|
|
|
|
|
|
|
|
|
|
Previous: INVESCO INDUSTRIAL INCOME FUND INC, N-30D, 1997-08-27 |
Next: FIRST MUTUAL FUNDS, NSAR-B, 1997-08-27 |
<PAGE> 1
VANGUARD
INDEX TRUST
Semiannual Report
June 30, 1997
[PHOTO]
[THE VANGUARD GROUP LOGO]
<PAGE> 2
[PHOTO]
THE VANGUARD GROUP: LINKING TRADITION AND INNOVATION
At Vanguard, we treasure our rich nautical heritage--even as we steer our
course toward the twenty-first century. Our Report cover reflects that blending
of tradition and innovation, of past, present, and future. The montage includes
a bronze medallion with a likeness of our namesake, HMS Vanguard (Lord Nelson's
flagship at The Battle of the Nile); a clock built circa 1816 in Scotland,
featuring a portrait of Nelson; and several views of our recently completed
campus, which is steeped in nautical imagery--from our buildings named after
Nelson's warships (Victory, Majestic, and Goliath are three shown), to our
artwork and ornamental compass rose.
CONTENTS
A Message To
Our Shareholders
1
The Markets
In Perspective
4
Performance
Summaries
6
Financial
Statements
9
Trustees And
Officers
INSIDE BACK COVER
All comparative mutual fund data
are from Lipper Analytical Services, Inc.
or Morningstar unless otherwise noted.
<PAGE> 3
[PHOTO]
FELLOW SHAREHOLDER,
The U.S. stock market continued its amazing climb during the first half of
1997. During the six months ended June 30--a period that favored
large-capitalization stocks--the flagship 500 Portfolio of Vanguard Index Trust
provided a return of +20.5%, a hair behind its benchmark, the Standard & Poor's
500 Composite Stock Price Index, but ahead of 95% of all general equity mutual
funds.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 1997
----------------------------
VANGUARD COMPARATIVE
PORTFOLIO INDEX*
- ----------------------------------------------------------------
<S> <C> <C>
LARGE-CAP STOCKS
500 Portfolio +20.5% +20.6%
Growth Portfolio +24.5 +24.6
Value Portfolio +16.4 +16.5
- ----------------------------------------------------------------
MID- AND SMALL-CAP STOCKS
Extended Market Portfolio +11.7% +10.6%
SmallCap Stock Portfolio +11.5 +10.2
- ----------------------------------------------------------------
ALL STOCKS
Total Stock Market Portfolio +17.6% +17.6%
- ----------------------------------------------------------------
</TABLE>
*The respective indexes are the S&P 500 Index, the S&P/BARRA Growth and Value
Indexes, the Wilshire 4500 Index, the Russell 2000 Index, and the Wilshire 5000
Index.
This was a remarkable achievement, but one that is unlikely to persist or
to recur. In this heady environment for common stocks, the returns of our
Extended Market and Small Capitalization Stock Portfolios comfortably outpaced
their target indexes, while our Growth, Value, and Total Stock Market
Portfolios tracked their bogeys with considerable accuracy.
The table at right shows the total returns (capital change plus reinvested
dividends) achieved by our six Portfolios during the period compared with the
returns on their respective unmanaged benchmarks. Per-share figures for each
Portfolio, including net asset values, income dividends, and capital gains
distributions, are presented in the table that follows this letter.
THE PERIOD IN REVIEW
A nearly perfect climate for common stocks--strong economic growth, rising
corporate profits, and decelerating inflation--prevailed during the six months
ended June 30. While the market's rising tide lifted all boats,
large-capitalization stocks chalked up the largest gains. The record-setting
advance was interrupted by a decline of nearly -10% in the S&P 500 Index during
the seven weeks following February 18. By early May, however, the market had
resumed its ascent into record territory.
Jitters about interest rates and inflation were the apparent causes of the
brief slide. Although the Federal Reserve Board raised its target for
short-term interest rates by a quarter-point to 5.50% on March 25, short-term
interest rates ended the period where they began it (5.17% for three-month U.S.
Treasury bills). Longer-term rates were up only slightly (less than one-quarter
percentage point) on balance during the first half of 1997. The stock market's
strong rebound in the second quarter stemmed from a combination of factors,
including strong corporate earnings reports, a lessening of inflation fears,
and an easing in interest rates. Whatever their causes, the price fluctuations
served as a clear reminder of the volatility that is very much a part of
investing in stocks.
One indication of the bias toward large-cap stocks during the period is
that the return on the S&P 500 Index was nearly double the +10.6% return on the
rest of the stock
1
<PAGE> 4
market (as represented by the Wilshire 4500 Equity Index). Even within the S&P
500 Index there was a powerful bias toward big stocks and against smaller
stocks: The 100 largest stocks in the Index returned +23.4% while the 400
others provided a return of +15.2%. The performance of the entire U.S. stock
market was also clearly buoyed by the market's biggest names, propelling our
Total Stock Market Portfolio to a return of +17.6%.
The market's pronounced tilt toward larger stocks resulted not only in the
remarkable absolute performance of our 500 Portfolio, but in exceptional
relative performance too, as our return during the period was fully +7.5
percentage points ahead of the return of the average general equity mutual
fund. This universe includes many funds with larger positions in smaller-cap
stocks--a distinction that has heavily favored our Portfolio over the past
two-and-a-half years but that cannot, and will not, work to our advantage
indefinitely.
Among the S&P 500 stocks, health-care issues led the way with an advance
of +31.4% during the half-year, but all major sectors (with the exception of
utilities) booked double-digit gains. The growth and value components of the
S&P 500 Index both provided solid absolute returns, though growth stocks proved
much stronger, providing a return of +24.6% for the period, versus +16.5% for
value stocks (as measured by the S&P/BARRA Growth and Value Indexes). While
returns on these two groups have been quite similar over long periods, they
often diverge over shorter periods.
Among smaller stocks, that disparity between growth and value stocks was
reversed. The value component of the Russell 2000 Index provided a return of
+14.8% during the half-year while the growth component returned a relatively
modest +5.2%. Overall, small stocks turned in a solid return during the six
months, advancing +10.2% largely on the strength of their technology-led surge
over the final three months of the period.
The continuing ability of our Core Management Group to closely parallel
the returns of our Portfolios with their target indexes is also worthy of
comment. Despite our (extremely low) operating expenses and portfolio
transaction costs, our three large-cap Portfolios tracked their targets within
0.1 percentage point; our Total Stock Market Portfolio matched its target, and
our mid-cap and small-cap Portfolios outpaced their targets.
IN SUMMARY
The bull market for U.S. stocks that began almost 15 years ago has amply
demonstrated the rewards of long-term investing. Risk, the inseparable
companion of reward, may not be so apparent after such a period. Yet investors
disregard risk at their peril. So we hope that the sizable, sudden fluctuations
in the stock market during the first half of 1997 reinforced two key messages
that we have repeatedly stressed in these Reports to you.
The first message concerns the importance of holding a balanced portfolio
of stock funds, bond funds, and money market funds in proportions appropriate
to your financial situation, tolerance for risk, and investment objectives. By
making it easier to ride out episodes of market volatility, a balanced
portfolio helps investors to adhere to our second message: Always "stay the
course" toward your long-term investment goals.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Chairman of the Board President
July 19, 1997
2
<PAGE> 5
PORTFOLIO STATISTICS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1997
----------------------------------------------
NET ASSET VALUE PER SHARE DISTRIBUTIONS FROM DIVIDENDS FROM
------------------------------------ NET REALIZED NET INVESTMENT
PORTFOLIO DEC. 31, 1996 JUN. 30, 1997 CAPITAL GAINS INCOME
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 $69.17 $82.73 $0.04 $0.54
Growth 16.90 20.93 0.00 0.10
Value 17.02 19.31 0.32 0.14
Extended Market 26.20 28.84 0.37 0.01
SmallCap Stock 20.23 22.48 0.065 0.00
Total Stock Market 17.77 20.72 0.04 0.12
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
3
<PAGE> 6
[PHOTO]
THE MARKETS IN PERSPECTIVE
SIX MONTHS ENDED JUNE 30, 1997
U.S. EQUITY MARKETS
As the economy continued to grow while the rate of inflation did not, a robust
market provided solid gains to investors in U.S. common stocks during the
first half of 1997. The best performers were primarily larger-capitalization
issues, although the small-company indexes exhibited some strength in the final
two months of the period. Over the half-year, the Standard & Poor's 500
Composite Stock Price Index gained 20.6%, fueled by a 10.8% boost since the end
of April. Reflecting the gains among smaller companies, the Russell 2000 Index
posted a 10.2% increase for the six-month period, driven by an 11.1% jump in
May and a 4.3% rise in June. It was particularly noteworthy that the recent
small-cap gains were led by small growth stocks, the worst segment of the U.S.
market during the past 12 months. This group has surged 17.6% since the end of
March, although at the half-year's end it still lagged the S&P 500 Index by a
sizable margin (5.2% versus 20.6%).
Stocks benefited from the continued strength of corporate earnings, which
rose some 15% during the past year, and from a widespread confidence reflected
in increased price/earnings ratios. The strength in earnings, the expectation
that income will continue to increase at an attractive pace, and the further
conviction that inflation is not a problem helped stocks to continue to produce
solid gains in the fiscal period. What's more, earnings have shown not only
good strength but remarkable consistency in beating the consensus forecasts of
Wall Street analysts.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 1997
--------------------------------
6 MONTHS 1 YEAR 5 YEARS*
- ------------------------------------------------------------------------
<S> <C> <C> <C>
EQUITY
S&P 500 Index 20.6% 34.7% 19.8%
Russell 2000 Index 10.2 16.3 17.9
MSCI EAFE Index 11.4 13.2 13.2
- ------------------------------------------------------------------------
FIXED-INCOME
Lehman Aggregate Bond Index 3.1% 8.2% 7.1%
Lehman 10-Year Municipal
Bond Index 3.3 8.3 7.4
Salomon Brothers Three-Month
U.S. Treasury Bill Index 2.6 5.3 4.5
- ------------------------------------------------------------------------
OTHER
Consumer Price Index 1.1% 2.3% 2.7%
- ------------------------------------------------------------------------
</TABLE>
*Average annual.
