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<PAGE> 1
CHAIRMAN'S LETTER
FELLOW SHAREHOLDER:
During the six months ended June 30, the first half of Vanguard Index Trust's
1995 fiscal year, we participated in the strongest bull market for common
stocks in recent memory. The rally was sharp, sustained, and bereft of even
mild interim setbacks.
What is more, large blue-chip stocks provided the market leadership,
and five of our six Portfolios surpassed the return of the average general
equity fund--in some cases by stunning margins. Our 500 Portfolio, for example,
posted a total return (capital change plus income) of +20.1%, compared to a
return of +16.6% for the average equity fund.
And, if more good news is possible, each Portfolio tracked its target
index with remarkable success, despite bearing transaction costs and operating
expenses. As shown below, our three large stock Portfolios came within 0.1% of
their standards, our medium- and small-stock Portfolios actually exceeded their
standards, and our Total Stock Market Portfolio precisely matched its standard.
The total returns achieved by the Vanguard Portfolios and by their benchmark
standards are shown in the table below:
<TABLE>
<CAPTION>
----------------------------------------------------------------------
Total Return
------------------------------
Six Months Ended June 30, 1995
------------------------------
Comparative
Portfolio Vanguard Index*
----------------------------------------------------------------------
<S> <C> <C>
LARGE STOCKS
500 PORTFOLIO +20.1% +20.2%
GROWTH PORTFOLIO +21.1 +21.2
VALUE PORTFOLIO +19.1 +19.2
----------------------------------------------------------------------
MEDIUM AND SMALL STOCKS
EXTENDED MARKET PORTFOLIO +17.1% +16.8%
SMALLCAP PORTFOLIO +14.5 +14.4
----------------------------------------------------------------------
ALL STOCKS
TOTAL STOCK MARKET PORTFOLIO +19.2% +19.2%
----------------------------------------------------------------------
</TABLE>
* The respective indexes are: The Standard & Poor's 500 Index, the Standard &
Poor's/BARRA Growth and Value Indexes, the Wilshire 4500 Index, the Russell
2000 Index, and the Wilshire 5000 Index. "Standard & Poor's," "S & P 500,"
and "500" are registered trademarks of Standard & Poor's Corporation;
"Wilshire 4500" and "Wilshire 5000" are registered trademarks of Wilshire
Associates; "Russell 2000" is a registered trademark of the Frank Russell
Company.
Detailed per share figures for each Portfolio, including net asset values and
income dividends, are presented in the table that follows this letter.
THE PERIOD IN REVIEW
After a moderately disappointing 1994, the stock market sprung to life as 1995
began. During the past six months, the market has moved upward, week after
week, in virtually straight-line fashion, delighting the bulls and astonishing
the bears. On balance, the Dow Jones Industrial Average rose from 3834 as the
year began to 4556 on June 30.
As usual, there were many opinions as to the source of the market's
surprising strength. In my view, it resulted from a combination of: (1) the
sharp decline in interest rates (the yield on the long-term U.S. Treasury bond
fell from 7.8% to 6.6% during the period, a dip of 120 basis points); (2) the
diminishing threat of additional increases in short-term interest rates by the
Federal Reserve Board; (3) a slight softening in U.S. economic growth,
resulting in continued optimism about the outlook for inflation; (4)
record-breaking corporate profits; and (5) a hint of speculative fever in the
marketplace. Whatever the cause, the total stock market (Wilshire 5000 Index)
provided a return of +19.2% for the six months.
Particularly dramatic was the dominance of the Standard & Poor's 500
Index (and our own 500 Portfolio) over the results achieved by the average
general equity mutual fund. The Index outpaced fully 83% of all professionally
managed equity mutual funds during the past six months--the best ranking that I
can recall. This success follows an equally good 1994, when the Index outpaced
78% of the equity funds.
That said, I would strongly caution you that 1995 still has another
six months to go. I would also caution that these two excellent periods follow
relatively low rankings in 1991-1993, during which the Index outpaced "only"
about 44% of all general equity funds. Much of this improvement in the relative
return of the 500 Index over the past eighteen months is accounted for by a
gradual trend away from more speculative mutual funds, which provided the
market leadership during those three earlier years. During the past year and
one-half, the market leadership has been provided by blue-chip stocks with
large market
1
<PAGE> 2
capitalizations, which, of course, dominate the Standard & Poor's 500 Index.
Nonetheless, even if we refine our comparison to "like-by-like" mutual
fund categories, the performance results of indexing this year are equally
powerful. This table compares the results of each of our six Portfolios with
mutual fund categories that can be deemed relatively comparable:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------
Total Return
----------------------------------------------
Six Months Ended June 30, 1995
----------------------------------------------
Comparable
Portfolio Vanguard Fund Group* Difference
--------------------------------------------------------------------------------------
<S> <C> <C> <C>
LARGE STOCKS
500 PORTFOLIO +20.1% +17.3% +2.8%
GROWTH PORTFOLIO +21.1 +17.5 +3.6
VALUE PORTFOLIO +19.1 +17.0 +2.1
--------------------------------------------------------------------------------------
MEDIUM AND SMALL STOCKS
EXTENDED MARKET PORTFOLIO +17.1% +16.6% +0.5%
SMALLCAP PORTFOLIO +14.5 +15.4 -0.9
--------------------------------------------------------------------------------------
ALL STOCKS
TOTAL STOCK
MARKET PORTFOLIO +19.2% +16.6% +2.6%
--------------------------------------------------------------------------------------
</TABLE>
* Respectively, combined Growth & Income and Growth Funds, Growth Funds, Growth
& Income Funds, MediumCap Funds, SmallCap Funds, and General Equity Funds.
It should go without saying that these absolute and relative returns are
extraordinarily high relative to historical norms and encompass but a six-month
period. Not only should they not be considered predictive of either absolute or
relative future returns, they should be considered as, in both cases,
magnitudes that are unlikely to be repeated with any frequency. Indeed, they
may be far less imposing when the full year 1995 comes to its close.
SUMMING UP
Led by Vanguard, the concept and acceptance of market-index funds now can be
fairly said to have come of age. It is, I confess, a personal delight for me to
see such headlines as in Jane Bryant Quinn's Newsweek column, "INDEXING: FOR
WINNERS ONLY." The secret, as it were, of indexing is simply broad
diversification at low cost. So, measured against comparable mutual funds with
far higher (and in some cases, grossly excessive) costs, it is as certain as
anything in the uncertain world of investing can be that, over an extended
period of time, a market-index fund should provide a significant enhancement in
return over managed equity funds as a group.
Our prospects relative to other equity funds are only part of the game;
the more important part is the future absolute returns provided by stocks. I
emphasize that the 1995 bull market has been so strong and so swift that caution
should be the order of the day. What this means is that long-term investors
should continue to balance stock holdings with holdings of bonds and reserves,
and not attempt to outguess the market by making major, precipitate
reallocations among these three basic classes of financial assets. In our 1994
Annual Report six months ago, we urged you to "stay the course." It proved fine
advice then; we reiterate it now.
Sincerely,
/s/ JOHN C. BOGLE
----------------------
John C. Bogle
Chairman of the Board July 10, 1995
Note: Mutual fund data from Lipper Analytical Services, Inc.
A NOTE OF CAUTION:
With the dominating returns earned during the first half of 1995 by our 500
Portfolio, its monthly cash inflow has more than tripled--to $250 million from
$78 million in the comparable period a year ago. To the extent that our strong
performance over time convinces investors that indexing is a wonderful
long-term strategy, we welcome them to the Trust. But to more speculative
investors and "market timers"--looking at index funds as the latest "hot new
product" and making short-term investments in the Trust, but ready to redeem
their shares at the first sign of performance weakness or stock market
weakness--we urge them to look elsewhere for their investment opportunities.
2
<PAGE> 3
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
-------------------------------------- DIVIDENDS PER SHARE FROM
INDEX TRUST PORTFOLIO DECEMBER 31, 1994 JUNE 30, 1995 NET INVESTMENT INCOME
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $42.97 $51.15 $0.44
EXTENDED MARKET 18.52 21.68 --
TOTAL STOCK MARKET 11.37 13.43 0.12
GROWTH 10.28 12.34 0.10
VALUE 11.12 13.10 0.14
SMALLCAP 14.99 17.17 --
-----------------------------------------------------------------------------------------------------------------
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS--THE AVERAGE ANNUAL TOTAL RETURNS FOR THE
PORTFOLIOS (PERIODS ENDED JUNE 30, 1995) 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 +25.84% +11.85% +14.31% +10.79% +3.52%
EXTENDED MARKET** 12/21/87 +21.33 +12.73 +13.87++ +12.14++ +1.73++
TOTAL STOCK MARKET*** 4/27/92 +24.39 +12.37++ -- -- --
GROWTH* 11/2/92 +30.41 +10.45++ -- -- --
VALUE* 11/2/92 +21.09 +14.99++ -- -- --
SMALLCAP 10/3/60 +19.08 +13.05 + 9.71 + 8.82 +0.89
</TABLE>
ALL OF THESE DATA REPRESENT PAST PERFORMANCE. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT INVESTORS' 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 .5% 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.
+ PERFORMANCE FIGURES ARE ADJUSTED FOR THE 1% TRANSACTION FEE ON PURCHASES
AND THE ANNUAL ACCOUNT MAINTENANCE FEE OF $10.
++ ANNUALIZED RETURN SINCE INCEPTION.
3
<PAGE> 4
TOTAL INVESTMENT RETURN TABLE
The following table illustrates the results of a single-share investment in
VANGUARD INDEX TRUST-500 PORTFOLIO since inception through June 30, 1995.
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> <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
-----------------------------------------------------------------------------------------------------------------------------
1995 (6/30) 51.15 -- .44 149.61 +19.0 +1.1 +20.1 +20.2
-----------------------------------------------------------------------------------------------------------------------------
LIFETIME +948.4% +1,032.1%
-----------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN +13.3% +13.8%
-----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Includes reinvestment of income dividends and any capital gains distributions
for both the Portfolio and the Index. Portfolio performance adjusted for 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.
4
<PAGE> 5
The following table illustrates the results of a single-share investment in
VANGUARD INDEX TRUST-EXTENDED MARKET PORTFOLIO since inception through June 30,
1995. 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*
-----------------------------------------------------------------------------------------------------------------------------------
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 - 0.6% 0.0% - 0.6% + 0.5%
-----------------------------------------------------------------------------------------------------------------------------------
1988 11.60 $.16 $.20 11.96 +17.1 +2.0 +19.1 +20.5
-----------------------------------------------------------------------------------------------------------------------------------
1989 13.92 .23 .23 14.85 +21.5 +1.9 +23.4 +23.9
-----------------------------------------------------------------------------------------------------------------------------------
1990 11.48 .16 .33 12.76 -16.8 +2.3 -14.5 -13.6
-----------------------------------------------------------------------------------------------------------------------------------
1991 15.82 .20 .25 18.10 +38.9 +2.2 +41.1 +43.5
-----------------------------------------------------------------------------------------------------------------------------------
1992 17.35 .18 .25 20.36 +10.3 +1.5 +11.8 +11.9
-----------------------------------------------------------------------------------------------------------------------------------
1993 19.43 .20 .23 23.31 +12.6 +1.3 +13.9 +14.6
-----------------------------------------------------------------------------------------------------------------------------------
1994 18.52 .29 .28 22.90 - 3.7 +1.4 - 2.3 - 2.7
-----------------------------------------------------------------------------------------------------------------------------------
1995 (6/30) 21.68 -- -- 26.80 +16.5 0.0 +16.5 +16.8
-----------------------------------------------------------------------------------------------------------------------------------
LIFETIME +165.6% +171.1%
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN +13.9% +14.2%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Includes reinvestment of income dividends and any capital gains distributions
for both the Portfolio and the Index. Portfolio performance adjusted for the
.5% 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.
5
<PAGE> 6
TOTAL INVESTMENT RETURN TABLE (continued)
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 June 30, 1995, 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 that may be realized from an investment made in the
Portfolio today.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
PERIOD PER SHARE DATA* TOTAL INVESTMENT RETURN**
-----------------------------------------------------------------------------------------------------------------------------------
Small Capitalization Stock Portfolio
Value with Income -------------------------------------- Russell
Year Ended Net Asset Capital Gains Income Dividends & Capital Capital Income Total 2000+
December 31 Value Distributions Dividends Gains Reinvested Return Return Return Total Return
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1976 $11.52 $ .02 $.13 $11.68 +18.8% + 1.5% +20.3% +32.8%
-----------------------------------------------------------------------------------------------------------------------------------
1977 10.99 1.04 .21 12.45 + 3.7 + 1.8 + 5.5 + 7.4
-----------------------------------------------------------------------------------------------------------------------------------
1978 9.72 1.75 .25 13.29 + 3.4 + 2.3 + 5.7 +14.5
-----------------------------------------------------------------------------------------------------------------------------------
1979 11.71 .90 .34 17.87 +29.3 + 3.7 +33.0 +43.1
-----------------------------------------------------------------------------------------------------------------------------------
1980 14.14 2.54 .13 25.74 +41.5 + 1.1 +42.6 +38.6
-----------------------------------------------------------------------------------------------------------------------------------
1981 13.74 -- -- 25.00 - 3.9 0.0 - 3.9 + 2.0
-----------------------------------------------------------------------------------------------------------------------------------
1982 15.67 3.03 .34 36.61 +42.0 + 2.9 +44.9 +24.9
-----------------------------------------------------------------------------------------------------------------------------------
1983 15.97 2.51 -- 43.26 +16.9 0.0 +16.9 +29.1
-----------------------------------------------------------------------------------------------------------------------------------
1984 11.95 -- -- 32.37 -26.0 0.0 -26.0 - 7.3
-----------------------------------------------------------------------------------------------------------------------------------
1985 13.56 .77 .15 39.82 +20.3 + 1.4 +21.7 +31.1
-----------------------------------------------------------------------------------------------------------------------------------
1986 11.70 1.89 -- 39.90 - 0.9 0.0 - 0.9 + 5.7
-----------------------------------------------------------------------------------------------------------------------------------
1987 9.65 1.21 -- 37.11 - 8.0 0.0 - 8.0 - 8.8
-----------------------------------------------------------------------------------------------------------------------------------
1988 11.97 -- .06 46.26 +22.8 + 0.5 +23.3 +24.9
-----------------------------------------------------------------------------------------------------------------------------------
1989 11.07 2.17 .13 51.13 + 8.3 + 1.0 + 9.3 +16.2
-----------------------------------------------------------------------------------------------------------------------------------
1990 8.74 .14 .18 41.86 -20.6 + 1.6 -19.0 -19.5
-----------------------------------------------------------------------------------------------------------------------------------
1991 12.19 .29 .18 60.81 +41.6 + 2.1 +43.7 +46.1
-----------------------------------------------------------------------------------------------------------------------------------
1992 14.07 .15 .18 71.87 +15.5 + 1.4 +16.9 +18.4
-----------------------------------------------------------------------------------------------------------------------------------
1993 15.67 .82 .18 85.31 +16.2 + 1.3 +17.5 +18.9
-----------------------------------------------------------------------------------------------------------------------------------
1994 14.99 .37 .22 84.88 - 2.9 + 1.3 - 1.6 - 1.8
-----------------------------------------------------------------------------------------------------------------------------------
1995 (6/30) 17.17 -- -- 97.25 +13.4 0.0 +13.4 +14.4
-----------------------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL +718.5% +1,585.8%
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN +11.4% +15.6%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Adjusted for 3-for-1 stock split, February 23, 1990.
** Includes reinvestment of income dividends and any capital gains
distributions for both the Portfolio and the Index. Portfolio performance
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 $9.61 on December 31, 1975, the beginning
of the period illustrated. No adjustment has been made for income taxes
payable by shareholders on reinvested income dividends and capital gains
distributions.
6
<PAGE> 7
FINANCIAL STATEMENTS
(unaudited)
JUNE 30, 1995
STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
Market
Value
500 PORTFOLIO Shares (000)+
----------------------------------------------------------------------------------------------
COMMON STOCKS
----------------------------------------------------------------------------------------------
<S> <C> <C>
General Electric Co. 5,353,765 $ 301,819
Exxon Corp. 3,926,309 277,296
AT&T Corp. 5,000,905 265,673
The Coca-Cola Co. 4,006,110 255,390
Royal Dutch Petroleum Co. ADR 1,694,366 206,501
Philip Morris Cos., Inc. 2,670,178 198,594
Wal-Mart Stores, Inc. 7,261,816 194,254
Merck & Co., Inc. 3,908,747 191,529
International Business Machines Corp. 1,835,318 176,191
* Microsoft Corp. 1,837,066 166,025
Intel Corp. 2,617,634 165,565
Procter & Gamble Co. 2,172,541 156,151
Johnson & Johnson 2,039,720 137,936
Motorola, Inc. 1,860,266 124,870
Hewlett-Packard Co. 1,612,490 120,131
E.I. du Pont de Nemours & Co. 1,746,601 120,079
Mobil Corp. 1,250,655 120,063
American International Group, Inc. 998,647 113,846
PepsiCo, Inc. 2,489,198 113,570
General Motors Corp. 2,362,380 110,737
Bristol-Myers Squibb Co. 1,602,540 109,173
GTE Corp. 3,065,760 104,619
Amoco Corp. 1,569,173 104,546
Abbott Laboratories, Inc. 2,522,408 102,158
BellSouth Corp. 1,568,703 99,613
Ford Motor Co. 3,245,592 96,556
Chevron Corp. 2,060,671 96,079
Pfizer, Inc. 998,037 92,194
The Walt Disney Co. 1,646,042 91,561
SBC Communications Inc. 1,920,915 91,484
McDonald's Corp. 2,192,569 85,784
Federal National Mortgage Assn. 862,223 81,372
Bell Atlantic Corp. 1,379,264 77,239
Ameritech Corp. 1,748,516 76,935
Minnesota Mining & Manufacturing Co. 1,327,326 75,989
American Home Products Corp. 973,849 75,352
Sears, Roebuck & Co. 1,227,691 73,508
Citicorp 1,256,222 72,704
Eli Lilly & Co. 924,348 72,561
The Boeing Co. 1,079,531 67,606
Unilever NV ADR 505,863 65,825
Eastman Kodak Co. 1,075,631 65,210
Dow Chemical Co. 871,163 62,615
Gillette Co. 1,400,688 62,506
BankAmerica Corp. 1,183,033 62,257
U.S. West Inc. 1,487,501 61,917
Columbia/HCA Healthcare Corp. 1,400,015 60,551
Home Depot, Inc. 1,432,881 58,211
Chrysler Corp. 1,166,565 55,849
Atlantic Richfield Co. 508,192 55,774
American Express Co. 1,567,339 55,053
NYNEX Corp. 1,345,647 54,162
Texaco, Inc. 820,972 53,876
Emerson Electric Co. 737,691 52,745
Capital Cities/ABC, Inc. 486,514 52,544
* Oracle Corp. 1,362,969 52,474
Schering-Plough Corp. 1,176,014 51,892
Kellogg Co. 694,796 49,591
* Viacom International Class B 1,065,571 49,416
Time Warner, Inc. 1,200,635 49,376
* Tele-Communications Inc. Class A 2,063,328 48,230
Schlumberger Ltd. 765,560 47,560
Southern Co. 2,103,284 47,061
MCI Communications Corp. 2,148,379 46,996
Anheuser-Busch Co., Inc. 810,250 46,083
NationsBank, Inc. 857,772 45,998
* AirTouch Communications, Inc. 1,562,274 44,525
Travelers Group Inc. 1,010,579 44,213
WMX Technologies Inc. 1,529,319 43,394
Sara Lee Corp. 1,515,969 43,205
* Cisco Systems, Inc. 849,105 42,880
J.P. Morgan & Co., Inc. 592,862 41,574
The Seagram Co. Ltd. 1,178,404 40,802
Caterpillar, Inc. 631,877 40,598
Banc One Corp. 1,247,029 40,217
Allied Signal, Inc. 898,614 39,988
Lockheed Martin Corp. 631,328 39,853
Xerox Corp. 338,234 39,658
Texas Instruments, Inc. 294,515 39,428
Pacific Gas & Electric Co. 1,359,566 39,427
Federal Home Loan Mortgage Corp. 571,340 39,280
ITT Corp. 333,628 39,201
Campbell Soup Co. 787,473 38,586
* COMPAQ Computer Corp. 827,059 37,528
Sprint Corp. 1,101,435 37,036
Warner-Lambert Co. 426,079 36,803
Chemical Banking Corp. 761,379 35,975
Union Pacific Corp. 648,793 35,927
Pacific Telesis Group 1,340,331 35,854
Micron Technology Inc. 648,670 35,596
J.C. Penney Co., Inc. 734,609 35,261
General Re Corp. 259,022 34,677
</TABLE>
7
<PAGE> 8
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
----------------------------------------------------------------------------------------------
<S> <C> <C>
International Paper Co. $ 400,428 $ 34,337
Computer Associates International, Inc. 506,145 34,291
H.J. Heinz Co. 769,637 34,153
* Amgen, Inc. 418,247 33,564
Colgate-Palmolive Co. 458,118 33,500
May Department Stores Co. 785,110 32,680
Monsanto Co. 360,987 32,534
Baxter International, Inc. 882,665 32,107
----------------------------------------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 7,965,677
----------------------------------------------------------------------------------------------
Rockwell International Corp. 684,512 31,316
Weyerhaeuser Co. 650,191 30,640
United Technologies Corp. 389,975 30,467
Archer-Daniels-Midland Co. 1,631,098 30,379
Kimberly-Clark Corp. 506,620 30,334
Raytheon Co. 389,069 30,201
Norwest Corp. 1,024,041 29,441
Northern Telecom Ltd. 801,029 29,238
Merrill Lynch & Co., Inc. 556,228 29,202
Automatic Data Processing, Inc. 455,637 28,648
CPC International, Inc. 462,357 28,551
Aluminum Co. of America 563,090 28,225
Barrick Gold Corp. 1,116,804 28,199
The Dun & Bradstreet Corp. 535,935 28,137
Medtronic, Inc. 364,719 28,129
Norfolk Southern Corp. 417,114 28,103
Wells Fargo & Co. 155,566 28,041
PPG Industries, Inc. 651,691 28,023
AMP, Inc. 662,758 28,002
Enron Corp. 795,410 27,939
McDonnell Douglas Corp. 360,630 27,678
Phillips Petroleum Co. 828,032 27,636
ConAgra, Inc. 775,618 27,050
Duke Power Co. 647,523 26,872
The Chase Manhattan Corp. 561,212 26,377
Tenneco, Inc. 571,490 26,289
General Mills, Inc. 499,757 25,675
* Toys R Us, Inc. 876,292 25,632
Dean Witter Discover & Co. 533,811 25,089
CSX Corp. 332,237 24,959
Georgia-Pacific Corp. 286,428 24,848
The Limited, Inc. 1,128,991 24,838
First Union Corp. 543,638 24,600
Texas Utilities Co. 713,851 24,539
The Bank of New York Co., Inc. 603,500 24,366
Browning-Ferris Industries, Inc. 672,889 24,308
SCEcorp 1,413,308 24,203
Gannett Co., Inc. 442,724 24,018
Albertson's, Inc. 802,926 23,887
American Brands, Inc. 596,865 23,725
Corning, Inc. 723,930 23,709
Scott Paper Co. 478,580 23,690
KeyCorp 750,912 23,560
Deere & Co. 273,415 23,411
* Novell, Inc. 1,157,955 23,014
* Applied Materials, Inc. 266,100 22,951
Occidental Petroleum Corp. 1,002,980 22,943
United Healthcare Corp. 547,366 22,647
FPL Group, Inc. 586,298 22,646
Loews Corp. 186,200 22,530
Aetna Life & Casualty Co. 356,416 22,410
The Chubb Corp. 274,800 22,018
Consolidated Edison Co. of New York, Inc. 742,535 21,905
American General Corp. 647,375 21,849
First Data Corp. 378,688 21,538
Alcan Aluminium Ltd. 710,195 21,483
Public Service Enterprise Group Inc. 773,395 21,462
Unocal Corp. 771,787 21,321
SunTrust Banks, Inc. 363,146 21,153
Kmart Corp. 1,444,254 21,122
Upjohn Co. 546,039 20,681
American Electric Power Co., Inc. 586,593 20,604
* Silicon Graphics, Inc. 501,122 19,982
Dominion Resources, Inc. 546,138 19,934
Illinois Tool Works, Inc. 360,836 19,846
The Goodyear Tire & Rubber Co. 479,116 19,764
Placer Dome Group, Inc. 753,790 19,693
Air Products & Chemicals, Inc. 352,654 19,660
Walgreen Co. 388,958 19,497
PECO Energy Corp. 700,940 19,363
Wachovia Corp. 541,081 19,344
First Interstate Bancorp. 240,149 19,272
Mellon Bank Corp. 462,955 19,271
Nike, Inc. Class B 228,140 19,164
PNC Bank Corp. 722,303 19,051
* Digital Equipment Corp. 464,140 18,914
Marsh & McLennan Cos., Inc. 230,326 18,685
USX-Marathon Group 939,272 18,551
UST, Inc. 619,228 18,422
Pitney Bowes, Inc. 477,277 18,316
W.R. Grace & Co. 297,865 18,281
Mattel, Inc. 698,791 18,169
Unicom Corp. 678,235 18,058
Hercules, Inc. 368,687 17,973
Burlington Northern, Inc. 283,204 17,948
* AMR Corp. 240,294 17,932
Apple Computer, Inc. 382,969 17,760
CIGNA Corp. 228,298 17,722
International Flavors & Fragrances, Inc. 352,652 17,544
</TABLE>
8
<PAGE> 9
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
----------------------------------------------------------------------------------------------
<S> <C> <C>
Houston Industries, Inc. $ 415,093 $ 17,486
Entergy Corp. 719,821 17,366
Honeywell, Inc. 402,160 17,343
R.R. Donnelley & Sons Co. 481,079 17,319
Wm. Wrigley, Jr. Co. 367,395 17,038
First Chicago Corp. 284,543 17,037
Sysco Corp. 576,351 17,002
PacifiCorp 898,531 16,847
* DSC Communications Corp. 361,151 16,794
Fleet Financial Group, Inc. 446,260 16,567
Westinghouse Electric Corp. 1,131,560 16,549
----------------------------------------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 10,237,592
----------------------------------------------------------------------------------------------
TRW, Inc. 205,758 16,435
Dayton-Hudson Corp. 226,568 16,256
Ralston-Purina Group 317,527 16,194
NBD Bancorp, Inc. 506,055 16,194
CoreStates Financial Corp. 456,553 15,922
Central & South West Corp. 604,393 15,865
The Gap, Inc. 454,832 15,862
MBNA Corp. 469,353 15,841
Barnett Banks, Inc. 306,524 15,709
Textron, Inc. 268,938 15,632
Eastman Chemical 262,684 15,630
U.S. Healthcare, Inc. 506,620 15,515
Champion International Corp. 295,714 15,414
Bankers Trust New York Corp. 247,600 15,351
* CUC International, Inc. 365,000 15,330
ALLTEL Corp. 596,699 15,141
Hershey Foods Corp. 274,012 15,139
* Boston Scientific Corp. 474,264 15,117
Household International, Inc. 305,311 15,113
Lowes Cos., Inc. 505,483 15,101
First Fidelity Bancorp. 255,357 15,066
Carolina Power & Light Co. 494,237 14,951
Nucor Corp. 276,213 14,777
Burlington Resources, Inc. 399,817 14,743
Genuine Parts Co. 387,965 14,694
* Sun Microsystems, Inc. 302,134 14,654
Cooper Industries, Inc. 369,936 14,612
Avon Products, Inc. 216,471 14,504
Union Carbide Corp. 433,825 14,479
Amerada Hess Corp. 293,878 14,363
Eaton Corp. 245,934 14,295
* Crown Cork & Seal Co., Inc. 284,961 14,284
Rubbermaid, Inc. 508,476 14,110
Boatmen's Bancshares, Inc. 397,732 13,970
Quaker Oats Co. 422,822 13,900
Marriott International 386,988 13,883
Alco Standard Corp. 173,803 13,883
Loral Corp. 267,530 13,845
Winn Dixie Stores, Inc. 239,669 13,841
Conrail, Inc. 247,559 13,770
Morton International, Inc. 467,784 13,683
H & R Block, Inc. 331,038 13,614
National City Corp. 463,453 13,614
Fluor Corp. 261,510 13,599
Detroit Edison Co. 457,894 13,508
Salomon, Inc. 335,597 13,466
Masco Corp. 496,226 13,398
Bank of Boston Corp. 354,450 13,292
American Stores Co. 469,015 13,191
St. Paul Cos., Inc. 266,695 13,135
Lincoln National Corp. 298,929 13,078
Dover Corp. 179,232 13,039
Tyco International Ltd. 241,276 13,029
CBS, Inc. 193,929 12,993
Phelps Dodge Corp. 219,820 12,969
Shawmut National Corp. 406,366 12,953
Halliburton Co. 360,980 12,905
Engelhard Corp. 300,580 12,887
CINergy Corp. 490,562 12,877
Dresser Industries, Inc. 576,010 12,816
Union Camp Corp. 221,440 12,816
Whirlpool Corp. 232,609 12,794
Ingersoll-Rand Co. 333,829 12,769
Transamerica Corp. 219,057 12,760
Tribune Co. 207,815 12,755
Great Lakes Chemical Corp. 210,395 12,676
* Promus Co., Inc. 323,999 12,636
Becton, Dickinson & Co. 211,802 12,337
Santa Fe Pacific Corp. 480,821 12,261
Newell Co. 499,279 12,232
* Advanced Micro Devices, Inc. 332,256 12,086
* Cabletron Systems, Inc. 226,500 12,061
Tandy Corp. 232,076 12,039
Union Electric Corp. 322,738 12,022
The McGraw-Hill Cos. 157,503 11,951
Delta Air Lines, Inc. 160,438 11,832
Rohm & Haas Co. 213,798 11,732
Baltimore Gas & Electric Co. 466,239 11,656
Panhandle Eastern Corp. 471,770 11,499
Newmont Mining Corp. 272,158 11,397
Safeco Corp. 199,096 11,373
Melville Corp. 331,380 11,350
Dow Jones & Co., Inc. 305,705 11,273
Williams Cos., Inc. 320,201 11,167
Pioneer Hi Bred International 267,452 11,166
Consolidated Natural Gas Co. 294,260 11,108
Providian Corp. 304,831 11,050
Clorox Co. 167,644 10,939
Ohio Edison Co. 482,248 10,911
Praxair, Inc. 436,204 10,905
* National Semiconductor Corp. 392,346 10,888
General Public Utilities Corp. 364,300 10,838
Southwest Airlines Co. 453,761 10,834
</TABLE>
9
<PAGE> 10
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
----------------------------------------------------------------------------------------------
<S> <C> <C>
VF Corp. $ 200,615 $ 10,783
UNUM Corp. 229,390 10,753
* Federal Express Corp. 176,670 10,733
Nordstrom, Inc. 259,895 10,721
Hilton Hotels Corp. 152,396 10,706
The Mead Corp. 178,110 10,575
Inco Ltd. 370,370 10,463
----------------------------------------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 11,563,870
----------------------------------------------------------------------------------------------
Dillard Department Stores Class A 355,937 10,456
Reynolds Metals Co. 197,955 10,244
Coastal Corp. 331,325 10,064
Premark International, Inc. 192,874 10,005
* Price/Costco Inc. 613,588 9,971
Northern States Power Co. of Minnesota 213,141 9,831
* Computer Sciences Corp. 172,823 9,829
Harcourt General, Inc. 228,491 9,711
Circuit City Stores, Inc. 303,887 9,610
Service Corp. International 302,515 9,567
Sherwin-Williams Co. 268,178 9,554
* Lotus Development Corp. 149,420 9,526
* The Kroger Co. 350,907 9,431
W.W. Grainger, Inc. 160,401 9,424
Westvaco Corp. 211,904 9,377
* Tellabs, Inc. 193,500 9,288
Interpublic Group of Cos., Inc. 246,308 9,237
Sun Co., Inc. 336,803 9,220
Dana Corp. 318,779 9,125
Baker Hughes, Inc. 444,171 9,106
Louisiana-Pacific Corp. 346,189 9,087
* Tenet Healthcare Corp. 629,179 9,044
Knight-Ridder, Inc. 157,531 8,960
Hasbro, Inc. 277,257 8,803
General Dynamics Corp. 198,307 8,800
Golden West Financial Corp. 186,388 8,784
Great Western Financial Corp. 425,456 8,775
Kerr-McGee Corp. 162,885 8,735
Deluxe Corp. 259,842 8,607
Mallinckrodt Group, Inc. 241,408 8,570
Reebok International Ltd. 251,532 8,552
Torchmark Corp. 225,291 8,505
Times Mirror Co. Class A 353,093 8,430
Parker Hannifin Corp. 232,402 8,425
Temple-Inland Inc. 176,614 8,411
Laidlaw Inc. Class B 873,100 8,404
Jefferson-Pilot Corp. 152,646 8,357
Sonat, Inc. 273,051 8,328
Cyprus Amax Minerals Co. 291,604 8,311
USX-U.S. Steel Group 241,430 8,299
Black & Decker Corp. 268,312 8,284
Pall Corp. 366,868 8,163
H.F. Ahmanson & Co. 368,867 8,115
Northrop Grumman Corp. 155,416 8,101
Nalco Chemical Co. 214,530 7,804
* FMC Corp. 115,565 7,772
Sigma Aldrich Corp. 157,551 7,720
Bausch & Lomb, Inc. 183,113 7,599
U.S. Bancorp 310,172 7,444
* Western Atlas Inc. 167,402 7,428
Beneficial Corp. 167,175 7,356
* St. Jude Medical, Inc. 146,974 7,349
Johnson Controls, Inc. 129,000 7,289
Brown-Forman Corp. Class B 218,107 7,279
The Dial Corp. 293,754 7,270
Comcast Corp. Class A Special 390,704 7,228
New York Times Co. Class A 306,202 7,196
Homestake Mining Co. 435,878 7,192
James River Corp. 258,753 7,148
* Andrew Corp. 121,774 7,032
Moore Corp. Ltd. 313,365 6,933
Ashland Inc. 196,616 6,906
Pennzoil Co. 146,032 6,882
American Greetings Corp. Class A 234,817 6,868
Rite Aid Corp. 265,482 6,803
Avery Dennison Corp. 168,407 6,736
Niagara Mohawk Power Corp. 456,140 6,728
Comcast Corp. Class A 366,742 6,647
Echlin, Inc. 187,168 6,504
Cooper Tire & Rubber Co. 264,325 6,443
Whitman Corp. 331,671 6,426
Autodesk, Inc. 150,516 6,397
SuperValu, Inc. 219,453 6,392
Pacific Enterprises 259,562 6,359
* Woolworth Corp. 418,788 6,334
Harris Corp. 122,424 6,320
* Stone Container Corp. 284,636 6,049
* ALZA Corp. 258,062 6,032
Boise Cascade Corp. 148,115 5,999
Ryder System, Inc. 249,053 5,946
General Signal Corp. 149,471 5,941
* Tandem Computers, Inc. 365,601 5,895
Armstrong World Industries Inc. 117,326 5,881
* Unisys Corp. 537,589 5,846
* Varity Corp. 132,829 5,844
Worthington Industries, Inc. 286,028 5,828
Polaroid Corp. 142,208 5,795
Roadway Services, Inc. 122,852 5,743
Wendy's International, Inc. 320,783 5,734
Manor Care Inc. 196,585 5,726
Paccar, Inc. 122,431 5,693
* Biomet, Inc. 366,069 5,628
* Bethlehem Steel Corp. 346,340 5,628
Cummins Engine Co., Inc. 128,525 5,607
</TABLE>
10
<PAGE> 11
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
----------------------------------------------------------------------------------------------
<S> <C> <C>
* Owens-Corning Fiberglas Corp. $ 149,976 $ 5,530
Allergan, Inc. 201,513 5,466
Maytag Corp. 338,142 5,410
* Darden Restaurants Inc. 496,657 5,401
Mercantile Stores Co., Inc. 115,874 5,388
The Stanley Works 140,176 5,309
----------------------------------------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 12,322,399
----------------------------------------------------------------------------------------------
Scientific-Atlanta, Inc. 241,112 5,304
* Ceridian Corp. 143,616 5,296
Raychem Corp. 137,967 5,294
Giant Food, Inc. Class A 186,520 5,293
Pep Boys (Manny, Moe & Jack) 193,525 5,177
Ecolab, Inc. 210,676 5,162
Brunswick Corp. 301,688 5,129
Snap-On Inc. 132,269 5,125
Liz Claiborne, Inc. 239,624 5,092
USF&G Corp. 310,657 5,048
* Columbia Gas Systems, Inc. 158,961 5,047
* Fruit of the Loom, Inc. 238,500 5,038
Tektronix, Inc. 101,940 5,021
Santa Fe Pacific Gold Corp. 412,955 5,007
Harnischfeger Industries Inc. 144,489 5,003
C.R. Bard, Inc. 163,859 4,916
Millipore Corp. 70,978 4,791
Federal Paper Board Co., Inc. 134,339 4,752
* King World Productions, Inc. 115,351 4,672
Perkin-Elmer Corp. 131,579 4,671
* Inland Steel Industries, Inc. 152,834 4,661
The Timkin Co. 97,825 4,512
* Oryx Energy Co. 324,817 4,466
National Service Industries, Inc. 151,847 4,385
The BF Goodrich Co. 81,402 4,365
NICOR, Inc. 159,887 4,297
Teledyne Inc. 174,541 4,276
Thomas & Betts Corp. 61,815 4,227
Bemis Co., Inc. 161,831 4,208
Louisiana Land & Exploration Co. 105,087 4,190
Amdahl Corp. 371,918 4,138
McDermott International, Inc. 169,337 4,085
ASARCO, Inc. 132,906 4,054
Foster Wheeler Corp. 112,610 3,969
Potlatch Corp. 91,883 3,836
United States Surgical Corp. 179,802 3,753
* Beverly Enterprises Inc. 299,386 3,705
ENSERCH Corp. 210,860 3,611
* Navistar International Corp. 236,068 3,570
Russell Corp. 122,641 3,526
Crane Co. 94,823 3,437
Ogden Corp. 153,728 3,363
Alexander & Alexander Services, Inc. 139,923 3,341
* Viacom International Class A 71,693 3,334
Ball Corp. 94,466 3,294
Briggs & Stratton Corp. 93,655 3,231
Echo Bay Mines Ltd. 354,314 3,189
Trinova Corp. 90,755 3,176
Great Atlantic & Pacific Tea Co., Inc. 120,417 3,176
Pittston Services Group 130,390 3,129
Fleming Cos., Inc. 117,161 3,105
Jostens Inc. 143,060 3,040
TJX Cos., Inc. 226,327 2,999
Consolidated Freightways, Inc. 135,494 2,998
Republic New York Corp. 52,700 2,951
Shared Medical Systems Corp. 72,584 2,912
Safety-Kleen Corp. 180,352 2,908
USLIFE Corp. 71,724 2,887
Cincinnati Milacron, Inc. 106,039 2,863
Fleetwood Enterprises, Inc. 144,110 2,846
Bruno's Inc. 244,614 2,844
EG & G, Inc. 169,053 2,832
Peoples Energy Corp. 109,209 2,826
* Santa Fe Energy Resources Inc. 282,072 2,680
Alberto-Culver Co. Class B 86,626 2,620
Centex Corp. 88,979 2,514
NorAm Energy Corp. 386,193 2,510
Longs Drug Stores, Inc. 64,443 2,417
Pulte Corp. 84,188 2,357
Springs Industries Inc. Class A 62,749 2,337
Helmerich & Payne, Inc. 77,400 2,283
* Armco, Inc. 330,995 2,234
Meredith Corp. 86,212 2,188
First Mississippi Corp. 63,976 2,183
John H. Harland Co. 95,265 2,179
* USAir Group, Inc. 186,101 2,163
* Rowan Cos., Inc. 263,699 2,142
* Cray Research, Inc. 78,886 1,923
Adolph Coors Co. Class B 119,659 1,914
Giddings & Lewis, Inc. 107,472 1,908
Eastern Enterprises 63,746 1,904
ONEOK, Inc. 84,212 1,800
* Bally Entertainment Corp. 146,836 1,799
Charming Shoppes, Inc. 323,832 1,700
NACCO Industries, Inc. Class A 28,006 1,677
Stride Rite Corp. 155,663 1,615
Yellow Corp. 88,236 1,599
* Intergraph Corp. 142,611 1,586
* Community Psychiatric Centers 137,154 1,543
* Shoney's Inc. 129,643 1,523
Luby's Cafeterias, Inc. 75,001 1,509
Kaufman & Broad Home Corp. 101,806 1,476
* Ryan's Family Steak Houses, Inc. 168,007 1,302
Brown Group, Inc. 56,254 1,280
</TABLE>
11
<PAGE> 12
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
----------------------------------------------------------------------------------------------
<S> <C> <C>
Outboard Marine Corp. $ 62,505 $ 1,227
Bassett Furniture Industries, Inc. 44,082 1,212
* Data General Corp. 116,804 1,124
* Zenith Electronics Corp. 147,163 1,085
Handleman Co. 105,442 1,015
* M/A-Com, Inc. 83,312 979
Zurn Industries, Inc. 37,961 759
* Morrison-Knudsen Co., Inc. 101,638 686
Skyline Corp. 34,943 633
SPX Corp. 13,097 149
Allstate Corp. 2,600 77
----------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (98.6%)(1)
(Cost $9,836,681) 12,645,563
----------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.5%)
----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
--------------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.68%, 9/21/95 $ 9,000 8,885
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 6.13%, 7/3/95 191,338 191,338
----------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $200,223) 200,223
----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(Cost $10,036,904) 12,845,786
----------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.1%)
----------------------------------------------------------------------------------------------
Other Assets--Notes B and E 163,525
Liabilities--Note E (180,551)
------------
(17,026)
----------------------------------------------------------------------------------------------
NET ASSETS (100%)
----------------------------------------------------------------------------------------------
Applicable to 250,784,765 outstanding
shares of beneficial interest
(unlimited authorization) $12,828,760
----------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $51.15
==============================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks and Standard & Poor's 500
Index futures contracts represents 100.0% of net assets.
