<PAGE> 1
VANGAURD
INDEX TRUST
ANNUAL REPORT 1994
THE VANGUARD VOYAGE . . . STAYING THE COURSE
<PAGE> 2
THE VANGUARD VOYAGE . . . STAYING THE COURSE
WE ARE PRESENTLY OBSERVING TWO MILESTONES IN OUR HISTORY: (1) THE 20TH
ANNIVERSARY OF THE VANGUARD GROUP; AND (2) THE 65TH ANNIVERSARY YEAR OF
WELLINGTON FUND, THE OLDEST MUTUAL FUND ASSOCIATED WITH VANGUARD. WE CELEBRATE
THESE TWO EVENTS SINCE THEY HAVE INDELIBLY ALTERED THE MUTUAL FUND INDUSTRY-IN
OUR VIEW, FOR THE BETTER.
Wellington Fund--a pioneer in the mutual fund industry--began operations on June
30, 1929. Its first fifteen years were a struggle for survival in an industry
that was shaken to its roots by the Great Crash of 1929-1933. From an initial
base of $100,000, Wellington's assets had grown to but $27 million by the end of
World War II. The Vanguard Group was founded on September 24, 1974. Soon
thereafter, we assumed responsibility for the management of Wellington Fund and
ten associated funds, with assets aggregating $1.4 billion.
The years that followed the founding of The Vanguard Group were marked by
exceptional growth. Today, Wellington Fund, with assets of nearly $9 billion,
remains one of the largest mutual funds in the nation. And Vanguard, now
managing 85 mutual fund portfolios, is entrusted with assets of $134 billion,
and ranks as the second largest fund complex in the world.
Our durability in an era of change--and our longevity in an era of
challenge--didn't "just happen." What brought us to where we are today is what
we were when we began. Put another way, we set our original investment course
based on sound principles, and our corporate course based on a single focus:
serving solely the interests of our Fund shareholders.
FOUNDING INVESTMENT PRINCIPLES
The founding investment principles of Wellington Fund were, above all,
conservative. The Fund provided a broadly diversified portfolio at a time when
holding individual securities was the conventional strategy. It incurred no debt
in an era of high leverage that would soon come back to haunt less cautious
investors. And it was a "balanced" fund--in fact, Wellington is America's oldest
balanced fund--with holdings from each of the three basic financial asset
classes: cash reserves, bonds, and common stocks. In short, Wellington Fund was
a staid investment in an era of stock speculation that was to become, almost
within moments, an era of conservatism.
For Vanguard, these investment principles endure. "Balance" is still our
watchword, because the three basic financial asset classes have different--and
usually countervailing--investment characteristics. When it began, Wellington
Fund provided a balanced program in a single investment; in 1994, such a balance
is often achieved by a combination of Vanguard money market, bond, and stock
funds.
"Conservatism," too, remains our standard. Over the years, we have tried
to maintain the discipline to eschew offering funds that lack sound financial
principles, often based on marketplace fads that could not--and did not--endure.
Our conservatism applies not only to the funds we offer, but to the instruments
in which they invest. For example, we have steered clear of exotic derivative
securities with unpredictable investment characteristics. Too many fund managers
have been taken in by these highly risky instruments, and their shareholders
have paid a heavy price--except in cases where the manager has "made the fund
whole," when to do otherwise would have shocked investors and impaired their
confidence in the fund complex.
Speculation, it seems, comes and goes, albeit in different guises. But the
investment principles to which we have adhered since Wellington Fund began in
1929 remain firm:
* We offer Funds with sound and durable investment objectives, designed for
long-term investors.
(please turn to inside back cover)
VANGUARD INDEX TRUST PROVIDES SIX "MARKET INDEX" PORTFOLIOS: 500 PORTFOLIO *
EXTENDED MARKET PORTFOLIO * TOTAL STOCK MARKET PORTFOLIO * GROWTH PORTFOLIO *
VALUE PORTFOLIO * SMALL CAPITALIZATION STOCK PORTFOLIO. EACH PORTFOLIO IS
DESIGNED TO MATCH THE PERFORMANCE OF ITS CORRESPONDING STOCK INDEX.
<PAGE> 3
CHAIRMAN'S LETTER
FELLOW SHAREHOLDER:
While the stock market had its share of ups and downs during 1994, most broad
indicators were to end the year just about where they began. Nonetheless, it was
a noteworthy year for Vanguard Index Trust in at least two respects: (1) the
excellent "tracking" of our various index benchmarks; and (2) the superior
relative performance of the unmanaged Standard & Poor's 500 Stock Index, which
outpaced fully 78% of all conventionally managed mutual funds during the year.
Thus, despite the market's lackluster performance during the year ended
December 31, 1994--Vanguard Index Trust's 18th fiscal year--we can report
relative total returns for our six Portfolios that should be considered fully
satisfactory. This table shows the total return (capital change plus reinvested
dividends) for each of the Index Trust Portfolios during the year:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
Total Return
-----------------------------
Year Ended December 31, 1994
-----------------------------
Comparative
Portfolio Vanguard Index*
- -------------------------------------------------------------------
<S> <C> <C>
LARGE STOCKS
500 PORTFOLIO +1.2% +1.3%
GROWTH PORTFOLIO +2.9 +3.1
VALUE PORTFOLIO -0.7 -0.6
- -------------------------------------------------------------------
MEDIUM AND SMALL STOCKS
EXTENDED MARKET PORTFOLIO -1.8% -2.7%
SMALLCAP PORTFOLIO -0.5 -1.8
- -------------------------------------------------------------------
ALL STOCKS
TOTAL STOCK MARKET PORTFOLIO -0.2% -0.1%
- -------------------------------------------------------------------
</TABLE>
* The respective indexes are: The Standard & Poor's 500 Index, the Standard &
Poor's/BARRA Growth and Value Indexes, the Wilshire 4500 Index, the Russell
2000 Index, and the Wilshire 5000 Index.
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. "Russell 2000" is a registered
trademark of the Frank Russell Company.
The net asset values, income dividends, and any capital gain distributions for
each Portfolio are presented in a table at the close of this letter.
THE STOCK MARKET IN 1994
During the year, the stock market enjoyed four "ups" and endured four "downs." A
pattern of quarterly declines in the late weeks of March, June, and September
was broken when a November to mid-December decline was aborted by a solid
year-end rally, which recaptured most of the year's earlier lost ground. On
balance, the price of the Standard & Poor's 500 Composite Stock Price Index
edged downward just a notch, from 466 when the year began to 459 at its close,
down -1.5%. The positive total return (+1.3%) on the Index, then, was more than
accounted for by the $13 of dividend income that it generated.
As always, there were some important cross-currents in the financial
markets. And in 1994, many of them were just the reverse of 1993. A year ago,
stocks with smaller market capitalizations were ascendant over stocks with large
market capitalizations (which dominate the Standard & Poor's 500 Index). This
year, large cap equities led the way, if by a far more modest margin. So, just
as last year redounded to the benefit of more aggressive small cap investors,
this past year redounded to the benefit of investors in larger, more
conservative equities.
(continued)
[FIGURE 1]
1
<PAGE> 4
[FIGURE 2]
By the same token, in 1993 the returns on value stocks (those with above-average
yields and below-average market price-to-book value ratios) overwhelmingly
dominated the returns on growth stocks (those with the opposite characteristics,
and with above-average prospects for consistent earnings growth). In 1994,
however, growth stocks turned the tables and led the way, if by a far more
modest margin than for value stocks in 1993.
If the performance of the stock market was "so-so" during the past
year, nothing that gentle could be said about the bond market. The total return
on the Lehman Long-Term U.S. Treasury Bond Index was -7.6% (-14.5% decline in
price, partly offset by interest income of +6.9%), as Treasury yields rose from
6.4% to 7.8%. Yields on short-term and intermediate-term bonds also rose
sharply; however, because of their shorter maturities, price declines were much
smaller. This rising rate environment was surely a major factor in dampening the
returns on stocks of all stripes.
A primary cause of the interest rate rise was investor fears about a
resurgence of inflation. So far, at least, the U.S. Consumer Price Index gives
little evidence of it. The CPI has risen just 2.7% over the past twelve months,
although more sensitive indicators--such as commodity prices and producer
prices--have been rising at higher rates.
In an effort to quell inflationary fears, the Federal Reserve acted to
"tighten" the money supply in order to slow economic growth and rein in
potential future inflation. Fully six rate increases--in February, March, April,
May, August, and again in November--combined to raise the Federal funds rate (at
which banks borrow from one another) from 3.00% to 5.50%. Still, the specter of
inflation remains, and further rate increases may well lie in prospect.
To add some perspective to the financial market cross-currents in 1994,
the charts above illustrate the cumulative returns during the past five years
among stocks with distinct investment characteristics. While you can see that
"cycles of superiority" occurred throughout the period among the various market
segments, when all was said and done, the annual rates of returns for the
various classes of stocks over the full five-year span were remarkably
consistent: Growth +8.8%; Value +8.3%; Large Cap +8.7%; Medium Cap +9.1%; and
Small Cap +10.2%.
The long-run tendency of these returns to converge suggests the wisdom
of consistently sticking to your objectives, rather than endeavoring
(fruitlessly,
2
<PAGE> 5
I believe) to switch among these market segments in the search for higher
returns. For investors who want broad market participation, either our 500
Portfolio or our Total Stock Market Portfolio represents a fully-diversified
investment approach. For investors who wish to hold discrete market segments,
our other Index portfolios represent appropriate options--provided that you
maintain your investment program through thick and thin, and resist the
temptation to abandon one strategy and move on to another (inevitably) after
performance disappointments.
I would call your particular attention to the modesty of the rates of
return earned in the various market segments. With the first half of the decade
of the 1990s now behind us, investors who expected equity returns in this decade
to be a reprise of the "Golden Eighties" (when the average annual total return
of the Standard & Poor's 500 Index was +17.5%) are doubtless disappointed.
Nonetheless, we should not lose sight of the fact that the long-term return of
the Index (since 1926) has averaged +10.2% per annum. History, it seems clear,
has a message to give us about maintaining realistic performance expectations.
VANGUARD INDEX TRUST IN 1994
As shown in the comparative table at the start of my letter, our Portfolios,
across the board, did an exemplary job of "tracking" their respective market
segments. Normally, we would expect each Portfolio to exhibit an annual
shortfall of about -0.20% to its benchmark. This shortfall represents our
operating expense ratio (expenses as a percentage of average net assets),
compared to an index which operates in a "paper world," and assumes that the
normal costs of doing business do not exist.
The "real world," of course, is quite different, but we hold our
operating costs to minimal levels, the better to limit the inevitable friction
of costs. Our 0.20% annual expense ratio is, as far as we know, the lowest among
all mutual funds offered to individual investors. It compares with 1.27% for the
average domestic equity fund, resulting in a cost advantage of 1.07% that is a
good part of our performance "secret."
Two other factors also affect our tracking ability. First, all of our
Portfolios incur transaction costs. We have been successful in minimizing these
costs (often at close to zero) in our Portfolios that are dominated by large
capitalization stocks. In our Portfolios that include small and medium cap
stocks, which incur high trading costs, we assess a transaction fee--payable
directly to the Portfolio--on initial investments in order to offset the costs
of investing the new cash flow. This fee, as must be obvious, may exceed or fall
short of our actual costs depending on the timing of cash flows. (In this
regard, I am pleased to note that substantial growth in its assets has enabled
us to reduce the transaction fee--from 1.0% to 0.5%--on purchases of shares in
the Extended Market Portfolio, effective January 1, 1995.)
Second, there is always the possibility of "tracking error" resulting
from adjustments in the composition of the target index. In the smaller cap
Portfolios, some tracking error occurs because we hold a broad sample of the
stocks in the index, "optimized" to reflect, as best we can, the characteristics
of the entire index. Our goal here is to avoid the high transaction costs
associated with trading in very small companies. This tracking error should not
only be nominal, but should be random in nature, sometimes marginally reducing
our relative returns, sometimes marginally increasing them. In 1994, this factor
generally enhanced our results.
The other basis for evaluating our record, of course, is how the
Portfolios' total returns compared with the results of traditionally managed
equity funds. On this factor, we earned high scores. The average general equity
mutual fund provided a negative return of -1.7% during 1994, compared with
returns of +1.2% on our 500 Portfolio and -0.2% on our Total Stock Market
Portfolio. Thus, our winning margins in our broad market Portfolios were +2.9%
and +1.5%, respectively.
The Standard & Poor's 500 Index was a particularly challenging standard
for professional money managers during the past year. The final results for 1994
show that this Index outpaced fully 78% of all general equity mutual funds. (The
Wilshire 5000 Index also gave a fine account of itself, outperforming 63% of all
general equity mutual funds.) So, after three years in which the Standard &
Poor's 500 Index provided "merely" an average performance (outperforming about
50% of active managers), 1994 goes into the record as the second best among the
last 15 years. The best year,
3
<PAGE> 6
[FIGURE 3]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1994
- -------------------------------------------------------------------------
1 Year 5 Years 10 Years
- -------------------------------------------------------------------------
<S> <C> <C> <C>
VANGUARD 500 PORTFOLIO* +1.13% +8.45% +14.00%
AVERAGE GENERAL EQUITY FUND -1.69 +8.89 +12.15
STANDARD & POOR'S 500 INDEX +1.31 +8.68 +14.33
</TABLE>
* Performance figures are adjusted for the annual account maintenance fee of
$10.
Note: Past performance is not predictive of future performance.
incidentally, was in 1989, when the Index outpaced 82% of all managed equity
funds.
A TEN-YEAR PERSPECTIVE
Vanguard's first and largest index fund--the first such mutual fund ever
created--began operations in August 1976. Originally named First Index
Investment Trust, it is now the 500 Portfolio of Vanguard Index Trust. It is our
only Portfolio with a full decade of history, and I would like to offer some
perspective on its returns over this period, beginning with the chart at the top
of this page. (Comparable charts showing the lifetime records of our other five
Portfolios are presented beginning on page 8.)
The record of the 500 Portfolio has clearly been a superior one. During
the past decade, its annual total return (+14.0%) handily outperformed that of
the average general equity mutual fund (+12.2%). If an annual margin of +1.8
percentage points sounds small, I assure you that, compounded over the decade,
it is anything but!
The table that follows compares the ten-year results assuming that an
investor placed $10,000 in both the 500 Portfolio and the average general equity
mutual fund on December 31, 1984, and reinvested all dividend and capital gains
distributions. On December 31, 1994, the investor in the Vanguard 500 Portfolio
would have accumulated $37,090; the investor in the average equity mutual fund,
$31,480. This $5,610 of extra performance is equivalent to fully 56%(!) of the
initial $10,000 investment.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
Total Return
-------------------------------------
Ten Years Ended December 31, 1994
-------------------------------------
Annual Rate Final Value of Initial
of Return Investment of $10,000
- -------------------------------------------------------------------
<S> <C> <C>
VANGUARD 500 PORTFOLIO +14.0% $37,090
AVERAGE GENERAL
EQUITY MUTUAL FUND +12.2 31,480
- -------------------------------------------------------------------
INDEX ADVANTAGE + 1.8% $ 5,610
- -------------------------------------------------------------------
</TABLE>
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 illustrated.
4
<PAGE> 7
Hard as it may be to believe, the table actually understates "the Index
Advantage" in two major respects:
* First, it ignores income taxes. This adjustment would affect both
investments, but would place a much larger burden on the average equity
mutual fund (which tends to realize and distribute substantial--and
taxable--capital gains) than on an index fund (which, by reason of its low
portfolio turnover, tends to realize a much smaller proportion of the capital
appreciation it achieves).
* Second, it ignores sales charges. While our index funds are purchased on a
"no-load" (no sales commission) basis, most mutual funds carry hefty initial
sales charges, meaning that the return shown in the table is earned, not on
100% of the initial investment as in our index funds, but on about 95% of the
investment (i.e., assuming the initial investment carried a sales charge of
5%).
While it requires some "higher mathematics" to make the income tax
adjustment, two Stanford professors have done just that, and their conclusions
leave no doubt about the index advantage. Adjusting for sales charges is not so
difficult, and the chart below shows the results, relative to the 500 Portfolio,
of all 246 "growth" and "value" funds in operation throughout the past decade.
The chart makes it obvious that far more funds (197) fall short of the
500 Portfolio than surpass it (49 funds). Even more importantly, it shows how
difficult it has been for even the best-managed equity funds to beat the 500
Portfolio by what might be called a "statistically significant" margin.
Indeed, only 11 funds (4% of the total) outpaced our Portfolio by
more than 2 percentage points in annual return; on the other hand, fully 104
funds (42% of the total) fell short by more than 2 percentage points annually.
It is a dramatic contrast.
There are, to be sure, a number of fund managers who have, in the past,
outpaced the 500 Portfolio with some consistency. And many investors will, and
do, seek them out, no matter how difficult it is to select superior managers in
advance. Such investors should realize that "the odds" are fairly long, and that
their chances of doing so are enhanced by making their selections from among
funds without sales charges and with relatively low expense ratios. In the final
analysis, it is not alchemy, but cost efficiency, that drives the index
advantage.
(continued)
[FIGURE 4]
5
<PAGE> 8
INDEX FUNDS BEGIN TO COME OF AGE
The assets of Vanguard Index Trust at the end of our first fiscal year, December
31, 1976, were $14 million. By the end of 1985, when our assets had reached $394
million, the industry began to take note. Our first follower began an index fund
in mid-1986; today there are 137 index mutual funds of various types. The assets
of these funds total $35 billion, of which the Vanguard Index Funds comprise
over $19 billion, a dominant (54%) market share.
Yet index fund assets remain an almost trivial factor in the mutual
fund industry. They represent but 4% of the $900 billion invested in equity
mutual funds as a group. The reasons are not hard to find: (1) indexing is
counterintuitive (can passive management really outpace active management?); (2)
"hope springs eternal" among investors who believe they can identify
top-performing managers in advance; (3) index funds must be "bought, not sold,"
since a sales commission would defeat their very purpose of matching the market;
and (4) there is not much profit in managing an index fund. The annual cost of
portfolio supervision of a large index portfolio is about 0.01% of assets (the
remainder of our 0.20% expense ratio results from administrative expenses and
modest marketing costs). Many active managers, on the other hand, receive
advisory fees of 0.50% to 1.00% of assets--fifty to one-hundred times as
much--not to mention the additional administrative charges.
With our "at-cost" operating structure, no other index fund has
succeeded in matching our expense ratio. Most of our competitors have been
dragged "kicking and screaming" into indexing, making index funds available
because it is obvious that the marketplace will increasingly demand them.
Nonetheless, their expense ratios are far higher than our 0.20% ratio; they
average about 0.74% annually, a cost increase of 270%. With low cost being the
key to the index strategy, the six Portfolios of Vanguard Index Trust are
clearly second to none when the intelligent investor selects an index fund.
IN SUMMARY
Index funds are a means--and a very efficient and productive means at that--of
investing in the stock market. However, while common stocks have provided the
best long-term returns of any class of security, they continue to carry
significant short-term risks. A year ago, I noted that "with stock yields at
extremely low levels on an historical basis, it would be logical to assume that
the risks involved in stocks are higher than historical norms." Today, stock
yields remain at relatively low levels, and I reiterate that warning.
These comments are in no way intended to derogate the long-term merits
of investing in stocks--particularly using an index-oriented strategy. Rather,
they are 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.
Indexing, when all is said and done, has proven to be a remarkably
successful investment strategy. The theory always said it would be; we are
delighted to have pioneered--successfully, I believe--the translation of theory
into practice. We shall "stay the course" with the Trust's market-indexed
Portfolios, and trust that you will do the same.
Sincerely,
/s/ JOHN C. BOGLE
- ---------------------
John C. Bogle
Chairman of the Board
January 10, 1995
Note: Mutual fund data from Lipper Analytical Services, Inc.
6
<PAGE> 9
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
---------------------------------------------- DIVIDENDS PER SHARE FROM
INDEX TRUST PORTFOLIO DECEMBER 31, 1993 DECEMBER 31, 1994 NET INVESTMENT INCOME*
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 ............................. $43.83 $42.97 $1.17
EXTENDED MARKET ................. 19.43 18.52 0.28
TOTAL STOCK MARKET .............. 11.69 11.37 0.27
GROWTH ......................... 10.20 10.28 0.21
VALUE ........................... 11.74 11.12 0.38
SMALLCAP ........................ 15.67 14.99 0.22
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* In addition, distributions from net realized capital gains were paid by the
following Portfolios: 500 ($.20 per share), Extended Market ($.29 per share),
Total Stock Market ($.03 per share), Value ($.16 per share), and SmallCap
($.37 per share).
AVERAGE ANNUAL TOTAL RETURNS--THE AVERAGE ANNUAL TOTAL RETURNS FOR THE
PORTFOLIOS (PERIODS ENDED DECEMBER 31, 1994) ARE AS FOLLOWS:
<TABLE>
<CAPTION>
10 YEARS
------------------------------------
INCEPTION TOTAL CAPITAL INCOME
INDEX TRUST PORTFOLIO DATE 1 YEAR 5 YEARS RETURN RETURN RETURN
- --------------------- --------- ------ ------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C>
500* 8/31/76 +1.13% + 8.45% +14.00% +10.41% +3.59%
EXTENDED MARKET** 12/21/87 -2.79 + 8.77 +12.29+ +10.47+ +1.82+
TOTAL STOCK MARKET*** 4/27/92 - .46 + 7.53+ -- -- --
GROWTH* 11/2/92 +2.80 + 3.44+ -- -- --
VALUE* 11/2/92 - .79 + 9.51+ -- -- --
SMALLCAP** 10/3/60 -1.56 +10.37 + 9.93 + 8.90 +1.03
</TABLE>
ALL OF THESE 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.
7
<PAGE> 10
CUMULATIVE PERFORMANCE (continued)
[FIGURE 5]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1994
- --------------------------------------------------------------
1 Year 5 Years Since Inception*
- --------------------------------------------------------------
<S> <C> <C> <C>
EXTENDED MARKET PORTFOLIO** -2.79% +8.77% +12.36%
AVERAGE GROWTH FUND -2.17 +8.45 +11.51
WILSHIRE 4500 INDEX -2.66 +9.12 +12.71
</TABLE>
* Inception: December 21, 1987. Performance begins December 31, 1987, to show
competitive data.
** Performance figures are adjusted for the 1% portfolio transaction fee on
purchases and the $10 annual account maintenance fee.
Note: Past performance is not predictive of future performance.
[FIGURE 6]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1994
- ------------------------------------------------------------------
1 Year Since Inception*
- ------------------------------------------------------------------
<S> <C> <C>
TOTAL STOCK MARKET PORTFOLIO** -0.46% +6.96%
AVERAGE GENERAL EQUITY FUND -1.69 +7.43
WILSHIRE 5000 INDEX -0.06 +7.46
</TABLE>
* Inception: April 27, 1992. Performance begins April 30, 1992, to show
competitive data.
** Performance figures are adjusted for the .25% portfolio transaction fee on
purchases and the $10 annual account maintenance fee.
Note: Past performance is not predictive of future performance.
8
<PAGE> 11
[FIGURE 7]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1994
- -----------------------------------------------------------------
1 Year Since Inception*
- -----------------------------------------------------------------
<S> <C> <C>
GROWTH PORTFOLIO** +2.80% +2.30%
AVERAGE GROWTH FUND -2.17 +4.76
STANDARD & POOR'S GROWTH INDEX +3.13 +2.62
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1994
- -----------------------------------------------------------------
1 Year Since Inception*
- -----------------------------------------------------------------
<S> <C> <C>
VALUE PORTFOLIO** -0.79% +8.85%
AVERAGE VALUE FUND -0.76 +5.58
STANDARD & POOR'S VALUE INDEX -0.64 +9.13
</TABLE>
* Inception: November 2, 1992. Performance begins November 30, 1992, to show
competitive data.
** Performance figures are adjusted for the $10 annual account maintenance fee.
Note: Past performance is not predictive of future performance.
9
<PAGE> 12
CUMULATIVE PERFORMANCE (continued)
[FIGURE 8]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1994
- ----------------------------------------------------------------
1 Year 5 Years 10 Years
- ----------------------------------------------------------------
<S> <C> <C> <C>
SMALLCAP STOCK PORTFOLIO* -1.56% +10.37% + 9.93%
AVERAGE SMALLCAP FUND -0.72 +12.30 +13.05
RUSSELL 2000 INDEX -1.82 +10.20 +11.54
</TABLE>
* Performance figures are adjusted for the 1% transaction fee on purchases and
the annual account maintenance fee of $10. Includes period prior to the
Portfolio's conversion in September 1989 from an actively managed portfolio to
a passively managed portfolio.
Note: Past performance is not predictive of future performance.
10
<PAGE> 13
TOTAL INVESTMENT RETURN TABLE
The following table illustrates the results of a single share investment in
VANGUARD INDEX TRUST-500 PORTFOLIO since inception through December 31, 1994.
During the period illustrated, stock prices fluctuated widely; these results
should not be considered 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>
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD PER SHARE DATA TOTAL INVESTMENT RETURN*
- ------------------------------------------------------------------------------------------------------------------------------------
500 Portfolio
Value with Income --------------------------------- S&P 500
Year Ended Net Asset Capital Gains Income Dividends & Capital Capital Income Total Index Total
December 31 Value Distributions Dividends Gains Reinvested Return Return Return Return
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INITIAL (8/76) $14.15 -- -- $ 14.15 -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
1976 14.73 -- $ .17 14.90 + 4.1% +1.2% + 5.3% + 5.8%
- ------------------------------------------------------------------------------------------------------------------------------------
1977 13.01 -- .57 13.73 -11.7 +3.7 - 8.0 - 7.2
- ------------------------------------------------------------------------------------------------------------------------------------
1978 13.11 -- .65 14.54 + 0.8 +5.0 + 5.8 + 6.5
- ------------------------------------------------------------------------------------------------------------------------------------
1979 14.64 $ .06 .75 17.16 +12.1 +5.9 +18.0 +18.4
- ------------------------------------------------------------------------------------------------------------------------------------
1980 17.84 .53 .83 22.64 +25.5 +6.4 +31.9 +32.4
- ------------------------------------------------------------------------------------------------------------------------------------
1981 15.52 .56 .83 21.46 - 9.8 +4.6 - 5.2 - 4.9
- ------------------------------------------------------------------------------------------------------------------------------------
1982 17.56 .25 .83 25.96 +14.8 +6.1 +20.9 +21.5
- ------------------------------------------------------------------------------------------------------------------------------------
1983 19.70 .71 .87 31.49 +16.2 +5.1 +21.3 +22.5
- ------------------------------------------------------------------------------------------------------------------------------------
1984 19.52 .48 .88 33.45 + 1.5 +4.7 + 6.2 + 6.2
- ------------------------------------------------------------------------------------------------------------------------------------
1985 22.29 1.61 .91 43.89 +26.1 +5.1 +31.2 +31.6
- ------------------------------------------------------------------------------------------------------------------------------------
1986 24.27 2.02 .89 51.82 +14.0 +4.0 +18.0 +18.6
- ------------------------------------------------------------------------------------------------------------------------------------
1987 24.65 .17 .69 54.26 + 2.3 +2.4 + 4.7 + 5.2
- ------------------------------------------------------------------------------------------------------------------------------------
1988 27.18 .32 1.10 63.06 +11.6 +4.6 +16.2 +16.5
- ------------------------------------------------------------------------------------------------------------------------------------
1989 33.64 .75 1.20 82.84 +26.7 +4.6 +31.3 +31.6
- ------------------------------------------------------------------------------------------------------------------------------------
1990 31.24 .10 1.17 80.08 - 6.8 +3.4 - 3.4 - 3.1
- ------------------------------------------------------------------------------------------------------------------------------------
1991 39.32 .12 1.15 104.28 +26.3 +3.9 +30.2 +30.4
- ------------------------------------------------------------------------------------------------------------------------------------
1992 40.97 .10 1.12 112.03 + 4.4 +3.0 + 7.4 + 7.6
- ------------------------------------------------------------------------------------------------------------------------------------
1993 43.83 .03 1.13 123.11 + 7.1 +2.7 + 9.8 +10.1
- ------------------------------------------------------------------------------------------------------------------------------------
1994 42.97 .20 1.17 124.56 - 1.5 +2.6 + 1.1 + 1.3
- ------------------------------------------------------------------------------------------------------------------------------------
LIFETIME +773.0% +841.9%
- ------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL RATE OF RETURN +12.5% +13.0%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Adjusted to include reinvestment of income dividends and any capital gains
distributions both for the Fund and the Index. Fund performance also adjusted
for $10 annual account maintenance fee.
Note: No adjustment has been made for income taxes payable by shareholders on
reinvested income dividends and capital gains distributions.
11
<PAGE> 14
TOTAL INVESTMENT RETURN TABLE (continued)
The following table illustrates the results of a single share investment in
VANGUARD INDEX TRUST-EXTENDED MARKET PORTFOLIO since inception through December
31, 1994. During the period, stock prices fluctuated widely; these results
should not be considered 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>
- -----------------------------------------------------------------------------------------------------------------------------------
PERIOD PER SHARE DATA TOTAL INVESTMENT RETURN*
- -----------------------------------------------------------------------------------------------------------------------------------
Extended Market Portfolio
Value with Income --------------------------------- Wilshire 4500
Year Ended Net Asset Capital Gains Income Dividends & Capital Capital Income Total Index Total
December 31 Value Distributions Dividends Gains Reinvested Return Return Return Return
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INITIAL (12/87) $10.00 -- -- $10.00 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
1987 9.99 -- -- 9.99 - 1.1% 0.0% - 1.1% + 0.5%
- -----------------------------------------------------------------------------------------------------------------------------------
1988 11.60 $.16 $.20 11.96 +16.6 +1.9 +18.5 +20.5
- -----------------------------------------------------------------------------------------------------------------------------------
1989 13.92 .23 .23 14.85 +20.9 +1.9 +22.8 +23.9
- -----------------------------------------------------------------------------------------------------------------------------------
1990 11.48 .16 .33 12.76 -17.3 +2.3 -15.0 -13.6
- -----------------------------------------------------------------------------------------------------------------------------------
1991 15.82 .20 .25 18.10 +38.2 +2.2 +40.4 +43.5
- -----------------------------------------------------------------------------------------------------------------------------------
1992 17.35 .18 .25 20.36 + 9.7 +1.6 +11.3 +11.9
- -----------------------------------------------------------------------------------------------------------------------------------
1993 19.43 .20 .23 23.31 +12.0 +1.3 +13.3 +14.6
- -----------------------------------------------------------------------------------------------------------------------------------
1994 18.52 .29 .28 22.90 - 4.2 +1.4 - 2.8 - 2.7
- -----------------------------------------------------------------------------------------------------------------------------------
LIFETIME +125.8% +132.2%
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL
RATE OF RETURN +12.3% +12.7%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Adjusted to include reinvestment of income dividends and any capital gains
distributions both for the Fund and the Index. Fund performance also adjusted
for the 1% transaction fee on purchases and the $10 annual account maintenance
fee.
Note: No adjustment has been made for income taxes payable by shareholders on
reinvested income dividends and capital gains distributions.
12
<PAGE> 15
The following table illustrates the results of a single share investment in
VANGUARD INDEX TRUST-SMALL CAPITALIZATION STOCK PORTFOLIO for the 20-year period
ended December 31, 1994, including the period prior to its conversion in
September 1989 from an actively managed portfolio to a passively managed
portfolio. During the period illustrated, stock prices fluctuated widely; these
results should not be considered a representation of the dividend income or
capital gain or loss which may be realized from an investment made in the
Portfolio today.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PERIOD PER SHARE DATA* TOTAL INVESTMENT RETURN**
- ------------------------------------------------------------------------------------------------------------------------------------
Value with Income Small Capitalization Stock Portfolio Russell
Year Ended Net Asset Capital Gains Income Dividends & Capital ------------------------------------------ 2000+
December 31 Value Distributions Dividends Gains Reinvested Capital Return Income Return Total Return Total Return
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1975 $ 9.61 $ .03 $ .19 $ 9.83 +22.6% + 2.4% +25.0% +40.9%
- ------------------------------------------------------------------------------------------------------------------------------------
1976 11.52 .02 .13 11.95 +18.8 + 1.5 +20.3 +32.8
- ------------------------------------------------------------------------------------------------------------------------------------
1977 10.99 1.04 .21 12.74 + 3.7 + 1.8 + 5.5 + 7.4
- ------------------------------------------------------------------------------------------------------------------------------------
1978 9.72 1.75 .25 13.60 + 3.4 + 2.3 + 5.7 +14.5
- ------------------------------------------------------------------------------------------------------------------------------------
1979 11.71 .90 .34 18.28 +29.3 + 3.7 +33.0 +43.1
- ------------------------------------------------------------------------------------------------------------------------------------
1980 14.14 2.54 .13 26.33 +41.5 + 1.1 +42.6 +38.6
- ------------------------------------------------------------------------------------------------------------------------------------
1981 13.74 -- -- 25.57 - 3.9 0.0 - 3.9 + 2.0
- ------------------------------------------------------------------------------------------------------------------------------------
1982 15.67 3.03 .34 37.45 +42.0 + 2.9 +44.9 +24.9
- -----------------------------------------------------------------------------------------------------------------------------------
1983 15.97 2.51 -- 44.26 +16.9 0.0 +16.9 +29.1
- ------------------------------------------------------------------------------------------------------------------------------------
1984 11.95 -- -- 33.12 -26.0 0.0 -26.0 - 7.3
- ------------------------------------------------------------------------------------------------------------------------------------
1985 13.56 .77 .15 40.74 +20.3 + 1.4 +21.7 +31.1
- ------------------------------------------------------------------------------------------------------------------------------------
1986 11.70 1.89 -- 40.82 - 0.9 0.0 - 0.9 + 5.7
- ------------------------------------------------------------------------------------------------------------------------------------
1987 9.65 1.21 -- 37.97 - 8.0 0.0 - 8.0 - 8.8
- ------------------------------------------------------------------------------------------------------------------------------------
1988 11.97 -- .06 47.33 +22.8 + 0.5 +23.3 +24.9
- ------------------------------------------------------------------------------------------------------------------------------------
1989 11.07 2.17 .13 52.32 + 8.3 + 1.0 + 9.3 +16.2
- ------------------------------------------------------------------------------------------------------------------------------------
1990 8.74 .14 .18 42.83 -20.6 + 1.6 -19.0 -19.5
- ------------------------------------------------------------------------------------------------------------------------------------
1991 12.19 .29 .18 62.22 +41.6 + 2.1 +43.7 +46.1
- ------------------------------------------------------------------------------------------------------------------------------------
1992 14.07 .15 .18 73.54 +15.5 + 1.4 +16.9 +18.4
- ------------------------------------------------------------------------------------------------------------------------------------
1993 15.67 .82 .18 87.30 +16.2 + 1.3 +17.5 +18.9
- ------------------------------------------------------------------------------------------------------------------------------------
1994 14.99 .37 .22 86.85 - 2.9 + 1.3 - 1.6 - 1.8
- ------------------------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL +1,003.0% +1,975.2%
- ------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL RATE OF RETURN +12.8% +16.4%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Adjusted for 3-for-1 stock split, February 23, 1990.
** Adjusted to include reinvestment of income dividends and any capital gains
distributions. Also adjusted for the 1% transaction fee on purchases and
the $10 annual account maintenance fee.
+ Wilshire 4500 Index through 1978; Russell 2000 Index thereafter.
Note: The initial net asset value was $7.79 on December 31, 1974. No adjustment
has been made for income taxes payable by shareholders on reinvested income
dividends and capital gains distributions.
13
<PAGE> 16
FINANCIAL STATEMENTS
December 31, 1994
STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
Market
Value
500 PORTFOLIO Shares (000)+
- -------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- -------------------------------------------------------------------
General Electric Co. 4,776,418 $243,597
AT&T Corp. 4,366,856 219,434
Exxon Corp. 3,468,414 210,706
The Coca-Cola Co. 3,592,061 184,991
Royal Dutch Petroleum Co. 1,497,671 161,000
Philip Morris Cos., Inc. 2,401,006 138,058
Wal-Mart Stores, Inc. 6,420,789 136,442
Merck & Co., Inc. 3,515,571 134,031
International Business
Machines Corp. 1,640,427 120,571
Procter & Gamble Co. 1,914,807 118,718
E.I. du Pont de Nemours & Co. 1,902,258 107,002
* Microsoft Corp. 1,627,056 99,454
Johnson & Johnson 1,795,318 98,294
Motorola, Inc. 1,637,953 94,797
Mobil Corp. 1,110,361 93,548
General Motors Corp. 2,105,286 88,948
American International
Group, Inc. 883,010 86,535
Bristol-Myers Squibb Co. 1,426,693 82,570
Amoco Corp. 1,388,221 82,079
GTE Corp. 2,687,660 81,638
Chevron Corp. 1,820,636 81,246
PepsiCo, Inc. 2,212,739 80,212
Ford Motor Co. 2,851,561 79,844
BellSouth Corp. 1,386,367 75,037
Intel Corp. 1,157,698 73,659
Abbott Laboratories, Inc. 2,252,606 73,491
Hewlett-Packard Co. 710,214 70,933
The Walt Disney Co. 1,495,036 68,959
Pfizer, Inc. 879,422 67,935
SBC Communications, Inc. 1,675,347 67,642
Minnesota Mining &
Manufacturing Co. 1,174,760 62,703
Ameritech Corp. 1,537,918 62,093
Bell Atlantic Corp. 1,218,731 60,632
Home Depot, Inc. 1,262,671 58,083
McDonald's Corp. 1,951,467 57,080
Federal National Mortgage Assn. 763,519 55,641
American Home Products Corp. 854,511 53,621
Eli Lilly & Co. 816,319 53,571
Unilever NV 447,073 52,084
Dow Chemical Co. 774,136 52,061
Chrysler Corp. 990,270 48,523
Gillette Co. 618,338 46,221
Atlantic Richfield Co. 448,917 45,677
Citicorp 1,099,784 45,504
U.S. West Corp. 1,273,762 45,378
Eastman Kodak Co. 948,991 45,314
Sears, Roebuck & Co. 982,400 45,190
The Boeing Co. 952,129 44,512
Texaco, Inc. 724,912 43,404
NYNEX Corp. 1,179,160 43,334
American Express Co. 1,420,473 41,904
BankAmerica Corp. 1,037,960 40,999
* AirTouch Communications 1,378,879 40,160
Schering-Plough Corp. 531,775 39,351
Emerson Electric Co. 625,802 39,113
* Viacom International Class B 926,967 37,658
Time Warner, Inc. 1,059,434 37,213
Columbia/HCA Healthcare Corp. 1,011,568 36,922
Anheuser-Busch Co., Inc. 723,638 36,815
Capital Cities/ABC, Inc. 430,372 36,689
Southern Co. 1,825,553 36,511
Kellogg Co. 621,165 36,105
WMX Technologies Inc. 1,351,840 35,486
* Oracle Systems Corp. 799,481 35,277
MCI Communications Corp. 1,898,502 34,885
NationsBank, Inc. 772,575 34,862
* Tele-Communications, Inc.
