<PAGE> 1
A MESSAGE TO SHAREHOLDERS
FELLOW SHAREHOLDER:
Despite some weakness in June, the stock market provided solid gains during the
six months ended June 30, the first half of the 1996 fiscal year for Vanguard
Index Trust. Both our 500 Portfolio and our Total Stock Market Portfolio
provided returns of +10.0%, comfortably outpacing more than one-half of all
general equity mutual funds. Our four more-specialized Portfolios earned
returns in this same general area.
What is more, each Vanguard Index Trust Portfolio tracked its target
index with good success, despite bearing transaction costs and operating
expenses. The total returns our Portfolios achieved and the returns of their
unmanaged benchmark standards are shown in the table below:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
TOTAL RETURN
-------------------------
SIX MONTHS ENDED
JUNE 30, 1996
-------------------------
VANGUARD COMPARATIVE
PORTFOLIO INDEX*
- ---------------------------------------------------------------------
<S> <C> <C>
LARGE-CAP STOCKS
500 PORTFOLIO +10.0% +10.1%
GROWTH PORTFOLIO +11.4 +11.6
VALUE PORTFOLIO + 8.5 + 8.6
- ---------------------------------------------------------------------
MEDIUM- AND SMALL-CAP STOCKS
EXTENDED MARKET PORTFOLIO +10.5% +10.7%
SMALLCAP PORTFOLIO +11.4 +10.4
- ---------------------------------------------------------------------
ALL STOCKS
TOTAL STOCK MARKET PORTFOLIO +10.0% +10.3%
- ---------------------------------------------------------------------
</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(R)," "S&P
500(R)," and "500" are trademarks of The McGraw-Hill Companies, Inc.;
"Wilshire 4500" and "Wilshire 5000" are registered trademarks of Wilshire
Associates; "Russell 2000" is a registered trademark of the Frank Russell
Company.
Detailed per share figures for each Portfolio, including net asset values,
income dividends, and any capital gains distributions, are presented in the
table on page 2 of this report.
THE PERIOD IN REVIEW
The U.S. stock market continued to surge upward during the first half of our
Fund's fiscal year, albeit below the near-record pace that prevailed in 1995.
Even so, the advance was impressive, occurring in the face of a sharp rise in
long-term interest rates.
While the stock market, as measured by the Standard & Poor's 500 Index,
chalked up a +10.1% return from January through June, the bond market slumped.
Short-term interest rates rose modestly, with the rate on 90-day Treasury bills
rising from 5.0% to 5.2% during the first half of the year. The rate increase
was considerably steeper for long-term bonds. The yield on the benchmark
30-year U.S. Treasury bond rose from 6.0% at the beginning of the year to 7.0%
at the end of June, engendering a price decline of -12%. The Lehman Aggregate
Bond Index, a benchmark for the overall bond market, provided a negative total
return of -1.2% in the half year, earning income of 3.3% combined with a price
decline of -4.5%.
The primary reason for the divergence in the returns of stocks and bonds
appears to be differing responses by equity and bond investors to the
surprising strength of the overall economy. The faster-than-expected economic
growth during the first half of the year led stock investors to anticipate
accelerated growth in corporate earnings, even as bond investors worried about
higher inflation. It remains to be seen whether the bull market in stocks can
continue in the face of higher interest rates, which may provide heightened
competition for investors' dollars at a time when common stocks offer
historically low dividend yields.
Two major crosscurrents in the stock market affected the relative
returns of our Portfolios. First, growth stocks were much stronger than value
stocks during the period, which accounts for the 2.9% disparity between our
Growth and Value Portfolios. Second, small- and mid-cap stocks outpaced
large-cap stocks, with our SmallCap and Extended Market Portfolios outpacing
our 500 Portfolio. While this disparity was fairly large through May,
smaller-cap stocks in general, and technology stocks in particular, weakened in
June and relinquished a good portion of their earlier gains.
(continued)
1
<PAGE> 2
Given their bias to smaller-cap stocks, most general equity mutual funds
faltered during June, and the relative performance of our 500 Portfolio
improved commensurately. The concentration of the Standard & Poor's 500 Index
in stocks with large market capitalizations slowed its relative performance
during the first five months of the year, as the market's upsurge was led by
stocks of small- and medium-sized companies. Through the end of April, the
Index had outpaced but 30% of all general equity mutual funds. However, the
market treated such stocks rather harshly in June, and the 500 Index closed the
half year ahead of 55% of all general equity funds. This was a most acceptable
result, we think, after such remarkable success for the Index in 1994 and again
in 1995. Indeed, in our 1995 Annual Report, we warned that "there will be
years when sub-average returns will (not 'may') occur." So far, 1996 is shaping
up very nicely, but there is always a possibility that it will prove to be just
such a year. In the long-run, however, one year's disparity simply should not
concern our long-term shareholders.
IN SUMMARY
Six months ago in our Annual Report, following an extraordinarily bountiful
1995, we cautioned that financial markets are not a "one-way street" and that
investors should prepare for the occasional rough patch by maintaining a
balanced portfolio of stock funds, bond funds, and money market funds. Although
the stock market continued on a relatively smooth, upward path during most of
the first half of the Fund's fiscal year, we believe our cautionary advice
still applies. So, too, does our comment about the major long-term risks of
investing: (1) failing to hold stocks at all because of their short-term risks;
and (2) following an erratic and ever-changing course.
We assure you that each Portfolio of Vanguard Index Trust will hold to
its course, remaining fully invested in the stock market segment it emulates.
At the same time, we will dedicate ourselves to maintaining our operating
expenses at the minimum reasonable levels, with the expectation of providing
solid and fully competitive long-term returns.
Sincerely,
/s/ JOHN C. BOGLE
John C. Bogle
Chairman of the Board
/s/ JOHN J. BRENNAN
John J. Brennan
President
July 18, 1996
Note: Mutual fund data from Lipper Analytical Services, Inc.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value Per Share
--------------------------- Distributions From Dividends
December 31, June 30, Net Realized From Net
Vanguard Index Trust Portfolio 1995 1996 Capital Gains Investment Income
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 . . . . . . . . . . . . . . $57.60 $62.89 $.04 $.44
EXTENDED MARKET . . . . . . . . 24.07 26.25 .32 --
TOTAL STOCK MARKET . . . . . . . 15.04 16.39 .03 .12
GROWTH . . . . . . . . . . . . . 13.97 15.40 .06 .10
VALUE . . . . . . . . . . . . . 14.79 15.67 .24 .14
SMALL CAPITALIZATION STOCK . . . 18.61 20.59 .14 --
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
2
<PAGE> 3
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, 1996.
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 S&P 500
Value with Income ------------------------ --------
Year Ended Net Asset Capital Gains Income Dividends & Capital Capital Income Total Total
December 31 Value Distributions Dividends Gains Reinvested Return Return Return Return
- ------------------------------------------------------------------------------------------------------------
<S> <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 + 6.3
- ------------------------------------------------------------------------------------------------------------
1985 22.99 1.61 .91 43.89 +26.1 +5.1 +31.2 +31.8
- ------------------------------------------------------------------------------------------------------------
1986 24.27 2.02 .89 51.82 +14.0 +4.0 +18.0 +18.7
- ------------------------------------------------------------------------------------------------------------
1987 24.65 .17 .69 54.26 + 2.3 +2.4 + 4.7 + 5.3
- ------------------------------------------------------------------------------------------------------------
1988 27.18 .32 1.10 63.06 +11.6 +4.6 +16.2 +16.6
- ------------------------------------------------------------------------------------------------------------
1989 33.64 .75 1.20 82.84 +26.7 +4.6 +31.3 +31.7
- ------------------------------------------------------------------------------------------------------------
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 +30.5
- ------------------------------------------------------------------------------------------------------------
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 57.60 .13 1.22 171.20 +34.4 +3.0 +37.4 +37.6
- ------------------------------------------------------------------------------------------------------------
1996 (6/30) 62.89 .04 .44 188.37 + 9.3 +0.7 +10.0 +10.1
- ------------------------------------------------------------------------------------------------------------
LIFETIME +1,219.8% +1,334.4%
- ------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN +13.9% +14.4%
- ------------------------------------------------------------------------------------------------------------
</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.
3
<PAGE> 4
STATEMENT OF NET ASSETS
FINANCIAL STATEMENTS (unaudited)
June 30, 1996
<TABLE>
<CAPTION>
Market
Value
500 PORTFOLIO Shares (000)+
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- -------------------------------------------------------------------------------
General Electric Co. 7,747,588 $ 670,166
The Coca-Cola Co. 11,632,188 568,523
Exxon Corp. 5,788,297 502,858
AT&T Corp. 7,488,320 464,276
Philip Morris Cos., Inc. 3,866,735 402,140
Royal Dutch Petroleum Co. ADR 2,498,215 384,100
Merck & Co., Inc. 5,720,761 369,704
* Microsoft Corp. 2,768,133 332,176
Johnson & Johnson 6,209,720 307,381
Procter & Gamble Co. 3,196,506 289,683
Intel Corp. 3,826,926 280,801
Wal-Mart Stores, Inc. 10,688,301 271,216
PepsiCo, Inc. 7,304,185 258,385
International Business
Machines Corp. 2,534,188 250,885
Hewlett-Packard Co. 2,376,254 236,734
American International
Group, Inc. 2,205,564 217,524
Pfizer, Inc. 2,969,793 211,969
Bristol-Myers Squibb Co. 2,343,575 210,922
E.I. du Pont de Nemours & Co. 2,611,927 206,669
Mobil Corp. 1,837,710 206,053
GTE Corp. 4,545,066 203,392
The Walt Disney Co. 3,160,905 198,742
BellSouth Corp. 4,633,108 196,328
Citicorp 2,265,720 187,205
General Motors Corp. 3,522,964 184,515
Chevron Corp. 3,041,440 179,445
Ford Motor Co. 5,478,339 177,361
American Home Products Corp. 2,948,467 177,276
Motorola, Inc. 2,758,861 173,463
Federal National Mortgage Assn. 5,088,871 170,477
Amoco Corp. 2,313,831 167,463
Eli Lilly & Co. 2,566,614 166,830
Abbott Laboratories 3,663,259 159,352
Ameritech Corp. 2,588,858 153,713
McDonald's Corp. 3,264,166 152,600
* Cisco Systems, Inc. 2,649,224 150,012
Chase Manhattan Corp. 2,032,493 143,545
The Boeing Co. 1,612,878 140,522
SBC Communications Inc. 2,838,783 139,810
Minnesota Mining &
Manufacturing Co. 1,949,064 134,485
Bell Atlantic Corp. 2,040,838 130,103
Gillette Co. 2,073,499 129,334
BankAmerica Corp. 1,705,269 129,174
Eastman Kodak Co. 1,611,882 125,324
Home Depot, Inc. 2,227,340 120,276
* Oracle Corp. 3,048,804 120,047
NationsBank Corp. 1,395,543 115,307
Columbia/HCA Healthcare Corp. 2,086,202 111,351
Wells Fargo & Co. 454,761 108,631
Unilever NV ADR 745,796 108,234
Chrysler Corp. 1,742,849 108,057
Schering-Plough Corp. 1,716,887 107,735
Pharmacia & Upjohn, Inc. 2,373,975 105,345
Texaco, Inc. 1,231,130 103,261
Kimberly-Clark Corp. 1,310,400 101,228
Travelers Group Inc. 2,210,659 100,861
American Express Co. 2,251,336 100,466
NYNEX Corp. 2,035,481 96,685
Schlumberger Ltd. 1,133,064 95,461
Allstate Corp. 2,073,773 94,616
Emerson Electric Co. 1,044,207 94,370
Monsanto Co. 2,745,166 89,218
Sears, Roebuck & Co. 1,827,962 88,885
Atlantic Richfield Co. 749,526 88,819
Dow Chemical Co. 1,165,085 88,546
Anheuser-Busch Co., Inc. 1,179,545 88,466
Sprint Corp. 2,034,603 85,453
First Data Corp. 1,040,594 82,857
MCI Communications Corp. 3,220,835 82,131
Campbell Soup Co. 1,162,327 81,944
First Union Corp. 1,328,145 80,851
Xerox Corp. 1,507,856 80,670
Computer Associates
International, Inc. 1,127,391 80,327
Lockheed Martin Corp. 926,196 77,800
Southern Co. 3,125,613 76,968
WMX Technologies Inc. 2,304,451 75,471
AlliedSignal Inc. 1,317,716 75,274
J.P. Morgan & Co., Inc. 875,235 74,067
Sara Lee Corp. 2,255,729 73,029
Kellogg Co. 990,948 72,587
Time Warner, Inc. 1,829,071 71,791
Banc One Corp. 2,106,251 71,612
Federal Home Loan
Mortgage Corp. 835,968 71,475
U S WEST
Communications Group 2,210,149 70,449
Warner-Lambert Co. 1,263,847 69,511
Nike, Inc. Class B 668,190 68,656
Pacific Telesis Group 1,996,601 67,385
Union Pacific Corp. 958,024 66,942
* Amgen, Inc. 1,238,865 66,589
* AirTouch Communications 2,323,688 65,644
United Technologies Corp. 567,272 65,236
Northern Telecom Ltd. 1,198,177 65,151
* Viacom International Class B 1,652,289 64,233
* COMPAQ Computer Corp. 1,249,826 61,554
Caterpillar, Inc. 903,424 61,207
Medtronic, Inc. 1,091,137 61,104
Baxter International, Inc. 1,266,753 59,854
</TABLE>
4
<PAGE> 5
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------------
<S> <C> <C>
Norwest Corp. 1,705,200 59,469
The Seagram Co. Ltd. 1,741,746 58,566
Rockwell International Corp. 1,013,097 58,000
- -------------------------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 15,152,358
- -------------------------------------------------------------------------------
Colgate-Palmolive Co. 682,381 57,832
First Chicago NBD Corp. 1,475,133 57,715
Raytheon Co. 1,115,290 57,577
General Re Corp. 378,096 57,565
Burlington Northern
Santa Fe Corp. 708,833 57,327
J.C. Penney Co., Inc. 1,046,770 54,955
* Tele-Communications, Inc.
Class A 3,042,155 54,759
Fleet Financial Group, Inc. 1,224,324 53,258
H.J. Heinz Co. 1,722,690 52,327
Automatic Data Processing, Inc. 1,350,266 52,154
Merrill Lynch & Co., Inc. 798,639 52,011
ConAgra, Inc. 1,132,788 51,400
International Paper Co. 1,390,353 51,269
Phillips Petroleum Co. 1,221,231 51,139
May Department Stores Co. 1,164,242 50,936
Norfolk Southern Corp. 593,648 50,312
* Sun Microsystems, Inc. 854,271 50,188
McDonnell Douglas Corp. 1,034,147 50,156
* WorldCom, Inc. 904,283 49,962
The Dun & Bradstreet Corp. 791,908 49,494
Deere & Co. 1,223,658 48,946
Duke Power Co. 954,659 48,926
CPC International, Inc. 678,232 48,833
Albertson's, Inc. 1,174,068 48,577
Enron Corp. 1,170,871 47,859
CSX Corp. 985,633 47,557
PNC Bank Corp. 1,588,481 47,257
Aluminum Co. of America 818,943 46,987
The Bank of New York Co., Inc. 907,848 46,527
Gannett Co., Inc. 656,165 46,424
Archer-Daniels-Midland Co. 2,423,041 46,341
Barrick Gold Corp. 1,664,616 45,153
Pacific Gas & Electric Co. 1,941,922 45,150
Texas Utilities Co. 1,052,480 44,994
Dean Witter Discover & Co. 777,988 44,540
Texas Instruments, Inc. 883,063 44,043
Loews Corp. 548,838 43,290
The Gap, Inc. 1,343,900 43,173
PPG Industries, Inc. 881,045 42,951
United Healthcare Corp. 849,517 42,901
CIGNA Corp. 356,334 42,003
KeyCorp 1,080,371 41,864
Tenneco, Inc. 809,790 41,401
Corning, Inc. 1,075,799 41,284
The Chubb Corp. 818,475 40,821
AMP, Inc. 1,013,203 40,655
General Mills, Inc. 742,805 40,483
* U S WEST Media Group 2,201,039 40,169
CoreStates Financial Corp. 1,032,569 39,754
FPL Group, Inc. 856,349 39,392
U.S. Healthcare, Inc. 717,341 39,364
Weyerhaeuser Co. 924,784 39,303
SunTrust Banks, Inc. 1,056,725 39,099
Unocal Corp. 1,152,458 38,895
Walgreen Co. 1,147,040 38,426
Aetna Life & Casualty Co. 536,776 38,379
First Bank System, Inc. 657,430 38,131
* AMR Corp. 417,396 37,983
Illinois Tool Works, Inc. 554,878 37,524
American Brands, Inc. 826,644 37,509
* Boston Scientific Corp. 829,551 37,330
American Electric Power Co., Inc. 869,733 37,072
Mattel, Inc. 1,290,784 36,949
Occidental Petroleum Corp. 1,487,422 36,814
Edison International 2,075,161 36,575
Westinghouse Electric Corp. 1,944,108 36,452
Mellon Bank Corp. 639,305 36,440
* Toys R Us, Inc. 1,274,449 36,322
* ITT Corp. 546,158 36,183
National City Corp. 1,029,864 36,174
* 3 Com Corp. 778,584 35,523
American General Corp. 967,413 35,190
Morgan Stanley Group, Inc. 716,312 35,189
The Goodyear Tire & Rubber Co. 722,610 34,866
Dayton-Hudson Corp. 335,594 34,608
Wachovia Corp. 787,388 34,448
Household International, Inc. 452,814 34,414
Pitney Bowes, Inc. 697,567 33,309
Dominion Resources, Inc. 825,936 33,037
* Federated Department Stores 966,768 32,991
Marsh & McLennan Cos., Inc. 339,140 32,727
W.R. Grace & Co. 456,921 32,384
UST, Inc. 941,771 32,256
Honeywell, Inc. 591,048 32,212
* Digital Equipment Corp. 713,687 32,116
Alcan Aluminium Ltd. 1,052,801 32,110
Consolidated Edison Co. of
New York, Inc. 1,095,006 32,029
Marriott International 594,968 31,980
Ralston-Ralston Purina Group 493,759 31,662
* CUC International, Inc. 887,598 31,510
Service Corp. International 546,550 31,427
Textron, Inc. 391,832 31,298
Public Service Enterprise
Group Inc. 1,140,313 31,216
Praxair, Inc. 721,105 30,467
PacifiCorp 1,368,251 30,444
</TABLE>
5
<PAGE> 6
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------------
<S> <C> <C>
Georgia-Pacific Corp. 425,623 $ 30,219
Houston Industries, Inc. 1,224,389 30,151
Entergy Corp. 1,062,562 30,150
Air Products & Chemicals, Inc. 521,159 30,097
Halliburton Co. 534,997 29,692
- -------------------------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 19,263,595
- -------------------------------------------------------------------------------
MBNA Corp. 1,038,045 29,584
Boatmen's Bancshares, Inc. 736,695 29,376
ITT Hartford Group, Inc. 546,159 29,083
Sysco Corp. 847,137 29,014
Tyco International Ltd. 710,954 28,971
American Stores Co. 698,471 28,812
Browning-Ferris Industries, Inc. 991,067 28,741
Central & South West Corp. 975,275 28,283
Avon Products, Inc. 625,105 28,208
Hercules, Inc. 505,352 27,921
Unicom Corp. 1,001,108 27,906
Kmart Corp. 2,239,783 27,717
* Tellabs, Inc. 413,805 27,621
Bankers Trust New York Corp. 370,420 27,365
TRW, Inc. 304,343 27,353
Wrigley, (Wm.) Jr. Co. 541,425 27,342
ALLTEL Corp. 882,845 27,147
Lowes Cos., Inc. 751,391 27,144
The Limited, Inc. 1,261,663 27,126
U.S. Bancorp 750,966 27,035
USX-Marathon Group 1,339,414 26,956
Alco Standard Corp. 595,702 26,956
Carolina Power & Light Co. 708,789 26,934
PECO Energy Corp. 1,035,350 26,919
Crown Cork & Seal Co., Inc. 596,977 26,864
Barnett Banks, Inc. 438,866 26,771
Placer Dome, Inc. 1,114,181 26,601
Hershey Foods Corp. 360,413 26,445
Genuine Parts Co. 567,423 25,960
Bank of Boston Corp. 522,025 25,840
Transamerica Corp. 316,878 25,667
Fifth Third Bancorp 476,655 25,620
Morton International, Inc. 685,208 25,524
Hilton Hotels Corp. 226,713 25,505
Fluor Corp. 389,063 25,435
* Applied Materials, Inc. 836,231 25,401
Burlington Resources, Inc. 589,897 25,366
Winn Dixie Stores, Inc. 708,348 25,058
Micron Technology Inc. 968,377 25,057
R.R. Donnelley & Sons Co. 717,478 25,022
Dresser Industries, Inc. 844,983 24,927
Union Carbide Corp. 620,353 24,659
International Flavors &
Fragrances, Inc. 516,267 24,587
Dover Corp. 530,376 24,464
Comerica, Inc. 546,737 24,398
Conrail, Inc. 365,017 24,228
Williams Cos., Inc. 487,435 24,128
Becton, Dickinson & Co. 298,287 23,938
Delta Air Lines, Inc. 286,852 23,809
CINergy Corp. 734,831 23,515
Aon Corp. 461,988 23,446
* Novell, Inc. 1,704,221 23,433
Amerada Hess Corp. 432,703 23,204
PanEnergy Corp. 702,936 23,109
* Cabletron Systems, Inc. 335,710 23,038
* The Kroger Co. 578,769 22,861
Newmont Mining Corp. 462,233 22,823
Consolidated Natural Gas Co. 436,182 22,791
Freeport-McMoRan Copper &
Gold Inc. Class B 713,683 22,749
Newell Co. 738,593 22,619
Masco Corp. 747,392 22,609
* Bay Networks 873,952 22,504
Eastman Chemical 369,581 22,498
Lincoln National Corp. 485,861 22,471
Ingersoll-Rand Co. 507,524 22,204
Inco Ltd. 677,853 21,861
Baker Hughes, Inc. 663,256 21,805
* Federal Express Corp. 264,108 21,657
Salomon, Inc. 489,457 21,536
The Quaker Oats Co. 630,126 21,503
The McGraw-Hill Cos. 468,356 21,427
* Tenet Healthcare Corp. 1,002,287 21,424
The Clorox Co. 241,528 21,405
Eaton Corp. 361,997 21,222
Times Mirror Co. Class A 487,765 21,218
UNUM Corp. 340,116 21,172
DTE Energy Co. 676,321 20,881
Tribune Co. 287,356 20,869
Cooper Industries, Inc. 502,518 20,855
St. Paul Cos., Inc. 389,782 20,853
SAFECO Corp. 586,374 20,743
Nucor Corp. 407,612 20,635
Coastal Corp. 491,397 20,516
Pioneer Hi Bred International 387,653 20,497
* EMC Corp. 1,073,638 19,997
Green Tree Financial Corp. 638,617 19,957
Melville Corp. 489,558 19,827
General Public Utilities Corp. 561,430 19,790
Southwest Airlines Co. 671,902 19,569
Baltimore Gas & Electric Co. 687,510 19,508
* Computer Sciences Corp. 260,963 19,507
* Price/Costco Inc. 911,562 19,485
Rohm & Haas Co. 309,118 19,397
Phelps Dodge Corp. 309,347 19,296
Dillard Department Stores Class A 527,953 19,270
</TABLE>
6
<PAGE> 7
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------------
<S> <C> <C>
Rubbermaid, Inc. 705,910 $ 19,236
Union Electric Co. 475,903 19,155
Dow Jones & Co., Inc. 452,445 18,890
Providian Corp. 436,967 18,735
Great Lakes Chemical Corp. 300,685 18,718
- -------------------------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 21,642,673
- -------------------------------------------------------------------------------
Champion International Corp. 445,766 18,611
Sherwin-Williams Co. 398,384 18,525
W.W. Grainger, Inc. 237,527 18,408
General Dynamics Corp. 293,993 18,228
* Silicon Graphics, Inc. 756,606 18,159
Sonat, Inc. 401,360 18,061
Northrop Grumman Corp. 263,931 17,980
VF Corp. 296,409 17,673
PP&L Resources Inc. 741,655 17,522
Interpublic Group of Cos., Inc. 368,661 17,281
Whirlpool Corp. 345,241 17,133
Jefferson-Pilot Corp. 331,354 17,106
Harcourt General, Inc. 334,719 16,736
Nordstrom, Inc. 377,418 16,701
Knight-Ridder, Inc. 227,580 16,500
Circuit City Stores, Inc. 454,022 16,402
* DSC Communications Corp. 539,858 16,196
Case Corp. 336,830 16,168
Republic New York Corp. 259,363 16,145
* Ceridian Corp. 316,026 15,959
* General Instrument 551,353 15,920
Black & Decker Corp. 406,694 15,709
Union Camp Corp. 322,058 15,700
H & R Block, Inc. 481,018 15,693
Northern States Power Co. 317,231 15,663
* LSI Logic Corp. 597,678 15,540
Ohio Edison Co. 709,844 15,528
Reynolds Metals Co. 296,240 15,442
Engelhard Corp. 668,701 15,380
Golden West Financial Corp. 273,957 15,342
Great Western Financial Corp. 639,138 15,259
Willamette Industries, Inc. 256,913 15,222
* Andrew Corp. 279,716 15,105
Raychem Corp. 207,241 14,895
New York Times Co. Class A 455,062 14,846
Dana Corp. 472,840 14,658
Parker Hannifin Corp. 345,025 14,620
Torchmark Corp. 333,813 14,604
H.F. Ahmanson & Co. 538,792 14,547
Hasbro, Inc. 404,962 14,477
* Western Atlas Inc. 247,941 14,443
Kerr-McGee Corp. 236,628 14,405
Westvaco Corp. 472,217 14,107
Beneficial Corp. 248,716 13,959
* Woolworth Corp. 619,079 13,929
Laidlaw Inc. Class B 1,368,645 13,858
ITT Industries, Inc. 547,259 13,750
Comcast Corp. Class A Special 747,195 13,636
Deluxe Corp. 384,019 13,633
Avery Dennison Corp. 247,251 13,568
* Harrah's Entertainment, Inc. 478,463 13,517
* Humana, Inc. 755,640 13,507
Mallinckrodt Group, Inc. 345,168 13,418
Tandy Corp. 281,978 13,359
Columbia Gas Systems, Inc. 255,932 13,340
Johnson Controls, Inc. 191,380 13,301
Pall Corp. 535,278 12,914
Brown-Forman Corp. Class B 321,021 12,841
The Mead Corp. 246,640 12,794
The Dial Corp. 439,654 12,585
* St. Jude Medical, Inc. 372,127 12,373
Sigma Aldrich Corp. 232,378 12,316
The Stanley Works 412,058 12,259
* Tupperware Corp. 286,636 12,110
Temple-Inland Inc. 258,260 12,074
Apple Computer, Inc. 575,333 12,010
Whitman Corp. 490,637 11,837
Allergan, Inc. 301,494 11,834
Liz Claiborne, Inc. 341,093 11,810
Ashland Inc. 297,402 11,785
Homestake Mining Co. 682,639 11,690
Reebok International Ltd. 346,557 11,653
Rite Aid Corp. 390,362 11,613
Pacific Enterprises 388,253 11,502
Manor Care Inc. 291,864 11,492
TJX Cos., Inc. 337,956 11,406
* FMC Corp. 173,227 11,303
Bausch & Lomb, Inc. 264,675 11,249
Louisiana-Pacific Corp. 504,955 11,172
Harris Corp. 180,696 11,022
USX-U.S. Steel Group 388,431 11,022
Wendy's International, Inc. 591,116 11,010
Echlin, Inc. 286,270 10,842
* ALZA Corp. 392,333 10,740
Sun Co., Inc. 344,115 10,452
James River Corp. 395,923 10,442
Ryder System, Inc. 369,604 10,395
Maytag Corp. 495,022 10,334
* Owens Corning 240,181 10,328
Mercantile Stores Co., Inc. 171,742 10,068
Pennzoil Co. 216,422 10,010
Giant Food, Inc. Class A 277,783 9,965
Armstrong World Industries Inc. 171,909 9,906
SuperValu Inc. 314,377 9,903
Ecolab, Inc. 299,564 9,886
Pep Boys (Manny, Moe & Jack) 289,793 9,853
Nalco Chemical Co. 311,946 9,826
</TABLE>
7
<PAGE> 8
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------------
<S> <C> <C>
Cyprus Amax Minerals Co. 433,736 $ 9,813
* National Semiconductor Corp. 630,952 9,780
Polaroid Corp. 212,702 9,705
- -------------------------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 23,001,971
- -------------------------------------------------------------------------------
Perkin-Elmer Corp. 199,920 9,646
American Greetings Corp. Class A 347,253 9,463
Teledyne Inc. 259,392 9,371
The BF Goodrich Co. 244,909 9,153
Brunswick Corp. 456,824 9,136
Louisiana Land & Exploration Co. 157,641 9,084
USF&G Corp. 554,005 9,072
C.R. Bard, Inc. 266,189 9,050
* Fruit of the Loom, Inc. 354,547 9,041
Snap-On Inc. 189,547 8,980
United States Surgical Corp. 286,355 8,877
* Varity Corp. 184,345 8,872
Paccar, Inc. 180,606 8,805
Moore Corp. Ltd. 463,920 8,756
National Service Industries, Inc. 223,265 8,735
General Signal Corp. 230,489 8,730
Worthington Industries, Inc. 422,142 8,707
Cooper Tire & Rubber Co. 388,905 8,653
* Santa Fe Pacific Gold Corp. 610,955 8,630
Millipore Corp. 205,372 8,600
* Advanced Micro Devices, Inc. 626,874 8,541
Bemis Co., Inc. 243,928 8,537
Foster Wheeler Corp. 187,980 8,436
Boise Cascade Corp. 224,326 8,216
Darden Restaurants Inc. 740,863 7,964
* Oryx Energy Co. 486,561 7,907
* Biomet, Inc. 537,281 7,589
Cummins Engine Co., Inc. 186,420 7,527
Harnischfeger Industries Inc. 218,479 7,264
Thomas & Betts Corp. 186,292 6,986
Shared Medical Systems Corp. 108,086 6,945
ENSERCH Corp. 318,975 6,938
Tektronix, Inc. 153,843 6,884
NorAm Energy Corp. 626,539 6,814
Comcast Corp. Class A 368,742 6,776
* Tandem Computers, Inc. 544,785 6,742
NICOR, Inc. 232,720 6,603
Echo Bay Mines Ltd. 605,631 6,511
* Bally Entertainment Corp. 233,750 6,428
Autodesk, Inc. 213,858 6,362
Stone Container Corp. 461,359 6,344
* King World Productions, Inc. 174,210 6,337
Caliber System Inc. 182,344 6,200
* Bethlehem Steel Corp. 516,715 6,136
Alberto-Culver Co. Class B 129,453 6,003
* Amdahl Corp. 555,767 5,975
* Rowan Cos., Inc. 395,571 5,835
Great Atlantic & Pacific
Tea Co., Inc. 177,291 5,828
Freeport-McMoRan Copper &
Gold Inc. Class A 194,483 5,810
Crane Co. 140,574 5,764
* Unisys Corp. 794,966 5,664
The Timkin Co. 145,862 5,652
* Beverly Enterprises Inc. 465,524 5,586
Scientific-Atlanta, Inc. 356,058 5,519
Briggs & Stratton Corp. 134,122 5,516
ASARCO, Inc. 198,691 5,489
Fleetwood Enterprises, Inc. 176,520 5,472
Peoples Energy Corp. 162,070 5,429
Meredith Corp. 128,533 5,366
* USAir Group, Inc. 295,277 5,315
McDermott International, Inc. 252,618 5,273
Potlatch Corp. 134,519 5,263
USLIFE Corp. 159,388 5,240
Niagara Mohawk Power Corp. 668,197 5,179
Russell Corp. 180,640 4,990
* Santa Fe Energy Resources, Inc. 418,782 4,973
EG & G, Inc. 220,789 4,719
Springs Industries Inc. Class A 93,440 4,719
Safety-Kleen Corp. 268,513 4,699
Trinova Corp. 133,081 4,442
Inland Steel Industries, Inc. 226,151 4,438
Cincinnati Milacron, Inc. 184,806 4,435
Consolidated Freightways, Inc. 204,585 4,322
Helmerich & Payne, Inc. 115,113 4,216
Ogden Corp. 231,273 4,192
Longs Drug Stores, Inc. 92,355 4,121
Centex Corp. 131,502 4,093
Alexander & Alexander
Services, Inc. 206,521 4,079
Ball Corp. 140,145 4,029
Jostens Inc. 179,381 3,543
John H. Harland Co. 142,203 3,502
* Navistar International Corp. 347,874 3,435
Pulte Corp. 124,905 3,341
* Charming Shoppes, Inc. 479,618 3,327
Adolph Coors Co. Class B 176,350 3,152
ONEOK, Inc. 126,034 3,151
Eastern Enterprises 94,039 3,127
* Viacom International Class A 71,693 2,733
* Intergraph Corp. 216,813 2,629
Kaufman & Broad Home Corp. 180,746 2,621
Giddings & Lewis, Inc. 160,530 2,609
Luby's Cafeterias, Inc. 109,106 2,564
Fleming Cos., Inc. 174,758 2,512
* Armco, Inc. 494,678 2,473
* Data General Corp. 180,230 2,343
NACCO Industries, Inc. Class A 41,849 2,317
</TABLE>
8
<PAGE> 9
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- -------------------------------------------------------------------------------
<S> <C> <C>
* Ryan's Family Steak Houses, Inc. 245,354 $ 2,270
* Aon Corp. Cvt. Pfd. 6.25% 35,000 2,196
* Shoney's Inc. 190,925 2,076
* Community Psychiatric Centers 205,335 1,951
Stride Rite Corp. 230,693 1,903
* Yellow Corp. 129,062 1,694
Outboard Marine Corp. 92,392 1,675
Brown Group, Inc. 82,367 1,431
* Loral Space & Communications Ltd. 22,700 309
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.6%)(1)
(Cost $17,681,167) 23,594,848
- -------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (.3%)
- -------------------------------------------------------------------------------
<CAPTION>
Face
Amount
(000)
--------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.02%, 7/11/96 $ 8,000 7,990
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.35%, 7/1/96 57,825 57,825
- -------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $65,814) 65,815
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS (99.9%)
(Cost $17,746,981) 23,660,663
- -------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (.1%)
- -------------------------------------------------------------------------------
Other Assets--Notes B and E 179,538
Liabilities--Note E (165,828)
---------
13,710
- -------------------------------------------------------------------------------
NET ASSETS (100%)
- -------------------------------------------------------------------------------
Applicable to 376,457,780 outstanding
shares of beneficial interest
(unlimited authorization) $23,674,373
- -------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $62.89
===============================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks and Standard & Poor's 500
Index futures contracts represents 99.9% of net assets.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
AT JUNE 30, 1996, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
----------- ------
<S> <C> <C>
PAID IN CAPITAL--NOTE C $17,602,765 $46.76
UNDISTRIBUTED NET
INVESTMENT INCOME 87,290 .23
ACCUMULATED NET
REALIZED GAINS--NOTE C 70,742 .19
UNREALIZED APPRECIATION
(DEPRECIATION)--NOTE D:
INVESTMENT SECURITIES 5,913,682 15.71
FUTURES CONTRACTS (106) --
- -------------------------------------------------------------------------------
NET ASSETS $23,674,373 $62.89
- -------------------------------------------------------------------------------
</TABLE>
9
<PAGE> 10
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, 1996 June 30, 1996 June 30, 1996
(000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . . $ 228,913 $ 13,098 $ 18,797
Interest . . . . . . . . . . . . . . . . . 4,640 2,283 1,683
- ------------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . . 233,553 15,381 20,480
- ------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . . $ 7 $ 15 $ 15
Management and Administrative . . . . . 16,630 1,810 1,741
Marketing and Distribution . . . . . . . 2,463 19,100 175 2,000 240 1,996
Taxes (other than income taxes) . . . . . . ----------- 718 -------- 63 -------- 65
Custodian Fees . . . . . . . . . . . . . . 182 63 62
Auditing Fees . . . . . . . . . . . . . . . 15 5 5
Shareholders' Reports . . . . . . . . . . . 447 37 25
Annual Meeting and Proxy Costs . . . . . . 115 9 7
Trustees' Fees and Expenses . . . . . . . . 31 2 3
- ------------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . . 20,608 2,179 2,163
- ------------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . . 212,945 13,202 18,317
- ------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . . 286,310 72,530 7,449
Futures Contracts . . . . . . . . . . . . . 17,952 3,694 3,422
- ------------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . . 304,262 76,224 10,871
- ------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities . . . . . . . . . . . 1,419,280 76,078 150,256
Futures Contracts . . . . . . . . . . . . . 126 507 245
- ------------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation) . 1,419,406 76,585 150,501
- ------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . . $1,936,613 $166,011 $179,689
========================================================================================================================
</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.
10
<PAGE> 11
<TABLE>
<CAPTION>
SMALL
GROWTH VALUE CAPITALIZATION
PORTFOLIO PORTFOLIO STOCK PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended Six Months Ended
June 30, 1996 June 30, 1996 June 30, 1996
(000) (000) (000)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . . . . . $ 3,225 $ 8,879 $ 8,788
Interest . . . . . . . . . . . . . . . . . 129 112 1,086
- ---------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . . 3,354 8,991 9,874
- ---------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . . $ 7 $ 8 $ 15
Management and Administrative . . . . . 299 488 1,234
Marketing and Distribution . . . . . . . 46 352 73 569 128 1,377
Taxes (other than income taxes) . . . . . . ------ 11 ------ 21 -------- 40
Custodian Fees . . . . . . . . . . . . . . 10 14 15
Auditing Fees . . . . . . . . . . . . . . . 4 4 4
Shareholders' Reports . . . . . . . . . . . 10 16 31
Annual Meeting and Proxy Costs . . . . . . 3 4 8
Trustees' Fees and Expenses . . . . . . . . 1 1 2
- ---------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . . 391 629 1,477
- ---------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . . 2,963 8,362 8,397
- ---------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . . 2,454 20,238 51,453
Futures Contracts . . . . . . . . . . . . . 52 108 742
- ---------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . . 2,506 20,346 52,195
- ---------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities . . . . . . . . . . . 36,983 19,005 55,500
Futures Contracts . . . . . . . . . . . . . 22 4 (795)
- ---------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation) . 37,005 19,009 54,705
- ---------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . . $42,474 $47,717 $115,297
=====================================================================================================================
</TABLE>
11
<PAGE> 12
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, 1996 1995 JUNE 30, 1996 1995
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . $ 212,945 $ 308,784 $ 13,202 $ 18,358
Realized Net Gain . . . . . . . . . . . 304,262 224,353 76,224 47,260
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . 1,419,406 3,461,446 76,585 279,593
- -------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . . 1,936,613 3,994,583 166,011 345,211
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income . . . . . . . . . (156,804) (329,358) -- (18,335)
Realized Net Gain . . . . . . . . . . . (13,576) (38,412) (21,763) (24,450)
- -------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . (170,380) (367,770) (21,763) (42,785)
- -------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . 16,022 24,573 -- --
- -------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (1)
Issued . . . . . . . . . . . . . . 6,304,815 6,176,329 355,146 333,688
Issued in Lieu of Cash Distributions . . 154,047 333,373 20,417 38,420
Redeemed . . . . . . . . . . . . . . (1,938,579) (2,145,554) (297,266) (118,616)
- -------------------------------------------------------------------------------------------------------------------
Net Increase from Capital
Share Transactions . . . . . 4,520,283 4,364,148 78,297 253,492
- -------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . 6,302,538 8,015,534 222,545 555,918
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . 17,371,835 9,356,301 1,523,213 967,295
- -------------------------------------------------------------------------------------------------------------------
End of Period . . . . . . . . . . . . . $23,674,373 $17,371,835 $1,745,758 $1,523,213
===================================================================================================================
(1) Shares Issued and Redeemed
Issued . . . . . . . . . . . . 104,572 119,957 13,867 14,948
Issued in Lieu of Cash Distributions 2,497 6,165 817 1,617
Redeemed . . . . . . . . . . . (32,185) (42,269) (11,462) (5,530)
- -------------------------------------------------------------------------------------------------------------------
74,884 83,853 3,222 11,035
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 13
<TABLE>
<CAPTION>
TOTAL STOCK
MARKET PORTFOLIO GROWTH PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------
SIX MONTHS Year Ended SIX MONTHS Year Ended
ENDED December 31, ENDED December 31,
JUNE 30, 1996 1995 JUNE 30, 1996 1995
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . $ 18,317 $ 24,738 $ 2,963 $ 2,807
Realized Net Gain . . . . . . . . . . . 10,871 13,382 2,506 2,780
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . 150,501 302,059 37,005 43,832
- -------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . . 179,689 340,179 42,474 49,419
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income . . . . . . . . . (15,192) (25,383) (2,941) (2,809)
Realized Net Gain . . . . . . . . . . . (3,638) (9,220) (1,562) --
- -------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . (18,830) (34,603) (4,503) (2,809)
- -------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . 2,511 1,408 401 153
- -------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (1)
Issued . . . . . . . . . . . . . . 1,235,476 572,389 252,560 172,136
Issued in Lieu of Cash Distributions . . 16,988 30,454 4,190 2,521
Redeemed . . . . . . . . . . . . . . (121,847) (124,622) (55,246) (36,588)
- -------------------------------------------------------------------------------------------------------------------
Net Increase from Capital
Share Transactions . . . . . 1,130,617 478,221 201,504 138,069
- -------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . 1,293,987 785,205 239,876 184,832
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . 1,570,889 785,684 271,002 86,170
- -------------------------------------------------------------------------------------------------------------------
End of Period . . . . . . . . . . . . . $2,864,876 $1,570,889 $510,878 $271,002
===================================================================================================================
(1) Shares Issued and Redeemed
Issued . . . . . . . . . . . . 76,942 42,692 17,230 13,833
Issued in Lieu of Cash Distributions 1,061 2,142 281 197
Redeemed . . . . . . . . . . . (7,671) (9,484) (3,751) (3,005)
- -------------------------------------------------------------------------------------------------------------------
70,332 35,350 13,760 11,025
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 14
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION
VALUE PORTFOLIO STOCK PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------
SIX MONTHS Year Ended SIX MONTHS Year Ended
ENDED December 31, ENDED December 31,
JUNE 30, 1996 1995 JUNE 30, 1996 1995
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . $ 8,362 $ 11,372 $ 8,397 $ 12,158
Realized Net Gain . . . . . . . . . . . 20,346 11,285 52,195 32,925
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . 19,009 91,742 54,705 142,138
- -------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . . 47,717 114,399 115,297 187,221
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income . . . . . . . . . (6,154) (11,989) -- (11,543)
Realized Net Gain . . . . . . . . . . . (9,527) -- (8,160) (22,583)
- -------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . (15,681) (11,989) (8,160) (34,126)
- -------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . 996 772 -- --
- -------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (1)
Issued . . . . . . . . . . . . . . 280,169 184,957 456,118 296,341
Issued in Lieu of Cash Distributions . . 14,295 10,456 7,654 30,822
Redeemed . . . . . . . . . . . . . . (59,070) (99,197) (92,111) (114,401)
- -------------------------------------------------------------------------------------------------------------------
Net Increase from Capital
Share Transactions . . . . . 235,394 96,216 371,661 212,762
- -------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . 268,426 199,398 478,798 365,857
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . 496,327 296,929 971,233 605,376
- -------------------------------------------------------------------------------------------------------------------
End of Period . . . . . . . . . . . . . $764,753 $496,327 $1,450,031 $971,233
===================================================================================================================
(1) Shares Issued and Redeemed
Issued . . . . . . . . . . . . 18,184 13,982 22,639 16,951
Issued in Lieu of Cash Distributions 920 761 396 1,676
Redeemed . . . . . . . . . . . (3,839) (7,889) (4,797) (6,821)
- -------------------------------------------------------------------------------------------------------------------
15,265 6,854 18,238 11,806
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 15
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
500 PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED ---------------------------------------------------
For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . $57.60 $42.97 $43.83 $40.97 $39.32 $31.24
INVESTMENT OPERATIONS ------ ------ ------ ------ ------ ------
Net Investment Income . . . . . . . . . .62 1.22 1.18 1.13 1.12 1.15
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . 5.15 14.76 (.67) 2.89 1.75 8.20
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS 5.77 15.98 .51 4.02 2.87 9.35
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . (.44) (1.22) (1.17) (1.13) (1.12) (1.15)
Distributions from Realized Capital Gains (.04) (.13) (.20) (.03) (.10) (.12)
------ ------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . (.48) (1.35) (1.37) (1.16) (1.22) (1.27)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . $62.89 $57.60 $42.97 $43.83 $40.97 $39.32
=======================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . +10.03% +37.45% +1.18% +9.89% +7.42% +30.22%
- -----------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . $23,674 $17,372 $9,356 $8,273 $6,547 $4,345
Ratio of Total Expenses to Average Net Assets .20%* .20% .19% .19% .19% .20%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . 2.05%* 2.38% 2.72% 2.65% 2.81% 3.07%
Portfolio Turnover Rate . . . . . . . . . . 6%*+ 4%+ 6%+ 6%+ 4%+ 5%+
Average Commission Rate Paid . . . . . . . $.0131++ N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
+ Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, 4%, 2%,
1%, and 1%, respectively.
++ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were charged.
This disclosure is required by the SEC beginning in 1996.
15
<PAGE> 16
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
EXTENDED MARKET PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED ---------------------------------------------------
For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1993 1992 1991
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . $24.07 $18.52 $19.43 $17.35 $15.82 $11.48
INVESTMENT OPERATIONS ------ ------ ------ ------ ------ ------
Net Investment Income . . . . . . . . . . .20 .30 .28 .23 .24 .25
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . 2.30 5.95 (.62) 2.28 1.72 4.54
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . 2.50 6.25 (.34) 2.51 1.96 4.79
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . -- (.30) (.28) (.23) (.25) (.25)
Distributions from Realized Capital Gains (.32) (.40) (.29) (.20) (.18) (.20)
------ ------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . (.32) (.70) (.57) (.43) (.43) (.45)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . $26.25 $24.07 $18.52 $19.43 $17.35 $15.82
====================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . +10.45% +33.80% -1.76% +14.49% +12.47% +41.85%
- --------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . $1,746 $1,523 $967 $928 $585 $372
Ratio of Total Expenses to Average Net Assets .25%* .25% .20% .20% .20% .19%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . 1.53%* 1.51% 1.51% 1.48% 1.73% 2.14%
Portfolio Turnover Rate . . . . . . . . . . . 31%* 15% 19% 13% 9% 11%
Average Commission Rate Paid . . . . . . . . $.0247+ N/A N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect transaction fees (0.5% in 1995 and
1996, 1.0% in 1991 through 1994) on purchases or the annual account
maintenance fee of $10.
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
16
<PAGE> 17
<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, 1996 1995 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . $15.04 $11.37 $11.69 $10.84 $10.00
INVESTMENT OPERATIONS ------ ------ ------ ------ ------
Net Investment Income . . . . . . . . . .14 .29 .27 .26 .23
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . 1.36 3.75 (.29) .88 .84
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS 1.50 4.04 (.02) 1.14 1.07
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . (.12) (.28) (.27) (.26) (.23)
Distributions from Realized Capital Gains (.03) (.09) (.03) (.03) --
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . (.15) (.37) (.30) (.29) (.23)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . $16.39 $15.04 $11.37 $11.69 $10.84
===================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . +10.00% +35.79% -0.17% +10.62% +10.41%
- -------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . $2,865 $1,571 $786 $512 $275
Ratio of Total Expenses to Average Net Assets .21%* .25% .20% .20% .21%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . 1.81%* 2.14% 2.35% 2.31% 2.42%*
Portfolio Turnover Rate . . . . . . . . . . 3%* 3% 2% 1% 3%
Average Commission Rate Paid . . . . . . . $.0208+ N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the .25% transaction fee on purchases
through 1995, 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.