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
AT JUNE 30, 1995, NET ASSETS CONSISTED OF:
----------------------------------------------------------------------------------------------
Amount Per
(000) Share
------------ -------
<S> <C> <C>
Paid in Capital--Note C $ 9,958,881 $39.71
Undistributed Net
Investment Income 51,542 .21
Accumulated Net
Realized Gains--Note C 4,278 .01
Unrealized Appreciation of
Investments--Note D 2,814,059 11.22
----------------------------------------------------------------------------------------------
NET ASSETS $12,828,760 $51.15
----------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 13
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
EXTENDED TOTAL STOCK
500 PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended Six Months Ended
June 30, 1995 June 30, 1995 June 30, 1995
(000) (000) (000)
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . . $ 143,203 $ 8,739 $ 11,083
Interest . . . . . . . . . . . . . . . . . . 4,298 771 813
---------------------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . . 147,501 9,510 11,896
---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . . $ 12 $ 23 $ 23
Management and Administrative . . . . . 8,478 808 705
Marketing and Distribution . . . . . . . 1,072 9,562 97 928 106 834
------- ---- -----
Taxes (other than income taxes) . . . . . . 441 46 37
Custodians' Fees . . . . . . . . . . . . . . 82 32 39
Auditing Fees . . . . . . . . . . . . . . . 14 5 4
Shareholders' Reports . . . . . . . . . . . 340 32 22
Annual Meeting and Proxy Costs . . . . . . . 62 5 6
Trustees' Fees and Expenses . . . . . . . . 21 2 2
---------------------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . . 10,522 1,050 944
---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . . 136,979 8,460 10,952
---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . . . 48,095 23,86 11,727
Futures Contracts . . . . . . . . . . . . . 12,47 63,435 2,642
---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . . 60,571 27,296 4,369
---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities . . . . . . . . . . . 1,776,113 132,947 151,229
Futures Contracts . . . . . . . . . . . . . 5,222 (47) 621
---------------------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation) 1,781,335 132,900 151,850
---------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . $1,978,885 $168,656 $167,171
=================================================================================================================================
</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, are included as an insert to this
Report.
13
<PAGE> 14
STATEMENT OF OPERATIONS (continued)
<TABLE>
<CAPTION>
SMALL
GROWTH VALUE CAPITALIZATION
PORTFOLIO PORTFOLIO STOCK PORTFOLIO
--------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended Six Months Ended
June 30, 1995 June 30, 1995 June 30, 1995
(000) (000) (000)
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . . $ 1,140 $ 5,544 $ 5,211
Interest . . . . . . . . . . . . . . . . . . 43 20 537
--------------------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . . 1,183 5,564 5,748
--------------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . . $11 $ 11 $ 23
Management and Administrative . . . . . 74 218 474
Marketing and Distribution . . . . . . . 12 38 69
--- 97 ----- 267 ----- 566
Taxes (other than income taxes) . . . . . . 4 21 29
Custodians' Fees . . . . . . . . . . . . . . 7 6 9
Auditing Fees . . . . . . . . . . . . . . . 4 4 4
Shareholders' Reports . . . . . . . . . . . 5 14 26
Annual Meeting and Proxy Costs . . . . . . . 1 2 6
Trustees' Fees and Expenses . . . . . . . . -- 1 1
--------------------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . . 118 315 641
--------------------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . . 1,065 5,249 5,107
--------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . . . 530 1,4692 9,632
Futures Contracts . . . . . . . . . . . . . -- -- 2,179
--------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . . 530 1,4693 1,811
--------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities . . . . . . . . . . . 21,317 48,520 53,709
Futures Contracts . . . . . . . . . . . . . -- -- (41)
--------------------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation) 21,317 48,520 53,668
--------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . $22,912 $55,238 $90,586
================================================================================================================================
</TABLE>
14
<PAGE> 15
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
EXTENDED
500 PORTFOLIO MARKET PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS Year Ended SIX MONTHS Year Ended
ENDED December 31, ENDED December 31,
JUNE 30, 1995 1994 JUNE 30, 1995 1994
(000) (000) (000) (000)
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . $ 136,979 $ 238,474 $ 8,460 $ 14,445
Realized Net Gain (Loss) . . . . . . . . . . . 60,571 75,156 27,296 7,145
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . 1,781,335 (203,909) 132,900 (40,984)
----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . . 1,978,885 109,721 168,656 (19,394)
----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . (104,055) (241,914) -- (14,306)
Realized Net Gain . . . . . . . . . . . . . . -- (41,182) -- (14,532)
----------------------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . (104,055) (283,096) -- (28,838)
----------------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . 7,490 6,612 -- --
----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . . . . . . . 2,033,981 2,253,167 102,328 162,133
-- In Lieu of Cash Distributions . . 93,155 253,074 -- 25,477
-- Exchange . . . . . . . . . . . . 400,591 497,745 20,827 51,221
Redeemed -- Regular . . . . . . . . . . . . . (705,222) (1,303,119) (36,573) (108,180)
-- Exchange . . . . . . . . . . . . (232,366) (450,500) (25,708) (43,095)
----------------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . 1,590,139 1,250,367 60,874 87,556
----------------------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . . . 3,472,459 1,083,604 229,530 39,324
----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . 9,356,301 8,272,697 967,295 927,971
----------------------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . . $12,828,760 $9,356,301 $1,196,825 $967,295
==================================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . . $.44 $1.17 -- $.28
Realized Net Gain . . . . . . . . . . . -- $.20 -- $.29
----------------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . 51,279 63,748 6,115 11,027
Issued in Lieu of Cash Distributions . . 1,915 5,861 -- 1,361
Redeemed . . . . . . . . . . . . . . . . (20,130) (40,646) (3,149) (7,918)
----------------------------------------------------------------------------------------------------------------------------------
33,064 28,963 2,966 4,470
----------------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income . . . . . . . $ 51,542 $ 11,128 $ 8,452 $ (8)
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 16
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO GROWTH PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS Year Ended SIX MONTHS Year Ended
ENDED December 31, ENDED December 31,
JUNE 30, 1995 1994 JUNE 30, 1995 1994
(000) (000) (000) (000)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . . $ 10,952 $ 15,394 $ 1,065 $ 1,309
Realized Net Gain (Loss) . . . . . . . . . . . . 4,369 2,020 530 (605)
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . . 151,850 (17,224) 21,317 1,364
------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . . . 167,171 190 22,912 2,068
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . . (9,555) (16,257) (1,125) (1,375)
Realized Net Gain . . . . . . . . . . . . . . . -- (2,045) -- --
------------------------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . (9,555) (18,302) (1,125) (1,375)
------------------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . . 476 765 42 72
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . . . . . . . . 227,894 297,642 35,611 28,295
-- In Lieu of Cash Distributions . . . 8,086 15,575 1,011 1,230
-- Exchange . . . . . . . . . . . . . 35,150 54,505 31,416 23,523
Redeemed -- Regular . . . . . . . . . . . . . . (35,468) (41,032) (8,133) (6,206)
-- Exchange . . . . . . . . . . . . . (27,935) (35,941) (10,367) (12,061)
------------------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . . 207,727 290,749 49,538 34,781
------------------------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . . . . 365,819 273,402 71,367 35,546
------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . 785,684 512,282 86,170 50,624
------------------------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . . . $1,151,503 $785,684 $157,537 $86,170
====================================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . . . $.12 $.27 $.10 $.21
Realized Net Gain . . . . . . . . . . . . -- $.03 -- --
------------------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . 21,180 30,586 5,918 5,100
Issued in Lieu of Cash Distributions . . . 632 1,360 86 121
Redeemed . . . . . . . . . . . . . . . . . (5,150) (6,692) (1,621) (1,805)
------------------------------------------------------------------------------------------------------------------------------------
16,662 25,254 4,383 3,416
------------------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income . . . . . . . . $ 1,733 $ (140) $ (27) $ (9)
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 17
<TABLE>
<CAPTION>
VALUE PORTFOLIO
----------------------------------------------------------------------------------------------------------------------
SIX MONTHS Year Ended
ENDED December 31,
JUNE 30, 1995 1994
(000) (000)
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,249 $ 9,443
Realized Net Gain (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . 1,469 (656)
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,520 (12,580)
----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . . . . . . . . . . . . . . . . . . . . 55,238 (3,793)
----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . (3,674) (9,813)
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- (3,804)
----------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . (3,674) (13,617)
----------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . . . . . . . . . . . . . . . 120 439
----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,879 98,962
-- In Lieu of Cash Distributions . . . . . . . . . . . . . . . . 3,183 12,449
-- Exchange . . . . . . . . . . . . . . . . . . . . . . . . . . 22,260 121,956
Redeemed -- Regular . . . . . . . . . . . . . . . . . . . . . . . . . . . (12,506) (30,216)
-- Exchange . . . . . . . . . . . . . . . . . . . . . . . . . . (47,215) (79,362)
----------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . . . . . . . . . . . . . . . . . . 12,601 123,789
----------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,285 106,818
----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . . . . . . . . . . 296,929 190,111
----------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $361,214 $296,929
======================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . $.14 $.38
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . -- $.16
----------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,662 19,012
Issued in Lieu of Cash Distributions . . . . . . . . . . . . . . . . 257 1,092
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,051) (9,604)
----------------------------------------------------------------------------------------------------------------------
868 10,500
----------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . $ 1,735 $ 40
----------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 18
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO
---------------------------------------------------------------------------------------------------------------
SIX MONTHS February 1* to
ENDED December 31,
JUNE 30, 1995 1994
(000) (000)
---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . $ 5,107 $ 7,747
Realized Net Gain (Loss) . . . . . . . . . . . . . . . . . . . . . . 31,811 11,761
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . . . . . . . . . . . . 53,668 (43,795)
----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . . . . . . . . . . . . . . . 90,586 (24,287)
----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . -- (8,533)
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . . . . -- (14,353)
----------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . . . . . . . . . . . . . -- (22,886)
----------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . . . . . . . . . . . . . . -- --
----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued -- Regular . . . . . . . . . . . . . . . . . . . . . . . . 78,294 126,799
-- In Lieu of Cash Distributions . . . . . . . . . . . . . -- 20,700
-- Exchange . . . . . . . . . . . . . . . . . . . . . . . 36,743 57,267
Redeemed -- Regular . . . . . . . . . . . . . . . . . . . . . . . . (31,484) (42,135)
-- Exchange . . . . . . . . . . . . . . . . . . . . . . . (32,821) (43,471)
----------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . . . . . . . . . . . . . . . 50,732 119,160
----------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . . . . . . . . . . . . . . . . 141,318 71,987
----------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . . . . . . . 605,376 533,389
----------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . . . . . . . . . . . . . $746,694 $605,376
================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . . . . . . . . . . . . . -- $.22
Realized Net Gain . . . . . . . . . . . . . . . . . . . . . . -- $.37
----------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,183 11,690
Issued in Lieu of Cash Distributions . . . . . . . . . . . . . -- 1,405
Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,092) (5,550)
----------------------------------------------------------------------------------------------------------------
3,091 7,545
----------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income . . . . . . . . . . . . . . . . . . . . $ 4,541 $ (566)
----------------------------------------------------------------------------------------------------------------
</TABLE>
* See Note F to Financial Statements.
18
<PAGE> 19
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
500 PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED -----------------------------------------------
For a Share Outstanding Throughout Each Period JUNE 30, 1995 1994 1993 1992 1991 1990
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $42.97 $43.83 $40.97 $39.32 $31.24 $33.64
------ ------ ------ ------ ------ -------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . .60 1.18 1.13 1.12 1.15 1.17
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . . . . . 8.02 (.67) 2.89 1.75 8.20 (2.30)
----- ------- ----- ----- ----- -------
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . . 8.62 .51 4.02 2.87 9.35 (1.13)
------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . . . . (.44) (1.17) (1.13) (1.12) (1.15) (1.17)
Distributions from Realized Capital Gains . . . . . . -- (.20) (.03) (.10) (.12) (.10)
------ ------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . . . (.44) (1.37) (1.16) (1.22) (1.27) (1.27)
------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . $51.15 $42.97 $43.83 $40.97 $39.32 $31.24
==============================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . . . +20.12% +1.18% +9.89% +7.42% +30.22% -3.32%
------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . $12,829 $9,356 $8,273 $6,547 $4,345 $2,173
Ratio of Expenses to Average Net Assets . . . . . . . . . .20%* .19% .19% .19% .20% .22%
Ratio of Net Investment Income
to Average Net Assets . . . . . . . . . . . . . . . . 2.52%* 2.72% 2.65% 2.81% 3.07% 3.60%
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . 4%+* 6%+ 6%+ 4%+ 5%+ 23%+
------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
+ Portfolio turnover rates excluding in-kind redemptions were 3%, 4%, 2%, 1%,
1%, and 6%, respectively.
19
<PAGE> 20
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
EXTENDED MARKET PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED -----------------------------------------------
For a Share Outstanding Throughout Each Period JUNE 30, 1995 1994 1993 1992 1991 1990
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . $18.52 $19.43 $17.35 $15.82 $11.48 $13.92
------ ------- ------- ------- ------- -------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . .15 .28 .23 .24 .25 .30
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . . . . . 3.01 (.62) 2.28 1.72 4.54 (2.25)
------ ------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS . . . . . . . . 3.16 (.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 Period . . . . . . . . . . . . $21.68 $18.52 $19.43 $17.35 $15.82 $11.48
==============================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . . . . +17.06% -1.76% +14.49% +12.47% +41.85% -14.05%
------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
------------------------
Net Assets, End of Period (Millions) . . . . . . . . . . $1,197 $967 $928 $585 $372 $179
Ratio of Expenses to Average Net Assets . . . . . . . . . .20%* .20% .20% .20% .19% .23%
Ratio of Net Investment Income
to Average Net Assets . . . . . . . . . . . . . . . . 1.59%* 1.51% 1.48% 1.73% 2.14% 2.68%
Portfolio Turnover Rate . . . . . . . . . . . . . . . . . 14%* 19% 13% 9% 11% 9%
------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect transaction fees (0.5% in 1995, 1.0%
1990 through 1994) on purchases or the annual account maintenance fee of
$10.
20
<PAGE> 21
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO
--------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED ------------------------ March 16 to
For a Share Outstanding Throughout Each Period JUNE 30, 1995 1994 1993 December 31, 1992
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . $11.37 $11.69 $10.84 $10.00
------ ------ ------- ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . .14 .27 .26 .23
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . . . 2.04 (.29) .88 .84
----- ------ ------- ------
TOTAL FROM INVESTMENT OPERATIONS . . . . . 2.18 (.02) 1.14 1.07
--------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . (.12) (.27) (.26) (.23)
Distributions from Realized Capital Gains . . . . -- (.03) (.03) --
----- ------ ------- -------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . (.12) (.30) (.29) (.23)
--------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . $13.43 $11.37 $11.69 $10.84
==========================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . +19.23% -0.17% +10.62% +10.41%
--------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
------------------------
Net Assets, End of Period (Millions) . . . . . . . $1,152 $786 $512 $275
Ratio of Expenses to Average Net Assets . . . . . . .20%* .20% .20% .21%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . 2.29%* 2.35% 2.31% 2.42%*
Portfolio Turnover Rate . . . . . . . . . . . . . . 2%* 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 measurement
begins on April 27, 1992.
21
<PAGE> 22
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
GROWTH PORTFOLIO
--------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED -------------------------- November 2 to
For a Share Outstanding Throughout Each Period JUNE 30, 1995 1994 1993 December 31, 1992
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . $10.28 $10.20 $10.26 $10.00
------ ------ ------- ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . .10 .21 .21 .06
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . . . 2.06 .08 (.06) .26
------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS . . . . . 2.16 .29 .15 .32
--------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . (.10) (.21) (.21) (.06)
Distributions from Realized Capital Gains . . . . -- -- -- --
------- ------- ------- ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . (.10) (.21) (.21) (.06)
--------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . $12.34 $10.28 $10.20 $10.26
==========================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . +21.06% +2.89% +1.53% +3.19%
--------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
------------------------
Net Assets, End of Period (Millions) . . . . . . . $158 $86 $51 $21
Ratio of Expenses to Average Net Assets . . . . . . .20%* .20% .20% 0%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . 1.77%* 2.08% 2.10% 2.85%*
Portfolio Turnover Rate . . . . . . . . . . . . . . 23%* 28% 36% 2%
--------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
22
<PAGE> 23
<TABLE>
<CAPTION>
VALUE PORTFOLIO
--------------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED -------------------------- November 2 to
For a Share Outstanding Throughout Each Period JUNE 30, 1995 1994 1993 December 31, 1992
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . $11.12 $11.74 $10.30 $10.00
------- ------- ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . .20 .38 .38 .07
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . . . 1.92 (.46) 1.50 .30
------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS . . . . . 2.12 (.08) 1.88 .37
--------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . . (.14) (.38) (.38) (.07)
Distributions from Realized Capital Gains . . . . -- (.16) (.06) --
------- ------- ------- ------
TOTAL DISTRIBUTIONS . . . . . . . . . . . . (.14) (.54) (.44) (.07)
--------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . $13.10 $11.12 $11.74 $10.30
==========================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . . +19.14% -0.73% +18.35% +3.70%
--------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
------------------------
Net Assets, End of Period (Millions) . . . . . . . $361 $297 $190 $24
Ratio of Expenses to Average Net Assets . . . . . . .20%* .20% .20% 0%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . . 3.29%* 3.37% 3.26% 3.46%*
Portfolio Turnover Rate . . . . . . . . . . . . . . 26%* 32% 30% 4%
--------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
23
<PAGE> 24
Financial Highlights (continued)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO(1)
------------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS Feb. 1 to Oct. 1, 1993 Year Ended September 30,
ENDED Dec. 31, to Jan. 31, -------------------------------------
For a Share Outstanding Throughout Each Period(2) JUNE 30,1995 1994 1994 1993 1992 1991 1990
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . $14.99 $16.24 $16.23 $12.63 $12.03 $8.55 $11.88
------ ------- ------- ------- ------- ------ -------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . .11 .20 .05 .20 .19 .20 .17
Net Realized and Unrealized
Gain (Loss) on Investments . . . . . . 2.07 (.86) .96 3.73 .88 3.60 (3.46)
TOTAL FROM INVESTMENT
------ ------- ------- ------- ------- ------ -------
OPERATIONS . . . . . . . . . . . 2.18 (.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 . . . . . . $17.17 $14.99 $16.24 $16.23 $12.63 $12.03 $8.55
====================================================================================================================================
TOTAL RETURN(3) . . . . . . . . . . . +14.54% -4.00% +6.65% +31.60% +9.34% +45.91% -27.73%
------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
------------------------
Net Assets, End of Period (Millions) . . . $747 $605 $533 $432 $202 $111 $40
Ratio of Expenses to Average Net Assets . . .20%* .17%* .18%* .18% .18% .21% .31%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . 1.55%* 1.50%* 1.16%* 1.47% 1.65% 2.11% 1.91%
Portfolio Turnover Rate . . . . . . . . . . 43%* 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 F 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.
24
<PAGE> 25
NOTES TO FINANCIAL STATEMENTS
Vanguard Index Trust is registered under the Investment Company Act of 1940 as
a diversified open-end investment company, and consists of the 500, Extended
Market, Total Stock Market, Growth, Value, and Small Capitalization Stock
Portfolios.
A. The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in the preparation of financial
statements.
1. SECURITY VALUATION: Securities listed on an exchange are valued at the
latest quoted sales prices as of 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 require 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.
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
25
<PAGE> 26
NOTES TO FINANCIAL STATEMENTS (continued)
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. Capital gains
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.
B. The Vanguard Group, Inc. furnishes at cost investment advisory,
corporate management, administrative, marketing and distribution services. The
costs of such services are allocated to the Trust under methods approved by the
Board of Trustees. At June 30, 1995, the Trust had contributed capital of
$2,105,000 to Vanguard (included at cost in Other Assets), representing 10.5%
of Vanguard's capitalization. The Trust's officers and trustees are also
officers and directors of Vanguard.
C. During the six months ended June 30, 1995, 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 $1,685,439 $205,123
EXTENDED MARKET 146,794 71,591
TOTAL STOCK MARKET 216,030 9,109
GROWTH 63,305 13,662
VALUE 60,414 42,305
SMALL CAPITALIZATION STOCK 201,937 138,867
-------------------------------------------------------
</TABLE>
During the six months ended June 30, 1995, the 500 Portfolio realized
$37,290,000 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.
At December 31, 1994, the 500, Growth, Value, and Small Capitalization Stock
Portfolios had available realized capital losses of $20,475,000, $1,220,000,
$2,105,000, and $2,551,000 to offset future net capital gains.
D. At June 30, 1995, unrealized appreciation of investment securities for
financial reporting and Federal income tax purposes was:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
(000)
--------------------------------------------------
Appreciated Depreciated Net Unrealized
Portfolio Securities Securities Appreciation
-------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $2,971,593 $(162,711) $2,808,882
EXTENDED MARKET 309,506 (54,747) 254,759
TOTAL STOCK MARKET 209,712 (27,668) 182,044
GROWTH 24,361 (780) 23,581
VALUE 49,507 (5,580) 43,927
SMALL CAPITALIZATION
STOCK 134,805 (39,798) 95,007
-------------------------------------------------------------------------------
</TABLE>
At June 30, 1995, the aggregate settlement value of open futures contracts
expiring in September 1995, the related unrealized appreciation, and the market
value of securities deposited as initial margin for those contracts were:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
(000)
-------------------------------------------------
Market Value
Aggregate of Securities
Settlement Unrealized Deposited as
Portfolio Value Appreciation Initial Margin
-------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $184,937 $5,177 $8,885
EXTENDED MARKET 19,904 427 691
TOTAL STOCK MARKET 27,853 737 987
SMALL CAPITALIZATION
Stock 13,475 244 592
-------------------------------------------------------------------------------
</TABLE>
26
<PAGE> 27
E. The market value of securities on loan to broker/dealers at June 30,
1995, 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 $18,798 $19,016
EXTENDED MARKET 35,467 37,871
TOTAL STOCK MARKET 9,129 9,706
VALUE 830 840
SMALL CAPITALIZATION STOCK 26,265 27,487
-------------------------------------------------------
</TABLE>
F. On January 28, 1994, shareholders of Vanguard Small Capitalization Stock
Fund approved the tax-free reorganization of the Fund as the Small
Capitalization Stock Portfolio of Vanguard Index Trust. Such reorganization was
effective January 31, 1994.
27
<PAGE> 28
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 LifeStrategy Funds
Income Portfolio
Conservative Growth Portfolio
Moderate Growth Portfolio
Growth Portfolio
Vanguard STAR Portfolio
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
[THE VANGUARD GROUP 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.
Q402-6/95
[VANGUARD INDEX TRUST LOGO]
SEMI-ANNUAL REPORT
JUNE 30, 1995
<PAGE> 29
FINANCIAL STATEMENTS
(unaudited)
VANGUARD INDEX TRUST June 30, 1995
STATEMENT OF NET ASSETS
<TABLE>
<CAPTION>
Market
Value
EXTENDED MARKET PORTFOLIO Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
------------------------------------------------------------------------------------------
AAR Corp. 33,300 $ 595
* ABT Building Products Corp. 25,500 446
* ACS Enterprises, Inc. 18,500 330
* ACX Technologies Inc. 7,400 306
* ADC Telecommunications, Inc. 42,700 1,521
* AES Corp. 46,936 892
AFLAC, Inc. 67,388 2,948
AGCO Corp. 13,350 501
* AK Steel Holding Corp. 15,100 411
* ALC Communications 20,800 939
A.L. Pharma Inc. Class A 25,300 474
* APS Holding Corp. 17,900 470
ARCO Chemical Co. 64,700 2,936
* AST Research, Inc. 41,700 644
AT&T Capital Corp. 31,800 851
* Able Telcom Holding Corp. 39,000 222
* Acceptance Insurance Cos. Inc. 32,200 467
* Access Health Marketing, Inc. 17,300 349
* Acclaim Entertainment Inc. 27,400 503
Aceto Corp. 24,826 360
* Acme Electric Corp. 17,100 522
* Acme Metals, Inc. 21,900 342
* Action Performance Cos., Inc. 50,850 439
* Actava Group Inc. 46,500 610
* Acuson Corp. 37,538 455
* Adaptec, Inc. 43,300 1,597
* Addington Resources, Inc. 40,000 580
Adobe Systems, Inc. 45,453 2,648
* Adtran, Inc. 24,800 821
* Advanced Logic Research 18,800 112
* Advanced Mammography Systems, Inc. 18,300 197
* Advanced Marketing Services 4,600 32
* Advanced NMR Systems, Inc. 94,700 243
* Advanced Polymer Systems 72,300 398
* Advanced Surgical, Inc. 31,800 35
* Advanced Technology Laboratories, Inc. 46,137 721
Advanta Corp. Class A 24,700 1,028
ADVO, Inc. 28,675 541
* Agri-Nutrition Group Ltd. 27,100 97
* Air and Water Technologies Corp. Class A 46,198 260
Airborne Freight Corp. 26,910 545
* Airgas, Inc. 21,400 575
Airtran Corp. 43,700 445
* Alaska Air Group, Inc. 27,600 507
Albany International Corp. 31,800 759
Albemarle Corp. 45,602 713
Alex Brown, Inc. 21,020 872
Alexander & Baldwin, Inc. 28,400 639
* Alexander's, Inc. 8,700 483
Alfa Corp. 7,000 84
* Alleghany Corp. 4,302 685
Allegheny Ludlum Corp. 46,629 921
Allegheny Power System, Inc. 81,800 1,922
The Allen Group, Inc. 24,840 736
* Alliance Gaming 52,600 319
* Alliance Pharmaceutical Corp. 36,700 298
* Alliance Semiconductor Corp. 15,000 731
* Alliant Techsystems, Inc. 11,000 459
Allied Capital Commercial Corp. 40,700 712
* Allied Devices Corp. 11,200 42
Allied Products Corp. 37,100 710
* Allied Waste Industries, Inc. 18,700 132
Allmerica Property & Casualty Cos. 38,100 843
* Allou Health & Beauty, Inc. 29,400 239
Allstate Corp. 56,400 1,671
* Allwaste, Inc. 76,446 420
Aloette Cosmetics, Inc. 47,700 149
* Altera Corp. 32,200 1,397
* Alumax, Inc. 28,000 871
* Amax Gold, Inc. 78,237 430
AMBAC, Inc. 21,778 874
Amcast Industrial Corp. 19,300 367
* Amerco Inc. 22,300 446
* America Online, Inc. 20,100 879
American Annuity Group Inc. 43,778 432
American Bankers Insurance Group 10,500 332
American Financial Group, Inc. 35,900 933
* American Freightways 19,100 389
American Insured Mortgage Investors-Series 86 20,000 253
American Maize Products Co. Class A 19,200 650