Class A 1,595,520 34,703
Schlumberger Ltd. 680,044 34,257
Sara Lee Corp. 1,344,323 33,944
Pacific Telesis Group 1,184,794 33,767
Caterpillar, Inc. 566,053 31,204
The Seagram Co. Ltd. 1,040,510 30,695
Campbell Soup Co. 693,794 30,614
Archer-Daniels-Midland Co. 1,441,277 29,726
J.P. Morgan & Co., Inc. 527,794 29,556
Pacific Gas & Electric Co. 1,207,695 29,438
Xerox Corp. 295,686 29,273
J.C. Penney Co., Inc. 652,156 29,102
Travelers Inc. 895,211 29,094
Warner-Lambert Co. 375,849 28,940
Banc One Corp. 1,134,023 28,776
* COMPAQ Computer Corp. 721,933 28,516
General Re Corp. 228,572 28,286
Sprint Corp. 973,666 26,898
Allied-Signal, Inc. 790,603 26,880
ITT Corp. 298,101 26,419
International Paper Co. 349,361 26,333
Union Pacific Corp. 572,983 26,142
The Dun & Bradstreet Corp. 474,387 26,091
Colgate-Palmolive Co. 405,014 25,668
Federal Home Loan Mortgage Corp. 503,656 25,435
H.J. Heinz Co. 689,015 25,321
* Cisco Systems, Inc. 719,960 25,199
General Mills, Inc. 440,608 25,115
Chemical Banking Corp. 682,929 24,500
* Toys R Us, Inc. 795,463 24,262
Phillips Petroleum Co. 730,886 23,937
Northern Telecom Ltd. 706,565 23,582
Raytheon Co. 366,965 23,440
May Department Stores Co. 693,836 23,417
- -------------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 5,890,477
- -------------------------------------------------------------------
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------
<S> <C> <C>
Automatic Data Processing, Inc. 393,370 $ 23,012
Monsanto Co. 324,812 22,899
Norfolk Southern Corp. 376,298 22,813
Kimberly-Clark Corp. 446,631 22,555
Baxter International, Inc. 790,553 22,333
PPG Industries, Inc. 593,321 22,027
CPC International, Inc. 411,856 21,931
United Technologies Corp. 348,297 21,899
Rockwell International Corp. 612,111 21,883
* Amgen, Inc. 370,677 21,824
Duke Power Co. 572,355 21,821
Computer Associates
International, Inc. 449,274 21,790
American Barrick Resources 977,772 21,755
United Healthcare Corp. 480,482 21,682
ConAgra, Inc. 691,858 21,621
Aluminum Co. of America 249,183 21,585
Enron Corp. 705,447 21,516
Weyerhaeuser Co. 573,692 21,513
AMP, Inc. 293,056 21,320
American Brands, Inc. 561,610 21,060
Wells Fargo & Co. 145,171 21,050
Gannett Co., Inc. 388,212 20,672
Albertson's, Inc. 707,279 20,511
CSX Corp. 292,661 20,377
Tenneco, Inc. 477,914 20,311
First Union Corp. 490,813 20,307
Texas Utilities Co. 629,811 20,154
Norwest Corp. 860,673 20,118
Texas Instruments, Inc. 258,335 19,343
Merrill Lynch & Co., Inc. 531,200 18,990
Corning, Inc. 634,526 18,956
The Chubb Corp. 243,033 18,805
Unocal Corp. 678,777 18,497
FPL Group, Inc. 520,978 18,299
U.S. Healthcare, Inc. 446,127 18,291
SCE Corp. 1,248,826 18,264
The Limited, Inc. 998,763 18,103
Public Service Enterprise Group Inc. 682,425 18,084
Georgia-Pacific Corp. 252,262 18,037
Medtronic, Inc. 320,397 17,822
* Novell, Inc. 1,031,420 17,534
The Chase Manhattan Corp. 505,594 17,380
Dominion Resources, Inc. 480,605 17,182
KeyCorp 679,167 16,979
American Electric Power Co., Inc. 515,585 16,950
Consolidated Edison Co. of
New York, Inc. 655,120 16,869
Occidental Petroleum Corp. 871,307 16,773
Kmart Corp. 1,271,274 16,527
Marsh & McLennan, Inc. 205,573 16,292
American General Corp. 573,426 16,199
Dean Witter Discover & Co. 475,695 16,114
Wm. Wrigley, Jr. Co. 324,308 16,013
Deere & Co. 240,979 15,965
Alcan Aluminium Ltd. 625,641 15,876
ALLTEL Corp. 523,199 15,761
SunTrust Banks, Inc. 328,901 15,705
McDonnell Douglas Corp. 110,345 15,669
Browning-Ferris Industries, Inc. 548,314 15,558
UST, Inc. 560,261 15,547
Lowes Cos., Inc. 443,871 15,425
Wachovia Corp. 477,067 15,385
Nike, Inc. Class B 204,376 15,252
PECO Energy Corp. 617,991 15,141
Walgreen Co. 343,241 15,017
Upjohn Co. 482,977 14,852
Aetna Life & Casualty Co. 314,138 14,804
First Data Corp. 306,238 14,508
Scott Paper Co. 209,774 14,501
Placer Dome Group, Inc. 664,909 14,462
First Interstate Bancorp. 212,609 14,378
International Flavors &
Fragrances, Inc. 310,743 14,372
Unicom Corp. 597,301 14,335
PacifiCorp 789,624 14,312
The Goodyear Tire & Rubber Co. 422,051 14,191
Dayton-Hudson Corp. 199,662 14,126
Air Products & Chemicals, Inc. 315,690 14,088
Illinois Tool Works, Inc. 317,386 13,886
Entergy Corp. 634,117 13,871
PNC Bank Corp. 654,986 13,837
Pitney Bowes, Inc. 434,682 13,801
Nucor Corp. 243,198 13,497
* Digital Equipment Corp. 398,116 13,237
Sysco Corp. 510,840 13,154
USX-Marathon Group 800,909 13,115
Houston Industries, Inc. 366,182 13,045
Rubbermaid, Inc. 450,725 12,958
Apple Computer, Inc. 331,749 12,855
Lockheed Corp. 176,137 12,792
CIGNA Corp. 201,436 12,741
R.R. Donnelley & Sons Co. 427,822 12,621
Hercules, Inc. 109,210 12,600
Mellon Bank Corp. 409,737 12,548
Micron Technology Inc. 284,188 12,540
Mattel, Inc. 497,788 12,507
Textron, Inc. 247,461 12,466
Ralston-Purina Group 278,977 12,449
The Gap, Inc. 406,786 12,407
Genuine Parts Co. 343,879 12,380
Burlington Resources, Inc. 353,594 12,376
First Chicago Corp. 256,143 12,231
- -------------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 7,584,263
- -------------------------------------------------------------------
15
</TABLE>
<PAGE> 18
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------
<S> <C> <C>
Fleet Financial Group, Inc. 376,270 $ 12,229
Phelps Dodge Corp. 197,192 12,201
Union Carbide Corp. 414,453 12,175
Westinghouse Electric Corp. 992,072 12,153
Bankers Trust New York Corp. 216,747 12,002
Central & South West Corp. 529,752 11,986
Burlington Northern, Inc. 248,839 11,975
TRW, Inc. 180,883 11,938
NBD Bancorp, Inc. 434,836 11,904
Amerada Hess Corp. 259,308 11,831
Martin Marietta Corp. 265,071 11,763
Morton International, Inc. 412,187 11,747
Hershey Foods Corp. 241,885 11,701
Carolina Power & Light Co. 438,577 11,677
Eastman Chemical 230,594 11,645
Avon Products, Inc. 194,115 11,598
Quaker Oats Co. 372,266 11,447
* DSC Communications Corp. 316,090 11,379
Honeywell, Inc. 360,095 11,343
* AMR Corp. 211,594 11,267
The Times Mirror Co. Class A 358,715 11,255
Conrail, Inc. 220,036 11,112
Salomon, Inc. 295,113 11,067
Cooper Industries, Inc. 321,527 10,972
Great Lakes Chemical Corp. 190,405 10,853
National City Corp. 418,796 10,836
H & R Block, Inc. 290,751 10,794
Rohm & Haas Co. 188,794 10,785
American Stores Co. 398,128 10,700
Winn Dixie Stores, Inc. 206,593 10,614
Detroit Edison Co. 403,923 10,552
Whirlpool Corp. 207,876 10,550
Halliburton Co. 318,138 10,538
Eaton Corp. 212,745 10,531
St. Paul Cos., Inc. 234,703 10,503
Barnett Banks, Inc. 270,454 10,379
The Tribune Co. 186,793 10,227
First Fidelity Bancorp. 227,740 10,220
CoreStates Financial Corp. 392,378 10,202
W.R. Grace & Co. 262,220 10,128
Masco Corp. 445,731 10,085
Union Electric Corp. 284,796 10,075
Household International, Inc. 268,628 9,973
Fluor Corp. 230,022 9,920
Tyco International Ltd. 205,220 9,748
Transamerica Corp. 195,917 9,747
Marriott International 345,996 9,731
MBNA Corp. 414,073 9,679
Dresser Industries, Inc. 512,515 9,674
CINergy Corp. 412,051 9,632
Nordstrom, Inc. 229,053 9,620
Alco Standard Corp. 152,170 9,549
Becton, Dickinson & Co. 197,880 9,498
Champion International Corp. 260,095 9,493
CBS, Inc. 170,935 9,466
* Federal Express Corp. 155,971 9,397
* Crown Cork & Seal Co., Inc. 248,796 9,392
* Sun Microsystems, Inc. 264,409 9,353
Inco Ltd. 325,424 9,315
Lincoln National Corp. 264,809 9,268
Ingersoll-Rand Co. 294,172 9,266
McGraw-Hill, Inc. 138,447 9,259
Newell Co. 440,133 9,243
Consolidated Natural Gas Co. 259,450 9,210
Union Camp Corp. 195,193 9,198
Safeco Corp. 175,674 9,135
Santa Fe Pacific Corp. 521,463 9,126
Baltimore Gas & Electric Co. 411,335 9,101
Melville Corp. 294,425 9,090
Hilton Hotels Corp. 134,001 9,028
Reebok International Ltd. 226,063 8,929
Loral Corp. 234,536 8,883
* Promus Co. Inc. 285,564 8,852
Clorox Co. 149,184 8,783
VF Corp. 180,537 8,779
Newmont Mining Corp. 239,967 8,639
Tandy Corp. 171,827 8,613
Sun Co., Inc. 297,980 8,567
Louisiana-Pacific Corp. 312,868 8,526
Reynolds Metals Co. 173,010 8,477
Dow Jones & Co., Inc. 273,260 8,471
Providian Corp. 273,387 8,441
Dillard Department Stores Class A 315,068 8,428
Dover Corp. 159,565 8,238
Panhandle Eastern Corp. 415,806 8,212
Northern States Power Co.
of Minnesota 186,617 8,211
W.W. Grainger, Inc. 141,473 8,170
Pioneer Hi Bred International 237,788 8,085
The Mead Corp. 165,901 8,067
Boatmen's Bancshares, Inc. 292,251 7,927
Sherwin-Williams Co. 238,622 7,904
Ohio Edison Co. 425,470 7,871
* The Kroger Co. 325,632 7,856
Praxair, Inc. 382,748 7,846
Bank of Boston Corp. 301,958 7,813
Premark International, Inc. 178,276 7,800
Harcourt General, Inc. 217,142 7,654
General Dynamics Corp. 175,887 7,651
UNUM Corp. 202,106 7,629
Coastal Corp. 292,112 7,522
- -------------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 8,564,157
- -------------------------------------------------------------------
Knight-Ridder, Inc. 148,769 7,513
USX-U.S. Steel Group 211,439 7,506
Westvaco Corp. 187,110 7,344
16
</TABLE>
<PAGE> 19
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------
<S> <C> <C>
Service Corp. International 261,417 $ 7,254
* Computer Sciences Corp. 141,797 7,232
Baker Hughes, Inc. 392,801 7,169
Hasbro, Inc. 244,302 7,146
* Price/Costco Inc. 553,899 7,131
Delta Air Lines, Inc. 140,502 7,095
Temple-Inland Inc. 155,763 7,029
Jefferson-Pilot Corp. 134,898 6,998
Torchmark Corp. 199,483 6,957
Interpublic Group of Cos., Inc. 214,636 6,895
Sonat, Inc. 243,236 6,811
Cyprus Amax 258,098 6,743
Southwest Airlines Co. 399,247 6,687
* National Semiconductor Corp. 342,326 6,675
Kerr-McGee Corp. 144,080 6,628
* Advanced Micro Devices, Inc. 265,042 6,593
Homestake Mining Co. 384,230 6,580
* National Medical Enterprises, Inc. 463,645 6,549
Dana Corp. 275,454 6,439
Williams Cos., Inc. 254,864 6,403
Mallinckrodt Group, Inc. 213,428 6,376
Nalco Chemical, Inc. 190,239 6,373
Parker Hannifin Corp. 136,345 6,204
Roadway Services, Inc. 108,830 6,149
New York Times Co. Class A 277,197 6,133
U.S. Bancorp 274,038 6,132
Deluxe Corp. 229,911 6,093
Great Western Financial Corp. 377,990 6,048
Pall Corp. 321,057 6,020
Circuit City Stores, Inc. 268,201 5,967
Golden West Financial Corp. 168,403 5,936
Engelhard Corp. 265,066 5,898
* FMC Corp. 101,679 5,872
Brown-Forman Corp. Class B 192,035 5,857
Ashland Oil, Inc. 168,835 5,825
Northrop Grumman Corp. 136,949 5,752
Niagara Mohawk Power Corp. 400,747 5,711
Beneficial Corp. 145,888 5,690
Pennzoil Co. 128,287 5,661
Black & Decker Corp. 235,228 5,587
Comcast Corp. Class A 362,942 5,580
Bausch & Lomb, Inc. 164,594 5,576
American Greetings Corp. Class A 206,980 5,563
Johnson Controls, Inc. 113,219 5,548
* Western Atlas Inc. 147,185 5,538
Woolworth Corp. 368,807 5,532
Pet, Inc. 279,490 5,520
* Bethlehem Steel Corp. 305,590 5,501
Cooper Tire & Rubber Co. 232,820 5,500
* Tandem Computers, Inc. 320,787 5,493
Rite Aid Corp. 234,693 5,486
Shawmut National Corp. 334,980 5,485
The Dial Corp. 257,673 5,476
* Lotus Development Corp. 132,916 5,450
Avery Dennison Corp. 153,085 5,435
Pep Boys (Manny, Moe & Jack) 170,761 5,294
H.F. Ahmanson & Co. 326,000 5,257
Cummins Engine Co., Inc. 115,767 5,238
Moore Corp. Ltd. 277,159 5,231
Autodesk, Inc. 130,994 5,141
* St. Jude Medical, Inc. 129,438 5,080
Whitman Corp. 293,613 5,065
Brunswick Corp. 265,679 5,015
Allergan, Inc. 176,905 4,998
Worthington Industries, Inc. 252,550 4,988
Echlin, Inc. 164,448 4,933
SuperValu, Inc. 199,044 4,877
Pacific Enterprises 228,518 4,856
Ryder System, Inc. 219,282 4,824
Manor Care Inc. 173,597 4,752
Comcast Corp. Class A Special 303,188 4,737
Paccar, Inc. 108,154 4,732
* Santa Fe Pacific Gold Corp. 365,707 4,708
Harris Corp. 109,712 4,663
James River Corp. 227,379 4,604
Sigma Aldrich Corp. 138,699 4,508
Maytag Corp. 298,730 4,481
The Stanley Works 124,698 4,458
* Varity Corp. 122,431 4,438
Scientific-Atlanta, Inc. 211,112 4,433
* Biomet, Inc. 318,854 4,384
* Inland Steel Industries, Inc. 123,848 4,350
* Stone Container Corp. 251,664 4,341
Raychem Corp. 120,854 4,305
Polaroid Corp. 128,799 4,186
General Signal Corp. 131,222 4,183
* ALZA Corp. 228,115 4,106
* Unisys Corp. 475,569 4,102
Wendy's International, Inc. 282,640 4,063
Mercantile Stores Co., Inc. 102,597 4,053
Armstrong World Industries Inc. 104,466 4,022
Snap-On Inc. 119,343 3,968
Ecolab, Inc. 188,170 3,952
E-Systems, Inc. 94,733 3,943
* Owens-Corning Fiberglas Corp. 123,084 3,939
C.R. Bard, Inc. 144,862 3,911
McDermott International, Inc. 149,684 3,705
- -------------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 9,116,325
- -------------------------------------------------------------------
* Andrew Corp. 70,821 3,700
Liz Claiborne, Inc. 216,977 3,661
Thomas & Betts Corp. 54,506 3,659
Harnischfeger Industries Inc. 127,941 3,598
Giant Food, Inc. Class A 165,106 3,591
* Amdahl Corp. 324,236 3,567
* King World Productions, Inc. 102,926 3,551
17
</TABLE>
<PAGE> 20
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------
<S> <C> <C>
National Service Industries, Inc. 137,080 $ 3,513
Russell Corp. 111,141 3,487
* Beverly Enterprises Inc. 238,230 3,425
Bemis Co., Inc. 142,514 3,420
Federal Paper Board Co., Inc. 117,800 3,416
USF&G Corp. 249,198 3,395
Louisiana Land & Exploration Co. 92,923 3,380
* Ceridian Corp. 125,142 3,363
ASARCO, Inc. 117,159 3,339
Millipore Corp. 68,797 3,328
Echo Bay Mines Ltd. 313,132 3,327
* Columbia Gas Systems, Inc. 140,728 3,307
NICOR, Inc. 144,790 3,294
* Oryx Energy Co. 275,495 3,271
TJX Cos., Inc. 204,468 3,195
* Navistar International Corp. 208,848 3,159
The BF Goodrich Co. 71,849 3,116
* Teledyne Inc. 154,330 3,106
Pittston Services Group 116,034 3,075
The Timkin Co. 86,402 3,046
Perkin-Elmer Corp. 118,243 3,030
Potlatch Corp. 81,315 3,029
United States Surgical Corp. 158,024 3,002
* Viacom International Class A 71,349 2,970
Foster Wheeler Corp. 99,607 2,963
* Continental Corp. 154,409 2,934
Tektronix, Inc. 85,206 2,919
Boise Cascade Corp. 106,586 2,851
Briggs & Stratton Corp. 80,480 2,636
* Clark Equipment Co. 48,447 2,628
Ball Corp. 82,665 2,604
Ogden Corp. 136,149 2,553
Peoples Energy Corp. 97,082 2,536
Fleming Cos., Inc. 105,405 2,451
ENSERCH Corp. 186,337 2,446
Fleetwood Enterprises, Inc. 128,062 2,401
Safety-Kleen Corp. 160,799 2,372
Jostens Inc. 126,599 2,358
Trinova Corp. 80,177 2,355
Alexander & Alexander Services, Inc. 122,223 2,261
* Consolidated Freightways, Inc. 101,053 2,261
Crane Co. 83,776 2,251
Cincinnati Milacron, Inc. 93,884 2,218
USLIFE Corp. 63,546 2,216
EG & G, Inc. 153,434 2,167
Alberto-Culver Co. Class B 78,734 2,145
Shared Medical Systems Corp. 63,859 2,091
* Santa Fe Energy Resources Inc. 250,501 2,004
* Armco, Inc. 292,073 1,935
Great Atlantic & Pacific Tea Co., Inc. 106,375 1,928
Centex Corp. 83,530 1,900
Transco Energy Co. 113,921 1,894
Yellow Corp. 78,241 1,868
Charming Shoppes, Inc. 286,207 1,860
NorAm Energy Corp. 340,962 1,833
Longs Drug Stores, Inc. 57,460 1,824
Springs Industries Inc. Class A 48,990 1,813
Adolph Coors Co. Class B 106,618 1,799
Meredith Corp. 38,200 1,781
Bruno's Inc. 217,420 1,767
Pulte Corp. 76,779 1,766
Helmerich & Payne, Inc. 68,719 1,761
John H. Harland Co. 84,828 1,697
Brown Group, Inc. 49,904 1,597
Luby's Cafeterias, Inc. 70,839 1,585
Stride Rite Corp. 137,804 1,533
Eastern Enterprises 57,363 1,506
* Shoney's Inc. 114,674 1,462
* Rowan Cos., Inc. 234,510 1,436
* Zenith Electronics Corp. 123,171 1,432
Giddings & Lewis, Inc. 95,531 1,409
First Mississippi Corp. 56,282 1,407
ONEOK, Inc. 74,281 1,337
Community Psychiatric Centers 121,245 1,334
* Maxus Energy Corp. 375,108 1,266
NACCO Industries, Inc. Class A 24,930 1,206
Morrison-Knudsen Co., Inc. 92,066 1,174
Kaufman & Broad Home Corp. 90,032 1,159
Bassett Furniture Industries, Inc. 39,537 1,127
* Cray Research, Inc. 71,428 1,125
* Ryan's Family Steak Houses, Inc. 148,746 1,097
Outboard Marine Corp. 55,403 1,087
Handleman Co. 93,307 1,061
* Intergraph Corp. 124,330 1,010
* Data General Corp. 100,206 1,002
* Rollins Environmental Services, Inc. 168,032 819
* Bally Entertainment Corp. 130,611 800
* USAir Group, Inc. 168,618 738
Zurn Industries, Inc. 34,370 619
Skyline Corp. 31,123 599
SPX Corp. 35,316 587
* Hartmarx Corp. 90,192 530
Oshkosh B Gosh, Inc. Class A 38,412 528
* M/A-Com, Inc. 71,959 522
* National Education Corp. 82,422 340
- -------------------------------------------------------------------
TOTAL COMMON STOCKS (99.8%)(1)
(Cost $8,307,357) 9,340,126
- -------------------------------------------------------------------
18
</TABLE>
<PAGE> 21
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- -------------------------------------------------------------------
<S> <C> <C>
- -------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (.1%)
- -------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.395%, 3/23/95 $4,000 $3,950
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.90%, 1/3/95 6,078 6,078
- -------------------------------------------------------------------
TOTAL TEMPORARY CASH
INVESTMENTS (Cost $10,028) 10,028
- -------------------------------------------------------------------
TOTAL INVESTMENTS (99.9%)
(Cost $8,317,385) 9,350,154
- -------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (.1%)
- -------------------------------------------------------------------
Other Assets--Notes B and F 62,869
Liabilities--Note F (56,722)
---------
6,147
- -------------------------------------------------------------------
NET ASSETS (100%)
- -------------------------------------------------------------------
Applicable to 217,720,949 outstanding
shares of beneficial interest
(unlimited authorization) $9,356,301
- -------------------------------------------------------------------
NET ASSET VALUE PER SHARE $42.97
===================================================================
</TABLE>
+See Note A to Financial Statements.
*Non-Income Producing Security.
(1)The combined market value of common stocks and Standard & Poor's
500 Index futures contracts represents 100.0% of net assets.
- -------------------------------------------------------------------
AT DECEMBER 31, 1994, NET ASSETS
CONSISTED OF:
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
Amount Per
(000) Share
---------- ------
<S> <C> <C>
Paid in Capital--Note C $8,331,452 $38.27
Undistributed Net
Investment Income 11,128 .05
Accumulated Net
Realized Losses--Notes C and E (19,003) (.09)
Unrealized Appreciation of
Investments--Note D 1,032,724 4.74
- -------------------------------------------------------------------
NET ASSETS $9,356,301 $42.97
- -------------------------------------------------------------------
</TABLE>
19
<PAGE> 22
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
EXTENDED TOTAL STOCK
500 PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended
December 31, 1994 December 31, 1994 December 31, 1994
(000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Income
Dividends......................................... $244,931 $ 15,431 $ 16,015
Interest.......................................... 10,205 929 693
- ----------------------------------------------------------------------------------------------------------------------------------
Total Income........................... 255,136 16,360 16,708
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services.................. $ 36 $ 73 $ 73
Management and Administrative................. 13,706 1,465 925
Marketing and Distribution.................... 1,837 15,579 177 1,715 153 1,151
------ ----- -----
Taxes (other than income taxes)................... 360 40 22
Custodians' Fees.................................. 118 98 84
Auditing Fees..................................... 28 9 9
Shareholders' Reports............................. 412 37 34
Annual Meeting and Proxy Costs.................... 119 11 11
Trustees' Fees and Expenses....................... 46 5 3
- ----------------------------------------------------------------------------------------------------------------------------------
Total Expenses......................... 16,662 1,915 1,314
- ----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income............... 238,474 14,445 15,394
- ----------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold........................ 75,849 8,518 2,278
Futures Contracts................................. (693) (1,373) (258)
- ----------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss)............ 75,156 7,145 2,020
- ----------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities............................. (203,865) (41,352) (17,266)
Futures Contracts................................. (44) 368 42
- ----------------------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation)...... (203,909) (40,984) (17,224)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations........ $109,721 $(19,394) $ 190
==================================================================================================================================
</TABLE>
The Statements of Net Assets for the Extended Market, Total Stock Market,
Growth, Value, and Small Capitalization Stock 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.
20
<PAGE> 23
<TABLE>
<CAPTION>
SMALL
GROWTH VALUE CAPITALIZATION
PORTFOLIO PORTFOLIO STOCK PORTFOLIO*
- -------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended February 1 to
December 31, 1994 December 31, 1994 December 31, 1994
(000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Income
Dividends........................................... $ 1,404 $ 9,926 $ 8,155
Interest............................................ 29 84 491
- -------------------------------------------------------------------------------------------------------------------------------
Total Income............................. 1,433 10,010 8,646
- -------------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services.................... $36 $ 36 $ 57
Management and Administrative................... 42 403 628
Marketing and Distribution...................... 15 93 57 496 100 785
----- ------- -----
Taxes (other than income taxes)..................... 2 8 28
Custodians' Fees.................................... 8 23 15
Auditing Fees....................................... 8 8 8
Shareholders' Reports............................... 11 27 50
Annual Meeting and Proxy Costs...................... 2 4 11
Trustees' Fees and Expenses......................... -- 1 2
- -------------------------------------------------------------------------------------------------------------------------------
Total Expenses........................... 124 567 899
- -------------------------------------------------------------------------------------------------------------------------------
Net Investment Income................. 1,309 9,443 7,747
- -------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold.......................... (605) (656) 12,546
Futures Contracts................................... -- -- (785)
- -------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss).............. (605) (656) 11,761
- -------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities............................... 1,364 (12,580) (43,829)
Futures Contracts................................... -- -- 34
- -------------------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation)........ 1,364 (12,580) (43,795)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations.......... $ 2,068 $ (3,793) $(24,287)
===============================================================================================================================
</TABLE>
*See Note G to Financial Statements.
21
<PAGE> 24
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<Capation>
EXTENDED
500 PORTFOLIO MARKET PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED Year Ended YEAR ENDED Year Ended
DECEMBER 31, December 31, DECEMBER 31, December 31,
1994 1993 1994 1993
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income.......................... $ 238,474 $ 200,575 $ 14,445 $ 10,621
Realized Net Gain (Loss)....................... 75,156 173,055 7,145 15,802
Change in Unrealized Appreciation
(Depreciation).............................. (203,909) 339,279 (40,984) 65,663
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations............ 109,721 712,909 (19,394) 92,086
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income.......................... (241,914) (205,138) (14,306) (10,600)
Realized Net Gain.............................. (41,182) (5,173) (14,532) (9,116)
- -------------------------------------------------------------------------------------------------------------------------------
Total Distributions..................... (283,096) (210,311) (28,838) (19,716)
- -------------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A................... 6,612 5,377 -- --
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued --Regular.......................... 2,253,167 2,390,015 162,133 193,349
--In Lieu of Cash Distributions.... 253,074 186,995 25,477 17,892
--Exchange......................... 497,745 415,159 51,221 195,523
Redeemed --Regular.......................... (1,303,119) (1,262,521) (108,180) (69,797)
--Exchange......................... (450,500) (512,215) (43,095) (66,211)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions........... 1,250,367 1,217,433 87,556 270,756
- -------------------------------------------------------------------------------------------------------------------------------
Total Increase.......................... 1,083,604 1,725,408 39,324 343,126
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period............................ 8,272,697 6,547,289 927,971 584,845
- -------------------------------------------------------------------------------------------------------------------------------
End of Period (3).............................. $ 9,356,301 $ 8,272,697 $ 967,295 $927,971
===============================================================================================================================
(1) Distributions Per Share
Net Investment Income...................... $1.17 $1.13 $.28 $.23
Realized Net Gain.......................... $ .20 $ .03 $.29 $.20
- -------------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued..................................... 63,748 66,438 11,027 20,530
Issued in Lieu of Cash Distributions....... 5,861 4,353 1,361 929
Redeemed................................... (40,646) (41,844) (7,918) (7,408)
- -------------------------------------------------------------------------------------------------------------------------------
28,963 28,947 4,470 14,051
- -------------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income................... $ 11,128 $ 7,956 $ (8) $ (147)
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO GROWTH PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED Year Ended YEAR ENDED Year Ended
DECEMBER 31, December 31, DECEMBER 31, December 31,
1994 1993 1994 1993
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income.............................. $ 15,394 $ 9,622 $ 1,309 $ 866
Realized Net Gain (Loss)........................... 2,020 1,055 (605) (614)
Change in Unrealized Appreciation
(Depreciation).................................. (17,224) 31,282 1,364 788
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 190 41,959 2,068 1,040
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income.............................. (16,257) (10,140) (1,375) (931)
Realized Net Gain.................................. (2,045) (1,183) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions......................... (18,302) (11,323) (1,375) (931)
- ----------------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A....................... 765 563 72 56
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued --Regular.............................. 297,642 242,858 28,295 33,148
--In Lieu of Cash Distributions........ 15,575 9,421 1,230 828
--Exchange............................. 54,505 37,291 23,523 19,111
Redeemed --Regular.............................. (41,032) (33,241) (6,206) (7,457)
--Exchange............................. (35,941) (50,647) (12,061) (16,269)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions............... 290,749 205,682 34,781 29,361
- ----------------------------------------------------------------------------------------------------------------------------------
Total Increase.............................. 273,402 236,881 35,546 29,526
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period................................ 512,282 275,401 50,624 21,098
- ----------------------------------------------------------------------------------------------------------------------------------
End of Period (3).................................. $ 785,684 $ 512,282 $ 86,170 $ 50,624
==================================================================================================================================
(1) Distributions Per Share
Net Investment Income.......................... $.27 $.26 $.21 $.21
Realized Net Gain.............................. $.03 $.03 -- --
- ----------------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued......................................... 30,586 25,030 5,100 5,217
Issued in Lieu of Cash Distributions........... 1,360 829 121 83
Redeemed....................................... (6,692) (7,435) (1,805) (2,393)
- ----------------------------------------------------------------------------------------------------------------------------------
25,254 18,424 3,416 2,907
- ----------------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income....................... $ (140) $ (42) $ (9) $ (15)
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE> 26
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED Year Ended
DECEMBER 31, 1994 December 31, 1993
(000) (000)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income................................. $ 9,443 $ 3,794
Realized Net Gain (Loss).............................. (656) 3,321
Change in Unrealized Appreciation
(Depreciation).................................... (12,580) 7,602
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................. (3,793) 14,717
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income................................ (9,813) (4,753)
Realized Net Gain.................................... (3,804) (941)
- --------------------------------------------------------------------------------------------------------------------------------
Total Distributions........................... (13,617) (5,694)
- --------------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A......................... 439 925
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued --Regular................................. 98,962 97,039
--In Lieu of Cash Distributions........... 12,449 5,139
--Exchange................................ 121,956 96,804
Redeemed --Regular................................. (30,216) (13,743)
--Exchange................................ (79,362) (28,619)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions................. 123,789 156,620
- --------------------------------------------------------------------------------------------------------------------------------
Total Increase................................ 106,818 166,568
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
Beginning of Period.................................. 190,111 23,543
- --------------------------------------------------------------------------------------------------------------------------------
End of Period (3).................................... $ 296,929 $190,111
================================================================================================================================
(1) Distributions Per Share
Net Investment Income............................ $.38 $.38
Realized Net Gain................................ $.16 $.06
- --------------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued........................................... 19,012 17,153
Issued in Lieu of Cash Distributions............. 1,092 439
Redeemed......................................... (9,604) (3,680)
- --------------------------------------------------------------------------------------------------------------------------------
10,500 13,912
- --------------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income........................ $ 40 $ (29)
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO*
- -------------------------------------------------------------------------------------------------------------------------------
FEBRUARY 1 TO OCTOBER 1, 1993, TO Year Ended
DECEMBER 31, 1994 JANUARY 31, 1994 September 30, 1993
(000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income................................ $ 7,747 $ 1,836 $ 4,653
Realized Net Gain (Loss)............................. 11,761 1,459 22,606
Change in Unrealized Appreciation (Depreciation)..... (43,795) 27,298 51,362
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................. (24,287) 30,593 78,621
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income................................ (8,533) (5,260) (3,245)
Realized Net Gain.................................... (14,353) (23,961) (2,705)
- -------------------------------------------------------------------------------------------------------------------------------
Total Distributions........................... (22,886) (29,221) (5,950)
- -------------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A.......................... -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued --Regular............................... 126,799 66,720 134,318
--In Lieu of Cash Distributions......... 20,700 27,115 5,199
--Exchange.............................. 57,267 41,937 86,107
Redeemed --Regular............................... (42,135) (22,010) (24,260)
--Exchange.............................. (43,471) (13,584) (43,946)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase from Capital Share Transactions.. 119,160 100,178 157,418
- -------------------------------------------------------------------------------------------------------------------------------
Total Increase................................ 71,987 101,550 230,089
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets
Beginning of Period.................................. 533,389 431,839 201,750
- -------------------------------------------------------------------------------------------------------------------------------
End of Period (3).................................... $ 605,376 $ 533,389 $ 431,839
===============================================================================================================================
(1) Distributions Per Share
Net Investment Income............................ $.22 $.18 $.18
Realized Net Gain................................ $.37 $.82 $.15
- -------------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued........................................... 11,690 6,660 14,929
Issued in Lieu of Cash Distributions............. 1,405 1,785 379
Redeemed......................................... (5,550) (2,214) (4,663)
- -------------------------------------------------------------------------------------------------------------------------------
7,545 6,231 10,645
- -------------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income........................ $ (566) $ 220 $ 3,644
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*See Note G to Financial Statements.
25
<PAGE> 28
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
500 PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
-----------------------------------------------------------
For a Share Outstanding Throughout Each Year 1994 1993 1992 1991 1990
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR ............................. $43.83 $40.97 $39.32 $31.24 $33.64
------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income......................................... 1.18 1.13 1.12 1.15 1.17
Net Realized and Unrealized Gain (Loss) on Investments........ (.67) 2.89 1.75 8.20 (2.30)
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS .................... .51 4.02 2.87 9.35 (1.13)
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income......................... (1.17) (1.13) (1.12) (1.15) (1.17)
Distributions from Realized Capital Gains.................... (.20) (.03) (.10) (.12) (.10)
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS ................................. (1.37) (1.16) (1.22) (1.27) (1.27)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR ................................... $42.97 $43.83 $40.97 $39.32 $31.24
===============================================================================================================================
TOTAL RETURN* ................................................... +1.18% +9.89% +7.42% +30.22% -3.32%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------
Net Assets, End of Year (Millions)............................... $9,356 $8,273 $6,547 $4,345 $2,173
Ratio of Expenses to Average Net Assets.......................... .19% .19% .19% .20% .22%
Ratio of Net Investment Income to Average Net Assets............. 2.72% 2.65% 2.81% 3.07% 3.60%
Portfolio Turnover Rate.......................................... 6%+ 6%+ 4%+ 5%+ 23%+
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Total return figures do not reflect the annual account maintenance fee of $10.
+ Portfolio turnover rates excluding in-kind redemptions were 4%, 2%, 1%, 1%,
and 6%, respectively.
<TABLE>
<CAPTION>
EXTENDED MARKET PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
-----------------------------------------------------------
For a Share Outstanding Throughout Each Year 1994 1993 1992 1991 1990
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR .............................. $19.43 $17.35 $15.82 $11.48 $13.92
------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income......................................... .28 .23 .24 .25 .30
Net Realized and Unrealized Gain (Loss) on Investments........ (.62) 2.28 1.72 4.54 (2.25)
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS ..................... (.34) 2.51 1.96 4.79 (1.95)
- -------------------------------------------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income......................... (.28) (.23) (.25) (.25) (.33)
Distributions from Realized Capital Gains.................... (.29) (.20) (.18) (.20) (.16)
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS .................................. (.57) (.43) (.43) (.45) (.49)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR .................................... $18.52 $19.43 $17.35 $15.82 $11.48
===============================================================================================================================
TOTAL RETURN* ................................................... -1.76% +14.49% +12.47% +41.85% -14.05%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------
Net Assets, End of Year (Millions)............................... $967 $928 $585 $372 $179
Ratio of Expenses to Average Net Assets.......................... .20% .20% .20% .19% .23%
Ratio of Net Investment Income to Average Net Assets............. 1.51% 1.48% 1.73% 2.14% 2.68%
Portfolio Turnover Rate.......................................... 19% 13% 9% 11% 9%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Total return figures do not reflect the 1% transaction fee on purchases
or the annual account maintenance fee of $10.
26
<PAGE> 29
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
--------------------------------- March 16-
For a Share Outstanding Throughout Each Period 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .......................... $11.69 $10.84 $10.00
------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income....................................... .27 .26 .23
Net Realized and Unrealized Gain
(Loss) on Investments................................... (.29) .88 .84
------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS ................... (.02) 1.14 1.07
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income....................... (.27) (.26) (.23)
Distributions from Realized Capital Gains.................. (.03) (.03) --
------ ------ ------
TOTAL DISTRIBUTIONS ................................ (.30) (.29) (.23)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ................................ $11.37 $11.69 $10.84
===============================================================================================================================
TOTAL RETURN**................................................. -0.17% +10.62% +10.41%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions)........................... $786 $512 $275
Ratio of Expenses to Average Net Assets........................ .20% .20% .21%*
Ratio of Net Investment Income to
Average Net Assets......................................... 2.35% 2.31% 2.42%*
Portfolio Turnover Rate........................................ 2% 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 measuremet begins
on April 27, 1992.
27
<PAGE> 30
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
GROWTH PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
-------------------------------- November 2-
For a Share Outstanding Throughout Each Period 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .......................... $10.20 $10.26 $10.00
------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income....................................... .21 .21 .06
Net Realized and Unrealized Gain (Loss) on Investments...... .08 (.06) .26
------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS ................... .29 .15 .32
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income....................... (.21) (.21) (.06)
Distributions from Realized Capital Gains.................. -- -- --
------ ------ ------
TOTAL DISTRIBUTIONS ................................ (.21) (.21) (.06)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ................................ $10.28 $10.20 $10.26
===============================================================================================================================
TOTAL RETURN**................................................. +2.89% +1.53% +3.19%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions)........................... $86 $51 $21
Ratio of Expenses to Average Net Assets........................ .20% .20% 0%*
Ratio of Net Investment Income to Average Net Assets........... 2.08% 2.10% 2.85%*
Portfolio Turnover Rate........................................ 28% 36% 2%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance
fee of $10.
28
<PAGE> 31
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
---------------------------------- November 2-
For a Share Outstanding Throughout Each Period 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ....................... $11.74 $10.30 $10.00
------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income.................................... .38 .38 .07
Net Realized and Unrealized Gain (Loss) on Investments... (.46) 1.50 .30
------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS ................ (.08) 1.88 .37
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income.................... (.38) (.38) (.07)
Distributions from Realized Capital Gains............... (.16) (.06) --
------ ------ ------
TOTAL DISTRIBUTIONS ............................. (.54) (.44) (.07)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ............................. $11.12 $11.74 $10.30
===============================================================================================================================
TOTAL RETURN**.............................................. -0.73% +18.35% +3.70%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions)........................ $297 $190 $24
Ratio of Expenses to Average Net Assets..................... .20% .20% 0%*
Ratio of Net Investment Income to Average Net Assets........ 3.37% 3.26% 3.46%*
Portfolio Turnover Rate..................................... 32% 30% 4%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
29
<PAGE> 32
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO(1)
- ----------------------------------------------------------------------------------------------------------------------------------
FEB. 1 TO OCT. 1, 1993 Year Ended September 30,
DEC. 31, TO JAN. 31, ----------------------------------------
For a Share Outstanding Throughout Each Period(2) 1994 1994 1993 1992 1991 1990
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............. $16.24 $16.23 $12.63 $12.03 $8.55 $11.88
------ ------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income........................... .20 .05 .20 .19 .20 .17
Net Realized and Unrealized
Gain (Loss) on Investments.................. (.86) .96 3.73 .88 3.60 (3.46)
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT
OPERATIONS .......................... (.66) 1.01 3.93 1.07 3.80 (3.29)
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from
Net Investment Income....................... (.22) (.18) (.18) (.18) (.18) (.04)
Distributions from
Realized Capital Gains...................... (.37) (.82) (.15) (.29) (.14) --
------ ------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS .................... (.59) (1.00) (.33) (.47) (.32) (.04)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ................... $14.99 $16.24 $16.23 $12.63 $12.03 $8.55
==================================================================================================================================
TOTAL RETURN(3) ................................... -4.00% +6.65% +31.60% +9.34% +45.91% -27.73%
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions)............... $605 $533 $432 $202 $111 $40
Ratio of Expenses to Average Net Assets............ .17%* .18%* .18% .18% .21% .31%
Ratio of Net Investment Income to
Average Net Assets............................. 1.50%* 1.16%* 1.47% 1.65% 2.11% 1.91%
Portfolio Turnover Rate............................ 25% 5% 26% 26% 33% 40%
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Results prior to January 31, 1994, are for the former Vanguard
Small Capitalization Stock Fund. See Note G to Financial Statements.
(2) Adjusted to reflect a 3-for-1 stock split as of February 23, 1990.
(3) Total return figures do not reflect the 1% transaction fee on
purchases or the annual account maintenance fee of $10.
*Annualized.
30
<PAGE> 33
NOTES TO FINANCIAL STATEMENTS
Vanguard Index Trust is registered under the Investment Company Act of 1940 as a
diversified open-end investment company, and consists of the 500, Extended
Market, Total Stock Market, Growth, Value, and Small Capitalization Stock
Portfolios.
A. The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in the preparation of financial
statements.
1. SECURITY VALUATION: Securities listed on an exchange are valued at the
latest quoted sales prices as of the close of the New York Stock Exchange
(generally 4:00 PM) on the valuation date; securities not traded are valued
at the mean of the latest quoted bid and asked prices. Unlisted securities
held by the 500, Growth, and Value Portfolios are valued at the latest
quoted bid prices; such securities held by the Extended Market, Total Stock
Market, and Small Capitalization Stock Portfolios are valued at the mean of
the latest quoted bid and asked prices. Temporary cash investments are
valued at amortized cost which approximates market value.
