelity Bancorp. 11,178 518
First Financial Bancorp 1,173 45
* First Financial Management 8,200 455
First Financial Savings Assn. 5,600 83
First Hawaiian, Inc. 5,100 144
First Inter-Bancorp 2,747 65
First Interstate Bancorp. 11,294 870
* First Michigan Bank Corp. 3,765 86
First Midwest Bancorp 4,600 122
First Security Corp. 5,750 167
First Tennessee National Corp. 3,800 166
First Union Corp. 23,568 1,087
First Union Real Estate 16,200 103
* First USA Inc. 7,400 284
First Virginia Banks, Inc. 4,007 148
First Western Bancorp 5,215 153
Firstar Corp. 8,700 308
* Firstfed Michigan Corp. 4,050 93
Firstier Financial Inc. 4,300 203
* Fiserv, Inc. 6,700 138
Fleet Financial Group, Inc. 19,447 734
Fleet Mortgage Group 8,300 117
Fleetwood Enterprises, Inc. 12,158 233
Fleming Cos., Inc. 3,936 109
Flightsafety International, Inc. 4,900 184
Florida Progress Corp. 11,550 299
Flowers Industries, Inc. 6,100 111
Fluor Corp. 11,681 594
Food Lion Inc. Class A 54,700 335
Food Lion Inc. Class B 7,694 50
* Foodmaker, Inc. 23,700 133
Ford Motor Co. 69,037 4,073
* Foreland Corp. 2,700 6
Foremost Corp. of America 5,300 166
* Forest City Enterprise Class A 4,300 148
* Forest Laboratories, Inc. 6,092 265
Fort Wayne National Corp. 3,300 92
Foster Wheeler Corp. 5,479 199
* Foundation Health Co. 5,000 194
Fourth Financial Corp. 9,000 260
* Frame Technology 13,200 142
Franklin Electric, Inc. 3,400 93
Franklin Resources Corp. 12,000 446
Freeport McMoRan, Inc. 20,300 330
Freeport McMoRan Copper &
Gold Inc. Class A 8,725 194
Fremont General Corp. 8,150 192
* Fresh Choice, Inc. 2,600 55
* Fritz Cos., Inc. 5,200 161
* Fruehauf Trailer Corp. 10,000 41
* Fruit of the Loom, Inc. 9,688 253
Fulton Financial Corp. 5,637 123
* Fund American Enterprise
Holding Co. 3,285 232
GATX Corp. 3,000 122
* GC Cos. 1,991 51
GEICO Corp. 9,700 496
GFC Financial Corp. 3,900 130
GTE Corp. 131,479 4,142
Gainsco, Inc. 7,816 69
Arthur J. Gallagher & Co. 4,100 127
Galveston-Houston Co. 13,200 20
Gannett Co., Inc. 20,182 999
The Gap, Inc. 19,574 837
* Gardner Denver Machinery, Inc. 15,712 141
* Gateway 2000 Inc. 18,700 209
* Gaylord Entertainment Class A 12,700 311
* Genentech Inc. 15,883 782
General Binding Corp. 4,800 86
General Dynamics Corp. 9,058 370
General Electric Co. 237,288 11,064
* General Instrument 8,500 485
General Mills, Inc. 22,395 1,223
General Motors Corp. 99,423 4,996
General Motors Corp. Class E 32,700 1,140
General Motors Corp. Class H 13,000 466
* General Nutrition Cos., Inc. 12,400 217
General Public Utilities Corp. 17,600 462
General Re Corp. 11,839 1,290
General Signal Corp. 6,314 208
* Genetics Institute Inc.
Depository Shares 3,100 128
* Gensia Inc. 6,100 57
* Gentex Corp. 5,400 138
Genuine Parts Co. 16,901 611
* Genzyme Corp. 4,089 106
* Georgia Gulf Corp. 8,802 301
Georgia-Pacific Corp. 12,098 724
Gerber Products Co. 9,132 466
</TABLE>
23
<PAGE> 51
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Giant Food, Inc. Class A 7,068 $ 139
Gibson Greetings, Inc. 10,000 161
Giddings & Lewis, Inc. 9,400 143
* Gilead Sciences, Inc. 14,800 124
Gillette Co. 30,892 2,012
P.H. Glatfelter Co. 7,500 120
* Global Natural Resources, Inc. 21,600 157
* Go Video, Inc. 37,500 52
Golden West Financial Corp. 8,276 320
The BF Goodrich Co. 3,800 165
The Goodyear Tire & Rubber Co. 20,772 748
* Goody's Family Clothing 6,450 116
Gorman-Rupp Co. 2,550 65
Goulds Pumps, Inc. 3,709 79
W.R. Grace & Co. 12,576 501
* Graco, Inc. 3,600 68
W.W. Grainger, Inc. 7,236 462
Granite Construction Co. 6,600 132
Great Atlantic & Pacific
Tea Co., Inc. 4,801 103
Great Lakes Chemical Corp. 10,407 563
Great Western Financial Corp. 17,653 324
Green Mountain Power Corp. 2,400 59
Green Tree Financial Corp. 4,700 263
* Greyhound Lines, Inc. 3,500 23
* Groundwater Technology, Inc. 13,000 172
Grow Group, Inc. 5,700 98
* Gtech Holdings Corp. 6,200 105
Guaranty National Corp. 11,500 171
Guilford Mills, Inc. 8,300 170
* Gupta Corp. 8,200 78
HBO and Co. 6,600 167
Halliburton Co. 15,542 525
* Hamburger Hamlet Restaurants 24,000 144
Hancock Fabrics, Inc. 8,600 68
Handleman Co. 18,061 183
Hannaford Brothers Co. 6,200 139
* Harcourt General, Inc. 10,915 383
John H. Harland Co. 4,987 108
* Harley-Davidson, Inc. 5,406 247
* Harper Group, Inc. 5,600 80
Harris Corp. 5,708 252
Harsco Corp. 5,584 229
Hartford Steam Boiler Inspection
& Insurance Co. 3,757 168
Hasbro, Inc. 12,477 370
Haverfield Corp. 5,700 103
Hawaiian Electric Industries Inc. 4,065 126
* Health and Rehabilitation
Properties Trust 9,800 141
Health Care Properties Investors 7,300 224
Health Care REIT, Inc. 3,800 91
* Health Management Systems, Inc. 6,400 142
* Health Professionals, Inc. 6,700 5
* Health Systems 11,800 296
* Healthcare Compare Corp. 12,200 217
Healthcare & Retirement Corp. 6,400 158
* Healthdyne, Inc. 9,600 56
* HEALTHSOUTH Rehabilitation Corp. 9,174 240
* Healthtrust Inc. 12,500 347
Healthwise of America Inc. 8,940 183
* Heartland Express, Inc. 5,241 157
Hechinger Co. Class A 9,800 136
Hechinger Co. Class B 5,118 72
* Hecla Mining Co. 20,400 217
Heilig-Meyers Co. 7,100 193
H.J. Heinz Co. 35,331 1,126
Helmerich & Payne, Inc. 7,893 209
Herbalife International of
America, Inc. 8,100 177
Hercules, Inc. 5,662 606
Hershey Foods Corp. 12,410 538
Hewlett-Packard Co. 35,032 2,641
Hibernia Corp. Class A 13,822 119
Hillenbrand Industries, Inc. 9,300 255
Hilton Hotels Corp. 6,788 360
* Hogan Systems, Inc. 14,400 98
Holly Corp. 3,500 100
* Hollywood Park, Inc. 9,700 224
Home Depot, Inc. 62,060 2,614
* Home Shopping Network, Inc. 13,500 159
Homestake Mining Co. 17,881 335
Honeywell, Inc. 18,998 589
Horace Mann Educators Corp. 9,500 259
Horizon Bank 10,200 144
George A. Hormel & Co. 10,700 223
* Horsehead Resource
Development Co., Inc. 18,400 58
* Hospitality Franchise Systems, Inc. 9,800 240
Host Marriott 21,624 211
Household International, Inc. 13,508 459
Houston Industries, Inc. 17,384 567
* Hovnanian Enterprises Class A 12,300 117
Hubbell Inc. Class A 700 37
Hubbell Inc. Class B 3,500 194
Hudson Foods Inc. Class A 8,800 156
* Humana, Inc. 22,946 370
* Hungarian Teleconstruct Corp. 12,000 122
Hunt Manufacturing Co. 8,000 130
J.B. Hunt Transport Services, Inc. 9,100 166
Huntington Bancshares Inc. 14,650 370
IBP, Inc. 7,200 192
* ICN Biomedicals Inc. 11,400 35
* IDB Communications Group, Inc. 8,500 79
* IEC Electronics Corp. 12,300 143
</TABLE>
24
<PAGE> 52
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* IMC Fertilizer Group, Inc. 8,303 $ 287
IRT Property Co. 16,600 164
* I-STAT Corp. 7,500 101
ITT Corp. 16,300 1,330
Idaho Power Co. 3,900 89
* IDEX Corp. 4,400 174
* IDEXX Corp. 3,600 108
Illinois Central Corp. 6,100 202
Illinois Tool Works, Inc. 16,064 627
Illinova Corp. 10,200 191
* Image Business Systems Corp. 23,400 15
* Immucore Inc. 21,800 114
* Immulogic Pharmaceutical Corp. 8,100 60
* Immune Response 5,717 57
* Immunomedics Inc. 9,900 33
* Indressco Inc. 16,091 191
* Infinity Broadcasting Corp. 10,875 262
* Information Resources, Inc. 4,035 60
* Informix Corp. 11,000 171
Ingersoll-Rand Co. 14,525 510
* Inland Steel Industries, Inc. 4,800 167
* Innovative Gaming Corp. 10,050 70
* Insituform Technologies Class A 13,600 183
* Insurance Auto Auctions, Inc. 3,000 99
Integon Corp. 8,020 142
Integra Financial Corp. 4,700 220
* Integrated Device Technology Inc. 9,800 242
Intel Corp. 58,478 3,428
Intelligent Electronics Inc. 7,114 108
Intercontinental Bank 8,200 180
Interface, Inc. 8,700 99
* Intergraph Corp. 18,773 180
International Business
Machines Corp. 80,806 4,747
* International Dairy
Queen, Inc. Class A 7,888 132
* International Dairy
Queen, Inc. Class B 2,300 41
* International Family Entertainment 12,500 206
International Flavors &
Fragrances, Inc. 15,611 611
International Game Technology 16,802 317
* International Jensen 7,000 68
International Multifoods Corp. 9,781 155
International Paper Co. 16,857 1,117
* International Specialty
Products, Inc. 16,100 111
* International Technology 53,400 147
* International Totalizer Systems, Inc. 13,200 59
* Interneuron Pharmaceutical, Inc. 21,700 126
Interpublic Group of Cos., Inc. 11,200 347
Interstate Bakeries 14,600 183
Iowa National Bankshares 3,600 88
Ipalco Enterprises, Inc. 4,500 130
* Irwin Financial Corp. 6,200 140
* ISCO, Inc. 4,485 45
* IVAX Corp. 11,100 182
JMC Group Inc. 5,200 16
JSB Financial 3,101 76
* Jacobs Engineering Group Inc. 4,300 88
James River Corp. 12,041 205
Jefferson-Pilot Corp. 6,943 338
Johnson & Johnson 90,370 3,875
Johnson Controls, Inc. 5,612 271
* Jones Apparel Group, Inc. 6,600 186
Joslyn Manufacturing Co., Inc. 2,600 66
Jostens Inc. 14,040 226
* Joy Technologies, Inc. 9,800 96
Juno Lighting, Inc. 5,300 102
Justin Industries, Inc. 5,700 69
Kmart Corp. 56,353 873
K U Energy Corp. 4,500 113
Kaiser Aluminum &
Chemical Corp. 22,500 217
* Kaneb Services, Inc. 57,600 173
Kansas City Life Insurance Co. 1,400 62
Kansas City Power & Light Co. 8,900 172
Kansas City Southern
Industries, Inc. 5,962 243
Kaufman & Broad Home Corp. 5,526 74
Kaydon Corp. 4,000 85
Kellogg Co. 31,665 1,722
Kelly Services, Inc. Class A 9,675 264
Kemper Corp. 5,000 303
* Kendall International Inc. 5,100 260
Kerr-McGee Corp. 6,779 319
* Kevlin Corp. 2,200 4
Keycorp 33,359 1,063
Keystone International Fund, Inc. 9,400 183
Kimball International, Inc. Class B 4,100 94
Kimberly-Clark Corp. 22,573 1,194
Kimco Realty Corp. 4,700 169
Kinetic Concepts, Inc. 15,300 55
* King World Productions, Inc. 5,500 219
Knight-Ridder, Inc. 7,935 406
* Kohls Corp. 4,800 226
* Komag, Inc. 9,900 182
* The Kroger Co. 13,817 321
LDDS Communications, Inc. 15,156 263
LG&E Energy Corp. 4,950 181
* LSI Industries Inc. 11,200 114
* LSI Logic Corp. 8,000 200
LTC Properties, Inc. 9,900 132
* LTV Corp. 13,400 206
</TABLE>
25
<PAGE> 53
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
La Quinta Inns Inc. 7,650 $ 200
Lafarge Corp. 13,700 265
* Lake Shore Bancorp Inc. 2,875 85
* LAM Research Corp. 9,750 274
Lancaster Colony Corp. 4,800 229
Lance, Inc. 5,721 97
* Lancer Corp. 6,300 124
* Lands' End, Inc. 7,400 129
* Lattice Semiconductor Corp. 9,250 173
Lawter International Inc. 16,534 194
Lee Enterprises, Inc. 7,000 224
* Legent Corp. 4,289 115
Leggett & Platt, Inc. 5,900 221
* Lehman Brothers Holdings, Inc. 23,889 361
Lennar Corp. 6,300 119
* Leslie Fay Co. 15,200 38
* Leucadia National Corp. 7,200 259
Liberty Bankcorp Inc. 2,100 65
* Liberty Media Corp. Class A 18,600 370
Liberty National Bancorp Inc. 4,250 131
Life Partners Group, Inc. 9,300 163
Life Re Corp. 4,700 94
* Lifecore Biomedical Inc. 7,300 42
Eli Lilly & Co. 40,540 2,306
Lilly Industries Inc. Class A 7,368 104
The Limited, Inc. 51,051 881
* Lin Broadcasting Corp. 7,132 856
* Lincare Holdings Inc. 8,200 161
Lincoln National Corp. 12,852 545
* Lindsay Manufacturing Co. 2,900 85
Linear Technology Corp. 6,498 285
* Liposome Co., Inc. 10,000 57
* Liposome Technology, Inc. 10,100 59
* Litton Industries, Inc. 5,869 197
Liz Claiborne, Inc. 10,974 219
Lockheed Corp. 8,529 558
Loctite Corp. 4,800 203
Loews Corp. 9,000 767
* Lone Star Casino Corp. 49,900 112
* Lone Star Steakhouse & Saloon 5,500 97
Long Island Lighting Co. 15,035 267
Longview Fiber Co. 14,030 246
Loral Corp. 12,992 455
* Lotus Development Corp. 5,737 210
Louisiana Land & Exploration Co. 4,699 200
Louisiana-Pacific Corp. 14,900 454
Lowes Cos., Inc. 19,814 679
Lubrizol Corp. 10,300 353
* L. Luria & Son, Inc. 5,100 41
* Lynx Therapeutic Pfd. 1,344 1
Lyondell Petrochemical Co. 10,846 267
* M/A-Com, Inc. 10,787 86
MBIA, Inc. 5,600 321
* MBNA Corp. 20,763 467
* MCI Communications Corp. 75,390 1,673
* MFS Communications Co., Inc. 8,600 211
* MGIC Investment Corp. 8,002 212
* MGM Grand Inc. 6,800 159
* MacFrugal's Bargains
Close-Outs, Inc. 5,700 99
MacMillan Bloedel Ltd. 5,200 65
Madison Gas & Electric Co. 2,600 86
* Magma Power Co. 3,600 104
Mallinckrodt Group, Inc. 9,996 325
Manor Care Inc. 8,551 215
* Manpower Inc. 13,800 290
Manufactured Home
Communities, Inc. 10,400 216
* Manville Corp. 32,300 226
Mapco Inc. 4,200 248
* Marcam Corp. 4,900 56
Marion Capital Holdings 1,500 25
Marion Merrell Dow, Inc. 38,300 699
Mark IV Industries, Inc. 8,055 160
Marriott International 17,724 472
Marsh & McLennan, Inc. 10,517 877
Marshall & Ilsley Corp. 17,151 345
* Marshall Industries 3,628 80
Martin Marietta Corp. 13,008 574
* Marvel Entertainment Group 11,934 218
Masco Corp. 21,512 592
Mascotech Inc. 15,800 209
Masland Corp. 10,400 182
* Material Sciences Corp. 3,900 87
Mattel, Inc. 25,505 647
* Maxus Energy Corp. 19,400 97
* Maxicare Health Plans Inc. 6,900 88
* Maxxam Inc. 2,600 89
May Department Stores Co. 34,500 1,354
Maytag Corp. 14,236 263
* McCaw Cellular
Communications, Inc. 28,800 1,489
McClatchy Newspapers, Inc. 5,300 127
McCormick & Co., Inc. 10,517 213
McDermott International, Inc. 7,902 198
McDonald's Corp. 97,820 2,825
McDonnell Douglas Corp. 5,643 660
