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Previous: FIDELITY HASTINGS STREET TRUST, N-30B-2, 1994-03-07 |
Next: FORD MOTOR CREDIT CO, 424B3, 1994-03-07 |
<PAGE> 1
VANGUARD
INDEX TRUST
ANNUAL REPORT
[PHOTO]
<PAGE> 2
A BRAVE NEW WORLD FOR INVESTING
With the clarity of hindsight, we can now see that the past two decades
composed one of the great cycles in the history of the financial markets, as
reflected in the chart below.
* During the 1973-1982 decade, the nominal total returns (capital change
plus income) of stocks and bonds averaged only about +6% per year; cash
reserves averaged more than +8% annually. However, high inflation rates,
averaging 8.7% annually, devastated these nominal results. Real returns
(nominal returns less the inflation rate) for each of these three major
asset classes were actually negative.
* During the 1983-1992 decade, quite the opposite situation prevailed.
Nominal returns for stocks and bonds were close to their highest levels
in history and forged well into double-digit territory. To make a good
investment environment even better, inflation was tame (averaging 3.8%
annually), and real returns were solidly positive.
[A TALE OF TWO DECADES CHART -- SEE EDGAR APPENDIX]
This sharp contrast provides us with perspective for the decade that will end
in the year 2002. Some investors will fear a recurrence of the returns of the
first decade, while others will hope for a recurrence of the second; most will
likely anticipate something in between. Whatever the case, there are two
essential elements involved in considering your investment program in the light
of today's circumstances.
First, the yield of each investment class at the start of a decade has
had an important relationship to its future return. Yields were low when 1973
began, high when 1983 began, and are again low today. In fact, current income
yields are remarkably close to the levels of 20 years ago, as shown in the
following table.
<TABLE>
<CAPTION>
INCOME YIELDS (January 1)
---------------------------------------------------
1973 1983 1994
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS 2.7% 4.9% 2.7%
BONDS 5.8 10.7 6.0
RESERVES 3.8 10.5 3.1
- -----------------------------------------------------------------------------------------------
</TABLE>
But there is a second important element to consider: inflation. It got
progressively worse during most of the first decade, but got progressively
better in the second.
<TABLE>
<CAPTION>
---------------------------------------------------
1973 1981 1993
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INFLATION 3.4% 12.4% 2.7%
- -----------------------------------------------------------------------------------------------
</TABLE>
Today's low yield levels suggest that more modest nominal returns are in
prospect for the coming decade than in the 1980s; indeed, returns could
gravitate
(Please turn to inside back cover)
VANGUARD INDEX TRUST PROVIDES FIVE "MARKET INDEX" PORTFOLIOS: 500 PORTFOLIO -
EXTENDED MARKET PORTFOLIO - TOTAL STOCK MARKET PORTFOLIO - GROWTH PORTFOLIO -
VALUE PORTFOLIO. EACH PORTFOLIO IS DESIGNED TO MATCH THE PERFORMANCE OF ITS
CORRESPONDING STOCK INDEX.
<PAGE> 3
CHAIRMAN'S LETTER
[PHOTO]
Fellow Shareholder:
After all was said and done, the stock market enjoyed a good year in 1993. The
Wilshire 5000 Index, encompassing essentially all U.S. common stocks, provided
a total return of +11.3%; the better-known Standard & Poor's 500 Composite
Stock Price Index, heavily weighted by blue-chip stocks with large market
capitalizations, gained +10.1%.
These aggregate statistics "conceal more than they reveal," as the
crosscurrents within the strong market tide were unusually diverse. Stocks of
medium and small companies did a good bit better, on balance, than their larger
counterparts; and among large and small companies alike, value stocks left
growth stocks virtually "in the dust."
The Portfolios of Vanguard Index Trust, each of which targets an
unmanaged stock index with the market capitalization and style characteristics
of a particular market segment, "tracked" their respective indexes with a high
degree of accuracy. This comparative table shows the total return (change in
net asset value per share plus any capital gains distributions and income
dividends, all of which are shown in detail in the table following this letter)
for each Portfolio:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
Total Return
------------
Year Ended December 31, 1993
----------------------------
Vanguard Comparable
Portfolio Index 1
- ------------------------------------------------------------------
<S> <C> <C>
LARGE STOCKS
500 PORTFOLIO + 9.9% +10.1%
GROWTH PORTFOLIO + 1.5 + 1.7
VALUE PORTFOLIO +18.4 +18.6
- ------------------------------------------------------------------
MEDIUM AND SMALL STOCKS
EXTENDED MARKET PORTFOLIO +14.5% +14.6%
SMALLCAP PORTFOLIO 2 +18.7 +18.9
- ------------------------------------------------------------------
ALL STOCKS
TOTAL STOCK MARKET PORTFOLIO +10.6% +11.3%
- ------------------------------------------------------------------
</TABLE>
1 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.
2 The SmallCap Portfolio, which began index operations on September 11,
1989, became a separate Portfolio of the Trust on January 28, 1994.
Note: "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.
THE STOCK MARKET IN 1993
As noted at the outset, 1993 was a good year for stocks in the aggregate.
Indeed, the +10.1% total return of the Standard & Poor's 500 Index was
virtually identical to its long-term (since 1926) average annual total return
of +10.3%. This 68-year historical span is by far the longest of any
diversified stock market index.
During the year, the market's returns accumulated gradually and with
relative consistency, inch-by-inch, step-by-step, month-by-month. There were
neither explosive rises nor plummeting declines. It is probably fair to say
that such a steady course is the exception rather than the rule in market
history. It remains a virtual certainty that most years will witness the kind
of spasmodic market action--and hence the higher volatility and risk--that has
been typical of the stock market in the past.
The precipitating factor in the market's advance almost certainly was the
decline in long-term interest rates. The yield on the long-term U.S. Treasury
bond opened the year at 7.4%; within a few weeks, Treasury yields began to drop
swiftly, resulting in a dramatic rally in bond prices. By the
1
<PAGE> 4
[CUMULATIVE PERFORMANCE 1989-1993 GRAPH -- SEE EDGAR APPENDIX]
beginning of March 1993, yields had fallen to 6.7%, reflected in a 9% increase
in the price of the U.S. Treasury bond. The rally in prices continued apace
- --with a few interruptions--through the end of 1993, when the yield touched
6.4%, engendering an additional 4% price gain.
This sharp rate decline seemed to be driven largely by two factors: (1) a
stubbornly weak economic recovery that encouraged the Federal Reserve to make
ample credit available; and (2) continuing evidence that inflation remained
under control. The U.S. Consumer Price Index (CPI) increased 2.7% during 1993,
down from 2.9% in 1992. As a result, despite the decline in interest rates,
"real" yields (nominal yields less the inflation rate) on long-term bonds
remain at healthy levels.
Since one factor that investors consider in setting their asset
allocations is the relative yield of stocks versus bonds, falling bond yields
provided impetus to stock prices. During the year, the dividend yield on stocks
declined from 2.8% to 2.7%, enough, in and of itself, to add some +5% to the
price of the stocks in the Index. This upward revaluation, when added to a
dividend yield that is extremely low by historical standards, accounted for the
lion's share of the +10.1% total return achieved by the Standard & Poor's 500
Index.
What was most interesting about 1993 was the extraordinary diversity of
returns in the various segments of the U.S. stock market, highlighted by two
essential elements: (1) investment style, exemplified by large "value" stocks
and large "growth" stocks; and (2) size of market capitalization, exemplified
by large, medium, and small stocks.
The first trend was the market's striking bias toward value
stocks--usually defined as those with above-average dividend yields and below-
average price-earnings ratios--over growth stocks--those that provide lower
yields but presumably richer prospects for sustainable earnings growth. (The
Standard & Poor's 500 Index is divided so that one-half of the market's
capitalization is included in each category.) The disparity between the two
groups' returns for the year was little short of astonishing: value stocks
provided a return of +18.6%, while growth stocks provided a return of but
+1.7%.
2
<PAGE> 5
The second trend was that, while stocks of large companies did well,
stocks of medium-sized companies did even better, and stocks of small companies
did best of all. The returns, respectively, were +10.1%, +14.6%, and +18.9%.
The single most important reason for these differences was that many large
growth stocks, especially those in the medical and consumer products
groups--the so-called "name brand" stocks--actually declined in value during
the year, as health-care reform and the erosion of brand loyalty prompted
increased price competition, with the attendant pressure on profit margins.
I should note that, based on the historical record, such dichotomies are
unlikely to persist over time. Indeed, over the past five years, as shown in
the charts on page 2, relative strength among the market sectors has
fluctuated, as first one group has excelled and then fallen out of favor, only
to be replaced by another group, and so on. For the full period, the returns
for each market segment have been reasonably consistent, in the range of +13.5%
to +15.1% annually. These results suggest, once again, the value of broad
diversification, and, for more focused investment programs, the importance of
hewing to whatever investment course you have chosen.
VANGUARD INDEX TRUST IN 1993
As shown in the comparative table at the start of my letter, our Portfolios,
almost across the board, did an exemplary job of "tracking" their respective
market segments. The differences between our returns and the index returns were
generally accounted for by our operating expense ratios (expenses as a
percentage of average net assets), which average about 0.20% annually.
The second major factor that influences our relative returns is our
ability to execute portfolio transactions at minimal cost. Together, both
operating expenses and transaction costs are required in the "real world." The
indexes themselves, of course, operate in the "paper world," with no costs for
portfolio changes, no capital inflows or outflows, no shareholder accounts to
service, and no accounting for daily net asset values.
Our total costs of investing, then, are simply a part of "doing business."
Nonetheless, we have maintained them at the lowest levels of any publicly
available index fund. Other index mutual funds, try as they may, have proven
unable to emulate our low-cost record. Largely because of our low costs, we
have been consistently at the top of the index fund group in terms of total
return. It is fair to say that we are regarded as setting the performance
standard for the field.
For our Portfolios that focus on stocks of medium-sized and small-sized
companies, another factor that may impair our results is "tracking error."
Acquiring, say, all of the 5000 stocks that compose the Wilshire 5000 Index
would be costly and inefficient. Thus, we use a sampling process known as
"optimization," which results in our holding not 5000 stocks, but about 1600
stocks in our Total Stock Market Portfolio. In essence, we have determined to
own a slightly less-diversified list of stocks, endeavoring to select a sample
which, in the aggregate, will replicate the return of the target index.
The tracking error that results from our optimization strategy may be
either positive or negative, although we should note that, among all of our
Portfolios, the Total Stock Market Portfolio reflected by far the greatest
tracking variation (about -0.5%) during 1993. Our experience has been that such
variations will balance out and that each of our Portfolios will, before taking
into account our modest level of operating expenses, track their indexes
reasonably closely each year. Over the long-term, our objective is to maintain
our tracking with a high degree of precision.
A LONGER-TERM VIEW
At the conclusion of this letter, we have provided charts showing the returns
of each Portfolio over its lifetime, compared with its appropriate target
index. In the case of our original 500 Portfolio (founded in 1976), however, we
have shown on page 4 its relative returns over the past decade to provide a
longer-term perspective. In addition, we have
3
<PAGE> 6
[CUMULATIVE PERFORMANCE DECEMBER 31, 1983, TO DECEMBER 31, 1993 GRAPH -- SEE
EDGAR APPENDIX]
shown the returns achieved by the average general equity mutual fund over this
same ten-year period.
With most of our Portfolios so "young," it seems appropriate to focus on
the ten-year record of our veteran 500 Portfolio. The chart above shows the
remarkable success of a market index strategy over the past decade, as
summarized in this table:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------
Total Return
------------
Ten Years Ended
December 31, 1993
-----------------
Cumulative Annual Rate
- ----------------------------------------------------------------
<S> <C> <C>
VANGUARD 500 PORTFOLIO +289% +14.6%
AVERAGE GENERAL EQUITY FUND +214 +12.1
- ----------------------------------------------------------------
INDEX ADVANTAGE + 75% + 2.5%
- ----------------------------------------------------------------
</TABLE>
Impressively enough, our return surpassed the returns achieved by 262 of the
320 general equity funds in operation throughout the period. This is a
remarkable accomplishment since the comparison excludes funds in operation at
the close of 1983 that have "given up the ghost"--usually as a result of poor
relative performance--during the decade, a phenomenon known as "survivorship
bias."
It should go without saying that the Portfolio returns reflected in the
table are merely history. Future returns of the 500 Portfolio--both on an
absolute basis and relative to the average general equity fund--are
unpredictable, and may be better or worse than those shown in the table.
The advantage for our 500 Portfolio is by no means "magic." It simply
reflects the fact that mutual fund managers in the aggregate tend to provide
average performance (i.e., those who do well are counterbalanced by those who
do not do well). If that was as far as it went, an index strategy would always
provide returns equal to those of professional managers investing in comparable
market segments. That is, their gross returns would be equal.
The reason for the advantage is that an index strategy incurs substantially
lower costs, and thus engenders higher net returns. The average general equity
mutual fund presently incurs annual operating costs of about 1.3% of assets,
compared with 0.2% for the Vanguard Index Trust 500 Portfolio, giving us a
"natural advantage" of +1.1%
4
<PAGE> 7
annually. What is more, the average general equity fund also engages in annual
portfolio turnover at the rate of about 80% of assets, compared with 6% for our
Portfolio. The impact of turnover on returns cannot be calculated with
precision, but we would estimate that it reduces a manager's return relative to
ours by as much as 1% per year.
In short, the documented advantage in annual return--2.5 percentage
points--achieved by our 500 Portfolio over the past decade can be accounted for
simply by our combination of lower operating expenses and lower portfolio
turnover costs. Further, I would note that our advantage is in fact understated
since we have ignored sales loads in our calculation of the returns achieved by
the average general equity fund. The 500 Portfolio is a no-load (no sales
charge) fund, while one-half of all general equity funds carry sales loads.
A PERSPECTIVE ON INDEXING
Index funds do not perform in "lock-step-plus" with professional mutual fund
managers. Sometimes, fund managers hold more speculative securities, which may
enhance or detract from their returns. Sometimes they do not. Sometimes, fund
managers make heavy use of international stocks, which are not included in the
U.S. market's capitalization. In 1993, this difference had a positive effect on
their funds' returns. Sometimes, inevitably, such an emphasis will have a
negative effect.
All things considered, the long-term record of indexing has proved its
superiority over the average managed fund. A few funds, of course, do much
better; a few do much worse. As shown in the chart below--updated from our 1992
Annual Report--the performance over the past 15 years of an all-market
strategy, using the Wilshire 5000 Index as the standard, indicates that, in an
average year, the Index outpaced 56% of all general equity funds. The pattern
is interesting:
<TABLE>
<CAPTION>
- --------------------------------------------------------
% of Funds Outpaced by Index* Number of Years
- --------------------------------------------------------
<S> <C>
LESS THAN 40% 1
40% TO 50% 4
50% TO 60% 4
MORE THAN 60% 6
- --------------------------------------------------------
TOTAL YEARS 15
- --------------------------------------------------------
</TABLE>
*The table ignores mutual fund sales charges, and thereby significantly
underestimates the index advantage.
In short, about one-half of the time (8 years), the Index results have been
similar to those of managed funds. But in only one year (1982) was the Index
[PERCENT OF GENERAL EQUITY FUNDS OUTPERFORMED BY WILSHIRE 5000 INDEX -- SEE
EDGAR APPENDIX]
5
<PAGE> 8
return significantly inferior, compared to six years when its relative returns
were outstanding. These are not bad odds.
There is one more advantage, just now being recognized, for an index
strategy. Mutual fund returns are invariably calculated before taxes. Since
index funds engage in much lower portfolio turnover than actively managed
funds, there is a strong (but by no means assured) tendency for index funds to
realize and distribute only modest--if any--capital gains to shareholders.
Since long-term capital gains are currently taxable at 28%, it is an advantage
to defer their realization for as long as possible, so as to defer the payment
of any capital gains taxes (or, if shares are held until death, to eliminate
capital gains taxes entirely). Since mutual fund returns are reported before
taxes, the index advantage, substantial as it has been, has been even greater
when taxes are taken into consideration.
A FEW FINAL THOUGHTS
One year ago, I cited a renowned stock market oracle who predicted that in 1993
those who invest "in some form of indexing vehicle . . . are going to be
disappointed." With the year now history, I don't see that the prediction was
borne out. The relative performance of the all- market (Wilshire 5000) index
was within normal parameters, outpacing nearly one-half of mutual fund
managers. In fairness, I should acknowledge that the better-recognized Standard
& Poor's 500 Index, with its large-cap bias, outpaced "only" 40% of the
managers. Nonetheless, I remain enthusiastic and confident about the long-run
merits of indexing.
That said, each of the Portfolios of Vanguard Index Trust is 100% invested
in common stocks. You should not lose sight of the fact that stocks, because
they carry substantial short-term price volatility, involve significant risk.
"The stock market giveth, and the stock market taketh away" is a biblical-like
way of summarizing this risk. With stock yields at extremely low levels on an
historical basis, it would be logical to assume that the risks involved in
stocks today are higher than historical norms.
These comments are in no way intended to derogate the long-term merits of
investing in stocks--particularly with an index-oriented strategy. Rather, it
is to suggest that you should at all times balance your stock position with a
portion of bonds and short-term reserves that meets your own investment
objectives and tolerance for risk. This advice was valid when I presented it to
you one year ago. It is at least equally valid today. Indeed, it is a "strategy
for the ages."
Sincerely,
/S/ JOHN C. BOGLE
- ---------------------
John C. Bogle
Chairman of the Board
January 30, 1994
Note: Mutual fund data from Lipper Analytical Services, Inc.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
------------------------- DIVIDENDS PER SHARE FROM
INDEX TRUST PORTFOLIO DECEMBER 31, 1992 DECEMBER 31, 1993 NET INVESTMENT INCOME*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 . . . . . . . . . . . . . . . . $40.97 $43.83 $1.13
EXTENDED MARKET . . . . . . . . . . 17.35 19.43 0.23
TOTAL STOCK MARKET . . . . . . . . . 10.84 11.69 0.26
GROWTH . . . . . . . . . . . . . . . 10.26 10.20 0.21
VALUE . . . . . . . . . . . . . . . 10.30 11.74 0.38
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
*In addition, distributions from net realized capital gains were paid by the
following Portfolios: 500 ($.03 per share), Extended Market ($.20 per share),
Total Stock Market ($.03 per share), and Value ($.06 per share). In March 1994,
the 500, Extended Market, and Value Portfolios will make distributions from net
capital gains realized from 1993 operations, but taxable to shareholders in
1994, of about $.08, $.14, and $.14 per share, respectively.
6
<PAGE> 9
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 December 31,
1993, the lifetime of the Portfolio. During this period, stock prices
fluctuated widely. The results shown should not be considered as a
respresentation of the dividend income or capital gain or loss that 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 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
- --------------------------------------------------------------------------------------------------------------------
LIFETIME $15.74 $7.81 +770.0% +830.0% + 13.3% + 13.7%
- --------------------------------------------------------------------------------------------------------------------
</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.
7
<PAGE> 10
TOTAL INVESTMENT RETURN (continued)
The table below illustrates the results of an investment in VANGUARD INDEX
TRUST-EXTENDED MARKET PORTFOLIO during the period from December 21, 1987, to
December 31, 1993, the lifetime of the Portfolio. During this period, stock
prices fluctuated widely. The results shown should not be considered as a
representation of the dividend income or capital gain or loss that 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
- -----------------------------------------------------------------------------------------------------------------------------
LIFETIME $1.49 $1.13 +133.1% +138.6% + 15.1% +15.5%
- -----------------------------------------------------------------------------------------------------------------------------
</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.
AVERAGE ANNUAL TOTAL RETURNS--THE AVERAGE ANNUAL TOTAL RETURNS FOR THE
PORTFOLIOS (PERIODS ENDED DECEMBER 31, 1993) ARE AS FOLLOWS:
<TABLE>
<CAPTION>
PORTFOLIO (INCEPTION DATE) 1 YEAR 5 YEARS 10 YEARS
- -------------------------- ------ ------- --------
<S> <C> <C> <C>
500 PORTFOLIO (8/31/76)* + 9.84% +14.27% +14.56%
EXTENDED MARKET PORTFOLIO (12/21/87)** +13.30 +13.98 +14.81
TOTAL STOCK MARKET PORTFOLIO (4/27/92)*** +10.29 +12.43+ --
GROWTH PORTFOLIO (11/2/92)* + 1.42 + 3.99+ --
VALUE PORTFOLIO (11/2/92)* +18.29 +19.23+ --
</TABLE>
THE 500 PORTFOLIO'S TOTAL RETURN FOR THE TEN-YEAR PERIOD INCLUDES A CAPITAL
RETURN OF +10.75% AND AN INCOME RETURN OF +3.81%. 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 ANNUAL ACCOUNT MAINTENANCE FEE OF
$10.
**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 .25% TRANSACTION FEE ON PURCHASES
AND THE ANNUAL ACCOUNT MAINTENANCE FEE OF $10.
+ ANNUALIZED RETURN SINCE INCEPTION.
8
<PAGE> 11
CUMULATIVE PERFORMANCE
[EXTENDED MARKET PORTFOLIO -- SEE EDGAR APPENDIX]
[TOTAL STOCK MARKET PORTFOLIO -- SEE EDGAR APPENDIX]
9
<PAGE> 12
CUMULATIVE PERFORMANCE (continued)
[GROWTH PORTFOLIO -- SEE EDGAR APPENDIX]
[VALUE PORTFOLIO -- SEE EDGAR APPENDIX]
10
<PAGE> 13
STATEMENT OF NET ASSETS
FINANCIAL STATEMENTS
December 31, 1993
<TABLE>
<CAPTION>
Market
Value
500 PORTFOLIO Shares (000)+
- -----------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------
<S> <C> <C>
General Electric Co. 2,130,080 $ 223,392
Exxon Corp. 3,100,727 195,346
American Telephone & Telegraph Co. 3,372,265 177,044
The Coca Cola Co. 3,243,649 144,748
Wal-Mart Stores, Inc. 5,739,691 143,492
Royal Dutch Petroleum Co. 1,338,794 139,737
Philip Morris Cos., Inc. 2,189,113 122,043
Merck & Co., Inc. 3,202,404 110,083
General Motors Corp. 1,774,446 97,373
Procter & Gamble Co. 1,704,359 97,148
GTE Corp. 2,359,760 82,592
International Business Machines Corp. 1,444,504 81,614
E.I. du Pont de Nemours & Co. 1,691,420 81,611
PepsiCo, Inc. 1,980,715 80,962
Ford Motor Co. 1,241,021 80,046
Mobil Corp. 997,436 78,797
Bristol-Myers Squibb Co. 1,293,451 75,182
Johnson & Johnson 1,631,994 73,032
BellSouth Corp. 1,238,289 71,666
Chevron Corp. 813,171 70,848
American International Group, Inc. 792,625 69,553
Amoco Corp. 1,240,866 65,611
Intel Corp. 1,038,791 64,405
Bell Atlantic Corp. 1,088,900 64,245
Motorola, Inc. 678,417 62,669
Southwestern Bell Corp. 1,496,880 62,121
Abbott Laboratories, Inc. 2,066,449 60,960
Minnesota Mining & Manufacturing Co. 538,853 58,600
The Walt Disney Co. 1,336,279 56,959
Pacific Telesis Group 1,037,772 56,040
Pfizer, Inc. 792,852 54,707
Federal National Mortgage Assn. 681,700 53,513
Ameritech Corp. 679,561 52,156
U.S. West Corp. 1,097,871 50,365
McDonald's Corp. 881,591 50,251
Hewlett-Packard Co. 635,031 50,167
American Home Products Corp. 774,329 50,138
Chrysler Corp. 879,236 46,819
Sears, Roebuck & Co. 875,776 46,197
Unilever NV 399,682 46,163
Eastman Kodak Co. 823,082 46,093
Home Depot, Inc. 1,118,203 44,169
Eli Lilly & Co. 730,808 43,392
Atlantic Richfield Co. 397,919 41,881
Texaco, Inc. 646,336 41,769
Time Warner, Inc. 935,804 41,409
BankAmerica Corp. 892,412 41,386
NYNEX Corp. 1,030,729 41,358
Dow Chemical Co. 684,551 38,848
Pacific Gas & Electric Co. 1,080,463 37,951
MCI Communications Corp. 1,338,822 37,654
American Express Co. 1,212,269 37,429
The Boeing Co. 848,350 36,691
Schlumberger Ltd. 607,187 35,900
Southern Co. 798,978 35,255
*Citicorp 938,492 34,490
Emerson Electric Co. 562,539 33,893
*Tele-Communications, Inc. Class A 1,122,715 33,822
J.P. Morgan & Co., Inc. 481,138 33,379
Banc One Corp. 851,739 33,324
Schering-Plough Corp. 482,021 33,018
NationsBank, Inc. 672,987 32,976
Anheuser-Busch Co., Inc. 670,469 32,937
Gillette Co. 550,726 32,837
Kellogg Co. 570,370 32,368
Union Pacific Corp. 511,882 32,057
WMX Technologies Inc. 1,204,779 31,776
J.C. Penney Co., Inc. 588,415 30,818
Sara Lee Corp. 1,212,544 30,314
*Toys R Us, Inc. 728,064 29,760
Sprint Corp. 851,531 29,591
Allied-Signal, Inc. 353,776 27,948
The Dun & Bradstreet Corp. 442,097 27,244
ITT Corp. 297,148 27,115
*McCaw Cellular Communications, Inc. 514,931 25,875
Campbell Soup Co. 628,619 25,773
Chemical Banking Corp. 629,524 25,260
Norfolk Southern Corp. 346,793 24,449
May Department Stores Co. 620,462 24,431
The Seagram Co. Ltd. 930,695 24,314
General Mills, Inc. 397,473 24,146
Colgate-Palmolive Co. 386,352 24,099
Texas Utilities Co. 556,626 24,074
Capital Cities/ABC, Inc. 38,444 23,816
Xerox Corp. 259,499 23,193
Weyerhaeuser Co. 511,999 22,848
Warner-Lambert Co. 337,691 22,794
H.J. Heinz Co. 631,571 22,658
General Re Corp. 211,628 22,644
Caterpillar, Inc. 253,847 22,592
SCE Corp. 1,118,137 22,363
Raytheon Co. 338,553 22,344
Federal Home Loan Mortgage Corp. 447,906 22,339
Tenneco, Inc. 422,268 22,222
Merrill Lynch & Co., Inc. 523,813 22,000
</TABLE>
11
<PAGE> 14
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -----------------------------------------------------------------------
<S> <C> <C>
Monsanto Co. 296,363 $ 21,746
Duke Power Co. 511,646 21,681
Kmart Corp. 1,019,494 21,664
CSX Corp. 259,880 21,050
Gannett Co., Inc. 366,341 20,973
- -----------------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 5,150,595
- -----------------------------------------------------------------------
International Paper Co. 308,108 20,874
Kimberly-Clark Corp. 401,775 20,842
*Oracle Systems Corp. 711,393 20,453
Rockwell International Corp. 550,490 20,437
American Barrick Resources 708,663 20,197
Primerica Corp. 517,384 20,113
PPG Industries, Inc. 265,001 20,107
Automatic Data Processing, Inc. 350,558 19,368
United Technologies Corp. 312,124 19,352
Northern Telecom Ltd. 626,296 19,337
Public Service Enterprise Group Inc. 603,658 19,317
Dominion Resources, Inc. 418,005 18,967
Archer-Daniels-Midland Co. 832,607 18,942
Phillips Petroleum Co. 652,300 18,917
Consolidated Edison Co. of New York, Inc. 584,315 18,771
FPL Group, Inc. 468,795 18,342
Wells Fargo & Co. 139,248 18,015
CPC International, Inc. 375,180 17,868
Norwest Corp. 726,551 17,710
First Union Corp. 420,189 17,333
Enron Corp. 596,833 17,308
Blockbuster Entertainment Corp. 562,899 17,239
The Goodyear Tire & Rubber Co. 374,706 17,143
American Electric Power Co., Inc. 460,810 17,108
The Chubb Corp. 218,824 17,041
PNC Bank Corp. 584,690 16,956
Albertson's, Inc. 632,290 16,914
Aetna Life and Casualty Co. 278,743 16,829
Baxter International, Inc. 689,560 16,808
Unocal Corp. 602,335 16,790
American Brands, Inc. 503,580 16,744
Philadelphia Electric Co. 552,504 16,713
*Amgen, Inc. 337,202 16,691
Computer Associates International, Inc. 414,158 16,566
AMP, Inc. 261,993 16,538
Conagra, Inc. 626,802 16,532
Entergy Corp. 457,404 16,467
Pitney Bowes, Inc. 394,213 16,311
Bankers Trust New York Corp. 203,878 16,132
*Novell, Inc. 781,807 16,125
The Limited, Inc. 906,462 15,523
Deere & Co. 209,681 15,516
The Chase Manhattan Corp. 457,448 15,496
American General Corp. 541,087 15,489
Houston Industries, Inc. 324,880 15,472
Georgia-Pacific Corp. 224,042 15,403
Aluminum Co. of America 220,601 15,304
*Compaq Computer Corp. 206,284 15,265
Commonwealth Edison Co. 533,222 15,064
Marsh & McLennan, Inc. 183,144 14,880
Placer Dome Group, Inc. 594,242 14,782
Dean Witter Discover and Co. 424,593 14,702
Wachovia Corp. 432,224 14,480
UST, Inc. 518,596 14,391
Texas Instruments, Inc. 226,162 14,361
The Gap, Inc. 361,938 14,251
Central & South West Corp. 470,537 14,234
Masco Corp. 381,636 14,121
Corning, Inc. 502,749 14,077
Cooper Industries, Inc. 285,242 14,048
Suntrust Banks, Inc. 310,124 13,956
Rubbermaid, Inc. 400,460 13,916
Burlington Resources, Inc. 325,373 13,788
Sysco Corp. 461,059 13,486
Pacificorp 695,962 13,397
Conrail, Inc. 198,620 13,283
Great Lakes Chemical Corp. 177,783 13,267
Salomon, Inc. 276,235 13,156
Comcast Corp. Class A 362,942 13,111
ccidental Petroleum Corp. 761,209 13,036
*Cisco Systems, Inc. 202,100 13,035