2. FEDERAL INCOME TAXES: Each Portfolio of the Trust intends to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income taxes is required in
the financial statements.
3. EQUALIZATION: The 500, Total Stock Market, Growth, and Value Portfolios
follow the accounting practice known as "equalization," under which a
portion of the price of capital shares issued and redeemed, equivalent to
undistributed net investment income per share on the date of the
transaction, is credited or charged to undistributed income. As a result,
undistributed income per share is unaffected by Portfolio share sales or
redemptions.
4. REPURCHASE AGREEMENTS: The Trust, along with other members of The Vanguard
Group of Investment Companies, transfers uninvested cash balances into a
Pooled Cash Account, the daily aggregate of which is invested in repurchase
agreements secured by U.S. Government obligations. Securities pledged as
collateral for repurchase agreements are held by the Trust's custodian banks
until maturity of each repurchase agreement. Provisions of each agreement
ensure that the market value of this collateral is sufficient in the event
of default; however, in the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may
be subject to legal proceedings.
5. FUTURES: The Trust utilizes index futures contracts to a limited extent,
with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity and minimizing transaction costs.
Futures contracts based upon the following indexes are used: Standard &
Poor's 500 (500 and Total Stock Market Portfolios), New York Stock
Exchange Composite Index (Extended Market and Small Capitalization Stock
Portfolios), Standard & Poor's Midcap 400 Index (Extended Market, Total
Stock Market, and Small Capitalization Stock Portfolios), and Russell 2000
Index (Extended Market and Small Capitalization Stock Portfolios). A
Portfolio may purchase futures contracts to immediately position incoming
cash in the market, thereby simulating a fully invested position in the
underlying index while maintaining a cash balance for liquidity. In the
event of redemptions, a Portfolio may pay departing shareholders from its
cash balance and reduce its futures position accordingly. Returns may be
enhanced by using futures contracts instead of the underlying securities
when futures are believed to be priced more attractively than the
underlying securities.
31
<PAGE> 34
NOTES TO FINANCIAL STATEMENTS (continued)
The primary risks associated with the use of futures contracts are imperfect
correlation between changes in market values of stocks contained in the
underlying indexes and the prices of futures contracts, and the possibility
of an illiquid market. Futures contracts are valued based upon their quoted
daily settlement prices. Fluctuations in the values of futures contracts are
recorded as unrealized appreciation (depreciation) until terminated, at
which time realized gains (losses) are recognized. Unrealized appreciation
(depreciation) related to open futures contracts 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.
B. The Vanguard Group, Inc. furnishes at cost investment advisory, corporate
management, administrative, marketing and distribution services. The costs of
such services are allocated to the Trust under methods approved by the Board of
Trustees. At December 31, 1994, the Trust had contributed capital of $1,851,000
to Vanguard (included in Other Assets), representing 9.3% of Vanguard's
capitalization. The Trust's officers and trustees are also officers and
directors of Vanguard.
C. During the period ended December 31, 1994, purchases and sales of
investment securities other than U.S. Government securities and temporary cash
investments were:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
(000)
----------------------------
Portfolio Purchases Sales
- -------------------------------------------------------------------
<S> <C> <C>
500 $1,741,098 $522,211
Extended Market 249,271 177,704
Total Stock Market 296,106 13,524
Growth 52,215 17,749
Value 209,339 88,546
Small Capitalization Stock 234,385 138,733
- -------------------------------------------------------------------
</TABLE>
During the year ended December 31, 1994, the 500 Portfolio realized $67,935,000
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; accordingly, such gains have been reclassified from accumulated
net realized gains to paid in capital.
D. At December 31, 1994, unrealized appreciation (depreciation) of
investment securities for financial reporting and Federal income tax purposes
was:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
(000)
----------------------------------------
Net Unrealized
Appreciated Depreciated Appreciation
Portfolio Securities Securities (Depreciation)
- -------------------------------------------------------------------
<S> <C> <C> <C>
500 $1,411,229 $(378,460) $1,032,769
Extended Market 189,330 (67,514) 121,816
Total Stock Market 80,163 (49,348) 30,815
Growth 5,710 (3,446) 2,264
Value 14,186 (18,779) (4,593)
Small Capitalization
Stock 98,307 (57,009) 41,298
- -------------------------------------------------------------------
</TABLE>
At December 31, 1994, the aggregate settlement value of open futures contracts
expiring in March 1995, 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 $13,379 $(45) $3,950
Extended Market 23,246 470 691
Total Stock Market 14,658 116 592
Small Capitalization
Stock 13,121 285 395
- ---------------------------------------------------------------------
E. Capital gain distributions are determined on a tax basis and may differ
from realized capital gains for financial reporting purposes depending on the
timing of realization of gains. For Federal tax purposes, capital gains
required to be distributed in December 1994 included net gains realized
through
32
</TABLE>
<PAGE> 35
October 31, 1994. Subsequently, the 500, Growth, Value, and Small
Capitalization Stock Portfolios realized capital losses of $20,475,000,
$598,000, $2,105,000 and $2,551,000, respectively, which are available to
offset future net capital gains.
At December 31, 1994, the Growth Portfolio also had available a capital loss
carryforward of $622,000 to offset future net capital gains of $184,000 through
December 31, 2001, and $438,000 through December 31, 2002.
F. The market value of securities on loan to broker/dealers at December 31,
1994, and cash collateral received with respect to such loans were:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
(000)
-------------------------------
Market Value Cash
of Loaned Collateral
Portfolio Securities Received
- -------------------------------------------------------------------
<S>> <C> <C>
500 $ 3,153 $ 3,318
Extended Market 29,453 31,207
Total Stock Market 4,990 5,623
Value 133 145
Small Capitalization Stock 21,329 23,449
- -------------------------------------------------------------------
</TABLE>
G. On January 28, 1994, shareholders of Vanguard Small Capitalization Stock Fund
approved the tax-free reorganization of the Fund as the Small Capitalization
Stock Portfolio of Vanguard Index Trust. Such reorganization was effective
January 31, 1994.
33
<PAGE> 36
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 appearing in the Vanguard Index Trust 1994 Annual Report present
fairly, in all material respects, the financial position of the 500 Portfolio of
Vanguard Index Trust (the "Fund") at December 31, 1994, the results 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 LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 31, 1995
34
<PAGE> 37
SPECIAL TAX INFORMATION
SPECIAL 1994 TAX INFORMATION (UNAUDITED)
FOR VANGUARD INDEX TRUST
Corporate shareholders should note that for the fiscal year ended December
31, 1994, 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....................................96.4%
Extended Market Portfolio.......................100.0%
Total Stock Market Portfolio....................100.0%
Growth Portfolio................................100.0%
Value Portfolio.................................100.0%
Small Capitalization Stock Portfolio............100.0%
</TABLE>
35
<PAGE> 38
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 of Rhone-Poulenc Rorer Inc.; Director of Sun
Company, Inc.
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
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., The Jeffrey Co., and Southern New England
Communications Company.
ALFRED M. RANKIN, JR., Chairman, President, and
Chief Executive Officer of NACCO Industries, Inc.; Director of NACCO Industries,
The BFGoodrich Company, Reliance Electric 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 Chief Executive Officer 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 VINCENT S. MCCORMACK
Senior Vice President Senior Vice President
Planning & Development Operations
JAMES H. GATELY RALPH K. PACKARD
Senior Vice President Senior Vice President
Institutional Chief Financial Officer
IAN A. MACKINNON
Senior Vice President
Fixed Income Group
36
<PAGE> 39
THE VANGUARD VOYAGE . . . STAYING THE COURSE
(continued from inside front cover)
* We set specific standards for each Fund's investment policies and
principles.
* We adhere to the highest standards of investment quality, consistent with
each Fund's objectives.
* We offer candor in our Fund descriptions (including full disclosure of
risk) to prospective investors, and in our description to
shareholders of each Fund's success (or, sometimes, lack of the
same).
These principles make at least as much sense today as they did in 1929, perhaps
even more. For we live in an era when many fund organizations have become
asset-gathering machines, capitalizing on past performance that is unrepeatable
and investment fads that today, as yesterday, will come and go. The new
marketing policy is too often "if investors want it, we'll sell it to them." But
our principle remains "if it makes sound investment sense, we'll offer it, even
if it takes years to attract substantial assets."
FOUNDING CORPORATE VALUES
With the founding of The Vanguard Group in 1974, a new concept of values was
brought to bear on mutual fund management. Unlike other fund organizations,
Vanguard alone is structured to serve only its Funds' shareholders. Vanguard's
corporate structure places not the fund management company, but the fund
shareholders, "at the top" of the organizational chart. Vanguard Fund
shareholders are literally the owners of the firm and are entitled to all of the
benefits that, at other fund firms, accrue to the owners of the management
company.
Because of this unique structure, Vanguard has become best known for its
low costs, which we believe are just as essential a consideration in investing
in mutual funds as risk potential and total return. We call this relationship
between risk, return, and cost the "eternal triangle" of mutual fund investing.
We take special pride in our position as (by far) the lowest-cost provider
of financial services in the world. Under our "no-load" offering structure,
shareholders begin their Vanguard investment program with $1,000 of assets (not,
say, $950) for each $1,000 investment. Then, under our "at-cost" operating
structure, each $1,000 is managed for only about $3 per year; our competitors
may charge three, four, or even five times that amount.
In all, Vanguard has distinguished itself by providing Funds with sound and
durable goals to investors with long-term time horizons, and doing so at the
fairest financial terms available. We believe that the unique Vanguard structure
"promotes a healthy and viable mutual fund complex within which each Fund can
better prosper; enables the Funds to realize substantial savings from advisory
fee reductions; promotes savings from economies of scale; and provides the Funds
with direct and conflict-free control over distribution functions." We are not
alone in this belief. Indeed, the quotation is taken verbatim from the unanimous
decision of the U.S. Securities and Exchange Commission when, in 1981, it
approved our application for the structure under which we operate today.
A CLOSING THOUGHT
We are proud of what Wellington Fund, the other Vanguard Funds, and The Vanguard
Group have come to represent, and we are grateful for the success and growth
with which we have been blessed. We are an industry leader, and, as a competitor
observed a few years ago, we are "the standard by which all fund organizations
are judged."
In battle terms, "the vanguard" is the first wave of troops or ships, and
Vanguard surely is in the first wave of the battle for investment survival. As
we look behind us, however, the "second wave" is not in sight. No fund
organization has followed our lead, leaving ours a lonely course. No matter. We
have an organization that places the interests of our Fund shareholders first.
We have Funds that shall endure the vicissitudes of the future. Come what may,
we intend to "stay the course," and we shall do our very best to continue to
deserve your confidence and loyalty. We hope that you will stay the course with
us.
<PAGE> 40
THE VANGUARD FAMILY OF FUNDS
FIXED INCOME FUNDS
MONEY MARKET FUNDS
Vanguard Admiral Funds
U.S. Treasury Money Market Portfolio
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 Longer-Term Portfolios
(CA, FL, NJ, NY, OH, PA)
INCOME FUNDS
Vanguard Admiral Funds
Vanguard Fixed Income Securities
Fund Vanguard Preferred Stock Fund
EQUITY AND BALANCED FUNDS
GROWTH AND INCOME FUNDS
Vanguard Convertible Securities Fund
Vanguard Equity Income Fund
Vanguard Quantitative Portfolios
Vanguard/Trustees' Equity Fund
U.S. Portfolio
Vanguard/Windsor Fund
Vanguard/Windsor II
BALANCED FUNDS
Vanguard Asset Allocation Fund
Vanguard STAR Fund
Vanguard/Wellesley Income Fund
Vanguard/Wellington Fund
GROWTH FUNDS
Vanguard/Morgan Growth Fund
Vanguard/PRIMECAP Fund
Vanguard U.S. Growth Portfolio
AGGRESSIVE GROWTH FUNDS
Vanguard Explorer Fund
Vanguard Specialized Portfolios
INTERNATIONAL FUNDS
Vanguard International Growth Portfolio
Vanguard/Trustees' Equity Fund
International Portfolio
INDEX FUNDS
Vanguard Index Trust
Total Stock Market Portfolio
500 Portfolio
Extended Market Portfolio
Growth Portfolio
Value Portfolio
Small Capitalization Stock Portfolio
Vanguard International Equity Index Fund
European Portfolio
Pacific Portfolio
Emerging Markets Portfolio
Vanguard Bond Index Fund
Vanguard Tax-Managed Fund
Vanguard Balanced Index Fund
[LOGO]
<TABLE>
<S> <C>
Vanguard Financial Center Valley Forge, Pennsylvania 19482
New Account Information: 1-(800) 662-7447 Shareholder Account Services: 1-(800) 662-2739
</TABLE>
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.
Q400-12/94
<PAGE> 41
FINANCIAL STATEMENTS
December 31, 1994
STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
Market
Value
EXTENDED MARKET PORTFOLIO Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ------------------------------------------------------------------
AAR Corp. 33,300 $ 445
* ABT Building Products Corp. 25,500 347
* ADC Telecommunications, Inc. 17,200 856
AES Corp. 44,036 861
AFLAC, Inc. 64,388 2,060
AGCO Corp. 10,350 314
* AK Steel Holding Corp. 15,100 464
* ALC Communications 19,800 616
A.L. Pharma Inc. Class A 25,300 512
ARCO Chemical Co. 59,900 2,636
* AST Research, Inc. 41,700 607
AT&T Capital Corp. 26,800 573
* Abex, Inc. 82,800 611
* Acceptance Insurance Cos. Inc. 32,200 483
* Acclaim Entertainment Inc. 27,400 396
Aceto Corp. 24,826 344
* Acme Electric Corp. 17,100 218
* Acme Metals, Inc. 21,900 402
* Actava Group Inc. 46,500 436
* Action Performance Cos., Inc. 50,850 261
* Acuson Corp. 37,538 610
* Addington Resources, Inc. 40,000 380
* Adaptec, Inc. 42,300 997
ADIA Services, Inc. 19,400 703
Adobe Systems, Inc. 48,853 1,459
* Advanced Logic Research 13,600 53
* Advanced Marketing Services 4,600 27
* Advanced NMR Systems, Inc. 88,700 276
* Advanced Polymer Systems 72,300 321
* Advanced Surgical, Inc. 31,800 26
* Advanced Technology
Laboratories, Inc. 46,137 842
Advanta Corp. Class A 24,700 655
* ADVO, Inc. 28,675 495
* Air and Water Technology
Corp. Class A 33,398 200
Airborne Freight Corp. 26,910 552
* Airgas, Inc. 20,900 444
Airtran Corp. 43,700 276
* Alaska Air Group, Inc. 27,600 414
Albany International Corp. 33,800 651
Albemarle Corp. 35,502 492
Alex Brown, Inc. 21,020 638
Alexander & Baldwin, Inc. 27,500 615
* Alexander's, Inc. 8,700 460
* Alleghany Corp. 4,120 626
Allegheny Ludlum Corp. 42,379 795
Allegheny Power System, Inc. 73,900 1,607
The Allen Group, Inc. 28,840 689
* Alliance Pharmaceutical Corp. 34,500 211
Allied Capital Commercial Corp. 40,700 672
* Allied Products Corp. 37,100 533
Allmerica Property & Casualty Cos. 36,900 623
Allstate Corp. 54,700 1,292
* Allwaste, Inc. 76,446 430
Aloette Cosmetics, Inc. 47,700 83
* Altera Corp. 23,600 987
* Alumax, Inc. 27,200 772
* Amax Gold, Inc. 78,237 469
AMBAC, Inc. 21,078 785
Amcast Industrial Corp. 19,300 408
* American Annuity Group Inc. 43,778 421
* American Freightways 19,100 377
American Maize Products
Co. Class A 19,200 487
American Maize Products
Co. Class B 3,300 82
* American Management Systems, Inc. 37,417 716
* American Medical Holdings, Inc. 46,900 1,131
* American Medical Response, Inc. 21,200 612
American National Insurance Co. 16,050 758
* American Power Conversion Corp. 55,200 900
American Premier Underwriters Inc. 27,200 704
American President Cos., Ltd. 18,754 474
* American Re Corp. 28,600 922
* American Science & Engineering, Inc. 4,500 28
* American Software, Inc. Class A 51,350 151
* American Travellers Corp. 39,600 653
American Water Works Co., Inc. 19,685 532
* Americredit Corp. 58,100 349
Ameron, Inc. 10,700 312
Ametek, Inc. 31,600 533
Amfed Financial 957 21
Ampco-Pittsburgh Corp. 49,200 486
* Amphenol Corp. 31,400 754
Amre, Inc. 46,300 220
* Amrep Corp. 64,600 404
* Amsco International, Inc. 23,100 211
Amsouth Bancorp 35,826 923
</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........................................ 34
VALUE PORTFOLIO......................................... 36
SMALL CAPITALIZATION STOCK PORTFOLIO.................... 40
</TABLE>
1
<PAGE> 42
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Amtech Corp. 19,450 $ 185
Amylin Pharmaceuticals, Inc. 30,900 178
Anadarko Petroleum Corp. 37,500 1,444
* Analog Devices, Inc. 30,331 1,065
* Anchor Bancorp Inc. 36,400 487
* Anchor Gaming 28,700 439
* Andros Inc. 20,600 335
Angelica Corp. 16,400 453
* Ann Taylor Stores Corp. 16,000 550
* Antec Corp. 24,400 445
Anthony Industries, Inc. 24,546 393
Aon Corp. 63,252 2,024
Apache Corp. 37,000 925
Apogee Enterprises, Inc. 31,700 543
Applebee's International, Inc. 36,000 481
* Applied Bioscience International, Inc. 50,500 284
* Applied Materials, Inc. 51,500 2,163
Aptargroup Inc. 24,200 696
Aquarion Co. 18,303 432
Arbor Drugs, Inc. 23,300 478
Arcadian Partners, L.P. 7,000 158
Argonaut Group, Inc. 15,019 419
* Argosy Gaming Co. 41,700 485
Arkansas Best Corp. 39,100 472
Armor All Products Corp. 28,300 580
Arnold Industries, Inc. 31,600 652
* Arrow Electronics, Inc. 38,750 1,390
Arrow International, Inc. 27,400 928
* Artisoft, Inc. 27,500 215
Arvin Industries, Inc. 24,700 574
Ashland Coal Inc. 19,200 547
Associated Estates Realty Corp. 23,500 493
* Associated Group Class A 5,775 131
* Associated Group Class B 5,775 131
Astro-Med, Inc. 38,150 401
* Astrosystems, Inc. 48,700 192
* Atari Corp. 97,700 372
* Guy F. Atkinson Co. of California 37,800 378
Atlanta Gas Light Co. 14,700 441
Atlantic Energy, Inc. 32,300 569
Atlantic Southeast Airlines Inc. 21,500 339
* Atlas Corp. 55,105 117
* Atmel Corp. 34,400 1,150
* Atrix Laboratories, Inc. 54,823 308
* Atwood Oceanics, Inc. 29,500 354
* Aurora 68,925 319
* Autofinance Group Inc. 43,820 389
* Autotote Corp. 17,400 198
* AutoZone, Inc. 90,200 2,187
* Avatar Holding, Inc. 13,700 517
Aviall Inc. 44,200 337
Avnet, Inc. 24,600 910
* Aztar Corp. 72,100 433
BB&T Financial Corp. 19,416 547
BHA Group Class A 22,300 284
BHC Communications, Inc. Class A 15,700 1,154
* BJ Services Co. 26,000 439
BMC Industries, Inc. 31,352 490
* BMC Software, Inc. 15,950 907
BSB Bancorp, Inc. 16,350 464
BW/IP Inc. 30,400 519
Badger Meter, Inc. 13,000 311
Bairnco Corp. 44,700 184
J. Baker, Inc. 24,500 363
Baldor Electric Co. 23,820 643
Baldwin & Lyons, Inc. Class B 29,400 437
Ballard Medical Products 45,466 483
Bancorp Hawaii, Inc. 25,499 647
Bandag, Inc. 16,462 996
The Bank of New York Co., Inc. 119,720 3,472
Bank South Corp. 43,040 769
Bankers Life Holding Corp. 32,000 608
BanPonce Corp. 19,522 552
Banta Corp. 12,250 369
* Barnes & Noble Inc. 18,300 572
Barnwell Industries, Inc. 13,400 255
* Basin Exploration Inc. 38,400 418
Battle Mountain Gold Co. Class A 48,600 535
* Bay Networks 68,990 2,027
BayBanks, Inc. 11,500 604
Bear Stearns Co., Inc. 74,550 1,146
Bearings, Inc. 13,600 454
BeautiControl Cosmetics 34,450 508
Beckman Instruments 18,400 513
* Bed Bath and Beyond 20,100 605
* Beeba's Creations, Inc. 61,414 253
A. H. Belo Class A 12,400 701
* Ben & Jerry's Homemade,
Inc. Class A 26,200 252
* Benson Eyecare Corp. 31,242 234
Bergen Brunswig Corp. Class A 38,832 811
W.R. Berkley Corp. 11,300 420
* Berkshire Hathaway 758 15,463
* Berlitz International, Inc. 29,426 383
Berry Petroleum Class A 42,800 407
* Best Buy, Inc. 31,700 991
* Best Power Technology, Inc. 26,100 336
Betz Laboratories, Inc. 17,400 770
BIC Corp. 14,700 432
Bindly Western Industries, Inc. 28,400 435
Binks Manufacturing Co. 15,550 288
Biocraft Laboratories 24,900 408
* Biogen, Inc. 20,669 858
* Biomatrix, Inc. 49,300 185
</TABLE>
2
<PAGE> 43
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Biomet, Inc. 14,184 $ 197
* Bio-Rad Labs, Inc. Class A 22,000 610
* Biospecifics Technology 33,000 272
* Biotechnology General 107,200 235
* Biowhittaker Inc. 48,799 311
Birmingham Steel Corp. 21,450 429
Blair Corp. 12,000 480
E.W. Blanch Holdings, Inc. 24,800 512
Blessings Corp. 28,700 409
* Block Development 15,400 22
Block Drug Co. Class A 21,410 808
Bob Evans Farms, Inc. 25,216 520
* Bolt Beranek and Newman, Inc. 34,400 512
* Bombay Co. 41,462 420
Borden, Inc. 90,500 1,120
Borg-Warner Automotive, Inc. 25,600 643
* Borland International, Inc. 33,329 206
Boston Bancorp 13,200 394
* Boston Chicken, Inc. 20,100 350
Boston Edison Co. 27,800 664
* Boston Scientific Corp. 59,300 1,030
* Boston Technology, Inc. 47,500 683
Bowater, Inc. 21,796 580
* Boyd Gaming Corp. 33,500 360
W.H. Brady Class A 9,600 458
Breed Technological Inc. 24,000 681
* Brinker International, Inc. 42,463 770
* Brooke Group Ltd. 25,800 97
Brooklyn Union Gas Co. 28,150 626
Brush Wellman, Inc. 27,900 485
* Buffets Inc. 52,100 511
* Builders Transport, Inc. 28,000 301
* Burlington Coat Factory
Warehouse Corp. 51,750 608
* Burlington Industries 40,800 403
Burlington Resources Coal
Seamgas Royalty Trust 23,100 375
* Burr-Brown Corp. 40,600 551
Bush Industries, Inc. 18,450 378
CBI Industries, Inc. 23,559 604
CCB Financial Corp. 13,500 472
CCP Insurance, Inc. 22,100 450
* C-Cor Electronics, Inc. 39,400 1,231
* CII Financial, Inc. 53,700 275
CIPSCO, Inc. 20,900 564
CKE Restaurants Inc. 43,000 296
CMAC Investment Corp. 18,500 534
CML Group, Inc. 21,750 220
CMS Energy Corp. 51,139 1,170
* CNA Financial Corp. 41,000 2,660
CPI Corp. 26,300 470
CRS/Sirrine, Inc. 39,800 423
* C-TEC Corp. 14,800 292
* C-TEC Corp. Class B 11,100 219
* CUC International, Inc. 71,662 2,401
* Cablevision Systems Corp. Class B 10,500 530
* Cabletron Systems, Inc. 41,982 1,952
Cabot Corp. 22,200 630
Cabot Oil & Gas Corp. 33,264 482
* Cadence Design Systems, Inc. 27,800 573
* Caesars World, Inc. 14,600 975
* Calgene, Inc. 54,000 398
Calgon Carbon Corp. 37,600 390
* California Energy Co. 32,992 516
* California Federal Bank Class A 51,580 561
Callaway Golf Co. 20,400 676
Calmat Co. 31,300 544
* Canandaigua Wine Co., Inc. Class A 14,000 535
* Canandaigua Wine Co., Inc. Class B 6,375 246
Capitol American Financial Corp. 28,200 649
Cardinal Health, Inc. 26,062 1,209
Caremark International, Inc. 42,900 735
Carlisle Co., Inc. 17,500 632
* Carmike Cinemas, Inc. Class A 19,300 444
Carnival Cruise Lines, Inc. 180,128 3,828
* Carolina Freight Corp. 33,100 319
Carpenter Technology Corp. 10,200 571
* Carrington Labs Inc. 34,900 375
Carter-Wallace, Inc. 21,800 283
Case Corp. 40,700 875
Casey's General Stores 41,600 624
Cash America International Inc. 52,200 515
* Casino Magic Corp. 32,600 174
A.M. Castle & Co. 30,525 424
* Catalina Lighting, Inc. 31,300 258
* Catellus Development Corp. 125,901 740
Cato Corp. Class A 24,800 180
* Cellular Communications Series A 12,300 658
* Celtrix Labs 82,500 222
* Centerbank Connecticut 39,200 390
Centerior Energy Corp. 83,000 737
Centerpoint Properties Corp. 18,100 353
* Centocor, Inc. 49,500 807
* Central Cooperative Bank 27,100 274
Central Fidelity Banks, Inc. 23,850 584
Central Hudson Gas & Electric Corp. 23,400 620
Central Louisiana Electric Co. 25,192 595
Central Maine Power Co. 25,055 345
Central Newspapers Inc. 14,750 415
* Central Sprinkler Corp. 33,425 376
Central Vermont Public
Service Corp. 31,000 419
* Century Communications
Corp. Class A 53,481 401
</TABLE>
3
<PAGE> 44
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Century Telephone Enterprises, Inc. 33,377 $ 985
* Cerner Corp. 17,000 752
* Chalone Wine Group Ltd. 56,800 348
* Chambers Development Co. Class A 50,000 194
* Chambers Development Co. Class B 18,400 70
Chaparral Steel Co. 54,500 402
* Charter Medical Corp. 15,500 333
Charter One Financial 27,900 525
Chelsea GCA Realty, Inc. 18,700 510
* Checkers Drive-In Restaurant 42,800 99
* Checkpoint Systems, Inc. 26,900 518
Chemed Corp. 14,400 481
* Chemical Fabrics Corp. 30,750 407
* Chemical Waste Management 48,900 458
Chesapeake Corp. of Virginia 24,483 808
* Cheyenne Software, Inc. 30,300 401
* Chicago and Northwestern
Transportation 26,100 502
Chiquita Brands International, Inc. 40,165 547
* Chiron Corp. 21,062 1,686
* Chock Full O'Nuts Corp. 58,408 336
* Cholestech Corp. 4,800 8
* Chris-Craft Industries, Inc. 17,240 595
* Christiana Cos., Inc. 16,200 508
Church and Dwight, Inc. 20,200 364
Cilcorp, Inc. 17,400 559
Cincinnati Bell, Inc. 40,100 672
Cincinnati Financial Corp. 32,100 1,665
Cintas Corp. 27,900 983
* Circa Pharmaceuticals Inc. 42,400 758
* Circon Corp. 27,657 308
* Circus Circus Enterprises Inc. 55,159 1,282
* Cirrus Logic 22,200 502
Citizens Banking Corp. 20,900 570
Citizens Corp. 21,900 372
* Citizens Utilities Co. Class A 117,941 1,474
City National Corp. 62,275 662
Clarcor Inc. 23,600 501
Clayton Homes Inc. 47,103 742
* Clean Harbors Inc. 50,200 191
* Clear Channel Communications 10,600 538
Cleveland-Cliffs Iron Co. 14,800 548
* The Clothestime, Inc. 56,000 203
Coachmen Industries, Inc. 26,900 414
* Coast Savings Financial, Inc. 33,600 487
Coca-Cola Enterprises, Inc. 79,262 1,417
* Code Alarm, Inc. 27,600 238
Coeur D'Alene Mines Corp. 24,600 403
* Coherent, Inc. 29,223 497
* Coleman Inc. 16,000 562
Collagen Corp. 20,803 468
Collective Bancorporation Inc. 29,750 504
Colonial Gas Co. 19,922 374
* Coltec Inc. 42,500 728
Columbus Realty Trust 23,900 442
Comair Holdings, Inc. 27,300 474
Comdisco, Inc. 24,300 562
Comerica, Inc. 74,550 1,817
Commerce Bancshares, Inc. 20,685 564
Commerce Clearing House,
Inc. Class A 6,100 101
Commerce Clearing House,
Inc. Class B 29,300 469
Commerce Group, Inc. 39,600 648
* Commercial Federal Corp. 23,100 484
Commercial Metals Co. 22,066 596
Commonwealth Energy Systems 17,000 618
Communications Systems, Inc. 33,400 409
Community First Bankshares 26,458 360
Compass Bancshares Inc. 21,700 472
* CompUSA, Inc. 17,700 265
Computer Data Systems, Inc. 31,200 293
* Computer Horizons Corp. 29,225 402
* Computer Outsourcing Services, Inc. 57,600 227
Computer Task Group, Inc. 40,700 361
* Compuware Corp. 27,800 997
Comsat Corp. 29,400 548
* Conmed Corp. 30,000 604
* Conner Peripherals, Inc. 41,593 395
Conseco Co., Inc. 16,500 712
Consolidated Papers 27,000 1,215
* Consolidated Products Inc. 33,305 316
* Consolidated Stores, Inc. 28,241 526
* Consolidated Technology Group 24,500 17
* Contel Cellular, Inc. 61,052 1,526
* Continental Materials Corp. 38,600 449
* Continental Medical Systems, Inc. 53,450 334
* Converse Inc. 9,933 118
* Convex Computer Corp. 58,600 461
* Copley Pharmaceutical, Inc. 19,917 261
* Coram Healthcare Corp. 11,403 188
* Cordis Corp. 11,600 699
Core Industries, Inc. 34,000 331
* Corrections Corp. of America 37,800 605
* Cosmetic Center, Inc. Class A 25,100 339
* Cosmetic Center, Inc. Class B 6,900 94
Countrywide Credit Industries, Inc. 54,079 703
Cracker Barrel Old Country
Stores, Inc. 36,833 677
* Craig Corp. 32,823 291
* Jenny Craig Inc. 35,900 269
Crawford & Co. Class B 22,300 357
* Credit Acceptance Corp. 26,200 462
* Cree Research, Inc. 44,900 342
</TABLE>
4
<PAGE> 45
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Crestar Financial Corp. 23,143 $ 871
Crompton & Knowles Corp. 30,400 502
A.T. Cross Co. Class A 27,100 369
* Crown Central Petroleum
Corp. Class B 28,400 341
Crown Crafts, Inc. 23,940 362
Cullen/Frost Bankers, Inc. 15,130 467
Curtiss-Wright Corp. 11,800 429
* Custom Chrome 21,400 365
* Cypress Semiconductor Corp. 31,500 728
* Cypros Pharmaceuticals Corp. 22,600 299
* Cyrix Corp. 10,300 200
* Cytogen Corp. 68,600 277
DPL, Inc. 66,575 1,365
DQE Inc. 31,900 945
Dames & Moore, Inc. 33,900 500
Danaher Corp. 17,533 916
Dart Group Corp. Class A 4,700 367
* Datascope Corp. 29,000 486
Dauphin Deposit Bank & Trust 19,340 461
Davis Water and Waste Industry, Inc. 44,200 420
Dean Foods Corp. 23,733 688
Deb Shops, Inc. 49,200 145
DeBartolo Realty Corp. 40,900 614
Dekalb Genetics Corp. Class B 14,300 377
* Dell Computer 22,650 927
Delmarva Power & Light Co. 35,500 639
Delta & Pine Land Co. 23,500 414
Delta Woodside 42,000 483
Dentsply International 16,900 528
* Department 56 Inc. 12,400 493
Deposit Guaranty Corp. 20,600 615
* Desoto, Inc. 15,900 52
* Destec Energy Inc. 26,301 279
* Detroit Diesel Corp. 28,900 618
Devon Energy Corp. 36,200 661
Dexter Corp. 30,200 657
* Diagnostek, Inc. 34,200 543
* Diagnostic Products Corp. 23,600 620
* Dial Page, Inc. 26,100 356
Diamond Shamrock, Inc. 18,100 468
Dibrell Brothers, Inc. 21,900 443
Diebold, Inc. 18,556 763
* Digi International, Inc. 28,750 543
* Digital Microwave Corp. 41,500 851
* Digital Systems Inc. 2,363 28
* Dime Bankcorp Inc. 68,700 532
* Dionex Corp. 13,300 499
* Discovery Zone, Inc. 38,775 473
* Dr. Pepper/Seven Up Cos., Inc. 37,100 951
Dole Food Co. 38,100 876
Dollar General Corp. 38,170 1,136
Donaldson Co., Inc. 28,700 678
Donnelly Corp. 20,950 330
Douglas & Lomason 21,100 343
Downey Savings & Loan Assn. 26,200 396
* Dravo Corp. 33,961 399
* The Dress Barn, Inc. 41,600 445
* Drexler Technology Corp. 23,100 118
Dreyer's Grand Ice Cream, Inc. 20,900 515
* Drug Emporium, Inc. 62,630 344
* Dura Pharmaceuticals, Inc. 26,900 383
Duracell International, Inc. 74,675 3,239
* Duracraft Corp. 12,700 404
Duriron Co., Inc. 30,900 545
Duty Free International Inc. 13,526 150
* EA Engineering Sciences and
Technology Inc. 41,700 255
* EMC Corp. 120,600 2,608
* Eagle Food 24,700 42
* Earth Technology USA 10,600 86
Eastern Utilities Associates 25,945 571
* Eckerd Corp. 19,800 591
Ecology and Environment, Inc. 6,925 61
Edison Brothers Stores, Inc. 25,600 474
* Edisto Resources Corp. 144,000 918
* Editek Inc. 8,400 31
A.G. Edwards & Sons, Inc. 35,398 637
* Egghead, Inc. 52,500 620
* El Paso Electric Co. 107,300 91
El Paso Natural Gas 22,132 675
* Elcor Corp. 22,600 347
* Electromagnetic Sciences, Inc. 39,100 472
* Electronic Arts 29,200 560
* Electronics for Imaging, Inc. 25,500 698
* Eljer Industries, Inc. 51,400 296
Empire District Electric Co. 25,781 416
* Energy Conversion Devices, Inc. 34,500 418
Energy North, Inc. 19,184 305
* Energy Services 34,850 427
* Engineered Support Systems, Inc. 61,800 239
Enron Oil & Gas Co. 99,876 1,873
* Enterra Corp. 29,894 568
* Envirometrics, Inc. 21,100 261
* Epitope Inc. 34,400 735
Equifax, Inc. 47,870 1,263
The Equitable Cos. 89,000 1,613
Equitable of Iowa Co. 18,800 531
Equitable Resources, Inc. 20,750 563
* Equivest Finance, Inc. 34,375 48
Equity Residential Properties Trust 17,100 513
Essex County Gas Co. 6,400 158
* Esterline Technologies Corp. 36,000 495
Ethyl Corp. 71,004 683
</TABLE>
5
<PAGE> 46
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Europa Cruises Corp. 48,700 $ 59
* Exabyte Corp. 31,900 686
Exide Corp. 9,100 512
Expeditors International of
Washington, Inc. 21,800 466
* Ezcorp, Inc. 29,000 308
* FHP International Corp. 25,752 657
FHP International Corp. Pfd. A 12,640 309
FMC Gold Co. 72,900 246
* FTP Software, Inc. 24,400 772
* Fairchild Corp. 6,700 24
Family Dollar Stores, Inc. 40,500 506
Fastenal Co. 11,700 478
Federal-Mogul Corp. 21,300 429
Federal Realty Investment Trust 17,200 355
Federal Signal Corp. 28,537 581
* Federated Department Stores 80,900 1,557
Ferro Corp. 17,275 412
* Fibreboard Corp. 14,300 391
* Fieldcrest Cannon, Inc. 16,200 413
Fifth Third Bancorp 41,350 1,969
* Figgie International Inc. Class A 36,800 228
* Filene's Basement Corp. 41,850 199
Fina Inc. 8,600 588
Financial Security Assurance
Holdings Ltd. 31,300 657
Fingerhut Co. 27,246 422
First American Bank Corp. 37,496 1,125
First American Corp. (Tenn.) 16,000 432
First Bancorp of Ohio 26,100 656
First Bank System, Inc. 72,782 2,420
First Brands Corp. 12,900 451
First Citizens BancShares Class A 13,100 560
First Colonial Bankshares 21,500 435
First Colony Corp. 29,400 658
First Commerce Corp. 15,115 334
First Empire State Corp. 4,100 558
* First Federal Financial 34,075 430
First Financial Management 39,140 2,412
First Financial Savings Assn. 34,800 474
First Hawaiian, Inc. 19,200 449
First Security Corp. 30,175 690
First Tennessee National Corp. 20,400 834
First USA Inc. 34,100 1,121
First Virginia Banks, Inc. 19,842 635
Firstar Corp. 41,200 1,107
Firstfed Michigan Corp. 27,050 551
* Firstmiss Gold, Inc. 52,600 441
* FIserv, Inc. 24,250 524
Firstier Financial Inc. 19,084 604
* Flagstar Cos. 53,500 368
Fleet Mortgage Group 31,300 622
Flexsteel Industry 31,000 415
FlightSafety International, Inc. 19,800 804
Florida East Coast Railway Co. 7,200 475
Florida Progress Corp. 58,400 1,752
Florida Rock Industries, Inc. 16,200 443
* Florsheim Shoe Co. 4,966 29
Flowers Industries, Inc. 23,000 417
Fluke Corp. 14,045 425
Food Lion Inc. Class A 214,150 1,084
Food Lion Inc. Class B 42,705 222
* Foodarama Supermarkets, Inc. 22,400 249
Foothill Group 43,300 649
* Fore Systems, Inc. 8,100 545
Foremost Corp. of America 15,900 564
Forest City Enterprise Class A 15,100 453
* Forest Laboratories, Inc. 26,508 1,236
* Foundation Health Co. 36,300 1,125
Fourth Financial Corp. 15,525 477
* Frame Technology 39,000 639
Franchise Finance Corp.