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
17
<PAGE> 18
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, 1996 1995 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $13.97 $10.28 $10.20 $10.26 $10.00
INVESTMENT OPERATIONS ------ ------ ------ ------ ------
Net Investment Income . . . . . . . . . . . . .11 .21 .21 .21 .06
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . 1.48 3.68 .08 (.06) .26
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . 1.59 3.89 .29 .15 .32
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . (.10) (.20) (.21) (.21) (.06)
Distributions from Realized Capital Gains . . (.06) -- -- -- --
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . (.16) (.20) (.21) (.21) (.06)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . $15.40 $13.97 $10.28 $10.20 $10.26
===================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . +11.43% +38.06% +2.89% +1.53% +3.19%
- -------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . $511 $271 $86 $51 $21
Ratio of Total Expenses to Average Net Assets . . .20%* .20% .20% .20% 0%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . 1.50%* 1.71% 2.08% 2.10% 2.85%*
Portfolio Turnover Rate . . . . . . . . . . . . . 36%* 24% 28% 36% 2%
Average Commission Rate Paid . . . . . . . . . . $.0186+ N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
18
<PAGE> 19
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------
Year Ended December 31,
SIX MONTHS ENDED ----------------------------- November 2 to
For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . $14.79 $11.12 $11.74 $10.30 $10.00
------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . .20 .41 .38 .38 .07
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . 1.06 3.66 (.46) 1.50 .30
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS 1.26 4.07 (.08) 1.88 .37
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . (.14) (.40) (.38) (.38) (.07)
Distributions from Realized Capital Gains (.24) -- (.16) (.06) --
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . (.38) (.40) (.54) (.44) (.07)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . $15.67 $14.79 $11.12 $11.74 $10.30
===================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . +8.54% +36.94% -0.73% +18.35% +3.70%
- -------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . $765 $496 $297 $190 $24
Ratio of Total Expenses to Average Net Assets .20%* .20% .20% .20% 0%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . 2.64%* 3.06% 3.37% 3.26% 3.46%*
Portfolio Turnover Rate . . . . . . . . . . 34%* 27% 32% 30% 4%
Average Commission Rate Paid . . . . . . . $.0185+ N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
19
<PAGE> 20
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO(1)
- -----------------------------------------------------------------------------------------------------------------------------
Year Ended
SIX MONTHS Year Ended Feb. 1 to Oct. 1, 1993 September 30,
ENDED Dec. 31, Dec. 31, to Jan. 31, -------------------
For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1994 1993 1992
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $18.61 $14.99 $16.24 $16.23 $12.63 $12.03
INVESTMENT OPERATIONS ------ ------ ------ ------ ------ ------
Net Investment Income . . . . . . . . . . . . .12 .24 .20 .05 .20 .19
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . 2.00 4.06 (.86) .96 3.73 .88
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . 2.12 4.30 (.66) 1.01 3.93 1.07
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . . -- (.23) (.22) (.18) (.18) (.18)
Distributions from Realized Capital Gains . . (.14) (.45) (.37) (.82) (.15) (.29)
------ ------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . . (.14) (.68) (.59) (1.00) (.33) (.47)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $20.59 $18.61 $14.99 $16.24 $16.23 $12.63
=============================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . +11.44% +28.74% -4.00% +6.65% +31.60%+ 9.34%
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . $1,450 $971 $605 $533 $432 $202
Ratio of Total Expenses to Average Net Assets . . .25%* .25% .17%* .18%* .18% .18%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . . 1.40%* 1.58% 1.50%* 1.16%* 1.47% 1.65%
Portfolio Turnover Rate . . . . . . . . . . . . . 39%* 28% 25% 5% 26% 26%
Average Commission Rate Paid . . . . . . . . . . $.0250+ N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Results prior to January 31, 1994, are for the former Vanguard Small
Capitalization Stock Fund.
* Annualized.
** Total return figures do not reflect the 1% transaction fee on purchases
or the annual account maintenance fee of $10.
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
20
<PAGE> 21
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 acquired
over sixty days to maturity are valued utilizing the latest quoted bid
prices and on the basis of a matrix system (which considers such factors as
security prices, yields, maturities, and ratings), both as furnished by
independent pricing services. Other 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, 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 a custodian bank 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.
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 redeeming 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.
Futures contracts based upon the following indexes are used: Standard &
Poor's 500 Index (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), Standard & Poor's
Growth Index (Growth Portfolio), Standard &
21
<PAGE> 22
NOTES TO FINANCIAL STATEMENTS (continued)
Poor's Value Index (Value Portfolio), and Russell 2000 Index (Small
Capitalization Stock Portfolio).
The primary risks associated with the use of futures contracts are
imperfect correlation between changes in market values of stocks contained
in the underlying indexes and the prices of futures contracts, and the
possibility of an illiquid market. Futures contracts are valued based upon
their quoted daily settlement prices. Fluctuations in the values of futures
contracts are recorded as unrealized appreciation (depreciation) until
terminated, at which time realized gains (losses) are recognized.
Unrealized appreciation (depreciation) related to open futures contracts is
required to be treated as realized gain (loss) for Federal income tax
purposes.
6. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities sold.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. 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 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, 1996, the Trust had contributed capital of $3,054,000 to
Vanguard (included in Other Assets), representing 15.3% 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, 1996, 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 $5,181,544 $639,246
EXTENDED MARKET 356,302 260,370
TOTAL STOCK MARKET 1,114,343 28,209
GROWTH 273,987 71,774
VALUE 340,082 106,208
SMALLCAP 579,373 228,482
- ----------------------------------------------
</TABLE>
During the six months ended June 30, 1996, the 500 Portfolio realized
$231,050,000 of net capital gains resulting from in-kind redemptions. Such
gains are not taxable income to the Portfolio and therefore will not be
distributed to shareholders; accordingly, such gains have been reclassified
from accumulated net realized gains to paid in capital.
D. At June 30, 1996, net 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 $6,102,433 $(188,751) $5,913,682
EXTENDED MARKET 544,391 (65,971) 478,420
TOTAL STOCK MARKET 528,735 (45,175) 483,560
GROWTH 84,283 (1,182) 83,101
VALUE 113,077 (6,923) 106,154
SMALLCAP 295,974 (56,667) 239,307
- -----------------------------------------------------------------------------------
</TABLE>
22
<PAGE> 23
At June 30, 1996, the aggregate settlement value of open futures contracts
expiring in September 1996, the related unrealized appreciation (depreciation),
and the market value of securities deposited as initial margin for those
contracts were:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------
(000)
------------------------------------------------
Market Value
Aggregate Unrealized of Securities
Settlement Appreciation Deposited as
Portfolio Value (Depreciation) Initial Margin
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $61,927 $ (106) $7,990
EXTENDED MARKET 12,217 44 1,398
TOTAL STOCK MARKET 74,958 (69) 2,397
VALUE 351 4 100
SMALLCAP 44,449 (881) 1,398
- ------------------------------------------------------------------------------------
</TABLE>
E. The market value of securities on loan to broker/dealers at June 30, 1996,
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 $ 502 $ 512
EXTENDED MARKET 59,233 61,516
TOTAL STOCK MARKET 15,429 16,180
SMALLCAP 25,820 26,948
- -----------------------------------------------------------------
</TABLE>
23
<PAGE> 24
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 Selected Value Portfolio
Vanguard/Trustees' Equity Fund
U.S. Portfolio
Vanguard/Windsor Fund
Vanguard/Windsor II
BALANCED FUNDS
Vanguard Asset Allocation Fund
Vanguard LifeStrategy Portfolios
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 Horizon Fund
Global Equity Portfolio
Global Asset Allocation Portfolio
Capital Opportunity Portfolio
Aggressive Growth Portfolio
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]
Vanguard Financial Center Valley Forge, Pennsylvania 19482
New Account Information: Shareholder Account Services:
1 (800) 662-7447 1 (800) 662-2739
This Report has been prepared for shareholders and may be distributed
to others only if preceded or accompanied by a current prospectus.
All Funds in the Vanguard Family are offered by prospectus only.
Q402-6/96
VANGUARD
INDEX TRUST
SEMI-ANNUAL REPORT
JUNE 30, 1996
<PAGE> 25
STATEMENT OF NET ASSETS
FINANCIAL STATEMENTS (unaudited)
VANGUARD INDEX TRUST June 30, 1996
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ----------------------------------------------------------------------
AAR Corp. 28,800 $ 587
* ABR Information Services, Inc. 9,500 476
* ABT Building Products Corp. 26,300 585
* ACX Technologies Inc. 42,400 843
* ADC Telecommunications, Inc. 48,500 2,170
* ADE Corp. 24,400 351
* AES Corp. 56,836 1,599
AFLAC, Inc. 107,015 3,197
AGCO Corp. 37,200 1,032
AGL Resources Inc. 45,500 859
AK Steel Holding Corp. 21,000 822
* APAC Teleservices, Inc. 35,089 1,254
* AST Research, Inc. 90,914 619
ARCO Chemical Co. 73,408 3,817
* APL Ltd. 33,454 874
* APS Holding Corp. 23,500 514
AT&T Capital Corp. 35,600 1,557
AVX Corp. 66,200 1,225
Abington Savings Bank 2,900 45
* Able Telcom Holding Corp. 56,400 328
* Acceptance Insurance Cos. Inc. 35,000 599
* Access Health Marketing, Inc. 17,183 816
Acclaim Entertainment Inc. 68,300 662
* Accustaff, Inc. 38,000 1,040
Aceto Corp. 27,308 423
* Acme Electric Corp. 40,700 310
* Acme Metals, Inc. 26,600 452
* Action Performance Cos., Inc. 74,100 1,070
* Acuson Corp. 46,238 740
* Acxiom Corp. 23,661 806
* Adaptec, Inc. 39,800 1,883
* Addington Resources, Inc. 23,900 595
Adobe Systems, Inc. 58,140 2,075
* Adtran, Inc. 29,700 2,109
* Advanced Logic Research 57,500 471
* Advanced Magnetics, Inc. 23,400 427
* Advanced Mammography
Systems, Inc. 101,475 195
* Advanced Marketing Services 24,300 314
* Advanced NMR Systems, Inc. 127,900 146
* Advanced Polymer Systems 42,700 400
* Advanced Technology
Laboratories, Inc. 28,137 1,031
* Advanced Tissue Sciences Inc. 50,342 818
Advanta Corp. Class A 31,500 1,601
* Advantage Life Products, Inc. 40,600 19
ADVO, Inc. 51,875 538
* Affiliated Computer Services, Inc. 9,200 434
* Agri-Nutrition Group Ltd. 27,100 49
* Air and Water Technologies Corp.
Class A 94,798 569
Airborne Freight Corp. 28,510 741
* Airgas, Inc. 50,400 958
* Airways Corp. 43,700 300
* Alaska Air Group, Inc. 21,400 586
Albank Financial Corp. 25,180 666
Albany International Corp. 43,300 980
Albemarle Corp. 46,602 850
Alex Brown, Inc. 12,220 690
Alexander & Baldwin, Inc. 36,000 873
* Alexander's, Inc. 9,300 675
Alfa Corp. 62,000 705
* Alleghany Corp. 5,506 1,057
Allegheny Ludlum Corp. 50,529 954
Allegheny Power System, Inc. 91,600 2,828
The Allen Group, Inc. 32,940 716
* Alliance Gaming Corp. 81,700 266
* Alliance Pharmaceutical Corp. 45,000 740
* Alliance Semiconductor Corp. 67,250 559
* Alliant Techsystems, Inc. 17,700 834
Allied Capital Commercial Corp. 30,500 608
* Allied Devices Corp. 11,200 43
Allied Products Corp. 22,201 630
* Allied Waste Industries, Inc. 78,200 689
Allmerica Financial Corp. 37,174 1,106
Allmerica Property & Casualty Cos. 49,400 1,334
* Allou Health & Beauty, Inc. 51,400 353
* Allwaste, Inc. 114,146 528
* Aloette Cosmetics, Inc. 47,700 197
Alpharma Inc. Class A 34,400 684
* Altera Corp. 33,590 1,274
* Alumax, Inc. 33,800 1,027
* Amax Gold, Inc. 99,287 546
AMBAC, Inc. 26,778 1,396
Amcast Industrial Corp. 23,200 470
* Amerco Inc. 28,700 800
* America Online, Inc. 65,700 2,866
* America West Airlines, Inc. 32,300 711
</TABLE>
The listings for each of the Portfolios begin on the following pages:
<TABLE>
<S> <C>
EXTENDED MARKET PORTFOLIO . . . . . . . . . . . . . . . . . . 1
TOTAL STOCK MARKET PORTFOLIO . . . . . . . . . . . . . . . . . 22
GROWTH PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . 48
VALUE PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . 51
SMALL CAPITALIZATION STOCK PORTFOLIO . . . . . . . . . . . . . 55
</TABLE>
1
<PAGE> 26
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
American Annuity Group Inc. 65,278 $ 849
American Bankers Insurance Group 14,800 647
* American Banknote Corp. 107,200 402
American Federal Bank 16,400 271
American Financial Group, Inc. 46,100 1,389
* American Freightways 52,100 576
American Insured Mortgage
Investors-Series 86 30,800 393
* American Management Systems, Inc. 35,725 1,049
* American Medical Response, Inc. 23,500 828
* American Mobile Satellite Corp., Inc. 42,900 654
American National Insurance Co. 19,950 1,292
* American Oncology Resources, Inc. 32,500 703
* American Portable Telecom, Inc. 1,000 10
* American Power Conversion Corp. 71,300 740
American Re Corp. 35,700 1,602
* American Safety Razor Co. 43,400 431
* American Science
& Engineering, Inc. 32,900 329
* American Software, Inc. Class A 86,450 400
* American Standard Cos., Inc. 58,100 1,917
* American States Financial Corp. 12,500 269
* American Studios, Inc. 32,600 41
* American Travellers Corp. 50,250 1,153
American Water Works Co., Inc. 29,187 1,175
* Americredit Corp. 43,200 675
Amerigas Partners, L.P. 22,000 500
* Amerisource Health Corp. 19,004 632
Ameron International Corp. 10,700 423
Ametek, Inc. 39,000 848
Ampco-Pittsburgh Corp. 32,365 376
* Amphenol Corp. 35,642 820
* Amre, Inc. 49,657 1,086
* Amrep Corp. 64,600 307
AmSouth Bancorp 43,679 1,578
* Amtech Corp. 66,950 506
* Amylin Pharmaceuticals, Inc. 60,900 651
Anadarko Petroleum Corp. 44,800 2,598
* Analog Devices, Inc. 87,294 2,226
Anchor Bancorp Wisconsin Inc. 13,900 485
* Anchor Gaming 10,301 619
Andover Bancorp, Inc. 10,600 276
Angelica Corp. 25,200 595
* Anixter International Inc. 40,800 607
* AnnTaylor Stores Corp. 32,200 652
* Antec Corp. 44,600 714
Apache Corp. 67,000 2,203
* Apertus Technologies, Inc. 90,500 322
* Aphton Corp. 29,161 536
Apogee Enterprises, Inc. 20,900 713
* Apollo Group, Inc. Class A 38,475 1,068
Apple South, Inc. 33,576 898
Applebee's International, Inc. 23,618 765
* Applied Bioscience International, Inc. 71,000 741
* Applied Microsystems Corp. 26,000 455
* Applix, Inc. 22,579 646
* Apria Healthcare 38,780 1,217
Aptargroup Inc. 24,200 732
Aquarion Co. 19,648 486
Arbor Drugs, Inc. 34,950 723
* Arbor Software Corp. 10,700 638
Arcadian Corp. 38,000 750
Argonaut Group, Inc. 20,419 630
* Argosy Gaming Co. 65,400 486
Arkansas Best Corp. 65,900 494
Armor All Products Corp. 33,100 496
Arnold Industries, Inc. 41,900 592
* Arrow Electronics, Inc. 38,350 1,654
Arrow International, Inc. 20,200 563
* Arterial Vascular Engineering, Inc. 22,700 817
* Artisoft, Inc. 57,500 507
Arvin Industries, Inc. 34,000 756
* Ascend Communications, Inc. 84,474 4,746
Ashland Coal Inc. 23,900 621
* Aspect Telecommunications 16,200 806
Associated Estates Realty Corp. 29,100 611
* Associated Group, Inc. 25,428 760
* Associated Group, Inc. Class B 5,775 171
Astoria Financial Corp. 27,500 748
Astro-Med, Inc. 38,150 334
* Astrosystems, Inc. 48,700 309
* Atari Corp. 86,356 497
* Guy F. Atkinson Co. of California 37,800 501
Atlantic Energy, Inc. 43,800 799
Atlantic Southeast Airlines Inc. 24,300 688
* Atlas Air, Inc. 16,600 959
* Atmel Corp. 73,600 2,222
* Atria Software, Inc. 10,400 523
* Atrix Laboratories, Inc. 36,334 359
* Atwood Oceanics, Inc. 23,300 1,034
* Autotote Corp. 114,100 235
* AutoZone, Inc. 133,366 4,634
Avalon Properties 45,400 987
* Avatar Holding, Inc. 16,100 559
* Avecor Cardiovascular, Inc. 35,100 445
Aviall Inc. 57,500 532
* Avid Technology, Inc. 35,800 660
Avnet, Inc. 33,142 1,396
* Avondale Industries, Inc. 35,200 631
* Aydin Corp. 31,700 428
* Aztar Corp. 52,800 607
* BBN Corp. 30,900 672
* BEC Group Inc. 70,070 307
BHA Group Class A 29,700 408
</TABLE>
2
<PAGE> 27
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* BHC Communications, Inc. Class A 19,115 $ 1,868
* BISYS Group, Inc. 19,000 714
* BJ Services Co. 21,200 745
BMC Industries, Inc. 15,404 443
* BMC Software, Inc. 38,000 2,266
BSB Bancorp, Inc. 20,363 527
* BT Office Products International, Inc. 27,300 488
* BTG Inc. 35,600 438
BW/IP Inc. 41,100 786
* Baby Superstore, Inc. 13,650 227
* Bachman Information Systems, Inc. 53,700 379
Badger Meter, Inc. 13,000 362
Bairnco Corp. 60,700 440
J. Baker, Inc. 59,409 457
Baldor Electric Co. 39,630 892
Baldwin & Lyons, Inc. Class B 34,200 697
Ballard Medical Products 41,566 795
* Bally Total Fitness Holding Corp. 28,189 125
BancFirst Corp. 14,350 309
Bancorp Hawaii, Inc. 30,801 1,109
Bandag, Inc. 19,162 920
Bandag, Inc. Class A 300 14
Bank North Group 16,900 585
Bankers Corp. 13,000 225
Bankers Life Holding Corp. 38,700 856
BanPonce Corp. 26,622 1,200
Banta Corp. 24,625 623
* Barnes & Noble Inc. 24,800 890
* Barnwell Industries, Inc. 13,400 225
* Barrett Business Services, Inc. 26,300 483
* Barrett Resources Corp. 28,550 849
* Basin Exploration Inc. 72,198 460
Bassett Furniture Industries, Inc. 23,100 615
Battle Mountain Gold Co. Class A 68,300 495
BayBanks, Inc. 15,046 1,627
Beacon Properties Corp. 26,000 666
Bear Stearns Co., Inc. 95,374 2,253
Bearings, Inc. 20,400 551
BeautiControl Cosmetics 41,950 388
Beckman Instruments 22,700 863
* Bed Bath & Beyond, Inc. 55,000 1,461
* Bel Fuse, Inc. 27,200 454
* Belco Oil & Gas Corp. 26,000 923
Belden Inc. 22,100 663
A. H. Belo Corp. Class A 35,653 1,328
* Ben & Jerry's Homemade, Inc.
Class A 29,300 509
* Ben Franklin Retail Stores 6,000 6
Bergen Brunswig Corp. Class A 30,173 837
W.R. Berkley Corp. 15,200 640
* Berkshire Hathaway Class A 1,008 30,946
Berkshire Realty Co., Inc. 56,100 610
* Berlitz International, Inc. 29,426 625
Berry Petroleum Class A 47,000 535
* Bertucci's Holding Corp. 65,400 343
* Best Buy, Inc. 38,600 883
Betz Laboratories, Inc. 21,300 935
Bindly Western Industries, Inc. 31,100 521
Binks Manufacturing Co. 17,450 476
* Bio-Rad Labs, Inc. Class A 17,747 637
* Biocircuits Corp. 7,200 42
* Biocryst Pharmaceuticals, Inc. 8,900 147
* Biogen, Inc. 26,969 1,475
* Biomatrix, Inc. 31,167 501
* Biospecifics Technology 40,800 163
* Biotechnology General 108,900 898
* Biowhittaker Inc. 51,299 433
Birmingham Steel Corp. 41,250 675
Blair Corp. 17,100 404
E.W. Blanch Holdings, Inc. 26,800 533
Blessings Corp. 41,500 425
Block Drug Co. Class A 15,641 649
Blount International, Inc. 26,000 819
* Bluegreen Corp. 78,540 295
* Blyth Industries, Inc. 24,200 1,098
Bob Evans Farms, Inc. 47,116 798
* Boise Cascade Office Products Corp. 47,976 1,661
* Bombay Co. 78,862 493
* Borders Group, Inc. 30,100 971
Borg-Warner Automotive, Inc. 17,400 687
Boston Bancorp 13,200 573
* Boston Chicken, Inc. 45,100 1,463
Boston Edison Co. 40,400 1,030
* Boston Scientific Corp. 8,910 401
* Boston Technology, Inc. 35,900 608
Bostonfed Bancorp, Inc. 10,400 125
Bowater Inc. 28,549 1,074
* Boyd Gaming Corp. 39,800 597
Bradley Real Estate Inc. 39,837 578
W.H. Brady Class A 31,500 713
Breed Technological Inc. 43,400 971
Brenton Banks, Inc. 7,100 170
* Brinker International, Inc. 62,063 931
* Broadway & Seymour, Inc. 37,500 443
* Broderbund Software, Inc. 16,500 534
Brooke Group Ltd. 63,500 373
Brooklyn Union Gas Co. 38,850 1,059
* Brothers Gourmet Coffees, Inc. 87,200 305
Brush Wellman, Inc. 28,200 536
* Buffets Inc. 48,000 582
* Builders Transport, Inc. 38,700 319
* Burlington Coat Factory
Warehouse Corp. 63,750 669
* Burlington Industries, Inc. 47,000 664
</TABLE>
3
<PAGE> 28
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Burlington Resources Coal Seamgas
Royalty Trust 28,700 $ 265
* Burr-Brown Corp. 28,000 486
* Bush Boake Allen, Inc. 25,100 546
Bush Industries, Inc. 15,940 542
* CAI Wireless Systems, Inc. 62,930 578
CCB Financial Corp. 13,900 718
* C-Cor Electronics, Inc. 27,000 479
* C-Cube Microsystems, Inc. 26,600 879
* CDW Computer Centers, Inc. 16,400 1,134
CFB Bancorp, Inc. 1,800 35
CIPSCO, Inc. 28,300 1,093
CKE Restaurants Inc. 39,400 1,005
CMAC Investment Corp. 14,200 816
* CMG Information Services, Inc. 28,876 772
CML Group, Inc. 114,050 485
CMS Energy Corp. 69,439 2,144
* CNA Financial Corp. 47,005 4,842
CPI Corp. 33,100 546
* CRW Financial, Inc. 14,300 465
* C-TEC Corp. 10,300 308
* C-TEC Corp. Class B 11,100 333
CWM Mortgage Holdings Inc. 58,100 988
* Cable Design Technologies 23,548 777
* Cablevision Systems Corp. Class B 12,900 597
Cabot Corp. 55,332 1,356
Cabot Oil & Gas Corp., Class A 36,364 632
* Cadence Design Systems, Inc. 61,466 2,074
* Cadiz Land Co., Inc. 79,400 466
* Cal Fed Bancorp Inc. 42,780 781
* CalEnergy Inc. 39,692 1,012
* Calgene, Inc. 85,100 561
Calgon Carbon Corp. 58,500 790
* California Federal Bank Goodwill
Participation Certificates 5,398 47
Callaway Golf Co. 50,000 1,662
* Callon Petroleum Co. 35,700 455
Calmat Co. 36,100 654
* Calumet Bancorp, Inc. 13,500 381
Cam Designs, Inc. 29,800 194
* Cambridge Technology Partners 35,900 1,097
Camco International, Inc. 24,000 813
* Cameron Ashley Building Products 37,400 439
* Canandaigua Wine Co., Inc. Class A 17,400 524
* Canandaigua Wine Co., Inc. Class B 6,375 189
* Canmax, Inc. 2,000 6
Capital One Financial Corp. 44,876 1,279
Capital Re Corp. 22,700 834
Capital Realty Investors Tax Exempt
Fund (Series III) 30,900 440
Capitol American Financial Corp. 30,400 764
Caraustar Industries, Inc. 34,800 931
Cardinal Bancshares, Inc. 6,200 251
Cardinal Health, Inc. 57,887 4,175
Caremark International, Inc. 61,300 1,548
Carlisle Co., Inc. 14,473 769
* Carmike Cinemas, Inc. Class A 18,100 489
Carnival Corp. Class A 216,953 6,265
Carpenter Technology Corp. 20,400 653
* Carrington Labs Inc. 22,272 574
Carter-Wallace, Inc. 68,500 1,002
* Cascade Bancorp 5,000 99
* Cascade Communications Corp. 63,400 4,315
Casey's General Stores 39,000 770
Cash America International Inc. 87,400 568
* Casino Magic Corp. 100,700 557
A.M. Castle & Co. 26,025 615
* Castle & Cooke, Inc. 39,933 639
* Catalina Lighting, Inc. 59,400 334
* Catalina Marketing Corp. 7,400 677
* Catellus Development Corp. 40,001 365
Cato Corp. Class A 62,900 373
* Cellegy Pharmaceuticals, Inc. 48,600 443
* Cellular Communications Series A 18,200 963
* Cellular Technical Services Co. 44,650 784
* Celtrix Labs 75,300 259
Center Financial Corp. 26,248 637
Centerior Energy Corp. 124,500 918
Centerpoint Properties Corp. 27,600 669
* Centocor, Inc. 55,800 1,671
* Central Cooperative Bank 27,100 474
Central Fidelity Banks, Inc. 47,175 1,061
Central Hudson Gas & Electric Corp. 23,400 731
Central Louisiana Electric Co. 27,892 743
Central Maine Power Co. 47,267 685
Central Newspapers Inc. 19,050 714
* Central Sprinkler Corp. 23,907 526
Central Vermont Public Service Corp. 31,000 395
Centura Banks, Inc. 16,900 621
* Century Communications Corp.
Class A 99,781 861
Century Telephone Enterprises, Inc. 44,777 1,427
* Cephalon Inc. 35,000 687
* Cerner Corp. 24,530 527
* Chalone Wine Group Ltd. 55,500 513
* Chancellor Broadcasting Co. Class A 19,000 597
Chaparral Steel Co. 54,500 715
Charter One Financial 54,760 1,906
Chartwell Re Corp. 24,210 543
Chateau Properties, Inc. 21,200 472
* Checkers Drive-In Restaurant 104,400 106
* Checkfree Corp. 31,000 618
* Checkpoint Systems, Inc. 27,726 953
Chelsea GCA Realty, Inc. 22,200 705
</TABLE>
4
<PAGE> 29
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Chemed Corp. 15,500 $ 579
* Chemical Fabrics Corp. 31,814 457
Chesapeake Corp. of Virginia 35,183 924
* Chesapeake Energy Corp. 14,700 1,321
* Cheyenne Software, Inc. 31,800 612
* Chic by H.I.S., Inc. 65,000 341
* Chico's Fas, Inc. 37,686 377
Chiquita Brands International, Inc. 39,665 516
* Chiron Corp. 32,185 3,150
* Chock Full O'Nuts Corp. 80,160 391
* Cholestech Corp. 50,700 260
* Chris-Craft Industries, Inc. 23,542 1,036
* Christiana Cos., Inc. 23,900 508
Church and Dwight, Inc. 30,300 633
Cilcorp, Inc. 17,400 744
Cincinnati Bell, Inc. 50,500 2,632
Cincinnati Financial Corp. 42,198 2,429
Cintas Corp. 35,700 1,897
* Circon Corp. 37,557 444
* Circus Circus Enterprises Inc. 78,259 3,209
* Cirrus Logic 47,900 835
* Cisco Systems, Inc. 14,360 814
Citifed Bancorp 13,100 515
Citizens Bancshares, Inc. 15,700 453
Citizens Banking Corp. 21,600 610
Citizens Corp. 30,600 574
* Citizens Utilities Co. Class A 163,196 1,877
* Citizens Utilities Co. Class B 14,887 173
* Citrix Systems, Inc. 17,000 644
City Holding Co. 8,500 195
City National Corp. 37,988 598
* Civic Bancorp 4,600 38
Clarcor Inc. 24,500 606
Clayton Homes Inc. 76,578 1,532
* Clean Harbors Inc. 43,500 130
* Clear Channel Communications 26,200 2,158
Cleveland-Cliffs Iron Co. 16,200 634
* The Clothestime, Inc. 68,400 71
Coachmen Industries, Inc. 18,200 637
* Coast Savings Financial, Inc. 28,300 927
* Coastal Physician Group, Inc. 66,300 456
Coca-Cola Enterprises, Inc. 94,317 3,266
* Coda Music Technology, Inc. 51,100 268
* Code Alarm, Inc. 27,600 138
Coeur D'Alene Mines Corp. 28,800 529
* Cognex Corp. 31,600 515
* Coherent, Inc. 14,323 750
* Coleman Inc. 20,800 881
Collagen Corp. 24,803 474
Collective Bancorp, Inc. 33,050 787
* Collins & Aikman Corp. 97,300 584
Colonial Gas Co. 21,276 441
* Coltec Inc. 54,000 769
Columbus Realty Trust 27,900 541
Comair Holdings, Inc. 41,716 1,134
Comdisco, Inc. 38,600 1,028
Commerce Bancorp, Inc. 22,100 522
Commerce Bancshares, Inc. 27,754 951
Commerce Group, Inc. 27,800 580
Commercial Assets 64,700 396
Commercial Federal Corp. 23,100 884
Commercial Metals Co. 23,766 790
Commonwealth Energy Systems 34,000 875
Communications Systems, Inc. 33,400 455
Community Bankshares, Inc. 2,500 45
Community First Bankshares 26,458 622
* Community Healthcare Systems 14,800 766
Compass Bancshares Inc. 30,500 1,003
* Competitive Technologies, Inc. 43,000 489
* CompUSA, Inc. 34,000 1,160
* CompuServe Corp. 68,300 1,443
Computer Data Systems, Inc. 22,054 498
* Computer Horizons Corp. 36,059 1,420
* Computer Outsourcing Services, Inc. 57,600 274
Computer Task Group, Inc. 25,704 726
* Computer Telephone Corp. 2,600 35
* Computervision Corp. 58,900 589
* Computron Software, Inc. 18,000 90
* Compuware Corp. 33,000 1,299
Comsat Corp. 36,400 946
* Concord EFS, Inc. 30,450 1,089
* Conmed Corp. 34,000 903
Conseco Co., Inc. 33,200 1,328
* Consilium, Inc. 48,400 366
Consolidated Papers 33,800 1,758
* Consolidated Products Inc. 36,634 614
* Consolidated Stores, Inc. 35,941 1,321
* Consolidated Technology Group 24,500 7
* Consumer Portfolio Services, Inc. 46,000 408
* Contifinancial Corp. 35,300 1,041
* Continental Airlines, Inc., Class B 20,900 1,291
* Continental Materials Corp. 35,600 530
* Continental Waste Industries, Inc. 28,906 647
* Continuum Co. 18,200 1,056
* Converse Inc. 79,333 337
* Cooper Cameron Corp. 20,700 906
* Copley Pharmaceutical, Inc. 41,817 565
* Coram Healthcare Corp. 110,403 455
Core Industries, Inc. 34,000 489
* Corestaff, Inc. 5,500 245
* Corporate Express, Inc. 51,900 2,079
* Corrections Corp. of America 16,814 1,177
* Cosmetic Center, Inc. Class A 25,100 125
* Cosmetic Center, Inc. Class B 6,900 42
</TABLE>
5
<PAGE> 30
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Countrywide Credit Industries, Inc. 77,279 $ 1,913
* Coventry Corp. 49,300 773
* Cox Communications Class A 194,050 4,196
Cracker Barrel Old Country
Stores, Inc. 48,233 1,164
* Craig Corp. 32,823 418
* Jenny Craig Inc. 34,100 610
Crawford & Co. Class B 51,100 888
* Cray Research, Inc. 18,500 446
* Credence Systems Corp. 39,900 536
* Credit Acceptance Corp. 33,400 710
* Cree Research, Inc. 66,300 994
Crescent Real Estate Equities, Inc. 18,900 695
Crestar Financial Corp. 32,493 1,734
Crompton & Knowles Corp. 39,100 655
A.T. Cross Co. Class A 33,800 600
* Crown Central Petroleum Corp.
Class B 33,600 517
Crown Crafts, Inc. 32,840 337
Cullen/Frost Bankers, Inc. 32,060 894
* Culligan Water Technologies 13,600 517
Curtiss-Wright Corp. 11,800 637
* Custom Chrome 18,200 487
* CyCare Systems, Inc. 9,863 514
* Cygnus Inc. 39,200 595
* Cypress Semiconductor Corp. 64,400 773
* Cypros Pharmaceuticals Corp. 79,900 407
* Cyrix Corp. 31,100 538
* Cytec Industries, Inc. 12,600 1,077
* Cytogen Corp. 82,769 748
DPL, Inc. 80,775 1,969
DQE Inc. 60,243 1,657
* D. R. Horton, Inc. 48,600 510
DS Bancor, Inc. 14,468 521
* DST Systems, Inc. 40,300 1,290
Dames & Moore, Inc. 50,700 615
Danaher Corp. 44,266 1,926
* Darling International, Inc. 18,700 469
Dart Group Corp. Class A 4,700 402
* Data Broadcasting Corp. 62,256 595
* Data Systems & Software, Inc. 47,800 314
* Datascope Corp. 33,700 602
* Datastream Systems, Inc. 15,700 548
* Dataware Technologies, Inc. 46,600 291
Dauphin Deposit Bank & Trust 24,040 687
* Dave and Busters 23,307 621
* Davidson and Associates, Inc. 28,852 873
Davis Water and Waste Industry, Inc. 36,287 1,080
Dean Foods Corp. 32,733 810
Deb Shops, Inc. 92,900 453
DeBartolo Realty Corp. 40,900 660
* DecisionOne Corp. 22,600 542
* Dell Computer 69,934 3,554
Delmarva Power & Light Co. 50,500 1,060
Delta & Pine Land Co. 21,907 926
Delta Woodside 68,300 350
Dentsply International 22,100 935
* Department 56 Inc. 18,300 414
Deposit Guaranty Corp. 14,300 633
* Desoto, Inc. 15,900 101
* Destec Energy Inc. 42,401 541
* Detroit Diesel Corp. 36,322 704
Developers Diversified Realty Corp. 30,000 956
Devon Energy Corp. 31,600 774
Dexter Corp. 31,800 946
Diagnostic Products Corp. 22,077 850
* Dialogic Corp. 11,400 681
* Diamond Multimedia Systems, Inc. 49,500 467
* Diamond Offshore Drilling, Inc. 46,700 2,674
Diamond Shamrock, Inc. 24,200 699
Diebold, Inc. 34,784 1,678
* Digi International, Inc. 21,150 560
* Digital Generation Systems 25,700 247
* Digital Microwave Corp. 38,073 631
* Digital Systems Inc. 27,068 406
* Dime Bancorp, Inc. 55,028 715
Dimon Inc. 55,350 1,024
* Dionex Corp. 18,100 595
* Discovery Zone, Inc. 27,475 26
Dole Food Co. 45,500 1,956
Dollar General Corp. 54,665 1,599
* Dollar Tree Stores, Inc. 17,850 573
Donaldson Co., Inc. 28,700 739
Donaldson, Lufkin & Jenrette, Inc. 44,300 1,373
Donnelly Corp. 31,450 503
* Donnkenny, Inc. 34,600 673
Douglas & Lomason 27,300 396
* Dove Audio, Inc. 24,500 237
Downey Financial Corp. 33,210 726
* Dravo Corp. 37,261 554
* The Dress Barn, Inc. 50,200 533
* Drexler Technology Corp. 28,411 439
Dreyer's Grand Ice Cream, Inc. 22,100 704
* Drug Emporium, Inc. 83,930 383
* Drypers Corp. 117,100 373
Duke Realty Investments 20,100 608
* Dura Pharmaceuticals, Inc. 17,807 998
Duracell International, Inc. 90,333 3,896
Duriron Co., Inc. 32,600 780
Duty Free International Inc. 45,526 694
* EA Engineering Sciences and
Technology Inc. 41,700 138
* ENSCO International, Inc. 48,350 1,571
ERD Waste Corp. 15,100 138
</TABLE>
6
<PAGE> 31
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* ESS Technology, Inc. 44,200 $ 812
* Eagle Finance Corp. 44,100 298
* Eagle Food 24,700 113
East Texas Financial Services, Inc. 16,000 238
Eastern Utilities Associates 29,981 588
Eastgroup Properties 15,967 347
* Eckerd Corp. 57,400 1,299
* Ecogen, Inc. 32,940 161
Ecology and Environment, Inc. 6,925 57
* Edisto Resources Corp. 70,600 706
* Editek Inc. 8,400 8
* Education Alternatives, Inc. 78,000 273
A.G. Edwards & Sons, Inc. 47,748 1,295
* Egghead, Inc. 40,569 446
* El Paso Electric Co. 4,066 24
El Paso Natural Gas 26,932 1,037
Elcor Corp. 22,600 412
* Electromagnetic Sciences, Inc. 25,914 377
* Electronic Arts 39,600 1,054
Electronic Data Systems Corp. 368,045 19,782
* Electronics for Imaging, Inc. 25,400 1,764
* Eljer Industries, Inc. 43,360 450
* Emcare Holdings Inc. 19,700 581
Empire District Electric Co. 30,955 534
* Energy Biosystems Corp. 64,000 504
* Energy Conversion Devices, Inc. 24,025 545
Energy North, Inc. 20,211 394
* Energy Ventures Inc. 27,100 881
Engineered Support Systems, Inc. 61,800 467
Enova Corp. 88,200 2,040
Enron Global Power &
Pipelines L.L.C. 28,300 686
Enron Oil & Gas Co. 121,076 3,375
Enterprise Federal Bancorp, Inc. 3,000 43
* Envirometrics, Inc. 17,300 19
* Epic Design Technology, Inc. 22,600 582
* Epitope Inc. 30,700 480
Equifax, Inc. 119,370 3,133
The Equitable Cos. 141,109 3,510
Equitable of Iowa Co. 26,200 930
Equitable Resources, Inc. 27,650 781
Equity Residential Properties Trust 30,800 1,013
* Equivest Finance, Inc. 51,675 39
Erie Indemnity Co. Class A 13,095 534
Essex County Gas Co. 6,800 163
* Esterline Technologies Corp. 22,255 556
Ethyl Corp. 93,804 903
* Europa Cruises Corp. 48,700 57
Everest Re Holdings 38,500 996
Evergreen Bancorp, Inc. 11,800 291
* Evergreen Media Corp. 22,163 942
* Exabyte Corp. 41,700 545
* Excel Communications, Inc. 48,400 1,307
Exide Corp. 32,700 793
Expeditors International of
Washington, Inc. 21,800 670
* Expert Software Inc. 31,800 248
* Express Scripts 12,000 551
F & M Bancorp 3,000 70
FFY Financial Corp. 6,400 151
* FHP International Corp. 21,352 587
FHP International Corp. Pfd. A 12,640 320
FMC Gold Co. 117,200 527
* FSI International, Inc. 45,900 574
* FTP Software, Inc. 62,300 506
Factory Stores of America, Inc. 23,400 214
* Fairchild Corp. 29,300 429
* Falcon Drilling Co., Inc. 26,000 704
Family Dollar Stores, Inc. 41,200 716
* Farmers & Mechanics Bank 6,100 185
Fastenal Co. 29,900 1,304
Federal-Mogul Corp. 28,700 527
Federal Realty Investment Trust 23,300 524
Federal Signal Corp. 37,337 877
Felcor Suite Hotels, Inc. 9,500 290
* Female Health Co. 37,600 195
Ferro Corp. 20,075 532
* Fibreboard Corp. 19,174 530
* Fieldcrest Cannon, Inc. 24,000 471
* Figgie International Inc. Class A 41,200 615
* Filene's Basement Corp. 106,350 528
* FileNet Corp. 22,600 814
Fina Inc. 22,500 1,243
Financial Security Assurance
Holdings Ltd. 23,900 654
Fingerhut Co. 30,046 469
Finova Group, Inc. 20,598 1,004
First American Bank Corp. 47,959 2,146
First American Corp. (Tenn.) 23,800 1,004
First Bancorp North Carolina 1,100 32
First Bancorp of Ohio 26,700 841
First Bell Bancorp, Inc. 30,400 418
First Brands Corp. 32,400 875
First Citizens BancShares Class A 14,600 916
* First Citizens Financial Corp. 770 14
First Colony Corp. 40,300 1,249
First Commerce Corp. 30,615 1,087
First Commercial Corp. 18,929 587
First Empire State Corp. 5,600 1,350
First Federal Bancshares of Eau
Claire, Inc. 29,800 462
First Federal Capital Corp. 6,500 135
* First Federal Financial Corp. 32,775 569
* First Financial Savings Assn. 41,900 948
</TABLE>
7
<PAGE> 32
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
First Hawaiian, Inc. 26,500 $ 759
First Home Bancorp Inc. 3,200 58
First Midwest Financial, Inc. 700 16
First Mississippi Corp. 28,300 630
First Mutual Savings Bank 1,680 22
* First Pacific Networks, Inc. 98,500 215
First Palm Beach Bancorp 22,100 475
* First Republic Bancorp, Inc. 29,700 457
First Security Corp. 59,812 1,443
First Southern Bancshares 1,600 20
First Tennessee National Corp. 50,900 1,556
First United Bancorporation 4,620 58
First USA Inc. 46,145 2,538
* First USA Paymentech, Inc. 23,867 955
First Virginia Banks, Inc. 26,942 1,078
Firstar Corp. 56,111 2,588
* FIserv, Inc. 36,750 1,112
* Flagstar Cos. 109,500 335
Flexsteel Industry 35,900 408
FlightSafety International, Inc. 23,200 1,259
Florida East Coast Railway Co. 6,900 573
Florida Progress Corp. 73,200 2,544
Florida Rock Industries, Inc. 19,200 497
* Florsheim Shoe Co. 42,515 207
Flowers Industries, Inc. 47,300 763
Fluke Corp. 16,545 668
Food Lion Inc. Class A 313,450 2,498
Food Lion Inc. Class B 46,105 354
* Foodarama Supermarkets, Inc. 22,400 406
* Fore Systems, Inc. 53,900 1,944
Foremost Corp. of America 14,500 823
Forest City Enterprise Class A 16,300 668
* Forest Laboratories, Inc. 34,408 1,329
* Fort Howard Corp. 51,515 1,030
* Forte Software, Inc. 14,600 768
* Foundation Health Co. 43,600 1,564
FoxMeyer Health Corp. 38,602 574
* Fractal Design Corp. 23,800 345
Franchise Finance Corp. of America 28,900 665
* Franklin Bancorporation, Inc. 12,900 102
* Franklin Electronic Publishers, Inc. 22,100 442
* Franklin Quest Co. 37,000 768
Franklin Resources Corp. 61,980 3,781
Fredericks of Hollywood, Inc.
Class A 48,700 244
Fredericks of Hollywood, Inc.
Class B 24,132 109
Freeport-McMoRan, Inc. 20,391 724
Fremont General Corp. 37,027 852
* Fretter Inc. 16,628 3
Frisch's Restaurants, Inc. 41,668 484
* Fritz Cos., Inc. 26,000 838
Frontier Corp. 119,644 3,664
H.B. Fuller Co. 20,050 729
Fulton Financial Corp. 33,438 640
Fund American Enterprise
Holding Co. 11,385 922
* Furniture Brands International Inc. 75,100 826
G & K Services, Inc. 32,325 913
G & L Realty Corp. 34,000 455
GATX Corp. 15,700 758
* GT Interactive Software Corp. 48,100 812
Gainsco, Inc. 53,561 529
Arthur J. Gallagher & Co. 23,900 765
* Game Financial Corp. 9,375 127
* Gander Mountain, Inc. 29,100 64
* Garden Fresh Restaurant Corp. 40,500 433
* Gartner Group, Inc. Class A 67,500 2,476
* Gateway 2000 Inc. 58,000 1,968
* Gaylord Container Corp. 82,100 641
Gaylord Entertainment Class A 72,973 2,061
GenCorp, Inc. 49,500 749
* Genentech, Inc. 90,273 4,728
General Binding Corp. 29,600 607
* General Datacomm Industries, Inc. 34,200 462
General Growth Properties 36,500 881
General Motors Corp. Class H 75,247 4,524
* General Nutrition Cos., Inc. 70,800 1,235
* Genesis Health Ventures Inc. 19,650 617
* Genetics Institute Inc.