Burlington Northern, Inc. 221,676 12,829
Wm. Wrigley, Jr. Co. 290,677 12,826
Textron, Inc. 220,178 12,825
*AMR Corp. 188,736 12,645
Upjohn Co. 433,886 12,637
Air Products & Chemicals, Inc. 284,971 12,610
Walgreen Co. 307,361 12,563
First Interstate Bancorp. 194,364 12,464
Columbia Healthcare Corp. 373,489 12,419
Westinghouse Electric Corp. 876,725 12,384
Carolina Power & Light Co. 401,415 12,093
R.R. Donnelley & Sons Co. 386,314 12,024
Quaker Oats Co. 168,903 11,992
*CNA Financial Corp. 154,360 11,963
Hercules, Inc. 105,859 11,962
Dayton-Hudson Corp. 178,446 11,911
NBD Bancorp, Inc. 401,072 11,832
USX-Marathon Group 715,666 11,808
Medtronic, Inc. 142,904 11,736
Whirlpool Corp. 175,917 11,698
Genuine Parts Co. 310,250 11,673
*Promus Co., Inc. 255,003 11,666
Alcan Aluminium Ltd. 559,153 11,602
*Digital Equipment Corp. 337,153 11,547
Nucor Corp. 217,064 11,504
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -----------------------------------------------------------------------
<S> <C> <C>
Honeywell, Inc. 335,456 $ 11,489
Fleet Financial Group, Inc. 342,625 11,435
Morton International, Inc. 121,898 11,397
Louisiana-Pacific Corp. 273,987 11,302
- -----------------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 6,663,938
- -----------------------------------------------------------------------
CIGNA Corp. 179,741 11,279
American Cyanamid Co. 224,417 11,277
The Travelers Corp. 361,631 11,256
CBS, Inc. 38,681 11,159
Browning-Ferris Industries, Inc. 430,754 11,092
TRW, Inc. 159,498 11,045
Hershey Foods Corp. 225,197 11,035
Detroit Edison Co. 367,247 11,017
Illinois Tool Works, Inc. 281,729 10,987
Transamerica Corp. 193,187 10,963
Lowes Cos., Inc. 184,045 10,905
Consolidated Natural Gas Co. 231,938 10,901
The Times Mirror Co. Class A 321,125 10,718
H & R Block, Inc. 262,932 10,714
International Flavors & Fragrances, Inc. 94,189 10,714
Dillard Department Stores Class A 281,608 10,701
Melville Corp. 262,979 10,684
Lockheed Corp. 155,586 10,619
Martin Marietta Corp. 237,952 10,589
McDonnell Douglas Corp. 98,123 10,499
*Price/Costco Inc. 542,775 10,448
Amerada Hess Corp. 231,291 10,437
Ralston - Ralston Purina Group 259,380 10,310
Lincoln National Corp. 234,548 10,203
Santa Fe Pacific Corp. 457,201 10,173
Barnett Banks of Florida, Inc. 243,213 10,093
Ingersoll-Rand Co. 262,827 10,053
Rohm & Haas Co. 168,934 10,052
Winn Dixie Stores, Inc. 187,096 10,033
The Tribune Co. 166,610 10,017
Union Electric Corp. 255,031 10,010
Newmont Mining Corp. 170,826 9,844
*Federal Express Corp. 137,456 9,742
St. Paul Cos., Inc. 105,489 9,481
W.R. Grace & Co. 232,634 9,451
Capital Holding Corp. 252,464 9,373
Mattel, Inc. 334,810 9,249
*Crown Cork & Seal Co., Inc. 220,324 9,226
Baltimore Gas & Electric Co. 362,618 9,201
First Fidelity Bancorp. 200,652 9,130
Halliburton Co. 284,923 9,082
First Chicago Corp. 207,774 8,986
*UAL Corp. 61,048 8,913
Dow Jones & Co., Inc. 248,200 8,873
Eaton Corp. 174,113 8,793
Nike, Inc. Class B 188,880 8,759
Syntex Corp. 551,715 8,758
Avon Products, Inc. 180,018 8,753
Ohio Edison Co. 380,998 8,668
Dover Corp. 142,609 8,663
Pioneer Hi Bred International 223,347 8,655
Safeco Corp. 157,136 8,603
Phelps Dodge Corp. 175,638 8,562
Apple Computer, Inc. 290,044 8,484
Union Carbide Corp. 378,541 8,470
Mellon Bank Corp. 159,444 8,451
Marriott International 290,756 8,432
*DSC Communications Corp. 137,277 8,425
Woolworth Corp. 329,359 8,357
McGraw-Hill, Inc. 123,302 8,338
Union Camp Corp. 174,314 8,302
Fluor Corp. 204,705 8,291
Torchmark Corp. 184,036 8,282
MBNA Corp. 247,232 8,251
Knight-Ridder, Inc. 136,510 8,156
Newell Co. 196,624 7,939
Hasbro, Inc. 218,896 7,935
Sherwin-Williams Co. 221,610 7,923
Tandy Corp. 159,317 7,886
Sun Co., Inc. 265,886 7,810
CoreStates Financial Corp. 298,717 7,804
Loral Corp. 206,651 7,801
Inco Ltd. 290,069 7,796
Champion International Corp. 232,286 7,753
Boatmen's Bancshares, Inc. 258,758 7,730
Household International, Inc. 233,964 7,633
American Stores Co. 177,185 7,619
Scott Paper Co. 184,851 7,602
Bausch & Lomb, Inc. 147,516 7,560
Homestake Mining Co. 342,684 7,539
USX-U.S. Steel Group 172,514 7,483
Deluxe Corp. 206,411 7,482
*Sun Microsystems, Inc. 255,054 7,428
VF Corp. 160,958 7,424
W.W. Grainger, Inc. 127,783 7,348
Clorox Co. 135,211 7,335
*Litton Industries, Inc. 113,850 7,329
Coastal Corp. 260,032 7,313
Hilton Hotels Corp. 119,400 7,254
Northern States Power Co. of Minnesota 166,726 7,190
Niagara Mohawk Power Corp. 354,596 7,181
General Dynamics Corp. 77,571 7,156
Dresser Industries, Inc. 343,514 7,128
Alco Standard Corp. 130,056 7,121
Panhandle Eastern Corp. 297,778 7,035
Baker Hughes, Inc. 350,572 7,011
Temple-Inland Inc. 137,942 6,949
New York Times Co. Class A 263,990 6,930
</TABLE>
13
<PAGE> 16
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -----------------------------------------------------------------------
<S> <C> <C>
Harcourt General, Inc. 191,048 $ 6,925
Dana Corp. 115,403 6,910
- -----------------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 7,553,187
- -----------------------------------------------------------------------
Delta Air Lines, Inc. 124,989 6,828
Reynolds Metals Co. 149,478 6,783
Becton, Dickinson & Co. 188,533 6,764
Nordstrom, Inc. 204,834 6,708
The Mead Corp. 147,422 6,634
Great Western Financial Corp. 328,412 6,568
Nalco Chemical, Inc. 172,326 6,462
IMCERA Group, Inc. 191,310 6,433
SuperValu, Inc. 177,332 6,428
Premark International, Inc. 79,532 6,382
Reebok International Ltd. 210,896 6,327
Sonat, Inc. 217,104 6,269
Williams Cos., Inc. 256,712 6,257
Golden West Financial Corp. 159,792 6,232
American Greetings Corp. Class A 184,459 6,225
U.S. Bancorp 248,181 6,205
Pennzoil Co. 114,513 6,098
Bank of Boston Corp. 263,334 6,057
Interpublic Group of Cos., Inc. 187,757 6,008
Brown-Forman Corp. Class B 68,808 6,003
Borden, Inc. 352,138 5,986
Tyco International Ltd. 115,711 5,974
*Lotus Development Corp. 108,594 5,946
Westvaco Corp. 166,823 5,943
Cyprus Amax 228,399 5,910
Roadway Services, Inc. 98,313 5,899
Jefferson-Pilot Corp. 125,671 5,891
Englehard Corp. 239,979 5,849
Kerr-McGee Corp. 129,018 5,822
National Medical Enterprises, Inc. 414,271 5,800
H.F. Ahmanson & Co. 291,686 5,724
Praxair, Inc. 334,393 5,559
Service Corp. International 209,564 5,501
McKesson Corp. 100,595 5,432
*ALZA Corp. 193,604 5,421
*The Kroger Co. 267,778 5,389
Johnson Controls, Inc. 100,839 5,357
TJX Cos., Inc. 183,223 5,336
Pall Corp. 289,806 5,325
Cooper Tire & Rubber Co. 208,660 5,217
Circuit City Stores, Inc. 239,708 5,214
Ethyl Corp. 295,806 5,177
*Unisys Corp. 406,629 5,134
Paccar, Inc. 84,359 5,125
Ashland Oil, Inc. 149,794 5,112
Shawmut National Corp. 234,672 5,104
Ryder System, Inc. 191,274 5,069
Pacific Enterprises 209,560 4,977
Cummins Engine Co., Inc. 92,565 4,975
The Stanley Works 111,376 4,956
Beneficial Corp. 129,340 4,947
Armstrong World Industries Inc. 92,762 4,940
Gerber Products Co. 173,098 4,912
Echlin, Inc. 145,559 4,840
Maytag Corp. 267,546 4,816
Moore Corp. Ltd. 248,495 4,752
*Owens-Corning Fiberglas Corp. 106,796 4,739
The Dial Corp. 117,232 4,733
*Bethlehem Steel Corp. 227,343 4,632
Liz Claiborne, Inc. 203,077 4,620
Parker Hannifin Corp. 121,373 4,582
Northrop Corp. 122,090 4,563
Pet, Inc. 260,050 4,551
Harris Corp. 99,607 4,532
Worthington Industries, Inc. 225,545 4,511
*National Semiconductor Corp. 277,024 4,467
Whitman Corp. 267,296 4,344
*Navistar International Corp. 182,744 4,317
Wendys International, Inc. 247,853 4,306
Brunswick Corp. 237,559 4,276
Avery Dennison Corp. 145,125 4,263
*FMC Corp. 89,835 4,233
Perkin-Elmer Corp. 109,795 4,227
Oryx Energy Co. 242,031 4,175
*Computer Sciences Corp. 41,830 4,162
Black & Decker Corp. 209,178 4,131
*Advanced Micro Devices, Inc. 227,410 4,037
General Signal Corp. 117,395 4,035
Snap-On Tools Corp. 106,444 4,032
*Varity Corp. 89,281 3,995
Pep Boys (Manny, Moe & Jack) 152,049 3,991
Polaroid Corp. 116,855 3,944
Raychem Corp. 104,649 3,924
James River Corp. 203,843 3,924
Giant Food, Inc. Class A 149,147 3,841
NICOR, Inc. 137,108 3,839
Continental Corp. 137,781 3,806
PSI Resources, Inc. 142,029 3,764
Allergan, Inc. 165,334 3,741
E-Systems, Inc. 84,403 3,661
Teledyne Inc. 138,509 3,601
Echo Bay Mines Ltd. 279,034 3,593
*King World Productions, Inc. 93,024 3,570
Ecolab, Inc. 78,715 3,542
McDermott International, Inc. 132,785 3,519
Manor Care Inc. 143,589 3,500
Rite Aid Corp. 220,067 3,494
Potlatch Corp. 72,913 3,436
Mercantile Stores Co., Inc. 92,078 3,338
Grumman Corp. 84,393 3,334
- -----------------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 8,052,014
- -----------------------------------------------------------------------
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -----------------------------------------------------------------------
<S> <C> <C>
*Inland Steel Industries, Inc. 100,497 $ 3,329
Louisiana Land & Exploration Co. 82,767 3,321
Centex Corp. 78,506 3,297
C.R. Bard, Inc. 129,910 3,280
National Service Industries, Inc. 123,642 3,168
United States Surgical Corp. 140,235 3,155
USF&G Corp. 211,987 3,127
Scientific-Atlanta, Inc. 93,061 3,071
*Tandem Computers, Inc. 282,062 3,067
St. Jude Medical, Inc. 115,780 3,039
Bemis Co., Inc. 127,737 3,018
Charming Shoppes, Inc. 256,763 3,017
Foster Wheeler Corp. 89,046 2,983
Briggs & Stratton Corp. 36,134 2,981
*Biomet, Inc. 288,483 2,957
Pittston Services Group 101,281 2,925
Russell Corp. 102,380 2,892
*Columbia Gas Systems, Inc. 126,024 2,820
Millipore Corp. 69,731 2,789
Thomas & Betts Corp. 47,216 2,762
Fleetwood Enterprises, Inc. 114,078 2,709
*Beverly Enterprises Inc. 203,819 2,701
ENSERCH Corp. 165,737 2,693
Autodesk, Inc. 59,791 2,691
Peoples Energy Corp. 86,990 2,653
EG & G, Inc. 142,953 2,627
The Timkin Co. 76,657 2,578
The BF Goodrich Co. 64,010 2,576
Great Atlantic & Pacific Tea Co., Inc. 95,410 2,576
Pulte Corp. 68,712 2,491
Ogden Corp. 108,457 2,467
Arkla, Inc. 304,856 2,401
Asarco, Inc. 103,822 2,375
*Shoney's Inc. 101,307 2,343
Safety-Kleen Corp. 143,963 2,339
Fleming Cos., Inc. 92,776 2,296
*Clark Equipment Co. 43,400 2,273
Ball Corp. 74,082 2,241
Jostens Inc. 113,406 2,240
Boise Cascade Corp. 94,810 2,228
Federal Paper Board Co., Inc. 104,679 2,224
Trinova Corp. 70,745 2,220
USLIFE Corp. 56,502 2,168
Giddings & Lewis, Inc. 84,914 2,144
*Ceridian Corp. 110,302 2,096
*Consolidated Freightways, Inc. 88,190 2,084
Kaufman & Broad Home Corp. 86,674 2,059
Stride Rite Corp. 125,587 2,057
Santa Fe Energy Resources Inc. 223,776 2,014
Alexander & Alexander Services, Inc. 102,713 2,003
Morrison-Knudsen Co., Inc. 78,951 1,984
*USAir Group, Inc. 147,339 1,897
*Rowan Cos., Inc. 209,257 1,883
Crane Co. 74,804 1,851
Cincinnati Milacron, Inc. 83,544 1,838
*Maxus Energy Corp. 333,847 1,836
Tektronix, Inc. 76,344 1,794
Yellow Corp. 69,995 1,741
Helmerich & Payne, Inc. 61,544 1,716
*Stone Container Corp. 177,836 1,712
Amdahl Corp. 284,941 1,710
Bruno's Inc. 194,952 1,706
*Cray Research, Inc. 65,609 1,681
Longs Drug Stores, Inc. 51,140 1,681
John H. Harland Co. 76,777 1,660
Alberto-Culver Co. Class B 71,688 1,658
Springs Industries Inc. Class A 43,853 1,655
*Andrew Corp. 41,580 1,580
*Armco, Inc. 258,975 1,554
Luby's Cafeterias, Inc. 67,826 1,526
Adolph Coors Co. Class B 95,050 1,521
Brown Group, Inc. 43,765 1,515
Community Psychiatric Centers 106,969 1,498
Meredith Corp. 36,942 1,478
Eastern Enterprises 56,479 1,440
Harnischfeger Industries Inc. 63,355 1,426
Transco Energy Co. 100,546 1,420
Shared Medical Systems Corp. 56,412 1,403
Bassett Furniture Industries, Inc. 36,078 1,263
Oneok, Inc. 66,481 1,255
*Intergraph Corp. 114,442 1,202
*Ryan's Family Steak Houses, Inc. 133,352 1,200
NACCO Industries, Inc. Class A 22,364 1,152
Handleman Co. 83,263 1,103
Outboard Marine Corp. 49,047 1,097
*Bally Manufacturing Corp. 116,771 993
Rollins Environmental Services, Inc. 149,697 861
Zurn Industries, Inc. 31,036 850
*Data General Corp. 87,133 817
Oshkosh B Gosh, Inc. Class A 36,356 709
First Mississippi Corp. 50,036 657
SPX Corp. 34,612 614
*Zenith Electronics Corp. 85,114 596
*National Intergroup, Inc. 43,385 575
*Hartmarx Corp. 79,497 556
Skyline Corp. 28,145 556
*M/A-Com, Inc. 62,414 538
*N L Industries, Inc. 115,355 519
*National Education Corp. 73,427 459
*Fedders Corp. 50,457 322
*Genesco, Inc. 57,822 304
Comcast Corp. Class A Special 3,767 135
</TABLE>
15
<PAGE> 18
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
(000)+
- -----------------------------------------------------------------------
<S> <C> <C>
TOTAL COMMON STOCKS (99.7%)(1)
(Cost $7,011,642) $8,248,276
- -----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (.3%)
- -----------------------------------------------------------------------
Face
Amount
(000)
-----
U.S. TREASURY BILL--Note D
3.06%, 3/24/94 $2,000 1,986
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 3.26%, 1/3/94 23,290 23,290
- -----------------------------------------------------------------------
TOTAL TEMPORARY CASH
INVESTMENTS (Cost $25,276) 25,276
- -----------------------------------------------------------------------
TOTAL INVESTMENTS (100%)
(Cost $7,036,918) 8,273,552
- -----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- -----------------------------------------------------------------------
Other Assets--Notes B and E 85,075
Liabilities--Note E (85,930)
--------
(855)
- -----------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------
Applicable to 188,757,876 outstanding
shares of beneficial interest
(unlimited authorization) $8,272,697
- -----------------------------------------------------------------------
NET ASSET VALUE PER SHARE $43.83
=======================================================================
</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 99.9% of net assets.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AT DECEMBER 31, 1993, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------
Amount Per
(000) Share
----- -----
<S> <C> <C>
Paid in Capital--Note G $7,013,150 $37.16
Undistributed Net Investment Income 7,956 .04
Accumulated Net Realized Gains--Note G 14,958 .08
Unrealized Appreciation of Investments 1,236,633 6.55
- -----------------------------------------------------------------------
NET ASSETS $8,272,697 $43.83
- -----------------------------------------------------------------------
</TABLE>
16
<PAGE> 19
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
EXTENDED
500 PORTFOLIO MARKET PORTFOLIO
- ----------------------------------------------------------------------------------------------------------
Year Ended Year Ended
December 31, 1993 December 31, 1993
(000) (000)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . $213,809 $11,584
Interest . . . . . . . . . . . . . . . 1,284 440
- ----------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . 215,093 12,024
- ----------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative . . . . $11,398 $1,062
Marketing and Distribution . . . . . 2,026 13,424 163 1,225
----- ---
Taxes (other than income taxes)--Note A . 285 25
Custodians' Fees . . . . . . . . . . . . 154 91
Auditing Fees . . . . . . . . . . . . . . 22 10
Shareholders' Reports . . . . . . . . . . 514 40
Annual Meeting and Proxy Costs . . . . . 95 10
Trustees' Fees and Expenses . . . . . . . 24 2
- ----------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . 14,518 1,403
- ----------------------------------------------------------------------------------------------------------
Net Investment Income . . . . 200,575 10,621
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)--Note C
Investment Securities Sold . . . . . . . 171,960 15,131
Options Contracts . . . . . . . . . . . . -- (125)
Futures Contracts . . . . . . . . . . . . 1,095 796
- ----------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) . . 173,055 15,802
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Notes C and D
Investment Securities . . . . . . . . . . 339,300 65,699
Options Contracts . . . . . . . . . . . . -- --
Futures Contracts . . . . . . . . . . . . (21) (36)
- ----------------------------------------------------------------------------------------------------------
Change in Unrealized Appreciation
(Depreciation) . . . . . . 339,279 65,663
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations . . . . . . $712,909 $92,086
==========================================================================================================
The Statements of Net Assets for the Extended Market, Total Stock Market, Growth, and Value Portfolios, an
integral part of the financial statements for each Portfolio, and the Report of Independent Accountants,
are included as an insert to this Report.
</TABLE>
17
<PAGE> 20
STATEMENT OF OPERATIONS (continued)
<TABLE>
<CAPTION>
TOTAL STOCK GROWTH VALUE
MARKET PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended
December 31, 1993 December 31, 1993 December 31, 1993
(000) (000) (000)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . $10,073 $933 $3,940
Interest . . . . . . . . . . . . . . . . 381 19 86
- ----------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . . . 10,454 952 4,026
- ----------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative . . . . $612 $54 $165
Marketing and Distribution . . . . . 109 721 9 63 20 185
Taxes (other than income taxes)--Note A . ---- 12 --- 1 ---- 1
Custodians' Fees . . . . . . . . . . . . 49 9 30
Auditing Fees . . . . . . . . . . . . . . 9 8 8
Shareholders' Reports . . . . . . . . . . 34 4 6
Annual Meeting and Proxy Costs . . . . . 6 1 2
Trustees' Fees and Expenses . . . . . . . 1 -- --
- ----------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . . . 832 86 232
- ----------------------------------------------------------------------------------------------------------
Net Investment Income . . . . . 9,622 866 3,794
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)--Note C
Investment Securities Sold . . . . . . . 402 (614) 3,321
Options Contracts . . . . . . . . . . . . -- -- --
Futures Contracts . . . . . . . . . . . . 653 -- --
- ----------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) . . . . 1,055 (614) 3,321
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Notes C and D
Investment Securities . . . . . . . . . . . 31,293 788 7,602
Options Contracts . . . . . . . . . . . . . -- -- --
Futures Contracts . . . . . . . . . . . . . (11) -- --
- ----------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation) . 31,282 788 7,602
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . . $41,959 $1,040 $14,717
==========================================================================================================
</TABLE>
18
<PAGE> 21
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
EXTENDED
500 PORTFOLIO MARKET PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------
YEAR ENDED Year Ended YEAR ENDED Year Ended
DECEMBER 31, December 31, DECEMBER 31, December 31,
1993 1992 1993 1992
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . $ 200,575 $ 151,214 $ 10,621 $ 8,034
Realized Net Gain (Loss)--Note C . . 173,055 91,877 15,802 3,702
Change in Unrealized Appreciation
(Depreciation)--Notes C and D . . 339,279 196,750 65,663 45,576
- ----------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . 712,909 439,841 92,086 57,312
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . (205,138) (161,732) (10,600) (8,231)
Realized Net Gain . . . . . . . . . . (5,173) (15,688) (9,116) (5,451)
- ----------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . (210,311) (177,420) (19,716) (13,682)
- ----------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . 5,377 11,213 -- --
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . 2,390,015 2,411,104 193,349 171,666
-- In Lieu of Cash
Distributions . . . 186,995 157,427 17,892 12,038
-- Exchange . . . . . . . 415,159 464,202 195,523 53,215
Redeemed -- Regular . . . . . . . (1,262,521) (775,365) (69,797) (31,017)
-- Exchange . . . . . . . (512,215) (329,048) (66,211) (37,055)
- ----------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . 1,217,433 1,928,320 270,756 168,847
- ----------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . 1,725,408 2,201,954 343,126 212,477
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . 6,547,289 4,345,335 584,845 372,368
- ----------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . $8,272,697 $6,547,289 $927,971 $584,845
================================================================================================================
(1)Distributions Per Share
Net Investment Income . . . . . . $ 1.13 $ 1.12 $ .23 $ .25
Realized Net Gain . . . . . . . . $ .03 $ .10 $ .20 $ .18
- ----------------------------------------------------------------------------------------------------------------
(2)Shares Issued and Redeemed
Issued . . . . . . . . . . . . 66,438 73,543 20,530 13,719
Issued in Lieu of Cash
Distributions . . . . . . . . 4,353 3,952 929 710
Redeemed . . . . . . . . . . . . . (41,844) (28,210) (7,408) (4,252)
- ----------------------------------------------------------------------------------------------------------------
28,947 49,285 14,051 10,177
- ----------------------------------------------------------------------------------------------------------------
(3)Undistributed (Overdistributed)
Net Investment Income . . . . . . $ 7,956 $ 7,192 $ (147) $ (168)
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE> 22
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
TOTAL STOCK
MARKET PORTFOLIO GROWTH PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------
YEAR ENDED March 16 to YEAR ENDED November 2 to
DECEMBER 31, December 31, DECEMBER 31, December 31,
1993 1992 1993 1992
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . $ 9,622 $ 3,465 $ 866 $ 45
Realized Net Gain (Loss)--Note C . . 1,055 188 (614) 12
Change in Unrealized Appreciation
(Depreciation)--Notes C and D . . . 31,282 16,873 788 112
- ----------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . 41,959 20,526 1,040 169
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . (10,140) (5,315) (931) (112)
Realized Net Gain . . . . . . . . . . (1,183) -- -- --
- ----------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . (11,323) (5,315) (931) (112)
- ----------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . 563 1,763 56 61
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . 242,858 167,165 33,148 9,463
-- In Lieu of Cash
Distributions . . . 9,421 4,821 828 101
-- Exchange . . . . . . . 37,291 103,519 19,111 11,717
Redeemed -- Regular . . . . . . . (33,241) (6,232) (7,457) (19)
-- Exchange . . . . . . . (50,647) (10,846) (16,269) (282)
- ----------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . 205,682 258,427 29,361 20,980
- ----------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . 236,881 275,401 29,526 21.098
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . 275,401 -- 21,098 --
- ----------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . $512,282 $275,401 $50,624 $21,098
================================================================================================================
(1)Distributions Per Share
Net Investment Income . . . . . . $ .26 $ .23 $ .21 $ .06
Realized Net Gain . . . . . . . . $ .03 -- -- --
- ----------------------------------------------------------------------------------------------------------------
(2)Shares Issued and Redeemed
Issued . . . . . . . . . . . . 25,030 26,620 5,217 2,076
Issued in Lieu of Cash
Distributions . . . . . . . . 829 450 83 10
Redeemed . . . . . . . . . . . . . (7,435) (1,669) (2,393) (29)
- ----------------------------------------------------------------------------------------------------------------
18,424 25,401 2,907 2,057
- ----------------------------------------------------------------------------------------------------------------
(3)Undistributed (Overdistributed)
Net Investment Income . . . . . $ (42) $ (87) $ (15) $ (6)
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- ----------------------------------------------------------------------------------------------
YEAR ENDED November 2 to
DECEMBER 31, 1993 December 31, 1992
(000) (000)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . $ 3,794 $ 61
Realized Net Gain (Loss)--Note C . . . . . . . . . . . 3,321 14
Change in Unrealized Appreciation
(Depreciation)--Note C . . . . . . . . . . . . . . . 7,602 385
- ----------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting From Operations . . . . . . . . . . 14,717 460
- ----------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . . . . . . (4,753) (149)
Realized Net Gain . . . . . . . . . . . . . . . . . . . (941) --
- ----------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . . . . (5,694) (149)
- ----------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . . . . 925 93
- ----------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . . . . . . . . . . 97,039 11,143
-- In Lieu of Cash Distributions . . . . . 5,139 133
-- Exchange . . . . . . . . . . . . . . . . 96,804 12,413
Redeemed -- Regular . . . . . . . . . . . . . . . . (13,743) (60)
-- Exchange . . . . . . . . . . . . . . . . (28,619) (490)
- ----------------------------------------------------------------------------------------------
Net Increase from Capital Share Transactions . . 156,620 23,139
- ----------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . . . . . . . . . 166,568 23,543
- ----------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . 23,543 --
- ----------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . . . . . . . $190,111 $23,543
==============================================================================================
(1)Distributions Per Share
Net Investment Income . . . . . . . . . . . . . . . $ .38 $ .07
Realized Net Gain . . . . . . . . . . . . . . . . . $ .06 --
- ----------------------------------------------------------------------------------------------
(2)Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . . . . 17,153 2,328
Issued in Lieu of Cash Distributions . . . . . . . . 439 13
Redeemed . . . . . . . . . . . . . . . . . . . . . . (3,680) (55)
- ----------------------------------------------------------------------------------------------
13,912 2,286
- ----------------------------------------------------------------------------------------------
(3)Undistributed (Overdistributed) Net Investment
Income . . . . . . . . . . . . . . . . . . . . . . $ (29) $ 5
- ----------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE> 24
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
500 PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
-----------------------
For a Share Outstanding Throughout Each Year 1993 1992 1991 1990 1989
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR . . . . . . . . . . . $40.97 $39.32 $31.24 $33.64 $27.18
------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . 1.13 1.12 1.15 1.17 1.20
Net Realized and Unrealized Gain (Loss) on Investments 2.89 1.75 8.20 (2.30) 7.21
---- ---- ---- ------ ----
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . . . 4.02 2.87 9.35 (1.13) 8.41
- ----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . (1.13) (1.12) (1.15) (1.17) (1.20)
Distributions from Realized Capital Gains . . . . . . . (.03) (.10) (.12) (.10) (.75)
----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . . . (1.16) (1.22) (1.27) (1.27) (1.95)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR . . . . . . . . . . . . . . $43.83 $40.97 $39.32 $31.24 $33.64
=======================================================================================================================
TOTAL RETURN* . . . . . . . . . . . . . . . . . . . . . +9.89% +7.42% +30.22% -3.32% +31.36%
- ----------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Year (Millions) . . . . . . . . . . . $8,273 $6,547 $4,345 $2,173 $1,804
Ratio of Expenses to Average Net Assets . . . . . . . . . .19% .19% .20% .22% .21%
Ratio of Net Investment Income to Average Net Assets . . 2.65% 2.81% 3.07% 3.60% 3.62%
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . 6%+ 4%+ 5%+ 23%+ 8%
- ----------------------------------------------------------------------------------------------------------------------
*Total return figures do not reflect the annual account maintenance fee of $10.
+Portfolio turnover rates excluding in-kind redemptions were 2%, 1%, 1%, and 6%, respectively.
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
Extended Market Portfolio
- ----------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
-----------------------
For a Share Outstanding Throughout Each Year 1993 1992 1991 1990 1989
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR . . . . . . . . . . . $17.35 $15.82 $11.48 $13.92 $11.60
------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . .23 .24 .25 .30 .26
Net Realized and Unrealized Gain (Loss) on Investments 2.28 1.72 4.54 (2.25) 2.52
---- ---- ---- ------ ----
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . 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 . . . . . . . (.20) (.18) (.20) (.16) (.23)
----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . (.43) (.43) (.45) (.49) (.46)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR . . . . . . . . . . . . . . $19.43 $17.35 $15.82 $11.48 $13.92
======================================================================================================================
TOTAL RETURN* . . . . . . . . . . . . . . . . . . . . . +14.49% +12.47% +41.85% -14.05% +24.10%
- ----------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Year (Millions) . . . . . . . . . . . $928 $585 $372 $179 $147
Ratio of Expenses to Average Net Assets . . . . . . . . . .20% .20% .19% .23% .23%
Ratio of Net Investment Income to Average Net Assets . . 1.48% 1.73% 2.14% 2.68% 2.92%
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . 13% 9% 11% 9% 14%
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the 1% transaction fee on purchases or the
annual account maintenance fee of $10.
23
<PAGE> 26
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO
- -------------------------------------------------------------------------------------------------
YEAR ENDED March 16-
For a Share Outstanding Throughout Each Period DECEMBER 31, 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $10.84 $10.00
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . .26 .23
Net Realized and Unrealized Gain (Loss) on Investments. .88 .84
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . . . 1.14 1.07
- -------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . (.26) (.23)
Distributions from Realized Capital Gains . . . . . . . (.03) --
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . . . (.29) (.23)
- -------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $11.69 $10.84
==================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . . . +10.62% +10.41%
- -------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . $512 $275
Ratio of Expenses to Average Net Assets . . . . . . . . . .20% .21%*
Ratio of Net Investment Income to Average Net Assets . . 2.31% 2.42%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . 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.