McGraw-Hill, Inc. 6,903 459
McKesson Corp. 5,303 382
* McMoRan Oil and Gas 1,800 8
* McWorter 3,300 51
The Mead Corp. 8,359 369
* Medar, Inc. 5,800 68
Media General, Inc. Class A 5,000 133
</TABLE>
26
<PAGE> 54
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Medical Care America 6,869 $ 186
* Medimmune Inc. 8,600 74
Medtronic, Inc. 8,116 650
* Megafoods Stores, Inc. 5,100 20
* Megahertz Corp. 10,800 74
Mellon Bank Corp. 8,893 500
Melville Corp. 14,270 553
* Men's Wearhouse, Inc. 6,800 151
Mercantile Bancorp, Inc. 7,119 250
* Mercantile Bankshares Corp. 11,600 230
Mercantile Stores Co., Inc. 4,390 141
Merck & Co., Inc. 179,085 5,328
Mercury Finance Co. 15,266 252
Meridian Bancorp, Inc. 8,096 245
* Meridian Diagnostics, Inc. 5,618 45
* Merrill Lynch & Co., Inc. 29,248 1,024
* Mesa Airlines, Inc. 13,600 136
* Fred Meyer, Inc. 1,000 36
Michael Foods, Inc. 13,300 145
Michigan National Corp. 4,300 311
* Micro Warehouse Inc. 9,400 196
Micron Technology Inc. 14,200 490
* Microsoft Corp. 79,794 4,114
* Mid Am Inc. 4,470 65
* Mid-American Waste Systems, Inc. 7,400 42
* Mid Atlantic Medical Services 6,900 307
Mid Atlantic Realty Trust 15,400 141
Middlesex Water Co. 3,800 65
* Midlantic Corp. 7,500 218
Midwest Resources Inc. 15,700 228
Herman Miller, Inc. 6,529 170
Millipore Corp. 5,519 291
* Milwaukee Land Co. 7,700 52
Minerals Technologies, Inc. 4,300 125
Minnesota Mining &
Manufacturing Co. 60,206 2,980
Minnesota Power & Light Co. 4,100 106
* Mirage Resorts Inc. 12,350 232
Mitchell Energy &
Development Corp. Class A 6,200 126
* Mitek Surgical Products, Inc. 11,700 203
Mobil Corp. 55,694 4,546
* Molecular Biosystems, Inc. 8,200 90
Molex, Inc. 8,250 311
The Money Store 6,150 105
Monsanto Co. 16,287 1,232
Montana Power Co. 7,300 163
J.P. Morgan & Co., Inc. 26,871 1,663
* Morgan Products Ltd. 7,300 37
Morgan Stanley Group, Inc. 10,016 570
* Morrison Restaurants 6,375 145
Morton International, Inc. 6,981 545
Mosinee Paper Corp. 3,200 101
Motorola, Inc. 77,864 3,465
* Multicare Cos., Inc. 8,900 151
* Multimedia, Inc. 10,547 305
Murphy Oil Corp. 6,200 265
* Musicland Stores Corp. 9,000 144
* Mycogen Corp. 5,300 59
Mylan Laboratories, Inc. 11,400 242
NAC Re Corp. 3,200 94
NBD Bancorp, Inc. 21,707 686
NCH Corp. 1,700 105
* NS Group Inc. 24,600 172
N.S. Bancorp Inc. 2,100 62
NYMAGIC, Inc. 3,000 61
* Nabors Industries, Inc. 12,100 89
NACCO Industries, Inc. Class A 3,669 197
Nalco Chemical, Inc. 9,000 287
* Namic U.S.A. Corp. 22,500 180
Nash-Finch Co. 3,900 66
Nashua Corp. 2,300 59
National Bankcorp of Alaska Inc. 3,200 176
* National City Bancorporation 5,445 81
National City Corp. 21,600 591
National Fuel & Gas Co. 4,300 126
National Health Investors REIT 3,200 87
National Health Labs Holdings 10,500 127
* National Intergroup, Inc. 9,862 173
* National Medical Enterprises, Inc. 23,685 370
* National Pizza Corp. Class B 5,700 36
* National Presto Industries, Inc. 1,737 70
National Re Holdings Corp. 5,600 145
* National Rehab Centers 5,400 54
* National Semiconductor Corp. 17,118 295
National Service Industries, Inc. 6,891 179
NationsBank, Inc. 37,884 1,946
* Nationwide Cellular Service Inc. 7,100 86
Nationwide Health Properties, Inc. 4,300 168
* Navistar International Corp. 15,316 205
Neiman Marcus Group Inc. 12,096 192
* Nellcor Inc. 6,200 164
Thomas Nelson, Inc. 3,800 77
* Network General Corp. 6,656 105
* Neurogen Corp. 8,500 57
* Neutrogena Corp. 9,255 179
Nevada Power Co. 5,648 108
New England Electric System 8,400 274
New Jersey Resources Corp. 3,800 84
* New Mexico & Arizona Land Co. 18,400 168
New Plan Realty Trust 5,900 128
New York Bancorp Inc. 4,290 93
New York State Electric & Gas Corp. 9,400 223
New York Times Co. Class A 13,939 333
</TABLE>
27
<PAGE> 55
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Newell Co. 10,997 $ 509
Newmont Gold Co. 14,009 546
Newmont Mining Corp. 11,524 464
* News Communications, Inc. 500 2
* Nextel Communications 12,600 380
Niagara Mohawk Power Corp. 18,896 286
* Nichols Institute 4,000 48
* Nichols Institute Class C 29,200 343
NICOR, Inc. 7,956 210
Nike, Inc. Class B 10,225 611
Noble Affiliates, Inc. 6,100 185
* Noble Drilling Corp. 26,600 209
Noram Energy Corp. 14,354 86
* Norand Corp. 4,100 142
* Nord Resources Corp. 10,000 46
Nordson Corp. 3,300 181
Nordstrom, Inc. 11,475 489
Norfolk Southern Corp. 19,341 1,218
* Nortek, Inc. 9,300 87
* North American Mortgage 8,200 197
North American Vaccine, Inc. 11,100 92
North Fork Bancorporation, Inc. 8,400 111
Northeast Utilities 17,000 370
Northern Indiana Public Service Co. 9,130 269
Northern States Power Co.
of Minnesota 8,673 357
Northern Trust Corp. 7,100 291
Northrop Grumman Corp. 6,970 259
Northstar Health Services, Inc. 21,850 164
Norwest Corp. 44,058 1,151
* NovaCare, Inc. 9,588 153
* Novell, Inc. 42,752 713
* Novellus Systems, Inc. 3,100 107
* Noxso Corp. 30,400 99
Nucor Corp. 12,302 843
* Nu-Kote Holding, Inc. Class A 8,200 139
NYNEX Corp. 57,800 2,189
* OEA, Inc. 3,500 97
* OHM Corp. 7,100 75
* O'Brien Environmental
Energy Inc. Class A 12,900 9
Occidental Petroleum Corp. 42,155 796
* Oceaneering International, Inc. 10,200 143
* Octel Communications Corp. 4,200 70
* Office Depot, Inc. 19,425 389
Ogden Corp. 5,838 128
* Ogden Projects, Inc. 7,271 125
Ohio Casualty Corp. 6,444 181
Ohio Edison Co. 21,701 388
Oil-Dri Corp. of America 3,300 66
Oklahoma Gas & Electric Co. 4,800 146
Old Kent Financial Corp. 5,750 201
Old Republic International Corp. 7,600 169
Olin Corp. 3,300 178
Olsten Corp. 5,850 187
Omega Healthcare Investors, Inc. 4,300 107
Omega Financial Corp. 2,608 65
Omnicom Group Inc. 4,700 227
* Oncor Inc. 16,500 90
One Valley Bancorp of
West Virginia Inc. 4,000 114
* Oneita Industries 6,430 59
Oneok, Inc. 10,209 175
* Oracle Systems Corp. 40,276 1,508
Oregon Steel Mills, Inc. 10,300 197
* Oryx Energy Co. 12,927 194
Outboard Marine Corp. 4,252 85
Overseas Shipholding Group Inc. 8,800 161
Owens & Minor Inc. Holding Co. 8,250 123
* Owens-Corning Fiberglas Corp. 6,052 188
* Owens-Illinois, Inc. 17,028 187
Oxford Industries, Inc. 3,800 122
PECO Energy Corp. 31,222 823
PHH Corp. 2,900 103
PNC Bank Corp. 32,902 950
PPG Industries, Inc. 29,238 1,096
PSI Resources, Inc. 8,130 172
* Paccar, Inc. 5,139 236
Pacific Enterprises 11,170 222
Pacific Gas & Electric Co. 61,051 1,450
Pacific Telecom, Inc. 6,100 131
Pacific Telesis Group 59,372 1,833
* Pacificare Health
Systems Inc. Class A 4,000 198
Pacificorp 38,938 657
* Paging Network Inc. 12,000 329
PaineWebber Group, Inc. 11,100 173
Pall Corp. 14,754 221
Panhandle Eastern Corp. 15,644 309
* Parametric Technology Corp. 7,600 172
* Paramount Communications, Inc. 8,117 377
Parker Hannifin Corp. 6,579 280
Paychex, Inc. 7,450 219
Penn Virginia Corp. 1,000 32
Penncorp Financial Group Inc. 4,600 81
J.C. Penney Co., Inc. 32,706 1,774
Pennsylvania Power and Light Co. 21,102 414
Pennzoil Co. 5,972 306
Pentair, Inc. 3,300 119
Penwest Ltd. 4,091 92
Peoples Bank of Bridgeport 18,800 223
Peoples Energy Corp. 3,771 88
Pep Boys (Manny, Moe & Jack) 8,626 273
PepsiCo, Inc. 110,964 3,398
</TABLE>
28
<PAGE> 56
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Perkin-Elmer Corp. 6,487 $ 190
* Perrigo 21,200 289
Pet, Inc. 14,693 274
Petrie Stores Corp. 6,969 172
* Petro Union, Inc. 35,900 37
Petrolite Corp. 2,900 90
Pfizer, Inc. 43,712 2,759
* Pharmaceutical Markets 9,500 75
Phelps Dodge Corp. 9,658 551
Philip Morris Cos., Inc. 122,450 6,306
Phillips Petroleum Co. 35,835 1,120
Phillips-Van Heusen Corp. 4,100 103
Phoenix Resource Cos., Inc. 3,900 102
* Picturetel Inc. 10,000 126
Piedmont Natural Gas, Inc. 4,600 93
Pinnacle Bancorp Group Inc. 1,100 35
Pinnacle West Capital Corp. 12,300 201
Pioneer Group Inc. 5,000 181
Pioneer Hi Bred International 12,666 416
* Piper Jaffray Cos., Inc. 5,000 63
Pitney Bowes, Inc. 22,016 842
Pitt Des Moines, Inc. 2,100 57
* Pittencrieff Communication, Inc. 8,700 113
Pittsburgh & West Virginia Railroad 3,000 22
* Plains Resources 26,500 152
* Plaza Home Mortgage Corp. 17,800 132
Plenum Publishing Corp. 5,200 139
Ply-Gem Industries, Inc. 7,300 151
* Pogo Producing Co. 12,900 298
Polaroid Corp. 6,792 216
* Policy Management Systems Corp. 4,370 144
Portland General Electric Co. 15,200 258
Potlatch Corp. 3,428 132
Potomac Electric Power Co. 15,000 287
Praxair, Inc. 18,231 356
Precision Castparts Corp. 3,900 124
Premark International, Inc. 4,145 312
* Premier Anesthesia 6,400 11
Premier Industrial Corp. 11,382 216
Price/Costco Inc. 31,250 467
* T. Rowe Price 5,200 138
Price REIT, Inc. 2,300 80
* Prime Energy Corp. 2,200 6
* Primedex Health Systems Inc. 37,800 52
Procter & Gamble Co. 95,656 5,106
Progressive Corp. of Ohio 9,600 319
* Promus Co. Inc. 14,481 429
Property Trust of America 9,900 177
Protective Life Corp. 4,300 173
* Proteon Inc. 11,400 34
* Provident American Corp. 33,800 87
Provident Life & Accident
Insurance Co. of America 6,700 171
* Providential Corp. 22,600 119
Providian Corp. 14,224 430
* Proxymed Pharmacy, Inc. 17,500 141
Public Service Co. of Colorado 8,400 219
* Public Service Co. of New Mexico 8,680 100
Public Service
Enterprise Group Inc. 33,219 864
Public Storage
Properties VI Series A 2,900 66
Puerto Rican Cement Co., Inc. 2,400 69
Puget Sound Power & Light Co. 8,785 165
Pulte Corp. 4,708 108
* Purepac Inc. 7,400 61
* Pyxis Corp. 4,400 84
* QVC Network, Inc. 5,000 191
* Qlogic 13,200 64
Quaker Chemical Corp. 4,100 74
Quaker Oats Co. 9,188 642
* Qualcomm, Inc. 8,600 140
Quality Food Centers Inc. 3,900 88
* Quantum Restaurant Group 14,400 121
Questar Corp. 5,885 191
* RJR Nabisco Holdings, Inc. 156,653 960
* Railtex, Inc. 6,500 141
* Ralcorp Holdings Inc. 14,857 236
Ralston-Continental Baking 22,934 112
Ralston-Purina Group 13,972 484
Raychem Corp. 6,104 220
* Raymond Corp. 8,925 171
* Raymond James Financial, Inc. 5,250 76
Rayonier Inc. 9,275 268
Raytheon Co. 18,932 1,226
Re Capital Corp. 4,200 54
* Read-Right Corp. 11,886 154
Reader's Digest Assn., Inc. Class A 15,000 623
Reader's Digest Assn., Inc. Class B 1,500 59
* Recovery Engineering, Inc. 9,700 121
Reebok International Ltd. 11,232 336
Regions Financial Corp. 5,510 191
* Regis Corp. 7,100 91
Reliable Life Insurance Co. Class A 1,400 82
Reliance Group Holdings 16,186 87
* ReLife Inc. Class A 6,100 90
Republic New York Corp. 7,600 351
Reynolds & Reynolds Class A 7,200 167
Reynolds Metals Co. 7,887 379
* Rhodes, Inc. 2,000 32
Rhone-Poulenc Rorer, Inc. 19,252 587
* Riggs National Corp. 8,900 79
Rite Aid Corp. 12,491 253
Riverwood International Corp. 7,900 131
Roadway Services, Inc. 5,717 359
Rochester Gas and Electric Corp. 13,152 286
</TABLE>
29
<PAGE> 57
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Rochester Telephone Corp. 9,656 $ 218
Rockwell International Corp. 30,472 1,139
* Rogers Corp. 4,100 136
Rohm & Haas Co. 9,368 583
* Rollins Environmental Services, Inc. 13,974 66
Rollins, Inc. 10,350 252
* Rose's Stores, Inc. 6,600 2
* Rowan Cos., Inc. 31,772 278
* Royal Appliance Manufacturing Co. 33,500 130
* Royal Grip, Inc. 11,600 96
Rubbermaid, Inc. 22,746 597
Russell Corp. 4,950 144
* Rust International, Inc. 10,300 157
Ryder System, Inc. 10,579 266
* S&K Famous Brands Inc. 6,200 63
SCE Corp. 61,110 787
SCOR U.S. Corp. 5,600 62
* SEI Corp. 5,600 102
SJW Corp. 600 22
* S-K-I, Ltd. 5,900 70
* SLM International, Inc. 8,100 89
* SOI Industries, Inc.. 21,400 49
* SPS Technologies, Inc. 2,500 64
* SPS Transaction Services 4,900 274
Safecard Services, Inc. 10,700 183
Safeco Corp. 8,740 486
* Safeguard Scientifics, Inc. 6,000 157
Safety-Kleen Corp. 9,409 160
* Safeway, Inc. 13,272 317
Sage Technologies, Inc. 6,400 91
* Saint Francis Capital Corp. 3,500 60
St. Joe Paper Co. 4,200 209
St. Jude Medical, Inc. 5,573 180
St. Mary Land & Exploration Co. 9,300 112
St. Paul Cos., Inc. 11,968 480
Salomon, Inc. 15,285 730
San Diego Gas & Electric Co. 15,200 281
Santa Anita Realty Enterprises 7,000 124
* Santa Fe Energy Resources Inc. 13,762 129
* Santa Fe Pacific Corp. 25,007 522
* Santa Monica Bank (California) 5,300 52
Sara Lee Corp. 66,746 1,418
* Satcon Technology Corp. 5,600 59
* Savannah Foods & Industries, Inc. 5,200 62
* Savoy Pictures Entertainment, Inc. 13,800 181
Sbarro, Inc. 2,606 97
Scana Corp. 6,100 262
* R. P. Scherer Corp. 6,674 220
Schering-Plough Corp. 27,145 1,663
Schlumberger Ltd. 33,747 1,995
* Scholastic Corp. 4,900 183
* Schuler Homes Inc. 8,300 146
A. Schulman Inc. 5,625 145
Charles Schwab Corp. 8,011 198
* Schwitzer, Inc. 8,300 61
* Sci-Med Life Systems, Inc. 2,400 63
Scientific-Atlanta, Inc. 5,796 199
* Scientific Games Holdings Corp. 4,600 159
* Scios Nova, Inc. 12,100 78
Scott Paper Co. 10,423 545
* Scotts Co. 9,900 162
E.W. Scripps Co. Class A 9,876 289
* Seacor Holdings, Inc. 6,600 140
* Seagate Technology 12,558 246
* Seagull Energy Corp. 11,300 292
Sealright Co. 5,300 83
Sears, Roebuck & Co. 48,617 2,334