Depository Shares 22,300 1,408
* Geneva Steel Class A 70,900 399
* Genlyte Group, Inc. 49,400 377
* Genome Therapeutics Corp. 29,700 264
Genovese Drug Stores, Inc. Class A 38,777 330
* Genrad, Inc. 52,812 871
* Gensia Inc. 98,107 503
* Gentex Corp. 57,700 1,118
* Genzyme Corp. 23,538 1,186
Geon Co. 21,100 475
Georgia Gulf Corp. 28,882 845
Gerber Scientific, Inc. 41,700 672
* Geriatric & Medical Cos., Inc. 44,300 133
* Getchell Gold Corp. 44,135 1,456
Getty Petroleum Corp. 38,732 581
* Gibson Greetings, Inc. 30,700 424
* Gilead Sciences, Inc. 39,000 980
P.H. Glatfelter Co. 32,000 588
* Glenayre Technologies, Inc. 45,912 2,293
* Glendale Federal 39,605 718
* Global DirectMail Corp. 30,746 1,214
* Global Industrial Technologies, Inc. 36,400 582
* Global Marine, Inc. 126,000 1,748
* Globalink, Inc. 62,700 455
</TABLE>
8
<PAGE> 33
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Gold Reserve Corp. 63,400 $ 475
* Golden Books Family
Entertainment, Inc. 49,900 605
Golden Enterprises Inc. 54,300 438
* E. Gottschalk & Co., Inc. 59,100 399
Goulds Pumps, Inc. 31,391 806
Graco, Inc. 31,677 641
* Graham-Field Health Products Inc. 69,916 603
* Grand Casinos, Inc. 39,800 1,025
Granite State Bankshares, Inc. 2,500 46
Graphic Industries, Inc. 47,700 471
* Greater New York Savings Bank 46,300 492
Green Mountain Power Corp. 16,424 398
Green Point Financial Corp. 39,400 1,113
Greif Brothers Corp. Class A 18,200 571
* Grist Mill Co. 45,950 299
* Grossmans, Inc. 135,000 224
* GTech Holdings Corp. 34,900 1,034
Guaranty National Corp. 36,500 657
Guidant Corp. 54,166 2,668
Guilford Mills, Inc. 25,650 641
Gundle/SLT Environmental, Inc. 67,000 419
* The Gymboree Corp. 26,460 804
HBO and Co. 61,200 4,139
* HFNC Financial Corp. 40,000 657
* HFS Inc. 91,300 6,391
* HMN Financial, Inc. 27,200 447
* HMT Technology Corp. 32,000 500
HUBCO, Inc. 29,200 619
* Hadco Corp. 35,951 764
* Haemonetics Corp. 43,100 787
Hancock Fabrics, Inc. 45,600 502
Hancock Holding Co. 2,200 89
Handleman Co. 40,000 275
Handy & Harman 33,600 571
M.A. Hanna Co. 39,375 822
Hannaford Brothers Co. 35,200 1,148
* Hanover Direct, Inc. 70,200 97
Harley-Davidson, Inc. 57,654 2,371
Harman International
Industries, Inc. 14,114 695
Harper Group, Inc. 32,300 634
Harrodsburg First Financial Bancorp 9,800 153
Harsco Corp. 20,316 1,366
Harte-Hanks Communications Co. 30,300 841
Hartford Steam Boiler Inspection &
Insurance Co. 16,343 803
* Hauser Chemical Research 63,500 437
Haven Bancorp, Inc. 19,000 538
Hawaiian Electric Industries Inc. 22,935 814
Health and Retirement
Properties Trust 53,600 925
Health Care Properties Investors 21,500 726
Health Care REIT, Inc. 27,300 587
* Health Management Associates
Class A 78,855 1,597
* Health Systems 40,402 1,096
* Healthcare & Retirement Corp. 37,050 880
* HealthCare Compare Corp. 27,465 1,337
* Healthcare Services Group, Inc. 41,976 386
* Healthsource, Inc. 50,800 889
* HEALTHSOUTH Corp. 122,933 4,426
* Heartport Inc. 5,000 151
Hechinger Co. Class A 95,900 426
* Hecla Mining Co. 71,400 500
* Hector Communications Corp. 35,350 285
Heico Corp. 18,362 496
Heilig-Meyers Co. 36,568 878
* Hein-Werner Corp. 10,575 85
* Hemasure, Inc. 29,000 397
Herbalife International, Inc. 43,200 632
Hibernia Corp. Class A 96,628 1,051
* High Plains Corp. 89,497 341
* Highlands Insurance Group 31,100 583
Hillenbrand Industries, Inc. 52,950 1,972
* Hinsdale Financial Corp. 16,125 411
* Hitox Corp. of America 40,700 183
Holly Corp. 21,600 540
* Hollywood Casino Corp. 69,000 479
* Hollywood Entertainment Corp. 43,771 684
* Home Shopping Network, Inc. 73,000 876
* Homeowners Group, Inc. 35,000 68
* Hometown Buffet, Inc. 35,550 498
Hon Industries, Inc. 22,300 638
Horace Mann Educators Corp. 29,600 940
* Horizon/CMS Healthcare Corp. 62,071 799
Hormel Foods Corp. 57,700 1,543
* Horsehead Resource Development
Co., Inc. 84,900 483
* Host Marriott 132,250 1,736
* Host Marriott Services 80,890 586
Houghton Mifflin Co. 17,200 856
* House of Fabrics, Inc. 49,400 14
Hubbell Inc. Class A 2,000 124
Hubbell Inc. Class B 22,953 1,521
* Hudson Technology, Inc. 5,600 53
Hughes Supply, Inc. 14,674 510
* Human Genome Sciences, Inc. 26,000 959
J.B. Hunt Transport Services, Inc. 34,403 720
Huntington Bancshares Inc. 103,869 2,493
* Hyperion Software Corp. 43,800 539
IBP, Inc. 71,700 1,981
IBS Financial Corp. 30,100 393
ICN Pharmaceuticals, Inc. 38,185 888
</TABLE>
9
<PAGE> 34
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* ICOS Corp. 75,500 $ 651
* IDEX Corp. 16,800 638
* IDEXX Laboratories 29,800 1,166
* IDX Systems Corp. 14,000 544
IES Industries, Inc. 22,340 667
* IGI, Inc. 55,300 435
* IHOP Corp. 19,700 528
IMC Global Inc. 71,093 2,675
IMCO Recycling, Inc. 27,500 495
* ITI Technologies, Inc. 20,500 675
* ITT Educational Services, Inc. 24,300 702
Idaho Power Co. 29,600 921
Ideon Group 55,000 742
Illinois Central Corp. 46,200 1,311
* Identix, Inc. 40,000 585
Illinova Corp. 57,276 1,647
* Image Entertainment, Inc. 62,100 369
* Immulogic Pharmaceutical Corp. 52,800 472
* Immune Response 76,083 870
* Immunex Corp. 58,100 799
* Immunomedics Inc. 91,200 849
* Imo Industries, Inc. 75,300 433
* Imperial Bancorp 30,152 727
* Imperial Credit 33,737 1,031
* Inacom Corp. 29,396 553
* Incyte Pharmaceuticals, Inc. 15,600 605
Independent Bank Corp. 31,700 242
Indiana Energy, Inc. 29,400 842
Indiana Federal Corp. 7,900 159
* Inference Corp. Class A 22,900 544
* Infinity Broadcasting Corp. 63,150 1,895
* Information Resources, Inc. 50,634 614
* Information Storage Devices, Inc. 30,800 289
* Informix Corp. 112,000 2,513
Innkeepers USA Trust 45,900 453
* Input/Output, Inc. 31,900 1,033
* Inso Corp. 8,600 444
* Insurance Auto Auctions, Inc. 29,400 288
Integon Corp. 32,750 659
* Integrated Communication
Network, Inc. 25,600 27
* Integrated Device Technology Inc. 61,000 652
Integrated Health Services, Inc. 32,300 767
* Integrated Silicon Solution, Inc. 40,200 460
* Integrated Systems Consulting
Group Inc. 6,617 127
Intelligent Electronics Inc. 77,802 656
* Interactive Group, Inc. 47,900 257
Interface, Inc. 35,100 542
Interface Systems Inc. 29,300 236
* Interlink Electronics Inc. 36,800 246
* Intermet Corp. 44,800 624
* International Cabletel, Inc. 22,100 655
* International Dairy Queen, Inc.
Class A 33,612 727
* International Family Entertainment,
Inc. Class B 53,250 985
International Game Technology 94,998 1,603
* International Imaging Materials Inc. 26,300 618
* International Lottery & Totalizator
Systems, Inc. 51,600 121
International Multifoods Corp. 35,969 656
* International Rectifier Corp. 38,100 614
* International Specialty Products, Inc. 79,100 870
* Interneuron Pharmaceutical, Inc. 27,800 827
* Interpore International 64,800 389
* Intersolv 48,400 457
Interstate Bakeries 31,800 851
* Intervoice, Inc. 28,787 569
Intimate Brands, Inc. 189,200 4,328
* Intuit, Inc. 34,200 1,607
Invacare Corp. 22,843 543
* Investment Technology Group, Inc. 43,200 605
* Iomega Corp. 110,400 3,181
Ipalco Enterprises, Inc. 42,750 1,122
Irvine Apartment Communities, Inc. 32,500 654
* ISIS Pharmaceuticals, Inc. 33,674 629
* Isomedix, Inc. 29,000 431
IVAX Corp. 90,900 1,443
* J & J Snack Foods Corp. 37,000 430
J & L Specialty Steel Inc. 34,900 519
JDN Realty Corp. 23,900 535
JLG Industries, Inc. 11,400 848
JSB Financial 19,299 642
Jackpot Enterprises, Inc. 38,027 485
* Jacobs Engineering Group Inc. 32,300 852
* Jan Bell Marketing Inc. 127,700 335
* Jefferson Savings Bancorp, Inc. 16,600 430
* Jefferson Smurfit Corp. 88,300 971
John Alden Financial Group 32,300 715
John Nuveen Co. Class A 30,543 760
* Jones Apparel Group, Inc. 21,800 1,071
* Jones Intercable Inc. 45,100 598
Jones Medical Industries, Inc. 19,650 650
* Just for Feet, Inc. 14,416 765
Justin Industries, Inc. 51,200 678
* KFX, Inc. 79,150 579
* KLA Instruments Corp. 38,100 883
KN Energy, Inc. 20,850 698
* K-III Communications Corp. 97,300 1,216
* K2 Inc. 27,245 739
K U Energy Corp. 28,500 851
* K-V Pharmaceutical Co. Class A 39,500 563
* Kaiser Aluminum & Chemical Corp. 62,400 686
</TABLE>
10
<PAGE> 35
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Kaman Corp. Class A 43,200 $ 435
Kansas City Power & Light Co. 49,300 1,356
Kansas City Southern Industries, Inc. 30,336 1,301
Kaydon Corp. 20,700 890
Kellwood Co. 38,100 700
* Kelly Oil Corp. 148,000 587
Kelly Services, Inc. Class A 29,937 887
* KEMET Corp. 33,500 674
* KENETECH Corp. 44,000 25
Kennametal, Inc. 22,455 763
* Kensey Nash Corp. 29,500 391
* Kent Electronics Corp. 28,400 887
Kentucky First Bancorp, Inc. 11,600 159
* Kenwin Shops, Inc. 900 2
* Key Tronic Corp. 60,900 392
* Keystone Consolidated
Industries, Inc. 29,550 295
Keystone Financial, Inc. 19,200 648
Keystone International, Inc. 25,225 523
Kimball International, Inc. Class B 27,100 747
Kimco Realty Corp. 28,950 818
* Kinder Care Learning Centers Inc. 38,300 591
Kinetic Concepts, Inc. 78,232 1,222
* Kirby Corp. 38,100 643
Knape & Vogt Manufacturing Co. 25,562 396
* Koger Equity Inc. 46,900 627
* Kohls Corp. 55,900 2,047
* Komag, Inc. 41,000 1,076
* Koo Koo Roo, Inc. 53,800 489
* Kronos, Inc. 19,350 677
* Kulicke & Soffa Industries, Inc. 42,400 615
* L.A. Gear Inc. 136,216 426
* LCI International, Inc. 48,400 1,519
LG&E Energy Corp. 52,400 1,199
LTV Corp. 79,123 900
* LTX Corp. 77,812 481
La Quinta Inns Inc. 38,683 1,296
La-Z-Boy Chair Co. 23,900 720
Lab One Inc. 32,500 524
* Laboratory Corp. of America 93,988 705
Lafarge Corp. 50,300 1,019
Lafayette American Bank and
Trust Co. 19,200 238
* LAM Research Corp. 21,450 556
Lancaster Colony Corp. 23,710 886
Lance, Inc. 49,641 825
Landmark Bancshare, Inc. 17,000 262
* Landmark Graphics Corp. 28,900 562
* Landry's Seafood Restaurants, Inc. 32,600 795
* Lands' End, Inc. 35,800 886
* Lattice Semiconductor Corp. 29,600 714
Estee Lauder Companies Class A 43,429 1,835
Lawson Products, Inc. 22,350 563
Lawter International Inc. 63,554 794
Lawyers Title Insurance Corp. 29,750 535
* Lear Corp. 42,600 1,502
Learonal Inc. 21,000 525
* The Leather Factory, Inc. 16,000 31
* Lechters Corp. 69,500 456
Lee Enterprises, Inc. 36,800 869
Legg Mason Inc. 23,800 768
Leggett & Platt, Inc. 68,200 1,893
Lehman Brothers Holdings, Inc. 78,815 1,951
Lennar Corp. 29,250 731
Leucadia National Corp. 49,376 1,210
* Lexington Global Asset
Managers, Inc. 27,600 131
* Lexmark International Group, Inc.
Class A 56,600 1,139
Liberty Bancorp, Inc. (Illinois) 17,200 428
Liberty Bancorp, Inc. (Oklahoma) 5,000 179
Liberty Corp. 28,300 899
Liberty Financial Cos., Inc. 22,500 762
Life Bancorp Inc. 34,500 492
Life Partners Group, Inc. 36,800 837
Life Re Corp. 25,100 775
Lilly Industries Inc. Class A 41,188 700
* Lin Television 35,234 1,260
* Lincare Holdings Inc. 22,000 861
Lincoln Electric Co. Class A 22,776 683
Lincoln Telecommunications Co. 53,400 871
Linear Technology Corp. 56,304 1,686
* Liposome Co., Inc. 40,639 762
* Littelfuse, Inc. 19,700 744
* Little Switzerland, Inc. 67,000 343
* Litton Industries, Inc. 35,100 1,527
* Living Centers of America, Inc. 16,000 550
* Lo-Jack Corp. 49,200 560
Loctite Corp. 26,080 1,213
* Lone Star Steakhouse & Saloon 30,463 1,148
* Lone Star Technologies, Inc. 52,400 583
Long Island Bancorp, Inc. 21,200 648
Long Island Lighting Co. 90,265 1,512
Longview Fiber Co. 38,770 659
* Loral Space &
Communications Ltd. 146,000 1,989
Lubrizol Corp. 47,333 1,438
Lucent Technologies, Inc. 85,751 3,248
Lukens, Inc. 21,400 511
* Lynx Therapeutic 1,425 7
Lyondell Petrochemical Co. 60,554 1,461
MAF Bancorp, Inc. 14,243 345
* MAI Systems Corp. 43,775 394
MBIA, Inc. 32,200 2,508
</TABLE>
11
<PAGE> 36
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
MCN Corp. 50,600 $ 1,233
MDU Resources Group, Inc. 35,250 758
* MEMC Electronic Materials, Inc. 31,400 1,217
* MFB Corp. 10,000 141
* MFS Communications Co., Inc. 93,900 3,527
* MGI Pharma, Inc. 81,800 486
MGIC Investment Corp. 44,835 2,516
* MGM Grand Inc. 36,939 1,473
MLF Bancorp, Inc. 21,900 527
* MRV Communications Inc. 24,557 1,034
* M.S. Carriers Inc. 27,200 564
The Macerich Co. 34,500 725
* MacFrugal's Bargains Close-Outs, Inc. 42,900 761
The MacNeal-Schwendler Corp. 50,800 381
* Macromedia 29,377 646
* Mafco Consolidated 34,500 858
* Magellan Health Services Corp. 40,100 862
Magna Group 39,600 945
* Magnatek 59,600 574
Maine Public Service Co. 15,000 274
Manpower Inc. 63,400 2,488
* Manugistics Group, Inc. 28,400 472
Mapco Inc. 23,300 1,314
Marion Capital Holdings 12,500 256
Mark IV Industries, Inc. 47,502 1,075
* Mark VII Inc. 19,700 403
Mark Twain Bancshares, Inc. 22,850 848
* MarketLink, Inc. 53,600 131
* Marquest Medical Products Inc. 10,000 17
* Marquette Electronics Class A 30,900 541
Marshall & Ilsley Corp. 70,227 1,953
* Marshall Industries 27,572 772
Martin Marietta Materials, Inc. 34,700 841
* Marvel Entertainment Group 76,334 716
Maryland Federal Bancorp 18,276 536
MascoTech Inc. 58,785 867
* Mastec Inc. 33,122 830
* Matria Healthcare Inc. 74,078 625
* Maxim Integrated Products, Inc. 45,680 1,248
* Maxxam Inc. 14,400 565
* McAfee Associates, Inc. 31,300 1,536
McClatchy Newspapers, Inc. 27,560 761
McCormick & Co., Inc. 61,183 1,346
McKesson Corp. 33,306 1,586
* McMoRan Oil and Gas 100,499 267
* McWorter Technologies Inc. 29,600 525
Measurex Corp. 27,700 810
* Medaphis Corp. 49,900 1,980
* Medcross, Inc. 5,900 39
Medford Savings Bank 19,601 456
Media General, Inc. Class A 20,100 749
* Medic Computer Systems, Inc. 8,900 723
* Medical Dynamics, Inc. 63,700 209
* Medical Technology Systems, Inc. 16,100 12
* Medicis Pharmaceutical Corp. 11,700 486
* MedImmune Inc. 40,000 672
* Mediq, Inc. 28,000 165
* Medisense, Inc. 1,500 67
Meditrust 46,017 1,536
* Mednet MPC Corp. 120,500 235
* MedPartners/Mullikin, Inc. 37,700 787
* Men's Wearhouse, Inc. 32,550 1,062
Mentor Corp. 36,715 934
* Mentor Graphics Corp. 48,100 779
Mercantile Bancorp, Inc. 47,450 2,112
Mercantile Bankshares Corp. 37,250 952
* Merchants Bancshares, Inc. 19,400 310
Merchants New York
Bancorporation 5,100 143
Mercury Finance Co. 134,035 1,709
Mercury General Corp. 20,800 918
* Merisel, Inc. 100,110 379
* Merix Corp. 15,100 300
Merrill Corp. 18,500 469
Merry Land & Investment Co., Inc. 26,100 548
* Mesa Airlines, Inc. 58,500 687
Mesaba Holdings, Inc. 48,000 552
Met-Pro Corp. 22,653 422
* Meta-Software, Inc. 700 12
* Metal Management, Inc. 20,400 92
* Metrocall, Inc. 31,400 347
* Metromedia International
Group, Inc. 55,500 680
Metrowest Bank 78,538 309
* Fred Meyer, Inc. 25,100 737
Michael Foods, Inc. 50,100 579
* Michaels Stores, Inc. 40,000 685
Michigan Financial Corp. 1,800 42
* Micro Warehouse Inc. 26,900 531
* Microchip Technology, Inc. 25,650 641
* Microcom Corp. 51,676 652
* Microdyne Corp. 59,800 392
* Micron Electronics, Inc. 77,200 936
* Micronics Computers, Inc. 85,600 219
* Microtouch Systems, Inc. 24,401 445
Mid-America Apartment
Communities, Inc. 22,500 571
Mid-America Bancorp 13,300 214
* Mid-American Waste Systems, Inc. 148,500 139
* Mid Atlantic Medical Services 35,800 510
Mid Continent Bancshares, Inc. 4,600 87
Mid-Iowa Financial Corp. 10,560 67
MidAmerican Energy Co. 75,853 1,308
* Midisoft Corp. 32,500 171
</TABLE>
12
<PAGE> 37
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Midwest Grain Products 30,450 $ 381
Herman Miller, Inc. 18,871 577
* Milwaukee Land Co. 2,300 16
Minerals Technologies, Inc. 18,200 623
Minnesota Power & Light Co. 23,800 690
* Mirage Resorts, Inc. 69,850 3,772
* Mitcham Industries, Inc. 26,300 179
Mitchell Energy & Development
Corp. Class A 39,300 757
* Mobile Telecommunications
Technologies Corp. 39,400 574
* MobileMedia Corp. 47,300 568
* Model Imperial, Inc. 57,500 13
Modern Controls, Inc. 29,575 301
Modine Manufacturing Co. 22,800 601
* Mohawk Industries, Inc. 47,400 847
* Molecular Biosystems, Inc. 48,334 435
Molex, Inc. 75,267 2,409
Molex, Inc. Class A 875 26
* Molten Metal Technology 29,200 858
The Money Store 53,665 1,177
Montana Power Co. 42,600 948
Morrison Fresh Cooking Inc. 12,031 63
Morrison Health Care Inc. 34,741 486
* Morrison-Knudsen Co., Inc. 114,100 86
Mosinee Paper Corp. 22,667 615
* Mueller Industries Inc. 21,216 880
Murphy Oil Corp. 34,030 1,544
Myers Industries, Inc. 31,265 582
Mylan Laboratories, Inc. 90,450 1,560
* Myriad Genetics, Inc. 19,400 480
* Mysoftware Co. 3,000 19
N L Industries, Inc. 37,400 458
NAC Re Corp. 28,325 949
NBT Bancorp, Inc. 3,200 53
NCH Corp. 12,000 771
NGC Corp. 89,000 1,335
NIPSCO Industries, Inc. 46,470 1,870
NPC International Class A 58,600 586
NYMAGIC, Inc. 29,900 564
Nabisco Holdings Corp. Class A 41,900 1,482
* Nabors Industries, Inc. 63,500 1,032
Nashua Corp. 24,100 307
* National Auto Credit Co. 55,504 631
* National Beverage Corp. 35,920 494
* National City Bancorporation 2,400 47
National City Corp. 8,500 299
National Community Bancorp 19,198 605
National Computer Systems, Inc. 31,500 667
National Data Corp. 21,739 745
National Fuel & Gas Co. 29,800 1,073
National Health Investors REIT 27,300 894
* National Lodging Corp. 33,590 529
National Presto Industries, Inc. 12,963 493
* National R. V. Holdings, Inc. 15,450 203
National Re Holdings Corp. 25,300 955
* National Record Mart, Inc. 49,100 120
* National Steel Corp. Class B 57,100 621
* National Techteam, Inc. 17,900 208
Nationwide Health Properties, Inc. 28,300 598
* Nautica Enterprises Inc. 40,737 1,176
* Neiman Marcus Group Inc. 42,655 1,152
* Nellcor Puritan Bennett, Inc. 23,514 1,143
* Netmanage, Inc. 63,300 700
* Netscape Communications Corp. 61,400 3,830
* Network Equipment Technologies 31,547 670
* Network General Corp. 46,288 989
* Network Peripherals, Inc. 34,000 580
Nevada Power Co. 35,252 776
New England Business Service, Inc. 35,100 684
New England Electric System 49,200 1,790
New Jersey Resources Corp. 24,700 710
* New Mexico & Arizona Land Co. 38,841 490
New Plan Realty Trust 44,655 943
* New World Communications
Group, Inc. 47,100 686
New York Bancorp Inc. 12,900 329
New York State Electric & Gas Corp. 57,500 1,402
Newcor, Inc. 39,600 384
Newhall Land & Farming Co. 48,300 797
Newmil Bancorp, Inc. 23,900 170
Newmont Gold Co. 83,168 4,190
* Nexstar Pharmaceuticals Inc. 50,991 1,122
* Nextel Communications 169,493 3,231
* Nine West Group, Inc. 28,200 1,442
* Nitches Inc. 30,128 207
Noble Affiliates, Inc. 38,136 1,440
* Noble Drilling Corp. 71,100 987
Nordson Corp. 13,740 781
* Nortek, Inc. 34,852 405
North American Mortgage Co. 34,500 599
North Fork Bancorporation, Inc. 53,257 1,391
North Side Savings Bank 19,950 690
* North Star Universal Inc. 63,800 510
Northeast Utilities 96,100 1,285
Northern Trust Corp. 43,150 2,497
* Northwest Airlines Corp. Class A 68,500 2,701
Northwest Natural Gas Co. 20,800 731
Northwest Savings Bank 37,600 432
Northwestern Public Service Co. 17,900 481
Norwalk Savings Society 17,100 372
Norwest Corp. 22,750 793
* NovaCare, Inc. 111,500 850
* Novavax, Inc. 47,700 343
</TABLE>
13
<PAGE> 38
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Novellus Systems, Inc. 14,400 $ 522
* Nutrition for Life International, Inc. 30,200 445
* nVIEW Corp. 25,049 128
OEA, Inc. 27,400 1,027
* OHM Corp. 67,700 474
* Oak Technology, Inc. 52,100 492
* Oakley, Inc. 27,900 1,269
Oakwood Homes Corp. 34,200 705
Oasis Residential, Inc. 30,500 667
* Objective Systems Integrators, Inc. 24,300 887
* Oceaneering International, Inc. 47,000 711
* Octel Communications Corp. 54,300 1,066
* Office Depot, Inc. 118,625 2,417
* Officemax Inc. 62,000 1,480
* Offshore Logistics, Inc. 38,700 539
Ohio Art Co. 14,800 281
Ohio Casualty Corp. 27,856 975
Oklahoma Gas & Electric Co. 32,000 1,268
* Old America Stores, Inc. 41,200 335
Old Kent Financial Corp. 33,994 1,334
Old National Bancorp 18,271 679
Old Republic International Corp. 64,961 1,397
Olin Corp. 18,800 1,678
Olsten Corp. 54,330 1,596
Omnicare, Inc. 50,700 1,344
Omnicom Group Inc. 56,400 2,623
Omega Financial Corp. 4,900 157
Omega Healthcare Investors, Inc. 24,541 678
* Omnipoint Corp. 33,900 884
* On Assignment, Inc. 11,300 414
Onbancorp Inc. 21,100 690
One Valley Bancorp of West
Virginia Inc. 23,900 828
Oneida Ltd. 27,289 512
* Oneita Industries 47,933 150
* Ontrak Systems, Inc. 18,800 308
* Opthalmic Imaging Systems, Inc. 1,000 5
Optical Coating Laboratory, Inc. 34,685 620
Orange & Rockland Utilities, Inc. 19,600 720
* Orbital Sciences Corp. 36,800 603
* Oregon Metallurgical Corp. 19,375 567
Oregon Steel Mills, Inc. 37,100 510
* O'Reilly Automotive, Inc. 17,800 652
Oriental Bank & Trust 3,800 72
* Oriole Homes Corp. Class B 19,300 145
Orion Capital Corp. 19,900 1,015
* OrNda Healthcorp 46,200 1,109
* Orthodontic Centers of America, Inc. 15,400 404
* Orthologic Corp. 37,000 467
Oshkosh B Gosh, Inc. Class A 27,900 506
O'Sullivan Corp. 39,675 471
* Outback Steakhouse 35,854 1,232
* Outlook Group Corp. 8,000 40
Overseas Shipholding Group Inc. 51,900 941
* Owens-Illinois, Inc. 90,972 1,456
* Oxford Health Plan 55,500 2,279
* Oxigene, Inc. 20,061 507
PCA International, Inc. 25,398 419
* PDG Environment Industries 7,140 6
* PDT, Inc. 17,900 600
PHH Corp. 13,100 747
PIMCO Commercial Mortgage
Securities, Inc. 36,200 439
PMC Capital, Inc. 37,700 481
The PMI Group Inc. 26,500 1,126
* PMT Services Inc 41,365 1,187
PS Group Holdings Inc. 33,800 465
* PVF Capital Corp. 8,400 156
* Pacific Crest Capital Inc. 43,645 376
Pacific Gulf Properties, Inc. 25,500 427
Pacific Scientific Co. 33,800 532
* Pacificare Health Systems Inc.
Class A 14,800 980
* Pacificare Health Systems Inc.
Class B 8,700 591
* Paging Network Inc. 77,600 1,848
PaineWebber Group, Inc. 73,475 1,745
* Pairgain Technologies, Inc. 23,500 1,458
* Papa John's International, Inc. 15,100 732
* Parametric Technology Corp. 95,508 4,137
* Park-Ohio Industries, Inc. 30,700 602
Parker & Parsley Petroleum Co. 27,400 760
* Parker Drilling Co. 96,300 554
* Patina Oil & Gas Corp. 38,968 278
* Patina Oil & Gas Corp.
Warrants Exp. 5/1/01 19,484 32
* Patlex Corp. 9,077 356
Paul Revere Corp. 34,700 954
* Paul-Son Gaming Corp. 23,300 183
Paychex, Inc. 51,912 2,495
* Payless ShoeSource, Inc. 33,000 1,048
* Peak Technologies Group, Inc. 21,800 507
* Pec Israel Economic Corp. 31,800 576
* Pegasus Gold 47,800 586
* Penn Engineering &
Manufacturing Corp. 24,900 470
Penn Engineering &
Manufacturing Corp. Class A 8,300 196
Penncorp Financial Group Inc. 20,500 651
* Pennfed Financial Services, Inc. 27,600 423
Pennsylvania Enterprises Inc. 12,850 511
Pentair, Inc. 27,908 837
Penwest Ltd. 25,709 488
Peoples Bank 916 22
</TABLE>
14
<PAGE> 39
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Peoples Bank of Bridgeport 28,100 $ 627
* People's Choice TV Corp. 27,000 486
Peoples Heritage Financial
Group Inc. 40,759 833
People's Savings Financial Corp. 1,300 29
* Peoplesoft Inc. 37,800 2,689
* Perini Corp. 38,400 461
Perpetual Midwest Financial, Inc. 2,300 40
* Perrigo Co. 56,300 637
* Personnel Group of America, Inc. 19,598 483
* Pet Food Warehouse, Inc. 44,300 197
Petroleum Heat & Power Co. 70,700 535
Petrolite Corp. 20,300 645
* PETsMART, Inc. 38,900 1,848
* Phamis, Inc. 25,900 380
* Pharmaceutical Resources, Inc. 72,988 365
Phillips-Van Heusen Corp. 47,893 611
* Phonetel Technologies, Inc. 4,000 14
* Photronics Labs Inc. 24,098 642
* Phycor, Inc. 41,025 1,554
* Physician Corp. of America 58,600 787
* Physician Reliance Network, Inc. 34,300 772
* Physician Sales & Service, Inc. 27,400 668
* Physicians Insurance Co. of Ohio 100 2
* PictureTel Corp. 42,100 1,660
Piedmont Natural Gas, Inc. 25,014 578
Pier 1 Imports Inc. 55,235 822
* Piercing Pagoda, Inc. 22,500 408
Pikeville National Corp. 4,900 111
Pilgrim's Pride Corp. 73,200 659
* Pinnacle Systems, Inc. 24,700 519
Pinnacle West Capital Corp. 66,200 2,011
Pioneer Financial 26,100 434
Pioneer Group Inc. 34,600 930
Pioneer Standard Electronics Inc. 47,025 617
* Pittencrieff Communication, Inc. 86,000 572
Pittston Brink's Group 31,300 912
Pittston Burlington Group 28,000 605
Pittway Corp. Class A 16,716 777
* Pixar, Inc. 28,200 546
* Planet Hollywood International, Inc.
Class A 71,800 1,934
* Platinum Technology, Inc. 41,700 628
* Players International, Inc. 58,200 571
* Playboy Enterprises Inc. Class A 22,850 340
* Playboy Enterprises Inc. Class B 13,250 195
Plenum Publishing Corp. 15,300 524
* Plexus Corp. 33,650 501
Ply-Gem Industries, Inc. 36,000 490
Pogo Producing Co. 24,900 949
Polaris Industries, Inc. 20,550 701
* Policy Management Systems Corp. 14,164 708
* Polymer Group, Inc. 15,000 262
* Pool Energy Service Co. 43,867 513
Pope & Talbot, Inc. 35,700 540
Portland General Electric Co. 40,000 1,235
Post Properties, Inc. 21,700 768
Potomac Electric Power Co. 89,700 2,377
* Power Control Technologies 78,000 712
Precision Castparts Corp. 15,500 666
* Precision Systems, Inc. 6,500 76
Premark International, Inc. 46,623 863
* Premenos Technology Corp. 27,500 495
* Premier Farnell PLC ADR 28,800 601
* Premier Farnell PLC Cvt. Pfd. ADR 23,203 592
* Premiere Technologies, Inc. 20,100 626
* Premisys Communications, Inc. 18,000 1,099
* President Casinos 157,282 256
Presidential Life Corp. 66,800 689
* Presstek, Inc. 11,100 709
Price Enterprises, Inc. 42,300 648
T. Rowe Price 46,600 1,439
* Primadonna Resorts, Inc. 43,138 1,003
* Primark Corp. 17,731 578
Prime Bancorp Inc. 20,582 378
Prime Retail, Inc. 28,200 323
Production Operators Corp. 17,600 598
Progressive Bank, Inc. 11,200 330
Progressive Corp. of Ohio 54,706 2,530
* Promus Hotel Corp. 38,700 1,146
* Pronet, Inc. 25,500 314
Protective Life Corp. 23,200 815
* Protein Design Labs 27,600 618
Provident Bancorp Inc. 19,850 702
Provident Bankshares Corp. 16,275 539
Provident Cos., Inc. 34,200 1,265
* PsiNet, Inc. 48,000 549
* Psychemedics, Inc. 77,456 571
Public Service Co. of Colorado 48,500 1,782
Public Service Co. of New Mexico 32,620 669
Public Storage, Inc. 51,000 1,052
Puerto Rican Cement Co., Inc. 13,700 426
Puget Sound Power & Light Co. 51,615 1,252
Pulitzer Publishing Co. 12,425 736
* Purus, Inc. 5,100 22
* QLogic 31,100 307
* QMS, Inc. 75,200 414
Quaker State Corp. 51,200 768
* Qualcomm, Inc. 49,000 2,600
* Quality Food Centers Inc. 25,654 667
Quanex Corp. 26,900 636
* Quantum Corp. 41,800 606
* Quarterdeck Corp. 70,400 664
Queens County Bancorp, Inc. 14,000 682
</TABLE>
15
<PAGE> 40
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Questar Corp. 32,515 $ 1,106
The Quick & Reilly Group, Inc. 29,750 967
* Quickresponse Services, Inc. 14,700 428
* Quintiles Transnational Corp. 17,200 1,127
* Quorum Health Group, Inc. 37,700 994
RCSB Financial Corp. 28,100 725
RFS Hotel Investors 39,700 620
RJR Nabisco Holdings Corp. 205,142 6,359
R.L.I. Corp. 22,400 546
ROC Communities Inc. 26,600 635
* RPC Inc. 50,200 577
RPM Inc. (Ohio) 59,181 928
* Rainbow Technologies, Inc. 24,400 485
* Ralcorp Holdings Inc. 24,100 497
Raritan Bancorp, Inc. 1,300 27
* Rational Software Corp. 13,500 728
Raymond James Financial, Inc. 34,050 770
Rayonier Inc. 22,800 866
* Read-Right Corp. 40,469 569
Reader's Digest Assn., Inc. Class A 81,300 3,455
Reader's Digest Assn., Inc. Class B 400 16
* Reading & Bates Corp. 78,125 1,729
* Red Lion Hotels, Inc. 30,221 635
* Reddi Brake Supply Corp. 126,400 239
* Redman Industries, Inc. 32,754 667
Regal-Beloit Corp. 34,700 685
* Regal Cinemas, Inc. 14,600 666
* Regional Acceptance Corp. 43,650 502
Regions Financial Corp. 47,227 2,214
Reinsurance Group of America, Inc. 21,200 800
Reliance Bancorp, Inc. 22,200 348
Reliance Group Holdings 90,614 680
Reliastar Financial Corp. 27,262 1,176
* Remedy Corp. 10,900 793
* Renaissance Communications 22,650 730
* Rentrak Corp. 66,500 289
Republic Bancorp, Inc. 30,800 343
* Republic Bancshares, Inc. 25,700 316
* Republic Industries, Inc. 122,700 3,581
* Research Frontiers, Inc. 43,600 330
* Research Medical, Inc. 31,050 685
* Response Oncology, Inc. 31,400 502
* Retix 99,791 717
* Revco Drug Stores, Inc. 51,300 1,225
* Rexall Sundown, Inc. 48,397 1,319
* Rexel Inc. 41,444 585
Reynolds & Reynolds Class A 30,700 1,635
Rhone-Poulenc Rorer, Inc. 101,954 6,844
Richfood Holdings, Inc. 24,200 785
Riggs National Corp. 53,000 646
* Right Management Consultants 11,400 405
Roadway Express Inc. 10,000 143
* Robert Half International, Inc. 43,700 1,218
* Roberts Pharmaceuticals 35,400 715
Rochester Gas and Electric Corp. 29,048 625
Rock-Tenn Co. 44,500 890
* Rockefeller Center Properties Inc. 86,200 679
* Rodman and Renshaw Capital
Group, Inc. 2,239 3
* Rogers Corp. 22,800 567
* Rohr, Inc. 33,300 695
* Rollins Environmental Services, Inc. 161,500 626
Rollins, Inc. 31,100 731
Rollins Truck Leasing 64,375 668
Roosevelt Financial Group 31,600 610
Roper Industries Inc. 12,800 614
Ross Stores, Inc. 24,694 860
Rotech Medical Corp. 41,100 796
* The Rottlund Co. 50,300 340
Rouse Co. 37,700 975
* Royal Appliance Manufacturing Co. 63,100 363
Ruby Tuesday, Inc. 24,062 544
Ruddick Corp. 62,300 763
Russ Berrie, Inc. 39,100 718
Rykoff-Sexton, Inc. 43,331 623
Ryland Group, Inc. 32,700 490
* SC Bancorp 2,500 17
* SCI Systems, Inc. 27,742 1,129
SJS Bancorp, Inc. 2,900 59
SJW Corp. 10,000 332
S-K-I, Ltd. 24,400 436
* SOI Industries, Inc. 625 1
* SOS Staffing Services, Inc. 38,100 450
* SPS Transaction Services 38,600 695
* SPSS, Inc. 23,700 598
SPX Corp. 21,591 529
* S3, Inc. 65,000 804
* Safeguard Health Enterprises, Inc. 24,165 438
* Safeguard Scientifics, Inc. 34,000 2,652
* Safety First Inc. 26,900 220
* Safeway, Inc. 164,321 5,423
St. Francis Capital Corp. 16,800 418
St. Joe Corp. 23,099 1,490
St. Paul Bancorp, Inc. 32,350 748
* Salant Corp. 96,400 355
Sanderson Farms, Inc. 40,350 520
* Sanifill, Inc. 18,700 921
Santa Monica Bank 10,600 135
Saul Centers, Inc. 34,200 475
Savannah Foods & Industries, Inc. 52,800 680
* Savoy Pictures Entertainment, Inc. 96,000 504
Sbarro, Inc. 29,691 746
SCANA Corp. 79,300 2,230
* R. P. Scherer Corp. 17,526 795
</TABLE>
16
<PAGE> 41
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Scholastic Corp. 13,100 $ 815
Schuller Corp. 95,100 987
A. Schulman Inc. 26,962 657
Schult Home Corp. 25,900 489
Charles Schwab Corp. 133,762 3,277
Schweitzer-Mauduit
International, Inc. 23,500 661
* Scios, Inc. 95,668 631
Scope Industries 5,000 185
E.W. Scripps Co. 60,669 2,829
Seafield Capital Corp. 15,000 564
* Seagate Technology 78,853 3,548
* Seagull Energy Corp. 30,100 753
* Sealed Air Corp. 32,000 1,076
* Secure Computing Corp. 5,000 111
Security Bancorp 4,300 89
Security Capital Corp. 14,100 841
Security Capital Industrial Trust 65,616 1,156
Security Capital Pacific Inc. 56,797 1,235
* Security Dynamics
Technologies, Inc. 10,200 838
* Security First Network Bank 9,388 313
Selective Insurance Group 23,600 773
* Selfix, Inc. 24,120 113
Sensormatic Electronics Corp. 60,061 984
* Sequa Corp. Class A 18,000 776
* Sequent Computer Systems, Inc. 55,500 746
* Service Merchandise Co., Inc. 141,987 799
Shaw Industries, Inc. 108,700 1,427
Shelby Williams Industries, Inc. 31,700 349
* Shiva Corp. 22,800 1,824
* ShoLodge, Inc. 37,433 459
Shopko Stores, Inc. 51,655 833
* Shorewood Packaging 35,700 547
* Show Biz Pizza Time, Inc. 32,875 510
Showboat, Inc. 24,216 730
Shurgard REIT 14,500 366
* Sierra Health Services 26,569 837
* Sierra On-line, Inc. 18,728 821
Sierra Pacific Resources 33,000 837
* Sierra Semiconductor 78,788 911
Signet Banking Corp. 44,952 1,045
SIG Corp. 20,454 708
* Silicon Valley Group, Inc. 40,300 758
* Silver King Communications 27,895 833
Simmons First National 6,000 200
Simon Property Group 45,800 1,122
* Simula, Inc. 24,300 428
Sizzler International 130,650 408
Skyline Corp. 22,000 550
A.O. Smith Corp. 28,400 710
* Smith International, Inc. 30,400 916
* Smithfield Foods, Inc. 28,800 724
Smiths Food & Drug Centers, Inc.
Class B 15,230 364
J.M. Smucker Co. Class A 42,000 824
J.M. Smucker Co. Class B 1,200 22
* Sofamor/Danek Group Inc. 23,000 638
* Softdesk, Inc. 38,200 358
* Softkey International, Inc. 28,263 537
* Software Publishing Corp. 89,450 252
* Software Spectrum, Inc. 19,500 446
* Sola International, Inc. 31,800 914
* Solectron Corp. 41,700 1,579
* Solv-Ex Corp. 46,134 891
Sonat Offshore Drilling Co. 21,400 1,081
Sonoco Products 68,985 1,957
Sotheby's Holdings Class A 40,300 584
South Jersey Industries, Inc. 22,084 469
Southdown, Inc. 28,300 665
Southern National Corp. 76,451 2,427
Southern New England
Telecommunications Corp. 49,500 2,079
* Southern Pacific Rail Corp. 118,200 2,955
* Southern Union Co. 25,234 555
* Southland Corp. 308,300 939
SouthTrust Corp. 77,050 2,177
Southwest Gas Corp. 37,400 598
Southwestern Energy Co. 48,800 689
Southwestern Public Service Co. 34,100 1,113
Sovereign Bancorp, Inc. 74,203 747
Sovran Self Storage, Inc. 20,200 535
* Spacetec IMC Corp. 28,600 429
* Spaghetti Warehouse, Inc. 26,300 141
Spartan Motors, Inc. 44,300 335
* Spec's Music Inc. 43,366 76
* Spectrian Corp. 26,700 387
* Speedway Motorsports, Inc. 31,100 797
* Spelling Entertainment 66,200 505
Spiegel, Inc. Class A 80,400 950
Spieker Properties, Inc. 23,900 651
* Spyglass, Inc. 24,200 517
* Stac, Inc. 53,100 587
Standard Federal Bank 25,500 982
Standard Financial, Inc. 37,100 610
Standard Products Co. 28,750 668
The Standard Register Co. 23,587 581
Standex International Corp. 24,400 695
Stanhome, Inc. 26,500 702
* Staples, Inc. 119,961 2,332
Star Banc Corp. 22,704 1,530
* Starbucks Corp. 53,900 1,519
L. S. Starrett Co. Class A 16,700 434
L. S. Starrett Co. Class B 400 10
</TABLE>
17
<PAGE> 42
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Starter Corp. 63,000 $ 543
State Street Boston Corp. 60,208 3,071
* Station Casinos, Inc. 54,800 784
* Steris Corp. 42,108 1,345
* Sterling Chemicals, Inc. 74,800 870
* Sterling Commerce, Inc. 56,800 2,109
* Sterling Software, Inc. 27,137 2,090
Stewart & Stevenson Services, Inc. 25,482 573
Stewart Enterprises, Inc. Class A 31,800 1,002
Stewart Information Services Corp. 24,300 489
Stolt Nielsen Class B ADR 10,550 196
Stone & Webster, Inc. 20,400 696
* Stop & Shop Cos. Inc. 39,800 1,328
* Storage Technology Corp. 40,391 1,545
* StrataCom, Inc. 55,716 3,144
* Strategic Distribution, Inc. 65,900 517
* Stratosphere Corp. 30,200 182
* Stratus Computer, Inc. 17,600 510
Strawbridge & Clothier Class A 22,064 364
* StreamLogic Corp. 69,100 259
* Strouds, Inc. 69,100 272
* Structural Dynamics Research Corp. 23,800 521
Stryker Corp. 73,200 1,661
Student Loan Corp. 27,300 983
Student Loan Marketing Assn. 43,403 3,212
* Submicron Systems Corp. 42,340 368
Suffolk Bancorp 5,900 190
Summit Bancorp 70,829 2,488
Summit Properties, Inc. 32,700 642
* Summit Technology, Inc. 46,650 662
Sun Communities, Inc. 26,300 707
* Sun Healthcare Group, Inc. 67,200 958
SunAmerica Inc. 41,350 2,336
Sunbeam Corp. 67,400 994
Sundstrand Corp. 46,600 1,707
* Sungard Data Systems, Inc. 30,300 1,214
* Sunglass Hut International, Inc. 42,174 1,025
* Sunrise Medical, Inc. 37,600 724
Super Food Services, Inc. 45,100 428
* Supercuts, Inc. 55,100 455
Superior Industries
International, Inc. 21,419 568
* Swift Energy Co. 26,890 484
* Swift Transportation Co., Inc. 35,100 671
* Sybase, Inc. 54,440 1,290
* Sybron Corp. 35,200 880
* Sylvan Learning Systems, Inc. 20,400 773
* Symantec Corp. 64,212 807
* Symbol Technologies, Inc. 19,300 859
* Synopsys, Inc. 29,926 1,193
Synovus Financial Corp. 87,750 1,898
System Software Associates, Inc. 31,350 539
* Systemed Inc. 100,300 296
* Systemix, Inc. 32,050 571
* TBC Corp. 59,575 518
TCA Cable Television, Inc. 27,500 825
TCBY Enterprises, Inc. 89,900 382
TCF Financial Corp. 28,400 944
* TCSI Corp. 25,529 613
TECO Energy, Inc. 88,700 2,240
TF Financial Corp. 28,000 417
TIG Holdings, Inc. 44,500 1,291
TJ International, Inc. 30,700 541
TNP Enterprises, Inc. 20,100 570
* T.P.I. Enterprises, Inc. 105,300 378
TR Financial Corp. 21,400 584
Talbots Inc. 28,200 913
* Talley Industries, Inc. 51,700 446
Tambrands, Inc. 29,777 1,217
* Tanknology Environmental, Inc. 1,900 4
* Target Therapeutics, Inc. 15,900 652
Taubman Co. REIT 71,000 790
* Tech Data Corp. 35,178 767
* Technical Communications Corp. 14,000 207
* Technology Solutions Co. 33,481 1,161
Tecumseh Products Co. Class A 6,700 362
Tecumseh Products Co. Class B 11,800 617
* Tejas Gas Corp. 22,762 791
Tejon Ranch Co. 34,500 565
* Tekelec 39,000 507
* Telcom Semiconductor, Inc. 32,000 162
* Tele-Communications
International, Inc. Series A 89,000 1,574
Teleflex Inc. 13,400 640
Telephone & Data Systems, Inc. 44,728 2,013
* Telescan, Inc. 58,900 460
Telxon Corp. 36,300 433
* Tencor Instruments 43,100 808
* Teradyne, Inc. 62,789 1,083
Terra Industries, Inc. 61,042 755
* Tesoro Petroleum Corp. 58,800 676
Teva Pharmaceutical Industries
Ltd. ADR 15,444 586
Texas Industries, Inc. 13,257 910
* Thermedics, Inc. 30,100 753
* Thermo Cardiosystems Inc. 27,200 1,217
Thermo Electron Corp. 104,337 4,343
* Thermo Fibertek, Inc. 49,500 835
* Thermo Instrument Systems, Inc. 69,387 2,238
* Thermo Voltek 5,000 96
* Thermolase Corp. 30,200 823
* Thermotrex Corp. 16,500 813
Thiokol Corp. 23,000 909
* 360 Communications Co. 88,945 2,135
</TABLE>
18
<PAGE> 43
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Tidewater, Inc. 47,100 $ 2,067
Tiffany & Co. 12,166 888
* Todd Shipyards Corp. 73,100 548
* Toll Brothers, Inc. 28,500 467
Tootsie Roll Industries, Inc. 18,421 656
* The Topps Co., Inc. 94,440 525
The Toro Co. 18,900 626
Tosco Corp. 33,958 1,706
Total Petroleum
(North America) Ltd. 66,900 652
* Total Renal Care Holdings, Inc. 22,200 938
Total System Services, Inc. 103,076 2,358
Town & Country Trust 38,900 511
* Trans World Airlines 32,303 460
Transatlantic Holdings 18,100 1,269
Transpo Inc. 36,610 252
Transtechnology Corp. 28,800 511
* TransTexas Gas Corp. 68,000 621
* Transworld Home Healthcare, Inc. 34,600 318
* Travelers/Aetna Property Casualty
Corp. Class A 30,500 865
* Tremont Corp. 47,609 1,720
* Triarc Cos., Inc. Class A 50,900 585
Trimas Corp. 31,800 743
* Trimble Navigation Ltd. 37,400 715
* Trimedyne, Inc. 60,000 405
Trinity Industries, Inc. 32,250 1,097
* Triton Energy Ltd. 7,172 349
True North Communications 35,200 783
* Truevision Inc. 65,900 486
The Trust Co. of N.J. 36,600 483
Trustco Bank 31,176 608
Trustmark Corp. 25,700 549
* Tucson Electric Power Co. 43,300 585
* Tuesday Morning, Inc. 40,302 539
* Tultex Corp. 94,000 447
Turner Broadcasting Class A 28,200 761
Turner Broadcasting Class B 126,981 3,492
* 20th Century Industries of CA 43,600 725
* Tyco Toys, Inc. 94,898 486
* Tyler Corp. 6,000 17
Tyson Foods, Inc. 109,707 2,996
* UAL Corp. 49,900 2,682
* UCAR International, Inc. 34,800 1,449
UGI Corp. Holding Co. 24,446 538
UMB Financial Corp. 18,740 698
* UNC, Inc. 62,700 525
* URS Corp. 59,658 470
* USA Waste Service 65,994 1,955
* USG Corp. 34,500 962
UST Corp. 9,000 135
* Ultrafem, Inc. 17,133 342
* Ultralife Batteries, Inc. 17,800 251
Ultramar Corp. 36,700 1,064
* Ultratech Stepper, Inc. 34,100 637
Unifi, Inc. 52,625 1,480
* Union Corp. 20,700 409
Union Pacific Resources Group, Inc. 47,400 1,268
Union Planters Corp. 35,454 1,077
Union Texas Petroleum
Holdings, Inc. 65,900 1,285
UnionBanCal Corp. 29,094 1,535
* Unique Mobility, Inc. 73,200 311
United Asset Management Corp. 47,700 1,169
United Carolina Bancshare Corp. 31,250 707
United Cos. Finance Corp. 23,409 799
United Dominion Industries Ltd. 35,185 809
United Dominion Realty 47,500 683
* United Guardian, Inc. 31,800 89
United Healthcare Corp. 11,626 587
United Illuminating Co. 18,900 706
* United Insurance Cos., Inc. 32,400 735
* United International Holdings, Inc.