24
<PAGE> 27
<TABLE>
<CAPTION>
GROWTH PORTFOLIO
- ---------------------------------------------------------------------------------------------------
YEAR ENDED November 2-
For a Share Outstanding Throughout Each Period DECEMBER 31, 1993 December 31, 1992
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $10.26 $10.00
------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . .21 .06
Net Realized and Unrealized Gain (Loss) on Investments. (.06) .26
----- ---
TOTAL FROM INVESTMENT OPERATIONS . . . . . . .15 .32
- ---------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . (.21) (.06)
Distributions from Realized Capital Gains . . . -- --
-- --
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . (.21) (.06)
- ---------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $10.20 $10.26
===================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . . . +1.53% +3.19%
- ---------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . $51 $21
Ratio of Expenses to Average Net Assets . . . . . . . . . .20% 0%*
Ratio of Net Investment Income to Average Net Assets . . 2.10% 2.85%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . 36% 2%
- ---------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
**Total return figures do not reflect the annual account maintenance fee of
$10.
25
<PAGE> 28
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- ---------------------------------------------------------------------------------------------
YEAR ENDED November 2-
For a Share Outstanding Throughout Each Period DECEMBER 31, 1993 December 31, 1992
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . $10.30 $10.00
------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . 38 .07
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . . . . 1.50 .30
---- ---
TOTAL FROM INVESTMENT OPERATIONS . . . . . . 1.88 .37
- ---------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . (.38) (.07)
Distributions from Realized Capital Gains . . . . (.06) --
----- -----
TOTAL DISTRIBUTIONS . . . . . . . . . . . . (.44) (.07)
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . $11.74 $10.30
=============================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . +18.35% +3.70%
- ---------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . . . $190 $24
Ratio of Expenses to Average Net Assets . . . . . . . .20% 0%*
Ratio of Net Investment Income to Average Net Assets 3.26% 3.46%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . 30% 4%
- ---------------------------------------------------------------------------------------------
</TABLE>
*Annualized
**Total return figures do not reflect the annual account maintenance fee of
$10.
26
<PAGE> 29
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 and Value 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 and Total Stock Market
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 bank 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.
6. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. 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.
27
<PAGE> 30
NOTES TO FINANCIAL STATEMENTS (continued)
B. The Vanguard Group, Inc. furnishes at cost 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 December 31, 1993, the Trust had contributed capital of
$1,590,000 to Vanguard (included in Other Assets), representing 7.9% of
Vanguard's capitalization. The Trust's officers and trustees are also
officers and directors of Vanguard.
C. During the year ended December 31, 1993, 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 $1,666,855 $449,825
EXTENDED MARKET 346,537 88,769
TOTAL STOCK MARKET 209,456 5,738
GROWTH 44,087 15,012
VALUE 191,493 34,818
-------------------------------------------------
</TABLE>
During the year ended December 31, 1993, the 500 Portfolio realized
approximately $152,063,000 of net capital gains resulting from in-kind
redemptions. Such gains are not taxable income to the Portfolio and
therefore will not be distributed to shareholders. See Note G.
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.
At December 31, 1993, unrealized appreciation of investment securities for
financial reporting and Federal income tax purposes was:
<TABLE>
<CAPTION>
----------------------------------------------------------------------
(000)
--------------------------------------------
Appreciated Depreciated Net Unrealized
Portfolio Securities Securities Appreciation
----------------------------------------------------------------------
<S> <C> <C> <C>
500 $1,514,952 $(278,318) $1,236,634
EXTENDED MARKET 210,165 (46,997) 163,168
TOTAL STOCK MARKET 68,283 (20,202) 48,081
GROWTH 3,393 (2,493) 900
VALUE 11,848 (3,861) 7,987
----------------------------------------------------------------------
</TABLE>
D. At December 31, 1993, 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
Portfolio), and Standard & Poor's Midcap 400 Index futures contracts
(Extended Market and Total Stock Market Portfolios) expiring in March,
1994, the related unrealized appreciation (depreciation), and the market
value of securities deposited as initial margin for those contracts were:
<TABLE>
<CAPTION>
----------------------------------------------------------------------
(000)
--------------------------------------------
Market Value
Aggregate Unrealized of Securities
Settlement Appreciation Deposited as
Portfolio Value (Depreciation) Initial Margin
----------------------------------------------------------------------
<S> <C> <C> <C>
500 $16,810 $(1) $1,986
EXTENDED MARKET 16,233 102 298
TOTAL STOCK MARKET 7,665 74 397
----------------------------------------------------------------------
</TABLE>
E. The market value of securities on loan to broker/dealers at December 31,
1993, 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 $3,101 $3,307
EXTENDED MARKET 20,894 22,322
TOTAL STOCK MARKET 2,309 2,538
------------------------------------------------------
</TABLE>
F. During the year ended December 31, 1993, the Extended Market Portfolio
wrote the following options on the Wilshire 5000 Index and the Russell
2000 Index:
<TABLE>
<CAPTION>
------------------------------------------------------
Number of Premiums
Contracts Received
Written (000)
------------------------------------------------------
<S> <C> <C>
OPTIONS OPEN AT
DECEMBER 31, 1992 -- $--
OPTIONS WRITTEN 370 131
OPTIONS CLOSED (280) (95)
OPTIONS EXPIRED (90) (36)
---- ----
OPTIONS OPEN AT
DECEMBER 31, 1993 -- $--
===== =====
------------------------------------------------------
</TABLE>
28
<PAGE> 31
G. Effective in 1993, generally accepted accounting principles require
that differences between undistributed net investment income or
accumulated net realized gains for financial reporting and tax purposes,
if permanent, be reclassified to/from paid in capital. In connection with
the adoption of this accounting method, the 500 Portfolio has
reclassified permanent book/tax differences of $486,275,000, primarily
representing prior and current years' realized gains on in-kind
redemptions, from accumulated net realized gains to paid in capital. This
reclassification has no effect on net assets or net asset values per
share.
29
<PAGE> 32
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees
Vanguard Index Trust
500 Portfolio
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the 500 Portfolio of Vanguard Index Trust (the "Fund") at December 31, 1993,
the results of its operations, the changes in its net assets and the financial
highlights for each of the respective periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities by correspondence with
the custodian and brokers and the application of alternative auditing
procedures where confirmations from brokers were not received, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 24, 1994
30
<PAGE> 33
SPECIAL TAX INFORMATION
SPECIAL 1993 TAX INFORMATION (UNAUDITED)
FOR VANGUARD INDEX TRUST
Corporate shareholders should note that for the fiscal year ended December 31,
1993, the percentage of investment income (i.e., dividend income plus
short-term capital gains, where applicable) which qualifies for the
intercorporate dividends received deduction is as follows:
<TABLE>
<S> <C>
500 Portfolio . . . . . . . . . . . . . 100.0%
Extended Market Portfolio . . . . . . . 83.8%
Total Stock Market Portfolio . . . . . 100.0%
Growth Portfolio . . . . . . . . . . . 100.0%
Value Portfolio . . . . . . . . . . . . 63.5%
</TABLE>
31
<PAGE> 34
TRUSTEES AND OFFICERS
JOHN C. BOGLE, Chairman and Chief Executive Officer
Chairman and Director of The Vanguard Group, Inc., and of each of the
investment companies in The Vanguard Group.
JOHN J. BRENNAN, President
President and Director of The Vanguard Group, Inc., and of each of the
investment companies in The Vanguard Group.
ROBERT E. CAWTHORN, Chairman and Chief Executive Officer of Rhone-Poulenc Rorer
Inc.; Director of Sun Company, Inc. and Immune Response Corporation; Trustee of
the Universal Health Realty Income Trust.
BARBARA BARNES HAUPTFUHRER, Director of The Great Atlantic and Pacific Tea
Company, Alco Standard Corp., Raytheon Company, Knight-Ridder, Inc., and
Massachusetts Mutual Life Insurance Co.
BRUCE K. MACLAURY, President of The Brookings Institution; Director of Dayton
Hudson Corporation, American Express Bank Ltd., The St. Paul Companies, Inc.,
and Scott Paper Company.
BURTON G. MALKIEL, Chemical Bank Chairman's Professor of Economics, Princeton
University; Director of Prudential Insurance Co. of America, Amdahl
Corporation, Baker Fentress & Co., and The Southern New England Telephone
Company.
ALFRED M. RANKIN, JR., President and Chief Executive Officer of NACCO
Industries, Inc.; Director of NACCO Industries, The BFGoodrich Company, and The
Standard Products Company.
JOHN C. SAWHILL, President and Chief Executive Officer of The Nature
Conservancy; formerly, Director and Senior Partner of McKinsey & Co. and
President of New York University; Director of Pacific Gas and Electric Company
and NACCO Industries.
JAMES O. WELCH, JR., Retired Chairman of Nabisco Brands, Inc.; retired Vice
Chairman and Director of RJR Nabisco; Director of TECO Energy, Inc.
J. LAWRENCE WILSON, Chairman and Director of Rohm & Haas Company; Director of
Cummins Engine Company; Trustee of Vanderbilt University and the Culver
Educational Foundation.
OTHER FUND OFFICERS
RICHARD F. HYLAND, Treasurer; Treasurer of The Vanguard Group, Inc., and of
each of the investment companies in The Vanguard Group.
RAYMOND J. KLAPINSKY, Secretary; Senior Vice President and Secretary of The
Vanguard Group, Inc.; Secretary of each of the investment companies in The
Vanguard Group.
KAREN E. WEST, Controller; Vice President of The Vanguard Group, Inc.;
Controller of each of the investment companies in The Vanguard Group.
OTHER VANGUARD GROUP OFFICERS
JEREMY G. DUFFIELD
Senior Vice President
Planning & Development
JAMES H. GATELY
Senior Vice President
Institutional
IAN A. MACKINNON
Senior Vice President
Fixed Income Group
VINCENT S. MCCORMACK
Senior Vice President
Operations
RALPH K. PACKARD
Senior Vice President
Chief Financial Officer
32
<PAGE> 35
STATEMENT OF NET ASSETS FINANCIAL STATEMENTS
December 31, 1993
<TABLE>
<CAPTION>
Market
Value
EXTENDED MARKET PORTFOLIO Shares (000)+
- ----------------------------------------------------------------------------------------------
COMMON STOCKS
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
AAR Corp. 20,000 $ 290
ADC Telecommunications, Inc. 17,200 613
AES Corp. 28,503 994
AFLAC, Inc. 61,988 1,767
* ALC Communications 17,500 503
A.L. Laboratories, Inc. 13,100 183
ARCO Chemical Co. 58,300 2,521
* The ASK Group, Inc. 33,600 437
* AST Research, Inc. 33,400 760
* Abex, Inc. 21,800 65
* Acceptance Insurance Cos. Inc. 32,200 390
Acclaim Entertainment Inc. 23,000 489
* Ace Cash Express, Inc. 22,200 236
Aceto Corp. 22,326 299
* Acme Electric Corp. 17,100 128
* Acme Metals, Inc. 21,900 389
Actava Group Inc. 43,600 327
* Action Performance Cos., Inc. 44,550 153
* Acuson Corp. 36,338 441
Adaptec, Inc. 23,900 952
* Addington Resources, Inc. 23,600 443
ADIA Services, Inc. 18,700 444
Adobe Systems, Inc. 27,100 600
* Advanced Logic Research 25,700 92
* Advanced Marketing Services 6,200 30
* Advanced Polymer Systems 56,400 289
* Advanced Surgical, Inc. 51,100 236
* Advanced Technologies Laboratories, Inc. 21,961 371
ADVO, Inc. 22,675 408
Advanta Corp. Class A 23,400 772
* Agency Rent-a-Car, Inc. 41,476 550
* Air and Water Technologies Corp. Class A 28,487 427
Airborne Freight Corp. 19,100 671
Airtran Corp. 26,700 247
* Alaska Air Group, Inc. 20,300 287
Albany International Corp. 24,800 474
* Aldus Corp. 21,753 590
Alex Brown & Sons, Inc. 21,020 520
Alexander & Baldwin, Inc. 27,400 723
* Alexander's, Inc. 8,700 529
Alleghany Corp. 3,740 537
Allegheny Ludlum Corp. 53,079 1,267
Allegheny Power System, Inc. 67,200 1,781
The Allen Group, Inc. 21,940 398
* Alliance Pharmaceutical Corp. 44,200 359
Allied Capital Commercial Corp. 40,700 677
* Allied Products Corp. 68,300 854
Allmerica Property & Casualty Cos. 12,300 803
Allstate Corp. 54,600 1,611
ALLTEL Corp. 111,594 3,292
* Allwaste, Inc. 64,846 292
Aloette Cosmetics, Inc. 44,400 222
* Altera Corp. 21,400 700
Amax Gold, Inc. 45,537 313
Ambac, Inc. 20,978 881
Amcast Industrial Corp. 17,200 363
American Annuity Group Inc. 37,178 372
American Maize Products Co. Class A 19,200 300
American Maize Products Co. Class B 3,300 51
* American Management Systems, Inc. 22,745 446
* American Medical Holdings, Inc. 44,700 855
* American Medical Response, Inc. 19,300 483
American National Insurance Co. 16,350 852
American Power Conversion Corp. 53,800 1,271
American President Cos., Ltd. 8,227 471
American Re Corp. 28,600 812
* American Science & Engineering, Inc. 43,800 181
American Software, Inc. Class A 46,050 282
* American Travellers Corp. 39,600 480
American Water Works Co., Inc. 18,913 567
* Americredit Corp. 56,800 440
Ameron, Inc. 9,500 342
Ametek, Inc. 26,100 333
AMPCO-Pittsburgh Corp. 28,700 204
Amre, Inc. 35,700 120
* Amrep Corp. 64,600 493
* Amsco International, Inc. 49,815 604
Amsouth Bancorp 25,826 807
Amtech Corp. 18,050 435
* Amylin Pharmaceuticals, Inc. 31,900 407
* Anacomp, Inc. 53,300 213
</TABLE>
THE LISTINGS FOR EACH OF THE PORTFOLIOS BEGIN ON THE FOLLOWING PAGES:
<TABLE>
<S> <C>
EXTENDED MARKET PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
TOTAL STOCK MARKET PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
GROWTH PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
VALUE PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
</TABLE>
1
<PAGE> 36
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Anadarko Petroleum Corp. 34,500 $ 1,565
* Analog Devices, Inc. 28,731 708
Anchor Bancorp Inc. 32,900 405
* Andros Analyzers 18,000 286
Angelica Corp. 15,700 444
* Ann Taylor Stores Corp. 40,000 990
* Anthem Electronics, Inc. 14,486 418
Anthony Industries, Inc. 20,677 331
Aon Corp. 39,868 1,929
Apache Corp. 37,000 865
Apogee Enterprises, Inc. 28,200 451
Applebee's International, Inc. 24,000 798
* Applied Bioscience International, Inc. 61,200 314
Applied Materials, Inc. 48,100 1,876
Aptargroup Inc. 22,700 471
Aquarion Co. 13,059 372
Arbor Drugs, Inc. 21,300 437
Argonaut Group, Inc. 15,019 464
* Argosy Gaming Co. 15,200 283
Arkansas Best Corp. 31,700 495
Armor All Products Corp. 28,300 570
Arnold Industries, Inc. 27,600 569
* Arrow Electronics, Inc. 17,900 747
Arrow International, Inc. 13,700 322
* Artisoft, Inc. 37,496 560
Arvin Industries, Inc. 13,300 426
Ashland Coal Inc. 17,700 534
* Associated Communication Corp. Class B 23,100 650
Astro-Med, Inc. 16,750 186
* Astrosystems, Inc. 6,400 27
* Atari Corp. 73,500 423
* Guy F. Atkinson Co. of California 30,100 256
Atlanta Gas Light Co. 14,700 571
Atlantic Energy, Inc. 32,300 703
Atlantic Southeast Airlines Inc. 20,300 690
* Atlas Corp. 25,000 109
* Atmel Corp. 22,200 766
* Atrix Laboratories, Inc. 44,823 261
* Atwood Oceanics, Inc. 29,500 334
* Aurora 43,325 368
* Autofinance Group Inc. 31,420 381
* Autozone, Inc. 42,800 2,450
* Avatar Holding, Inc. 13,700 461
Avnet, Inc. 23,500 917
* Aztar Corp. 38,100 252
BB&T Financial Corp. 18,641 618
BHA Group Class A 16,200 198
BHC Communications, Inc. Class A 15,700 1,287
* BJ Services Co. 21,600 416
* BMC Industries, Inc. 13,576 287
* BMC Software, Inc. 15,950 762
BP Prudhoe Bay Royalty Trust 13,500 329
BSB Bancorp, Inc. 16,350 399
BWIP Holding Inc. Class A 15,500 389
* Back Yard Burgers, Inc. 37,600 219
Badger Meter, Inc. 10,900 209
Bairnco Corp. 14,800 57
J. Baker, Inc. 22,100 391
Baldor Electric Co. 18,350 525
Baldwin & Lyons, Inc. Class B 22,500 349
Ballard Medical Products 30,666 399
Baltimore Bancorp. 43,946 626
Bancorp Hawaii, Inc. 17,499 717
Bandag, Inc. 16,162 895
Bank of New York Co., Inc. 54,960 3,133
Bank South Corp. 43,240 665
Bankers Life Holding Corp. 31,700 682
BankWorcester Corp. 18,500 607
BanPonce Corp. 19,522 610
Banta Corp. 12,250 443
Barnwell Industries, Inc. 13,400 253
Baroid Corp. 56,900 469
* Basin Exploration Inc. 23,100 258
Battle Mountain Gold Co. Class A 48,600 492
Baybanks, Inc. 11,500 582
Bear Stearns Co., Inc. 69,743 1,526
Bearings, Inc. 11,000 312
Beauticontrol Cosmetics 34,450 478
Beckman Instruments 16,800 460
Bed Bath and Beyond 20,100 691
Beeba's Creations, Inc. 39,914 279
A. H. Belo Class A 12,400 657
Ben & Jerry's Homemade, Inc. Class A 18,500 298
Bergen Brunswig Corp. Class A 21,732 383
W.R. Berkley Corp. 11,300 390
* Berkshire Hathaway 678 11,068
* Berlitz International Inc. 26,226 361
Berry Petroleum Class A 42,800 423
Best Buy, Inc. 18,750 872
* Best Power Technology, Inc. 20,700 331
Betz Laboratories, Inc. 17,400 763
BIC Corp. 14,700 454
Bindly Western Industries, Inc. 28,400 343
Binks Manufacturing Co. 13,650 305
Biocraft Laboratories 16,900 361
* Biogen, Inc. 19,669 787
* Biomatrix, Inc. 40,300 338
* Bio-Rad Labs, Inc. Class A 16,500 165
* Biotechnology General 67,500 350
* Biowhittaker Inc. 49,899 312
</TABLE>
2
<PAGE> 37
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Biospecifics Technology 33,000 $ 210
Birmingham Steel Corp. 20,250 562
Blackrock Strategic Term Trust, Inc. 34,800 339
Blair Corp. 11,000 462
E. W. Blanch Holdings, Inc. 22,600 407
Blessings Corp. 14,350 346
* Block Development 55,200 112
Block Drug Co. Class A 11,986 446
Bob Evans Farms, Inc. 25,216 553
* Bolt Beranek and Newman, Inc. 34,400 413
Bombay Co. 13,775 620
* Borland International, Inc. 33,329 494
Boston Bancorp 10,600 376
Boston Edison Co. 27,800 827
* Boston Scientific Corp. 60,100 751
* Boston Technology, Inc. 47,500 401
Bowater, Inc. 21,796 501
W.H. Brady Class A 9,600 406
* Breed Technological Inc. 37,000 569
Brinker International, Inc. 27,409 1,261
Brooke Group Ltd. 25,800 48
Brooklyn Union Gas Co. 26,650 730
Brush Wellman, Inc. 21,700 309
Buffets Inc. 28,900 741
* Builders Transport, Inc. 22,800 363
Burlington Coat Factory Warehouse Corp. 24,150 552
* Burlington Industries Corp. 40,800 632
Burlington Resources Coal Seam Gas Royalty Trust 17,100 387
* Burnup & Sims, Inc. 50,400 299
* Burr-Brown Corp. 40,600 269
Bush Industries, Inc. 12,300 380
CBI Industries, Inc. 22,159 673
CCB Financial Corp. 11,400 376
CCP Insurance, Inc. 16,300 454
* C-Cor Electronics, Inc. 17,300 305
* CII Financial, Inc. 26,300 161
CIPSCO, Inc. 20,900 643
CMAC Investment Corp. 15,500 430
CML Group, Inc. 30,150 712
CMS Energy Corp. 47,139 1,184
CPI Corp. 19,700 340
CRS/Sirrine, Inc. 30,300 311
* C-TEC Corp. 14,800 448
* C-TEC Corp. Class B 11,100 387
CUC International, Inc. 64,362 2,317
* Cabletron Systems, Inc. 16,733 1,882
* Cablevision Systems Corp. Class B 9,600 655
Cabot Corp. 11,100 598
Cabot Oil & Gas Corp. 33,264 703
* Cadence Design Systems, Inc. 27,800 323
* Caesars World, Inc. 14,500 774
* Calgene, Inc. 42,100 550
Calgon Carbon Corp. 36,300 472
* California Energy Co. 21,892 405
California Federal Bank Class A 35,268 542
Callaway Golf Co. 9,400 502
Calmat Co. 23,500 496
* Cambridge Biotech Corp. 33,900 86
* Canandaigua Wine, Inc. Class A 9,000 282
* Canandaigua Wine, Inc. Class B 6,375 199
Capitol American Financial Corp. 28,200 606
Capstead Mortgage Corp. 8,500 349
Cardinal Distribution, Inc. 18,850 891
Caremark International, Inc. 42,900 842
Carlisle Co., Inc. 12,800 427
* Carmike Cinemas, Inc. Class A 16,300 293
Carnival Cruise Lines, Inc. 84,964 4,025
Carolina Freight Corp. 22,600 288
Carpenter Technology Corp. 7,800 452
* Carrington Labs Inc. 22,800 325
Carter-Wallace, Inc. 27,900 596
Casey's General Stores 19,000 463
Cash America International Inc. 33,100 310
Casino Magic Corp. 15,100 202
A.M. Castle & Co. 20,350 351
* Catalina Lighting, Inc. 11,100 100
* Catellus Development Corp. 125,901 976
Cato Corp. Class A 17,600 352
* Cellular Communications Series A 9,400 438
* Celtrix Laboratories 55,500 611
* Centerbank Connecticut 39,200 453
Centerior Energy Corp. 86,700 1,138
* Centex Telemanagement Inc. 51,500 254
* Centocor, Inc. 49,200 578
* Central Cooperative Bank 27,100 263
Central Fidelity Banks, Inc. 23,850 665
Central Hudson Gas & Electric Corp. 19,600 595
Central Louisiana Electric Co. 14,092 349
Central Maine Power Co. 18,657 280
Central Newspapers Inc. 14,750 409
* Central Sprinkler Corp. 28,525 399
Central Vermont Public Service Corp. 20,500 431
Century Communications Corp. Class A 51,481 592
Century Telephone Enterprises, Inc. 30,877 795
Cerner Corp. 17,000 731
* Chalone Wine Group Ltd. 56,800 351
* Chambers Development Co. Class A 48,100 192
</TABLE>
3
<PAGE> 38
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Chambers Development Co. Class B 20,500 $ 81
Chaparral Steel Co. 34,900 353
Charter One Financial 21,900 428
Checkers Drive-In Restaurant 28,300 327
* Checkpoint Systems, Inc. 23,700 261
Chemed Corp. 14,400 439
* Chemical Fabrics Corp. 16,550 225
Chemical Waste Management 126,700 1,045
Chesapeake Corp. of Virginia 25,983 663
Cheyenne Software, Inc. 14,400 398
* Chicago Northwest 26,100 653
Chiquita Brands International, Inc. 40,665 468
* Chiron Corp. 19,162 1,605
Chock Full O'Nuts Corp. 27,032 216
* Cholestech Corp. 38,000 235
Chris-Craft Industries, Inc. 16,738 613
* Christiana Cos., Inc. 16,200 431
Church and Dwight, Inc. 12,700 359
Cilcorp, Inc. 14,500 544
Cincinnati Bell, Inc. 37,900 682
Cincinnati Financial Corp. 30,400 1,638
Cincinnati Gas & Electric Co. 52,400 1,441
Cintas Corp. 27,900 942
* Circa Pharmaceuticals Inc. 38,200 358
* Circon Corp. 22,057 254
Circus Circus Enterprises Inc. 53,259 1,971
* Cirrus Logic 22,200 820
Citizens Banking Corp. 18,900 463
Citizens Corp. 21,400 420
* Citizens First Bancorp, Inc. 52,700 362
Citizens Utilities Co. Class A 107,904 1,942
City National Corp. 63,025 473
Clarcor Inc. 17,900 378
Clayton Homes Inc. 33,983 824
* Clean Harbors Inc. 33,100 228
Cleveland-Cliffs Iron Co. 13,900 520
* The Clothestime, Inc. 39,000 312
Coachmen Industries, Inc. 20,900 340
* Coast Savings Financial, Inc. 33,600 479
Coca Cola Enterprises, Inc. 77,362 1,180
* Code Alarm, Inc. 24,100 283
Coeur D'Alene Mines Corp. 20,500 441
* Coherent, Inc. 29,223 376
* Coleman Inc. 16,000 448
* Collagen Corp. 14,903 408
Collective Bancorporation Inc. 24,450 529
Colonial Gas Co. 16,771 373
* Coltec Inc. 42,500 797
Comair Holdings, Inc. 22,600 520
Comdisco, Inc. 24,300 468
Comerica, Inc. 72,250 1,924
Commerce Bancshares, Inc. 19,700 561
Commerce Clearing House, Inc. Class A 6,100 110
Commerce Clearing House, Inc. Class B 14,400 254
* Commercial Federal Corp. 18,300 366
Commercial Metals Co. 16,266 457
Commonwealth Energy Systems 17,000 786
Communications Systems, Inc. 16,300 214
Community First Bankshares 23,258 294
Compass Bancshares Inc. 21,700 472
* CompUSA, Inc. 27,900 558
Computer Data Systems, Inc. 42,800 792
Computer Horizons Corp. 10,950 129
* Computer Outsourcing Services, Inc. 48,900 232
Computer Task Group, Inc. 27,900 195
* Compuware Corp. 22,000 564
Comsat Corp. 23,200 690
* Conmed Corp. 17,100 182
* Conner Peripherals, Inc. 48,393 708
Conseco, Inc. 15,400 855
Consolidated Papers 27,000 1,171
Consolidated Products Inc. 11,252 114
* Consolidated Stores, Inc. 28,241 561
* Constellation Bancorp 32,000 338
* Contel Cellular, Inc. 61,052 992
Continental Bank Corp. 32,300 852
* Continental Materials Corp. 33,500 268
* Continental Medical Systems, Inc. 47,950 414
Conversion Industries, Inc. 22,500 309
* Convex Computer Corp. 50,300 277
Copley Pharmaceutical, Inc. 11,017 435
* Cordis Corp. 15,500 765
Core Industries, Inc. 19,400 289
* Corrections Corp. of America 37,800 338
* Cosmetic Center, Inc. Class A 25,100 467
* Cosmetic Center, Inc. Class B 6,900 127
Countrywide Credit Industries, Inc. 35,953 903
Cracker Barrel Old Country Stores, Inc. 35,333 972
* Cragin Financial Corp. 28,900 1,077
* Craig Corp. 23,623 281
Jenny Craig Inc. 33,300 379
Crawford & Co. Class B 22,300 354
* Cray Computer Corp. 42,200 103
* Cree Research, Inc. 5,400 78
Crestar Financial Corp. 21,572 903
Crompton & Knowles Corp. 30,300 667
A.T. Cross Co. Class A 22,900 346
* Crown Central Petroleum Corp. Class B 15,900 225
</TABLE>
4
<PAGE> 39
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Crown Crafts, Inc. 19,140 $ 337
* Cruise America, Inc. 12,000 57
* Crystal Brands, Inc. 27,600 21
Cullen/Frost Bankers, Inc. 13,930 488
Curtice-Burns Foods, Inc. Class A 24,700 327
Curtiss-Wright Corp. 10,600 382
* Custom Chrome 28,400 639
* Cypress Semiconductor Corp. 36,100 492
* Cytogen Corp. 49,900 296
DPL, Inc. 62,375 1,286
DQE Inc. 31,900 1,101
* DRCA Medical Corp. of America 26,600 86
Dames & Moore, Inc. 27,600 490
Danaher Corp. 16,733 638
Dart Group Corp. Class A 4,700 404