of America 19,700 342
* Foxmeyer Health Corp. 36,002 536
* Franklin Electronic Publishers, Inc. 29,600 625
* Franklin Quest Co. 12,500 373
Franklin Resources Corp. 51,300 1,828
Fredericks of Hollywood Class A 10,000 40
Fredericks of Hollywood Class B 24,132 84
* Freeport McMoRan, Inc. 85,995 1,526
Freeport McMoRan Copper
& Gold Inc. Class A 41,924 891
Fremont General Corp. 21,350 499
* Fretter Inc. 16,628 40
Frisch's Restaurants, Inc. 28,612 257
* Fruit of the Loom, Inc. 46,812 1,264
H.B. Fuller Co. 17,850 613
* Fund American Enterprise
Holding Co. 5,685 411
G & K Services, Inc. 32,325 541
GATX Corp. 12,200 537
GEICO Corp. 44,500 2,181
GFC Financial Corp. 17,400 552
GP Financial Corp. 33,400 691
Gainsco, Inc. 45,771 378
Arthur J. Gallagher & Co. 21,400 685
* Gander Mountain, Inc. 29,100 487
* Gateway 2000 Inc. 41,500 900
Gaylord Entertainment Class A 55,200 1,256
Gencorp, Inc. 42,100 500
* Genentech Inc. 73,517 3,336
General Binding Corp. 29,600 566
* General Instrument 74,300 2,229
General Motors Corp. Class E 164,600 6,337
</TABLE>
6
<PAGE> 47
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
General Motors Corp. Class H 56,700 $ 1,977
* General Nutrition Cos., Inc. 22,800 655
General Public Utilities Corp. 71,700 1,882
* Genetics Institute Inc. 15,800 565
* Geneva Steel Class A 42,100 568
* Genlyte Group, Inc. 21,700 89
Genovese Drug Stores, Inc. Class A 35,253 401
* Genrad, Inc. 76,900 413
* Gensia Inc. 15,350 65
* Gentex Corp. 31,000 744
* Genzyme Corp. 1,918 8
* Genzyme Tissue 14,209 444
Geon Co. 16,300 446
* Georgia Gulf Corp. 24,398 948
Gerber Scientific, Inc. 35,900 467
Germantown Savings Bank 7,500 465
* Gerrity Oil & Gas Corp. 50,900 216
* Getty Petroleum Corp. 32,232 375
Gibson Greetings, Inc. 30,000 446
* Gilead Sciences, Inc. 48,400 454
P.H. Glatfelter Co. 26,300 408
* Glenayre Technologies, Inc. 9,900 575
* Glendale Federal 66,548 641
* Global Marine Inc. 93,700 340
* Gold Reserve Corp. 47,100 403
Golden Enterprises Inc. 47,800 329
* E. Gottschalk & Co., Inc. 44,700 330
Goulds Pumps, Inc. 20,291 438
Graco, Inc. 25,350 551
* Graham-Field Health Products Inc. 56,900 213
* Grand Casinos, Inc. 32,900 456
Graphic Industries, Inc. 47,700 474
* Greater New York Savings Bank 46,300 405
Green Mountain Power Corp. 14,981 418
Green Tree Financial Corp. 40,800 1,239
* Greenstar Telecommunications, Inc. 13,000 54
Greiner Engineering, Inc. 24,833 261
* Grist Mill Co. 8,050 74
* Grossmans, Inc. 117,300 290
Grow Group, Inc. 31,200 437
* Gtech Holdings Corp. 25,600 522
Guaranty National Corp. 25,000 459
Guilford Mills, Inc. 25,650 571
* Gundle Environmental Systems, Inc. 59,900 314
* Gymboree Inc. 15,500 447
HBO and Co. 18,000 619
* Hadco Corp. 50,800 457
* Haemonetics Corp. 33,900 585
Hancock Fabrics, Inc. 45,600 405
Handy & Harman 27,800 427
M.A. Hanna Co. 21,450 509
Hannaford Brothers Co. 24,500 622
* Hanover Direct, Inc. 129,800 487
Harley-Davidson, Inc. 48,788 1,366
Harman International Industries, Inc. 18,900 699
Harper Group, Inc. 32,300 501
Harsco Corp. 15,016 614
Hartford Steam Boiler Inspection
& Insurance Co. 13,043 520
* Hauser Chemical Research 35,900 173
Hawaiian Electric Industries Inc. 16,535 535
Health Care Properties Investors 16,000 482
* Healthcare & Retirement Corp. 20,500 618
* HealthCare Compare Corp. 31,798 1,081
* Healthcare Services Group, Inc. 37,300 494
* HEALTHSOUTH
Rehabilitation Corp. 24,576 909
* Health and Retirement
Properties Trust 34,800 465
* Health Management
Associates Class A 29,662 742
* Health Systems 35,500 1,078
* Healthsource, Inc. 18,400 752
* Healthtrust Inc. 57,300 1,819
* Healthwise of America Inc. 17,956 588
Hechinger Co. Class A 49,500 575
* Hecla Mining Co. 56,100 568
* Hector Communications Corp. 35,350 239
Heico Corp. 7,900 73
Heilig-Meyers Co. 29,125 735
* Hein-Werner Corp. 10,073 50
* Helen of Troy Corp. 22,500 377
Helene Curtis, Inc. 17,300 577
* Hemasure, Inc. 10,300 34
Herbalife International of
America, Inc. 37,200 621
Hibernia Corp. Class A 50,528 392
Hillenbrand Industries, Inc. 44,700 1,240
* Hitox Corp. of America 40,700 84
Holly Corp. 17,400 455
* Hollywood Casino Corp. 47,100 274
Home Federal Financial Corp. 27,093 376
* Home Holdings Inc. Series A 72,200 677
* Home Shopping Network, Inc. 56,800 568
Homeowners Group, Inc. 35,000 28
* Hometown Buffet, Inc. 33,950 344
Hon Industries, Inc. 18,800 508
Horace Mann Educators Corp. 17,100 363
* Horizon Healthcare Corp. 26,525 743
George A. Hormel & Co. 45,800 1,134
* Horsehead Resource
Development Co., Inc. 54,600 314
* Hospitality Franchise Systems, Inc. 28,900 766
* Host Marriott 93,600 901
</TABLE>
7
<PAGE> 48
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Houghton Mifflin Co. 10,800 $ 490
* House of Fabrics, Inc. 49,400 56
Hubbell Inc. Class A 2,000 102
Hubbell Inc. Class B 17,051 908
Hughes Supply, Inc. 18,900 347
* Humana, Inc. 99,900 2,260
J.B. Hunt Transport Services, Inc. 24,150 370
Huntington Bancshares Inc. 83,059 1,422
IBP, Inc. 30,400 920
ICN Pharmaceuticals 32,564 562
* ICOS Corp. 68,500 253
* IDB Communications Group, Inc. 43,076 396
IES Industries, Inc. 17,040 430
* IGI, Inc. 37,600 447
* IHOP Corp. 18,000 488
IMC Global Inc. 18,397 796
* IMCO Recycling, Inc. 27,500 416
Idaho Power Co. 22,100 519
* Identix, Inc. 1,000 3
Illinois Central Corp. 25,700 790
Illinova Corp. 46,376 1,009
* Image Entertainment, Inc. 54,500 405
* Immulogic Pharmaceutical Corp. 51,900 363
* Immune Response 16,883 99
* Immunex Corp. 29,400 437
* Immunomedics Inc. 61,500 211
* Imo Industries, Inc. 53,000 662
* Imperial Bancorp 36,029 448
* Inacom Corp. 42,296 301
Indiana Energy, Inc. 39,000 800
* Indressco Inc. 36,400 519
* Infinity Broadcasting Corp. 20,200 639
* Information Resources, Inc. 7,100 99
* Informix Corp. 39,000 1,250
Integon Corp. 29,050 381
Integra Financial Corp. 20,131 828
* Integrated Device Technology Inc. 24,800 733
Intelligent Electronics Inc. 42,186 340
* Interco Co. 29,800 197
Interface, Inc. 35,100 430
Interface Systems Inc. 22,700 162
* Interlink Electronics Inc. 36,800 221
* Intermet Corp. 63,900 447
* International Cabletel, Inc. 14,400 394
* International Dairy Queen,
Inc. Class A 33,612 567
International Game Technology 80,198 1,243
* International Imaging Materials Inc. 20,600 670
International Multifoods Corp. 29,169 536
International Recovery Corp. 23,700 361
International Specialty Products, Inc. 32,000 224
* Intervoice, Inc. 55,200 752
* Intuit, Inc. 11,300 754
Invacare Corp. 16,400 558
Iowa-Illinois Gas & Electric Co. 21,100 419
Ipalco Enterprises, Inc. 23,400 702
Irvine Apartment Communities, Inc. 36,400 596
* Isomedix, Inc. 20,600 322
* Itel Corp. 20,000 693
IVAX Corp. 51,900 986
JDN Realty Corp. 18,300 366
* J & J Snack Foods Corp. 29,000 333
J & L Specialty Steel Inc. 40,800 801
JSB Financial 19,299 461
Jackpot Enterprises, Inc. 37,727 288
* Jacobs Engineering Group Inc. 28,800 533
* Jan Bell Marketing Inc. 39,850 159
* Jefferson Smurfit Corp. 70,800 1,195
John Alden Financial Group 18,600 535
John Nuveen Co. Class A 8,200 188
* Jones Apparel Group, Inc. 21,500 554
Justin Industries, Inc. 40,100 474
* KFX, Inc. 3,850 19
* KLA Instruments Corp. 14,300 702
KN Energy, Inc. 20,850 495
K U Energy Corp. 22,600 610
* K-V Pharmaceutical Co. Class A 15,200 87
* Kaiser Aluminum & Chemical Corp. 62,400 679
Kaman Corp. Class A 40,800 451
Kansas City Power & Light Co. 37,300 872
Kansas City Southern Industries, Inc. 27,838 860
Kaydon Corp. 23,300 559
Kellwood Co. 24,300 510
* Kelly Oil Corp. 39,500 146
Kelly Services, Inc. Class A 29,337 803
* Kemet Corp. 30,100 884
Kemper Corp. 21,196 803
* Kenetech Corp. 36,800 534
Kennametal, Inc. 25,047 614
* Kent Electronics Corp. 13,500 535
* Kentucky Medical Insurance Co. 35,211 224
* Key Tronic Corp. 44,700 481
* Keystone Consolidated
Industries, Inc. 29,550 406
Keystone International, Inc. 21,425 364
Kimball International, Inc. Class B 15,000 388
Kimco Realty Corp. 11,900 451
* Kinder Care Learning Centers Inc. 35,400 429
Kinetic Concepts, Inc. 95,700 670
* Kirby Corp. 35,700 705
Knape & Vogt Manufacturing Co. 20,762 400
* Kohls Corp. 22,100 878
* Komag, Inc. 29,900 781
* Kulicke & Soffa Industries, Inc. 23,100 484
</TABLE>
8
<PAGE> 49
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* L.A. Gear Inc. 32,616 $ 159
* LDDS Communications, Inc. 79,146 1,543
LG&E Energy Corp. 19,750 728
L & N Housing Corp. 32,600 200
* LSI Logic Corp. 36,400 1,470
* LTV Corp. 64,923 1,055
* LTX Corp. 113,400 468
La Quinta Inns Inc. 35,700 763
La-Z-Boy Chair Co. 13,200 421
Lab One Inc. 25,600 406
Lafarge Corp. 37,500 666
Lakeland First Financial Group Inc. 31,175 620
* LAM Research Corp. 16,850 626
Lancaster Colony Corp. 17,910 529
Lance, Inc. 29,541 524
* Landmark Graphics Corp. 23,500 423
* Landry's Seafood Restaurants, Inc. 18,100 509
* Lands' End, Inc. 31,800 437
* Larizza Industries, Inc. 64,200 241
* Lattice Semiconductor Corp. 30,300 511
Lawson Products, Inc. 22,350 570
Lawter International Inc. 51,354 623
Lawyers Title Insurance Corp. 29,750 316
* Lear Seating Corp. 31,300 622
Learonal Inc. 24,100 443
* Lechters Corp. 32,500 550
Lee Enterprises, Inc. 14,000 483
* Legent Corp. 21,853 634
Leggett & Platt, Inc. 24,400 854
Legg Mason Inc. 22,000 468
Lehman Brothers Holdings, Inc. 79,900 1,179
Lennar Corp. 29,250 453
Leucadia National Corp. 16,838 749
* Liberty Corp. 24,400 619
Life Re Corp. 23,000 405
Lilly Industries Inc. Class A 35,388 482
* Lin Broadcasting Corp. 32,868 4,413
* Lin Television 16,434 370
* Lincare Holdings Inc. 29,000 845
Lincoln Telecommunications Co. 38,100 643
Linear Technology Corp. 21,702 1,072
* Liposome Co., Inc. 59,600 492
* Littelfuse, Inc. 19,700 576
* Litton Industries, Inc. 27,700 1,025
* Live Entertainment Inc. 1,380 4
Loctite Corp. 22,700 1,056
Loews Corp. 40,000 3,475
* Lomas Financial Corp. 73,700 304
* Lone Star Steakhouse & Saloon 20,563 404
* Lone Star Technologies, Inc. 46,500 328
Long Island Lighting Co. 73,465 1,130
Longview Fiber Co. 32,070 505
Lubrizol Corp. 42,100 1,426
Lukens, Inc. 19,000 553
* Lynx Therapeutic 5,808 1
* Lynx Therapeutic Pfd. 8,448 4
Lyondell Petrochemical Co. 48,954 1,267
MBIA, Inc. 26,600 1,493
MCN Corp. 37,200 674
MDU Resources Group, Inc. 22,900 621
* MFS Communications Co., Inc. 39,800 1,313
MGIC Investment Corp. 37,398 1,239
* MGI Pharma, Inc. 51,300 327
* MGM Grand Inc. 30,800 743
* M.S. Carriers Inc. 21,300 458
* MacFrugal's Bargains Close-Outs, Inc. 35,500 710
The MacNeal-Schwendler Corp. 35,100 364
* Magma Copper Co. Class B 37,300 625
* Magma Power Co. 14,300 538
Magna Group 30,700 535
* Magnatek 40,100 541
Maine Public Service Co. 13,100 272
Manpower Inc. 47,200 1,328
* Manville Corp. 74,300 669
Mapco Inc. 18,100 928
Marion Merrell Dow, Inc. 174,474 3,555
Mark IV Industries, Inc. 31,409 620
* Mark VII Inc. 19,700 225
Mark Twain Bancshares, Inc. 20,650 558
* Marquest Medical Products Inc. 10,000 5
* Marquette Electronics Class A 27,200 626
Marshall & Ilsley Corp. 79,227 1,520
* Marshall Industries 22,572 604
Martin Marietta Materials, Inc. 27,200 483
* Marvel Entertainment Group 62,634 893
Maryland Federal Bancorp 18,276 425
MascoTech Inc. 37,400 481
Masland Corp. 25,700 397
* Mastec Inc. 48,600 492
* Maxim Integrated Products, Inc. 17,400 613
* Maxtor Corp. 60,500 340
* Maxxam Inc. 14,400 445
Maybelline, Inc. 25,051 451
McClatchy Newspapers, Inc. 17,300 372
McCormick & Co., Inc. 48,983 897
McKesson Corp. 26,000 848
* McMoRan Oil and Gas 89,599 274
* McWorter Technologies Inc. 22,400 333
Measurex Corp. 24,700 584
Medford Savings Bank 29,000 424
Media General, Inc. Class A 24,500 695
* Medical Dynamics, Inc. 63,700 82
* Medical Technology Systems, Inc. 16,100 92
Medicine Shoppe International, Inc. 18,750 506
</TABLE>
9
<PAGE> 50
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* MedImmune Inc. 32,000 $ 116
Meditrust 22,000 666
* Megahertz Corp. 58,200 829
* Men's Wearhouse, Inc. 22,500 503
* Mentor Corp. 25,700 447
Mentor Graphics Corp. 58,500 896
Mercantile Bancorp, Inc. 25,750 805
Mercantile Bankshares Corp. 28,650 566
Mercury Finance Co. 70,270 914
Mercury General Corp. 16,400 469
Meridian Bancorp, Inc. 36,095 963
* Merisel, Inc. 55,010 444
Merrill Corp. 23,100 401
* Mesa Airlines, Inc. 41,100 375
* Met-Pro Corp. 21,922 364
Metropolitan Financial Corp. 36,061 834
* Fred Meyer, Inc. 15,800 486
Michael Foods, Inc. 41,400 406
* Michaels Stores, Inc. 14,100 488
Michigan National Corp. 9,000 674
* Micro Warehouse Inc. 17,400 613
* Microchip Technology, Inc. 19,650 538
* Microcom Corp. 62,600 720
* Micronics Computers, Inc. 78,600 339
* Micropolis Corp. 51,500 460
* Microtouch Systems, Inc. 55,200 2,477
Mid-America Apartment
Communities, Inc. 19,300 516
Mid-American Waste Systems, Inc. 8,500 58
* Mid Atlantic Medical Services 25,800 590
Mid-Iowa Financial Corp. 2,640 42
Midlantic Corp. 32,100 853
Midwest Grain Products 17,150 403
Midwest Resources Inc. 33,697 468
Herman Miller, Inc. 21,771 569
* Milwaukee Land Co. 2,300 18
Minerals Technologies, Inc. 14,300 418
Minnesota Power & Light Co. 18,300 462
* Mirage Resorts, Inc. 58,000 1,189
Mitchell Energy & Development
Corp. Class A 32,000 520
* Mobile Telecommunications
Technologies Corp. 21,300 417
* Model Imperial, Inc. 44,500 214
Modern Controls, Inc. 12,775 83
Modine Manufacturing Co. 18,100 516
* Mohawk Industries, Inc. 33,300 416
* Molecular Biosystems, Inc. 17,500 188
Molex, Inc. 50,638 1,753
The Money Store 28,950 525
Monk Austin, Inc. 32,800 443
Montana Power Co. 31,400 722
Morgan Stanley Group, Inc. 50,184 2,961
Morrison Restaurants 22,425 549
Mosinee Paper Corp. 15,000 382
* Mueller Industries Inc. 14,500 433
* Multimedia, Inc. 33,303 957
Murphy Oil Corp. 27,730 1,179
Myers Industries, Inc. 28,423 398
Mylan Laboratories, Inc. 48,400 1,307
NAC Re Corp. 21,125 713
NBB Bancorp, Inc. 13,900 681
NCH Corp. 10,000 669
NIPSCO Industries, Inc. 39,870 1,186
* NPC International Class A 44,450 239
* NPC International Class B 36,750 191
N.S. Bancorp Inc. 14,800 390
NWNL Cos., Inc. 18,300 531
NYMAGIC, Inc. 23,200 426
* Nabors Industries, Inc. 95,700 622
Nashua Corp. 13,800 283
* National Auto Credit Co. 41,476 495
* National Beverage Corp. 9,120 60
National Computer Systems, Inc. 31,500 480
National Data Corp. 23,100 595
National Fuel & Gas Co. 22,400 571
* National Gaming Corp. 2,890 36
* National Gypsum Co. 12,300 504
* National Health Laboratories Holdings 52,900 701
National Presto Industries, Inc. 10,963 455
National Re Holdings Corp. 22,900 601
* National Record Mart, Inc. 49,100 178
National Steel Corp. Class B 42,400 615
* National Westminster 12,359 593
* Nationwide Cellular Service Inc. 25,200 477
Nationwide Health Properties, Inc. 10,400 372
* Nautica Enterprises Inc. 19,762 593
Neiman Marcus Group Inc. 43,304 585
* Nellcor Inc. 20,100 658
* Network Equipment Technologies 39,547 949
* Network General Corp. 28,244 729
* Network Systems Corp. 59,000 417
Nevada Power Co. 25,252 515
New England Business Service, Inc. 25,500 475
New England Electric System 39,400 1,266
New Jersey Resources Corp. 5,500 124
* New Mexico & Arizona Land Co. 32,100 255
New Plan Realty Trust 30,100 587
* New World Communications
Group, Inc. 30,100 356
New York State Electric & Gas Corp. 43,500 827
Newcor, Inc. 39,600 302
Newhall Land & Farming Co. 41,200 499
Newmont Gold Co. 63,491 2,262
</TABLE>
10
<PAGE> 51
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Nextel Communications 41,800 $ 606
* Nine West Group, Inc. 21,100 599
Noble Affiliates, Inc. 29,500 730
Nordson Corp. 11,240 680
* Nortek, Inc. 31,952 379
North American Mortgage 25,500 376
North Fork Bancorporation, Inc. 76,243 1,048
North Side Savings Bank 25,235 470
* North Star Universal Inc. 63,800 291
* Northeast Federal Corp. 41,913 351
Northeast Utilities 81,100 1,754
Northern Trust Corp. 32,250 1,137
* Northwest Airlines Corp. Class A 67,000 1,059
Northwest Natural Gas Co. 17,700 518
Northwestern Public Service Co. 15,300 409
* Norwalk Savings Society 4,000 47
* NovaCare, Inc. 34,312 249
* Novellus Systems, Inc. 8,800 439
* nVIEW Corp. 25,049 218
OEA, Inc. 24,900 610
* OHM Corp. 40,400 343
Oasis Residential, Inc. 23,100 566
* Oceaneering International, Inc. 42,600 437
* Octel Communications Corp. 29,400 617
* Office Depot, Inc. 95,425 2,290
* Offshore Logistics, Inc. 35,000 451
* Offshore Pipelines Inc. 23,800 538
Ohio Art Co. 7,400 222
Ohio Casualty Corp. 21,456 612
Oklahoma Gas & Electric Co. 24,300 805
* Old America Stores, Inc. 31,500 457
Old Kent Financial Corp. 24,100 732
Old National Bancorp 11,027 403
Old Republic International Corp. 30,774 654
Olin Corp. 13,300 685
Olsten Corp. 24,850 789
Omnicom Group Inc. 21,600 1,118
Omega Healthcare Investors, Inc. 21,341 515
Onbancorp Inc. 17,300 396
Oneida Ltd. 27,289 355
* Oneita Industries 32,533 354
Optical Coating Laboratory, Inc. 50,066 313
Orange & Rockland Utilities, Inc. 18,500 601
* Orbital Sciences Corp. 25,200 479
* Oregon Metallurgical Corp. 45,000 329
Oregon Steel Mills, Inc. 29,500 461
* O'Reilly Automotive, Inc. 17,400 424
Oriole Homes Corp. Class B 7,500 51
* Ornda Healthcorp 18,000 223
O'Sullivan Corp. 39,675 372
* Outback Steakhouse 24,150 563
Overseas Shipholding Group Inc. 20,300 467
* Owens-Illinois, Inc. 73,972 814
* Oxford Health Plan 10,400 828
* Oxigene, Inc. 14,700 69
PCA International, Inc. 33,693 356
* PDG Environment Industries 7,140 5
PHH Corp. 11,100 386
* PS Group, Inc. 22,500 245
* Pacific Crest Capital Inc. 43,645 188
Pacific Gulf Properties, Inc. 23,100 347
Pacific Scientific Co. 17,900 725
Pacific Telecom, Inc. 23,800 720
* Pacificare Health Systems Inc. Class A 14,700 961
* Pacificare Health Systems Inc. Class B 2,100 138
* Paging Network Inc. 31,400 1,060
PaineWebber Group, Inc. 49,375 741
* Parametric Technology Corp. 33,204 1,141
* Park Communications, Inc. 26,750 749
Park-Ohio Industries, Inc. 25,900 338
Parker & Parsley Petroleum Co. 19,400 398
* Parker Drilling Co. 96,300 457
Paul Revere Corp. 27,500 409
* Paul-Son Gaming Corp. 23,300 218
Paychex, Inc. 18,450 743
* Payless Cashways, Inc. 59,200 548
* Peak Technologies Group, Inc. 4,300 68
* Pec Israel Economic Corp. 19,300 550
* Pegasus Gold 37,700 429
Penn Engineering &
Manufacturing Co. 8,300 350
Pennsylvania Enterprises Inc. 12,850 352
Pennsylvania Power and Light Co. 95,698 1,818
Pentair, Inc. 11,154 473
Penwest Ltd. 18,609 367
* People's Choice TV Corp. 20,600 319
Peoples Heritage Financial Group Inc. 33,800 401
* Peoplesoft Inc. 47,400 1,777
* Perini Corp. 33,800 317
* Perrigo 54,200 674
* Perry Drug Stores Inc. 52,200 574
Petrie Stores Corp. 28,331 634
Petroleum Heat & Power Co. 47,700 429
Petrolite Corp. 17,300 467
* Petsmart, Inc. 18,400 632
* Pharmaceutical Resources, Inc. 49,770 460
* Pharmaceutical Resources, Inc.
Series A Convertible Pfd. 1,199 10
Phillips-Van Heusen Corp. 20,893 319
* Photronics Labs Inc. 23,000 678
* Physician Corp. of America 32,200 656
* Picturetel Inc. 23,200 563
* Piedmont Management Inc. 27,600 335
Piedmont Natural Gas, Inc. 30,808 582
</TABLE>
11
<PAGE> 52
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Pier 1 Imports Inc. 61,177 $ 574
Pilgrim's Pride Corp. 43,200 421
Pinnacle West Capital Corp. 52,700 1,041
Pioneer Financial 37,800 345
Pioneer Standard Electronics Inc. 31,350 506
Pittway Corp. Class A 16,700 672
Plains Petroleum Co. 20,500 482
* Playboy Enterprises Inc. Class A 22,850 214
* Playboy Enterprises Inc. Class B 31,150 327
Plenum Publishing Corp. 16,400 498
* Plexus Corp. 30,750 265
Ply-Gem Industries, Inc. 24,100 461
Pogo Producing Co. 28,400 504
* Policy Management Systems Corp. 13,964 586
* Pool Energy Service Co. 49,567 341
Pope & Talbot, Inc. 26,000 413
Portland General Electric Co. 29,500 568
Potomac Electric Power Co. 73,100 1,343
* Powersoft Corp. 14,300 1,180
Precision Castparts Corp. 25,800 522
* Premier Bancorp, Inc. 37,700 601
Premier Industrial Corp. 52,447 1,239
* President Riverboat Casinos, Inc. 37,400 327
Presidential Life Corp. 42,600 221
T. Rowe Price 17,200 514
* Primadonna Resorts, Inc. 19,100 461
* Primark Corp. 32,800 431
Prime Bancorp Inc. 28,193 455
Production Operators Corp. 17,600 425
Progressive Corp. of Ohio 44,106 1,544
* Pronet, Inc. 25,500 371
Property Trust of America 32,200 580
Protective Life Corp. 14,900 725
* Protein Design Labs 27,600 436
Provident Life & Accident
Insurance Co. of America Class B 27,200 592
Public Service Co. of Colorado 37,500 1,102
* Public Service Co. of New Mexico 49,820 648
Puerto Rican Cement Co., Inc. 13,700 385
Puget Sound Power & Light Co. 38,015 765
Pulitzer Publishing Co. 16,180 649
Puritan-Bennett Corp. 21,800 455
* Pyramid Technology Corp. 36,900 475
* Pyxis Corp. 21,200 404
* QMS, Inc. 39,800 338
* QVC Inc. 24,725 1,043
Quaker State Corp. 48,500 679
* Qualcomm, Inc. 30,000 716
Quality Food Centers Inc. 15,924 384
Quanex Corp. 24,900 569
* Quantum Corp. 40,100 604
* Quarterdeck Office Systems 86,800 266
Questar Corp. 23,615 649
Quincy Savings Banks 24,600 629
* Quorum Health Group, Inc 25,700 492
RFS Hotel Investors 33,200 486
* RJR Nabisco Holdings Corp. 852,747 4,690
R.L.I. Corp. 17,200 353
* RPC Energy Services 50,200 383
RPM Inc. (Ohio) 32,925 613
* Rainbow Technologies, Inc. 24,400 345
* Ralcorp Holdings Inc. 21,600 481
* Rasterops 53,800 140
Raymond James Financial, Inc. 33,050 463
Rayonier Inc. 18,500 564
* Read-Right Corp. 44,114 816
Reader's Digest Assn., Inc. Class A 72,200 3,547
* Reading & Bates Corp. 79,520 477
* Redman Industries, Inc. 21,400 356
Regal-Beloit Corp. 34,700 473
Regions Financial Corp. 29,727 923
Reliance Group Holdings 66,714 342
* Rentrak Corp. 52,200 398
Republic New York Corp. 33,650 1,523
* Research Industries Corp. 37,150 520
* Response Technologies, Inc. 99,500 168
* Revco Drug Stores, Inc. 38,100 900
* Rexall Sundown, Inc. 40,200 394
Reynolds & Reynolds Class A 25,000 625
Rhone-Poulenc Rorer, Inc. 85,704 3,128
* Riggs National Corp. 47,300 390
Riverwood International Corp. 40,500 633
* Robert Half International, Inc. 48,600 1,166
* Roberts Pharmaceuticals 21,300 671
Rochester Community Savings Bank 28,100 436
Rochester Gas and Electric Corp. 23,248 485
Rochester Telephone Corp. 45,144 954
Rockefeller Center Properties Inc. 76,500 383
* Rodman and Renshaw
Capital Group, Inc. 2,239 9
* Rogers Corp. 11,400 567
* Rohr, Inc. 29,500 306
Rollins, Inc. 22,000 503
Rollins Truck Leasing 49,175 584
Roosevelt Financial Group 31,600 472
* Ropak Corp. 43,644 426
Ross Stores, Inc. 37,400 421
* The Rottlund Co. 47,100 259
Rouse Co. 30,000 574
* Royal Appliance Manufacturing Co. 61,700 216
Russ Berrie, Inc. 33,100 455
* Rust International, Inc. 51,500 573
Rykoff-Sexton, Inc. 21,625 441
Ryland Group, Inc. 27,000 405
</TABLE>
12
<PAGE> 53
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* SCI Systems, Inc. 33,300 $ 595
SJW Corp. 9,300 300
* SPS Transaction Services 16,600 436
* Safeguard Health Enterprises, Inc. 35,300 340
* Safeguard Scientifics, Inc. 27,800 480
* Safety First Inc. 16,500 478
* Safeway, Inc. 65,928 2,101
St. Ives Laboratories, Inc. 39,500 304
St. Joe Paper Co. 18,600 1,009
St. Paul Bancorp, Inc. 27,150 472
* Salant Corp. 12,500 72
San Diego Gas & Electric Co. 71,200 1,371
Sanderson Farms, Inc. 23,700 518
* Sanifill, Inc. 24,200 605
Saul Centers, Inc. 26,400 389
Savannah Foods & Industries, Inc. 40,100 591
Sbarro, Inc. 24,191 629
Scana Corp. 29,300 1,234
* R. P. Scherer Corp. 13,726 623
* Scholastic Corp. 16,200 828
A. Schulman Inc. 26,262 716
Schult Home Corp. 25,900 327
Charles Schwab Corp. 35,489 1,238
* Sci-Med Life Systems, Inc. 19,400 981
* Scios Nova, Inc. 52,800 347
Scope Industries 2,400 57
E.W. Scripps Co. 66,369 2,008
Seafield Capital Corp. 12,100 407
* Seagate Technology 45,842 1,100
* Seagull Energy Corp. 22,700 434
* Sealed Air Corp. 21,600 783
Security Capital Industrial Trust 31,400 534
Selective Insurance Group 19,000 475
* Selfix, Inc. 24,120 106
Sensormatic Electronics Corp. 41,661 1,500
* Sequa Corp. Class A 12,500 325
* Sequent Computer Systems, Inc. 38,700 769
* Service Merchandise Co., Inc. 56,287 260
Shaw Industries, Inc. 92,000 1,368
Shelby Williams Industries, Inc. 29,900 250
* Sholodge, Inc. 32,133 663
Shopko Stores, Inc. 48,155 457
* Shorewood Packaging 35,200 717
* Show Biz Pizza Time, Inc. 36,850 286
Showboat, Inc. 24,216 351
Sierra Pacific Resources 33,000 623
* Sierra Semiconductor 45,294 696
Signet Banking Corp. 49,552 1,418
* Silicon Graphics, Inc. 88,580 2,746
Simon Property Group 29,100 706
* Sithe Energies, Inc. 36,900 387
Sizzler International 46,350 278
* Skybox International Inc. 43,300 484
A.O. Smith Corp. 24,500 600
* Smith International, Inc. 55,300 691
* Smithfield Foods, Inc. 26,600 848
Smiths Food & Drug
Centers, Inc. Class B 21,200 533
J.M. Smucker Co. Class A 17,400 418
J.M. Smucker Co. Class B 1,200 27
* Softdesk, Inc. 25,900 502
* Software Publishing Corp. 64,150 285
* Solectron Corp. 24,900 685
* Solv-Ex Corp. 75,300 338
Sonoco Products 53,700 1,165
Sotheby's Holdings Class A 31,500 362
South Jersey Industries, Inc. 22,084 400
* Southdown, Inc. 28,300 410
Southern Indiana Gas & Electric 19,254 510
Southern National Corp. 27,100 518
Southern New England
Telecom Corp. 41,100 1,320
* Southern Pacific Rail Corp. 96,600 1,751
* Southern Union Co. 23,954 395
* Southland Corp. 262,900 1,167
Southtrust Corp. 50,851 919
Southwest Gas Corp. 32,300 456
Southwestern Energy Co. 35,000 521
* Southwestern Life Corp. 87,000 223
Southwestern Public Service Co. 24,200 641
Sovereign Bancorp, Inc. 57,238 451
* Spaghetti Warehouse, Inc. 26,300 128
* Spartan Motors, Inc. 30,350 402
* Spec's Music Inc. 43,366 211
Spelling Entertainment 56,600 608
Spiegel, Inc. Class A 67,100 675
Stac Electronics 13,300 69
Standard Federal Bank 19,500 466
Standard Products Co. 22,250 534
The Standard Register Co. 26,600 459
Standex International Corp. 20,500 643
Stanhome, Inc. 11,500 364
* Staples, Inc. 36,261 893
Star Banc Corp. 17,500 637
* Starbucks Corp. 16,400 449
L. S. Starrett Co. Class A 16,700 374
L. S. Starrett Co. Class B 400 9
* Starter Corp. 30,300 208
State Street Boston Corp. 47,200 1,348
* Station Casinos, Inc. 42,100 545
* Sterling Chemicals, Inc. 64,700 849
* Sterling Software, Inc. 23,037 847
Stewart & Stevenson Services, Inc. 19,582 676
Stewart Information Services Corp. 22,300 343
</TABLE>
13
<PAGE> 54
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Stolt-Nielson SA 31,100 $ 641
Stone & Webster, Inc. 19,200 638
* Stop & Shop Cos. Inc. 30,100 768
* Storage Technology Corp. 27,645 802
* Stratacom, Inc. 17,400 611
* Stratus Computer, Inc. 14,900 566
Strawbridge & Clothier Class A 19,364 438
* Structural Dynamics Research Corp. 14,700 78
Stryker Corp. 30,000 1,101
Student Loan Corp. 27,300 498
Student Loan Marketing Assn. 45,600 1,482
* Submicron Systems Corp. 62,340 310
Summit Bancorp 32,098 618
* Summit Technology, Inc. 20,500 584
Sun Communities, Inc. 19,900 448
SunAmerica Inc. 20,100 729
Sunbeam Oster 49,900 1,285
Sundstrand Corp. 21,800 992
* SunGard Data Systems 11,400 436
* Supercuts, Inc. 32,100 273
Super Food Services, Inc. 40,600 436
Superior Industries International, Inc. 18,319 483
Surgical Care Affiliates, Inc. 28,800 583
* Swift Energy Co. 35,090 342
* Swift Transportation Co., Inc. 44,700 928
* Sybase, Inc. 31,800 1,650
* Sybron Corp. 22,000 759
* Symantec Corp. 41,200 724
* Symbol Technologies, Inc. 22,100 682
* Synopsys, Inc. 15,563 677
Synovus Financial Corp. 40,500 734
* Systemix, Inc. 21,930 378
* TBC Corp. 49,075 448
TCA Cable Television, Inc. 27,500 595
TCBY Enterprises, Inc. 57,800 325
TCF Financial Corp. 12,300 507
TECO Energy, Inc. 70,500 1,419
* TIE Communications, Inc. 11,000 55
TIG Holdings, Inc. 38,500 722
TJ International, Inc. 27,600 497
TNP Enterprises, Inc. 26,800 399
* T.P.I. Enterprises, Inc. 80,800 308
Talbots Inc. 21,500 672
* Talley Industries, Inc. 51,700 401
Tambrands, Inc. 23,477 907
Taubman Co. 56,700 553
* Tech Data Corp. 34,600 586
* Technical Communications Corp. 14,000 107
* Technology Solutions Co. 51,500 409
Tecumseh Products Co. Class A 6,400 290
Tecumseh Products Co. Class B 11,800 528
* Tejas Gas Corp. 12,887 614
Tejon Ranch Co. 26,400 317
Teleflex Inc. 13,400 476
Telephone & Data Systems, Inc. 32,838 1,515
* Tellabs, Inc. 34,300 1,908
Telxon Corp. 36,300 504
* Teradyne, Inc. 21,200 718
Terra Industries, Inc. 82,992 861
* Tesoro Petroleum Corp. 54,000 500
Texas Industries, Inc. 16,757 591
* Thermo Electron Corp. 30,850 1,384
* Thermo Instrument Systems, Inc. 28,100 892
* Thermedics, Inc. 42,000 536
Thiokol Corp. 24,000 669
* 3 Com Corp. 40,800 2,104
Tidewater, Inc. 32,000 592
Tiffany & Co. 18,766 732
* Todd Shipyards Corp. 73,100 420
* Tokos Medical 61,478 392
Tootsie Roll Industries, Inc. 6,543 402
The Topps Co., Inc. 63,240 332
The Toro Co. 18,900 543
Tosco Corp. 20,166 587
Total Petroleum
(North America) Ltd. 46,800 585
Total System Services, Inc. 40,800 699
Transatlantic Holdings 13,700 765
Transtechnology Corp. 28,800 331
* Transtexas Gas Corp. 40,600 464
* Tremont Corp. 49,367 580
* Triarc Cos., Inc. 27,200 320
Trimas Corp. 22,800 456
* Trimble Navigation Ltd. 37,400 612
* Trimedyne, Inc. 29,100 90
Trinity Industries, Inc. 23,450 739
* Triton Energy Corp. 21,372 727
True North Communications 13,400 576
Trustco Bank 24,314 498
* Tucson Electric Power Co. 198,100 619
* Tuesday Morning, Inc. 17,000 101
* Tultex Corp. 80,900 394
Turner Broadcasting Class A 26,900 440
Turner Broadcasting Class B 101,600 1,664
* 20th Century Industries 21,700 228
* Tyco Toys, Inc. 56,098 316
Tyson Foods, Inc. 94,107 1,988
* UAL Corp. 17,200 1,503
UGI Corp. Holding Co. 19,679 401
UMB Financial Corp. 17,037 530
* UNC, Inc. 62,700 376
* URS Corp. 41,200 221
* USG Corp. 27,200 530
USLICO Corp. 23,800 482
</TABLE>
14
<PAGE> 55
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Ultramar Corp. 23,100 $ 589
Unifi, Inc. 43,925 1,120
Union Bank of San Francisco 21,630 587
* Union Corp. 33,700 463
Union Planters Corp. 29,525 616
Union Texas Petroleum
Holdings, Inc. 56,200 1,166
* Unique Mobility, Inc. 31,100 179
United Asset Management Corp. 16,900 623
United Carolina Bancshare Corp. 20,500 505
United Cos. Finance Corp. 17,813 483
United Dominion Industries Ltd. 35,185 673
United Dominion Realty 30,000 431
* United Gaming, Inc. 52,600 414
* United Guardian, Inc. 31,800 58
United Illuminating Co. 18,900 558
* United International Holdings,
Inc. Class A 28,700 491
United Jersey Bank Financial Corp. 37,287 900
US Bancorp, Inc. 15,600 330
* U.S. Energy Corp. 43,130 172
* U.S. Long Distance Corp. 39,600 478
U.S. Shoe Corp. 36,965 693
* United States Banknotes 58,300 124
* United States Cellular 48,400 1,585
United States Trust Corp. 11,800 746
United Stationers, Inc. 33,800 441
* United Television, Inc. 18,200 978
United Water Resources, Inc. 48,944 618
Unitil Corp. 18,700 304
Unitrin Inc. 31,870 1,374
Universal Corp. 21,200 421
Universal Foods Corp. 16,362 450
* Universal Health Services Class B 22,500 551
Utilicorp United, Inc. 28,615 758
* Vaalco Energy, Inc. 84,900 53
* Valassis Communication 42,200 633
Valhi, Inc. 87,400 666
Valero Energy Corp. 25,800 435
Valley National Bancorp 18,067 488
Valspar Corp. 12,800 429
* Value City Department Stores, Inc. 40,800 357
* Value Health, Inc. 24,496 912
* Vanguard Cellular Systems,
Inc. Class A 24,087 617
* Varco International, Inc. 65,100 407
Varian Associates, Inc. 21,400 749
Vastar Resources, Inc. 60,900 1,515
* Vectra Tech Inc. 25,800 79
* Vencor, Inc. 27,825 776
* Ventritex Inc. 26,100 703
* VeriFone, Inc. 29,500 653
Versa Technology, Inc. 25,200 334
* Vertex Communications Corp. 28,500 358
* Vestar, Inc. 64,500 322
* Vicor Corp. 26,700 677
* Vicorp Restaurants, Inc. 25,200 450
Vigoro Corp. 12,600 378
* Viking Office Products 23,600 723
Virco Manufacturing Corp. 48,679 456
Virginia Beach Federal Financial Corp. 11,850 73
* Vishay Intertechnology, Inc. 16,089 788
Vital Signs, Inc. 25,264 278
* Vons Cos., Inc. 25,700 463
Vornado Realty Trust 13,598 488
Vulcan International Corp. 5,900 103
Vulcan Materials Co. 23,400 1,185
* WHX Corp. 37,450 496
* WMS Industries, Inc. 31,000 581
WPL Holdings, Inc. 18,600 509
WPS Resources Corp. 14,600 391
* Waban, Inc. 34,400 611
Wabash National Corp. 11,000 429
Wackenhut Corp. 24,700 330
* Wainoco Oil Corp. 79,400 377
Wallace Computer Services, Inc. 13,400 389
* Warnaco Group 37,600 649
Washington Energy Co. 38,373 518
Washington Federal Savings &
Loan Assn. 23,390 408
Washington Gas Light Corp. 12,601 422
Washington Mutual Inc. 36,385 609
Washington National Corp. 20,764 395
Washington Post Co. Class B 7,500 1,819
Washington Real Estate
Investment Trust 37,200 600
Washington Water Power Co. 31,300 426
Watts Industries Class A 26,200 553
Wausau Paper Mills Co. 18,480 423
* Wave Technologies International 40,800 268
* Weatherford International, Inc. 55,400 540
Del E. Webb Corp. 29,000 511
Webster Financial Corp. 19,580 355
Weingarten Realty Investors 15,700 595
Weis Markets, Inc. 26,700 644
Wellman, Inc. 19,155 541
* Wellpoint Health Networks, Inc.