The strongest gains in the S&P 500 Index during the past six months came
from the health-care sector (up 31.4%) and the consumer-staples sector (up
23.9%). By contrast, numerous uncertainties for utilities caused the issues in
that sector to lag the broad market, although, on an absolute basis, their 8.2%
return over six months is quite good.
U.S. FIXED-INCOME MARKETS
The modest rise in interest rates during the past six months reflects the
economy's underlying momentum. The 10-year U.S. Treasury's yield increased from
6.42% at the end of December to 6.97% by the middle of April. In the following
weeks, economic reports indicated a slowing in economic growth and further
reduced fears of an increase in inflation. This news helped interest rates fall
to 6.50% by the end of June.
4
<PAGE> 7
Fueled by robust consumer spending, the U.S. economy expanded at a
remarkable 5.8% rate in the first three months of 1997. Reflecting the vibrant
economy, the nation's unemployment rate stood at 5.0% in June. Strong economic
growth and tight labor markets have often led to rising inflation because of
increased demand for goods and services. With this in mind, the Federal Reserve
raised its federal funds interest rate target by 0.25% on March 25 in a
"preemptive" strike against mounting inflationary pressures. Observed price
increases have been subdued in recent months, however. Wholesale prices have
fallen in each of the first six months of 1997, and so far this year consumer
prices have risen at a slower pace than last year.
With interest rates very close to year-end levels, bond investors have
fared reasonably well during the past six months, as illustrated by the 3.1%
return of the Lehman Brothers Aggregate Bond Index. Investors who favored
shorter-maturity and lower-quality issues achieved somewhat better returns.
Mortgage-backed securities continued to perform well because refinancing
activity has been reduced to historically low levels as interest rates have
risen. Municipal issues also tended to perform better than their taxable
counterparts.
INTERNATIONAL EQUITY MARKETS
International investors received fairly good returns over the past six months.
As measured by the broad Morgan Stanley Capital International Europe,
Australasia, Far East Index, foreign markets gained 11.4%.
The period saw two major developments. First, the Japanese stock market
moved sharply higher in the spring, returning 11.1% in May and 7.5% in June to
U.S. investors. Better tone in the economy, plus strong earnings reported by
export-oriented companies benefiting from the weak yen, gave Japan a
long-awaited boost. For the six months, the Japanese market is up 9.2%. The
competitive benefits of a weak currency relative to the dollar extended to
Germany, where the export-driven capital goods and chemical manufacturers
gained; overall, the German market rose 17.0% during the six-month period.
Arguably the biggest news came from the French elections at the end of
May. The new government is considered to be less friendly toward the austerity
measures needed to meet the eligibility requirements for the European Monetary
Union (EMU) in 1999. The French elections also had a broad impact across the
continent. Although most investors appear to agree that the elections won't
jeopardize the continent's move toward the EMU, the timing and intensity of the
fiscal measures are now less certain. For the six months, Europe gained 24.8%
in local currencies, which a strong dollar trimmed to 14.4% for U.S. investors.
5
<PAGE> 8
PERFORMANCE SUMMARIES
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolios. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolios could lose money.
<TABLE>
<CAPTION>
500 PORTFOLIO
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1976-JUNE 30, 1997
- ------------------------------------------------
500 PORTFOLIO S&P 500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------------
<S> <C> <C> <C> <C>
1977 -11.7% 3.9% -7.8% -7.2%
1978 0.8 5.1 5.9 6.5
1979 12.1 5.9 18.0 18.4
1980 25.5 6.4 31.9 32.4
1981 -9.8 4.6 -5.2 -4.9
1982 14.8 6.2 21.0 21.5
1983 16.2 5.1 21.3 22.5
1984 1.5 4.7 6.2 6.3
1985 26.1 5.1 31.2 31.8
1986 14.0 4.1 18.1 18.7
1987 2.3 2.4 4.7 5.3
1988 11.6 4.6 16.2 16.6
1989 26.7 4.7 31.4 31.7
1990 -6.8 3.5 -3.3 -3.1
1991 26.3 3.9 30.2 30.5
1992 4.4 3.0 7.4 7.6
1993 7.1 2.8 9.9 10.1
1994 -1.5 2.7 1.2 1.3
1995 34.4 3.0 37.4 37.6
1996 20.5 2.4 22.9 23.0
1997* 19.7 0.8 20.5 20.6
- ------------------------------------------------
</TABLE>
*Six months ended June 30, 1997.
See Financial Highlights table on page 20 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
EXTENDED MARKET PORTFOLIO
TOTAL INVESTMENT RETURNS: DECEMBER 21, 1987-JUNE 30, 1997
- ----------------------------------------------------
EXTENDED MARKET PORTFOLIO WILSHIRE
4500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------------
<S> <C> <C> <C> <C>
1987 -0.1% 0.0% -0.1% -0.1%
1988 17.7 2.0 19.7 20.5
1989 22.1 2.0 24.1 23.9
1990 -16.4 2.4 -14.0 -13.6
1991 39.6 2.2 41.8 43.5
1992 10.9 1.6 12.5 11.9
1993 13.2 1.3 14.5 14.6
1994 -3.2 1.4 -1.8 -2.7
1995 32.2 1.6 33.8 33.5
1996 16.2 1.4 17.6 17.2
1997* 11.7 0.0 11.7 10.6
- ----------------------------------------------------
</TABLE>
*Six months ended June 30, 1997.
See Financial Highlights table on page 21 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1997
- ------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
500 Portfolio* 8/31/76 34.53% 19.58% 11.18% 3.19% 14.37%
Extended Market Portfolio** 12/21/87 18.35 17.66 13.95+ 1.68+ 15.63+
- ------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the annual account maintenance fee of
$10.
**Performance figures are adjusted for a 0.5% transaction fee on purchases and
the annual account maintenance fee of $10.
+ Since inception.
6
<PAGE> 9
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolios. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolios could lose money.
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO
TOTAL INVESTMENT RETURNS: APRIL 27, 1992-JUNE 30, 1997
- -----------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO WILSHIRE
5000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
1992 8.1% 2.3% 10.4% 10.6%
1993 8.1 2.5 10.6 11.3
1994 -2.5 2.3 -0.2 -0.1
1995 33.1 2.7 35.8 36.4
1996 18.9 2.1 21.0 21.2
1997* 16.9 0.7 17.6 17.6
- -----------------------------------------------------------
</TABLE>
*Six months ended June 30, 1997.
See Financial Highlights table on page 22 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
GROWTH PORTFOLIO
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-JUNE 30, 1997
- ---------------------------------------------------------------
GROWTH PORTFOLIO S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 2.6% 0.6% 3.2% 3.2%
1993 -0.6 2.1 1.5 1.7
1994 0.8 2.1 2.9 3.1
1995 35.9 2.2 38.1 38.1
1996 22.0 1.7 23.7 24.0
1997** 23.8 0.7 24.5 24.6
- ---------------------------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
**Six months ended June 30, 1997.
See Financial Highlights table on page 23 for dividend and capital gains
information since the Portfolio's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1997
- -------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ---------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Total Stock Market Portfolio* 4/27/92 29.27% 18.62% 15.50% 2.46% 17.96%
Growth Portfolio* 11/2/92 38.19 -- 17.41 2.01 19.42
- -------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the annual account maintenance fee of
$10.
7
<PAGE> 10
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolios. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolios could lose money.
<TABLE>
<CAPTION>
VALUE PORTFOLIO
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-JUNE 30, 1997
- -------------------------------------------------------------
VALUE PORTFOLIO S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 3.0% 0.7% 3.7% 3.7%
1993 14.6 3.7 18.3 18.6
1994 -4.0 3.3 -0.7 -0.6
1995 33.0 3.9 36.9 37.0
1996 19.1 2.8 21.9 22.0
1997** 15.5 0.9 16.4 16.5
- -------------------------------------------------------------
</TABLE>
*S&P/BARRA Value Index.
**Six months ended June 30, 1997.
See Financial Highlights table on page 24 for dividend and capital gains
information since the Portfolio's inception.
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1976-JUNE 30, 1997
- ------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO RUSSELL 2000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------------------------------
<S> <C> <C> <C> <C>
1977 4.7% 1.9% 6.6% 7.4%
1978 4.4 2.4 6.8 14.5
1979 30.6 3.8 34.4 43.1
1980 42.9 1.1 44.0 38.6
1981 -2.9 0.0 -2.9 2.0
1982 43.5 2.9 46.4 24.9
1983 18.2 0.0 18.2 29.1
1984 -25.2 0.0 -25.2 -7.3
1985 21.5 1.5 23.0 31.1
1986 0.2 0.0 0.2 5.7
1987 -7.0 0.0 -7.0 -8.8
1988 24.0 0.6 24.6 24.9
1989 9.4 1.1 10.5 16.2
1990 -19.8 1.7 -18.1 -19.5
1991 43.0 2.3 45.3 46.1
1992 16.7 1.5 18.2 18.4
1993 17.4 1.3 18.7 18.9
1994 -1.9 1.4 -0.5 -1.8
1995 27.2 1.5 28.7 28.4
1996 16.6 1.5 18.1 16.5
1997* 11.5 0.0 11.5 10.2
- ------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1997.