* Datascope Corp. 26,200 364
Dauphin Deposit Bank & Trust 17,540 447
* Davis Water and Waste Industry, Inc. 44,200 271
Dean Foods Corp. 23,733 774
Deb Shops, Inc. 33,500 214
Dekalb Genetics Corp. Class B 14,300 443
* Dell Computer 22,650 511
Delmarva Power & Light Co. 35,500 839
Delta & Pine Land Co. 21,100 367
Delta Woodside 28,300 315
Deposit Guaranty Corp. 19,100 542
* Desoto, Inc. 29,500 229
* Destec Energy Inc. 36,001 518
* Devcon International Corp. 13,200 81
Devon Energy Corp. 36,200 747
Dexter Corp. 24,700 580
Diagnostic Products Corp. 21,300 397
* Dial Page, Inc. 20,500 805
Diamond Shamrock, Inc. 18,100 439
* Diagnostek, Inc. 31,400 597
Dibrell Brothers, Inc. 15,600 404
Diebold, Inc. 12,371 745
* Digi International, Inc. 19,150 421
* Digital Microwave Corp. 50,500 1,496
* Digital Systems Inc. 18,700 67
* Dime Savings Bank of New York 49,800 405
* Dionex Corp. 9,600 304
* Discovery Zone, Inc. 21,900 465
* Dr. Pepper/Seven Up Cos., Inc. 35,400 850
Dole Food Co. 35,800 958
Dollar General Corp. 25,256 761
Donaldson Co., Inc. 14,350 635
Donnelly Corp. 11,750 226
Douglas & Lomason 19,800 339
Downey Savings & Loan Assn. 21,600 429
* Dravo Corp. 30,461 339
* The Dress Barn, Inc. 26,600 346
* Drexler Technology Corp. 12,000 94
Dreyer's Grand Ice Cream, Inc. 16,400 480
Dreyfus Corp. 22,300 1,004
* Drug Emporium, Inc. 60,030 289
Duracell International, Inc. 67,775 2,431
Duriron Co., Inc. 18,800 435
Duty Free International Inc. 15,626 311
* EA Engineering Sciences and Technology Inc. 21,800 297
EMC Corp. 103,500 1,708
* Eagle Food 26,900 161
* Earth Technology USA 10,600 98
* Easel Corp. 27,300 122
Eastern Utilities Associates 20,684 579
Ecology and Environment, Inc. 20,500 320
Edison Brothers Stores, Inc. 13,000 387
* Edisto Resources Corp. 153,700 1,191
* Editek Inc. 46,700 163
Edo Corp. 9,900 66
A.G. Edwards & Sons, Inc. 28,319 814
* Egghead, Inc. 43,100 385
* El Paso Electric Co. 15,600 42
El Paso Natural Gas 22,032 793
* Elcor Corp. 17,800 329
* Electrocon Automation 55,700 571
* Electromagnetic Sciences, Inc. 16,900 139
Electronic Arts 27,900 840
* Electronics for Imaging, Inc. 23,000 380
* Eljer Industries, Inc. 37,600 249
Empire District Electric Co. 19,728 409
* Energy Conversion Devices, Inc. 34,500 377
* Engineered Support Systems, Inc. 25,200 95
Energy North, Inc. 12,684 274
Enron Oil & Gas Co. 47,238 1,842
Entergy 29,365 1,057
* Enterra Corp. 23,594 484
* Epitope Inc. 34,400 701
* Epitope Inc. Warrants Exp. 3/11/94 737 3
Equifax, Inc. 45,270 1,239
The Equitable Cos. 84,400 2,279
Equitable of Iowa Co. 16,700 566
Equitable Resources, Inc. 20,750 760
* Equivest Finance, Inc. 43,300 235
Essex County Gas Co. 4,800 134
* Esterline Technologies Corp. 30,700 234
* Europa Cruises Corp. 20,000 23
* Exabyte Corp. 31,900 564
Expeditors International of Washington, Inc. 19,600 299
* Ezcorp, Inc. 26,800 419
* FHP International Corp. 19,760 531
</TABLE>
5
<PAGE> 40
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
FMC Gold Co. 76,500 $ 402
* Failure Group, Inc. 49,400 247
* Fairchild Corp. 16,000 66
Family Dollar Stores, Inc. 33,200 564
Federal-Mogul Corp. 17,700 513
Federal Realty Investment Trust 17,100 428
Federal Signal Corp. 21,403 599
* Federated Stores 73,900 1,533
Ferro Corp. 17,175 550
* Fibreboard Corp. 14,300 483
* Fieldcrest Cannon, Inc. 16,200 399
Fifth Third Bancorp 35,250 1,820
Figgie International Inc. Class A 22,100 300
* Filene's Basement Corp. 36,000 387
Fina Inc. 8,600 591
Fingerhut Co. 28,646 806
First Alabama Bancshares, Inc. 21,980 709
First American Bank Corp. 34,670 1,361
First American Corp. (Tenn.) 16,000 511
First Bancorp of Ohio 24,500 628
First Bank System, Inc. 67,582 2,078
First Brands Co. 12,900 445
First Citizens Bancshares Class A 11,100 505
First Colonial Bankshares 21,500 409
First Colony Corp. 29,000 736
First Commerce Corp. 15,116 380
First Data Corp. 66,600 2,714
* First Eastern Corp. 24,200 610
First Empire State Corp. 4,100 577
* First Federal Financial 21,675 347
First Financial Management 35,340 2,006
First Financial Savings Assn. 34,800 579
First Hawaiian, Inc. 18,800 463
First Inter-Bancorp 11,350 203
First Security Corp. 23,675 616
First Tennessee National Corp. 17,400 672
First USA Inc. 34,000 1,216
First Virginia Banks, Inc. 19,842 650
* First Western Finance Corp. 14,100 113
Firstar Corp. 38,700 1,190
Firstfed Michigan Corp. 22,950 588
Firstier Financial Inc. 6,523 325
* Firstmiss Gold, Inc. 52,600 391
Fiserv, Inc. 24,250 473
Flagstar Cos. 43,700 415
Fleet Mortgage Group 28,800 479
Flexsteel Industry 21,100 361
Flightsafety International, Inc. 19,800 678
Florida East Coast Railway Co. 9,500 623
Florida Progress Corp. 52,900 1,779
Florida Rock Industries, Inc. 14,500 430
Flowers Industries, Inc. 23,000 440
Fluke Corp. 11,145 273
Food Lion Inc. Class A 232,450 1,525
Food Lion Inc. Class B 58,605 392
* Foodarama Supermarkets, Inc. 17,100 246
Foote, Cone & Belding Communications, Inc. 11,400 547
Foothill Group 43,300 720
Foremost Corp. of America 11,600 394
* Forest City Enterprise Class A 8,700 357
* Forest Laboratories, Inc. 26,408 1,258
* Foundation Health Co. 18,000 558
Fourth Financial Corp. 15,525 450
Foxmeyer Corp. 39,826 453
* Frame Technology 39,000 344
* Franklin Electronic Publishers, Inc. 26,100 336
Franklin Resources Corp. 49,500 2,271
Fredericks of Hollywood Class A 14,666 81
Fredericks of Hollywood Class B 29,332 147
Freeport McMoRan, Inc. 83,996 1,659
Freeport McMoRan Copper & Gold Inc. Class A 32,900 823
Fremont General Corp. 19,950 494
* Fretter, Inc. (New) 11,628 49
Frisch's Restaurants, Inc. 18,212 257
* Fruit of the Loom, Inc. 45,212 1,091
H.B. Fuller Co. 16,450 588
Fund American Enterprise Holding Co. 5,685 446
G & K Services, Inc. 21,550 498
GATX Corp. 12,200 497
GEICO Corp. 42,100 2,163
GFC Financial Corp. 11,600 336
* GNI Group Inc. 28,400 220
GWC Corp. 22,400 381
Gainsco, Inc. 36,835 336
Arthur J. Gallagher & Co. 21,400 776
* Gander Mountain, Inc. 29,100 371
Gateway Financial Corp. 30,100 350
Gaylord Entertainment Class A 50,200 1,412
Gencorp, Inc. 26,000 371
* Genentech Inc. 68,617 3,465
General Binding Corp. 29,600 451
* General Instrument 35,800 2,009
General Motors Corp. Class E 140,500 4,110
General Motors Corp. Class H 55,500 2,158
General Nutrition Cos., Inc. 21,400 605
General Public Utilities Corp. 69,300 2,140
* Genetics Institute Depository Shares 15,800 760
* Geneva Steel Class A 37,700 641
* Genlyte Group, Inc. 8,700 33
Genovese Drug Stores, Inc. Class A 23,648 304
</TABLE>
6
<PAGE> 41
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Genrad, Inc. 49,200 $ 308
* Gensia Inc. 16,000 392
Gentex Corp. 31,000 1,089
* Genzyme Corp. 14,209 394
* Georgia Gulf Corp. 23,098 517
Gerber Scientific, Inc. 26,300 365
Germantown Savings Bank 12,900 710
* Gerrity Oil & Gas Corp. 20,900 243
* Getty Petroleum Corp. 18,732 279
Gibson Greetings, Inc. 22,700 478
* Gilead Sciences, Inc. 39,100 464
* Gitano Group, Inc. 6,100 15
P.H. Glatfelter Co. 26,300 490
* Glendale Federal 12,648 90
* Global Marine Inc. 93,700 387
* Glycomed, Inc. 40,300 287
Golden Enterprises Inc. 35,200 284
* E. Gottschalk & Co., Inc. 32,700 262
Goulds Pumps, Inc. 18,391 460
Graco, Inc. 11,200 407
* Graham-Field Health Products Inc. 56,900 270
Graphic Industries, Inc. 47,700 397
* Greater New York Savings Bank 40,700 295
Green Mountain Power Corp. 12,361 383
Green Tree Financial Corp. 19,900 955
* Greenery Rehabilitation Inc. 31,300 153
* Greenwich Pharmaceuticals, Inc. 44,900 123
Greiner Engineering, Inc. 16,633 229
* Grist Mill Co. 26,550 123
* Grossmans, Inc. 18,800 58
Grow Group, Inc. 24,000 381
* Gtech Holdings Corp. 25,500 835
Guaranty National Corp. 21,800 382
Guilford Mills, Inc. 19,650 462
* Gundle Environmental Systems, Inc. 39,200 289
* Hadco Corp. 36,600 304
* Haemonetics Corp. 16,100 447
* Hamburger Hamlet Restaurants 16,900 139
Hancock Fabrics, Inc. 31,500 299
Handy & Harman 18,500 278
M.A. Hanna Co. 14,300 467
Hannaford Brothers Co. 24,500 527
* Hanover Direct, Inc. 72,800 446
Harley-Davidson, Inc. 22,994 1,015
* Harman International Industries, Inc. 18,100 520
Harper Group, Inc. 23,900 421
Harsco Corp. 15,016 610
Hartford Steam Boiler Inspection & Insurance Co. 12,143 540
* Hauser Chemical Research 38,100 310
Hawaiian Electric Industries Inc. 15,935 572
Healthcare & Retirement Corp. 20,400 454
* Healthcare Compare Corp. 32,798 812
* Healthcare Services Group, Inc. 37,300 436
* HEALTHSOUTH Rehabilitation Corp. 31,876 805
* Healthtrust Inc. 47,600 1,267
* Healthwise of America Inc. 2,170 55
Health Care Properties Investors 16,000 434
Health Equity Properties, Inc. 35,000 333
Health Management Associates Class A 29,775 871
* Health Professionals, Inc. 39,200 47
Hechinger Co. Class A 52,700 511
* Hecla Mining Co. 43,300 503
* Hector Communications Corp. 34,250 287
Heico Corp. 24,350 280
* Heidemij NV 18,901 178
Heilig-Meyers Co. 27,925 1,089
Hein-Werner Corp. 12,733 53
* Helen of Troy Corp. 19,500 297
Helene Curtis, Inc. 15,800 458
Hibernia Corp. Class A 48,128 373
Hillenbrand Industries, Inc. 41,900 1,744
* Hitox Corp. of America 31,900 140
Holly Corp. 14,200 375
* Hollywood Casino Corp. 28,800 374
* Holnam, Inc. 76,970 510
Home Federal Financial Corp. 24,630 465
Home Office Reference Laboratory Inc. 21,000 394
Home Shopping Network, Inc. 54,800 815
Homeowners Group, Inc. 12,500 45
* Hometown Buffet, Inc. 12,500 352
Hon Industries, Inc. 18,800 519
Horace Mann Educators Corp. 17,100 428
* Horizon Healthcare Corp. 30,400 612
George A. Hormel & Co. 45,800 1,013
Horsehead Resource Development Co., Inc. 46,000 147
* Hospital Corp. of America Class A 106,000 3,617
* Hospital Staffing Services, Inc. 43,900 82
* Hospitality Franchise Systems, Inc. 12,700 675
Houghton Mifflin Co. 8,800 428
* House of Fabrics, Inc. 36,000 288
Hubbell Inc. Class A 2,000 105
Hubbell Inc. Class B 16,251 880
Hughes Supply, Inc. 13,600 265
Humana, Inc. 95,900 1,690
J.B. Hunt Transport Services, Inc. 22,350 522
Huntington Bancshares Inc. 55,250 1,309
</TABLE>
7
<PAGE> 42
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
IBP, Inc. 28,000 $ 724
* ICH Corp. 64,800 332
* ICOS Corp. 56,500 314
IDB Communications Group, Inc. 9,975 546
IES Industries, Inc. 17,040 532
* IGI, Inc. 33,000 293
* IHOP Corp. 18,000 517
IMC Fertilizer Group, Inc. 15,597 708
* IMCO Recycling, Inc. 18,500 222
Idaho Power Co. 22,100 671
Illinois Central Corp. 25,700 922
Illinios Power Co. 44,876 993
* Image Business Systems Corp. 47,900 138
* Image Entertainment, Inc. 46,000 259
* Immulogic Pharmaceutical Corp. 39,700 526
* Immune Response 24,783 257
* Immunex Corp. 39,700 640
* Immunomedics Inc. 57,100 314
* Imo Industries, Inc. 54,000 500
Imperial Bancorp 34,314 446
* Inacom Corp. 20,096 274
Independence Bancorp, Inc. 16,398 609
Indiana Energy, Inc. 39,000 848
* Indressco Inc. 34,900 541
Infinity Broadcasting Corp. 12,500 378
* Information Resources, Inc. 15,065 578
Informix Corp. 39,000 819
Integon Corp. 24,050 448
Integra Financial Corp. 20,131 866
* Integrated Device Technology Inc. 36,300 617
Intelligent Electronics Inc. 31,686 871
* Interco Co. 29,000 377
Interface, Inc. 31,900 482
Interface Systems Inc. 13,000 59
* Interlink Electronics Inc. 36,800 462
Intermet Corp. 34,900 323
* International Dairy Queen, Inc. Class A 23,012 408
International Game Technology 73,498 2,168
* International Imaging Materials Inc. 18,300 366
International Multifoods Corp. 26,869 517
* International Recovery Corp. 22,900 361
International Specialty Products, Inc. 61,000 412
* Interspec Inc. 26,700 83
Intervoice, Inc. 55,200 869
* Invacare Corp. 14,300 388
Iowa-Illinois Gas & Electric Co. 17,400 428
Ipalco Enterprises, Inc. 22,300 792
* Isomedix Inc. 19,100 370
* Itel Corp. 16,500 462
Ivax Corp. 41,400 1,190
* J & J Snack Foods Corp. 16,500 340
* JB's Restuarants Inc. 17,900 111
JMC Group Inc. 28,600 250
JSB Financial 17,499 407
Jackpot Enterprises, Inc. 13,427 183
* Jacobs Engineering Group Inc. 24,100 575
* Jay Jacobs, Inc. 12,100 36
* Jamesway Corp. 16,200 13
* Jan Bell Marketing Inc. 34,350 322
John Alden Financial Group 22,900 824
* Jones Apparel Group, Inc. 24,100 720
Justin Industries, Inc. 32,300 484
KN Energy, Inc. 19,050 491
K U Energy Corp. 22,600 655
* K-V Pharmaceutical Co. Class A 29,400 287
* K-V Pharmaceutical Co. Class B 12,200 116
Kaiser Aluminum & Chemical Corp. 64,300 579
Kaman Corp. Class A 38,400 386
Kansas City Power & Light Co. 37,300 858
Kansas City Southern Industries, Inc. 24,838 1,279
Carl Karcher Enterprises, Inc. 39,400 414
Kaydon Corp. 19,500 400
Kellwood Co. 12,500 502
* Kelly Oil Corp. 33,300 318
Kelly Services, Inc. Class A 21,737 600
* Kemet Corp. 27,200 422
Kemper Corp. 27,351 991
* Kendall International Inc. 11,600 532
Kennametal, Inc. 12,454 554
* Kent Electronics Corp. 12,100 345
* Kentucky Medical Insurance Co. 32,811 213
* Ketema, Inc. 23,510 300
* Key Tronic Corp. 42,300 338
Keycorp 59,073 2,090
* Keystone Consolidated Industries, Inc. 27,750 284
Keystone International Fund, Inc. 21,425 587
Kimball International, Inc. Class B 13,300 412
Kimco Realty Corp. 11,900 418
* Kimmins Environmental Service Corp. 15,050 36
* Kinder Care Learning Centers Inc. 11,600 158
Kinetic Concepts, Inc. 23,200 94
* Kirby Corp. 28,900 618
* Kirschner Medical Corp. 22,300 151
Knape & Vogt Manufacturing Co. 18,875 375
* Knowledgeware, Inc. 24,200 369
* Kohls Corp. 22,100 1,111
* Komag, Inc. 27,400 480
* Kulicke & Soffa Industries, Inc. 18,100 252
</TABLE>
8
<PAGE> 43
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* L.A. Gear Inc. 29,500 $ 288
LDDS Communications, Inc. 35,423 1,718
LG&E Energy Corp. 19,750 800
L & N Housing Corp. 16,400 135
* LSI Logic Corp. 27,100 434
* LTV Corp. 62,523 1,008
* LTX Corp. 58,800 216
La Quinta Inns Inc. 21,600 761
La-Z-Boy Chair Co. 10,600 397
Lafarge Corp. 29,000 663
Lakeland First Financial Group Inc. 28,341 524
LAM Research Corp. 13,550 439
Lancaster Colony Corp. 13,433 613
Lance, Inc. 17,841 399
* Landmark Graphics Corp. 23,000 423
Lands' End, Inc. 16,300 750
* Larizza Industries, Inc. 39,900 314
* Laser Precision Corp. 21,100 174
* Laserscope 16,100 90
Lattice Semiconductor Corp. 30,300 496
Lawson Products, Inc. 16,950 485
Lawter International Inc. 25,454 347
Lawyers Title Insurance Corp. 26,250 476
Learonal Inc. 24,100 380
* Lechters Corp. 22,900 283
Lee Enterprises, Inc. 14,000 490
* Legent Corp. 20,053 456
Leggett & Platt, Inc. 23,100 1,155
Legg Mason Inc. 17,800 443
Lennar Corp. 14,000 478
Leucadia National Corp. 16,838 690
Liberty Corp. 11,800 286
Liberty Media Corp. Class A 78,160 2,267
Liberty National Bancorp Inc. 15,249 463
Life Re Corp. 9,000 183
Lilly Industries Inc. Class A 23,592 566
* Lin Broadcasting Corp. 30,268 3,333
Lincoln Telecommunications Co. 17,200 630
Linear Technology Corp. 21,702 844
* Liposome Co., Inc. 49,400 321
* Littelfuse, Inc. 17,800 454
* Live Entertainment Inc. 20,400 48
Loctite Corp. 21,000 777
Loews Corp. 37,900 3,525
* Lomas Financial Corp. 52,500 407
Lone Star Steakhouse & Saloon 20,563 563
* Lone Star Technologies, Inc. 45,400 352
Long Island Lighting Co. 67,765 1,652
Longview Fiber Co. 30,270 685
Lubrizol Corp. 40,400 1,379
Lukens, Inc. 8,200 299
* Lynx Therapeutic 5,808 1
* Lynx Therapeutic Pfd. 8,448 8
Lyondell Petrochemical Co. 46,954 998
MBIA, Inc. 24,900 1,566
MCN Corp. 17,400 605
* MDT Corp. 56,900 306
MDU Resources Group, Inc. 10,700 337
* MFS Communications Co., Inc. 36,800 1,201
* MGI Pharmaceutical, Inc. 42,700 619
MGIC Investment Corp. 33,698 986
* MGM Grand Inc. 28,400 1,111
* MNX Inc. 5,200 62
* M.S. Carriers Inc. 17,100 359
* MacFrugal's Bargains Close-Outs, Inc. 33,100 650
The MacNeal-Schwendler Corp. 25,400 340
* Magma Copper Co. Class B 50,300 666
* Magma Power Co. 14,300 499
Magna Group 28,500 545
* Magnatek 23,900 356
Maine Public Service Co. 7,100 184
* Manpower Inc. 44,000 775
Manville Corp. 72,300 606
Mapco Inc. 18,100 1,106
Margaretten Financial Corp. 28,900 401
Marion Merrell Dow, Inc. 161,574 2,908
Mark IV Industries, Inc. 24,390 439
Mark Twain Bancshares, Inc. 16,650 408
* Marquest Medical Products Inc. 16,000 28
* Marquette Electronics Class A 23,700 367
Marshall & Ilsley Corp. 39,236 932
* Marshall Industries 10,386 519
Marvel Entertainment Group 57,434 1,565
Maryland Federal Bancorp 18,276 452
Mascotech Inc. 30,700 856
* Maxtor Corp. 65,000 353
* Maxxam Inc. 13,200 487
Maybelline, Inc. 30,600 715
McClatchy Newspapers, Inc. 17,300 409
McCormick & Co., Inc. 48,983 1,206
Measurex Corp. 18,600 367
Medford Savings Bank 14,500 415
Media General, Inc. Class A 24,500 720
* Medical Care America 21,319 488
* Medical Dynamics, Inc. 42,400 217
* Medical Imaging Centers of America, Inc. 36,800 26
* Medical Technology Systems, Inc. 16,100 129
Medicine Shoppe International, Inc. 16,750 325
* Medimmune Inc. 29,800 324
Meditrust 18,100 584
* Megahertz Corp. 36,200 511
</TABLE>
9
<PAGE> 44
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Menley & James Inc. 19,300 $ 27
Men's Wearhouse, Inc. 16,800 544
Mentor Corp. 25,700 344
Mentor Graphics Corp. 48,700 664
Mercantile Bancorp, Inc. 13,700 618
Mercantile Bankshares Corp. 26,650 513
Mercury Finance Co. 70,270 1,344
Mercury General Corp. 16,400 496
Meridian Bancorp, Inc. 34,869 996
* Merisel, Inc. 33,610 613
Merrill Corp. 13,000 351
Merry-Go-Round Enterprises, Inc. 50,523 171
Mesa Airlines, Inc. 21,900 383
Met-Pro Corp. 21,922 299
Metro Bancshares Inc. 24,525 402
Metropolitan Financial Corp. 33,561 554
* Fred Meyer, Inc. 15,800 569
Michael Foods, Inc. 41,400 334
* Michaels Stores, Inc. 18,300 657
Michigan National Corp. 9,000 519
* Microcom Corp. 18,900 97
Micron Technology Inc. 23,200 1,076
* Micronics Computers, Inc. 47,200 283
* Micropolis Corp. 45,800 321
* Microsoft Corp. 169,847 13,694
* Microtouch Systems, Inc. 27,600 373
Mid-American Waste Systems, Inc. 28,900 238
Mid-Iowa Financial Corp. 2,200 37
* Midlantic Corp. 31,600 808
Midwest Grain Products 13,650 398
Midwest Resources Inc. 31,397 565
Herman Miller, Inc. 14,771 451
* Millicom, Inc. International 39,024 917
* Milwaukee Land Co. 2,300 15
Minerals Technologies, Inc. 12,800 371
Minnesota Power & Light Co. 18,100 593
Mirage Resorts Inc. 52,900 1,263
Mitchell Energy & Development Corp. Class A 32,000 696
* Mobile Telecommunications Technologies Corp. 21,300 519
Modern Controls, Inc. 28,775 259
Modine Manufacturing Co. 18,100 511
* Molecular Biosystems, Inc. 20,100 374
Molex, Inc. 38,011 1,354
The Money Store 19,300 463
Monk Austin, Inc. 29,000 464
Montana Power Co. 31,400 809
Morgan Stanley Group, Inc. 44,684 3,161
Morrison Restaurants 22,425 589
Mosinee Paper Corp. 9,800 293
* Motor Club of America 11,100 31
* Mueller Indusries Inc. 14,500 515
* Multimedia, Inc. 21,703 746
Murphy Oil Corp. 26,530 1,061
Myers Industries, Inc. 17,139 394
Mylan Laboratories, Inc. 48,400 1,228
NAC Re Corp. 11,625 344
NBB Bancorp, Inc. 13,900 516
NCH Corp. 7,900 482
N.S. Bancorp Inc. 13,400 399
NWNL Cos., Inc. 17,000 544
NYMAGIC, Inc. 12,300 314
* Nabors Industries, Inc. 38,700 305
Nashua Corp. 13,800 380
* National Beverage Corp. 2,280 50
National City Corp. 97,406 2,386
National Computer Systems, Inc. 28,500 324
National Data Corp. 23,100 390
National Fuel & Gas Co. 21,700 738
National Health Laboratories Inc. 54,500 777
* National Pizza Corp. Class A 41,850 282
* National Pizza Corp. Class B 36,750 225
* National Presto Industries, Inc. 9,763 470
National Re Holdings Corp. 10,200 316
* National Record Mart, Inc. 34,800 244
* National Steel Corp. Class B 21,200 254
* Nationwide Cellular Service Inc. 25,200 332
Nationwide Health Properties, Inc. 10,400 369
Nautica Enterprises 16,162 430
Neiman Marcus Group Inc. 37,904 711
* Nellcor Inc. 16,300 399
* Network Equipment Technologies 32,647 290
* Network General Corp. 23,644 424
* Network Systems Corp. 51,400 430
Neutrogena Corp. 25,500 516
Nevada Power Co. 23,452 566
New England Business Service, Inc. 18,900 378
New England Electric System 39,600 1,549
* New Mexico & Arizona Land Co. 27,800 252
New Plan Realty Trust 28,200 627
New York State Electric & Gas Corp. 42,100 1,295
Newcor, Inc. 27,600 285
Newhall Land & Farming Co. 38,600 618
Newmont Gold Co. 63,191 2,978
Neworld Bancorp, Inc. 19,000 645
* Nextel Communications 49,200 1,839
* Nine West Group, Inc. 19,800 584
Noble Affiliates, Inc. 29,400 779
Nordson Corp. 11,240 600
* Nortek, Inc. 23,552 212
North American Mortgage 18,100 459
* North Fork Bancorporation, Inc. 35,900 462
</TABLE>
10
<PAGE> 45
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
North Side Savings Bank 24,034 $ 457
* North Star Universal Inc. 40,400 192
* Northeast Federal Corp. 14,113 62
Northeast Utilities 81,100 1,926
Northern Indiana Public Service Co. 38,570 1,268
Northern Trust Corp. 31,150 1,234
Northwest Natural Gas Co. 16,400 558
Northwestern Public Service Co. 13,800 397
* NovaCare, Inc. 29,712 453
* Nutmeg Industries, Inc. 28,600 493
* nVIEW Corp. 47,549 193
OEA, Inc. 19,900 565
* OHM Corp. 27,600 321
* O'Brien Environmental Energy Inc. Class A 15,700 33
* Oceaneering International, Inc. 29,400 401
* Octel Communications Corp. 15,000 414
Office Depot, Inc. 54,450 1,831
* Offshore Logistics, Inc. 26,000 356
* Offshore Pipelines Inc. 20,000 315
* Ogden Projects, Inc. 22,529 375
Ohio Art Co. 8,500 234
Ohio Casualty Corp. 10,728 685
Oklahoma Gas & Electric Co. 24,300 899
Old Kent Financial Corp. 24,000 720
Old National Bancorp 10,502 411
Old Republic International Corp. 30,774 696
Olin Corp. 11,200 553
Olsten Corp. 16,650 489
Omnicom Group Inc. 20,000 925
Onbancorp Inc. 12,300 432
Oneida Ltd. 23,989 330
Oneita Industries 23,733 172
Optical Coating Laboratory, Inc. 40,566 256
* Optical Radiation Corp. 19,800 299
Orange & Rockland Utilities, Inc. 7,600 309
* Orbital Sciences Corp. 25,200 510
* Oregon Metallurgical Corp. 30,700 153
Oregon Steel Mills, Inc. 23,300 585
* O'Reilly Automotive, Inc. 14,100 405
Oriole Homes Corp. Class B 7,500 85
* Orthomet Inc. 43,300 336
O'Sullivan Corp. 35,275 317
* Outback Steakhouse 16,100 618
Overseas Shipholding Group Inc. 20,300 480
* Owens-Illinois, Inc. 70,572 873
Oxford Health Plan 29,000 1,551
PHH Corp. 10,100 419
* PS Group, Inc. 21,000 281
* Pacific Crest Capital Inc. 2,886 21
* Pacific Nuclear Systems, Inc. 48,600 431
Pacific Scientific Co. 17,900 396
Pacific Telecom, Inc. 23,800 610
* Pacificare Health Systems Inc. Class A 14,700 553
* Pacificare Health Systems Inc. Class B 2,100 79
* Pactel Corp. 37,700 938
Paging Network Inc. 30,000 907
PaineWebber Group, Inc. 29,850 806
Parametric Technology Corp. 32,104 1,236
Paramount Communications, Inc. 71,000 5,494
* Park Communications, Inc. 25,050 520
* Park-Ohio Industries, Inc. 24,500 314
Parker & Parsley Petroleum Co. 16,100 398
* Parker Drilling Co. 71,600 394
Paychex, Inc. 17,250 599
PCA International, Inc. 31,693 353
Pegasus Gold 20,500 451
Penn Central Corp. 27,100 877
Penn Engineering & Manufacturing Co. 5,400 254
Pennsylvania Enterprises Inc. 11,450 346
Pennsylvania Power and Light Co. 89,498 2,416
Pentair, Inc. 11,154 364
Penwest Ltd. 18,609 433
Peoples Bancorp of Worcester, Inc. 10,500 505
* Peoples Heritage Financial Group Inc. 33,800 401
* Peoplesoft Inc. 23,700 735
* Perfumania Inc. 14,300 88
* Perini Corp. 15,600 181
Perrigo 44,000 1,501
* Perry Drug Stores Inc. 45,600 279
Petrie Stores Corp. 28,331 825
Petroleum Heat & Power Co. Class B 4,300 86
Petrolite Corp. 13,400 456
* Pharmaceutical Resources Inc. 30,600 513
Phillips-Van Heusen Corp. 16,093 603
* Photronics, Inc. 23,000 362
Physician Corp. of America 33,300 828
* Picturetel Inc. 24,100 449
* Piedmont Management Inc. 20,600 330
Piedmont Natural Gas, Inc. 16,200 328
Pier 1 Imports Inc. 35,077 342
Pilgrim's Pride Corp. 34,100 234
Pinnacle West Capital Corp. 51,500 1,152
Pioneer Financial 37,800 529
Pioneer Financial Corp. 22,500 436
Pioneer Standard Electronics Inc. 18,900 359
Pittway Corp. Class A 10,000 322
Plains Petroleum Co. 18,400 437
</TABLE>
11
<PAGE> 46
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Playboy Enterprises Inc. Class A 22,850 $ 251
* Playboy Enterprises Inc. Class B 13,450 175
Plenum Publishing Corp. 13,600 350
* Plexus Corp. 21,650 338
Ply-Gem Industries, Inc. 24,100 428
* Pogo Producing Co. 35,400 593
* Policy Management Systems Corp. 13,964 433
* Pool Energy Service Co. 34,967 269
Pope & Talbot, Inc. 19,000 546
Portland General Electric Co. 29,500 605
Potomac Electric Power Co. 67,900 1,816
* Powersoft Corp. 14,300 587
Precision Castparts Corp. 17,200 499
Premier Bancorp, Inc. 30,300 534
Premier Industrial Corp. 50,847 1,424
President Riverboat Casinos, Inc. 16,917 376
Presidential Life Corp. 34,500 308
Presidio Oil Co. Class A 18,100 37
T. Rowe Price 17,200 494
* Primark Corp. 30,700 345
Prime Bancorp Inc. 25,630 525
Production Operators Corp. 15,400 416
Progressive Corp. of Ohio 43,306 1,754
* Pronet, Inc. 22,100 282
Property Trust of America 21,800 436
Protective Life Corp. 13,900 612
* Protein Design Labs 27,600 674
Provident Life & Accident Insurance Co. of America 27,200 840
* Providential Corp. 33,200 178
Public Service Co. of Colorado 36,251 1,165
* Public Service Co. of New Mexico 24,220 272
Puerto Rican Cement Co., Inc. 12,700 311
Puget Sound Power & Light Co. 38,015 946
Pulitzer Publishing Co. 14,980 537
Puritan-Bennett Corp. 23,200 371
* Pyramid Technology Corp. 26,400 386
* Pyxis Corp. 10,600 794
* QMS, Inc. 33,000 297
* QVC Network, Inc. 22,625 888
Quaker State Corp. 48,500 649
* Qual-Med Inc. 28,400 479
* Qualcomm, Inc. 15,000 799
Quality Food Centers Inc. 12,124 303
Quanex Corp. 22,500 391
* Quantum Corp. 47,500 677
* Quarterdeck Office Systems 39,900 90