Class A 61,700 1,797
Werner Enterprises, Inc. 24,700 584
Wesco Financial Corp. 4,158 479
West Co., Inc. 18,900 520
West One Bancorp 20,112 534
* Western Beef 15,360 98
* Western Digital Corp. 29,800 499
</TABLE>
15
<PAGE> 56
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Western Gas Resources, Inc. 19,200 $ 370
Western National Corp. 39,900 514
* Western Publishing Group, Inc. 36,500 347
Western Resources, Inc. 37,586 1,076
* Roy F. Weston, Inc. 50,900 299
* Westpoint Stevens, Inc. 40,600 579
* Westwood One, Inc. 55,600 546
Wheelabrator Technologies 120,906 1,783
* White River 13,342 407
* Whittaker Corp. 24,600 498
John Wiley & Sons Class A 13,200 581
Willamette Industries, Inc. 35,100 1,658
Willcox & Gibbs, Inc. 57,244 336
* Clayton Williams Energy, Inc. 40,500 243
* Williams Sonoma, Inc. 12,300 372
Wilmington Trust Corp. 23,000 526
* Windmere Corp. 35,897 283
* Wisconsin Central
Transportation Corp. 10,200 418
Wisconsin Energy Corp. 66,461 1,720
* Wisconsin Pharmacal Co. 31,600 138
Wiser Oil Co. 26,200 373
Witco Chemical Corp. 35,100 864
Wolverine World Wide, Inc. 26,800 690
* World Corp. 49,900 362
* Worldtex Inc. 76,844 279
Wyle Laboratories 22,700 443
* Wyman Gordon Corp. 63,200 391
* Xilinx, Inc. 13,900 822
* Xoma Corp. 115,700 315
Xtra Corp. 9,900 446
* Xylogics, Inc. 38,200 979
Yankee Energy Systems 20,477 445
York International Corp. 23,000 848
Zenith National Insurance Corp. 31,460 716
* Zilog Inc. 23,100 679
Zions Bancorp. 16,600 596
* Zurich Reinsurance Centre
Holdings, Inc. 15,600 450
* Zycad Corp. 105,500 152
- ------------------------------------------------------------------
TOTAL COMMON STOCKS (97.6%)(1)
(Cost $822,504) 944,320
- ------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.2%)
- ------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.395%, 3/23/95 $700 $ 691
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.90%, 1/3/95 20,692 20,692
- ------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $21,383) 21,383
- ------------------------------------------------------------------
TOTAL INVESTMENTS (99.8%)
(Cost $843,887) 965,703
- ------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (.2%)
- ------------------------------------------------------------------
Other Assets--Notes B and F 37,884
Liabilities--Note F (36,292)
--------
1,592
- ------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------
Applicable to 52,238,008 outstanding
shares of beneficial interest
(unlimited authorization) $967,295
- ------------------------------------------------------------------
NET ASSET VALUE PER SHARE $18.52
==================================================================
</TABLE>
+See Note A to Financial Statements.
(1)The combined market value of common stocks, New York Stock
Exchange Composite Index, Standard & Poor's Midcap 400 Index,
and Russell 2000 Index futures contracts represents 100.0% of
net assets.
*Non-Income Producing Security.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
AT DECEMBER 31, 1994, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------
Amount Per
(000) Share
-------- -------
<S> <C> <C>
Paid in Capital $845,662 $16.19
Overdistributed Net
Investment Income (8) --
Overdistributed Net
Realized Gains (645) (.01)
Unrealized Appreciation of
Investments--Note D 122,286 2.34
- ------------------------------------------------------------------
NET ASSETS $967,295 $18.52
- ------------------------------------------------------------------
</TABLE>
16
<PAGE> 57
<TABLE>
<CAPTION>
Market
Value
TOTAL STOCK MARKET PORTFOLIO Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ------------------------------------------------------------------
* ABC Rail Products Corp. 9,500 $ 207
* ADC Telecommunications, Inc. 6,000 299
AES Corp. 12,026 235
AFLAC, Inc. 15,886 508
AGCO Corp. 6,600 200
* AMR Corp. 12,693 676
ARCO Chemical Co. 15,700 691
* AST Research, Inc. 10,700 156
AT&T Corp. 255,662 12,847
AT&T Capital Corp. 9,600 205
Abbott Laboratories, Inc. 131,529 4,291
* Abex, Inc. 22,979 169
* Ace Cash Express, Inc. 2,700 23
* Action Performance Cos., Inc. 30,400 156
* Acuson Corp. 11,312 184
Adobe Systems, Inc. 13,547 405
* Adtran, Inc. 7,500 341
* Advanced Magnetics, Inc. 6,000 88
* Advanced Micro Devices, Inc. 15,360 382
* Advanced Technologies
Laboratories, Inc. 10,939 200
* Advanced Tissue Sciences Inc. 9,600 79
Advanta Corp. Class A 5,850 155
Aetna Life & Casualty Co. 18,450 869
H.F. Ahmanson & Co. 17,523 283
* Air and Water Technology
Corp. Class A 15,400 92
Air Products & Chemicals, Inc. 22,829 1,019
Airborne Freight Corp. 5,390 111
* AirTouch Communications 80,972 2,358
Alamo Group, Inc. 8,600 138
Albank Financial Corp. 8,400 195
Albemarle Corp. 16,715 232
Alberto-Culver Co. Class B 5,723 156
Albertson's, Inc. 40,774 1,182
Alco Standard Corp. 8,653 543
Alex Brown, Inc. 7,280 221
Alexander & Alexander Services, Inc. 8,120 150
Alexander & Baldwin, Inc. 7,000 157
* Alexander's, Inc. 4,500 238
* All American Semiconductor, Inc. 37,200 69
* Alleghany Corp. 2,318 352
Allegheny Ludlum Corp. 10,400 195
Allegheny Power System, Inc. 18,700 407
* Allegiant Physician Services 6,400 13
Allergan, Inc. 10,629 300
* Alliance Entertainment 25,300 117
* Alliance Pharmaceutical Corp. 16,700 102
* Alliant Techsystems, Inc. 6,500 264
Allied Capital Commercial Corp. 8,100 134
Allied Capital Lending Corp. 9,900 104
Allied-Signal, Inc. 45,994 1,564
Allmerica Property & Casualty Cos. 16,700 282
Allstate Corp. 15,200 359
ALLTEL Corp. 30,800 928
* Allwaste, Inc. 17,200 97
* Alumax, Inc. 6,841 194
Aluminum Co. of America 14,592 1,264
* ALZA Corp. 13,731 247
* Amax Gold, Inc. 35,093 211
AMBAC, Inc. 5,122 191
Amcast Industrial Corp. 3,400 72
* Amdahl Corp. 26,173 288
Amerada Hess Corp. 14,980 683
American Annuity Group Inc. 25,817 248
American Brands, Inc. 33,097 1,241
American Classic Voyager Co. 12,400 169
American Electric Power Co., Inc. 30,090 989
American Express Co. 83,067 2,450
American General Corp. 34,120 964
American Greetings Corp. Class A 12,462 336
American Health Properties, Inc. 8,500 168
American Home Products Corp. 52,411 3,289
American International Group, Inc. 51,648 5,062
American List Corp. 10,675 179
American Media Class A 11,800 192
* American Medical Holdings, Inc. 12,100 292
American National Insurance Co. 3,800 180
* American Power Conversion Corp. 14,300 233
American Premier Underwriters Inc. 7,500 194
American President Cos., Ltd. 9,200 232
* American Re Corp. 8,000 258
American Stores Co. 22,890 615
American Studios, Inc. 36,800 104
* Ameridata Technologies 6,400 64
Amerifed Financial Corp. 2,100 93
Ameritech Corp. 90,030 3,635
Ametek, Inc. 16,100 272
* Amgen, Inc. 21,460 1,265
AMP, Inc. 17,242 1,254
Amoco Corp. 81,630 4,826
* Amphenol Corp. 15,800 379
* Amsco International, Inc. 22,585 206
Amsouth Bancorp 9,274 239
Amtech Corp. 3,375 32
* Amylin Pharmaceuticals, Inc. 6,900 40
Anadarko Petroleum Corp. 9,300 358
* Analog Devices, Inc. 8,269 290
* Anchor Bancorp Inc. 16,600 222
* Andrew Corp. 5,325 280
* Andros Inc. 6,700 109
Angelica Corp. 3,300 91
Anheuser-Busch Co., Inc. 42,680 2,171
</TABLE>
17
<PAGE> 58
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Ann Taylor Stores Inc. 8,200 $ 282
Anthony Industries, Inc. 6,162 99
Aon Corp. 17,048 546
Apache Corp. 12,269 307
Apple Computer, Inc. 19,055 741
* Applied Bioscience International, Inc. 10,300 58
* Applied Materials, Inc. 14,300 601
Arbor Drugs, Inc. 10,900 223
Archer-Daniels-Midland Co. 83,683 1,726
Argent Bank 2,000 51
Argonaut Group, Inc. 10,381 289
* Armco, Inc. 43,096 286
Armor All Products Corp. 8,800 180
Armstrong World Industries Inc. 6,192 238
* Arrow Electronics, Inc. 16,699 599
* Artisoft, Inc. 9,104 71
ASARCO, Inc. 7,124 203
Ashland Oil, Inc. 9,471 327
* Aspect Telecommunications 5,800 196
* Associated Group Class A 2,000 46
* Associated Group Class B 2,000 46
Astro-Med, Inc. 4,300 45
* Asyst Technologies, Inc. 11,500 275
Atlanta Gas Light Co. 3,800 114
Atlanta Sosnoff Capital 16,200 91
Atlantic Energy, Inc. 9,300 164
Atlantic Richfield Co. 26,251 2,671
Atlantic Southeast Airlines Inc. 4,100 65
* Atmel Corp. 6,700 224
Atmos Energy Corp. 7,250 123
* Atwood Oceanics, Inc. 4,400 53
* Aura Systems, Inc. 22,400 97
Autodesk, Inc. 7,690 305
Automatic Data Processing, Inc. 23,201 1,357
* Automotive Industries
Holding Inc. Class A 5,200 107
* AutoZone, Inc. 23,700 575
Avemco Corp. 13,800 212
Avery Dennison Corp. 9,087 323
Aviall Inc. 21,919 167
Avnet, Inc. 6,200 229
Avon Products, Inc. 11,165 667
BHC Communications, Inc. Class A 3,700 272
BMC Industries, Inc. 12,400 194
* BMC Software, Inc. 3,900 222
* BMJ Financial Corp. 14,800 163
* BOK Financial Corp. 3,090 65
* BPI Packaging Technologies Inc. 28,900 117
* B.U.M. International, Inc. 11,175 82
* Badger Paper Mills, Inc. 9,300 91
Baker Hughes, Inc. 22,290 407
Baldor Electric Co. 4,920 133
* Baldwin Technology Class A 11,900 65
Ball Corp. 10,901 343
Ballard Medical Products 22,266 237
Baltimore Gas & Electric Co. 25,553 565
Banc One Corp. 66,087 1,677
Bancorp Hawaii, Inc. 5,900 150
Bandag, Inc. 3,538 214
Bandag, Inc. Class A 538 29
Bangor Hydro-Electric Co. 13,000 127
Bank of Boston Corp. 17,189 445
The Bank of New York Co., Inc. 29,886 867
Bank North Group 3,300 73
BankAmerica Corp. 62,432 2,466
Bankers Corp. 12,496 166
Bankers Life Holding Corp. 7,900 150
Bankers Trust New York Corp. 13,071 724
BanPonce Corp. 9,477 268
C.R. Bard, Inc. 7,818 211
Barefoot, Inc. 9,400 128
Barnes Group, Inc. 2,700 103
Barnett Banks of Florida, Inc. 15,946 612
* Barr Labs Inc. 7,700 194
Bassett Furniture Industries, Inc. 2,863 82
Battle Mountain Gold Co. Class A 27,700 305
Bausch & Lomb, Inc. 8,868 300
Baxter International, Inc. 46,258 1,307
* Bay Networks 20,270 595
BayBanks, Inc. 3,900 205
Bear Stearns Co., Inc. 18,166 279
BeautiControl Cosmetics 6,800 100
Becton, Dickinson & Co. 11,061 531
Bell Atlantic Corp. 71,367 3,551
Bell Bancorp, Inc. 6,600 154
* Bell Industries, Inc. 10,185 208
BellSouth Corp. 80,955 4,382
A. H. Belo Class A 3,200 181
Bemis Co., Inc. 7,201 173
Beneficial Corp. 8,006 312
Bergen Brunswig Corp. Class A 7,049 147
* Berkshire Hathaway 168 3,427
Berkshire Realty Co., Inc. 23,300 218
* Berlitz International, Inc. 13,928 181
Berry Petroleum Class A 6,800 65
* Bertucci's Holding Corp. 11,600 129
* Best Buy, Inc. 8,100 253
* BET Holdings Inc. Class A 4,700 71
* Bethlehem Steel Corp. 17,982 324
* Bettis Corp. 6,600 20
Betz Laboratories, Inc. 4,800 212
* Beverly Enterprises Inc. 20,179 290
* Biogen, Inc. 7,500 311
* Biomet, Inc. 17,489 243
</TABLE>
18
<PAGE> 59
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Biotechnology General 26,600 $ 58
Black & Decker Corp. 13,541 322
* Black Hawk Gaming &
Development Co., Inc. 13,300 105
E.W. Blanch Holdings, Inc. 6,000 124
Blimpie International, Inc. 11,700 100
Block Drug Co. Class A 3,555 134
H & R Block, Inc. 17,256 641
Boatmen's Bancshares, Inc. 16,346 446
Bob Evans Farms, Inc. 11,500 237
Boddie-Noell Properties Inc. 12,800 160
The Boeing Co. 55,814 2,609
Boise Cascade Corp. 13,738 367
* Bolt Beranek and Newman, Inc. 12,000 179
* Borland International, Inc. 17,700 110
Boston Edison Co. 6,700 160
* Boston Scientific Corp. 14,400 250
Bowater, Inc. 11,800 314
Breed Technological Inc. 7,700 218
Briggs & Stratton Corp. 7,028 230
* Bright Voice Systems, Inc. 13,000 235
* Brinker International, Inc. 10,924 198
Bristol-Myers Squibb Co. 83,814 4,851
Brooklyn Union Gas Co. 8,350 186
Brown-Forman Corp. Class B 10,951 334
Browning-Ferris Industries, Inc. 32,509 922
Bruno's Inc. 13,244 109
Brunswick Corp. 15,297 289
Bryn Mawr Bank Corp. 1,900 62
* Burlington Coat Factory
Warehouse Corp. 8,975 105
Burlington Northern, Inc. 14,887 716
Burlington Resources, Inc. 20,900 731
Burnham Pacific Properties, Inc. 13,500 172
* Business Records Corp. 3,500 115
CBI Industries, Inc. 12,491 320
CBS, Inc. 9,695 537
CCP Insurance, Inc. 6,600 134
CFSB Bancorp, Inc. 5,760 96
CIGNA Corp. 11,763 744
CIPSCO, Inc. 3,600 97
CML Group, Inc. 11,700 118
CMS Energy Corp. 12,961 296
* CNA Financial Corp. 9,733 631
CPC International, Inc. 24,343 1,296
CPI Corp. 6,500 116
CRI Liquidating REIT, Inc. 10,400 47
CSX Corp. 16,703 1,163
* CUC International, Inc. 18,050 605
* Cabletron Systems, Inc. 11,317 526
Cabot Corp. 5,400 153
* Cadence Design Systems, Inc. 17,100 353
* Cadiz Land Co., Inc. 32,100 163
Cadmus Communications 9,600 154
* Caesars World, Inc. 5,100 340
* Caldor Corp. 3,100 69
Calgon Carbon Corp. 8,300 86
* California Federal Bank Class A 18,700 203
Callaway Golf Co. 7,800 258
Camco International, Inc. 9,800 185
Campbell Soup Co. 40,599 1,791
* Canonie Environmental Services Corp. 3,600 21
Capital Bancorporation 5,100 112
Capital Cities/ABC, Inc. 24,920 2,124
Capital Re Corp. 9,100 249
Capitol American Financial Corp. 8,500 195
* Capsure Holdings 5,200 76
Caraustar Industries, Inc. 12,100 271
Cardinal Health, Inc. 6,975 323
Caremark International, Inc. 10,564 181
* Carmike Cinemas, Inc. Class A 4,500 103
Carnival Cruise Lines, Inc. 46,772 994
Carolina Power & Light Co. 26,466 705
Carpenter Technology Corp. 1,700 95
Carter-Wallace, Inc. 4,800 62
Case Corp. 10,500 226
* Casino Magic Corp. 5,600 30
* Catellus Development Corp. 28,600 168
Caterpillar, Inc. 32,898 1,814
* Catherines Stores 22,600 189
* Cellular Communications Series A 4,900 262
* Celtrix Labs 25,300 68
Center Banks Inc. 14,800 159
Centerior Energy Corp. 24,500 217
Centex Corp. 4,236 96
* Centigram Communications 6,600 92
Central & South West Corp. 30,602 692
Central Fidelity Banks, Inc. 5,750 141
Central Hudson Gas & Electric Corp. 9,700 257
Central Jersey Bancorp 7,100 236
Central Louisiana Electric Co. 3,908 92
Central Newspapers Inc. 9,450 266
Central Reserve Life Corp. 14,900 121
Century Telephone Enterprises, Inc. 7,780 230
* Ceridian Corp. 12,335 332
* Chalone Wine Group Ltd. 27,800 170
Champion International Corp. 14,752 538
* Chantal Pharmaceutical Corp. 10,100 22
Charming Shoppes, Inc. 11,392 75
Charter One Financial 5,900 111
The Chase Manhattan Corp. 29,978 1,030
* Checkers Drive-In Restaurant 22,550 52
Chelsea GCA Realty, Inc. 7,500 204
Chemed Corp. 2,900 97
</TABLE>
19
<PAGE> 60
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Chemical Banking Corp. 40,154 $1,441
* Chemical Waste Management 35,200 330
Chesapeake Corp. of Virginia 8,917 294
Chester Valley Bancorp. 945 19
Chevron Corp. 107,072 4,778
* Cheyenne Software, Inc. 18,625 247
* Chic by H.I.S., Inc. 13,800 131
* Chicago and Northwestern
Transportation 15,000 289
* Chipcom Corp. 7,650 382
Chiquita Brands International, Inc. 19,235 262
* Chiron Corp. 5,528 443
Chittenden Corp. 6,575 138
Chrysler Corp. 57,820 2,833
The Chubb Corp. 14,181 1,097
Church and Dwight, Inc. 8,600 155
Churchill Downs, Inc. 3,200 138
* Cidco, Inc. 7,300 213
Cilcorp, Inc. 6,600 212
Cincinnati Bell, Inc. 13,000 218
Cincinnati Financial Corp. 8,100 420
Cincinnati Milacron, Inc. 7,500 177
CINergy Corp. 30,966 724
Cintas Corp. 6,800 240
* Circa Pharmaceuticals Inc. 9,900 177
* Circon Corp. 16,200 180
Circuit City Stores, Inc. 16,336 363
* Circus Circus Enterprises Inc. 12,741 296
* Cisco Systems, Inc. 41,228 1,446
Citicorp 64,142 2,654
Citizens Corp. 14,400 245
* Citizens Utilities Co. Class A 30,609 383
* Clark Equipment Co. 3,000 163
Clayton Homes Inc. 19,765 311
* Clear Channel Communications 4,806 244
Clorox Co. 8,802 518
* Coast Savings Financial, Inc. 15,000 217
Coastal Corp. 16,516 425
* Coastal Healthcare Group, Inc. 8,000 219
Coca-Cola Bottling Co. 3,200 86
The Coca-Cola Co. 210,235 10,827
Coca-Cola Enterprises, Inc. 21,900 391
Coeur D'Alene Mines Corp. 10,500 172
* Cognex Corp. 5,600 146
Colgate-Palmolive Co. 23,951 1,518
Collective Bancorporation Inc. 11,449 194
* Coltec Inc. 10,400 178
* Columbia First Federal Savings
and Loan Assn. 2,300 79
* Columbia Gas Systems, Inc. 7,698 181
Columbia/HCA Healthcare Corp. 59,075 2,156
Comcast Corp. Class A 12,860 199
Comcast Corp. Class A Special 25,850 406
* Comdial Corp. 13,700 39
Comdisco, Inc. 13,200 305
Comerica, Inc. 18,452 450
* Commander Aircraft Co. 28,600 136
Commerce Clearing House,
Inc. Class A 3,500 58
Commerce Clearing House,
Inc. Class B 7,500 120
* Commercial Federal Corp. 12,800 268
Commercial Metals Co. 7,600 205
* Community Healthcare Systems 5,799 158
Community Psychiatric Centers 18,063 199
* Compaq Computer Corp. 41,980 1,658
* CompUSA, Inc. 17,200 258
Computer Associates
International, Inc. 26,594 1,290
* Computer Sciences Corp. 7,784 397
* Compuware Corp. 6,900 248
Comsat Corp. 6,600 123
ConAgra, Inc. 39,883 1,246
* Cone Mills Corp. 16,500 196
Connecticut Natural Gas Corp. 2,400 59
Connecticut Water Services, Inc. 4,000 93
* Conner Peripherals, Inc. 19,807 188
Conrail, Inc. 13,148 664
Conseco Co., Inc. 5,700 246
* Consilium, Inc. 6,700 51
Consolidated Edison Co. of
New York, Inc. 37,596 968
Consolidated Natural Gas Co. 14,785 525
Consolidated Papers 7,400 333
* Consolidated Stores, Inc. 9,359 174
* Contel Cellular, Inc. 16,148 404
* Continental Corp. 17,164 326
* Continuum Co. 9,900 302
* Control Data Corp. 28,533 194
* Convex Computer Corp. 17,000 134
Cooper Industries, Inc. 18,812 642
Cooper Tire & Rubber Co. 13,052 308
* Coram Healthcare Corp. 9,308 154
* Cordis Corp. 4,300 259
CoreStates Financial Corp. 25,485 663
Corning, Inc. 45,123 1,348
* Country Star Restaurants, Inc. 18,600 78
Countrywide Credit Industries, Inc. 13,317 173
Cracker Barrel Old Country
Stores, Inc. 8,354 154
* Craig Corp. 14,577 129
Crane Co. 4,948 133
* Cray Research, Inc. 10,509 166
* Creative Technology 28,300 134
</TABLE>
20
<PAGE> 61
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Credit Acceptance Corp. 17,500 $ 308
* Cree Research, Inc. 17,600 134
Crestar Financial Corp. 6,020 227
Criimi Mae Inc. 6,700 46
Crompton & Knowles Corp. 8,500 140
* Crosscom Corp. 11,400 131
* Crown Books Corp. 11,000 162
* Crown Cork & Seal Co., Inc. 14,835 560
Crown Crafts, Inc. 7,300 110
* Cryomedical Sciences 70,900 219
Cummins Engine Co., Inc. 7,066 320
* Cygne Designs, Inc. 6,900 93
* Cygnus Therapeutic Systems 25,600 170
Cyprus Amax 14,548 380
* Cytec Industries, Inc. 7,218 282
* Cytrex Corp. 16,300 22
* DF & R Restaurants, Inc. 6,400 96
DPL, Inc. 18,150 372
DQE Inc. 8,600 255
* DSC Communications Corp. 17,702 638
* Daily Journal Corp. 3,100 54
Dames & Moore, Inc. 9,200 136
Dana Corp. 14,946 349
Danaher Corp. 4,900 256
* Data Race, Inc. 4,300 16
* Dataware Technologies, Inc. 7,000 78
Dauphin Deposit Bank & Trust 10,820 258
* Davel Communications Group, Inc. 4,800 60
Dayton-Hudson Corp. 11,694 827
Dean Foods Corp. 8,467 246
Dean Witter Discover & Co. 27,350 926
Deere & Co. 14,364 952
* Dell Computer 8,500 348
Delmarva Power & Light Co. 7,900 142
* Delphi Information Systems Inc. 35,900 26
Delta Air Lines, Inc. 8,523 430
Deluxe Corp. 13,936 369
Dentsply International 3,300 103
* Desoto, Inc. 17,000 55
* Destec Energy Inc. 22,700 241
* Detroit Diesel Corp. 9,900 212
Detroit Edison Co. 23,296 609
Developers Diversified Realty Corp. 7,000 219
Dexter Corp. 10,800 235
Diagnostic Products Corp. 4,100 108
The Dial Corp. 14,624 311
* Dial Page, Inc. 6,200 84
Dibrell Brothers, Inc. 3,500 71
Diebold, Inc. 6,793 279
* Digi International, Inc. 3,600 68
* Digital Equipment Corp. 23,284 774
Dillard Department Stores Class A 18,350 491
The Walt Disney Co. 87,119 4,018
* Dr. Pepper/Seven Up Cos., Inc. 10,100 259
Dole Food Co. 10,200 235
Dollar General Corp. 7,890 235
Dominion Resources, Inc. 28,143 1,006
R.R. Donnelley & Sons Co. 24,202 714
Donnelly Corp. 8,700 137
* Dovatron International Inc. 6,657 174
Dover Corp. 9,071 468
Dow Chemical Co. 45,180 3,038
Dow Jones & Co., Inc. 16,395 508
* Dravo Corp. 14,639 172
* The Dress Barn, Inc. 7,400 79
Dresser Industries, Inc. 29,776 562
* Drug Emporium, Inc. 40,670 224
E.I. du Pont de Nemours & Co. 111,712 6,284
* Dual Drilling Co. 16,700 143
Duke Power Co. 33,811 1,289
The Dun & Bradstreet Corp. 27,872 1,533
Duracell International, Inc. 19,325 838
Duriron Co., Inc. 8,550 151
Duty Free International Inc. 6,274 70
EG & G, Inc. 14,836 210
* EMC Corp. 31,900 690
* ESSEF Corp. 5,000 74
E-Systems, Inc. 5,154 215
* Easel Corp. 12,300 37
Eastern Enterprises 9,077 238
Eastern Utilities Associates 5,071 112
Eastman Chemical 13,744 694
Eastman Kodak Co. 55,377 2,644
Eaton Corp. 11,896 589
Echlin, Inc. 9,742 292
Echo Bay Mines Ltd. 15,800 168
Ecolab, Inc. 11,292 237
Edison Brothers Stores, Inc. 9,600 178
* Edisto Resources Corp. 25,400 162
* Edo Corp. 17,800 60
* Education Alternatives, Inc. 10,000 153
A.G. Edwards & Sons, Inc. 6,733 121
El Paso Natural Gas 5,649 172
Elco Industries Inc. 5,700 95
* Electronic Arts 14,900 286
Emerson Electric Co. 36,217 2,264
Empire District Electric Co. 12,200 197
* Empire of Carolina, Inc. 8,900 59
* Emulex Corp. 23,950 328
Energen Corp. 3,200 70
* Energy Ventures Inc. 11,900 144
Engelhard Corp. 16,076 358
Enron Corp. 41,582 1,268
Enron Oil & Gas Co. 26,124 490
</TABLE>
21
<PAGE> 62
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
ENSERCH Corp. 12,212 $ 160
Entergy Corp. 36,124 790
* Enterra Corp. 12,006 228
Equifax, Inc. 12,200 322
The Equitable Cos. 22,500 408
Equitable of Iowa Co. 9,500 268
Equitable Resources, Inc. 11,500 312
Essex Property Trust, Inc. 11,200 169
* Ethan Allen Interiors Inc. 9,100 221
Ethyl Corp. 17,530 169
* Exabyte Corp. 12,100 260
Excel Realty Trust, Inc. 7,800 129
Expeditors International of
Washington, Inc. 5,900 126
* Express America Holdings Co. 13,400 54
* Express Scripts 6,500 236
* Exstar Financial Corp. 5,800 25
Exxon Corp. 203,084 12,337
* FHP International Corp. 11,000 281
* FM Properties Inc. 35,900 130
* FMC Corp. 5,976 345
FMC Gold Co. 37,300 126
F.N.B. Corp. 8,132 124
FPL Group, Inc. 30,134 1,058
Factory Stores of America, Inc. 7,600 164
Fair Issac & Co. 4,100 231
Family Dollar Stores, Inc. 8,300 104
Farmer Brothers, Inc. 1,500 185
Fay's Drug Co. 10,075 65
* Fedders Corp. 30,045 214
* Fedders Corp. Class A 6,173 32
* Federal Express Corp. 8,821 531
Federal Home Loan Mortgage Corp. 29,408 1,485
Federal-Mogul Corp. 9,000 181
Federal National Mortgage Assn. 44,596 3,250
Federal Paper Board Co., Inc. 8,728 253
Federal Signal Corp. 12,662 258
* Federated Department Stores 20,700 398
Ferro Corp. 10,600 253
Fifth Third Bancorp 10,600 505
* 50-Off Stores, Inc. 7,400 23
* Figgie International Inc. Class A 9,500 59
* Figgie International Inc. Class B 900 6
* Filene's Basement Corp. 13,700 65
* FileNet Corp. 8,700 234
Fina Inc. 2,200 150
Fingerhut Co. 7,654 119
* First Alert, Inc. 17,600 256
First American Corp. (Tenn.) 8,900 240
First American Bank Corp. 10,200 306
First American Financial Corp. 9,000 155
First Bancorp of Ohio 8,300 209
First Bank System, Inc. 18,800 625
First Chicago Corp. 14,795 706
First Citizens BancShares Class A 2,000 85
First Colonial Bankshares 6,300 128
First Colony Corp. 17,224 385
First Commerce Corp. 9,192 203
First Commercial Bank Shares Class A 2,900 46
First Commonwealth Financial Corp. 6,400 86
First Data Corp. 17,400 824
First Empire State Corp. 2,000 272
* First Federal Financial 21,800 275
First Fidelity Bancorp. 13,078 587
First Financial Bancorp 2,591 87
First Financial Management 10,500 647
First Financial Savings Assn. 5,600 76
First Hawaiian, Inc. 5,100 119
First Interstate Bancorp. 12,994 879
First Michigan Bank Corp. 8,165 193
First Midwest Bancorp 4,600 109
First Security Corp. 7,150 164
First Tennessee National Corp. 4,700 192
First Union Corp. 28,738 1,189
First Union Real Estate 24,200 160
First USA Inc. 8,600 283
First Virginia Banks, Inc. 5,107 163
First Western Bancorp 5,215 145
Firstar Corp. 10,100 271
* Firstbank Puerto Rico 11,550 202
FirstFed Michigan Corp. 4,050 83
Firstier Financial Inc. 6,450 204
* FIserv, Inc. 6,700 145
Fleet Financial Group, Inc. 22,947 746
Fleet Mortgage Group 8,300 165
Fleetwood Enterprises, Inc. 12,158 228
Fleming Cos., Inc. 4,936 115
FlightSafety International, Inc. 4,900 199
Florida Progress Corp. 15,350 461
Flowers Industries, Inc. 6,100 111
Fluor Corp. 13,481 581
Food Lion Inc. Class A 70,700 358
Food Lion Inc. Class B 7,694 40
* Foodmaker, Inc. 23,700 104
Ford Motor Co. 166,174 4,653
* Foreland Corp. 2,700 6
Foremost Corp. of America 5,300 188
Forest City Enterprise Class A 4,300 129
* Forest Laboratories, Inc. 6,992 326
Fort Wayne National Corp. 7,400 193
Foster Wheeler Corp. 5,479 163
* Foundation Health Co. 5,000 155
Fourth Financial Corp. 9,000 277
* Foxmeyer Health Corp. 9,862 147
</TABLE>
22
<PAGE> 63
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Frame Technology 13,200 $ 216
Franklin Electric, Inc. 4,800 159
Franklin Resources Corp. 13,100 467
* Freeport McMoRan, Inc. 22,500 399
Freeport McMoRan Copper
& Gold Inc. Class A 9,231 196
Fremont General Corp. 8,150 191
* Fresh Choice, Inc. 2,600 25
* Fritz Cos., Inc. 6,400 298
* Fruehauf Trailer Corp. 15,000 53
* Fruit of the Loom, Inc. 11,288 305
Fulton Financial Corp. 10,637 202
* Fund American Enterprise
Holding Co. 3,885 281
GATX Corp. 6,500 286
* GC Cos. 1,991 52
GEICO Corp. 11,400 559
GFC Financial Corp. 3,900 124
GP Financial Corp. 7,600 157
GTE Corp. 156,579 4,756
Gainsco, Inc. 8,206 68
Arthur J. Gallagher & Co. 4,100 131
Galveston-Houston Co. 13,200 28
Gannett Co., Inc. 23,782 1,266
The Gap, Inc. 24,074 734
* Gardner Denver Machinery, Inc. 15,968 159
* Gateway 2000 Inc. 18,700 406
Gaylord Entertainment Class A 14,600 332
* Genentech Inc. 19,283 875
General Binding Corp. 4,800 92
General Dynamics Corp. 10,058 438
General Electric Co. 279,588 14,259
* General Instrument 19,100 573
General Mills, Inc. 25,895 1,476
General Motors Corp. 122,723 5,185
General Motors Corp. Class E 42,600 1,640
General Motors Corp. Class H 15,400 537
* General Nutrition Cos., Inc. 12,400 357
General Public Utilities Corp. 19,200 504
General Re Corp. 13,439 1,663
General Signal Corp. 7,514 240
* Genetics Institute Inc.