American Maize Products Co. Class B 3,300 111
* American Management Systems, Inc. 25,417 634
* American Medical Response, Inc. 21,200 594
* American Mobile Satellite Corp., Inc. 12,000 310
American National Insurance Co. 18,550 1,125
* American Power Conversion Corp. 63,500 1,457
American President Cos., Ltd. 18,754 445
</TABLE>
<TABLE>
<S> <C>
THE PORTFOLIO LISTINGS BEGIN ON THE FOLLOWING PAGES:
EXTENDED MARKET PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . 1
TOTAL STOCK MARKET PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . 19
GROWTH PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
VALUE PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
SMALL CAPITALIZATION STOCK PORTFOLIO . . . . . . . . . . . . . . . . . . . . 45
</TABLE>
1
<PAGE> 30
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
American Re Corp. 31,200 $ 1,162
* American Safety Razor Co. 30,800 370
* American Science & Engineering, Inc. 4,500 32
* American Software, Inc. Class A 62,750 329
* American Standard Cos., Inc. 47,100 1,289
* American Travellers Corp. 39,600 695
American Water Works Co., Inc. 20,315 645
* Americredit Corp. 60,900 678
* Amerigas Partners, L.P. 4,400 102
Ameron, Inc. 10,700 388
Ametek, Inc. 31,600 569
Amfed Financial, Inc. 2,957 71
Ampco-Pittsburgh Corp. 49,200 449
* Amphenol Corp. 35,000 1,019
Amre, Inc. 46,300 208
* Amrep Corp. 64,600 444
* Amsco International, Inc. 28,100 390
AmSouth Bancorp 40,526 1,322
Amtech Corp. 32,150 201
* Amylin Pharmaceuticals, Inc. 55,100 427
Anadarko Petroleum Corp. 38,600 1,665
* Analog Devices, Inc. 48,896 1,662
* Anchor Gaming 28,700 639
* Andros Inc. 20,600 357
Angelica Corp. 16,400 410
* AnnTaylor Stores Corp. 20,400 474
* Antec Corp. 24,400 398
Anthony Industries, Inc. 24,545 451
Aon Corp. 70,252 2,617
Apache Corp. 48,200 1,319
* Apertus Technologies, Inc. 28,200 245
Apogee Enterprises, Inc. 31,700 559
* Aphton Corp. 25,300 275
Applebee's International, Inc. 36,000 925
* Applied Bioscience International, Inc. 59,400 312
* Apria Healthcare 22,780 638
Aptargroup Inc. 24,200 777
Aquarion Co. 18,303 421
Arbor Drugs, Inc. 34,950 568
Arcadian Partners, L.P. 7,000 193
Argonaut Group, Inc. 15,419 488
* Argosy Gaming Co. 41,700 529
Arkansas Best Corp. 39,100 347
Armor All Products Corp. 28,300 481
Arnold Industries, Inc. 25,100 447
* Arrow Electronics, Inc. 38,450 1,913
Arrow International, Inc. 20,200 846
* Artisoft, Inc. 37,700 311
Arvin Industries, Inc. 21,700 486
* Ascend Communications, Inc. 15,000 759
Ashland Coal Inc. 19,200 514
Associated Estates Realty Corp. 23,500 496
* Associated Group Inc. Class A 7,675 138
* Associated Group Inc. Class B 5,775 105
Astro-Med, Inc. 38,150 436
* Astrosystems, Inc. 48,700 222
* Atari Corp. 113,100 311
* Guy F. Atkinson Co. of California 37,800 361
Atlanta Gas Light Co. 15,200 528
Atlantic Energy, Inc. 33,300 629
Atlantic Southeast Airlines Inc. 21,500 649
* Atlas Corp. 55,105 90
* Atmel Corp. 35,000 1,940
* Atrix Laboratories, Inc. 54,823 404
* Atwood Oceanics, Inc. 29,500 476
* Aurora 68,925 224
* Autofinance Group Inc. 43,820 712
* Autotote Corp. 30,900 101
* AutoZone, Inc. 101,000 2,538
Avalon Properties 19,200 382
* Avatar Holding, Inc. 13,700 495
* Avecor Cardiovascular, Inc. 24,000 323
Aviall Inc. 47,200 395
* Avid Technology, Inc. 9,200 344
Avnet, Inc. 26,500 1,282
* Avondale Industries, Inc. 33,800 279
* Aydin Corp. 20,300 297
* Aztar Corp. 72,100 667
BHA Group Class A 22,300 293
* BHC Communications, Inc. Class A 17,300 1,390
* BJ Services Co. 26,000 591
BMC Industries, Inc. 31,352 788
* BMC Software, Inc. 16,350 1,259
BSB Bancorp, Inc. 16,350 497
* BTG Inc. 25,900 241
BW/IP Inc. 30,400 559
* Baby Superstore, Inc. 12,450 587
Badger Meter, Inc. 13,000 307
Bairnco Corp. 49,700 211
J. Baker, Inc. 24,500 245
Baldor Electric Co. 23,820 682
Baldwin & Lyons, Inc. Class B 29,400 463
Ballard Medical Products 45,466 591
Bancorp Hawaii, Inc. 26,301 789
Bandag, Inc. 16,662 1,041
Bandag, Inc. Class A 300 17
Bank South Corp. 44,140 977
Bankers Life Holding Corp. 32,400 616
BanPonce Corp. 19,522 695
Banta Corp. 12,250 412
* Barnes & Noble Inc. 23,500 799
* Barnwell Industries, Inc. 13,400 254
* Barrett Business Services, Inc. 21,400 294
* Basin Exploration Inc. 38,400 228
</TABLE>
2
<PAGE> 31
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Battle Mountain Gold Co. Class A 50,100 $ 482
* Bay Networks 79,090 3,262
* Bay Ridge Bancorp, Inc. 17,700 368
BayBanks, Inc. 11,900 945
Bear Stearns Co., Inc. 80,477 1,720
Bearings, Inc. 13,600 416
BeautiControl Cosmetics 34,450 379
Beckman Instruments 18,900 527
* Bed Bath and Beyond 20,500 498
* Beeba's Creations, Inc. 61,414 261
* Bel Fuse, Inc. 18,500 208
Belden Inc. 18,200 491
A. H. Belo Corp. Class A 25,400 778
* Ben & Jerry's Homemade, Inc. Class A 26,200 364
* Benson Eyecare Corp. 51,942 526
* Benson Financial Corp. 20,000 261
Bergen Brunswig Corp. Series A 35,173 805
W.R. Berkley Corp. 11,300 404
* Berkshire Hathaway 808 18,948
Berkshire Realty Co., Inc. 16,400 162
* Berlitz International, Inc. 29,426 434
Berry Petroleum Class A 42,800 417
* Best Buy, Inc. 32,300 860
Betz Laboratories, Inc. 17,900 810
BIC Corp. 14,800 581
Bindly Western Industries, Inc. 28,400 451
Binks Manufacturing Co. 15,550 395
* Bio-Rad Labs, Inc. Class A 22,000 792
Biocraft Laboratories 24,900 470
* Biogen, Inc. 21,269 949
* Biomatrix, Inc. 49,300 293
* Biospecifics Technology 40,800 240
* Biotechnology General 107,200 322
* Biowhittaker Inc. 48,799 366
Birmingham Steel Corp. 21,450 397
Blair Corp. 13,200 454
E.W. Blanch Holdings, Inc. 24,800 462
Blessings Corp. 28,700 359
Block Drug Co. Class A 19,409 672
Blount, Inc. 6,800 303
Bob Evans Farms, Inc. 26,016 530
* Boise Cascade Office Products Corp. 15,400 343
* Bolt Beranek and Newman, Inc. 34,400 942
* Bombay Co. 52,062 410
Borg-Warner Automotive, Inc. 21,600 616
* Borland International, Inc. 41,929 545
Boston Bancorp 13,200 559
* Boston Chicken, Inc. 31,200 755
Boston Edison Co. 28,600 747
* Boston Technology, Inc. 47,500 888
Bowater, Inc. 22,649 1,016
* Boyd Gaming Corp. 34,100 567
W.H. Brady Class A 10,500 711
Breed Technological Inc. 24,200 581
* Brinker International, Inc. 43,763 755
* Broadway & Seymour, Inc. 23,900 487
* Broderbund Software 12,900 821
Brooke Group Ltd. 30,300 163
* Brooklyn Bancorp, Inc. 14,800 496
Brooklyn Union Gas Co. 29,050 763
* Brothers Gourmet Coffees, Inc. 21,800 164
Brush Wellman, Inc. 27,900 596
* Buffets Inc. 52,100 713
* Builders Transport, Inc. 28,000 319
* Burlington Coat Factory Warehouse Corp. 51,750 537
* Burlington Industries 42,000 483
Burlington Resources Coal Seamgas Royalty Trust 23,100 364
* Burr-Brown Corp. 39,900 1,077
* Bush Boake Allen, Inc. 2,800 85
Bush Industries, Inc. 23,062 259
CBI Industries, Inc. 24,159 607
CCB Financial Corp. 13,500 567
CCH Inc. Class A 6,100 134
CCH Inc. Class B 29,300 626
CCP Insurance, Inc. 22,100 503
* C-Cor Electronics, Inc. 21,600 599
* CDW Computer Centers, Inc. 15,300 776
* CII Financial, Inc. 53,700 463
CIPSCO, Inc. 21,500 642
CKE Restaurants Inc. 43,000 387
CMAC Investment Corp. 18,500 802
* CMGI Information Services, Inc. 17,600 337
CML Group, Inc. 32,650 257
CMS Energy Corp. 59,339 1,461
* CNA Financial Corp. 41,700 3,602
CPI Corp. 26,300 503
* C-TEC Corp. 14,800 368
* C-TEC Corp. Class B 11,100 275
* Cablevision Systems Corp. Class B 10,500 669
Cabot Corp. 26,300 1,387
Cabot Oil & Gas Corp. 33,264 457
* Cadence Design Systems, Inc. 28,500 923
* Cadiz Land Co., Inc. 37,600 169
* Calgene, Inc. 59,700 414
Calgon Carbon Corp. 41,300 501
* California Energy Co. 33,592 550
* California Federal Bank Class A 53,980 708
Callaway Golf Co. 41,800 627
* Callon Peteroleum Co. 26,500 267
Calmat Co. 31,300 649
* Calumet Bancorp, Inc. 13,500 363
Camco International, Inc. 13,800 323
* Canandaigua Wine Co., Inc. Class A 13,900 620
</TABLE>
3
<PAGE> 32
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Canandaigua Wine Co., Inc. Class B 6,375 $ 284
Capital One Financial Corp. 92,752 1,809
Capital Realty Investors Tax Exempt Fund (Series III) 8,300 105
Capitol American Financial Corp. 28,200 642
Caraustar Industries, Inc. 6,700 122
Cardinal Health, Inc. 29,262 1,383
Caremark International, Inc. 44,200 884
Carlisle Co., Inc. 17,500 669
* Carmike Cinemas, Inc. Class A 19,300 468
Carnival Cruise Lines, Inc. 195,528 4,570
Carpenter Technology Corp. 10,200 695
* Carrington Labs Inc. 34,900 825
Carter-Wallace, Inc. 21,800 248
* Cascade Communications Corp. 16,300 703
Case Corp. 49,200 1,464
Casey's General Stores 41,600 741
Cash America International Inc. 52,200 385
* Casino Magic Corp. 48,700 271
A.M. Castle & Co. 30,525 553
* Catalina Lighting, Inc. 37,300 214
* Catalina Marketing Corp. 11,000 590
* Catellus Development Corp. 125,901 803
Cato Corp. Class A 30,000 238
* Cellular Communications Series A 11,800 534
* Celtrix Labs 82,500 219
Centerbank Connecticut 39,200 563
Centerior Energy Corp. 90,800 874
Centerpoint Properties Corp. 20,300 419
* Centocor, Inc. 44,600 641
* Central Cooperative Bank 27,100 298
Central Fidelity Banks, Inc. 24,550 743
Central Hudson Gas & Electric Corp. 23,400 632
Central Louisiana Electric Co. 21,192 498
Central Maine Power Co. 29,367 349
Central Newspapers Inc. 14,750 437
* Central Sprinkler Corp. 33,425 802
Central Vermont Public Service Corp. 31,000 430
Centura Banks, Inc. 10,800 301
* Century Communications Corp. Class A 53,481 508
Century Telephone Enterprises, Inc. 38,477 1,092
* Cerner Corp. 14,500 881
* Chalone Wine Group Ltd. 56,800 415
* Chambers Development Co. Class A 53,600 345
* Chambers Development Co. Class B 18,400 116
Chaparral Steel Co. 54,500 538
Charter One Financial 27,900 685
* Charter Medical Corp. 15,500 252
Chateau Properties, Inc. 2,000 42
* Checkers Drive-In Restaurant 58,800 112
* Checkpoint Systems, Inc. 26,900 599
Chelsea GCA Realty, Inc. 18,700 505
Chemed Corp. 14,400 500
* Chemical Fabrics Corp. 30,750 504
Chesapeake Corp. of Virginia 24,483 762
* Cheyenne Software, Inc. 33,300 616
* Chic by H.I.S., Inc. 27,100 305
* Chico's Fas, Inc. 42,700 187
* Chipcom Corp. 11,300 269
Chiquita Brands International, Inc. 40,165 562
* Chiron Corp. 25,605 1,658
* Chock Full O'Nuts Corp. 58,408 402
* Cholestech Corp. 4,800 12
* Chris-Craft Industries, Inc. 18,157 636
* Christiana Cos., Inc. 16,200 433
Church and Dwight, Inc. 20,200 419
Cilcorp, Inc. 17,400 633
Cincinnati Bell, Inc. 42,700 1,078
Cincinnati Financial Corp. 35,855 1,994
Cintas Corp. 32,100 1,148
* Circa Pharmaceuticals Inc. 30,700 979
* Circon Corp. 27,657 532
* Circus Circus Enterprises Inc. 68,759 2,424
* Cirrus Logic 22,800 1,429
Citizens Banking Corp. 20,900 622
Citizens Corp. 21,900 359
* Citizens Utilities Co. Class A 142,110 1,688
* Citizens Utilities Co. Class B 1,116 13
* City National Corp. 62,275 708
Clarcor Inc. 23,600 540
Clayton Homes Inc. 48,103 788
* Clean Harbors Inc. 57,300 222
* Clear Channel Communications 10,800 695
Cleveland-Cliffs Iron Co. 14,800 570
* The Clothestime, Inc. 68,400 197
Coachmen Industries, Inc. 26,900 410
* Coast Savings Financial, Inc. 33,600 693
* Coastal Physician Group, Inc. 20,100 259
* Cobra Golf, Inc. 13,800 436
Coca-Cola Enterprises, Inc. 88,262 1,931
* Code Alarm, Inc. 27,600 190
Coeur D'Alene Mines Corp. 24,600 427
* Cognex Corp. 7,600 305
* Coherent, Inc. 29,223 862
* Coleman Inc. 16,100 572
Collagen Corp. 20,803 354
Collective Bancorp Inc. 29,750 599
* Collins & Aikman Corp. 46,600 419
Colonial Gas Co. 20,240 392
* Coltec Inc. 43,300 747
Columbus Realty Trust 23,900 448
Comair Holdings, Inc. 27,300 1,039
Comdisco, Inc. 24,800 753
</TABLE>
4
<PAGE> 33
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Comerica, Inc. 81,250 $ 2,610
Commerce Bancshares, Inc. 21,285 665
Commerce Group, Inc. 39,600 708
Commercial Assets Inc. 36,900 235
* Commercial Federal Corp. 23,100 631
Commercial Metals Co. 22,066 596
Commonwealth Energy Systems 17,000 642
Communications Systems, Inc. 33,400 580
Community First Bankshares 26,458 448
* Community Healthcare Systems 10,600 359
Compass Bancshares Inc. 22,200 637
* Competitive Technologies, Inc. 45,200 311
* CompUSA, Inc. 22,400 745
Computer Data Systems, Inc. 31,200 339
* Computer Horizons Corp. 43,837 685
* Computer Outsourcing Services, Inc. 57,600 216
Computer Task Group, Inc. 40,700 570
* Compuware Corp. 28,600 883
Comsat Corp. 30,300 595
* Concord EFS, Inc. 5,500 146
* Conestoga Bancorp, Inc. 22,900 401
* Conmed Corp. 30,000 735
* Conner Peripherals, Inc. 42,493 526
Conseco Inc. 17,000 771
* Consilium, Inc. 18,500 183
Consolidated Papers 30,000 1,729
* Consolidated Products Inc. 33,304 433
* Consolidated Stores, Inc. 29,141 608
* Consolidated Technology Group 24,500 24
* Consumer Portfolio Services, Inc. 3,000 57
* Continental Airlines, Inc. 24,000 603
* Continental Materials Corp. 38,600 463
* Continental Medical Systems, Inc. 53,450 514
* Continental Waste Industries, Inc. 19,400 227
* Continuum Co. 11,000 364
* Converse Inc. 35,033 258
* Convex Computer Corp. 70,300 316
* Copley Pharmaceutical, Inc. 24,517 509
* Coram Healthcare Corp. 25,603 362
* Cordis Corp. 11,900 797
Core Industries, Inc. 34,000 366
* Corporate Express, Inc. 22,500 482
* Corporate Renaissance Group, Inc. 5,700 52
* Corrections Corp. of America 37,800 1,299
* Cosmetic Center, Inc. Class A 25,100 193
* Cosmetic Center, Inc. Class B 6,900 57
Countrywide Credit Industries, Inc. 62,279 1,308
* Coventry Corp. 16,100 228
* Cox Communications Class A 144,257 2,795
Cracker Barrel Old Country Stores, Inc. 37,933 785
* Craig Corp. 32,823 336
* Jenny Craig Inc. 44,000 363
Crawford & Co. Class B 22,300 376
* Credence Systems 12,000 360
* Credit Acceptance Corp. 26,200 544
* Cree Research, Inc. 44,900 1,285
Crescent Real Estate Equities, Inc. 11,600 370
Crestar Financial Corp. 24,337 1,193
Crompton & Knowles Corp. 31,300 442
A.T. Cross Co. Class A 27,100 403
* Crown Central Petroleum Corp. Class B 28,400 426
Crown Crafts, Inc. 23,940 395
Cullen/Frost Bankers, Inc. 15,130 615
Curtiss-Wright Corp. 11,800 527
* Custom Chrome 21,400 423
* Cygnus Therapeutic Systems 39,700 399
* Cypress Semiconductor Corp. 32,200 1,304
* Cypros Pharmaceuticals Corp. 56,500 491
* Cyrix Corp. 13,800 331
* Cytec Industries, Inc. 14,600 597
* Cytogen Corp. 68,600 304
* DS Bancor, Inc. 11,970 307
DPL, Inc. 74,375 1,646
DQE Inc. 54,850 1,289
Dames & Moore, Inc. 33,900 441
Danaher Corp. 39,966 1,209
* Darling International, Inc. 15,200 346
Dart Group Corp. Class A 4,700 404
* Data Broadcasting Corp. 2,056 12
* Data Systems & Software, Inc. 29,700 312
* Datascope Corp. 29,000 489
Dauphin Deposit Bank & Trust 19,940 489
* Dave and Busters 5,860 116
* Davidson and Associates, Inc. 9,500 379
Davis Water and Waste Industry, Inc. 44,200 530
Dean Foods Corp. 24,433 684
Deb Shops, Inc. 58,900 199
DeBartolo Realty Corp. 40,900 598
Dekalb Genetics Corp. Class B 14,300 627
* Dell Computer 26,750 1,610
Delmarva Power & Light Co. 36,600 750
Delta & Pine Land Co. 23,500 679
Delta Woodside 42,000 320
Dentsply International 17,200 620
* Department 56 Inc. 18,300 700
Deposit Guaranty Corp. 13,400 519
* Desoto, Inc. 15,900 78
* Destec Energy Inc. 30,601 394
* Detroit Diesel Corp. 28,697 606
Developers Diversified Realty Corp. 10,400 299
Devon Energy Corp. 36,200 778
Dexter Corp. 28,200 666
* Diagnostek, Inc. 37,300 597
Diagnostic Products Corp. 23,600 861
</TABLE>
5
<PAGE> 34
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Dial Page, Inc. 29,600 $ 429
* Diamond Multimedia Systems, Inc. 7,500 153
Diamond Shamrock, Inc. 18,600 479
Diebold, Inc. 19,056 829
* Digi International, Inc. 28,750 643
* Digital Microwave Corp. 41,500 519
* Digital Systems Inc. 38,863 350
* Dime Bancorp Inc. 133,128 1,331
Dimon Inc. 65,650 1,108
* Dionex Corp. 13,300 607
* Discovery Zone, Inc. 46,075 413
Dole Food Co. 39,000 1,136
Dollar General Corp. 48,612 1,537
Donaldson Co., Inc. 28,700 750
Donnelly Corp. 20,950 338
* Donnkenny, Inc. 17,300 344
Douglas & Lomason 21,100 306
* Dove Audio, Inc. 23,600 164
Downey Financial Corp. 26,200 478
* Dravo Corp. 33,961 501
* The Dress Barn, Inc. 41,600 400
* Drexler Technology Corp. 31,200 226
Dreyer's Grand Ice Cream, Inc. 20,900 765
* Drug Emporium, Inc. 62,630 262
Duke Realty Investments 13,400 379
* Dura Pharmaceuticals, Inc. 26,900 504
Duracell International, Inc. 79,075 3,420
* Duracraft Corp. 12,700 335
Duriron Co., Inc. 30,900 699
Duty Free International Inc. 23,526 206
* EA Engineering Sciences and Technology Inc. 41,700 203
* EMC Corp. 142,700 3,460
* EP Technologies, Inc. 4,700 47
* Eagle Finance Corp. 21,500 392
* Eagle Food 24,700 49
* Earth Technology USA 14,800 87
* East Texas Financial Services, Inc. 16,000 224
Eastern Utilities Associates 26,381 597
* Eckerd Corp. 20,200 646
* Ecogen, Inc. 31,200 61
Ecology and Environment, Inc. 6,925 55
Edison Brothers Stores, Inc. 29,300 352
* Edisto Resources Corp. 88,200 639
* Editek Inc. 8,400 24
* Education Alternatives, Inc. 18,400 230
A.G. Edwards & Sons, Inc. 39,498 889
* Egghead, Inc. 52,500 699
* El Paso Electric Co. 107,300 54
El Paso Natural Gas 22,832 651
* Elcor Corp. 22,600 503
* Electromagnetic Sciences, Inc. 39,100 596
* Electronic Arts 30,000 816
* Electronics for Imaging, Inc. 25,500 1,336
* Eljer Industries, Inc. 59,900 307
Emphesys Financial Group, Inc. 14,000 331
Empire District Electric Co. 26,291 457
* Energy Biosystems Corp. 46,000 207
* Energy Conversion Devices, Inc. 34,500 561
Energy North, Inc. 19,184 326
Engineered Support Systems, Inc. 61,800 348
Enron Global Power & Pipelines L.L.C. 14,400 342
Enron Oil & Gas Co. 108,876 2,368
* Ensco International, Inc. 38,150 606
* Enterra Corp. 29,894 628
* Envirometrics, Inc. 21,100 77
* Epic Design Technology, Inc. 11,300 397
* Epitope Inc. 34,400 576
Equifax, Inc. 53,970 1,801
The Equitable Cos. 120,800 2,522
Equitable of Iowa Co. 19,300 634
Equitable Resources, Inc. 21,350 616
Equity Residential Properties Trust 23,400 652
* Equivest Finance, Inc. 34,375 129
Essex County Gas Co. 6,400 149
* Esterline Technologies Corp. 36,000 814
Ethyl Corp. 72,604 771
* Europa Cruises Corp. 48,700 64
* Evergreen Media Corp. 7,682 201
* Exabyte Corp. 31,900 441
Exide Corp. 11,100 477
Expeditors International of Washington, Inc. 21,800 493
* EZCORP, Inc. 40,200 193
* FHP International Corp. 22,952 531
FHP International Corp. Pfd. A 12,640 299
FMC Gold Co. 72,900 292
* FTP Software, Inc. 24,600 744
* Fairchild Corp. 6,700 23
Family Dollar Stores, Inc. 41,200 608
Fastenal Co. 24,000 658
Federal-Mogul Corp. 21,900 400
Federal Realty Investment Trust 17,800 385
Federal Signal Corp. 29,437 637
* Federated Department Stores 122,800 3,162
Ferro Corp. 17,775 471
* Fibreboard Corp. 28,600 686
* Fieldcrest Cannon, Inc. 17,200 372
Fifth Third Bancorp 43,800 2,475
* Figgie International Inc. Class A 36,800 313
* Filene's Basement Corp. 70,050 236
Fina Inc. 17,500 816
Financial Security Assurance Holdings Ltd. 29,300 732
Fingerhut Co. 27,446 429
</TABLE>
6
<PAGE> 35
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
Finova Group, Inc. 17,900 $ 626
First American Corp. (Tenn.) 16,500 593
First American Bank Corp. 40,696 1,511
First Bancorp of Ohio 26,700 711
First Bank System, Inc. 91,706 3,760
First Brands Corp. 13,300 570
First Citizens BancShares Class A 13,100 639
First Colony Corp. 29,600 710
First Commerce Corp. 19,515 576
First Commercial Corp. 12,300 312
First Empire State Corp. 4,200 720
* First Federal Bancshares of Eau Claire, Inc. 18,600 229
* First Federal Financial 34,075 498
First Financial Management 42,340 3,620
First Financial Savings Assn. 34,800 602
First Hawaiian, Inc. 19,700 522
* First Pacific Networks, Inc. 23,500 69
* First Republic Bancorp, Inc. 20,000 255
First Security Corp. 31,075 878
First Tennessee National Corp. 21,000 973
First USA Inc. 38,500 1,708
First Virginia Banks, Inc. 20,442 767
Firstar Corp. 49,908 1,678
FirstFed Michigan Corp. 27,050 761
Firstier Financial Inc. 18,384 683
* Firstmiss Gold, Inc. 52,600 1,065
* FIserv, Inc. 24,950 697
* Flagstar Cos. 66,400 374
Flexsteel Industry 31,000 322
FlightSafety International, Inc. 20,200 985
Florida East Coast Railway Co. 7,200 531
Florida Progress Corp. 64,200 2,006
Florida Rock Industries, Inc. 16,200 460
* Florsheim Shoe Co. 24,415 104
Flowers Industries, Inc. 23,600 466
Fluke Corp. 14,045 590
Food Lion Inc. Class A 276,250 1,640
Food Lion Inc. Class B 46,105 280
* Foodarama Supermarkets, Inc. 22,400 232
Foothill Group 36,400 928
* Fore Systems, Inc. 16,200 486
Foremost Corp. of America 15,900 612
Forest City Enterprise Class A 15,100 579
* Forest Laboratories, Inc. 29,608 1,314
* Fort Howard Corp. 43,600 613
* Foundation Health Co. 37,300 1,007
Fourth Financial Corp. 16,025 533
* FoxMeyer Health Corp. 36,002 644
* Frame Technology 39,000 1,136
* Framingham Savings Bank 42,938 148
Franchise Finance Corp. of America 22,800 490
* Franklin Electronic Publishers, Inc. 14,800 379
* Franklin Quest Co. 12,500 300
Franklin Resources Corp. 55,600 2,474
Fredericks of Hollywood, Inc. Class A 10,000 51
Fredericks of Hollywood, Inc. Class B 24,132 109
* Freeport McMoRan, Inc. 102,546 1,807
Freeport McMoRan Copper & Gold Inc. Class A 43,296 893
Fremont General Corp. 23,485 567
* Fretter Inc. 16,628 31
Frisch's Restaurants, Inc. 28,612 268
* Fritz Cos., Inc. 7,900 464
Frontier Corp. 54,944 1,319
H.B. Fuller Co. 17,850 656
Fulton Financial Corp. 18,880 342
* Fund American Enterprise Holding Co. 5,785 413
G & K Services, Inc. 32,325 618
G & L Realty Corp. 34,000 344
GATX Corp. 12,600 594
GEICO Corp. 46,450 2,630
* GST Telecommunications Inc. 13,000 77
Gainsco, Inc. 48,059 478
Arthur J. Gallagher & Co. 21,400 778
* Gander Mountain, Inc. 29,100 276
* Gartner Group, Inc. 26,400 762
* Gateway 2000 Inc. 50,600 1,154
* Gaylord Container Corp. 35,400 425
Gaylord Entertainment Class A 61,060 1,542
GenCorp, Inc. 42,100 453
* Genentech Inc. 79,773 3,879
General Binding Corp. 29,600 496
* General Datacomm Industries, Inc. 32,100 401
General Growth Properties 22,500 458
* General Instrument 95,200 3,653
General Motors Corp. Class E 208,500 9,070
General Motors Corp. Class H 61,400 2,425
* General Nutrition Cos., Inc. 23,500 820
* Genetics Institute Inc. Depository Shares 15,800 537
* Geneva Steel Class A 39,900 329
* Genlyte Group, Inc. 26,500 156
Genovese Drug Stores, Inc. Class A 35,252 401
* Genrad, Inc. 76,900 586
* Gensia Inc. 69,650 257
* Gentex Corp. 31,000 618
* Genzyme Corp. 18,438 740
* Genzyme Corp. Tissue Repair 25,618 168
Geon Co. 16,800 483
Georgia Gulf Corp. 27,048 882
Gerber Scientific, Inc. 35,900 601
* Geriatric & Medical Cos., Inc. 12,100 30
</TABLE>
7
<PAGE> 36
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Gerrity Oil & Gas Corp. 61,300 $ 207
* Getty Petroleum Corp. 32,232 363
* Gibson Greetings, Inc. 30,000 397
* Gilead Sciences, Inc. 48,400 850
P.H. Glatfelter Co. 26,800 539
* Glenayre Technologies, Inc. 25,875 1,326
* Glendale Federal 66,548 832
* Global Marine Inc. 93,700 539
* Globalink, Inc. 21,200 313
* Gold Reserve Corp. 47,100 306
Golden Enterprises Inc. 47,800 335
* E. Gottschalk & Co., Inc. 44,700 296
Goulds Pumps, Inc. 20,291 444
Graco, Inc. 25,350 681
* Graham-Field Health Products Inc. 74,400 242
* Grand Casinos, Inc. 36,000 1,273
Graphic Industries, Inc. 47,700 480
* Greater New York Savings Bank 46,300 437
Green Mountain Power Corp. 15,251 383
Green Point Financial Corp. 34,300 810
Green Tree Financial Corp. 45,700 2,028
Greif Brothers Corp. Class A 15,800 369
Greiner Engineering, Inc. 24,833 286
* Grist Mill Co. 13,950 153
* Grossmans, Inc. 117,300 279
* Gtech Holdings Corp. 26,200 766
Guaranty National Corp. 25,000 462
* Guidant Corp. 44,300 1,063
Guilford Mills, Inc. 25,650 625
* Gundle Environmental Systems, Inc. 59,900 412
* Gymboree Inc. 15,500 451
HBO and Co. 21,900 1,196
* HMN Financial, Inc. 19,300 267
* Hadco Corp. 50,800 1,257
* Haemonetics Corp. 33,900 653
Hancock Fabrics, Inc. 45,600 416
Handy & Harman 27,800 431
M.A. Hanna Co. 22,050 573
Hannaford Brothers Co. 25,100 715
* Hanover Direct, Inc. 158,800 457
Harley-Davidson, Inc. 50,188 1,223
Harman International Industries, Inc. 15,900 644
Harper Group, Inc. 32,300 533
Harsco Corp. 15,516 818
Hartford Steam Boiler Inspection & Insurance Co. 13,443 597
* Hauser Chemical Research 46,200 247
Hawaiian Electric Industries Inc. 17,035 620
Health and Retirement Properties Trust 35,700 535
Health Care Properties Investors 16,500 528
Health Care REIT, Inc. 6,000 124
* Health Management Associates Class A 30,362 888
* Health Systems 35,500 1,030
* Healthcare & Retirement Corp. 21,100 617
* HealthCare Compare Corp. 30,198 906
* Healthcare Services Group, Inc. 37,300 392
* Healthsource, Inc. 18,900 661
* HEALTHSOUTH Corp. 50,352 875
* Healthwise of America Inc. 17,956 462
Hechinger Co. Class A 54,300 387
* Hecla Mining Co. 56,100 582
* Hector Communications Corp. 35,350 234
Heico Corp. 7,900 137
Heilig-Meyers Co. 29,925 763
* Hein-Werner Corp. 10,072 49
* Helen of Troy Corp. 22,500 464
Helene Curtis, Inc. 17,300 493
* Hemasure, Inc. 10,300 86
Herbalife International 35,600 447
Hibernia Corp. Class A 73,828 655
* High Plains Corp. 48,400 272
Hillenbrand Industries, Inc. 47,350 1,474
* Hillhaven Corp. 17,300 489
* Hinsdale Financial Corp. 12,900 293
* Hitox Corp. of America 40,700 163
Holly Corp. 17,400 402
* Hollywood Casino Corp. 53,100 468
* Hollywood Entertainment Corp. 8,000 361
Home Federal Financial Corp. 27,093 376
* Home Shopping Network, Inc. 58,000 493
* Home Theater Products International, Inc. 1,300 4
Homeowners Group, Inc. 35,000 61
* Hometown Buffet, Inc. 35,550 413
Hon Industries, Inc. 19,300 516
Horace Mann Educators Corp. 17,100 393
* Horizon Healthcare Corp. 26,525 474
Hormel Foods Corp. 51,600 1,348
Horsehead Resource Development Co., Inc. 54,600 256
* Hospitality Franchise Systems, Inc. 29,700 1,028
* Host Marriott 101,650 1,080
Houghton Mifflin Co. 11,100 586
* House of Fabrics, Inc. 49,400 56
Hubbell Inc. Class A 2,000 108
Hubbell Inc. Class B 19,753 1,116
Hughes Supply, Inc. 21,400 471
* Humana, Inc. 109,600 1,932
J.B. Hunt Transport Services, Inc. 24,150 441
Huntington Bancshares Inc. 85,559 1,786
* Hyperion Software Corp. 10,000 451
ICN Pharmaceuticals 34,379 541
IBP, Inc. 31,300 1,362
</TABLE>
8
<PAGE> 37
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* ICOS Corp. 68,500 $ 392
IES Industries, Inc. 17,540 390
* IGI, Inc. 37,600 578
* IHOP Corp. 18,000 468
IMC Global Inc. 18,897 1,023
IMCO Recycling, Inc. 27,500 516
* ITI Technologies, Inc. 7,300 174
* ITT Educational Services, Inc. 5,800 99
Idaho Power Co. 22,800 576
* Identix, Inc. 52,900 334
Ideon Group 23,100 228
IDEX Corp. 12,000 402
* IDEXX Laboratories 19,200 503
Illinois Central Corp. 28,100 969
Illinova Corp. 49,276 1,250
* Image Entertainment, Inc. 54,500 363
* Immulogic Pharmaceutical Corp. 51,900 415
* Immune Response 54,283 232
* Immunex Corp. 31,700 408
* Immunomedics Inc. 98,900 229
* Imo Industries, Inc. 53,000 477
* Imperial Bancorp 37,830 738
* Imperial Credit 30,000 381
* Inacom Corp. 47,996 624
* Incyte Pharmaceuticals, Inc. 12,400 203
Indiana Energy, Inc. 39,000 741
* INDRESSCO Inc. 36,400 564
* Infinity Broadcasting Corp. 31,100 1,038
* Information Resources, Inc. 27,800 389
* Informix Corp. 90,000 2,278
* Innkeepers USA Trust 27,700 242
* Input/Output, Inc. 12,000 432
Integon Corp. 29,050 494
Integra Financial Corp. 21,831 1,062
* Integrated Device Technology Inc. 25,500 1,178
Integrated Health Services, Inc. 12,600 378
* Integrated Silicon Solution, Inc. 7,500 391
Intelligent Electronics Inc. 44,486 603
* Interco Co. 33,700 198
Interface, Inc. 35,100 434
Interface Systems Inc. 22,700 135
* Interlink Electronics Inc. 36,800 508
* Intermet Corp. 63,900 615
* International Cabletel, Inc. 14,400 464
* International Dairy Queen, Inc. Class A 33,612 655
* International Family Entertainment 22,500 354
International Game Technology 82,598 1,270
* International Imaging Materials Inc. 20,600 525
International Multifoods Corp. 29,169 656
International Recovery Corp. 35,550 524
* International Rectifier Corp. 14,400 468
* International Specialty Products, Inc. 56,200 478
* Interpore International 38,200 215
* Intervoice, Inc. 50,200 885
* Intuit, Inc. 13,100 996
Invacare Corp. 16,800 701
* Investment Technology Group, Inc. 25,000 181
Iowa-Illinois Gas & Electric Co. 24,800 543
Ipalco Enterprises, Inc. 24,100 768
Irvine Apartment Communities, Inc. 36,400 628
* Isomedix, Inc. 21,800 294
* Itel Corp. 20,400 796
IVAX Corp. 82,100 2,022
JDN Realty Corp. 18,300 373
* J & J Snack Foods Corp. 29,000 372
J & L Specialty Steel Inc. 24,100 464
JSB Financial 19,299 560
Jackpot Enterprises, Inc. 37,727 382
* Jacobs Engineering Group Inc. 28,800 634
* Jan Bell Marketing Inc. 77,950 180
* Jefferson Savings Bancorp, Inc. 11,400 208
* Jefferson Smurfit Corp. 72,900 957
John Alden Financial Group 21,300 365
John Nuveen Co. Class A 20,943 503
* Jones Apparel Group, Inc. 21,800 651
* Jones Intercable Inc. 17,300 258
* Jupiter National, Inc. 3,000 81
Justin Industries, Inc. 40,100 446
* KFX, Inc. 14,750 57
* KLA Instruments Corp. 17,200 1,331
KN Energy, Inc. 20,850 529
K U Energy Corp. 23,300 649
* K-V Pharmaceutical Co. Class A 15,200 125
* Kaiser Aluminum & Chemical Corp. 62,400 866
Kaman Corp. Class A 40,800 520
Kansas City Power & Light Co. 38,500 881
Kansas City Southern Industries, Inc. 28,538 1,063
Kaydon Corp. 23,300 693
Kellwood Co. 26,600 452
* Kelly Oil Corp. 49,300 268
Kelly Services, Inc. Class A 29,937 763
* KEMET Corp. 12,000 631
Kemper Corp. 21,922 1,022
* KENETECH Corp. 38,500 450
Kennametal, Inc. 25,047 883
* Kent Electronics Corp. 20,250 767
* Kentucky Medical Insurance Co. 35,211 231
* Key Tronic Corp. 44,700 718
* Keystone Consolidated Industries, Inc. 29,550 399
Keystone Financial, Inc. 14,800 415
Keystone International, Inc. 22,025 432
Kimball International, Inc. Class B 15,000 403
Kimco Realty Corp. 11,900 452
* Kinder Care Learning Centers Inc. 35,400 473
</TABLE>
9
<PAGE> 38
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Kinetic Concepts, Inc. 95,700 $ 670
* Kinross Gold Corp. 51,600 387
* Kirby Corp. 35,700 567
Knape & Vogt Manufacturing Co. 20,762 317
* Koger Equity Inc. 16,600 145
* Kohls Corp. 24,900 1,136
* Komag, Inc. 26,000 1,355
* Koo Koo Roo, Inc. 8,200 53
* Kronos, Inc. 12,900 482
* Kulicke & Soffa Industries, Inc. 23,100 1,533
* L.A. Gear Inc. 56,416 134
* LCI International, Inc. 20,000 613
* LDDS Communications, Inc. 115,088 3,100
LG&E Energy Corp. 20,350 794
L & N Housing Corp. 32,600 206
* LSI Logic Corp. 81,400 3,185
* LTV Corp. 66,923 979
* LTX Corp. 113,400 1,014
La Quinta Inns Inc. 36,300 980
La-Z-Boy Chair Co. 14,000 369
Lab One Inc. 25,600 358
* Laboratory Corp. of America 81,988 1,086
Lafarge Corp. 38,000 712
Lakeland First Financial Group Inc. 31,175 924
* LAM Research Corp. 17,350 1,108
Lancaster Colony Corp. 18,310 650
Lance, Inc. 29,541 547
* Landmark Graphics Corp. 23,500 604
* Landry's Seafood Restaurants, Inc. 36,200 729
* Lands' End, Inc. 31,800 517
* Larizza Industries, Inc. 64,200 273
* Lattice Semiconductor Corp. 30,300 1,043
* Laurentian Capital Corp. 2,000 27
Lawson Products, Inc. 22,350 601
Lawter International Inc. 48,354 580
Lawyers Title Insurance Corp. 29,750 465
* Lear Seating Corp. 31,600 723
Learonal Inc. 24,100 509
* The Leather Factory, Inc. 16,000 64
* Lechters Corp. 32,500 512
Lee Enterprises, Inc. 14,000 534
* Legent Corp. 22,453 984
Legg Mason Inc. 22,000 594
Leggett & Platt, Inc. 28,100 1,236
Lehman Brothers Holdings, Inc. 81,900 1,792
Lennar Corp. 29,250 548
Leucadia National Corp. 17,138 865
Liberty Corp. 24,400 665
Liberty Financial Cos., Inc. 15,200 391
Life Bancorp Inc. 23,300 323
Life Partners Group, Inc. 11,600 232
Life Re Corp. 23,000 428