Questar Corp. 24,815 819
* Quincy Savings Banks 24,600 289
* RJR Nabisco, Inc. 677,047 4,316
R.L.I. Corp. 15,300 405
* RPC Energy Services 44,700 380
RPM Inc. (Ohio) 29,025 504
* Rainbow Technologies, Inc. 16,600 309
* Rasterops 37,800 274
Raymond James Financial, Inc. 25,350 421
* Read-Right Corp. 44,114 664
Reader's Digest Assn., Inc. Class A 70,300 3,163
* Reading & Bates Corp. 60,920 426
Regal-Beloit Corp. 15,900 419
* Reliance Electric Co. 20,400 344
Reliance Group Holdings 60,114 481
* Rentrak Corp. 48,900 281
Republic New York Corp. 31,350 1,466
* Republic Pictures Corp. 22,000 278
* Research Industries Corp. 37,150 390
Resource Mortgage Capital Corp. 28,500 816
Response Technologies, Inc. 43,100 70
* Revco Drug Stores, Inc. 30,500 442
Rexall Sundown, Inc. 29,400 434
Reynolds & Reynolds Class A 12,500 570
Rhone-Poulenc Rorer, Inc. 83,204 3,037
* Riedel Environmental 22,900 57
* Riggs National Corp. 41,800 355
Riverwood International Corp. 36,600 613
* Robert Half International, Inc. 24,300 638
* Rochester Community Savings Bank 28,100 434
Rochester Gas and Electric Corp. 21,548 566
Rochester Telephone Corp. 20,372 919
Rockefeller Center Properties Inc. 53,700 362
* Rogers Corp. 24,100 630
* Rohr, Inc. 26,400 294
Rollins, Inc. 20,600 561
Rollins Truck Leasing 26,650 510
Roosevelt Financial Group 8,700 369
* Ropak Corp. 40,744 290
* Ross Stores, Inc. 29,200 383
* The Rottlund Co. 43,600 392
Rouse Co. 27,800 497
* Royal Appliance Manufacturing Co. 53,600 301
* Royal Grip, Inc. 17,800 231
Russ Berrie, Inc. 33,100 505
Rykoff-Sexton, Inc. 19,525 427
Ryland Group, Inc. 20,000 400
* SCI Systems, Inc. 25,300 446
SJW Corp. 6,000 239
SPI Pharmaceuticals 31,057 454
* SPS Transaction Services 8,300 500
* Safeguard Health Enterprises, Inc. 35,300 481
Safeguard Scientifics, Inc. 13,900 323
* Safety First Inc. 16,500 540
* Safeway, Inc. 60,228 1,280
St. Ives Laboratories, Inc. 20,300 189
</TABLE>
12
<PAGE> 47
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
St. Joe Paper Co. 17,800 $ 901
St. Paul Bancorp, Inc. 18,100 507
Salant Corp. 4,700 35
* Salant Corp. Warrants Exp. 9/21/96 3,196 2
San Diego Gas & Electric Co. 68,000 1,708
Sanderson Farms, Inc. 23,700 361
* Sanifill, Inc. 24,200 526
Savannah Foods & Industries, Inc. 29,100 404
Sbarro, Inc. 11,294 498
Scana Corp. 27,500 1,368
* R. P. Scherer Corp. 14,726 556
* Scholastic Corp. 8,700 375
A. Schulman Inc. 18,450 616
Schult Home Corp. 16,600 261
Charles Schwab Corp. 33,989 1,100
* Sci-Med Life Systems, Inc. 9,000 353
* Scios Nova, Inc. 45,800 464
Scope Industries 2,400 58
E.W. Scripps Co. Class A 44,424 1,222
Scripps Howard Broadcasting 6,100 497
Seafield Capital Corp. 12,100 425
* Seagate Technology 40,342 961
Seagull Energy Corp. 21,100 535
* Sealed Air Corp. 20,200 639
* Secor Federal Savings Bank 14,250 316
* The Seibels Bruce Group, Inc. 25,700 43
Selective Insurance Group 16,000 484
* Selfix, Inc. 21,520 152
Sensormatic Electronics Corp. 34,561 1,205
Sequa Corp. Class A 14,200 461
* Sequent Computer Systems, Inc. 33,000 503
* Service Merchandise Co., Inc. 59,387 594
Shaw Industries, Inc. 86,100 2,185
Shelby Williams Industries, Inc. 18,900 269
Sholodge, Inc. 27,250 634
Shopko Stores, Inc. 42,155 480
* Shorewood Packaging 35,200 493
* Show Biz Pizza Time, Inc. 25,600 336
Showboat, Inc. 20,916 337
Sierra Pacific Resources 16,600 340
* Sierra Semiconductor 39,894 302
Sigma Aldrich Corp. 29,300 1,399
Signet Banking Corp. 33,830 1,176
Silicon Graphics, Inc. 77,080 1,908
Sizzler International 29,625 270
* Skybox International Inc. 26,800 164
A.O. Smith Corp. 21,500 769
* Smith International, Inc. 55,300 484
* Smithfield Foods, Inc. 26,600 495
Smiths Food & Drug Class B 18,600 388
J.M. Smucker Co. Class A 17,400 389
J.M. Smucker Co. Class B 1,200 25
Snapple Beverage Corp. 73,900 1,949
Society Corp. 70,450 2,096
* Sofamor/Danek Group Inc. 15,000 499
* Software Publishing Corp. 46,050 351
Solectron Corp. 23,400 664
Sonoco Products 53,600 1,166
Sotheby's Holdings Class A 32,800 504
South Jersey Industries, Inc. 16,884 401
* Southdown, Inc. 22,200 544
Southern Indiana Gas & Electric 16,554 561
Southern National Corp. 17,300 342
Southern New England Telecom Corp. 38,600 1,394
* Southern Pacific Rail Corp. 31,900 630
Southern Union Co. 13,349 354
* Southland Corp. 240,500 1,608
Southtrust Corp. 47,151 887
Southwest Airlines Co. 81,739 3,065
Southwest Gas Corp. 29,700 475
Southwestern Energy Co. 30,900 556
Southwestern Public Service Co. 24,100 738
Sovereign Bancorp, Inc. 38,080 505
* Spaghetti Warehouse, Inc. 31,300 274
Spartan Motors, Inc. 30,350 514
* Spec's Music Inc. 43,366 325
Spelling Entertainment 55,100 551
Spiegel, Inc. Class A 62,800 1,413
Standard Federal Bank 18,000 540
Standard Products Co. 17,650 618
The Standard Register Co. 21,700 448
Standex International Corp. 18,900 522
Stanhome, Inc. 11,500 390
Staples, Inc. 21,574 547
Star Banc Corp. 17,500 608
Starbucks Corp. 16,400 363
L. S. Starrett Co. Class A 14,900 372
L. S. Starrett Co. Class B 400 10
* Starter Corp. 15,800 275
State Street Boston Corp. 45,500 1,701
Sterling Chemicals, Inc. 47,100 188
* Sterling Software, Inc. 17,300 491
Stewart & Stevenson Services, Inc. 19,582 1,001
Stewart Information Services Corp. 13,200 403
* Stolt Nielson SA 17,000 285
Stone & Webster, Inc. 17,600 486
* Stop & Shop Cos. Inc. 29,100 589
* Storage Technology Corp. 25,345 802
* Stratus Computer, Inc. 13,500 424
Strawbridge & Clothier Class A 13,764 317
* Structural Dynamics Research Corp. 32,300 553
Stryker Corp. 28,700 807
</TABLE>
13
<PAGE> 48
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Student Loan Corp. 25,100 $ 474
Student Loan Marketing Assn. 53,400 2,396
* Submicron Systems Corp. 40,400 231
Summit Bancorp 27,080 569
* Summit Technology, Inc. 20,500 433
Sunamerica Inc. 20,100 869
Sunbeam Oster 42,700 939
Sundstrand Corp. 21,700 911
* Sungard Data Systems 11,400 472
Super Food Services, Inc. 40,600 533
* Supercuts, Inc. 20,700 303
Superior Industries International, Inc. 18,319 788
Surgical Care Affiliates, Inc. 21,700 336
* Swift Energy Co. 31,900 303
Swift Transportation Co., Inc. 22,350 475
Sybase, Inc. 28,400 1,200
* Sybron Corp. 34,400 1,101
* Symantec Corp. 30,400 551
* Symbol Technologies, Inc. 31,100 564
* Synergen, Inc. 30,650 354
* Synopsys, Inc. 8,863 399
SynOptics Communications, Inc. 37,000 1,031
Synovus Financial Corp. 40,500 754
* Systemix, Inc. 18,730 339
* TBC Corp. 40,875 501
TCA Cable Television, Inc. 24,200 685
TCBY Enterprises, Inc. 47,700 310
TCF Financial Corp. 11,200 381
TECO Energy, Inc. 70,500 1,595
* TIE Communications, Inc. 11,000 81
TIG Holdings, Inc. 37,500 848
TJ International, Inc. 20,700 621
TNP Enterprises, Inc. 20,200 333
* T.P.I. Enterprises, Inc. 34,000 340
T Squared Medical 23,600 186
* Talley Industries, Inc. 38,100 224
Tambrands, Inc. 23,477 1,039
Taubman Co. 27,700 322
* Tech Data Corp. 19,200 691
* Technical Communications Corp. 16,300 189
* Technology Solutions Co. 38,000 328
Tecumseh Products Co. Class A 6,400 293
Tecumseh Products Co. Class B 12,800 590
Tejas Gas Corp. 11,887 594
Tejon Ranch Co. 20,400 301
Teleflex Inc. 12,300 455
Telephone & Data Systems, Inc. 28,038 1,461
Tellabs, Inc. 19,150 900
Telxon Corp. 32,600 352
Teradyne, Inc. 21,200 588
Terra Industries, Inc. 82,992 633
* Tesoro Petroleum Corp. 47,900 263
Texas Industries, Inc. 12,757 411
Thermedics, Inc. 42,000 635
Thermo Electron Corp. 28,650 1,203
Thermo Instrument Systems, Inc. 26,800 935
Thiokol Corp. 21,800 578
* 3 Com Corp. 18,400 865
Tidewater, Inc. 32,000 640
Tiffany & Co. 17,366 554
* Todd Shipyards Corp. 17,300 71
* Tokos Medical 54,978 282
Tootsie Roll Industries, Inc. 6,353 451
The Topps Co., Inc. 58,540 413
The Toro Co. 13,900 389
Tosco Corp. 18,166 529
Total Petroleum (North America) Ltd. 52,800 587
Total System Services, Inc. 18,800 493
Transatlantic Holdings 13,700 718
Transtechnology Corp. 25,000 275
* Tremont Corp. 46,895 322
* Triarc Cos. Inc. 24,400 610
* Trimble Navigation Ltd. 36,400 330
* Trimedyne, Inc. 34,900 375
Trinity Industries, Inc. 23,250 1,003
* Triton Energy Corp. 21,372 644
Trustco Bank 18,204 407
* Tucson Electric Power Co. 90,000 337
* Tuesday Morning, Inc. 16,600 95
Tultex Corp. 38,400 269
Turner Broadcasting Class A 26,900 733
Turner Broadcasting Class B 83,900 2,265
20th Century Industries 30,500 835
Tyco Toys, Inc. 45,198 379
Tyson Foods, Inc. 86,407 2,063
UGI Corp. Holding Co. 18,264 411
* UNC, Inc. 62,700 588
UNUM Corp. 47,900 2,515
* URS Corp. 29,050 163
USLICO Corp. 21,400 356
Ultramar Corp. 23,100 586
Unifi, Inc. 40,225 1,081
Union Bank of San Francisco 20,523 518
* Union Corp. 26,800 338
Union Planters Corp. 22,515 566
Union Texas Petroleum Holdings 52,700 1,074
United Asset Management Co. 13,400 548
United Carolina Bancshare Corp. 20,500 448
United Cos. Finance Corp. 26,994 1,073
United Dominion Industries Ltd. 38,185 726
* United Gaming, Inc. 28,200 224
* United Guardian, Inc. 42,800 179
</TABLE>
14
<PAGE> 49
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
United Healthcare Corp. 45,768 $ 3,473
United Illuminating Co. 8,600 346
* United International Holdings, Inc. Class A 9,100 314
United Jersey Bank Financial Corp. 31,300 743
United Missouri Bancshares 14,489 547
* United States Banknotes 51,400 328
US Bancorp, Inc. 13,800 335
* U.S. Bioscience 49,929 418
* U.S. Energy Corp. 36,530 142
U.S. Healthcare, Inc. 64,934 3,734
* U.S. Long Distance Corp. 25,000 356
U.S. Shoe Corp. 46,965 704
* United States Cellular 33,400 1,169
United States Trust Corp. 10,900 574
United Stationers, Inc. 26,800 415
* United Television, Inc. 18,200 764
United Water Resources, Inc. 21,128 296
Unitil Corp. 16,900 330
Unitrin Inc. 30,870 1,331
Universal Corp. 21,200 543
Universal Foods Corp. 15,062 484
* Universal Health Services Class B 20,400 418
Utilicorp United, Inc. 24,987 793
VSB Bancorp, Inc. 7,776 154
* Vaalco Energy, Inc. 53,400 320
Valassis Communication 24,000 321
Valero Energy Corp. 25,800 545
Valhi, Inc. 91,300 445
Valley Bancorp 12,553 497
Valley National Bancorp 13,525 320
Valspar Corp. 12,800 485
* Value City Department Stores, Inc. 34,100 499
* Value Health, Inc. 34,796 1,096
* Vanguard Cellular Systems, Inc. Class A 14,758 428
* Varco International, Inc. 56,100 337
Varian Associates, Inc. 10,700 642
* Vencor, Inc. 20,050 599
Venture Stores, Inc. 21,100 493
* Verifone, Inc. 25,000 481
Versa Technology, Inc. 11,000 157
* Vertex Communications Corp. 18,000 259
* Vestar, Inc. 31,700 204
* Viacom International Class A 19,400 948
* Viacom International Class B 51,800 2,325
* Vicor Corp. 26,700 621
* Vicorp Restaurants, Inc. 14,400 268
* Videocart, Inc. 28,900 2
* Viking Office Products 11,800 574
Virco Manufacturing Corp. 14,054 102
Virginia Beach Federal Financial Corp. 11,850 87
Vishay Intertechnology, Inc. 12,309 432
* Vital Signs, Inc. 19,564 284
* Vons Cos., Inc. 25,700 411
Vornado Realty Trust 12,398 415
Vulcan International Corp. 5,900 124
Vulcan Materials Co. 21,800 1,022
* WMS Industries, Inc. 14,400 414
WPL Holdings, Inc. 17,300 569
* Waban, Inc. 34,400 469
Wackenhut Corp. 24,700 321
* Wainoco Oil Corp. 47,700 185
Wallace Computer Services, Inc. 13,400 454
* Warnaco Group 12,500 380
Washington Energy Co. 27,432 497
Washington Federal Savings & Loan Assn. 21,264 553
Washington Gas Light Corp. 12,601 520
Seattle (WA) Mutual Savings Bank 34,685 832
Washington National Corp. 18,171 438
Washington Post Co. Class B 6,900 1,758
Washington Real Estate Investment Trust 15,800 324
Washington Water Power Co. 31,300 587
Watts Industries Class A 12,300 615
Wausau Paper Mills Co. 12,599 496
* Weatherford International, Inc. 27,900 296
Del E. Webb Corp. 29,000 464
Webster Financial Corp. 19,580 443
Weingarten Realty Investors 14,600 547
Weis Markets, Inc. 26,700 721
* Wellfleet Communications 17,700 1,139
Wellman, Inc. 19,155 359
* Wellpoint Health Networks, Inc. Class A 58,700 1,820
Werner Enterprises, Inc. 23,200 705
Wesco Financial Corp. 4,058 526
West Co., Inc. 15,200 372
West One Bancorp 20,112 574
Western Beef 24,860 219
* Western Digital Corp. 69,800 637
Western Gas Resources, Inc. 15,100 495
* Western Publishing Group, Inc. 36,500 698
Western Resources, Inc. 36,386 1,269
* Roy F. Weston, Inc. 35,500 248
* Westwood One, Inc. 13,300 110
Wetterau Properties, Inc. 3,600 72
Wheelabrator Technologies 112,006 1,988
* Wheeling Pittsburgh Corp. 31,850 545
* White River 2,842 97
* Whittaker Corp. 21,700 353
John Wiley & Sons Class A 6,600 472
Willamette Industries, Inc. 32,200 1,602
</TABLE>
15
<PAGE> 50
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Willcox & Gibbs, Inc. 44,544 $ 345
* Clayton Williams Energy, Inc. 19,200 250
Wilmington Trust Corp. 21,400 567
* Windmere Corp. 28,500 235
* Windmere Corp. Warrants Exp. 1/19/98 297 1
* Wisconsin Central Transportation Corp. 9,700 571
Wisconsin Energy Corp. 61,661 1,703
Wisconsin Public Service Corp. 14,600 491
Wiser Oil Co. 26,200 458
Witco Chemical Corp. 30,600 975
Wolverine World Wide, Inc. 24,800 753
* World Corp. 10,100 57
* Worldtex Inc. 49,944 262
Wyle Laboratories 22,700 440
* Wyman Gordon Corp. 70,400 334
* Xilinx, Inc. 13,900 660
* Xoma Corp. 52,800 274
Xtra Corp. 10,600 506
* Xylogics, Inc. 16,600 268
Yankee Energy Systems 16,777 413
York International Corp. 21,800 768
Zenith National Insurance Corp. 31,460 704
Zions Bancorp. 14,400 531
* Zurich Reinsurance Centre Holdings, Inc. 15,600 439
* Zycad Corp. 39,400 107
- ----------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (97.8%)(1)
(Cost $744,079) 907,247
- ----------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.2%)
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
-----
<S> <C> <C>
U.S. TREASURY BILL--Note D
3.06%, 3/24/94 $300 298
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash Account 3.47%, 1/3/94 10,777 10,777
- ----------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $11,075) 11,075
- ----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (99.0%)
(Cost $755,154) 918,322
- ----------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.0%)
- ----------------------------------------------------------------------------------------------
Other Assets--Notes B and E $44,349
Liabilities--Note E (34,700)
--------
9,649
- ----------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------
Applicable to 47,768,420 Outstanding
Shares of Beneficial Interest (Unlimited authorization) $927,971
- ----------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $19.43
==============================================================================================
</TABLE>
+ See Note A to Financial Statements.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index futures contracts, and Standard & Poor's Midcap 400 Index
futures contracts represents 99.5% of net assets.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
AT DECEMBER 31, 1993, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------
Amount Per
(000) Share
----- -----
<S> <C> <C>
Paid in Capital $758,094 $15.87
Overdistributed Net Investment Income (147) --
Accumulated Net Realized Gains 6,754 .14
Unrealized Appreciation of Investments 163,270 3.42
- ----------------------------------------------------------------------------------------------
NET ASSETS $927,971 $19.43
- ----------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 51
<TABLE>
<CAPTION>
Market
Value
TOTAL STOCK MARKET PORTFOLIO Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ----------------------------------------------------------------------------------------------
ADC Telecommunications, Inc. 4,800 $ 171
AES Corp. 5,260 183
Aflac, Inc. 11,286 322
AGCO Corp. 4,400 150
* AMR Corp. 8,093 542
ARCO Chemical Co. 10,200 441
* ASK Computer Systems, Inc. 6,300 82
* AST Research, Inc. 6,200 141
Abbott Laboratories, Inc. 88,929 2,623
* Abex, Inc. 13,279 40
* Action Performance Cos., Inc. 30,400 104
* Acuson Corp. 6,512 79
Adobe Systems, Inc. 5,500 122
* Advacare Inc. 13,500 25
* Advanced Magnetics, Inc. 6,000 74
* Advanced Micro Devices, Inc. 9,260 164
* Advanced Technologies Laboratories, Inc. 3,839 65
* Advanced Tissue Sciences Inc. 9,600 80
Advanta Corp. Class A 4,050 134
Aetna Life and Casualty Co. 11,950 721
* Agency Rent-a-Car, Inc. 9,139 121
H.F. Ahmanson & Co. 12,123 238
* Air and Water Technologies Corp. Class A 15,400 231
Air Products & Chemicals, Inc. 12,129 537
Airborne Freight Corp. 4,000 141
Alamo Group, Inc. 5,100 79
Alberto-Culver Co. Class B 5,123 118
Albertson's, Inc. 27,374 732
Alco Standard Corp. 5,153 282
* Aldus Corp. 5,047 137
Alex Brown & Sons, Inc. 7,280 180
Alexander & Alexander Services, Inc. 4,220 82
Alexander & Baldwin, Inc. 4,600 121
* Alexander's, Inc. 1,600 97
Alleghany Corp. 979 140
Allegheny Ludlum Corp. 7,400 177
Allegheny Power System, Inc. 12,400 329
Allergan, Inc. 7,229 164
* Alliance Entertainment 19,000 134
* Alliance Pharmaceutical Corp. 6,700 54
* Alliant Techsystems, Inc. 3,300 98
Allied Capital Commercial Corp. 4,600 76
Allied-Signal, Inc. 15,197 1,201
Allmerica Property & Casualty Cos. 2,200 144
Allstate Corp. 10,200 301
ALLTEL Corp. 20,100 593
* Allwaste, Inc. 17,200 77
* Alumax, Inc. 4,441 95
Aluminum Co. of America 9,392 652
ALZA Corp. 7,731 216
Amax Gold, Inc. 16,593 114
Ambac, Inc. 3,522 148
Amcast Industrial Corp. 3,400 72
Amerada Hess Corp. 9,980 450
American Annuity Group Inc. 10,517 105
Amdahl Corp. 23,173 139
American Brands, Inc. 21,797 725
American Cyanamid Co. 9,527 479
American Electric Power Co., Inc. 19,790 735
American Express Co. 51,692 1,596
American General Corp. 23,320 668
American Greetings Corp. Class A 7,862 266
American Health Properties, Inc. 3,800 95
American Home Products Corp. 33,011 2,137
American International Group, Inc. 33,848 2,970
American List Corp. 5,250 89
American National Insurance Co. 2,900 151
American Power Conversion Corp. 9,600 227
American President Cos., Ltd. . 2,300 132
* American Re Corp. 5,300 150
American Stores Co. 7,645 329
American Studios, Inc. 9,400 58
American Telephone & Telegraph Co. 144,162 7,569
Amerifed Financial Corp. 2,100 68
Ameritech Corp. 28,965 2,223
Ametek, Inc. 7,800 99
* Amgen, Inc. 14,360 713
AMP, Inc. 11,142 703
Amoco Corp. 53,030 2,804
* Amphenol Corp. 11,700 193
* Amsco International, Inc. 6,985 85
Amsouth Bancorp 4,574 143
Amtech Corp. 3,375 81
* Amylin Pharmaceuticals, Inc. 6,900 88
Anadarko Petroleum Corp. 6,200 281
* Analog Devices, Inc. 7,069 174
Anchor Bancorp Inc. 6,700 82
Andrew Corp. 3,550 136
* Andros Analyzers 4,900 78
Angelica Corp. 2,700 76
Anheuser-Busch Co., Inc. 28,880 1,419
* Ann Taylor Stores Corp. 4,100 101
* Anthem Electronics, Inc. 2,514 73
Anthony Industries, Inc. 5,869 94
Aon Corp. 7,032 340
Apache Corp. 12,269 287
Apple Computer, Inc. 12,655 372
* Applied Bioscience International, Inc. 10,300 53
</TABLE>
17
<PAGE> 52
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Applied Materials, Inc. 8,400 $ 328
Arbor Drugs, Inc. 5,200 107
Archer-Daniels-Midland Co. 36,507 831
Argent Bank 2,000 47
Argonaut Group, Inc. 4,081 126
Arkla, Inc. 11,754 93
* Armco, Inc. 17,296 104
Armor All Products Corp. 5,200 105
Armstrong World Industries Inc. 3,992 213
* Arrow Electronics, Inc. 3,100 129
* Artisoft, Inc. 9,104 136
Asarco, Inc. 7,124 163
Ashland Oil, Inc. 6,171 211
* Aspect Telecommunications 4,300 182
* Associated Communication Corp. Class B 6,200 174
Atlanta Gas Light Co. 3,800 148
Atlanta Sosnoff Capital 8,900 78
Atlantic Energy, Inc. 5,300 115
Atlantic Richfield Co. 16,951 1,784
Atmos Energy Corp. 2,500 69
* Atwood Oceanics, Inc. 4,400 50
* Aura Systems, Inc. 22,500 171
Autodesk, Inc. 2,495 113
Automatic Data Processing, Inc. 15,101 834
* Autozone, Inc. 7,700 441
Avemco Corp. 4,400 83
Avery Dennison Corp. 6,387 188
* Aviall Inc. 2,019 31
Avnet, Inc. 4,300 168
Avon Products, Inc. 7,765 378
BHC Communications, Inc. Class A 2,800 230
* BMC Industries, Inc. 6,200 131
* BMC Software, Inc. 2,600 124
* BPI Packaging Technologies Inc. 25,900 173
BP Prudhoe Bay Royalty Trust 6,100 149
Badger Paper Mills, Inc. 9,300 119
Baker Hughes, Inc. 14,890 298
Baldor Electric Co. 4,100 117
* Baldwin Technology Class A 11,900 60
Ball Corp. 4,301 130
Ballard Medical Products 5,466 71
Baltimore Gas & Electric Co. 15,253 387
Banc One Corp. 36,455 1,426
Bancorp Hawaii, Inc. 3,000 123
Bandag, Inc. 2,338 129
Bandag, Inc. Class A 538 28
Bangor Hydro-Electric Co. 3,200 58
Bank of Boston Corp. 11,589 267
The Bank of New York Co., Inc. 9,743 555
Bank North Group 3,300 65
BankAmerica Corp. 37,918 1,758
Bankers Corp. 8,580 139
Bankers Life Holding Corp. 6,900 148
Bankers Trust New York Corp. 8,971 710
BanPonce Corp. 4,777 149
C.R. Bard, Inc. 5,218 132
* Barefoot, Inc. 2,800 96
Barnes Group, Inc. 2,700 84
Barnett Banks of Florida, Inc. 10,646 442
* Barr Labs Inc. 5,500 109
Bassett Furniture Industries, Inc. 2,863 102
Battle Mountain Gold Co. Class A 16,600 168
Bausch & Lomb, Inc. 6,468 331
Baxter International, Inc. 29,958 730
Baybanks, Inc. 2,700 137
Bear Stearns Co., Inc. 12,311 269
Beauticontrol Cosmetics 5,800 80
Becton, Dickinson & Co. 8,361 300
Bell Atlantic Corp. 46,467 2,742
* Bell Bancorp, Inc. 1,800 85
Bell Industries, Inc. 9,700 170
BellSouth Corp. 52,955 3,065
A. H. Belo Class A 3,200 170
Bemis Co., Inc. 5,401 128
Beneficial Corp. 5,306 203
Bergen Brunswig Corp. Class A 7,049 124
* Berkshire Hathaway 123 2,008
Berkshire Realty Co., Inc. 16,400 180
Berlitz International, Inc. 11,928 164
Berry Petroleum Class A 6,800 67
* Bertucci's Holding Corp. 6,400 153
Best Buy, Inc. 4,050 188
* BET Holdings Inc. Class A 4,700 93
* Bethlehem Steel Corp. 9,382 191
Betz Laboratories, Inc. 3,100 136
* Beverly Enterprises Inc. 12,679 168
* Biotechnology General 11,800 61
* Biogen, Inc. 4,900 196
* Biomet, Inc. 12,189 126
Black & Decker Corp. 8,741 173
* Black Hawk Gaming & Development Co., Inc. 11,300 122
Blackrock Strategic Term Trust, Inc. 22,100 215
Block Drug Co. Class A 3,451 129
H & R Block, Inc. 11,356 463
Blockbuster Entertainment Corp. 23,218 711
Boatmen's Bancshares, Inc. 11,246 337
Bob Evans Farms, Inc. 7,400 162
Boddie Noell Restaurant 4,300 64
The Boeing Co. 36,414 1,575
Boise Cascade Corp. 6,138 144
* Bolt Beranek and Newman, Inc. 12,000 144
Borden, Inc. 15,560 265
* Borland International, Inc. 5,100 76
</TABLE>
18
<PAGE> 53
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Boston Edison Co. 4,500 $ 134
* Boston Scientific Corp. 10,000 125
Bowater, Inc. 6,500 150
Briggs & Stratton Corp. 2,314 191
Brinker International, Inc. 4,783 220
Bristol-Myers Squibb Co. 55,214 3,209
Brooklyn Union Gas Co. 4,350 119
Brown-Forman Corp. Class B 3,117 272
Browning-Ferris Industries, Inc. 18,809 484
Bruno's Inc. 11,944 105
Brunswick Corp. 10,297 185
Burlington Coat Factory Warehouse Corp. 7,875 180
Burlington Northern, Inc. 9,687 561
Burlington Resources, Inc. 13,700 581
Burnham Pacific Properties, Inc. 4,100 70
* Business Records Corp. 3,500 116
CBI Industries, Inc. 5,891 179
CBS, Inc. 1,704 492
CCP Insurance, Inc. 4,700 131
CFSB Bancorp, Inc. 3,600 67
CIGNA Corp. 7,663 481
CIPSCO, Inc. 3,600 111
CML Group, Inc. 5,500 130
CMS Energy Corp. 8,461 213
CPI Corp. 4,500 78
* CNA Financial Corp. 6,733 522
CPC International, Inc. 16,243 774
CRI Liquidating REIT, Inc. 8,500 72
CSX Corp. 11,003 891
CUC International, Inc. 11,650 419
* Cabletron Systems, Inc. 2,967 334
Cabot Corp. 2,700 145
* Cadence Design Systems, Inc. 8,300 96
Cadmus Communications 6,700 95
* Caesars World, Inc. 3,800 203
* Caldor Corp. 3,100 79
Calgon Carbon Corp. 8,300 108
California Federal Bank Class A 14,800 228
Callaway Golf Co. 2,500 133
Campbell Soup Co. 26,899 1,103
Capital Bancorporation 3,700 72
Capital Cities/ABC, Inc. 1,782 1,104
Capital Holding Corp. 11,124 413
Capital Re Corp. 3,600 93
Capitol American Financial Corp. 4,500 97
* Capsure Holdings 5,200 70
Caraustar Industries Inc. 5,500 91
Cardinal Distribution, Inc. 3,900 184
Caremark International, Inc. 7,264 143
* Carmike Cinemas, Inc. Class A 4,500 81
Carnival Cruise Lines, Inc. 15,236 722
Carolina Power & Light Co. 16,866 508
Carpenter Technology Corp. 1,700 99
Carter-Wallace, Inc. 4,800 103
Casino Magic Corp. 5,600 75
* Catalyst Semiconductor, Inc. 22,200 169
* Catellus Development Corp. 13,700 106
Caterpillar, Inc. 10,799 961
* Catherines Stores 5,300 91
* Cellular Communications Series A 1,700 79
* Celtrix Laboratories 7,000 77
* Center Banks Inc. 6,700 59
* Centerior Energy Corp. 14,900 196
Centex Corp. 4,236 178
* Centigram Communications 3,800 134
Central & South West Corp. 20,502 620
Central Fidelity Banks, Inc. 3,750 105
Central Hudson Gas & Electric Corp. 3,300 100
Central Jersey Bancorp 3,100 69
Central Louisiana Electric Co. 3,908 97
Central Newspapers Inc. 4,150 115
Century Telephone Enterprises, Inc. 5,080 131
* Ceridian Corp. 12,235 232
* Chalone Wine Group Ltd. 26,100 161
Champion International Corp. 9,652 322
* Chantal Pharmaceutical Corp. 10,100 9
Charming Shoppes, Inc. 10,492 124
Charter One Financial 4,200 82
The Chase Manhattan Corp. 19,709 668
* Checkers Drive-In Restaurant 8,550 99
Chemed Corp. 2,900 88
Chemical Banking Corp. 27,054 1,086
Chemical Waste Management 21,600 178
Chesapeake Corp. of Virginia 4,717 120
Chevron Corp. 34,836 3,035
Cheyenne Software, Inc. 4,350 120
* Chic by H.I.S., Inc. 14,800 185
* Chicago Northwest 6,500 162
* Chipcom Corp. 1,300 65
Chiquita Brands International, Inc. 9,135 105
* Chiron Corp. 3,328 279
Chittenden Corp. 3,875 70
Chrysler Corp. 37,420 1,993
The Chubb Corp. 9,481 738
Church and Dwight, Inc. 4,600 130
Churchill Downs, Inc. 1,400 74
Cilcorp, Inc. 5,200 195
Cincinnati Bell, Inc. 6,700 121
Cincinnati Financial Corp. 5,300 286