* Sensormatic Electronics Corp. 8,738 251
* Sequa Corp. Class A 6,400 189
* Sequent Computer Systems, Inc. 6,200 85
Service Corp. International 10,836 279
* Service Merchandise Co., Inc. 10,550 67
* Shaw Industries, Inc. 18,800 310
Shawmut National Corp. 19,231 423
Sherwin-Williams Co. 13,289 419
* Shoney's Inc. 14,715 224
Shopko Stores, Inc. 7,145 71
Showboat, Inc. 3,784 63
* Shuffle Master, Inc. 11,500 95
* Sierra Home Service Cos., Inc. 32,800 152
* Sierra Semiconductor 20,106 167
Sigma Aldrich Corp. 6,500 262
* Signal Technology Corp. 6,800 36
Signet Banking Corp. 8,608 348
* Silicon Graphics, Inc. 18,700 414
Simmons First National 2,600 66
* Sirco International Corp. 46,300 145
Sizzler International 28,425 167
A.O. Smith Corp. 5,900 150
J.M. Smucker Co. Class B 2,500 53
Snap-On Inc. 5,932 221
* Snapple Beverage Corp. 17,100 351
* Sofamor/Danek Group Inc. 3,700 48
* Software Etc. Stores Inc. 19,800 136
* Software Publishing Corp. 11,000 47
* Software Spectrum 9,100 107
* Solectron Corp. 6,100 155
Sonat, Inc. 11,622 357
* Sonic Corp. 5,400 104
Sonoco Products 11,300 233
Sotheby's Holdings Class A 15,500 192
* Southdown, Inc. 8,400 176
Southern California Water Co. 3,400 64
Southern Co. 90,018 1,688
</TABLE>
30
<PAGE> 58
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Southern Indiana Gas & Electric 2,800 $ 77
Southern National Corp. 5,600 112
Southern New England
Telecom Corp. 8,500 259
* Southern Pacific Rail Corp. 21,900 430
* Southland Corp. 54,600 340
Southtrust Corp. 10,600 217
Southwest Airlines Co. 19,961 521
Southwest Gas Corp. 4,500 81
Southwestern Bell Corp. 83,138 3,617
Southwestern Energy Co. 8,200 141
Southwestern Public Service Co. 6,000 149
* Spacelabs Medical 4,139 87
* Spaghetti Warehouse, Inc. 4,400 33
* Specialty Chemical Resources, Inc. 29,400 118
* Spectran Corp. 5,100 24
* Spectranetics 9,300 10
* Spectrum Holobyte 8,600 67
Spelling Entertainment 18,800 160
* Spiegel, Inc. Class A 13,900 268
* Sports & Recreation 3,900 145
Springs Industries Inc. Class A 3,239 97
Sprint Corp. 47,684 1,663
Standard Federal Bank 5,000 125
* Standard Microsystem 4,800 68
Standard Motor Products, Inc. 4,300 76
Standard Products Co. 4,900 143
The Stanley Works 6,252 252
* Staples, Inc. 10,075 273
Star Banc Corp. 6,500 246
L. S. Starrett Co. Class A 3,300 71
* Starter Corp. 13,200 135
State Auto Financial Corp. 5,800 80
State Street Boston Corp. 10,100 391
* Stein Mart, Inc. 6,550 112
* Stephan Co. 4,250 65
* Sterling Chemicals, Inc. 18,100 170
* Sterling Software, Inc. 7,800 234
Stewart & Stevenson Services, Inc. 4,618 192
* Stone Container Corp. 14,612 214
* Stop & Shop Cos. Inc. 10,400 250
Storage Equities, Inc. 7,000 109
* Storage Technology Corp. 5,055 165
* Stratus Computer, Inc. 7,700 218
Stride Rite Corp. 18,084 235
* Stryker Corp. 6,200 165
Student Loan Marketing Assn. 12,400 446
Styles On Video, Inc. 12,300 121
* Sullivan Dental Products, Inc. 3,500 52
Sumitomo Bank of California 6,700 155
* Summit Technology, Inc. 3,500 95
Sun Co., Inc. 14,659 394
* Sun Microsystems, Inc. 12,059 247
Sunamerica Inc. 6,200 253
Sunbeam Oster 10,800 216
Sundstrand Corp. 4,100 193
* Sungard Data Systems 3,300 120
* Sunrise Medical, Inc. 4,300 94
Suntrust Banks, Inc. 17,024 824
* Supercuts, Inc. 4,985 53
Superior Industries
International, Inc. 6,150 197
SuperValu, Inc. 10,296 311
* Surgical Care Affiliates, Inc. 6,600 87
Susquehanna Bankshares Pa. 8,300 199
* Swing-n-Slide Corp. 4,900 48
* Sybase, Inc. 6,600 323
* Symantec Corp. 6,100 65
Symmetricom Inc. 13,200 107
* Syms Corp. 6,300 51
Synalloy Corp. 3,400 59
* Synergen, Inc. 8,300 66
* SynOptics Communications, Inc. 9,200 125
Synovus Financial Corp. 13,100 234
Syntex Corp. 30,320 697
Sysco Corp. 25,966 587
* System Software Assoc., Inc. 6,600 89
* Systemed Inc. 25,300 150
* Systemix, Inc. 6,620 117
* TBC Corp. 7,450 87
TCA Cable Television, Inc. 9,300 209
TCF Financial Corp. 5,900 200
TECO Energy, Inc. 15,100 289
TIG Holdings, Inc. 9,400 188
TJX Cos., Inc. 9,484 207
TNP Enterprises, Inc. 3,900 59
* TRO Learning, Inc. 6,200 38
TRW, Inc. 9,131 589
* T Squared Medical 11,600 120
Talbots, Inc. 4,600 138
Tambrands, Inc. 5,223 192
* Tandem Computers, Inc. 16,844 189
Tandy Corp. 8,300 286
Tanger Factory Outlet Centers, Inc. 5,600 162
Taubman Co. 19,900 229
* Tech Data Corp. 1,600 27
* Tech-Sym Corp. 7,900 162
* Tejas Gas Corp. 4,400 211
Tektronix, Inc. 9,833 278
* Tele-Communications, Inc. Class A 58,592 1,201
* Tele-Communications, Inc. Class B 4,200 98
* Teledyne Inc. 6,236 100
Telephone & Data Systems, Inc. 6,700 248
Temple-Inland Inc. 7,211 343
Tenneco, Inc. 23,563 1,093
* Teradyne, Inc. 6,000 159
</TABLE>
31
<PAGE> 59
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Texaco, Inc. 35,728 $ 2,157
Texas Instruments, Inc. 12,663 1,007
Texas Utilities Co. 31,408 985
Textron, Inc. 12,476 653
* Theragenics Corp. 8,900 33
* Thermedics, Inc. 8,850 129
* Thermo Electron Corp. 6,550 244
* Thermo Fibertek, Inc. 11,600 167
* Thermo Instrument Systems, Inc. 5,550 157
Thomas & Betts Corp. 2,847 175
Thor Industries, Inc. 3,900 78
Thornburg Mortgage Asset Corp. 7,900 111
* 3 Com Corp. 5,500 283
Tidewater, Inc. 10,000 233
Tiffany & Co. 7,184 249
* Timberline Software Corp. 23,800 161
Time Warner, Inc. 52,907 1,858
The Times Mirror Co. Class A 17,511 528
The Timkin Co. 8,546 280
Titan Wheel International, Inc. 4,200 101
* Toastmaster, Inc. 8,300 51
* Today's Man Inc. 10,000 83
* Todd Shipyards Corp. 12,300 52
* Todhunter International, Inc. 9,600 137
* Tokos Medical 16,500 68
* Toll Brothers, Inc. 7,600 97
Tootsie Roll Industries, Inc. 1,788 106
The Topps Co., Inc. 15,197 108
Torch Energy Royalty Trust 6,000 120
Torchmark Corp. 10,285 401
Tosco Corp. 4,834 144
Total-Tel USA Communications, Inc. 1,320 24
Total System Services, Inc. 6,400 130
Town & Country Trust 9,300 170
* Toys R Us, Inc. 40,874 1,339
* Trak Auto Corp. 12,800 197
Transamerica Corp. 10,304 537
Transatlantic Holdings 3,300 172
Transco Energy Co. 7,441 121
Transworld Home Healthcare, Inc. 36,700 252
Travelers Inc. 44,206 1,426
Trenwick Group Inc. 1,900 76
The Tribune Co. 9,199 490
* Triconex, Inc. 4,700 61
Trimas Corp. 6,000 138
* Trimble Navigation Ltd. 8,600 82
Trinity Industries, Inc. 5,850 205
* Triton Energy Corp. 10,300 341
The Trust Co. of N.J. 4,800 59
* Tucson Electric Power Co. 65,100 195
Turner Broadcasting Class A 2,400 41
Turner Broadcasting Class B 23,200 403
20th Century Industries 6,100 103
Tyco International Ltd. 6,370 291
* Tyco Toys, Inc. 6,800 48
* Tyler Corp. 12,000 59
Tyson Foods, Inc. 20,646 484
* UAL Corp. 3,191 403
UMB Financial Corp. 3,161 106
* UNR Industries, Inc. 31,200 170
UNUM Corp. 10,835 485
* URS Corp. 22,300 117
USF&G Corp. 9,963 122
* USG Corp. 5,900 107
UST, Inc. 29,016 787
USX-Marathon Group 39,982 670
USX-U.S. Steel Group 10,201 346
Unifi, Inc. 9,150 214
* Unifirst Corp. 5,000 71
* Unigene 8,300 25
* Unilab Corp. 11,300 66
Union Bank of San Francisco 5,700 169
Union Camp Corp. 9,845 447
Union Carbide Corp. 20,385 545
Union Electric Corp. 13,803 438
Union Pacific Corp. 28,463 1,612
Union Planters Corp. 7,300 195
Union Texas Petroleum Holdings 14,600 261
* Unisys Corp. 21,280 197
* United Capital Corp. 12,100 144
* United Healthcare Corp. 20,900 959
United Illuminating Co. 2,500 82
United Jersey Bank Financial Corp. 7,400 204
United Mobile Homes, Inc. 17,100 135
* USAir Group, Inc. 15,563 99
U.S. Bancorp 14,131 367
* U.S. Bioscience 23,274 157
U.S. Healthcare, Inc. 22,785 846
* U.S. Robotics, Inc. 5,300 143
U.S. Shoe Corp. 15,935 303
U.S. West Corp. 61,586 2,579
* United States Cellular 8,100 201
United States Surgical Corp. 6,462 144
United Technologies Corp. 17,239 1,108
* United Television, Inc. 4,200 203
* United Waste Systems, Inc. 9,000 167
United Wisconsin 5,200 146
Unitrin Inc. 6,900 275
Universal Corp. 10,300 201
* Universal Electronics, Inc. 18,400 133
Universal Foods Corp. 4,413 140
* Universal Health Services Class B 4,900 128
Unocal Corp. 33,944 972
Upjohn Co. 24,000 699
Urban Shopping Centers 7,800 178
USLIFE Corp. 3,674 130
</TABLE>
32
<PAGE> 60
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Utilicorp United, Inc. 6,100 $ 175
VF Corp. 9,007 428
* VLSI Technology, Inc. 16,100 221
* Vaalco Energy, Inc. 46,500 128
* Valassis Communication 8,800 142
Valero Energy Corp. 14,300 250
* Valhi, Inc. 21,200 109
Valspar Corp. 3,600 131
* Value City Department Stores, Inc. 6,400 86
* Value Health, Inc. 6,372 244
* Vanguard Cellular Systems,
Inc. Class A 7,342 241
Varian Associates, Inc. 5,800 206
* Varity Corp. 7,500 273
* Vencor, Inc. 5,800 200
Venture Stores, Inc. 5,100 101
* Verifone, Inc. 9,200 143
* Vestar, Inc. 21,900 131
* Viacom International Class A 2,000 68
* Viacom International Class B 14,400 455
* Vicorp Restaurants, Inc. 3,600 52
* Viewlogic Systems, Inc. 8,600 134
* Viking Office Products 6,600 166
Vintage Petroleum, Inc. 4,600 97
* Viratek, Inc. 7,455 63
* Visix Space Inc. 9,200 153
* Vons Cos., Inc. 13,600 231
Vornado Realty Trust 7,200 263
Vulcan Materials Co. 5,100 234
Wicor, Inc. 3,300 98
* WMS Industries, Inc. 4,100 78
WMX Technologies Inc. 67,745 1,795
WPL Holdings, Inc. 4,200 114
* WRT Energy Corp. 15,800 134
* Waban, Inc. 11,200 186
Wabash National Corp. 4,700 210
Wachovia Corp. 23,500 778
Wackenhut Corp. 4,600 67
Wackenhut Corp. Class B 1,400 14
* Wahlco Environmental 38,500 91
Wal-Mart Stores, Inc. 319,898 7,758
Walbro Corp. 6,300 143
Walgreen Co. 17,368 634
Warnaco Group 5,800 170
Warner-Lambert Co. 18,888 1,247
Washington Energy Co. 4,900 72
Washington Federal Savings
& Loan Assn. 5,780 126
Washington Gas Light Corp. 3,399 128
Seattle (WA) Mutual Savings Bank 8,800 183
Washington National Corp. 3,600 77
Washington Post Co. Class B 1,600 370
Washington Water Power Co. 8,000 115
Watts Industries Class A 6,000 141
* Weatherford International, Inc. 19,800 267
Weis Markets, Inc. 5,100 129
* Wellcare Management Group, Inc. 7,300 116
* Wellfleet Communications 8,600 214
Wellman, Inc. 12,545 350
* Wellpoint Health
Networks, Inc. Class A 14,100 416
Wells Fargo & Co. 7,703 1,158
Wellsford Residential Property Trust 5,300 121
Wendys International, Inc. 13,764 215
Werner Enterprises, Inc. 4,800 135
Wesco Financial Corp. 1,142 132
West One Bancorp 6,388 183
Westbanco Inc. 1,800 50
Westcorp, Inc. 12,495 130
* Western Atlas Inc. 6,269 299
Western Bank 9,758 156
Western Resources, Inc. 8,800 237
* Westinghouse Electric Corp. 48,714 566
* Westport Bancorp, Inc. 2,200 6
Westvaco Corp. 8,652 266
Weyerhaeuser Co. 28,389 1,136
* Wheelabrator Technologies 28,362 528
Whirlpool Corp. 10,247 538
* White River 5,642 185
Whitman Corp. 15,138 235
Willamette Industries, Inc. 7,900 340
Williams Cos., Inc. 14,712 421
* Williams Sonoma, Inc. 7,200 219
Wilmington Trust Corp. 11,200 300
Winn Dixie Stores, Inc. 10,172 437
* Winners Entertainment, Inc. 31,300 119
* Wisconsin Central
Transportation Corp. 3,300 213
Wisconsin Energy Corp. 15,238 364
* Witco Chemical Corp. 7,500 223
Wolohan Lumber Co. 10,000 140
* Wonderware Corp. 10,100 136
Woolworth Corp. 17,066 271
* World Acceptance Corp. 7,500 133
* World Corp. 11,800 47
* Worthington Industries, Inc. 11,502 214
Wm. Wrigley, Jr. Co. 15,924 756
* Wyman Gordon Corp. 30,300 184
X-Rite Inc. 3,800 92
Xerox Corp. 14,328 1,401
* Xilinx, Inc. 4,400 151
* Xyplex, Inc. 2,900 38
Yellow Corp. 5,147 89
York International Corp. 5,600 206
* Zebra Technologies Class A 500 16
Zenith National Insurance Corp. 3,500 81
</TABLE>
33
<PAGE> 61
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Zeos International 13,600 $ 34
* Zoll Medical Corp. 6,300 78
- - ---------------------------------------------------------------
TOTAL COMMON STOCKS (98.7%)(1)
(Cost $619,642) 630,729
- - ---------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.7%)
- - ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face Amount
(000)
-----------
<S> <C> <C>
U.S. TREASURY BILL--Note D
4.26%, 9/22/94 $ 600 594
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 4.26%, 7/1/94 10,391 10,391
- - ---------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $10,985) 10,985
- - ---------------------------------------------------------------
TOTAL INVESTMENTS (100.4%)
(Cost $630,627) 641,714
- - ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.4%)
- - ---------------------------------------------------------------
Other Assets--Notes B and E 9,096
Liabilities--Note E (11,556)
---------
(2,460)
- - ---------------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------------
Applicable to 57,878,194 outstanding
shares of beneficial interest
(unlimited authorization) $639,254
- - ---------------------------------------------------------------
NET ASSET VALUE PER SHARE $11.04
===============================================================
</TABLE>
+ See Note A to Financial Statements.