See Financial Highlights table on page 25 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1997
- ---------------------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Value Portfolio* 11/2/92 30.63% -- 16.95%** 3.31%** 20.26%**
Small Capitalization Stock Portfolio+ 10/3/60 17.54 18.44% 9.88 1.19 11.07
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the annual account maintenance fee of
$10.
**Since inception.
+Performance figures are adjusted for a 0.5% transaction fee on purchases and
the annual account maintenance fee of $10.
8
<PAGE> 11
[PHOTO]
FINANCIAL STATEMENTS
JUNE 30, 1997 (unaudited)
The Statements of Net Assets, integral parts of the Financial Statements for
each of the Vanguard Index Trust Portfolios, are included as an insert to this
Report (except for the 500 Portfolio, whose Statement of Net Assets is provided
below).
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each Portfolio's holdings, including
each security's market value on the last day of the reporting period. The 500,
Growth, and Value Portfolios' S&P 500 Index common stocks are listed in
descending market value order; the Extended Market, Total Stock Market, and
Small Capitalization Stock Portfolios' common stocks are listed alphabetically.
Temporary cash investments and other assets are added to, and liabilities are
subtracted from, the value of Total Common Stocks to calculate the Portfolio's
Net Assets. Finally, Net Assets are divided by the outstanding shares of the
Portfolio to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each Portfolio, you will find
a table displaying the composition of the Portfolio's net assets on both a
dollar and per-share basis. Because all income and any realized gains must be
distributed to shareholders each year, the bulk of net assets consists of Paid
in Capital (money invested by shareholders). The amounts shown for
Undistributed Net Investment Income and Accumulated Net Realized Gains usually
approximate the sums the Portfolio had available to distribute to shareholders
as income dividends or capital gains as of the statement date. Any Accumulated
Net Realized Losses, and any cumulative excess of distributions over net income
or net realized gains, will appear as negative balances. Unrealized
Appreciation (Depreciation) is the difference between the market value of the
Portfolio's investments and their cost, and reflects the gains (losses) that
would be realized if the Portfolio were to sell all of its investments at their
statement-date values.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
General Electric Co. 19,669,865 $ 1,285,917
The Coca-Cola Co. 14,865,614 1,003,429
Exxon Corp. 14,890,826 915,786
- Microsoft Corp. 7,185,518 908,519
Merck & Co., Inc. 7,237,820 749,114
Royal Dutch Petroleum
Co. ADR 12,840,720 698,214
Intel Corp. 4,911,225 695,245
Philip Morris Cos., Inc. 14,564,215 646,287
Procter & Gamble Co. 4,061,361 573,667
International Business
Machines Corp. 5,956,317 537,185
Johnson & Johnson 7,985,731 514,081
Bristol-Myers Squibb Co. 5,995,214 485,612
Pfizer, Inc. 3,871,071 462,593
Wal-Mart Stores, Inc. 13,649,931 461,538
E.I. du Pont de Nemours & Co. 6,770,988 425,726
American International
Group, Inc. 2,815,171 420,516
Eli Lilly & Co. 3,332,511 364,285
PepsiCo, Inc. 9,189,078 345,165
AT&T Corp. 9,740,614 341,530
Hewlett-Packard Co. 6,093,417 341,231
SBC Communications Inc. 5,469,475 338,424
Citicorp 2,777,812 334,900
Mobil Corp. 4,715,876 329,522
The Walt Disney Co. 4,047,689 324,827
Gillette Co. 3,339,445 316,412
Abbott Laboratories 4,634,876 309,378
American Home Products Corp. 3,859,694 295,267
Chevron Corp. 3,919,068 289,766
NationsBank Corp. 4,378,304 282,401
Fannie Mae 6,357,915 277,364
Lucent Technologies, Inc. 3,836,168 276,444
BellSouth Corp. 5,951,290 275,991
BankAmerica Corp. 4,260,815 275,089
Motorola, Inc. 3,563,578 270,832
Ford Motor Co. 7,130,950 269,193
- Cisco Systems, Inc. 3,979,969 267,155
Amoco Corp. 2,964,028 257,685
Minnesota Mining &
Manufacturing Co. 2,496,009 254,593
GTE Corp. 5,719,721 250,953
Chase Manhattan Corp. 2,585,318 250,937
General Motors Corp. 4,371,470 243,436
Travelers Group Inc. 3,845,012 242,476
The Boeing Co. 4,322,915 229,385
Ameritech Corp. 3,291,086 223,588
American Express Co. 2,833,590 211,102
Schering-Plough Corp. 4,393,196 210,324
Unilever NV ADR 958,594 208,973
</TABLE>
9
<PAGE> 12
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
Warner-Lambert Co. 1,626,101 $ 202,043
Home Depot, Inc. 2,909,983 200,607
McDonald's Corp. 4,151,471 200,568
Bell Atlantic Corp. 2,622,453 198,979
- Oracle Corp. 3,920,817 197,266
Allstate Corp. 2,644,266 193,031
Schlumberger Ltd. 1,478,443 184,805
Texaco Inc. 1,580,112 171,837
- WorldCom, Inc. 5,347,386 170,782
Banc One Corp. 3,454,022 167,304
Kimberly-Clark Corp. 3,361,209 167,220
Time Warner, Inc. 3,381,984 163,181
- Compaq Computer Corp. 1,643,952 163,162
First Union Corp. 1,714,746 158,614
Columbia/HCA Healthcare Corp. 4,004,870 157,441
MCI Communications Corp. 4,115,022 157,400
Xerox Corp. 1,940,446 153,053
Monsanto Co. 3,545,378 152,673
Eastman Kodak Co. 1,982,628 152,167
NYNEX Corp. 2,636,965 151,955
Morgan Stanley, Dean Witter,
Discover and Co. 3,431,945 147,788
Emerson Electric Co. 2,665,249 146,755
Wells Fargo & Co. 536,532 144,595
Federal Home Loan
Mortgage Corp. 4,167,699 143,265
AlliedSignal Inc. 1,696,324 142,491
Northern Telecom Ltd. 1,558,381 141,813
Campbell Soup Co. 2,787,959 139,398
Chrysler Corp. 4,180,913 137,186
Atlantic Richfield Co. 1,931,129 136,144
Sprint Corp. 2,581,602 135,857
Sears, Roebuck & Co. 2,350,279 126,328
Norwest Corp. 2,239,520 125,973
Anheuser-Busch Cos., Inc. 2,970,931 124,593
Caterpillar, Inc. 1,138,615 122,259
Dow Chemical Co. 1,399,992 121,974
Computer Associates
International, Inc. 2,173,861 121,057
Lockheed Martin Corp. 1,157,566 119,880
Sara Lee Corp. 2,874,657 119,658
Merrill Lynch & Co., Inc. 1,985,417 118,380
First Data Corp. 2,689,453 118,168
- Dell Computer Corp. 1,004,297 117,879
United Technologies Corp. 1,417,770 117,675
Medtronic, Inc. 1,427,492 115,627
Colgate-Palmolive Co. 1,769,268 115,445
J.P. Morgan & Co., Inc. 1,104,763 115,310
First Chicago NBD Corp. 1,873,865 113,369
U S WEST
Communications Group 2,867,679 108,076
Kellogg Co. 1,253,182 107,304
Pharmacia & Upjohn, Inc. 3,036,475 105,517
Union Pacific Corp. 1,479,811 104,327
Duke Energy Corp. 2,152,562 103,188
H.J. Heinz Co. 2,200,607 101,503
The Bank of New York Co., Inc. 2,332,300 101,455
- -----------------------------------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 27,016,382
- -----------------------------------------------------------------------------------------
NIKE, Inc. Class B 1,731,899 101,100
Fleet Financial Group, Inc. 1,567,406 99,138
Texas Instruments, Inc. 1,145,616 96,303
Aetna Inc. 902,918 92,436
Amgen, Inc. 1,587,702 92,186
ConAgra, Inc. 1,427,945 91,567
The Seagram Co. Ltd. 2,218,077 89,278
- 3Com Corp. 1,986,296 89,259
Southern Co. 4,075,957 89,162
General Re Corp. 489,724 89,130
Westinghouse Electric Corp. 3,802,441 87,931
International Paper Co. 1,803,988 87,606
Waste Management Inc. 2,710,173 87,064
Baxter International, Inc. 1,665,878 87,042
McDonnell Douglas Corp. 1,261,618 86,421
Deere & Co. 1,529,012 83,905
Gannett Co., Inc. 846,322 83,574
Burlington Northern
Santa Fe Corp. 920,908 82,767
Automatic Data Processing, Inc. 1,752,773 82,380
- AirTouch Communications, Inc. 3,006,783 82,311
- Sun Microsystems, Inc. 2,205,048 82,000
PNC Bank Corp. 1,930,290 80,348
CIGNA Corp. 446,981 79,339
CPC International, Inc. 858,938 79,291
Walgreen Co. 1,472,569 78,967
Aluminum Co. of America 1,038,770 78,297
Tyco International Ltd. 1,116,256 77,650
J.C. Penney Co., Inc. 1,477,742 77,120
Rockwell International Corp. 1,302,143 76,826
- Applied Materials, Inc. 1,083,346 76,647
Corning, Inc. 1,371,177 76,272
Archer-Daniels-Midland Co. 3,233,135 75,979
Norfolk Southern Corp. 750,953 75,658
- U S WEST Media Group 3,714,493 75,218
KeyCorp 1,340,342 74,892
Household International, Inc. 636,846 74,790
Illinois Tool Works, Inc. 1,489,363 74,375
MBNA Corp. 2,000,196 73,257
SunTrust Banks, Inc. 1,326,174 73,022
CSX Corp. 1,302,182 72,271
Raytheon Co. 1,413,617 72,094
- Boston Scientific Corp. 1,164,224 71,527
Marsh & McLennan Cos., Inc. 990,736 70,714
Mellon Bank Corp. 1,549,216 69,908
The Chubb Corp. 1,045,079 69,890
National City Corp. 1,328,036 69,722
Dayton-Hudson Corp. 1,298,539 69,066
Phillips Petroleum Co. 1,577,156 69,001
American General Corp. 1,444,266 68,964
Loews Corp. 687,158 68,802
First Bank System, Inc. 800,048 68,304
May Department Stores Co. 1,421,236 67,153
CoreStates Financial Corp. 1,238,714 66,581
Textron, Inc. 988,434 65,607
The Gap, Inc. 1,659,469 64,512
BankBoston Corp. 886,826 63,907
PPG Industries, Inc. 1,091,008 63,415
</TABLE>
10
<PAGE> 13
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
Enron Corp. 1,550,183 $ 63,267
- CUC International, Inc. 2,441,231 63,014
General Mills, Inc. 965,069 62,850
Barnett Banks, Inc. 1,192,197 62,590
Edison International 2,484,516 61,802
Weyerhaeuser Co. 1,187,514 61,751
Pitney Bowes, Inc. 882,796 61,354
- Viacom Inc. Class B 2,041,451 61,244
- Toys R Us, Inc. 1,725,884 60,406
- Tellabs, Inc. 1,078,946 60,151
Halliburton Co. 755,244 59,853
PG&E Corp. 2,449,847 59,409
The Goodyear Tire & Rubber Co. 932,514 59,040
Mattel, Inc. 1,741,157 58,982
- Tele-Communications, Inc.