Cincinnati Gas & Electric Co. 9,750 268
Cintas Corp. 5,000 169
* Circa Pharmaceuticals Inc. 9,900 93
* Circon Corp. 5,400 62
</TABLE>
19
<PAGE> 54
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Circuit City Stores, Inc. 9,936 $ 216
Circus Circus Enterprises Inc. 9,441 349
Cisco Systems, Inc. 13,164 851
* Citicorp 40,242 1,479
Citizens Corp. 5,800 114
* Citizens First Bancorp, Inc. 11,400 78
Citizens Utilities Co. Class A 19,681 354
Clayton Homes Inc. 6,312 153
Clear Channel Communications 3,125 144
Clorox Co. 6,002 326
* Coast Savings Financial, Inc. 5,300 76
* Coastal Corp. 11,516 324
* Coastal Healthcare Group, Inc. 3,700 146
Coca-Cola Bottling Co. 3,200 118
The Coca-Cola Co. 138,835 6,196
Coca Cola Enterprises, Inc. 13,700 209
Coeur D'Alene Mines Corp. 5,700 123
Cognex Corp. 5,600 81
Collective Bancorporation Inc. 4,749 103
Colgate-Palmolive Co. 16,451 1,026
* Coltec Inc. 7,400 139
* Columbia First Federal Savings and Loan Assn. 2,300 78
* Columbia Gas Systems, Inc. 5,298 119
Columbia Healthcare Corp. 16,108 536
Comcast Corp. Class A 12,860 466
Comcast Corp. Class A Special 2,980 107
Comdisco, Inc. 7,600 146
Comerica, Inc. 12,352 329
* Commander Aircraft Co. 28,600 168
Commerce Clearing House, Inc. Class A 3,500 63
Commerce Clearing House, Inc. Class B 5,500 97
* Commercial Federal Corp. 3,600 72
Commercial Metals Co. 3,199 90
Commonwealth Edison Co. 23,061 651
Community Healthcare Systems 5,799 107
Community Psychiatric Centers 15,063 211
* Compaq Computer Corp. 8,660 641
* CompUSA, Inc. 5,200 104
Computer Associates International, Inc. 17,994 720
* Computer Sciences Corp. 1,928 192
* Compuware Corp. 5,400 138
Comsat Corp. 4,000 119
Conagra, Inc. 26,783 706
* Cone Mills Corp. 5,900 100
Connecticut Natural Gas Corp. 2,400 75
Connecticut Water Services, Inc. 3,000 83
* Conner Peripherals, Inc. 9,907 145
Conrail, Inc. 8,448 565
Conseco, Inc. 2,600 144
* Consilium, Inc. 6,700 60
Consolidated Edison Co. of New York, Inc. 24,896 800
Consolidated Natural Gas Co. 9,985 469
Consolidated Papers 4,800 208
* Consolidated Stores, Inc. 7,159 142
* Contel Cellular, Inc. 10,748 175
Continental Bank Corp. 5,300 140
Continental Corp. 5,764 159
* Continuum Inc. 3,800 73
* Control Data Corp. 17,533 178
* Convex Computer Corp. 14,000 77
Cooper Industries, Inc. 12,012 592
Cooper Tire & Rubber Co. 8,852 221
* Cordis Corp. 3,400 168
CoreStates Financial Corp. 12,594 329
Corning, Inc. 21,514 602
Countrywide Credit Industries, Inc. 6,045 152
Cracker Barrel Old Country Stores, Inc. 6,054 166
* Cragin Financial Corp. 3,500 130
* Craig Corp. 6,577 78
Crane Co. 4,948 122
* Cray Research, Inc. 5,109 131
* Creative Technology 28,300 205
Credit Acceptance Corp. 5,550 135
* Cree Research, Inc. 9,000 130
Crestar Financial Corp. 4,120 173
Criimi Mae Inc. 6,700 75
Crompton & Knowles Corp. 5,000 110
* Crosscom Corp. 2,600 52
* Crown Books Corp. 3,100 69
* Crown Cork & Seal Co., Inc. 9,335 391
Crown Crafts, Inc. 5,300 93
* Cryomedical Sciences 11,600 45
Cummins Engine Co., Inc. 3,666 197
* Cygnus Therapeutic Systems 15,300 169
* Cyprus Amax 9,548 247
* Cytrex Corp. 16,300 101
DPL, Inc. 11,150 230
DQE Inc. 5,900 204
* DSC Communications Corp. 5,651 347
Dames & Moore, Inc. 5,400 96
Dana Corp. 4,923 295
* Data Race, Inc. 4,300 39
Dauphin Deposit Bank & Trust 4,820 123
Dayton-Hudson Corp. 7,494 500
Dean Foods Corp. 5,767 188
Dean Witter Discover and Co. 18,250 632
Deere & Co. 8,864 656
* Dell Computer 6,500 147
</TABLE>
20
<PAGE> 55
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Delmarva Power & Light Co. 5,800 $ 137
* Delphi Information Systems Inc. 31,100 152
Delta Air Lines, Inc. 5,423 296
Delta Queen Steamboat 10,000 174
Deluxe Corp. 8,936 324
* Desoto, Inc. 17,000 132
* Destec Energy Inc. 6,800 98
Detroit Edison Co. 15,696 471
Dexter Corp. 5,000 117
Diagnostic Products Corp. 4,100 76
The Dial Corp. 4,812 194
Dibrell Brothers, Inc. 3,500 91
Diebold, Inc. 3,029 182
* Digi International, Inc. 3,600 79
* Digital Equipment Corp. 13,984 479
Dillard Department Stores Class A 11,850 450
The Walt Disney Co. 57,519 2,452
* Dr. Pepper/Seven Up Cos., Inc. 6,000 144
Dole Food Co. 6,400 171
Dollar General Corp. 6,312 190
Dominion Resources, Inc. 17,443 791
R.R. Donnelley & Sons Co. 16,702 520
Donnelly Corp. 4,100 79
* Dovatron International Inc. 5,857 159
Dover Corp. 5,971 363
Dow Chemical Co. 29,180 1,656
Dow Jones & Co., Inc. 10,895 389
* Dravo Corp. 6,739 75
* The Dress Barn, Inc. 7,400 96
Dresser Industries, Inc. 14,876 309
Dreyfus Corp. 3,700 166
* Drug Emporium, Inc. 33,370 161
E.I. du Pont de Nemours & Co. 72,612 3,504
Duke Power Co. 22,111 937
The Dun & Bradstreet Corp. 19,172 1,181
Duracell International, Inc. 12,025 431
Duriron Co., Inc. 3,500 81
Duty Free International Inc. 6,274 125
EG & G, Inc. 8,036 148
EMC Corp. 18,800 310
* ESSEF Corp. 5,000 66
E-Systems, Inc. 3,554 154
* Easel Corp. 9,200 41
Eastern Enterprises 4,077 104
Eastern Utilities Associates 3,471 97
Eastman Kodak Co. 34,877 1,953
Eaton Corp. 7,396 373
Echlin, Inc. 6,042 201
Echo Bay Mines Ltd. 12,300 158
Ecolab, Inc. 3,246 146
Edison Brothers Stores, Inc. 4,200 125
* Edisto Resources Corp. 26,300 204
Edo Corp. 10,400 69
* Education Alternatives, Inc. 4,300 147
A.G. Edwards & Sons, Inc. 4,687 135
El Paso Natural Gas 3,849 139
Elco Industries Inc. 5,700 115
Electronic Arts 4,700 142
Emerson Electric Co. 24,217 1,459
Empire District Electric Co. 3,500 73
* Empire of Carolina, Inc. 14,500 94
* Emulex Corp. 14,800 91
Energen Corp. 3,200 69
* Energy Ventures Inc. 11,900 147
Engelhard Corp. 10,276 250
Enquirer/Star Group Inc. Class A 4,800 91
Enron Corp. 25,782 748
Enron Oil & Gas Co. 8,662 338
ENSERCH Corp. 6,712 109
* Entergy Corp. 24,024 865
* Enterra Corp. 4,506 92
Equifax, Inc. 8,400 230
The Equitable Cos. 15,300 413
Equitable of Iowa Co. 5,200 176
Equitable Resources, Inc. 3,700 136
* Ethan Allen Interiors Inc. 7,200 225
Ethyl Corp. 13,230 232
* Exabyte Corp. 7,200 127
Expeditors International of Washington, Inc. 5,400 82
* Express Scripts 2,100 97
* Exstar Financial Corp. 5,800 57
Exxon Corp. 132,934 8,375
* FHP International Corp. 5,700 153
* FMC Corp. 3,876 183
FMC Gold Co. 35,300 185
* FM Properties Inc. 33,900 157
F.N.B. Corp. 7,745 119
FPL Group, Inc. 20,134 788
Fair Issac & Co. 4,100 89
Family Dollar Stores, Inc. 8,300 141
Farm & Home Financial Corp. 3,450 91
Farmer Brothers, Inc. 500 69
Fay's Drug Co. 10,075 69
* Fedders Corp. 12,345 79
* Federal Express Corp. 6,021 427
Federal Home Loan Mortgage Corp. 19,408 968
Federal-Mogul Corp. 4,800 139
Federal National Mortgage Assn. 29,096 2,284
Federal Paper Board Co., Inc. 6,728 143
Federal Signal Corp. 5,297 148
* Federated Stores 14,000 290
Ferro Corp. 4,700 150
Fifth Third Bancorp 6,500 336
</TABLE>
21
<PAGE> 56
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* 50-Off Stores, Inc. 7,400 $ 52
Figgie International Inc. Class A 4,500 61
Figgie International Inc. Class B 900 13
* Filene's Basement Corp. 9,800 105
* Filenet Corp. 6,900 150
Fina Inc. 2,200 151
Fingerhut Co. 7,654 215
First Alabama Bancshares, Inc. 4,110 133
First American Bank Corp. 6,000 236
First American Corp. (Tenn.) 3,600 115
First American Financial Corp. 3,300 115
First Bancorp of Ohio 5,000 128
First Bank System, Inc. 11,700 360
First Chicago Corp. 9,122 395
First Citizens Bancshares Class A 2,000 91
First Colonial Bankshares 3,800 72
First Colony Corp. 5,024 127
First Commerce Corp. 3,892 98
First Commonwealth Financial Corp. 2,700 95
First Data Corp. 11,700 477
First Empire State Corp. 1,100 155
* First Federal Financial 4,200 67
First Federal Savings Bank/Puerto Rico 11,550 192
First Fidelity Bancorp. 8,778 399
First Financial Bancorp 880 48
First Financial Savings Assn. 5,600 93
First Financial Management 6,200 352
First Hawaiian, Inc. 5,100 126
First Interstate Bancorp. 7,994 513
First Michigan Bank Corp. 2,690 75
First Midwest Bancorp 3,400 85
First Security Corp. 4,350 113
First Tennessee National Corp. 3,800 147
First Union Corp. 17,875 737
First Union Real Estate 6,600 64
First USA Inc. 6,100 218
First Virginia Banks, Inc. 3,407 112
First Western Bancorp 2,415 71
Firstar Corp. 6,700 206
Firstfed Michigan Corp. 4,050 104
Firstier Financial Inc. 2,200 109
Fiserv, Inc. 6,700 131
Fleet Financial Group, Inc. 14,747 492
Fleet Mortgage Group 8,300 138
Fleetwood Enterprises, Inc. 7,058 168
Fleming Cos., Inc. 3,936 97
Flightsafety International, Inc. 3,800 130
Florida Progress Corp. 9,450 318
Flowers Industries, Inc. 6,100 117
Fluor Corp. 8,881 360
Food Lion Inc. Class A 44,300 291
Food Lion Inc. Class B 7,694 51
* Foodmaker, Inc. 19,300 188
Ford Motor Co. 52,537 3,389
Foremost Corp. of America 2,500 85
* Forest City Enterprise Class A 2,800 115
* Forest Laboratories, Inc. 4,692 223
Fort Wayne National Corp. 2,200 83
Foster Wheeler Corp. 5,479 184
* Foundation Health Co. 5,000 155
Fourth Financial Corp. 3,800 110
* Frame Technology 13,200 116
Franklin Electric, Inc. 2,500 87
Franklin Resources Corp. 8,900 408
Freeport McMoRan, Inc. 14,800 292
Freeport McMoRan Copper & Gold Inc. Class A 5,300 132
Fremont General Corp. 3,450 85
* Fresh Choice, Inc. 2,600 70
* Fruehauf Trailer Corp. 10,000 45
* Fruit of the Loom, Inc. 8,288 200
Fulton Financial Corp. 4,510 101
Fund American Enterprise Holding Co. 2,685 211
GATX Corp. 3,000 122
* GC Cos. 791 27
GEICO Corp. 7,600 390
GFC Financial Corp. 3,900 113
GTE Corp. 101,179 3,541
Gainsco, Inc. 7,444 68
Arthur J. Gallagher & Co. 3,200 116
Galveston-Houston Co. 13,200 53
Gannett Co., Inc. 15,782 904
The Gap, Inc. 15,774 621
Gaylord Entertainment Class A 8,600 242
* Genentech Inc. 12,283 620
General Binding Corp. 4,800 73
* General Cable Corp. 14,125 57
General Dynamics Corp. 3,229 298
General Electric Co. 91,344 9,580
* General Instrument 6,500 365
General Mills, Inc. 17,295 1,051
General Motors Corp. 75,723 4,155
General Motors Corp. Class E 25,100 734
General Motors Corp. Class H 10,100 393
General Nutrition Cos., Inc. 8,900 251
General Public Utilities Corp. 12,600 389
General Re Corp. 9,139 978
General Signal Corp. 5,114 176
* Gensia Inc. 6,100 149
Gentex Corp. 5,400 190
Genuine Parts Co. 13,401 504
</TABLE>
22
<PAGE> 57
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Genzyme Corp. 4,089 $ 113
* Georgia Gulf Corp. 11,802 264
Georgia-Pacific Corp. 9,498 653
Gerber Products Co. 7,632 217
Giant Food, Inc. Class A 6,268 161
Gibson Greetings, Inc. 4,100 86
Giddings & Lewis, Inc. 5,900 150
* Gilead Sciences, Inc. 14,800 176
Gillette Co. 23,692 1,413
* Gitano Group, Inc. 11,600 29
P.H. Glatfelter Co. 7,500 140
* Global Natural Resources, Inc. 14,900 108
Golden West Financial Corp. 6,576 256
The BF Goodrich Co. 2,900 117
The Goodyear Tire & Rubber Co. 15,672 717
Goody's Family Clothing 6,450 80
Gorman-Rupp Co. 2,550 66
Goulds Pumps, Inc. 3,709 93
W.R. Grace & Co. 10,076 409
Graco, Inc. 2,400 87
W.W. Grainger, Inc. 5,436 313
Granite Construction Co. 3,700 92
Great Atlantic & Pacific Tea Co., Inc. 3,901 105
Great Lakes Chemical Corp. 7,607 568
Great Western Financial Corp. 14,253 285
Green Mountain Power Corp. 1,900 59
Green Tree Financial Corp. 3,500 168
* Greyhound Lines, Inc. 3,500 40
* Groundwater Technology, Inc. 5,100 71
Grow Group, Inc. 5,700 90
Grumman Corp. 3,462 137
* Gtech Holdings Corp. 4,300 141
Guaranty National Corp. 3,300 58
Guilford Mills, Inc. 3,400 80
* Gupta Corp. 11,900 231
HBO and Co. 3,300 152
Halliburton Co. 12,142 387
* Hamburger Hamlet Restaurants 7,600 63
Hancock Fabrics, Inc. 8,600 82
Handleman Co. 8,861 117
Hannaford Brothers Co. 6,200 133
Harcourt General, Inc. 7,915 287
John H. Harland Co. 4,987 108
Harley-Davidson, Inc. 4,006 177
Harper Group, Inc. 5,600 99
Harris Corp. 4,208 191
Harsco Corp. 3,584 146
Hartford Steam Boiler Inspection & Insurance Co. 2,057 92
Hasbro, Inc. 9,377 340
Hawaiian Electric Industries Inc. 4,065 146
Healthcare & Retirement Corp. 6,400 142
* Healthcare Compare Corp. 6,800 168
* Healthdyne, Inc. 9,600 66
* HEALTHSOUTH Rehabilitation Corp. 6,274 158
* Healthtrust Inc. 8,900 237
* Healthwise of America Inc. 660 17
Health and Rehabilitation Properties Trust 7,100 105
Health Care Properties Investors 4,400 119
Health Care REIT, Inc. 3,000 69
* Health Management Systems, Inc. 8,400 167
* Health Professionals, Inc. 6,700 8
Heartland Express, Inc. 3,041 75
Hechinger Co. Class A 9,800 95
Hechinger Co. Class B 5,118 50
* Hecla Mining Co. 9,000 105
Heilig-Meyers Co. 5,000 195
H.J. Heinz Co. 27,331 981
Helmerich & Payne, Inc. 5,093 142
Herbalife International of America, Inc. 8,100 142
Hercules, Inc. 4,662 527
Hershey Foods Corp. 9,510 466
Hewlett-Packard Co. 26,932 2,128
Hibernia Corp. Class A 13,822 107
Hillenbrand Industries, Inc. 7,800 325
Hilton Hotels Corp. 4,988 303
Hogan Systems, Inc. 7,900 63
Holly Corp. 3,500 92
Hollywood Park, Inc. 2,100 63
* Holnam, Inc. 24,100 160
Home Depot, Inc. 48,060 1,898
* Home Nutritional Services, Inc. 10,700 47
Home Shopping Network, Inc. 10,500 156
Homestake Mining Co. 14,881 327
Honeywell, Inc. 14,598 500
Horace Mann Educators Corp. 4,300 108
Horizon Bank 3,700 60
George A. Hormel & Co. 8,600 190
Horsehead Resource Development Co., Inc. 16,400 52
* Hospital Corp. of America Class A 18,600 635
* Hospitality Franchise Systems, Inc. 3,800 202
Host Marriott 12,524 114
Household International, Inc. 9,708 317
Houston Industries, Inc. 14,184 676
Hubbell Inc. Class A 700 37
Hubbell Inc. Class B 2,700 146
Hudson Foods Inc. Class A 6,300 70
Humana, Inc. 16,346 288
* Hungarian Teleconstruct Corp. 4,700 26
Hunt Manufacturing Co. 4,600 72
J.B. Hunt Transport Services, Inc. 5,700 133
</TABLE>
23
<PAGE> 58
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Huntington Bancshares Inc. 9,550 $ 226
IBP, Inc. 7,200 186
ICN Biomedicals Inc. 11,400 48
IMC Fertilizer Group, Inc. 7,103 322
IRT Property Co. 7,100 76
* I-STAT Corp. 7,500 101
ITT Corp. 12,900 1,177
Idaho Power Co. 3,900 118
* IDEX Corp. 3,000 107
IDEXX Corp. 3,600 115
Illinois Central Corp. 4,400 158
Illinios Power Co. 8,400 186
Illinois Tool Works, Inc. 12,164 474
IMCERA Group, Inc. 8,096 272
* Immucore Inc. 16,800 101
* Immulogic Pharmaceutical Corp. 8,100 107
* Immune Response 5,717 59
* Immunomedics Inc. 9,900 54
Independence Bancorp, Inc. 3,161 117
* Indressco Inc. 8,191 127
Infinity Broadcasting Corp. 6,075 184
Informix Corp. 6,600 139
* Information Resources, Inc. 4,035 155
Ingersoll-Rand Co. 10,925 418
* Innovative Gaming Corp. 9,050 148
* Insituform Technologies Class A 5,400 68
* Insurance Auto Auctions, Inc. 3,000 110
Integon Corp. 3,820 71
Integra Financial Corp. 3,800 163
* Integrated Device Technology Inc. 8,300 141
Intel Corp. 45,078 2,800
Intelligent Electronics Inc. 7,114 196
Intercontinental Bank 3,600 72
Interface, Inc. 6,500 98
* Intergraph Corp. 9,373 99
International Business Machines Corp. 61,206 3,458
* International Dairy Queen, Inc. Class A 5,588 99
* International Dairy Queen, Inc. Class B 2,300 42
* International Family Entertainment Class B 5,300 108
International Flavors & Fragrances, Inc. 4,137 471
International Game Technology 13,202 389
* International Jensen 7,000 49
International Multifoods Corp. 9,781 188
International Paper Co. 13,157 891
International Specialty Products, Inc. 16,100 109
* International Technology 13,800 52
* International Totalizer Systems, Inc. 13,200 205
* Interneuron Pharmaceutical, Inc. 9,100 92
Interpublic Group of Cos., Inc. 8,000 256
Interstate Bakeries 6,000 91
Iowa National Bankshares 2,800 69
Ipalco Enterprises, Inc. 3,900 138
Irwin Financial Corp. 3,200 80
ISCO, Inc. 4,485 51
IVAX Corp. 7,200 207
JMC Group Inc. 5,200 45
JSB Financial 3,101 72
* Jacobs Engineering Group Inc. 4,300 103
James River Corp. 8,541 164
Jefferson-Pilot Corp. 5,543 260
Johnson & Johnson 69,870 3,127
Johnson Controls, Inc. 4,412 234
* Jones Apparel Group, Inc. 4,900 146
Joslyn Manufacturing Co., Inc. 2,600 65
Jostens Inc. 7,340 145
* Joy Technologies, Inc. 9,800 118
Juno Lighting, Inc. 5,300 109
Justin Industries, Inc. 5,700 86
Kmart Corp. 43,653 928
K U Energy Corp. 3,800 110
* Kaiser Aluminum & Chemical Corp. 11,900 107
* Kaneb Services, Inc. 8,000 23
Kansas City Life Insurance Co. 1,400 69
Kansas City Power & Light Co. 7,000 161
Kansas City Southern Industries, Inc. 4,462 230
Kaufman & Broad Home Corp. 5,526 131
Kaydon Corp. 4,000 82
Kellogg Co. 24,765 1,405
Kelly Services, Inc. Class A 5,675 157
Kemper Corp. 5,000 181
Kerr-McGee Corp. 5,279 238
Keycorp 10,676 378
Keystone International Fund, Inc. 5,700 156
Kimball International, Inc. Class B 4,100 127
Kimberly-Clark Corp. 17,073 886
Kinetic Concepts, Inc. 15,300 62
* King World Productions, Inc. 3,800 146
Knight-Ridder, Inc. 6,035 361
* Kohls Corp. 4,000 201
* Komag, Inc. 5,100 89
* The Kroger Co. 11,217 226
* LDDS Communications, Inc. 6,428 312
LG&E Energy Corp. 3,250 132
* LSI Logic Corp. 8,000 128
LTC Properties, Inc. 4,100 53
</TABLE>
24
<PAGE> 59
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
La Quinta Inns Inc. 5,100 $ 180
Lafarge Corp. 9,300 213
Lake Shore Bancorp Inc. 2,875 83
LAM Research Corp. 4,350 141
Lancaster Colony Corp. 3,799 173
Lance, Inc. 5,721 128
Lands' End, Inc. 3,700 170
Lattice Semiconductor Corp. 6,350 104
Lawter International Inc. 7,534 103
Lee Enterprises, Inc. 4,300 151
* Legent Corp. 3,489 79
Leggett & Platt, Inc. 4,300 215
Lennar Corp. 4,200 143
* Leslie Fay Co. 15,200 49
Leucadia National Corp. 2,900 119
Liberty Bankcorp Inc. 2,100 58
Liberty Media Corp. Class A 14,200 412
Liberty National Bancorp Inc. 4,250 129
Life Re Corp. 2,900 59
* Lifecore Biomedical Inc. 7,300 72
Eli Lilly & Co. 31,140 1,849
Lilly Industries Inc. Class A 4,912 118
The Limited, Inc. 38,351 657
* Lin Broadcasting Corp. 5,432 598
* Lincare Holdings Inc. 6,400 160
Lincoln National Corp. 10,252 446
* Lindsay Manufacturing Co. 2,900 102
Linear Technology Corp. 5,198 202
* Liposome Co., Inc. 10,000 65
* Liposome Technology, Inc. 10,100 90
* Litton Industries, Inc. 4,969 320
Liz Claiborne, Inc. 8,374 191
Lockheed Corp. 6,629 452
Loctite Corp. 3,800 141
Loews Corp. 6,900 642
* Lone Star Casino Corp. 26,200 115
Lone Star Steakhouse & Saloon 5,500 151
Long Island Lighting Co. 12,235 298
Longview Fiber Co. 7,730 175
Loral Corp. 8,992 339
* Lotus Development Corp. 4,737 260
Louisiana Land & Exploration Co. 3,599 144
Louisiana-Pacific Corp. 11,600 478
Lowes Cos., Inc. 8,007 474
Lubrizol Corp. 7,300 249
* L. Luria & Son, Inc. 5,100 76
* Lynx Therapeutic Pfd. 1,344 1
Lyondell Petrochemical Co. 9,046 192
* M/A-Com, Inc. 10,787 93
MBIA, Inc. 4,500 283
MBNA Corp. 10,842 362
MCI Communications Corp. 56,790 1,601
* MFS Communications Co., Inc. 6,600 215
MGIC Investment Corp. 5,902 173
* MGM Grand Inc. 5,200 203
* MacFrugal's Bargains Close-Outs, Inc. 5,700 112
MacMillan Bloedel Ltd. 5,200 83
Madison Gas & Electric Co. 2,600 88
* Magma Power Co. 3,600 126
Manor Care Inc. 8,551 208
* Manpower Inc. 11,200 197
Manufactured Home Communities, Inc. 2,100 90
Manville Corp. 19,300 162
Mapco Inc. 3,100 189
* Marcam Corp. 3,900 37
Marion Merrell Dow, Inc. 28,700 517
Mark IV Industries, Inc. 5,958 107
Marriott International 17,724 514
* Marsh & McLennan, Inc. 7,917 643
* Marshall Industries 1,814 91
Marshall & Ilsley Corp. 6,864 163
Martin Marietta Corp. 10,108 450
Marvel Entertainment Group 10,334 282
Masco Corp. 16,412 607
* Mascotech Inc. 9,400 262
* Material Sciences Corp. 3,900 89
Mattel, Inc. 14,404 398
* Maxicare Health Plans Inc. 6,900 67
* Maxus Energy Corp. 19,400 107
* Maxxam Inc. 2,600 96
May Department Stores Co. 26,600 1,047
Maytag Corp. 11,936 215
* McCaw Cellular Communications, Inc. 21,800 1,098
McClatchy Newspapers, Inc. 5,300 125
McCormick & Co., Inc. 8,717 215
McDermott International, Inc. 5,502 146
McDonald's Corp. 37,810 2,155
McDonnell Douglas Corp. 4,243 454
McGraw-Hill, Inc. 5,203 352
McKesson Corp. 4,203 227
The Mead Corp. 6,559 295
* Medar, Inc. 5,800 65
Media General, Inc. Class A 5,000 147
* Medical Care America 7,145 163
* Medimmune Inc. 4,400 48
Medtronic, Inc. 6,216 510
* Megafoods Stores, Inc. 5,100 55
Mellon Bank Corp. 6,893 365
Melville Corp. 11,070 450
* Men's Wearhouse, Inc. 3,600 117
Mercantile Bancorp, Inc. 2,400 108
</TABLE>
25
<PAGE> 60
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Mercantile Bankshares Corp. 6,900 $ 133
Mercantile Stores Co., Inc. 3,790 137
Merck & Co., Inc. 135,784 4,668
Mercury Finance Co. 12,666 242
Meridian Bancorp, Inc. 8,096 231
Meridian Diagnostics, Inc. 5,618 48
Merrill Lynch & Co., Inc. 22,548 947
Mesa Airlines, Inc. 6,000 105
Michael Foods, Inc. 10,000 81
Michigan National Corp. 4,100 236
* Microsoft Corp. 29,997 2,419
* Micro Warehouse Inc. 6,800 281
* Microdyne Corp. 14,900 69
Micron Technology Inc. 4,000 186
* Microprose Inc. 8,600 80
Mid Am Inc. 4,470 66
Mid-American Waste Systems, Inc. 7,400 61
Mid Atlantic Medical Services 6,900 176
Mid Atlantic Realty Trust 15,400 141
Middlesex Water Co. 3,800 79
* Midlantic Corp. 5,300 135
Midwest Resources Inc. 8,600 155
Herman Miller, Inc. 4,529 138
Millipore Corp. 4,419 177
* Milwaukee Land Co. 7,700 50
Minerals Technologies, Inc. 4,300 125
Minnesota Mining & Manufacturing Co. 23,203 2,523
Minnesota Power & Light Co. 4,100 134
Mirage Resorts Inc. 9,450 226
Mitchell Energy & Development Corp. Class A 6,200 135
* Mitek Surgical Products, Inc. 2,800 62
Mobil Corp. 42,594 3,365
Molex, Inc. 6,450 230
The Money Store 4,100 98
Monsanto Co. 12,887 946
Montana Power Co. 5,200 134
J.P. Morgan & Co., Inc. 20,728 1,438
* Morgan Products Ltd. 7,300 65
Morgan Stanley Group, Inc. 7,916 560
Morrison Restaurants 6,375 167
Morton International, Inc. 5,281 494
Mosinee Paper Corp. 3,200 96
Motorola, Inc. 29,132 2,691
Mountaineer Bankshares 1,800 73
* Multimedia, Inc. 3,797 131
Murphy Oil Corp. 4,600 184
* Musicland Stores Corp. 7,100 147
* Mycogen Corp. 5,300 56
Mylan Laboratories, Inc. 8,100 206
NAC Re Corp. 3,200 95
NBD Bancorp, Inc. 17,407 514
NCH Corp. 1,700 104
* NS Group Inc. 11,600 77
N.S. Bancorp Inc. 2,100 62
NYMAGIC, Inc. 3,000 76
* Nabors Industries, Inc. 12,100 95
NACCO Industries, Inc. Class A 1,869 96
Nalco Chemical, Inc. 7,200 270
* Namic U.S.A. Corp. 7,800 81
Nash-Finch Co. 3,900 68
Nashua Corp. 2,300 63
National City Bancorporation 4,950 71
National City Corp. 16,800 412
National Fuel & Gas Co. 4,300 146
National Health Investors Real Estate Investment Trust 3,200 89
National Health Laboratories Inc. 8,900 127
* National Intergroup, Inc. 9,862 131
National Medical Enterprises, Inc. 17,185 241
* National Pizza Corp. Class B 5,700 35
* National Presto Industries, Inc. 1,737 84
National Re Holdings Corp. 3,200 99
National Rehabilitation Centers 5,400 49
* National Semiconductor Corp. 12,218 197
National Service Industries, Inc. 5,391 138
NationsBank, Inc. 28,823 1,412
* Nationwide Cellular Service Inc. 7,100 94
Nationwide Health Properties, Inc. 3,000 107
Navistar International Corp. 4,816 114
Neiman Marcus Group Inc. 7,396 139
* Nellcor Inc. 4,100 100
Thomas Nelson, Inc. 3,800 93
* Network General Corp. 6,656 119
Neurogen Corp. 8,500 56
Neutrogena Corp. 6,155 125
Nevada Power Co. 5,648 136
New England Electric System 6,700 262
New Jersey Resources Corp. 3,800 98
* New Mexico & Arizona Land Co. 17,000 154
New Plan Realty Trust 5,000 111
New York Bancorp Inc. 3,900 78
New York State Electric & Gas Corp. 7,200 221
New York Times Co. Class A 11,639 306
Newell Co. 8,597 347
Newmont Gold Co. 11,109 524
Newmont Mining Corp. 7,333 423
* Nextel Communications 9,000 336
Niagara Mohawk Power Corp. 15,496 314
* Nichols Institute 4,000 25
NICOR, Inc. 5,656 158
Nike, Inc. Class B 8,125 377
Noble Affiliates, Inc. 6,100 162
</TABLE>
26
<PAGE> 61
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Noble Drilling Corp. 8,900 $ 79
* Norand Corp. 6,500 176
* Nord Resources Corp. 10,000 49
Nordson Corp. 3,300 176
Nordstrom, Inc. 8,675 285
Norfolk Southern Corp. 14,841 1,046
* Nortek, Inc. 9,300 84
North American Mortgage 3,700 94
* North American Vaccine, Inc. 7,400 81
* North Fork Bancorporation, Inc. 8,400 108
Northeast Utilities 14,400 342
Northern Indiana Public Service Co. 7,030 231
Northern States Power Co. of Minnesota 7,173 309
Northern Trust Corp. 5,500 218
Northrop Corp. 5,270 197
* Northstar Health Services, Inc. 12,250 108
Norwest Corp. 30,858 752
* NovaCare, Inc. 9,588 146
* Novell, Inc. 32,352 671
* Noxso Corp. 16,600 92
Nucor Corp. 9,402 498
* Nu-Kote Holding, Inc. Class A 8,200 167
NYNEX Corp. 44,400 1,782
OEA, Inc. 3,500 99
* OHM Corp. 7,100 83
* O'Brien Environmental Energy Inc. Class A 12,900 27
Occidental Petroleum Corp. 32,555 558
* Oceaneering International, Inc. 9,100 124
* Octel Communications Corp. 4,200 116
Office Depot, Inc. 9,350 314
Ogden Corp. 5,838 133
* Ogden Projects, Inc. 7,271 121
Ohio Casualty Corp. 1,872 120
Ohio Edison Co. 16,401 373
Oil-Dri Corp. of America 3,300 74
Oklahoma Gas & Electric Co. 4,200 155
Old Kent Financial Corp. 4,450 134
Old Republic International Corp. 5,800 131
Olin Corp. 3,300 163
Olsten Corp. 4,650 137
Omega Healthcare Investors, Inc. 3,000 76
Omnicom Group Inc. 3,800 176
* Oncor Inc. 9,900 102
Oneita Industries 6,430 47
Oneok, Inc. 4,809 91
Oracle Systems Corp. 30,576 881
Oregon Steel Mills, Inc. 4,500 113
Oryx Energy Co. 10,627 183
Outboard Marine Corp. 4,252 95
Overseas Shipholding Group Inc. 5,700 135
Owens and Minor, Inc. 5,500 126
* Owens-Corning Fiberglas Corp. 4,352 193
* Owens-Illinois, Inc. 12,028 149
Oxford Industries, Inc. 3,800 95
PHH Corp. 2,900 120
PNC Bank Corp. 24,802 719
PPG Industries, Inc. 11,419 866
PSI Resources, Inc. 6,230 165
Paccar, Inc. 3,460 211
Pacific Enterprises 9,270 220
Pacific Gas & Electric Co. 46,051 1,618