(1) The combined market value of common stocks, Standard & Poor's 500 Index
futures contracts, and Standard & Poor's Midcap 400 futures contracts
represents 100.0% of net assets.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
- - ---------------------------------------------------------------
AT JUNE 30, 1994, NET ASSETS CONSISTED OF:
- - ---------------------------------------------------------------
Amount Per
(000) Share
---------- ---------
<S> <C> <C>
Paid in Capital $626,401 $10.82
Undistributed Net Investment
Income 644 .01
Accumulated Net Realized Gains 1,440 .02
Unrealized Appreciation of
Investments--Note D 10,769 .19
- - ---------------------------------------------------------------
NET ASSETS $639,254 $11.04
- - ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
Value
GROWTH PORTFOLIO Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- - ---------------------------------------------------------------
General Electric Co. 60,514 $2,821
AT&T Corp. 48,048 2,613
Wal-Mart Stores, Inc. 81,298 1,971
The Coca-Cola Co. 45,686 1,856
Philip Morris Cos., Inc. 31,038 1,598
E.I. du Pont de Nemours & Co. 23,700 1,384
Merck & Co., Inc. 44,376 1,320
Procter & Gamble Co. 24,228 1,293
* Microsoft Corp. 20,300 1,045
Johnson & Johnson 22,779 977
Bristol-Myers Squibb Co. 18,008 966
American International Group, Inc. 11,100 962
Motorola, Inc. 19,784 880
Intel Corp. 14,854 869
PepsiCo, Inc. 28,366 869
Abbott Laboratories, Inc. 29,184 846
Federal National Mortgage Assn. 9,663 807
The Walt Disney Co. 19,027 792
Minnesota Mining &
Manufacturing Co. 14,996 742
McDonald's Corp. 24,930 720
Pfizer, Inc. 11,375 718
Home Depot, Inc. 15,957 672
American Home Products Corp. 10,918 620
Eli Lilly & Co. 10,445 594
Eastman Kodak Co. 11,800 568
Unilever NV 5,620 566
Gillette Co. 7,784 507
Schlumberger Ltd. 8,556 506
Anheuser-Busch Co., Inc. 9,326 473
Time Warner, Inc. 13,200 464
Emerson Electric Co. 7,924 451
WMX Technologies Inc. 16,933 449
Columbia/HCA Healthcare Corp. 11,900 446
Kellogg Co. 8,043 437
Sprint Corp. 12,200 425
MCI Communications Corp. 19,176 424
Schering-Plough Corp. 6,909 423
* Airtouch Communications 17,500 413
* McCaw Cellular
Communications, Inc. 7,500 387
Capital Cities/ABC, Inc. 5,400 384
* Oracle Systems Corp. 10,182 381
Caterpillar, Inc. 3,600 360
Sara Lee Corp. 16,800 357
Allied-Signal, Inc. 10,100 350
May Department Stores Co. 8,740 343
* Toys R Us, Inc. 10,168 333
The Dun & Bradstreet Corp. 5,965 331
* Tele-Communications, Inc. Class A 15,738 321
Monsanto Co. 4,200 318
</TABLE>
34
<PAGE> 62
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
General Mills, Inc. 5,708 $ 312
Warner-Lambert Co. 4,707 311
Campbell Soup Co. 9,031 310
Kimberly-Clark Corp. 5,806 307
Phillips Petroleum Co. 9,400 294
Norwest Corp. 11,100 290
Enron Corp. 8,820 289
PPG Industries, Inc. 7,600 285
Compaq Computer Corp. 8,800 284
H.J. Heinz Co. 8,846 282
Keycorp 8,500 271
Colgate-Palmolive Co. 5,201 270
Conagra, Inc. 8,752 267
Automatic Data Processing, Inc. 4,952 263
Gannett Co., Inc. 5,265 261
CPC International, Inc. 5,391 260
AMP, Inc. 3,732 258
Texas Instruments, Inc. 3,200 254
United Healthcare Corp. 5,400 248
Northern Telecom Ltd. 8,800 243
Albertson's, Inc. 8,774 241
American Barrick Resources 10,000 239
Corning, Inc. 7,300 238
Computer Associates
International, Inc. 5,787 231
Blockbuster Entertainment Corp. 8,779 227
The Limited, Inc. 13,164 227
The Gap, Inc. 5,103 218
* Novell, Inc. 13,011 216
Marsh & McLennan, Inc. 2,588 216
U.S. Healthcare, Inc. 5,800 215
Pitney Bowes, Inc. 5,546 212
Nucor Corp. 3,080 211
* Cisco Systems, Inc. 9,100 210
Browning-Ferris Industries, Inc. 6,846 208
Dayton-Hudson Corp. 2,500 203
* Amgen, Inc. 4,698 201
Wm. Wrigley, Jr. Co. 4,211 200
UST, Inc. 7,226 196
Lowes Cos., Inc. 5,400 185
Placer Dome Group, Inc. 8,500 183
American Cyanamid Co. 3,100 174
CBS, Inc. 550 171
Burlington Northern, Inc. 3,190 170
Medtronic, Inc. 2,041 164
Quaker Oats Co. 2,312 162
Walgreen Co. 4,417 161
Genuine Parts Co. 4,410 159
Avon Products, Inc. 2,617 154
International Flavors &
Fragrances, Inc. 3,907 153
Illinois Tool Works, Inc. 3,918 153
Fluor Corp. 2,995 152
Hercules, Inc. 1,400 150
Mattel, Inc. 5,891 149
Rohm & Haas Co. 2,400 149
Sysco Corp. 6,594 149
Rubbermaid, Inc. 5,670 149
H & R Block, Inc. 3,774 148
Westinghouse Electric Corp. 12,400 144
Great Lakes Chemical Corp. 2,608 141
Eaton Corp. 2,700 140
Santa Fe Pacific Corp. 6,700 140
Eastman Chemical 2,925 140
Morton International, Inc. 1,700 133
Newell Co. 2,762 128
Nordstrom, Inc. 3,000 128
The Tribune Co. 2,378 127
Ralston-Purina Group 3,647 126
Newmont Mining Corp. 3,120 126
Dresser Industries, Inc. 6,100 125
Marriott International 4,608 123
MBNA Corp. 5,276 119
Dover Corp. 2,016 119
McGraw-Hill, Inc. 1,715 114
Winn Dixie Stores, Inc. 2,619 113
W.W. Grainger, Inc. 1,727 110
* Promus Co. Inc. 3,667 109
Alco Standard Corp. 1,900 109
McKesson Corp. 1,469 106
Pioneer Hi Bred International 3,200 105
Torchmark Corp. 2,647 103
Clorox Co. 2,014 98
Harcourt General, Inc. 2,770 97
Reebok International Ltd. 3,095 92
Praxair, Inc. 4,718 92
* The Kroger Co. 3,921 91
Englehard Corp. 3,578 90
Hasbro, Inc. 2,980 88
Homestake Mining Co. 4,700 88
Roadway Services, Inc. 1,400 88
Deluxe Corp. 3,095 82
Comcast Corp. Class A 4,555 81
Bausch & Lomb, Inc. 2,196 81
Interpublic Group of Cos., Inc. 2,580 80
* DSC Communications Corp. 3,952 77
* Computer Sciences Corp. 1,800 75
Nalco Chemical, Inc. 2,314 74
Brunswick Corp. 3,300 73
* FMC Corp. 1,334 72
Cooper Tire & Rubber Co. 3,101 72
Comcast Corp. Class A Special 3,977 71
Pep Boys (Manny, Moe & Jack) 2,227 70
* ALZA Corp. 2,940 69
</TABLE>
35
<PAGE> 63
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
The Dial Corp. 1,600 $ 68
Circuit City Stores, Inc. 3,268 67
Pet, Inc. 3,509 65
* Lotus Development Corp. 1,700 62
Whitman Corp. 3,946 61
Pall Corp. 4,064 61
Borden, Inc. 4,900 61
Armstrong World Industries Inc. 1,300 61
Worthington Industries, Inc. 3,091 57
TJX Cos., Inc. 2,611 57
St. Jude Medical, Inc. 1,763 56
* King World Productions, Inc. 1,385 55
Millipore Corp. 1,000 53
Wendys International, Inc. 3,345 52
* Unisys Corp. 5,600 52
Manor Care Inc. 2,023 51
Allergan, Inc. 2,252 49
Foster Wheeler Corp. 1,300 47
Scientific-Atlanta, Inc. 1,372 47
Ecolab, Inc. 2,136 47
* Owens-Corning Fiberglas Corp. 1,437 45
Bemis Co., Inc. 2,010 45
Perkin-Elmer Corp. 1,476 43
C.R. Bard, Inc. 1,688 40
* Biomet, Inc. 3,787 40
* Ceridian Corp. 1,600 39
* Andrew Corp. 1,050 38
Autodesk, Inc. 750 37
Trinova Corp. 1,000 35
Briggs & Stratton Corp. 500 33
* Maxus Energy Corp. 4,682 23
Cincinnati Milacron, Inc. 1,100 23
Brown Group, Inc. 600 23
Shared Medical Systems Corp. 900 22
* Shoney's Inc. 1,353 21
John H. Harland Co. 946 21
Luby's Cafeterias, Inc. 900 20
* Armco, Inc. 3,000 17
* USAir Group, Inc. 2,100 13
- - ---------------------------------------------------------------
TOTAL COMMON STOCKS (99.5%)
(Cost $59,133) 57,191
- - ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT (.5%)
- - ---------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 4.26%, 7/1/94
(Cost $305) $305 $ 305
- - ---------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(Cost $59,438) 57,496
- - ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.1%)
- - ---------------------------------------------------------------
Receivables for Securities Sold 6,731
Other Assets--Note B 344
Payables for Securities Purchased (7,008)
Other Liabilities (107)
-------
(40)
- - ---------------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------------
Applicable to 5,959,132 outstanding
shares of beneficial interest
(unlimited authorization) $57,456
- - ---------------------------------------------------------------
NET ASSET VALUE PER SHARE $9.64
===============================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
- - ---------------------------------------------------------------
AT JUNE 30, 1994, NET ASSETS CONSISTED OF:
- - ---------------------------------------------------------------
Amount Per
(000) Share
-------- --------
<S> <C> <C>
Paid in Capital $60,200 $10.10
Undistributed Net Investment
Income 48 .01
Accumulated Net Realized Losses (850) (.14)
Unrealized Depreciation of
Investments--Note D (1,942) (.33)
- - ---------------------------------------------------------------
NET ASSETS $57,456 $9.64
- - ---------------------------------------------------------------
</TABLE>
36
<PAGE> 64
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO Shares (000)
- - ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- - ---------------------------------------------------------------
Exxon Corp. 226,591 $12,831
Royal Dutch Petroleum Co. 97,812 10,234
General Motors Corp. 135,917 6,830
International Business
Machines Corp. 106,048 6,230
Mobil Corp. 72,670 5,932
BellSouth Corp. 91,026 5,621
GTE Corp. 174,800 5,506
Ford Motor Co. 91,353 5,390
Amoco Corp. 90,554 5,162
Chevron Corp. 119,590 5,008
Southwestern Bell Corp. 109,700 4,772
Bell Atlantic Corp. 79,700 4,463
Ameritech Corp. 99,702 3,814
U.S. West Corp. 83,133 3,481
Hewlett-Packard Co. 46,100 3,475
Dow Chemical Co. 50,482 3,300
Sears, Roebuck & Co. 64,469 3,095
Chrysler Corp. 64,918 3,059
Atlantic Richfield Co. 29,200 2,982
BankAmerica Corp. 63,963 2,926
NYNEX Corp. 76,112 2,883
The Boeing Co. 62,127 2,873
Texaco, Inc. 47,219 2,851
Citicorp 70,946 2,829
NationsBank, Inc. 49,446 2,540
Banc One Corp. 69,596 2,384
Pacific Telesis Group 77,000 2,377
J.C. Penney Co., Inc. 43,100 2,338
American Express Co. 90,588 2,333
Southern Co. 118,286 2,218
J.P. Morgan & Co., Inc. 35,527 2,198
Union Pacific Corp. 37,500 2,123
The Seagram Co. Ltd. 68,014 2,057
Federal Home Loan Mortgage Corp. 33,091 2,002
Travelers Inc. 59,057 1,905
Xerox Corp. 18,957 1,853
Pacific Gas & Electric Co. 77,818 1,848
Chemical Banking Corp. 46,318 1,783
ITT Corp. 21,518 1,756
General Re Corp. 15,276 1,665
Norfolk Southern Corp. 25,440 1,603
Raytheon Co. 24,725 1,601
Wells Fargo & Co. 10,037 1,509
Rockwell International Corp. 40,275 1,505
Weyerhaeuser Co. 37,442 1,498
International Paper Co. 22,522 1,492
United Technologies Corp. 23,166 1,488
CSX Corp. 19,100 1,442
Tenneco, Inc. 30,900 1,433
First Union Corp. 31,049 1,432
Archer-Daniels-Midland Co. 59,878 1,392
Duke Power Co. 37,572 1,343
Baxter International, Inc. 50,448 1,324
Merrill Lynch & Co., Inc. 37,808 1,323
Texas Utilities Co. 41,026 1,287
The Chase Manhattan Corp. 33,565 1,284
Unocal Corp. 44,300 1,268
PNC Bank Corp. 43,025 1,242
The Chubb Corp. 16,021 1,228
Aluminum Co. of America 16,147 1,181
Dean Witter Discover & Co. 31,304 1,174
American Brands, Inc. 36,974 1,169
Public Service Enterprise Group Inc. 44,819 1,165
First Interstate Bancorp. 15,050 1,159
Kmart Corp. 74,588 1,156
Aetna Life & Casualty Co. 20,397 1,140
Consolidated Edison Co.