Depository Shares 7,800 279
* Gensia Inc. 6,100 26
* Gentex Corp. 8,600 206
Genuine Parts Co. 20,501 738
* Genzyme Corp. 1,200 5
* Genzyme Tissue 8,889 278
* Georgia Gulf Corp. 8,802 342
Georgia-Pacific Corp. 14,598 1,044
Giant Food, Inc. Class A 9,068 197
Gibson Greetings, Inc. 10,000 149
Giddings & Lewis, Inc. 9,400 140
* Gilead Sciences, Inc. 14,800 139
Gillette Co. 36,192 2,705
P.H. Glatfelter Co. 11,300 175
* Global Natural Resources, Inc. 21,600 184
* Go Video, Inc. 37,500 75
Golden West Financial Corp. 9,276 327
The BF Goodrich Co. 7,300 317
The Goodyear Tire & Rubber Co. 24,472 823
* Goody's Family Clothing 6,450 60
Gorman-Rupp Co. 3,825 68
Goulds Pumps, Inc. 3,709 80
W.R. Grace & Co. 14,676 567
Graco, Inc. 3,600 78
W.W. Grainger, Inc. 8,036 464
Granite Construction Co. 6,600 136
Great Atlantic & Pacific Tea Co., Inc. 7,401 134
Great Lakes Chemical Corp. 11,107 633
Great Western Financial Corp. 22,053 353
Green Mountain Power Corp. 2,400 67
Green Tree Financial Corp. 10,900 331
* Greyhound Lines, Inc. 67,400 156
* Groundwater Technology, Inc. 13,000 172
Grow Group, Inc. 12,100 169
* Gtech Holdings Corp. 16,900 344
Guaranty National Corp. 11,500 211
Guilford Mills, Inc. 8,300 185
* Gupta Corp. 15,500 175
HBO and Co. 6,600 227
Halliburton Co. 18,142 601
* Hamburger Hamlet Restaurants 24,000 110
Hancock Fabrics, Inc. 8,600 76
Handleman Co. 18,061 205
Hannaford Brothers Co. 11,500 292
Harcourt General, Inc. 12,115 427
John H. Harland Co. 4,987 100
Harley-Davidson, Inc. 12,312 345
Harnischfeger Industries Inc. 7,138 201
Harper Group, Inc. 5,600 87
Harris Corp. 6,708 285
* Harris Computer Systems 2,285 27
Harsco Corp. 6,584 269
Hartford Steam Boiler Inspection
& Insurance Co. 7,257 289
Hasbro, Inc. 13,777 403
Haverfield Corp. 5,700 85
Hawaiian Electric Industries Inc. 9,365 303
Health Care Properties Investors 8,600 259
Health Care REIT, Inc. 3,800 76
* Health Management Systems, Inc. 6,400 210
* Health Professionals, Inc. 6,700 2
Health and Retirement
Properties Trust 12,500 167
</TABLE>
23
<PAGE> 64
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Health Systems 11,800 $ 358
* HealthCare Compare Corp. 12,200 415
* Healthcare & Retirement Corp. 6,400 193
* Healthdyne, Inc. 9,600 76
* Healthsource, Inc. 4,700 192
* HEALTHSOUTH Rehabilitation Corp. 9,174 339
* Healthtrust Inc. 14,500 460
* Healthwise of America Inc. 8,940 293
* Heartland Express, Inc. 6,941 206
Hechinger Co. Class A 14,600 170
Hechinger Co. Class B 5,118 59
* Hecla Mining Co. 24,200 245
Heilig-Meyers Co. 7,100 179
H.J. Heinz Co. 40,531 1,490
Helmerich & Payne, Inc. 9,293 238
Herbalife International of America, Inc. 8,100 135
Hercules, Inc. 6,462 746
Hershey Foods Corp. 14,210 687
Hewlett-Packard Co. 41,432 4,138
Hibernia Corp. Class A 13,822 107
Hillenbrand Industries, Inc. 10,700 297
Hilton Hotels Corp. 7,588 511
Hogan Systems, Inc. 14,400 89
Holly Corp. 3,500 91
* Hollywood Park, Inc. 15,100 162
Home Depot, Inc. 73,560 3,384
* Home Shopping Network, Inc. 16,500 165
Homeland Bankshares Corp. 5,600 127
Homestake Mining Co. 22,281 382
Honeywell, Inc. 20,198 636
Horace Mann Educators Corp. 9,500 202
Horizon Bank 14,320 158
George A. Hormel & Co. 12,400 307
* Horsehead Resource
Development Co., Inc. 18,400 106
* Hospitality Franchise Systems, Inc. 9,800 260
* Host Marriott 25,624 247
Household International, Inc. 15,908 591
Houston Industries, Inc. 20,984 748
* Hovnanian Enterprises Class A 12,300 66
Hubbell Inc. Class A 700 36
Hubbell Inc. Class B 4,300 229
Hudson Foods Inc. Class A 10,800 271
* Humana, Inc. 26,746 605
* Hungarian Teleconstruct Corp. 12,000 64
Hunt Manufacturing Co. 11,400 154
J.B. Hunt Transport Services, Inc. 9,100 139
Huntington Bancshares Inc. 20,712 355
IBP, Inc. 7,200 218
ICN Pharmaceuticals 9,604 166
* IDB Communications Group, Inc. 22,100 203
* IEC Electronics Corp. 12,300 102
IMC Global Inc. 8,303 359
IRT Property Co. 20,900 214
* I-STAT Corp. 7,500 142
ITT Corp. 18,600 1,648
Idaho Power Co. 3,900 92
IDEX Corp. 5,500 232
* IDEXX Corp. 3,600 129
Illinois Central Corp. 6,100 188
Illinois Tool Works, Inc. 18,064 790
Illinova Corp. 12,300 268
* Image Business Systems Corp. 23,400 3
* Immucor Inc. 28,000 147
* Immulogic Pharmaceutical Corp. 8,100 57
* Immune Response 5,717 34
* Immunomedics Inc. 9,900 34
* INDRESSCO Inc. 16,091 229
* Infinity Broadcasting Corp. 10,875 344
* Informix Corp. 11,000 353
* Information Resources, Inc. 18,335 257
Ingersoll-Rand Co. 16,925 533
* Inland Steel Industries, Inc. 7,100 249
* Innovative Gaming Corp. 10,050 40
* Insituform Technologies Class A 13,600 161
* Insurance Auto Auctions, Inc. 3,000 93
Integon Corp. 8,020 105
Integra Financial Corp. 5,700 234
* Integrated Device Technology Inc. 10,100 299
Intel Corp. 68,078 4,340
Intelligent Electronics Inc. 7,114 57
Intercontinental Bank 8,200 152
Interface, Inc. 14,000 172
* Intergraph Corp. 18,773 155
International Business Machines Corp. 96,206 7,071
* International Dairy Queen,
Inc. Class A 11,988 202
* International Dairy Queen,
Inc. Class B 2,300 39
* International Family
Entertainment Class B 12,500 158
International Flavors & Fragrances, Inc. 17,611 815
International Game Technology 20,902 324
* International Jensen 7,000 66
International Multifoods Corp. 11,181 205
International Paper Co. 20,557 1,549
International Specialty Products, Inc. 16,100 113
* International Technology 53,400 160
* International Totalizer Systems, Inc. 17,600 46
* Interneuron Pharmaceutical, Inc. 21,700 103
Interpublic Group of Cos., Inc. 12,400 398
Interstate Bakeries 14,600 203
* Intuit, Inc. 2,900 194
Ipalco Enterprises, Inc. 8,900 267
</TABLE>
24
<PAGE> 65
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Irwin Financial Corp. 6,200 $ 168
ISCO, Inc. 16,985 144
IVAX Corp. 13,100 249
* JMC Group Inc. 5,200 8
JSB Financial 8,301 198
* Jacobs Engineering Group Inc. 4,300 80
James River Corp. 12,041 244
Jefferson-Pilot Corp. 7,743 402
* Jefferson Smurfit Corp. 16,700 282
Johnson & Johnson 104,670 5,731
Johnson Controls, Inc. 6,512 319
* Jones Apparel Group, Inc. 10,900 281
Joslyn Manufacturing Co., Inc. 2,600 66
Jostens Inc. 14,040 262
Juno Lighting, Inc. 5,300 93
Justin Industries, Inc. 5,700 67
K U Energy Corp. 4,500 122
* Kaiser Aluminum & Chemical Corp. 22,500 245
* Kaneb Services, Inc. 74,500 158
Kansas City Life Insurance Co. 1,400 61
Kansas City Power & Light Co. 8,900 208
Kansas City Southern Industries, Inc. 7,162 221
Kaufman & Broad Home Corp. 14,226 183
Kaydon Corp. 9,400 226
Kellogg Co. 36,165 2,102
Kelly Services, Inc. Class A 13,975 383
Kemper Corp. 5,000 189
Kerr-McGee Corp. 8,579 395
* Kevlin Corp. 2,200 6
Keycorp 38,859 971
Keystone International, Inc. 9,400 160
Kimball International, Inc. Class B 10,900 282
Kimberly-Clark Corp. 25,673 1,296
Kimco Realty Corp. 4,700 178
Kinetic Concepts, Inc. 15,300 107
* King World Productions, Inc. 5,500 190
Kmart Corp. 73,253 952
Knight-Ridder, Inc. 8,735 441
* Kohls Corp. 5,700 227
* Komag, Inc. 9,900 259
* The Kroger Co. 19,017 459
* LDDS Communications, Inc. 18,556 362
LG&E Energy Corp. 4,950 183
* LSI Industries Inc. 15,855 177
* LSI Logic Corp. 9,300 375
LTC Properties, Inc. 12,900 171
* LTV Corp. 15,900 258
La Quinta Inns Inc. 11,475 245
Lafarge Corp. 13,700 243
* LAM Research Corp. 9,750 362
Lancaster Colony Corp. 6,400 189
Lance, Inc. 5,721 102
* Lancer Corp. 6,300 116
* Lands' End, Inc. 15,600 215
* Lattice Semiconductor Corp. 11,650 197
Lawter International Inc. 16,534 200
Lee Enterprises, Inc. 7,000 242
* Legent Corp. 6,289 182
Leggett & Platt, Inc. 7,100 249
Lehman Brothers Holdings, Inc. 23,888 352
Lennar Corp. 6,300 98
* Leslie Fay Co. 15,200 10
Leucadia National Corp. 8,200 365
Liberty Bancorp Inc. 6,100 175
Life Partners Group, Inc. 9,300 203
Life Re Corp. 4,700 83
* Lifecore Biomedical Inc. 7,300 27
Eli Lilly & Co. 47,740 3,133
Lilly Industries Inc. Class A 17,168 234
The Limited, Inc. 57,251 1,038
* Lin Broadcasting Corp. 8,432 1,132
* Lin Television 4,216 95
* Lincare Holdings Inc. 8,200 239
Lincoln National Corp. 15,152 530
* Lindsay Manufacturing Co. 2,900 87
Linear Technology Corp. 6,498 321
* Liposome Co., Inc. 10,000 83
* Liposome Technology, Inc. 10,100 66
* Litton Industries, Inc. 6,969 258
Liz Claiborne, Inc. 12,774 216
Lockheed Corp. 10,429 757
Loctite Corp. 5,700 265
Loews Corp. 9,500 825
* Lone Star Casino Corp. 49,900 31
* Lone Star Steakhouse & Saloon 8,900 175
Long Island Lighting Co. 19,535 300
Longview Fiber Co. 16,430 259
Loral Corp. 14,092 534
* Loronix Information Systems 27,100 151
* Lotus Development Corp. 7,537 310
Louisiana Land & Exploration Co. 5,799 211
Louisiana-Pacific Corp. 17,600 480
Lowes Cos., Inc. 25,614 890
Lubrizol Corp. 10,300 349
* L. Luria & Son, Inc. 5,100 30
Lynx Therapeutic Pfd. 1,344 1
Lyondell Petrochemical Co. 12,246 317
* M/A-Com, Inc. 10,787 78
MBIA, Inc. 6,300 354
MBNA Corp. 24,063 562
MCI Communications Corp. 110,590 2,039
MCN Corp. 8,400 152
* MFS Communications Co., Inc. 9,700 320
MGIC Investment Corp. 9,402 311
</TABLE>
25
<PAGE> 66
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* MGM Grand Inc. 6,800 $ 164
* MTL, Inc. 11,500 132
* MacFrugal's Bargains Close-Outs, Inc. 5,700 114
Madison Gas & Electric Co. 2,600 84
* Magma Power Co. 3,600 135
Mallinckrodt Group, Inc. 12,696 379
* Malvy Technology, Inc. 2,300 1
Manor Care Inc. 10,051 275
Manpower Inc. 13,800 388
Manufactured Home
Communities, Inc. 10,400 207
* Manville Corp. 32,300 291
Mapco Inc. 5,000 256
* Marcam Corp. 11,300 112
Marion Capital Holdings 1,500 24
Marion Merrell Dow, Inc. 45,400 925
Mark IV Industries, Inc. 8,055 159
Marriott International 20,724 583
Marsh & McLennan, Inc. 11,717 929
Marshall & Ilsley Corp. 17,151 329
* Marshall Industries 10,228 274
Martin Marietta Corp. 14,908 662
* Marvel Entertainment Group 16,234 231
Masco Corp. 25,012 566
MascoTech Inc. 15,800 203
Masland Corp. 10,400 161
* Material Sciences Corp. 11,250 179
Mattel, Inc. 28,605 719
* Maxus Energy Corp. 54,500 184
May Department Stores Co. 40,500 1,367
* Maxicare Health Plans Inc. 6,900 104
* Maxxam Inc. 2,600 80
Maytag Corp. 16,936 254
McClatchy Newspapers, Inc. 8,600 185
McCormick & Co., Inc. 12,617 231
McDermott International, Inc. 7,902 196
McDonald's Corp. 114,020 3,335
McDonnell Douglas Corp. 6,343 901
McGraw-Hill, Inc. 8,103 542
McKesson Corp. 6,203 202
* McMoRan Oil and Gas 46,800 143
* McWorter Technologies Inc. 9,800 146
The Mead Corp. 9,159 445
* Medaphis Corp. 908 42
* Medar, Inc. 5,800 78
Media General, Inc. Class A 5,000 142
* MedImmune Inc. 8,600 31
Medtronic, Inc. 18,932 1,053
* Megafoods Stores, Inc. 5,100 1
* Megahertz Corp. 10,800 154
Mellon Bank Corp. 24,031 736
Melville Corp. 16,570 512
* Men's Wearhouse, Inc. 6,800 152
Mercantile Bancorp, Inc. 7,119 222
Mercantile Bankshares Corp. 11,600 229
Mercantile Stores Co., Inc. 5,590 221
Merck & Co., Inc. 205,885 7,849
Mercury Finance Co. 18,166 236
Meridian Bancorp, Inc. 9,596 256
Meridian Diagnostics, Inc. 5,786 41
Merrill Lynch & Co., Inc. 30,848 1,103
* Mesa Airlines, Inc. 26,400 241
* Fred Meyer, Inc. 8,500 261
Michael Foods, Inc. 15,700 154
Michigan National Corp. 4,300 322
* Microsoft Corp. 94,794 5,806
* Micro Warehouse Inc. 9,400 331
Micron Technology Inc. 16,300 719
Mid Am Inc. 4,917 73
Mid-American Waste Systems, Inc. 7,400 51
Mid Atlantic Realty Trust 21,000 173
* Mid Atlantic Medical Services 13,800 316
Middlesex Water Co. 6,000 100
Midlantic Corp. 7,500 199
Midwest Resources Inc. 18,200 253
Herman Miller, Inc. 7,329 191
Millipore Corp. 5,519 267
* Milwaukee Land Co. 7,700 62
Minerals Technologies, Inc. 7,900 231
Minnesota Mining &
Manufacturing Co. 69,306 3,699
Minnesota Power & Light Co. 4,100 104
* Mirage Resorts, Inc. 14,250 292
Mitchell Energy &
Development Corp. Class A 6,200 101
* Mitek Surgical Products, Inc. 11,700 294
Mobil Corp. 64,694 5,450
* Molecular Biosystems, Inc. 8,200 88
Molex, Inc. 12,937 448
The Money Store 6,150 111
Monsanto Co. 18,687 1,317
Montana Power Co. 9,100 209
J.P. Morgan & Co., Inc. 31,271 1,751
* Morgan Products Ltd. 7,300 41
Morgan Stanley Group, Inc. 12,516 738
Morrison Restaurants 6,375 156
Morton International, Inc. 23,943 682
Mosinee Paper Corp. 3,200 82
Motorola, Inc. 95,464 5,525
* Multicare Cos., Inc. 8,900 174
* Multimedia, Inc. 11,947 343
Murphy Oil Corp. 7,200 306
* Musicland Stores Corp. 15,400 139
* Mycogen Corp. 5,300 43
</TABLE>
26
<PAGE> 67
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Mylan Laboratories, Inc. 12,900 $ 348
NAC Re Corp. 9,500 321
NBD Bancorp, Inc. 25,907 709
NCH Corp. 3,300 221
NIPSCO Industries, Inc. 10,630 316
* NPC International Class B 3,400 18
* NS Group Inc. 24,600 101
N.S. Bancorp Inc. 2,100 55
NYMAGIC, Inc. 3,000 55
* Nabors Industries, Inc. 17,100 111
NACCO Industries, Inc. Class A 3,669 177
Nalco Chemical, Inc. 10,300 345
* Namic U.S.A. Corp. 22,500 430
Nash-Finch Co. 3,900 63
Nashua Corp. 2,300 47
* National Auto Credit Co. 19,939 238
National Bankcorp of Alaska Inc. 3,200 161
* National City Bancorporation 5,445 78
National City Corp. 24,800 642
National Fuel & Gas Co. 5,700 145
* National Gaming Corp. 980 12
National Health Investors REIT 7,500 196
* National Health Laboratories Holdings 13,400 178
* National Medical Enterprises, Inc. 26,485 374
National Presto Industries, Inc. 1,737 72
National Re Holdings Corp. 5,600 147
* National Rehab Centers 12,900 91
* National Semiconductor Corp. 19,418 379
National Service Industries, Inc. 8,391 215
* National Westminster 2,779 133
NationsBank, Inc. 45,018 2,031
* Nationwide Cellular Service Inc. 12,500 237
Nationwide Health Properties, Inc. 7,800 279
* Navistar International Corp. 15,316 232
Neiman Marcus Group Inc. 14,596 197
* Nellcor Inc. 6,200 203
Thomas Nelson, Inc. 3,800 90
* Neostar Retail Group 19,800 203
* Network General Corp. 11,156 288
* Neurogen Corp. 8,500 57
Nevada Power Co. 5,648 115
New England Electric System 10,900 350
New Jersey Resources Corp. 3,800 86
* New Mexico & Arizona Land Co. 18,400 146
New Plan Realty Trust 7,800 152
New York Bancorp Inc. 4,290 80
New York State Electric & Gas Corp. 11,600 220
New York Times Co. Class A 17,339 384
* Newcare Health Corp. 252 1
Newell Co. 25,694 540
Newhall Land & Farming Co. 17,700 215
Newmont Gold Co. 15,009 535
Newmont Mining Corp. 13,525 487
* News Communications, Inc. 500 1
* Nextel Communications 16,100 233
Niagara Mohawk Power Corp. 24,296 346
NICOR, Inc. 7,956 181
Nike, Inc. Class B 11,625 868
Noble Affiliates, Inc. 7,500 186
* Noble Drilling Corp. 32,700 192
NorAm Energy Corp. 18,354 99
* Norand Corp. 6,600 232
* Nord Resources Corp. 27,500 175
Nordson Corp. 3,300 200
Nordstrom, Inc. 13,275 559
Norfolk Southern Corp. 22,241 1,348
* Nortek, Inc. 14,800 176
North American Mortgage 8,200 121
* North American Vaccine, Inc. 23,800 199
North Fork Bancorporation, Inc. 8,400 115
Northeast Utilities 20,700 448
Northern States Power Co.
of Minnesota 10,673 470
Northern Trust Corp. 8,200 289
Northrop Grumman Corp. 7,970 335
* Northstar Health Services, Inc. 21,850 156
* Northwest Airlines Corp. Class A 16,800 266
Norwest Corp. 50,658 1,184
* NovaCare, Inc. 9,588 70
* Nu-Kote Holding, Inc. Class A 8,200 212
* Novell, Inc. 58,652 1,001
* Novellus Systems, Inc. 3,100 155
* Noxso Corp. 36,200 104
Nucor Corp. 14,402 799
NYNEX Corp. 68,700 2,525
OEA, Inc. 3,500 86
* OHM Corp. 7,100 60
* O'Brien Environmental Energy
Inc. Class A 12,900 2
Occidental Petroleum Corp. 50,655 975
* Oceaneering International, Inc. 10,200 105
* Octel Communications Corp. 5,200 109
* Office Depot, Inc. 24,725 593
* Ogden Corp. 11,946 224
Ohio Casualty Corp. 6,444 184
Ohio Edison Co. 23,901 442
Oil-Dri Corp. of America 3,300 57
Oklahoma Gas & Electric Co. 6,200 205
Old Kent Financial Corp. 5,750 175
Old Republic International Corp. 7,600 161
Olin Corp. 3,300 170
Olsten Corp. 7,250 230
Omega Healthcare Investors, Inc. 4,300 104
Omega Financial Corp. 2,608 66
</TABLE>
27
<PAGE> 68
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Omnicom Group Inc 5,500 $ 285
* Oncor Inc. 16,500 75
One Valley Bancorp of West
Virginia Inc. 4,400 125
* Oneita Industries 19,730 215
Oneok, Inc. 10,209 184
* Oracle Systems Corp. 46,276 2,048
Oregon Steel Mills, Inc. 12,700 198
* Oryx Energy Co. 15,927 189
Outboard Marine Corp. 8,352 164
Overseas Shipholding Group Inc. 8,800 202
Owens & Minor Inc. Holding Co. 8,250 118
* Owens-Corning Fiberglas Corp. 7,452 238
* Owens-Illinois, Inc. 17,028 187
Oxford Industries, Inc. 4,800 105
PECO Energy Corp. 36,022 883
PHH Corp. 2,900 101
PNC Bank Corp. 37,802 799
PPG Industries, Inc. 34,838 1,293
Paccar, Inc. 5,939 261
Pacific Enterprises 13,170 280
Pacific Gas & Electric Co. 70,351 1,715
Pacific Telecom, Inc. 6,100 185
Pacific Telesis Group 68,472 1,951
* Pacificare Health Systems Inc. Class A 4,600 301
PacifiCorp 45,938 833
* Paging Network Inc. 12,000 405
PaineWebber Group, Inc. 22,800 342
Pall Corp. 19,454 365
Panhandle Eastern Corp. 19,544 386
* Parametric Technology Corp. 8,800 303
Parker Hannifin Corp. 7,679 349
Paychex, Inc. 7,450 300
Penn Virginia Corp. 1,000 31
Penncorp Financial Group Inc. 4,600 60
J.C. Penney Co., Inc. 38,206 1,705
Pennsylvania Power and Light Co. 25,202 479
Pennzoil Co. 7,572 334
Pentair, Inc. 3,300 140
Penwest Ltd. 4,091 81
Peoples Bank of Bridgeport 18,800 221
Peoples Energy Corp. 3,771 99
Pep Boys (Manny, Moe & Jack) 9,826 305
PepsiCo, Inc. 128,964 4,675
Perkin-Elmer Corp. 6,487 166
* Perrigo 25,300 315
Pet, Inc. 17,093 338
Petrie Stores Corp. 12,469 279
* Petro Union, Inc. 35,900 16
* Petrocorp, Inc. 11,200 120
Petrolite Corp. 2,900 78
Pfizer, Inc. 51,312 3,964
* Pharmaceutical Markets 13,300 116
Phelps Dodge Corp. 11,758 728
Philip Morris Cos., Inc. 140,450 8,076
Phillips Petroleum Co. 42,735 1,400
Phillips-Van Heusen Corp. 4,100 63
Phoenix Resource Cos., Inc. 5,200 247
* Picturetel Inc. 10,000 243
Piedmont Natural Gas, Inc. 4,600 87
Pinnacle Bancorp Group Inc. 1,100 31
Pinnacle West Capital Corp. 14,500 286
Pioneer Group Inc. 12,200 265
Pioneer Hi Bred International 13,966 478
Piper Jaffray Cos., Inc. 14,900 155
Pitney Bowes, Inc. 24,916 791
Pitt Des Moines, Inc. 2,300 71
* Pittencrieff Communication, Inc. 8,700 45
Pittsburgh & West Virginia Railroad 3,000 21
Pittston Services Group 5,900 156
* Plains Resources 26,500 146
* Plaza Home Mortgage Corp. 17,800 141
Plenum Publishing Corp. 5,200 158
Ply-Gem Industries, Inc. 9,300 178
Pogo Producing Co. 14,100 250
Polaroid Corp. 6,792 221
* Policy Management Systems Corp. 5,970 251
Portland General Electric Co. 15,200 293
Potlatch Corp. 4,528 169
Potomac Electric Power Co. 19,100 351
Praxair, Inc. 21,931 450
Precision Castparts Corp. 8,550 173
Premark International, Inc. 10,290 450
Premier Industrial Corp. 13,082 309
* Price/Costco Inc. 33,750 437
T. Rowe Price 5,200 155
Price REIT, Inc. 4,700 141
* Prime Energy Corp. 3,000 7
* Primedex Health Systems Inc. 43,000 23
Procter & Gamble Co. 112,256 6,960
Progressive Corp. of Ohio 11,800 413
* Promus Co. Inc. 15,781 489
Property Trust of America 17,400 313
Protective Life Corp. 4,300 209
* Proteon Inc. 11,400 62
* Provident American Corp. 33,800 80
Provident Life & Accident
Insurance Co. of America Class B 6,700 146
Providian Corp. 15,524 479
* Proxymed Pharmacy, Inc. 17,500 109
Public Service Co. of Colorado 9,900 291
* Public Service Co. of New Mexico 15,880 206
Public Service Enterprise Group Inc. 40,319 1,068
Public Storage Properties VI Series A 2,900 70
</TABLE>
28
<PAGE> 69
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Puerto Rican Cement Co., Inc. 5,100 $ 143
Puget Sound Power & Light Co. 10,785 217
Pulte Corp. 6,708 154
* Purepac Inc. 14,500 149
* Pyxis Corp. 6,100 116
* QVC Inc. 5,900 249
* Qlogic 27,600 191
Quaker Chemical Corp. 4,100 76
Quaker Oats Co. 22,176 682
* Qualcomm, Inc. 12,200 291
Quality Food Centers Inc. 5,800 140
* Quantum Restaurant Group 14,400 173
Questar Corp. 5,885 162
* RJR Nabisco Holdings Corp. 262,686 1,445
* RailTex, Inc. 6,500 153
* Ralcorp Holdings Inc. 14,857 331
* Ralston-Continental Baking 30,234 113
Ralston-Purina Group 15,972 713
Raychem Corp. 7,304 260
* Raymond Corp. 8,925 164
Raymond James Financial, Inc. 8,750 122
Re Capital Corp. 4,200 52
Rayonier Inc. 9,275 283
Raytheon Co. 21,732 1,388
* Read-Right Corp. 14,686 272
Reader's Digest Assn., Inc. Class A 17,000 835
Reader's Digest Assn., Inc. Class B 1,500 67
* Recovery Engineering, Inc. 11,600 213
Reebok International Ltd. 13,532 535
Regions Financial Corp. 6,910 215
* Regis Corp. 11,000 162
Reliable Life Insurance Co. Class A 1,400 79
Reliance Group Holdings 16,186 83
* ReLife Inc. Class A 15,300 377
Republic New York Corp. 8,500 385
* Revco Drug Stores, Inc. 9,900 234
Reynolds & Reynolds Class A 7,200 180
Reynolds Metals Co. 9,587 470
* Rhodes Inc. 2,000 25
Rhone-Poulenc Rorer, Inc. 21,452 783
* Riggs National Corp. 23,100 191
* Rightchoice Managed Care, Inc. 9,700 136
Rite Aid Corp. 14,291 334
Riverwood International Corp. 10,200 159
Roadway Services, Inc. 6,517 369
Rochester Gas and Electric Corp. 13,152 275
Rochester Telephone Corp. 11,556 244
Rockwell International Corp. 35,172 1,257
* Rogers Corp. 4,100 204
Rohm & Haas Co. 10,768 615
* Rollins Environmental Services, Inc. 13,974 68
Rollins, Inc. 12,050 276
Roosevelt Financial Group 13,134 196
* Rose's Stores, Inc. 6,600 2
* Rowan Cos., Inc. 37,272 228
* Royal Appliance Manufacturing Co. 45,700 160
* Royal Grip, Inc. 11,600 68
Rubbermaid, Inc. 25,846 743
Russell Corp. 6,350 199
* Rust International, Inc. 12,600 140
Ryder System, Inc. 12,179 268
* S&K Famous Brands Inc. 6,200 45
SCE Corp. 73,510 1,075
SCOR U.S. Corp. 5,600 47
SEI Corp. 5,600 95
SJW Corp. 600 19
S-K-I, Ltd. 5,900 82
* SLM International, Inc. 11,300 30
* SOI Industries, Inc. 21,400 62
* SPS Technologies, Inc. 2,500 63
* SPS Transaction Services 9,800 257
SafeCard Services, Inc. 10,700 202
Safeco Corp. 11,140 581
* Safeguard Scientifics, Inc. 12,000 207
Safety-Kleen Corp. 12,609 186
* Safeway, Inc. 16,272 519
* Saint Francis Capital Corp. 11,200 157
St. Joe Paper Co. 5,000 271
* St. Jude Medical, Inc. 6,973 275
St. Mary Land & Exploration Co. 12,100 158
St. Paul Cos., Inc. 13,968 625
Salomon, Inc. 17,485 656
San Diego Gas & Electric Co. 19,400 373
Santa Anita Realty Enterprises 7,000 96
* Santa Fe Energy Resources Inc. 35,462 284
Santa Fe Pacific Corp. 29,807 522
* Santa Fe Pacific Gold Corp. 19,664 253
* Santa Monica Bank (California) 7,300 53
Sara Lee Corp. 78,846 1,991
* Satcon Technology Corp. 7,700 76
Savannah Foods & Industries, Inc. 5,200 77
* Savoy Pictures Entertainment, Inc. 26,100 165
Sbarro, Inc. 3,909 102
Scana Corp. 8,100 341
* R. P. Scherer Corp. 7,774 353
Schering-Plough Corp. 31,045 2,297
Schlumberger Ltd. 39,647 1,997
* Scholastic Corp. 4,900 251
* Schuler Homes Inc. 13,300 188
A. Schulman Inc. 12,025 328
Charles Schwab Corp. 9,211 321
* Schwitzer, Inc. 21,400 169
* Sci-Med Life Systems, Inc. 5,600 283
Scientific-Atlanta, Inc. 11,592 243
</TABLE>
29
<PAGE> 70
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Scientific Games Holdings Corp. 4,700 $ 233
* Scios Nova, Inc. 12,100 79
Scott Paper Co. 12,423 859
* Scotts Co. 9,900 156
E.W. Scripps Co. 12,776 386
* Seacor Holdings, Inc. 6,600 131
* Seagate Technology 12,558 301
* Seagull Energy Corp. 11,300 216
Sealright Co. 5,300 97
* Search Capital Group, Inc. 38,600 52
Sears, Roebuck & Co. 57,417 2,641
* Security Capital Corp. 5,800 245
Sensormatic Electronics Corp. 11,338 408
* Sequa Corp. Class A 6,400 166
* Sequent Computer Systems, Inc. 15,100 300
Service Corp. International 14,036 390
* Service Merchandise Co., Inc. 10,550 49
Shaw Industries, Inc. 23,900 356
Shawmut National Corp. 21,731 356
Sherwin-Williams Co. 13,289 440
* Shoney's Inc. 19,615 250
Shopko Stores, Inc. 7,145 68
Showboat, Inc. 3,784 55
* Shuffle Master, Inc. 12,500 150
* Sierra Home Service Cos., Inc. 32,800 39
* Sierra Semiconductor 20,106 309
Sigma Aldrich Corp. 7,700 252
* Signal Technology Corp. 42,800 187
Signet Banking Corp. 8,608 246
* Silicon Graphics, Inc. 23,100 716
Simmons First National 8,700 202
Simon Property Group 8,500 206
* Sirco International Corp. 46,300 127
* Sithe Energies, Inc. 27,300 287
Sizzler International 28,425 171
A.O. Smith Corp. 11,000 270
J.M. Smucker Co. Class A 2,700 65
J.M. Smucker Co. Class B 2,500 56
Snap-On Inc. 7,232 240
* Sofamor/Danek Group Inc. 3,700 48
* Software Publishing Corp. 23,700 105
* Software Spectrum, Inc. 9,100 134
* Solectron Corp. 10,100 278
Sonat, Inc. 14,322 401
* Sonic Corp. 5,400 111
Sonoco Products 13,200 286
Sotheby's Holdings Class A 21,900 252
* Southdown, Inc. 11,700 170
Southern California Water Co. 3,400 60
Southern Co. 106,718 2,134
Southern Indiana Gas & Electric 2,800 74
Southern National Corp. 15,600 298
Southern New England Telecom Corp. 9,700 312
* Southern Pacific Rail Corp. 24,200 439
* Southland Corp. 61,900 275
Southtrust Corp. 12,700 229
Southwest Airlines Co. 23,361 391
Southwest Gas Corp. 10,600 150
Southwestern Bell Corp. 100,518 4,058
Southwestern Energy Co. 8,200 122
Southwestern Public Service Co. 12,200 323
* Spacelabs Medical 7,739 179
* Spaghetti Warehouse, Inc. 4,400 21
* Specialty Chemical Resources, Inc. 29,400 88
* Spectran Corp. 5,100 24
* Spectranetics Corp. 9,300 11
* Spectrum Holobyte 8,600 113
* Spelling Entertainment 18,800 202
Spiegel, Inc. Class A 15,700 158
* Sports & Recreation 9,150 236
Springs Industries Inc. Class A 3,339 124
Sprint Corp. 56,784 1,569
Standard Federal Bank 11,800 282
* Standard Microsystem 9,200 277
Standard Motor Products, Inc. 4,300 85
Standard Products Co. 4,900 118
The Stanley Works 7,352 263
* Staples, Inc. 16,612 409
Star Banc Corp. 6,500 236
L. S. Starrett Co. Class A 3,300 74
* Starter Corp. 13,200 91
State Auto Financial Corp. 5,800 81
State Street Boston Corp. 12,400 354
* Stein Mart, Inc. 11,950 151
* Stephan Co. 8,250 105
* Sterling Chemicals, Inc. 21,100 277
* Sterling Software, Inc. 7,800 287
Stewart & Stevenson Services, Inc. 4,618 159
* Stone Container Corp. 14,612 252
* Stop & Shop Cos. Inc. 10,400 265
Storage Equities, Inc. 9,700 139
* Storage Technology Corp. 6,255 181
* Stratus Computer, Inc. 7,700 293
Stride Rite Corp. 18,084 201
Stryker Corp. 7,400 271
Student Loan Marketing Assn. 13,700 445
* Styles On Video, Inc. 12,300 35
* Sullivan Dental Products, Inc. 3,500 47
Sumitomo Bank of California 8,400 195
* Summit Technology, Inc. 3,500 100
Sun Co., Inc. 17,559 505
* Sun Microsystems, Inc. 15,059 534
SunAmerica Inc. 6,200 225
Sunbeam Oster 12,400 319
</TABLE>
30
<PAGE> 71
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Sundstrand Corp. 5,000 $ 228
* SunGard Data Systems 3,300 126
* Sunrise Medical, Inc. 5,600 155
SunTrust Banks, Inc. 19,724 942
* Supercuts, Inc. 4,985 42
Superior Industries International, Inc. 6,150 162
SuperValu, Inc. 11,996 294
Surgical Care Affiliates, Inc. 6,600 134
Susquehanna Bankshares Pa. 8,300 182
* Swing-n-Slide Corp. 6,000 50
* Sybase, Inc. 8,400 436
* Symantec Corp. 6,100 107
* Symbol Technologies, Inc. 10,000 309
* Symmetricom Inc. 16,400 219
* Syms Corp. 7,200 47
* Synagro Technologies Inc. 15,700 24
Synalloy Corp. 3,400 62
Synovus Financial Corp. 13,100 237
Sysco Corp. 29,166 751
System Software Associates, Inc. 6,600 105
* Systemed Inc. 27,100 188
* Systemix, Inc. 6,620 114
* TBC Corp. 18,450 168
TCA Cable Television, Inc. 9,300 201
TCF Financial Corp. 5,900 243
TECO Energy, Inc. 19,200 386
TIG Holdings, Inc. 9,400 176
TJX Cos., Inc. 11,384 178
TNP Enterprises, Inc. 3,900 58
* TRO Learning, Inc. 16,500 97
TRW, Inc. 10,331 682
Talbots Inc. 5,800 181
Tambrands, Inc. 5,223 202
* Tandem Computers, Inc. 19,144 328
Tandy Corp. 10,400 521
Tanger Factory Outlet Centers, Inc. 7,100 167
Taubman Co. 19,900 194
* Team Rental Group, Inc. 15,200 143
* Tech Data Corp. 1,600 27
* Tech-Sym Corp. 7,900 186
* Tejas Gas Corp. 4,400 210
Tektronix, Inc. 9,833 337
* Tele-Communications Inc. Class A 89,127 1,944
* Tele-Communications Inc. Class B 4,200 97
* Teledyne Inc. 19,636 395
Telephone & Data Systems, Inc. 8,700 401
* Tellabs, Inc. 6,600 367
Temple-Inland Inc. 9,011 407
Tenneco, Inc. 27,463 1,167
* Teradyne, Inc. 8,000 271
Texaco, Inc. 42,428 2,540
Texas Instruments, Inc. 14,963 1,120
Texas Utilities Co. 37,008 1,184
Textron, Inc. 14,076 709
* Theragenics Corp. 8,900 21
* Thermedics, Inc. 10,350 132
* Thermo Electron Corp. 8,450 379
* Thermo Fibertek, Inc. 14,400 229
* Thermo Instrument Systems, Inc. 7,050 224
Thomas & Betts Corp. 2,847 191
Thor Industries, Inc. 3,900 76
Thornburg Mortgage Asset Corp. 21,700 160
* 3 Com Corp. 11,000 567
Tidewater, Inc. 10,000 185
Tiffany & Co. 7,184 280
Timberline Software Corp. 23,800 226
Time Warner, Inc. 61,805 2,171
The Times Mirror Co. Class A 20,111 631
The Timkin Co. 8,546 301
Titan Wheel International, Inc. 4,200 117
Toastmaster, Inc. 10,300 76
* Today's Man Inc. 10,000 104
* Todd Shipyards Corp. 35,000 201
* Todhunter International, Inc. 9,600 148
* Tokos Medical 16,500 105
* Toll Brothers, Inc. 7,600 75
Tootsie Roll Industries, Inc. 2,788 171
The Topps Co., Inc. 17,597 92
Torch Energy Royalty Trust 8,300 130
Torchmark Corp. 11,285 394
Tosco Corp. 9,834 286
Total System Services, Inc. 12,800 219
* Total-Tel USA Communications, Inc. 1,320 23
Town & Country Trust 11,600 165
* Toys R Us, Inc. 46,674 1,424
* Trak Auto Corp. 12,800 222
Transamerica Corp. 11,204 557
Transatlantic Holdings 3,300 184
Transco Energy Co. 7,441 124
* Transworld Home Healthcare, Inc. 36,700 505
Travelers Inc. 51,506 1,674
* Tremont Corp. 636 7
Trenwick Group Inc. 1,900 81
The Tribune Co. 10,799 591
Trimas Corp. 6,000 120
* Trimble Navigation Ltd. 14,600 239
Trinity Industries, Inc. 5,850 184
* Triton Energy Corp. 10,300 350
The Trust Company of N.J. 7,800 104
* Tucson Electric Power Co. 75,100 235
Turner Broadcasting Class A 2,400 39
Turner Broadcasting Class B 29,500 483
* 20th Century Industries 6,100 64
Tyco International Ltd. 18,173 863
</TABLE>
31
<PAGE> 72
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Tyco Toys, Inc. 6,800 $ 38
* Tyler Corp. 38,000 124
Tyson Foods, Inc. 24,146 510
* UAL Corp. 4,695 410
UMB Financial Corp. 3,161 98
UNR Industries, Inc. 31,200 201
UNUM Corp. 11,735 443
* URS Corp. 22,300 120
USF&G Corp. 12,963 177
* USG Corp. 16,900 330
UST, Inc. 32,216 894
USX-Marathon Group 46,682 764
USX-U.S. Steel Group 12,301 437
Unicom Corp. 34,861 837
Unifi, Inc. 10,450 266
Unifirst Corp. 5,000 61
* Unigene 28,300 67
* Unilab Corp. 11,300 44
Union Bank of San Francisco 5,700 155
Union Camp Corp. 11,645 549
Union Carbide Corp. 24,585 722
Union Electric Corp. 16,203 573
Union Pacific Corp. 33,563 1,531
Union Planters Corp. 7,300 152
Union Texas Petroleum Holdings Inc. 14,600 303
* Unisys Corp. 25,680 221
* United Capital Corp. 12,100 103
United Healthcare Corp. 28,300 1,277
United Illuminating Co. 6,300 186
United Jersey Bank Financial Corp. 9,000 217
United Mobile Homes, Inc. 17,100 126
* USAir Group, Inc. 15,563 68
U.S. Bancorp 15,831 356
* U.S. Bioscience 23,274 83
U.S. Healthcare, Inc. 25,585 1,052
* U.S. Robotics, Inc. 6,500 281
U.S. Shoe Corp. 15,935 299
U.S. West Corp. 74,286 2,646
* United States Cellular 12,100 396
United States Surgical Corp. 9,662 184
United Technologies Corp. 20,139 1,266
* United Television, Inc. 5,000 269
* United Waste Systems, Inc. 9,000 227
United Wisconsin 6,700 240
Unitrin Inc. 7,800 336
Universal Corp. 10,300 205
* Universal Electronics, Inc. 18,400 82
Universal Foods Corp. 4,413 121
* Universal Health Services Class B 4,900 120
Unocal Corp. 39,844 1,086
Upjohn Co. 27,800 855
Urban Shopping Centers 11,100 221
USLIFE Corp. 5,374 187
Utilicorp United, Inc. 7,700 204
VF Corp. 10,807 525
* VLSI Technology, Inc. 16,100 193
* Vaalco Energy, Inc. 46,500 29
* Valassis Communication 17,300 259
Valero Energy Corp. 16,500 278
Valhi, Inc. 21,200 162
Valspar Corp. 5,700 191
* Value City Department Stores, Inc. 6,400 56
* Value Health, Inc. 6,372 237
* Vanguard Cellular Systems,
Inc. Class A 12,513 321
Varian Associates, Inc. 10,600 371
* Varity Corp. 7,500 272
Vastar Resources, Inc. 15,800 393
* Vencor, Inc. 8,700 243
Venture Stores, Inc. 9,100 106
* VeriFone, Inc. 9,200 204
* Vestar, Inc. 21,900 110
* Viacom International Class A 4,953 206
* Viacom International Class B 56,331 2,288
* Vicorp Restaurants, Inc. 3,600 64
* Viewlogic Systems, Inc. 10,900 200
* Viking Office Products 6,600 202
Vintage Petroleum, Inc. 10,400 175
* Visix Space Inc. 14,500 150
* Vons Cos., Inc. 13,600 245
Vornado Realty Trust 7,200 258
Vulcan Materials Co. 6,000 304
* WMS Industries, Inc. 10,600 199
WMX Technologies Inc. 78,045 2,049
WPL Holdings, Inc. 4,200 115
* WRT Energy Corp. 15,800 122
* Waban, Inc. 15,900 282
Wabash National Corp. 7,050 275
Wachovia Corp. 27,400 884
Wackenhut Corp. 4,600 62
Wackenhut Corp. Class B 1,400 17
* Wahlco Environmental 38,500 77
Wal-Mart Stores, Inc. 369,898 7,860
Walbro Corp. 6,300 117
Walgreen Co. 19,468 852
* Warnaco Group 16,500 285
Warner-Lambert Co. 21,988 1,693
Washington Energy Co. 8,900 120
Washington Federal Savings
& Loan Assn. 8,080 141
Washington Gas Light Corp. 3,399 114
Washington Mutual Inc. 8,800 147
Washington National Corp. 3,600 68
Washington Post Co. Class B 1,800 437
</TABLE>
32
<PAGE> 73
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Washington Water Power Co. 8,000 $ 109
Watts Industries Class A 6,000 127
* Weatherford International, Inc. 19,800 193
Weis Markets, Inc. 6,700 162
* Wellcare Management Group, Inc. 7,900 196
Wellman, Inc. 12,545 354
* Wellpoint Health Networks, Inc.