Pacific Telecom, Inc. 6,100 156
Pacific Telesis Group 44,472 2,401
* Pacificare Health Systems Inc. Class A 2,800 105
Pacificorp 29,738 572
Paging Network Inc. 10,600 321
PaineWebber Group, Inc. 5,000 135
Pall Corp. 12,654 233
Panhandle Eastern Corp. 12,944 306
Parametric Technology Corp. 5,500 212
Paramount Communications, Inc. 12,512 968
Parker Hannifin Corp. 5,379 203
Paychex, Inc. 4,350 151
Penn Central Bancorp, Inc. 1,600 64
Penn Central Corp. 5,900 191
Penncorp Financial Group Inc. 4,600 90
J.C. Penney Co., Inc. 25,306 1,325
Pennsylvania Power and Light Co. 16,002 432
Pentair, Inc. 3,300 108
Penwest Ltd. 4,091 95
Pennzoil Co. 4,772 254
Peoples Bancorp of Worcester, Inc. 2,100 101
Peoples Bank of Bridgeport 18,800 167
Peoples Energy Corp. 3,771 115
Pep Boys (Manny, Moe & Jack) 6,426 169
PepsiCo, Inc. 85,064 3,477
Perkin-Elmer Corp. 4,487 173
Perrigo 8,100 276
Pet, Inc. 11,193 196
Petrie Stores Corp. 5,369 156
* Petro Union, Inc. 35,900 116
Petrolite Corp. 2,900 99
Pfizer, Inc. 34,012 2,347
* Pharmaceutical Markets 4,400 65
Phelps Dodge Corp. 7,558 368
Philadelphia Electric Co. 23,722 718
Philip Morris Cos., Inc. 93,750 5,227
Phillips Petroleum Co. 27,535 799
Phillips-Van Heusen Corp. 4,100 154
* Picturetel Inc. 5,000 93
Piedmont Natural Gas, Inc. 4,600 93
</TABLE>
27
<PAGE> 62
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Pinnacle Bancorp Group Inc. 1,100 $ 38
Pinnacle West Capital Corp. 9,200 206
Pioneer Group Inc. 5,000 127
Pioneer Hi Bred International 9,666 376
Piper Jaffray Inc. 5,000 91
Pitney Bowes, Inc. 17,016 704
Pitt Des Moines, Inc. 2,100 56
* Plains Resources 16,500 107
* Plaza Home Mortgage Corp. 6,900 58
Ply-Gem Industries, Inc. 7,300 130
* Pogo Producing Co. 12,900 216
Polaroid Corp. 4,792 162
* Policy Management Systems Corp. 4,370 135
Portland General Electric Co. 7,300 150
* Potlatch Corp. 2,928 138
Potomac Electric Power Co. 12,400 332
Praxair, Inc. 14,731 245
Precision Castparts Corp. 3,900 113
Premark International, Inc. 3,345 268
* Premier Anesthesia 6,400 23
Premier Industrial Corp. 8,982 251
* Price/Costco Inc. 23,550 455
Price Real Estate Investment Trust, Inc. 2,300 69
T. Rowe Price 5,200 150
* Primedex Health Systems Inc. 14,100 34
Primerica Corp. 24,977 971
Procter & Gamble Co. 72,956 4,158
Progressive Corp. of Ohio 7,800 316
* Promus Co., Inc. 11,180 512
Protective Life Corp. 2,700 119
* Proteon Inc. 11,400 69
Provident Life & Accident Insurance Co. of America 4,500 139
* Proxymed Pharmacy, Inc. 11,300 107
Public Service Co. of Colorado 6,200 199
* Public Service Co. of New Mexico 8,680 98
Public Service Enterprise Group Inc. 26,119 836
Public Storage Properties VI Series A 2,900 66
Puerto Rican Cement Co., Inc. 2,400 59
Puget Sound Power & Light Co. 6,985 174
Pulte Corp. 4,708 171
* Purepac Inc. 7,400 123
* QVC Network, Inc. 4,100 161
Quaker Chemical Corp. 4,100 67
Quaker Oats Co. 7,688 546
* Qual-Med Inc. 5,300 89
* Qualcomm, Inc. 2,600 138
Quality Food Centers Inc. 3,900 98
* Quantum Restaurant Group 5,700 70
Questar Corp. 4,485 148
* RJR Nabisco, Inc. 121,053 772
Ralston-Continental Baking 15,734 132
Ralston - Ralston Purina Group 11,172 444
Raychem Corp. 4,304 161
* Raymond Corp. 8,500 140
Raymond James Financial, Inc. 5,250 87
Raytheon Co. 14,432 953
Re Capital Corp. 4,200 57
* Read-Right Corp. 8,386 126
Reader's Digest Assn., Inc. Class A 11,100 500
Reader's Digest Assn., Inc. Class B 1,500 64
* Recovery Engineering, Inc. 11,700 143
Reebok International Ltd. 9,132 274
* Regis Corp. 7,100 75
Reliable Life Insurance Co. Class A 1,400 74
Reliance Group Holdings 16,186 129
* ReLife Inc. Class A 6,100 99
Republic New York Corp. 5,900 276
* Republic Pictures Corp. 6,300 80
Resource Mortgage Capital Corp. 3,700 106
Reynolds & Reynolds Class A 3,600 164
Reynolds Metals Co. 6,587 299
Rhone-Poulenc Rorer, Inc. 14,552 531
* Riggs National Corp. 8,900 76
Rite Aid Corp. 8,991 143
Roadway Services, Inc. 4,117 248
Rochester Gas and Electric Corp. 5,452 143
Rochester Telephone Corp. 3,828 173
Rockwell International Corp. 23,872 886
* Rogers Corp. 4,100 107
Rohm & Haas Co. 7,068 421
Rollins, Inc. 5,750 157
Rollins Environmental Services, Inc. 13,974 80
* Rose's Stores, Inc. 6,600 4
* Rowan Cos., Inc. 26,372 237
* Royal Appliance Manufacturing Co. 10,800 61
* Royal Grip, Inc. 9,900 129
Rubbermaid, Inc. 17,046 592
Russell Corp. 4,150 117
Ryder System, Inc. 8,079 214
* S&K Famous Brands Inc. 4,200 84
SCE Corp. 47,910 958
SCOR U.S. Corp. 5,600 73
SEI Corp. 5,600 145
* S-K-I, Ltd. 5,900 72
SLM International Inc. 4,800 109
SPS Technologies, Inc. 2,500 46
* SPS Transaction Services 2,700 163
Safecard Services, Inc. 8,000 151
</TABLE>
28
<PAGE> 63
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Safeco Corp. 6,740 $ 370
Safeguard Scientifics, Inc. 6,000 140
Safety-Kleen Corp. 9,409 153
* Safeway, Inc. 10,672 227
* St. Francis Capital Corp. 3,500 53
St. Joe Paper Co. 3,400 172
St. Jude Medical, Inc. 4,773 126
St. Mary Land & Exploration Co. 4,300 53
St. Paul Cos., Inc. 4,634 416
Salomon, Inc. 11,685 556
San Diego Gas & Electric Co. 12,500 314
Santa Anita Realty Enterprises 3,700 64
Santa Fe Energy Resources Inc. 13,762 124
Santa Fe Pacific Corp. 19,507 434
* Santa Monica Bank (California) 5,300 39
Sara Lee Corp. 52,046 1,301
* Satcon Technology Corp. 5,600 82
Savannah Foods & Industries, Inc. 5,200 72
* Savoy Pictures Entertainment Inc. 5,200 107
Sbarro, Inc. 2,606 115
Scana Corp. 4,700 234
* R. P. Scherer Corp. 6,674 252
Schering-Plough Corp. 21,045 1,442
Schlumberger Ltd. 25,047 1,481
* Scholastic Corp. 2,900 125
* Schuler Homes Inc. 4,600 127
A. Schulman Inc. 4,500 150
Charles Schwab Corp. 5,811 188
* Schwitzer, Inc. 8,300 50
* Sci-Med Life Systems, Inc. 2,400 94
Scientific-Atlanta, Inc. 5,796 191
* Scios Nova, Inc. 12,100 123
Scott Paper Co. 8,123 334
* Scotts Co. 4,700 93
E.W. Scripps Co. Class A 7,576 208
* Seacor Holdings, Inc. 6,600 153
* Seagate Technology 13,058 311
Seagull Energy Corp. 5,800 147
Sealright Co. 5,300 82
Sears, Roebuck & Co. 37,317 1,968
Sensormatic Electronics Corp. 6,238 218
Sequa Corp. Class A 5,500 179
* Sequent Computer Systems, Inc. 6,200 95
Service Corp. International 8,536 224
* Service Merchandise Co., Inc. 10,550 105
Shaw Industries, Inc. 15,800 401
Shawmut National Corp. 10,399 226
Sherwin-Williams Co. 9,289 332
* Shoney's Inc. 7,015 162
Shopko Stores, Inc. 7,145 81
Showboat, Inc. 3,784 61
* Shuffle Master, Inc. 11,500 116
* Sierra Semiconductor 8,206 62
Sigma Aldrich Corp. 5,200 248
* Signal Technology Corp. 6,800 40
Signet Banking Corp. 5,908 205
Silicon Graphics, Inc. 13,600 337
Simmons First National 2,600 71
Sizzler International 7,725 70
A.O. Smith Corp. 3,600 129
J.M. Smucker Co. Class B 2,500 53
Snap-On Tools Corp. 4,832 183
* Snapple Beverage Corp. 13,100 346
Society Corp. 12,546 373
* Sofamor/Danek Group Inc. 3,700 123
* Software Etc. Stores Inc. 4,000 40
* Software Publishing Corp. 11,000 84
* Software Spectrum 2,500 54
Sonat, Inc. 9,522 275
* Sonic Corp. 3,000 77
Sonoco Products 9,600 209
Sotheby's Holdings Class A 9,800 151
* Southdown, Inc. 8,400 206
Southern Co. 34,309 1,514
Southern California Water Co. 3,400 74
Southern Indiana Gas & Electric 2,800 95
Southern National Corp. 5,600 111
Southern New England Telecom Corp. 6,600 238
* Southland Corp. 44,500 298
Southtrust Corp. 8,600 162
Southwest Airlines Co. 14,661 550
Southwest Gas Corp. 4,500 72
Southwestern Bell Corp. 64,338 2,670
Southwestern Energy Co. 5,700 103
Southwestern Public Service Co. 4,500 138
* Spacelabs Medical 4,139 99
* Spaghetti Warehouse, Inc. 4,400 39
* Specialty Chemical Resources, Inc. 22,400 154
* Spectran Corp. 5,100 58
* Spectranetics 9,300 16
Spelling Entertainment 11,700 117
Spiegel, Inc. Class A 10,800 243
Springs Industries Inc. Class A 3,239 122
Sprint Corp. 36,584 1,271
Standard Federal Bank 5,000 150
* Standard Microsystem 4,800 103
Standard Motor Products, Inc. 4,300 113
Standard Products Co. 3,000 105
The Stanley Works 4,752 211
Staples, Inc. 6,475 164
Star Banc Corp. 4,300 149
L. S. Starrett Co. Class A 3,300 83
* Starter Corp. 10,000 174
</TABLE>
29
<PAGE> 64
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
State Auto Financial Corp. 5,800 $ 75
State Street Boston Corp. 8,300 310
Stein Mart Inc. 5,250 101
Stephan Co. 4,250 84
Sterling Chemicals, Inc. 18,100 72
* Sterling Software, Inc. 3,900 111
Stewart & Stevenson Services, Inc. 3,718 190
* Stone Container Corp. 14,612 141
* Stop & Shop Cos. Inc. 6,700 136
Storage Equities, Inc. 6,000 85
* Storage Technology Corp. 4,355 138
* Stratus Computer, Inc. 4,400 138
Stride Rite Corp. 8,484 139
Stryker Corp. 6,200 174
Student Loan Marketing Assn. 9,500 426
Styles On Video, Inc. 12,300 214
* Sullivan Dental Products, Inc. 3,500 60
Sumitomo Bank of California 2,500 62
* Summit Technology, Inc. 3,500 74
Sun Co., Inc. 11,459 337
* Sun Microsystems, Inc. 11,359 332
Sunamerica Inc. 4,700 203
Sunbeam Oster 8,700 191
Sundstrand Corp. 3,600 151
* Sungard Data Systems 3,300 137
* Sunrise Medical, Inc. 4,300 129
Suntrust Banks, Inc. 13,224 595
* Supercuts, Inc. 4,200 61
Superior Industries International, Inc. 4,650 200
SuperValu, Inc. 7,896 286
Surgical Care Affiliates, Inc. 6,600 102
Susquehanna Bankshares 3,000 83
* Swing-n-Slide Corp. 4,900 62
Sybase, Inc. 5,600 237
* Symantec Corp. 6,100 111
* Symmetricom Inc. 6,300 58
Syms Corp. 6,300 61
* Synergen, Inc. 8,300 96
SynOptics Communications, Inc. 6,400 178
Synovus Financial Corp. 9,500 177
Syntex Corp. 23,120 367
Sysco Corp. 19,866 581
System Software Associates, Inc. 6,600 102
* Systemed 11,800 54
* Systemix, Inc. 4,620 84
* TBC Corp. 7,450 91
TCA Cable Television, Inc. 4,300 122
TCF Financial Corp. 3,100 105
TECO Energy, Inc. 12,200 276
TIG Holdings, Inc. 6,400 145
TJX Cos., Inc. 8,084 235
TNP Enterprises, Inc. 3,900 64
* TRO Learning, Inc. 6,200 50
TRW, Inc. 6,931 480
T Squared Medical 11,600 91
Tambrands, Inc. 4,223 187
* Tandem Computers, Inc. 11,844 129
Tandy Corp. 6,800 337
Taubman Co. 8,500 99
* Tech-Sym Corp. 7,900 169
Tejas Gas Corp. 3,900 195
Tektronix, Inc. 5,533 130
* Tele-Communications, Inc. Class A 41,792 1,262
* Tele-Communications, Inc. Class B 4,200 140
Teledyne Inc. 6,236 162
Telephone & Data Systems, Inc. 5,100 266
Temple-Inland Inc. 6,011 303
Tenneco, Inc. 18,363 966
* Teradyne, Inc. 6,000 167
Texaco, Inc. 27,528 1,779
Texas Instruments, Inc. 9,663 614
Texas Utilities Co. 24,128 1,044
Textron, Inc. 9,176 535
* Theragenics Corp. 8,900 37
Thermedics, Inc. 8,850 134
Thermo Electron Corp. 4,950 208
* Thermo Fibertek Inc. 6,900 110
Thermo Instrument Systems, Inc. 4,850 169
Thomas & Betts Corp. 2,147 126
Thor Industries, Inc. 3,900 100
* 3 Com Corp. 7,500 353
Tidewater, Inc. 8,000 160
Tiffany & Co. 3,184 101
* Timberline Software Corp. 23,800 173
Time Warner, Inc. 40,096 1,774
The Times Mirror Co. Class A 13,711 458
The Timkin Co. 4,946 166
* Toastmaster, Inc. 8,300 54
* Todd Shipyards Corp. 12,300 51
* Tokos Medical 8,600 44
* Toll Brothers, Inc. 7,600 130
Tootsie Roll Industries, Inc. 1,736 123
The Topps Co., Inc. 11,197 79
Torchmark Corp. 7,785 350
Tosco Corp. 4,834 141
Total System Services, Inc. 6,400 168
* Toys R Us, Inc. 31,174 1,274
* Trak Auto Corp. 4,900 60
Transamerica Corp. 8,304 471
Transatlantic Holdings 2,500 131
Transco Energy Co. 7,441 105
* Transworld Home Healthcare, Inc. 36,700 142
The Travelers Corp. 15,331 477
</TABLE>
30
<PAGE> 65
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Trenwick Group Inc. 1,900 $ 74
The Tribune Co. 6,999 421
* Triconex, Inc. 4,700 77
Trimas Corp. 6,000 146
* Trimble Navigation Ltd. 8,600 78
Trinity Industries, Inc. 4,050 175
* Triton Energy Corp. 3,500 105
Trust Co. Bancorp 4,800 71
* Tucson Electric Power Co. 7,000 26
Turner Broadcasting Class A 2,400 65
Turner Broadcasting Class B 17,300 467
20th Century Industries 5,300 145
TYCO International Ltd. 5,070 262
Tyco Toys, Inc. 6,800 57
* Tyler Corp. 12,000 63
Tyson Foods, Inc. 15,746 376
* UAL Corp. 2,591 378
UNR Industries, Inc. 13,400 89
UNUM Corp. 8,335 438
* URS Corp. 22,300 125
USF&G Corp. 8,563 126
UST, Inc. 22,616 628
USX-Marathon Group 30,382 501
USX-U.S. Steel Group 7,601 330
Unifi, Inc. 7,350 198
Unifirst Corp. 2,500 78
* Unigene 8,300 20
* Unilab Corp. 11,300 67
Union Bank of San Francisco 5,700 144
Union Camp Corp. 7,545 359
Union Carbide Corp. 16,185 362
Union Electric Corp. 10,903 428
Union Pacific Corp. 22,063 1,382
Union Planters Corp. 3,900 98
Union Texas Petroleum Holdings 9,100 185
* Unisys Corp. 16,580 209
United Healthcare Corp. 8,100 615
United Illuminating Co. 2,500 101
United Jersey Bank Financial Corp. 5,900 140
United Missouri Bancshares 2,874 108
United Postal Bancorp, Inc. 3,000 81
* USAir Group, Inc. 9,363 121
U.S. Bancorp 10,231 256
* U.S. Bioscience 19,274 161
U.S. Healthcare, Inc. 11,290 649
U.S. Shoe Corp. 10,635 160
U.S. West Corp. 46,786 2,146
* United States Cellular 5,800 203
United States Surgical Corp. 5,562 125
United Technologies Corp. 13,239 821
* United Television, Inc. 2,600 109
* United Waste Systems, Inc. 11,000 166
United Wisconsin 3,100 95
Unitrin Inc. 5,400 233
Universal Corp. 5,400 138
* Universal Electronics, Inc. 2,900 58
Universal Foods Corp. 4,413 142
* Universal Health Services Class B 4,900 100
Unocal Corp. 25,844 720
Upjohn Co. 18,600 542
USLIFE Corp. 3,674 141
Utilicorp United, Inc. 4,700 149
VF Corp. 6,807 314
* VLSI Technology, Inc. 23,100 247
* Vaalco Energy, Inc. 27,600 166
Valassis Communication 8,800 118
Valero Energy Corp. 6,500 137
Valhi, Inc. 21,200 103
Valley Bancorp 3,946 156
Valspar Corp. 3,600 136
* Value City Department Stores, Inc. 6,400 94
* Value Health, Inc. 8,372 264
* Value Merchants, Inc. 11,300 3
* Vanguard Cellular Systems, Inc. Class A 4,042 117
Varian Associates, Inc. 2,900 174
* Varity Corp. 4,700 210
* Vencor, Inc. 4,300 128
Venture Stores, Inc. 5,100 119
* Verifone, Inc. 4,000 77
* Vestar, Inc. 12,600 81
* Viacom International Class A 2,000 98
* Viacom International Class B 11,100 498
* Vicorp Restaurants, Inc. 3,600 67
* Viewlogic Systems, Inc. 4,600 104
* Viking Office Products 3,300 160
Vintage Petroleum, Inc. 4,600 83
Viratek, Inc. 7,100 76
* Visix Space Inc. 6,900 110
* Vons Cos., Inc. 6,800 109
Vornado Realty Trust 5,400 181
Vulcan Materials Co. 3,700 173
* WMS Industries, Inc. 4,100 118
WMX Technologies Inc. 51,645 1,362
WPL Holdings, Inc. 4,200 138
* Waban, Inc. 6,500 89
Wachovia Corp. 18,400 616
Wackenhut Corp. 4,100 53
Wackenhut Corp. Class B 1,400 14
* Wahlco Environmental 28,100 123
Wal-Mart Stores, Inc. 246,298 6,157
Walgreen Co. 13,268 542
* Warnaco Group 3,600 109
Warner-Lambert Co. 14,688 991
</TABLE>
31
<PAGE> 66
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Washington Energy Co. 4,900 $ 89
Washington Federal Savings & Loan Assn. 5,255 137
Washington Gas Light Corp. 3,399 140
Seattle (WA) Mutual Savings Bank 6,000 144
Washington National Corp. 3,600 87
Washington Post Co. Class B 1,300 331
Washington Water Power Co. 8,000 150
Watts Industries Class A 3,000 150
* Weatherford International, Inc. 19,800 210
Weis Markets, Inc. 4,300 116
* Wellcare Management Group, Inc. 8,200 195
* Wellfleet Communications 3,300 212
Wellman, Inc. 5,745 108
* Wellpoint Health Networks, Inc. Class A 10,900 338
Wells Fargo & Co. 5,903 764
Wellsford Residential Property Trust 2,900 75
Wendys International, Inc. 10,264 178
Werner Enterprises, Inc. 4,800 146
Westbanco Inc. 1,800 52
Wesco Financial Corp. 1,142 148
West One Bancorp 4,888 140
Westcorp, Inc. 7,000 69
Western Bank 9,120 124
Western Resources, Inc. 6,700 234
Westinghouse Electric Corp. 38,114 538
Westvaco Corp. 6,852 244
Weyerhaeuser Co. 22,189 990
Wheelabrator Technologies 20,062 356
Whirlpool Corp. 7,447 495
* White River 1,342 46
Whitman Corp. 11,238 183
Wicor, Inc. 3,300 104
Willamette Industries, Inc. 5,700 284
Williams Cos., Inc. 11,312 276
* Williams Sonoma, Inc. 4,800 197
Wilmington Trust Corp. 5,500 146
Winn Dixie Stores, Inc. 8,172 438
* Wisconsin Central Transportation Corp. 2,000 118
Wisconsin Energy Corp. 11,338 313
Witco Chemical Corp. 5,400 172
Wolohan Lumber Co. 3,500 62
Woolworth Corp. 14,266 362
* World Acceptance Corp. 7,500 145
* World Corp. 11,800 66
Worthington Industries, Inc. 10,002 203
Wm. Wrigley, Jr. Co. 12,324 544
* Wyman Gordon Corp. 20,300 96
X-Rite Inc. 3,800 82
Xerox Corp. 11,028 986
* Xilinx, Inc. 3,400 162
* Xyplex, Inc. 2,900 57
Yellow Corp. 5,147 129
York International Corp. 3,800 134
Zenith National Insurance Corp. 3,500 78
* Zeos International 11,300 35
* Zoll Medical Corp. 3,500 105
- ----------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (98.3%)(1)
(Cost $455,664) 503,745
- ----------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.8%)
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face Amount
(000)
-----
<S> <C> <C>
U.S. TREASURY BILL--Note D
3.06%, 3/24/94 $400 397
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash Account 3.26%, 1/3/94 8,832 8,832
- ----------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $9,229) 9,229
- ----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(Cost $464,893) 512,974
- ----------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.1%)
- ----------------------------------------------------------------------------------------------
Other Assets--Notes B and E 6,029
Liabilities--Note E (6,721)
-------
(692)
- ----------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------
Applicable to 43,824,943 Outstanding
Shares of Beneficial Interest (Unlimited authorization) $512,282
- ----------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $11.69
==============================================================================================
</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 Index futures contracts
represents 99.8% of net assets.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
AT DECEMBER 31, 1993, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------
Amount Per
(000) Share
----- -----
<S> <C> <C>
Paid in Capital $464,109 $10.59
Overdistributed Net Investment Income (42) --
Accumulated Net Realized Gains 60 --
Unrealized Appreciation of Investments 48,155 1.10
- ----------------------------------------------------------------------------------------------
NET ASSETS $512,282 $11.69
- ----------------------------------------------------------------------------------------------
</TABLE>
32
<PAGE> 67
<TABLE>
<CAPTION>
Market
Value
GROWTH PORFOLIO Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ----------------------------------------------------------------------------------------------
General Electric Co. 26,107 $2,738
American Telephone & Telegraph Co. 41,448 2,176
The Coca Cola Co. 39,886 1,780
Wal-Mart Stores, Inc. 70,498 1,762
Philip Morris Cos., Inc. 26,938 1,502
Merck & Co., Inc. 39,176 1,347
Procter & Gamble Co. 21,028 1,199
GTE Corp. 28,876 1,011
PepsiCo, Inc. 24,266 992
Bristol-Myers Squibb Co. 15,908 925
Johnson & Johnson 20,079 899
Intel Corp. 12,854 797
Bell Atlantic Corp. 13,200 779
Motorola, Inc. 8,292 766
Southwestern Bell Corp. 18,200 755
Abbott Laboratories, Inc. 25,284 746
Minnesota Mining & Manufacturing Co. 6,648 723
The Walt Disney Co. 16,427 700
Pacific Telesis Group 12,600 680
Pfizer, Inc. 9,775 674
Federal National Mortgage Assn. 8,363 656
McDonald's Corp. 10,815 616
American Home Products Corp. 9,518 616
Unilever NV 4,920 568
Eastman Kodak Co. 10,100 566
Home Depot, Inc. 13,757 543
Eli Lilly & Co. 9,045 537
MCI Communications Corp. 16,476 463
Schlumberger Ltd. 7,556 447
Emerson Electric Co. 6,924 417
* Tele-Communications, Inc. Class A 13,838 417
Schering-Plough Corp. 5,909 405
Gillette Co. 6,784 404
Anheuser-Busch Co., Inc. 8,226 404
Kellogg Co. 7,043 400
Union Pacific Corp. 6,344 397
WMX Technologies Inc. 14,633 386
J.C. Penney Co., Inc. 7,164 375
Sara Lee Corp. 14,800 370
Sprint Corp. 10,600 368
* Toys R Us, Inc. 8,968 367
Allied-Signal, Inc. 4,300 340
The Dun & Bradstreet Corp. 5,465 337
* McCaw Cellular Communications, Inc. 6,300 317
Campbell Soup Co. 7,631 313
Capital Cities/ABC, Inc. 500 310
Colgate-Palmolive Co. 4,801 299
General Mills, Inc. 4,908 298
May Department Stores Co. 7,540 297
Warner-Lambert Co. 4,107 277
H.J. Heinz Co. 7,646 274
Tenneco, Inc. 5,100 268
Kimberly-Clark Corp. 5,006 260
CSX Corp. 3,200 259
Gannett Co., Inc. 4,465 256
American Barrick Resources 8,800 251
* Oracle Systems Corp. 8,582 247
PPG Industries, Inc. 3,200 243
Automatic Data Processing, Inc. 4,352 240
Phillips Petroleum Co. 8,000 232
CPC International, Inc. 4,591 219
Enron Corp. 7,220 209
* Amgen, Inc. 4,198 208
Blockbuster Entertainment Corp. 6,779 208
Computer Associates International, Inc. 5,187 207
Albertson's, Inc. 7,674 205
AMP, Inc. 3,232 204
Pitney Bowes, Inc. 4,846 200
Conagra, Inc. 7,552 199
* Novell, Inc. 9,511 196
The Limited, Inc. 10,864 186
Marsh & McLennan, Inc. 2,288 186
Placer Dome Group, Inc. 7,300 182
UST, Inc. 6,426 178
Texas Instruments, Inc. 2,800 178
The Gap, Inc. 4,503 177
Rubbermaid, Inc. 4,970 173
Masco Corp. 4,600 170
Sysco Corp. 5,794 169
Great Lakes Chemical Corp. 2,208 165
Comcast Corp. Class A 4,555 165
Burlington Northern, Inc. 2,790 161
Wm. Wrigley, Jr. Co. 3,611 159
Walgreen Co. 3,717 152
Quaker Oats Co. 2,112 150
Columbia Healthcare Corp. 4,500 150
* Cisco Systems, Inc. 2,300 148
* Promus Co., Inc. 3,167 145
Genuine Parts Co. 3,810 143
Medtronic, Inc. 1,741 143
Nucor Corp. 2,680 142
Morton International, Inc. 1,500 140
Browning-Ferris Industries, Inc. 5,446 140
Illinois Tool Works, Inc. 3,518 137
Louisiana-Pacific Corp. 3,300 136
International Flavors & Fragrances, Inc. 1,169 133
* Price/Costco Inc. 6,774 130
Lowes Cos., Inc. 2,200 130
</TABLE>
33
<PAGE> 68
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
CBS, Inc. 450 $ 130
H & R Block, Inc. 3,174 129
Ralston - Ralston Purina Group 3,147 125
Santa Fe Pacific Corp. 5,400 120
Winn Dixie Stores, Inc. 2,219 119
The Tribune Co. 1,978 119
Newmont Mining Corp. 2,060 119
* Crown Cork & Seal Co., Inc. 2,798 117
* UAL Corp. 800 117
Mattel, Inc. 4,073 113
Pioneer Hi Bred International 2,900 112
Dover Corp. 1,816 110
* DSC Communications Corp. 1,776 109
Avon Products, Inc. 2,217 108
Syntex Corp. 6,726 107
MBNA Corp. 3,184 106
Eaton Corp. 2,100 106
Torchmark Corp. 2,347 106
Fluor Corp. 2,595 105
McGraw-Hill, Inc. 1,515 102
Marriott International 3,508 102
Newell Co. 2,462 99
Deluxe Corp. 2,695 98
Hasbro, Inc. 2,680 97
Sherwin-Williams Co. 2,627 94
Homestake Mining Co. 4,200 92
Bausch & Lomb, Inc. 1,796 92
Harcourt General, Inc. 2,470 90
W.W. Grainger, Inc. 1,527 88
Clorox Co. 1,614 88
Nordstrom, Inc. 2,500 82
Premark International, Inc. 1,000 80
IMCERA Group, Inc. 2,300 77
Nalco Chemical, Inc. 2,014 76
Reebok International Ltd. 2,495 75
Interpublic Group of Cos., Inc. 2,280 73
* Lotus Development Corp. 1,300 71
* ALZA Corp. 2,540 71
Service Corp. International 2,700 71
* The Kroger Co. 3,521 71
Praxair, Inc. 4,118 68
Englehard Corp. 2,778 68
Cooper Tire & Rubber Co. 2,701 68
The Dial Corp. 1,600 65
TJX Cos., Inc. 2,211 64
Pall Corp. 3,464 64
McKesson Corp. 1,169 63
* Unisys Corp. 4,900 62
Circuit City Stores, Inc. 2,768 60
Echlin, Inc. 1,800 60
Cummins Engine Co., Inc. 1,100 59
* Navistar International Corp. 2,480 59
Wendys International, Inc. 3,345 58
Perkin-Elmer Corp. 1,476 57
Gerber Products Co. 1,980 56
* Owens-Corning Fiberglas Corp. 1,237 55
* Varity Corp. 1,200 54
* FMC Corp. 1,134 53
Whitman Corp. 3,246 53
Pet, Inc. 3,009 53
Worthington Industries, Inc. 2,591 52
General Signal Corp. 1,500 52
Pep Boys (Manny, Moe & Jack) 1,827 48
Echo Bay Mines Ltd. 3,700 48
Teledyne Inc. 1,700 44
C.R. Bard, Inc. 1,688 43
Allergan, Inc. 1,852 42
* King World Productions, Inc. 1,085 42
Louisiana Land & Exploration Co. 1,000 40
Manor Care Inc. 1,623 40
Ecolab, Inc. 868 39
* Biomet, Inc. 3,787 39
Foster Wheeler Corp. 1,100 37
St. Jude Medical, Inc. 1,363 36
Bemis Co., Inc. 1,510 36
Scientific-Atlanta, Inc. 1,072 35
Charming Shoppes, Inc. 3,004 35
Autodesk, Inc. 750 34
Briggs & Stratton Corp. 400 33
* Shoney's Inc. 1,353 31
* Maxus Energy Corp. 4,682 26
Cincinnati Milacron, Inc. 1,100 24
Alexander & Alexander Services, Inc. 1,213 24
Stride Rite Corp. 1,422 23
* Ceridian Corp. 1,200 23
John H. Harland Co. 946 20
Crane Co. 800 20
* Andrew Corp. 500 19
* Armco, Inc. 2,800 17
Shared Medical Systems Corp. 500 12
* N L Industries, Inc. 2,100 9
* Fedders Corp. 100 1
- ----------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.9%)
(Cost $49,703) 50,603
- ----------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE> 69
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT (.4%)
- ----------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash Account 3.26%, 1/3/94
(Cost $185) $185 $185
- ----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(Cost $49,888) 50,788
- ----------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.3%)
- ----------------------------------------------------------------------------------------------
Accounts Receivable for Securities Sold 3,427
Other Assets--Note B 772
Accounts Payable for Securities Purchased (4,221)
Other Liabilities (142)
-----
(164)
- ----------------------------------------------------------------------------------------------
NET ASSETS (100%)
==============================================================================================
Applicable to 4,964,135 Outstanding
Shares of Beneficial Interest (Unlimited authorization) $50,624
- ----------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $10.20
==============================================================================================
+ See Note A to Financial Statements.