of New York, Inc. 42,777 1,134
Dominion Resources, Inc. 30,705 1,117
Suntrust Banks, Inc. 22,500 1,088
American General Corp. 39,074 1,079
PECO Energy Corp. 40,380 1,065
Deere & Co. 15,744 1,065
SCE Corp. 81,616 1,051
Occidental Petroleum Corp. 55,623 1,050
FPL Group, Inc. 34,869 1,042
Wachovia Corp. 31,400 1,040
Entergy Corp. 41,987 1,039
The Goodyear Tire & Rubber Co. 27,690 997
Burlington Resources, Inc. 23,800 985
Bankers Trust New York Corp. 14,773 984
Georgia-Pacific Corp. 16,420 983
Salomon, Inc. 20,256 967
CIGNA Corp. 13,119 959
Fleet Financial Group, Inc. 25,184 951
American Electric Power Co., Inc. 33,636 950
NBD Bancorp, Inc. 29,438 931
Alcan Aluminium Ltd. 40,733 927
Upjohn Co. 31,733 924
Commonwealth Edison Co. 39,204 892
Air Products & Chemicals, Inc. 20,776 880
USX-Marathon Group 52,021 871
Pacificorp 51,512 869
Textron, Inc. 16,063 841
McDonnell Douglas Corp. 7,186 841
Amerada Hess Corp. 16,878 831
* AMR Corp. 13,870 824
Nike, Inc. Class B 13,501 807
R.R. Donnelley & Sons Co. 28,768 798
Conrail, Inc. 14,440 791
Masco Corp. 28,600 787
Barnett Banks of Florida, Inc. 17,854 781
</TABLE>
37
<PAGE> 65
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Houston Industries, Inc. 23,918 $ 780
TRW, Inc. 11,870 766
Martin Marietta Corp. 17,344 765
Cooper Industries, Inc. 21,215 764
First Chicago Corp. 15,814 761
* Federal Express Corp. 10,110 754
Lockheed Corp. 11,416 746
Melville Corp. 19,235 745
Union Carbide Corp. 27,507 736
Honeywell, Inc. 23,700 735
Lincoln National Corp. 17,300 733
Central & South West Corp. 34,262 728
Phelps Dodge Corp. 12,758 727
Whirlpool Corp. 13,652 717
Scott Paper Co. 13,456 703
Halliburton Co. 20,765 701
Transamerica Corp. 13,329 695
Hershey Foods Corp. 16,000 694
The Times Mirror Co. Class A 23,024 694
First Fidelity Bancorp. 14,858 689
W.R. Grace & Co. 17,151 684
Ingersoll-Rand Co. 19,229 675
Carolina Power & Light Co. 29,162 674
CoreStates Financial Corp. 26,000 670
Detroit Edison Co. 26,696 661
Mellon Bank Corp. 11,615 653
Consolidated Natural Gas Co. 17,082 645
Safeco Corp. 11,560 642
Dillard Department Stores Class A 20,768 641
American Stores Co. 26,088 639
UNUM Corp. 14,100 631
St. Paul Cos., Inc. 15,584 625
Louisiana-Pacific Corp. 20,100 613
* Crown Cork & Seal Co., Inc. 16,200 603
Boatmen's Bancshares, Inc. 19,096 597
Union Electric Corp. 18,706 594
Household International, Inc. 17,376 591
* Price/Costco Inc. 38,974 580
Union Camp Corp. 12,756 579
Apple Computer, Inc. 21,476 566
Baltimore Gas & Electric Co. 26,617 566
VF Corp. 11,843 563
Dow Jones & Co., Inc. 18,140 562
Providian Corp. 18,412 557
Champion International Corp. 16,769 551
Becton, Dickinson & Co. 13,356 546
Williams Cos., Inc. 19,012 544
Loral Corp. 15,122 529
Reynolds Metals Co. 11,003 528
Sun Co., Inc. 19,583 526
Inco Ltd. 21,380 521
Baker Hughes, Inc. 25,362 520
Coastal Corp. 19,154 517
Dana Corp. 18,078 515
Knight-Ridder, Inc. 9,824 502
Sherwin-Williams Co. 15,900 501
Ohio Edison Co. 27,944 500
Cyprus Amax 16,732 498
Northern States Power
Co. of Minnesota 12,036 495
Sonat, Inc. 15,974 491
* Digital Equipment Corp. 25,219 489
Temple-Inland Inc. 10,194 486
Bank of Boston Corp. 19,368 477
U.S. Bancorp 18,330 474
USX-U.S. Steel Group 13,892 471
Shawmut National Corp. 21,388 471
The Mead Corp. 10,663 471
General Dynamics Corp. 11,494 470
Hilton Hotels Corp. 8,829 468
National Medical Enterprises, Inc. 29,922 468
New York Times Co. Class A 19,469 465
Mallinckrodt Group, Inc. 14,000 455
Golden West Financial Corp. 11,758 454
Kerr-McGee Corp. 9,344 440
Great Western Financial Corp. 23,829 438
Premark International, Inc. 5,800 436
Jefferson-Pilot Corp. 8,899 434
Pennzoil Co. 8,418 431
Panhandle Eastern Corp. 21,552 426
* Advanced Micro Devices, Inc. 16,689 415
Delta Air Lines, Inc. 9,074 411
American Greetings Corp. Class A 13,586 404
* Western Atlas Inc. 8,438 402
Service Corp. International 15,500 399
H.F. Ahmanson & Co. 21,103 398
Niagara Mohawk Power Corp. 26,229 397
Tandy Corp. 11,462 395
SuperValu, Inc. 12,973 392
Tyco International Ltd. 8,450 387
* National Semiconductor Corp. 22,045 380
Woolworth Corp. 23,811 378
Parker Hannifin Corp. 8,808 375
Westvaco Corp. 12,078 371
Ashland Oil, Inc. 10,806 363
Johnson Controls, Inc. 7,467 361
Maytag Corp. 19,505 361
* Bethlehem Steel Corp. 19,300 360
Brown-Forman Corp. Class B 12,617 356
Ryder System, Inc. 14,150 356
Beneficial Corp. 9,568 349
* Sun Microsystems, Inc. 16,805 342
Cummins Engine Co., Inc. 7,600 329
Northrop Grumman Corp. 8,815 327
</TABLE>
38
<PAGE> 66
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
The Stanley Works 8,100 $ 326
Echlin, Inc. 10,800 325
Paccar, Inc. 7,093 325
Harris Corp. 7,287 322
Rite Aid Corp. 15,823 320
UAL Corp. 2,500 316
Pacific Enterprises 15,400 306
Moore Corp. Ltd. 17,828 301
Avery Dennison Corp. 10,068 292
* Varity Corp. 8,000 291
Snap-On Inc. 7,703 287
Liz Claiborne, Inc. 14,277 286
General Signal Corp. 8,600 284
Raychem Corp. 7,700 277
Polaroid Corp. 8,452 269
* Inland Steel Industries, Inc. 7,552 263
Oryx Energy Co. 17,359 260
Louisiana Land & Exploration Co. 6,100 259
Black & Decker Corp. 15,024 259
NICOR, Inc. 9,822 259
* Columbia Gas Systems, Inc. 9,245 250
James River Corp. 14,667 249
McDermott International, Inc. 9,834 246
* Stone Container Corp. 16,267 238
* Tandem Computers, Inc. 20,929 236
E-Systems, Inc. 6,277 235
National Service Industries, Inc. 8,815 229
United States Surgical Corp. 10,198 227
Russell Corp. 7,632 222
Echo Bay Mines Ltd. 20,500 220
PSI Resources, Inc. 10,259 217
Mercantile Stores Co., Inc. 6,593 212
Giant Food, Inc. Class A 10,667 209
Thomas & Betts Corp. 3,400 209
Asarco, Inc. 7,423 209
Potlatch Corp. 5,364 207
The BF Goodrich Co. 4,668 203
Pittston Services Group 7,400 198
The Timkin Co. 5,688 186
Fleming Cos., Inc. 6,703 186
USF&G Corp. 15,135 185
* Clark Equipment Co. 3,100 185
* Navistar International Corp. 13,700 183
Safety-Kleen Corp. 10,605 180
* Beverly Enterprises Inc. 14,767 179
Federal Paper Board Co., Inc. 7,711 176
Ogden Corp. 7,853 173
Charming Shoppes, Inc. 18,804 172
ENSERCH Corp. 11,783 169
Teledyne Inc. 10,100 162
Fleetwood Enterprises, Inc. 8,254 158
Tektronix, Inc. 5,400 153
Santa Fe Energy Resources Inc. 16,192 152
EG & G, Inc. 10,100 152
Continental Corp. 9,764 151
* Consolidated Freightways, Inc. 6,300 150
USLIFE Corp. 4,154 148
Boise Cascade Corp. 6,661 147
Great Atlantic & Pacific Tea Co., Inc. 6,818 147
Crane Co. 5,500 145
Peoples Energy Corp. 6,198 145
Centex Corp. 5,504 142
Ball Corp. 5,193 135
Longs Drug Stores, Inc. 3,749 134
Jostens Inc. 8,207 132
* Rowan Cos., Inc. 15,100 132
Alexander & Alexander
Services, Inc. 8,000 130
Noram Energy Corp. 21,664 130
Morrison-Knudsen Co., Inc. 5,900 127
Adolph Coors Co. Class B 7,157 124
Transco Energy Co. 7,500 122
Stride Rite Corp. 9,200 120
Helmerich & Payne, Inc. 4,500 119
Pulte Corp. 5,079 117
Amdahl Corp. 20,969 115
* Cray Research, Inc. 4,800 109
Alberto-Culver Co. Class B 5,000 108
Meredith Corp. 2,500 106
Springs Industries Inc. Class A 3,200 96
Bruno's Inc. 13,408 94
Community Psychiatric Centers 7,700 91
Yellow Corp. 5,274 90
Eastern Enterprises 3,900 89
Giddings & Lewis, Inc. 5,878 88
NACCO Industries, Inc. Class A 1,600 86
Harnischfeger Industries Inc. 4,300 84
Kaufman & Broad Home Corp. 6,100 82
Oneok, Inc. 4,600 79
* Intergraph Corp. 8,200 77
Bassett Furniture Industries, Inc. 2,475 69
Outboard Marine Corp. 3,300 66
* Ryan's Family Steak Houses, Inc. 9,200 64
Handleman Co. 6,200 63
* Zenith Electronics Corp. 6,600 59
* Bally Entertainment Corp . 8,500 55
First Mississippi Corp. 3,600 55
* Data General Corp. 6,300 49
Zurn Industries, Inc. 2,400 49
Rollins Environmental Services, Inc. 9,837 47
* National Intergroup, Inc. 2,400 42
SPX Corp. 2,600 40
* Hartmarx Corp. 6,000 37
* M/A-Com, Inc. 4,300 34
</TABLE>
39
<PAGE> 67
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Oshkosh B Gosh, Inc. Class A 2,500 $ 34
Skyline Corp. 1,700 31
* National Education Corp. 4,600 26
* Genesco, Inc. 4,200 14
- - ---------------------------------------------------------------
TOTAL COMMON STOCKS (99.9%)
(Cost $296,647) 289,885
- - ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (.1%)
- - ---------------------------------------------------------------
Receivables for Securities Sold 33,354
Other Assets--Notes B and E 1,476
Payables for Securities Purchased (33,003)
Other Liabilities--Note E (1,501)
---------
326
- - ---------------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------------
Applicable to 25,868,694 outstanding
shares of beneficial interest
(unlimited authorization) $290,211
- - ---------------------------------------------------------------
NET ASSET VALUE PER SHARE $11.22
===============================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
- - ---------------------------------------------------------------
AT JUNE 30, 1994, NET ASSETS CONSISTED OF:
- - ---------------------------------------------------------------
Amount Per
(000) Share
-------- --------
<S> <C> <C>
Paid in Capital $293,737 $11.36
Undistributed Net Investment
Income 1,122 .04
Accumulated Net Realized Gains 2,114 .08
Unrealized Depreciation of
Investments (6,762) (.26)
- - ---------------------------------------------------------------
NET ASSETS $290,211 $11.22
- - ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO Shares (000)
- - ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- - ---------------------------------------------------------------
AAR Corp. 36,200 $ 489
* AER Energy Resources Inc. 54,900 298
ABM Industries 20,700 419
AGCO Corp. 17,600 645
* AK Steel Holding Corp. 16,700 422
A.L. Laboratories, Inc. 14,400 198
* AST Research, Inc. 37,400 528
* Abbey Healthcare Group, Inc. 10,900 163
Acclaim Entertainment Inc. 28,750 465
Acordia, Inc. 15,500 430
* Actel Corp. 30,000 270
* Acuson Corp. 34,250 449
* ACX Technologies Inc. 19,700 739
ADAC Laboratories 34,033 281
* Addington Resources, Inc. 23,200 383
* Adelphia Communications
Corp. Class A 23,100 300
* Advanced Tissue Sciences Inc. 50,300 220
* Advantage Healthcare Corp. 23,300 524
ADVO, Inc. 41,950 640
* Air and Water Technologies
Corp. Class A 29,600 270
Air Express International Corp. 12,000 265
* Alantec Corp. 100 2
* Alaska Air Group, Inc. 37,200 553
Albank Financial Corp. 36,900 842
Albany International Corp. 36,200 683
Alberto-Culver Co. Class B 19,400 419
Alex Brown & Sons, Inc. 20,500 507
* Alexander's, Inc. 9,600 496
Alfa Corp. 49,800 548
Alico, Inc. 12,000 201
The Allen Group, Inc. 28,360 500
* Alliance Pharmaceutical Corp. 32,000 308
* Alliant Techsystems, Inc. 24,100 699
* Alltrista Corp. 793 15
* Allwaste, Inc. 56,200 330
* Alpha Beta Tech 37,300 396
* Alpha Hospitality Corp. 2,800 19
* Alpine Group, Inc. 63,000 315
* Altera Corp. 28,900 820
Amax Gold, Inc. 48,731 384
Amcast Industrial Corp. 30,700 671
* America Online, Inc. 9,400 538
American Annuity Group Inc. 51,000 453
Amcore Financial 27,480 574
American Bankers Insurance Group 26,200 593
American City Business Journal 35,000 542
American Colloid Co. 31,000 422
American Filtrona Corp. 14,900 432
* American Freightways 15,700 332
</TABLE>
40
<PAGE> 68
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
American Health Properties, Inc. 30,700 $ 737
American Heritage Life
Investment Corp. 26,532 468
American Income Holding Inc. 19,900 520
* American Management Systems, Inc. 23,900 562
* American Medical Response, Inc. 2,100 54
* American Oil and Gas Corp. 54,100 548
* American Pacific Corp. 30,600 451
* American Recreation Co.