Lilly Industries Inc. Class A 35,388 425
* Lin Broadcasting Corp. 35,568 4,504
* Lin Television 35,234 1,185
* Lincare Holdings Inc. 24,500 652
Lincoln Telecommunications Co. 35,900 561
Linear Technology Corp. 23,602 1,552
* Liposome Co., Inc. 54,600 601
* Littelfuse, Inc. 19,700 621
* Little Switzerland, Inc. 23,400 101
* Litton Industries, Inc. 29,600 1,091
* Lo-Jack Corp. 40,800 449
Loctite Corp. 23,400 1,065
* Lomas Financial Corp. 75,700 43
* Lone Star Steakhouse & Saloon 25,363 767
* Lone Star Technologies, Inc. 56,200 457
Long Island Lighting Co. 75,665 1,173
Longview Fiber Co. 33,070 562
Lubrizol Corp. 43,400 1,535
Lukens, Inc. 19,000 613
* Lynx Therapeutic 14,256 1
Lyondell Petrochemical Co. 54,054 1,385
* MAI Systems Corp. 4,300 30
MBIA, Inc. 27,300 1,815
MCN Corp. 44,900 887
MDU Resources Group, Inc. 22,900 681
* MFS Communications Co., Inc. 40,700 1,302
* MGI Pharma, Inc. 58,900 228
MGIC Investment Corp. 38,398 1,800
* MGM Grand Inc. 31,000 849
MLF Bancorp, Inc. 21,900 420
* MRV Communications Inc. 23,400 317
* M.S. Carriers Inc. 21,300 397
* MVR Value Support Rights Exp. 3/15/98 82,800 5
* MacFrugal's Bargains Close-Outs, Inc. 35,500 621
The MacNeal-Schwendler Corp. 35,100 491
* Macromedia 16,500 716
* Mafco Consolidated 20,700 440
* Magma Copper Co. Class B 37,300 606
Magna Group 30,600 677
* Magnatek 40,100 546
Maine Public Service Co. 13,100 277
Manpower Inc. 48,600 1,239
* Manville Corp. 85,500 1,176
Mapco Inc. 20,700 1,201
Marion Merrell Dow, Inc. 189,624 4,835
Mark IV Industries, Inc. 36,879 793
* Mark VII Inc. 19,700 326
Mark Twain Bancshares, Inc. 20,650 663
* Marquest Medical Products Inc. 10,000 5
* Marquette Electronics Class A 29,000 468
Marshall & Ilsley Corp. 62,027 1,407
* Marshall Industries 22,572 756
</TABLE>
10
<PAGE> 39
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Martin Marietta Materials, Inc. 27,400 $ 548
* Marvel Entertainment Group 63,334 982
Maryland Federal Bancorp 18,276 585
* MascoTech Inc. 38,000 470
Masland Corp. 25,700 328
Mastec Inc. 48,600 632
* Maxim Integrated Products, Inc. 19,190 979
* Maxtor Corp. 72,800 455
Maybelline, Inc. 25,051 514
* Maxxam Inc. 14,400 515
McClatchy Newspapers, Inc. 17,300 383
McCormick & Co., Inc. 56,783 1,228
* J. Ray McDermott, S.A. 23,800 527
McKesson Corp. 28,100 1,314
* McMoRan Oil and Gas 89,599 269
* McWorter Technologies Inc. 22,400 336
Measurex Corp. 24,700 750
* Medaphis Corp. 25,200 542
Medford Savings Bank 29,000 540
* Medi-Mail, Inc. 29,300 91
Media General, Inc. Class A 24,900 759
* Medical Dynamics, Inc. 63,700 86
* Medical Technology Systems, Inc. 16,100 95
Medicine Shoppe International, Inc. 18,750 652
* MedImmune Inc. 38,100 543
Meditrust 30,100 1,027
* Megatest Corp. 33,400 443
* Men's Wearhouse, Inc. 22,500 624
Mentor Corp. 25,700 713
* Mentor Graphics Corp. 48,100 836
Mercantile Bancorp, Inc. 36,350 1,631
Mercantile Bankshares Corp. 29,450 663
Mercury Finance Co. 75,920 1,461
Mercury General Corp. 16,700 577
Meridian Bancorp, Inc. 37,614 1,288
* Merisel, Inc. 57,510 431
* Merix Corp. 7,000 210
Merrill Corp. 23,100 433
Merry Land & Investment Co., Inc. 23,000 469
* Mesa Airlines, Inc. 54,900 504
Met-Pro Corp. 32,883 452
* Fred Meyer, Inc. 16,100 437
Michael Foods, Inc. 41,400 448
* Michaels Stores, Inc. 14,400 307
Michigan National Corp. 9,200 977
* Micro Warehouse Inc. 17,700 816
* Microchip Technology, Inc. 20,250 739
* Microcom Corp. 62,600 947
* Microdyne Corp. 25,900 507
* Micronics Computers, Inc. 78,600 314
* Micropolis Corp. 51,500 277
* Microtouch Systems, Inc. 35,700 745
Mid-America Apartment Communities, Inc. 19,300 482
Mid-American Waste Systems, Inc. 16,100 78
* Mid Atlantic Medical Services 26,500 490
Mid-Iowa Financial Corp. 5,280 55
* Midisoft Corp. 32,500 260
Midlantic Corp. 34,900 1,392
Midwest Grain Products 18,450 334
Midwest Resources Inc. 34,697 516
Herman Miller, Inc. 22,271 548
* Milwaukee Land Co. 2,300 19
Minerals Technologies, Inc. 14,300 515
Minnesota Power & Light Co. 18,900 515
* Mirage Resorts, Inc. 61,450 1,882
* Mitcham Industries, Inc. 26,300 106
Mitchell Energy & Development Corp. Class A 32,000 584
* Mobile Telecommunications Technologies Corp. 28,000 765
* Model Imperial, Inc. 44,500 292
Modern Controls, Inc. 12,775 116
Modine Manufacturing Co. 18,500 682
* Mohawk Industries, Inc. 35,800 528
* Molecular Biosystems, Inc. 38,834 243
Molex, Inc. 51,814 2,001
Molex, Inc. Class A 700 25
* Molten Metal Technology 9,400 221
The Money Store 28,950 1,039
Montana Power Co. 33,600 773
Morgan Stanley Group, Inc. 52,134 4,223
Morrison Restaurants 22,925 550
Mosinee Paper Corp. 16,500 363
* Mueller Industries Inc. 14,500 714
* Multimedia, Inc. 32,603 1,263
Murphy Oil Corp. 31,030 1,272
Myers Industries, Inc. 28,423 409
Mylan Laboratories, Inc. 54,500 1,676
NAC Re Corp. 17,925 558
NCH Corp. 10,000 575
N.S. Bancorp Inc. 16,700 520
NIPSCO Industries Inc. 44,170 1,502
* N L Industries, Inc. 32,400 433
* NPC International Class A 44,450 275
* NPC International Class B 36,750 220
NYMAGIC, Inc. 23,200 368
Nabisco Holdings Corp. Class A 30,900 834
* Nabors Industries, Inc. 78,700 649
Nashua Corp. 13,800 262
* National Auto Credit Co. 47,276 626
* National Beverage Corp. 9,120 52
National Community Bancorp 12,600 323
National Computer Systems, Inc. 31,500 650
National Data Corp. 34,650 801
</TABLE>
11
<PAGE> 40
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
National Fuel & Gas Co. 23,100 $ 661
* National Gaming Corp. 33,590 286
* National Gypsum Co. 12,700 665
National Health Investors REIT 17,000 463
National Presto Industries, Inc. 10,963 497
National Re Holdings Corp. 22,900 767
* National Record Mart, Inc. 49,100 126
* National Steel Corp. Class B 42,400 657
* Nationwide Cellular Service Inc. 25,200 663
Nationwide Health Properties, Inc. 10,400 406
* Nautica Enterprises Inc. 19,762 711
Neiman Marcus Group Inc. 41,804 596
* Nellcor Inc. 10,200 455
* Netmanage, Inc. 27,700 478
* Network Equipment Technologies 39,547 939
* Network General Corp. 23,144 632
* Network Peripherals, Inc. 19,300 425
Nevada Power Co. 26,052 537
New England Business Service, Inc. 25,500 504
New England Electric System 44,600 1,539
New Jersey Resources Corp. 5,500 127
* New Mexico & Arizona Land Co. 35,310 380
New Plan Realty Trust 33,400 747
* New World Communications Group, Inc. 30,700 637
New York State Electric & Gas Corp. 44,800 1,047
Newcor, Inc. 39,600 334
Newhall Land & Farming Co. 41,200 572
Newmont Gold Co. 64,491 2,596
* Nexstar Pharmaceuticals Inc. 56,760 497
* Nextel Communications 71,900 1,011
* Nine West Group, Inc. 21,400 781
Noble Affiliates, Inc. 34,900 890
* Noble Drilling Corp. 34,800 252
Nordson Corp. 11,540 636
* Nortek, Inc. 31,952 276
North American Mortgage 25,500 590
North Fork Bancorporation, Inc. 76,243 1,382
North Side Savings Bank 26,496 649
* North Star Universal Inc. 63,800 339
Northeast Utilities 83,400 1,876
Northern Trust Corp. 37,150 1,486
* Northwest Airlines Corp. Class A 63,300 2,231
Northwest Natural Gas Co. 17,700 550
Northwest Savings Bank 18,800 362
Northwestern Public Service Co. 15,300 392
* Norwalk Savings Society 9,300 152
* NovaCare, Inc. 50,212 408
* Novellus Systems, Inc. 10,100 684
* nVIEW Corp. 25,049 146
OEA, Inc. 24,900 738
* OHM Corp. 44,300 537
Oakwood Homes Corp. 14,000 359
Oasis Residential, Inc. 23,100 502
* Oceaneering International, Inc. 42,600 378
* Octel Communications Corp. 28,100 824
* Office Depot, Inc. 100,925 2,839
* Officemax Inc. 33,600 937
* Offshore Logistics, Inc. 35,000 486
Ohio Art Co. 7,400 252
Ohio Casualty Corp. 22,056 700
Oklahoma Gas & Electric Co. 25,100 882
* Old America Stores, Inc. 31,500 346
Old Kent Financial Corp. 24,900 848
Old National Bancorp 11,978 412
Old Republic International Corp. 31,674 827
Olin Corp. 13,700 706
Olsten Corp. 26,787 877
Omega Healthcare Investors, Inc. 21,341 542
Omnicare, Inc. 16,200 439
Omnicom Group Inc. 25,100 1,522
Onbancorp Inc. 17,300 490
One Valley Bancorp of West Virginia Inc. 8,600 264
Oneida Ltd. 27,289 403
* Oneita Industries 32,533 297
* Opthalmic Imaging Systems, Inc. 1,000 2
Optical Coating Laboratory, Inc. 50,066 457
Orange & Rockland Utilities, Inc. 18,500 624
* Orbital Sciences Corp. 27,600 511
* Oregon Metallurgical Corp. 45,000 427
Oregon Steel Mills, Inc. 31,300 536
* O'Reilly Automotive, Inc. 17,400 492
Oriole Homes Corp. Class B 7,500 52
Orion Capital Corp. 13,000 507
OrNda Healthcorp 30,500 524
Oshkosh B Gosh, Inc. Class A 10,000 164
O'Sullivan Corp. 39,675 456
* Outback Steakhouse 25,354 735
* Outlook Group Corp. 8,000 72
Overseas Shipholding Group Inc. 21,000 436
* Owens-Illinois, Inc. 75,872 986
* Oxford Health Plan 21,300 1,001
* Oxigene, Inc. 22,200 158
PCA International, Inc. 33,693 404
* PDG Environment Industries 7,140 5
PHH Corp. 11,400 507
PMC Capital, Inc. 13,600 148
The PMI Group Inc. 23,600 1,024
PP&L Resources Inc. 101,998 1,976
* PS Group, Inc. 22,500 245
Pacific Crest Capital Inc. 43,645 235
Pacific Gulf Properties, Inc. 23,100 344
Pacific Scientific Co. 33,800 604
Pacific Telecom, Inc. 23,900 714
* Pacificare Health Systems Inc. Class A 14,800 746
</TABLE>
12
<PAGE> 41
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Pacificare Health Systems Inc. Class B 5,700 $ 290
* Paging Network Inc. 31,900 1,085
PaineWebber Group, Inc. 68,975 1,302
* Parametric Technology Corp. 38,404 1,906
Park-Ohio Industries, Inc. 26,900 319
Parker & Parsley Petroleum Co. 20,100 394
* Parker Drilling Co. 96,300 506
* Patten Corp. 37,500 122
Paul Revere Corp. 27,600 469
* Paul-Son Gaming Corp. 23,300 175
Paychex, Inc. 28,275 1,032
* Payless Cashways, Inc. 59,200 377
* Peak Technologies Group, Inc. 15,200 412
* Pec Israel Economic Corp. 19,300 519
* Pegasus Gold 40,700 412
Penn Engineering & Manufacturing Co. 8,300 627
* Pennfed Financial Services, Inc. 19,400 244
Pennsylvania Enterprises Inc. 12,850 398
Pentair, Inc. 11,154 487
Penwest Ltd. 18,609 440
Peoples Bank of Bridgeport 10,600 174
* People's Choice TV Corp. 20,600 525
Peoples Heritage Financial Group Inc. 33,800 513
* Peoplesoft Inc. 19,600 1,058
* Perini Corp. 33,800 346
* Perrigo Co. 55,300 608
* Pet Food Warehouse, Inc. 27,800 115
Petrie Stores Corp. 35,531 240
Petroleum Heat & Power Co. 47,700 382
Petrolite Corp. 17,300 517
* Petsmart, Inc. 28,400 820
* Pharmaceutical Resources, Inc. 49,770 523
* Pharmaceutical Resources, Inc. Series A Cvt. Pfd. 1,199 12
Phillips-Van Heusen Corp. 23,493 364
* Photronics Labs Inc. 34,500 1,052
* Phycor, Inc. 13,500 474
* Physician Corp. of America 32,900 448
* PictureTel Corp. 23,200 1,119
* Piedmont Management Inc. 27,600 240
Piedmont Natural Gas, Inc. 28,151 584
Pier 1 Imports Inc. 64,235 594
* Piercing Pagoda, Inc. 22,500 236
Pilgrim's Pride Corp. 43,200 335
Pinnacle Systems, Inc. 13,300 303
* Pinnacle West Capital Corp. 59,400 1,455
* Pioneer Financial 37,800 558
Pioneer Group Inc. 16,500 448
Pioneer Standard Electronics Inc. 31,350 776
Pittway Corp. Class A 16,700 764
Plains Petroleum Co. 20,500 607
* Platinum Technology, Inc. 26,700 479
* Playboy Enterprises Inc. Class A 22,850 183
* Playboy Enterprises Inc. Class B 31,150 245
* Players International, Inc. 8,100 163
Plenum Publishing Corp. 16,400 580
* Plexus Corp. 30,750 427
Ply-Gem Industries, Inc. 24,100 428
Pogo Producing Co. 28,400 650
Polaris Industries, Inc. 10,500 423
* Policy Management Systems Corp. 14,264 656
* Pool Energy Service Co. 49,567 415
Pope & Talbot, Inc. 26,000 422
Portland General Electric Co. 30,400 673
Post Properties, Inc. 12,100 366
Potomac Electric Power Co. 77,900 1,675
* Power Control Technologies 82,800 559
Precision Castparts Corp. 25,800 906
* Premier Bancorp, Inc. 34,900 628
Premier Industrial Corp. 56,147 1,326
* Premisys Communications, Inc. 4,000 258
* President Casinos 58,200 276
Presidential Life Corp. 54,300 445
* Presstek, Inc. 8,000 409
* Price Enterprises, Inc. 33,800 469
T. Rowe Price 17,600 680
* Primadonna Resorts, Inc. 19,700 475
* Primark Corp. 32,800 594
Prime Retail, Inc. 24,000 298
Prime Bancorp Inc. 28,193 497
Production Operators Corp. 17,600 559
Progressive Corp. of Ohio 47,206 1,812
* Pronet, Inc. 25,500 518
Protective Life Corp. 29,800 812
* Protein Design Labs 27,600 576
Provident Bancorp Inc. 6,800 237
Provident Life & Accident Insurance Co. of America 27,500 639
* Psychemedics, Inc. 25,400 86
Public Service Co. of Colorado 42,800 1,391
* Public Service Co. of New Mexico 47,820 681
Puerto Rican Cement Co., Inc. 13,700 418
Puget Sound Power & Light Co. 40,315 922
Pulitzer Publishing Co. 17,725 756
Puritan-Bennett Corp. 21,800 839
* Pyxis Corp. 21,200 478
* QMS, Inc. 39,800 204
* Qlogic 3,700 18
Quaker State Corp. 48,500 727
* Qualcomm, Inc. 35,000 1,210
* Quality Food Centers Inc. 11,654 230
Quanex Corp. 24,900 616
* Quantum Corp. 40,100 922
* Quarterdeck Corp. 86,800 1,020
</TABLE>
13
<PAGE> 42
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Questar Corp. 28,215 $ 811
The Quick & Reilly Group, Inc. 11,500 417
* Quickresponse Services, Inc. 14,000 324
* Quorum Health Group, Inc. 27,400 550
RFS Hotel Investors 36,700 555
R.L.I. Corp. 21,500 489
RJR Nabisco Holdings Corp. 187,724 5,233
ROC Communities, Inc. 10,500 232
* RPC Inc. 50,200 455
RPM Inc. (Ohio) 34,025 678
* Rainbow Technologies, Inc. 24,400 534
* Ralcorp Holdings Inc. 21,600 494
* Rasterops 53,800 306
Raymond James Financial, Inc. 33,050 640
Rayonier Inc. 19,100 678
* Read-Right Corp. 44,114 1,177
Reader's Digest Assn., Inc. Class A 77,100 3,402
Reader's Digest Assn., Inc. Class B 400 16
* Reading & Bates Corp. 86,520 800
* Reddi Brake Supply Corp. 65,000 250
* Redman Industries, Inc. 24,200 520
Regal-Beloit Corp. 34,700 538
* Regional Acceptance Corp. 17,900 322
Regions Financial Corp. 30,527 1,130
Reliance Group Holdings 66,714 434
Reliastar Financial Corp. 35,322 1,351
* Renaissance Communications 10,300 345
* Rentrak Corp. 52,200 316
* Republic Bank (Clearwater, Florida) 12,300 168
Republic New York Corp. 34,350 1,924
* Research Frontiers, Inc. 2,100 17
* Research Industries Corp. 37,150 847
* Response Technologies, Inc. 107,200 214
* Retix 64,000 240
* Revco Drug Stores, Inc. 45,300 1,087
* Rexall Sundown, Inc. 40,200 399
Rexel Inc. 57,244 544
Reynolds & Reynolds Class A 25,800 761
Rhone-Poulenc Rorer, Inc. 91,554 3,742
* Riggs National Corp. 52,000 510
* Right Management Consultants 4,400 102
Riverwood International Corp. 40,700 946
* Robert Half International, Inc. 17,800 456
* Roberts Pharmaceuticals 16,900 368
Rochester Community Savings Bank 28,100 558
Rochester Gas and Electric Corp. 23,948 509
Rock-Tenn Co. 18,700 330
* Rockefeller Center Properties Inc. 86,200 453
* Rodman and Renshaw Capital Group, Inc. 2,239 9
* Rogers Corp. 11,400 631
* Rohr, Inc. 33,300 479
* Rollins Environmental Services, Inc. 56,900 270
Rollins, Inc. 22,400 538
Rollins Truck Leasing 49,175 529
Roosevelt Financial Group 31,600 525
* Ropak Corp. 43,644 472
Ross Stores, Inc. 37,400 435
* The Rottlund Co. 50,300 352
Rouse Co. 30,800 606
* Royal Appliance Manufacturing Co. 86,500 238
Russ Berrie, Inc. 33,100 459
* Rust International, Inc. 51,500 843
Rykoff-Sexton, Inc. 27,031 476
Ryland Group, Inc. 27,000 435
* SCI Systems, Inc. 33,300 830
SJW Corp. 9,300 334
S-K-I, Ltd. 5,400 76
* SOI Industries, Inc. 5,000 5
* SPS Transaction Services 16,700 578
* S3, Inc. 10,200 367
* Safeguard Health Enterprises, Inc. 35,300 384
* Safeguard Scientifics, Inc. 27,800 1,154
* Safety First Inc. 19,200 382
* Safeway, Inc. 71,628 2,677
* St. Francis Capital Corp. 14,800 300
St. Ives Laboratories, Inc. 39,500 309
St. Joe Paper Co. 19,099 1,213
St. Paul Bancorp, Inc. 27,150 611
* Salant Corp. 13,500 56
San Diego Gas & Electric Co. 80,300 1,666
Sanderson Farms, Inc. 35,550 391
* Sanifill, Inc. 24,200 759
Saul Centers, Inc. 26,400 422
Savannah Foods & Industries, Inc. 40,100 441
* Savoy Pictures Entertainment, Inc. 11,600 104
Sbarro, Inc. 24,191 562
SCANA Corp. 62,600 1,401
* R. P. Scherer Corp. 14,126 597
* Scholastic Corp. 13,100 714
A. Schulman Inc. 26,962 775
Schult Home Corp. 25,900 295
Charles Schwab Corp. 57,233 2,482
* Scios Nova, Inc. 63,700 261
Scope Industries 2,400 60
E.W. Scripps Co. 63,769 2,057
Seafield Capital Corp. 12,100 436
* Seagate Technology 47,142 1,850
* Seagull Energy Corp. 23,400 386
* Sealed Air Corp. 19,600 862
* Security Capital Corp. 12,600 617
Security Capital Industrial Trust 37,200 604
Security Capital Pacific Inc. 50,097 870
Selective Insurance Group 19,000 622
* Selfix, Inc. 24,120 106
Sensormatic Electronics Corp. 47,961 1,703
</TABLE>
14
<PAGE> 43
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Sequa Corp. Class A 12,500 $ 366
* Sequent Computer Systems, Inc. 32,300 575
* Service Merchandise Co., Inc. 56,287 296
Shaw Industries, Inc. 94,400 1,605
Shelby Williams Industries, Inc. 29,900 340
* Sholodge, Inc. 21,233 313
Shopko Stores, Inc. 48,155 518
* Shorewood Packaging 35,200 519
* Show Biz Pizza Time, Inc. 36,850 424
Showboat, Inc. 24,216 448
Sierra Pacific Resources 33,000 718
* Sierra Semiconductor 45,294 1,432
Signet Banking Corp. 50,652 1,108
* Silicon Valley Group, Inc. 14,300 519
* Silver King Communications 30,700 503
Simon Property Group 35,000 879
* Simula, Inc. 16,200 364
* Sithe Energies, Inc. 43,800 427
Sizzler International 53,550 341
A.O. Smith Corp. 24,500 576
* Smith International, Inc. 24,200 405
* Smithfield Foods, Inc. 21,600 462
Smiths Food & Drug Centers, Inc. Class B 21,200 419
J.M. Smucker Co. Class A 17,400 385
J.M. Smucker Co. Class B 1,200 24
* Sofamor/Danek Group Inc. 15,600 353
* Softdesk, Inc. 25,900 528
* Software Publishing Corp. 66,650 237
* Solectron Corp. 25,600 874
* Solv-Ex Corp. 80,300 662
Sonat Offshore Drilling Co. 16,400 471
Sonoco Products 58,085 1,438
Sotheby's Holdings Class A 31,500 429
South Jersey Industries, Inc. 22,084 464
* Southdown, Inc. 28,300 541
Southern Indiana Gas & Electric 19,254 619
Southern National Corp. 64,853 1,556
Southern New England Telecom Corp. 42,100 1,484
* Southern Pacific Rail Corp. 105,800 1,666
* Southern Union Co. 23,954 434
* Southland Corp. 265,700 922
SouthTrust Corp. 52,351 1,217
Southwest Gas Corp. 32,300 460
Southwestern Energy Co. 35,000 486
* Southwestern Life Corp. 87,000 87
Southwestern Public Service Co. 25,000 737
Sovereign Bancorp, Inc. 60,099 571
* Spaghetti Warehouse, Inc. 26,300 138
Spartan Motors, Inc. 30,350 267
* Spec's Music Inc. 43,366 149
* Spectrian Corp. 5,000 198
Speiker Properties, Inc. 11,500 257
* Spelling Entertainment 56,600 552
Spiegel, Inc. Class A 67,100 860
Stac Electronics 42,700 320
Standard Federal Bank 20,100 676
* Standard Financial, Inc. 18,400 242
Standard Products Co. 22,250 484
The Standard Register Co. 29,000 555
Standex International Corp. 20,500 646
Stanhome, Inc. 11,900 393
* Staples, Inc. 42,361 1,226
Star Banc Corp. 19,400 892
* Starbucks Corp. 21,000 746
L. S. Starrett Co. Class A 16,700 378
L. S. Starrett Co. Class B 400 9
* Starter Corp. 38,400 312
State Street Boston Corp. 55,500 2,047
* Station Casinos, Inc. 42,100 724
* Steris Corp. 10,900 526
Sterling Chemicals, Inc. 51,800 602
* Sterling Software, Inc. 23,037 887
Stewart & Stevenson Services, Inc. 20,082 724
Stewart Enterprises, Inc. Class A 16,900 568
Stewart Information Services Corp. 22,300 438
Stolt-Nielson S.A. 31,100 888
Stone & Webster, Inc. 19,200 566
* Stop & Shop Cos. Inc. 31,000 794
* Storage Technology Corp. 44,091 1,086
* StrataCom, Inc. 23,000 1,118
* Stratus Computer, Inc. 15,300 474
Strawbridge & Clothier Class A 19,364 395
* Strouds, Inc. 27,600 167
* Structural Dynamics Research Corp. 16,000 207
Stryker Corp. 32,250 1,234
Student Loan Corp. 27,300 734
Student Loan Marketing Assn. 55,000 2,578
* Submicron Systems Corp. 62,340 678
Summit Bancorp 27,198 581
Summit Properties, Inc. 22,900 395
* Summit Technology, Inc. 18,900 716
Sun Communities, Inc. 19,900 498
* Sun Healthcare Group, Inc. 22,000 347
SunAmerica Inc. 24,500 1,250
Sunbeam Corp. 50,700 703
Sundstrand Corp. 22,400 1,338
* SunGard Data Systems 11,800 620
* Sunglass Hut International, Inc. 11,600 405
Sunrise Bancorp, Inc. 8,900 251
* Sunrise Medical, Inc. 12,100 377
Super Food Services, Inc. 40,600 482
* Supercuts, Inc. 32,100 261
Superior Industries International, Inc. 18,719 583
Surgical Care Affiliates, Inc. 28,800 551
</TABLE>
15
<PAGE> 44
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Swift Energy Co. 35,090 $ 320
* Swift Transportation Co., Inc. 29,900 508
* Sybase, Inc. 48,640 1,414
* Sybron Corp. 22,400 893
* Sylvan Learning Systems, Inc. 15,200 321
* Symantec Corp. 28,300 815
* Symbol Technologies, Inc. 22,500 863
* Synopsys, Inc. 15,563 973
Synovus Financial Corp. 49,700 1,131
System Software Associates, Inc. 17,700 355
* Systemed Inc. 34,500 235
* Systemix, Inc. 21,930 304
* TBC Corp. 49,075 531
TCA Cable Television, Inc. 27,500 739
TCBY Enterprises, Inc. 57,800 347
TCF Financial Corp. 12,300 584
* TCSI Corp. 24,000 354
TECO Energy, Inc. 75,700 1,656
TF Financial Corp. 15,000 203
* TIE Communications, Inc. 11,000 103
TIG Holdings, Inc. 44,800 1,030
TJ International, Inc. 27,600 507
TNP Enterprises, Inc. 26,800 432
TNT Freightways 14,700 294
* T.P.I. Enterprises, Inc. 80,800 338
Talbots Inc. 21,700 863
* Talley Industries, Inc. 51,700 439
Tambrands, Inc. 24,177 1,034
* Tanknology Environmental, Inc. 1,900 5
Taubman Co. REIT 56,700 539
* Tech Data Corp. 49,700 572
* Technical Communications Corp. 14,000 98
* Technology Solutions Co. 51,500 486
Tecumseh Products Co. Class A 6,700 293
Tecumseh Products Co. Class B 11,800 509
* Tejas Gas Corp. 12,887 640
Tejon Ranch Co. 26,400 366
* Tekelec 19,000 454
Teleflex Inc. 13,400 576
Telephone & Data Systems, Inc. 35,538 1,293
* Telescan, Inc. 11,700 72
Telxon Corp. 36,300 783
* Tencor Instruments 22,300 909
* Teradyne, Inc. 23,400 1,530
Terra Industries, Inc. 81,392 987
Tesoro Petroleum Corp. 54,000 540
Texas Industries, Inc. 16,757 651
* Thermedics, Inc. 42,000 819
* Thermo Electron Corp. 53,625 2,158
* Thermo Instrument Systems, Inc. 50,450 1,236
* Thermo Cardiosystems Inc. 15,000 549
* Thermolase Corp. 16,900 355
Thiokol Corp. 24,000 726
* 3 Com Corp. 44,800 3,002
Tidewater, Inc. 33,000 829
Tiffany & Co. 18,766 638
* Tiger Direct Inc. 15,400 11
* Todd Shipyards Corp. 73,100 439
* Tokos Medical 61,478 457
Tootsie Roll Industries, Inc. 6,939 481
* The Topps Co., Inc. 66,740 421
The Toro Co. 18,900 529
Tosco Corp. 25,066 799
Total Petroleum (North America) Ltd. 46,800 515
Total System Services, Inc. 41,000 600
Town & Country Trust 24,500 352
Transatlantic Holdings 14,600 949
Transtechnology Corp. 28,800 389
* TransTexas Gas Corp. 50,000 747
* Transworld Home Healthcare, Inc. 18,000 304
* Tremont Corp. 49,409 815
* Triarc Cos., Inc. 28,600 447
Trimas Corp. 23,200 534
* Trimble Navigation Ltd. 37,400 1,057
* Trimedyne, Inc. 29,100 74
Trinity Industries, Inc. 27,150 903
* Triton Energy Corp. 22,072 1,024
True North Communications 26,800 506
Trustco Bank 24,314 523
Trustmark Corp. 16,600 287
Tucker Properties Corp. 29,700 360
* Tucson Electric Power Co. 198,100 619
* Tuesday Morning, Inc. 17,000 96
* Tultex Corp. 80,900 455
Turner Broadcasting Class A 28,200 564
Turner Broadcasting Class B 107,800 2,210
* 20th Century Industries of CA 34,400 430
* Tyco Toys, Inc. 56,098 386
Tyson Foods, Inc. 98,607 2,280
* UAL Corp. 18,600 2,609
UGI Corp. Holding Co. 20,386 431
UMB Financial Corp. 17,037 615
* UNC, Inc. 62,700 337
* URS Corp. 41,200 237
* USG Corp. 27,800 660
* US Physical Therapy, Inc. 8,400 77
* U.S. Robotics Corp. 19,372 2,109
Ultramar Corp. 23,800 601
* Ultratech Stepper, Inc. 4,400 154
Unifi, Inc. 45,225 1,085
Union Bank of San Francisco 22,357 936
* Union Corp. 33,700 535
Union Planters Corp. 22,885 612
Union Texas Petroleum Holdings Inc. 57,200 1,208
* Unique Mobility, Inc. 37,600 202
</TABLE>
16
<PAGE> 45
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
United Asset Management Corp. 17,400 $ 620
United Carolina Bancshare Corp. 20,500 623
United Cos. Finance Corp. 17,813 799
United Dominion Industries Ltd. 35,185 792
United Dominion Realty 30,000 443
* United Guardian, Inc. 31,800 64
United Illuminating Co. 18,900 624
* United Insurance Cos., Inc. 25,900 343
* United International Holdings, Inc. Class A 28,700 470
United Jersey Bank Financial Corp. 38,308 1,164
* United States Banknote Corp. 58,300 131
* U.S. Bioscience 3,071 13
* United States Cellular 52,850 1,599
* U.S. Energy Corp. 43,130 213
* U.S. Long Distance Corp. 39,600 641
United States Trust Corp. 10,200 731
United Stationers, Inc. 1,072 19
United Television, Inc. 18,200 1,301
United Water Resources, Inc. 48,944 649
Unitil Corp. 18,700 318
Unitrin Inc. 32,570 1,547
Universal Corp. 21,900 460
Universal Foods Corp. 16,862 546
Universal Health Realty Income 8,500 137
* Universal Stainless & Alloy Products, Inc. 18,200 222
* Universal Health Services Class B 22,500 653
* Uranium Resources, Inc. 3,000 15
US Bancorp, Inc. 15,600 361
* USData Corp. Rights Exp. 7/21/95 6,950 107
Utilicorp United, Inc. 29,415 827
* VLSI Technology, Inc. 23,000 689
* Vaalco Energy, Inc. 84,900 42
* Valassis Communication 42,200 707
Valero Energy Corp. 26,600 539
Valhi, Inc. 87,700 614
Valley National Bancorp 18,970 458
Valspar Corp. 13,100 496
* Value City Department Stores, Inc. 45,200 345
* Value Health, Inc. 25,196 813
* Valujet Airlines, Inc. 16,800 552
* Vanguard Cellular Systems, Inc. Class A 24,587 593
* Varco International, Inc. 65,100 537
Varian Associates, Inc. 22,000 1,216
Vastar Resources, Inc. 67,100 2,072
* Vectra Tech Inc. 25,800 76
* Vencor, Inc. 25,825 813
* Ventritex Inc. 24,200 407
* VeriFone, Inc. 27,200 661
* Veritas Software Corp. 22,400 493
Versa Technology, Inc. 25,200 356
* Vertex Communications Corp. 28,500 394
* Vicor Corp. 23,200 1,040
* Vicorp Restaurants, Inc. 28,200 388
Vigoro Corp. 12,600 523
* Viking Office Products 24,400 894
Virco Manufacturing Corp. 48,679 426
Virginia Beach Federal Financial Corp. 11,850 110
* Vishay Intertechnology, Inc. 34,586 1,249
Vital Signs, Inc. 25,264 433
* Vivra, Inc. 13,100 355
* Vmark Software Inc. 21,500 376
* Vons Cos., Inc. 26,200 527
Vornado Realty Trust 13,998 488
Vulcan International Corp. 5,900 119
Vulcan Materials Co. 24,100 1,313
* WHX Corp. 37,450 440
* WMS Industries, Inc. 31,000 608
WPL Holdings, Inc. 19,200 550
WPS Resources Corp. 15,000 439
* Waban, Inc. 37,100 552
Wabash National Corp. 11,000 342
Wackenhut Corp. 28,200 419
Wackenhut Corp. Class B 7,050 86
* Wainoco Oil Corp. 79,400 328
Walden Residential Properties, Inc. 14,100 259
* Wall Data Inc. 18,300 281
Wallace Computer Services, Inc. 13,400 514
Warnaco Group 37,600 752
Washington Energy Co. 39,077 640
Washington Federal Inc. 24,090 528
Washington Gas Light Corp. 26,002 491
Washington Mutual Inc. 39,623 929
Washington National Corp. 20,972 433
Washington Post Co. Class B 7,600 1,984
Washington Real Estate Investment Trust 37,200 586
Washington Water Power Co. 32,300 517
* Watson Pharmaceuticals, Inc. 9,700 377
Watts Industries Class A 26,200 662
Wausau Paper Mills Co. 18,880 437
* Wave Technologies International 40,800 332
* Wavephore, Inc. 19,700 330
* Weatherford International, Inc. 55,400 706
Del E. Webb Corp. 29,000 674
Webster Financial Corp. 19,580 469
Weingarten Realty Investors 16,100 608
Weis Markets, Inc. 27,000 749
Wellman, Inc. 19,755 541
* Wellpoint Health Networks, Inc. Class A 66,400 1,876
Werner Enterprises, Inc. 24,700 488
Wesco Financial Corp. 4,158 525
West Co., Inc. 18,900 529
</TABLE>
17
<PAGE> 46
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
West One Bancorp 23,812 $ 792
* Western Beef 15,360 96
* Western Digital Corp. 30,700 533
Western Gas Resources, Inc. 19,200 331
Western National Corp. 40,500 501
* Western Publishing Group, Inc. 38,500 436
Western Resources, Inc. 42,786 1,321
* Roy F. Weston, Inc. 54,000 253
* Westpoint Stevens, Inc. 40,600 718
* Westwood One, Inc. 55,600 817
* WetSeal, Inc. Class A 54,800 264
Wheelabrator Technologies 122,406 1,882
* White River 13,342 454
* Whittaker Corp. 24,600 541
John Wiley & Sons Class A 13,200 754
Willamette Industries, Inc. 37,300 2,061
* Clayton Williams Energy, Inc. 40,500 129
* Williams Sonoma, Inc. 14,500 318
Wilmington Trust Corp. 23,700 675
Windmere Corp. 35,897 296
* Wisconsin Central Transportation Corp. 10,200 496
Wisconsin Energy Corp. 73,761 2,065
* Wisconsin Pharmacal Co. 37,600 132
Wiser Oil Co. 26,200 357
Witco Chemical Corp. 36,100 1,164
Wolverine World Wide, Inc. 40,200 834
* Wonderware Corp. 13,900 565
* World Corp. 49,900 493
* Worldtex Inc. 87,944 517
* Worldway Corp. 33,100 314
Wyle Electronics 22,700 638
* Wyman Gordon Corp. 63,200 679
* Xoma Corp. 115,700 278
* Xilinx, Inc. 15,100 1,418
Xtra Corp. 10,200 472
* Xylogics, Inc. 28,200 779
Yankee Energy Systems 20,477 456
York International Corp. 29,300 1,319
* Zebra Technologies Class A 1,600 86
Zenith National Insurance Corp. 31,460 676
* Zilog Inc. 20,900 1,042
Zions Bancorp. 15,000 746
* Zurich Reinsurance Centre Holdings, Inc. 15,800 452
* Zycad Corp. 105,500 396
------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (98.3%)(1)
(Cost $922,324) 1,177,083
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (1.7%)
------------------------------------------------------------------------------------------
U.S. TREASURY BILL--NOTE D
5.68%, 9/21/95 $ 700 $ 691
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 6.13%, 7/3/95 19,240 19,240
------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $19,931) 19,931
------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100%)
(Cost $942,255) 1,197,014
------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
------------------------------------------------------------------------------------------
Other Assets--Notes B and E 44,214
Liabilities--Note E (44,403)
------------
(189)
------------------------------------------------------------------------------------------
NET ASSETS (100%)
Applicable to 55,203,853 outstanding
shares of beneficial interest
(unlimited authorization) $1,196,825
------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $21.68
==========================================================================================
</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 JUNE 30, 1995, NET ASSETS CONSISTED OF:
------------------------------------------------------------------------------------------
Amount Per
(000) Share
----------- -------
<S> <C> <C>
Paid in Capital $ 906,536 $16.43
Undistributed Net
Investment Income 8,452 .15
Accumulated Net
Realized Gains 26,651 .48
Unrealized Appreciation of
Investments--Note D 255,186 4.62
------------------------------------------------------------------------------------------
NET ASSETS $1,196,825 $21.68
------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE> 47
<TABLE>
<CAPTION>
Market
Value
TOTAL STOCK MARKET PORTFOLIO Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
------------------------------------------------------------------------------------------
* ABC Rail Products Corp. 9,500 $ 217
* ADC Telecommunications, Inc. 12,000 428
* AES Corp. 14,026 266
AFLAC, Inc. 19,386 848
AGCO Corp. 6,600 248
* ALC Communications 6,800 307
* AMR Corp. 15,393 1,149
ARCO Chemical Co. 18,800 853
* AST Research, Inc. 10,700 165
AT&T Corp. 321,512 17,080
AT&T Capital Corp. 9,600 257
Abbott Laboratories, Inc. 161,629 6,546
* Ace Cash Express, Inc. 2,700 24
Ackerley Communications, Inc. 5,000 61
* Action Performance Cos., Inc. 30,400 262
* Acuson Corp. 11,312 137
* Adaptec, Inc. 9,500 350
* Adesa Corp. 1,905 32
Adobe Systems, Inc. 13,547 789
* Adtran, Inc. 15,000 497
* Advanced Magnetics, Inc. 6,000 137
* Advanced Tissue Sciences Inc. 9,600 93
* Advanced Technology Laboratories, Inc. 10,939 171
* Advantage Cos. Inc. 3,300 53
* Advanced Micro Devices, Inc. 21,060 766