Class A 3,970,167 58,808
Hartford Financial Services
Group Inc. 704,573 58,303
Unocal Corp. 1,501,929 58,294
United Healthcare Corp. 1,112,351 57,842
Honeywell, Inc. 759,960 57,662
- EMC Corp. 1,471,553 57,391
U.S. Bancorp 887,849 56,933
Wachovia Corp. 968,140 56,455
Avon Products, Inc. 789,474 55,707
AMP, Inc. 1,313,780 54,850
- HFS Inc. 945,235 54,824
Albertson's, Inc. 1,500,720 54,776
Air Products & Chemicals, Inc. 663,656 53,922
- Tenet Healthcare Corp. 1,803,439 53,314
Praxair, Inc. 941,855 52,744
Ralston-Ralston Purina Group 636,463 52,309
Fifth Third Bancorp 633,762 51,968
- Seagate Technology 1,469,134 51,695
Great Western Financial Corp. 961,087 51,658
Aon Corp. 994,675 51,474
- HEALTHSOUTH Corp. 2,053,016 51,197
CVS Corp. 998,264 51,161
Hershey Foods Corp. 912,519 50,474
- AMR Corp. 545,224 50,433
- Micron Technology, Inc. 1,256,613 50,186
FPL Group, Inc. 1,089,173 50,170
USX-Marathon Group 1,721,214 49,700
Occidental Petroleum Corp. 1,972,848 49,445
Barrick Gold Corp. 2,226,140 48,975
- -----------------------------------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 33,896,711
- -----------------------------------------------------------------------------------------
American Electric Power
Co., Inc. 1,129,213 47,427
Alcan Aluminium Ltd. 1,357,132 47,076
Service Corp. International 1,429,603 46,998
Georgia-Pacific Corp. 547,361 46,731
Marriott International 760,081 46,650
Wrigley, (Wm.) Jr. Co. 695,528 46,600
Texas Utilities Co. 1,344,326 46,295
Tenneco, Inc. 1,024,354 46,288
- The Kroger Co. 1,518,644 44,041
Comerica, Inc. 637,925 43,379
- Federated Department Stores 1,244,566 43,249
American Stores Co. 873,427 43,125
TRW, Inc. 754,682 42,875
Charles Schwab Corp. 1,048,817 42,674
- ITT Corp. 697,012 42,561
Browning-Ferris Industries, Inc. 1,266,121 42,099
Conseco Inc. 1,133,692 41,947
- Costco Cos., Inc. 1,262,703 41,511
Williams Cos., Inc. 947,745 41,464
Consolidated Edison Co. of
New York, Inc. 1,407,616 41,437
Dover Corp. 668,570 41,117
Crown Cork & Seal Co., Inc. 769,095 41,099
Cognizant Corp. 1,010,857 40,940
The Clorox Co. 309,539 40,859
Bankers Trust New York Corp. 465,090 40,463
Dominion Resources, Inc. 1,103,352 40,410
Eaton Corp. 462,107 40,348
Masco Corp. 964,202 40,255
Ingersoll-Rand Co. 649,856 40,129
Lincoln National Corp. 619,934 39,908
Hilton Hotels Corp. 1,491,272 39,612
- Federal Express Corp. 684,388 39,523
Dresser Industries, Inc. 1,055,558 39,320
Pioneer Hi-Bred
International, Inc. 489,115 39,129
PacifiCorp 1,770,591 38,953
Entergy Corp. 1,419,518 38,859
Lowe's Cos., Inc. 1,036,408 38,477
Fortune Brands, Inc. 1,027,947 38,355
Sysco Corp. 1,048,861 38,283
St. Paul Cos., Inc. 499,861 38,114
Guidant Corp. 443,793 37,722
Newell Co. 951,973 37,722
Union Pacific Resources
Group, Inc. 1,515,659 37,702
ALLTEL Corp. 1,112,453 37,198
TransAmerica Corp. 396,963 37,141
Cardinal Health, Inc. 646,752 37,027
Becton, Dickinson & Co. 730,014 36,957
Rite Aid Corp. 735,055 36,661
The Quaker Oats Co. 815,876 36,612
UNUM Corp. 868,545 36,479
Newmont Mining Corp. 935,182 36,472
Genuine Parts Co. 1,073,388 36,361
Delta Air Lines, Inc. 439,447 36,035
Salomon, Inc. 647,348 36,009
- Kmart Corp. 2,905,011 35,586
Union Carbide Corp. 756,048 35,582
Public Service Enterprise
Group Inc. 1,417,275 35,432
SAFECO Corp. 755,992 35,295
Republic New York Corp. 327,896 35,249
Cooper Industries, Inc. 708,340 35,240
The McGraw-Hill Cos. 597,844 35,161
Tribune Co. 731,362 35,151
Rohm & Haas Co. 379,844 34,210
MGIC Investment Corp. 706,654 33,875
Coastal Corp. 633,248 33,681
Baker Hughes, Inc. 863,514 33,407
Winn-Dixie Stores, Inc. 891,378 33,204
- Digital Equipment Corp. 934,755 33,125
International Flavors &
Fragrances, Inc. 655,635 33,110
</TABLE>
11
<PAGE> 14
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
- Computer Sciences Corp. 458,191 $ 33,047
CINergy Corp. 944,472 32,879
The Limited, Inc. 1,623,550 32,877
R.R. Donnelley & Sons Co. 895,913 32,813
Phelps Dodge Corp. 384,964 32,794
Burlington Resources, Inc. 741,627 32,724
- Parametric Technology Corp. 764,021 32,471
VF Corp. 382,618 32,427
Carolina Power & Light Co. 899,008 32,252
Freeport-McMoRan Copper &
Gold Inc. Class B 1,024,983 31,903
Sherwin-Williams Co. 1,031,514 31,848
Champion International Corp. 572,874 31,651
Times Mirror Co. Class A 572,732 31,643
- Bay Networks, Inc. 1,190,703 31,628
Reynolds Metals Co. 437,011 31,137
- Thermo Electron Corp. 898,210 30,876
Amerada Hess Corp. 553,480 30,753
UST Inc. 1,106,440 30,704
Consolidated Natural Gas Co. 569,069 30,623
Case Corp. 443,968 30,578
Northrop Grumman Corp. 347,078 30,478
- Advanced Micro Devices, Inc. 837,830 30,162
Interpublic Group of Cos., Inc. 490,782 30,091
Inco Ltd. 999,020 30,033
Houston Industries, Inc. 1,393,025 29,863
Torchmark Corp. 417,754 29,765
Eastman Chemical Co. 468,443 29,746
Nucor Corp. 526,204 29,731
Jefferson-Pilot Corp. 423,776 29,611
Equifax, Inc. 788,890 29,337
MBIA, Inc. 259,478 29,272
- -----------------------------------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 37,574,414
- -----------------------------------------------------------------------------------------
Hercules, Inc. 607,688 29,093
Green Tree Financial Corp. 815,948 29,068
Unicom Corp. 1,294,544 28,804
New York Times Co. Class A 574,425 28,434
Allegheny Teledyne Inc. 1,051,782 28,398
General Dynamics Corp. 374,495 28,087
Fluor Corp. 503,940 27,811
PECO Energy Corp. 1,321,243 27,746
Knight-Ridder, Inc. 556,753 27,316
- LSI Logic Corp. 846,176 27,078
Central & South West Corp. 1,269,946 26,986
Parker Hannifin Corp. 442,825 26,874
The Dun & Bradstreet Corp. 1,023,749 26,873
Rubbermaid, Inc. 898,015 26,716
- Cabletron Systems, Inc. 925,914 26,215
Sonat, Inc. 511,472 26,213
Laidlaw Inc. Class B 1,878,494 25,947
H.F. Ahmanson & Co. 602,809 25,921
- National Semiconductor Corp. 843,942 25,846
GPU Inc. 714,955 25,649
Morton International, Inc. 843,786 25,472
Comcast Corp. Class A Special 1,180,507 25,160
Avery Dennison Corp. 618,666 24,824
W.W. Grainger, Inc. 315,046 24,633
W.R. Grace & Co. 443,672 24,457
TJX Cos., Inc. 921,782 24,312
Whirlpool Corp. 441,283 24,078
DTE Energy Co. 862,862 23,837
Golden West Financial Corp. 340,287 23,820
- Western Atlas, Inc. 321,646 23,561
Dana Corp. 615,876 23,403
Baltimore Gas & Electric Co. 875,100 23,354
Dillard's Inc. 674,055 23,339
Nordstrom, Inc. 475,598 23,304
Placer Dome, Inc. 1,419,912 23,251
Dow Jones & Co., Inc. 573,581 23,051
Willamette Industries, Inc. 328,384 22,987
Union Electric Co. 605,567 22,822
Beneficial Corp. 320,503 22,776
Southwest Airlines Co. 870,922 22,535
State Street Corp. 487,228 22,534
- Humana, Inc. 965,236 22,321
Hasbro, Inc. 766,984 21,763
Pennzoil Co. 280,712 21,545
Columbia Gas Systems, Inc. 327,622 21,377
PACCAR, Inc. 460,906 21,375
- St. Jude Medical, Inc. 546,355 21,308
Northern States Power Co. 409,951 21,215
The Stanley Works 527,579 21,103
- AutoZone Inc. 891,784 21,013
Black & Decker Corp. 559,487 20,806
Sigma-Aldrich Corp. 592,202 20,690
Circuit City Stores, Inc. 581,235 20,670
Union Camp Corp. 413,366 20,668
Perkin-Elmer Corp. 258,873 20,597
Johnson Controls, Inc. 500,850 20,566
Ashland Inc. 440,218 20,415