Class A 15,600 454
Wells Fargo & Co. 8,603 1,247
Wellsford Residential Property Trust 9,100 191
Wendy's International, Inc. 16,464 237
Werner Enterprises, Inc. 4,800 113
Wesco Financial Corp. 1,142 131
West One Bancorp 6,388 170
Westbanco Inc. 1,800 43
* Western Atlas Inc. 8,169 307
Western Bank 9,758 129
Westcorp, Inc. 17,695 161
Western Resources, Inc. 10,200 292
Westinghouse Electric Corp. 58,414 716
* Westport Bancorp, Inc. 2,200 7
Westvaco Corp. 11,052 434
Weyerhaeuser Co. 33,689 1,263
Wheelabrator Technologies 31,262 461
Whirlpool Corp. 11,847 601
* White River 5,643 172
Whitman Corp. 17,538 303
Wicor, Inc. 3,300 94
Willamette Industries, Inc. 8,800 416
Williams Cos., Inc. 16,112 405
* Williams Sonoma, Inc. 10,800 327
Wilmington Trust Corp. 11,200 256
Winn Dixie Stores, Inc. 12,272 630
* Winners Entertainment, Inc. 36,700 44
* Wisconsin Central
Transportation Corp. 7,700 316
Wisconsin Energy Corp. 16,838 436
Witco Chemical Corp. 9,000 222
Wolohan Lumber Co. 10,000 150
* Wonderware Corp. 10,100 338
Woolworth Corp. 22,466 337
* World Acceptance Corp. 7,500 175
* World Corp. 33,600 244
Worthington Industries, Inc. 13,602 270
Wm. Wrigley, Jr. Co. 18,824 929
* Wyman Gordon Corp. 30,300 187
X-Rite Inc. 10,600 212
Xerox Corp. 17,228 1,706
* Xilinx, Inc. 5,700 337
Yellow Corp. 12,047 289
York International Corp. 5,600 207
* Zebra Technologies Class A 500 20
Zenith National Insurance Corp. 3,500 80
* Zeos International 20,200 168
* Zoll Medical Corp. 6,300 73
- ------------------------------------------------------------------
TOTAL COMMON STOCKS (98.1%)(1)
(Cost $739,772) 770,587
- ------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.1%)
- ------------------------------------------------------------------
<CAPTION>
Face
Amount
(000)
------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.395%, 3/23/95 $600 592
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.90%, 1/3/95 15,689 15,689
- ------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $16,281) 16,281
- ------------------------------------------------------------------
TOTAL INVESTMENTS (100.2%)
(Cost $756,053) 786,868
- ------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.2%)
- ------------------------------------------------------------------
Other Assets--Notes B and F 9,846
Liabilities--Note F (11,030)
-------
(1,184)
- ------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------
Applicable to 69,078,582 outstanding
shares of beneficial interest
(unlimited authorization) $785,684
- ------------------------------------------------------------------
NET ASSET VALUE PER SHARE $11.37
==================================================================
</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 99.9% of net assets.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
AT DECEMBER 31, 1994, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------------
Amount Per
(000) Share
-------- ------
<S> <C> <C>
Paid in Capital $754,858 $10.92
Overdistributed Net
Investment Income (140) --
Undistributed Net
Realized Gains 35 --
Unrealized Appreciation of
Investments--Note D 30,931 .45
- -------------------------------------------------------------------
NET ASSETS $785,684 $11.37
- -------------------------------------------------------------------
</TABLE>
33
<PAGE> 74
<TABLE>
<CAPTION>
Market
Value
GROWTH PORTFOLIO Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ------------------------------------------------------------------
General Electric Co. 86,514 $4,412
AT&T Corp. 79,148 3,977
The Coca-Cola Co. 65,086 3,352
Philip Morris Cos., Inc. 43,538 2,503
Wal-Mart Stores, Inc. 116,398 2,474
Merck & Co., Inc. 63,676 2,428
Procter & Gamble Co. 34,728 2,153
* Microsoft Corp. 29,500 1,803
Johnson & Johnson 32,579 1,784
Motorola, Inc. 29,684 1,718
American International Group, Inc. 16,000 1,568
Bristol-Myers Squibb Co. 25,808 1,494
PepsiCo, Inc. 40,066 1,452
Intel Corp. 20,954 1,333
Abbott Laboratories, Inc. 40,784 1,331
Hewlett-Packard Co. 12,900 1,288
The Walt Disney Co. 27,127 1,251
Pfizer, Inc. 15,975 1,234
Southwestern Bell Corp. 30,400 1,227
Minnesota Mining &
Manufacturing Co. 21,296 1,137
Home Depot, Inc. 22,857 1,051
McDonald's Corp. 35,330 1,033
American Home Products Corp. 15,518 974
Eli Lilly & Co. 14,745 968
Unilever NV 8,120 946
Gillette Co. 11,184 836
Eastman Kodak Co. 17,200 821
* AirTouch Communications 25,000 728
Schering-Plough Corp. 9,609 711
Emerson Electric Co. 11,324 708
* Viacom International Class B 17,334 704
Time Warner, Inc. 19,200 674
Columbia/HCA Healthcare Corp. 18,300 668
Anheuser-Busch Co., Inc. 13,126 668
Capital Cities/ABC, Inc. 7,800 665
Kellogg Co. 11,243 654
WMX Technologies Inc. 24,533 644
* Oracle Systems Corp. 14,482 639
MCI Communications Corp. 34,376 632
* Tele-Communications Inc. Class A 28,918 629
Schlumberger Ltd. 12,356 622
Sara Lee Corp. 24,400 616
Caterpillar, Inc. 10,300 568
Campbell Soup Co. 12,531 553
Warner-Lambert Co. 6,807 524
* COMPAQ Computer Corp. 13,100 517
Allied-Signal, Inc. 14,300 486
The Dun & Bradstreet Corp. 8,565 471
Colgate-Palmolive Co. 7,301 463
H.J. Heinz Co. 12,446 457
General Mills, Inc. 8,008 457
* Cisco Systems, Inc. 13,000 455
* Toys R Us, Inc. 14,368 438
Phillips Petroleum Co. 13,200 432
Northern Telecom Ltd. 12,800 427
Automatic Data Processing, Inc. 7,152 418
Kimberly-Clark Corp. 8,106 409
PPG Industries, Inc. 10,800 401
CPC International, Inc. 7,491 399
Computer Associates
International, Inc. 8,187 397
* Amgen, Inc. 6,698 394
American Barrick Resources 17,700 394
United Healthcare Corp. 8,700 393
ConAgra, Inc. 12,552 392
Enron Corp. 12,820 391
AMP, Inc. 5,332 388
Gannett Co., Inc. 7,065 376
Albertson's, Inc. 12,874 373
Texas Instruments, Inc. 4,700 352
Corning, Inc. 11,500 344
U.S. Healthcare, Inc. 8,100 332
The Limited, Inc. 18,164 329
Georgia-Pacific Corp. 4,500 322
Medtronic, Inc. 5,782 322
* Novell, Inc. 18,711 318
Marsh & McLennan, Inc. 3,688 292
Wm. Wrigley, Jr. Co. 5,911 292
ALLTEL Corp. 9,500 286
UST, Inc. 10,226 284
Browning-Ferris Industries, Inc. 9,946 282
Lowes Cos., Inc. 8,100 281
Walgreen Co. 6,217 272
First Data Corp. 5,600 265
Scott Paper Co. 3,800 263
Placer Dome Group, Inc. 11,800 257
Dayton-Hudson Corp. 3,600 255
International Flavors &
Fragrances, Inc. 5,507 255
Pitney Bowes, Inc. 7,946 252
Illinois Tool Works, Inc. 5,718 250
Nucor Corp. 4,380 243
Rubbermaid, Inc. 8,070 232
Sysco Corp. 8,994 232
Hercules, Inc. 2,000 231
Micron Technology Inc. 5,200 229
The Gap, Inc. 7,403 226
Ralston-Purina Group 5,047 225
Genuine Parts Co. 6,210 224
Mattel, Inc. 8,791 221
Westinghouse Electric Corp. 18,000 221
Morton International, Inc. 7,500 214
</TABLE>
34
<PAGE> 75
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Eastman Chemical 4,225 $ 213
Burlington Northern, Inc. 4,390 211
Quaker Oats Co. 6,724 207
Avon Products, Inc. 3,417 204
* DSC Communications Corp. 5,552 200
Great Lakes Chemical Corp. 3,408 194
Eaton Corp. 3,900 193
H & R Block, Inc. 5,074 188
Winn Dixie Stores, Inc. 3,619 186
The Tribune Co. 3,378 185
Fluor Corp. 4,195 181
Tyco International Ltd. 3,700 176
Dresser Industries, Inc. 9,100 172
CBS, Inc. 3,095 171
MBNA Corp. 7,276 170
Alco Standard Corp. 2,700 169
Marriott International 6,008 169
Nordstrom, Inc. 4,000 168
Newell Co. 7,824 164
Hilton Hotels Corp. 2,400 162
McGraw-Hill, Inc. 2,415 162
Reebok International Ltd. 3,995 158
Newmont Mining Corp. 4,320 156
* Promus Co. Inc. 4,967 154
Clorox Co. 2,614 154
W.W. Grainger, Inc. 2,527 146
Dover Corp. 2,816 145
Praxair, Inc. 7,018 144
* The Kroger Co. 5,921 143
Premark International, Inc. 3,200 140
Harcourt General, Inc. 3,970 140
Pioneer Hi Bred International 4,100 139
* Computer Sciences Corp. 2,600 133
Interpublic Group of Cos., Inc. 3,780 121
Homestake Mining Co. 6,900 118
Nalco Chemical, Inc. 3,514 118
Southwest Airlines Co. 6,800 114
Deluxe Corp. 4,195 111
Comcast Corp. Class A Special 7,077 111
Circuit City Stores, Inc. 4,968 111
Engelhard Corp. 4,878 109
Pall Corp. 5,664 106
Cooper Tire & Rubber Co. 4,301 102
Pet, Inc. 5,109 101
* FMC Corp. 1,734 100
* Lotus Development Corp. 2,400 98
The Dial Corp. 4,600 98
Pep Boys (Manny, Moe & Jack) 3,127 97
St. Jude Medical, Inc. 2,363 93
Whitman Corp. 5,146 89
Worthington Industries, Inc. 4,491 89
Manor Care Inc. 3,223 88
Autodesk, Inc. 2,200 86
Allergan, Inc. 3,052 86
* Santa Fe Pacific Gold Corp. 6,520 84
Sigma Aldrich Corp. 2,500 81
Scientific-Atlanta, Inc. 3,744 79
* Biomet, Inc. 5,687 78
* Stone Container Corp. 4,500 78
General Signal Corp. 2,400 77
* ALZA Corp. 3,940 71
Comcast Corp. Class A 4,555 70
Ecolab, Inc. 3,236 68
C.R. Bard, Inc. 2,488 67
* Andrew Corp. 1,250 65
* Owens-Corning Fiberglas Corp. 2,037 65
* King World Productions, Inc. 1,685 58
Bemis Co., Inc. 2,410 58
* Ceridian Corp. 2,000 54
Perkin-Elmer Corp. 2,076 53
Tektronix, Inc. 1,500 51
Foster Wheeler Corp. 1,600 48
Jostens Inc. 2,300 43
Alexander & Alexander Services, Inc. 2,200 41
Shared Medical Systems Corp. 1,200 39
Trinova Corp. 1,300 38
Cincinnati Milacron, Inc. 1,500 35
* Viacom International Class A 766 32
* Armco, Inc. 4,700 31
Luby's Cafeterias, Inc. 1,300 29
John H. Harland Co. 1,446 29
* Shoney's Inc. 2,053 26
* Zenith Electronics Corp. 2,200 26
* Maxus Energy Corp. 6,782 23
- ------------------------------------------------------------------
TOTAL COMMON STOCKS (99.6%)
(Cost $83,562) 85,826
- ------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (1.7%)
- ------------------------------------------------------------------
<CAPTION>
Face
Amount
(000)
------
<S> <C> <C>
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.90%, 1/3/95
(Cost $1,445) $1,445 1,445
- ------------------------------------------------------------------
TOTAL INVESTMENTS (101.3%)
(Cost $85,007) 87,271
- ------------------------------------------------------------------
</TABLE>
35
<PAGE> 76
<TABLE>
<CAPTION>
Market
Value
(000)+
- ------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-1.3%)
- ------------------------------------------------------------------
Receivables for Securities Sold $ 6,041
Other Assets--Note B 1,119
Payables for Securities Purchased (8,053)
Other Liabilities (208)
------
(1,101)
- ------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------
Applicable to 8,380,378 outstanding
shares of beneficial interest
(unlimited authorization) $86,170
- ------------------------------------------------------------------
NET ASSET VALUE PER SHARE $10.28
==================================================================
</TABLE>
+See Note A to Financial Statements.
*Non-Income Producing Security.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
AT DECEMBER 31, 1994, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------
Amount Per
(000) Share
------- ------
<S> <C> <C>
Paid in Capital $85,122 $10.16
Overdistributed Net
Investment Income (9) --
Accumulated Net Realized
Losses--Note E (1,207) (.15)
Unrealized Appreciation of
Investments--Note D 2,264 .27
- ------------------------------------------------------------------
NET ASSETS $86,170 $10.28
- ------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ------------------------------------------------------------------
Exxon Corp. 224,391 $13,632
Royal Dutch Petroleum Co. 96,912 10,418
International Business
Machines Corp. 106,148 7,802
E.I. du Pont de Nemours & Co. 124,100 6,981
Mobil Corp. 71,870 6,055
General Motors Corp. 136,217 5,755
Amoco Corp. 89,854 5,313
GTE Corp. 173,900 5,282
Chevron Corp. 117,790 5,256
Ford Motor Co. 184,506 5,166
BellSouth Corp. 89,726 4,856
Ameritech Corp. 99,502 4,017
Bell Atlantic Corp. 78,900 3,925
Federal National Mortgage Assn. 49,563 3,612
Dow Chemical Co. 50,082 3,368
Chrysler Corp. 64,118 3,142
Atlantic Richfield Co. 29,000 2,951
Citicorp 71,146 2,944
U.S. West Corp. 82,433 2,937
Sears, Roebuck & Co. 63,569 2,924
The Boeing Co. 61,627 2,881
Texaco, Inc. 46,919 2,809
NYNEX Corp. 76,312 2,804
American Express Co. 91,575 2,701
BankAmerica Corp. 67,163 2,653
Southern Co. 118,086 2,362
NationsBank, Inc. 50,002 2,256
Pacific Telesis Group 76,700 2,186
The Seagram Co. Ltd. 67,314 1,986
Archer-Daniels-Midland Co. 93,229 1,923
J.P. Morgan & Co., Inc. 34,127 1,911
Pacific Gas & Electric Co. 78,118 1,904
Xerox Corp. 19,157 1,897
Travelers Inc. 57,957 1,884
J.C. Penney Co., Inc. 42,200 1,883
Banc One Corp. 73,370 1,862
General Re Corp. 14,776 1,829
Sprint Corp. 63,300 1,749
ITT Corp. 19,318 1,712
International Paper Co. 22,622 1,705
Union Pacific Corp. 37,100 1,693
Federal Home Loan Mortgage Corp. 32,591 1,646
Chemical Banking Corp. 44,218 1,586
Raytheon Co. 23,825 1,522
May Department Stores Co. 45,040 1,520
Monsanto Co. 21,100 1,488
Norfolk Southern Corp. 24,340 1,476
Baxter International, Inc. 51,148 1,445
United Technologies Corp. 22,566 1,419
Rockwell International Corp. 39,675 1,418
</TABLE>
36
<PAGE> 77
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Duke Power Co. 37,072 $1,413
Aluminum Co. of America 16,147 1,399
Weyerhaeuser Co. 37,142 1,393
Wells Fargo & Co. 9,437 1,368
American Brands, Inc. 36,374 1,364
First Union Corp. 32,121 1,329
Tenneco, Inc. 31,000 1,318
CSX Corp. 18,900 1,316
Norwest Corp. 56,000 1,309
Texas Utilities Co. 40,827 1,306
Merrill Lynch & Co., Inc. 34,408 1,230
The Chubb Corp. 15,721 1,216
Unocal Corp. 44,000 1,199
FPL Group, Inc. 33,769 1,186
SCE Corp. 80,916 1,183
Public Service Enterprise Group Inc. 44,219 1,172
The Chase Manhattan Corp. 32,813 1,128
Dominion Resources, Inc. 31,105 1,112
KeyCorp 44,200 1,105
American Electric Power Co., Inc. 33,436 1,099
Consolidated Edison Co. of
New York, Inc. 42,477 1,094
Occidental Petroleum Corp. 56,523 1,088
Kmart Corp. 82,388 1,071
American General Corp. 37,174 1,050
Dean Witter Discover & Co. 30,804 1,043
Deere & Co. 15,644 1,036
Alcan Aluminium Ltd. 40,533 1,029
McDonnell Douglas Corp. 7,186 1,020
Suntrust Banks, Inc. 21,300 1,017
Wachovia Corp. 30,900 997
Nike, Inc. Class B 13,201 985
PECO Energy Corp. 40,080 982
Upjohn Co. 31,333 963
Aetna Life & Casualty Co. 20,397 961
First Interstate Bancorp. 13,750 930
Unicom Corp. 38,704 929
PacifiCorp 51,212 928
The Goodyear Tire & Rubber Co. 27,390 921
Air Products & Chemicals, Inc. 20,476 914
Entergy Corp. 41,087 899
PNC Bank Corp. 42,425 896
* Digital Equipment Corp. 25,719 855
USX-Marathon Group 51,921 850
Houston Industries, Inc. 23,718 845
Apple Computer, Inc. 21,476 832
Lockheed Corp. 11,416 829
CIGNA Corp. 13,019 823
R.R. Donnelley & Sons Co. 27,768 819
Mellon Bank Corp. 26,522 812
Textron, Inc. 16,063 809
Burlington Resources, Inc. 22,900 802
First Chicago Corp. 16,614 793
Fleet Financial Group, Inc. 24,384 792
Union Carbide Corp. 26,907 790
Phelps Dodge Corp. 12,758 789
Bankers Trust New York Corp. 14,073 779
Central & South West Corp. 34,362 777
TRW, Inc. 11,770 777
NBD Bancorp, Inc. 28,138 770
Amerada Hess Corp. 16,778 766
Martin Marietta Corp. 17,144 761
Hershey Foods Corp. 15,700 759
Carolina Power & Light Co. 28,462 758
Honeywell, Inc. 23,300 734
The Times Mirror Co. Class A 23,224 729
* AMR Corp. 13,670 728
Conrail, Inc. 14,240 719
Salomon, Inc. 19,156 718
Cooper Industries, Inc. 20,815 710
Rohm & Haas Co. 12,300 703
National City Corp. 27,100 701
American Stores Co. 25,788 693
Halliburton Co. 20,665 685
Detroit Edison Co. 26,196 684
Whirlpool Corp. 13,452 683
St. Paul Cos., Inc. 15,184 679
Barnett Banks, Inc. 17,554 674
First Fidelity Bancorp. 14,758 662
CoreStates Financial Corp. 25,400 660
W.R. Grace & Co. 16,951 655
Union Electric Corp. 18,506 655
Masco Corp. 28,900 654
Household International, Inc. 17,376 645
Transamerica Corp. 12,729 633
CINergy Corp. 26,763 626
Becton, Dickinson & Co. 12,856 617
Champion International Corp. 16,869 616
* Federal Express Corp. 10,110 609
* Crown Cork & Seal Co., Inc. 16,100 608
* Sun Microsystems, Inc. 17,105 605
Inco Ltd. 21,080 603
Lincoln National Corp. 17,200 602
Ingersoll-Rand Co. 19,029 599
Union Camp Corp. 12,656 596
Consolidated Natural Gas Co. 16,782 596
Santa Fe Pacific Corp. 34,000 595
Baltimore Gas & Electric Co. 26,717 591
Melville Corp. 19,135 591
Safeco Corp. 11,360 591
Loral Corp. 15,222 577
VF Corp. 11,743 571
Tandy Corp. 11,162 560
Sun Co., Inc. 19,283 554
</TABLE>
37
<PAGE> 78
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Louisiana-Pacific Corp. 20,300 $ 553
Dow Jones & Co., Inc. 17,740 550
Reynolds Metals Co. 11,203 549
Dillard Department Stores Class A 20,468 548
Providian Corp. 17,712 547
Northern States Power Co.
of Minnesota 12,136 534
Panhandle Eastern Corp. 26,915 532
The Mead Corp. 10,763 523
Sherwin-Williams Co. 15,500 513
Boatmen's Bancshares, Inc. 18,896 513
Ohio Edison Co. 27,544 510
Bank of Boston Corp. 19,368 501
General Dynamics Corp. 11,394 496
UNUM Corp. 13,100 495
Coastal Corp. 18,954 488
USX-U.S. Steel Group 13,692 486
Knight-Ridder, Inc. 9,624 486
Westvaco Corp. 12,178 478
Baker Hughes, Inc. 25,462 465
Hasbro, Inc. 15,880 464
Delta Air Lines, Inc. 9,074 458
Jefferson-Pilot Corp. 8,799 456
Temple-Inland Inc. 10,094 455
* Price/Costco Inc. 35,174 453
Service Corp. International 16,300 452
Torchmark Corp. 12,947 452
Sonat, Inc. 15,774 442
Cyprus Amax 16,732 437
* National Semiconductor Corp. 22,245 434
Kerr-McGee Corp. 9,344 430
* Advanced Micro Devices, Inc. 17,189 428
National Medical Enterprises, Inc. 30,022 424
Dana Corp. 17,878 418
Mallinckrodt Group, Inc. 13,900 415
Williams Cos., Inc. 16,412 412
Roadway Services, Inc. 7,100 401
Parker Hannifin Corp. 8,808 401
U.S. Bancorp 17,830 399
New York Times Co. Class A 17,969 398
Great Western Financial Corp. 24,229 388
Golden West Financial Corp. 10,958 386
Brown-Forman Corp. Class B 12,517 382
Ashland Oil, Inc. 11,006 380
Northrop Grumman Corp. 8,915 374
Niagara Mohawk Power Corp. 26,029 371
Pennzoil Co. 8,318 367
Beneficial Corp. 9,368 365
American Greetings Corp. Class A 13,486 362
Bausch & Lomb, Inc. 10,696 362
Black & Decker Corp. 15,224 362
Johnson Controls, Inc. 7,367 361
Woolworth Corp. 23,911 359
Shawmut National Corp. 21,788 357
* Tandem Computers, Inc. 20,829 357
* Bethlehem Steel Corp. 19,800 356
Rite Aid Corp. 15,223 356
* Western Atlas Inc. 9,438 355
Avery Dennison Corp. 9,968 354
H.F. Ahmanson & Co. 21,103 340
Moore Corp. Ltd. 18,028 340
Cummins Engine Co., Inc. 7,500 339
Brunswick Corp. 17,300 327
Echlin, Inc. 10,700 321
SuperValu, Inc. 12,873 315
Pacific Enterprises 14,800 315
Ryder System, Inc. 14,150 311
Paccar, Inc. 6,993 306
Harris Corp. 7,087 301
James River Corp. 14,767 299
Maytag Corp. 19,405 291
The Stanley Works 8,100 290
* Varity Corp. 7,900 286
* Inland Steel Industries, Inc. 7,952 279
Raychem Corp. 7,800 278
Polaroid Corp. 8,252 268
* Unisys Corp. 31,000 267
Mercantile Stores Co., Inc. 6,693 264
Wendy's International, Inc. 18,345 264
Armstrong World Industries Inc. 6,800 262
E-Systems, Inc. 6,177 257
Snap-On Inc. 7,703 256
Thomas & Betts Corp. 3,600 242
McDermott International, Inc. 9,734 241
* Amdahl Corp. 21,469 236
Giant Food, Inc. Class A 10,767 234
Liz Claiborne, Inc. 13,877 234
National Service Industries, Inc. 8,915 228
Harnischfeger Industries Inc. 8,100 228
Russell Corp. 7,232 227
* Beverly Enterprises Inc. 15,667 225
Federal Paper Board Co., Inc. 7,611 221
Asarco, Inc. 7,723 220
Louisiana Land & Exploration Co. 6,000 218
Millipore Corp. 4,500 218
USF&G Corp. 15,935 217
Echo Bay Mines Ltd. 20,300 216
* Oryx Energy Co. 18,159 216
* Columbia Gas Systems, Inc. 9,145 215
NICOR, Inc. 9,422 214
TJX Cos., Inc. 13,711 214
* Navistar International Corp. 13,600 206
Premark International, Inc. 4,700 206
* Teledyne Inc. 10,200 205
</TABLE>
38
<PAGE> 79
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
The BF Goodrich Co. 4,668 $202
The Timkin Co. 5,688 201
Pittston Services Group 7,400 196
Continental Corp. 10,264 195
United States Surgical Corp. 10,198 194
Potlatch Corp. 5,164 192
Boise Cascade Corp. 7,061 189
Briggs & Stratton Corp. 5,400 177
* Clark Equipment Co. 3,100 168
Ball Corp. 5,293 167
ENSERCH Corp. 12,483 164
Peoples Energy Corp. 6,198 162
Fleming Cos., Inc. 6,903 161
Fleetwood Enterprises, Inc. 8,554 160
Ogden Corp. 8,353 157
Safety-Kleen Corp. 10,405 153
Crane Co. 5,500 148
* Consolidated Freightways, Inc. 6,600 148
USLIFE Corp. 4,154 145
EG & G, Inc. 10,000 141
Alberto-Culver Co. Class B 5,100 139
* Santa Fe Energy Resources Inc. 16,092 129
Yellow Corp. 5,274 126
Transco Energy Co. 7,500 125
Great Atlantic & Pacific Tea Co., Inc. 6,818 124
Centex Corp. 5,404 123
Charming Shoppes, Inc. 18,504 120
Adolph Coors Co. Class B 7,057 119
Longs Drug Stores, Inc. 3,749 119
Springs Industries Inc. Class A 3,200 118
Helmerich & Payne, Inc. 4,600 118
Meredith Corp. 2,500 117
NorAm Energy Corp. 21,464 115
Pulte Corp. 4,979 115
Bruno's Inc. 13,508 110
Brown Group, Inc. 3,400 109
Stride Rite Corp. 9,300 103
Eastern Enterprises 3,900 102
Tyco International Ltd. 2,150 102
Giddings & Lewis, Inc. 6,478 96
* Rowan Cos., Inc. 14,800 91
First Mississippi Corp. 3,600 90
ONEOK, Inc. 4,600 83
Community Psychiatric Centers 7,500 83
Kaufman & Broad Home Corp. 6,100 79
NACCO Industries, Inc. Class A 1,600 77
* Cray Research, Inc. 4,800 76
Morrison-Knudsen Co., Inc. 5,900 75
Outboard Marine Corp. 3,800 75
Handleman Co. 6,200 71
* Ryan's Family Steak Houses, Inc. 9,300 69
Bassett Furniture Industries, Inc. 2,375 68
* Intergraph Corp. 8,200 67
* Data General Corp. 6,600 66
* Stone Container Corp. 3,467 60
* Rollins Environmental Services, Inc. 11,837 58
* Bally Entertainment Corp. 8,500 52
* USAir Group, Inc. 11,300 49
Zurn Industries, Inc. 2,400 43
Skyline Corp. 2,200 42
* Hartmarx Corp. 6,000 35
Oshkosh B Gosh, Inc. Class A 2,500 34
SPX Corp. 2,000 33
* M/A-Com, Inc. 4,300 31
Jostens Inc. 1,200 22
* National Education Corp. 4,600 19
- ------------------------------------------------------------------
TOTAL COMMON STOCKS (100.3%)
(Cost $302,539) 297,946
- ------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.3%)
- ------------------------------------------------------------------
Receivables for Securities Sold 23,410
Other Assets--Notes B and F 2,079
Payables for Securities Purchased (22,595)
Other Liabilities--Note F (3,911)
--------
(1,017)
- ------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------
Applicable to 26,697,723 outstanding
shares of beneficial interest
(unlimited authorization) $296,929
- ------------------------------------------------------------------
NET ASSET VALUE PER SHARE $11.12
==================================================================
</TABLE>
+See Note A to Financial Statements.
*Non-Income Producing Security.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
AT DECEMBER 31, 1994, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------
Amount Per
(000) Share
-------- ------
<S> <C> <C>
Paid in Capital $303,548 $11.37
Undistributed Net
Investment Income 40 --
Accumulated Net Realized
Losses--Note E (2,066) (.08)
Unrealized Depreciation of
Investments--Note D (4,593) (.17)
- ------------------------------------------------------------------
NET ASSETS $296,929 $11.12
- ------------------------------------------------------------------
</TABLE>
39
<PAGE> 80
<TABLE>
<CAPTION>
Market
Value
SMALL CAPITALIZATION STOCK PORTFOLIO Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ------------------------------------------------------------------
AAR Corp. 36,200 $ 484
ABM Industries 20,700 481
* ACX Technologies Inc. 19,700 773
* AER Energy Resources, Inc. 60,900 270
AGCO Corp. 26,400 802
* AK Steel Holding Corp. 24,200 744
A.L. Pharma Inc. Class A 14,400 292
APS Holding Corp. 26,900 760
* AST Research, Inc. 37,400 545
* Abbey Healthcare Group, Inc. 10,900 251
* Acclaim Entertainment Inc. 38,050 549
* Ackerley Communications, Inc. 2,900 20
Acordia, Inc. 16,800 563
* Actel Corp. 58,000 479
* Acuson Corp. 34,250 557
ADAC Laboratories 34,033 262
* Addington Resources, Inc. 23,200 220
* Adelphia Communications
Corp. Class A 23,100 202
* Advanced Tissue Sciences Inc. 50,300 412
* Advantage Healthcare Corp. 23,300 746
* ADVO, Inc. 41,950 724
* Air and Water Technologies
Corp. Class A 29,600 178
Air Express International Corp. 37,800 751
* Alantec Corp. 33,100 1,067
* Alaska Air Group, Inc. 40,000 600
Albank Financial Corp. 36,900 856
Albany International Corp. 36,200 697
Alberto-Culver Co. Class B 24,500 668
Alex Brown, Inc. 20,500 623
* Alexander's, Inc. 9,600 508
Alfa Corp. 55,700 592
Alico, Inc. 12,000 203
The Allen Group, Inc. 32,860 785
* Alliance Pharmaceutical Corp. 31,100 190
* Alliant Techsystems, Inc. 24,100 979
* Alltrista Corp. 793 16
* Allwaste, Inc. 56,200 316
* Alpha Beta Tech 39,100 352
* Alpha Hospitality Corp. 20,300 138
* Alpine Group, Inc. 63,000 323
* Altera Corp. 28,900 1,208
* Amax Gold, Inc. 78,131 469
Amcast Industrial Corp. 30,700 649
Amcore Financial 27,480 508
* America Online, Inc. 18,800 1,053
* America West Airlines, Inc. 3,000 24
American Annuity Group Inc. 51,000 491
American Bankers Insurance Group 26,200 626
* American City Business Journal 36,750 602
American Colloid Co. 31,000 440
American Filtrona Corp. 14,900 413
* American Freightways 16,400 324
American Health Properties, Inc. 30,700 606
American Heritage Life Investment
Corp. 26,532 507
* American Management Systems, Inc. 35,850 686
* American Medical Response, Inc. 2,100 61
* American Pacific Corp. 33,800 241
American President Cos., Ltd. 44,700 1,129
* American Recreation Co. Holdings 36,500 237
* American Software, Inc. Class A 30,300 89
* American Travellers Corp. 24,400 403
* Americredit Corp. 92,100 553
Ameron, Inc. 13,700 399
Ametek, Inc. 50,300 849
* Ampal-American Israel Corp. 22,000 146
* Amsco International, Inc. 70,900 647
Amtech Corp. 20,650 196
* Anacomp, Inc. 162,600 325
* Analogic Corp. 24,800 465
* Anchor Bancorp Inc. 40,600 543
Anchor Bancorp Wisconsin Inc. 23,100 684
* Anchor Gaming 28,700 439
Angelica Corp. 22,300 616
* Antec Corp. 17,700 323
Anthony Industries, Inc. 15,210 243
Apogee Enterprises, Inc. 22,000 377
Applebee's International, Inc. 36,900 494
* Applied Bioscience International, Inc. 36,408 205
* Applied Innovation, Inc. 25,600 694
* Applied Magnetics Corp. 43,700 153
Applied Power, Inc. 18,300 464
Aptargroup Inc. 28,600 822
Aquarion Co. 23,198 548
Arbor Drugs, Inc. 21,000 431
Arctco Inc. 42,000 814
* Argosy Gaming Co. 29,200 339
* Armco, Inc. 121,800 807
Arnold Industries, Inc. 34,900 720
Arrow International, Inc. 25,400 860
Arvin Industries, Inc. 28,500 663
Ashland Coal Inc. 20,600 587
* Aspect Telecommunications 18,100 611
Associated Banc-Corp. 17,587 613
* Astoria Financial Corp. 18,200 475
* Atari Corp. 87,100 332
* Athena Neurosciences, Inc. 49,700 286
Augat, Inc. 22,200 419
* Autofinance Group Inc. 18,500 164
* Automotive Industries
Holding Inc. Class A 24,000 492
</TABLE>
40
<PAGE> 81
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Autotote Corp. 39,800 $ 453
Avalon Properties 35,700 821
* Avatar Holding, Inc. 17,600 664
Avemco Corp. 22,400 344
Aviall Inc. 6,175 47
* Aztar Corp. 98,500 591
BHC Financial Inc. 28,175 254
* BISYS Group, Inc. 31,200 686
* BJ Services Co. 35,800 604
BMC Industries, Inc. 47,000 734
BRE Properties Inc. Class A 15,100 466
BSB Bancorp, Inc. 22,815 647
BW/IP Inc. 34,300 585
J. Baker, Inc. 14,400 213
Baldor Electric Co. 26,980 728
* Baldwin Technology Class A 89,300 491
* Ballard Medical Products 37,166 395
* Bally Entertainment Corp. 67,900 416
* Bally Gaming International Inc. 18,000 187
* Banctec, Inc. 32,350 691
Bank of Granite Corp. 12,750 312
Bank North Group 23,000 509
Banta Corp. 26,000 783
* Banyan Systems, Inc. 37,700 676
Barnes Group, Inc. 7,200 274
* Barr Labs Inc. 27,100 684
* Barrett Resources Corp. 35,100 720
Bassett Furniture Industries, Inc. 20,325 584
Bay Apartment Communities, Inc. 27,900 561
Bay State Gas Co. 19,000 456
Bay View Capital Corp. 24,600 458
Bearings, Inc. 13,600 454
Belden Inc. 29,200 650
Bell Bancorp, Inc. 29,400 687
* Ben & Jerry's Homemade,
Inc. Class A 5,900 57
* Benson Eyecare Corp. 82,699 620
Bergen Brunswig Corp. Class A 49,137 1,026
W.R. Berkley Corp. 18,150 674
Berkshire Realty Co., Inc. 55,700 522
Berry Petroleum Class A 42,800 407
* Bertucci's Holding Corp. 22,900 255
BIC Corp. 10,100 297
* Bio-Rad Labs, Inc. Class A 17,700 491
Biocraft Laboratories 20,700 339
* Black Box Corp. 34,600 510
Black Hills Corp. 20,200 432
Blair Corp. 11,000 440
Blessings Corp. 19,400 276
Block Drug Co. Class A 16,683 630
* Bolt Beranek and Newman, Inc. 58,400 869
* Bombay Co. 41,975 425
* Books-a-Million Inc. 36,200 606
* Boole & Babbage Inc. 25,650 664
* Boomtown Inc. 35,700 562
* Borg-Warner Security Corp. 23,100 225
* Borland International, Inc. 4,400 27
Boston Bancorp 18,400 550
* Boston Chicken, Inc. 57,300 999
Bowne & Co., Inc. 22,200 386
* Box Energy Corp. Class B 52,200 561
W.H. Brady Class A 15,700 750
Brenco, Inc. 32,800 383
Brenton Banks, Inc. 21,450 386
* The Broadway Stores, Inc. 66,700 492
* Brock Control Systems, Inc. 25,300 164
* Broderbund Software 22,000 1,034
* Brookstone, Inc. 11,700 76
* Brooktree Corp. 52,600 437
Brown Group, Inc. 26,100 835
Bruno's Inc. 83,800 691
Brush Wellman, Inc. 27,500 478
* Buffets Inc. 31,600 310
CBL & Associates Properties, Inc. 17,100 353
CCB Financial Corp. 10,400 364
CCP Insurance, Inc. 18,700 381
* CDI Corp. 41,500 825
CMAC Investment Corp. 18,100 523
CNB Bankshares, Inc. 18,382 547
CPI Corp. 29,000 518
CRS/Sirrine, Inc. 37,200 395
* CSF Holdings, Inc. 23,300 556
* C-TEC Corp. 22,100 436
CWM Mortgage Holdings Inc. 71,100 613
Cabot Oil & Gas Corp. 29,026 421
* Cadence Design Systems, Inc. 63,300 1,306
* Caldor Corp. 24,300 541
* Calgene, Inc. 37,000 273
Calgon Carbon Corp. 32,200 334
* California Energy Co. 28,900 452
* California Federal Bank Class A 67,978 739
California Water Service Co. 15,913 509
Calmat Co. 26,400 459
* Cambridge Technology Partners 32,700 719
Camden Property Trust 12,500 311
* Canandaigua Wine Co., Inc. Class A 14,800 566
* Canandaigua Wine Co., Inc. Class B 2,800 108
Capital Re Corp. 16,400 449
Capitol American Financial Corp. 24,400 561
Capstead Mortgage Corp. 22,100 376
Caraustar Industries, Inc. 30,600 685
* Career Horizons Inc. 24,000 381
Carlisle Co., Inc. 18,400 665
* Carmike Cinemas, Inc. Class A 12,100 278
</TABLE>
41
<PAGE> 82
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Carpenter Technology Corp. 11,300 $ 633
Carr Realty Corp. 36,300 653
* Carson Pirie Scott & Co. 22,800 433
Cascade Natural Gas Corp. 33,050 487
Casey's General Stores 55,700 836
Cash America International Inc. 74,800 739
* Casino Data Systems 13,600 216
* Casino Magic Corp. 600 3
* Catalina Marketing Corp. 14,400 801
* Catalytica, Inc. 68,800 211
* Catellus Development Corp. 73,450 432
Cato Corp. Class A 29,600 215
* Cellpro, Inc. 25,700 257
* Cellular Communications
International Inc. 19,900 863
* Centex Construction Products 26,000 322
* Centocor, Inc. 74,800 1,220
Central Hudson Gas & Electric Corp. 24,600 652
Central Louisiana Electric Co. 31,500 744
Central Maine Power Co. 39,700 546
Central Vermont Public Service Corp. 35,900 485
Centura Banks, Inc. 30,500 743
* Cerner Corp. 22,800 1,009
* Chambers Development Co. Class A 55,900 217
Chaparral Steel Co. 28,500 210
* Charter Medical Corp. 39,100 841
Charter One Financial 32,875 618
* Checkers Drive-In Restaurant 130,500 302
Chelsea GCA Realty, Inc. 21,100 575
Chemed Corp. 21,600 721
Chemical Finance 12,795 528
* The Cherry Corp. Class A 15,800 229
* The Cherry Corp. Class B 15,800 227
Chesapeake Corp. of Virginia 30,400 1,003
* Chico's FAS, Inc. 30,000 152
* Chipcom Corp. 23,550 1,175
Chiquita Brands International, Inc. 36,100 492
Chittenden Corp. 24,870 522
* Christiana Cos., Inc. 15,500 486
Church and Dwight, Inc. 21,800 392
Cilcorp, Inc. 19,000 610
Citifed Bancorp 17,500 505
Citizens Bancorp MD 23,900 639
Citizens Corp. 47,300 804
City National Corp. 62,500 664
Claire's Stores, Inc. 36,000 432
Clarcor Inc. 16,050 341
* Clear Channel Communications 12,375 628
Cleveland-Cliffs Iron Co. 16,600 614
* Clinicom 31,500 347
* Coast Savings Financial, Inc. 51,500 747
Coastal Bancorp Inc. 32,300 458
Coca-Cola Bottling Co. 20,422 546
Coeur D'Alene Mines Corp. 31,371 514
* Cognex Corp. 39,600 1,035
* Cole National Corp. Class A 3,200 31
Collagen Corp. 18,800 423
Collective Bancorporation Inc. 30,600 518
Colonial Bancgroup, Inc. 30,300 602
Colonial Properties Trust 9,900 223
* Columbia Laboratories Inc. 96,700 484
* Columbia First Federal Savings
and Loan Assn. 16,800 580
Columbus Realty Trust 29,900 553
Comair Holdings, Inc. 24,200 420
* Comdata Holdings Corp. 43,533 487
Commerce Bancorp, Inc. 34,619 653
Commerce Clearing House,
Inc. Class A 33,100 550
Commerce Group, Inc. 48,900 801
* Commercial Federal Corp. 20,800 436
Commercial Intertech Corp. 44,850 835
Commercial Metals Co. 19,866 536
* Commnet Cellular Inc. 13,000 379
Commonwealth Energy Systems 15,000 546
Communications Systems, Inc. 40,400 495
Community Psychiatric Centers 61,150 673
* Compression Labs, Inc. 50,640 402
* Computer Network
Technology Corp. 63,100 430
* CompUSA, Inc. 30,700 461
* Concord EFS Inc. 22,350 559
* Cone Mills Corp. 40,200 477
Connecticut Natural Gas Corp. 15,400 375
* Consolidated Stores, Inc. 65,600 1,222
* Continental Medical Systems, Inc. 59,350 371
* Continuum Co. 27,800 848
* Converse Inc. 21,100 251
* Copytele, Inc. 43,400 270
* Coral Gables Federal Savings
& Loan Assn. 24,100 515
Core Industries, Inc. 20,200 197
* Corrections Corp. of America 38,300 613
Cousins Properties, Inc. 47,700 829
* Coventry Corp. 33,200 807
Crawford & Co. Class B 29,500 472
* Cray Research, Inc. 35,400 558
* Credence Systems 26,400 604
* Credit Acceptance Corp. 10,000 176
Criimi Mae Inc. 64,700 445
A.T. Cross Co. Class A 11,600 158
Crown American Realty Trust 4,400 59
* Crown Central Petroleum
Corp. Class A 13,900 177
</TABLE>
42
<PAGE> 83
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Cubic Corp. 11,200 $ 199
Cullen/Frost Bankers, Inc. 15,440 477
Curtiss-Wright Corp. 12,800 466
* Cygne Designs, Inc. 31,300 423
* Cygnus Therapeutic Systems 50,900 337
* Cypress Semiconductor Corp. 52,300 1,209
* Cyrix Corp. 19,200 373
* Cyrk International, Inc. 20,500 848
* Cytec Industries, Inc. 628 24
* Cytogen Corp. 8,000 32
* DF & R Restaurants, Inc. 21,800 326
* D.I.Y. Home Warehouse, Inc. 30,900 189
* DSP Group Inc. 24,400 467
* Dallas Semiconductor Corp. 36,700 610
Dames & Moore, Inc. 18,300 270
Daniel Industries, Inc. 29,400 390
* Danielson Holdings Corp. 11,700 89
Dart Group Corp. Class A 5,467 426
* Data General Corp. 47,500 475
* Datascope Corp. 28,200 472
* Davco Restaurants, Inc. 34,000 421
* Davidson and Associates, Inc. 23,700 764
Deb Shops, Inc. 9,100 27
* Dekalb Energy Co. Class B 40,500 861