Class A 48,400 678
* United Meridian Corp. 24,100 868
United National Bancorp 7,400 237
* U.S. Bioscience 34,955 476
* U.S. Bioscience
Warrants Exp. 4/24/98 211 1
* United States Cellular 62,850 1,948
* U.S. Energy Corp. 40,770 762
* U.S. Filter Corp. 20,400 709
* U.S. Long Distance Corp. 29,836 1,054
* U.S. Industries, Inc. 39,800 960
* U.S. Robotics Corp. 66,287 5,659
* United States Satellite
Broadcasting Co., Inc. Class A 68,000 2,559
United States Trust Corp. 15,300 776
* United Stationers, Inc. 23,344 552
United Television, Inc. 15,500 1,502
* United Waste Systems, Inc. 27,000 864
United Water Resources, Inc. 48,944 630
Unitil Corp. 20,600 469
Unitrin Inc. 29,170 1,378
Universal Corp. 26,100 692
Universal Foods Corp. 20,362 751
Universal Health Realty Income 26,900 498
* Universal Health Services Class B 30,100 786
* Universal Stainless & Alloy
Products, Inc. 28,500 264
* Uranium Resources, Inc. 31,568 458
* Urohealth Systems, Inc. Class A 29,684 427
US Bancorp, Inc. 15,600 503
* US Office Products Co. 19,000 796
</TABLE>
19
<PAGE> 44
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* US Physical Therapy, Inc. 27,400 $ 264
* USDATA Corp., Inc. 29,150 525
USFreightways Corp. 32,200 630
Utilicorp United, Inc. 34,586 955
* UUnet Technologies, Inc. 24,300 1,607
* VLSI Technology, Inc. 49,900 695
* Vaalco Energy, Inc. 2,400 1
* Valassis Communication 30,200 559
Valero Energy Corp. 33,200 830
Valhi, Inc. 87,700 625
Valley National Bancorp 38,485 981
Vallicorp Holdings, Inc. 26,700 451
Valspar Corp. 17,600 810
* Value City Department Stores, Inc. 60,900 670
* Value Health, Inc. 40,252 951
* ValuJet Inc. 42,000 395
* Vanguard Cellular Systems, Inc.
Class A 30,387 667
* Varco International, Inc. 43,528 789
Varian Associates, Inc. 23,600 1,221
Vastar Resources, Inc. 73,600 2,751
* Vectra Tech Inc. 25,800 63
* Vencor, Inc. 54,165 1,652
* Ventritex Inc. 38,600 663
* VeriFone, Inc. 24,800 1,048
* Veritas Software Corp. 17,000 729
Versa Technology, Inc. 25,200 343
* Vertex Communications Corp. 28,500 531
Vesta Insurance Group, Inc. 26,800 894
* Viasoft, Inc. 20,426 1,317
* Vicor Corp. 31,381 732
* Vicorp Restaurants, Inc. 35,039 425
* VideoLan Technologies, Inc. 33,300 695
* Viking Office Products 62,900 1,970
Virco Manufacturing Corp. 53,546 522
Virginia Beach Federal
Financial Corp. 44,050 306
* Vishay Intertechnology, Inc. 49,335 1,166
Vital Signs, Inc. 29,264 607
* Vivra, Inc. 29,000 953
* Vmark Software, Inc. 48,900 455
* Vons Cos., Inc. 34,400 1,286
Vornado Realty Trust 18,498 756
Vulcan International Corp. 5,900 148
Vulcan Materials Co. 26,710 1,586
WFS Bancorp, Inc. 3,000 70
* WHX Corp. 44,564 407
* WMS Industries, Inc. 31,200 768
WPL Holdings, Inc. 25,200 828
WPS Resources Corp. 18,600 588
* WSFS Financial Corp. 52,900 390
* Waban, Inc. 36,600 874
Wabash National Corp. 27,900 495
Wackenhut Corp. 20,700 510
Wackenhut Corp. Class B 15,862 291
* Wainoco Oil Corp. 117,400 367
Walden Residential Properties, Inc. 30,000 611
* Wall Data Inc. 26,300 569
Wallace Computer Services, Inc. 17,200 1,028
* Wang Laboratories, Inc. 26,000 494
Warnaco Group 41,647 1,072
Warren Bancorp, Inc. 7,300 91
Washington Energy Co. 39,077 772
Washington Federal Inc. 33,099 683
Washington Gas Light Corp. 35,302 777
Washington Mutual Inc. 54,523 1,636
Washington National Corp. 24,107 621
Washington Post Co. Class B 8,400 2,722
Washington Real Estate Investment Trust 48,700 816
Washington Water Power Co. 43,800 816
* Waters Corp. 22,000 726
* Watson Pharmaceuticals, Inc. 36,102 1,367
Watts Industries Class A 41,900 780
Wausau Paper Mills Co. 28,300 566
* Wave Technologies International 40,800 222
* Wavephore, Inc. 58,200 480
* Weatherford Enterra Inc. 38,560 1,157
Del E. Webb Corp. 29,000 580
Webster Financial Corp. 21,080 593
Weingarten Realty Investors 20,000 775
Weis Markets, Inc. 35,500 1,158
Wellman, Inc. 24,155 565
Wellpoint Health Networks Inc.
Class A 52,901 1,653
Werner Enterprises, Inc. 34,400 890
Wesco Financial Corp. 5,358 859
West Co., Inc. 23,600 708
* Western Beef 15,360 129
* Western Digital Corp. 35,800 935
Western Gas Resources, Inc. 47,300 769
Western National Corp. 46,900 862
Western Resources, Inc. 47,286 1,413
* Western Wireless Corp. 3,000 65
* Westmark Group Holdings, Inc. 4,000 4
* Roy F. Weston, Inc. 64,600 305
* Westpoint Stevens, Inc. 28,357 681
* Westwood One, Inc. 41,500 638
* WetSeal, Inc. Class A 38,500 917
Wheelabrator Technologies 135,406 2,065
* White River 13,842 639
* Whittaker Corp. 27,900 516
John Wiley & Sons Class A 26,400 766
* Clayton Williams Energy, Inc. 30,000 291
</TABLE>
20
<PAGE> 45
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Williams Sonoma, Inc. 36,600 $ 865
Wilmington Trust Corp. 27,100 881
* Wind River Systems 21,641 752
Windmere-Durable Holdings Inc. 36,598 480
* Wisconsin Central
Transportation Corp. 38,000 1,226
Wisconsin Energy Corp. 83,861 2,421
Wiser Oil Co. 33,200 419
Witco Chemical Corp. 42,600 1,464
Wolverine World Wide, Inc. 22,402 728
* Wonderware Corp. 25,200 479
* World Color Press, Inc. 25,400 645
* World Corp. 49,900 337
World Fuel Services Corp. 23,809 432
* Worldtex Inc. 83,744 502
Wyle Electronics 16,600 550
* Wyman Gordon Corp. 59,800 1,058
* Xoma Corp. 99,144 663
* Xilinx, Inc. 53,900 1,708
Xtra Corp. 11,700 518
* Xylan Corp. 29,900 1,394
* Yahoo!, Inc. 20,700 430
Yankee Energy Systems 20,477 445
Yardville National Bancorp 4,200 67
York International Corp. 34,200 1,770
* Zebra Technologies Class A 34,000 599
* Zenith Electronics Corp. 42,757 518
Zenith National Insurance Corp. 29,560 809
* Zilog Inc. 29,400 706
Zions Bancorp. 12,728 930
Zurich Reinsurance Centre
Holdings, Inc. 20,300 639
Zurn Industries, Inc. 28,300 587
* Zycad Corp. 78,388 463
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS (98.6%)(1)
(Cost $1,244,214) 1,722,636
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
<S> <C> <C>
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.8%)
- ----------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.02%, 7/11/96 $ 1,400 $ 1,398
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.35%, 7/1/96 64,454 64,454
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $65,854) 65,852
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (102.4%)
(Cost $1,310,068) 1,788,488
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.4%)
- ----------------------------------------------------------------------
Receivables for Investment
Securities Sold 167,050
Other Assets--Notes B and E 69,073
Payables for Portfolio
Shares Redeemed (215,485)
Other Liabilities--Note E (63,368)
-------------
(42,730)
- ----------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------
Applicable to 66,494,955 outstanding
shares of beneficial interest
(unlimited authorization) $1,745,758
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE $26.25
======================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index, and Standard & Poor's Midcap 400 Index futures
contracts represents 99.4% of net assets.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AT JUNE 30, 1996, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
---------- ---------
<S> <C> <C>
PAID IN CAPITAL $1,177,451 $17.71
UNDISTRIBUTED NET
INVESTMENT INCOME 13,217 .20
ACCUMULATED NET
REALIZED GAINS 76,626 1.15
UNREALIZED APPRECIATION
(DEPRECIATION)--NOTE D:
INVESTMENT SECURITIES 478,420 7.19
FUTURES CONTRACTS 44 --
- ----------------------------------------------------------------------
NET ASSETS $1,745,758 $26.25
- ----------------------------------------------------------------------
</TABLE>
21
<PAGE> 46
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ----------------------------------------------------------------------
* A & A Foods Ltd. 2,800 $ 2
AAR Corp. 1,600 33
* ABC Rail Products Corp. 9,500 205
* ABR Information Services, Inc. 6,050 303
* ACC Corp. 7,500 362
* ADC Telecommunications, Inc. 22,500 1,007
AFLAC, Inc. 55,946 1,671
AGCO Corp. 20,200 561
AGL Resources Inc. 20,400 385
* AES Corp. 28,326 797
AK Steel Holding Corp. 10,400 407
* AM International, Inc. 44,000 94
* AMR Corp. 35,561 3,236
* APAC Teleservices, Inc. 18,411 658
* APL Ltd. 14,500 379
* APS Holding Corp. 8,800 193
ARCO Chemical Co. 38,492 2,002
* AST Research, Inc. 38,678 263
AT&T Capital Corp. 18,800 823
AT&T Corp. 640,717 39,724
AVX Corp. 35,100 649
Abbott Laboratories 313,265 13,627
* Acceptance Insurance Cos. Inc. 13,300 228
* Access Health Marketing, Inc. 8,767 416
* Accustaff, Inc. 21,900 600
* Ace Cash Express, Inc. 2,700 39
Ackerley Communications, Inc. 5,800 158
* Acme Metals, Inc. 1,600 27
* Across Data Systems, Inc 4,800 58
* Action Performance Cos., Inc. 58,268 841
* Acuson Corp. 20,512 328
* Acxiom Corp. 10,139 345
* Adaptec, Inc. 19,700 932
* Addington Resources, Inc. 11,700 291
Adobe Systems, Inc. 29,220 1,043
* Adtran, Inc. 18,800 1,335
* Advanced Magnetics, Inc. 7,000 128
* Advanced Micro Devices, Inc. 51,360 700
* Advanced Polymer Systems 23,000 216
* Advanced Technology
Laboratories, Inc. 18,039 661
* Advanced Tissue Sciences Inc. 24,858 404
Advanta Corp. Class A 16,350 831
ADVO, Inc. 300 3
Aetna Life & Casualty Co. 45,068 3,222
* Aetrium, Inc. 1,200 21
* Affiliated Computer Services, Inc. 2,000 94
H.F. Ahmanson & Co. 45,982 1,242
* Aid Auto Stores, Inc. 3,100 11
* Air and Water Technologies Corp.
Class A 18,900 113
Air Products & Chemicals, Inc. 43,626 2,519
Airborne Freight Corp. 12,090 314
* Airgas, Inc. 25,400 483
* Airsensors Inc. 11,000 102
* AirTouch Communications 196,868 5,562
Alamo Group, Inc. 11,800 215
Albank Financial Corp. 12,480 330
Albemarle Corp. 29,815 544
Alberto-Culver Co. Class B 11,923 553
Albertson's, Inc. 100,398 4,154
Alco Standard Corp. 50,633 2,291
Alex Brown, Inc. 7,780 440
Alexander & Alexander
Services, Inc. 17,745 350
Alexander & Baldwin, Inc. 12,500 303
* Alexander's, Inc. 5,023 365
Alico, Inc. 1,800 36
* All American Semiconductor, Inc. 37,200 80
Allegheny Ludlum Corp. 26,800 506
* Alleghany Corp. 2,799 537
Allegheny Power System, Inc. 48,300 1,491
* Allegiant Physician Services 6,400 2
The Allen Group, Inc. 13,700 298
Allergan, Inc. 25,118 986
* Alliance Entertainment 31,400 216
* Alliance Pharmaceutical Corp. 22,902 376
* Alliance Semiconductor Corp. 20,100 167
* Alliant Techsystems, Inc. 8,600 405
Allied Capital Commercial Corp. 15,000 299
Allied Capital Lending Corp. 26,160 348
Allied Products Corp. 9,499 270
AlliedSignal Inc. 111,942 6,395
Allmerica Financial Corp. 19,400 577
Allmerica Property & Casualty Cos. 24,300 656
Allstate Corp. 177,341 8,091
ALLTEL Corp. 74,221 2,282
* Allwaste, Inc. 22,700 105
* Altera Corp. 17,410 660
* Altron, Inc. 12,100 244
* Alumax, Inc. 17,941 545
Aluminum Co. of America 70,033 4,018
* ALZA Corp. 31,784 870
* Amax Gold, Inc. 65,793 362
AMBAC, Inc. 14,122 736
Amcast Industrial Corp. 16,496 334
AMCOL International Corp. 19,500 294
* Amdahl Corp. 50,873 547
Amerada Hess Corp. 36,276 1,945
* America Online, Inc. 32,400 1,413
* America West Airlines, Inc. 5,800 128
American Annuity Group Inc. 25,817 336
American Bankers Insurance Group 1,800 79
</TABLE>
22
<PAGE> 47
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
American Brands, Inc. 70,693 $ 3,208
* American Business Information, Inc. 16,316 298
* American Classic Voyager Co. 16,400 124
American Electric Power Co., Inc. 73,842 3,148
* American Exploration Co. 13,200 165
American Express Co. 192,075 8,571
American Financial Group, Inc. 22,300 672
* American Freightways 17,504 194
American General Corp. 81,678 2,971
American Greetings Corp. Class A 28,208 770
American Health Properties, Inc. 17,800 394
American Health Properties
Psychiatric Group 1,510 24
American Home Products Corp. 252,341 15,172
American International Group, Inc. 188,614 18,602
American List Corp. 10,043 266
* American Management
Systems, Inc. 18,300 538
* American Media Class A 78,900 414
* American National Bancorp, Inc. 2,300 23
American National Insurance Co. 9,200 596
* American Oncology Resources, Inc. 25,000 541
* American Portable Telecom, Inc. 10,000 105
* American Power Conversion Corp. 25,800 268
American Re Corp. 18,800 844
* American Standard Cos., Inc. 30,600 1,010
* American States Financial Corp. 5,000 108
American Stores Co. 57,927 2,389
* American Studios, Inc. 86,900 109
* American Travellers Corp. 13,300 305
American Water Works Co., Inc. 15,500 624
* Americredit Corp. 17,700 277
* Ameridata Technologies 21,400 340
Amerigas Partners, LP 5,500 125
* Amerisource Health Corp. 10,596 352
Ameritech Corp. 220,269 13,078
Ametek, Inc. 16,100 350
* Amgen, Inc. 105,548 5,686
Amoco Corp. 197,824 14,318
AMP, Inc. 86,644 3,477
Ampco-Pittsburgh Corp. 16,835 196
* Ampex Corp. Class A 22,700 207
* Amphenol Corp. 18,858 434
* Amre, Inc. 12,043 263
AmSouth Bancorp 22,821 824
* Amtech Corp. 25,575 193
Amvestors Financial Corp. 3,600 57
* Amylin Pharmaceuticals, Inc. 34,400 368
Anadarko Petroleum Corp. 22,200 1,288
* Analog Devices, Inc. 45,954 1,172
Anchor Bancorp Wisconsin Inc. 8,500 296
* Anchor Gaming 5,099 307
* Andrea Radio Corp. 24,900 361
* Andrew Corp. 23,130 1,252
Angelica Corp. 11,600 274
Anheuser-Busch Co., Inc. 100,870 7,565
* Anixter International Inc. 27,400 408
* AnnTaylor Stores Corp. 17,500 354
Aon Corp. 42,818 2,173
Apache Corp. 35,769 1,176
* Apogee Enterprises, Inc. 10,800 369
* Aphton Corp. 12,139 223
Apogee, Inc. 6,200 34
* Apollo Group, Inc. Class A 18,675 518
Apple Computer, Inc. 47,883 1,003
Apple South, Inc. 15,574 417
Applebee's International, Inc. 12,382 401
* Applied Bioscience
International, Inc. 31,500 329
* Applied Innovation Inc. 17,700 190
* Applied Digital Access, Inc. 17,200 178
* Applied Graphics Technologies, Inc. 5,000 80
* Applied Materials, Inc. 71,264 2,169
* Applied Microsystems Corp. 9,700 170
* Applix, Inc. 9,521 273
* Apria Healthcare 19,900 624
Aquarion Co. 4,100 101
Arbor Drugs, Inc. 18,150 375
* Arbor Software Corp. 5,800 346
Archer-Daniels-Midland Co. 206,023 3,940
Argent Bank 4,000 77
Argonaut Group, Inc. 10,881 336
* Argosy Gaming Co. 1,700 13
* Armco, Inc. 75,500 378
Armor All Products Corp. 8,800 132
Armstrong World Industries Inc. 14,120 814
Arnold Industries, Inc. 1,000 14
* Arrow Electronics, Inc. 18,899 815
Arrow Financial Corp. 3,400 73
* Arterial Vascular Engineering, Inc. 9,800 353
* ArthroCare Corp. 4,000 72
* Artisoft, Inc. 26,104 230
Arvin Industries, Inc. 4,200 93
ASARCO, Inc. 16,202 448
* Ascend Communications, Inc. 43,726 2,457
Ashland Coal Inc. 5,600 146
Ashland Inc. 25,374 1,005
* Aspect Telecommunications 15,200 756
* Aspen Technologies, Inc. 2,700 149
Associated Banc-Corp. 8,900 347
Associated Estates Realty Corp. 13,800 290
* Associated Group, Inc. 13,496 403
* Associated Group, Inc. Class B 2,000 59
* Associates First Capital Corp. 10,000 376
Astoria Financial Corp. 6,900 188
</TABLE>
23
<PAGE> 48
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Astro-Med, Inc. 26,800 $ 235
* Asyst Technologies, Inc. 10,222 183
* Atari Corp. 49,744 286
* Athena Neurosciences, Inc. 7,800 133
Atlanta Sosnoff Capital 23,000 226
Atlantic Energy, Inc. 27,800 507
Atlantic Richfield Co. 63,935 7,576
Atlantic Southeast Airlines Inc. 10,800 306
* Atlantic Tele-Network, Inc. 7,200 171
* Atlas Air, Inc. 4,100 237
* Atmel Corp. 37,100 1,120
Atmos Energy Corp. 10,250 314
* Atria Software, Inc. 6,900 347
* Atrix Laboratories, Inc. 18,489 183
* Atwood Oceanics, Inc. 12,767 567
* Aura Systems, Inc. 65,281 231
* Auspex Systems, Inc. 3,700 55
Authentic Fitness Corp. 8,000 149
Autodesk, Inc. 18,364 547
Automatic Data Processing, Inc. 115,471 4,460
* AutoZone, Inc. 58,834 2,044
* Avatar Holding, Inc. 2,700 94
Avemco Corp. 16,400 221
Avery Dennison Corp. 21,145 1,160
Aviall Inc. 24,219 224
Avnet, Inc. 17,258 727
Avon Products, Inc. 53,456 2,412
* Aztar Corp. 22,600 260
* BBN Corp. 13,400 291
* BHC Communications, Inc. Class A 9,685 947
* BISYS Group, Inc. 3,100 116
* BJ Services Co. 11,792 414
* BJ Services Co.
Warrants Exp. 4/13/00 353 5
BMC Industries, Inc. 17,563 505
* BMC Software, Inc. 19,400 1,157
BMJ Financial Corp. 14,800 200
* BOK Financial Corp. 7,539 164
* BPI Packaging Technologies Inc. 28,900 75
* BRC Holdings Inc. 3,500 128
BRE Properties Inc. Class A 17,240 336
BSB Bancorp, Inc. 8,933 231
* B.U.M. International, Inc. 24,675 12
BW/IP Inc. 18,300 350
* Baby Superstore, Inc. 9,900 165
Badger Paper Mills, Inc. 9,300 133
Baker Hughes, Inc. 56,626 1,862
J. Baker, Inc. 23,791 183
Baldor Electric Co. 7,380 166
* Baldwin Technology Class A 38,700 135
Ball Corp. 13,901 400
Ballard Medical Products 22,266 426
* Bally Entertainment Corp. 14,806 407
Baltimore Gas & Electric Co. 58,264 1,653
Banc One Corp. 180,123 6,124
Bancorp Hawaii, Inc. 16,300 587
* Banctec, Inc. 5,300 107
Bandag, Inc. 9,138 439
Bandag, Inc. Class A 538 25
Bangor Hydro-Electric Co. 24,800 267
Bank North Group 7,000 242
Bank of Boston Corp. 44,118 2,184
The Bank of New York Co., Inc. 77,636 3,979
BankAmerica Corp. 145,825 11,046
BankAtlantic Bancorp, Inc. 5,301 74
Bankers Corp. 13,896 241
Bankers Life Holding Corp. 25,200 558
Bankers Trust New York Corp. 31,375 2,318
* Banner Aerospace 5,000 42
BanPonce Corp. 10,977 495
Banta Corp. 2,500 63
* Banyan Systems, Inc. 27,400 197
C.R. Bard, Inc. 21,081 717
Barefoot, Inc. 9,400 102
* Barnes & Noble Inc. 14,676 527
Barnes Group, Inc. 2,700 138
Barnett Banks, Inc. 36,853 2,248
* Barr Labs Inc. 18,000 464
* Base Ten Systems Class A 1,500 18
Bassett Furniture Industries, Inc. 9,263 247
Battle Mountain Gold Co. Class A 40,200 291
Bausch & Lomb, Inc. 22,401 952
Baxter International, Inc. 107,260 5,068
* Bay Networks 73,821 1,901
BayBanks, Inc. 7,854 849
Bear Stearns Co., Inc. 49,014 1,158
BeautiControl Cosmetics 14,000 130
Beckman Instruments 14,768 561
Becton, Dickinson & Co. 25,507 2,047
* Bed Bath & Beyond, Inc. 33,452 889
* Belco Oil & Gas Corp. 4,100 146
Belden Inc. 6,000 180
Bell Atlantic Corp. 174,257 11,109
* Bell Industries, Inc. 11,703 196
* Bell Sports Corp. 1,800 13
BellSouth Corp. 395,808 16,772
A. H. Belo Corp. Class A 17,847 665
Bemis Co., Inc. 20,029 701
* Ben & Jerry's Homemade, Inc.
Class A 11,100 193
* Ben Franklin Retail Stores 1,643 2
Beneficial Corp. 20,614 1,157
Bergen Brunswig Corp. Class A 20,101 558
W.R. Berkley Corp. 8,600 362
</TABLE>
24
<PAGE> 49
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Berkshire Hathaway Class A 350 $ 10,745
Berkshire Realty Co., Inc. 25,500 277
* Berlitz International, Inc. 16,727 355
Berry Petroleum Class A 6,800 77
* Bertucci's Holding Corp. 51,261 269
* Best Buy, Inc. 23,300 533
* BET Holdings Inc. Class A 10,300 272
* Bethlehem Steel Corp. 41,196 489
* Bettis Corp. 6,600 34
Betz Laboratories, Inc. 12,300 540
* Beverly Enterprises Inc. 44,679 536
* Big Flower Press Holdings, Inc. 20,000 283
* Biogen, Inc. 13,600 744
* Biomatrix, Inc. 14,733 237
* Biomet, Inc. 45,247 645
* Bio-Rad Labs, Inc. Class A 9,453 339
* Biotechnology General 40,300 332
Birmingham Steel Corp. 12,900 211
Black & Decker Corp. 33,501 1,294
* Black Hawk Gaming &
Development Co., Inc. 13,300 110
Black Hills Corp. 11,700 291
Blair Corp. 3,000 71
E.W. Blanch Holdings, Inc. 13,500 268
Blimpie International, Inc. 11,700 169
Block Drug Co. Class A 6,441 267
H & R Block, Inc. 39,945 1,303
* Blyth Industries, Inc. 12,300 558
Boatmen's Bancshares, Inc. 62,167 2,487
Bob Evans Farms, Inc. 11,500 195
Boddie-Noell Properties Inc. 12,800 162
The Boeing Co. 137,119 11,946
Boise Cascade Corp. 18,556 680
* Boise Cascade Office Products Corp. 24,824 860
* Borders Group, Inc. 14,800 477
Borg-Warner Automotive, Inc. 11,700 462
* Borland International, Inc. 23,400 212
* Boston Beer Co., Inc. Class A 6,000 144
* Boston Chicken, Inc. 22,700 736
Boston Edison Co. 20,000 510
* Boston Scientific Corp. 69,251 3,116
* Boston Technology, Inc. 11,600 196
Bowater Inc. 14,800 557
W.H. Brady Class A 9,400 213
Breed Technological Inc. 15,700 351
* C. Brewer Homes, Inc. Class A 10,000 31
Briggs & Stratton Corp. 12,028 495
* Bright Voice Systems, Inc. 16,886 359
* Brinker International, Inc. 33,924 509
* Bristol Hotel Co. 13,000 423
Bristol-Myers Squibb Co. 200,412 18,037
* Broadband Technologies, Inc. 11,900 385
* Broderbund Software, Inc. 7,488 242
Brooklyn Union Gas Co. 19,650 535
* Brothers Gourmet Coffees, Inc. 59,500 208
Brown-Forman Corp. Class B 31,151 1,246
Brown Group, Inc. 16,715 290
Browning-Ferris Industries, Inc. 84,752 2,458
* Brunos Inc. 375 5
Brunswick Corp. 36,298 726
Bryn Mawr Bank Corp. 3,800 90
* Burlington Coat Factory
Warehouse Corp. 13,675 144
* Burlington Industries Inc. 24,997 353
Burlington Northern Santa Fe Corp. 60,670 4,907
Burlington Resources, Inc. 49,807 2,142
Burnham Pacific Properties, Inc. 14,000 163
* Burr-Brown Corp. 11,900 207
Bush Industries, Inc. 7,122 242
* CAI Wireless Systems, Inc. 24,400 224
CB Bancshares Inc./Hawaii 100 3
CBL & Associates Properties, Inc. 16,400 367
CBT Corp. 2,000 46
CCB Financial Corp. 9,700 501
* C-Cube Microsystems, Inc. 11,200 370
* CDI Corp. 12,400 419
* CDW Computer Centers, Inc. 6,100 422
CFB Bancorp, Inc. 4,900 96
* CFI ProServices, Inc. 25,169 632
CFSB Bancorp, Inc. 13,916 292
CIGNA Corp. 30,176 3,557
CIPSCO, Inc. 13,600 525
CKE Restaurants Inc. 13,400 342
CMAC Investment Corp. 5,713 329
* CMGI Information Services, Inc. 9,624 257
CML Group, Inc. 14,700 62
CMS Energy Corp. 36,661 1,132
* CNA Financial Corp. 24,628 2,537
CNB Bankshares, Inc. 5,800 166
CPB, Inc. 800 26
CPC International, Inc. 57,363 4,130
CPI Corp. 15,500 256
CRI Liquidating REIT, Inc. 26,200 49
CSX Corp. 83,938 4,050
* C-TEC Corp. 2,200 66
* CUC International, Inc. 75,943 2,696
* Cabletron Systems, Inc. 28,419 1,950
* Cable Design Technologies 7,052 233
Cabot Corp. 28,468 697
* Cadence Design Systems, Inc. 31,309 1,057
* Cadiz Land Co., Inc. 53,500 314
Cadmus Communications 11,800 181
* Cal Fed Bancorp Inc. 30,400 555
* Caldor Corp. 81,300 213
</TABLE>
25
<PAGE> 50
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* CalEnergy Inc. 23,800 $ 607
Calgon Carbon Corp. 34,800 470
Cali Realty Corp. 10,500 255
Caliber System Inc. 14,366 488
* California Amplifier, Inc. 9,900 225
* California Federal Bank Goodwill
Participation Certificates 2,540 22
Callaway Golf Co. 30,700 1,021
CAM Designs, Inc. 11,600 75
* Cambridge Technology Partners 21,600 660
Camco International, Inc. 13,300 451
* Cameron Ashley Building Products 32,308 380
Campbell Soup Co. 98,856 6,969
* Canandaigua Wine Co., Inc. Class A 6,508 196
* Cannondale Corp. 4,400 88
* Canonie Environmental
Services Corp. 3,600 6
Capital One Financial Corp. 26,384 752
* Capital Pacific Holdings, Inc. 10,900 35
Capital Re Corp. 12,100 445
Capitol American Financial Corp. 9,500 239
Capmac Holdings Inc. 13,000 371
Capstead Mortgage Corp. 4,900 137
* Capsure Holdings 19,490 348
Caraustar Industries, Inc. 18,300 490
Cardinal Bancshares, Inc. 4,004 162
Cardinal Health, Inc. 25,293 1,824
* CareAdvantage, Inc. 43,000 7
* Career Horizons Inc. 10,100 354
Caremark International, Inc. 29,564 746
Carlisle Co., Inc. 6,027 320
* Carmike Cinemas, Inc. Class A 13,089 353
Carnival Corp.Class A 113,547 3,279
Carolina Power & Light Co. 59,714 2,269
Carpenter Technology Corp. 11,700 374
Carr Realty Corp. 1,800 43
* Carrington Labs Inc. 8,928 230
Carter-Wallace, Inc. 17,700 259
* Cascade Communications Corp. 32,300 2,198
Case Corp. 27,826 1,336
* Casino Magic Corp. 42,300 234
* Castech Aluminum Group, Inc. 12,000 177
A.M. Castle & Co. 12,131 287
Castle & Cooke, Inc. 4,700 75
* Catalina Lighting, Inc. 10,000 56
* Catalina Marketing Corp. 7,080 648
* Catellus Development Corp. 39,200 358
Caterpillar, Inc. 77,258 5,234
* Catherines Stores 37,400 369
* Cellular Communications Series A 7,500 397
* Cellular Technical Services Co. 17,654 310
* Celtrix Labs 25,300 87
* Centennial Technologies, Inc. 5,600 167
Center Banks Inc. 14,800 204
Center Financial Corp. 12,952 314
Centerior Energy Corp. 59,100 436
Centex Corp. 11,329 353
* Centigram Communications 14,600 229
* Centocor, Inc. 33,948 1,016
Central & South West Corp. 81,820 2,373
Central Fidelity Banks, Inc. 19,175 431
Central Hudson Gas & Electric Corp. 12,800 400
Central Louisiana Electric Co. 13,508 360
Central Newspapers Inc. 14,050 527
Central Parking Corp. 7,500 222
Central Reserve Life Corp. 14,900 130
* Central Sprinkler Corp. 9,518 209
Central Vermont Public Service Corp. 3,500 45
Centura Banks, Inc. 7,800 287
Century Bancorp, Inc. Class A 800 10
* Century Communications Corp.
Class A 16,700 144
Century Telephone Enterprises, Inc. 21,680 691
* Ceridian Corp. 25,931 1,310
* Cerner Corp. 12,970 279
* Chalone Wine Group Ltd. 26,440 245
* Champion Enterprises, Inc. 12,300 257
Champion International Corp. 38,121 1,592
* Chantal Pharmaceutical Corp. 10,100 66
* Charming Shoppes, Inc. 21,279 149
Charter One Financial 23,820 829
Chase Manhattan Corp. 173,336 12,242
* Checkers Drive-In Restaurant 119,550 121
* Checkfree Corp. 12,400 247
* Checkpoint Systems, Inc. 11,674 401
Chelsea GCA Realty, Inc. 11,400 362
Chemed Corp. 4,100 153
* Chemical Fabrics Corp. 14,311 206
Chemical Finance 4,500 167
Chesapeake Corp. of Virginia 15,717 413
* Chesapeake Energy Corp. 7,900 710
Chester Valley Bancorp. 992 19
Chevron Corp. 259,800 15,328
* Cheyenne Software, Inc. 21,425 412
* Chic by H.I.S., Inc. 51,280 269
* Chicago Miniature Lamp, Inc. 1,200 45
* Chico's Fas, Inc. 18,214 182
Chiquita Brands International, Inc. 29,735 387
* Chiron Corp. 16,633 1,628
Chittenden Corp. 11,272 251
* Chris-Craft Industries, Inc. 10,325 454
Chrysler Corp. 149,043 9,241
The Chubb Corp. 69,162 3,449
Church and Dwight, Inc. 16,400 342
</TABLE>
26
<PAGE> 51
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Churchill Downs, Inc. 3,200 $ 120
* Ciber, Inc. 8,500 184
* Cidco, Inc. 10,200 360
Cilcorp, Inc. 6,600 282
Cincinnati Bell, Inc. 26,600 1,387
Cincinnati Financial Corp. 21,337 1,228
Cincinnati Milacron, Inc. 15,883 381
CINergy Corp. 61,248 1,960
Cintas Corp. 18,100 962
* Circon Corp. 16,200 191
Circuit City Stores, Inc. 37,769 1,364
* Circus Circus Enterprises Inc. 39,641 1,625
* Cirrus Logic 25,000 436
* Cisco Systems, Inc. 226,735 12,853
Citicorp 193,759 16,009
Citizens Bancorp MD 2,300 68
Citizens Corp. 15,800 296
* Citizens Utilities Co. Class A 90,567 1,042
* Citrix Systems, Inc. 12,600 477
City National Corp. 17,687 279
Clarcor Inc. 6,800 168
* Clarify, Inc. 5,600 276
Clayton Homes Inc. 37,881 758
* Clear Channel Communications 13,812 1,138
* Cliffs Drilling Co. 19,351 651
* Clintrials Research, Inc. 7,400 305
The Clorox Co. 20,688 1,833
Coachmen Industries, Inc. 11,748 411
* Coast Savings Financial, Inc. 15,000 491
Coastal Corp. 40,403 1,687
* Coastal Physician Group, Inc. 29,800 205
Coca-Cola Bottling Co. 7,700 270
The Coca-Cola Co. 994,744 48,618
Coca-Cola Enterprises, Inc. 49,945 1,729
Coeur D'Alene Mines Corp. 15,900 292
* Cognex Corp. 20,600 336
* Coherent, Inc. 7,200 377
* Coin Bill Validator Inc. 2,900 28
Cole Taylor Financial Group, Inc. 5,500 165
* Coleman Inc. 10,366 439
Colgate-Palmolive Co. 57,858 4,903
Collective Bancorp, Inc. 12,449 296
* Collins & Aikman Corp. 17,400 104
* Colonial Data Technologies Corp. 15,500 233
Colonial Gas Co. 1,200 25
* Coltec Inc. 28,000 399
Columbia Gas Systems, Inc. 20,960 1,093
Columbia/HCA Healthcare Corp. 177,569 9,478
Comair Holdings, Inc. 17,709 481
Comcast Corp. Class A 12,860 238
Comcast Corp. Class A Special 78,855 1,449
* Comdial Corp. 30,766 269
Comdisco, Inc. 26,750 712
Comerica, Inc. 46,494 2,075
* Commander Aircraft Co. 28,600 118
Commerce Bancshares, Inc. 14,320 490
Commerce Group, Inc. 11,800 246
Commercial Federal Corp. 8,800 337
Commercial Intertech Corp. 12,200 314
Commercial Metals Co. 9,600 319
* Commnet Cellular Inc. 11,600 350
Community First Bankshares 8,500 200
* Community Healthcare Systems 7,799 404
* Community Psychiatric Centers 35,610 338
* COMPAQ Computer Corp. 105,734 5,207
Compass Bancshares Inc. 13,100 431
* Compression Labs, Inc. 37,300 217
* CompUSA, Inc. 21,600 737
* CompuServe Corp. 32,900 695
Computer Associates
International, Inc. 96,414 6,870
Computer Data Systems, Inc. 9,146 206
* Computer Horizons Corp. 9,996 394
* Computer Sciences Corp. 22,049 1,648
Computer Task Group, Inc. 9,896 280
* Computervision Corp. 27,600 276
* Compuware Corp. 15,800 622
Comsat Corp. 19,100 497
ConAgra, Inc. 96,534 4,380
* Concord EFS, Inc. 14,950 534
* Cone Mills Corp. 25,300 285
* Conmed Corp. 11,468 305
Connecticut Energy Corp. 11,800 224
Connecticut Natural Gas Corp. 7,500 168
Connecticut Water Services, Inc. 9,900 250
Conrail, Inc. 30,540 2,027
Conseco Co., Inc. 15,400 616
* Consilium, Inc. 24,300 184
Consolidated Edison Co. of
New York, Inc. 93,372 2,731
Consolidated Freightways, Inc. 15,399 325
Consolidated Natural Gas Co. 36,837 1,925
Consolidated Papers 16,800 874
* Consolidated Stores, Inc. 22,459 825
Consolidated-Tomoka Land Co. 14,400 284
* Consumer Portfolio Services, Inc. 16,300 145
* ContiFinancial Corp. 15,300 451
* Continental Airlines, Inc. 13,000 803
Continental Mortgage & Equity Trust 2,250 24
* Continental Waste Industries, Inc. 13,160 294
* Continuum Co. 14,436 837
* Control Data Corp. 24,507 525
* Cooper & Chyan Technology, Inc. 11,500 249
* Cooper Cameron Corp. 9,200 403
</TABLE>
27
<PAGE> 52
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Cooper Industries, Inc. 42,443 $ 1,761
Cooper Tire & Rubber Co. 33,255 740
Adolph Coors Co. Class B 3,636 65
* Coram Healthcare Corp. 25,408 105
* CoreStaff, Inc. 5,150 229
CoreStates Financial Corp. 87,592 3,372
* Cornerstone Imaging, Inc. 20,400 148
Corning, Inc. 90,904 3,488
* Corporate Express, Inc. 26,100 1,046
* Corrections Corp. of America 14,186 993
* Cort Business Services Corp. 12,000 234
* Corvel Corp. 1,000 36
* Country Star Restaurants, Inc. 18,600 74
Countrywide Credit Industries, Inc. 40,717 1,008
* Coventry Corp. 16,555 260
* Cox Communications Class A 98,735 2,135
Cracker Barrel Old Country
Stores, Inc. 31,054 749
* Craig Corp. 14,577 186
* Jenny Craig Inc. 17,300 309
Crane Co. 14,648 601
* Cray Research, Inc. 3,083 74
* Creative Technology 38,200 32
* Credit Acceptance Corp. 23,400 497
* Cree Research, Inc. 25,748 386
Crescent Real Estate Equities, Inc. 11,500 423
Crestar Financial Corp. 17,120 914
Criimi Mae Inc. 15,900 175
Crompton & Knowles Corp. 21,500 360
Cross Timbers Oil Co. 18,500 458
* Crosscom Corp. 23,300 246
* Crown Books Corp. 25,937 327
Crown Cork & Seal Co., Inc. 49,889 2,245
Crown Crafts, Inc. 28,000 287
* Crown Vantage, Inc. 18,724 267
* Cryomedical Sciences 118,700 271
Cullen/Frost Bankers, Inc. 12,200 340
Cummins Engine Co., Inc. 14,802 598
* Curative Technologies, Inc. 11,200 298
Curtiss-Wright Corp. 3,100 167
* Custom Chrome 8,200 219
* Cyberguard Corp. 7,855 135
* CyCare Systems, Inc. 5,637 294
* Cygne Designs, Inc. 59,800 64
* Cygnus Inc. 20,512 312
* Cypress Semiconductor Corp. 35,100 421
Cyprus Amax Minerals Co. 36,052 816
* Cytec Industries, Inc. 7,918 677
Cytrx Corp. 5,900 27
* DH Technology, Inc. 3,300 77
* DII Group, Inc. 10,657 275
DMX Inc. 70,900 86
DPL, Inc. 39,550 964
DQE Inc. 30,907 850
* DSC Communications Corp. 43,984 1,322
* D. R. Horton, Inc. 25,380 266
* DSP Communications, Inc. 8,300 426
* DST Systems, Inc. 18,700 598
DT Industries, Inc. 6,000 110
DTE Energy Co. 57,077 1,762
* DVI, Inc. 7,500 118
* Daily Journal Corp. 3,100 85
* Daisytek International Corp. 6,000 249
Dames & Moore, Inc. 17,800 216
Dana Corp. 38,568 1,196
Danaher Corp. 21,600 940
Darden Restaurants Inc. 63,143 679
* Darling International, Inc. 8,500 213
* Data Broadcasting Corp. 24,500 234
* Data General Corp. 4,426 58
* Data Race, Inc. 56,622 379
* Datastream Systems, Inc. 7,100 248
* Dataware Technologies, Inc. 35,500 222
Dauphin Deposit Bank & Trust 13,720 392
* Dave and Busters 20,355 542
* Davel Communications Group, Inc. 19,843 389
* Davidson and Associates, Inc. 13,948 422
Davis Water and Waste Industry, Inc. 6,813 203
* Davox Corp. 9,200 267
Dayton-Hudson Corp. 28,701 2,960
Dean Foods Corp. 19,467 482
Dean Witter Discover & Co. 66,473 3,806
DeBartolo Realty Corp. 2,000 32
* DecisionOne Corp. 2,100 50
Deere & Co. 104,209 4,168
* Dell Computer 35,966 1,828
Delmarva Power & Light Co. 20,900 439
* Delphi Information Systems Inc. 35,900 49
Delta Air Lines, Inc. 20,488 1,701
Delta & Pine Land Co. 7,692 325
Deluxe Corp. 32,031 1,137
Dentsply International 13,100 554
* Department 56 Inc. 12,595 285
Deposit Guaranty Corp. 5,600 248
* DepoTech Corp. 4,500 113
* Designer Holdings Ltd. 4,200 112
* Desoto, Inc. 17,000 108
* Destec Energy Inc. 30,200 385
* Detroit Diesel Corp. 18,700 362
Developers Diversified Realty Corp. 10,400 332
Devon Energy Corp. 15,433 378
* Devon Group, Inc. 2,100 68
Dexter Corp. 10,800 321
Diagnostic Products Corp. 10,223 394
</TABLE>
28
<PAGE> 53
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
The Dial Corp. 35,463 $ 1,015
* Dialogic Corp. 5,700 341
* Diamond Multimedia Systems, Inc. 18,200 172
* Diamond Offshore Drilling, Inc. 22,300 1,277
Diamond Shamrock, Inc. 11,700 338
Diebold, Inc. 16,739 808
* Digi International, Inc. 11,200 297
* Digital Equipment Corp. 60,233 2,710
* Digital Microwave Corp. 15,627 259
* Digital Systems Inc. 11,795 177
Dillard Department Stores Class A 44,486 1,624
* Dime Bancorp, Inc. 62,482 812
Dimon Inc. 22,950 425
* Dionex Corp. 8,500 279
The Walt Disney Co. 270,199 16,989
Dole Food Co. 24,000 1,032
Dollar General Corp. 26,990 789
* Dollar Tree Stores, Inc. 2,750 88
Dominion Resources, Inc. 69,895 2,796
Donaldson, Lufkin & Jenrette, Inc. 21,400 663
R.R. Donnelley & Sons Co. 59,630 2,080
Donnelly Corp. 14,500 232
* Doubletree Corp. 11,700 415
* Dove Audio, Inc. 19,000 184
Dover Corp. 44,228 2,040
Dow Chemical Co. 99,636 7,572
Dow Jones & Co., Inc. 38,697 1,616
* Dravo Corp. 20,039 298
* The Dress Barn, Inc. 11,100 118
Dresser Industries, Inc. 70,747 2,087
* Drexler Technology Corp. 14,389 222
Dreyer's Grand Ice Cream, Inc. 9,700 309
* Drug Emporium, Inc. 68,942 315
Duke Power Co. 80,506 4,126
Duke Realty Investments 3,700 112
The Dun & Bradstreet Corp. 66,727 4,170
E.I. du Pont de Nemours & Co. 223,524 17,686
* Dura Pharmaceuticals, Inc. 6,193 347
Duracell International, Inc. 47,367 2,043
Duriron Co., Inc. 13,450 322
Duty Free International Inc. 6,274 96
* Dynatech Corp. 14,200 463
EG & G, Inc. 24,936 533
* EMC Corp. 89,572 1,668
* ENSCO International, Inc. 30,812 1,001
* ESS Technology, Inc. 17,600 323
* ESSEF Corp. 16,800 286
* Eagle USA Airfreight, Inc. 1,600 60
* Earthgrains Co. 8,051 264
Eastern Bancorp, Inc. 13,200 219
Eastern Enterprises 11,015 366
Eastern Utilities Associates 9,071 178
Eastman Chemical 31,230 1,901
Eastman Kodak Co. 137,962 10,727
Eaton Corp. 30,738 1,802
Eaton Vance Corp. 600 22
Echlin, Inc. 22,718 860
Echo Bay Mines Ltd. 46,884 504
* Eckerd Corp. 27,900 631
Ecolab, Inc. 25,540 843
* Edison Brothers Stores, Inc. 127,377 287
Edison International 176,703 3,114
* Edisto Resources Corp. 46,200 462
* Edo Corp. 17,800 147
* Education Alternatives, Inc. 44,400 155
A.G. Edwards & Sons, Inc. 25,333 687
* Egghead, Inc. 21,631 238
El Paso Natural Gas 14,149 545
Elcor Corp. 11,300 206
* Electro Scientific Industries, Inc. 10,400 215
* Electroglas, Inc. 4,500 64
* Electromagnetic Sciences, Inc. 13,186 192
* Electronic Arts 19,900 530
Electronic Data Systems Corp. 192,755 10,361
* Electronics for Imaging, Inc. 13,200 917
* Eljer Industries, Inc. 16,540 172
* Eltron International Inc. 7,000 190
Emerson Electric Co. 89,297 8,070
* Emmis Broadcasting Corp. Class A 3,100 154
Empire District Electric Co. 16,000 276
* Empire of Carolina, Inc. 8,900 107
* Employee Solutions, Inc. 9,600 302
* Emulex Corp. 31,650 469
Energen Corp. 11,800 261
* Energy Conversion Devices, Inc. 11,375 258
* Energy Ventures Inc. 13,900 452
Engelhard Corp. 57,273 1,317
Enova Corp. 44,100 1,020
Enron Corp. 98,914 4,043
Enron Global Power &
Pipelines L.L.C. 4,000 97
Enron Oil & Gas Co. 61,624 1,718
ENSERCH Corp. 28,012 609
Entergy Corp. 88,633 2,515
* Enterprise Systems, Inc. 9,400 260
* Epic Design Technology, Inc. 7,700 198
* Epitope Inc. 13,200 206
Equifax, Inc. 62,470 1,640
The Equitable Cos. 73,591 1,831
Equitable of Iowa Co. 13,700 486
Equitable Resources, Inc. 17,600 497
Equity Residential Properties Trust 17,500 575
* Equus Gaming Co. LP A Units 1,000 3
Erie Indemnity Co. Class A 3,000 122
</TABLE>
29
<PAGE> 54
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Essex Property Trust, Inc. 14,934 $ 321
* Esterline Technologies Corp. 9,945 249
* Ethan Allen Interiors Inc. 14,380 356
Ethyl Corp. 38,830 374
Everest Re Holdings, Inc. 18,700 484
* Evergreen Media Corp. 10,519 447
* Exabyte Corp. 12,100 158
* Excel Communications, Inc. 26,800 724
Excel Industries, Inc. 5,000 63
Excel Realty Trust, Inc. 13,400 275
Executive Risk, Inc. 11,933 456
Exide Corp. 15,700 381
* Exide Electronics Group, Inc. 15,938 152
Expeditors International of
Washington, Inc. 7,000 215
* Express America Holdings Co. 13,400 60
* Express Scripts 10,700 491
* Exstar Financial Corp. 5,800 5
* Extended Stay America, Inc. 5,300 166
Exxon Corp. 494,990 43,002
* EZCORP, Inc. 2,800 19
F & M Bancorp 700 16
FFY Financial Corp. 400 9
* FHP International Corp. 17,400 479
* FLIR Systems, Inc. 14,900 179
* FM Properties Inc. 35,900 82
* FMC Corp. 13,937 909
FMC Gold Co. 40,600 183
F.N.B. Corp. 8,964 213
FPL Group, Inc. 73,111 3,363
* FSI International, Inc. 11,800 148
* FTP Software, Inc. 16,200 132
Factory Stores of America, Inc. 19,500 178
Fair Issac & Co. 12,200 540
Family Dollar Stores, Inc. 22,700 394
Farmer Brothers, Inc. 1,500 207
Fastenal Co. 13,000 567
* Faulding Inc. 28,100 132
Fay's Drug Co. 10,075 79
Fedders Corp. 30,045 214
Fedders Corp. Class A 15,226 89
* Federal Express Corp. 22,350 1,833
Federal Home Loan Mortgage Corp. 71,251 6,092
Federal-Mogul Corp. 18,500 340
Federal National Mortgage Assn. 433,638 14,527
Federal Realty Investment Trust 4,300 97
Federal Signal Corp. 21,562 507
* Federated Department Stores 81,444 2,779
Felcor Suite Hotels, Inc. 12,000 366
Ferrellgas Partners, LP 8,200 183
Ferro Corp. 12,200 323
* Fibreboard Corp. 9,426 260
Fifth Third Bancorp 40,085 2,160
* 50-Off Stores, Inc. 7,400 7
* Figgie International Inc. Class A 15,700 235
* Figgie International Inc. Class B 900 13
* Filene's Basement Corp. 94,405 469
* FileNet Corp. 8,900 320
Fina Inc. 11,000 608
Financial Security Assurance
Holdings Ltd. 12,600 345
Fingerhut Co. 21,954 343
Finova Group, Inc. 10,902 531
* First Alert, Inc. 21,700 88
First American Bank Corp. 25,300 1,132
First American Corp. (Tenn.) 11,600 489
First American Financial Corp. 9,600 324
First Bancorp of Ohio 15,400 485
First Bank System, Inc. 56,224 3,261
First Brands Corp. 16,600 448
First Chicago NBD Corp. 126,150 4,936
First Citizens BancShares Class A 4,400 276
First Colony Corp. 19,724 611
First Commerce Bancshares Inc.