Wendy's International, Inc. 784,216 20,341
- General Instrument Corp. 812,665 20,317
- Ceridian Corp. 476,020 20,112
Harcourt General, Inc. 422,140 20,104
Brown-Forman Corp. Class B 409,130 19,971
Harris Corp. 237,627 19,961
IKON Office Solutions 799,198 19,930
H & R Block, Inc. 616,870 19,894
Liz Claiborne, Inc. 423,991 19,769
Ohio Edison Co. 905,513 19,752
Raychem Corp. 265,122 19,718
PP&L Resources Inc. 980,920 19,557
Frontier Corp. 971,577 19,371
The Mead Corp. 309,859 19,289
- Woolworth Corp. 794,535 19,069
Westvaco Corp. 604,776 19,013
Great Lakes Chemical Corp. 361,061 18,911
James River Corp. 510,401 18,885
Tandy Corp. 336,592 18,849
Brunswick Corp. 592,739 18,523
Ecolab, Inc. 382,749 18,276
Kerr-McGee Corp. 287,890 18,245
ITT Industries, Inc. 699,877 18,022
Armstrong World Industries Inc. 244,518 17,942
Engelhard Corp. 853,751 17,875
- Providian Financial Corp. 556,152 17,866
Temple-Inland Inc. 328,909 17,761
USX-U.S. Steel Group 505,606 17,728
- FMC Corp. 220,331 17,503
Pall Corp. 745,990 17,344
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
Thomas & Betts Corp. 322,709 $ 16,962
Pacific Enterprises 504,313 16,958
Deluxe Corp. 488,510 16,670
Mallinckrodt, Inc. 438,126 16,649
Cummins Engine Co., Inc. 234,466 16,545
USF&G Corp. 686,429 16,474
American Greetings Corp.
Class A 444,580 16,449
- US Airways Group Inc. 464,712 16,265
U.S. Surgical Corp. 436,298 16,252
Comcast Corp. Class A 760,722 15,880
Reebok International Ltd. 335,822 15,700
- Silicon Graphics, Inc. 1,044,785 15,672
Bausch & Lomb, Inc. 329,480 15,527
- -----------------------------------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 39,736,332
- -----------------------------------------------------------------------------------------
Maytag Corp. 593,843 15,514
- DSC Communications Corp. 696,832 15,505
Ryder System, Inc. 469,082 15,480
Nalco Chemical Co. 398,948 15,409
- Andrew Corp. 538,373 15,074
Polaroid Corp. 269,147 14,938
Adobe Systems, Inc. 425,085 14,905
Aegon NV ARS 211,992 14,853
Whitman Corp. 615,881 14,781
- ALZA Corp. 501,904 14,555
- Rowan Cos., Inc. 507,700 14,311
- Tandem Computers, Inc. 703,905 14,254
Snap-On Inc. 361,495 14,234
- Novell, Inc. 2,057,176 14,207
- Fruit of the Loom, Inc. 455,938 14,134
The BFGoodrich Co. 318,648 13,801
Mercantile Stores Co., Inc. 218,694 13,764
Owens Corning 318,059 13,716
Bemis Co., Inc. 317,032 13,712
SuperValu Inc. 397,174 13,703
Louisiana-Pacific Corp. 643,484 13,594
Cyprus Amax Minerals Co. 553,369 13,558
Tupperware Corp. 369,382 13,482
Sun Co., Inc. 433,397 13,435
Echlin, Inc. 369,208 13,291
The Timken Co. 370,302 13,169
- Oryx Energy Co. 620,375 13,105
National Service Industries, Inc. 268,908 13,092
General Signal Corp. 295,991 12,913
Biomet, Inc. 677,713 12,622
NorAm Energy Corp. 813,175 12,401
Allergan, Inc. 388,202 12,350
C.R. Bard, Inc. 338,497 12,292
Pep Boys (Manny, Moe & Jack) 359,387 12,242
Manor Care Inc. 371,705 12,127
Harnischfeger Industries Inc. 291,632 12,103
Tektronix, Inc. 195,883 11,753
Louisiana Land & Exploration Co. 202,798 11,585
Giant Food, Inc. Class A 353,677 11,539
Crane Co. 272,687 11,402
Homestake Mining Co. 869,809 11,362
Millipore Corp. 256,831 11,301
- Harrah's Entertainment, Inc. 610,789 10,994
Autodesk, Inc. 283,381 10,857
- Apple Computer, Inc. 748,871 10,625
NICOR, Inc. 295,615 10,605
Moore Corp. Ltd. 533,426 10,502
Worthington Industries, Inc. 572,921 10,492
Cooper Tire & Rubber Co. 473,694 10,421
Boise Cascade Corp. 287,132 10,139
Scientific-Atlanta, Inc. 458,837 10,037
Foster Wheeler Corp. 240,463 9,739
- Beverly Enterprises, Inc. 588,153 9,557
McDermott International, Inc. 326,677 9,535
Alberto-Culver Co. Class B 331,000 9,268
Meredith Corp. 317,666 9,212
ENSERCH Corp. 412,605 9,180
Countrywide Credit
Industries, Inc. 289,502 9,029
- Santa Fe Energy Resources, Inc. 592,358 8,700
Caliber System Inc. 232,350 8,655
Darden Restaurants Inc. 949,093 8,601
Helmerich & Payne, Inc. 147,864 8,521
Stone Container Corp. 588,123 8,418
- Unisys Corp. 1,037,619 7,912
Aeroquip-Vickers Inc. 166,196 7,853
Shared Medical Systems Corp. 144,766 7,781
ASARCO, Inc. 253,952 7,777
King World Productions, Inc. 221,828 7,764
Peoples Energy Corp. 206,680 7,738
Potlatch Corp. 170,372 7,709
Inland Steel Industries, Inc. 289,784 7,571
Battle Mountain Gold Co.
Class A 1,330,425 7,567
Briggs & Stratton Corp. 150,381 7,519
- Navistar International Corp. 435,640 7,515
- Niagara Mohawk Power Corp. 852,947 7,303
Centex Corp. 171,474 6,966
- Bethlehem Steel Corp. 662,715 6,917
Russell Corp. 225,976 6,695
- Amdahl Corp. 720,133 6,301
EG & G, Inc. 279,461 6,288
Springs Industries Inc. Class A 118,904 6,272
Fleetwood Enterprises, Inc. 209,893 6,257
Great Atlantic & Pacific Tea
Co., Inc. 226,860 6,168
- Data General Corp. 237,101 6,165
Cincinnati Milacron, Inc. 236,505 6,134
Jostens Inc. 228,257 6,106
Longs Drug Stores, Inc. 230,316 6,031
Adolph Coors Co. Class B 223,837 5,904
Safety-Kleen Corp. 343,800 5,802
Ball Corp. 180,562 5,428
ONEOK, Inc. 161,721 5,205
Freeport-McMoRan Copper &
Gold Inc. Class A 172,483 5,045
Echo Bay Mines Ltd. 825,366 4,746
Pulte Corp. 132,337 4,574
John H. Harland Co. 182,257 4,158
Eastern Enterprises 119,382 4,141
Giddings & Lewis, Inc. 196,210 4,071
Kaufman & Broad Home Corp. 228,993 4,022
Fleming Cos., Inc. 223,097 4,016
Stride Rite Corp. 292,925 3,771
- Charming Shoppes, Inc. 625,509 3,264
</TABLE>
13
<PAGE> 16
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
MARKET
VALUE*
500 PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
NACCO Industries, Inc. Class A 48,484 $ 2,736
- Armco, Inc. 628,116 2,434
- Intergraph Corp. 278,462 2,332
- Viacom Inc. Class A 71,693 2,110
- TCI Satellite Entertainment, Inc.
Class A 33,719 266
- Fresenius National Medical
Care Pfd. 235,422 13
- -----------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (98.1%)(1)
(COST $26,481,218) 40,747,334
- -----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -----------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.0%)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
(2) 5.21%, 7/24/97 $ 33,700 33,593
(2) 5.27%, 8/7/97 7,000 6,964
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.93%, 7/1/97 793,832 793,832
- -----------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $834,382) 834,389
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
- -----------------------------------------------------------------------------------------
(COST $27,315,600) 41,581,723
- -----------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- -----------------------------------------------------------------------------------------
Other Assets--Notes B and E 290,196
Liabilities--Note E (318,498)
------------
(28,302)
- -----------------------------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------------------------
Applicable to 502,258,393 outstanding
shares of beneficial interest
(unlimited authorization) $41,553,421
=========================================================================================
NET ASSET VALUE PER SHARE $82.73
=========================================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income Producing Security.