Advanta Corp. Class A 8,250 343
Aetna Life & Casualty Co. 22,550 1,418
H.F. Ahmanson & Co. 22,123 487
* Air and Water Technologies Corp. Class A 15,400 87
Air Products & Chemicals, Inc. 22,829 1,273
Airborne Freight Corp. 9,390 190
* AirTouch Communications, Inc. 100,472 2,863
Alamo Group, Inc. 11,800 205
Albank Financial Corp. 10,400 273
Albemarle Corp. 16,715 261
Alberto-Culver Co. Class B 5,723 173
Albertson's, Inc. 51,174 1,522
Alco Standard Corp. 10,653 851
Alex Brown, Inc. 7,280 302
Alexander & Alexander Services, Inc. 8,120 194
Alexander & Baldwin, Inc. 8,200 185
* Alexander's, Inc. 4,500 250
* All American Semiconductor, Inc. 37,200 81
* Alleghany Corp. 2,364 376
Allegheny Ludlum Corp. 12,700 251
Allegheny Power System, Inc. 24,300 571
* Allegiant Physician Services 6,400 9
The Allen Group, Inc. 10,500 311
Allergan, Inc. 12,029 326
* Alliance Entertainment 25,300 237
* Alliance Pharmaceutical Corp. 25,200 205
* Alliant Techsystems, Inc. 7,600 317
Allied Capital Commercial Corp. 14,000 245
Allied Capital Lending Corp. 18,400 232
Allied-Signal, Inc. 57,894 2,576
Allmerica Property & Casualty Cos. 16,700 369
Allstate Corp. 15,200 450
ALLTEL Corp. 37,000 939
* Allwaste, Inc. 19,400 107
* Altera Corp. 8,200 356
* Alumax, Inc. 8,341 260
Aluminum Co. of America 35,884 1,799
* ALZA Corp. 15,631 365
* Amax Gold, Inc. 39,093 215
AMBAC, Inc. 6,222 250
Amcast Industrial Corp. 10,500 200
* Amdahl Corp. 26,173 291
Amerada Hess Corp. 18,880 923
* America Online, Inc. 6,000 263
American Annuity Group Inc. 25,817 255
American Bankers Insurance Group 1,400 44
American Brands, Inc. 37,797 1,502
* American Business Information, Inc. 1,644 45
American Classic Voyager Co. 16,400 163
American Electric Power Co., Inc. 37,090 1,303
American Express Co. 99,765 3,504
American Financial Group, Inc. 9,700 252
* American Freightways 14,304 291
American General Corp. 41,520 1,401
American Greetings Corp. Class A 13,862 406
American Health Properties, Inc. 13,200 282
American Home Products Corp. 62,411 4,829
American International Group, Inc. 64,248 7,324
American List Corp. 10,675 315
* American Media Class A 11,800 81
American National Insurance Co. 5,400 327
* American Power Conversion Corp. 18,500 424
American President Cos., Ltd. 9,200 219
American Re Corp. 9,100 339
* American Standard Cos., Inc. 15,200 416
American Stores Co. 29,490 829
American Studios, Inc. 36,800 87
* Ameridata Technologies 16,400 152
Ameritech Corp. 112,030 4,929
Ametek, Inc. 16,100 290
Amfed Financial, Inc. 2,100 50
* Amgen, Inc. 26,660 2,143
AMP, Inc. 42,484 1,795
Amoco Corp. 100,930 6,724
* Amphenol Corp. 15,800 460
* Amsco International, Inc. 22,585 313
AmSouth Bancorp 11,874 387
</TABLE>
19
<PAGE> 48
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Amtech Corp. 13,375 $ 84
* Amylin Pharmaceuticals, Inc. 11,200 87
Anadarko Petroleum Corp. 11,500 496
* Analog Devices, Inc. 15,303 520
* Andrew Corp. 7,987 462
* Andros Inc. 6,700 116
Angelica Corp. 3,300 83
Anheuser-Busch Co., Inc. 52,180 2,968
* AnnTaylor Stores Corp. 8,200 191
Anthony Industries, Inc. 9,762 179
Aon Corp. 21,648 806
Apache Corp. 13,969 382
Apple Computer, Inc. 24,655 1,146
* Applied Bioscience International, Inc. 15,000 79
* Applied Digital Access, Inc. 3,000 38
* Applied Materials, Inc. 16,700 1,445
Arbor Drugs, Inc. 16,350 266
Archer-Daniels-Midland Co. 103,818 1,934
Argent Bank 2,000 75
Argonaut Group, Inc. 10,381 328
* Armco, Inc. 54,496 368
Armor All Products Corp. 8,800 150
Armstrong World Industries Inc. 7,092 355
* Arrow Electronics, Inc. 13,199 657
* Artisoft, Inc. 26,104 215
ASARCO, Inc. 8,624 263
Ashland Inc. 11,871 417
* Aspect Telecommunications 5,800 261
* Associated Group, Inc. 14,700 265
* Associated Group, Inc. Class B 2,000 36
Astro-Med, Inc. 4,300 49
* Asyst Technologies, Inc. 11,500 427
* Atlanta Sosnoff Capital 19,700 129
Atlanta Gas Light Co. 3,800 132
Atlantic Richfield Co. 32,651 3,583
Atlantic Southeast Airlines Inc. 4,100 124
Atlantic Energy, Inc. 20,000 378
* Atlantic Tele-Network, Inc. 5,000 42
* Atmel Corp. 9,000 499
Atmos Energy Corp. 7,250 147
* Atwood Oceanics, Inc. 10,700 173
* Aura Systems, Inc. 54,800 269
Autodesk, Inc. 9,690 414
Automatic Data Processing, Inc. 28,801 1,811
* Automotive Industries Holding Inc. Class A 5,200 140
* AutoZone, Inc. 28,900 726
Avemco Corp. 13,800 240
Avery Dennison Corp. 10,187 407
Aviall Inc. 24,219 203
Avnet, Inc. 8,200 397
Avon Products, Inc. 13,365 895
* BHC Communications, Inc. Class A 4,900 394
* BJ Services Co. 992 23
* BJ Services Co. Warrants Exp. 04/13/00 353 2
BMC Industries, Inc. 12,400 312
* BMC Software, Inc. 4,600 354
BMJ Financial Corp. 14,800 198
* BOK Financial Corp. 4,890 108
* BPI Packaging Technologies Inc. 28,900 111
BSB Bancorp, Inc. 2,981 91
* B.U.M. International, Inc. 12,875 53
* Badger Paper Mills, Inc. 9,300 141
Baker Hughes, Inc. 27,490 564
Baldor Electric Co. 4,920 141
* Baldwin Technology Class A 11,900 60
Ball Corp. 12,201 426
Ballard Medical Products 22,266 289
Baltimore Gas & Electric Co. 28,953 724
Banc One Corp. 79,587 2,567
Bancorp Hawaii, Inc. 7,500 225
Bandag, Inc. 4,238 265
Bandag, Inc. Class A 538 31
Bangor Hydro-Electric Co. 16,300 167
Bank of Boston Corp. 22,345 838
The Bank of New York Co., Inc. 38,086 1,538
Bank South Corp. 10,200 226
BankAtlantic Bancorp 1,905 34
BankAmerica Corp. 75,832 3,991
Bankers Corp. 12,496 205
Bankers First Corp. 8,704 256
Bankers Life Holding Corp. 9,900 188
Bankers Trust New York Corp. 15,371 953
Bank North Group 3,300 88
BanPonce Corp. 9,477 338
* Banyan Systems, Inc. 14,300 197
C.R. Bard, Inc. 9,418 283
Barefoot, Inc. 9,400 130
* Barnes & Noble Inc. 14,676 499
Barnes Group, Inc. 2,700 109
Barnett Banks, Inc. 19,746 1,012
* Barr Labs Inc. 12,000 260
Bassett Furniture Industries, Inc. 2,863 79
Battle Mountain Gold Co. Class A 31,900 307
Bausch & Lomb, Inc. 11,368 472
Baxter International, Inc. 56,258 2,046
* Bay Networks 22,870 943
* Bay Ridge Bancorp, Inc. 10,600 221
BayBanks, Inc. 3,900 310
Bear Stearns Co., Inc. 23,789 508
BeautiControl Cosmetics 6,800 75
Beckman Instruments 9,468 264
Becton, Dickinson & Co. 13,561 790
* Bed Bath and Beyond 1,026 25
Bell Atlantic Corp. 88,367 4,949
</TABLE>
20
<PAGE> 49
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bell Bancorp, Inc. 8,200 $ 235
* Bell Industries, Inc. 12,794 273
BellSouth Corp. 100,855 6,404
A. H. Belo Corp. Class A 7,800 239
Bemis Co., Inc. 10,501 273
Beneficial Corp. 10,106 445
Bergen Brunswig Corp. Class A 9,001 206
W.R. Berkley Corp. 8,600 307
* Berkshire Hathaway 228 5,347
Berkshire Realty Co., Inc. 23,300 230
* Berlitz International, Inc. 15,128 223
Berry Petroleum Class A 6,800 66
* Bertucci's Holding Corp. 20,500 154
* Best Buy, Inc. 10,100 269
* BET Holdings Inc. Class A 4,700 86
* Bethlehem Steel Corp. 20,482 333
* Bettis Corp. 6,600 24
Betz Laboratories, Inc. 4,800 217
* Beverly Enterprises Inc. 20,179 250
BIC Corp. 7,645 300
* Biogen, Inc. 7,500 335
* Biomet, Inc. 22,089 341
* Biotechnology General 26,600 80
* Black & Decker Corp. 16,541 511
* Black Hawk Gaming & Development Co., Inc. 13,300 103
E.W. Blanch Holdings, Inc. 6,000 112
Blimpie International, Inc. 11,700 86
Block Drug Co. Class A 5,054 175
H & R Block, Inc. 20,456 841
Boatmen's Bancshares, Inc. 25,146 885
Bob Evans Farms, Inc. 11,500 234
Boddie-Noell Properties Inc. 12,800 165
The Boeing Co. 69,214 4,335
Boise Cascade Corp. 13,738 556
* Bolt Beranek and Newman, Inc. 13,200 361
Borg-Warner Automotive, Inc. 4,000 114
* Borland International, Inc. 17,700 230
Boston Edison Co. 8,400 219
* Boston Scientific Corp. 36,125 1,151
Bowater, Inc. 11,800 530
Brandon Systems Corp. 1,579 34
Breed Technological Inc. 15,700 377
Briggs & Stratton Corp. 7,028 242
* Brinker International, Inc. 13,424 232
Bristol-Myers Squibb Co. 102,714 6,997
* Bright Voice Systems, Inc. 13,000 234
* Broadband Technologies, Inc. 8,000 200
* Broderbund Software 3,488 222
* Brooklyn Bancorp, Inc. 8,500 285
Brooklyn Union Gas Co. 8,350 219
* Brothers Gourmet Coffees, Inc. 5,800 44
Brown-Forman Corp. Class B 13,551 452
Browning-Ferris Industries, Inc. 42,509 1,536
Bruno's Inc. 13,244 155
Brunswick Corp. 17,397 296
Bryn Mawr Bank Corp. 1,900 69
* Burlington Coat Factory Warehouse Corp. 8,975 93
* Burlington Industries 2,697 31
Burlington Northern, Inc. 18,087 1,146
Burlington Resources, Inc. 25,500 940
Burnham Pacific Properties, Inc. 13,500 182
* Business Records Corp. 3,500 128
CBI Industries, Inc. 12,491 314
CBS, Inc. 12,495 837
CCH Inc. Class A 3,500 77
CCH Inc. Class B 7,500 160
CCP Insurance, Inc. 6,600 150
* CFI ProServices, Inc. 12,069 169
CFSB Bancorp, Inc. 8,460 167
CIGNA Corp. 14,563 1,130
CIPSCO, Inc. 9,400 281
CMAC Investment Corp. 913 40
CML Group, Inc. 14,700 116
CMS Energy Corp. 16,461 405
* CNA Financial Corp. 12,133 1,048
CPC International, Inc. 29,743 1,837
CPI Corp. 10,000 191
CRI Liquidating REIT, Inc. 10,400 36
CSX Corp. 21,303 1,600
* CUC International, Inc. 23,150 972
* Cabletron Systems, Inc. 14,217 757
Cabot Corp. 7,800 411
* Cadence Design Systems, Inc. 17,100 554
* Cadiz Land Co., Inc. 44,000 198
Cadmus Communications 9,600 227
* Caldor Corp. 8,100 145
Calgon Carbon Corp. 8,300 101
* California Federal Bank Class A 18,700 245
Callaway Golf Co. 15,600 234
Camco International, Inc. 9,800 229
* Cameron Ashley, Inc. 10,300 134
Campbell Soup Co. 50,199 2,460
* Canandaigua Wine Co., Inc. Class A 5,808 259
* Canonie Environmental Services Corp. 3,600 20
Capital Bancorporation 5,100 156
Capital Cities/ABC, Inc. 31,220 3,372
Capital One Financial Corp. 21,608 421
Capital Re Corp. 9,100 237
Capitol American Financial Corp. 8,500 193
* Capsure Holdings 17,100 239
Caraustar Industries, Inc. 14,300 261
Cardinal Health, Inc. 7,875 372
Caremark International, Inc. 12,964 259
* Carmike Cinemas, Inc. Class A 4,500 109
</TABLE>
21
<PAGE> 50
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Carnival Cruise Lines, Inc. 56,072 $ 1,311
Carolina Power & Light Co. 30,966 937
Carpenter Technology Corp. 3,700 252
Carter-Wallace, Inc. 16,600 189
Case Corp. 14,000 417
* Casino Magic Corp. 33,900 189
* Catalina Marketing Corp. 580 31
* Catellus Development Corp. 28,600 182
Caterpillar, Inc. 40,298 2,589
* Catherines Stores 22,600 244
* Cellular Communications Series A 7,100 321
* Celtrix Labs 25,300 67
Center Banks Inc. 14,800 202
Centerior Energy Corp. 29,100 280
Centex Corp. 4,236 120
* Centigram Communications 9,300 135
* Centocor, Inc. 27,248 392
Central & South West Corp. 37,502 984
Central Fidelity Banks, Inc. 7,350 222
Central Hudson Gas & Electric Corp. 11,300 305
Central Louisiana Electric Co. 11,808 277
Central Newspapers Inc. 11,050 327
Central Reserve Life Corp. 14,900 118
Century Telephone Enterprises, Inc. 10,580 300
* Ceridian Corp. 12,335 455
* Chalone Wine Group Ltd. 27,800 203
Champion International Corp. 19,052 993
* Chantal Pharmaceutical Corp. 10,100 65
Charter One Financial 10,200 251
Charming Shoppes, Inc. 11,392 61
The Chase Manhattan Corp. 35,236 1,656
* Checkers Drive-In Restaurant 84,550 161
Chelsea GCA Realty, Inc. 7,500 203
Chemed Corp. 2,900 101
Chemical Banking Corp. 48,954 2,313
Chesapeake Corp. of Virginia 10,217 318
Chester Valley Bancorp. 945 19
Chevron Corp. 132,072 6,158
* Cheyenne Software, Inc. 18,625 345
* Chic by H.I.S., Inc. 21,400 241
* Chipcom Corp. 8,250 196
Chiquita Brands International, Inc. 19,235 269
* Chiron Corp. 7,913 512
Chittenden Corp. 8,218 180
Chrysler Corp. 74,720 3,577
The Chubb Corp. 17,681 1,417
Church and Dwight, Inc. 14,600 303
Churchill Downs, Inc. 3,200 135
* Cidco, Inc. 8,900 280
Cilcorp, Inc. 6,600 240
Cincinnati Bell, Inc. 13,000 328
Cincinnati Financial Corp. 10,245 570
Cincinnati Milacron, Inc. 8,100 219
CINergy Corp. 30,966 813
* Circa Pharmaceuticals Inc. 9,900 316
* Circon Corp. 16,200 312
Circuit City Stores, Inc. 19,436 615
* Cirrus Logic 5,700 357
* Cisco Systems, Inc. 54,128 2,737
Cintas Corp. 9,200 329
* Circus Circus Enterprises Inc. 20,541 724
Citicorp 80,542 4,661
Citizens Corp. 15,300 251
* Citizens Utilities Co. Class A 45,134 536
Clayton Homes Inc. 19,765 324
* Clear Channel Communications 4,806 309
* Cliffs Drilling Co. 15,400 218
Clorox Co. 10,302 672
* Coast Savings Financial, Inc. 15,000 309
Coastal Corp. 20,916 635
* Coastal Physician Group, Inc. 8,000 103
Coca-Cola Bottling Co. 3,200 100
The Coca-Cola Co. 257,635 16,424
Coca-Cola Enterprises, Inc. 26,100 571
Coeur D'Alene Mines Corp. 13,700 238
* Cognex Corp. 5,600 225
* Coleman Inc. 10,366 368
Collective Bancorp Inc. 11,449 230
Colgate-Palmolive Co. 28,951 2,117
* Coltec Inc. 12,900 223
* Columbia Gas Systems, Inc. 9,298 295
Columbia/HCA Healthcare Corp. 89,747 3,882
* Columbia First Federal Savings and Loan Assn. 2,300 132
Comcast Corp. Class A 12,860 235
Comcast Corp. Class A Special 35,950 667
* Comdial Corp. 13,700 57
Comdisco, Inc. 13,200 401
Comerica, Inc. 23,052 741
* Commander Aircraft Co. 28,600 154
* Commercial Federal Corp. 12,800 350
Commercial Intertech Corp. 12,200 195
Commercial Metals Co. 9,600 259
* Community Healthcare Systems 5,799 196
* Community Psychiatric Centers 24,163 272
* COMPAQ Computer Corp. 52,680 2,390
* Compression Labs, Inc. 19,900 193
Computer Associates International, Inc. 32,494 2,201
* CompUSA, Inc. 17,200 572
* Computer Sciences Corp. 10,584 602
* Compuware Corp. 8,100 250
Comsat Corp. 6,600 130
ConAgra, Inc. 49,683 1,733
* Cone Mills Corp. 16,500 212
* Conmed Corp. 1,379 34
</TABLE>
22
<PAGE> 51
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Connecticut Natural Gas Corp. 2,400 $ 53
Connecticut Water Services, Inc. 4,000 101
* Conner Peripherals, Inc. 19,807 245
Conrail, Inc. 15,548 865
Conseco, Inc. 5,700 259
* Consilium, Inc. 6,700 66
Consolidated Edison Co. of New York, Inc. 47,296 1,395
Consolidated Freightways, Inc. 8,200 181
Consolidated Natural Gas Co. 18,185 686
Consolidated Papers 8,300 478
* Consolidated Stores, Inc. 20,759 433
* Continuum Co. 9,900 328
* Control Data Corp. 28,533 255
* Convex Computer Corp. 17,000 77
Cooper Industries, Inc. 23,712 937
Cooper Tire & Rubber Co. 16,352 399
* Coram Healthcare Corp. 19,908 281
* Cordis Corp. 4,300 288
CoreStates Financial Corp. 29,385 1,025
* Cornerstone Imaging, Inc. 16,200 267
Corning, Inc. 46,423 1,520
* Country Star Restaurants, Inc. 18,600 83
Countrywide Credit Industries, Inc. 18,117 380
* Coventry Corp. 1,055 15
* Cox Communications Class A 44,335 859
Cracker Barrel Old Country Stores, Inc. 10,554 218
* Craig Corp. 14,577 149
Crane Co. 10,148 368
* Cray Research, Inc. 10,509 256
* Creative Technology 28,300 74
* Credit Acceptance Corp. 19,500 405
* Cree Research, Inc. 17,600 504
Crescent Real Estate Equities, Inc. 10,900 347
Crestar Financial Corp. 7,020 344
Criimi Mae Inc. 15,900 125
Crompton & Knowles Corp. 21,500 304
* Crosscom Corp. 12,000 137
* Crown Books Corp. 11,000 131
* Crown Cork & Seal Co., Inc. 18,035 904
Crown Crafts, Inc. 7,300 120
* Cryomedical Sciences 79,300 173
Cummins Engine Co., Inc. 8,066 352
* Cygne Designs, Inc. 6,900 42
* Cygnus Therapeutic Systems 25,600 258
* Cypress Semiconductor Corp. 8,200 332
Cyprus Amax Minerals Co. 17,848 509
* Cytec Industries, Inc. 7,918 324
* Cytrex Corp. 16,300 32
* DF & R Restaurants, Inc. 6,400 144
* DMX Inc. 49,300 125
DPL, Inc. 21,950 486
DQE Inc. 15,900 374
* DSC Communications Corp. 22,902 1,066
* Daily Journal Corp. 3,100 73
Dames & Moore, Inc. 16,300 212
Dana Corp. 20,246 580
Danaher Corp. 11,200 339
* Darden Restaurants Inc. 30,395 331
* Data Race, Inc. 11,200 118
* Dataware Technologies, Inc. 11,800 152
Dauphin Deposit Bank & Trust 10,820 265
* Davel Communications Group, Inc. 11,500 144
* Dave and Busters 2,940 58
Dayton-Hudson Corp. 14,494 1,040
Dean Foods Corp. 8,467 237
Dean Witter Discover & Co. 34,250 1,610
Deere & Co. 17,164 1,470
* Dell Computer 8,500 512
Delmarva Power & Light Co. 12,300 252
* Delphi Information Systems Inc. 35,900 76
Delta Air Lines, Inc. 10,023 739
Deluxe Corp. 16,736 554
Dentsply International 7,100 256
* Department 56 Inc. 9,295 356
* Desoto, Inc. 17,000 83
* Destec Energy Inc. 22,700 292
* Detroit Diesel Corp. 13,400 283
Detroit Edison Co. 29,396 867
Developers Diversified Realty Corp. 10,400 299
Devon Energy Corp. 13,533 291
Dexter Corp. 10,800 255
Diagnostic Products Corp. 8,100 296
The Dial Corp. 18,024 446
* Dial Page, Inc. 6,200 90
Diebold, Inc. 6,793 295
* Digi International, Inc. 3,600 81
* Digital Equipment Corp. 29,184 1,189
Dillard Department Stores Class A 21,750 639
* Dime Bancorp Inc. 29,382 294
Dimon Inc. 13,950 235
The Walt Disney Co. 105,919 5,892
Dole Food Co. 11,600 338
Dollar General Corp. 13,312 421
Dominion Resources, Inc. 34,543 1,261
R.R. Donnelley & Sons Co. 30,902 1,112
Donnelly Corp. 12,800 206
* Dovatron International Inc. 8,657 210
* Dove Audio, Inc. 19,000 132
Dover Corp. 11,271 820
Dow Chemical Co. 55,480 3,988
Dow Jones & Co., Inc. 18,895 697
* Dravo Corp. 14,639 216
* The Dress Barn, Inc. 7,400 71
Dresser Industries, Inc. 35,876 798
</TABLE>
23
<PAGE> 52
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Dreyer's Grand Ice Cream, Inc. 9,400 $ 344
* Drug Emporium, Inc. 45,470 190
E.I. du Pont de Nemours & Co. 127,812 8,787
* Dual Drilling Co. 21,500 210
Duke Power Co. 41,011 1,702
The Dun & Bradstreet Corp. 34,172 1,794
Duracell International, Inc. 23,525 1,017
Duriron Co., Inc. 13,150 298
Duty Free International Inc. 6,274 55
* Dynatech Corp. 14,200 270
EG & G, Inc. 19,736 331
* EMC Corp. 42,600 1,033
* ESSEF Corp. 6,800 109
Eastern Bancorp, Inc. 8,800 195
Eastern Enterprises 9,077 271
Eastern Utilities Associates 9,071 205
Eastman Chemical 16,844 1,002
Eastman Kodak Co. 68,977 4,182
Eaton Corp. 15,396 895
Echlin, Inc. 12,142 422
Echo Bay Mines Ltd. 19,600 176
Ecolab, Inc. 13,192 323
Edison Brothers Stores, Inc. 14,700 176
* Edisto Resources Corp. 32,100 233
* Edo Corp. 17,800 58
* Education Alternatives, Inc. 18,300 229
A.G. Edwards & Sons, Inc. 12,333 277
El Paso Natural Gas 5,649 161
Elco Industries Inc. 5,700 107
* Electronic Arts 14,900 405
* Electronics for Imaging, Inc. 5,000 262
Emerson Electric Co. 47,317 3,383
Emphesys Financial Group, Inc. 7,300 172
Empire District Electric Co. 14,200 247
* Empire of Carolina, Inc. 8,900 76
* Emulex Corp. 23,950 581
Energen Corp. 9,800 211
* Energy Ventures Inc. 13,900 250
Engelhard Corp. 18,576 796
Enron Corp. 50,982 1,791
Enron Global Power & Pipelines L.L.C. 4,000 95
Enron Oil & Gas Co. 31,824 692
ENSERCH Corp. 12,212 209
Entergy Corp. 45,824 1,106
* Enterra Corp. 14,206 298
Equifax, Inc. 15,000 501
The Equitable Cos. 36,700 766
Equitable of Iowa Co. 9,500 312
Equitable Resources, Inc. 11,500 332
Equus Gaming Co. LP Units 1,000 4
Essex Property Trust, Inc. 11,200 203
* Ethan Allen Interiors Inc. 12,800 227
Ethyl Corp. 21,530 229
* Evergreen Media Corp. 11,500 300
* Exabyte Corp. 12,100 167
Excel Realty Trust, Inc. 11,600 231
Exide Corp. 4,600 198
* Exide Electronics Group, Inc. 4,538 103
Expeditors International of Washington, Inc. 5,900 133
* Express America Holdings Co. 13,400 72
* Express Scripts 6,500 226
* Exstar Financial Corp. 5,800 17
Exxon Corp. 252,484 17,832
* FHP International Corp. 11,000 254
* FMC Corp. 7,376 496
FMC Gold Co. 40,600 162
* FM Properties Inc. 35,900 99
F.N.B. Corp. 8,538 157
FPL Group, Inc. 37,734 1,457
* FTP Software, Inc. 12,700 384
Factory Stores of America, Inc. 9,500 195
Fair Issac & Co. 8,200 239
Family Dollar Stores, Inc. 8,300 122
Farmer Brothers, Inc. 1,500 189
Fay's Drug Co. 10,075 77
* Fedders Corp. 30,045 207
Fedders Corp. Class A 7,715 32
* Federal Express Corp. 11,021 670
Federal Home Loan Mortgage Corp. 36,608 2,517
Federal-Mogul Corp. 9,000 164
Federal National Mortgage Assn. 55,496 5,237
Federal Paper Board Co., Inc. 8,728 309
Federal Signal Corp. 12,662 274
* Federated Department Stores 37,200 958
Ferro Corp. 12,200 323
Fifth Third Bancorp 13,100 740
* 50-Off Stores, Inc. 7,400 14
* Figgie International Inc. Class A 9,500 81
* Figgie International Inc. Class B 900 7
* Filene's Basement Corp. 49,200 166
* FileNet Corp. 8,700 351
Fina Inc. 5,400 252
Fingerhut Co. 11,854 185
Finova Group, Inc. 9,600 336
* First Alert, Inc. 17,600 259
First American Corp. (Tenn.) 8,900 320
First American Bank Corp. 12,800 475
First American Financial Corp. 9,600 222
First Bank System, Inc. 27,100 1,111
First Chicago Corp. 17,695 1,059
First Citizens BancShares Class A 2,000 98
First Colony Corp. 17,224 413
First Commerce Bancshares Inc. Class A 2,900 50
</TABLE>
24
<PAGE> 53
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
First Commerce Corp. 9,192 $ 271
First Commonwealth Financial Corp. 6,400 97
First Data Corp. 23,800 1,354
First Empire State Corp. 2,300 394
First Fidelity Bancorp. 15,678 925
First Financial Bancorp 2,591 87
First Financial Savings Assn. 5,600 97
First Financial Management 13,000 1,112
First Hawaiian, Inc. 15,100 400
First Interstate Bancorp. 15,594 1,251
First Michigan Bank Corp. 9,573 235
First Midwest Bancorp 4,600 113
First Security Corp. 8,750 247
First Source Corp. 1,091 32
First Tennessee National Corp. 6,800 315
First Union Corp. 34,192 1,547
First Union Real Estate 24,200 182
First USA Inc. 10,900 484
First Virginia Banks, Inc. 6,307 237
First Western Bancorp 5,215 149
Firstar Corp. 16,466 554
* Firstbank Puerto Rico 17,325 312
FirstFed Michigan Corp. 4,050 114
* FIserv, Inc. 12,200 341
Firstier Financial Inc. 7,650 284
First Bancorp of Ohio 8,300 221
* First Federal Financial 21,800 319
Fisher Scientific International Inc. 5,000 166
Fleet Financial Group, Inc. 28,647 1,064
Fleetwood Enterprises, Inc. 12,158 240
Fleming Cos., Inc. 14,236 377
FlightSafety International, Inc. 5,800 283
Florida Progress Corp. 19,350 605
Flowers Industries, Inc. 6,100 120
Fluor Corp. 16,781 873
Food Lion Inc. Class A 90,600 538
Food Lion Inc. Class B 7,694 47
* Foodmaker, Inc. 31,700 174
Ford Motor Co. 208,674 6,208
* Fore Systems, Inc. 12,000 360
* Foreland Corp. 2,700 5
Foremost Corp. of America 5,300 204
Forest City Enterprise Class A 4,300 165
* Forest Laboratories, Inc. 8,792 390
* Forstmann & Co., Inc. 3,600 7
Fort Wayne National Corp. 7,400 203
Foster Wheeler Corp. 6,679 235
* Foundation Health Co. 11,300 305
Fourth Financial Corp. 9,000 299
* FoxMeyer Health Corp. 9,862 176
* Frame Technology 13,200 384
Franklin Electric, Inc. 4,800 151
Franklin Resources Corp. 16,300 725
* Freeport McMoRan, Inc. 28,800 508
Freeport McMoRan Copper & Gold Inc. Class A 11,512 237
Fremont General Corp. 8,965 216
* Fresh Choice, Inc. 21,700 228
* Fritz Cos., Inc. 6,400 376
Frontier Corp. 15,256 366
* Fruehauf Trailer Corp. 16,500 56
* Fruit of the Loom, Inc. 14,688 310
Fulton Financial Corp. 11,700 212
* Fund American Enterprise Holding Co. 3,885 277
G & L Realty Corp. 20,600 209
GATX Corp. 6,500 306
* GC Cos. 7,391 242
GEICO Corp. 13,200 747
GTE Corp. 197,179 6,729
Gainsco, Inc. 8,616 86
Arthur J. Gallagher & Co. 5,400 196
Gannett Co., Inc. 28,182 1,529
The Gap, Inc. 29,274 1,021
* Gardner Denver Machinery, Inc. 15,968 279
* Gateway 2000 Inc. 18,700 427
Gaylord Entertainment Class A 17,115 432
* Genentech Inc. 23,183 1,127
General Binding Corp. 4,800 80
General Dynamics Corp. 11,958 531
General Electric Co. 344,188 19,404
* General Instrument 27,500 1,055
General Mills, Inc. 32,095 1,649
General Motors Corp. 151,323 7,093
General Motors Corp. Class E 57,800 2,514
General Motors Corp. Class H 17,600 695
* General Nutrition Cos., Inc. 15,400 537
General Public Utilities Corp. 22,200 660
General Re Corp. 16,639 2,228
General Signal Corp. 8,714 346
* Genetics Institute Inc. Depository Shares 10,300 350
* Gentex Corp. 10,600 211
* Geneva Steel Class A 6,000 50
* Gensia Inc. 6,100 22
Genuine Parts Co. 25,001 947
* Genzyme Corp. 8,889 357
* Genzyme Corp. Tissue Repair 4,700 31
Georgia Gulf Corp. 8,802 287
Georgia-Pacific Corp. 18,298 1,587
Giant Food, Inc. Class A 10,868 308
Giant Industries, Inc. 19,500 166
C. R. Gibson Co. 3,000 23
* Gibson Greetings, Inc. 14,200 188
Giddings & Lewis, Inc. 9,400 167
Gilbert Associates, Inc. Class A 5,000 63
</TABLE>
25
<PAGE> 54
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Gilead Sciences, Inc. 14,800 $ 260
Gillette Co. 89,784 4,007
P.H. Glatfelter Co. 11,300 227
* Glenayre Technologies, Inc. 7,050 361
* Global Natural Resources, Inc. 21,600 232
* Global Village Communication 19,000 293
* Go Video, Inc. 37,500 66
Golden West Financial Corp. 11,476 541
The BF Goodrich Co. 7,300 391
The Goodyear Tire & Rubber Co. 30,372 1,253
* Goody's Family Clothing 19,550 222
Gorman-Rupp Co. 3,825 55
Goulds Pumps, Inc. 3,709 81
W.R. Grace & Co. 19,176 1,177
Graco, Inc. 3,600 97
W.W. Grainger, Inc. 10,336 607
Granite Construction Co. 6,600 148
Graphic Industries, Inc. 12,000 121
Great Atlantic & Pacific Tea Co., Inc. 7,401 195
Great Lakes Chemical Corp. 13,307 802
Great Western Financial Corp. 26,621 549
Green Mountain Power Corp. 9,500 239
Green Tree Financial Corp. 13,200 586
Green Point Financial Corp. 9,700 229
* Greyhound Lines, Inc. 67,400 337
* Groundwater Technology, Inc. 13,000 161
* Gtech Holdings Corp. 16,900 494
Guaranty National Corp. 13,500 250
* Guidant Corp. 12,900 310
Guilford Mills, Inc. 8,300 202
* Gupta Corp. 15,500 148
HBO and Co. 6,600 361
Halliburton Co. 22,642 809
* Hamburger Hamlet Restaurants 24,000 108
Hancock Fabrics, Inc. 13,800 126
Handleman Co. 18,061 174
Hannaford Brothers Co. 11,500 328
Harcourt General, Inc. 14,415 613
John H. Harland Co. 15,887 363
Harley-Davidson, Inc. 14,012 342
Harmon Industries, Inc. 15,300 258
Harnischfeger Industries Inc. 8,638 299
Harper Group, Inc. 5,600 92
Harris Corp. 7,608 393
* Harris Computer Systems 2,285 31
Harsco Corp. 6,584 347
Harte-Hanks Communications Co. 8,800 222
Hartford Steam Boiler Inspection & Insurance Co. 7,257 322
Hasbro, Inc. 17,777 564
Haverfield Corp. 5,700 80
Hawaiian Electric Industries Inc. 9,365 341
Health Care Properties Investors 8,600 275
Health Care REIT, Inc. 7,200 149
* Health Management Associates Class A 8,000 234
* Health Management Systems, Inc. 9,600 277
* Health Professionals, Inc. 6,700 3
Health and Retirement Properties Trust 16,300 245
* Health Systems 11,800 342
* Healthcare & Retirement Corp. 6,400 187
* HealthCare Compare Corp. 12,200 366
* Healthdyne Inc. 9,600 41
* Healthdyne Technologies, Inc. 6,246 65
* Healthsource, Inc. 8,700 305
* HEALTHSOUTH Corp. 33,930 590
* Healthwise of America Inc. 8,940 230
* Heartland Express, Inc. 8,441 219
Hechinger Co. Class A 24,600 175
Hechinger Co. Class B 5,118 36
* Hecla Mining Co. 27,800 288
Heilig-Meyers Co. 8,600 219
H.J. Heinz Co. 48,631 2,158
Helmerich & Payne, Inc. 10,793 318
Herbalife International, Inc. 8,100 102
Hercules, Inc. 23,686 1,155
Hershey Foods Corp. 16,910 934
Hewlett-Packard Co. 103,364 7,701
Hibernia Corp. Class A 24,022 213
Hillenbrand Industries, Inc. 13,600 423
Hilton Hotels Corp. 9,488 667
* Hinsdale Financial Corp. 9,900 225
* Hogan Systems, Inc. 14,400 146
Holly Corp. 3,500 81
* Hollywood Park, Inc. 15,100 192
Home Depot, Inc. 91,860 3,732
Home Financial Corp. 2,581 37
* Home Shopping Network, Inc. 43,300 368
Homeland Bankshares Corp. 5,600 132
Homestake Mining Co. 27,081 447
Honeywell, Inc. 25,098 1,082
Horace Mann Educators Corp. 9,500 219
Horizon Bank 14,320 167
Hormel Foods Corp. 15,700 410
* Horsehead Resource Development Co., Inc. 19,600 92
* Hospitality Franchise Systems, Inc. 9,800 339
* Host Marriott 29,524 314
Household International, Inc. 19,713 976
Houston Industries, Inc. 26,684 1,124
* Hovnanian Enterprises Class A 27,300 159
Hubbell Inc. Class A 700 38
Hubbell Inc. Class B 5,350 302
Hudson Foods Inc. Class A 16,200 225
* Humana, Inc. 32,146 567
</TABLE>
26
<PAGE> 55
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Hungarian Teleconstruct Corp. 12,000 $ 65
Hunt Manufacturing Co. 15,700 239
J.B. Hunt Transport Services, Inc. 11,100 203
Huntington Bancshares Inc. 24,912 520
* Hyperion Software Corp. 774 35
IBP, Inc. 9,500 413
ICN Pharmaceuticals 9,902 156
* IEC Electronics Corp. 28,000 207
* IGI, Inc. 1,890 29
* IHOP Corp. 2,600 68
IMC Global Inc. 8,303 449
IRT Property Co. 27,200 265
* I-STAT Corp. 7,500 274
ITT Corp. 21,400 2,515
Idaho Power Co. 12,600 318
Ideon Group 18,200 180
IDEX Corp. 9,750 327
* IDEXX Laboratories 7,200 189
Illinois Central Corp. 8,600 297
Illinois Tool Works, Inc. 22,864 1,258
Illinova Corp. 14,100 358
* Image Business Systems Corp. 23,400 1
* Immucor Inc. 28,000 264
* Immulogic Pharmaceutical Corp. 8,100 65
* Immune Response 19,717 84
* Immunomedics Inc. 14,400 33
* INDRESSCO Inc. 16,091 249
* Infinity Broadcasting Corp. 16,312 544
* Informix Corp. 26,400 668
Ingersoll-Rand Co. 20,625 789
* Information Resources, Inc. 21,835 306
Inland Steel Industries, Inc. 8,700 265
* Innovative Gaming Corp. 10,050 82
* Insilco Corp. 1,800 63
* Insituform Technologies Class A 13,600 182
* Insurance Auto Auctions, Inc. 3,000 87
Integra Financial Corp. 6,700 326
Integon Corp. 8,020 136
* Integrated Device Technology Inc. 10,100 466
Integrated Health Services, Inc. 8,200 246
Intel Corp. 167,756 10,621
Intelligent Electronics Inc. 16,414 223
Intercontinental Bank 8,200 233
Interface, Inc. 14,000 173
* Intergraph Corp. 18,773 212
* Interim Services, Inc. 7,800 194
International Business Machines Corp. 117,606 11,290
* International Dairy Queen, Inc. Class A 11,988 234
* International Dairy Queen, Inc. Class B 2,300 46
* International Family Entertainment 12,500 197
International Flavors & Fragrances, Inc. 22,511 1,120
International Game Technology 26,502 407
* International Jensen 7,000 50
* International Lottery & Totalizator 23,600 75
International Multifoods Corp. 11,181 252
International Paper Co. 25,357 2,174
* International Specialty Products, Inc. 16,100 137
* International Technology 58,400 175
* Interneuron Pharmaceutical, Inc. 21,700 224
Interpublic Group of Cos., Inc. 16,000 600
Interstate Bakeries 14,600 241
* Intuit, Inc. 3,600 274
Ipalco Enterprises, Inc. 8,900 284
Irwin Financial Corp. 6,200 216
ISCO, Inc. 16,985 189
* Itel Corp. 5,300 207
IVAX Corp. 22,900 564
* JMC Group Inc. 5,200 5
JSB Financial 8,301 241
* Jacobs Engineering Group Inc. 6,100 134
James River Corp. 15,741 435
Jefferson-Pilot Corp. 9,343 512
* Jefferson Smurfit Corp. 22,600 297
Johnson & Johnson 130,667 8,836
Johnson Controls, Inc. 8,312 470
* Jones Apparel Group, Inc. 12,500 373
Joslyn Manufacturing Co., Inc. 2,600 67
Jostens Inc. 16,240 345
Juno Lighting, Inc. 5,300 85
Justin Industries, Inc. 5,700 63
* KLA Instruments Corp. 4,600 356
Kmart Corp. 91,953 1,345
KN Energy, Inc. 1,379 35
K U Energy Corp. 6,600 184
* Kaiser Aluminum & Chemical Corp. 22,500 312
* Kaneb Services, Inc. 91,400 194
Kansas City Life Insurance Co. 1,400 69
Kansas City Power & Light Co. 12,600 288
Kansas City Southern Industries, Inc. 8,162 304
Kaufman & Broad Home Corp. 14,226 206
Kaydon Corp. 9,400 280
Kellogg Co. 44,665 3,188
Kelly Services, Inc. Class A 13,975 356
Kemper Corp. 7,000 326
Kerr-McGee Corp. 10,279 551
* Kevlin Corp. 2,200 6
KeyCorp 47,659 1,495
Keystone Financial, Inc. 1,062 30
Keystone International, Inc. 9,400 184
Kimball International, Inc. Class B 10,900 293
Kimberly-Clark Corp. 32,273 1,932
Kimco Realty Corp. 7,700 293
</TABLE>
27
<PAGE> 56
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Kinetic Concepts, Inc. 15,300 $ 107
* King World Productions, Inc. 6,700 271
Knight-Ridder, Inc. 10,435 593
* Kohls Corp. 6,700 306
* Komag, Inc. 9,900 516
* The Kroger Co. 22,417 602
Kuhlman Corp. 20,576 231
* LCI International, Inc. 13,663 418
* LDDS Communications, Inc. 32,995 889
LG&E Energy Corp. 6,050 236
LSI Industries Inc. 15,855 303
* LSI Logic Corp. 24,400 955
LTC Properties, Inc. 12,900 169
* LTV Corp. 18,700 273
La Quinta Inns Inc. 11,475 310
* Laboratory Corp. of America 23,348 309
Lafarge Corp. 13,700 257