Holdings, Inc. 27,200 394
American President Cos., Ltd. 28,900 647
* American Residential
Holdings Corp. 36,700 812
American Software, Inc. Class A 59,500 297
* American Travellers Corp. 24,400 335
Ameron, Inc. 13,700 486
Ametek, Inc. 50,300 742
* Ampal-American Israel Corp. 14,000 94
AMPCO-Pittsburgh Corp. 4,700 30
* Amsco International, Inc. 70,900 585
Amtech Corp. 20,650 237
* Anacomp, Inc. 162,600 488
* Analogic Corp. 24,800 403
* Anchor Bancorp Inc. 40,600 634
Anchor Bancorp Wisconsin Inc. 23,100 632
* Anchor Gaming 10,100 119
Angelica Corp. 22,300 588
* Anthem Electronics, Inc. 27,500 571
Anthony Industries, Inc. 14,486 221
Apogee Enterprises, Inc. 22,000 294
Applebee's International, Inc. 27,200 330
* Applied Innovation, Inc. 10,800 232
* Applied Bioscience
International, Inc. 36,408 212
* Applied Magnetics Corp. 43,700 191
Applied Power, Inc. 18,300 373
Aptargroup Inc. 28,600 651
Aquarion Co. 24,452 620
Arbor Drugs, Inc. 21,000 394
Arctco Inc. 28,000 731
* Arden Group Inc. Class A 9,100 391
* Argosy Gaming Co. 1,100 16
* Armco, Inc. 94,600 532
Arnold Industries, Inc. 34,900 676
Arrow International, Inc. 25,400 508
Arvin Industries, Inc. 26,500 636
Ashland Coal Inc. 20,600 551
* Aspect Telecommunications 18,100 509
Associated Banc-Corp. 17,587 646
Associated Natural Gas Corp. 19,800 634
* Astoria Financial Corp. 14,200 449
* Atari Corp. 87,100 250
* Athena Neurosciences, Inc. 49,700 348
Augat, Inc. 22,200 438
* Automotive Industries Inc. Class A 24,000 642
Autotote Corp. 39,800 632
Avalon Properties 24,200 514
* Avatar Holding, Inc. 17,600 636
Avemco Corp. 18,850 261
Aviall Inc. 875 7
* Aztar Corp. 98,500 579
BHC Financial Inc. 28,175 285
* Bisys Group, Inc. 31,200 645
* BJ Services Co. 35,800 738
* BMC Industries, Inc. 23,500 637
BRE Properties Inc. Class A 15,100 462
BSB Bancorp, Inc. 22,815 622
BWIP INC. 34,300 596
J. Baker, Inc. 14,400 276
Baldor Electric Co. 26,980 631
* Baldwin Piano and Organ Co. 1,100 15
* Baldwin Technology Class A 89,300 402
Ballard Medical Products 37,166 376
* Bally Entertainment Corp. 67,900 441
* Bally Gaming International Inc. 18,000 217
Baltimore Bancorp. 48,300 960
* Banctec, Inc. 22,950 453
Bank of Granite Corp. 12,750 354
Bank South Corp. 5,700 103
Bank North Group 21,300 450
Banta Corp. 26,000 835
* Banyan Systems, Inc. 37,700 485
Barnes Group, Inc. 4,700 166
* Barr Labs Inc. 27,100 505
* Barrett Resources Corp. 35,100 555
Bassett Furniture Industries, Inc. 20,325 574
Bay Apartment Communities, Inc. 27,900 572
Bay State Gas Co. 19,000 456
Bay View Capital Corp. 24,600 618
Bearings, Inc. 13,600 432
Belden Inc. 23,400 433
Bell Bancorp, Inc. 14,700 792
* Benson Eyecare Corp. 60,700 455
Bergen Brunswig Corp. Class A 41,137 689
W.R. Berkley Corp. 15,800 614
Berkshire Realty Co., Inc. 36,300 386
Berry Petroleum Class A 42,800 407
* Bertucci's Holding Corp. 22,900 321
* Bettis Corp. 33,050 155
BIC Corp. 100 3
* Bio-Rad Labs, Inc. Class A 14,400 261
Biocraft Laboratories 20,700 282
Birmingham Steel Corp. 4,500 121
</TABLE>
41
<PAGE> 69
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Black Hills Corp. 20,200 $ 371
Blair Corp. 11,000 450
Blessings Corp. 9,700 290
Block Drug Co. Class A 11,597 372
* Bolt Beranek and Newman, Inc. 58,400 701
Bombay Co. 41,975 540
* Books-a-Million Inc. 18,100 421
* Boole & Babbage Inc. 17,100 455
* Boomtown Inc. 29,200 478
* Borg-Warner Security Corp. 23,100 260
* Borland International, Inc. 1,100 11
Boston Bancorp 18,400 605
* Boston Chicken, Inc. 23,100 832
Bowne & Co., Inc. 22,200 461
W.H. Brady Class A 15,700 714
* Breed Technological Inc. 12,200 338
Brenco, Inc. 32,800 396
Brenton Banks, Inc. 21,450 410
* The Broadway Stores, Inc. 66,700 567
* Brock Control Systems, Inc. 19,200 245
* Broderbund Software 11,000 495
* Brooktree Corp. 52,600 381
Brown Group, Inc. 26,100 982
Bruno's Inc. 60,900 434
Brush Wellman, Inc. 16,300 259
Buffets Inc. 31,600 581
CBL & Associates Properties, Inc. 16,400 340
CCB Financial Corp. 10,400 412
CCP Insurance, Inc. 18,700 381
* CDI Corp. 41,500 550
CMAC Investment Corp. 18,100 457
CNB Bankshares, Inc. 16,711 566
CPI Corp. 29,000 482
CRS/Sirrine, Inc. 37,200 400
* CSF Holdings, Inc. 23,300 492
* C-TEC Corp. 22,100 563
CWM Mortgage Holdings Inc. 51,100 396
Cabot Oil & Gas Corp. 29,026 606
* Cadence Design Systems, Inc. 63,300 1,060
* Caldor Corp. 24,300 680
* Calgene, Inc. 37,000 432
Calgon Carbon Corp. 30,200 415
* California Energy Co. 25,900 427
California Federal Bank Class A 67,978 799
California Water Service Co. 14,713 528
Calmat Co. 26,400 535
Camden Property Trust 12,000 294
* Canandaigua Wine Co., Inc. Class A 14,800 368
* Canandaigua Wine Co., Inc. Class B 2,800 77
Capital Re Corp. 16,400 344
Capitol American Financial Corp. 7,600 179
Capstead Mortgage Corp. 22,100 508
Caraustar Industries, Inc. 30,600 528
Cardinal Health, Inc. 1,100 54
* Career Horizons Inc. 24,000 450
Carlisle Co., Inc. 18,400 603
Carpenter Technology Corp. 11,300 675
Carr Realty Corp. 28,100 608
* Carson Pirie Scott & Co. 19,200 335
Cascade Natural Gas Corp. 33,050 471
Casey's General Stores 55,700 627
Cash America International Inc. 74,800 580
* Casino Data Systems 13,600 269
Casino Magic Corp. 600 3
* Catalina Marketing Corp. 14,400 605
* Catalytica, Inc. 35,400 230
* Catellus Development Corp. 73,450 542
Cato Corp. Class A 29,600 374
Cellular Communications
International Inc. 10,200 280
* Cellpro, Inc. 15,200 296
* Centex Construction Products, Inc. 26,000 309
* Centocor, Inc. 74,800 837
Central Hudson Gas & Electric Corp. 24,600 646
Central Louisiana Electric Co. 31,500 740
Central Maine Power Co. 32,100 369
Central Vermont Public
Service Corp. 34,400 503
Centura Banks, Inc. 30,500 663
* Cerner Corp. 22,800 624
* Chambers Development
Co. Class A 55,900 122
Chaparral Steel Co. 28,500 256
Charter One Financial 32,875 672
* Charter Medical Corp. 39,100 885
Checkers Drive-In Restaurant 1,200 7
Chemed Corp. 21,600 772
Chemical Finance 12,795 505
The Cherry Corp. 15,800 482
Chesapeake Corp. of Virginia 30,400 775
* Chico's FAS 30,000 352
* Chipcom Corp. 15,700 618
Chiquita Brands International, Inc. 26,000 325
Chittenden Corp. 24,870 513
* Christiana Cos., Inc. 15,500 527
Church and Dwight, Inc. 17,200 391
Cilcorp, Inc. 19,000 553
Citifed Bancorp 17,500 475
Citizens Bancorp (MD) 23,900 672
Citizens Corp. 36,800 644
Citizens First Bancorp, Inc. 64,800 583
* City National Corp. 62,500 625
Claire's Stores, Inc. 36,000 369
Clarcor Inc. 16,050 277
</TABLE>
42
<PAGE> 70
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Clark Equipment Co. 2,400 $ 143
Clear Channel Communications 12,375 466
Cleveland-Cliffs Iron Co. 16,600 631
* Clinicom 26,900 397
* Coast Savings Financial, Inc. 51,500 869
Coastal Bancorp 32,300 541
Coca-Cola Bottling Co. 20,422 569
Coeur D'Alene Mines Corp. 20,871 389
Cognex Corp. 39,600 554
* Cole National Corp. 2,500 34
Collagen Corp. 18,800 355
Collective Bancorporation Inc. 30,600 669
Colonial Bancgroup, Inc. 30,300 670
Colonial Properties Trust 6,000 136
* Columbia Laboratories Inc. 96,700 429
* Columbia First Federal
Savings and Loan Assn. 16,800 678
Columbus Realty Trust 8,000 168
Comair Holdings, Inc. 24,200 496
Comdata Holdings Corp. 43,533 340
Commerce Bancorp, Inc. 32,970 639
Commerce Clearing
House, Inc. Class A 33,100 567
Commerce Group, Inc. 36,900 618
* Commercial Federal Corp. 20,800 493
Commercial Intertech Corp. 29,900 789
Commercial Metals Co. 19,866 511
* Commnet Cellular Inc. 13,000 234
Commonwealth Energy Systems 15,000 607
Communications Systems, Inc. 40,400 500
Community Psychiatric Centers 61,150 726
* Compression Labs, Inc. 42,240 433
* Computer Network
Technology Corp. 63,100 434
* CompUSA, Inc. 700 6
* Concord EFS Inc. 14,900 356
* Cone Mills Corp. 40,200 518
Connecticut Natural Gas Corp. 15,400 391
Connecticut Water Services, Inc. 10,600 246
* Consolidated Freightways, Inc. 4,200 100
* Consolidated Stores, Inc. 56,100 687
* Continental Medical Systems, Inc. 59,350 482
* Continuum Inc. 27,800 566
* Copytele, Inc. 35,200 328
* Coral Gables Federal
Savings & Loan Assn. 17,100 357
* Cordis Corp. 4,500 175
Core Industries, Inc. 20,200 204
CoreStates Financial Corp. 137 3
* Corrections Corp. of America 38,300 627
Cousins Properties, Inc. 21,200 329
Coventry Corp. 14,400 526
Crawford & Co. Class B 26,500 437
* Cray Research, Inc. 27,200 615
* Credence Systems Corp. 11,900 190
Criimi Mae Inc. 61,000 640
A.T. Cross Co. Class A 11,600 186
* Crown Central Petroleum
Corp. Class A 13,900 248
Cubic Corp. 11,200 210
Cullen/Frost Bankers, Inc. 15,440 548
Curtice-Burns, Inc. Class A 27,527 440
Curtiss-Wright Corp. 12,800 429
* Cygne Designs, Inc. 2,000 43
* Cygnus Therapeutic Systems 54,400 428
* Cypress Semiconductor Corp. 52,300 850
* Cytec Industries, Inc. 628 12
* Cytogen Corp. 26,100 121
* DF & R Restaurants, Inc. 14,000 327
* D.I.Y. Home Warehouse, Inc. 30,900 270
* Dallas Semiconductor Corp. 36,700 665
Dames & Moore, Inc. 18,300 268
Daniel Industries, Inc. 29,400 323
* Danielson Holdings Corp. 4,100 27
Dart Group Corp. Class A 5,467 417
* Data General Corp. 47,500 368
* Datascope Corp. 28,200 444
* Davidson and Associates, Inc. 23,700 367
Deb Shops, Inc. 9,100 62
* Dekalb Energy Co. Class B 40,500 618
Dekalb Genetics Corp. Class B 15,400 462
Delchamps, Inc. 21,653 482
Delta Woodside 8,000 94
Deposit Guaranty Corp. 26,300 769
* Destec Energy Inc. 1,000 10
Developers Divers Realty Corp. 17,900 555
Devon Energy Corp. 30,600 688
* Devry, Inc. 12,600 357
Dexter Corp. 28,200 684
Diagnostic Products Corp. 22,900 495
* Diagnostek, Inc. 37,800 822
Dibrell Brothers, Inc. 18,400 313
* Digital Microwave Corp. 31,900 331
* Dime Bankcorp Inc. 82,100 811
* Dionex Corp. 8,600 288
Dixie Yarn, Inc. 27,700 235
Donaldson Co., Inc. 31,600 707
* Dovatron International Inc. 23,853 468
* Dravo Corp. 38,000 413
* The Dress Barn, Inc. 39,100 393
Dreyer's Grand Ice Cream, Inc. 16,400 377
* Dual Drilling Co. 28,700 316
Duff & Phelps Corp. 32,300 642
Duke Realty Investments 17,200 436
</TABLE>
43
<PAGE> 71
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Duriron Co., Inc. 29,900 $ 490
Duty Free International Inc. 1,200 13
* Dynatech Corp. 26,800 566
Elizabethtown Corp. 18,700 496
* EZ Communications, Inc. Class A 37,800 411
* Eagle Hardware & Garden, Inc. 48,500 452
Eastern Enterprises 22,400 512
Eastern Utilities Associates 28,441 658
Eaton Vance Corp. 13,700 368
* Eckerd Corp. 35,000 722
Edison Brothers Stores, Inc. 16,100 407
* Egghead, Inc. 44,400 316
* Elcor Corp. 20,600 505
Electro Rent Corp. 33,186 460
Emphesys Financial Group, Inc. 16,200 482
Empire District Electric Co. 19,318 316
* Employee Benefit Plans Inc. 33,100 372
Energen Corp. 24,200 505
Enhance Financial
Services Group, Inc. 24,800 434
Ennis Business Forms, Inc. 39,350 536
* Enterra Corp. 22,900 481
* Envoy Corp. 36,800 635
* Envirosource, Inc. 99,100 291
* Envirotest Systems Corp. Class A 35,800 434
* Epitope Inc. 28,200 455
* Equicredit Corp. 31,600 549
* Ethan Allen Interiors Inc. 13,100 269
Evans & Sutherland
Computer Corp. 31,600 435
* Exabyte Corp. 29,700 427
Excel Industries, Inc. 5,500 85
Exide Corp. 19,500 897
* Exide Electronics Group, Inc. 22,100 445
Expeditors International of
Washington, Inc. 18,200 319
Express Scripts 21,600 532
* Ezcorp, Inc. 35,300 472
F & M National Corp. 23,300 393
FMC Gold Co. 63,200 340
* Fabri-Centers of America, Inc. 33,900 509
Farmer Brothers, Inc. 3,350 427
Fastenal Co. 19,400 657
Fay's Drug Co. 23,875 158
* Fedders Corp. 81,700 623
Fidelity National Financial, Inc. 31,483 401
* Fieldcrest Cannon, Inc. 26,100 646
Figgie International Inc. Class A 30,800 312
* Filene's Basement Corp. 62,600 603
Financial Trust Corp. 5,600 235
First Alert, Inc. 4,600 118
First American Financial Corp. 13,500 312
First Bancorp of Ohio 35,800 899
First Citizens Bancshares Class A 11,700 509
First Colonial Bankshares 27,800 639
First Commerce Bancshares Class A 2,000 33
First Commerce Bancshares Class B 8,000 105
First Commercial Corp. 25,815 607
First Commonwealth
Financial Corp. 23,600 410
* First Federal Financial 39,775 592
First Financial Bancorp 12,633 483
First Financial Caribbean Corp. 10,000 115
First Financial Savings Assn. 35,000 516
First Merchants Corp. 14,400 419
First Michigan Bank Corp. 23,753 540
First Midwest Bancorp 26,700 708
First Mississippi Corp. 27,300 416
First National Bank of Gainsville 27,550 561
First Source Corp. 16,905 429
Firstfed Michigan Corp. 22,250 513
Firstier Financial Inc. 11,900 561
Fisher Scientific International Inc. 23,100 745
* Flagstar Cos. 61,460 507
Fleet Mortgage Group 400 6
Florida East Coast Railway Co. 8,700 570
Florida Rock Industries, Inc. 16,600 398
Flowers Industries, Inc. 42,000 767
Fluke Corp. 22,100 652
* Foamex International, Inc. 45,700 486
* Foodmaker, Inc. 98,400 554
Foote, Cone & Belding
Communications, Inc. 13,500 608
Foothill Group 51,300 603
Fort Wayne National Corp. 16,700 463
Foxmeyer Corp. 34,828 488
* Frame Technology 54,600 587
* Franklin Quest Co. 100 4
Fremont General Corp. 18,400 432
* Fresh Choice, Inc. 21,600 454
* Friedman's, Inc. Class A 17,800 231
Frisch's Restaurants, Inc. 32,534 427
* Fritz Cos., Inc. 12,900 400
H.B. Fuller Co. 20,350 740
Fulton Financial Corp. 30,618 670
* Fund American Enterprise
Holding Co. 9,853 695
* Fusion Systems Corp. 9,300 165
G & K Services, Inc. 52,150 789
* GC Cos. 250 6
GFC Financial Corp. 23,900 798
Gables Residential 12,000 287
Gainsco, Inc. 41,318 367
* Galey & Lord 36,900 613
</TABLE>
44
<PAGE> 72
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Arthur J. Gallagher & Co. 22,200 $ 688
* Gaylord Container Corp. 75,400 386
* Gencare Health Systems, Inc. 15,500 490
Gencorp, Inc. 37,900 436
* Genelabs Technologies, Inc. 38,000 83
* General Datacomm Industries, Inc. 62,500 1,000