Class A 2,900 81
First Commerce Corp. 11,592 412
First Commercial Corp. 2,900 90
First Commonwealth Financial Corp. 10,100 179
First Data Corp. 88,354 7,035
First Empire State Corp. 2,800 675
* First Federal Financial Corp. 19,634 341
First Federal Savings Bank
of Colorado 9,800 129
First Financial Bancorp 7,691 251
First Financial Caribbean Corp. 8,100 163
First Financial Holdings, Inc. 4,000 74
First Financial Savings Assn. 12,900 292
First Hawaiian, Inc. 15,800 452
First Michigan Bank Corp. 14,041 439
First Midwest Bancorp 10,000 283
First Mississippi Corp. 5,400 120
First Palm Beach Bancorp 7,600 163
First Security Corp. 23,975 578
First Source Corp. 3,817 84
First Tennessee National Corp. 26,700 816
First Union Corp. 113,578 6,914
First Union Real Estate 29,200 190
* First USA Inc. 23,555 1,296
First USA Paymentech, Inc. 12,333 493
First Virginia Banks, Inc. 13,407 536
First Western Bancorp 7,822 190
Firstar Corp. 29,263 1,350
Firstbank of Illinois Co. 7,100 218
Firstbank Puerto Rico 14,125 325
</TABLE>
30
<PAGE> 55
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* FIserv, Inc. 15,600 $ 472
Fisher Scientific International Inc. 8,400 315
Fleet Financial Group, Inc. 104,581 4,549
Fleetwood Enterprises, Inc. 23,858 740
Fleming Cos., Inc. 17,839 256
FlightSafety International, Inc. 10,900 591
Florida East Coast Railway Co. 2,800 232
Florida Progress Corp. 38,650 1,343
Florida Rock Industries, Inc. 500 13
Flowers Industries, Inc. 23,150 373
Fluor Corp. 32,467 2,123
* Fluor Daniel/GTI, Inc. 11,761 134
* Flushing Financial Corp. 9,200 158
* Foamex International, Inc. 8,700 107
Food Lion Inc. Class A 172,300 1,373
Food Lion Inc. Class B 7,694 59
* Foodbrands America Inc. 5,500 71
* Foodmaker, Inc. 31,700 273
* Forcenergy Gas Exploration, Inc. 14,000 265
Ford Motor Co. 468,722 15,175
* Fore Systems, Inc. 29,200 1,053
* Foreland Corp. 900 3
Foremost Corp. of America 5,300 301
Forest City Enterprise Class A 4,300 176
* Forest Laboratories, Inc. 16,892 652
* Forstmann & Co., Inc. 3,600 1
* Fort Howard Corp. 25,285 506
Fort Wayne National Corp. 8,700 275
* Forte Software, Inc. 11,200 589
Foster Wheeler Corp. 15,654 702
* Foundation Health Co. 23,000 825
FoxMeyer Health Corp. 13,062 194
* Fractal Design Corp. 10,500 152
Franchise Finance Corp. of America 16,100 370
Franklin Electric, Inc. 4,800 172
* Franklin Electronic Publishers, Inc. 8,300 166
Franklin Resources Corp. 32,020 1,953
Freeport-McMoRan Copper &
Gold Inc. Class A 11,512 344
Freeport-McMoRan Copper &
Gold Inc. Class B 66,151 2,109
Freeport-McMoRan, Inc. 10,833 385
Fremont General Corp. 17,297 398
* Fresh America Corp. 5,000 67
* Fresh Choice, Inc. 44,800 314
* Fritz Cos., Inc. 15,500 500
Frontier Corp. 62,856 1,925
* Fruehauf Trailer Corp. 76,500 48
* Fruit of the Loom, Inc. 28,966 739
Fulton Financial Corp. 14,770 282
Fund American Enterprise
Holding Co. 4,585 371
* Fusion Systems 3,300 83
G & L Realty Corp. 20,296 271
GATX Corp. 9,400 454
* GC Cos. 7,991 298
* GRC International, Inc. 7,300 280
* GT Interactive Software Corp. 14,400 243
GTE Corp. 387,370 17,335
* Gadzooks, Inc. 2,700 87
Gainsco, Inc. 9,046 89
Arthur J. Gallagher & Co. 11,300 362
Gannett Co., Inc. 55,450 3,923
The Gap, Inc. 113,932 3,660
* Gardner Denver Machinery, Inc. 17,968 474
* Gartner Group, Inc. Class A 33,500 1,229
* Gateway 2000 Inc. 27,800 943
* Gaylord Container Corp. 32,200 252
Gaylord Entertainment Class A 38,461 1,087
* GelTex Pharmaceuticals, Inc. 12,200 226
GenCorp, Inc. 5,000 76
* Genentech, Inc. 47,583 2,492
General Binding Corp. 16,572 340
* General Datacomm Industries, Inc. 13,800 186
General Dynamics Corp. 25,001 1,550
General Electric Co. 662,547 57,310
* General Instrument 48,858 1,411
General Mills, Inc. 62,542 3,409
General Motors Corp. 301,491 15,791
General Motors Corp. Class H 38,953 2,342
* General Nutrition Cos., Inc. 28,000 488
General Public Utilities Corp. 46,524 1,640
General Re Corp. 32,329 4,922
General Signal Corp. 19,858 752
* Genesis Health Ventures Inc. 8,300 260
* Genetics Institute Inc.
Depository Shares 12,800 808
* Geneva Steel Class A 26,600 150
* Genrad, Inc. 19,288 318
* Gensia Inc. 38,014 195
* Gentex Corp. 24,024 465
Genuine Parts Co. 47,748 2,184
* Genzyme Corp. 12,089 609
* Genzyme Corp. Tissue Repair 4,700 54
Georgia Gulf Corp. 14,568 426
Georgia-Pacific Corp. 36,398 2,584
* Geotek Industries, Inc. 4,500 62
* Geoworks 3,600 126
* Getchell Gold Corp. 12,116 400
Giant Food, Inc. Class A 26,569 953
Giant Industries, Inc. 24,700 358
* Gibson Greetings, Inc. 23,000 318
Giddings & Lewis, Inc. 18,208 298
Gilbert Associates, Inc. Class A 12,000 156
</TABLE>
31
<PAGE> 56
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Gilead Sciences, Inc. 13,100 $ 329
Gillette Co. 176,845 11,031
P.H. Glatfelter Co. 21,000 386
* Glenayre Technologies, Inc. 23,325 1,165
* Glendale Federal 16,243 294
* Global DirectMail Corp. 13,800 545
* Global Industrial Technologies, Inc. 18,791 301
* Global Marine, Inc. 66,800 927
* Global Natural Resources, Inc. 22,900 375
* Global Village Communication 15,400 128
* Go Video, Inc. 37,500 42
Golden West Financial Corp. 22,807 1,277
* Good Guys, Inc. 12,500 110
The BF Goodrich Co. 20,240 756
The Goodyear Tire & Rubber Co. 60,803 2,934
* Goody's Family Clothing 19,550 203
Gorman-Rupp Co. 3,825 51
Goulds Pumps, Inc. 12,909 332
W.R. Grace & Co. 38,954 2,761
Graco, Inc. 15,198 308
* Graham-Field Health Products Inc. 26,184 226
W.W. Grainger, Inc. 19,411 1,504
* Grancare Inc. 2,800 56
* Grand Casinos, Inc. 16,600 427
Granite Construction Co. 14,200 330
Graphic Industries, Inc. 12,300 121
Great Atlantic & Pacific Tea Co., Inc. 16,701 549
Great Lakes Chemical Corp. 25,679 1,599
Great Western Financial Corp. 52,957 1,264
Green Mountain Power Corp. 9,700 235
Green Point Financial Corp. 20,900 590
Green Tree Financial Corp. 53,891 1,684
Greenfield Industries, Inc. 900 30
* Greyhound Lines, Inc. 67,400 278
* Gtech Holdings Corp. 20,100 595
Guaranty National Corp. 15,500 279
Guidant Corp. 28,678 1,412
Guilford Mills, Inc. 12,100 303
* Gulf South Medical Supply, Inc. 7,700 300
* Gupta Corp. 45,600 215
* The Gymboree Corp. 9,940 302
HBO and Co. 31,200 2,110
HCC Insurance Holdings, Inc. 9,700 218
* HCIA, Inc. 7,700 487
HF Financial Corp. 400 6
* HFS Inc. 48,100 3,367
* HNC Software, Inc. 9,200 420
HRE Properties 300 5
* HS Resources Inc. 13,600 158
* Hadco Corp. 12,949 275
* Haemonetics Corp. 4,500 82
Halliburton Co. 45,023 2,499
* Hamburger Hamlet Restaurants 24,000 3
Hancock Fabrics, Inc. 13,800 152
Handleman Co. 31,761 218
M.A. Hanna Co. 20,550 429
Hannaford Brothers Co. 21,800 711
* Harbinger Corp. 7,800 215
Harcourt General, Inc. 28,011 1,401
John H. Harland Co. 15,887 391
Harley-Davidson, Inc. 30,046 1,236
Harleysville National Corp. 1,680 43
Harman International Industries, Inc. 7,281 359
Harmon Industries, Inc. 15,300 245
Harnischfeger Industries Inc. 17,435 580
Harper Group, Inc. 5,600 110
* Harrah's Entertainment, Inc. 39,516 1,116
Harris Corp. 14,923 910
* Harry's Farmers Market, Inc. 3,000 14
Harsco Corp. 8,884 597
Harte-Hanks Communications Co. 14,700 408
Hartford Steam Boiler Inspection &
Insurance Co. 10,457 514
* Hartmarx Corp. 5,100 32
Harveys Casino Resorts 1,200 26
Hasbro, Inc. 34,103 1,219
Haverfield Corp. 6,270 117
Hawaiian Electric Industries Inc. 13,465 478
Hayes Wheels International 12,700 403
Health and Retirement
Properties Trust 26,200 452
Health Care Properties Investors 15,200 513
Health Care REIT, Inc. 10,200 219
* Health Management Associates
Class A 41,759 846
* Health Management Systems, Inc. 13,347 425
* Health Professionals, Inc. 670 3
* Health Systems 18,998 515
* Healthcare & Retirement Corp. 16,800 399
* HealthCare Compare Corp. 13,933 678
Healthcare Realty Trust Inc. 12,600 299
* Healthdyne Information
Enterprises, Inc. 17,700 90
* Healthdyne Technologies, Inc. 16,246 210
* Healthsource, Inc. 25,400 445
* HEALTHSOUTH Corp. 70,712 2,546
* Heartland Express, Inc. 12,995 352
* Heartport Inc. 3,100 93
Hechinger Co. Class A 59,300 263
Hechinger Co. Class B 5,118 32
* Hecla Mining Co. 32,800 230
Heico Corp. 8,077 218
Heilig-Meyers Co. 19,357 465
H.J. Heinz Co. 146,655 4,455
</TABLE>
32
<PAGE> 57
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Helmerich & Payne, Inc. 10,793 $ 395
Herbalife International, Inc. 22,000 322
Hercules, Inc. 43,231 2,389
* Heritage Media Corp. Class A 11,300 451
Hershey Foods Corp. 30,507 2,238
Hewlett-Packard Co. 203,100 20,234
Hibernia Corp. Class A 48,722 530
* Highlands Insurance Group 2,824 53
Highwood Properties, Inc. 5,600 155
Hilb, Rogal And Hamilton Co. 14,600 203
Hillenbrand Industries, Inc. 27,900 1,039
Hilton Hotels Corp. 19,048 2,143
* Hinsdale Financial Corp. 12,375 316
Holly Corp. 12,000 300
* Hollywood Casino Corp. 37,000 257
* Hollywood Entertainment Corp. 23,029 360
* Hollywood Park, Inc. 20,100 190
* Hologic, Inc. 10,600 465
Home Depot, Inc. 189,279 10,221
Home Financial Corp. 17,881 234
* Home Health Corp. of America 4,800 65
* Home Shopping Network, Inc. 43,300 520
Homeland Bankshares Corp. 5,600 186
Homestake Mining Co. 56,693 971
Hon Industries, Inc. 3,200 92
Honeywell, Inc. 49,929 2,721
Horace Mann Educators Corp. 9,500 302
* Horizon/CMS Healthcare Corp. 32,900 424
Horizon Financial Corp. 15,120 195
Hormel Foods Corp. 30,600 819
* Horsehead Resource
Development Co., Inc. 19,600 111
Hospitality Properties Trust 17,000 455
* Host Marriott 47,524 624
* Host Marriott Services 26,744 194
Household International, Inc. 38,212 2,904
Houston Industries, Inc. 103,300 2,544
* Hovnanian Enterprises Class A 32,500 193
Hubbell Inc. Class A 3,800 237
Hubbell Inc. Class B 9,350 619
Hudson Foods Inc. Class A 23,200 325
Hughes Supply, Inc. 7,826 272
* Human Genome Sciences, Inc. 10,400 384
* Humana, Inc. 63,980 1,144
* Hungarian Teleconstruct Corp. 12,000 38
Hunt Manufacturing Co. 16,900 251
J.B. Hunt Transport Services, Inc. 15,147 317
Huntington Bancshares Inc. 52,057 1,249
* Hutchinson Technology, Inc. 6,100 216
* Hyperion Software Corp. 14,348 177
IBP, Inc. 36,100 997
ICN Pharmaceuticals, Inc. 12,394 288
* IDX Systems Corp. 2,600 101
* IEC Electronics Corp. 33,718 253
IES Industries, Inc. 3,900 117
* IGI, Inc. 17,090 135
* IHOP Corp. 2,600 70
IMC Global Inc. 36,407 1,370
* IPC Information Systems, Inc. 1,200 21
IRT Property Co. 27,200 258
* I-STAT Corp. 7,500 142
* ITT Corp. 46,695 3,094
* ITT Educational Services, Inc. 8,400 243
ITT Hartford Group, Inc. 46,704 2,487
ITT Industries, Inc. 46,873 1,178
IWC Resources Corp. 4,200 75
Idaho Power Co. 16,100 501
* Identix, Inc. 4,300 63
Ideon Group 28,190 381
IDEX Corp. 9,750 371
* IDEXX Laboratories 14,000 548
Illinois Central Corp. 24,550 697
Illinois Tool Works, Inc. 46,853 3,168
Illinova Corp. 28,200 811
* Image Business Systems Corp. 23,400 2
* Immucor Inc. 26,946 328
* Immulogic Pharmaceutical Corp. 10,400 93
* Immune Response 72,817 833
* Immunomedics Inc. 34,000 317
* Imo Industries, Inc. 16,700 96
* Imperial Bancorp 12,603 304
* Imperial Credit 13,263 405
* Inacom Corp. 9,200 173
* Incyte Pharmaceuticals, Inc. 7,400 287
Indiana Energy, Inc. 9,600 275
* Infinity Broadcasting Corp. 30,518 916
* Information Resources, Inc. 22,835 277
* Informix Corp. 56,900 1,277
Ingersoll-Rand Co. 43,259 1,893
Inland Steel Industries, Inc. 19,424 381
* Innovative Gaming Corp. 10,050 83
* Input/Output, Inc. 16,900 547
* Insignia Financial Group 10,400 282
* Insilco Corp. 7,900 269
* Insituform Technologies Class A 14,600 114
* Inso Corp. 3,000 155
* InStent, Inc. 11,200 241
* Insurance Auto Auctions, Inc. 19,000 186
Integon Corp. 15,020 302
* Integrated Device Technology Inc. 25,200 269
Integrated Health Services, Inc. 10,300 245
* Integrated Process Equipment Corp. 15,224 310
* Integrated Silicon Solution, Inc. 3,900 45
* Integrated Systems, Inc. 3,300 130
</TABLE>
33
<PAGE> 58
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Integrated Systems Consulting
Group Inc. 1,684 $ 32
Intel Corp. 327,263 24,033
Intelligent Electronics Inc. 32,198 272
* Inter-Tel, Inc. 5,100 134
* Intercel, Inc. 1,100 22
* Interdigital Communications Corp. 34,400 292
Interface, Inc. 18,000 278
* Intergraph Corp. 32,240 395
* Interim Services, Inc. 13,545 577
* Interleaf, Inc. 5,300 34
International Business
Machines Corp. 216,716 21,455
* International Dairy Queen, Inc.
Class A 14,988 324
* International Dairy Queen, Inc.
Class B 2,300 49
* International Family Entertainment,
Inc. Class B 19,375 358
International Flavors &
Fragrances, Inc. 43,824 2,087
International Game Technology 50,102 845
* International Jensen 35,400 409
* International Lottery & Totalizator
Systems, Inc. 54,900 129
International Multifoods Corp. 15,881 290
International Paper Co. 117,546 4,335
* International Rectifier Corp. 26,700 431
* International Specialty
Products, Inc. 29,800 328
* International Technology 112,100 308
* Interneuron Pharmaceutical, Inc. 15,300 455
Interpublic Group of Cos., Inc. 30,379 1,424
Interstate Bakeries 20,000 535
* Intervoice, Inc. 14,413 285
Intimate Brands, Inc. 99,700 2,281
* Intuit, Inc. 17,000 799
Invacare Corp. 11,657 277
* Iomega Corp. 53,400 1,539
* Ionics, Inc. 6,300 296
Ipalco Enterprises, Inc. 22,650 595
Irvine Apartment Communities, Inc. 2,900 58
Irwin Financial Corp. 7,600 301
ISCO, Inc. 22,485 219
* ISIS Pharmaceuticals, Inc. 18,926 354
* Itron, Inc. 1,600 46
* I2 Technologies, Inc 3,100 132
IVAX Corp. 47,900 760
JLG Industries, Inc. 7,000 521
* JMC Group Inc. 5,200 19
* JP Foodservice, Inc. 500 12
JP Realty, Inc. 5,100 109
JSB Financial 8,301 276
Jackpot Enterprises, Inc. 4,900 62
* Jacobs Engineering Group Inc. 17,100 451
James River Corp. 33,068 872
* Jan Bell Marketing Inc. 17,400 46
* Jayhawk Acceptance Corp. 19,200 265
Jefferson Bankshares, Inc. 1,000 22
Jefferson-Pilot Corp. 28,377 1,465
Jefferson Savings Bancorp, Inc. 3,900 101
* Jefferson Smurfit Corp. 32,300 355
John Alden Financial Group 8,100 179
John Nuveen Co. Class A 4,900 122
Johnson & Johnson 531,032 26,286
Johnson Controls, Inc. 15,847 1,101
* Johnstown America Industries 11,900 40
* Jones Apparel Group, Inc. 13,600 668
Jones Medical Industries, Inc. 3,200 106
Jostens Inc. 16,240 321
Juno Lighting, Inc. 13,900 235
* Just For Feet, Inc. 6,984 371
Justin Industries, Inc. 14,200 188
* KLA Instruments Corp. 20,000 464
Kmart Corp. 191,727 2,373
KN Energy, Inc. 2,479 83
* K-III Communications Corp. 49,100 614
* K2 Inc. 12,462 338
K U Energy Corp. 15,100 451
* K-V Pharmaceutical Co. Class A 3,700 53
* Kaiser Aluminum & Chemical Corp. 33,500 369
Kaneb Pipeline Partners, LP 12,380 289
* Kaneb Services, Inc. 136,416 443
Kansas City Life Insurance Co. 3,200 178
Kansas City Power & Light Co. 24,700 679
Kansas City Southern Industries, Inc. 15,264 654
Katy Industries, Inc. 15,800 237
* Katz Media Group 17,800 256
Kaufman & Broad Home Corp. 27,242 395
Kaydon Corp. 9,400 404
Kellogg Co. 84,743 6,207
Kelly Services, Inc. Class A 18,275 541
Kennametal, Inc. 10,700 364
* Kensey Nash Corp. 5,600 74
* Kent Electronics Corp. 14,600 456
Kerr-McGee Corp. 19,953 1,215
KeyCorp 92,390 3,580
Keystone Financial, Inc. 8,162 275
Keystone International, Inc. 14,200 295
Kimball International, Inc. Class B 10,900 300
Kimberly-Clark Corp. 112,184 8,666
Kimco Realty Corp. 14,550 411
* Kinder Care Learning Centers Inc. 3,000 46
Kinetic Concepts, Inc. 17,668 276
</TABLE>
34
<PAGE> 59
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* King World Productions, Inc. 14,286 $ 520
Knight-Ridder, Inc. 19,013 1,378
* Koger Equity Inc. 19,600 262
* Kohls Corp. 27,800 1,018
* Komag, Inc. 20,000 525
* The Kroger Co. 48,997 1,935
Kuhlman Corp. 25,376 441
* LCI International, Inc. 32,526 1,021
LG&E Energy Corp. 23,600 540
LS Capital Corp. 49,900 3
LSI Industries Inc. 21,518 366
* LSI Logic Corp. 51,195 1,331
LTC Properties, Inc. 17,400 287
LTV Corp. 42,000 478
* LTX Corp. 32,788 203
La Quinta Inns Inc. 20,492 686
* Laboratory Corp. of America 57,748 433
Ladd Furniture Inc. 800 8
Lafarge Corp. 29,800 603
* LAM Research Corp. 10,150 263
Lancaster Colony Corp. 10,200 381
Lance, Inc. 7,521 125
* Lancer Corp. 19,860 444
Landauer, Inc. 11,000 232
* Landry's Seafood Restaurants, Inc. 3,300 80
* Lands' End, Inc. 15,600 386
* Landstar System 2,800 81
* Lattice Semiconductor Corp. 11,650 281
Estee Lauder Cos. Class A 22,971 971
Lawter International Inc. 16,534 207
* Layne, Inc. 16,200 207
* Lazare Kaplan International, Inc. 16,700 219
Leader Financial Corp. 7,000 312
* Lear Corp. 20,700 730
* Lechters Corp. 10,100 66
* Lectec Corp. 3,500 46
Lee Enterprises, Inc. 24,900 588
* Legal Research Center, Inc. 6,100 16
Leggett & Platt, Inc. 32,500 902
Lehman Brothers Holdings, Inc. 40,799 1,010
Lennar Corp. 14,400 360
* Leslie Fay Co. 15,200 3
Leucadia National Corp. 24,000 588
Leviathan Gas Pipeline Co. 3,700 133
* Lexmark International Group, Inc.
Class A 27,800 559
Libbey, Inc. 10,800 300
Liberty Bancorp, Inc. (Oklahoma) 7,100 254
Liberty Financial Cos., Inc. 4,200 142
* Liberty Media Group Class A 5,000 133
* Liberty Media Group Class B 1,050 30
Life Partners Group, Inc. 16,600 378
Life Re Corp. 6,600 204
* Lifecore Biomedical Inc. 12,800 270
Lillian Vernon Corp. 1,400 18
Eli Lilly & Co. 219,485 14,267
Lilly Industries Inc. Class A 19,968 339
The Limited, Inc. 107,891 2,320
* Lin Television 15,516 555
* Lincare Holdings Inc. 17,200 673
Lincoln Electric Co. Class A 9,924 298
Lincoln National Corp. 40,525 1,874
Lindsay Manufacturing Co. 4,350 173
Linear Technology Corp. 28,196 844
* Liposome Co., Inc. 21,161 397
Litchfield Financial Corp. 800 11
* Littelfuse, Inc. 6,200 234
* Litton Industries, Inc. 18,269 795
* Living Centers of America, Inc. 8,100 278
Liz Claiborne, Inc. 28,087 973
Lockheed Martin Corp. 79,205 6,653
Loctite Corp. 12,820 596
Loews Corp. 46,771 3,689
Logicon, Inc. 4,800 143
* Lone Star Steakhouse & Saloon 14,700 554
Long Island Bancorp, Inc. 2,000 61
Long Island Lighting Co. 47,835 801
* Longhorn Steaks Inc. 1,600 40
Longs Drug Stores, Inc. 4,895 218
Longview Fiber Co. 19,830 337
* Loral Space & Communications Ltd. 62,784 855
* Loronix Information Systems 27,100 86
* Louis Dreyfus Natural Gas Corp. 3,400 51
Louisiana Land & Exploration Co. 13,148 758
Louisiana-Pacific Corp. 42,464 940
Lowes Cos., Inc. 62,737 2,266
Lubrizol Corp. 24,367 740
Luby's Cafeterias, Inc. 2,259 53
Lucent Technologies, Inc. 44,649 1,691
* L. Luria & Son, Inc. 5,100 22
* Lydall, Inc. 10,600 233
* Lynx Therapeutics Inc. 226 1
Lyondell Petrochemical Co. 29,346 708
MAF Bancorp, Inc. 3,326 81
M/A/R/C, Inc. 7,800 163
MBIA, Inc. 16,300 1,269
MBNA Corp. 87,601 2,497
MCI Communications Corp. 273,599 6,994
MCN Corp. 24,700 602
* MDL Information Systems, Inc. 2,700 80
* MDT Corp. 21,500 97
* MEMC Electronic Materials, Inc. 15,300 593
* MFS Communications Co., Inc. 47,800 1,795
MGIC Investment Corp. 23,365 1,311
</TABLE>
35
<PAGE> 60
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* MGM Grand Inc. 19,561 $ 780
MLF Bancorp, Inc. 2,800 67
MMI Cos., Inc. 500 15
* MRV Communications Inc. 7,943 335
MTS Systems Corp. 17,590 363
MacDermid, Inc. 129 9
The Macerich Co. 15,800 332
* MacFrugal's Bargains Close-Outs, Inc. 15,100 268
* Macromedia 14,123 311
Madison Gas & Electric Co. 3,900 84
* Mafco Consolidated 7,744 193
* Magellan Health Services Corp. 6,000 129
Magna Group 3,448 82
* Mail-Well, Inc. 19,900 174
Maine Public Service Co. 12,000 219
Mainstreet Bankgroup, Inc. 17,400 289
Mallinckrodt Group, Inc. 29,492 1,147
Manor Care Inc. 23,841 939
Manpower Inc. 32,400 1,272
Manufactured Home
Communities, Inc. 18,600 358
Mapco Inc. 11,500 648
* Marcam Corp. 17,500 207
Marion Capital Holdings 4,600 94
Mark IV Industries, Inc. 30,509 690
Mark Twain Bancshares, Inc. 7,900 293
* Markel Corp. 4,400 405
* Marquette Electronics Class A 2,604 46
Marriott International 49,437 2,657
Marsh & McLennan Cos., Inc. 29,002 2,799
Marshall & Ilsley Corp. 36,351 1,011
* Marshall Industries 11,528 323
* Martek Biosciences Corp. 11,700 344
Martin Marietta Materials, Inc. 11,000 267
* Marvel Entertainment Group 33,234 312
Masco Corp. 63,653 1,926
MascoTech Inc. 22,015 325
Masland Corp. 1,315 34
* Mastec Inc. 12,978 325
* Material Sciences Corp. 16,250 280
* Matria Healthcare Inc. 59,900 505
Mattel, Inc. 110,364 3,159
* Maverick Tube Corp. 8,900 106
* Maxim Integrated Products, Inc. 22,400 612
* Maxicare Health Plans Inc. 9,500 181
* Maxxam Inc. 6,300 247
May Department Stores Co. 99,298 4,344
Maytag Corp. 41,688 870
* McAfee Associates, Inc. 15,703 770
McClatchy Newspapers, Inc. 11,940 330
McCormick & Co., Inc. 28,917 636
McDermott International, Inc. 21,707 453
McDonald's Corp. 278,019 12,997
McDonnell Douglas Corp. 88,433 4,289
The McGraw-Hill Cos. 39,720 1,817
McKesson Corp. 17,097 814
* McMoRan Oil and Gas 87,400 232
* McWorter Technologies Inc. 12,800 227
The Mead Corp. 21,020 1,090
* Medaphis Corp. 22,116 878
* Medar, Inc. 36,158 368
* MedCath Inc. 8,900 106
* Medcross, Inc. 7,100 47
Medford Savings Bank 9,899 230
Media General, Inc. Class A 9,800 365
* Medic Computer Systems, Inc. 3,000 244
* Medicis Pharmaceutical Corp.
Class A 1,700 71
* MedImmune Inc. 11,500 193
* MedPartners/Mullikin, Inc. 20,000 418
Meditrust 23,583 787
Medtronic, Inc. 92,960 5,206
* Megafoods Stores, Inc. 5,100 1
Mellon Bank Corp. 53,453 3,047
Melville Corp. 40,835 1,654
* Men's Wearhouse, Inc. 13,950 455
Mentor Corp. 16,481 419
* Mentor Graphics Corp. 24,000 389
Mercantile Bancorp, Inc. 24,219 1,078
Mercantile Bankshares Corp. 19,100 488
Mercantile Stores Co., Inc. 13,714 804
Merck & Co., Inc. 489,217 31,616
Mercury Finance Co. 68,777 877
Mercury General Corp. 8,100 357
* Mercury Interactive Corp. 12,600 170
Meredith Corp. 13,250 553
Meridian Diagnostics, Inc. 21,029 322
* Merisel, Inc. 34,100 129
* Merix Corp. 6,000 119
Merrill Corp. 8,400 213
Merrill Lynch & Co., Inc. 68,298 4,448
* Mesa Airlines, Inc. 46,900 551
Met-Pro Corp. 10,230 191
* Metatools Inc. 9,100 213
Methode Electronics, Inc. Class A 4,351 75
* Metra Biosystems, Inc. 4,400 23
* Metrocall, Inc. 12,300 136
* Metromail Corp. 3,000 67
* Fred Meyer, Inc. 16,000 470
Michael Foods, Inc. 23,100 267
* Micrion Corp. 28,000 399
* Micros Systems, Inc. 7,200 197
* Microsoft Corp. 236,722 28,421
</TABLE>
36
<PAGE> 61
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Microchip Technology, Inc. 11,500 $ 288
* Microcom Corp. 18,324 231
* Micro Warehouse Inc. 9,700 192
* Microfield Graphics, Inc. 13,700 57
* Micrografx, Inc. 7,400 110
* Micron Electronics, Inc. 33,800 410
Micron Technology Inc. 82,377 2,132
* Microtouch Systems, Inc. 11,299 206
Microwave Power Devices, Inc. 3,300 21
Mid Am Inc. 7,608 140
Mid-America Realty Investments 8,900 78
* Mid-American Waste Systems, Inc. 60,300 57
MidAmerican Energy Co. 40,400 697
* Mid Atlantic Medical Services 24,000 342
Mid Atlantic Realty Trust 30,950 308
Middlesex Water Co. 8,300 136
Herman Miller, Inc. 9,929 303
Millipore Corp. 17,639 739
* Milwaukee Land Co. 7,700 52
Mine Safety Appliances Co. 1,900 81
Minerals Technologies, Inc. 10,600 363
* MiniMed, Inc. 13,700 402
Minnesota Mining &
Manufacturing Co. 166,679 11,501
Minnesota Power & Light Co. 12,700 368
* Mirage Resorts, Inc. 35,750 1,931
Mississippi Chemical Corp. 3,800 76
Mitchell Energy & Development
Corp. Class A 11,200 216
Mobil Corp. 157,154 17,621
* Mobile Telecommunications
Technologies Corp. 16,900 246
* MobileMedia Corp. 12,000 144
Modine Manufacturing Co. 7,762 205
* Mohawk Industries, Inc. 18,100 324
* Molecular Biosystems, Inc. 41,000 369
Molex, Inc. 37,696 1,206
The Money Store 22,459 493
Monsanto Co. 234,882 7,634
Montana Power Co. 21,800 485
J.P. Morgan & Co., Inc. 74,636 6,316
* Morgan Products Ltd. 9,300 59
Morgan Stanley Group, Inc. 60,949 2,994
Morrison Fresh Cooking Inc. 2,718 14
Morrison Health Care Inc. 5,525 77
Morton International, Inc. 57,908 2,157
* Mortons Restaurant Group 22,344 391
Mosinee Paper Corp. 4,693 127
Motorola, Inc. 235,692 14,819
Mueller (Paul) Co. 3,400 112
* Mueller Industries Inc. 10,884 452
* MTL, Inc. 16,748 289
* Multicare Cos., Inc. 18,700 355
Murphy Oil Corp. 17,000 771
* Musicland Stores Corp. 33,200 108
* Mycogen Corp. 17,700 267
Myers Industries, Inc. 3,900 73
Mylan Laboratories, Inc. 47,650 822
NAC Re Corp. 10,600 355
NACCO Industries, Inc. Class A 4,928 273
NCH Corp. 3,300 212
* NCI Building Systems, Inc. 9,100 304
* NFO Research Inc. 17,452 408
NGC Corp. 30,300 455
NIPSCO Industries, Inc. 23,830 959
N L Industries, Inc. 4,000 49
NPC International Class A 15,100 151
* NRQ Generating U.S. Inc. 2,838 20
* NS Group Inc. 89,900 270
NUI Corp. 1,300 23
NYMAGIC, Inc. 5,000 94
Nabisco Holdings Corp. Class A 20,600 729
* Nabors Industries, Inc. 41,500 674
Nalco Chemical Co. 26,621 839
Nash-Finch Co. 5,900 94
Nashua Corp. 21,114 269
* National Auto Credit Co. 21,932 249
National Bankcorp of Alaska Inc. 4,800 299
* National City Bancorporation 7,908 156
National City Corp. 87,436 3,071
National Community Bancorp 9,902 312
National Data Corp. 10,311 353
* National Education Corp. 2,300 33
National Fuel & Gas Co. 13,700 493
National Health Investors REIT 13,400 439
* National Lodging Corp. 20,680 326
* National Medical Financial
Services Corp. 2,900 21
National Presto Industries, Inc. 2,937 112
National Re Holdings Corp. 9,700 366
* National Semiconductor Corp. 53,168 824
National Service Industries, Inc. 18,793 735
* National Steel Corp. Class B 31,900 347
NationsBank Corp. 119,421 9,867
Nationwide Health Properties, Inc. 21,800 461
* Nautica Enterprises Inc. 15,849 458
* Navistar International Corp. 32,517 321
* Neiman Marcus Group Inc. 15,145 409
* Nellcor Puritan Bennett, Inc. 11,470 558
Thomas Nelson, Inc. 16,150 216
* Neoprobe Corp. 15,200 267
* Neostar Retail Group 33,300 169
* Netcom On-line Communication
Services, Inc. 1,400 37
</TABLE>
37
<PAGE> 62
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Netmanage, Inc. 4,400 $ 49
* Netscape Communications Corp. 32,400 2,021
* Network Appliance, Inc. 9,400 275
* Network Express, Inc. 38,800 364
* Network General Corp. 26,312 562
* Neurogen Corp. 12,820 327
Nevada Power Co. 21,648 476
New England Electric System 25,900 942
New Jersey Resources Corp. 3,800 109
* New Mexico & Arizona Land Co. 19,972 252
New Plan Realty Trust 19,950 421
New York Bancorp Inc. 4,290 109
New York State Electric & Gas Corp. 28,600 697
New York Times Co. Class A 44,317 1,446
Newell Co. 63,258 1,937
Newhall Land & Farming Co. 23,100 381
Newmont Gold Co. 43,732 2,203
Newmont Mining Corp. 38,827 1,917
* News Communications, Inc. 500 1
* Nexstar Pharmaceuticals Inc. 18,441 406
* Nextel Communications 79,896 1,523
Niagara Mohawk Power Corp. 50,602 392
NICOR, Inc. 19,052 541
Nike, Inc. Class B 56,666 5,822
* Nine West Group, Inc. 14,100 721
Noble Affiliates, Inc. 20,064 757
* Noble Drilling Corp. 47,500 659
NorAm Energy Corp. 50,548 550
* Norand Corp. 8,800 175
* Nord Resources Corp. 143,800 665
Nordson Corp. 9,300 529
Nordstrom, Inc. 32,325 1,434
Norfolk Southern Corp. 50,769 4,303
* Norstan, Inc. 1,600 60
* Nortek, Inc. 16,200 188
North American Mortgage Co. 15,300 266
* North American Vaccine, Inc. 22,061 403
North Carolina Natural Gas Corp. 2,300 63
North Fork Bancorporation, Inc. 16,586 433
North Side Savings Bank 6,446 223
Northeast Utilities 51,000 682
Northern States Power Co. 26,094 1,288
Northern Trust Corp. 21,000 1,215
Northrop Grumman Corp. 22,571 1,538
* Northstar Health Services, Inc. 21,850 44
* Northwest Airlines Corp. Class A 35,300 1,392
Northwest Natural Gas Co. 2,800 98
Northwest Savings Bank 2,600 30
Norwest Corp. 145,908 5,089
* NovaCare, Inc. 30,488 232
* Novavax, Inc. 25,590 184
* Novell, Inc. 144,532 1,996
* Novellus Systems, Inc. 4,800 174
* Noxso Corp. 36,200 190
Nucor Corp. 34,081 1,725
* Nuevo Energy Co. 12,700 410
* Nu Horizons Electronics Corp. 8,200 91
* Nu-Kote Holding, Inc. Class A 17,400 286
Numerex Corp. 16,000 84
NYNEX Corp. 174,179 8,274
OEA, Inc. 10,900 409
* OHM Corp. 12,100 85
* OIS Optical Imaging Systems, Inc. 8,700 27
* Oak Technology, Inc. 18,400 174
* Oakley, Inc. 14,300 651
Oakwood Homes Corp. 19,400 400
* Objective Systems Integrators, Inc. 7,100 259
Occidental Petroleum Corp. 126,386 3,128
* OccuSystems, Inc. 2,000 74
* Oceaneering International, Inc. 24,890 376
* Octel Communications Corp. 24,600 483
* Office Depot, Inc. 62,525 1,274
* Officemax Inc. 32,900 785
Ogden Corp. 23,745 430
Ohio Casualty Corp. 13,044 457
Ohio Edison Co. 58,695 1,284
Oil-Dri Corp. of America 18,275 272
Oklahoma Gas & Electric Co. 16,100 638
* Old Dominion Freight Line, Inc. 20,515 203
Old Kent Financial Corp. 16,770 658
Old National Bancorp 7,655 285
Old Republic International Corp. 33,500 720
Olin Corp. 9,900 884
Olsten Corp. 27,825 817
* Olympic Financial Ltd. 9,900 228
Omega Financial Corp. 5,108 163
Omega Healthcare Investors, Inc. 12,500 345
Omnicare, Inc. 25,200 668
Omnicom Group Inc. 29,000 1,349
* Omnipoint Corp. 15,300 399
* On Assignment, Inc. 4,700 172
* Oncor Inc. 48,031 264
One Valley Bancorp of West
Virginia Inc. 6,000 208
* Oneita Industries 39,530 124
ONEOK, Inc. 16,606 415
Optical Coating Laboratory, Inc. 12,681 227
* Oracle Corp. 260,450 10,272
* OraVax, Inc. 2,000 16
* Orbital Sciences Corp. 13,600 223
* Oregon Metallurgical Corp. 10,225 299
Oregon Steel Mills, Inc. 17,300 238
* Organogenesis, Inc. 5,000 101
* OrNda Healthcorp 23,251 558
</TABLE>
38
<PAGE> 63
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Ortel Corp. 14,900 $ 361
* Oryx Energy Co. 40,529 659
Otter Tail Power Co. 2,302 75
* Outback Steakhouse 18,500 636
Outboard Marine Corp. 17,252 313
Overseas Shipholding Group Inc. 23,000 417
Owens & Minor, Inc. Holding Co. 25,750 299
* Owens Corning 20,481 881
* Owens-Illinois, Inc. 47,928 767
* Oxford Health Plan 28,800 1,183
Oxford Industries, Inc. 12,800 206
* Oxigene, Inc. 8,439 213
PCA International, Inc. 13,095 216
* PDT, Inc. 3,400 114
PECO Energy Corp. 87,374 2,272
PHH Corp. 6,900 393
* PHP Healthcare Corp. 8,500 268
The PMI Group Inc. 13,500 574
* PMT Services Inc 12,335 354
PNC Bank Corp. 135,840 4,041
PP&L Resources Inc. 63,149 1,492
PPG Industries, Inc. 75,344 3,673
* PRI Automation, Inc. 3,500 108
Paccar, Inc. 14,956 731
Pacific Enterprises 32,857 973
Pacific Gas & Electric Co. 164,612 3,827
Pacific Telesis Group 170,739 5,762
* Pacificare Health Systems Inc.
Class A 4,600 305
* Pacificare Health Systems Inc.
Class B 6,900 468
PacifiCorp 116,823 2,599
* Paging Network Inc. 36,700 874
PaineWebber Group, Inc. 38,800 922
* Pairgain Technologies, Inc. 13,400 832
Pall Corp. 43,958 1,060
* PanAmSat Corp. 13,300 384
PanEnergy Corp. 59,372 1,952
* Papa John's International, Inc. 2,500 121
* Paradigm Technology, Inc. 18,800 135
* Parametric Technology Corp. 49,800 2,157
* Parcplace-Digitalk Inc. 22,600 203
Park National Corp. 200 10
* Park-Ohio Industries, Inc. 2,400 47
Parker & Parsley Petroleum Co. 4,700 130
Parker Hannifin Corp. 28,412 1,204
* Parkervision, Inc. 3,700 48
Parkway Co. 1,350 21
Pathogenesis Corp. 9,100 140
* Patlex Corp. 5,000 196
Patriot American Hospitality, Inc. 11,700 347
Paul Revere Corp. 18,000 495
Paychex, Inc. 26,462 1,272
* Payless ShoeSource, Inc. 15,920 505
* Pediatrix Medical Group, Inc. 1,700 83
* The Penn Traffic Co. 1,000 8
Penn Virginia Corp. 2,500 89
Penncorp Financial Group Inc. 9,900 314
J.C. Penney Co., Inc. 88,392 4,640
Pennsylvania Enterprises Inc. 8,117 323
Pennzoil Co. 17,814 824
Pentair, Inc. 15,000 450
Penwest Ltd. 6,291 119
Peoples Bank of Bridgeport 20,800 464
Peoples Energy Corp. 13,713 459
Peoples First 1,000 23
Peoples Heritage Financial
Group Inc. 19,141 391
* Peoplesoft Inc. 18,800 1,337
Pep Boys (Manny, Moe & Jack) 24,473 832
PepsiCo, Inc. 624,622 22,096
* Perclose, Inc. 5,000 111
* Performance Food Group Co. 1,800 46
Perkin-Elmer Corp. 16,101 777
* Perrigo Co. 33,500 379
* Perseptive Biosystems 9,500 88
* Personnel Group of America, Inc. 9,602 236
* Pete's Brewing Co. 8,200 122
* Petrie Stores Corp. Litigation Trust
Units of Beneficial Interest 12,469 35
* Petro Union, Inc. 35,900 5
* Petrocorp, Inc. 38,778 380
Petrolite Corp. 6,500 206
* PETsMART, Inc. 18,776 892
Pfizer, Inc. 253,249 18,076
* Pharmaceutical Markets 21,500 212
* Pharmacopeia, Inc. 9,700 197
Phelps Dodge Corp. 26,453 1,650
* Philadelphia Consolidated
Holding Corp. 6,200 118
Philip Morris Cos., Inc. 330,671 34,390
Phillips Petroleum Co. 104,403 4,372
Phillips-Van Heusen Corp. 15,800 201
* Phoenix Network, Inc. 3,300 16
* Photronics Labs Inc. 10,402 277
* Phycor, Inc. 22,500 852
* Physician Corp. of America 16,700 224
* Physician Reliance Network, Inc. 18,600 418
* Physician Sales & Service, Inc. 13,800 336
* Physicians Insurance Co. Of Ohio 7,900 190
* Physio-Control International Corp. 14,700 258
* PictureTel Corp. 21,100 832
Piedmont Natural Gas, Inc. 4,600 106
Pinnacle Bancorp Group Inc. 1,100 33
</TABLE>
39
<PAGE> 64
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Pinnacle Micro Inc. 22,600 $ 196
Pinnacle West Capital Corp. 34,900 1,060
Pioneer Financial 11,700 194
Pioneer Group Inc. 12,200 328
Pioneer Hi Bred International 32,824 1,735
Piper Jaffray Cos., Inc. 23,100 289
Pitney Bowes, Inc. 59,435 2,838
Pitt Des Moines, Inc. 2,600 110
* Pittencrieff Communication, Inc. 74,869 498
Pittsburgh & West Virginia Railroad 3,000 21
Pittston Brink's Group 24,300 708
Pittston Burlington Group 10,750 232
Pittway Corp. Class A 8,334 387
* Pixar, Inc. 19,600 380
* Plains Resources 27,883 362
* Planet Hollywood International, Inc.