* LAM Research Corp. 9,750 623
Lancaster Colony Corp. 6,400 227
Lance, Inc. 5,721 106
* Lancer Corp. 6,300 124
* Lands' End, Inc. 15,600 254
* Lattice Semiconductor Corp. 11,650 401
Lawter International Inc. 16,534 198
* Lazare Kaplan International, Inc. 16,700 126
Lee Enterprises, Inc. 9,600 366
* Legent Corp. 7,289 319
Leggett & Platt, Inc. 8,200 361
Lehman Brothers Holdings, Inc. 23,888 523
Lennar Corp. 6,300 118
* Leslie Fay Co. 15,200 4
Leucadia National Corp. 8,200 414
Libbey, Inc. 3,000 62
Liberty Bancorp 7,100 231
Life Partners Group, Inc. 9,300 186
Life Re Corp. 4,700 88
* Lifecore Biomedical Inc. 7,300 56
Eli Lilly & Co. 59,240 4,650
Lilly Industries Inc. Class A 17,168 206
The Limited, Inc. 71,851 1,581
* Lin Broadcasting Corp. 10,332 1,308
* Lin Television 11,616 391
* Lincare Holdings Inc. 11,600 309
Lincoln National Corp. 18,452 807
* Lindsay Manufacturing Co. 2,900 100
Linear Technology Corp. 7,198 473
* Liposome Co., Inc. 10,000 110
Liposome Technology, Inc. 27,800 287
* Littelfuse, Inc. 6,200 195
* Litton Industries, Inc. 9,269 342
Liz Claiborne, Inc. 15,174 322
Lockheed Martin Corp. 45,185 2,852
Loctite Corp. 6,600 300
Loews Corp. 11,900 1,440
Logicon, Inc. 1,600 71
* Lone Star Casino Corp. 49,900 29
* Lone Star Steakhouse & Saloon 13,000 393
Long Island Lighting Co. 22,235 345
Longview Fiber Co. 19,230 327
Loral Corp. 17,092 885
* Loronix Information Systems 27,100 125
* Lotus Development Corp. 9,537 609
Louisiana Land & Exploration Co. 6,899 275
Louisiana-Pacific Corp. 22,200 583
Lowes Cos., Inc. 32,414 968
Lubrizol Corp. 12,700 449
* L. Luria & Son, Inc. 5,100 37
Lyondell Petrochemical Co. 15,546 398
* M/A-Com, Inc. 10,787 127
MBIA, Inc. 8,500 565
MBNA Corp. 30,263 1,021
MCI Communications Corp. 136,390 2,992
MCN Corp. 12,900 255
* MFS Communications Co., Inc. 12,100 387
MGIC Investment Corp. 11,502 539
* MGM Grand Inc. 8,400 230
MTS Systems Corp. 7,000 191
* MVR Value Support Rights Exp. 3/15/98 22,979 1
* MacFrugal's Bargains Close-Outs, Inc. 11,300 198
Madison Gas & Electric Co. 2,600 80
* Mafco Consolidated 5,745 122
* Magma Copper Co. Class B 5,320 86
Magna Group 1,548 34
Mallinckrodt Group, Inc. 15,196 539
Manor Care Inc. 11,451 334
Manpower Inc. 13,800 352
Manufactured Home Communities, Inc. 14,900 229
* Manville Corp. 32,300 444
Mapco Inc. 5,800 336
* Marcam Corp. 15,400 207
Marion Capital Holdings 1,500 28
Marion Merrell Dow, Inc. 54,800 1,397
Mark IV Industries, Inc. 10,857 233
* Markel Corp. 4,400 248
* Marquette Electronics Class A 1,304 21
Marsh & McLennan Cos., Inc. 14,617 1,186
Marshall & Ilsley Corp. 17,151 389
Marriott International 24,424 876
* Marshall Industries 10,228 343
* Martek Biosciences Corp. 5,000 66
* Marvel Entertainment Group 18,734 290
Masco Corp. 31,812 859
MascoTech Inc. 15,800 196
</TABLE>
28
<PAGE> 57
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Masland Corp. 10,400 $ 133
* Material Sciences Corp. 11,250 229
Mattel, Inc. 44,956 1,169
* Maxim Integrated Products, Inc. 5,900 301
* Maxicare Health Plans Inc. 6,900 106
* Maxxam Inc. 2,600 93
May Department Stores Co. 49,600 2,065
Maytag Corp. 21,936 351
* McAfee Associates, Inc. 1,846 56
McClatchy Newspapers, Inc. 8,600 190
McCormick & Co., Inc. 16,217 351
McDermott International, Inc. 9,602 232
McDonald's Corp. 141,020 5,517
McDonnell Douglas Corp. 23,129 1,775
The McGraw-Hill Cos. 10,103 767
McKesson Corp. 8,603 402
* McMoRan Oil and Gas 50,500 152
* McWorter Technologies Inc. 10,800 162
The Mead Corp. 10,859 645
* Medaphis Corp. 8,016 172
* Medar, Inc. 26,700 249
Media General, Inc. Class A 5,000 153
* MedImmune Inc. 8,600 123
* Megafoods Stores, Inc. 5,100 1
Meditrust 9,200 314
Medtronic, Inc. 23,232 1,792
Mellon Bank Corp. 29,831 1,242
Melville Corp. 20,570 705
* Men's Wearhouse, Inc. 9,300 258
Mentor Corp. 1,348 37
* Mentor Graphics Corp. 19,400 337
Mercantile Bancorp, Inc. 10,519 472
Mercantile Bankshares Corp. 11,600 261
Mercantile Stores Co., Inc. 7,490 348
Merck & Co., Inc. 251,285 12,313
Mercury Finance Co. 23,366 450
Meredith Corp. 11,450 291
Meridian Bancorp, Inc. 10,896 373
Meridian Diagnostics, Inc. 12,686 118
Merrill Lynch & Co., Inc. 36,648 1,924
* Mesa Airlines, Inc. 44,800 412
Methode Electronics, Inc. Class A 2,034 40
* Fred Meyer, Inc. 9,900 269
Michael Foods, Inc. 19,300 209
Michigan National Corp. 4,300 457
* Micrion Corp. 13,500 179
* Microsoft Corp. 117,694 10,644
Mid Am Inc. 5,408 83
* Micro Warehouse Inc. 10,700 494
* Micron Electronics, Inc. 20,200 381
Micron Technology Inc. 41,100 2,255
Mid Atlantic Realty Trust 21,000 184
* Mid Atlantic Medical Services 16,500 305
Mid-American Waste Systems, Inc. 16,300 79
Middlesex Water Co. 6,000 95
Midlantic Corp. 10,300 411
Midwest Resources Inc. 21,200 315
Herman Miller, Inc. 7,329 180
Millipore Corp. 5,519 373
* Milwaukee Land Co. 7,700 64
Minerals Technologies, Inc. 10,600 382
Minnesota Mining & Manufacturing Co. 85,406 4,889
Minnesota Power & Light Co. 6,800 185
* Mirage Resorts, Inc. 17,450 534
Mitchell Energy & Development Corp. Class A 6,200 113
Mobil Corp. 80,194 7,699
Modine Manufacturing Co. 5,862 216
* Mohawk Industries, Inc. 16,400 242
* Molecular Biosystems, Inc. 16,600 104
Molex, Inc. 16,437 635
The Money Store 6,150 221
Monsanto Co. 23,287 2,099
Montana Power Co. 10,900 251
J.P. Morgan & Co., Inc. 37,771 2,649
* Morgan Products Ltd. 9,300 56
Morgan Stanley Group, Inc. 15,316 1,241
Morrison Restaurants 8,575 206
Morton International, Inc. 28,743 841
Mosinee Paper Corp. 3,520 77
Motorola, Inc. 119,164 7,999
* Mueller Industries Inc. 1,000 49
* MTL, Inc. 14,800 203
* Multicare Cos., Inc. 8,900 155
* Multimedia, Inc. 11,947 463
Murphy Oil Corp. 9,200 377
* Musicland Stores Corp. 24,600 252
* Mycogen Corp. 16,100 137
Mylan Laboratories, Inc. 15,700 483
NAC Re Corp. 9,500 296
NBD Bancorp, Inc. 32,260 1,032
NCH Corp. 3,300 190
* NCI Building Systems, Inc. 4,400 72
* NFO Research Inc. 1,935 39
NIPSCO Industries Inc. 11,930 406
* NPC International Class A 9,700 60
* NPC International Class B 3,400 20
* NS Group Inc. 31,000 105
N.S. Bancorp Inc. 3,900 121
NYMAGIC, Inc. 5,000 79
Nabisco Holdings Corp. Class A 8,100 219
* Nabors Industries, Inc. 20,000 165
NACCO Industries, Inc. Class A 3,669 220
</TABLE>
29
<PAGE> 58
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Nalco Chemical Co. 12,900 $ 469
Nash-Finch Co. 3,900 63
Nashua Corp. 2,300 44
* National Auto Credit Co. 19,939 264
National Bankcorp of Alaska Inc. 3,200 165
* National City Bancorporation 7,189 111
National City Corp. 29,771 875
National Fuel & Gas Co. 7,200 206
* National Gaming Corp. 20,680 176
* National Gypsum Co. 5,123 268
National Health Investors REIT 9,300 253
National Presto Industries, Inc. 1,737 79
National Re Holdings Corp. 5,600 188
* National Semiconductor Corp. 25,218 700
National Service Industries, Inc. 9,891 286
* National Steel Corp. Class B 15,100 234
NationsBank, Inc. 54,522 2,924
* Nationwide Cellular Service Inc. 12,500 329
Nationwide Health Properties, Inc. 7,800 304
* Navistar International Corp. 15,316 232
Neiman Marcus Group Inc. 14,596 208
* Nellcor Inc. 6,200 277
Thomas Nelson, Inc. 4,750 91
* Neostar Retail Group 19,800 307
* Network General Corp. 13,156 359
* Neurogen Corp. 13,500 216
Nevada Power Co. 19,248 397
New England Electric System 12,200 421
New Jersey Resources Corp. 3,800 88
* New Mexico & Arizona Land Co. 20,240 218
New Plan Realty Trust 9,700 217
New York Bancorp Inc. 4,290 85
New York State Electric & Gas Corp. 13,500 316
New York Times Co. Class A 21,539 506
* Newcare Health Corp. 252 1
Newell Co. 30,994 759
Newhall Land & Farming Co. 17,700 246
Newmont Gold Co. 19,609 789
Newmont Mining Corp. 16,825 705
* News Communications, Inc. 500 1
* Nextel Communications 21,400 301
* Nexstar Pharmaceuticals Inc. 19,272 169
Niagara Mohawk Power Corp. 27,196 401
NICOR, Inc. 9,656 260
Nike, Inc. Class B 14,225 1,195
* Nine West Group, Inc. 7,000 256
Noble Affiliates, Inc. 9,100 232
* Noble Drilling Corp. 35,200 255
NorAm Energy Corp. 18,354 119
* Norand Corp. 6,600 268
* Nord Resources Corp. 27,500 93
Nordson Corp. 4,700 259
Nordstrom, Inc. 16,475 681
Norfolk Southern Corp. 26,241 1,768
* Nortek, Inc. 14,800 128
North American Mortgage 8,200 190
* North American Vaccine, Inc. 23,800 237
North Fork Bancorporation, Inc. 8,400 152
Northeast Utilities 24,500 551
Northern States Power Co. of Minnesota 13,573 626
Northern Trust Corp. 10,600 424
Northrop Grumman Corp. 9,770 509
* Northstar Health Services, Inc. 21,850 158
* Northwest Airlines Corp. Class A 16,800 592
Northwest Natural Gas Co. 2,500 78
Norwest Corp. 64,658 1,859
* NovaCare, Inc. 9,588 78
* Nu-Kote Holding, Inc. Class A 8,200 258
* Novell, Inc. 73,752 1,470
* Novellus Systems, Inc. 3,100 210
* Noxso Corp. 36,200 122
Nucor Corp. 17,002 910
NYNEX Corp. 86,200 3,470
OEA, Inc. 10,900 323
* OHM Corp. 7,100 86
* O'Brien Environmental Energy Inc. Class A 12,900 8
Occidental Petroleum Corp. 63,355 1,449
* Oceaneering International, Inc. 10,200 91
* Octel Communications Corp. 6,300 185
* Office Depot, Inc. 29,825 839
* Officemax Inc. 10,200 284
Ogden Corp. 11,945 261
Ohio Casualty Corp. 6,444 205
Ohio Edison Co. 30,101 681
Oil-Dri Corp. of America 12,200 181
Oklahoma Gas & Electric Co. 7,400 260
Old Kent Financial Corp. 7,150 244
Old Republic International Corp. 9,300 243
Olin Corp. 4,100 211
Olsten Corp. 7,250 237
Omnicom Group Inc. 7,200 437
Omega Financial Corp. 3,508 93
Omega Healthcare Investors, Inc. 7,000 178
* Oncor Inc. 46,000 279
One Valley Bancorp of West Virginia Inc. 6,000 184
* Oneita Industries 19,730 180
ONEOK, Inc. 12,209 261
* Oracle Corp. 87,314 3,367
Oregon Steel Mills, Inc. 12,700 217
* OrNda Healthcorp 4,751 82
* Ortel Corp. 8,400 124
* Oryx Energy Co. 19,027 262
Otter Tail Power Co. 902 30
</TABLE>
30
<PAGE> 59
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Outback Steakhouse 11,600 $ 336
Outboard Marine Corp. 13,252 260
Overseas Shipholding Group Inc. 14,800 307
Owens & Minor Holdings Co., Inc. 14,250 178
* Owens-Corning Fiberglas Corp. 9,752 360
* Owens-Illinois, Inc. 24,028 312
* Oxford Health Plan 6,500 306
Oxford Industries, Inc. 4,800 88
PECO Energy Corp. 44,322 1,224
PHH Corp. 2,900 129
The PMI Group Inc. 6,700 291
PNC Bank Corp. 45,102 1,190
PP&L Resources Inc. 29,802 577
PPG Industries, Inc. 41,838 1,799
Paccar, Inc. 7,939 371
Pacific Enterprises 16,670 408
Pacific Gas & Electric Co. 87,151 2,527
Pacific Telecom, Inc. 7,500 224
Pacific Telesis Group 84,772 2,268
* Pacificare Health Systems Inc. Class A 4,600 232
* Pacificare Health Systems Inc. Class B 1,100 56
PacifiCorp 57,238 1,073
* Paging Network Inc. 12,000 408
PaineWebber Group, Inc. 22,800 430
Pall Corp. 23,554 524
Panhandle Eastern Corp. 29,044 708
* Parametric Technology Corp. 10,900 541
Parker Hannifin Corp. 14,218 515
Paychex, Inc. 11,175 408
Penn Virginia Corp. 2,500 71
Penncorp Financial Group Inc. 4,600 85
J.C. Penney Co., Inc. 47,306 2,271
Pentair, Inc. 3,300 144
Penwest Ltd. 4,091 97
Pennzoil Co. 9,372 442
Peoples Bank of Bridgeport 18,800 308
Peoples Energy Corp. 3,771 98
* Peoplesoft Inc. 4,500 243
Pep Boys (Manny, Moe & Jack) 12,526 335
PepsiCo, Inc. 159,464 7,276
Perkin-Elmer Corp. 7,987 284
* Perrigo Co. 25,300 278
Petrie Stores Corp. 12,469 84
* Petro Union, Inc. 35,900 8
* Petrocorp, Inc. 11,200 91
Petrolite Corp. 2,900 87
* Petsmart, Inc. 9,276 268
Pfizer, Inc. 63,946 5,907
* Pharmaceutical Markets 16,200 147
Phelps Dodge Corp. 14,158 835
Philip Morris Cos., Inc. 171,750 12,774
Phillips Petroleum Co. 52,335 1,747
Phillips-Van Heusen Corp. 4,100 64
Phoenix Resource Cos., Inc. 10,400 330
* PictureTel Corp. 10,000 483
Piedmont Natural Gas, Inc. 4,600 95
Pinnacle Bancorp Group Inc. 1,100 34
Pinnacle West Capital Corp. 16,400 402
Pioneer Group Inc. 12,200 331
Pioneer Hi Bred International 16,266 681
Piper Jaffray Cos., Inc. 14,900 225
Pitney Bowes, Inc. 29,916 1,148
Pitt Des Moines, Inc. 2,300 78
* Pittencrieff Communication, Inc. 8,700 40
Pittsburgh & West Virginia Railroad 3,000 20
Pittston Services Group 7,500 180
* Plains Resources 26,500 232
* Plantronics, Inc. 10,400 278
Plenum Publishing Corp. 5,200 184
Ply-Gem Industries, Inc. 9,300 165
Pogo Producing Co. 15,900 364
Polaroid Corp. 8,192 334
* Policy Management Systems Corp. 8,170 376
Portland General Electric Co. 15,200 336
Post Properties, Inc. 1,000 30
Potlatch Corp. 5,528 231
Potomac Electric Power Co. 23,500 505
* Power Control Technologies 22,979 155
Praxair, Inc. 28,031 701
Precision Castparts Corp. 8,550 300
Premark International, Inc. 12,290 638
Premier Industrial Corp. 16,582 392
* Price/Costco Inc. 39,250 640
T. Rowe Price 6,700 259
Price REIT, Inc. 4,700 71
* Primadonna Resorts, Inc. 14,900 359
* Prime Energy Corp. 3,000 7
* Primedex Health Systems Inc. 43,000 7
Procter & Gamble Co. 139,156 10,002
* Progress Software Corp. 300 16
Progressive Corp. of Ohio 14,000 537
* Promus Co., Inc. 20,781 810
Protective Life Corp. 13,600 371
* Proteon Inc. 30,000 178
* Provident American Corp. 33,800 108
Provident Life & Accident Insurance Co. of America Class B 8,500 198
Providian Corp. 19,624 711
* Proxymed Pharmacy, Inc. 17,500 131
Public Service Co. of Colorado 12,700 413
* Public Service Co. of New Mexico 18,980 270
Public Service Enterprise Group Inc. 48,819 1,355
Puerto Rican Cement Co., Inc. 7,000 214
Puget Sound Power & Light Co. 12,685 290
Pulte Corp. 13,408 375
* Purepac Inc. 19,500 197
</TABLE>
31
<PAGE> 60
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Pyxis Corp. 6,100 $ 138
* Qlogic 27,600 133
Quaker Chemical Corp. 4,100 66
Quaker Oats Co. 26,076 857
* Qualcomm, Inc. 12,200 422
* Quality Food Centers Inc. 2,168 43
* Quantum Restaurant Group 14,900 169
Questar Corp. 7,385 212
The Quick & Reilly Group, Inc. 1,314 48
RJR Nabisco Holdings Corp. 53,937 1,503
RPM Inc. (Ohio) 9,800 195
* RailTex, Inc. 9,500 229
* Ralcorp Holdings Inc. 14,857 340
Ralston-Purina Group 22,650 1,155
* Ramtron International Corp. 1,400 5
Raychem Corp. 8,504 326
* Raymond Corp. 9,371 191
Raymond James Financial, Inc. 15,950 309
Rayonier Inc. 10,775 383
Raytheon Co. 24,632 1,912
* Read-Right Corp. 14,686 392
Reader's Digest Assn., Inc. Class A 21,300 940
Reader's Digest Assn., Inc. Class B 1,500 61
* Recovery Engineering, Inc. 11,600 178
Reebok International Ltd. 16,032 545
* Regis Corp. 14,000 264
Regions Financial Corp. 8,310 307
Reliable Life Insurance Co. Class A 1,400 82
Reliance Group Holdings 53,486 348
Reliastar Financial Corp. 6,689 256
* Renaissance Communications 4,000 134
Republic New York Corp. 10,300 577
* Research Industries Corp. 12,690 289
* Revco Drug Stores, Inc. 13,600 326
Reynolds & Reynolds Class A 7,200 212
Reynolds Metals Co. 12,387 641
* Rhodes Inc. 6,800 59
Rhone-Poulenc Rorer, Inc. 27,052 1,106
* Riggs National Corp. 27,800 273
* Rightchoice Managed Care, Inc. 14,800 178
Rite Aid Corp. 16,191 415
Riverwood International Corp. 12,500 291
Roadway Services, Inc. 7,417 349
* Robert Half International, Inc. 5,400 138
Rochester Gas and Electric Corp. 15,752 335
Rockwell International Corp. 43,572 1,993
* Rogers Corp. 4,100 227
Rohm & Haas Co. 13,768 756
Rollins, Inc. 13,550 325
* Rollins Environmental Services, Inc. 14,974 71
Roosevelt Financial Group 13,134 218
Roper Industries Inc. 1,364 48
* Rowan Cos., Inc. 46,272 376
* Royal Appliance Manufacturing Co. 77,100 212
* Royal Grip, Inc. 11,600 46
Rubbermaid, Inc. 31,846 884
Russell Corp. 7,850 226
* Rust International, Inc. 16,900 277
Ryder System, Inc. 15,879 379
* S&K Famous Brands Inc. 6,200 56
SBC Communications Inc. 123,118 5,863
SCEcorp 90,910 1,557
SCOR U.S. Corp. 10,300 93
SEI Corp. 5,600 127
SJW Corp. 600 22
S-K-I, Ltd. 12,100 171
* SLM International, Inc. 11,300 28
* SOI Industries, Inc. 21,400 21
* SPS Technologies, Inc. 6,700 252
* SPS Transaction Services 9,800 339
Safeco Corp. 12,740 730
* Safeguard Scientifics, Inc. 12,000 498
Safety-Kleen Corp. 12,609 203
* Safeway, Inc. 21,472 803
* Saint Francis Capital Corp. 11,200 227
St. Joe Paper Co. 5,700 362
* St. Jude Medical, Inc. 9,073 454
St. Mary Land & Exploration Co. 12,700 156
St. Paul Bancorp, Inc. 1,297 29
St. Paul Cos., Inc. 16,568 816
Salomon, Inc. 21,285 854
San Diego Gas & Electric Co. 23,500 488
Santa Anita Realty Enterprises 14,400 209
* Santa Fe Energy Resources Inc. 39,462 375
Santa Fe Pacific Corp. 30,664 782
Santa Fe Pacific Gold Corp. 25,664 311
* Santa Monica Bank 12,200 102
Sara Lee Corp. 97,546 2,780
* Satcon Technology Corp. 10,700 144
Savannah Foods & Industries, Inc. 5,200 57
* Savoy Pictures Entertainment, Inc. 26,100 233
Sbarro, Inc. 3,909 91
SCANA Corp. 18,400 412
* R. P. Scherer Corp. 7,774 328
Schering-Plough Corp. 75,690 3,340
Schlumberger Ltd. 48,747 3,028
* Scholastic Corp. 7,200 392
* Schuler Homes Inc. 13,300 161
A. Schulman Inc. 12,025 346
Charles Schwab Corp. 16,616 721
Scientific-Atlanta, Inc. 15,292 336
* Scientific Games Holdings Corp. 9,400 257
* Scios Nova, Inc. 12,100 50
Scott Paper Co. 30,546 1,512
* Scotts Co. 9,900 215
</TABLE>
32
<PAGE> 61
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
E.W. Scripps Co. 15,576 $ 502
* Seagate Technology 13,858 544
* Seacor Holdings, Inc. 6,600 159
* Seagull Energy Corp. 17,600 290
* Sealed Air Corp. 6,400 282
Sealright Co. 7,600 125
* Search Capital Group, Inc. 38,600 48
Sears, Roebuck & Co. 78,717 4,713
Security Capital Corp. 5,800 284
Security Capital Industrial Trust 24,200 393
Security Capital Pacific Inc. 26,369 458
Sensormatic Electronics Corp. 14,438 513
* Sequa Corp. Class A 6,500 190
* Sequent Computer Systems, Inc. 18,800 335
Service Corp. International 19,336 612
* Service Merchandise Co., Inc. 10,550 55
Shared Medical Systems Corp. 5,263 212
Shaw Industries, Inc. 27,100 461
Shawmut National Corp. 25,731 820
Sherwin-Williams Co. 17,089 609
* Shiva Corp. 6,400 275
Shopko Stores, Inc. 22,145 238
* Shoney's Inc. 19,615 230
Showboat, Inc. 3,784 70
* Shuffle Master, Inc. 12,500 283
* Sierra Home Service Cos., Inc. 32,800 59
* Sierra Semiconductor 17,106 541
Sigma Aldrich Corp. 10,100 496
* Signal Technology Corp. 45,800 189
Signet Banking Corp. 12,008 263
* Silicon Graphics, Inc. 28,900 1,152
Simmons First National 8,700 239
Simon Property Group 10,200 256
* Sirco International Corp. 46,300 87
* Sithe Energies, Inc. 28,100 274
Sizzler International 28,425 181
A.O. Smith Corp. 11,000 259
* Smithfield Foods, Inc. 2,700 58
Smiths Food & Drug Centers, Inc. Class B 5,396 107
J.M. Smucker Co. Class A 9,700 215
J.M. Smucker Co. Class B 2,500 50
Snap-On Inc. 8,432 327
* Software Spectrum, Inc. 13,100 272
* Sofamor/Danek Group Inc. 3,700 84
* Software Publishing Corp. 23,700 84
* Solectron Corp. 10,100 345
Sonat, Inc. 17,122 522
* Sonic Corp. 8,700 237
Sonoco Products 18,360 454
Sotheby's Holdings Class A 25,500 347
* Southdown, Inc. 11,700 224
Southern California Water Co. 3,400 66
Southern Co. 135,218 3,026
Southern Indiana Gas & Electric 2,800 90
Southern National Corp. 25,750 618
Southern New England Telecom Corp. 12,300 434
* Southern Pacific Rail Corp. 31,600 498
* Southland Corp. 73,800 256
SouthTrust Corp. 16,700 388
Southwest Airlines Co. 27,861 665
Southwest Bancshares, Inc. 2,100 57
Southwest Gas Corp. 10,600 151
Southwestern Energy Co. 8,200 114
Southwestern Public Service Co. 12,200 360
* Spacelabs Medical 7,739 196
* Spaghetti Warehouse, Inc. 4,400 23
* Specialty Chemical Resources, Inc. 29,400 126
* Spectran Corp. 5,100 32
* Spectranetics Corp. 9,300 22
* Spectrum Holobyte 8,600 123
* Spelling Entertainment 18,800 183
Spiegel, Inc. Class A 19,200 246
* Sports & Recreation 9,150 120
Springs Industries Inc. Class A 3,339 124
Sprint Corp. 70,584 2,373
Stac Electronics 17,100 128
Standard Federal Bank 11,800 397
* Standard Microsystem 17,300 265
Standard Motor Products, Inc. 4,300 87
Standard Products Co. 4,900 107
The Stanley Works 8,352 316
* Staples, Inc. 16,612 481
Star Banc Corp. 6,500 299
* Starbucks Corp. 7,100 252
L. S. Starrett Co. Class A 5,600 127
* Starter Corp. 22,700 184
State Auto Financial Corp. 8,200 157
State Street Boston Corp. 16,100 594
* Stein Mart, Inc. 14,850 199
Stephan Co. 8,350 129
* Sterling Chemicals, Inc. 21,100 245
* Sterling Software, Inc. 9,100 350
Stewart & Stevenson Services, Inc. 5,918 213
* Stone Container Corp. 16,612 353
* Stop & Shop Cos. Inc. 10,400 267
Storage Equities, Inc. 18,700 306
* Storage Technology Corp. 9,855 243
* StrataCom, Inc. 6,600 321
* Strategic Distribution, Inc. 47,300 200
* Strattec Strategy Corp. 15,105 183
* Stratus Computer, Inc. 7,700 239
Stride Rite Corp. 25,284 262
Stryker Corp. 9,500 363
Student Loan Marketing Assn. 14,800 694
</TABLE>
33
<PAGE> 62
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
* Styles on Video, Inc. 12,300 $ 35
* Sullivan Dental Products, Inc. 4,300 37
Sumitomo Bank of California 10,500 259
* Summit Bancorp 4,900 105
* Summit Technology, Inc. 5,100 193
Sun Co., Inc. 20,559 563
* Sun Coast Industries, Inc. 6,300 60
* Sun Microsystems, Inc. 19,459 945
SunAmerica Inc. 7,100 362
Sunbeam Corp. 16,100 223
Sundstrand Corp. 5,900 353
* SunGard Data Systems 5,300 278
* Sunrise Medical, Inc. 9,000 280
SunTrust Banks, Inc. 23,224 1,353
* Supercuts, Inc. 4,985 41
Superior Industries International, Inc. 6,150 191
SuperValu, Inc. 13,696 399
Surgical Care Affiliates, Inc. 6,600 126
Susquehanna Bankshares Pa. 10,100 236
* Swift Transportation Co., Inc. 4,100 70
* Swing-n-Slide Corp. 56,982 249
* Sybase, Inc. 13,820 402
* Sybron Corp. 5,848 233
* Symantec Corp. 15,500 447
* Symbol Technologies, Inc. 11,100 426
* Symmetricom Inc. 16,400 355
* Syms Corp. 7,200 52
* Synagro Technologies Inc. 15,700 6
Synalloy Corp. 5,100 97
Synovus Financial Corp. 15,000 341
Sysco Corp. 36,966 1,090
System Software Associates, Inc. 6,600 132
* Systemed Inc. 34,300 234
* Systemix, Inc. 6,620 92
* TBC Corp. 18,450 199
TCA Cable Television, Inc. 12,600 339
TCF Financial Corp. 5,900 280
TECO Energy, Inc. 23,500 514
TIG Holdings, Inc. 13,000 299
TJX Cos., Inc. 11,384 151
TNP Enterprises, Inc. 3,900 63
* TRO Learning, Inc. 16,500 91
TRW, Inc. 13,131 1,049
Talbots Inc. 7,100 282
Tambrands, Inc. 7,323 313
* Tandem Computers, Inc. 21,944 354
Tandy Corp. 14,200 737
Tanger Factory Outlet Centers, Inc. 9,000 228
* Target Therapeutics, Inc. 828 37
Taubman Co. REIT 27,200 258
* Team Rental Group, Inc. 16,700 125
* Tech Data Corp. 1,600 18
* Tech-Sym Corp. 8,700 238
Tecumseh Products Co. Class A 4,400 193
* Tejas Gas Corp. 5,800 288
Tektronix, Inc. 9,833 484
* Tele-Communications Inc. Class A 128,027 3,001
* Tele-Communications Inc. Class B 4,200 98
Teledyne Inc. 19,636 481
Teleflex Inc. 863 37
Telephone & Data Systems, Inc. 10,800 393
* Tellabs, Inc. 17,700 851
Temple-Inland Inc. 10,911 520
* Tenet Healthcare Corp. 39,167 563
Tenneco, Inc. 37,163 1,709
* Teradyne, Inc. 12,000 785
Terra Nitrogen Co. LP 1,111 34
Texaco, Inc. 52,628 3,454
Texas Instruments, Inc. 18,763 2,512
Texas Utilities Co. 45,508 1,564
Textron, Inc. 17,276 1,004
* Theragenics Corp. 8,900 54
* Thermo Electron Corp. 15,975 643
* Thermo Fibertek, Inc. 16,700 332
* Thermo Instrument Systems, Inc. 14,475 355
Thermo Remediation, Inc. 16,400 256
* Thermedics, Inc. 19,350 377
Thiokol Corp. 3,000 91
Thomas & Betts Corp. 3,547 243
Thor Industries, Inc. 6,900 136
Thornburg Mortgage Asset Corp. 21,700 296
* 3 Com Corp. 13,400 898
Tidewater, Inc. 18,300 460
Tiffany & Co. 8,584 292
Timberline Software Corp. 35,700 373
Time Warner, Inc. 76,405 3,142
Times Mirror Co. Class A 21,511 514
The Timkin Co. 8,546 394
Titan Wheel International, Inc. 9,300 239
Toastmaster, Inc. 10,300 62
* Today's Man Inc. 16,200 190
* Todd Shipyards Corp. 35,000 210
* Todhunter International, Inc. 19,300 171
* Tokos Medical 33,200 247
* Toll Brothers, Inc. 10,600 171
Tootsie Roll Industries, Inc. 2,871 199
* The Topps Co., Inc. 17,597 111
Torch Energy Royalty Trust 14,100 226
Torchmark Corp. 14,585 551
Tosco Corp. 9,834 313
* Total-Tel USA Communications, Inc. 1,320 27
Total System Services, Inc. 12,800 187
Town & Country Trust 16,600 239
* Toys R Us, Inc. 57,408 1,679
* Trak Auto Corp. 12,800 216
Transamerica Corp. 13,704 798
</TABLE>
34
<PAGE> 63
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Transatlantic Holdings 4,100 $ 267
* Transworld Home Healthcare, Inc. 13,700 231
Travelers Group Inc. 64,806 2,835
* Tremont Corp. 646 11
Trenwick Group Inc. 4,800 205
Tribune Co. 13,199 810
Trimas Corp. 6,000 138
* Trimble Navigation Ltd. 14,600 412
Trinity Industries, Inc. 7,150 238
* Triton Energy Corp. 10,300 478
The Trust Company of N.J. 7,800 103
Trustmark Corp. 14,800 256
* Tucson Electric Power Co. 92,400 289
Turner Broadcasting Class A 2,400 48
Turner Broadcasting Class B 39,800 816
* 20th Century Industries of CA 6,100 76
Tyco International Ltd. 18,173 981
* Tyco Toys, Inc. 6,800 47
* Tyler Corp. 38,000 119
Tyson Foods, Inc. 27,746 642
* UAL Corp. 5,495 771
UMB Financial Corp. 6,561 237
UNR Industries, Inc. 31,200 228
UNUM Corp. 14,635 686
* URS Corp. 22,300 128
* USAir Group, Inc. 15,563 181
USF&G Corp. 18,763 305
* USG Corp. 16,900 401
USLIFE Corp. 5,374 216
UST, Inc. 38,616 1,149
USX-Marathon Group 59,282 1,171
USX-U.S. Steel Group 15,101 519
Unicom Corp. 42,361 1,128
Unifirst Corp. 5,000 68
Unifi, Inc. 13,950 335
* Unigene 28,300 42
* Unilab Corp. 11,300 52
Union Bank of San Francisco 6,900 289
Union Camp Corp. 13,545 784
Union Carbide Corp. 29,085 971
Union Electric Corp. 20,003 745
Union Pacific Corp. 41,363 2,290
Union Planters Corp. 7,300 195
Union Texas Petroleum Holdings Inc. 16,400 346
* Uniroyal Technology Corp. 1,000 4
* Unisys Corp. 33,580 365
* United Capital Corp. 12,100 116
United Healthcare Corp. 34,700 1,436
United Illuminating Co. 6,300 208
United Jersey Bank Financial Corp. 10,600 322
United Mobile Homes, Inc. 17,100 141
* United States Can Co. 1,509 24
* United States Cellular 14,900 451
United States Surgical Corp. 9,662 202
United States Trust Corp. 3,151 226
United Technologies Corp. 24,839 1,941
United Television, Inc. 5,000 358
* United Waste Systems, Inc. 9,000 322
United Wisconsin 6,700 134
Unitrin Inc. 8,800 418
* Unitrode Corp. 11,711 329
Universal Corp. 10,300 216
* Universal Electronics, Inc. 18,400 132
Universal Foods Corp. 4,413 143
* Universal Health Services Class B 4,900 142
Unocal Corp. 49,647 1,371
Upjohn Co. 34,600 1,310
Urban Shopping Centers REIT 11,100 230
* USData Corp. Rights Exp. 7/21/95 3,000 46
Utilicorp United, Inc. 9,200 259
U.S. Bancorp 19,031 458
* U.S. Bioscience 45,774 197
U.S. Healthcare, Inc. 32,285 993
* U.S. Robotics Corp. 7,645 832
U.S. West Inc. 95,286 3,966
VF Corp. 12,707 683
* VLSI Technology, Inc. 16,100 482
* Vaalco Energy, Inc. 46,500 23
* Valassis Communication 20,200 338
Valhi, Inc. 21,200 148
Valero Energy Corp. 16,500 334
Valspar Corp. 5,700 216
* Value City Department Stores, Inc. 6,400 49
* Value Health, Inc. 7,472 241
* Vanguard Cellular Systems, Inc. Class A 15,913 384
Varian Associates, Inc. 10,600 586
* Varity Corp. 8,500 374
Vastar Resources, Inc. 19,000 587
* Vencor, Inc. 11,400 359
Venture Stores, Inc. 9,100 90
* VeriFone, Inc. 9,200 224
* Veterinary Centers of America, Inc. 10,400 122
* Viacom International Class A 4,953 230
* Viacom International Class B 68,231 3,164
* Vicorp Restaurants, Inc. 16,500 227
* Viewlogic Systems, Inc. 15,600 199
* Viking Office Products 8,200 300
Vintage Petroleum, Inc. 12,600 236
* Vishay Intertechnology, Inc. 10,220 369
* Visix Space Inc. 16,400 215
* Vmark Software, Inc. 2,616 46
* Vons Cos., Inc. 15,900 320
Vornado Realty Trust 7,600 265
Vulcan Materials Co. 6,800 371
</TABLE>
35
<PAGE> 64
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
* WCI Steel, Inc. 6,400 $ 40
* WMS Industries, Inc. 10,600 208
WMX Technologies Inc. 98,345 2,791
WPL Holdings, Inc. 4,200 120
WPS Resources Corp. 1,021 30
* WRT Energy Corp. 28,200 162
* Waban, Inc. 15,900 237
Wabash National Corp. 7,050 219
Wachovia Corp. 34,300 1,226
Wackenhut Corp. 9,400 140
Wackenhut Corp. Class B 2,900 36
* Wahlco Environmental 38,500 53
Wal-Mart Stores, Inc. 466,898 12,490
Walbro Corp. 10,800 197
Walgreen Co. 24,668 1,236
* Walker Interactive Systems, Inc. 29,800 177
* Wall Data Inc. 13,596 209
Warnaco Group 16,500 330
Warner-Lambert Co. 27,188 2,348
Washington Energy Co. 8,900 146
Washington Federal Inc. 14,880 326
Washington Gas Light Corp. 6,798 128
Washington Mutual Inc. 10,900 255
Washington National Corp. 3,600 74
Washington Post Co. Class B 2,200 574
Washington Water Power Co. 19,600 314
Watkins-Johnson Co. 6,300 280
Watts Industries Class A 6,000 152
Waverly, Inc. 909 32
* Weatherford International, Inc. 29,700 379
Weis Markets, Inc. 8,300 230
* Wellcare Management Group, Inc. 7,900 195
Wellman, Inc. 12,545 343
* Wellpoint Health Networks, Inc. Class A 19,800 559
Wells Fargo & Co. 10,203 1,839
Wellsford Residential Property Trust 12,300 280
Wendy's International, Inc. 18,964 339
Werner Enterprises, Inc. 9,200 182
Westbanco Inc. 1,800 47
Wesco Financial Corp. 1,142 144
West One Bancorp 6,388 212
* Western Atlas Inc. 10,169 451
Western Bank 10,441 127
Westcorp, Inc. 18,579 290
Western Resources, Inc. 11,500 355
Westinghouse Electric Corp. 71,614 1,047
Westport Bancorp, Inc. 2,200 10
Westvaco Corp. 13,152 582
* WetSeal, Inc. Class A 21,900 105
Weyerhaeuser Co. 41,689 1,964
Wheelabrator Technologies 37,462 576
Whirlpool Corp. 14,747 811
* White River 7,542 256
Whitman Corp. 19,638 380
Whitney Holdings 1,270 34
Wicor, Inc. 3,300 93
Willamette Industries, Inc. 10,600 586
Williams Cos., Inc. 22,001 767
* Williams Sonoma, Inc. 14,800 325
Wilmington Trust Corp. 14,700 419
Winn Dixie Stores, Inc. 15,472 893
* Winners Entertainment, Inc. 36,700 57
* Wisconsin Central Transportation Corp. 7,700 374
Wisconsin Energy Corp. 21,538 603
Witco Chemical Corp. 10,500 339
Wolohan Lumber Co. 16,300 196
* Wonderware Corp. 10,100 410
* Woolworth Corp. 24,566 371
* World Acceptance Corp. 7,500 253
Worthington Industries, Inc. 17,702 362
* World Corp. 33,600 332
Wm. Wrigley, Jr. Co. 22,824 1,058
Wyle Electronics 8,600 242
* Wyman Gordon Corp. 30,300 326
X-Rite Inc. 10,600 193
* Xilinx, Inc. 5,700 535
Xerox Corp. 21,428 2,512
Yellow Corp. 12,047 219
York International Corp. 8,500 382
* Young Broadcasting Corp. 1,800 49
* Zebra Technologies Class A 6,200 334
Zenith National Insurance Corp. 3,500 75
* Zilog Inc. 3,000 150
Zurn Industries, Inc. 9,400 188
* Zoll Medical Corp. 17,100 220
------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (98.2%)(1)
(Cost $948,265) 1,130,309
------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.2%)
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
------------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.68%, 09/21/95 $ 1,000 987
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 6.13%, 7/3/95 36,550 36,550
------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $37,537) 37,537
------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.4%)
(Cost $985,802) 1,167,846
------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE> 65
<TABLE>
<CAPTION>
Market
Value
(000)+
------------------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-1.4%)
------------------------------------------------------------------------------------------
Other Assets--Notes B and E $ 14,257
Liabilities--Note E (30,600)
----------
(16,343)
------------------------------------------------------------------------------------------
NET ASSETS (100%)
------------------------------------------------------------------------------------------
Applicable to 85,740,897 outstanding
shares of beneficial interest
(unlimited authorization) $1,151,503
------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $13.43
==========================================================================================
</TABLE>
+ See Note A to Financial Statements.