* Non-Income Producing Security.
- ----------------------------------------------------------------------------------------------
AT DECEMBER 31, 1993, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Amount Per
(000) Share
----- -----
<S> <C> <C>
Paid in Capital $50,341 $10.14
Overdistributed Net Investment Income (15) --
Accumulated Net Realized Losses (602) (.12)
Unrealized Appreciation of Investments 900 .18
- ----------------------------------------------------------------------------------------------
NET ASSETS $50,624 $10.20
- ----------------------------------------------------------------------------------------------
</TABLE>
35
<PAGE> 70
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ----------------------------------------------------------------------------------------------
Exxon Corp. 142,991 $9,008
Royal Dutch Petroleum Co. 61,712 6,441
General Motors Corp. 81,817 4,490
E.I. du Pont de Nemours & Co. 78,051 3,766
International Business Machines Corp. 66,648 3,766
Ford Motor Co. 57,253 3,693
Mobil Corp. 45,970 3,632
BellSouth Corp. 57,126 3,306
Chevron Corp. 37,545 3,271
American International Group, Inc. 36,552 3,207
Amoco Corp. 57,254 3,027
Ameritech Corp. 31,301 2,402
U.S. West Corp. 50,633 2,323
Hewlett-Packard Co. 29,300 2,315
Chrysler Corp. 40,518 2,158
Sears, Roebuck & Co. 40,369 2,129
Atlantic Richfield Co. 18,400 1,937
Texaco, Inc. 29,819 1,927
Time Warner, Inc. 43,199 1,912
BankAmerica Corp. 41,163 1,909
NYNEX Corp. 47,512 1,906
Dow Chemical Co. 31,582 1,792
Pacific Gas & Electric Co. 49,818 1,750
American Express Co. 55,925 1,727
The Boeing Co. 39,127 1,692
Southern Co. 36,843 1,626
* Citicorp 43,246 1,589
J.P. Morgan & Co., Inc. 22,202 1,540
Banc One Corp. 39,316 1,538
NationsBank, Inc. 31,060 1,522
ITT Corp. 13,718 1,252
Chemical Banking Corp. 29,018 1,164
Norfolk Southern Corp. 16,040 1,131
The Seagram Co. Ltd. 42,914 1,121
Texas Utilities Co. 25,635 1,109
Xerox Corp. 11,957 1,069
Weyerhaeuser Co. 23,642 1,055
General Re Corp. 9,776 1,046
Caterpillar, Inc. 11,662 1,038
SCE Corp. 51,616 1,032
Federal Home Loan Mortgage Corp. 20,691 1,032
Raytheon Co. 15,625 1,031
Primerica Corp. 26,242 1,020
Merrill Lynch & Co., Inc. 24,208 1,017
Monsanto Co. 13,680 1,004
Duke Power Co. 23,572 999
Kmart Corp. 46,988 998
International Paper Co. 14,222 964
Rockwell International Corp. 25,375 942
United Technologies Corp. 14,466 897
Northern Telecom Ltd. 28,926 893
Public Service Enterprise Group Inc. 27,819 890
Dominion Resources, Inc. 19,305 876
Archer-Daniels-Midland Co. 38,378 873
Consolidated Edison Co. of New York, Inc. 26,977 867
FPL Group, Inc. 21,669 848
Wells Fargo & Co. 6,437 833
Norwest Corp. 33,498 817
First Union Corp. 19,349 798
The Goodyear Tire & Rubber Co. 17,290 791
American Electric Power Co., Inc. 21,236 788
The Chubb Corp. 10,121 788
PNC Bank Corp. 26,925 781
Aetna Life and Casualty Co. 12,897 779
Baxter International, Inc. 31,848 776
Unocal Corp. 27,800 775
American Brands, Inc. 23,274 774
Philadelphia Electric Co. 25,480 771
Bankers Trust New York Corp. 9,373 742
Entergy Corp. 20,187 727
Houston Industries, Inc. 15,018 715
American General Corp. 24,974 715
The Chase Manhattan Corp. 21,080 714
Deere & Co. 9,644 714
Georgia-Pacific Corp. 10,320 709
* Compaq Computer Corp. 9,551 707
Aluminum Co. of America 10,147 704
Commonwealth Edison Co. 24,604 695
Dean Witter Discover and Co. 19,704 682
Wachovia Corp. 20,000 670
Central & South West Corp. 21,662 655
Corning, Inc. 23,153 648
Cooper Industries, Inc. 13,115 646
Suntrust Banks, Inc. 14,300 643
Burlington Resources, Inc. 15,000 636
Pacificorp 32,212 620
Conrail, Inc. 9,140 611
Salomon, Inc. 12,756 608
Occidental Petroleum Corp. 35,123 601
Textron, Inc. 10,163 592
Upjohn Co. 20,033 583
Air Products & Chemicals, Inc. 13,176 583
* AMR Corp. 8,670 581
First Interstate Bancorp. 8,950 574
Westinghouse Electric Corp. 40,488 572
Carolina Power & Light Co. 18,562 559
* CNA Financial Corp. 7,146 554
R.R. Donnelley & Sons Co. 17,768 553
Hercules, Inc. 4,874 551
Dayton-Hudson Corp. 8,224 549
NBD Bancorp, Inc. 18,538 547
</TABLE>
36
<PAGE> 71
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
USX-Marathon Group 33,021 $ 545
Whirlpool Corp. 8,152 542
Alcan Aluminium Ltd. 25,933 538
* Digital Equipment Corp. 15,519 532
Honeywell, Inc. 15,500 531
Fleet Financial Group, Inc. 15,784 527
American Cyanamid Co. 10,433 524
CIGNA Corp. 8,319 522
The Travelers Corp. 16,433 511
TRW, Inc. 7,370 510
Hershey Foods Corp. 10,400 510
Detroit Edison Co. 16,896 507
Consolidated Natural Gas Co. 10,682 502
Transamerica Corp. 8,829 501
The Times Mirror Co. Class A 14,924 498
Melville Corp. 12,135 493
Dillard Department Stores Class A 12,968 493
Lockheed Corp. 7,216 492
Martin Marietta Corp. 10,944 487
Amerada Hess Corp. 10,678 482
McDonnell Douglas Corp. 4,486 480
Lincoln National Corp. 10,800 470
Barnett Banks of Florida, Inc. 11,254 467
Rohm & Haas Co. 7,836 466
Union Electric Corp. 11,806 463
Ingersoll-Rand Co. 12,029 460
* Federal Express Corp. 6,310 447
W.R. Grace & Co. 10,751 437
St. Paul Cos., Inc. 4,842 435
Capital Holding Corp. 11,712 435
Baltimore Gas & Electric Co. 16,717 424
First Fidelity Bancorp. 9,158 417
Halliburton Co. 13,065 416
First Chicago Corp. 9,614 416
Dow Jones & Co., Inc. 11,440 409
Ohio Edison Co. 17,744 404
Nike, Inc. Class B 8,701 404
Mellon Bank Corp. 7,415 393
Phelps Dodge Corp. 8,058 393
Safeco Corp. 7,160 392
Apple Computer, Inc. 13,376 391
Union Carbide Corp. 17,307 387
Woolworth Corp. 15,011 381
Union Camp Corp. 7,956 379
Knight-Ridder, Inc. 6,324 378
Loral Corp. 9,622 363
Inco Ltd. 13,380 360
Tandy Corp. 7,262 359
Sun Co., Inc. 12,183 358
Champion International Corp. 10,569 353
Household International, Inc. 10,776 352
American Stores Co. 8,144 350
Boatmen's Bancshares, Inc. 11,696 349
Scott Paper Co. 8,456 348
CoreStates Financial Corp. 13,200 344
V F Corp. 7,443 343
USX-U.S. Steel Group 7,892 342
* Sun Microsystems, Inc. 11,605 338
* Litton Industries, Inc. 5,238 337
Coastal Corp. 11,954 336
Hilton Hotels Corp. 5,529 336
Niagara Mohawk Power Corp. 16,529 335
Northern States Power Co. of Minnesota 7,736 334
Dresser Industries, Inc. 16,054 333
General Dynamics Corp. 3,597 332
Alco Standard Corp. 6,000 328
Baker Hughes, Inc. 16,262 325
Panhandle Eastern Corp. 13,752 325
Temple-Inland Inc. 6,394 322
New York Times Co. Class A 12,069 317
Delta Air Lines, Inc. 5,774 315
Becton, Dickinson & Co. 8,756 314
Dana Corp. 5,239 314
Reynolds Metals Co. 6,903 313
The Mead Corp. 6,763 304
Great Western Financial Corp. 15,129 303
SuperValu, Inc. 8,073 293
Williams Cos., Inc. 11,912 290
Sonat, Inc. 9,974 288
Golden West Financial Corp. 7,358 287
U.S. Bancorp 11,430 286
Pennzoil Co. 5,318 283
American Greetings Corp. Class A 8,386 283
Bank of Boston Corp. 12,168 280
Borden, Inc. 16,381 278
TYCO International Ltd. 5,350 276
Brown-Forman Corp. Class B 3,139 274
Westvaco Corp. 7,678 274
Cyprus Amax 10,532 272
Jefferson-Pilot Corp. 5,799 272
Roadway Services, Inc. 4,526 272
National Medical Enterprises, Inc. 19,022 266
Kerr-McGee Corp. 5,844 264
H.F. Ahmanson & Co. 13,303 261
Johnson Controls, Inc. 4,567 243
Ethyl Corp. 13,688 240
Paccar, Inc. 3,907 237
Shawmut National Corp. 10,888 237
Ashland Oil, Inc. 6,806 232
Ryder System, Inc. 8,750 232
Pacific Enterprises 9,700 230
Beneficial Corp. 5,968 228
The Stanley Works 5,100 227
</TABLE>
37
<PAGE> 72
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Maytag Corp. 12,505 $ 225
Armstrong World Industries Inc. 4,207 224
Moore Corp. Ltd. 11,528 220
* Bethlehem Steel Corp. 10,500 214
Liz Claiborne, Inc. 9,377 213
Parker Hannifin Corp. 5,608 212
* National Semiconductor Corp. 13,045 210
Northrop Corp. 5,615 210
Harris Corp. 4,487 204
Brunswick Corp. 11,212 202
Avery Dennison Corp. 6,668 196
* Computer Sciences Corp. 1,943 193
Black & Decker Corp. 9,724 192
* Advanced Micro Devices, Inc. 10,689 190
Oryx Energy Co. 10,959 189
Snap-On Tools Corp. 4,903 186
Continental Corp. 6,564 181
Raychem Corp. 4,800 180
NICOR, Inc. 6,422 180
Polaroid Corp. 5,252 177
Giant Food, Inc. Class A 6,867 177
James River Corp. 9,167 176
PSI Resources, Inc. 6,459 171
E-Systems, Inc. 3,877 168
McDermott International, Inc. 6,334 168
Rite Aid Corp. 10,423 165
* Inland Steel Industries, Inc. 4,752 157
Centex Corp. 3,704 156
Potlatch Corp. 3,264 154
Mercantile Stores Co., Inc. 4,193 152
Grumman Corp. 3,837 152
United States Surgical Corp. 6,498 146
USF&G Corp. 9,835 145
National Service Industries, Inc. 5,615 144
* Tandem Computers, Inc. 12,829 139
Russell Corp. 4,932 139
Pittston Services Group 4,600 133
Thomas & Betts Corp. 2,200 129
ENSERCH Corp. 7,883 128
* Beverly Enterprises Inc. 9,667 128
Millipore Corp. 3,192 128
* Columbia Gas Systems, Inc. 5,645 126
Fleetwood Enterprises, Inc. 5,254 125
EG & G, Inc. 6,600 121
The Timkin Co. 3,588 121
Peoples Energy Corp. 3,898 119
Great Atlantic & Pacific Tea Co., Inc. 4,318 117
The BF Goodrich Co. 2,868 115
Ogden Corp. 5,053 115
Pulte Corp. 3,079 112
Safety-Kleen Corp. 6,805 111
* Clark Equipment Co. 2,100 110
Arkla, Inc. 13,864 109
Trinova Corp. 3,400 107
Federal Paper Board Co., Inc. 5,011 106
Asarco, Inc. 4,623 106
USLIFE Corp. 2,754 106
Fleming Cos., Inc. 4,203 104
Jostens Inc. 5,207 103
Ball Corp. 3,293 100
Giddings & Lewis, Inc. 3,878 98
Boise Cascade Corp. 4,161 98
Kaufman & Broad Home Corp. 4,100 97
Morrison-Knudsen Co., Inc. 3,800 95
Santa Fe Energy Resources Inc. 10,592 95
* Consolidated Freightways, Inc. 3,900 92
* Rowan Cos., Inc. 10,000 90
* USAir Group, Inc. 6,800 88
Tektronix, Inc. 3,600 85
Helmerich & Payne, Inc. 3,000 84
Bruno's Inc. 9,508 83
Amdahl Corp. 13,169 79
* Stone Container Corp. 8,167 79
* Cray Research, Inc. 3,000 77
Yellow Corp. 3,074 76
Alberto-Culver Co. Class B 3,300 76
Springs Industries Inc. Class A 2,000 75
Longs Drug Stores, Inc. 2,249 74
Brown Group, Inc. 2,100 73
Luby's Cafeterias, Inc. 3,100 70
Eastern Enterprises 2,700 69
Adolph Coors Co. Class B 4,257 68
Meredith Corp. 1,700 68
Transco Energy Co. 4,800 68
Harnischfeger Industries Inc. 3,000 67
Community Psychiatric Centers 4,600 64
Bassett Furniture Industries, Inc. 1,775 62
* Ryan's Family Steak Houses, Inc. 6,500 59
Oneok, Inc. 3,000 57
Outboard Marine Corp. 2,500 56
* Intergraph Corp. 5,200 55
NACCO Industries, Inc. Class A 1,000 51
* Bally Manufacturing Corp. 6,000 51
Handleman Co. 3,700 49
Zurn Industries, Inc. 1,600 44
Rollins Environmental Services, Inc. 6,237 36
* Data General Corp. 3,800 36
Oshkosh B Gosh, Inc. Class A 1,800 35
SPX Corp. 1,900 34
First Mississippi Corp. 2,200 29
* Zenith Electronics Corp. 3,900 27
* M/A-Com, Inc. 2,900 25
* National Intergroup, Inc. 1,800 24
Skyline Corp. 1,200 24
</TABLE>
38
<PAGE> 73
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
* Hartmarx Corp. 3,000 $ 21
* National Education Corp. 3,200 20
* Genesco, Inc. 2,000 10
- ----------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (100.1%)
(Cost $182,370) 190,357
- ----------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (1.4%)
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
-----
<S> <C> <C>
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash Account 3.26%, 1/3/94
(Cost $2,699) $2,699 2,699
- ----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.5%)
(Cost $185,069) 193,056
- ----------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.5%)
- ----------------------------------------------------------------------------------------------
Accounts Receivable for Securities Sold 14,397
Other Assets--Note B 2,338
Accounts Payable for Securities Purchased (18,781)
Other Liabilities (899)
------
(2,945)
- ----------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------
Applicable to 16,197,510 Outstanding
Shares of Beneficial Interest
(Unlimited authorization) $190,111
- ----------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $11.74
==============================================================================================
+ See Note A to Financial Statements.
* Non-Income Producing Security.
- ----------------------------------------------------------------------------------------------
AT DECEMBER 31, 1993, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Amount Per
(000) Share
----- -----
<S> <C> <C>
Paid in Capital $179,759 $11.10
Overdistributed Net Investment Income (29) --
Accumulated Net Realized Gains 2,394 .15
Unrealized Appreciation of Investments 7,987 .49
- ----------------------------------------------------------------------------------------------
NET ASSETS $190,111 $11.74
- ----------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE> 74
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees
Vanguard Index Trust
Extended Market Portfolio, Total Stock Market Portfolio
Growth Portfolio and Value Portfolio
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights appearing in the Vanguard Index Trust 1993 Annual Report present
fairly, in all material respects, the financial position of the Extended Market
Portfolio, Total Stock Market Portfolio, Growth Portfolio and Value Portfolio
of Vanguard Index Trust (hereafter referred to as "the Fund") at December 31,
1993, the results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the respective periods
presented, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities by correspondence with the custodians and brokers and the
application of alternative auditing procedures where confirmations from brokers
were not received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 24, 1994
40
<PAGE> 75
(Continued from inside front cover)
toward those of the 1970s. However, the current level of inflation suggests
that future real returns may prove to be satisfactory. Looking forward, the
main risks to the investor are two: (1) that yields on financial assets will
rise sharply, reducing the prices of stocks and bonds alike; and (2) that
inflation, presently at moderate levels, will accelerate.
SOME COURSES OF ACTION
What, if any, present action should be taken by investors to deal with these
two major risks? Should your allocation of assets among stock funds, bond
funds, and money market funds be adjusted? Here are some reasonable courses of
action to consider:
* For long-term investors who have built a substantial balanced portfolio of
stock, bond, and money market funds, stay the course. Even if withdrawing
from the stock market proves to be justified, the next decision--when to
return--will one day be required. "Being right twice" is no mean challenge.
* For long-term investors gradually accumulating assets for, say, retirement,
stay your present course. Continue to invest regularly. By doing so, you
buy more shares of a mutual fund when its price falls, and fewer shares
when its price rises, virtually assuring a reasonable average cost.
* For risk-averse investors who are highly confident that stock prices are
"too high," make only marginal--not "all or nothing"--changes in your
portfolio balance. Given the perils of predicting the future, any changes
should be limited to, say, 15 percentage points. That is, if your normal
portfolio allocation is 60% in stock funds, it might be reduced to 45%; if
85%, to 70%.
* For investors who simply must have more income, never lose sight of the
added principal risk involved in shifting from money market funds to bond
funds. Long-term bond funds provide a generous and durable income stream,
but their prices are highly volatile. Short-term and intermediate-term bond
funds offer a "middle way" of increasing income with more modest risk to
principal.
* For investors who are tempted to find an "easy way" to higher returns,
never forget that risk and reward go hand in hand. Precipitously replacing
certificates of deposit with broad-based common stock funds verges on the
irrational. Funds investing in other securities markets--emerging nations,
international stocks and bonds, and small U.S. companies--carry their own
special risks. Generally, limit such alternative investments to, say, 20%
of your total portfolio.
For all investors, be prepared for sharp interim swings in stock and bond
prices. The central tenet of investing is "prices fluctuate," and sensible
long-term investors simply must take such fluctuations in their stride.
Successful investing is as much a function of your own discipline and
equanimity as it is of the returns available in the securities markets.
THREE ESSENTIAL PRINCIPLES
As we confront the brave new world of investing that may well lie ahead in the
coming decade--and it is important to think in decade-length terms--we would
underscore three caveats:
1. Have "rational expectations" for future returns. At prices prevailing
today, it seems highly unlikely that the returns enjoyed by investors in
the past decade will be repeated in the coming decade.
2. Maintain a balanced portfolio consisting of stock, bond, and money market
funds. Each asset class has its own risk and reward characteristics. By
allocating your resources among the three asset classes according to your
own requirements, you can build a portfolio providing appropriate elements
of capital appreciation, capital conservation, and current income.
3. In balancing risk against reward, be sure to consider cost. Many mutual
funds carry hefty sales charges or high expense ratios, or both. Other
factors held equal, expenses reduce returns, dollar for dollar. Put another
way, high-cost funds must select investments with higher prospective gross
returns--which entail higher risks--to match the net returns earned by
low-cost funds.
This brief Annual Report essay can provide only an elementary look at the
challenges investors face today. History can give us perspective, but it cannot
give us performance. Famed British economist Lord Keynes had it right when he
said, "the inevitable never happens. It is the unexpected always."
<PAGE> 76
THE VANGUARD FAMILY OF FUNDS
MONEY MARKET FUNDS
Vanguard Money Market Reserves
TAX-EXEMPT MONEY MARKET FUNDS
Vanguard Municipal Bond Fund
Money Market Portfolio
Vanguard State Tax-Free Funds
Money Market Portfolios (CA, NJ, OH, PA)
TAX-EXEMPT INCOME FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds
Insured Long-Term Portfolios
(CA, FL, NJ, NY, OH, PA)
FIXED INCOME FUNDS
Vanguard Admiral Funds
Vanguard Bond Index Fund
Vanguard Fixed Income Securities Fund
Vanguard Preferred Stock Fund
BALANCED FUNDS
Vanguard Asset Allocation Fund
Vanguard Balanced Index Fund
Vanguard STAR Fund
Vanguard/Wellesley Income Fund
Vanguard/Wellington Fund
EQUITY FUNDS
GROWTH AND INCOME FUNDS
Vanguard Convertible Securities Fund
Vanguard Equity Income Fund
Vanguard Index Trust
Vanguard Quantitative Portfolios
Vanguard/Trustees' Equity Fund U.S. Portfolio
Vanguard/Windsor Fund
Vanguard/Windsor II
GROWTH FUNDS
Vanguard/Morgan Growth Fund
Vanguard/PRIMECAP Fund
Vanguard U.S. Growth Portfolio
AGGRESSIVE GROWTH FUNDS
Vanguard Explorer Fund
Vanguard Small Capitalization Stock Fund
Vanguard Specialized Portfolios
INTERNATIONAL FUNDS
Vanguard International Equity Index Fund
Vanguard International Growth Portfolio
Vanguard/Trustees' Equity Fund
International Portfolio
[VANGUARD GROUP LOGO]
Vanguard Financial Center * Valley Forge, Pennsylvania 19482
New Account Information 1-(800) 662-7447
Shareholder Account Services: 1-(800) 662-2739
This Report has been prepared for shareholders and
may be distributed to others only if preceded or
accompanied by a current prospectus. All Funds in the
Vanguard Family are offered by prospectus only.
Q400-12/93
<PAGE> 77
EDGAR Appendix
This appendix describes components of the printed version of this
report that do not translate into a format acceptable to the EDGAR system.
The cover of the printed version of this report features the flags of
The United States of America and Vanguard flying from a halyard.
A bar chart called "A Tale of Two Decades" appears on the inside front
cover. This chart illustrates Average Annual Total Return, in nominal and real
terms, of Stocks, Bonds and Reserves (U.S. Treasury bills) for the two decades
since 1973.
A running head featuring the Vanguard flag logo appears at the top of
pages one through 32 and one through 40.
A photograph of John C. Bogle appears at the upper-right of page one.
A line chart of the Indexed Value (Standard & Poor's Growth Index,
Standard & Poor's 500 Index and Standard & Poor's Value Index) of the
Index Trust for the Fiscal Years 1989 through 1993 appears at the upper-left
of page two, nine and ten.
Line charts illustrating cumulative performance of the Vanguard Index
Trust compared to (i) the S&P 500 Index and (ii) Average Growth and
Income Funds for the Fiscal Years 1984 through 1993 appear on page
four.
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