Class A 33,600 905
* Plantronics, Inc. 10,400 382
* Platinum Software Co. 25,100 180
* Platinum Technology, Inc. 17,600 265
* Playboy Enterprises Inc. Class B 19,300 285
Plenum Publishing Corp. 6,300 216
Ply-Gem Industries, Inc. 17,200 234
Pogo Producing Co. 15,900 606
Polaris Industries, Inc. 11,000 375
Polaroid Corp. 17,358 792
* Policy Management Systems Corp. 10,670 533
Portland General Electric Co. 20,400 630
Post Properties, Inc. 6,700 237
Potlatch Corp. 10,696 418
Potomac Electric Power Co. 45,000 1,192
* Power Control Technologies 26,679 243
Praxair, Inc. 60,433 2,553
Precision Castparts Corp. 9,550 411
Premark International, Inc. 24,667 456
* Premier Farnell PLC ADR 9,318 194
* Premier Farnell PLC Cvt. Pfd. ADR 7,507 191
* Premisys Communications, Inc. 11,400 696
* Presstek, Inc. 5,800 370
* Price/Costco Inc. 77,361 1,663
T. Rowe Price 15,600 482
Price REIT, Inc. 4,700 152
* Pride Petroleum Services 7,100 100
* Primadonna Resorts, Inc. 19,462 452
* Primark Corp. 9,369 306
Prime Bancorp Inc. 10,430 192
* Prime Energy Corp. 3,000 11
* Primedex Health Systems Inc. 43,000 26
Procter & Gamble Co. 273,354 24,773
* Progress Software Corp. 11,000 179
Progressive Corp. of Ohio 28,900 1,337
* Project Software &
Development, Inc. 700 33
* Promus Hotel Corp. 23,690 702
Protective Life Corp. 15,000 527
* Proteon Inc. 36,100 144
* Protocol Systems Inc. 5,000 115
* Provident American Corp. 33,800 344
Provident Bancorp Inc. 8,350 295
Provident Cos., Inc. 20,500 758
Providian Corp. 37,399 1,603
* Proxymed Pharmacy, Inc. 17,500 323
* PsiNet, Inc. 19,200 220
Public Service Co. of Colorado 23,700 871
Public Service Co. of New Mexico 23,680 485
Public Service Co. of North
Carolina, Inc. 5,000 85
Public Service Enterprise Group Inc. 96,225 2,634
Public Storage, Inc. 28,600 590
Public Storage Properties XI Class A 800 15
Puerto Rican Cement Co., Inc. 8,000 249
Puget Sound Power & Light Co. 25,385 615
Pulitzer Publishing Co. 5,300 314
Pulte Corp. 14,508 388
* Pure Software, Inc. 11,200 377
* QLogic 26,127 258
Quaker Chemical Corp. 4,100 51
The Quaker Oats Co. 53,410 1,823
* Qualcomm, Inc. 24,700 1,311
* Quality Food Centers Inc. 6,368 165
* Quality Systems, Inc. 8,100 145
* Quantum Corp. 11,800 171
Questar Corp. 16,285 554
The Quick & Reilly Group, Inc. 11,221 365
* Quickresponse Services, Inc. 7,200 210
* Quiksilver, Inc. 900 27
* Quintel Entertainment, Inc. 12,700 132
* Quintiles Transnational Corp. 8,600 563
* Quorum Health Group, Inc. 14,700 388
RFS Hotel Investors 1,000 16
RJR Nabisco Holdings Corp. 108,719 3,370
R.L.I. Corp. 3,400 83
RPM Inc. (Ohio) 30,750 482
* RailTex, Inc. 13,506 344
* Rainbow Technologies, Inc. 7,100 141
* Rainforest Cafe, Inc. 7,900 394
* Ralcorp Holdings Inc. 18,657 385
Ralston-Ralston Purina Group 41,685 2,673
* Ramtron International Corp. 32,100 223
* Rational Software Corp. 6,900 372
Raychem Corp. 17,665 1,270
Raymond Corp. 11,639 201
Raymond James Financial, Inc. 15,950 361
</TABLE>
40
<PAGE> 65
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Rayonier Inc. 15,275 $ 580
Raytheon Co. 95,372 4,923
* Read-Right Corp. 18,631 262
Reader's Digest Assn., Inc. Class A 40,500 1,721
Reader's Digest Assn., Inc. Class B 1,500 59
* Reading & Bates Corp. 24,795 548
Realty Income Corp. 17,100 355
* Recovery Engineering, Inc. 20,400 263
* Red Lion Hotels, Inc. 12,479 262
* Reddi Brake Supply Corp. 28,900 55
* Redhook Ale Brewery, Inc. 12,900 297
* Redman Industries, Inc. 13,846 282
Redwood Trust, Inc. 4,600 128
Reebok International Ltd. 28,221 949
Regal-Beloit Corp. 16,300 322
* Regal Cinemas, Inc. 2,300 105
* Regency Health Services, Inc. 22,500 256
Regions Financial Corp. 23,710 1,111
Regis Corp. 21,000 648
Reinsurance Group of America, Inc. 8,300 313
Reliable Life Insurance Co. Class A 400 26
Reliance Bancorp, Inc. 4,500 71
Reliance Group Holdings 59,686 448
Reliastar Financial Corp. 14,449 623
* Remedy Corp. 6,250 455
* Renaissance Communications 16,350 527
* Republic Industries, Inc. 64,720 1,889
Republic New York Corp. 21,431 1,334
* Research Medical, Inc. 13,190 291
* Retix 31,809 229
* Revco Drug Stores, Inc. 27,200 649
* Rexall Sundown, Inc. 11,903 324
* Rexel Inc. 15,800 223
Reynolds & Reynolds Class A 16,300 868
Reynolds Metals Co. 25,374 1,323
* Rhodes Inc. 24,800 276
Rhone-Poulenc Rorer, Inc. 52,952 3,554
Richfood Holdings, Inc. 14,500 470
Riggs National Corp. 27,800 339
* Right Management Consultants 5,100 181
* Rightchoice Managed Care, Inc. 14,800 183
* Rio Hotel And Casino, Inc. 16,100 247
Rite Aid Corp. 33,103 985
Roadway Express Inc. 4,508 64
* Robert Half International, Inc. 31,400 875
Rochester Gas and Electric Corp. 15,752 339
* Rochester Medical Corp. 12,550 229
Rockwell International Corp. 85,867 4,916
* Rocky Mountain Chocolate
Factory, Inc. 15,400 171
* Rogers Corp. 10,500 261
Rohm & Haas Co. 26,358 1,654
* Rohr, Inc. 16,500 344
Rollins, Inc. 13,550 318
* Rollins Environmental Services, Inc. 68,174 264
Rollins Truck Leasing 9,600 100
Roosevelt Financial Group 19,334 373
Roper Industries Inc. 1,364 65
Ross Stores, Inc. 9,706 338
* Ross Technology, Inc. 1,700 20
Rouge Steel Co. Class A 11,500 247
Rouse Co. 22,800 590
* Rowan Cos., Inc. 50,472 744
* Royal Appliance Manufacturing Co. 99,086 570
* Royal Grip, Inc. 11,600 48
Rubbermaid, Inc. 60,367 1,645
Ruby Tuesday, Inc. 10,237 232
Ruddick Corp. 28,700 351
Russell Corp. 20,750 573
* Ryan's Family Steak Houses, Inc. 11,915 111
Ryder System, Inc. 29,966 843
* S&K Famous Brands Inc. 6,200 59
SBC Communications Inc. 242,586 11,947
* SCI Systems, Inc. 11,758 478
* SDL, Inc. 7,850 215
SEI Corp. 11,700 249
SJW Corp. 600 20
S-K-I, Ltd. 20,409 365
* SLM International, Inc. 11,300 6
* SOI Industries, Inc. 2,675 3
* SPS Technologies, Inc. 5,876 414
* SPS Transaction Services 17,800 320
SPX Corp. 11,500 282
* SQA, Inc. 8,800 244
SAFECO Corp. 49,835 1,766
* Safeguard Health Enterprises, Inc. 11,135 202
* Safeguard Scientifics, Inc. 8,797 686
* Safeskin Corp. 7,300 305
Safety-Kleen Corp. 24,409 427
* Safeway, Inc. 86,479 2,854
St. Francis Capital Corp. 11,200 279
St. Joe Corp. 11,600 748
* St. Jude Medical, Inc. 31,959 1,067
St. Mary Land & Exploration Co. 18,728 310
St. Paul Bancorp, Inc. 14,797 342
St. Paul Cos., Inc. 33,382 1,786
* Saks Holdings, Inc. 2,000 68
Salomon, Inc. 41,920 1,844
* SanDisk Corp. 9,200 115
* Sanifill, Inc. 8,300 409
Santa Anita Realty Enterprises 19,600 247
* Santa Fe Energy Resources, Inc. 46,962 558
Santa Fe Pacific Gold Corp. 48,738 688
Santa Monica Bank 19,400 247
</TABLE>
41
<PAGE> 66
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Sara Lee Corp. 192,647 $ 6,237
* Satcon Technology Corp. 26,893 247
Savannah Foods & Industries, Inc. 25,500 328
* Savoy Pictures Entertainment, Inc. 32,800 172
Sbarro, Inc. 3,909 98
SCANA Corp. 39,100 1,100
* R. P. Scherer Corp. 11,774 534
Schering-Plough Corp. 145,831 9,151
Schlumberger Ltd. 96,404 8,122
* Scholastic Corp. 7,900 492
* Schuler Homes Inc. 20,200 143
Schuller Corp. 42,800 444
A. Schulman Inc. 12,025 293
Charles Schwab Corp. 69,736 1,709
Schweitzer-Mauduit
International Inc. 12,337 347
* Sciclone Pharmaceuticals 5,900 83
Scientific-Atlanta, Inc. 37,592 583
* Scientific Games Holdings Corp. 10,500 301
* Scios, Inc. 43,300 286
* Scopus Technology, Inc. 11,400 180
* Scotts Co. 16,700 292
E.W. Scripps Co. 31,976 1,491
Seacoast Banking Corp. of Florida
Class A 300 7
* Seacor Holdings, Inc. 6,600 294
* Seagate Technology 41,776 1,880
* Seagull Energy Corp. 17,600 440
* Sealed Air Corp. 20,400 686
Sealright Co. 7,600 84
* Search Capital Group, Inc. 38,600 46
Sears, Roebuck & Co. 155,937 7,582
* Seattle FilmWorks, Inc. 4,800 80
* Secure Computing Corp. 9,500 211
Security Capital Corp. 7,100 423
Security Capital Industrial Trust 25,600 451
Security Capital Pacific Inc. 28,869 628
Security Connecticut Corp. 2,200 60
* Security Dynamics Technologies, Inc. 4,700 386
* Security First Network Bank 6,064 202
Sensormatic Electronics Corp. 29,438 482
* Sepracor Inc. 400 6
* Sequa Corp. Class A 12,344 532
* Sequana Therapeutics, Inc. 12,600 194
* Sequent Computer Systems, Inc. 20,300 273
* Sequus Pharmaceuticals, Inc. 27,800 554
Service Corp. International 46,553 2,677
* Service Merchandise Co., Inc. 10,550 59
Shared Medical Systems Corp. 9,663 623
Shaw Industries, Inc. 42,700 560
Sherwin-Williams Co. 34,080 1,585
* Shiva Corp. 15,400 1,232
* Shoe Carnival, Inc. 30,500 164
* Shoney's Inc. 23,596 257
Shopko Stores, Inc. 23,445 378
* Shorewood Packaging 4,700 72
* Show Biz Pizza Time, Inc. 13,400 208
Showboat, Inc. 3,784 114
* Shuffle Master, Inc. 21,917 327
* Sierra On-line, Inc. 7,972 349
* Sierra Semiconductor 25,746 298
SIG Corp. 8,400 291
Sigma Aldrich Corp. 19,177 1,021
* Signal Technology Corp. 41,653 323
Signet Banking Corp. 22,508 523
* Silicon Graphics, Inc. 63,555 1,525
* Silicon Valley Bancshares 1,600 41
* Silicon Valley Research, Inc. 5,800 34
* Silver King Communications 8,705 260
Simmons First National 8,700 289
Simon Property Group 23,300 571
* Sirco International Corp. 46,300 185
Sirrom Capital Corp. 5,000 136
* Sitel Corp. 10,000 418
Sizzler International 54,125 169
Sizzlers Property Investors, Inc. 6,000 53
A.O. Smith Corp. 16,400 410
* Smith International, Inc. 16,000 482
* Smithfield Foods, Inc. 5,100 128
Smiths Food & Drug Centers, Inc.
Class B 7,370 176
J.M. Smucker Co. Class A 12,800 251
J.M. Smucker Co. Class B 2,500 47
Snap-On Inc. 16,212 768
* Sofamor/Danek Group Inc. 9,600 266
* Softdesk, Inc. 3,100 29
* Softkey International, Inc. 12,737 242
* Software Publishing Corp. 23,700 67
* Software Spectrum, Inc. 16,100 368
* Solectron Corp. 20,700 784
* Solv-Ex Corp. 17,166 332
Sonat, Inc. 33,560 1,510
Sonat Offshore Drilling Co. 11,400 576
* Sonic Corp. 13,050 320
Sonoco Products 36,360 1,032
Sotheby's Holdings Class A 25,500 370
Southdown, Inc. 14,000 329
Southern California Water Co. 10,700 235
Southern Co. 265,473 6,537
Southern National Corp. 40,350 1,281
Southern New England
Telecommunications Corp. 26,100 1,096
* Southern Pacific Rail Corp. 59,000 1,475
* Southern Union Co. 13,733 302
</TABLE>
42
<PAGE> 67
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Southland Corp. 142,100 $ 433
SouthTrust Corp. 37,289 1,053
Southwest Airlines Co. 57,173 1,665
Southwest Bancshares, Inc. 10,316 280
Southwest Gas Corp. 20,700 331
Southwestern Energy Co. 21,700 307
Southwestern Public Service Co. 14,100 460
Sovereign Bancorp, Inc. 4,600 46
Sovran Self Storage, Inc. 9,700 257
* Spacelabs Medical 9,639 222
* Spaghetti Warehouse, Inc. 4,400 24
* Specialty Chemical Resources, Inc. 29,400 99
* Spectran Corp. 5,100 99
* Spectranetics Corp. 11,600 65
* Spectrum Holobyte 32,700 184
* SpeedFam International, Inc. 2,700 43
* Speedway Motorsports, Inc. 14,600 374
* Spelling Entertainment 45,200 345
Spiegel, Inc. Class A 34,700 410
Spieker Properties, Inc. 13,500 368
* Sports & Recreation 24,550 224
Springs Industries Inc. Class A 7,265 367
Sprint Corp. 173,646 7,293
* Spyglass, Inc. 11,100 237
* Stac, Inc. 29,430 326
Standard Federal Bank 11,800 454
Standard Financial, Inc. 4,500 74
* Standard Microsystem 17,300 263
Standard Motor Products, Inc. 7,800 139
Standard Products Co. 13,300 309
The Standard Register Co. 11,413 281
Stanhome, Inc. 13,100 347
The Stanley Works 33,562 998
* Staples, Inc. 59,677 1,160
Star Banc Corp. 11,896 801
* Starbucks Corp. 27,200 767
L. S. Starrett Co. Class A 8,400 218
* Starter Corp. 43,600 376
State Auto Financial Corp. 8,900 219
State Street Boston Corp. 31,892 1,626
* Stein Mart, Inc. 17,950 330
Stepan Co. 2,600 47
Stephan Co. 17,650 278
* Steris Corp. 13,948 445
* Sterling Chemicals, Inc. 37,900 441
* Sterling Commerce, Inc. 30,000 1,114
* Sterling Software, Inc. 14,000 1,078
Stewart & Stevenson Services, Inc. 9,018 203
Stewart Enterprises, Inc. Class A 11,400 359
Stone Container Corp. 39,513 543
* Stone Energy Corp. 8,500 170
* Stop & Shop Cos. Inc. 19,900 664
* Storage Technology Corp. 21,355 817
Storage Trust Realty 11,500 236
Storage USA, Inc. 10,300 332
* StrataCom, Inc. 29,284 1,653
* Strategic Distribution, Inc. 48,378 379
* Stratosphere Corp. 32,600 197
* Strattec Strategy Corp. 18,605 329
* Stratus Computer, Inc. 15,700 455
* StreamLogic Corp. 34,100 128
Stride Rite Corp. 38,126 315
* Structural Dynamics Research Corp. 11,000 241
Stryker Corp. 35,500 805
Student Loan Corp. 6,400 230
Student Loan Marketing Assn. 22,997 1,702
* Studio Plus Hotels, Inc. 8,300 272
* Styles on Video, Inc. 12,300 6
* Submicron Systems Corp. 20,000 174
Sullivan Dental Products, Inc. 16,800 172
Sumitomo Bank of California 10,800 265
Summit Bancorp 36,347 1,277
* Summit Care Corp. 2,100 47
* Summit Technology, Inc. 17,100 243
Sun Co., Inc. 29,414 893
* Sun Coast Industries, Inc. 6,300 27
Sun Communities, Inc. 11,900 320
* Sun Healthcare Group, Inc. 30,700 437
* Sun Microsystems, Inc. 72,352 4,260
SunAmerica Inc. 21,350 1,206
Sunbeam Corp. 38,900 574
* Sunbelt Nursery Group, Inc. 3,500 7
Sundstrand Corp. 24,100 883
* SunGard Data Systems, Inc. 14,800 593
* Sunglass Hut International, Inc. 21,326 518
* Sunrise Medical, Inc. 12,000 231
SunTrust Banks, Inc. 89,839 3,324
Super Food Services, Inc. 16,800 160
* Supercuts, Inc. 34,485 285
* SuperGen, Inc. 18,500 199
Superior Industries
International, Inc. 11,550 306
Superior Surgical
Manufacturing Co., Inc. 5,600 67
SuperValu Inc. 25,649 808
Susquehanna Bankshares PA 10,100 271
* Swift Energy Co. 12,800 230
* Swift Transportation Co., Inc. 7,700 147
* Swing-n-Slide Corp. 25,397 87
* Sybase, Inc. 26,920 638
* Sybron Corp. 20,496 512
* Sylvan Learning Systems, Inc. 5,400 205
* Symantec Corp. 21,288 267
* Symbol Technologies, Inc. 13,600 605
</TABLE>
43
<PAGE> 68
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Symmetricom Inc. 18,200 $ 242
* Syms Corp. 20,200 149
* Synagro Technologies Inc. 8,046 9
Synalloy Corp. 5,100 82
* Syncor International Corp. 3,500 45
* Synetic, Inc. 2,500 92
* Synopsys, Inc. 13,900 554
Synovus Financial Corp. 43,450 940
Sysco Corp. 72,054 2,468
System Software Associates, Inc. 12,200 210
* Systemed Inc. 59,100 175
* Systemix, Inc. 14,990 267
* TBC Corp. 22,850 199
TCA Cable Television, Inc. 12,600 378
TCF Financial Corp. 13,500 449
* TCSI Corp. 11,421 274
TECO Energy, Inc. 46,700 1,179
TIG Holdings, Inc. 22,500 653
TJX Cos., Inc. 38,684 1,306
TNP Enterprises, Inc. 4,300 122
* T.P.I. Enterprises, Inc. 29,000 104
* TRO Learning, Inc. 16,500 274
TRW, Inc. 25,478 2,290
* TST Impreso, Inc. 32,800 291
Talbots Inc. 13,500 437
Tambrands, Inc. 14,723 602
* Tandem Computers, Inc. 45,580 564
Tandy Corp. 23,998 1,137
Tanger Factory Outlet Centers, Inc. 12,411 289
* Target Therapeutics, Inc. 12,956 531
Taubman Co. REIT 33,400 372
* Team Rental Group, Inc. 16,700 232
* Tech Data Corp. 15,122 330
Tech/Ops Sevcon, Inc. 5,000 83
* Tech-Sym Corp. 10,002 298
* Techne 600 18
* Technology Solutions Co. 8,719 302
* Tecnol Medical Products Inc. 3,300 63
Tecumseh Products Co. Class A 7,800 421
* Tejas Gas Corp. 11,470 399
Tektronix, Inc. 13,020 583
* Tel-Save Holdings, Inc. 18,150 381
* Telco Systems, Inc. 5,100 87
* Tele-Communications International,
Inc. Series A 42,500 752
* Tele-Communications, Inc. Class A 252,770 4,566
* Tele-Communications, Inc. Class B 4,200 78
Teledyne Inc. 21,074 761
Teledyne Inc. Pfd. Series E 130 2
Teleflex Inc. 7,063 337
Telephone & Data Systems, Inc. 23,800 1,071
* Tellabs, Inc. 34,694 2,320
Telxon Corp. 7,900 94
Temple-Inland Inc. 22,026 1,030
* Tencor Instruments 19,400 364
* Tenet Healthcare Corp. 85,972 1,838
Tenneco, Inc. 69,185 3,537
* Teradyne, Inc. 33,229 573
Terra Industries, Inc. 32,350 400
Texaco Inc. 105,286 8,831
Texas Industries, Inc. 5,200 357
Texas Instruments, Inc. 75,351 3,758
Texas Regional Bancshares, Inc. 5,900 150
Texas Utilities Co. 88,910 3,801
Textron, Inc. 33,506 2,676
* Theragenics Corp. 50,042 769
* Thermo Cardiosystems Inc. 14,450 647
* Thermo Ecotek Corp. 11,300 274
Thermo Electron Corp. 55,062 2,292
* Thermo Fibertek, Inc. 39,825 672
* Thermo Instrument Systems, Inc. 36,418 1,174
Thermo Remediation, Inc. 16,400 205
* Thermo TerraTech 100 1
* Thermo Voltek 18,300 352
* Thermolase Corp. 18,200 496
* Thermotrex Corp. 7,700 379
* Thermedics, Inc. 19,350 484
Thiokol Corp. 3,000 119
Thomas & Betts Corp. 15,327 575
* Thompson PBE, Inc. 13,400 159
Thor Industries, Inc. 6,900 141
Thornburg Mortgage Asset Corp. 21,700 353
* 3 Com Corp. 65,593 2,997
360 Communications Co. 46,549 1,117
Tidewater, Inc. 24,100 1,057
Tiffany & Co. 8,584 627
Timberline Software Corp. 50,032 469
Time Warner, Inc. 154,714 6,073
Times Mirror Co. Class A 41,716 1,815
The Timkin Co. 11,845 459
Titan Wheel International, Inc. 16,450 263
Toastmaster, Inc. 10,300 46
Today's Bancorp 2,100 62
* Today's Man Inc. 38,300 49
* Todd Shipyards Corp. 48,747 366
* Todhunter International, Inc. 19,300 174
* Toll Brothers, Inc. 24,300 398
Tootsie Roll Industries, Inc. 7,047 251
* The Topps Co., Inc. 18,897 105
Torch Energy Royalty Trust 22,100 204
Torchmark Corp. 28,148 1,231
The Toro Co. 4,300 142
Tosco Corp. 17,386 874
Total Petroleum (North America) Ltd. 14,900 145
</TABLE>
44
<PAGE> 69
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Total Renal Care Holdings, Inc. 1,000 $ 42
Total System Services, Inc. 51,524 1,179
* Total-Tel USA Communications, Inc. 1,320 47
Town & Country Trust 22,400 294
* Toy Biz 7,800 158
* Toys R Us, Inc. 107,012 3,050
* Tractor Supply Co. 2,200 51
* Trak Auto Corp. 17,500 291
* Trans World Airlines 17,097 244
Transamerica Corp. 26,607 2,155
Transatlantic Holdings 8,400 589
Transnational Re Corp. 5,700 139
Transpo Inc. 25,725 177
* Transport Holdings, Inc. Class A 2,652 124
* TransTexas Gas Corp. 1,700 16
* Transworld Home Healthcare, Inc. 32,226 296
* Travelers/Aetna Property Casualty
Corp. Class A 17,000 482
Travelers Group Inc. 188,834 8,616
Tredegar Industries Inc. 1,800 54
* Tremont Corp. 8,046 291
Trenwick Group Inc. 5,600 281
* Triad Guaranty, Inc. 6,900 252
* Triarc Cos., Inc. Class A 5,700 66
Tribune Co. 24,497 1,779
Trimas Corp. 14,600 341
* Trimble Navigation Ltd. 14,600 279
Trinity Industries, Inc. 16,650 566
Trinova Corp. 11,433 382
* Triquint Semiconductor, Inc. 2,700 56
* Triton Energy Ltd. 10,300 501
* Trump Hotels & Casino Resorts, Inc. 9,400 268
The Trust Co. of N.J. 18,800 248
Trustco Bank 200 4
Trustmark Corp. 17,100 366
* Tucson Electric Power Co. 24,780 335
* Tuesday Morning, Inc. 15,198 203
* Tupperware Corp. 23,782 1,005
Turner Broadcasting Class A 2,400 65
Turner Broadcasting Class B 79,819 2,195
* 20th Century Industries 28,200 469
Tyco International Ltd. 60,238 2,455
* Tyco Toys, Inc. 47,300 242
* Tyler Corp. 108,700 299
Tyson Foods, Inc. 57,846 1,580
* UAL Corp. 28,380 1,525
* UCAR International, Inc. 18,500 770
UGI Corp. Holding Co. 13,200 290
UMB Financial Corp. 9,317 347
UNR Industries, Inc. 33,400 324
UNUM Corp. 29,027 1,807
* URS Corp. 22,300 176
* USA Waste Service 34,955 1,036
* USDATA Corp., Inc. 15,003 270
USF&G Corp. 47,683 781
* USG Corp. 18,100 505
USLIFE Corp. 11,341 373
UST Corp. 21,000 315
UST, Inc. 80,646 2,762
USX Delphi Group 6,300 77
USX-Marathon Group 114,546 2,305
USX-U.S. Steel Group 32,187 913
* Ultrafem, Inc. 9,267 185
Ultramar Corp. 17,800 516
* Ultratech Stepper, Inc. 6,600 123
Unicom Corp. 83,609 2,331
Unifi, Inc. 25,950 730
Unifirst Corp. 5,000 106
Uniforce Services Inc. 3,900 76
* Unigene 28,300 86
* Unilab Corp. 19,400 30
Union Camp Corp. 27,529 1,342
Union Carbide Corp. 53,046 2,109
Union Electric Co. 39,172 1,577
Union Pacific Corp. 81,928 5,725
Union Pacific Resources Group, Inc. 20,000 535
Union Planters Corp. 18,343 557
Union Texas Petroleum
Holdings, Inc. 35,000 683
UnionBanCal Corp. 12,200 644
* Uniroyal Chemical Corp. 3,800 56
* Uniroyal Technology Corp. 1,000 4
* Unisys Corp. 74,580 531
United Asset Management Corp. 24,000 588
* United Capital Corp. 24,900 202
United Carolina Bancshare Corp. 10,700 242
United Cos. Finance Corp. 11,217 383
United Dominion Industries Ltd. 19,900 458
United Dominion Realty 22,500 323
United Healthcare Corp. 72,646 3,669
United Illuminating Co. 6,300 235
* United Insurance Cos., Inc. 10,800 245
* United International Holdings, Inc.
Class A 2,000 28
* United Meridian Corp. 11,400 410
United Mobile Homes, Inc. 19,100 210
United National Bancorp 4,300 138
U S WEST Communications Group 187,051 5,962
* U S WEST Media Group 184,764 3,372
* USAir Group, Inc. 28,563 514
USBANCORP, Inc. 3,900 126
U.S. Bancorp 64,219 2,316
* U.S. Bioscience 22,887 312
* U.S. Energy Corp. 10,760 201
</TABLE>
45
<PAGE> 70
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* U.S. Filter Corp. 3,500 $ 122
U.S. Healthcare, Inc. 60,210 3,308
* U.S. Home Corp. 11,200 276
* U.S. Industries, Inc. 21,000 507
* U.S. Long Distance Corp. 9,964 352
* U.S. Office Products Co. 9,700 406
* U.S. Robotics Corp. 33,881 2,893
* United States Can Co. 11,709 190
* United States Cellular 30,700 952
* United States Satellite Broadcasting
Co., Inc. Class A 33,500 1,260
United States Surgical Corp. 24,665 765
United States Trust Corp. 7,551 383
United Technologies Corp. 48,509 5,579
United Television, Inc. 5,500 533
* United Waste Systems, Inc. 19,000 608
United Wisconsin 12,400 322
Unitrin Inc. 14,500 685
* Unitrode Corp. 12,511 242
Universal Corp. 14,000 371
* Universal Electronics, Inc. 18,400 212
Universal Foods Corp. 13,913 513
* Universal Health Services Class B 14,600 381
Unocal Corp. 97,767 3,300
* Uranium Resources, Inc. 13,132 190
Urban Shopping Centers REIT 14,800 352
* Urohealth Systems, Inc. Class A 13,871 199
Utilicorp United, Inc. 18,400 508
* UUnet Technologies, Inc. 12,100 800
VF Corp. 25,344 1,511
* VLSI Technology, Inc. 18,800 262
VWR Scientific Products Corp. 2,900 47
* Vaalco Energy, Inc. 46,500 20
* Valassis Communication 28,200 522
* Valence Technology 3,400 18
Valero Energy Corp. 16,700 418
Valhi, Inc. 25,400 181
Valley National Bancorp 14,944 381
Valspar Corp. 8,900 409
Value City Department Stores, Inc. 32,500 358
* Value Health, Inc. 25,372 599
Value Line, Inc. 3,600 126
* ValuJet Inc. 13,900 131
* Vanguard Cellular Systems, Inc.
Class A 17,613 386
* Vanstar Corp. 26,700 447
* Varco International, Inc. 21,572 391
Varian Associates, Inc. 11,500 595
* Varity Corp. 15,361 739
Vastar Resources, Inc. 38,800 1,450
* Vencor, Inc. 27,862 850
* Venture Stores, Inc. 70,663 459
* VeriFone, Inc. 10,200 431
* Verity, Inc. 11,400 323
Vesta Insurance Group, Inc. 7,000 234
* Veterinary Centers of America, Inc. 14,060 310
* Viacom International Class A 4,953 189
* Viacom International Class B 157,118 6,108
* Viasoft, Inc. 6,474 418
* Vicor Corp. 16,619 387
* Vicorp Restaurants, Inc. 16,500 200
* Video Lottery 14,400 67
* VideoLan Technologies, Inc. 14,800 309
* Videoserver, Inc. 8,700 338
* Viewlogic Systems, Inc. 23,091 319
* Viking Office Products 30,900 968
Vintage Petroleum, Inc. 19,100 487
Virginia Beach Federal
Financial Corp. 10,200 71
* Vishay Intertechnology, Inc. 24,511 579
* Visix Space Inc. 11,671 398
* Vitesse Semiconductor Corp. 3,600 87
* Vivra, Inc. 17,000 559
* Vmark Software, Inc. 42,414 395
* Volt Information Sciences Inc. 3,100 137
* Vons Cos., Inc. 18,900 706
Vornado Realty Trust 10,600 433
Vulcan Materials Co. 13,890 825
WCI Steel, Inc. 6,400 34
WFS Bancorp, Inc. 10,300 239
* WFS Financial, Inc. 1,500 33
* WHX Corp. 10,000 91
* WMS Industries, Inc. 16,700 411
WMX Technologies Inc. 197,245 6,460
WPL Holdings, Inc. 12,300 404
WPS Resources Corp. 1,021 32
* WRT Energy Corp. 28,200 8
* WSFS Financial Corp. 6,700 49
* Waban, Inc. 15,900 380
Wabash National Corp. 10,450 185
Wachovia Corp. 67,337 2,946
Wackenhut Corp. 8,892 219
Wackenhut Corp. Class B 6,350 117
* Wackenhut Corrections Corp. 5,100 170
* Wahlco Environmental 38,500 24
Wainwright Bank & Trust Co. 4,600 22
Wal-Mart Stores, Inc. 912,884 23,164
Walbro Corp. 10,800 223
Walgreen Co. 97,380 3,262
* Walker Interactive Systems, Inc. 39,900 406
* Wall Data Inc. 16,396 355
Wallace Computer Services, Inc. 9,200 550
Warnaco Group 20,653 532
Warner-Lambert Co. 108,017 5,941
</TABLE>
46
<PAGE> 71
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Washington Energy Co. 18,200 $ 359
Washington Federal Inc. 16,368 338
Washington Gas Light Corp. 10,298 227
Washington Mutual Inc. 28,691 861
Washington National Corp. 6,500 167
Washington Post Co. Class B 4,400 1,426
Washington Real Estate
Investment Trust 15,800 265
Washington Water Power Co. 23,000 428
* Waters Corp. 13,500 446
Watkins-Johnson Co. 9,100 249
* Watson Pharmaceuticals, Inc. 15,114 572
Watts Industries Class A 17,000 317
Waverly, Inc. 3,018 67
* Weatherford Enterra Inc. 31,254 938
* Webco Industries, Inc. 18,800 113
Weeks Corp. 11,000 286
Weingarten Realty Investors 10,900 422
* Weirton Steel 19,800 59
Weis Markets, Inc. 15,800 515
* Wellcare Management Group, Inc. 16,100 148
Wellman, Inc. 17,945 419
Wellpoint Health Networks Inc.
Class A 26,435 826
Wells Fargo & Co. 38,807 9,270
Wellsford Residential Property Trust 15,400 347
Wendy's International, Inc. 50,497 941
Werner Enterprises, Inc. 11,200 290
Westbanco Inc. 3,300 89
Wesco Financial Corp. 2,842 455
Westcorp, Inc. 19,507 346
* Western Atlas Inc. 21,238 1,237
* Western Digital Corp. 7,800 204
Western Gas Resources, Inc. 6,700 109
Western Investment Real
Estate Trust 4,600 60
Western National Corp. 12,700 233
Western Resources, Inc. 25,100 750
* Western Wireless Corp. 2,000 43
Westinghouse Air Brake Co. 4,000 53
Westinghouse Electric Corp. 164,819 3,090
* Westpoint Stevens, Inc. 12,743 306
Westport Bancorp, Inc. 2,200 14
Westvaco Corp. 38,947 1,164
* Westwood One, Inc. 16,700 257
* WetSeal, Inc. Class A 21,900 521
Weyerhaeuser Co. 79,085 3,361
Wheelabrator Technologies 71,262 1,087
Whirlpool Corp. 29,544 1,466
* White River 8,842 408
Whitman Corp. 39,625 956
Whitney Holdings 6,570 200
Wicor, Inc. 10,500 396
Willamette Industries, Inc. 21,182 1,258
Williams Cos., Inc. 41,833 2,071
* Williams Sonoma, Inc. 19,308 456
Wilmington Trust Corp. 15,700 510
* Wind River Systems 10,459 363
Windmere-Durable Holdings, Inc. 18,399 241
Winn Dixie Stores, Inc. 60,575 2,143
* Winners Entertainment, Inc. 36,700 40
* Wireless One, Inc. 2,700 48
* Wisconsin Central
Transportation Corp. 23,100 745
Wisconsin Energy Corp. 41,738 1,205
Wiser Oil Co. 14,000 177
Witco Chemical Corp. 22,600 777
Wolohan Lumber Co. 28,078 291
Wolverine World Wide, Inc. 11,898 387
* Wonderware Corp. 11,100 211
* Woolworth Corp. 52,392 1,179
* World Acceptance Corp. 22,500 166
* World Color Press, Inc. 13,500 343
* World Corp. 33,600 227
World Fuel Services Corp. 11,741 213
WorldCom, Inc. 77,156 4,268
Worthington Industries, Inc. 33,389 693
Wrigley, (Wm.) Jr. 45,938 2,320
Wyle Electronics 9,800 325
* Wyman Gordon Corp. 30,300 536
X-Rite Inc. 12,700 197
Xerox Corp. 128,733 6,887
* Xoma Corp. 33,756 226
* Xilinx, Inc. 27,100 859
Xtra Corp. 8,100 358
* Xylan Corp. 14,400 671
* Yellow Corp. 26,947 355
York International Corp. 16,000 828
* Young Broadcasting Corp. 3,900 148
* Zanart Entertainment, Inc. 35,100 121
* Zebra Technologies Class A 12,400 219
* Zenith Electronics Corp. 25,282 307
Zenith National Insurance Corp. 13,300 364
Ziegler Cos., Inc. 2,800 53
* Zilog Inc. 9,000 216
Zions Bancorp. 5,772 422
* Zoll Medical Corp. 31,700 501
* Zoltek Cos., Inc. 16,200 551
Zurich Reinsurance Centre
Holdings, Inc. 10,700 337
Zurn Industries, Inc. 9,400 195
* Zycad Corp. 27,112 160
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS (96.9%)(1)
(Cost $2,291,257) 2,774,817
- ----------------------------------------------------------------------
</TABLE>
47
<PAGE> 72
<TABLE>
<CAPTION>
Face Market
TOTAL STOCK Amount Value
MARKET PORTFOLIO (continued) (000) (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (1.1%)
- ----------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.02%, 7/11/96 $ 2,400 $ 2,397
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.35%, 7/1/96 30,483 30,483
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $32,880) 32,880
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (98.0%)
(Cost $2,324,137) 2,807,697
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (2.0%)
- ----------------------------------------------------------------------
Receivables for Portfolio
Shares Issued 691,331
Other Assets--Notes B and E 20,438
Payables for Investment
Securities Purchased (636,405)
Other Liabilities--Note E (18,185)
-------------
57,179
- ----------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------
Applicable to 174,760,773 outstanding
shares of beneficial interest
(unlimited authorization) $2,864,876
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE $16.39
======================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks, Standard & Poor's 500 Index
futures contracts, and Standard & Poor's Midcap 400 futures contracts
represents 99.5% of net assets.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AT JUNE 30, 1996, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
---------- ----------
<S> <C> <C>
PAID IN CAPITAL $2,363,696 $13.52
UNDISTRIBUTED NET
INVESTMENT INCOME 6,259 .03
ACCUMULATED NET
REALIZED GAINS 11,430 .07
UNREALIZED APPRECIATION
(DEPRECIATION)--NOTE D:
INVESTMENT SECURITIES 483,560 2.77
FUTURES CONTRACTS (69) --
- ----------------------------------------------------------------------
NET ASSETS $2,864,876 $16.39
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
Value
GROWTH PORTFOLIO Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ----------------------------------------------------------------------
General Electric Co. 329,514 $ 28,503
The Coca-Cola Co. 494,672 24,177
AT&T Corp. 318,448 19,744
Philip Morris Cos., Inc. 164,438 17,102
Merck & Co., Inc. 243,276 15,722
* Microsoft Corp. 117,700 14,124
Johnson & Johnson 264,058 13,071
Procter & Gamble Co. 135,928 12,318
Intel Corp. 162,708 11,939
Wal-Mart Stores, Inc. 454,598 11,535
PepsiCo, Inc. 310,632 10,989
Hewlett-Packard Co. 101,100 10,072
American International Group, Inc. 93,850 9,256
Pfizer, Inc. 126,350 9,018
Bristol-Myers Squibb Co. 99,708 8,974
E.I. du Pont de Nemours & Co. 110,700 8,759
GTE Corp. 193,300 8,650
The Walt Disney Co. 134,427 8,451
American Home Products Corp. 125,436 7,541
Eli Lilly & Co. 109,128 7,092
Abbott Laboratories 155,784 6,776
Ameritech Corp. 110,100 6,537
McDonald's Corp. 138,830 6,490
* Cisco Systems, Inc. 112,700 6,382
SBC Communications Inc. 120,300 5,925
Minnesota Mining &
Manufacturing Co. 82,896 5,720
Gillette Co. 88,168 5,499
Eastman Kodak Co. 68,600 5,334
Home Depot, Inc. 94,957 5,128
* Oracle Corp. 130,034 5,120
Wells Fargo & Co. 19,300 4,610
Unilever NV ADR 31,720 4,603
Schering-Plough Corp. 73,218 4,594
Kimberly-Clark Corp. 55,898 4,318
Schlumberger Ltd. 48,000 4,044
Emerson Electric Co. 44,524 4,024
Monsanto Co. 116,700 3,793
Sears, Roebuck & Co. 77,500 3,768
Anheuser-Busch Co., Inc. 50,126 3,759
Sprint Corp. 86,200 3,620
First Data Corp. 44,228 3,522
Campbell Soup Co. 49,531 3,492
Computer Associates
International, Inc. 48,080 3,426
Xerox Corp. 63,900 3,419
Sara Lee Corp. 95,900 3,105
Kellogg Co. 42,243 3,094
Time Warner, Inc. 78,000 3,062
Warner-Lambert Co. 53,914 2,965
Nike, Inc. Class B 28,300 2,908
</TABLE>
48
<PAGE> 73
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Pacific Telesis Group 84,600 $ 2,855
* Amgen, Inc. 52,796 2,838
* AirTouch Communications 99,100 2,800
Northern Telecom Ltd. 50,800 2,762
Medtronic, Inc. 46,364 2,596
Colgate-Palmolive Co. 29,001 2,458
Tele-Communications, Inc. Class A 128,900 2,320
Automatic Data Processing, Inc. 57,804 2,233
H.J. Heinz Co. 73,469 2,232
ConAgra, Inc. 48,152 2,185
* Sun Microsystems, Inc. 36,600 2,150
* WorldCom, Inc. 38,650 2,135
The Dun & Bradstreet Corp. 33,865 2,117
CPC International, Inc. 28,791 2,073
Albertson's, Inc. 49,974 2,068
Gannett Co., Inc. 28,165 1,993
Barrick Gold Corp. 70,600 1,915
The Gap, Inc. 57,306 1,841
PPG Industries, Inc. 37,300 1,818
Corning, Inc. 45,600 1,750
General Mills, Inc. 31,808 1,734
CoreStates Financial Corp. 43,800 1,686
U.S. Healthcare, Inc. 30,400 1,668
Walgreen Co. 49,134 1,646
First Bank System, Inc. 28,200 1,636
* Boston Scientific Corp. 35,500 1,598
Illinois Tool Works, Inc. 23,518 1,590
Mattel, Inc. 54,710 1,566
Westinghouse Electric Corp. 82,400 1,545
* 3 Com Corp. 33,200 1,515
Dayton-Hudson Corp. 14,200 1,464
W.R. Grace & Co. 19,600 1,389
Marsh & McLennan Cos., Inc. 14,388 1,388
UST Inc. 40,126 1,374
Marriott International 25,408 1,366
Ralston-Ralston Purina Group 21,147 1,356
* CUC International, Inc. 37,850 1,344
Praxair, Inc. 30,718 1,298
Halliburton Co. 22,700 1,260
MBNA Corp. 43,964 1,253
Sysco Corp. 36,094 1,236
Tyco International Ltd. 30,100 1,227
Avon Products, Inc. 26,834 1,211
Hercules, Inc. 21,700 1,199
Wrigley, (Wm.) Jr. 23,211 1,172
* Tellabs, Inc. 17,500 1,168
Alco Standard Corp. 25,200 1,140
Crown Cork & Seal Co., Inc. 25,300 1,139
Placer Dome, Inc. 47,500 1,134
Freeport-McMoRan Copper & Gold
Inc. Class B 35,300 1,125
Hershey Foods Corp. 15,300 1,123
Hilton Hotels Corp. 9,600 1,080
Fluor Corp. 16,495 1,078
Winn Dixie Stores, Inc. 30,338 1,073
International Flavors &
Fragrances, Inc. 22,107 1,053
Dover Corp. 22,632 1,044
Becton, Dickinson & Co. 12,600 1,011
* Cabletron Systems, Inc. 14,400 988
* The Kroger Co. 24,721 976
Newmont Mining Corp. 19,620 969
Newell Co. 31,624 968
* Bay Networks 37,500 966
The Clorox Co. 10,414 923
The Quaker Oats Co. 26,724 912
The McGraw-Hill Cos. 19,930 912
Tribune Co. 12,378 899
Pioneer Hi Bred International 16,600 878
Green Tree Financial Corp. 27,100 847
* EMC Corp. 45,200 842
Southwest Airlines Co. 28,800 839
* Computer Sciences Corp. 11,200 837
Rubbermaid, Inc. 30,170 822
Comcast Corp. Class A Special 43,277 790
Interpublic Group of Cos., Inc. 15,780 740
* General Instrument 24,800 716
Harcourt General, Inc. 14,000 700
* Ceridian Corp. 13,400 677
H & R Block, Inc. 20,374 665
* Andrew Corp. 12,012 649
Engelhard Corp. 28,167 648
Raychem Corp. 8,700 625
Deluxe Corp. 16,300 579
Avery Dennison Corp. 10,300 565
* Harrah's Entertainment, Inc. 19,967 564
Pall Corp. 22,664 547
* St. Jude Medical, Inc. 15,994 532
The Dial Corp. 18,300 524
The Stanley Works 17,500 521
Allergan, Inc. 12,752 501
Whitman Corp. 20,546 496
Homestake Mining Co. 28,300 485
TJX Cos., Inc. 14,300 483
* ALZA Corp. 16,540 453
* Owens Corning 9,937 427
Ecolab, Inc. 12,736 420
Pep Boys (Manny, Moe & Jack) 12,300 418
Perkin-Elmer Corp. 8,276 399
Teledyne Inc. 11,000 397
Millipore Corp. 8,800 369
Foster Wheeler Corp. 8,100 363
* Oryx Energy Co. 20,900 340
Shared Medical Systems Corp. 4,400 283
</TABLE>
49
<PAGE> 74
<TABLE>
<CAPTION>
Market
Value
GROWTH PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Autodesk, Inc. 9,200 $ 274
Bally Entertainment Corp. 9,900 272
Meredith Corp. 5,400 225
* USAir Group, Inc. 12,500 225
Trinova Corp. 5,400 180
John H. Harland Co. 6,100 150
Freeport-McMoRan Copper & Gold
Inc. Class A 4,000 120
* Armco, Inc. 18,600 93
* Shoney's Inc. 7,853 85
Comcast Corp. Class A 4,555 84
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS (100.1%)
(Cost $428,163) 511,264
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (.1%)
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
-----------
<S> <C> <C>
U.S. TREASURY BILL
5.02%, 7/5/96 $100 100
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.35%, 7/1/96 497 497
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $597) 597
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (100.2%)
(Cost $428,760) 511,861
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.2%)
- ----------------------------------------------------------------------
Receivables for Investment
Securities Sold 60,459
Other Assets--Note B 3,524
Payables for Investment
Securities Purchased (64,171)
Other Liabilities (795)
------------
(983)
- ----------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------
Applicable to 33,165,210 outstanding
shares of beneficial interest
(unlimited authorization) $510,878
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE $15.40
======================================================================
+See Note A to Financial Statements.
*Non-Income Producing Security.