(1) The combined market value of common stocks, Standard & Poor's 500 Index
futures contracts, and Standard & Poor's Midcap 400 futures contracts
represents 100.6% of net assets.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------
AT JUNE 30, 1995, NET ASSETS CONSISTED OF:
------------------------------------------------------------------------------------------
Amount Per
(000) Share
----------- ------
<S> <C> <C>
Paid in Capital $ 962,585 $11.23
Undistributed Net
Investment Income 1,733 .02
Accumulated Net
Realized Gains 4,404 .05
Unrealized Appreciation of
Investments--Note D 182,781 2.13
------------------------------------------------------------------------------------------
NET ASSETS $1,151,503 $13.43
------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE> 66
<TABLE>
<CAPTION>
Market
Value
GROWTH PORTFOLIO Shares (000)+
------------------------------------------------------------------------------------------
COMMON STOCKS
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
General Electric Co. 131,114 $ 7,392
AT&T Corp. 122,548 6,510
The Coca-Cola Co. 98,186 6,259
Philip Morris Cos., Inc. 65,438 4,867
Wal-Mart Stores, Inc. 177,898 4,759
Merck & Co., Inc. 95,776 4,693
* Microsoft Corp. 45,000 4,067
Intel Corp. 64,108 4,055
Procter & Gamble Co. 53,228 3,826
Johnson & Johnson 49,979 3,380
Motorola, Inc. 45,584 3,060
Hewlett-Packard Co. 39,500 2,943
American International Group, Inc. 24,500 2,793
PepsiCo, Inc. 60,966 2,782
Bristol-Myers Squibb Co. 39,308 2,678
Abbott Laboratories, Inc. 61,784 2,502
Pfizer, Inc. 24,475 2,261
The Walt Disney Co. 40,327 2,243
McDonald's Corp. 53,730 2,102
Bell Atlantic Corp. 33,800 1,893
Ameritech Corp. 42,800 1,883
Minnesota Mining & Manufacturing Co. 32,496 1,860
American Home Products Corp. 23,818 1,843
Eli Lilly & Co. 22,645 1,778
Unilever NV ADR 12,420 1,616
Eastman Kodak Co. 26,400 1,601
Gillette Co. 34,268 1,529
Columbia/HCA Healthcare Corp. 34,300 1,483
Home Depot, Inc. 35,057 1,424
Atlantic Richfield Co. 12,500 1,372
Emerson Electric Co. 18,024 1,289
* Oracle Corp. 33,423 1,287
Capital Cities/ABC, Inc. 11,900 1,285
Schering-Plough Corp. 28,818 1,272
* Viacom International Class B 27,134 1,258
Kellogg Co. 17,043 1,216
Time Warner, Inc. 29,400 1,209
* Tele-Communications Inc. Class A 50,518 1,181
Schlumberger Ltd. 18,756 1,165
Anheuser-Busch Co., Inc. 19,826 1,128
* Airtouch Communications 38,300 1,092
WMX Technologies Inc. 37,433 1,062
Sara Lee Corp. 37,100 1,057
* Cisco Systems, Inc. 20,800 1,050
Lockheed Martin Corp. 15,500 978
Texas Instruments, Inc. 7,200 964
Campbell Soup Co. 19,331 947
* COMPAQ Computer Corp. 20,300 921
Warner-Lambert Co. 10,407 899
Micron Technology Inc. 15,900 873
Computer Associates International, Inc. 12,387 839
H.J. Heinz Co. 18,846 836
Colgate-Palmolive Co. 11,201 819
* Amgen, Inc. 10,198 818
Kimberly-Clark Corp. 12,406 743
Northern Telecom Ltd. 19,600 715
Automatic Data Processing, Inc. 11,152 701
CPC International, Inc. 11,291 697
Medtronic, Inc. 8,982 693
Barrick Gold Corp. 27,400 692
The Dun & Bradstreet Corp. 13,165 691
PPG Industries, Inc. 16,000 688
AMP, Inc. 16,264 687
Enron Corp. 19,520 686
Phillips Petroleum Co. 20,300 678
ConAgra, Inc. 18,952 661
General Mills, Inc. 12,208 627
The Limited, Inc. 27,664 609
Browning-Ferris Industries, Inc. 16,446 594
Gannett Co., Inc. 10,865 589
Albertson's, Inc. 19,674 585
Corning, Inc. 17,700 580
Scott Paper Co. 11,700 579
* Novell, Inc. 28,411 565
* Applied Materials, Inc. 6,500 561
First Data Corp. 9,300 529
Unocal Corp. 18,900 522
* Silicon Graphics, Inc. 12,300 490
Illinois Tool Works, Inc. 8,818 485
Placer Dome Group, Inc. 18,500 483
Walgreen Co. 9,517 477
Marsh & McLennan Cos., Inc. 5,688 461
UST, Inc. 15,126 450
Pitney Bowes, Inc. 11,646 447
Mattel, Inc. 17,088 444
Hercules, Inc. 9,000 439
W.R. Grace & Co. 7,000 430
International Flavors & Fragrances, Inc. 8,607 428
Wm. Wrigley, Jr. Co. 9,011 418
* DSC Communications Corp. 8,852 412
Sysco Corp. 13,494 398
Ralston-Purina Group 7,447 380
U.S. Healthcare, Inc. 12,300 377
MBNA Corp. 11,076 374
The Gap, Inc. 10,703 373
* Boston Scientific Corp. 11,600 370
Eastman Chemical 6,125 364
Nucor Corp. 6,780 363
* CUC International, Inc. 8,500 357
Avon Products, Inc. 5,317 356
ALLTEL Corp. 13,900 353
</TABLE>
38
<PAGE> 67
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
Lowes Cos., Inc. 11,800 $ 353
Genuine Parts Co. 9,110 345
Alco Standard Corp. 4,300 343
Quaker Oats Co. 10,324 339
Fluor Corp. 6,395 333
Rubbermaid, Inc. 11,870 329
Winn Dixie Stores, Inc. 5,619 325
Marriott International 9,008 323
Morton International, Inc. 11,000 322
Dover Corp. 4,416 321
H & R Block, Inc. 7,774 320
Engelhard Corp. 7,378 316
Tribune Co. 5,078 312
* Promus Co., Inc. 7,967 311
Tyco International Ltd. 5,700 308
Great Lakes Chemical Corp. 5,108 308
CBS, Inc. 4,495 301
Newell Co. 12,224 299
* Cabletron Systems, Inc. 5,500 293
The McGraw-Hill Cos. 3,815 289
Newmont Mining Corp. 6,320 265
Clorox Co. 4,014 262
Pioneer Hi Bred International 6,200 259
Praxair, Inc. 10,218 255
Southwest Airlines Co. 10,400 248
Hilton Hotels Corp. 3,500 246
Comcast Corp. Class A Special 13,277 246
Premark International, Inc. 4,500 233
* Computer Sciences Corp. 4,100 233
* The Kroger Co. 8,321 224
* Lotus Development Corp. 3,500 223
Interpublic Group of Cos., Inc. 5,880 221
Circuit City Stores, Inc. 6,968 220
W.W. Grainger, Inc. 3,727 219
* Tellabs, Inc. 4,300 206
Deluxe Corp. 5,995 199
Reebok International Ltd. 5,795 197
Pall Corp. 8,464 188
* FMC Corp. 2,734 184
Nalco Chemical Co. 5,014 182
Sigma Aldrich Corp. 3,600 176
St. Jude Medical, Inc. 3,363 168
* Andrew Corp. 2,875 166
The Dial Corp. 6,700 166
Homestake Mining Co. 9,900 163
Avery Dennison Corp. 4,000 160
Cooper Tire & Rubber Co. 6,201 151
Autodesk, Inc. 3,500 149
Whitman Corp. 7,446 144
* ALZA Corp. 6,140 144
* Stone Container Corp. 6,400 136
Worthington Industries, Inc. 6,491 132
Allergan, Inc. 4,852 132
* Owens-Corning Fiberglas Corp. 3,537 130
Manor Care Inc. 4,423 129
* Darden Restaurants Inc. 11,800 128
* Biomet, Inc. 8,187 126
Scientific-Atlanta, Inc. 5,644 124
* Ceridian Corp. 3,300 122
Ecolab, Inc. 4,936 121
Pep Boys (Manny, Moe & Jack) 4,427 118
Tektronix, Inc. 2,400 118
Santa Fe Pacific Gold Corp. 9,720 118
Harnischfeger Industries Inc. 3,400 118
C.R. Bard, Inc. 3,888 117
Millipore Corp. 1,700 115
Perkin-Elmer Corp. 3,076 109
* Oryx Energy Co. 7,700 106
* King World Productions, Inc. 2,585 105
Teledyne Inc. 4,100 100
Bemis Co., Inc. 3,610 94
Foster Wheeler Corp. 2,500 88
Comcast Corp. Class A 4,555 83
Crane Co. 2,200 80
Alexander & Alexander Services, Inc. 3,100 74
Shared Medical Systems Corp. 1,800 72
Jostens Inc. 3,300 70
Trinova Corp. 2,000 70
Cincinnati Milacron, Inc. 2,300 62
John H. Harland Co. 2,346 54
* Armco, Inc. 7,600 51
* USAir Group, Inc. 4,400 51
* Shoney's Inc. 3,053 36
* Viacom International Class A 766 36
------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.9%)
(Cost $133,731) 157,312
------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (.3%)
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
----------
<S> <C> <C>
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 6.13%, 7/3/95
(Cost $545) $545 545
------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.2%)
(Cost $134,276) 157,857
------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE> 68
<TABLE>
<CAPTION>
Market
Value
(000)+
------------------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-.2%)
------------------------------------------------------------------------------------------
Receivables for Securities Sold $ 9,337
Other Assets--Note B 5,609
Payables for Securities Purchased (14,950)
Other Liabilities (316)
----------
(320)
------------------------------------------------------------------------------------------
NET ASSETS (100%)
------------------------------------------------------------------------------------------
Applicable to 12,762,883 outstanding
shares of beneficial interest
(unlimited authorization) $157,537
------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $12.34
==========================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------
AT JUNE 30, 1995, NET ASSETS CONSISTED OF:
------------------------------------------------------------------------------------------
Amount Per
(000) Share
-------- ------
<S> <C> <C>
Paid in Capital $134,660 $10.55
Overdistributed Net
Investment Income (27) --
Accumulated Net
Realized Losses (677) (.05)
Unrealized Appreciation of
Investments--Note D 23,581 1.84
------------------------------------------------------------------------------------------
NET ASSETS $157,537 $12.34
------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE> 69
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
------------------------------------------------------------------------------------------
Exxon Corp. 231,991 $ 16,384
Royal Dutch Petroleum Co. ADR 100,112 12,201
International Business Machines Corp. 108,448 10,411
E.I. du Pont de Nemours & Co. 103,200 7,095
Mobil Corp. 73,870 7,092
General Motors Corp. 139,517 6,540
GTE Corp. 181,200 6,183
Amoco Corp. 92,754 6,180
BellSouth Corp. 92,626 5,882
Ford Motor Co. 191,806 5,706
Chevron Corp. 121,790 5,678
Federal National Mortgage Assn. 50,763 4,791
Sears, Roebuck & Co. 72,569 4,345
Citicorp 74,246 4,297
The Boeing Co. 63,827 3,997
SBC Communications Inc. 81,900 3,900
Dow Chemical Co. 51,482 3,700
BankAmerica Corp. 69,863 3,677
U.S. West Inc. 87,633 3,648
Chrysler Corp. 68,718 3,290
American Express Co. 92,373 3,245
NYNEX Corp. 79,512 3,200
Texaco, Inc. 48,419 3,177
Southern Co. 124,286 2,781
NationsBank, Inc. 50,902 2,730
MCI Communications Corp. 124,476 2,723
Travelers Group Inc. 59,957 2,623
J.P. Morgan & Co., Inc. 34,927 2,449
The Seagram Co. Ltd. 69,414 2,403
Banc One Corp. 73,970 2,386
Caterpillar, Inc. 36,800 2,364
Xerox Corp. 19,957 2,340
Allied-Signal, Inc. 52,400 2,332
Pacific Gas & Electric Co. 80,118 2,323
Federal Home Loan Mortgage Corp. 33,691 2,316
ITT Corp. 19,618 2,305
Sprint Corp. 64,800 2,179
Chemical Banking Corp. 45,018 2,127
Union Pacific Corp. 38,100 2,110
Pacific Telesis Group 78,800 2,108
J.C. Penney Co., Inc. 43,600 2,093
General Re Corp. 15,276 2,045
Bell Atlantic Corp. 36,300 2,033
International Paper Co. 23,522 2,017
May Department Stores Co. 46,640 1,941
Monsanto Co. 21,200 1,911
Baxter International, Inc. 51,848 1,886
Rockwell International Corp. 40,475 1,852
United Technologies Corp. 23,166 1,810
Weyerhaeuser Co. 38,142 1,797
Merrill Lynch & Co., Inc. 34,108 1,791
Archer-Daniels-Midland Co. 95,729 1,783
Raytheon Co. 22,925 1,780
Norwest Corp. 60,200 1,731
Wells Fargo & Co. 9,337 1,683
Norfolk Southern Corp. 24,640 1,660
Aluminum Co. of America 33,094 1,659
McDonnell Douglas Corp. 21,458 1,647
Duke Power Co. 38,072 1,580
Tenneco, Inc. 34,300 1,578
The Chase Manhattan Corp. 32,939 1,548
Dean Witter Discover & Co. 31,404 1,476
CSX Corp. 19,500 1,465
First Union Corp. 32,108 1,453
Georgia-Pacific Corp. 16,700 1,449
Texas Utilities Co. 41,927 1,441
The Bank of New York Co., Inc. 35,600 1,437
SCEcorp 83,016 1,422
American Brands, Inc. 35,174 1,398
KeyCorp 44,100 1,384
Deere & Co. 16,044 1,374
Occidental Petroleum Corp. 59,323 1,357
Loews Corp. 11,100 1,343
FPL Group, Inc. 34,669 1,339
United Healthcare Corp. 31,900 1,320
Aetna Life & Casualty Co. 20,897 1,314
American General Corp. 38,274 1,292
The Chubb Corp. 16,121 1,292
Consolidated Edison Co. of New York, Inc. 43,577 1,286
Public Service Enterprise Group Inc. 45,619 1,266
Alcan Aluminium Ltd. 41,833 1,265
SunTrust Banks, Inc. 21,300 1,241
Kmart Corp. 84,788 1,240
Ameritech Corp. 28,002 1,232
Upjohn Co. 32,033 1,213
American Electric Power Co., Inc. 34,536 1,213
Dominion Resources, Inc. 32,105 1,172
* Toys R Us, Inc. 40,000 1,170
The Goodyear Tire & Rubber Co. 28,190 1,163
Air Products & Chemicals, Inc. 20,676 1,153
First Interstate Bancorp. 14,350 1,152
Wachovia Corp. 31,900 1,140
PECO Energy Corp. 41,280 1,140
Mellon Bank Corp. 27,222 1,133
Nike, Inc. Class B 13,401 1,126
PNC Bank Corp. 42,625 1,124
* Digital Equipment Corp. 27,319 1,113
USX-Marathon Group 55,721 1,100
Unicom Corp. 39,804 1,060
* AMR Corp. 14,170 1,057
Apple Computer, Inc. 22,576 1,047
Burlington Northern, Inc. 16,500 1,046
CIGNA Corp. 13,419 1,042
</TABLE>
41
<PAGE> 70
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Houston Industries, Inc. 24,418 $ 1,029
R.R. Donnelley & Sons Co. 28,368 1,021
Entergy Corp. 42,287 1,020
Honeywell, Inc. 23,600 1,018
First Chicago Corp. 16,814 1,007
PacifiCorp 52,512 985
Fleet Financial Group, Inc. 26,284 976
Westinghouse Electric Corp. 66,000 965
TRW, Inc. 12,070 964
NBD Bancorp, Inc. 29,738 952
Dayton-Hudson Corp. 13,200 947
Central & South West Corp. 35,562 934
CoreStates Financial Corp. 26,700 931
Textron, Inc. 15,963 928
Barnett Banks, Inc. 18,054 925
Bankers Trust New York Corp. 14,573 904
Union Carbide Corp. 27,007 901
Champion International Corp. 17,269 900
Household International, Inc. 18,094 896
First Fidelity Bancorp. 15,058 888
Hershey Foods Corp. 16,000 884
Carolina Power & Light Co. 29,062 879
Burlington Resources, Inc. 23,600 870
Cooper Industries, Inc. 21,815 862
* Sun Microsystems, Inc. 17,705 859
Amerada Hess Corp. 17,178 840
* Crown Cork & Seal Co., Inc. 16,700 837
Boatmen's Bancshares, Inc. 23,396 822
Loral Corp. 15,622 808
Conrail, Inc. 14,440 803
Salomon, Inc. 19,956 801
National City Corp. 27,204 799
Masco Corp. 29,500 797
Detroit Edison Co. 26,896 793
St. Paul Cos., Inc. 15,684 772
American Stores Co. 27,388 770
Lincoln National Corp. 17,600 770
Bank of Boston Corp. 20,513 769
Phelps Dodge Corp. 12,858 759
Shawmut National Corp. 23,788 758
Transamerica Corp. 12,929 753
Halliburton Co. 21,065 753
CINergy Corp. 28,663 752
Whirlpool Corp. 13,652 751
Union Camp Corp. 12,956 750
Dresser Industries, Inc. 33,600 748
Ingersoll-Rand Co. 19,529 747
Santa Fe Pacific Corp. 28,352 723
Becton, Dickinson & Co. 12,356 720
* Advanced Micro Devices, Inc. 19,489 709
Union Electric Corp. 18,906 704
Tandy Corp. 13,562 704
Rohm & Haas Co. 12,600 691
Delta Air Lines, Inc. 9,374 691
Baltimore Gas & Electric Co. 27,417 685
Panhandle Eastern Corp. 27,614 673
Safeco Corp. 11,660 666
Melville Corp. 19,335 662
Dow Jones & Co., Inc. 17,940 662
Consolidated Natural Gas Co. 17,382 656
Williams Cos., Inc. 18,812 656
Providian Corp. 17,912 649
* National Semiconductor Corp. 23,045 639
Ohio Edison Co. 28,244 639
General Public Utilities Corp. 21,300 634
* Federal Express Corp. 10,410 632
VF Corp. 11,743 631
UNUM Corp. 13,400 628
Nordstrom, Inc. 15,200 627
The Mead Corp. 10,463 621
Inco Ltd. 21,780 615
Dillard Department Stores Class A 20,868 613
Eaton Corp. 10,400 605
Reynolds Metals Co. 11,603 600
Coastal Corp. 19,354 588
* Price/Costco Inc. 35,774 581
Northern States Power Co. of Minnesota 12,436 574
Sherwin-Williams Co. 15,800 563
Service Corp. International 17,700 560
Westvaco Corp. 12,378 548
Knight-Ridder, Inc. 9,624 547
Sun Co., Inc. 19,983 547
Baker Hughes, Inc. 26,162 536
Louisiana-Pacific Corp. 20,400 536
Dana Corp. 18,578 532
* Tenet Healthcare Corp. 36,722 528
General Dynamics Corp. 11,694 519
Great Western Financial Corp. 25,084 517
Kerr-McGee Corp. 9,644 517
Hasbro, Inc. 16,180 514
Golden West Financial Corp. 10,858 512
Mallinckrodt Group, Inc. 14,200 504
Harcourt General, Inc. 11,800 502
Torchmark Corp. 13,247 500
Temple-Inland Inc. 10,394 495
Times Mirror Co. Class A 20,724 495
Parker Hannifin Corp. 13,612 493
Laidlaw Inc. Class B 51,200 493
Jefferson-Pilot Corp. 8,999 493
Sonat, Inc. 16,074 490
Cyprus Amax Minerals Co. 17,132 488
USX-U.S. Steel Group 14,192 488
Black & Decker Corp. 15,624 482
Northrop Grumman Corp. 9,215 480
H.F. Ahmanson & Co. 21,603 475
</TABLE>
42
<PAGE> 71
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bausch & Lomb, Inc. 10,796 $ 448
U.S. Bancorp 18,230 438
* Western Atlas Inc. 9,838 437
Beneficial Corp. 9,768 430
Johnson Controls, Inc. 7,567 428
New York Times Co. Class A 18,169 427
Brown-Forman Corp. Class B 12,617 421
James River Corp. 15,067 416
Moore Corp. Ltd. 18,528 410
Pennzoil Co. 8,618 406
Ashland Inc. 11,506 404
Rite Aid Corp. 15,723 403
American Greetings Corp. Class A 13,586 397
Niagara Mohawk Power Corp. 26,929 397
Echlin, Inc. 11,000 382
SuperValu, Inc. 12,873 375
Pacific Enterprises 15,200 372
* Woolworth Corp. 24,611 372
Harris Corp. 7,087 366
* Tandem Computers, Inc. 21,729 350
Ryder System, Inc. 14,550 347
Boise Cascade Corp. 8,561 347
* Unisys Corp. 31,800 346
General Signal Corp. 8,700 346
* Varity Corp. 7,800 343
Armstrong World Industries Inc. 6,800 341
Wendy's International, Inc. 18,945 339
Polaroid Corp. 8,252 336
Paccar, Inc. 7,193 334
* Bethlehem Steel Corp. 20,500 333
Roadway Services, Inc. 7,100 332
Cummins Engine Co., Inc. 7,500 327
Maytag Corp. 20,005 320
Mercantile Stores Co., Inc. 6,793 316
Giant Food, Inc. Class A 10,967 311
Raychem Corp. 8,100 311
The Stanley Works 8,100 307
Brunswick Corp. 17,900 304
Snap-On Inc. 7,703 298
* Fruit of the Loom, Inc. 14,100 298
* Columbia Gas Systems, Inc. 9,345 297
Liz Claiborne, Inc. 13,877 295
USF&G Corp. 18,035 293
Federal Paper Board Co., Inc. 7,911 280
Inland Steel Industries, Inc. 8,852 270
The Timkin Co. 5,788 267
National Service Industries, Inc. 8,815 255
NICOR, Inc. 9,422 253
Louisiana Land & Exploration Co. 6,300 251
The BF Goodrich Co. 4,668 250
Thomas & Betts Corp. 3,600 246
Amdahl Corp. 21,269 237
ASARCO, Inc. 7,723 236
McDermott International, Inc. 9,734 235
* Beverly Enterprises Inc. 18,267 226
Potlatch Corp. 5,264 220
United States Surgical Corp. 10,198 213
ENSERCH Corp. 12,383 212
Russell Corp. 7,232 208
* Navistar International Corp. 13,600 206
Ball Corp. 5,593 195
Ogden Corp. 8,853 194
Briggs & Stratton Corp. 5,500 190
Pittston Services Group 7,800 187
Echo Bay Mines Ltd. 20,300 183
Fleming Cos., Inc. 6,803 180
Great Atlantic & Pacific Tea Co., Inc. 6,818 180
Consolidated Freightways, Inc. 8,100 179
TJX Cos., Inc. 13,211 175
Fleetwood Enterprises, Inc. 8,554 169
Bruno's Inc. 14,508 169
Republic New York Corp. 3,000 168
Safety-Kleen Corp. 10,405 168
USLIFE Corp. 4,154 167
EG & G, Inc. 9,900 166
Atlantic Richfield Co. 1,500 165
Peoples Energy Corp. 6,198 160
Alberto-Culver Co. Class B 5,100 154
* Santa Fe Energy Resources Inc. 16,192 154
Centex Corp. 5,404 153
NorAm Energy Corp. 22,964 149
Longs Drug Stores, Inc. 3,749 141
Pulte Corp. 4,979 139
Springs Industries Inc. Class A 3,700 138
Helmerich & Payne, Inc. 4,500 133
Meredith Corp. 5,000 127
First Mississippi Corp. 3,600 123
* Rowan Cos., Inc. 14,800 120
Giddings & Lewis, Inc. 6,478 115
Eastern Enterprises 3,800 114
Adolph Coors Co. Class B 7,057 113
* Cray Research, Inc. 4,600 112
ONEOK, Inc. 5,100 109
* Bally Entertainment Corp. 8,500 104
Stride Rite Corp. 9,400 98
Charming Shoppes, Inc. 18,504 97
NACCO Industries, Inc. Class A 1,600 96
* Intergraph Corp. 8,200 91
Luby's Cafeterias, Inc. 4,400 88
Kaufman & Broad Home Corp. 6,100 88
Yellow Corp. 4,874 88
* Community Psychiatric Centers 7,400 83
Outboard Marine Corp. 3,800 74
* Ryan's Family Steak Houses, Inc. 9,300 72
Brown Group, Inc. 3,100 70
Bassett Furniture Industries, Inc. 2,475 68
</TABLE>
43
<PAGE> 72
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
* Data General Corp. 6,600 $ 63
* M/A-Com, Inc. 5,100 60
Handleman Co. 6,200 60
* Zenith Electronics Corp. 7,200 53
Zurn Industries, Inc. 2,400 48
Skyline Corp. 2,200 40
* Morrison-Knudsen Co., Inc. 5,900 40
SPX Corp. 600 7
------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (101.3%)
(Cost $322,137) 366,064
------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (.1%)
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
---------
<S> <C> <C>
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 6.13%, 7/3/95 (Cost $386) $386 386
------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.4%)
(Cost $322,523) 366,450
------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.4%)
------------------------------------------------------------------------------------------
Other Assets--Notes B and E 18,562
Payables for Securities Purchased (22,260)
Other Liabilities--Note E (1,538)
------------
(5,236)
------------------------------------------------------------------------------------------
NET ASSETS (100%)
------------------------------------------------------------------------------------------
Applicable to 27,565,539 outstanding
shares of beneficial interest
(unlimited authorization) $361,214
------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $13.10
==========================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------
AT JUNE 30, 1995, NET ASSETS CONSISTED OF:
------------------------------------------------------------------------------------------
Amount Per
(000) Share
-------- -------
<S> <C> <C>
Paid in Capital $316,149 $11.47
Undistributed Net
Investment Income 1,735 .06
Accumulated Net Realized Losses (597) (.02)
Unrealized Appreciation of
Investments--Note D 43,927 1.59
------------------------------------------------------------------------------------------
NET ASSETS $361,214 $13.10
------------------------------------------------------------------------------------------
</TABLE>
44
<PAGE> 73
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
------------------------------------------------------------------------------------------
AAR Corp. 36,200 $ 647
ABM Industries 20,700 479
* ABR Information Services, Inc. 10,700 308
ACS Enterprises, Inc. 20,700 369
* ACX Technologies Inc. 19,700 815
AGCO Corp. 1,700 64
* AK Steel Holding Corp. 26,600 725
A.L. Pharma Inc. Class A 14,400 270
* AMLI Residential Properties Trust 16,500 313
* APS Holding Corp. 26,900 706
* AST Research, Inc. 40,400 624
* ATS Medical, Inc. 32,800 281
* Access Health Marketing, Inc. 21,400 432
* Acclaim Entertainment Inc. 4,550 84
* Accustaff, Inc. 5,100 112
Ackerley Communications, Inc. 12,400 152
* Acme Electric Corp. 10,100 308
Acordia, Inc. 18,800 604
* Actel Corp. 58,000 754
* Active Voice Corp. 14,100 393
* Acuson Corp. 52,250 634
* Acxiom Corp. 25,400 610
ADAC Laboratories 34,033 417
* Addington Resources, Inc. 26,000 377
* Adelphia Communications Corp. Class A 37,300 336
* Advanced Tissue Sciences Inc. 76,700 743
* Advantage Healthcare Corp. 23,300 609
* ADVO, Inc. 41,950 792
* Agouron Pharmaceuticals, Inc. 10,800 254
* Air and Water Technologies Corp. Class A 40,600 228
Air Express International Corp. 37,800 898
Airborne Freight Corp. 30,800 624
* Alantec Corp. 20,500 712
Alaska Air Group, Inc. 40,000 735
Albank Financial Corp. 23,700 622
Albany International Corp. 36,200 864
Alberto-Culver Co. Class B 3,100 94
Alex Brown, Inc. 20,500 851
* Alexander's, Inc. 9,600 533
Alfa Corp. 55,700 668
Alico, Inc. 13,200 239
The Allen Group, Inc. 37,260 1,104
* Alliance Pharmaceutical Corp. 41,200 335
* Alliance Semiconductor Corp. 2,700 132
* Alliant Techsystems, Inc. 20,600 860
* Alltrista Corp. 9,593 186
* Allwaste, Inc. 101,000 555
* Alpha Industries, Inc. 23,100 329
* Altera Corp. 22,600 980
* Amax Gold, Inc. 78,131 430
Amcast Industrial Corp. 30,700 583
Amcol International Corp. 31,000 500
Amcore Financial 27,480 515
* Amerco Inc. 7,000 140
* America Online, Inc. 11,200 490
* America West Airlines, Inc. 59,500 721
American Annuity Group Inc. 51,000 504
American Bankers Insurance Group 26,200 829
American Buildings Co. 18,000 315
* American City Business Journal 31,750 675
American Filtrona Corp. 14,900 447
* American Freightways 31,100 634
American Health Properties, Inc. 30,700 656
American Heritage Life Investment Corp. 26,532 564
* American Management Systems, Inc. 35,850 894
* American Media Class A 45,200 311
* American Medical Response, Inc. 15,100 423
* American Mobile Satellite Corp., Inc. 16,300 422
American President Cos., Ltd. 44,700 1,062
* American Superconductor Corp. 21,800 300
* American Travellers Corp. 26,300 462
* Americredit Corp. 57,100 635
* Amerisource Health Corp. 19,400 446
Ameron, Inc. 13,700 497
Ametek, Inc. 50,300 905
* Ampal-American Israel Corp. 61,800 409
* Amsco International, Inc. 52,400 727
Analogic Corp. 24,800 422
Anchor Bancorp Wisconsin Inc. 23,100 754
* Anchor Gaming 28,700 639
Angelica Corp. 22,300 557
* AnnTaylor Stores Corp. 29,900 695
* Antec Corp. 23,900 390
Anthony Industries, Inc. 18,110 333
Apogee Enterprises, Inc. 22,000 388
Apple South, Inc. 24,000 465
Applebee's International, Inc. 44,200 1,135
* Applied Innovation Inc. 25,600 1,213
* Applied Bioscience International, Inc. 36,408 191
* Applied Digital Access, Inc. 18,500 236
* Applied Magnetics Corp. 10,300 72
Applied Power, Inc. 18,300 528
* Applix, Inc. 13,900 357
* Apria Healthcare 53,600 1,501
Aptargroup Inc. 28,600 919
Aquarion Co. 24,090 554
Arbor Drugs, Inc. 31,500 512
Arctco Inc. 42,000 483
Argonaut Group, Inc. 22,900 724
* Argosy Gaming Co. 40,900 519
* Armco, Inc. 121,800 822
</TABLE>
45
<PAGE> 74
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Arnold Industries, Inc. 34,900 $ 622
Arrow International, Inc. 800 33
* Artisoft, Inc. 47,600 393
Arvin Industries, Inc. 30,500 682
* Ascend Communications, Inc. 6,000 304
Ashland Coal Inc. 20,600 551
* Aspect Telecommunications 18,100 814
Associated Banc-Corp. 21,983 675
* Associated Group Inc. Class A 11,775 212
* Astoria Financial Corp. 18,200 653
* Astrum International Corp. 13,100 364
* Asyst Technologies, Inc. 11,700 434
* Atari Corp. 101,700 280
* Athena Neurosciences, Inc. 52,800 475
Atmos Energy Corp. 20,600 417
* Atria Software, Inc. 7,800 379
Augat, Inc. 22,200 455
* Authentic Fitness Corp. 20,400 342
* Autofinance Group Inc. 42,400 689
* Automotive Industries Holding Inc. Class A 24,000 648
* Autotote Corp. 82,000 269
Avalon Properties 38,700 769
* Avatar Holding, Inc. 17,600 636
Avemco Corp. 23,700 412
Aviall Inc. 16,175 135
* Avid Technology, Inc. 22,500 841
* Aztar Corp. 78,500 726
BHC Financial Inc. 28,675 464
* BISYS Group, Inc. 31,200 690
* BJ Services Co. 36,800 837
BMC Industries, Inc. 27,400 688
BRE Properties Inc. Class A 15,100 468
BSB Bancorp, Inc. 22,815 693
BW/IP Inc. 34,300 630
* Baby Superstore, Inc. 10,500 495
J. Baker, Inc. 35,500 355
Baldor Electric Co. 26,980 772
* Baldwin Technology Class A 14,700 74
Ballard Medical Products 37,166 483
* Bally Entertainment Corp. 67,900 832
Bancorpsouth, Inc. 8,400 330
* Banctec, Inc. 32,350 510
Bank of Granite Corp. 13,750 364
Bank North Group 23,000 612
Banta Corp. 27,100 911
* Banyan Systems, Inc. 37,700 518
Barefoot, Inc. 17,600 243
Barnes Group, Inc. 8,400 338
* Barr Labs Inc. 20,600 445
* Barrett Resources Corp. 35,100 816
Bassett Furniture Industries, Inc. 20,325 564
Bay Apartment Communitites, Inc. 27,900 544
Bay State Gas Co. 19,000 468
Bay View Capital Corp. 24,757 665
Beacon Properties Corp. 15,700 312
Bearings, Inc. 13,600 416
Belden Inc. 32,600 880
Bell Bancorp, Inc. 23,900 684
* Benson Eyecare Corp. 82,699 837
* Benton Oil & Gas Co. 29,400 404
W.R. Berkley Corp. 20,950 749
Berkshire Realty Co., Inc. 59,900 592
Berry Petroleum Class A 42,800 417
BIC Corp. 100 4
Biocraft Laboratories 20,700 391
* Bio-Rad Labs, Inc. Class A 17,700 637
* Biotechnology General 103,400 310
Birmingham Steel Corp. 38,000 703
* Black Box Corp. 39,600 574
Black Hills Corp. 20,200 424
Blair Corp. 11,000 378
Blessings Corp. 19,400 242
Block Drug Co. Class A 16,682 578
* Boca Research, Inc. 21,300 576
* Bolt Beranek and Newman, Inc. 42,200 1,155
* Bombay Co. 48,975 386
* Books-a-Million Inc. 36,200 563
* Boole & Babbage Inc. 25,650 786
* Borders Group, Inc. 47,000 676
Borg-Warner Automotive, Inc. 28,800 821
* Borg-Warner Security Corp. 44,400 400
* Borland International, Inc. 36,200 471
Boston Bancorp 18,400 779
* Boston Chicken, Inc. 10,000 242
* Boston Technology, Inc. 19,600 366
Bowne & Co., Inc. 25,000 428
* Box Energy Corp. Class B 52,200 437
W.H. Brady Class A 12,600 854
Breed Technological Inc. 16,100 386
Brenco, Inc. 32,800 396
Brenton Banks, Inc. 21,450 390
* Bright Voice Systems, Inc. 19,200 346
* Broadband Technologies, Inc. 12,700 317
* Broadway & Seymour, Inc. 4,700 96
* The Broadway Stores, Inc. 88,700 477
* Broderbund Software 1,900 121
* Brooklyn Bancorp, Inc. 13,005 436
* Brooktree Corp. 52,600 901
Brown Group, Inc. 26,100 594
Bruno's Inc. 44,600 521
Brush Wellman, Inc. 27,500 588
* Buffets Inc. 61,700 845
* Burlington Coat Factory Warehouse Corp. 12,700 132
* Burlington Industries 90,900 1,045
</TABLE>
46
<PAGE> 75
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Burr-Brown Corp. 21,000 $ 567
CBL & Associates Properties, Inc. 27,200 541
CCB Financial Corp. 18,383 772
CCH Inc. Class A 33,100 728
CCP Insurance, Inc. 18,700 425
* C-Cor Electronics, Inc. 17,800 494
* C-Cube Microsystems, Inc. 16,600 453
* CDI Corp. 38,500 789
CMAC Investment Corp. 18,100 785
CML Group, Inc. 60,100 473
CNB Bankshares, Inc. 18,382 547
CPI Corp. 31,100 595
* CSF Holdings, Inc. 29,125 848
* C-TEC Corp. 22,400 557
CWM Mortgage Holdings Inc. 71,100 907
Cabot Oil & Gas Corp. 29,026 399
* Cadence Design Systems, Inc. 16,100 521
* Caldor Corp. 24,300 434
* Calgene, Inc. 54,800 380
Calgon Carbon Corp. 37,200 451
* California Federal Bank Class A 67,978 892
* California Microwave, Inc. 16,000 404
California Water Service Co. 15,913 501
Calmat Co. 26,400 548
* Cambridge Technology Partners 19,000 634
Camco International, Inc. 30,500 713
Camden Property Trust 18,500 405
* Canandaigua Wine Co., Inc. Class A 14,800 660
* Canandaigua Wine Co., Inc. Class B 2,800 125
* Cannondale Corp. 20,300 282
Capital Re Corp. 16,400 426
Capitol American Financial Corp. 24,400 555
Capstead Mortgage Corp. 22,100 594
* Capsure Holdings 8,300 116
Caraustar Industries, Inc. 30,600 558
* Career Horizons Inc. 24,000 465
Carlisle Co., Inc. 18,400 704
* Carmike Cinemas, Inc. Class A 27,000 655
Carpenter Technology Corp. 11,300 770
Carr Realty Corp. 36,300 626
* Carrington Labs Inc. 12,200 288
* Carson Pirie Scott & Co. 28,800 472
Carter-Wallace, Inc. 19,800 225
Cascade Natural Gas Corp. 33,050 463
Casey's General Stores 50,700 903
Cash America International Inc. 74,800 552
* Casino Magic Corp. 63,900 355
* Catalina Marketing Corp. 14,400 772
* Catellus Development Corp. 88,450 564
Cato Corp. Class A 35,100 279
* Cellpro, Inc. 41,000 548
* Cellular Communications International Inc. 19,900 754
* Cellular Communications of Puerto Rico, Inc. 12,500 383
* Cellular Technical Services Co. 18,200 469
* Centex Construction Products 26,000 335
* Centocor, Inc. 19,700 283
Central Hudson Gas & Electric Corp. 24,600 664
Central Louisiana Electric Co. 31,500 740
Central Maine Power Co. 45,614 542
Central Newspapers Inc. 2,300 68
Central Vermont Public Service Corp. 35,900 498
Centura Banks, Inc. 30,500 850
* Century Communications Corp. Class A 49,516 470
* Chambers Development Co. Class A 55,900 360
* Champion Enterprises, Inc. 35,400 562
Chaparral Steel Co. 33,500 331
Charming Shoppes, Inc. 106,400 565
Charter One Financial 32,875 807
* Charter Medical Corp. 39,100 635
* Chase Brass Industries, Inc. 18,300 215
* Checkers Drive-In Restaurant 145,500 277
* Checkpoint Systems, Inc. 15,100 336
Chelsea GCA Realty, Inc. 21,100 570
Chemed Corp. 21,600 751
Chemical Finance 20,893 614
* The Cherry Corp. Class A 15,800 213
* The Cherry Corp. Class B 15,000 210
Chesapeake Corp. of Virginia 36,400 1,133
* Cheyenne Software, Inc. 52,800 977
* Chipcom Corp. 23,550 561
Chiquita Brands International, Inc. 36,100 505
Chittenden Corp. 31,088 680
* Christiana Cos., Inc. 15,500 415
Church and Dwight, Inc. 21,800 452
* Cidco, Inc. 10,500 330
Cilcorp, Inc. 19,000 691
* Circa Pharmaceuticals Inc. 28,900 921
* Circle K Corp. 30,400 513
* Citicasters, Inc. 9,300 258
Citifed Bancorp 17,500 472
Citizens Bancorp MD 23,900 705
Citizens Banking Corp. 11,600 345
Citizens Corp. 47,300 775
* Citizens Utilities Co. Class B 101,887 1,210
City National Corp. 62,500 711
Claire's Stores, Inc. 36,000 652
Clarcor Inc. 18,050 413
* Clear Channel Communications 1,975 127
Cleveland-Cliffs Iron Co. 16,600 639
* Clinicom 31,500 520
* Clintrials Research, Inc. 27,200 357
* Coast Savings Financial, Inc. 38,500 794
* Coastal Physician Group, Inc. 22,500 290
</TABLE>
47
<PAGE> 76
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Cobra Golf, Inc. 16,400 $ 519
Coca-Cola Bottling Co. 20,422 641
Coeur D'Alene Mines Corp. 31,371 545
* Cognex Corp. 30,100 1,208
* Coherent Communications Systems Corp. 17,300 296
* Coherent, Inc. 11,100 327
Collagen Corp. 26,800 456
Collective Bancorp Inc. 30,600 616
* Collins & Aikman Corp. 78,000 702
Colonial Bancgroup, Inc. 30,300 833
* Colonial Data Technologies Corp. 14,000 264
Colonial Properties Trust 25,300 582
* Columbia First Federal Savings and Loan Assn. 16,800 967
* Columbia Laboratories Inc. 96,700 719
Columbus Realty Trust 32,300 606
Comair Holdings, Inc. 24,200 921
* Comdata Holdings Corp. 43,533 675
Commerce Bancorp, Inc. 34,618 669
Commerce Group, Inc. 51,900 928
* Commercial Federal Corp. 20,800 568
Commercial Intertech Corp. 43,850 702
Commercial Metals Co. 19,866 536
* Commnet Cellular Inc. 15,000 421
Commonwealth Energy Systems 15,000 566
Communications Systems, Inc. 40,400 702
* Community Healthcare Systems 27,100 918
* Community Psychiatric Centers 61,150 688
* Compression Labs, Inc. 56,040 543
* CompUSA, Inc. 30,700 1,021
* Computer Network Technology Corp. 63,100 651
* Computer Horizons Corp. 4,600 72
* Computervision Corp. 59,200 392
* Comverse Technology, Inc. 21,900 391
* Concord EFS, Inc. 32,925 873
* Cone Mills Corp. 40,200 518
* Conmed Corp. 12,600 309
Connecticut Natural Gas Corp. 15,400 339
* Conner Peripherals, Inc. 79,000 978
* Continental Airlines, Inc. 20,000 503
* Continental Medical Systems, Inc. 59,350 571
* Continuum Co. 27,800 921
* Converse Inc. 53,799 397
Adolph Coors Co. Class B 62,200 1,007
* Copytele, Inc. 57,700 572
* Cor Therapeutics, Inc. 22,000 197
* Coram Healthcare Corp. 57,000 805
* Corrections Corp. of America 29,800 1,024
Cousins Properties, Inc. 47,700 847
* Coventry Corp. 39,600 562
Crawford & Co. Class B 32,500 548
* Cray Research, Inc. 35,400 863
* Credence Systems 36,600 1,098
* Credit Acceptance Corp. 1,600 33
* Cree Research, Inc. 8,300 238
Crescent Real Estate Equities, Inc. 23,000 733
Criimi Mae Inc. 72,400 570
A.T. Cross Co. Class A 11,600 173
* Crosscom Corp. 27,000 309
Crown American Realty Trust 26,400 333
* Crown Central Petroleum Corp. Class A 13,300 201
Cubic Corp. 11,200 252
Cullen/Frost Bankers, Inc. 15,440 627
Curtiss-Wright Corp. 12,800 571
* Cygnus Therapeutic Systems 59,600 600
* Cypress Semiconductor Corp. 3,100 126
* Cyrix Corp. 23,200 557
* Cytec Industries, Inc. 19,328 790
* Cytogen Corp. 51,600 229
* DF & R Restaurants, Inc. 21,800 489
* DSP Communications, Inc. 19,300 408
* DSP Group Inc. 28,500 720
Dallas Semiconductor Corp. 36,700 752
Dames & Moore, Inc. 18,300 238
Daniel Industries, Inc. 29,400 463
* Danielson Holdings Corp. 16,500 130
* Data General Corp. 47,500 457
* Datascope Corp. 28,200 476
Dart Group Corp. Class A 5,467 469
* Dave and Busters 3,920 77
* Davidson and Associates, Inc. 13,000 518
DeBartolo Realty Corp. 58,100 850
Dekalb Genetics Corp. Class B 15,400 676
Delchamps, Inc. 21,653 409
Delta Woodside 18,000 137
Deposit Guaranty Corp. 26,300 1,019
* Destec Energy Inc. 1,000 13
Developers Diversified Realty Corp. 20,900 601
Devon Energy Corp. 30,600 658
* Devry, Inc. 33,600 678
Dexter Corp. 34,800 822
* Diagnostek, Inc. 37,800 605
Diagnostic Products Corp. 22,900 836
* Dialogic Corp. 18,800 336
* Digital Link Corp. 15,300 438
* Digital Microwave Corp. 43,200 540
Dimark, Inc. 13,700 205
* Dime Bancorp Inc. 24,262 243
Dimon Inc. 47,700 805
* Dionex Corp. 8,600 392
* Discovery Zone, Inc. 69,300 622
Donaldson Co., Inc. 31,600 826
* Doubletree Corp. 14,700 320
</TABLE>
48
<PAGE> 77
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Dovatron International Inc. 23,853 $ 578
* Dravo Corp. 38,000 560
* The Dress Barn, Inc. 42,500 409
Dreyer's Grand Ice Cream, Inc. 16,400 601
* Dual Drilling Co. 36,200 353
Duff & Phelps Corp. 36,600 393
Duke Realty Investments 32,500 918
* Dura Pharmaceuticals, Inc. 13,600 255
Duriron Co., Inc. 29,900 676
Duty Free International Inc. 25,100 220
* Dynatech Corp. 39,700 754
* EP Technologies, Inc. 35,700 357
* EZ Communications, Inc. 37,800 690
* Eagle Hardware & Garden, Inc. 56,500 399
* Easco, Inc. 24,100 289
Eastern Enterprises 28,000 836
Eastern Utilities Associates 29,954 678
Eaton Vance Corp. 16,300 532