General Growth Properties 20,300 459
General Host Corp. 66,780 359
Gentex Corp. 23,700 607
* Genesis Health 15,500 393
* Genetic Therapy, Inc. 36,600 366
* Geneva Steel Class A 22,200 375
* Gensia Inc. 25,200 236
* Genta Inc. 51,300 410
* Geotek Industries, Inc. 56,000 420
Gerber Scientific, Inc. 28,700 445
* Gerrity Oil & Gas Corp. 60,500 552
* Gibraltar Steel Corp. 3,100 34
Gibson Greetings, Inc. 23,000 371
Gilbert Associates, Inc. Class A 21,875 331
* Gilead Sciences, Inc. 25,400 213
Gleason Corp. 15,900 183
* Glendale Federal 51,300 539
Glimcher Realty Trust 15,700 328
* Global Marine Inc. 224,700 1,039
* Global Natural Resources, Inc. 81,300 589
* Goody's Family Clothing 30,400 547
Gorman-Rupp Co. 14,750 374
Goulds Pumps, Inc. 29,900 639
Graco, Inc. 21,800 409
* Grand Casinos, Inc. 800 11
* Great American Management, Inc. 14,300 486
* Great Financial Corp. 16,000 282
* Great Lakes Bancorp, FSB 16,498 357
Green Mountain Power Corp. 17,200 424
Greif Brothers Corp. Class A 16,100 624
Grey Advertising, Inc. 2,700 500
* Groundwater Technology, Inc. 34,600 458
Grow Group, Inc. 28,400 486
Guardsmen Chemicals Inc. 3,725 34
* Gupta Corp. 35,300 335
Gymboree Inc. 17,400 685
Hubco, Inc. 24,134 489
* Haemonetics Corp. 21,050 382
Haggar Corp. 17,800 538
Hancock Holding Co. 16,646 474
Handleman Co. 44,600 452
Handy & Harman 44,800 627
Harman International
Industries, Inc. 15,500 388
Harnischfeger Industries Inc. 37,800 737
Harper Group, Inc. 27,000 385
* Harte-Hanks Communications Co. 12,100 240
* Hartmarx Corp. 90,000 551
Hawkeye Bancorp 36,600 764
Health Management
Associates Class A 17,362 356
* Healthdyne, Inc. 73,000 429
* HEALTHSOUTH
Rehabilitation Corp. 7,300 191
* Healthwise of America Inc. 19,050 391
Heartland Express, Inc. 20,875 626
Hechinger Co. Class A 40,500 562
* Hecla Mining Co. 49,500 526
Helene Curtis, Inc. 11,900 330
Helmerich & Payne, Inc. 25,700 681
Heritage Financial Services, Inc. 30,800 578
* Heritage Media Corp. Class A 35,104 623
* Hillhaven Corp. 26,480 477
Holly Corp. 12,600 359
Holly Residential Properties 11,000 173
* Hollywood Casino Corp. 47,300 296
* Hollywood Park, Inc. 14,000 324
* Home Holdings Inc. Series A 28,345 372
Home Beneficial Corp. Class B 25,400 530
* Homedco Group Inc. 17,700 491
* Hometown Buffet, Inc. 4,000 61
* Hook Suprex 50,600 683
* Horizon Healthcare Corp. 18,500 423
* Hovnanian Enterprises Class A 39,050 371
* Hovnanian Enterprises Class B 9,650 93
Hudson Foods Inc. Class A 31,100 552
Huffy Corp. 14,400 225
Hughes Supply, Inc. 21,000 438
* Hugoton Energy Corp. 17,400 231
Hunt Manufacturing Co. 31,000 504
* ICN Pharmaceuticals, Inc. 59,300 489
* IHOP Corp. 22,700 650
* IMRS Inc. 22,500 481
IRT Property Co. 46,585 460
IWC Resources Corp. 21,000 423
* IDEX Corp. 17,800 703
IDEXX Corp. 22,400 669
* Immune Response 22,454 225
* Immunex Corp. 46,100 582
* Immunomedics Inc. 45,300 153
* Imo Industries, Inc. 14,100 134
* Imperial Bancorp 39,718 675
* Imperial Credit 47,880 497
Inbrand Corp. 7,500 125
Independent Insurance Group, Inc. 27,600 393
Indiana Energy, Inc. 32,600 595
* Indressco Inc. 36,900 438
* Information Resources, Inc. 25,700 379
</TABLE>
45
<PAGE> 73
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Input/Output, Inc. 27,200 $ 649
* Instrument Systems Corp. 58,600 432
* Insurance Auto Auctions, Inc. 12,700 418
* Integrated Health Services, Inc. 18,600 558
Intelligent Electronics Inc. 1,200 18
* Interco Co. 53,000 788
Intercontinental Bank 20,900 460
Interface, Inc. 28,800 328
* Intergraph Corp. 59,200 566
Intermet Corp. 43,100 334
International Aluminum Corp. 13,400 323
* International Cabletel, Inc. 33,800 701
* International Dairy
Queen, Inc. Class A 30,400 509
* International Family Entertainment 25,100 414
International Multifoods Corp. 27,700 440
* International Rectifier Corp. 49,200 738
International Shipholding Corp. 22,200 444
* International Technology 210,600 579
* Interpool, Inc. 31,700 365
Interstate Bakeries 26,300 329
Interstate Power Co. 11,200 249
Intervoice, Inc. 53,600 375
* Intuit, Inc. 12,000 401
Invacare Corp. 17,500 473
* Ionics, Inc. 11,200 491
Iowa-Illinois Gas & Electric Co. 33,000 677
Irvine Apartment Communities, Inc. 31,000 620
Irwin Financial Corp. 17,400 394
* ISIS Pharmaceutical, Inc. 42,500 279
JSB Financial 15,800 389
* Jacobs Engineering Group Inc. 20,800 426
* Jan Bell Marketing Inc. 30,300 197
Jefferson Bankshares, Inc. 18,900 434
John Alden Financial Group 10,900 376
* Johnson Worldwide Associates, Inc. 9,900 249
* Johnstown America Industries 27,400 565
* Joy Technologies, Inc. 58,400 569
Juno Lighting, Inc. 25,300 487
Justin Industries, Inc. 40,450 490
KN Energy, Inc. 20,900 465
* Kaiser Aluminum & Chemical Corp. 23,500 226
Kansas City Life Insurance Co. 12,030 529
Katy Industries, Inc. 24,100 593
Kaufman & Broad Home Corp. 29,900 400
Kaydon Corp. 25,000 531
* Keane, Inc. 8,700 301
* Kelly Oil Corp. 46,900 334
Kellwood Co. 30,450 651
* Kemet Corp. 28,070 474
* Kenetech Corp. 40,000 725
Kennametal, Inc. 18,000 887
* Kent Electronics Corp. 15,900 485
Keystone Financial, Inc. 26,650 846
Kimball International, Inc. Class B 16,000 366
* Kinder Care Learning Centers Inc. 800 11
Kinetic Concepts, Inc. 57,200 204
* Kirby Corp. 40,900 670
* Knowledgeware, Inc. 23,900 128
* Komag, Inc. 18,800 345
Kranzco Realty Trust 29,000 613
* The Krystal Co. 31,600 352
Kuhlman Corp. 13,900 205
Kysor Industrial Corp. 20,900 368
LCI International, Inc. 15,600 505
* LDDS Communications, Inc. 300 5
La Quinta Inns Inc. 7,550 197
La-Z-Boy Chair Co. 18,800 498
Laclede Gas Co. 21,600 473
Ladd Furniture, Inc. 58,900 398
* Lady Luck Gaming Corp. 25,000 181
* Lamson & Sessions Co. 48,500 382
Lance, Inc. 800 14
* Landair Sevices, Inc. 15,000 266
Landauer, Inc. 35,500 488
* Landmark Graphics Corp. 22,100 674
Lands' End, Inc. 4,800 83
* Landstar System 24,700 716
Lattice Semiconductor Corp. 25,900 486
Lawson Products, Inc. 14,900 346
Lawter International Inc. 30,666 360
* Lechters Corp. 37,500 520
Legg Mason Inc. 29,700 561
Lennar Corp. 29,950 565
Lesco, Inc. 26,200 422
* Level One Communications, Inc. 20,900 376
* Levitz Furniture, Inc. 29,300 319
Liberty Bankcorp Inc. 17,800 554
Liberty Corp. 23,900 654
Lifetime Hoan Corp. 6,750 78
Life Re Corp. 18,300 366
Life Technologies, Inc. 25,300 471
Lilly Industries Inc. Class A 31,650 447
Lincare Holdings Inc. 28,100 551
Lincoln Telecommunications Co. 34,200 517
* Lindsay Manufacturing Co. 17,425 512
* Liposome Co., Inc. 73,400 417
Liqui-Box Corp. 17,200 611
* Living Centers of America, Inc. 25,600 736
* Lone Star Industries, Inc. 6,000 90
* Lone Star Steakhouse & Saloon 20,800 367
* Lottery Enterprises, Inc. 13,500 145
Luby's Cafeterias, Inc. 25,600 576
Lufkin Industries 14,414 281
</TABLE>
46
<PAGE> 74
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Lukens, Inc. 14,100 $ 462
* MAF Bancorp, Inc. 20,800 471
* M/A-Com, Inc. 64,800 518
* MB Communications, Inc. 15,800 158
MDU Resources Group, Inc. 26,250 702
MGI Properties, Inc. 35,000 512
* MK Gold Co. 5,000 26
MTS Systems Corp. 17,100 492
* MacFrugal's Bargains
Close-Outs, Inc. 43,100 749
MacDermid, Inc. 50 1
The MacNeal-Schwendler Corp. 31,700 444
* Macromedia Inc. 8,000 68
Madison Gas & Electric Co. 14,750 490
Magna Group 36,400 698
* Magnatek 24,700 358
Manitowoc Co., Inc. 12,900 321
Manufactured Home
Communities, Inc. 22,900 475
* Marcam Corp. 6,300 72
Margaretten Financial Corp. 48,600 1,215
* Marine Drilling Co., Inc. 65,100 382
Mark Twain Bancshares, Inc. 20,550 591
Marshall Industries 25,600 563
Maryland Federal Bancorp 13,600 367
* Maxtor Corp. 68,600 339
* Maxus Energy Corp. 174,131 871
Maybelline, Inc. 21,593 597
McArthur/Glen Realty Corp. 19,100 332
McDonald and Co.
Investments, Inc. 33,160 423
* McWorter Technologies Inc. 9,850 151
Measurex Corp. 13,200 234
* Medaphis Corp. 22,800 638
* Medco Research, Inc. 33,800 469
Media General, Inc. Class A 20,700 551
* Medic Computer Systems, Inc. 31,300 462
* Medical Care America 200 5
* Medimmune Inc. 28,600 247
* MEDSTAT Group, Inc. 29,810 395
Medusa Corp. 27,550 675
Mentor Corp. 24,800 378
Mentor Graphics Corp. 68,800 718
Merchants New York Bancorp 4,800 247
Meredith Corp. 16,000 680
* Merisel, Inc. 36,000 311
Merrill Corp. 25,000 556
Merry-Go-Round Enterprises, Inc. 1,900 4
Merry Land & Investment Co., Inc. 22,600 458
* Mesa Airlines, Inc. 34,300 343
* Mesa, Inc. 109,000 613
* Metricom 34,200 522
Metropolitan Financial Corp. 46,698 735
* Microchip Technology, Inc. 20,300 718
Mid Am Inc. 31,585 462
Mid-American Waste Systems, Inc. 40,100 226
Mid-America Bancorp 23,896 439
Midland Co. 11,300 401
* Midland Financial Group, Inc. 22,000 462
Midwest Grain Products 13,800 497
Herman Miller, Inc. 34,300 892
Mills Corp. 16,200 365
Mine Safety Appliances Co. 12,100 493
Minerals Technologies, Inc. 22,100 641
* Mobile Telecommunications
Technologies Corp. 40,300 730
* Mohawk Industries, Inc. 27,600 490
* Molecular Biosystems, Inc. 32,500 358
* Molten Metal Technology 32,800 599
The Money Store 19,200 326
Monk Austin, Inc. 100 1
Morrison-Knudsen Co., Inc. 40,400 869
Mosinee Paper Corp. 9,000 284
* Mueller Industries Inc. 16,400 478
* Multicare Cos., Inc. 5,400 92
* Musicland Stores Corp. 37,400 598
* Mutual Assurance Inc. 15,725 318
NAC Re Corp. 14,750 435
NBB Bancorp, Inc. 13,300 625
NBSC Corp. 11,200 273
* N L Industries, Inc. 89,000 757
NN Ball & Roller, Inc. 21,900 386
N.S. Bancorp Inc. 24,100 711
NYMAGIC, Inc. 19,200 389
* Nabors Industries, Inc. 93,400 689
NACCO Industries, Inc. Class A 11,100 597
* Namic U.S.A. Corp. 10,800 86
Nash-Finch Co. 32,500 553
Nashua Corp. 20,700 528
National Bankcorp of Alaska Inc. 9,700 534
National Community Bancorp 22,650 498
National Computer Systems, Inc. 24,500 285
National Data Corp. 35,100 601
* National Education Corp. 101,500 571
National Health Investors REIT 7,900 215
National Penn Bancshares Inc. 6,854 247
National Pizza Corp. Class A 38,600 251
National Presto Industries, Inc. 14,600 591
National Re Holdings Corp. 13,350 345
* National Steel Corp. Class B 41,900 649
* National Western Life
Insurance Co. Class A 8,600 313
* Navigators Group, Inc. 25,000 428
Nature's Sunshine Inc. 28,080 379
</TABLE>
47
<PAGE> 75
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Nautica Enterprises 26,905 $ 649
* Nellcor Inc. 24,700 655
* Netframe Systems Inc. 46,900 422
* Network Equipment Technologies 38,900 336
* Network General Corp. 28,000 441
* Network Systems Corp. 48,000 318
Neutrogena Corp. 31,800 616
New England Business Service, Inc. 21,800 414
New Jersey Resources Corp. 24,300 535
New York Bancorp Inc. 24,200 523
* Newfield Exploration Co. 10,600 240
* Noble Drilling Corp. 66,800 526
* Nortek, Inc. 19,708 185
North American Mortgage 21,700 521
North Carolina Natural Gas Corp. 18,711 423
Northwest Natural Gas Co. 19,300 574
Northwestern Public Service Co. 20,700 569
* Nu-Kote Holding, Inc. Class A 21,000 357
* Novellus Systems, Inc. 23,100 797
OEA, Inc. 20,800 577
* OHM Corp. 43,000 457
OMI Corp. 67,200 403
* Oak Industries, Inc. 24,300 483
Oakwood Homes Corp. 29,800 700
* Oceaneering International, Inc. 34,200 479
* Octel Communications Corp. 31,200 523
* Ogden Projects, Inc. 300 5
Oil-Dri Corp. of America 13,275 264
* Old Dominion Freight Line, Inc. 18,236 358
Old National Bancorp 23,919 867
* Omega Environmental, Inc. 71,000 404
Onbancorp Inc. 22,900 690
One Valley Bancorp of
West Virginia Inc. 19,000 539
* Onecomm Corp. 17,000 346
Oneida Ltd. 21,690 306
Oneok, Inc. 23,400 401
* Optical Radiation Corp. 21,000 480
Orange & Rockland Utilities, Inc. 12,600 394
* Orbital Sciences Corp. 37,200 595
* Organogenesis, Inc. 46,400 574
Oregon Steel Mills, Inc. 23,600 451
Orion Capital Corp. 21,225 724
O'Sullivan Corp. 27,500 261
Otter Tail Power Co. 15,400 485
Outboard Marine Corp. 28,700 574
Owens & Minor Inc. Holding Co. 43,237 643
PHH Corp. 18,500 659
Pacific Physician Services, Inc. 36,200 462
Pacific Scientific Co. 21,900 567
* Paragon Trade Brands, Inc. 3,800 110
* Parker Drilling Co. 84,400 506
* Payless Cashways, Inc. 58,100 784
* Pec Israel Economic Corp. 21,500 503
* The Penn Traffic Co. 11,500 405
Penn Virginia Corp. 14,200 458
Penncorp Financial Group Inc. 15,900 278
Pennsylvania Real Estate
Investment Trust 21,100 485
Pentair, Inc. 26,350 949
Penwest Ltd. 19,250 433
Peoples Telephone Co., Inc. 67,250 391
Petroleum Heat & Power Co. 2,200 16
Petroleum Heat & Power
Co. Class B 33,300 616
Petrolite Corp. 17,200 535
Phoenix Resource Cos., Inc. 5,700 150
* Phycor, Inc. 23,700 788
Piccadilly Cafeterias, Inc. 24,600 240
* Picturetel Inc. 31,100 391
Piedmont Natural Gas, Inc. 38,623 782
Pier 1 Imports Inc. 52,500 400
* Pillowtex Designs Corp. 25,000 350
Pioneer Group Inc. 15,200 549
Piper Jaffray Cos. Inc. 34,600 433
Pitt Des Moines, Inc. 3,500 95
Pittway Corp. Class A 12,200 424
Plains Petroleum Co. 25,000 534
* Platinum Technology, Inc. 44,400 572
* Players International, Inc. 18,200 271
* Playtex Products, Inc. 31,800 266
* Plexus Corp. 17,500 208
Ply-Gem Industries, Inc. 28,800 594
* Pogo Producing Co. 11,500 266
Pope & Talbot, Inc. 16,300 293
Post Properties, Inc. 21,200 665
* Powell Industries, Inc. 33,500 203
* Powersoft Corp. 12,400 601
Precision Castparts Corp. 17,800 565
Preferred Entertainment, Inc. 17,400 276
Premier Bancshares Corp. 16,000 288
President Riverboat Casinos, Inc. 600 4
* Premier Bancorp, Inc. 39,390 689
* Primedex Health Systems Inc. 157,950 217
* Primark Corp. 29,500 332
* Proffitt's, Inc. 28,900 545
* Progress Software Corp. 15,100 464
Protective Life Corp. 17,400 700
* Protein Design Labs 37,200 684
Provident Bancorp Inc. 15,100 487
* Public Service Co. of New Mexico 60,600 697
Pulitzer Publishing Co. 11,670 413
Pulte Corp. 18,900 435
Puritan-Bennett Corp. 14,700 292
</TABLE>
48
<PAGE> 76