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AT JUNE 30, 1996, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
---------- -----------
<S> <C> <C>
PAID IN CAPITAL $424,695 $12.80
UNDISTRIBUTED NET
INVESTMENT INCOME 565 .02
ACCUMULATED NET
REALIZED GAINS 2,517 .08
UNREALIZED APPRECIATION
OF INVESTMENTS--NOTE D 83,101 2.50
- ----------------------------------------------------------------------
NET ASSETS $510,878 $15.40
- ----------------------------------------------------------------------
</TABLE>
50
<PAGE> 75
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ----------------------------------------------------------------------
Exxon Corp. 384,191 $ 33,377
Royal Dutch Petroleum Co. ADR 165,812 25,494
International Business
Machines Corp. 168,248 16,657
Mobil Corp. 121,970 13,676
BellSouth Corp. 307,552 13,033
Citicorp 150,346 12,422
General Motors Corp. 233,858 12,248
Chevron Corp. 201,890 11,912
Ford Motor Co. 363,606 11,772
Motorola, Inc. 183,100 11,512
Federal National Mortgage Assn. 337,752 11,315
Amoco Corp. 153,554 11,113
Chase Manhattan Corp. 134,930 9,529
The Boeing Co. 107,027 9,325
Bell Atlantic Corp. 135,500 8,638
BankAmerica Corp. 113,163 8,572
NationsBank Corp. 92,602 7,651
Columbia/HCA Healthcare Corp. 138,500 7,392
Chrysler Corp. 115,695 7,173
Pharmacia & Upjohn, Inc. 157,600 6,994
Texaco Inc. 81,719 6,854
Travelers Group Inc. 146,735 6,695
American Express Co. 149,473 6,670
NYNEX Corp. 135,112 6,418
Allstate Corp. 137,674 6,281
Atlantic Richfield Co. 49,700 5,889
Dow Chemical Co. 77,382 5,881
MCI Communications Corp. 213,776 5,451
First Union Corp. 88,119 5,364
Lockheed Martin Corp. 61,500 5,166
Southern Co. 207,486 5,109
WMX Technologies Inc. 153,000 5,011
AlliedSignal Inc. 87,500 4,998
J.P. Morgan & Co., Inc. 58,127 4,919
Banc One Corp. 139,817 4,754
Federal Home Loan Mortgage Corp. 55,291 4,727
U S WEST Communications Group 146,733 4,677
Union Pacific Corp. 63,600 4,444
* Viacom International Class B 113,700 4,420
United Technologies Corp. 37,666 4,332
* COMPAQ Computer Corp. 83,000 4,088
Caterpillar, Inc. 60,000 4,065
Baxter International, Inc. 84,048 3,971
Norwest Corp. 113,200 3,948
The Seagram Co. Ltd. 115,614 3,888
Rockwell International Corp. 67,275 3,851
First Chicago NBD Corp. 97,877 3,829
Raytheon Co. 74,050 3,823
General Re Corp. 25,076 3,818
Burlington Northern Santa Fe Corp. 47,100 3,809
J.C. Penney Co., Inc. 69,500 3,649
Fleet Financial Group, Inc. 81,243 3,534
Merrill Lynch & Co., Inc. 53,008 3,452
International Paper Co. 92,301 3,404
Phillips Petroleum Co. 81,100 3,396
May Department Stores Co. 77,240 3,379
Norfolk Southern Corp. 39,440 3,343
McDonnell Douglas Corp. 68,616 3,328
Deere & Co. 81,232 3,249
Duke Power Co. 63,372 3,248
CSX Corp. 65,400 3,156
Enron Corp. 77,000 3,147
PNC Bank Corp. 105,425 3,136
Aluminum Co. of America 54,394 3,121
The Bank of New York Co., Inc. 60,300 3,090
Archer-Daniels-Midland Co. 160,880 3,077
Pacific Gas & Electric Co. 128,918 2,997
Texas Utilities Co. 69,827 2,985
Dean Witter Discover & Co. 51,604 2,954
Texas Instruments, Inc. 58,100 2,898
Loews Corp. 36,400 2,871
United Healthcare Corp. 55,900 2,823
CIGNA Corp. 23,619 2,784
KeyCorp 71,700 2,778
Tenneco, Inc. 53,800 2,751
The Chubb Corp. 54,342 2,710
AMP, Inc. 66,700 2,676
U S WEST Media Group 144,800 2,643
FPL Group, Inc. 56,869 2,616
Weyerhaeuser Co. 61,342 2,607
SunTrust Banks, Inc. 70,100 2,594
Unocal Corp. 76,500 2,582
Aetna Life & Casualty Co. 35,597 2,545
* AMR Corp. 27,670 2,518
American Brands, Inc. 54,874 2,490
American Electric Power Co., Inc. 57,736 2,461
Occidental Petroleum Corp. 98,723 2,443
Edison International 137,716 2,427
Mellon Bank Corp. 42,422 2,418
* Applied Materials, Inc. 79,400 2,412
* Toys R Us, Inc. 84,600 2,411
National City Corp. 68,329 2,400
* ITT Corp. 36,218 2,399
American General Corp. 64,174 2,334
Morgan Stanley Group, Inc. 47,300 2,324
The Goodyear Tire & Rubber Co. 47,990 2,316
Wachovia Corp. 52,300 2,288
Household International, Inc. 30,089 2,287
Dominion Resources, Inc. 54,805 2,192
Pitney Bowes, Inc. 45,900 2,192
* Federated Department Stores 64,200 2,191
Honeywell, Inc. 39,200 2,136
</TABLE>
51
<PAGE> 76
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Digital Equipment Corp. 47,419 $ 2,134
Alcan Aluminium Ltd. 69,833 2,130
Consolidated Edison Co. of New
York, Inc. 72,677 2,126
Novell, Inc. 151,811 2,087
Textron, Inc. 25,963 2,074
Public Service Enterprise Group Inc. 75,719 2,073
Service Corp. International 36,000 2,070
PacifiCorp 90,812 2,021
Georgia-Pacific Corp. 28,300 2,009
Houston Industries, Inc. 81,236 2,000
Entergy Corp. 70,487 2,000
Air Products & Chemicals, Inc. 34,576 1,997
Boatmen's Bancshares, Inc. 48,896 1,950
ITT Hartford Group, Inc. 36,218 1,929
American Stores Co. 46,388 1,914
Browning-Ferris Industries, Inc. 65,800 1,908
Central & South West Corp. 64,762 1,878
Unicom Corp. 66,404 1,851
Kmart Corp. 148,688 1,840
Bankers Trust New York Corp. 24,573 1,815
TRW, Inc. 20,170 1,813
ALLTEL Corp. 58,600 1,802
The Limited, Inc. 83,700 1,800
U.S. Bancorp 49,830 1,794
USX-Marathon Group 88,921 1,790
PECO Energy Corp. 68,680 1,786
Lowes Cos., Inc. 49,400 1,785
Barnett Banks, Inc. 29,154 1,778
Carolina Power & Light Co. 46,362 1,762
Genuine Parts Co. 37,700 1,725
Bank of Boston Corp. 34,696 1,717
Transamerica Corp. 21,029 1,703
Aon Corp. 33,500 1,700
Fifth Third Bancorp 31,600 1,699
Morton International, Inc. 45,500 1,695
Burlington Resources, Inc. 39,200 1,686
R.R. Donnelley & Sons Co. 47,668 1,662
Dresser Industries, Inc. 56,200 1,658
Micron Technology Inc. 63,700 1,648
Union Carbide Corp. 40,907 1,626
Comerica, Inc. 36,100 1,611
Conrail, Inc. 24,240 1,609
Williams Cos., Inc. 32,412 1,604
Delta Air Lines, Inc. 19,074 1,583
Amerada Hess Corp. 28,778 1,543
CINergy Corp. 48,063 1,538
Consolidated Natural Gas Co. 28,982 1,514
PanEnergy Corp. 45,914 1,509
Masco Corp. 49,600 1,500
Eastman Chemical 24,500 1,491
Ingersoll-Rand Co. 33,729 1,476
Lincoln National Corp. 31,800 1,471
Baker Hughes, Inc. 44,062 1,449
* Federal Express Corp. 17,510 1,436
Salomon, Inc. 32,556 1,432
* Tenet Healthcare Corp. 66,622 1,424
Eaton Corp. 24,100 1,413
Inco Ltd. 43,380 1,399
Times Mirror Co. Class A 32,024 1,393
UNUM Corp. 22,300 1,388
Cooper Industries, Inc. 33,415 1,387
DTE Energy Co. 44,896 1,386
SAFECO Corp. 39,020 1,380
St. Paul Cos., Inc. 25,484 1,363
Coastal Corp. 32,654 1,363
Nucor Corp. 26,900 1,362
Melville Corp. 32,535 1,318
General Public Utilities Corp. 37,300 1,315
Baltimore Gas & Electric Co. 45,617 1,294
* Price/Costco Inc. 60,474 1,293
Phelps Dodge Corp. 20,458 1,276
Rohm & Haas Co. 20,100 1,261
Dillard Department Stores Class A 34,468 1,258
Dow Jones & Co., Inc. 30,040 1,254
Union Electric Co. 31,106 1,252
Providian Corp. 29,012 1,244
Great Lakes Chemical Corp. 19,800 1,233
Sherwin-Williams Co. 26,500 1,232
Champion International Corp. 29,169 1,218
W.W. Grainger, Inc. 15,600 1,209
Silicon Graphics, Inc. 49,900 1,198
Northrop Grumman Corp. 17,515 1,193
General Dynamics Corp. 19,194 1,190
Sonat, Inc. 26,274 1,182
VF Corp. 19,643 1,171
PP&L Resources Inc. 48,500 1,146
Whirlpool Corp. 22,952 1,139
Jefferson-Pilot Corp. 21,698 1,120
Knight-Ridder, Inc. 15,124 1,096
Nordstrom, Inc. 24,600 1,089
Republic New York Corp. 17,200 1,071
Circuit City Stores, Inc. 29,600 1,069
Case Corp. 22,100 1,061
LSI Logic Corp. 39,400 1,024
Northern States Power Co. 20,736 1,024
Union Camp Corp. 20,956 1,022
Black & Decker Corp. 26,424 1,021
Ohio Edison Co. 46,344 1,014
Great Western Financial Corp. 42,436 1,013
Reynolds Metals Co. 19,403 1,011
Golden West Financial Corp. 17,958 1,006
Willamette Industries, Inc. 16,700 989
Dana Corp. 31,478 976
</TABLE>
52
<PAGE> 77
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
New York Times Co. Class A 29,769 $ 971
Torchmark Corp. 22,147 969
Hasbro, Inc. 26,880 961
* Western Atlas Inc. 16,438 958
Parker Hannifin Corp. 22,512 954
H.F. Ahmanson & Co. 35,203 950
Kerr-McGee Corp. 15,444 940
* Woolworth Corp. 41,111 925
Westvaco Corp. 30,917 924
Laidlaw Inc. Class B 91,000 921
Beneficial Corp. 16,168 907
Tandy Corp. 18,962 898
ITT Industries, Inc. 35,618 895
Mallinckrodt Group, Inc. 22,900 890
Humana, Inc. 49,800 890
Columbia Gas Systems, Inc. 16,645 868
Johnson Controls, Inc. 12,467 866
The Mead Corp. 16,363 849
Brown-Forman Corp. Class B 20,817 833
* Tupperware Corp. 19,100 807
Temple-Inland Inc. 16,794 785
Apple Computer, Inc. 37,176 776
* DSC Communications Corp. 25,652 770
Liz Claiborne, Inc. 22,177 768
* Biomet, Inc. 54,287 767
Ashland Inc. 19,206 761
Rite Aid Corp. 25,323 753
Reebok International Ltd. 22,400 753
Manor Care Inc. 18,900 744
FMC Corp. 11,400 744
Pacific Enterprises 24,900 738
Bausch & Lomb, Inc. 17,296 735
Louisiana-Pacific Corp. 32,600 721
Harris Corp. 11,787 719
USX-U.S. Steel Group 25,092 712
Wendy's International, Inc. 38,145 710
Echlin, Inc. 18,500 701
Sun Co., Inc. 22,353 679
James River Corp. 25,567 674
Ryder System, Inc. 23,850 671
Maytag Corp. 31,805 664
Mercantile Stores Co., Inc. 11,193 656
Nalco Chemical Co. 20,600 649
Pennzoil Co. 14,018 648
Giant Food, Inc. Class A 18,067 648
Armstrong World Industries Inc. 11,200 645
SuperValu Inc. 20,473 645
Cyprus Amax Minerals Co. 28,132 636
* National Semiconductor Corp. 40,845 633
Polaroid Corp. 13,852 632
American Greetings Corp. Class A 22,586 615
The BF Goodrich Co. 15,936 596
C.R. Bard, Inc. 17,500 595
Brunswick Corp. 29,400 588
Louisiana Land & Exploration Co. 10,200 588
* Fruit of the Loom, Inc. 23,000 587
USF&G Corp. 35,635 584
Snap-On Inc. 12,203 578
United States Surgical Corp. 18,598 577
Paccar, Inc. 11,793 575
National Service Industries, Inc. 14,615 572
Moore Corp. Ltd. 30,228 571
* Varity Corp. 11,800 568
General Signal Corp. 14,900 564
Bemis Co., Inc. 16,100 564
Cooper Tire & Rubber Co. 25,300 563
Santa Fe Pacific Gold Corp. 39,800 562
* Advanced Micro Devices, Inc. 41,089 560
Worthington Industries, Inc. 27,091 559
Sigma Aldrich Corp. 10,500 557
Boise Cascade Corp. 14,661 537
Darden Restaurants Inc. 48,000 516
Cummins Engine Co., Inc. 12,100 489
Harnischfeger Industries Inc. 14,400 479
ENSERCH Corp. 20,783 452
Tektronix, Inc. 10,000 448
Thomas & Betts Corp. 11,900 446
NorAm Energy Corp. 40,764 443
* Tandem Computers, Inc. 35,529 440
NICOR, Inc. 15,222 432
Echo Bay Mines Ltd. 39,500 425
Fleetwood Enterprises, Inc. 13,654 423
Stone Container Corp. 30,000 413
* King World Productions, Inc. 11,200 407
Caliber System Inc. 11,800 401
* Bethlehem Steel Corp. 33,100 393
Alberto-Culver Co. Class B 8,400 390
* Amdahl Corp. 36,169 389
Great Atlantic & Pacific Tea Co., Inc. 11,618 382
* Rowan Cos., Inc. 25,700 379
Crane Co. 9,100 373
* Unisys Corp. 50,900 363
Briggs & Stratton Corp. 8,800 362
Scientific-Atlanta, Inc. 23,300 361
* Beverly Enterprises Inc. 30,067 361
The Timkin Co. 9,288 360
ASARCO, Inc. 12,823 354
Peoples Energy Corp. 10,398 348
Potlatch Corp. 8,664 339
McDermott International, Inc. 16,234 339
USLIFE Corp. 10,231 336
Niagara Mohawk Power Corp. 42,829 332
Russell Corp. 11,832 327
* Santa Fe Energy Resources, Inc. 27,392 325
</TABLE>
53
<PAGE> 78
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
EG & G, Inc. 14,400 $ 308
Springs Industries Inc. Class A 5,900 298
Safety-Kleen Corp. 17,005 298
Cincinnati Milacron, Inc. 12,200 293
Inland Steel Industries, Inc. 14,752 290
Consolidated Freightways, Inc. 13,300 281
Centex Corp. 8,704 271
Helmerich & Payne, Inc. 7,300 267
Alexander & Alexander Services, Inc. 13,500 267
Ball Corp. 9,193 264
Ogden Corp. 14,553 264
Longs Drug Stores, Inc. 5,849 261
Jostens Inc. 11,900 235
* Navistar International Corp. 22,800 225
Pulte Corp. 7,979 213
* Charming Shoppes, Inc. 30,004 208
Adolph Coors Co. Class B 11,557 207
ONEOK, Inc. 8,200 205
Eastern Enterprises 6,100 203
Kaufman & Broad Home Corp. 11,800 171
Giddings & Lewis, Inc. 10,478 170
Luby's Cafeterias, Inc. 7,000 164
* Intergraph Corp. 13,400 162
Fleming Cos., Inc. 11,203 161
* Tele-Communications, Inc. Class A 8,618 155
* Data General Corp. 11,400 148
NACCO Industries, Inc. Class A 2,600 144
* Ryan's Family Steak Houses, Inc. 14,800 137
* Community Psychiatric Centers 12,900 122
Stride Rite Corp. 14,000 115
Outboard Marine Corp. 6,000 109
* Yellow Corp. 7,974 105
Brown Group, Inc. 5,000 87
* Viacom International Class A 766 29
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS (100.3%)(1)
(Cost $661,141) 767,295
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (.1%)
- ----------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.02%, 7/5/96 $100 $ 100
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.35%, 7/1/96 362 362
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $462) 462
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (100.4%)
(Cost $661,603) 767,757
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.4%)
- ----------------------------------------------------------------------
Receivables for Investment
Securities Sold 95,309
Other Assets--Note B 5,824
Payables for Investment
Securities Purchased (102,794)
Other Liabilities (1,343)
-------------
(3,004)
- ----------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------
Applicable to 48,816,828 outstanding
shares of beneficial interest
(unlimited authorization) $764,753
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE $15.67
======================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks and Standard & Poor's Value
Index futures contracts represents 100.4% of net assets.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AT JUNE 30, 1996, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
----------- -----------
<S> <C> <C>
PAID IN CAPITAL $635,158 $13.01
UNDISTRIBUTED NET
INVESTMENT INCOME 3,399 .07
ACCUMULATED NET
REALIZED GAINS 20,038 .41
UNREALIZED APPRECIATION--
NOTE D:
INVESTMENT SECURITIES 106,154 2.18
FUTURES CONTRACTS 4 --
- ----------------------------------------------------------------------
NET ASSETS $764,753 $15.67
- ----------------------------------------------------------------------
</TABLE>
54
<PAGE> 79
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- ----------------------------------------------------------------------
AAR Corp. 43,900 $ 894
ABM Industries 24,900 974
* ABR Information Services, Inc. 22,675 1,136
* ABT Building Products Corp. 24,100 536
AGL Resources Inc. 106,200 2,004
AK Steel Holding Corp. 14,200 555
AMLI Residential Properties Trust 30,400 627
* APL Ltd. 47,600 1,243
* APS Holding Corp. 33,600 735
* AST Research, Inc. 61,459 419
* A+ Network, Inc. 21,400 328
* ATC Communications, Inc. 32,000 418
* ATS Medical, Inc. 66,200 666
Aames Financial Corp. 9,000 323
* Access Health Marketing, Inc. 29,000 1,377
* Acclaim Entertainment Inc. 51,900 503
* Accustaff, Inc. 36,000 985
Ackerley Communications, Inc. 22,700 618
Acordia, Inc. 27,600 931
* Actel Corp. 51,600 951
Activision, Inc. 4,800 63
* Action Performance Cos., Inc. 33,800 488
* Acuson Corp. 62,050 993
* ACX Technologies Inc. 39,400 783
* Acxiom Corp. 43,800 1,492
ADAC Laboratories 54,633 1,246
* Addington Resources, Inc. 39,000 970
* Adelphia Communications Corp.
Class A 78,500 579
* Advanced Lighting
Technologies, Inc. 11,900 205
* Advanced Polymer Systems 53,900 505
* Advanced Technology
Laboratories, Inc. 27,500 1,007
* Advanced Tissue Sciences Inc. 75,500 1,227
ADVO, Inc. 49,950 518
* Advent Software, Inc. 21,600 605
* Affiliated Computer Services, Inc. 20,600 971
* Agouron Pharmaceuticals, Inc. 19,800 770
* Air and Water Technologies Corp.
Class A 98,600 592
Air Express International Corp. 31,700 888
Airborne Freight Corp. 44,900 1,167
* Alaska Air Group, Inc. 34,600 947
Albank Financial Corp. 28,440 752
Albany International Corp. 52,800 1,195
Alex Brown, Inc. 27,700 1,565
Alexander & Alexander Services, Inc. 80,500 1,590
* Alexander's, Inc. 12,700 922
Alfa Corp. 55,700 633
Alico, Inc. 16,400 328
* Alkermes, Inc. 39,500 484
The Allen Group, Inc. 55,460 1,206
* Alliance Entertainment 70,900 487
* Alliance Pharmaceutical Corp. 51,400 845
* Alliance Semiconductor Corp. 16,300 135
* Alliant Techsystems, Inc. 21,700 1,023
Allied Group, Inc. 24,300 1,054
* Allied Waste Industries, Inc. 114,100 1,005
* Alltrista Corp. 31,793 743
* Allwaste, Inc. 152,800 707
* Alpha Industries, Inc. 2,400 21
Alpharma Inc. Class A 32,100 638
* Alteon, Inc. 29,200 327
* Alternative Resources Corp. 23,300 847
* Amax Gold, Inc. 123,031 677
Amcast Industrial Corp. 30,700 622
AMCOL International Corp. 42,500 640
Amcore Financial 32,580 652
* Amerco Inc. 12,100 337
* America West Airlines, Inc. 98,000 2,156
American Annuity Group Inc. 42,800 556
American Bankers Insurance Group 39,700 1,737
* American Buildings Co. 22,300 647
American Business Products, Inc. 29,500 645
* American Eagle Outfitters, Inc. 23,100 411
American Filtrona Corp. 4,900 152
* American Freightways 51,800 573
American Health Properties, Inc. 42,700 945
American Health Properties
Psychiatric Group 2,870 45
American Heritage Life
Investment Corp. 35,932 786
* American Homestar Corp. 23,500 599
* American Management
Systems, Inc. 50,875 1,494
* American Media Class A 131,900 692
* American Medical Response, Inc. 35,900 1,265
* American Mobile Satellite Corp., Inc. 29,900 456
* American Oncology Resources, Inc. 53,200 1,150
* American Paging, Inc. 28,200 210
* American Radio Systems Corp. 26,700 1,155
* American Superconductor Corp. 31,000 438
* American Travellers Corp. 43,950 1,008
* Americredit Corp. 57,100 892
* Amerin Corp. 48,200 1,283
* Amerisource Health Corp. 47,000 1,563
Ameron International Corp. 17,100 675
Ametek, Inc. 66,600 1,448
* Amisys Managed Care Systems 20,700 539
* Ampal-American Israel Corp. 36,400 182
* Ampex Corp. 44,800 409
Amresco, Inc. 61,200 1,052
</TABLE>
55
<PAGE> 80
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Analogic Corp. 30,100 $ 801
Anchor Bancorp Wisconsin Inc. 22,175 773
* Anchor Gaming 23,600 1,419
* Ancor Communications, Inc. 26,500 447
Angelica Corp. 34,000 803
* Anixter International Inc. 80,100 1,191
* AnnTaylor Stores Corp. 45,700 925
* Antec Corp. 18,700 299
Apache Corp. 1,975 65
Apogee Enterprises, Inc. 36,600 1,249
* Apollo Group, Inc. Class A 9,625 267
Apple South, Inc. 57,850 1,547
Applebee's International, Inc. 64,800 2,098
* Applied Bioscience International, Inc. 71,008 741
* Applied Digital Access, Inc. 54,400 564
* Applied Innovation Inc. 54,000 580
* Applied Magnetics Corp. 49,000 514
Applied Power, Inc. 23,100 647
* Applix, Inc. 32,800 939
* Apria Healthcare 93,100 2,921
Aptargroup Inc. 37,700 1,140
Aquarion Co. 28,706 710
Arbor Drugs, Inc. 34,300 709
* Arbor Health Care Co. 14,800 407
* Arbor Software Corp. 19,034 1,135
Arcadian Corp. 65,800 1,299
* Arch Communications Group, Inc. 44,400 821
Arctco Inc. 59,300 745
Argonaut Group, Inc. 37,000 1,142
* Argosy Gaming Co. 79,800 593
* Armco, Inc. 163,600 818
Arnold Industries, Inc. 38,600 545
Arrow International, Inc. 19,400 541
* Arthrocare Corp. 27,200 486
* Artisoft, Inc. 23,700 209
Arvin Industries, Inc. 45,100 1,003
* Ascent Entertainment Group, Inc. 13,300 332
Ashland Coal Inc. 26,600 692
* Aspect Telecommunications 24,500 1,219
* Aspen Technologies, Inc. 13,600 750
Associated Banc-Corp. 33,883 1,321
* Associated Group, Inc. 30,224 903
* Associated Group, Inc. Class B 375 11
Astoria Financial Corp. 42,400 1,153
* Asyst Technologies, Inc. 9,000 161
* Atari Corp. 173,800 999
* Athena Neurosciences, Inc. 57,000 969
Atlantic Energy, Inc. 102,300 1,867
* Atlantic Realty Trust Inc. 15,587 131
Atlantic Southeast Airlines Inc. 50,600 1,433
* Atlantic Tele-Network, Inc. 27,900 663
Atmos Energy Corp. 33,900 1,038
* Atria Software, Inc. 22,400 1,126
Augat, Inc. 35,900 686
* Aura Systems, Inc. 121,000 427
* Auspex Systems, Inc. 47,700 709
Authentic Fitness Corp. 36,900 687
* Autotote Corp. 9,900 20
Avalon Properties 63,200 1,375
* Avant! Corp. 17,400 402
* Avatar Holding, Inc. 17,600 612
Avemco Corp. 23,100 312
Aviall Inc. 74,275 687
* Avid Technology, Inc. 43,000 793
* Aztar Corp. 78,500 903
* BBN Corp. 38,600 839
* BDM International, Inc. 25,800 1,200
BHC Financial Inc. 975 13
* BISYS Group, Inc. 46,000 1,728
* BJ Services Co. 59,300 2,083
* BMC Industries, Inc. 54,800 1,575
BMC West Corp. 36,200 609
BRE Properties Inc. Class A 71,048 1,385
BSB Bancorp, Inc. 15,373 398
* BT Office Products International, Inc. 37,300 667
BW/IP Inc. 51,000 975
* Baby Superstore, Inc. 16,800 279
J. Baker, Inc. 36,100 277
Baldor Electric Co. 42,370 953
Ball Corp. 59,500 1,711
Ballard Medical Products 55,666 1,065
BancorpSouth, Inc. 42,700 929
* Banctec, Inc. 51,828 1,049
Bank of Granite Corp. 28,875 743
Bank North Group 24,200 838
Bankers Life Holding Corp. 28,600 633
Banta Corp. 62,100 1,572
* Banyan Systems, Inc. 10,600 76
Barefoot, Inc. 65,500 712
Barnes Group, Inc. 15,000 767
* Barr Labs Inc. 30,900 796
* Barrett Resources Corp. 56,300 1,675
Bassett Furniture Industries, Inc. 30,225 805
Battle Mountain Gold Co. Class A 161,900 1,174
Bay Apartment Communities, Inc. 37,600 973
Bay State Gas Co. 25,576 713
Bay View Capital Corp. 25,203 863
Beacon Properties Corp. 43,700 1,120
Bearings, Inc. 31,800 859
* Belco Oil & Gas Corp. 31,000 1,100
Belden Inc. 49,000 1,470
* Bell & Howell Co. 24,400 796
* Benton Oil & Gas Co. 49,400 1,090
* Berg Electronics Corp. 23,700 563
</TABLE>
56
<PAGE> 81
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
W.R. Berkley Corp. 26,050 $ 1,097
Berkshire Realty Co., Inc. 89,700 975
Berry Petroleum Class A 64,700 736
* Best Buy, Inc. 54,000 1,235
Bindly Western Industries, Inc. 42,200 707
* Bio-Rad Labs, Inc. Class A 28,500 1,022
* Biomatrix, Inc. 34,900 560
* Biotechnology General 124,400 1,026
Birmingham Steel Corp. 60,000 982
* Black Box Corp. 44,100 1,036
Black Hills Corp. 30,900 769
Blair Corp. 19,300 456
Blessings Corp. 13,700 140
Block Drug Co. Class A 24,362 1,011
Bob Evans Farms, Inc. 84,300 1,428
* Boca Research, Inc. 28,900 524
* Boise Cascade Office Products Corp. 14,700 509
* Bombay Co. 117,275 733
* Books-a-Million Inc. 56,400 469
* Boole & Babbage Inc. 37,575 888
Borg-Warner Automotive, Inc. 49,900 1,971
* Borg-Warner Security Corp. 57,900 564
* Borland International, Inc. 62,500 566
Boston Bancorp 19,900 863
* Boston Technology, Inc. 43,200 732
Bowne & Co., Inc. 25,000 516
* Box Energy Corp. Class B 81,600 739
* Boyd Gaming Corp. 46,400 696
W.H. Brady Class A 37,800 855
Breed Technological Inc. 40,000 895
Brenco, Inc. 22,500 361
Brenton Banks, Inc. 24,550 589
* Bright Voice Systems, Inc. 35,100 746
* Bristol Hotel Co. 26,400 858
* Broadband Technologies, Inc. 26,800 868
* Broadway & Seymour, Inc. 12,800 151
* Broderbund Software, Inc. 31,500 1,020
* Brooktree Corp. 70,500 736
Brown Group, Inc. 58,500 1,016
Brush Wellman, Inc. 50,200 954
* Buckeye Cellulose Corp. 36,100 997
* Buffets Inc. 55,900 678
* Burlington Coat Factory
Warehouse Corp. 18,100 190
* Burlington Industries, Inc. 136,100 1,922
* Burr-Brown Corp. 31,900 554
* CAI Wireless Systems, Inc. 55,655 511
CBL & Associates Properties, Inc. 42,600 953
CCB Financial Corp. 32,483 1,677
* C-Cor Electronics, Inc. 38,000 674
* C-Cube Microsystems, Inc. 37,800 1,250
* CDI Corp. 34,800 1,174
CKE Restaurants Inc. 38,500 982
* CKS Group, Inc. 13,000 418
CMAC Investment Corp. 23,300 1,340
CML Group, Inc. 179,600 763
CNB Bankshares, Inc. 35,921 1,028
* CNS, Inc. 31,100 752
* C. P. Clare Corp. 17,700 453
CPI Corp. 52,500 866
* CSF Holdings Inc. Contingent
Litigation Rights 29,125 14
* CSG Systems International, Inc. 8,400 216
* C-TEC Corp. 37,900 1,135
CWM Mortgage Holdings Inc. 84,000 1,428
* Cable Design Technologies 36,700 1,211
* Cablevision Systems Corp. Class B 15,500 717
Cabot Oil & Gas Corp. Class A 46,326 805
* Caere Corp. 57,700 663
* Cal Fed Bancorp Inc. 103,178 1,883
* Calgene, Inc. 105,800 698
Calgon Carbon Corp. 73,600 994
Cali Realty Corp. 29,100 706
* California Amplifier, Inc. 16,700 380
* California Microwave, Inc. 35,000 538
California Water Service Co. 25,313 886
Calmat Co. 39,300 712
Cambrex Corp. 13,700 700
* Cambridge Technology Partners 43,000 1,314
Camco International, Inc. 50,600 1,714
Camden Property Trust 32,000 760
* Canandaigua Wine Co., Inc. Class A 14,800 446
* Canandaigua Wine Co., Inc. Class B 15,200 450
* Cannondale Corp. 28,800 576
Capital Re Corp. 24,800 911
Capitol American Financial Corp. 18,400 462
Capmac Holdings Inc. 12,800 365
Capstead Mortgage Corp. 48,300 1,346
* Capstone Pharmacy Services, Inc. 50,000 637
* Capsure Holdings 46,000 822
Caraustar Industries, Inc. 52,500 1,404
* Career Horizons Inc. 36,900 1,291
Carlisle Co., Inc. 28,700 1,525
* Carmike Cinemas, Inc. Class A 33,700 910
Carpenter Technology Corp. 34,600 1,107
CarrAmerica Realty Corp. 40,800 979
* Carrington Labs Inc. 28,000 721
* Carson Pirie Scott & Co. 33,100 885
Carter-Wallace, Inc. 46,800 684
Cascade Natural Gas Corp. 12,650 182
Casey's General Stores 50,700 1,001
Cash America International Inc. 121,900 792
* Casino America, Inc. 73,600 598
* Casino Magic Corp. 106,600 590
</TABLE>
57
<PAGE> 82
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
A.M. Castle & Co. 24,025 $ 567
* Castle & Cooke, Inc. 24,900 398
* Catalina Marketing Corp. 19,900 1,821
* Catellus Development Corp. 158,450 1,446
Cato Corp. Class A 53,200 316
Cavalier Homes, Inc. 24,400 564
* Cellstar Corp. 56,000 497
* Cellpro, Inc. 35,300 622
* Cellular Communications
International Inc. 19,900 664
* Cellular Communications of Puerto
Rico, Inc. 14,800 480
* Cellular Technical Services Co. 59,422 1,043
* Cellularvision USA, Inc. 24,600 381
* Centennial Technologies, Inc. 15,900 475
* Centex Construction Products 45,700 645
Centex Corp. 56,400 1,755
Central Hudson Gas & Electric Corp. 35,000 1,094
Central Louisiana Electric Co. 46,000 1,225
Central Maine Power Co. 68,614 995
Central Parking Corp. 17,000 504
Central Vermont Public Service Corp. 14,200 181
Centura Banks, Inc. 49,700 1,826
* Century Communications Corp.
Class A 69,316 598
* Cephalon Inc. 48,500 952
* Cerner Corp. 44,200 950
* Champion Enterprises, Inc. 77,800 1,624
* Champion Healthcare Corp. 14,200 161
* Chancellor Broadcasting Co. Class A 30,300 952
Chaparral Steel Co. 33,500 440
* Charming Shoppes, Inc. 191,500 1,340
Charter One Financial 67,135 2,337
Charter Power Systems, Inc. 21,400 738
* Chase Brass Industries, Inc. 44,200 823
* Checkfree Corp. 42,600 849
Chelsea GCA Realty, Inc. 30,200 959
Chemed Corp. 22,900 856
Chemical Finance 18,593 690
* The Cherry Corp. Class A 15,800 174
* The Cherry Corp. Class B 15,000 157
Chesapeake Corp. of Virginia 49,800 1,307
* Chesapeake Energy Corp. 2,900 261
* Cheyenne Software, Inc. 79,200 1,525
* Chic by H.I.S., Inc. 8,300 43
* Chicago Miniature Lamp, Inc. 2,300 86
* Children's Discovery Centers of
America, Inc. 2,600 17
Chiquita Brands International, Inc. 58,800 764
Chittenden Corp. 38,635 860
* Christiana Cos., Inc. 3,900 83
Church and Dwight, Inc. 37,300 779
* Chyron Corp. 163,000 1,019
* Cidco, Inc. 20,000 705
Cilcorp, Inc. 27,000 1,154
Cincinnati Milacron, Inc. 78,377 1,881
Citicasters, Inc. 30,000 941
Citifed Bancorp 21,200 833
Citizens Bancorp MD 25,100 743
Citizens Bancshares, Inc. 2,100 61
Citizens Banking Corp. 21,800 616
Citizens Corp. 35,000 656
* Citizens Utilities Co. Class B 154,302 1,794
* Citrix Systems, Inc. 41,600 1,576
City National Corp. 75,800 1,194
Claire's Stores, Inc. 61,000 1,685
Clarcor Inc. 33,050 818
* Clarify, Inc. 5,200 256
Cleveland-Cliffs Iron Co. 24,500 958
* Cliffs Drilling Co. 9,107 306
* Clintrials Research, Inc. 22,200 916
* Coast Savings Financial, Inc. 38,500 1,261
* Coastal Physician Group, Inc. 77,400 532
* Coastcast Corp. 4,200 80
Coca-Cola Bottling Co. 19,222 673
* Cocensys, Inc. 56,100 526
Coeur D'Alene Mines Corp. 43,043 791
* Cognex Corp. 67,600 1,103
* Coherent Communications
Systems Corp. 31,600 664
* Coherent, Inc. 22,500 1,178
* Cole National Corp. Class A 39,800 796
Collagen Corp. 38,000 727
Collective Bancorp, Inc. 42,000 1,000
* Collins & Aikman Corp. 143,100 859
Colonial Bancgroup, Inc. 28,500 955
* Colonial Data Technologies Corp. 42,400 636
Colonial Properties Trust 35,200 854
* Coltec Inc. 92,000 1,311
* Columbia Laboratories Inc. 80,100 1,191
Columbus Realty Trust 45,700 885
Comair Holdings, Inc. 42,700 1,161
* COMFORCE Corp. 20,000 525
Commerce Bancorp, Inc. 37,948 896
Commerce Group, Inc. 66,000 1,378
Commercial Federal Corp. 28,300 1,082
Commercial Intertech Corp. 49,350 1,271
Commercial Metals Co. 24,366 810
* Commnet Cellular Inc. 28,300 854
Commonwealth Energy Systems 38,600 994
Communications Systems, Inc. 18,300 249
* Community Healthcare Systems 41,500 2,148
* Community Psychiatric Centers 98,250 933
* Compdent Corp. 17,300 802
</TABLE>
58
<PAGE> 83
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Compression Labs, Inc. 4,640 $ 27
* CompUSA, Inc. 11,400 389
* Computer Horizons Corp. 32,700 1,288
* Computer Management
Sciences, Inc. 16,100 497
* Computer Network
Technology Corp. 90,600 657
* Computer Products, Inc. 48,422 823
* Computervision Corp. 133,200 1,332
* Comverse Technology, Inc. 44,200 1,354
* Conceptus, Inc. 22,300 374
* Concord EFS, Inc. 36,538 1,306
* Cone Mills Corp. 47,600 536
* Conmed Corp. 25,950 689
Connecticut Natural Gas Corp. 35,200 788
* Continental Airlines, Inc. Class B 33,900 2,093
* Continental Waste Industries, Inc. 15,800 354
* Continuum Co. 5,100 296
* Control Data Corp. 22,200 476
* Cooper & Chyan Technology, Inc. 14,500 314
Adolph Coors Co. Class B 77,900 1,397
* Copytele, Inc. 124,200 1,071
* Cor Therapeutics, Inc. 76,600 876
* Coram Healthcare Corp. 25,400 105
* COREStaff, Inc. 19,200 854
* Corrections Corp. of America 11,500 805
* Cort Business Services Corp. 1,900 37
Corus Bankshares Inc. 24,700 750
Cousins Properties, Inc. 47,700 936
* Covenant Transport, Inc. 7,300 123
* Coventry Corp. 68,900 1,081
Crawford & Co. Class B 48,700 846
* Cray Research, Inc. 13,937 336
* Credence Systems Corp. 44,900 603
* Credit Acceptance Corp. 38,000 808
* Cree Research, Inc. 47,800 717
Crescent Real Estate Equities, Inc. 41,300 1,518
Criimi Mae Inc. 101,500 1,117
Crompton & Knowles Corp. 98,400 1,648
A.T. Cross Co. Class A 39,100 694
* Crosscom Corp. 8,800 93
Crown American Realty Trust 95,600 741
* Crown Central Petroleum Corp.
Class A 36,900 558
* Cryolife, Inc. 16,100 580
Cubic Corp. 19,000 620
Cullen/Frost Bankers, Inc. 46,280 1,290
* Culligan Water Technologies 31,500 1,197
Curtiss-Wright Corp. 12,800 691
* Cybercash, Inc. 7,250 396
* CyCare Systems, Inc. 20,700 1,079
* Cygnus Inc. 46,400 705
* Cylink Corp. 18,200 312
* Cyrix Corp. 39,900 691
* Cytel Corp. 96,700 429
* Cytogen Corp. 97,020 876
* DII Group Inc. 32,223 832
* D. R. Horton, Inc. 38,344 403
* DSP Communications, Inc. 41,400 2,124
* DSP Group Inc. 10,000 91
* Daka International, Inc. 19,900 465
Dallas Semiconductor Corp. 54,800 993
Dames & Moore, Inc. 37,600 456
* Daniel Industries, Inc. 49,100 712
Dart Group Corp. Class A 7,567 648
* Data General Corp. 80,700 1,049
* Data Translation, Inc. 25,700 416
* Datascope Corp. 39,500 706
Dauphin Deposit Bank & Trust 57,300 1,637
* Davidson and Associates, Inc. 12,500 378
Dean Foods Corp. 83,400 2,064
DeBartolo Realty Corp. 93,400 1,506
* DecisionOne Corp. 29,700 713
Dekalb Genetics Corp. Class B 27,700 713
Delchamps, Inc. 27,553 656
Delta & Pine Land Co. 42,649 1,802
Delta Woodside 16,900 87
* Department 56 Inc. 44,800 1,014
Deposit Guaranty Corp. 40,500 1,792
* Destec Energy Inc. 37,900 483
Developers Diversified Realty Corp. 38,500 1,227
Devon Energy Corp. 46,400 1,137
* Devry, Inc. 33,600 1,512
Dexter Corp. 51,300 1,526
Diagnostic Products Corp. 22,900 882
* Dialogic Corp. 19,800 1,183
* Diamond Multimedia Systems, Inc. 50,963 481
Diamond Shamrock, Inc. 10,000 289
* Digi International, Inc. 29,300 776
* Digital Link Corp. 11,000 186
* Digital Microwave Corp. 67,300 1,115
* Digital Systems Inc. 16,300 245
Dimon Inc. 76,800 1,421
* Dionex Corp. 26,800 881
* Discovery Zone, Inc. 39,400 37
* Documentum, Inc. 16,900 520
Donaldson Co., Inc. 47,200 1,215
* Doubletree Corp. 38,200 1,354
* Dravo Corp. 57,000 848
* The Dress Barn, Inc. 63,700 677
Dreyer's Grand Ice Cream, Inc. 20,800 663
Duke Realty Investments 50,400 1,525
* Dura Pharmaceuticals, Inc. 29,200 1,637
Duriron Co., Inc. 50,300 1,204
</TABLE>
59
<PAGE> 84
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Duty Free International Inc. 33,400 $ 509
* Dynatech Corp. 39,700 1,295
* EIS International, Inc. 22,400 567
* ENSCO International, Inc. 5,450 177
* ESS Technology, Inc. 27,700 509
* ETEC Systems, Inc. 13,500 299
* EZ Communications, Inc. 31,900 770
* Eagle Hardware & Garden, Inc. 17,500 266
* Earthgrains Co. 21,736 712
Easco, Inc. 5,200 41
Eastern Enterprises 42,400 1,410
Eastern Utilities Associates 43,589 855
Eaton Vance Corp. 22,100 793
* EchoStar Communications Corp. 8,400 236
* Edmark Corp. 29,650 597
* Egghead, Inc. 68,300 751
* El Paso Electric Co. 102,100 613
Elcor Corp. 37,000 675
* Electro Rent Corp. 38,779 940
* Electro Scientific Industries, Inc. 31,600 652
* Electroglas, Inc. 35,200 499
* Electronics for Imaging, Inc. 18,800 1,305
Elizabethtown Corp. 30,200 838
* Eltron International Inc. 14,600 396
* Emcare Holdings Inc. 25,500 752
Empire District Electric Co. 48,870 843
* Employee Solutions, Inc. 13,000 409
* Emulex Corp. 3,300 49
Energen Corp. 37,000 819
* Energy Conversion Devices, Inc. 27,200 617
* Energy Ventures Inc. 27,600 897
Enhance Financial Services
Group, Inc. 30,800 862
Ennis Business Forms, Inc. 64,550 734
Enron Global Power &
Pipelines L.L.C. 13,100 318
* Envoy Corp. 27,600 804
* Envirosource, Inc. 86,600 309
* Enzo Biochem, Inc. 38,400 658
* Epic Design Technology, Inc. 21,500 554
* Epitope Inc. 47,500 742
* Ethan Allen Interiors Inc. 36,600 906
* Evans & Sutherland Computer Corp. 30,700 649
Evans Withycombe Residential, Inc. 31,900 666
* Evergreen Media Corp. 29,200 1,241
* Exabyte Corp. 44,000 575
* Exar Corp. 9,100 117
* Excalibur Technologies Corp. 26,000 579
Excel Industries, Inc. 15,100 189
* Excite, Inc. 38,800 318
Executive Risk, Inc. 24,600 941
* Executive Telecard Ltd. 55,200 721
Exide Corp. 35,100 851
* Exide Electronics Group, Inc. 10,800 103
Expeditors International of
Washington, Inc. 29,300 901
* Express Scripts 31,100 1,427
* Extended Stay America, Inc. 25,500 800
F & M National Corp. 37,441 683
FMC Gold Co. 68,300 307
F.N.B. Corp. 18,215 433
* FSI International, Inc. 33,500 419
* FTP Software, Inc. 50,300 409
* Fabri-Centers of America, Inc. 33,900 559
* Fabri-Centers of America, Inc.
Class B 33,900 513
Factory Stores of America, Inc. 12,600 115
* Falcon Drilling Co., Inc. 29,000 785
Family Dollar Stores, Inc. 82,800 1,439
Farmer Brothers, Inc. 3,550 490
Fay's Drug Co. 76,275 601
Fedders Corp. 76,200 543
Fedders Corp. Class A 67,612 397
Federal-Mogul Corp. 72,300 1,329
Federal Realty Investment Trust 67,700 1,523
Felcor Suite Hotels, Inc. 41,200 1,257
Ferro Corp. 54,400 1,442
Fidelity National Financial, Inc. 45,461 688
* Fieldcrest Cannon, Inc. 38,700 759
* Figgie International Inc. Class A 58,200 869
* FileNet Corp. 28,600 1,030
Financial Security Assurance
Holdings Ltd. 66,200 1,812
Financial Trust Corp. 13,802 395
Fingerhut Co. 98,200 1,534
* First Alert, Inc. 37,400 152
First American Financial Corp. 20,500 692
First Bancorp of Ohio 68,400 2,155
First Citizens BancShares Class A 16,800 1,054
First Commerce Bancshares Inc.
Class A 5,300 148
First Commerce Bancshares Inc.
Class B 8,000 126
First Commercial Corp. 50,876 1,577
First Commonwealth Financial Corp. 45,500 808
* First Federal Financial Corp. 42,775 743
First Federal Savings Bank
of Colorado 38,900 511
First Financial Bancorp 24,791 809
First Financial Savings Assn. 63,000 1,425
First Hawaiian, Inc. 43,500 1,245
First Industrial Realty Trust 45,700 1,074
First Merchants Corp. 19,000 482
First Michigan Bank Corp. 38,882 1,215
</TABLE>
60
<PAGE> 85
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
First Midwest Bancorp 26,700 $ 754
First Mississippi Corp. 42,300 941
First Source Corp. 31,956 703
* First Team Sports, Inc. 6,200 66
Firstbank of Illinois Co. 10,560 325
Firstbank Puerto Rico 29,600 681
Fisher Scientific International Inc. 33,600 1,260
* Flagstar Cos. 87,060 267
Fleming Cos., Inc. 76,500 1,100
Florida East Coast Railway Co. 11,000 913
Florida Rock Industries, Inc. 28,500 737
* Flow International Corp. 9,200 73
Flowers Industries, Inc. 121,200 1,954
Fluke Corp. 20,700 836
* Foamex International, Inc. 69,400 854
* Foodmaker, Inc. 125,300 1,081
* Fore Systems, Inc. 38,900 1,403
Foremost Corp. of America 17,600 999
Fort Wayne National Corp. 22,500 712
FoxMeyer Health Corp. 38,784 577
Franchise Finance Corp. of America 69,700 1,603
* Franklin Electronic Publishers, Inc. 29,200 584
* Franklin Quest Co. 37,700 782
Freeport-McMoRan, Inc. 56,300 1,999
Fremont General Corp. 38,710 890
* Friedman's Inc. Class A 37,900 971
* Fritz Cos., Inc. 14,300 461
Frontier Insurance Group, Inc. 27,060 934
* Fuisz Technologies Ltd. 24,300 462
H.B. Fuller Co. 28,050 1,020
Fulton Financial Corp. 64,876 1,241
Fund American Enterprise
Holding Co. 15,553 1,260
* Furniture Brands International Inc. 123,400 1,357
Furon Co. 34,000 842
* Fusion Systems 28,700 725
G & K Services, Inc. 42,150 1,191
GATX Corp. 40,900 1,973
* GC Cos. 22,050 821
* GRC International, Inc. 19,400 744
Gables Residential Trust 39,000 917
Gainsco, Inc. 78,659 777
* Galileo Electro-Optics Corp. 15,900 381
Arthur J. Gallagher & Co. 30,800 986
* Garden Ridge Corp. 14,900 753
* Gasonics International Corp. 37,100 394
* Gaylord Container Corp. 111,800 873
* Gelman Sciences, Inc. 30,900 699
GenCorp, Inc. 50,100 758
* General Communication, Inc. 85,400 673
* General Datacomm Industries, Inc. 44,800 605
General Growth Properties 50,300 1,213
* General Magic, Inc. 57,000 378
* General Scanning, Inc. 30,500 511
* Genesco, Inc. 93,800 727
* Genesis Health Ventures Inc. 50,600 1,588
* Geneva Steel Class A 55,700 313
* Gensia Inc. 127,629 654
* Gentex Corp. 61,000 1,182
* Genus, Inc. 11,100 108
Geon Co. 51,300 1,154
* Geotek Industries, Inc. 103,000 1,410
* Geoworks 14,500 508
Gerber Scientific, Inc. 31,100 501
* Getchell Gold Corp. 44,512 1,469
Getty Petroleum Corp. 31,500 473
* Gibraltar Steel 25,950 519
* Gibson Greetings, Inc. 29,300 405
Giddings & Lewis, Inc. 75,400 1,235
* Gilead Sciences, Inc. 58,100 1,460
P.H. Glatfelter Co. 53,200 978
* Glendale Federal 84,200 1,526
Glimcher Realty Trust 44,800 756
* Global Industrial Technologies, Inc. 47,200 755
* Global Industries, Ltd. 33,000 990
* Global Natural Resources, Inc. 68,300 1,118
* Global Village Communication 29,000 241
* Golden Books Family
Entertainment, Inc. 65,300 792
Goodmark Foods, Inc. 2,100 29
* Goody's Family Clothing 23,700 246
Gorman-Rupp Co. 10,025 133
Goulds Pumps, Inc. 44,000 1,130
Graco, Inc. 46,150 935
* Grancare Inc. 59,172 1,176
* Grand Casinos, Inc. 12,600 324
Great Financial Corp. 40,300 1,045
Green Mountain Power Corp. 10,394 252
Greenfield Industries, Inc. 33,300 1,107
Greif Brothers Corp. Class A 32,200 1,010
Grey Advertising, Inc. 3,000 675
* Griffon Corp. 105,300 856
* Gryphon Holdings, Inc. 600 9
Guarantee Life Cos., Inc. 23,100 404
Guilford Mills, Inc. 29,200 730
* Gulf South Medical Supply, Inc. 22,000 858
* Gupta Corp. 4,000 19
* The Gymboree Corp. 52,100 1,583
HCC Insurance Holdings, Inc. 43,250 973
* HCIA, Inc. 5,000 316
* HMT Technology Corp. 43,400 678
* HNC Software, Inc. 26,700 1,218
* HS Resources Inc. 20,711 241
HUBCO, Inc. 42,701 905
</TABLE>
61
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<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Ha-Lo Industries, Inc. 25,500 $ 669
* Hadco Corp. 28,500 606
* Haemonetics Corp. 46,050 840
Haggar Corp. 11,000 146
Hancock Holding Co. 20,046 807
Handleman Co. 132,800 913
Handy & Harman 52,300 889
* Harbinger Corp. 27,100 749
John H. Harland Co. 63,200 1,556
Harleysville National Corp. 2,575 66
Harman International
Industries, Inc. 28,625 1,410
Harmon Industries, Inc. 10,900 174
* Harmonic Lightwaves, Inc. 35,400 801
Harper Group, Inc. 43,300 850
Harte-Hanks Communications Co. 57,291 1,590
Hartford Steam Boiler Inspection &
Insurance Co. 42,200 2,073
* Hartmarx Corp. 119,300 746
Health Care Properties Investors 56,400 1,904
Health Care REIT, Inc. 40,600 873
* Health Management Systems, Inc. 27,900 889
Healthcare Realty Trust Inc. 33,300 791
* Healthdyne Technologies, Inc. 45,001 582
* Healthplan Services Corp. 14,100 324
* Heartland Express, Inc. 32,139 872
* Heartland Wireless
Communications, Inc. 23,600 566
Hechinger Co. Class A 63,500 282
* Hecla Mining Co. 105,300 737
* Heftel Broadcasting Corp. 25,500 752
Heilig-Meyers Co. 96,500 2,316
Helix Technology Corp. 19,200 746
Helmerich & Payne, Inc. 50,900 1,864
Herbalife International, Inc. 46,300 677
Heritage Financial Services, Inc. 30,800 658
* Heritage Media Corp. Class A 34,304 1,368
* Hexcel Corp. 75,200 1,147
* Highlands Insurance Group 34,130 640
Highwood Properties, Inc. 40,000 1,105
Hollinger International, Inc. 61,100 695
Holly Corp. 23,700 593
* Hollywood Casino Corp. 8,300 58
* Hollywood Entertainment Corp. 32,600 509
* Hollywood Park, Inc. 71,700 677
* Hologic, Inc. 18,400 807
Home Beneficial Corp. Class B 28,400 731
Home Financial Corp. 50,200 656
* Hometown Buffet, Inc. 49,700 696
Hon Industries, Inc. 51,500 1,474
Horace Mann Educators Corp. 48,900 1,553
* Horizon/CMS Healthcare Corp. 106,531 1,372
Horizon Group Inc. 40,164 823
Hospitality Properties Trust 37,500 1,003
* Host Marriott Services 55,500 402
Houghton Mifflin Co. 30,800 1,532
* Hovnanian Enterprises Class A 650 4
* Hovnanian Enterprises Class B 9,650 57
Hudson Foods Inc. Class A 50,550 708
Huffy Corp. 53,200 685
Hughes Supply, Inc. 20,800 723
* Hugoton Energy Corp. 21,700 180
* Human Genome Sciences, Inc. 34,200 1,261
Hunt Manufacturing Co. 37,000 550
J.B. Hunt Transport Services, Inc. 47,700 999
* Hutchinson Technology, Inc. 14,900 527
* Hybridon, Inc. 25,360 295
* Hyperion Software Corp. 62,900 774
IBS Financial Corp. 30,850 403
ICN Pharmaceuticals, Inc. 63,235 1,470
* ICU Medical, Inc. 33,300 450
* IDEC Pharmaceuticals Corp. 31,600 731
* IDEX Corp. 39,500 1,501
* IDEXX Laboratories 39,555 1,548
* IDT Corp. 19,100 180
* IDX Systems Corp. 23,480 913
IES Industries, Inc. 62,500 1,867
* IGI, Inc. 12,800 101
* IHOP Corp. 31,400 842
* IMP, Inc. 39,700 444
IRT Property Co. 89,599 851
ISB Financial Corp. 12,000 179
* I-STAT Corp. 19,700 372
* ITI Technologies, Inc. 26,600 876
IWC Resources Corp. 16,100 289
* Identix, Inc. 46,600 682
Ideon Group 55,900 755
* Imatron, Inc. 3,500 20
* Immulogic Pharmaceutical Corp. 58,800 526
* Immunex Corp. 37,400 514
* Imperial Bancorp 33,991 820
* Imperial Credit 39,282 1,201
* In Focus Systems, Inc. 21,500 519
* Inbrand Corp. 28,000 798
* Incyte Pharmaceuticals, Inc. 22,100 856
Indiana Energy, Inc. 39,800 1,139
* Inference Corp. Class A 25,300 601
* Information Resources, Inc. 54,000 655
* Inhale Therapeutic Systems 26,200 481
* Inphynet Medical Management, Inc. 40,200 764
* Input/Output, Inc. 39,900 1,292
* Insignia Financial Group 52,600 1,427
* Insilco Corp. 18,800 639
* Inso Corp. 19,200 991
</TABLE>
62
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<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Instent, Inc. 7,900 $ 170
Integon Corp. 45,300 912
* Integrated Device Technology Inc. 146,500 1,566
Integrated Health Services, Inc. 41,900 995
* Integrated Measurement
Systems, Inc. 11,100 282
* Integrated Packaging
Assembly Corp. 32,500 309
* Integrated Process Equipment Corp. 24,500 499
* Integrated Silicon Solution, Inc. 42,300 484
* Integrated Systems Consulting
Group Inc. 4,275 82
* Integrated Systems, Inc. 25,300 996
Intelligent Electronics Inc. 65,600 554
Inter-Regional Financial Group, Inc. 41,200 1,071
* Inter-Tel, Inc. 36,400 956
* Intercardia, Inc. 14,000 404
* Intercel, Inc. 26,300 533
* Interdigital Communications Corp. 94,400 802
Interface, Inc. 51,800 800
* Intergraph Corp. 83,100 1,018
* Interim Services, Inc. 28,603 1,219
* Intermagnetics General Corp. 30,800 554
* Intermet Corp. 56,000 781
International Aluminum Corp. 5,600 141
* International Cabletel, Inc. 61,867 1,833
* International Dairy Queen, Inc.