(1) The combined market value of common stocks and S&P 500 Index futures
represents 100.0% of net assets.
(2) Securities with an aggregate value of $40,557,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depository Receipt.
ARS--American Registered Share.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------------------------
AT JUNE 30, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note C $26,965,253 $53.69
Undistributed Net
Investment Income 80,014 .16
Accumulated Net
Realized Gains--Note C 217,858 .43
Unrealized Appreciation--
Note D
Investment Securities 14,266,123 28.40
Futures Contracts 24,173 .05
- -----------------------------------------------------------------------------------------
NET ASSETS $41,553,421 $82.73
=========================================================================================
</TABLE>
14
<PAGE> 17
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by each Portfolio
during the reporting period, and details the operating expenses charged to the
Portfolio. These expenses directly reduce the amount of investment income
available to pay to shareholders as dividends. This Statement also shows any
Net Gain (Loss) realized on the sale of investments, and the increase or
decrease in the Unrealized Appreciation (Depreciation) on investments during
the period. If a Portfolio invested in futures contracts during the period, the
results of these investments are shown separately.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
EXTENDED TOTAL STOCK
500 MARKET MARKET GROWTH
PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1997
-------------------------------------------------------
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
<S> <C> <C> <C> <C>
INCOME
Dividends $ 325,646 $ 14,289 $ 32,930 $ 7,909
Interest 16,194 3,304 5,977 325
-------------------------------------------------------
Total Income 341,840 17,593 38,907 8,234
-------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 35 29 29 12
Management and Administrative 29,641 2,161 3,390 965
Marketing and Distribution 4,814 288 559 152
Custodian Fees 117 73 94 13
Auditing Fees 17 5 5 4
Shareholders' Reports 665 42 36 22
Annual Meeting and Proxy Costs 24 2 1 1
Trustees' Fees and Expenses 42 3 5 1
-------------------------------------------------------
Total Expenses 35,355 2,603 4,119 1,170
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 306,485 14,990 34,788 7,064
- -------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 467,746 56,526 5,456 24,688
Futures Contracts 102,086 9,305 25,059 334
- -------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 569,832 65,831 30,515 25,022
- -------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 5,810,246 180,000 608,292 230,582
Futures Contracts 24,614 2,136 4,487 64
- -------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 5,834,860 182,136 612,779 230,646
- -------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $6,711,177 $262,957 $678,082 $262,732
=============================================================================================================
</TABLE>
*The Statements of Net Assets for the Extended Market, Total Stock Market, and
Growth Portfolios, an integral part of the Financial Statements for each
Portfolio, are included as an insert to this Report.
15
<PAGE> 18
STATEMENT OF OPERATIONS (continued)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
SMALL
CAPITALIZATION
VALUE STOCK
PORTFOLIO* PORTFOLIO*
----------------------------------
SIX MONTHS ENDED JUNE 30, 1997
----------------------------------
(000) (000)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 14,541 $ 12,661
Interest 222 2,014
----------------------------------
Total Income 14,763 14,675
----------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 11 35
Management and Administrative 983 1,771
Marketing and Distribution 161 253
Custodian Fees 16 17
Auditing Fees 4 5
Shareholders' Reports 23 39
Annual Meeting and Proxy Costs 1 2
Trustees' Fees and Expenses 1 2
----------------------------------
Total Expenses 1,200 2,124
- ----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 13,563 12,551
- ----------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 27,642 28,612
Futures Contracts 621 4,001
- ----------------------------------------------------------------------------------------------
REALIZED NET GAIN 28,263 32,613
- ----------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 145,160 165,681
Futures Contracts 14 2,087
- ----------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 145,174 167,768
- ----------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $187,000 $212,932
==============================================================================================
</TABLE>
*The Statements of Net Assets for the Value and Small Capitalization Stock
Portfolios, an integral part of the Financial Statements for each Portfolio,
are included as an insert to this Report.
16
<PAGE> 19
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each Portfolio's total net assets changed during the
two most recent reporting periods. The Operations section summarizes
information that is detailed in the Statement of Operations. The amounts shown
as Distributions to shareholders from the Portfolio's net income and capital
gains may not match the amounts shown in the Operations section, because
distributions are determined on a tax basis and may be made in a period
different from the one in which the income was earned or the gains were
realized on the financial statements. The Capital Share Transactions section
shows the amount shareholders invested in the Portfolio, either by purchasing
shares or by reinvesting distributions, as well as the amounts redeemed. The
corresponding numbers of Shares Issued and Redeemed are shown at the end of the
Statement.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
500 EXTENDED MARKET
PORTFOLIO PORTFOLIO
------------------------------- ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 1997 DEC. 31, 1996 JUN. 30, 1997 DEC. 31, 1996
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 306,485 $ 482,116 $ 14,990 $ 25,868
Realized Net Gain 569,832 540,258 65,831 135,342
Change in Unrealized Appreciation (Depreciation) 5,834,860 3,961,266 182,136 133,530
---------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 6,711,177 4,983,640 262,957 294,740
---------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (263,058) (510,308) (841) (25,620)
Realized Capital Gain (19,002) (103,232) (31,006) (127,262)
---------------------------------------------------------------
Total Distributions (282,060) (613,540) (31,847) (152,882)
---------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A 12,722 36,930 -- --
---------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 8,057,623 12,313,689 364,357 690,749
Issued in Lieu of Cash Distributions 257,903 561,779 29,679 139,754
Redeemed (3,535,796) (4,322,481) (176,318) (396,736)
---------------------------------------------------------------
Net Increase from Capital Share Transactions 4,779,730 8,552,987 217,718 433,767
- ----------------------------------------------------------------------------------------------------------------------
Total Increase 11,221,569 12,960,017 448,828 575,625
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 30,331,852 17,371,835 2,098,838 1,523,213
---------------------------------------------------------------
End of Period $41,553,421 $30,331,852 $2,547,666 $2,098,838
======================================================================================================================
(1)Shares Issued (Redeemed)
Issued 107,951 197,182 13,699 26,677
Issued in Lieu of Cash Distributions 3,316 8,437 1,154 5,423
Redeemed (47,527) (68,675) (6,623) (15,254)
---------------------------------------------------------------
Net Increase in Shares Outstanding 63,740 136,944 8,230 16,846
======================================================================================================================
</TABLE>
17
<PAGE> 20
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET GROWTH
PORTFOLIO PORTFOLIO
------------------------------- ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 1997 DEC. 31, 1996 JUN. 30, 1997 DEC. 31, 1996
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 34,788 $ 47,501 $ 7,064 $ 8,117
Realized Net Gain 30,515 27,380 25,022 6,444
Change in Unrealized Appreciation (Depreciation) 612,779 412,119 230,646 97,843
---------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 678,082 487,000 262,732 112,404
---------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (26,831) (47,409) (7,057) (8,068)
Realized Capital Gain (8,575) (19,087) -- (5,200)
---------------------------------------------------------------
Total Distributions (35,406) (66,496) (7,057) (13,268)
---------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A -- -- -- --
---------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 886,133 1,778,726 773,453 534,984
Issued in Lieu of Cash Distributions 32,657 61,058 6,445 12,443
Redeemed (229,348) (300,321) (129,385) (130,661)
---------------------------------------------------------------
Net Increase from Capital Share Transactions 689,442 1,539,463 650,513 416,766
- ----------------------------------------------------------------------------------------------------------------------
Total Increase 1,332,118 1,959,967 906,188 515,902
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,530,856 1,570,889 786,904 271,002
---------------------------------------------------------------
End of Period $4,862,974 $3,530,856 $1,693,092 $786,904
======================================================================================================================
(1)Shares Issued (Redeemed)
Issued 46,618 109,053 40,935 34,801
Issued in Lieu of Cash Distributions 1,690 3,572 327 772
Redeemed (12,283) (18,391) (6,917) (8,427)
---------------------------------------------------------------
Net Increase in Shares Outstanding 36,025 94,234 34,345 27,146
======================================================================================================================
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
VALUE SMALL CAPITALIZATION
PORTFOLIO STOCK PORTFOLIO
------------------------------- ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 1997 DEC. 31, 1996 JUN. 30, 1997 DEC. 31, 1996
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 13,563 $ 19,198 $ 12,551 $ 20,555
Realized Net Gain 28,263 46,863 32,613 108,296
Change in Unrealized Appreciation (Depreciation) 145,174 88,860 167,768 83,327
---------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 187,000 154,921 212,932 212,178
---------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (9,773) (19,729) -- (21,098)
Realized Capital Gain (21,325) (28,488) (5,787) (109,741)
---------------------------------------------------------------
Total Distributions (31,098) (48,217) (5,787) (130,839)
---------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A -- -- -- --
---------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 348,847 537,032 433,391 751,887
Issued in Lieu of Cash Distributions 28,704 44,164 5,488 121,326
Redeemed (132,732) (168,500) (208,664) (212,431)
---------------------------------------------------------------
Net Increase from Capital Share Transactions 244,819 412,696 230,215 660,782
- ----------------------------------------------------------------------------------------------------------------------
Total Increase 400,721 519,400 437,360 742,121
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,015,727 496,327 1,713,354 971,233
---------------------------------------------------------------
End of Period $1,416,448 $1,015,727 $2,150,714 $1,713,354
======================================================================================================================
(1)Shares Issued (Redeemed)
Issued 19,501 34,020 20,977 37,170
Issued in Lieu of Cash Distributions 1,606 2,679 280 6,100
Redeemed (7,408) (10,585) (10,267) (10,771)
---------------------------------------------------------------
Net Increase in Shares Outstanding 13,699 26,114 10,990 32,499
======================================================================================================================
</TABLE>
19
<PAGE> 22
FINANCIAL HIGHLIGHTS
This table summarizes each Portfolio's investment results and distributions to
shareholders on a per-share basis. It also presents the Portfolio's Total
Return and shows net investment income and expenses as percentages of average
net assets. These data will help you assess: the variability of the Portfolio's
net income and total returns from year to year; the relative contributions of
net income and capital gains to the Portfolio's total return; how much it costs
to operate the Portfolio; and the extent to which the Portfolio tends to
distribute capital gains.