Dekalb Genetics Corp. Class B 15,400 406
Delchamps, Inc. 21,653 338
Delta Woodside 18,000 207
Deposit Guaranty Corp. 26,300 786
* Destec Energy Inc. 1,000 11
Developers Diversified Realty Corp. 17,900 559
Devon Energy Corp. 30,600 558
* Devry, Inc. 12,600 389
Dexter Corp. 30,200 657
* Diagnostek, Inc. 37,800 600
Diagnostic Products Corp. 22,900 601
* Dialogic Corp. 6,300 146
Dibrell Brothers, Inc. 18,400 373
* Digital Link Corp. 6,600 176
* Digital Microwave Corp. 43,200 886
* Dime Bankcorp Inc. 82,100 636
* Dionex Corp. 8,600 323
Dixie Yarn, Inc. 27,700 190
Donaldson Co., Inc. 31,600 747
* Dovatron International Inc. 23,853 623
* Dravo Corp. 38,000 446
* The Dress Barn, Inc. 39,100 418
Dreyer's Grand Ice Cream, Inc. 16,400 404
* Dual Drilling Co. 36,200 310
Duff & Phelps Corp. 34,300 296
Duff & Phelps Credit Rating 11,433 113
Duke Realty Investments 25,700 726
Duriron Co., Inc. 29,900 527
Duty Free International Inc. 1,200 13
* Dynatech Corp. 26,800 881
* EZ Communications, Inc. 37,800 482
* Eagle Hardware & Garden, Inc. 48,500 379
Eastern Enterprises 28,000 735
Eastern Utilities Associates 29,460 648
Eaton Vance Corp. 16,300 452
* Eckerd Corp. 44,500 1,329
Edison Brothers Stores, Inc. 19,600 363
* Egghead, Inc. 44,400 524
* Elcor Corp. 20,600 317
* Electro Rent Corp. 33,186 552
Elizabethtown Corp. 18,700 493
Emphesys Financial Group, Inc. 22,300 708
Empire District Electric Co. 20,543 331
* Employee Benefit Plans Inc. 33,100 314
Energen Corp. 24,200 532
Enhance Financial Services
Group, Inc. 24,800 425
Ennis Business Forms, Inc. 39,350 492
* Enterra Corp. 37,900 720
* Envirosource, Inc. 99,100 331
* Envirotest Systems Corp. Class A 35,800 237
* Envoy Corp. 36,800 754
* Epitope Inc. 28,200 603
* Equicredit Corp. 31,600 1,003
* Ethan Allen Interiors Inc. 24,300 589
* Evans & Sutherland Computer Corp. 41,900 550
* Exabyte Corp. 29,700 639
Excel Industries, Inc. 5,500 76
Exide Corp. 19,500 1,097
* Exide Electronics Group, Inc. 22,100 428
Expeditors International of
Washington, Inc. 18,200 389
* Express Scripts 21,600 783
* Ezcorp, Inc. 35,300 375
F & M National Corp. 23,882 379
* FHP International Corp. 6,048 154
FHP International Corp. Pfd. A 20,160 493
FMC Gold Co. 63,200 213
* Fabri-Centers of America, Inc. 33,900 602
Farmer Brothers, Inc. 3,350 414
Fastenal Co. 19,400 793
Fay's Drug Co. 23,875 155
* Fedders Corp. 81,700 582
* Fedders Corp. Class A 40,850 214
Fidelity National Financial, Inc. 32,583 354
* Fieldcrest Cannon, Inc. 26,100 666
* Figgie International Inc. Class A 30,800 191
* Filene's Basement Corp. 62,600 297
Financial Trust Corp. 7,466 214
* First Alert, Inc. 12,400 181
</TABLE>
43
<PAGE> 84
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
First American Financial Corp. 13,500 $ 233
First Bancorp of Ohio 35,800 899
First Citizens BancShares Class A 11,700 500
First Colonial Bankshares 29,900 605
First Commerce Bancshares Class A 2,000 32
First Commerce Bancshares Class B 8,000 90
First Commercial Corp. 27,528 630
First Commonwealth Financial Corp. 24,500 331
* First Federal Financial 39,775 502
First Financial Bancorp 15,791 529
First Financial Savings Assn. 35,000 477
First Merchants Corp. 14,400 459
First Michigan Bank Corp. 23,754 561
First Midwest Bancorp 26,700 634
First Mississippi Corp. 27,300 683
First National Bank of Gainsville 27,550 520
First Source Corp. 16,905 442
FirstFed Michigan Corp. 22,250 453
Firstier Financial Inc. 17,850 565
Fisher Scientific International Inc. 23,100 572
* Flagstar Cos. 61,460 423
Fleet Mortgage Group 22,300 443
Florida East Coast Railway Co. 8,700 574
Florida Rock Industries, Inc. 16,600 454
* Florsheim Shoe Co. 10,550 61
Flowers Industries, Inc. 50,000 906
Fluke Corp. 22,100 669
* Foamex International, Inc. 49,700 488
* Foodmaker, Inc. 98,400 431
Foothill Group 51,300 770
Fort Wayne National Corp. 16,700 436
* Foxmeyer Health Corp. 31,485 468
* Frame Technology 54,600 894
Fremont General Corp. 18,400 430
* Fresh Choice, Inc. 21,600 209
* Friedman's Inc. Class A 36,700 624
Frisch's Restaurants, Inc. 33,835 305
* Fritz Cos., Inc. 12,900 601
Frontier Insurance Group, Inc. 3,900 85
H.B. Fuller Co. 20,350 700
Fulton Financial Corp. 30,618 582
* Fund American Enterprise
Holding Co. 11,653 842
* Fusion Systems 22,100 572
G & K Services, Inc. 52,150 874
* GC Cos. 250 7
GFC Financial Corp. 37,700 1,197
Gables Residential Trust 20,000 430
Gainsco, Inc. 43,383 358
* Galey & Lord 36,900 530
Arthur J. Gallagher & Co. 22,200 710
* Gaylord Container Corp. 86,100 786
* Gencare Health Systems, Inc. 15,500 734
Gencorp, Inc. 37,900 450
* General Datacomm Industries, Inc. 62,500 2,023
General Growth Properties 25,500 577
General Host Corp. 66,780 309
* Genesis Health 20,300 642
* Genetic Therapy, Inc. 36,600 247
* Geneva Steel Class A 44,000 594
* Gensia Inc. 25,200 106
* Genta Inc. 58,590 293
* Geotek Industries, Inc. 56,000 479
* Gentex Corp. 26,500 636
Gerber Scientific, Inc. 28,700 373
* Gerrity Oil & Gas Corp. 60,500 257
* Gibraltar Steel 12,600 132
Gibson Greetings, Inc. 23,000 342
Gilbert Associates, Inc. Class A 21,875 293
* Gilead Sciences, Inc. 25,400 238
* Glendale Federal 51,300 494
Glimcher Realty Trust 22,900 501
* Global Marine Inc. 224,700 815
* Global Natural Resources, Inc. 81,300 691
* Goody's Family Clothing 38,300 354
Gorman-Rupp Co. 22,125 395
Goulds Pumps, Inc. 29,900 645
Graco, Inc. 21,800 474
* Grand Casinos, Inc. 31,800 441
* Great American Management, Inc. 14,300 517
Great Financial Corp. 46,600 699
* Great Lakes Bancorp, FSB 16,498 444
Green Mountain Power Corp. 18,700 521
Greif Brothers Corp. Class A 16,100 696
Grey Advertising, Inc. 2,700 401
* Groundwater Technology, Inc. 34,600 458
* Grow Biz International, Inc. 5,100 55
Grow Group, Inc. 28,400 398
* Gupta Corp. 41,400 468
* Gymboree Inc. 34,800 1,003
* Haemonetics Corp. 21,050 363
Haggar Corp. 17,800 449
Hancock Holding Co. 16,646 489
Handleman Co. 44,600 507
Handy & Harman 44,800 689
Harman International Industries, Inc. 15,500 574
Harnischfeger Industries Inc. 41,000 1,153
Harper Group, Inc. 27,000 419
* Harte-Hanks Communications Co. 21,100 411
* Hartmarx Corp. 90,000 529
Hawkeye Bancorp 36,600 702
* Healthdyne, Inc. 73,000 579
* Healthwise of America Inc. 23,050 755
* Heartland Express, Inc. 20,875 618
</TABLE>
44
<PAGE> 85
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Hechinger Co. Class A 40,500 $ 471
* Hecla Mining Co. 65,400 662
Helene Curtis, Inc. 11,900 397
Helmerich & Payne, Inc. 33,400 856
Heritage Financial Services, Inc. 30,800 497
* Heritage Media Corp. Class A 35,104 943
* Hillhaven Corp. 32,580 692
Holly Corp. 12,600 329
* Hollywood Casino Corp. 51,800 301
* Hollywood Park, Inc. 14,000 151
Home Beneficial Corp. Class B 25,400 514
* Home Holdings Inc. Series A 28,345 266
* Homedco Group Inc. 17,700 664
* Hometown Buffet, Inc. 38,000 385
* Horizon Healthcare Corp. 39,100 1,095
* Hovnanian Enterprises Class A 43,050 231
* Hovnanian Enterprises Class B 9,650 52
Hubco, Inc. 24,134 537
Hudson Foods Inc. Class A 31,100 781
Huffy Corp. 14,400 216
Hughes Supply, Inc. 16,600 305
* Hugoton Energy Corp. 37,300 317
Hunt Manufacturing Co. 31,000 419
ICN Pharmaceuticals 79,216 1,366
IDEX Corp. 17,800 752
* IDEXX Laboratories 22,400 801
* IHOP Corp. 22,700 616
* IMRS Inc. 22,500 886
IRT Property Co. 74,378 762
IWC Resources Corp. 21,000 433
* Immune Response 17,154 101
* Immunex Corp. 48,900 727
* Immunomedics Inc. 45,300 156
* Imo Industries, Inc. 14,100 176
* Imperial Bancorp 39,718 494
* Imperial Credit 47,880 413
* Inbrand Corp. 14,200 199
Independent Insurance Group, Inc. 27,600 331
Indiana Energy, Inc. 32,600 668
* INDRESSCO Inc. 36,900 526
* Information Resources, Inc. 35,700 500
* Input/Output, Inc. 27,200 643
* Instrument Systems Corp. 58,600 491
* Insurance Auto Auctions, Inc. 14,500 450
* Integrated Health Services, Inc. 24,600 972
* Interco Co. 63,300 419
Intercontinental Bank 20,900 387
Interface, Inc. 28,800 353
* Intergraph Corp. 59,200 488
* Intermet Corp. 43,100 302
International Aluminum Corp. 13,400 402
* International Cabletel, Inc. 33,800 925
* International Dairy Queen,
Inc. Class A 42,300 714
* International Family
Entertainment Class B 48,400 611
International Multifoods Corp. 27,700 509
* International Rectifier Corp. 49,200 1,193
International Shipholding Corp. 22,200 433
* International Technology 154,900 465
* Interpool, Inc. 35,800 533
Interstate Bakeries 26,300 365
Interstate Power Co. 11,200 266
* Intervoice, Inc. 53,600 730
* Intuit, Inc. 18,700 1,248
Invacare Corp. 17,500 595
* Ionics, Inc. 11,200 703
Iowa-Illinois Gas & Electric Co. 39,600 787
Irvine Apartment Communities, Inc. 33,100 542
Irwin Financial Corp. 17,400 472
* ISIS Pharmaceuticals, Inc. 42,500 165
JSB Financial 15,800 377
* Jacobs Engineering Group Inc. 25,900 479
* Jan Bell Marketing Inc. 26,200 105
Jefferson Bankshares, Inc. 18,900 371
* Johnson Worldwide Associates, Inc. 9,900 191
* Johnstown America Industries 31,800 521
Juno Lighting, Inc. 25,300 443
Justin Industries, Inc. 40,450 478
KN Energy, Inc. 46,327 1,100
* Kaiser Aluminum & Chemical Corp. 28,500 310
Kansas City Life Insurance Co. 12,030 526
Kaufman & Broad Home Corp. 39,200 505
Kaydon Corp. 25,000 600
* Keane, Inc. 13,050 310
* Kelly Oil Corp. 48,400 178
Kellwood Co. 30,450 639
* KEMET Corp. 38,070 1,118
* KENETECH Corp. 43,700 634
Kennametal, Inc. 36,446 893
* Kent Electronics Corp. 15,900 630
Keystone Financial, Inc. 30,050 902
Kimball International, Inc. Class B 19,900 515
* Kinder Care Learning Centers Inc. 28,500 346
Kinetic Concepts, Inc. 57,200 400
* Kirby Corp. 40,900 808
* Komag, Inc. 20,900 546
* Kopin Corp. 25,500 258
Kranzco Realty Trust 29,000 551
* The Krystal Co. 31,600 328
Kuhlman Corp. 13,900 169
Kysor Industrial Corp. 20,900 462
* LCI International, Inc. 38,200 998
La-Z-Boy Chair Co. 18,800 599
</TABLE>
45
<PAGE> 86
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Laclede Gas Co. 21,600 $ 429
Ladd Furniture, Inc. 58,900 375
* Lady Luck Gaming Corp. 31,700 83
* Lamson & Sessions Co. 63,000 378
Lance, Inc. 800 14
* Landair Services 16,600 253
Landauer, Inc. 35,500 590
* Landmark Graphics Corp. 22,100 398
* Landstar System 24,700 803
* Lattice Semiconductor Corp. 25,900 437
Lawson Products, Inc. 14,900 380
Lawter International Inc. 39,766 482
* Lechters Corp. 37,500 635
Legg Mason Inc. 29,700 631
Lennar Corp. 38,650 599
Lesco, Inc. 26,200 341
* Level One Communications 40,200 613
* Levitz Furniture 29,300 242
Liberty Bancorp Inc. 17,800 512
Liberty Corp. 23,900 606
* Lifetime Hoan Corp. 7,425 85
Life Re Corp. 18,300 323
Life Technologies, Inc. 25,300 493
Lilly Industries Inc. Class A 31,650 431
* Lincare Holdings Inc. 28,100 818
Lincoln Telecommunications Co. 34,200 577
* Lindsay Manufacturing Co. 17,425 521
* Liposome Co., Inc. 73,400 606
Liqui-Box Corp. 17,200 559
* Living Centers of America, Inc. 25,600 854
* Lone Star Industries, Inc. 35,500 621
* Lone Star Steakhouse & Saloon 24,700 485
* Lottery Enterprises Inc. 47,600 196
Luby's Cafeterias, Inc. 36,100 808
Lufkin Industries 14,414 261
Lukens, Inc. 19,000 553
* M/A-Com, Inc. 86,100 624
MAF Bancorp, Inc. 20,800 398
MDU Resources Group, Inc. 26,250 712
MGI Properties, Inc. 34,500 483
* MK Gold Co. 79,800 359
MTS Systems Corp. 17,100 374
* MacFrugal's Bargains Close-Outs, Inc. 43,100 862
The Macerich Co. 25,300 541
The MacNeal-Schwendler Corp. 31,700 329
* Macromedia 23,000 592
Madison Gas & Electric Co. 14,750 474
Magna Group 36,400 635
* Magnatek 24,700 333
Manitowoc Co., Inc. 12,900 279
Manufactured Home
Communities, Inc. 24,900 495
* Mapinfo Corp. 6,200 157
* Marcam Corp. 6,300 63
* Marine Drilling Co., Inc. 86,400 243
* Mariner Health Group, Inc. 20,600 448
Mark Twain Bancshares, Inc. 20,550 555
* Marshall Industries 25,600 685
Maryland Federal Bancorp 13,600 316
* Maxtor Corp. 65,600 369
* Maxus Energy Corp. 174,131 588
Maybelline, Inc. 21,593 389
McArthur/Glen Realty Corp. 23,100 381
McDonald and Co. Investments, Inc. 33,160 369
* McWorter Technologies Inc. 29,950 445
Measurex Corp. 13,200 312
* Medaphis Corp. 22,800 1,055
* Medco Research, Inc. 31,500 358
Media General, Inc. Class A 26,600 755
* Medic Computer Systems, Inc. 31,300 962
* MedImmune Inc. 48,700 177
Medusa Corp. 27,550 675
Mentor Corp. 24,800 431
* Mentor Graphics Corp. 68,800 1,054
Merchants New York Bancorp 4,800 248
Meredith Corp. 16,000 746
* Merisel, Inc. 36,000 290
Merrill Corp. 25,000 434
* Merry-Go-Round Enterprises, Inc. 1,900 2
Merry Land & Investment Co., Inc. 33,700 737
* Mesa Airlines, Inc. 42,400 387
* Mesa, Inc. 109,000 531
Methode Electronics, Inc. Class A 27,500 461
* Metricom 34,200 500
Metropolitan Financial Corp. 46,698 1,080
* Micom Communications 37,800 321
* Microage, Inc. 42,800 503
* Microchip Technology, Inc. 45,950 1,258
Mid Am Inc. 34,743 517
Mid-America Bancorp 24,613 418
Mid-American Waste Systems, Inc. 40,100 276
Midland Co. 11,300 489
Midland Financial Group, Inc. 22,000 333
Midwest Grain Products 13,800 324
Herman Miller, Inc. 34,300 896
Mills Corp. 23,300 422
Mine Safety Appliances Co. 12,100 532
Minerals Technologies, Inc. 28,500 834
* Mobile Telecommunications
Technologies Corp. 44,700 874
* Mohawk Industries, Inc. 34,500 431
* Molecular Biosystems, Inc. 36,100 388
* Molten Metal Technology 34,600 571
The Money Store 19,200 348
</TABLE>
46
<PAGE> 87
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
Monk Austin, Inc. 100 $ 1
Morrison-Knudsen Co., Inc. 40,400 515
Mosinee Paper Corp. 9,000 229
* Mueller Industries Inc. 23,100 690
* Multicare Cos., Inc. 6,000 117
* Musicland Stores Corp. 43,300 390
* Mutual Assurance Inc. 16,511 423
NAC Re Corp. 16,650 562
NBB Bancorp, Inc. 13,300 652
NBSC Corp. 11,200 330
* N L Industries, Inc. 89,000 1,124
NN Ball and Roller 26,600 497
* NPC International Class A 40,100 216
N.S. Bancorp Inc. 24,100 636
NYMAGIC, Inc. 19,200 353
* Nabors Industries, Inc. 93,400 607
NACCO Industries, Inc. Class A 11,100 537
Nash-Finch Co. 32,500 528
Nashua Corp. 20,700 424
National Bankcorp of Alaska Inc. 9,700 487
National Community Bancorp 22,650 521
National Computer Systems, Inc. 24,500 374
National Data Corp. 35,100 904
* National Education Corp. 101,500 419
National Health Investors REIT 18,400 481
National Penn Bancshares Inc. 7,196 177
National Presto Industries, Inc. 14,600 606
National Re Holdings Corp. 18,850 495
National Steel Corp. Class B 41,900 608
* National Western Life
Insurance Co. Class A 9,800 327
* National Westminster 12,773 613
Nature's Sunshine Inc. 28,080 372
* Nautica Enterprises 26,905 807
* Navigators Group, Inc. 25,000 356
* Nellcor Inc. 24,700 809
* Netframe Systems Inc. 46,900 363
* Network Equipment Technologies 48,600 1,166
* Network General Corp. 28,000 723
* Network Systems Corp. 48,000 339
New England Business Service, Inc. 21,800 406
New Jersey Resources Corp. 24,300 550
New York Bancorp Inc. 24,200 454
* Newfield Exploration Co. 23,100 456
* Noble Drilling Corp. 66,800 392
* Nortek, Inc. 19,708 234
North American Mortgage 21,700 320
North Carolina Natural Gas Corp. 19,469 421
* Northeast Federal Corp. 3,000 25
Northwest Natural Gas Co. 19,300 565
Northwestern Public Service Co. 20,700 554
* Nu-Kote Holding, Inc. Class A 21,000 543
* Novellus Systems, Inc. 23,100 1,152
OEA, Inc. 20,800 510
* OHM Corp. 43,000 365
* OMI Corp. 67,200 445
* Oak Industries, Inc. 24,300 556
Oakwood Homes Corp. 29,800 726
Oasis Residential, Inc. 20,600 505
* Oceaneering International, Inc. 34,200 351
* Octel Communications Corp. 31,200 655
* Ogden Corp. 2,268 43
Oil-Dri Corp. of America 13,275 231
* Old Dominion Freight Line, Inc. 18,236 290
* Omega Environmental, Inc. 85,700 455
Onbancorp Inc. 22,900 524
One Valley Bancorp of West
Virginia Inc. 19,000 542
* Onecomm Corp. 20,400 306
Oneida Ltd. 24,490 318
Oneok, Inc. 33,600 605
Orange & Rockland Utilities, Inc. 16,600 540
* Orbital Sciences Corp. 37,200 707
* Organogenesis, Inc. 46,400 905
Oregon Steel Mills, Inc. 23,600 369
Orion Capital Corp. 21,225 748
O'Sullivan Corp. 27,500 258
Otter Tail Power Co. 15,400 504
Outboard Marine Corp. 28,700 563
Owens & Minor Inc. Holding Co. 43,237 616
PHH Corp. 24,500 851
* Pacific Physician Services, Inc. 36,200 602
Pacific Scientific Co. 21,900 887
* Paragon Trade Brands, Inc. 7,800 103
* Parker Drilling Co. 84,400 401
* Payless Cashways, Inc. 58,100 537
* Pec Israel Economic Corp. 21,500 613
* The Penn Traffic Co. 13,500 513
Penn Virginia Corp. 15,500 481
Penncorp Financial Group Inc. 15,900 209
Pennsylvania Real Estate
Investment Trust 24,900 464
Pentair, Inc. 26,350 1,117
Penwest Ltd. 19,250 380
* Peoples Telephone Co., Inc. 107,250 489
Petrolane, Inc. Class B 9,000 122
Petroleum Heat & Power Co. 2,200 20
Petrolite Corp. 17,200 464
Phoenix Resource Cos., Inc. 5,700 271
* Phycor, Inc. 35,550 960
Piccadilly Cafeterias, Inc. 24,600 197
* Picturetel Inc. 31,100 754
Piedmont Natural Gas, Inc. 39,626 748
Pier 1 Imports Inc. 52,500 492
</TABLE>
47
<PAGE> 88
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Pillowtex Designs 25,000 $ 244
Pioneer Group Inc. 30,400 661
Piper Jaffray Cos., Inc. 34,600 359
Pittway Corp. Class A 12,200 491
Plains Petroleum Co. 25,000 588
* Platinum Technology, Inc. 44,400 999
* Players International, Inc. 25,500 574
* Playtex Products, Inc. 35,300 252
Ply-Gem Industries, Inc. 28,800 551
Pope & Talbot, Inc. 16,300 259
Post Properties, Inc. 24,500 772
* Powersoft Corp. 14,000 1,155
Precision Castparts Corp. 26,700 541
* Preferred Entertainment, Inc. 17,400 183
* Premier Bancorp, Inc. 39,390 628
* President Riverboat Casinos, Inc. 73,200 641
* Primedex Health Systems Inc. 89,400 47
* Primark Corp. 31,500 413
* Proffitt's, Inc. 28,900 636
* Progress Software Corp. 16,600 629
Protective Life Corp. 17,400 846
* Protein Design Labs 37,200 588
Provident Bancorp Inc. 15,100 508
* Public Service Co. of New Mexico 60,600 788
Pulitzer Publishing Co. 16,170 649
Pulte Corp. 26,300 605
Puritan-Bennett Corp. 14,700 307
* Pyramid Technology Corp. 36,100 465
* Pyxis Corp. 40,000 763
Quaker Chemical Corp. 7,200 133
Quaker State Corp. 40,100 561
Quality Food Centers Inc. 7,200 174
Quanex Corp. 12,100 277
* Quantum Health Resources, Inc. 20,500 587
Queens County Bancorp, Inc. 3,150 83
Quixote Corp. 30,300 333
RFS Hotel Investors 27,700 405
* RPC Energy Services 43,000 328
RPS Realty Trust 113,300 496
* RailTex, Inc. 8,000 188
* Ralcorp Holdings Inc. 37,100 825
* Ralston-Continental Baking 58,200 218
* Read-Right Corp. 53,900 997
* Reading & Bates Corp. 61,400 368
Real Estate Investment
Trust of California 33,200 531
* Recognition International Inc. 69,100 639
* Redman Industries, Inc. 10,200 170
Regal-Beloit Corp. 47,000 640
* Regal Cinemas, Inc. 7,950 200
* Regional Acceptance Corp. 32,700 339
Reinsurance Group of America, Inc. 22,500 554
Reliance Group Holdings 63,500 325
* ReLife Inc. Class A 26,700 657
* Ren Corp. 46,400 609
* Renaissance Communications 24,700 685
* Respironics, Inc. 27,000 631
* Rex Stores Corp. 30,800 501
Richfood Holdings, Inc. 45,100 722
* Riggs National Corp. 47,500 392
Rival Manufacturing Co. 30,700 530
River Forest Bancorp, Inc. 10,000 331
Robbins & Myers, Inc. 23,900 418
* Robert Half International, Inc. 24,800 595
* Roberts Pharmaceuticals 13,100 413
Rochester Community Savings Bank 41,000 636
Rock-Tenn Co. 37,400 669
* Rollins Environmental Services, Inc. 99,637 486
Rollins Truck Leasing 54,825 651
Roosevelt Financial Group 42,500 635
Roper Industries Inc. 22,400 560
Ross Stores, Inc. 35,200 396
Rouge Steel Co. Class A 17,500 505
* Rowan Cos., Inc. 123,500 756
* Royal Appliance Manufacturing Co. 115,100 403
Ruddick Corp. 24,600 470
Russ Berrie, Inc. 38,300 527
* Ryan's Family Steak Houses, Inc. 74,600 555
Rykoff-Sexton, Inc. 22,500 458
Ryland Group, Inc. 21,800 327
* SCI Systems, Inc. 39,300 702
SCOR U.S. Corp. 16,000 134
SEI Corp. 25,400 432
SFFED Corp. 35,700 433
* SPS Technologies, Inc. 14,900 378
SPX Corp. 11,800 196
Safecard Services, Inc. 36,800 695
* Safety First Inc. 18,100 525
St. Joseph Light & Power Co. 16,900 482
St. Mary Land & Exploration Co. 39,000 509
St. Paul Bancorp, Inc. 29,250 508
* Salick Health Care, Inc. 22,400 771
* Sanifill, Inc. 16,500 412
Saul Centers, Inc. 35,900 530
Savannah Foods & Industries, Inc. 36,700 541
* Savoy Pictures Entertainment Inc. 5,700 36
Sbarro, Inc. 15,300 398
* Scholastic Corp. 18,600 951
* Sci-Med Life Systems, Inc. 21,400 1,082
* Sciclone Pharmaceuticals 29,900 199
* Scios Nova, Inc. 56,714 372
Scotsman Industries, Inc. 30,400 521
* Scotts Co. 41,500 654
Seafield Capital Corp. 17,000 572
</TABLE>
48
<PAGE> 89
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Sealed Air Corp. 29,000 $1,051
Sealright Co. 21,700 396
* Security Capital Corp. 15,000 634
Security Capital Industrial Trust 81,300 1,382
Security Connecticut Corp. 28,500 641
Selective Insurance Group 20,400 510
* Sepracor Inc. 85,900 354
* Sequa Corp. Class A 20,500 533
* Sequent Computer Systems, Inc. 42,700 849
Shared Medical Systems Corp. 29,800 982
* Shoe Carnival, Inc. 43,500 212
Shopko Stores, Inc. 58,400 555
* Shorewood Packaging 45,000 917
* Show Biz Pizza Time, Inc. 5,700 44
* Sierra Health Services 22,400 708
Sierra Pacific Resources 42,900 810
* Silicon Valley Group, Inc. 54,600 1,119
Simpson Industries, Inc. 44,700 408
Sizzler International 23,400 140
* Skybox International Inc. 27,700 310
Skyline Corp. 28,900 556
Skywest, Inc. 24,100 298
A.O. Smith Corp. 21,700 532
* Smith International, Inc. 57,700 721
* Smithfield Foods, Inc. 30,800 982
Smiths Food & Drug Center,
Inc. Class B 27,200 683
J.M. Smucker Co. Class A 36,300 871
J.M. Smucker Co. Class B 1,000 23
Snyder Oil Corp. 26,800 399
* Sodak Gaming, Inc. 29,300 450
* Sofamor/Danek Group Inc. 8,600 112
Sonat Offshore Drilling Co. 23,900 424
* Sonic Corp. 24,000 492
South Jersey Industries, Inc. 28,236 512
South West Property Trust 22,000 270
* Southdown, Inc. 25,200 365
Southern California Water Co. 26,700 467
Southern Indiana Gas & Electric 23,133 613
Southwest Gas Corp. 29,600 418
Southwestern Energy Co. 35,800 533
* Southwestern Life Corp. 109,100 280
Sovereign Bancorp, Inc. 47,690 376
* Spacelabs Medical 30,100 696
* Spartan Motors, Inc. 29,100 386
* Spectrum Information
Technologies, Inc. 84,500 145
Speiker Properties, Inc. 27,600 562
* Spelling Entertainment 58,400 628
* Sportmart Inc. 7,800 88
* Sportmart Inc. Class A 7,800 79
* Sports & Recreation 29,400 757
Springs Industries Inc. Class A 13,600 503
* Standard Commercial Tobacco Co. 12,322 148
Standard Motor Products, Inc. 10,000 198
Standard Products Co. 24,725 593
The Standard Register Co. 30,200 521
Standex International Corp. 18,900 593
Stanhome, Inc. 28,700 908
L. S. Starrett Co. Class A 13,400 300
Steel Technologies, Inc. 29,150 372
* Stein Mart, Inc. 27,550 348
* Steris Corp. 28,400 1,061
* Sterling Chemicals, Inc. 44,200 580
* Sterling Software, Inc. 27,555 1,013
Stewart Enterprises, Inc. Class A 30,650 743
Stone & Webster, Inc. 20,500 682
Storage Equities, Inc. 42,700 614
Storage USA, Inc. 25,800 710
* Stratacom, Inc. 31,600 1,110
Strawbridge & Clothier Class A 12,057 273
* Structural Dynamics Research Corp. 700 4
Sumitomo Bank of California 10,584 246
* Summa Four, Inc. 30,600 811
Summit Bancorp 41,140 792
Summit Properties, Inc. 31,900 614
* Summit Technology, Inc. 23,700 675
Sun Television & Appliances 30,600 258
* Sungard Data Systems 27,800 1,063
* Sunrise Medical, Inc. 21,700 599
* Sunshine Mining and Refining Co. 228,600 371
Super Food Services, Inc. 42,300 455
Surgical Care Affiliates, Inc. 43,200 875
* Swift Transportation Co., Inc. 27,000 560
* Swing-n-Slide Corp. 51,200 429
* Symantec Corp. 44,900 789
* Symbol Technologies, Inc. 28,700 886
* Syncor International Corp. 22,500 159
* Synopsys, Inc. 23,400 1,018
* Syratech Inc. 12,400 228
System Software Associates, Inc. 29,100 462
* Systems & Computer
Technology Corp. 42,000 872
* TBC Corp. 39,800 363
TCA Cable Television, Inc. 21,700 469
TCF Financial Corp. 18,200 751
TJ International, Inc. 20,400 367
TNP Enterprises, Inc. 36,600 544
TNT Freightways 24,800 632
TR Financial Corp. 29,100 384
* Tandycrafts, Inc. 31,100 338
* Target Therapeutics, Inc. 12,400 348
* Tatham Offshore, Inc. 28,300 364
Taubman Co. 31,100 303
</TABLE>
49
<PAGE> 90
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Tech Data Corp. 46,600 $ 789
* Tech-Sym Corp. 18,449 434
* Tecnol Medical Products Inc. 42,300 613
* Tejas Gas Corp. 9,600 457
* Tejas Power Corp. Class A 17,200 159
Tejon Ranch Co. 18,600 223
* Telco Systems, Inc. 40,000 673
Teleflex Inc. 21,750 772
* Telios Pharmaceutical, Inc. 120,200 34
Telxon Corp. 49,200 683
Tennant Co. 3,900 185
Terra Industries, Inc. 93,500 970
Tesoro Petroleum Corp. 57,500 532
* Tetra Technologies Inc. 52,900 628
Texas Industries, Inc. 12,660 446
* Theratech, Inc. 31,100 284
* Thermedics, Inc. 46,400 592
* Thermo Cardiosystems Inc. 40,000 640
* Thermo Process Systems 45,400 358
Thermo Remediation, Inc 5,000 82
Thiokol Corp. 27,700 772
* 3DO Co. 26,900 262
Tiffany & Co. 19,250 751
* Timberland Co. 13,700 300
* Tokheim Corp. 11,200 106
* Toll Brothers, Inc. 32,800 324
Tootsie Roll Industries, Inc. 10,349 636
The Topps Co., Inc. 54,425 286
The Toro Co. 11,300 325
* Tracor, Inc. 45,359 553
* Trans World Entertainment Corp. 12,100 98
Transco Energy Co. 58,500 973
Tredegar Industries Inc. 29,800 518
* Tremont Corp. 1,245 15
Trenwick Group Inc. 13,800 585
* Triarc Cos. Inc. 27,500 323
* Trimble Navigation Ltd. 35,900 588
Trinet Corporate Realty Trust, Inc. 14,000 410
True North Communications 13,500 581
The Trust Company of N.J. 47,600 634
Trustco Bank 30,509 625
Trustmark Corp. 31,100 536
* Tucson Electric Power Co. 222,600 696
* Tultex Corp. 104,000 507
* Tyco Toys, Inc. 49,300 277
UMB Financial Corp. 20,427 636
* UNC, Inc. 58,100 349
UNR Industries, Inc. 51,900 334
USLICO Corp. 16,800 340
Union Planters Corp. 33,467 699
* Union Switch and Signal, Inc. 23,400 319
United Bankshares, Inc. 25,600 608
United Carolina Bancshare Corp. 19,000 468
United Cities Gas Co. 27,917 436
United Cos. Finance Corp. 16,951 460
United Dominion Realty 66,900 962
United Fire & Casualty Co. 10,100 432
United Illuminating Co. 19,650 580
* United Insurance Cos., Inc. 19,900 687
* United International Holdings,
Inc. Class A 47,100 807
* United Meridian Corp. 31,600 458
* United Retail 33,500 272
* USAir Group, Inc. 67,300 294
* U.S. Long Distance Corp. 35,600 429
* U.S. Robotics, Inc. 21,300 921
United States Trust Corp. 11,400 721
United Water Resources, Inc. 51,768 654
United Wisconsin 13,500 484
Univar Corp. 28,400 390
Universal Corp. 47,800 950
Universal Health Realty Income 27,100 444
* Universal Health Services Class B 25,500 625
Urban Shopping Centers 8,000 159
* Uromed Corp. 2,600 14
* VLSI Technology, Inc. 50,000 600
* Valassis Communication 55,900 839
Valhi, Inc. 41,500 316
Valmont Industries, Inc. 25,200 425
* Value City Department Stores, Inc. 28,300 248
Value Line, Inc. 12,000 360
* Varco International, Inc. 86,600 541
Varlen Corp. 15,650 401
* Vencor, Inc. 32,700 912
* Ventritex Inc. 29,000 781
Venture Stores, Inc. 24,800 288
* VeriFone, Inc. 32,450 718
* Vertex Pharmaceuticals, Inc. 21,400 318
* Vicor Corp. 21,900 556
* Vicorp Restaurants, Inc. 24,000 429
Victoria Bank 19,500 431
* Viewlogic Systems, Inc. 24,100 443
Vigoro Corp. 17,300 519
Vital Signs, Inc. 20,200 222
* Vivra, Inc. 28,875 809
* Vivus, Inc. 24,900 373
* Vmark Software, Inc. 29,100 506
WD-40 Co. 9,250 406
* WMS Industries, Inc. 16,750 314
* Waban, Inc. 48,800 866
Wabash National Corp. 23,100 901
Wackenhut Corp. 2,500 33
* Wainoco Oil Corp. 119,000 565
* Wall Data Inc. 12,600 502
</TABLE>
50
<PAGE> 91
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ------------------------------------------------------------------
<S> <C> <C>
* Wang Laboratories, Inc. 27,400 $ 274
Washington Energy Co. 35,579 480
Washington National Corp. 19,190 365
Washington Real Estate
Investment Trust 41,950 676
Waterhouse Investor Services, Inc. 1,900 23
* Weatherford International, Inc. 73,000 712
Del E. Webb Corp. 30,296 534
* Webco Industries, Inc. 26,600 226
* Welbilt Corp. 11,100 370
* Wellcare Management Group, Inc. 6,700 166
Wellsford Residential Property Trust 23,325 490
West Co., Inc. 26,300 723
* West Marine, Inc. 2,500 47
* Westcott Communications 33,600 424
Western Bank 14,665 194
* Western Digital Corp. 62,800 1,052
Western Investment Real Estate Trust 53,700 691
* Western Publishing Group, Inc. 55,300 525
* Western Waste Industries 36,200 543
* Westpoint Stevens, Inc. 31,200 445
* White River 17,126 522
Whitney Holdings 24,050 532
* Whittaker Corp. 32,900 666
Wicor, Inc. 23,600 670
* Williams Sonoma, Inc. 27,563 834
* Windmere Corp. 53,867 424
Winnebago Industries, Inc. 52,200 502
* Wisconsin Central
Transportation Corp. 24,000 984
Wiser Oil Co. 29,800 425
Wolohan Lumber Co. 31,290 469
Woodhead Industries, Inc. 34,700 555
Worthen Banking Corp. 16,300 444
Wyle Laboratories 22,700 443
* Wyman Gordon Corp. 58,900 364
Yellow Corp. 31,800 763
York Financial Corp. 11,011 173
* Zale Corp. 46,400 554
* Zebra Technologies Class A 14,100 553
* Zenith Electronics Corp. 56,700 659
* Zenith Laboratories 40,200 985
Zenith National Insurance Corp. 21,200 482
Zero Corp. 50,500 707
* Zilog Inc. 26,150 768
Zions Bancorp. 18,600 667
Zurn Industries, Inc. 17,300 311
- ------------------------------------------------------------------
TOTAL COMMON STOCKS (97.5%)(1)
(Cost $549,119) 590,417
- ------------------------------------------------------------------
<CAPTION>
Face Market
Amount Value
(000) (000)+
- ------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (2.4%)
- ------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.395%, 3/23/95 $400 $ 395
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.90%, 1/3/95 14,108 14,108
- ------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $14,503) 14,503
- ------------------------------------------------------------------
TOTAL INVESTMENTS (99.9%)
(Cost $563,622) 604,920
- ------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (.1%)
- ------------------------------------------------------------------
Other Assets--Notes B and F 28,634
Liabilities--Note F (28,178)
----------
456
- ------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------
Applicable to 40,390,090 outstanding
shares of beneficial interest
(unlimited authorization) $605,376
- ------------------------------------------------------------------
NET ASSET VALUE PER SHARE $14.99
==================================================================
</TABLE>
+ See Note A to Financial Statements.
(1)The combined market value of common stocks, New York Stock
Exchange Composite Index, Standard & Poor's Midcap 400 Index,
and Russell 2000 Index futures contracts represents 99.7% of
net assets.
*Non-Income Producing Security.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
AT DECEMBER 31, 1994, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------
Amount Per
(000) Share
------- -----
<S> <C> <C>
Paid in Capital $567,290 $14.04
Overdistributed Net
Investment Income (566) (.01)
Accumulated Net
Realized Losses--Note E (2,931) (.07)
Unrealized Appreciation of
Investments--Note D 41,583 1.03
- ------------------------------------------------------------------
NET ASSETS $605,376 $14.99
- ------------------------------------------------------------------
</TABLE>
51
<PAGE> 92
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees
Vanguard Index Trust
Extended Market Portfolio, Total Stock Market Portfolio
Growth Portfolio, Value Portfolio and Small Capitalization Stock 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 1994 Annual Report present
fairly, in all material respects, the financial position of the Extended Market
Portfolio, Total Stock Market Portfolio, Growth Portfolio, Value Portfolio and
Small Capitalization Stock Portfolio of Vanguard Index Trust (hereafter referred
to as the "Fund") at December 31, 1994, 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 LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 31, 1995
F400-12/94
52
<PAGE> 93
EDGAR APPENDIX
This appendix describes the components of the printed version of this
report that do not translate into a format acceptable to the EDGAR system.
The front cover of the printed version of this report features the
Vanguard ship in the crashing sea.
A small picture of a rear view of the Vanguard ship crashing through
the sea appears at the top of the inside covers of the report.
A running head featuring a sextant appears on pages one through seven.
A photograph of John C. Bogle appears at the lower-right of page one.
A line chart depicting Cumulative Performance of the Value Stocks
versus Growth Stocks and Large Stocks versus Smaller Stocks for the period
1990-1994 at the top of page two.
A line chart depicting Cumulative Performance of the Standard & Poor's
500 Index, Vanguard Index Trust 500 Portfolio & the average general Equity Fund
for the period December 31, 1984 to December 31, 1994.
A bar chart depicting Growth and Value Funds versus Index Trust 500.
Annual Performance Margin over one decade December 1984 to December 1994
appears at the top of page 5.
A running head featuring a lantern appears on pages 8 through 13.
A line chart depicting Cumulative Performance of the Extended Market
Portfolio for the period December 31, 1987, to December 31, 1994, including
average annual total returns, appears at the top of page eight.
A line chart depicting Cumulative Performance Total Stock Market
Portfolio for the period April 30, 1992, to December 31, 1994, including
average annual total returns, appears at the bottom of page eight.
A line chart depicting the Cumulative Performance Growth Portfolio for
the period November 30, 1994, through December 31, 1994, and the Value
Portfolio for the period November 30, 1992 through December 31, 1994 including
average annual total returns, appears at the top of page nine.
A line chart depicting Cumulative Performance of Small Capitalization
Stock Portfolio for the period December 31, 1984, to December 31, 1994,
including average annual total returns, appears at the top of page ten.
A running head featuring a log book and pen appears on pages fourteen
through thirty-five.
A running head featuring a compass appears on page thirty-six.
At the bottom of the inside back cover appears a triangle with the
sides labeled "Risk," "Cost," and "Return."
A seagull in flight is featured at the top of the outside back cover of
the report.
A running head featuring a log book and pen appears on pages 1, 17, 34,
36, 40, and 52 of the "Statement Of Net Assets" section.