Class A 38,000 822
* International Family Entertainment,
Inc. Class B 59,050 1,092
* International Imaging Materials Inc. 4,500 106
International Multifoods Corp. 35,700 652
* International Rectifier Corp. 8,100 131
International Shipholding Corp. 11,650 205
* Interneuron Pharmaceutical, Inc. 46,000 1,369
Interpool, Inc. 38,100 695
* Intersolv 65,300 616
Interstate Bakeries 7,900 211
Interstate Power Co. 28,500 916
* Intervoice, Inc. 41,300 816
* Intevac, Inc. 9,200 138
Invacare Corp. 61,200 1,454
* Investment Technology Group, Inc. 31,100 435
Investors Financial Services Corp.
Class A 877 20
* Iomega Corp. 120,700 3,478
* Ionics, Inc. 29,500 1,387
* Iron Mountain, Inc. 3,300 68
Irvine Apartment Communities, Inc. 40,100 807
* Irvine Sensors Corp. 10,300 48
Irwin Financial Corp. 14,800 586
* ISIS Pharmaceuticals, Inc. 59,600 1,114
* Isolyser Co., Inc. 45,800 547
* Itron, Inc. 21,600 622
J & L Specialty Steel Inc. 37,400 556
JLG Industries, Inc. 13,400 997
JSB Financial 24,100 801
* Jacobs Engineering Group Inc. 43,200 1,139
Jefferies Group, Inc. 29,916 927
Jefferson Bankshares, Inc. 30,157 673
John Alden Financial Group 52,200 1,155
John Nuveen Co. Class A 10,000 249
* Johnson Worldwide Associates, Inc. 25,500 360
* Johnstown America Industries 400 1
* Jones Intercable Inc. 48,400 687
Jones Medical Industries, Inc. 38,400 1,270
Jostens Inc. 63,000 1,244
Juno Lighting, Inc. 35,800 606
* Just For Feet, Inc. 20,900 1,109
Justin Industries, Inc. 61,550 816
KN Energy, Inc. 40,327 1,351
* K2 Inc. 32,010 868
* Kaiser Aluminum & Chemical Corp. 48,200 530
Kansas City Life Insurance Co. 12,030 671
* Katz Media Group 52,600 756
Kaufman & Broad Home Corp. 70,000 1,015
Kaydon Corp. 34,200 1,471
* Keane, Inc. 33,950 1,252
Kellwood Co. 41,950 771
* Kelly Oil Corp. 35,200 140
* KEMET Corp. 70,700 1,423
Kennametal, Inc. 54,200 1,843
* Kent Electronics Corp. 49,800 1,556
Keystone Financial, Inc. 48,950 1,652
Keystone International, Inc. 55,600 1,154
Kimball International, Inc. Class B 33,700 929
Kimco Realty Corp. 54,500 1,540
* Kinder Care Learning Centers Inc. 54,600 843
Kinetic Concepts, Inc. 57,200 894
* Kirby Corp. 55,400 935
* L. L. Knickerbocker Co. 42,100 487
* Knight Transportation, Inc. 12,500 255
* Koger Equity Inc. 64,100 857
Kranzco Realty Trust 9,200 130
* Kulicke & Soffa Industries, Inc. 38,800 563
Kysor Industrial Corp. 12,800 310
LSI Industries Inc. 17,473 297
LTC Properties, Inc. 40,300 665
* LTX Corp. 69,400 429
La-Z-Boy Chair Co. 26,400 795
* Laboratory Corp. of America 172,500 1,294
Laclede Gas Co. 34,700 776
Lance, Inc. 26,900 447
Landauer, Inc. 32,500 687
</TABLE>
63
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<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Landec Corp. 20,000 $ 408
* Landmark Graphics Corp. 40,900 795
* Lands' End, Inc. 45,800 1,134
* Landstar System 25,800 742
* Lattice Semiconductor Corp. 45,400 1,095
Lawson Products, Inc. 28,100 708
Lawter International Inc. 67,466 843
Leader Financial Corp. 19,200 854
* Legato Systems, Inc. 13,700 745
Legg Mason Inc. 31,000 1,000
Lennar Corp. 48,550 1,214
Lesco, Inc. 10,800 198
* Level One Communications 38,000 760
Libbey, Inc. 42,200 1,171
Liberty Bancorp, Inc. (Oklahoma) 18,800 673
Liberty Corp. 31,700 1,006
Liberty Financial Cos., Inc. 5,100 173
Liberty Property Trust 59,000 1,173
Life Partners Group, Inc. 48,600 1,106
Life Re Corp. 25,400 784
Life Technologies, Inc. 25,300 813
* Lifecore Biomedical Inc. 23,200 490
* Lifetime Hoan Corp. 14,657 161
Lilly Industries Inc. Class A 57,450 977
* Lin Television 21,000 751
* Lincare Holdings Inc. 30,600 1,197
Lincoln Electric Co. 8,500 296
Lincoln Electric Co. Class A 24,200 726
Lincoln Telecommunications Co. 71,200 1,161
Lindsay Manufacturing Co. 23,087 921
* Liposome Co., Inc. 70,900 1,329
Liqui-Box Corp. 21,100 630
* Littelfuse, Inc. 25,500 963
* Living Centers of America, Inc. 34,100 1,172
* Lo-Jack Corp. 72,800 828
* Logic Works, Inc. 18,900 248
Logicon, Inc. 24,400 729
Lone Star Industries, Inc. 31,500 1,059
Long Island Bancorp, Inc. 52,900 1,617
Longs Drug Stores, Inc. 31,100 1,388
Longview Fiber Co. 97,300 1,654
Luby's Cafeterias, Inc. 48,600 1,142
Lufkin Industries 10,414 212
Lukens, Inc. 30,100 719
* Lydall, Inc. 36,500 803
MAF Bancorp, Inc. 37,623 912
* MAIC Holdings Inc. 24,001 903
MDU Resources Group, Inc. 58,625 1,260
MGI Properties, Inc. 41,800 716
* MRV Communications Inc. 5,400 227
MTS Systems Corp. 36,600 755
MacDermid, Inc. 2,400 169
The Macerich Co. 32,800 689
* MacFrugal's Bargains Close-Outs, Inc. 51,600 916
* Macromedia 42,200 928
Madison Gas & Electric Co. 31,975 691
* Mafco Consolidated 7,200 179
* Magellan Health Services Corp. 58,400 1,256
Magna Bancorp, Inc. 1,500 54
Magna Group 57,100 1,363
* Magnatek 83,200 801
* Manhattan Bagel Co., Inc. 18,700 277
Manitowoc Co., Inc. 26,800 961
Manufactured Home
Communities, Inc. 51,400 989
* Manugistics Group, Inc. 39,900 663
* Marcam Corp. 19,700 233
* Marine Drilling Co., Inc. 79,100 796
* Mariner Health Group, Inc. 53,800 995
Mark Twain Bancshares, Inc. 25,550 949
* Markel Corp. 3,400 313
* Marquette Electronics Class A 20,400 357
* Marshall Industries 37,000 1,036
* Martek Biosciences Corp. 20,800 611
Maryland Federal Bancorp 9,100 267
MascoTech Inc. 61,600 909
* Material Sciences Corp. 55,300 954
* Matrix Pharmaceutical, Inc. 32,200 572
* Maxicare Health Plans Inc. 35,717 681
* Maxxam Inc. 20,400 801
* McAfee Associates, Inc. 28,600 1,403
McClatchy Newspapers, Inc. 47,200 1,304
McDonald and Co. Investments, Inc. 35,260 696
* McWorter Technologies Inc. 36,150 642
Meadowbrook Insurance Group, Inc. 6,900 212
Measurex Corp. 25,800 755
* MedCath Inc. 15,200 181
* Medco Research, Inc. 3,800 38
Media General, Inc. Class A 19,900 741
* Medic Computer Systems, Inc. 6,600 536
* MedImmune Inc. 40,500 681
* MedPartners/Mullikin, Inc. 12,261 256
Medusa Corp. 33,150 1,028
* Mego Financial Corp. 35,200 277
Mentor Corp. 49,600 1,262
Merchants New York Bancorporation 10,200 286
* Mercury Interactive Corp. 56,300 760
Meredith Corp. 18,700 781
Meridian Diagnostics, Inc. 25,500 390
Merrill Corp. 26,000 660
Merry Land & Investment Co., Inc. 61,759 1,297
* Mesa Airlines, Inc. 76,300 897
* Mesa, Inc. 236,400 1,300
* Meta-Software, Inc. 15,600 265
</TABLE>
64
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<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
MetaTools, Inc. 17,300 $ 404
Methode Electronics, Inc. Class A 59,000 1,018
* Metricom 50,400 800
* Metrocall, Inc. 41,100 455
* Metromedia International
Group, Inc. 57,700 707
* Fred Meyer, Inc. 57,100 1,677
* Michaels Stores, Inc. 27,718 475
* Microage, Inc. 59,100 798
* Microchip Technology, Inc. 69,100 1,728
* Microcom Corp. 54,000 682
* Micron Electronics, Inc. 27,600 335
Micros Systems, Inc. 5,300 145
* Microtouch Systems, Inc. 21,300 389
Mid Am Inc. 38,217 705
Mid-America Apartment
Communities, Inc. 36,100 916
Mid-America Bancorp 25,713 415
* Mid Atlantic Medical Services 84,700 1,207
* Midcom Communications, Inc. 23,700 338
Midland Co. 8,600 361
Midwest Grain Products 20,800 260
Herman Miller, Inc. 52,300 1,598
* Miller Industries, Inc. 24,650 706
Mills Corp. 51,700 905
Mine Safety Appliances Co. 16,000 678
Minerals Technologies, Inc. 46,500 1,593
* MiniMed, Inc. 12,400 364
Minnesota Power & Light Co. 51,200 1,485
Mississippi Chemical Corp. 39,800 791
Mitchell Energy & Development
Corp. Class A 68,000 1,309
* Mobile Telecommunications
Technologies Corp. 102,400 1,491
* MobileMedia Corp. 75,000 900
Modine Manufacturing Co. 40,300 1,063
* Mohawk Industries, Inc. 39,800 711
* Molten Metal Technology 28,200 828
* Robert Mondavi Corp. 22,600 718
The Money Store 38,600 847
* Morningstar Group, Inc. 39,500 444
Morrison Health Care Inc. 33,116 464
Mosinee Paper Corp. 23,733 644
* Mossimo, Inc. 6,900 275
* Mueller Industries Inc. 35,800 1,486
* Multicare Cos., Inc. 44,550 846
* Musicland Stores Corp. 9,200 30
* Mycogen Corp. 32,800 494
Myers Industries, Inc. 35,270 657
* Mylex Corp. 31,900 562
* NABI, Inc. 60,600 572
NAC Re Corp. 38,750 1,298
* NBTY, Inc. 58,300 583
* NFO Research Inc. 30,300 708
* N L Industries, Inc. 39,500 484
NN Ball and Roller 40,000 815
NPC International Class A 71,500 715
NYMAGIC, Inc. 30,700 579
* Nabors Industries, Inc. 51,800 842
NACCO Industries, Inc. Class A 15,300 847
Nash-Finch Co. 43,800 695
Nashua Corp. 5,800 74
National Bankcorp of Alaska Inc. 9,700 604
National Community Bancorp 42,950 1,353
National Computer Systems, Inc. 31,100 659
National Data Corp. 47,650 1,632
* National Education Corp. 80,700 1,150
National Health Investors REIT 37,200 1,218
National Penn Bancshares Inc. 22,605 610
National Presto Industries, Inc. 18,300 695
National Re Holdings Corp. 35,050 1,323
* National Steel Corp. Class B 44,700 486
* National Western Life Insurance Co.
Class A 9,500 644
Nationwide Health Properties, Inc. 80,500 1,701
Nature's Sunshine Inc. 42,282 1,089
* Nautica Enterprises Inc. 76,714 2,215
* Navistar International Corp. 145,501 1,437
* Neiman Marcus Group Inc. 15,600 421
* Nellcor Puritan Bennett, Inc. 33,436 1,626
Thomas Nelson, Inc. 48,700 651
* Neopath, Inc. 15,300 384
* Netcom On-Line Communication
Services, Inc. 21,800 583
* Netmanage, Inc. 57,600 637
* NetStar, Inc. 5,300 104
* Network Appliance, Inc. 28,300 828
* Network Computing Devices, Inc. 18,500 97
* Network Equipment Technologies 40,100 852
* Network General Corp. 49,800 1,064
* Network Peripherals, Inc. 43,900 749
* Neurex Corp. 16,000 351
* Neurogen Corp. 23,800 607
* Neuromedical Systems, Inc. 55,800 834
Nevada Power Co. 90,500 1,991
New England Business Service, Inc. 43,600 850
New Jersey Resources Corp. 37,500 1,078
* New World Communications
Group, Inc. 64,000 932
New York Bancorp Inc. 36,700 936
* Newfield Exploration Co. 35,100 1,365
* Newpark Resources, Inc. 21,600 794
* Nexstar Pharmaceuticals Inc. 47,000 1,034
* Nimbus CD International, Inc. 22,200 289
</TABLE>
65
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<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Norand Corp. 13,500 $ 268
* Nortek, Inc. 14,208 165
North American Mortgage Co. 41,100 714
* North American Vaccine, Inc. 8,200 150
North Carolina Natural Gas Corp. 28,835 793
North Fork Bancorporation, Inc. 49,700 1,298
* Northfield Laboratories, Inc. 31,700 462
Northland Cranberries, Inc. 22,200 674
Northwest Natural Gas Co. 29,800 1,047
Northwestern Public Service Co. 33,700 906
* Northwestern Steel and Wire Co. 14,300 78
* NovaCare, Inc. 136,400 1,040
* Novellus Systems, Inc. 29,700 1,077
* Noven Pharmaceuticals, Inc. 52,800 848
* Nuevo Energy Co. 29,000 935
* Nu-Kote Holding, Inc. Class A 48,000 789
OEA, Inc. 34,000 1,275
* OHM Corp. 92,500 648
* OIS Optical Imaging Systems, Inc. 87,600 274
OM Group, Inc. 25,400 994
* OMI Corp. 102,300 882
* Oak Industries, Inc. 37,400 1,108
* Oak Technology, Inc. 70,800 668
Oakwood Homes Corp. 6,400 132
Oasis Residential, Inc. 34,500 755
* OccuSystems, Inc. 34,900 1,298
* Oceaneering International, Inc. 71,000 1,074
* Octel Communications Corp. 53,900 1,058
* Offshore Logistics, Inc. 60,700 846
Ogden Corp. 100,700 1,825
Old National Bancorp 40,776 1,516
* Olympic Financial Ltd. 62,700 1,442
* Omega Environmental, Inc. 17,400 39
Omega Healthcare Investors, Inc. 35,200 972
Omnicare, Inc. 2,100 56
Onbancorp Inc. 29,100 951
One Valley Bancorp of West Virginia 30,000 1,039
Oneida Ltd. 38,290 718
ONEOK, Inc. 56,300 1,408
* Ontrak Systems, Inc. 21,700 355
Optical Coating Laboratory, Inc. 32,500 581
* Optical Data System Inc. 31,000 674
Orange & Rockland Utilities, Inc. 28,200 1,036
* Orbital Sciences Corp. 52,000 852
* Orchard Supply Hardware
Stores Corp. 11,300 340
Oregon Steel Mills, Inc. 23,600 325
* Organogenesis, Inc. 46,200 936
Orion Capital Corp. 29,125 1,485
* OrNda Healthcorp 9,400 226
* Orthodontic Centers Of America, Inc. 2,000 53
* Ostex International, Inc. 50,000 544
O'Sullivan Corp. 60,800 722
Otter Tail Power Co. 22,700 736
Outboard Marine Corp. 40,600 736
Overseas Shipholding Group Inc. 58,000 1,051
Owens & Minor, Inc. Holding Co. 59,037 686
* Oxford Resources Corp. 15,900 373
* P-Com, Inc. 31,000 969
* PDT, Inc. 13,150 441
PHH Corp. 36,700 2,092
* PHP Healthcare Corp. 22,700 715
* PLC Systems, Inc. 7,000 157
* PMT Services Inc 47,200 1,354
Pacific Scientific Co. 48,700 767
* Pairgain Technologies, Inc. 23,100 1,434
* Palmer Wireless, Inc. 29,200 589
* PanAmSat Corp. 9,600 277
* Papa John's International, Inc. 13,100 635
Paragon Group Inc. 52,200 855
* Paragon Trade Brands, Inc. 36,500 785
* Parexel International Corp. 12,700 608
Park Electrochemical Corp. 16,100 322
Parker & Parsley Petroleum Co. 72,500 2,012
* Parker Drilling Co. 120,400 692
* Pathogenesis Corp. 27,500 425
Patriot American Hospitality, Inc. 22,400 664
* Patterson Dental Co. 20,300 731
* Paxson Communications Corp. 73,400 780
* Pec Israel Economic Corp. 23,400 424
* Pediatrix Medical Group, Inc. 14,400 706
Penn Engineering & Manufacturing
Co. Class A 4,800 113
* Penn National Gaming, Inc. 16,500 363
* The Penn Traffic Co. 16,500 140
Penncorp Financial Group Inc. 51,500 1,635
Pennsylvania Real Estate
Investment Trust 35,500 688
Pentair, Inc. 69,600 2,088
Penwest Ltd. 12,750 242
Peoples Bank of Bridgeport 22,800 509
* People's Choice TV Corp. 11,400 205
Peoples Heritage Financial
Group Inc. 61,400 1,255
* Perclose, Inc. 22,300 496
* Performance Food Group Co. 25,200 646
* Periphonics Corp. 18,900 647
* Perrigo Co. 139,100 1,574
* Personnel Group of America, Inc. 29,000 714
* Petco Animal Supplies, Inc. 26,400 759
* Pete's Brewing Co. 33,950 505
* Petrie Stores Litigation Trust Unit 52,900 149
Petroleum Heat & Power Co. 32,600 247
Petrolite Corp. 17,200 546
</TABLE>
66
<PAGE> 91
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Phamis, Inc. 6,000 $ 88
* Pharmaceutical Markets 27,800 275
* Pharmaceutical Resources, Inc. 17,700 89
Phillips-Van Heusen Corp. 68,300 871
Phoenix Duff & Phelps Corp. 114,500 859
* Phycor, Inc. 76,137 2,884
* Phymatrix Corp. 19,200 444
* Physician Corp. of America 66,000 887
* Physician Reliance Network, Inc. 9,200 207
* Physician Sales & Service, Inc. 26,300 641
* Physicians Resource Group, Inc. 31,800 1,061
* PictureTel Corp. 31,600 1,246
Piedmont Natural Gas, Inc. 59,343 1,372
Pier 1 Imports Inc. 82,825 1,232
Pillowtex Designs 11,500 142
* Pinkerton's, Inc. 14,200 328
* Pinnacle Systems, Inc. 22,200 466
Pioneer Group Inc. 44,000 1,183
Pioneer Standard Electronics Inc. 42,650 560
Piper Jaffray Cos., Inc. 60,000 750
Pittston Burlington Group 30,400 657
Pittway Corp. Class A 35,100 1,632
* Pixar, Inc. 30,600 593
* Plains Resources 26,000 338
* Plantronics, Inc. 18,900 695
* Platinum Technology, Inc. 96,677 1,456
* Players International, Inc. 54,050 530
* Playtex Products, Inc. 83,500 783
Ply-Gem Industries, Inc. 49,800 679
Poe & Brown, Inc. 21,700 533
Polaris Industries, Inc. 54,900 1,873
* Policy Management Systems Corp. 32,400 1,620
* Pool Energy Service Co. 58,000 678
Pope & Talbot, Inc. 50,900 770
Post Properties, Inc. 44,300 1,567
Precision Castparts Corp. 43,900 1,888
* Precision Systems, Inc. 39,200 456
Premark International, Inc. 127,200 2,353
* Premenos Technology Corp. 19,000 342
* Premiere Technologies, Inc. 22,700 707
* Premisys Communications, Inc. 8,300 507
* Prepaid Legal Services, Inc. 66,800 1,236
Price Enterprises, Inc. 56,000 858
* Pricellular Corp. 53,218 645
* Pride Petroleum Services 51,200 723
* Primadonna Resorts, Inc. 28,700 667
* Primark Corp. 47,300 1,543
* Prime Hospitality Corp. 65,100 1,074
* Printronix, Inc. 12,050 184
* Prism Solutions, Inc. 12,200 290
* Proffitt's, Inc. 30,200 1,076
* Progress Software Corp. 44,900 732
* Pronet, Inc. 30,700 378
Protective Life Corp. 5,400 190
* Protein Design Labs 33,400 747
* Protocol Systems Inc. 26,900 617
Provident Bancorp Inc. 25,650 907
* PsiNet, Inc. 38,700 443
Public Service Co. of New Mexico 86,000 1,763
Public Service Co. of North
Carolina, Inc. 40,900 695
Public Storage, Inc. 65,800 1,357
Pulitzer Publishing Co. 15,112 895
Pulte Corp. 38,100 1,019
* Pure Software, Inc. 21,700 730
Quaker Chemical Corp. 13,700 171
Quaker State Corp. 66,700 1,001
* Quality Food Centers Inc. 16,488 429
Quanex Corp. 40,800 964
* Quantum Health Resources, Inc. 59,200 1,003
* Quarterdeck Corp. 48,300 456
Queens County Bancorp, Inc. 18,050 880
The Quick & Reilly Group, Inc. 29,450 957
* Quickturn Design Systems, Inc. 53,800 777
* Quiksilver, Inc. 26,400 799
* Quintel Entertainment, Inc. 13,700 142
* Quintiles Transnational Corp. 9,900 648
RCSB Financial Corp. 38,700 999
RFS Hotel Investors 49,600 775
ROC Communities Inc. 30,500 728
* RPC Inc. 45,000 518
* Racotek, Inc. 41,200 192
* RailTex, Inc. 29,700 757
* Rainbow Technologies, Inc. 24,100 479
* Ralcorp Holdings Inc. 63,300 1,306
* Rational Software Corp. 5,400 291
Raymond James Financial, Inc. 26,900 609
* Reading & Bates Corp. 11,900 263
Realty Income Corp. 47,100 977
* Red Brick Systems, Inc. 18,700 690
* Red Lion Hotels, Inc. 63,600 1,336
* Red Roof Inns, Inc. 29,000 410
* Redhook Ale Brewery, Inc. 30,000 690
* Redman Industries, Inc. 47,700 972
Regal-Beloit Corp. 34,400 679
* Regal Cinemas, Inc. 25,920 1,183
* Regency Health Services, Inc. 72,000 819
* Regional Acceptance Corp. 23,350 269
Reinsurance Group of America, Inc. 34,500 1,302
Reliance Group Holdings 104,300 782
* Remedy Corp. 9,300 677
* Renaissance Communications 34,200 1,103
* Renal Treatment Centers, Inc. 46,300 1,331
* Republic Industries, Inc. 69,200 2,020
</TABLE>
67
<PAGE> 92
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
* Res-Care, Inc. 36,000 $ 869
Resource Mortgage Capital Corp. 41,900 943
* Respironics, Inc. 48,700 895
* Rex Stores Corp. 24,500 377
* Rexall Sundown, Inc. 11,100 302
Richfood Holdings, Inc. 15,600 506
Riggs National Corp. 72,000 878
* Riscorp, Inc. 54,000 972
Riser Foods, Inc. Class A 15,200 365
Rival Manufacturing Co. 37,600 855
Roadway Express Inc. 23,800 341
Robbins & Myers, Inc. 15,989 724
* Robert Half International, Inc. 4,600 128
* Roberts Pharmaceuticals 21,200 428
* Robotic Vision Systems, Inc. 50,300 905
Rochester Gas and Electric Corp. 73,500 1,580
Rock-Tenn Co. 62,700 1,254
* Rohr, Inc. 49,800 1,040
* Rollins Environmental
Services, Inc. 255,937 992
Rollins, Inc. 31,300 736
Rollins Truck Leasing 81,625 847
* Romac International, Inc. 19,300 490
Roosevelt Financial Group 74,200 1,433
Roper Industries Inc. 30,600 1,469
Ross Stores, Inc. 50,400 1,755
* Rotech Medical Corp. 38,600 748
Rouge Steel Co. Class A 34,200 735
* Rowan Cos., Inc. 80,500 1,187
* Royal Gold, Inc. 46,600 597
Ruby Tuesday, Inc. 30,675 694
Ruddick Corp. 67,500 827
Russ Berrie, Inc. 40,600 746
* Ryan's Family Steak Houses, Inc. 109,600 1,021
Rykoff-Sexton, Inc. 51,025 733
Ryland Group, Inc. 54,500 818
S & T Bancorp, Inc. 21,400 663
* SCI Systems, Inc. 35,700 1,453
SEI Corp. 26,300 559
* SPS Technologies, Inc. 16,000 1,128
* SPS Transaction Services 12,000 216
* SPSS, Inc. 17,500 442
SPX Corp. 44,300 1,085
* S3, Inc. 94,900 1,174
* Safeguard Scientifics, Inc. 12,650 987
* Safety First Inc. 8,200 67
Safety-Kleen Corp. 110,800 1,939
St. Francis Capital Corp. 13,400 333
St. John Knits, Inc. 29,000 1,294
St. Joseph Light & Power Co. 7,100 197
* St. Jude Medical, Inc. 6,226 208
St. Mary Land & Exploration Co. 19,800 328
St. Paul Bancorp, Inc. 37,550 868
* Samsonite Corp. 31,000 639
Sanderson Farms, Inc. 15,100 194
* Sanifill, Inc. 18,900 931
* Sanmina Corp. 34,000 918
* Santa Cruz Operation, Inc. 79,100 559
* Sapient Corp. 5,600 234
Saul Centers, Inc. 46,400 644
Savannah Foods & Industries, Inc. 67,700 872
* Savoy Pictures Entertainment, Inc. 62,250 327
Sbarro, Inc. 21,200 533
* Henry Schein, Inc. 16,200 619
* R. P. Scherer Corp. 41,300 1,874
Schnitzer Steel Industries, Inc.
Class A 3,800 100
* Scholastic Corp. 23,500 1,463
A. Schulman Inc. 77,100 1,879
Schweitzer-Mauduit
International, Inc. 25,000 703
* Sciclone Pharmaceuticals 60,200 843
* Scientific Games Holdings Corp. 25,700 736
* Scios, Inc. 76,835 507
* Scopus Technology, Inc. 26,500 417
Scotsman Industries, Inc. 37,600 757
* Scotts Co. 41,500 726
Seafield Capital Corp. 18,300 689
* Seagull Energy Corp. 69,300 1,733
Sealright Co. 18,000 198
* Seattle FilmWorks, Inc. 37,318 620
* Secure Computing Corp. 17,900 398
Security Capital Corp. 20,100 1,198
Security Connecticut Corp. 30,900 842
* Security Dynamics
Technologies, Inc. 12,700 1,043
* Segue Software, Inc. 14,200 415
* Seitel, Inc. 35,300 966
Selective Insurance Group 29,100 953
* Semitool, Inc. 32,200 423
* Sepracor Inc. 52,200 786
* Sequa Corp. Class A 22,500 970
* Sequent Computer Systems, Inc. 65,800 884
* Sequus Pharmaceuticals, Inc. 56,400 1,124
* Serologicals Corp. 24,400 637
* Service Merchandise Co., Inc. 202,712 1,140
7th Level, Inc. 8,000 103
* Shiva Corp. 23,000 1,840
* Shoney's Inc. 71,400 776
Shopko Stores, Inc. 58,400 942
* Shorewood Packaging 46,600 714
* Show Biz Pizza Time, Inc. 66,000 1,023
Showboat, Inc. 32,300 973
* Shuffle Master, Inc. 47,950 716
</TABLE>
68
<PAGE> 93
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Shurgard REIT 40,600 $ 1,025
* Sierra Health Services 27,000 851
* Sierra On-line, Inc. 36,500 1,599
Sierra Pacific Resources 62,300 1,581
* Sierra Semiconductor 45,800 530
SIG Corp. 33,233 1,151
* Silicon Storage Technology, Inc. 19,800 270
* Silicon Valley Bancshares 33,300 862
* Silicon Valley Group, Inc. 54,200 1,020
* Siliconix, Inc. 22,100 492
* Silver King Communications 31,900 953
Simpson Industries, Inc. 70,500 648
* Simula, Inc. 23,100 407
* Sitel Corp. 9,100 380
Sizzler International 9,600 30
Skyline Corp. 35,400 885
Skywest, Inc. 23,000 426
* Smart Modular Technologies, Inc. 23,000 371
A.O. Smith Corp. 29,800 745
* Smith International, Inc. 18,300 551
* Smith Micro Software, Inc. 14,100 164
Charles E. Smith Residential
Realty, Inc. 36,200 869
* Smithfield Foods, Inc. 33,200 834
Smiths Food & Drug Centers, Inc.
Class B 32,195 769
J.M. Smucker Co. Class A 61,100 1,199
J.M. Smucker Co. Class B 1,000 19
Snyder Oil Corp. 58,600 593
* Sodak Gaming, Inc. 21,800 670
* Sofamor/Danek Group Inc. 42,800 1,188
* Softkey International, Inc. 24,800 471
* Software 2000, Inc. 23,200 378
* Sola International, Inc. 45,300 1,302
* Solv-Ex Corp. 24,800 479
* Somatix Therapy Corp. 55,600 389
* Somatogen, Inc. 39,700 563
* Sonic Corp. 42,750 1,047
Sotheby's Holdings Class A 92,000 1,334
South Jersey Industries, Inc. 34,836 740
South West Property Trust 67,500 903
Southdown, Inc. 35,900 844
Southern California Water Co. 30,400 669
* Southern Energy Homes, Inc. 10,350 221
* Southern Union Co. 20,600 453
Southwest Gas Corp. 48,900 782
Southwestern Energy Co. 74,200 1,048
Sovereign Bancorp, Inc. 85,600 861
* Spacelabs Medical 38,300 881
Spartan Motors, Inc. 11,600 88
* Special Devices, Inc. 12,300 200
* Spectrian Corp. 18,400 267
* Spectrum Holobyte 91,600 515
* Speedfam International, Inc. 11,700 186
Spieker Properties, Inc. 60,900 1,660
* Sports & Recreation 63,900 583
* The Sports Authority, Inc. 34,600 1,133
Springs Industries Inc. Class A 20,900 1,055
* Staar Surgical Co. 50,700 786
* Stac, Inc. 78,100 864
* Standard Financial, Inc. 53,300 876
* Standard Microsystem 13,700 208
Standard Motor Products, Inc. 38,900 695
Standard Products Co. 35,825 833
The Standard Register Co. 33,200 818
Standex International Corp. 25,400 724
Stanhome, Inc. 38,000 1,007
L. S. Starrett Co. Class A 28,900 751
* StarSight Telecast, Inc. 36,100 327
Starwood Lodging Trust 17,400 633
* State of the Art, Inc. 20,708 381
* Station Casinos, Inc. 40,500 580
* Steck-Vaughn Publishing Corp. 18,100 222
Steel Technologies, Inc. 40,450 617
* Stein Mart, Inc. 33,850 622
* Steris Corp. 44,812 1,431
* Sterling Chemicals, Inc. 79,800 928
Stewart & Stevenson Services, Inc. 59,710 1,343
* Stillwater Mining Co. 29,000 676
Stone & Webster, Inc. 20,500 700
* Storage Computer Corp. 10,400 186
Storage USA, Inc. 36,900 1,190
* Stormedia, Inc. 33,702 362
* Stratosphere Corp. 60,000 362
* Stratus Computer, Inc. 51,100 1,482
Strawbridge & Clothier Class A 33,057 545
Stride Rite Corp. 103,400 853
* Structural Dynamics Research Corp. 63,300 1,385
Student Loan Corp. 15,200 547
Sturm, Ruger & Co., Inc. 21,100 981
* Submicron Systems Corp. 63,000 547
Sumitomo Bank of California 10,584 259
* Summa Four, Inc. 7,100 98
* Summit Care Corp. 22,700 508
* Summit Medical Systems, Inc. 12,900 248
Summit Properties, Inc. 36,700 720
* Summit Technology, Inc. 59,400 843
* Sun Healthcare Group, Inc. 76,300 1,087
* Sun Television & Appliances 15,500 57
* Sunglass Hut International, Inc. 62,700 1,524
* Sunrise Medical, Inc. 35,800 689
* SunRiver Corp. 30,400 238
* Sunshine Mining and Refining Co. 296,400 371
</TABLE>
69
<PAGE> 94
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Superior Industries
International, Inc. 38,800 $ 1,028
* Supertex, Inc. 14,400 233
Susquehanna Bancshares, Inc. 25,400 683
* Swift Energy Co. 31,800 572
* Swift Transportation Co., Inc. 34,400 658
* Sylvan Learning Systems, Inc. 20,800 788
* Symantec Corp. 101,340 1,273
* Symmetricom Inc. 53,500 712
* Synetic, Inc. 28,700 1,055
* Syratech Inc. 25,100 565
System Software Associates, Inc. 57,900 995
* Systemed Inc. 19,700 58
* Systems & Computer
Technology Corp. 47,700 674
* Systemsoft Corp. 40,200 1,887
* TBC Corp. 92,800 806
TCA Cable Television, Inc. 31,000 930
* TCSI Corp. 34,500 828
TJ International, Inc. 30,000 529
* T-Netix, Inc. 4,200 46
TNP Enterprises, Inc. 36,400 1,033
* TPC Corp. 10,400 75
TR Financial Corp. 32,100 877
* Target Therapeutics, Inc. 23,400 959
Taubman Co. REIT 77,000 857
* Tech Data Corp. 69,000 1,505
* Tech-Sym Corp. 26,649 793
* Tecnol Medical Products Inc. 45,400 865
* Tejas Gas Corp. 34,665 1,205
Tejon Ranch Co. 41,400 678
* Tekelec 30,200 393
* Tel-Save Holdings, Inc. 27,900 586
* Telco Systems, Inc. 14,900 255
Teleflex Inc. 36,050 1,721
* Teltrend, Inc. 11,800 462
* Telular Corp. 10,000 59
Telxon Corp. 37,000 442
* Tencor Instruments 55,800 1,046
Tennant Co. 16,800 428
* Tesoro Petroleum Corp. 90,400 1,040
* Tetra Tech, Inc. 38,187 764
* Tetra Technologies, Inc. 49,100 859
Teva Pharmaceutical Industries
Ltd. ADR 10,464 397
Texas Industries, Inc. 20,360 1,397
* Theragenics Corp. 35,000 538
* Theratech, Inc. 33,300 649
* Thermedics, Inc. 16,200 405
* Thermo Fibertek, Inc. 11,900 201
Thermo Remediation, Inc. 29,600 370
* Thermo TerraTech, Inc. 37,300 448
* Thermolase Corp. 12,200 332
* Thermospectra Corp. 11,100 175
* Thermotrex Corp. 20,000 985
Thiokol Corp. 34,500 1,363
* 3DO Co. 60,200 640
Thrifty Payless Holdings, Inc. 118,300 2,041
* Tiffany & Co. 23,750 1,734
* Timberland Co. 34,300 797
Titan Wheel International, Inc. 43,100 690
* Today's Man Inc. 16,300 21
* Toll Brothers, Inc. 38,800 635
Tootsie Roll Industries, Inc. 37,392 1,332
* Top Source Technologies, Inc. 108,400 752
* The Topps Co., Inc. 71,325 397
The Toro Co. 25,200 835
Tosco Corp. 13,187 663
Town & Country Trust 62,300 818
* Toy Biz 33,200 672
* Tracor, Inc. 46,659 796
* Trans World Airlines 67,800 966
* Transaction Network Services, Inc. 29,250 636
* Transaction Systems Architects, Inc. 24,200 1,624
* Transcend Services, Inc. 36,500 386
Transnational Re Corp. 27,600 674
* TransTexas Gas Corp. 17,000 155
Tredegar Industries Inc. 31,100 941
* Tremont Corp. 20,665 747
Trenwick Group Inc. 15,700 789
* Triarc Cos., Inc. Class A 52,400 603
* Trident Microsystems, Inc. 50,800 645
Trimas Corp. 27,600 645
* Trimble Navigation Ltd. 39,300 752
Trinet Corporate Realty Trust, Inc. 27,100 786
Trinova Corp. 55,100 1,839
* Triquint Semiconductor, Inc. 26,500 547
True North Communications 39,000 868
* Trump Hotels & Casino Resorts, Inc. 34,200 975
The Trust Co. of New Jersey 57,570 759
Trustco Bank 36,610 714
Trustmark Corp. 54,900 1,173
* Tucson Electric Power Co. 68,360 923
* Tultex Corp. 12,300 58
* 20th Century Industries of CA 80,300 1,335
* Tyco Toys, Inc. 133,200 683
UGI Corp. Holding Co. 70,000 1,540
UMB Financial Corp. 35,059 1,306
UNR Industries, Inc. 61,500 596
* USA Detergents, Inc. 15,300 610
* USA Truck, Inc. 100 1
* USA Waste Service 59,241 1,755
UST Corp. 46,900 704
* Ultratech Stepper, Inc. 28,700 536
</TABLE>
70
<PAGE> 95
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Unifirst Corp. 43,100 $ 910
* Union Acceptance Corp. 38,000 575
Union Planters Corp. 22 1
* Union Switch and Signal, Inc. 9,500 80
* Uniphase Corp. 23,600 829
* Uniroyal Chemical Corp. 57,800 853
United Bankshares, Inc. 26,300 717
United Carolina Bancshare Corp. 45,900 1,038
United Cities Gas Co. 43,141 661
United Cos. Finance Corp. 47,702 1,628
United Dominion Realty 118,800 1,708
United Fire & Casualty Co. 23,625 780
United Illuminating Co. 29,150 1,089
* United Insurance Cos., Inc. 65,800 1,493
* United International Holdings, Inc.
Class A 73,900 1,035
* United Meridian Corp. 55,800 2,009
* USAir Group, Inc. 21,000 378
U.S. Bancorp 8,315 300
* U.S. Filter Corp. 48,500 1,685
* U.S. Home Corp. 35,900 884
* U.S. Long Distance Corp. 40,400 1,427
* US Office Products Co. 36,000 1,508
United States Trust Corp. 19,800 1,005
United Television, Inc. 8,600 833
* United Video Satellite Group, Inc. 36,100 776
* United Waste Systems, Inc. 68,700 2,198
United Water Resources, Inc. 51,768 667
United Wisconsin 28,700 746
* Unitrode Corp. 30,400 589
Univar Corp. 50,000 969
Universal Corp. 69,800 1,850
Universal Foods Corp. 51,000 1,881
Universal Health Realty Income 37,300 690
* Universal Health Services Class B 57,200 1,494
USFreightways Corp. 44,900 878
Urban Shopping Centers REIT 36,600 869
* UROHEALTH Systems, Inc. Class A 27,000 388
* Uromed Corp. 29,600 403
* VLSI Technology, Inc. 93,700 1,306
* Valassis Communication 52,900 979
Valhi, Inc. 8,500 61
Valley National Bancorp 23,619 602
Valmont Industries, Inc. 26,000 874
Valspar Corp. 28,900 1,329
* Value City Department Stores, Inc. 66,600 733
Value Line, Inc. 12,000 422
* ValuJet Inc. 57,500 541
* Vanguard Cellular Systems, Inc.
Class A 60,900 1,336
* Vans, Inc. 40,800 691
* Vanstar Corp. 45,900 769
* Vantive Corp. 10,400 347
* Varco International, Inc. 67,700 1,227
Varlen Corp. 6,837 144
* Ventritex Inc. 41,000 705
* Venture Stores, Inc. 6,300 41
* VeriFone, Inc. 2,850 120
* Verity, Inc. 10,800 306
Vermont Financial Services Corp. 10,900 346
* Vertex Pharmaceuticals, Inc. 30,900 942
Vesta Insurance Group, Inc. 34,450 1,150
* Veterinary Centers of America, Inc. 24,200 534
* Vicor Corp. 61,000 1,422
* Vicorp Restaurants, Inc. 9,700 118
* Videoserver, Inc. 21,500 836
* Viewlogic Systems, Inc. 60,000 829
* Visio Corp. 13,400 486
* Visix Space Inc. 20,300 691
Vital Signs, Inc. 21,400 444
* Vitesse Semiconductor Corp. 37,300 898
* Vivra, Inc. 11,800 388
* Vivus, Inc. 32,800 1,078
Vornado Realty Trust 51,200 2,093
WD-40 Co. 15,450 724
* WFS Financial, Inc. 19,289 427
* WHX Corp. 36,500 333
* WMS Industries, Inc. 36,950 910
WPL Holdings, Inc. 51,700 1,700
WPS Resources Corp. 49,900 1,578
* Waban, Inc. 68,400 1,633
Wabash National Corp. 40,400 717
Wackenhut Corp. 23,000 566
Wackenhut Corp. Class B 3,656 67
* Wainoco Oil Corp. 4,100 13
Walden Residential Properties, Inc. 33,400 681
* Wall Data Inc. 32,050 693
* Walter Industries, Inc. 63,700 904
* Wang Laboratories, Inc. 73,500 1,397
Washington Energy Co. 50,869 1,005
Washington Federal Inc. 80,500 1,660
Washington Gas Light Corp. 78,500 1,727
Washington National Corp. 23,630 608
Washington Real Estate
Investment Trust 64,450 1,080
Waterhouse Investor Services, Inc. 28,550 1,060
* Waters Corp. 44,500 1,469
Watkins-Johnson Co. 18,800 515
* Watson Pharmaceuticals, Inc. 36,954 1,400
Watts Industries Class A 42,100 784
Wausau Paper Mills Co. 56,932 1,139
Del E. Webb Corp. 48,496 970
Weeks Corp. 25,600 666
Weingarten Realty Investors 48,800 1,891
* Weirton Steel 10,000 30
* Wellcare Management Group, Inc. 12,400 114
</TABLE>
71
<PAGE> 96
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- ----------------------------------------------------------------------
<S> <C> <C>
Wellman, Inc. 60,400 $ 1,412
Wellsford Residential Property Trust 34,025 766
Werner Enterprises, Inc. 29,500 763
West Co., Inc. 26,300 789
* West Marine, Inc. 14,900 1,058
WestAmerica Bancorporation 17,900 906
* Westell Technologies, Inc. 5,100 200
Western Gas Resources, Inc. 26,300 427
Western Investment Real
Estate Trust 67,400 876
Western National Corp. 6,200 114
* Westpoint Stevens, Inc. 36,800 883
* Westwood One, Inc. 60,700 933
* White River 17,126 791
Whitney Holdings 29,750 907
* Whittaker Corp. 40,200 744
Wicor, Inc. 37,800 1,427
John Wiley & Sons Class A 27,300 792
* Williams Sonoma, Inc. 34,762 821
* Wind River Systems 31,500 1,095
Windmere-Durable Holdings 76,467 1,004
Winnebago Industries, Inc. 75,700 625
* Winstar Communications, Inc. 46,300 1,152
Wiser Oil Co. 17,700 223
* Wolverine Tube, Inc. 27,800 973
Wolverine World Wide, Inc. 37,200 1,209
* Wonderware Corp. 26,600 505
Woodhead Industries, Inc. 27,750 328
* Workgroup Technology Corp. 21,400 535
* World Color Press, Inc. 59,400 1,507
Wyle Electronics 25,700 851
* Wyman Gordon Corp. 58,900 1,042
X-Rite Inc. 21,300 330
* Xircom, Inc. 53,800 797
* Xoma Corp. 96,600 646
* Xpedite Systems, Inc. 25,800 680
Xtra Corp. 29,900 1,323
* Yahoo!, Inc. 15,500 322
* Yellow Corp. 42,800 564
* Young Broadcasting Corp. 27,000 1,023
* Youth Services International, Inc. 27,100 491
* Zale Corp. 63,800 1,077
* Zebra Technologies Class A 37,100 654
* Zenith Electronics Corp. 56,321 683
Zenith National Insurance Corp. 29,600 810
Zero Corp. 50,500 1,079
* Zila, Inc. 48,800 438
* Zilog Inc. 40,550 973
Zions Bancorp. 17,200 1,257
* Zoran Corp. 27,000 503
Zurich Reinsurance Centre
Holdings, Inc. 17,400 548
Zurn Industries, Inc. 42,700 886
* Zytec Corp. 29,300 535
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS (97.9%)(1)
(Cost $1,180,098) 1,419,407
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.1%)
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
-----------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.02%, 7/11/96 $ 1,400 1,398
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.35%, 7/1/96 28,713 28,713
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $30,113) 30,111
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(Cost $1,210,211) 1,449,518
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- ----------------------------------------------------------------------
Other Assets--Notes B and E 100,352
Liabilities--Note E (99,839)
--------------
513
- ----------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------
Applicable to 70,434,025 outstanding
shares of beneficial interest
(unlimited authorization) $1,450,031
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE $20.59
======================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index futures contracts, and Standard & Poor's Midcap 400
Index futures contracts represents 101.0% of net assets.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AT JUNE 30, 1996, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
AMOUNT PER
(000) SHARE
----------- -----------
<S> <C> <C>
PAID IN CAPITAL $1,151,713 $16.35
UNDISTRIBUTED NET
INVESTMENT INCOME 8,446 .12
ACCUMULATED NET
REALIZED GAINS 51,446 .73
UNREALIZED APPRECIATION
(DEPRECIATION)--NOTE D:
INVESTMENT SECURITIES 239,307 3.40
FUTURES CONTRACTS (881) (.01)
- ----------------------------------------------------------------------
NET ASSETS $1,450,031 $20.59
- ----------------------------------------------------------------------
</TABLE>
F402-6/96
72