Edison Brothers Stores, Inc. 19,600 235
* Edmark Corp. 3,100 125
* Egghead, Inc. 44,400 591
* Elcor Corp. 23,100 514
* Electro Rent Corp. 30,186 687
* Electroglas, Inc. 15,800 908
* Electronics for Imaging, Inc. 13,200 691
Elizabethtown Corp. 18,700 507
* Emcare Holdings Inc. 14,200 271
Emphesys Financial Group, Inc. 23,700 560
Empire District Electric Co. 23,843 414
* Emulex Corp. 16,300 395
Energen Corp. 24,200 520
Enhance Financial Services Group, Inc. 28,300 548
Ennis Business Forms, Inc. 39,350 487
* Enterra Corp. 37,900 796
* Envirosource, Inc. 99,100 446
* Envoy Corp. 36,800 317
* Epitope Inc. 32,600 546
* Ethan Allen Interiors Inc. 24,300 431
* Evans & Sutherland Computer Corp. 41,900 660
Evans Withycombe Residential, Inc. 19,700 401
* Evergreen Healthcare, Inc. 13,300 165
* Exabyte Corp. 29,700 410
* Excalibur Technologies Corp. 13,700 216
Excel Industries, Inc. 5,500 80
Exide Corp. 28,300 1,217
* Exide Electronics Group, Inc. 22,100 503
Expeditors International of Washington, Inc. 29,300 663
* Express Scripts 21,600 751
F & M National Corp. 23,882 394
FMC Gold Co. 63,200 253
* FSI International, Inc. 6,600 155
* FTP Software, Inc. 23,500 711
* Fabri-Centers of America, Inc. 33,900 703
Family Dollar Stores, Inc. 50,200 740
Farmer Brothers, Inc. 3,350 422
Fastenal Co. 10,900 299
Fay's Drug Co. 28,875 220
* Fedders Corp. 66,200 457
Fedders Corp. Class A 51,063 211
Federal-Mogul Corp. 52,700 962
Federal Realty Investment Trust 44,300 958
Fidelity National Financial, Inc. 37,783 567
* Fieldcrest Cannon, Inc. 26,100 564
* Figgie International Inc. Class A 30,800 262
* FileNet Corp. 16,200 654
Financial Security Assurance Holdings Ltd. 34,000 850
Financial Trust Corp. 8,966 248
Fingerhut Co. 66,100 1,033
Finova Group, Inc. 6,300 220
* Firefox Communications, Inc. 10,500 268
* First Alert, Inc. 34,500 507
First American Financial Corp. 13,500 312
First Bancorp of Ohio 40,800 1,086
First Citizens BancShares Class A 11,700 570
First Commerce Bancshares Class A 2,000 34
First Commerce Bancshares Class B 8,000 95
First Commercial Corp. 37,238 945
First Commonwealth Financial Corp. 28,500 431
* First Federal Financial 39,775 582
First Financial Bancorp 15,791 529
First Financial Savings Assn. 36,200 627
First Industrial Realty Trust 17,900 367
First Merchants Corp. 14,400 499
First Michigan Bank Corp. 24,940 611
First Midwest Bancorp 26,700 654
First Mississippi Corp. 27,300 932
First National Bank of Gainsville 27,550 585
First Source Corp. 17,750 526
* First Team Sports, Inc. 17,000 394
Firstbank of Illinois Co. 960 26
FirstFed Michigan Corp. 22,250 626
Firstier Financial Inc. 17,850 663
Fisher Scientific International Inc. 23,100 765
* Flagstar Cos. 61,460 346
Florida East Coast Railway Co. 8,700 642
Florida Rock Industries, Inc. 16,600 471
Flowers Industries, Inc. 55,100 1,088
Fluke Corp. 22,100 928
* Foamex International, Inc. 56,700 415
* Foodmaker, Inc. 98,400 541
Foothill Group 29,200 745
Foremost Corp. of America 9,700 373
Fort Wayne National Corp. 21,100 578
</TABLE>
49
<PAGE> 78
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* FoxMeyer Health Corp. 31,484 $ 563
* Frame Technology 24,900 725
* Franklin Quest Co. 28,400 682
Fremont General Corp. 20,240 488
* Friedman's Inc. Class A 27,000 503
* Fritz Cos., Inc. 12,900 758
Frontier Insurance Group, Inc. 15,200 408
H.B. Fuller Co. 20,350 748
Fulton Financial Corp. 34,779 630
* Fund American Enterprise Holding Co. 11,653 832
* Fusion Systems 20,800 705
G & K Services, Inc. 42,150 806
* GC Cos. 8,250 270
Gables Residential Trust 25,800 529
Gainsco, Inc. 48,952 486
* Galey & Lord 36,900 512
Arthur J. Gallagher & Co. 22,200 808
* Gartner Group, Inc. 6,100 176
* Gasonics International Corp. 14,500 417
* Gaylord Container Corp. 86,100 1,033
GenCorp, Inc. 37,900 407
* General Acceptance Corp. 10,200 275
* General Datacomm Industries, Inc. 44,800 560
General Growth Properties 34,500 703
* General Host Corp. 82,719 507
* Genesis Health Ventures 20,300 601
* Genetic Therapy, Inc. 36,600 535
* Geneva Steel Class A 44,000 363
* Gentex Corp. 28,600 570
Geon Co. 33,300 957
* Geotek Industries, Inc. 56,000 480
Gerber Scientific, Inc. 28,700 481
* Gibraltar Steel 17,950 233
* Gibson Greetings, Inc. 23,000 305
Giddings & Lewis, Inc. 53,600 955
* Gilead Sciences, Inc. 39,000 685
* Glendale Federal 51,300 641
Glimcher Realty Trust 22,900 475
* Global Industries, Ltd. 11,700 256
* Global Marine Inc. 6,300 36
* Global Natural Resources, Inc. 81,300 874
* Goody's Family Clothing 38,300 436
Gorman-Rupp Co. 22,125 321
Goulds Pumps, Inc. 29,900 654
Graco, Inc. 25,100 675
* Grand Casinos, Inc. 32,600 1,153
* Great American Management, Inc. 14,300 506
Great Financial Corp. 41,500 783
Green Mountain Power Corp. 18,700 470
Greenfield Industries, Inc. 23,900 687
Greif Brothers Corp. Class A 32,200 753
Grey Advertising, Inc. 2,700 508
* Griffon Corp. 67,400 539
Guilford Mills, Inc. 10,500 256
* Gulf South Medical Supply, Inc. 9,100 221
* Gupta Corp. 41,400 396
* Gymboree Inc. 34,800 1,014
* Hadco Corp. 19,900 493
* Haemonetics Corp. 29,350 565
Haggar Corp. 21,800 417
Hancock Holding Co. 16,646 520
Handleman Co. 44,600 429
Handy & Harman 44,800 694
John H. Harland Co. 50,200 1,148
Harleysville National Corp. 1,500 39
Harman International Industries, Inc. 18,500 749
Harmon Industries, Inc. 27,500 464
Harnischfeger Industries Inc. 7,100 246
Harper Group, Inc. 27,000 445
Harte-Hanks Communications Co. 23,500 593
* Hartmarx Corp. 90,000 450
Hawkeye Bancorp 35,500 774
Health Care REIT, Inc. 15,200 313
Healthcare Realty Trust Inc. 19,800 401
* Healthdyne Inc. 9,000 39
* Healthdyne Technologies, Inc. 47,501 493
* Healthwise of America Inc. 23,050 594
* Heartland Express, Inc. 20,875 543
* Heartland Wireless Communications, Inc. 4,000 94
Hechinger Co. Class A 40,500 289
* Hecla Mining Co. 65,400 679
* Heftel Broadcasting Corp. 6,200 96
Helene Curtis, Inc. 17,500 499
Helix Technology Corp. 8,700 375
Helmerich & Payne, Inc. 33,400 985
Herbalife International 33,600 422
Heritage Financial Services, Inc. 30,800 543
* Heritage Media Corp. Class A 33,004 953
Highwood Properties, Inc. 14,500 370
Holly Corp. 14,400 333
* Hollywood Casino Corp. 51,800 456
* Hollywood Entertainment Corp. 10,200 460
* Hollywood Park, Inc. 38,100 483
Home Beneficial Corp. Class B 25,400 530
Home Financial Corp. 25,300 359
* Home Shopping Network, Inc. 66,200 563
* Hometown Buffet, Inc. 40,100 466
Horace Mann Educators Corp. 29,200 672
* Horizon Healthcare Corp. 39,100 699
* Hornbeck Offshore Services, Inc. 2,000 31
Houghton Mifflin Co. 19,900 1,050
* Hovnanian Enterprises Class A 52,250 304
* Hovnanian Enterprises Class B 9,650 55
Hubco, Inc. 36,201 645
</TABLE>
50
<PAGE> 79
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Hudson Foods Inc. Class A 41,550 $ 577
Huffy Corp. 27,600 359
Hughes Supply, Inc. 16,600 365
Hunt Manufacturing Co. 31,000 473
J.B. Hunt Transport Services, Inc. 29,250 534
* Hyperion Software Corp. 17,500 790
ICN Pharmaceuticals 53,021 835
IES Industries, Inc. 45,400 1,010
* IGI, Inc. 22,900 352
* IHOP Corp. 24,500 637
IRT Property Co. 68,198 665
ISB Financial Corp. 25,800 384
* ITI Technologies, Inc. 16,900 403
IWC Resources Corp. 23,100 439
Ideon Group 38,500 380
IDEX Corp. 26,700 894
* IDEXX Laboratories 44,800 1,173
* Identix, Inc. 15,000 95
* Immunex Corp. 48,900 630
* Imo Industries, Inc. 42,600 383
* Imperial Bancorp 41,703 813
* Imperial Credit 47,880 607
* In Focus Systems, Inc. 19,500 528
* Inbrand Corp. 32,900 543
* Incyte Pharmaceuticals, Inc. 14,000 229
Independent Insurance Group, Inc. 24,900 361
Indiana Energy, Inc. 32,600 619
* INDRESSCO Inc. 36,900 572
* Information Resources, Inc. 35,700 500
* Inphynet Medical Management, Inc. 23,400 439
* Input/Output, Inc. 27,200 979
* Insignia Financial Group 9,300 245
* Insilco Corp. 10,000 351
* Inso Corp. 5,000 296
* Insurance Auto Auctions, Inc. 14,500 419
Integrated Health Services, Inc. 27,100 813
* Integrated Process Equipment Corp. 13,900 493
* Integrated Silicon Solution, Inc. 20,100 1,048
* Integrated Silicon Systems 5,100 191
Intelligent Electronics Inc. 32,900 446
* Inter-Tel, Inc. 24,600 369
* Intercel, Inc. 10,000 154
* Interco Co. 63,300 372
Intercontinental Bank 20,900 594
* Interdigital Communications Corp. 52,000 364
Interface, Inc. 28,800 356
* Intergraph Corp. 59,200 670
* Interim Services, Inc. 16,400 408
* Intermet Corp. 51,700 498
International Aluminum Corp. 13,400 425
* International Cabletel, Inc. 33,800 1,090
* International Dairy Queen, Inc. Class A 42,300 825
* International Family Entertainment Class B 31,400 495
International Multifoods Corp. 27,700 623
* International Rectifier Corp. 39,200 1,274
International Shipholding Corp. 22,200 463
* International Technology 154,900 465
* Interpool, Inc. 35,800 488
* Intersolv 15,400 360
Interstate Bakeries 26,300 434
Interstate Power Co. 24,100 581
* Intervoice, Inc. 53,600 945
* Intuit, Inc. 2,200 167
Invacare Corp. 17,500 731
* Investment Technology Group, Inc. 19,900 144
* Iomega Corp. 24,000 532
* Ionics, Inc. 22,400 778
Iowa-Illinois Gas & Electric Co. 39,600 866
Irvine Apartment Communities, Inc. 33,100 571
* Irvine Sensors Corp. 33,400 255
Irwin Financial Corp. 17,400 607
* ISIS Pharmaceuticals, Inc. 59,600 745
* Itron, Inc. 11,200 347
J & L Specialty Steel Inc. 20,100 387
JSB Financial 15,800 458
* Jacobs Engineering Group Inc. 28,900 636
Jefferson Bankshares, Inc. 18,900 400
John Alden Financial Group 37,900 649
* Johnson Worldwide Associates, Inc. 16,600 384
* Johnstown America Industries 35,600 376
* Jones Intercable Inc. 13,400 204
Juno Lighting, Inc. 25,300 408
Justin Industries, Inc. 40,450 450
KN Energy, Inc. 43,027 1,092
* Kaiser Aluminum & Chemical Corp. 32,000 444
Kansas City Life Insurance Co. 12,030 589
Kaufman & Broad Home Corp. 39,200 568
Kaydon Corp. 25,000 744
* Keane, Inc. 20,750 516
Kellwood Co. 30,450 518
* Kelly Oil Corp. 74,800 407
* KEMET Corp. 4,770 251
* Kenetech Corp. 53,200 622
Kennametal, Inc. 3,451 122
* Kent Electronics Corp. 23,850 903
* Key Tronic Corp. 16,800 270
Keystone Financial, Inc. 32,050 899
Kimball International, Inc. Class B 19,900 535
* Kinder Care Learning Centers Inc. 39,900 534
Kinetic Concepts, Inc. 57,200 400
* Kirby Corp. 40,900 649
* Koger Equity Inc. 34,300 300
* Komag, Inc. 5,400 281
Kranzco Realty Trust 32,600 583
</TABLE>
51
<PAGE> 80
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Kulicke & Soffa Industries, Inc. 10,000 $ 664
Kysor Industrial Corp. 21,800 452
La-Z-Boy Chair Co. 18,800 496
Laclede Gas Co. 21,600 424
Ladd Furniture Inc. 19,633 258
Lance, Inc. 20,700 383
Landauer, Inc. 35,500 670
* Landmark Graphics Corp. 22,100 568
* Lands' End, Inc. 19,700 320
* Landstar System 24,700 636
* Lattice Semiconductor Corp. 25,900 892
Lawson Products, Inc. 18,300 492
Lawter International Inc. 47,466 570
Leader Financial Corp. 11,000 314
* Learning Co. 15,700 561
* Lechters Corp. 37,500 591
Legg Mason Inc. 29,700 802
Lennar Corp. 38,650 725
Lesco, Inc. 26,200 406
* Level One Communications 43,100 943
* Levitz Furniture 37,300 261
Libbey, Inc. 9,000 187
Liberty Bancorp Inc. (Oklahoma) 17,800 578
Liberty Corp. 23,900 651
Liberty Property Trust 26,000 510
Life Partners Group, Inc. 20,800 416
Life Re Corp. 18,300 341
Life Technologies, Inc. 25,300 563
* Lifetime Hoan Corp. 10,725 118
Lilly Industries Inc. Class A 46,850 562
* Lincare Holdings Inc. 41,100 1,094
Lincoln Telecommunications Co. 34,200 534
* Lindsay Manufacturing Co. 17,425 599
* Liposome Co., Inc. 73,400 807
* Liposome Technology, Inc. 46,400 478
Liqui-Box Corp. 17,200 561
* Littelfuse, Inc. 15,400 485
* Living Centers of America, Inc. 22,200 602
Lone Star Industries, Inc. 31,500 677
* Lone Star Steakhouse & Saloon 5,700 172
Long Island Bancorp, Inc. 36,400 692
Longs Drug Stores, Inc. 23,900 896
Loyola Capital Corp. 10,000 308
Luby's Cafeterias, Inc. 36,100 727
Lufkin Industries 14,414 274
Lukens, Inc. 19,000 613
* Lydall, Inc. 14,600 321
* M/A-Com, Inc. 81,100 953
MAF Bancorp, Inc. 20,800 481
MDU Resources Group, Inc. 26,250 781
MGI Properties, Inc. 34,500 517
MTS Systems Corp. 18,300 499
* MacFrugal's Bargains Close-Outs, Inc. 43,100 754
The Macerich Co. 25,300 497
The MacNeal-Schwendler Corp. 35,300 494
* Macromedia 24,800 1,076
Madison Gas & Electric Co. 14,750 455
* Magma Copper Co. Class B 68,900 1,120
Magna Group 36,400 805
* Magnatek 24,700 337
Manitowoc Co., Inc. 16,400 474
Manufactured Home Communities, Inc. 34,700 534
* Manugistics Group, Inc. 10,300 143
* Mapinfo Corp. 13,200 467
* Marcam Corp. 8,500 114
* Marine Drilling Co., Inc. 100,000 409
* Mariner Health Group, Inc. 25,600 285
Mark Twain Bancshares, Inc. 20,550 660
* Marshall Industries 25,600 858
Maryland Federal Bancorp 3,700 118
MascoTech Inc. 40,300 499
* Material Sciences Corp. 23,900 487
* Maxtor Corp. 65,600 410
* Maxicare Health Plans Inc. 20,000 308
Maybelline, Inc. 21,593 443
* McAfee Associates, Inc. 9,900 301
McArthur/Glen Realty Corp. 35,100 513
McClatchy Newspapers, Inc. 19,500 431
McDonald and Co. Investments, Inc. 33,160 526
* McWorter Technologies Inc. 29,950 449
Measurex Corp. 17,200 522
* Medaphis Corp. 26,000 559
* Medco Research, Inc. 31,500 433
Media General, Inc. Class A 16,300 497
* Medic Computer Systems, Inc. 20,300 787
* MedImmune Inc. 52,900 754
Medusa Corp. 27,550 685
* Mego Financial Corp. 12,100 96
Mentor Corp. 24,800 688
* Mentor Graphics Corp. 12,675 220
Merchants New York Bancorp 4,800 251
Meredith Corp. 32,800 832
* Merisel, Inc. 39,400 295
Merrill Corp. 25,000 469
Merry Land & Investment Co., Inc. 44,736 911
* Mesa Airlines, Inc. 63,500 583
* Mesa, Inc. 109,000 518
Methode Electronics, Inc. Class A 27,500 536
* Metricom 34,200 504
* Metrocall, Inc. 2,300 41
* Fred Meyer, Inc. 38,000 1,031
* Michaels Stores, Inc. 24,218 516
* Microage, Inc. 46,500 657
</TABLE>
52
<PAGE> 81
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Microchip Technology, Inc. 8,450 $ 308
* Microcom Corp. 10,800 163
* Micron Electronics, Inc. 5,500 104
Mid Am Inc. 38,217 585
Mid-America Apartment Communities, Inc. 9,200 230
Mid-America Bancorp 24,612 415
Mid-American Waste Systems, Inc. 64,100 312
Midland Co. 11,300 494
Midwest Grain Products 16,000 290
Herman Miller, Inc. 34,300 845
Mills Corp. 23,300 463
Mine Safety Appliances Co. 12,100 628
Minerals Technologies, Inc. 32,100 1,156
Mississippi Chemical Corp. 20,300 406
* Mobile Telecommunications Technologies Corp. 6,500 178
* Mohawk Industries, Inc. 39,500 583
* Molten Metal Technology 34,600 813
The Money Store 19,200 689
* Morrison-Knudsen Co., Inc. 73,400 495
Morrison Restaurants 37,750 906
Mosinee Paper Corp. 9,900 218
* Mueller Industries Inc. 15,100 744
* Multicare Cos., Inc. 25,700 448
* Musicland Stores Corp. 43,300 444
* Mutual Assurance Inc. 19,411 575
NAC Re Corp. 23,850 742
* NFO Research Inc. 16,000 320
* N L Industries, Inc. 25,300 338
NN Ball and Roller 39,900 713
* NPC International Class A 40,100 248
N.S. Bancorp Inc. 24,100 750
NYMAGIC, Inc. 21,700 344
* Nabors Industries, Inc. 131,700 1,087
NACCO Industries, Inc. Class A 11,100 665
Nash-Finch Co. 32,500 528
Nashua Corp. 20,700 393
National Bankcorp of Alaska Inc. 9,700 500
National Community Bancorp 27,350 701
National Computer Systems, Inc. 24,500 505
National Data Corp. 43,050 996
* National Education Corp. 101,500 558
National Health Investors REIT 18,400 501
National Penn Bancshares Inc. 8,196 211
National Presto Industries, Inc. 14,600 662
National Re Holdings Corp. 22,850 765
* National Steel Corp. Class B 41,900 649
* National Western Life Insurance Co. Class A 11,000 478
* Nationwide Cellular Service Inc. 20,100 529
Nationwide Health Properties, Inc. 27,200 1,061
Nature's Sunshine Inc. 30,888 479
* Nautica Enterprises Inc. 26,905 969
* Navigators Group, Inc. 25,000 387
* Nellcor Inc. 24,700 1,102
* Neopath, Inc. 6,300 103
* Netcom On-line Communication Services, Inc. 10,500 270
* Netmanage, Inc. 42,000 724
* Network Computing Devices, Inc. 13,500 117
* Network Equipment Technologies 30,600 727
* Network General Corp. 28,000 765
* Neurogen Corp. 20,900 334
New England Business Service, Inc. 25,400 502
New Jersey Resources Corp. 24,300 562
New York Bancorp Inc. 24,200 481
Newfield Exploration Co. 23,100 655
* Noble Drilling Corp. 81,800 593
* Nortek, Inc. 41,008 354
* North American Biologicals, Inc. 47,600 437
North American Mortgage 21,700 502
North Carolina Natural Gas Corp. 19,742 429
North Fork Bancorporation, Inc. 31,000 562
Northwest Natural Gas Co. 19,300 600
Northwestern Public Service Co. 20,700 530
* NovaCare, Inc. 77,100 626
* Nu-Kote Holding, Inc. Class A 24,000 756
* Novellus Systems, Inc. 2,000 135
* Noven Pharmaceuticals, Inc. 36,300 277
* Nuevo Energy Co. 24,200 487
OEA, Inc. 20,800 616
* OHM Corp. 43,000 521
* OIS Optical Imaging Systems, Inc. 63,800 323
OM Group, Inc. 14,200 403
* OMI Corp. 77,500 513
* Oak Industries, Inc. 24,300 626
Oakwood Homes Corp. 29,800 764
Oasis Residential, Inc. 20,600 448
* Oceaneering International, Inc. 52,100 462
* Octel Communications Corp. 31,200 915
* Offshore Logistics, Inc. 17,500 243
Oil-Dri Corp. of America 23,375 348
* Old Dominion Freight Line, Inc. 18,236 226
* Omega Environmental, Inc. 108,300 386
Omega Healthcare Investors, Inc. 23,000 584
Omnicare, Inc. 25,000 678
Onbancorp Inc. 22,900 648
One Valley Bancorp of West Virginia Inc. 19,000 583
* Onecomm Corp. 40,500 607
Oneida Ltd. 24,490 361
ONEOK, Inc. 36,900 789
* Open Environment Corp. 14,300 299
* Opti, Inc. 18,700 428
* Optical Data System Inc. 21,200 556
</TABLE>
53
<PAGE> 82
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Orange & Rockland Utilities, Inc. 18,800 $ 634
* Orbital Sciences Corp. 37,200 688
Oregon Steel Mills, Inc. 23,600 404
* Organogenesis, Inc. 46,400 661
Orion Capital Corp. 21,225 828
* OrNda Healthcorp 60,200 1,035
* Ostex International, Inc. 23,200 539
O'Sullivan Corp. 27,500 316
Otter Tail Power Co. 15,400 514
Outboard Marine Corp. 28,700 563
Overseas Shipholding Group Inc. 36,300 753
Owens & Minor Holdings Co., Inc. 43,237 540
* PDT, Inc. 5,500 212
PHH Corp. 24,500 1,090
* Pacific Physician Services, Inc. 36,200 462
Pacific Scientific Co. 43,800 783
* Pairgain Technologies, Inc. 26,800 513
* Palmer Wireless, Inc. 20,700 339
Paragon Group Inc. 16,000 298
* Paragon Trade Brands, Inc. 7,800 112
Parker & Parsley Petroleum Co. 56,100 1,101
* Parker Drilling Co. 84,400 443
* Patterson Dental Co. 10,000 236
* Payless Cashways, Inc. 58,100 370
* Pec Israel Economic Corp. 21,500 578
* The Penn Traffic Co. 15,500 548
Penn Virginia Corp. 3,900 111
Penncorp Financial Group Inc. 24,900 461
Pennsylvania Real Estate Investment Trust 27,900 568
Pentair, Inc. 5,850 255
Penwest Ltd. 19,250 455
* Peoplesoft Inc. 4,100 221
* Performance Food Group Co. 4,800 98
* Petco Animal Supplies, Inc. 12,800 294
Petrie Stores Corp. 20,400 138
Petroleum Heat & Power Co. 11,100 89
Petrolite Corp. 17,200 514
* Phamis, Inc. 16,400 407
* Pharmaceutical Markets 34,200 310
* Pharmaceutical Resources, Inc. 43,000 452
Phillips-Van Heusen Corp. 26,300 408
Phoenix Resource Cos., Inc. 20,900 664
* Phycor, Inc. 34,350 1,207
* Physician Sales & Service, Inc. 7,500 309
* PictureTel Corp. 27,100 1,308
Piedmont Natural Gas, Inc. 40,775 846
Pier 1 Imports Inc. 55,125 510
* Pillowtex Designs 32,800 336
Pioneer Group Inc. 30,400 825
Pioneer Standard Electronics Inc. 16,700 413
Piper Jaffray Cos., Inc. 34,600 523
Pittway Corp. Class A 17,300 791
Plains Petroleum Co. 25,000 741
* Platinum Technology, Inc. 33,400 599
* Players International, Inc. 52,050 1,048
* Playtex Products, Inc. 61,900 611
Ply-Gem Industries, Inc. 28,800 511
Poe & Brown, Inc. 11,800 282
Pope & Talbot, Inc. 16,400 267
Post Properties, Inc. 24,500 741
Precision Castparts Corp. 26,700 938
* Premier Bancorp, Inc. 48,090 866
* Premisys Communications, Inc. 6,700 433
* Prepaid Legal Services, Inc. 50,000 297
* President Casinos 73,200 348
* Price Enterprises, Inc. 34,400 477
* Pricellular Corp. 21,100 195
* Primadonna Resorts, Inc. 900 22
* Primark Corp. 31,500 571
* Prime Hospitality Corp. 32,400 320
* Printronix, Inc. 14,800 414
* Proffitt's, Inc. 28,900 853
* Progress Software Corp. 11,100 577
* Pronet, Inc. 19,000 386
Protective Life Corp. 31,800 867
* Protein Design Labs 30,900 645
Provident Bancorp Inc. 15,100 526
* Public Service Co. of New Mexico 60,600 864
Public Service Co. of North Carolina, Inc. 17,900 293
Pulitzer Publishing Co. 20,212 862
Pulte Corp. 26,300 736
Puritan-Bennett Corp. 19,700 758
* Pyxis Corp. 4,500 102
Quaker Chemical Corp. 7,200 115
Quaker State Corp. 45,500 682
* Quality Food Centers Inc. 10,188 201
Quanex Corp. 15,100 374
* Quantum Health Resources, Inc. 20,500 337
Queens County Bancorp, Inc. 10,150 325
The Quick & Reilly Group, Inc. 9,300 337
* Quickturn Design Systems, Inc. 44,600 399
RFS Hotel Investors 30,400 460
ROC Communities Inc. 16,000 354
* RPC Inc. 43,000 390
RPS Realty Trust 113,300 510
* Racotek, Inc. 54,500 334
* RailTex, Inc. 19,300 466
* Ralcorp Holdings Inc. 45,800 1,048
* Read-Right Corp. 19,400 518
* Reading & Bates Corp. 81,600 755
Real Estate Investment Trust of California 33,200 556
Realty Income Corp. 19,300 408
* Recognition International Inc. 69,100 631
</TABLE>
54
<PAGE> 83
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Redman Industries, Inc. 19,500 $ 419
Regal-Beloit Corp. 45,100 699
* Regal Cinemas, Inc. 17,280 555
* Regency Health Services, Inc. 20,300 213
* Regional Acceptance Corp. 32,700 589
Reinsurance Group of America, Inc. 22,500 644
Reliance Group Holdings 63,500 413
* Ren Corp. 46,400 745
* Renaissance Communications 28,400 951
* Res-Care, Inc. 8,800 150
Resource Mortgage Capital Corp. 23,700 453
* Respironics, Inc. 54,000 756
* Rex Stores Corp. 30,800 431
Richfood Holdings, Inc. 38,100 843
* Riggs National Corp. 55,900 549
Rival Manufacturing Co. 33,100 480
River Forest Bancorp, Inc. 10,000 404
Robbins & Myers, Inc. 23,900 654
* Robert Half International, Inc. 26,800 687
* Roberts Pharmaceuticals 22,000 478
* Robotic Vision Systems, Inc. 37,800 543
Rochester Community Savings Bank 39,800 791
Rock-Tenn Co. 40,600 716
* Rollins Environmental Services, Inc. 99,637 473
Rollins Truck Leasing 54,825 589
Roosevelt Financial Group 46,900 780
Roper Industries Inc. 22,400 795
Ross Stores, Inc. 43,000 500
Rouge Steel Co. Class A 17,800 414
* Rowan Cos., Inc. 123,500 1,003
* Royal Gold, Inc. 8,000 67
Ruddick Corp. 24,600 510
Russ Berrie, Inc. 38,300 531
* Ryan's Family Steak Houses, Inc. 74,600 583
Rykoff-Sexton, Inc. 28,125 496
Ryland Group, Inc. 21,800 352
S & T Bancorp, Inc. 10,000 234
* SCI Systems, Inc. 39,300 980
SCOR U.S. Corp. 16,000 144
SEI Corp. 25,400 578
SFFED Corp. 35,700 754
* SPS Technologies, Inc. 14,900 561
SPX Corp. 32,500 370
* S3, Inc. 29,500 1,060
* Safeguard Scientifics, Inc. 8,900 369
* Safety First Inc. 18,100 360
St. John Knits, Inc. 10,000 449
St. Joseph Light & Power Co. 16,900 477
St. Mary Land & Exploration Co. 39,000 480
St. Paul Bancorp, Inc. 29,250 658
* Salick Healthcare Inc. 11,200 410
* Sanmina Corp. 8,300 319
* Sanifill, Inc. 19,500 612
* Santa Cruz Operation, Inc. 48,400 405
Saul Centers, Inc. 35,900 574
Savannah Foods & Industries, Inc. 36,700 404
* Savoy Pictures Entertainment, Inc. 19,400 173
Sbarro, Inc. 15,300 356
* Scholastic Corp. 5,200 283
* Sciclone Pharmaceuticals 51,000 322
* Scientific Games Holdings Corp. 13,100 359
* Scios Nova, Inc. 92,635 379
Scotsman Industries, Inc. 30,400 562
* Scotts Co. 41,500 903
Seafield Capital Corp. 17,000 612
* Seagull Energy Corp. 53,000 874
* Sealed Air Corp. 4,100 180
Sealright Co. 23,000 380
* Seattle Filmworks, Inc. 5,212 91
* Security Capital Corp. 15,000 735
Security Capital Industrial Trust 28,800 468
Security Connecticut Corp. 28,500 734
* Security Dynamics Technologies, Inc. 7,500 335
* Seitel, Inc. 10,100 313
Selective Insurance Group 20,400 668
* Semitool, Inc. 11,600 370
* Sepracor Inc. 75,900 1,020
* Sequa Corp. Class A 20,500 600
* Sequent Computer Systems, Inc. 42,700 761
* Service Merchandise Co., Inc. 120,712 634
Shared Medical Systems Corp. 6,600 266
* Shiva Corp. 7,600 327
* Shoney's Inc. 40,600 477
Shopko Stores, Inc. 58,400 628
* Shorewood Packaging 45,000 664
* Show Biz Pizza Time, Inc. 25,700 296
Showboat, Inc. 15,000 277
* Shuffle Master, Inc. 7,300 165
Shurgard REIT 22,800 524
* Sierra Health Services 22,400 549
* Sierra On-Line, Inc. 12,200 307
Sierra Pacific Resources 42,900 933
* Sierra Semiconductor 14,800 468
* Silicon Valley Group, Inc. 17,100 621
Simpson Industries, Inc. 44,700 497
* Simula, Inc. 8,800 198
* Sithe Energies, Inc. 11,400 111
Sizzler International 23,400 149
Skyline Corp. 28,900 524
Skywest, Inc. 34,300 776
A.O. Smith Corp. 23,500 552
* Smith International, Inc. 57,700 966
* Smithfield Foods, Inc. 26,300 562
Smiths Food & Drug Center, Inc. Class B 27,200 537
J.M. Smucker Co. Class A 41,200 912
</TABLE>
55
<PAGE> 84
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
J.M. Smucker Co. Class B 1,000 $ 20
Snyder Oil Corp. 32,800 414
* Sodak Gaming, Inc. 31,800 549
* Sofamor/Danek Group Inc. 18,600 421
* Softkey International, Inc. 21,500 683
* Sola International, Inc. 22,000 547
* Sonic Corp. 26,900 733
Sotheby's Holdings Class A 58,400 796
South Jersey Industries, Inc. 28,236 593
South West Property Trust 48,000 552
* Southdown, Inc. 25,200 482
Southern California Water Co. 26,700 517
* Southern Energy Homes, Inc. 6,900 95
Southern Indiana Gas & Electric 23,133 743
Southwest Gas Corp. 29,600 422
Southwestern Energy Co. 35,800 497
Sovereign Bancorp, Inc. 53,224 506
* Spacelabs Medical 30,100 764
Spartan Motors, Inc. 35,200 310
* Special Devices, Inc. 13,000 284
Speiker Properties, Inc. 34,400 770
* Spelling Entertainment 14,000 136
* Sportmart Inc. 12,900 128
* Sportmart Inc. Class A 7,800 56
* Sports & Recreation 47,900 629
* The Sports Authority, Inc. 16,000 326
* Staar Surgical Co. 36,500 308
Stac Electronics 58,300 437
* Standard Commercial Tobacco Co. 20,569 303
* Standard Financial, Inc. 23,000 302
* Standard Microsystem 18,000 276
Standard Motor Products, Inc. 10,000 202
Standard Products Co. 24,725 538
The Standard Register Co. 30,200 578
Standex International Corp. 18,900 595
Stanhome, Inc. 28,700 947
L. S. Starrett Co. Class A 16,200 367
Steel Technologies, Inc. 29,150 332
* Stein Mart, Inc. 27,550 368
* Steris Corp. 19,500 941
* Sterling Chemicals, Inc. 54,100 629
Stewart Enterprises, Inc. Class A 850 29
* Stillwater Mining 21,000 588
Stone & Webster, Inc. 20,500 605
Storage Equities, Inc. 42,700 699
Storage USA, Inc. 25,800 732
* StrataCom, Inc. 11,700 569
* Stratus Computer, Inc. 33,800 1,048
Strawbridge & Clothier Class A 12,057 246
Stride Rite Corp. 68,300 709
* Structural Dynamics Research Corp. 32,600 422
Sturm, Ruger & Co., Inc. 10,000 326
* Submicron Systems Corp. 33,800 368
Sumitomo Bank of California 10,584 261
* Summa Four, Inc. 25,900 722
Summit Bancorp 46,140 986
Summit Properties, Inc. 31,900 550
* Summit Technology, Inc. 23,700 898
* Sun Healthcare Group, Inc. 36,000 567
Sun Television & Appliances 50,600 383
* Sungard Data Systems 2,600 136
* Sunglass Hut International, Inc. 31,400 1,095
* Sunrise Medical, Inc. 21,700 675
* Sunshine Mining and Refining Co. 228,600 400
Super Food Services, Inc. 42,300 502
* Swift Transportation Co., Inc. 32,700 556
* Sylvan Learning Systems, Inc. 5,600 118
* Symantec Corp. 15,600 449
* Symmetricom Inc. 10,600 229
* Synopsys, Inc. 6,700 419
* Syratech Inc. 20,700 380
System Software Associates, Inc. 29,100 584
* Systemed Inc. 28,300 193
* Systems & Computer Technology Corp. 42,000 837
* Systemsoft Corp. 14,800 215
* TBC Corp. 66,700 721
TCA Cable Television, Inc. 21,700 583
TCF Financial Corp. 21 1
* TCSI Corp. 11,300 167
* TFC Enterprises, Inc. 30,300 373
TJ International, Inc. 20,400 375
TNP Enterprises, Inc. 36,600 590
TNT Freightways 24,800 496
TR Financial Corp. 32,500 585
* Target Therapeutics, Inc. 13,600 602
* Tatham Offshore, Inc. 59,300 219
Taubman Co. REIT 77,000 731
* Tech Data Corp. 46,600 536
* Tech-Sym Corp. 18,449 505
* Tecnol Medical Products Inc. 34,400 761
* Tejas Gas Corp. 13,100 650
* Tejas Power Corp. Class A 44,200 425
Tejon Ranch Co. 20,000 277
* Tele-Matic Corp. 24,200 293
Teleflex Inc. 27,750 1,193
Telxon Corp. 37,000 798
* Tencor Instruments 5,200 212
Tennant Co. 11,300 297
Terra Industries, Inc. 5,200 63
Tesoro Petroleum Corp. 61,800 618
* Tetra Tech Inc. 24,450 443
* Tetra Technologies, Inc. 52,900 648
Texas Industries, Inc. 12,660 492
* Texas Meridian Resources Corp. 36,800 396
* Theratech, Inc. 31,100 428
</TABLE>
56
<PAGE> 85
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Thermedics, Inc. 38,400 $ 749
* Thermo Cardiosystems Inc. 2,400 88
* Thermo Process Systems 45,400 556
Thermo Remediation, Inc. 7,500 117
Thiokol Corp. 27,700 838
* 3DO Co. 45,900 554
* Tide West Oil Co. 20,401 230
Tiffany & Co. 19,250 654
* Timberland Co. 22,400 552
* Tivoli Systems, Inc. 20,800 666
* Toll Brothers, Inc. 36,600 590
Tootsie Roll Industries, Inc. 12,513 867
* Top Source Technologies, Inc. 48,000 333
* The Topps Co., Inc. 76,925 486
The Toro Co. 16,300 456
Town & Country Trust 13,200 190
* Toy Biz 19,000 344
* Tracor, Inc. 45,359 612
* Transaction Network Services, Inc. 5,400 88
* Transnational Re Corp. 9,800 198
Tredegar Industries Inc. 29,800 741
* Tremont Corp. 6,265 103
Trenwick Group Inc. 14,800 633
* Triarc Cos. Class A 27,500 430
* Trident Microsystems, Inc. 9,500 197
* Trimble Navigation Ltd. 35,900 1,014
Trinet Corporate Realty Trust, Inc. 20,500 574
* Trinzic Corp. 63,600 370
True North Communications 27,000 510
The Trust Co. of N.J. 47,600 631
Trustco Bank 30,509 656
Trustmark Corp. 31,100 538
* Tucson Electric Power Co. 222,600 696
* Tultex Corp. 104,000 585
* 20th Century Industries of CA 45,200 565
* Tyco Toys, Inc. 80,100 551
UGI Corp. Holding Co. 51,100 1,079
UMB Financial Corp. 20,427 738
UNR Industries, Inc. 51,900 380
* UST Corp. 10,000 134
* Ultralife Batteries, Inc. 15,800 286
* Ultratech Stepper, Inc. 9,800 343
Unifirst Corp. 19,000 256
* Unilab Corp. 4,500 21
Union Planters Corp. 3,605 96
* Union Switch and Signal, Inc. 25,900 327
* Uniroyal Chemical Corp. 24,300 272
United Bankshares, Inc. 25,600 678
United Carolina Bancshare Corp. 19,000 577
United Cities Gas Co. 28,394 433
United Cos. Finance Corp. 16,951 761
United Dominion Realty 74,000 1,091
United Fire & Casualty Co. 15,150 428
United Illuminating Co. 19,650 648
* United Insurance Cos., Inc. 53,700 712
* United International Holdings, Inc. Class A 47,100 771
* United Meridian Corp. 39,600 614
* United Retail 16,400 115
* USAir Group, Inc. 86,600 1,007
* U.S. Filter Corp. 21,600 410
* U.S. Long Distance Corp. 36,900 597
* U.S. Robotics Corp. 5,900 642
United States Trust Corp. 12,000 860
United Television, Inc. 4,500 322
* United Video Satellite Group, Inc. 23,300 673
* United Waste Systems, Inc. 12,300 440
United Water Resources, Inc. 51,768 686
United Wisconsin 13,500 270
Univar Corp. 28,400 412
Universal Health Realty Income 27,100 437
* Universal Health Services Class B 25,500 740
Urban Shopping Centers REIT 12,600 261
* Uromed Corp. 8,900 71
* USData Corp. Rights Exp. 7/21/95 250 4
* VLSI Technology, Inc. 22,400 671
* Valassis Communication 52,900 886
Valhi, Inc. 3,600 25
Valley National Bancorp 48,842 1,178
Valmont Industries, Inc. 25,200 534
* Value City Department Stores, Inc. 46,400 354
Value Line, Inc. 12,000 375
* Varco International, Inc. 86,600 714
Varlen Corp. 17,215 400
* Ventritex Inc. 29,000 488
Venture Stores, Inc. 24,800 245
* VeriFone, Inc. 32,450 789
* Vertex Pharmaceuticals, Inc. 24,500 404
Vesta Insurance Group, Inc. 10,500 361
* Vicor Corp. 1,800 81
* Vicorp Restaurants, Inc. 24,000 330
Victoria Bank 19,500 509
* Viewlogic Systems, Inc. 37,800 482
Vital Signs, Inc. 22,700 389
* Vitesse Semiconductor Corp. 21,500 165
* Vivus, Inc. 32,800 492
* Vivra, Inc. 30,775 835
WD-40 Co. 9,250 386
* WHX Corp. 24,600 289
* WMS Industries, Inc. 25,850 507
WPS Resources Corp. 34,000 995
* Waban, Inc. 48,800 725
Wabash National Corp. 25,100 781
Wackenhut Corp. 2,500 37
Wackenhut Corp. Class B 625 8
* Wainoco Oil Corp. 119,000 491
</TABLE>
57
<PAGE> 86
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
* Wall Data Inc. 27,300 $ 420
* Wang Laboratories, Inc. 41,900 691
Washington Energy Co. 36,231 593
Washington National Corp. 19,780 408
Washington Real Estate Investment Trust 41,950 661
Waterhouse Investor Services, Inc. 8,800 202
Watkins-Johnson Co. 11,700 521
* Watson Pharmaceuticals, Inc. 22,100 859
Watts Industries Class A 31,900 805
Wausau Paper Mills Co. 28,486 659
* Wavephore, Inc. 5,600 94
* Weatherford International, Inc. 73,000 931
Del E. Webb Corp. 30,296 704
* Weirton Steel 35,500 248
* Wellcare Management Group, Inc. 16,200 399
Wellsford Residential Property Trust 23,325 531
Werner Enterprises, Inc. 14,100 278
West Co., Inc. 26,300 736
* West Marine, Inc. 13,100 334
WestAmerica Bancorporation 9,800 365
* Westcott Communications 33,600 592
Western Bank 16,291 198
Western Gas Resources, Inc. 17,100 295
Western Investment Real Estate Trust 53,700 638
Western National Corp. 36,700 454
* Western Publishing Group, Inc. 55,300 626
* Western Waste Industries 36,200 729
* Westpoint Stevens, Inc. 35,200 623
* Westwood One, Inc. 20,000 294
* White River 17,126 582
Whitney Holdings 24,050 643
* Whittaker Corp. 32,900 724
Wicor, Inc. 23,600 664
John Wiley & Sons Class A 8,200 468
* Williams Sonoma, Inc. 27,562 605
* Wind River Systems 15,100 180
Windmere Corp. 53,867 444
Winnebago Industries, Inc. 52,200 457
* Wisconsin Central Transportation Corp. 5,900 287
Wiser Oil Co. 29,800 406
* Wolverine Tube, Inc. 17,000 546
Wolverine World Wide, Inc. 18,300 380
* Wonderware Corp. 10,700 435
Woodhead Industries, Inc. 52,050 719
Wyle Electronics 25,700 723
* Wyman Gordon Corp. 58,900 633
X-Rite Inc. 13,400 245
* Xircom, Inc. 37,300 380
* Xpedite Systems, Inc. 16,200 223
* Xylogics, Inc. 9,800 271
Yellow Corp. 31,800 578
York Financial Corp. 1,011 17
* Zale Corp. 46,400 623
* Zebra Technologies Class A 14,100 760
* Zenith Electronics Corp. 64,500 476
Zenith National Insurance Corp. 21,200 456
Zero Corp. 50,500 758
* Zilog Inc. 27,650 1,379
Zions Bancorp. 21,200 1,055
* Zurich Reinsurance Centre Holdings, Inc. 2,200 63
Zurn Industries, Inc. 17,300 346
------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (98.7%)(1)
(Cost $641,912) 736,919
------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.7%)
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
--------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.68%, 9/21/95 $ 600 592
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 6.13%, 7/3/95 11,861 11,861
------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $12,453) 12,453
------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.4%)
(Cost $654,365) 749,372
------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.4%)
------------------------------------------------------------------------------------------
Other Assets--Notes B and E 63,499
Liabilities--Note E (66,177)
-----------
(2,678)
------------------------------------------------------------------------------------------
NET ASSETS (100%)
------------------------------------------------------------------------------------------
Applicable to 43,481,516 outstanding
shares of beneficial interest
(unlimited authorization) $746,694
------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $17.17
==========================================================================================
</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 100.5% of net assets.
* Non-Income Producing Security.
58
<PAGE> 87
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------
AT JUNE 30, 1995, NET ASSETS CONSISTED OF:
------------------------------------------------------------------------------------------
Amount Per
(000) Share
-------- ------
<S> <C> <C>
Paid in Capital $618,022 $14.22
Undistributed Net
Investment Income 4,541 .10
Accumulated Net
Realized Gains 28,880 .66
Unrealized Appreciation of
Investments--Note D 95,251 2.19
------------------------------------------------------------------------------------------
NET ASSETS $746,694 $17.17
------------------------------------------------------------------------------------------
</TABLE>
59
<PAGE> 88
F402-6/95
60
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