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Pyramid Technology Corp. 36,100 $ 212
Pyxis Corp. 32,700 625
Quaker Chemical Corp. 7,200 131
Quaker State Corp. 40,100 561
Quality Food Centers Inc. 3,100 70
Quanex Corp. 12,100 231
* Quantum Health Resources, Inc. 19,300 608
Quixote Corp. 30,300 610
RFS Hotel Investors, Inc. 24,900 436
* RPC Energy Services 43,000 355
RPS Realty Trust 39,500 168
* Railtex, Inc. 8,000 174
* Ralcorp Holdings Inc. 28,700 456
* Ralston-Continental Baking 800 4
* Read-Right Corp. 50,900 659
Real Estate Investment
Trust of California 29,800 503
* Recognition International Inc. 52,200 437
* Redman Industries, Inc. 6,600 106
Regal-Beloit Corp. 23,500 629
Regional Acceptance Corp. 24,400 412
Reinsurance Group of America, Inc. 14,500 386
Reliance Group Holdings 63,500 341
* ReLife Inc. Class A 17,900 264
* Ren Corp. 46,400 406
* Renaissance Communications Corp. 16,400 377
Resource Mortgage Capital Corp. 27,700 661
* Respironics, Inc. 27,000 466
* Revco Inc. Rights Exp. 7/7/94 14,365 27
Richardson Electronics, Ltd. 6,700 28
Richfood Holdings, Inc. 45,100 677
* Riggs National Corp. 47,500 422
Rival Manufacturing Co. 30,700 635
River Forest Bancorp, Inc. 10,000 356
Robbins & Myers, Inc. 20,900 408
Robert Half International, Inc. 12,400 501
* Roberts Pharmaceuticals 13,100 269
* Rochester Community
Savings Bank 41,000 789
Rock-Tenn Co. 23,900 400
Rollins Environmental Services, Inc. 84,437 401
Rollins Truck Leasing 36,550 612
Roper Industries Inc. 14,600 370
Ross Stores, Inc. 35,200 513
Rouge Steel Co. Class A 14,500 390
* Rowan Cos., Inc. 84,800 742
* Royal Appliance Manufacturing Co. 98,900 383
Ruddick Corp. 24,600 403
Russ Berrie, Inc. 38,300 584
* Ryan's Family Steak Houses, Inc. 74,600 532
* Rykoff-Sexton, Inc. 15,800 296
Ryland Group, Inc. 21,800 382
* SCI Systems, Inc. 39,300 592
SCOR U.S. Corp. 16,000 176
SEI Corp. 25,400 464
SFFED Corp. 31,600 683
SLM International, Inc. 29,800 328
SPI Pharmaceuticals 34,320 541
SPS Technologies, Inc. 14,900 380
SPX Corp. 11,800 183
Safecard Services, Inc. 33,800 579
* Safety First Inc. 16,500 363
St. Joseph Light & Power Co. 16,900 452
St. Mary Land & Exploration Co. 28,800 346
Saint Paul Bancorp, Inc. 29,250 644
* Salick Health Care, Inc. 22,400 325
Saul Centers, Inc. 33,300 587
Savannah Foods & Industries, Inc. 36,700 436
Sbarro, Inc. 10,200 380
* Scherer Health 13,600 296
* Scholastic Corp. 18,600 695
* Sci-Med Life Systems, Inc. 15,100 395
* Sciclone Pharmaceuticals 26,700 189
* Scios Nova, Inc. 56,714 365
Scotsman Industries, Inc. 30,400 407
* Scotts Co. 26,200 429
Seafield Capital Corp. 17,000 638
* Sealed Air Corp. 29,000 805
Sealright Co. 15,800 247
* Security Capital Corp. 12,000 543
* Security Capital Industrial Trust 37,300 639
Security Connecticut Corp. 26,500 603
Selective Insurance Group 20,400 515
* Sepracor Inc. 68,800 374
Sequa Corp. Class A 20,500 605
* Sequent Computer Systems, Inc. 42,700 584
Shared Medical Systems Corp. 29,800 721
* Shoe Carnival, Inc. 43,500 424
Shopko Stores, Inc. 58,400 584
* Shorewood Packaging 45,000 849
* Show Biz Pizza Time, Inc. 16,500 184
* Sierra Health Services 22,400 526
Sierra Pacific Resources 42,900 804
* Silicon Valley Group, Inc. 54,600 635
Simpson Industries, Inc. 29,800 544
Sizzler International 23,400 137
Skyline Corp. 28,900 535
Skywest, Inc. 14,400 371
A.O. Smith Corp. 15,800 403
* Smith International, Inc. 57,700 880
* Smithfield Foods, Inc. 32,600 917
Smiths Food & Drug
Center, Inc. Class B 21,800 411
J.M. Smucker Co. Class A 28,600 672
</TABLE>
49
<PAGE> 77
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Snyder Oil Corp. 26,800 $ 513
* Sodak Gaming, Inc. 26,700 307
* Sofamor/Danek Group Inc. 3,600 47
Sonat Offshore Drilling Co. 16,800 328
* Sonic Corp. 24,000 462
South Jersey Industries, Inc. 28,236 508
* Southdown, Inc. 25,200 529
Southern California Water Co. 26,700 501
Southern Indiana Gas & Electric 23,133 636
Southern National Corp. 4,302 86
Southwest Gas Corp. 29,600 533
Southwestern Energy Co. 35,800 618
* Southwestern Life Corp. 109,100 573
Sovereign Bancorp, Inc. 47,690 513
* Spacelabs Medical 30,100 632
Spartan Motors, Inc. 29,100 366
* Spectrum Information
Technologies, Inc. 84,500 132
Spelling Entertainment 58,400 496
* Spieker Properties 17,500 385
* Sportmart Inc. 2,700 43
* Sports & Recreation 19,600 728
Springs Industries Inc. Class A 11,800 353
Standard Commercial Tobacco Co. 12,200 192
Standard Motor Products, Inc. 10,000 178
Standard Products Co. 24,725 723
The Standard Register Co. 30,200 642
Standex International Corp. 18,900 496
Stanhome, Inc. 28,700 947
L. S. Starrett Co. Class A 13,400 288
Steel Technologies, Inc. 29,150 481
* Stein Mart, Inc. 27,550 472
Sterling Chemicals, Inc. 44,200 414
* Steris Corp. 28,400 550
* Sterling Software, Inc. 24,396 732
Stewart Enterprises, Inc. Class A 30,650 667
Stone & Webster, Inc. 20,500 671
* Stone Container Corp. 36,125 528
* Storage USA, Inc. 1,000 27
Storage Equities, Inc. 42,700 662
Strawbridge & Clothier Class A 12,057 241
* Structural Dynamics Research Corp. 40,700 402
Sumitomo Bank of California 10,584 245
Summit Bancorp 37,400 804
Summit Properties, Inc. 31,900 638
* Summit Technology, Inc. 23,700 640
Sun Television & Appliances 27,200 235
* Sungard Data Systems 27,800 1,015
* Sunshine Mining Co. 228,600 429
Super Food Services, Inc. 42,300 502
* Sunrise Medical, Inc. 21,700 475
Surgical Care Affiliates, Inc. 31,300 415
Swift Transportation Co., Inc. 13,500 435
* Swing-n-Slide Corp. 44,000 435
* Symantec Corp. 43,800 465
* Symbol Technologies, Inc. 28,700 718
* Syncor International Corp. 22,500 208
* Synergen, Inc. 35,250 282
* Synopsys, Inc. 19,300 726
* Syratech Inc. 18,400 306
System Software Associates, Inc. 29,100 393
* Systems & Computer
Technology Corp. 42,000 643
* TBC Corp. 39,800 463
TCA Cable Television, Inc. 21,700 488
TCF Financial Corp. 18,200 617
TJ International, Inc. 20,400 393
TNP Enterprises, Inc. 37,900 569
TNT Freightways 24,800 577
* T R Financial Corp. 8,000 117
T Squared Medical 59,000 612
* Takecare, Inc. 12,600 967
* Tandycrafts, Inc. 31,100 420
* Tatham Offshore, Inc. 22,000 334
Taubman Co. 31,100 358
Tech Data Corp. 46,600 781
* Tech-Sym Corp. 18,449 378
* Tecnol Medical Products Inc. 42,300 582
* Telco Systems, Inc. 40,000 475
* Tejas Gas Corp. 9,600 461
* Tejas Power Corp. Class A 17,200 176
Tejon Ranch Co. 18,600 253
Teleflex Inc. 21,750 710
* Telios Pharmaceutical, Inc. 89,500 324
Telxon Corp. 49,200 787
Tennant Co. 3,900 167
Terra Industries, Inc. 93,500 725
* Tesoro Petroleum Corp. 57,500 625
* Tetra Technologies Inc. 52,900 450
Texas Industries, Inc. 12,660 426
* Theratech, Inc. 29,000 366
Thermo Cardiosystems Inc. 40,000 800
* Thermo Process Systems 33,000 268
Thermo Remediation, Inc. 5,000 69
Thermedics, Inc. 46,400 679
Thiokol Corp. 27,700 668
Tiffany & Co. 19,250 667
* Timberland Co. 13,700 555
* Tokheim Corp. 11,200 129
* Toll Brothers, Inc. 32,800 418
Tootsie Roll Industries, Inc. 10,349 612
The Topps Co., Inc. 54,425 388
The Toro Co. 11,300 268
Total System Services, Inc. 20,400 413
</TABLE>
50
<PAGE> 78
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
* Tracor, Inc. 33,959 $ 255
* Trans World Music Corp. 12,100 133
Transco Energy Co. 58,500 951
Trenwick Group Inc. 13,800 555
* Triarc Cos. Inc. 27,500 454
* Trimble Navigation Ltd. 35,900 343
Trinet Corporate Realty Trust 14,000 396
* Tripos Inc. 8,333 48
The Trust Company of New Jersey 47,600 589
Trustco Bank 27,736 631
Trustmark Corp. 31,100 564
* Tucson Electric Power Co. 222,600 668
Tultex Corp. 104,000 481
Tyco Toys, Inc. 49,300 345
UMB Financial Corp. 20,427 682
* UNC, Inc. 73,100 402
UNR Industries, Inc. 51,900 282
* USG Corp. 38,100 691
USLICO Corp. 16,800 311
Union Planters Corp. 29,184 781
* Union Switch & Signal, Inc. 23,400 430
United Bankshares, Inc. 15,500 393
United Carolina Bancshare Corp. 19,000 444
United Cities Gas Co. 26,594 419
United Cos. Finance Corp. 15,410 632
United Dominion Realty 60,500 847
United Fire & Casualty Co. 10,100 417
United Illuminating Co. 15,050 495
* United Insurance Cos., Inc. 19,900 527
* United International
Holdings, Inc. Class A 36,200 498
* United Meridian Corp. 21,600 324
United National Bancorp 7,400 257
* United Retail 30,500 221
* USAir Group, Inc. 62,300 397
* U.S. Bioscience 76,700 518
* U.S. Long Distance Corp. 35,600 363
* U.S. Robotics, Inc. 21,300 575
U.S. Shoe Corp. 100 2
United States Trust Corp. 11,400 580
United Water Resources, Inc. 51,768 667
United Wisconsin 13,500 378
Univar Corp. 28,400 284
Universal Corp. 38,200 745
* Universal Health Services Class B 25,500 666
* VLSI Technology, Inc. 50,000 688
Valassis Communication 41,900 676
Valhi, Inc. 41,500 213
Valmont Industries, Inc. 25,200 381
* Value City Department Stores, Inc. 28,300 379
Value Line, Inc. 12,000 399
* Varco International, Inc. 86,600 585
Varlen Corp. 15,650 315
* Vencor, Inc. 21,800 752
* Ventritex Inc. 29,000 537
Venture Stores, Inc. 24,800 490
* VeriFone, Inc. 23,050 357
* Vertex Pharmaceuticals, Inc. 21,400 254
* Vicor Corp. 21,900 413
* Vicorp Restaurants, Inc. 24,000 348
Victoria Bank 19,500 524
* Viewlogic Systems, Inc. 21,600 338
Vigoro Corp. 17,300 487
Viratek, Inc. 33,075 281
* Vital Signs, Inc. 20,200 197
Vivra, Inc. 28,875 693
* Vivus, Inc. 5,000 68
* Vmark Software 29,100 509
WD-40 Co. 9,250 370
* WMS Industries, Inc. 16,750 318
* Waban, Inc. 48,800 811
Wabash National Corp. 15,400 689
Wackenhut Corp. 2,500 37
* Wainoco Oil Corp. 119,000 565
* Wall Data Inc. 8,600 335
Wallace Computer Services, Inc. 4,500 144
* Wang Laboratories, Inc. 27,400 310
Washington Energy Co. 33,685 497
Washington National Corp. 18,705 397
Washington Real Estate
Investment Trust 41,950 813
* Weatherford International, Inc. 73,000 986
Del E. Webb Corp. 28,696 452
* Webco Industries, Inc. 7,700 116
* Welbilt Corp. 11,100 222
West Co., Inc. 26,300 569
* West Marine Inc. 2,500 54
Westcott Communications 23,600 224
Western Bank 14,665 235
* Western Digital Corp. 62,800 801
Western Investment
Real Estate Trust 53,700 752
* Western Publishing Group, Inc. 37,800 447
* Western Waste Industries 36,200 724
* Westpoint Stevens, Inc. 23,600 325
Wheatly TXT Corp. 34,000 487
* White River 12,026 394
Whitney Holdings 24,050 631
* Whittaker Corp. 32,900 494
Wicor, Inc. 23,600 699
Williams Sonoma, Inc. 18,375 558
Windmere Corp. 53,700 530
* Winnebago Industries, Inc. 52,200 457
</TABLE>
51
<PAGE> 79
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- - ---------------------------------------------------------------
<S> <C> <C>
Wisconsin Central
Transportation Corp. 12,000 $ 774
Wiser Oil Co. 29,800 477
Wolohan Lumber Co. 31,290 438
Woodhead Industries, Inc. 32,000 480
Worthen Banking Corp. 11,300 329
Wyle Laboratories 22,700 380
* Wyman Gordon Corp. 54,900 333
Yellow Corp. 24,100 416
York Financial Corp. 10,010 203
* Zale Corp. 27,500 249
* Zebra Technologies Class A 14,100 453
* Zenith Electronics Corp. 38,900 345
Zenith Laboratories 40,200 548
Zenith National Insurance Corp. 21,200 490
Zero Corp. 50,500 625
* Zilog Inc. 26,150 847
Zions Bancorp. 17,400 703
Zurn Industries, Inc. 17,300 350
- - ---------------------------------------------------------------
TOTAL COMMON STOCKS (98.4%)(1)
(Cost $508,023) 527,949
- - ---------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.2%)
- - ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face Amount
(000)
-----------
<S> <C> <C>
U.S. TREASURY BILL--Note D
4.26%, 9/22/94 $ 400 396
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 4.26%, 7/1/94 6,100 6,100
- - ---------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $6,496) 6,496
- - ---------------------------------------------------------------
TOTAL INVESTMENTS (99.6%)
(Cost $514,519) 534,445
- - ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
Value
(000)+
- - ---------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (.4%)
- - ---------------------------------------------------------------
Receivables for Securities Sold $ 65,245
Other Assets--Notes B and E 22,316
Payables for Securities Purchased (63,999)
Other Liabilities--Note E (21,508)
-----------
2,054
- - ---------------------------------------------------------------
NET ASSETS (100%)
- - ---------------------------------------------------------------
Applicable to 36,143,666 outstanding
shares of beneficial interest
(unlimited authorization) $536,499
- - ---------------------------------------------------------------
NET ASSET VALUE PER SHARE $14.84
===============================================================
</TABLE>
+ See Note A to Financial Statements.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index, Standard & Poor's Midcap 400 Index, Russell 2000 Index, and
Standard & Poor's 500 Index futures contracts represents 99.8% of net assets.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
- - ---------------------------------------------------------------
AT JUNE 30, 1994, NET ASSETS CONSISTED OF:
- - ---------------------------------------------------------------
Amount Per
(000) Share
-------- -------
<S> <C> <C>
Paid in Capital $501,416 $13.87
Undistributed Net Investment
Income 3,115 .09
Accumulated Net Realized Gains 12,354 .34
Unrealized Appreciation of
Investments--Note D 19,614 .54
- - ---------------------------------------------------------------
NET ASSETS $536,499 $14.84
- - ---------------------------------------------------------------
</TABLE>
52
<PAGE> 80
THE VANGUARD FAMILY OF FUNDS
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Q402-06/94
(VANGUARD INDEX TRUST)
[PHOTO -- SEE EDGAR APPENDIX]
SEMI-ANNUAL REPORT
JUNE 30, 1994
28
<PAGE> 81
EDGAR APPENDIX
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of the United States of America and Vanguard flying from a halyard.