The table also shows the Portfolio Turnover Rate, a measure of trading
activity. A turnover rate of 100% means that the average security is held in
the Portfolio for one year. Finally, the table lists the Portfolio's Average
Commission Rate Paid, a disclosure required by the SEC beginning in 1996. This
rate is calculated by dividing total commissions paid on portfolio securities
by the total number of shares purchased and sold on which commissions were
charged.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
500 PORTFOLIO
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1997 1996 1995 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $69.17 $57.60 $42.97 $43.83 $40.97 $39.32
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .65 1.28 1.22 1.18 1.13 1.12
Net Realized and Unrealized Gain (Loss)
on Investments 13.49 11.82 14.76 (.67) 2.89 1.75
-------------------------------------------------------------------
Total from Investment Operations 14.14 13.10 15.98 .51 4.02 2.87
-------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.54) (1.28) (1.22) (1.17) (1.13) (1.12)
Distributions from Realized Capital Gains (.04) (.25) (.13) (.20) (.03) (.10)
-------------------------------------------------------------------
Total Distributions (.58) (1.53) (1.35) (1.37) (1.16) (1.22)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $82.73 $69.17 $57.60 $42.97 $43.83 $40.97
======================================================================================================================
TOTAL RETURN* 20.50% 22.88% 37.45% 1.18% 9.89% 7.42%
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $41,553 $30,332 $17,372 $9,356 $8,273 $6,547
Ratio of Total Expenses to
Average Net Assets 0.20%** 0.20% 0.20% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets 1.72%** 2.04% 2.38% 2.72% 2.65% 2.81%
Portfolio Turnover Rate 7%**+ 5%+ 4%+ 6%+ 6%+ 4%+
Average Commission Rate Paid $.0181 $.0166 N/A N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Total return figures do not reflect the annual account maintenance fee of $10.
**Annualized.
+ Portfolio turnover rates excluding in-kind redemptions were 3%, 2%, 2%, 4%,
2%, and 1%, respectively.
20
<PAGE> 23
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET PORTFOLIO
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1997 1996 1995 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $26.20 $24.07 $18.52 $19.43 $17.35 $15.82
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .17 .34 .30 .28 .23 .24
Net Realized and Unrealized Gain (Loss)
on Investments 2.85 3.85 5.95 (.62) 2.28 1.72
-------------------------------------------------------------------
Total from Investment Operations 3.02 4.19 6.25 (.34) 2.51 1.96
-------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.01) (.34) (.30) (.28) (.23) (.25)
Distributions from Realized Capital Gains (.37) (1.72) (.40) (.29) (.20) (.18)
-------------------------------------------------------------------
Total Distributions (.38) (2.06) (.70) (.57) (.43) (.43)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $28.84 $26.20 $24.07 $18.52 $19.43 $17.35
======================================================================================================================
TOTAL RETURN* 11.70% 17.65% 33.80% -1.76% 14.49% 12.47%
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,548 $2,099 $1,523 $967 $928 $585
Ratio of Total Expenses to
Average Net Assets 0.23%** 0.25% 0.25% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.33%** 1.42% 1.51% 1.51% 1.48% 1.73%
Portfolio Turnover Rate 11%** 22% 15% 19% 13% 9%
Average Commission Rate Paid $.0229 $.0235 N/A N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect transaction fees on purchases (0.5% in
1995 through 1997, 1.0% in 1992 through 1994) or the annual account
maintenance fee of $10.
**Annualized.
21
<PAGE> 24
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET PORTFOLIO
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED --------------------------------------------- MAR. 16* TO
THROUGHOUT EACH PERIOD JUN. 30, 1997 1996 1995 1994 1993 DEC. 31, 1992
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $17.77 $15.04 $11.37 $11.69 $10.84 $10.00
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .15 .29 .29 .27 .26 .23
Net Realized and Unrealized Gain (Loss)
on Investments 2.96 2.84 3.75 (.29) .88 .84
-----------------------------------------------------------------------
Total from Investment Operations 3.11 3.13 4.04 (.02) 1.14 1.07
-----------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.12) (.29) (.28) (.27) (.26) (.23)
Distributions from Realized Capital Gains (.04) (.11) (.09) (.03) (.03) --
-----------------------------------------------------------------------
Total Distributions (.16) (.40) (.37) (.30) (.29) (.23)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $20.72 $17.77 $15.04 $11.37 $11.69 $10.84
==========================================================================================================================
TOTAL RETURN** 17.57% 20.96% 35.79% -0.17% 10.62% 10.41%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $4,863 $3,531 $1,571 $786 $512 $275
Ratio of Total Expenses to
Average Net Assets 0.20%+ 0.22% 0.25% 0.20% 0.20% 0.21%+
Ratio of Net Investment Income to
Average Net Assets 1.70%+ 1.86% 2.14% 2.35% 2.31% 2.42%+
Portfolio Turnover Rate 2%+ 3% 3% 2% 1% 3%
Average Commission Rate Paid $.0192 $.0216 N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of operations.
**Total return figures do not reflect the 0.25% 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.
+ Annualized.
22
<PAGE> 25
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
GROWTH PORTFOLIO
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------ NOV. 2* TO
THROUGHOUT EACH PERIOD JUN. 30, 1997 1996 1995 1994 1993 DEC. 31, 1992
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $16.90 $13.97 $10.28 $10.20 $10.26 $10.00
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .10 .22 .21 .21 .21 .06
Net Realized and Unrealized Gain (Loss)
on Investments 4.03 3.07 3.68 .08 (.06) .26
------------------------------------------------------------------------
Total from Investment Operations 4.13 3.29 3.89 .29 .15 .32
------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.10) (.22) (.20) (.21) (.21) (.06)
Distributions from Realized Capital Gains -- (.14) -- -- -- --
------------------------------------------------------------------------
Total Distributions (.10) (.36) (.20) (.21) (.21) (.06)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $20.93 $16.90 $13.97 $10.28 $10.20 $10.26
==========================================================================================================================
TOTAL RETURN** 24.48% 23.74% 38.06% 2.89% 1.53% 3.19%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,693 $787 $271 $86 $51 $21
Ratio of Total Expenses to
Average Net Assets 0.20%+ 0.20% 0.20% 0.20% 0.20% 0%+
Ratio of Net Investment Income to
Average Net Assets 1.19%+ 1.57% 1.71% 2.08% 2.10% 2.85%+
Portfolio Turnover Rate 34%+ 29% 24% 28% 36% 2%
Average Commission Rate Paid $.0140 $.0183 N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Commencement of operations.
**Total return figures do not reflect the annual account maintenance fee of
$10.
+Annualized.
23
<PAGE> 26
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
VALUE PORTFOLIO
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------- NOV. 2* TO
THROUGHOUT EACH PERIOD JUN. 30, 1997 1996 1995 1994 1993 DEC. 31, 1992
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $17.02 $14.79 $11.12 $11.74 $10.30 $10.00
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .19 .37 .41 .38 .38 .07
Net Realized and Unrealized Gain (Loss)
on Investments 2.56 2.81 3.66 (.46) 1.50 .30
-------------------------------------------------------------------------
Total from Investment Operations 2.75 3.18 4.07 (.08) 1.88 .37
-------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.14) (.38) (.40) (.38) (.38) (.07)
Distributions from Realized Capital Gains (.32) (.57) -- (.16) (.06) --
-------------------------------------------------------------------------
Total Distributions (.46) (.95) (.40) (.54) (.44) (.07)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $19.31 $17.02 $14.79 $11.12 $11.74 $10.30
==========================================================================================================================
TOTAL RETURN** 16.39% 21.86% 36.94% -0.73% 18.35% 3.70%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,416 $1,016 $496 $297 $190 $24
Ratio of Total Expenses to
Average Net Assets 0.20%+ 0.20% 0.20% 0.20% 0.20% 0%+
Ratio of Net Investment Income to
Average Net Assets 2.25%+ 2.54% 3.06% 3.37% 3.26% 3.46%+
Portfolio Turnover Rate 33%+ 29% 27% 32% 30% 4%
Average Commission Rate Paid $.0152 $.0188 N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Commencement of operations.
**Total return figures do not reflect the annual account maintenance fee of
$10.
+Annualized.
24
<PAGE> 27
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
SMALL CAPITALIZATION STOCK PORTFOLIO
YEAR ENDED
DECEMBER 31,
SIX MONTHS ENDED -------------------- FEB. 1* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 1997 1996 1995 DEC. 31, 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $20.23 $18.61 $14.99 $16.24
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .140 .26 .24 .20
Net Realized and Unrealized Gain (Loss) on Investments 2.175 3.07 4.06 (.86)
----------------------------------------------------
Total from Investment Operations 2.315 3.33 4.30 (.66)
----------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.27) (.23) (.22)
Distributions from Realized Capital Gains (.065) (1.44) (.45) (.37)
----------------------------------------------------
Total Distributions (.065) (1.71) (.68) (.59)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.48 $20.23 $18.61 $14.99
==========================================================================================================================
TOTAL RETURN** 11.49% 18.12% 28.74% -4.00%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,151 $1,713 $971 $605
Ratio of Total Expenses to Average Net Assets 0.23%+ 0.25% 0.25% 0.17%+
Ratio of Net Investment Income to Average Net Assets 1.16%+ 1.51% 1.58% 1.50%+
Portfolio Turnover Rate 37%+ 28% 28% 25%
Average Commission Rate Paid $.0231 $.0245 N/A N/A
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Date of reorganization of Vanguard Small Capitalization Stock Fund into
Vanguard Index Trust-Small Capitalization Stock Portfolio.
**Total return figures do not reflect transaction fees on purchases (0.5% in
1997, 1.0% in 1994 through 1996) or the annual account maintenance fee of
$10.
+Annualized.
25
<PAGE> 28
NOTES TO FINANCIAL STATEMENTS
Vanguard Index Trust is registered under the Investment Company Act of 1940 as
a diversified open-end investment company, or mutual fund, and comprises the
500, Extended Market, Total Stock Market, Growth, Value, and Small
Capitalization Stock Portfolios.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The Trust consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Securities listed on an exchange are valued at the
latest quoted sales prices as of the close of trading on the New York Stock
Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such
securities not traded on the valuation date 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 60 days to maturity
are valued using the latest bid prices or using valuations based on 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 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 Portfolio follows 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 capital share
transactions.
4. REPURCHASE AGREEMENTS: The Trust, along with other members of The
Vanguard Group, transfers uninvested cash balances to a Pooled Cash Account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other
party to the agreement, retention of the collateral may be subject to legal
proceedings.
5. FUTURES CONTRACTS: The Trust uses 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 invest incoming cash in
the market, or sell futures in response to cash outflows, thereby simulating a
fully invested position in the underlying index while maintaining a cash
balance for liquidity. A Portfolio may seek to enhance returns by using futures
contracts instead of the underlying securities when futures are believed to be
priced more attractively than the underlying securities. The primary risks
associated with the use of futures contracts are imperfect correlation between
changes in market values of stocks held by the Portfolio and the prices of
futures contracts, and the possibility of an illiquid market.
Futures contracts based upon the following indexes are used: S&P 500 Index
(500 and Total Stock Market Portfolios), New York Stock Exchange Composite
Index (Extended Market and Small Capitalization Stock Portfolios), S&P Midcap
400 Index (Extended Market, Total Stock Market, and Small Capitalization Stock
Portfolios), S&P/BARRA Growth Index (Growth Portfolio), S&P/BARRA Value Index
(Value Portfolio), and Russell 2000 Index (Extended Market, Total Stock Market,
and Small Capitalization Stock Portfolios).
26
<PAGE> 29
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
6. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date.
7. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold.
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, 1997, the Trust had contributed capital aggregating
$3,903,000 to Vanguard (included in Other Assets), representing 19.5% of
Vanguard's capitalization. The Trust's trustees and officers are also directors
and officers of Vanguard.
C. During the six months ended June 30, 1997, purchases and sales of
investment securities other than temporary cash investments were:
<TABLE>
<CAPTION>
------------------------------------------------------------------
(000)
--------------------------
PORTFOLIO PURCHASES SALES
------------------------------------------------------------------
<S> <C> <C>
500 $5,351,885 $1,204,875
Extended Market 295,054 119,035
Total Stock Market 652,194 31,357
Growth 845,492 199,986
Value 431,229 195,561
Small Capitalization Stock 544,080 333,881
------------------------------------------------------------------
</TABLE>
During the six months ended June 30, 1997, the 500 Portfolio realized
$376,930,000 of net capital gains resulting from in-kind redemptions--in which
shareholders exchanged Portfolio shares for securities held by the Portfolio
rather than for cash. Because such gains are not taxable to the Portfolio, and
are not distributed to shareholders, they have been reclassified from
accumulated net realized gains to paid in capital.
D. At June 30, 1997, 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 $14,550,361 $(284,238) $14,266,123
Extended Market 847,735 (132,506) 715,229
Total Stock Market 1,458,051 (104,870) 1,353,181
Growth 377,453 (2,932) 374,521
Value 338,684 (17,527) 321,157
Small Capitalization Stock 512,039 (79,270) 432,769
------------------------------------------------------------------------
</TABLE>
27
<PAGE> 30
At June 30, 1997, the aggregate settlement value of open futures contracts
expiring in September 1997 and the related unrealized appreciation were:
<TABLE>
<CAPTION>
---------------------------------------------------------------------------
(000)
-----------------------------
AGGREGATE
NUMBER OF SETTLEMENT UNREALIZED
PORTFOLIO/FUTURES CONTRACTS LONG CONTRACTS VALUE APPRECIATION
---------------------------------------------------------------------------
<S> <C> <C> <C>
500/
S&P 500 1,789 $796,329 $24,173
Extended Market/
New York Stock Exchange
Composite Index 251 58,433 1,402
S&P Midcap 400 Index 211 30,553 548
Russell 2000 Index 69 13,762 366
Total Stock Market/
S&P 500 Index 370 164,696 3,337
S&P Midcap 400 Index 365 52,852 1,013
Russell 2000 Index 113 22,538 357
Growth/
S&P/BARRA Growth Index 12 2,754 64
Value/
S&P/BARRA Value Index 30 6,698 26
Small Capitalization Stock/
S&P Midcap 400 Index 180 26,064 302
Russell 2000 Index 239 47,669 1,745
---------------------------------------------------------------------------
</TABLE>
E. The market value of securities on loan to broker/dealers at June 30, 1997,
and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
-------------------------------------------------------------------
(000)
--------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
PORTFOLIO SECURITIES RECEIVED
-------------------------------------------------------------------
<S> <C> <C>
500 $ 89,163 $ 92,465
Extended Market 151,647 162,996
Total Stock Market 72,960 80,121
Value 4,205 4,317
Small Capitalization Stock 108,307 112,160
-------------------------------------------------------------------
</TABLE>
28
<PAGE> 31
TRUSTEES AND OFFICERS
JOHN C. BOGLE, Chairman of the Board and Director of The Vanguard Group, Inc.
and of each of the investment companies in The Vanguard Group.
JOHN J. BRENNAN, President, Chief Executive Officer, and Director of The
Vanguard Group, Inc. and of each of the investment companies in The
Vanguard Group.
ROBERT E. CAWTHORN, Chairman Emeritus and Director of Rhone-Poulenc Rorer,
Inc.; Managing Director of Global Health Care Partners/DLJ Merchant
Banking Partners; Director of Sun Company, Inc. and Westinghouse
Electric Corp.
BARBARA BARNES HAUPTFUHRER, Director of The Great Atlantic and Pacific Tea Co.,
Ikon Business Solutions, Inc., Raytheon Co., Knight-Ridder, Inc., and
Massachusetts Mutual Life Insurance Co.; Trustee Emerita of Wellesley
College.
BRUCE K. MACLAURY, President Emeritus of The Brookings Institution; Director of
American Express Bank Ltd., The St. Paul Companies, Inc., and National
Steel Corp.
BURTON G. MALKIEL, Chemical Bank Chairman's Professor of Economics, Princeton
University; Director of Prudential Insurance Co. of America, Amdahl
Corp., Baker Fentress & Co., The Jeffrey Co., and Southern New England
Communications Co.
ALFRED M. RANKIN, JR., Chairman, President, and Chief Executive Officer of
NACCO Industries, Inc.; Director of NACCO Industries, The BFGoodrich
Co., and The Standard Products Co.
JOHN C. SAWHILL, President and Chief Executive Officer of The Nature
Conservancy; formerly, Director and Senior Partner of McKinsey & Co.
and President of New York University; Director of Pacific Gas and
Electric Co., Procter & Gamble Co., and NACCO Industries.
JAMES O. WELCH, JR., Retired Chairman of Nabisco Brands, Inc.; retired Vice
Chairman and Director of RJR Nabisco; Director of TECO Energy, Inc.
and Kmart Corp.
J. LAWRENCE WILSON, Chairman and Chief Executive Officer of Rohm & Haas Co.;
Director of Cummins Engine Co.; Trustee of Vanderbilt University.
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY, Secretary; Senior Vice President and Secretary of The
Vanguard Group, Inc.; Secretary of each of the investment companies
in The Vanguard Group.
RICHARD F. HYLAND, Treasurer; Principal of The Vanguard Group, Inc.; Treasurer
of each of the investment companies in The Vanguard Group.
KAREN E. WEST, Controller; Principal of The Vanguard Group, Inc.; Controller of
each of the investment companies in The Vanguard Group.
OTHER VANGUARD OFFICERS
ROBERT A. DISTEFANO, Senior Vice President, Information Technology.
JAMES H. GATELY, Senior Vice President,
Individual Investor Group.
IAN A. MACKINNON, Senior Vice President,
Fixed Income Group.
F. WILLIAM MCNABB III, Senior Vice President, Institutional Investor Group.
RALPH K. PACKARD, Senior Vice President and
Chief Financial Officer.
[THE VANGUARD GROUP LOGO]
Please send your comments to us at:
Post Office Box 2600, Valley Forge, Pennsylvania 19482
Fund Information: 1-800-662-7447
Individual Account Services: 1-800-662-2739
Institutional Investor Services: 1-800-523-1036
http://www.vanguard.com [email protected]
All Vanguard funds are offered by prospectus only. Prospectuses contain more
complete information on advisory fees, distribution charges, and other expenses
and should be read carefully before investing or sending money. Prospectuses
may be obtained directly from The Vanguard Group.
(C) 1997 Vanguard Marketing Corporation, Distributor
<PAGE> 32
[PHOTO]
THE VANGUARD FAMILY OF FUNDS
EQUITY AND BALANCED FUNDS
GROWTH AND INCOME FUNDS
Vanguard/Windsor Fund
Vanguard/Windsor II
Vanguard Equity Income Fund
Vanguard Growth and Income Portfolio
Vanguard Selected Value Portfolio
Vanguard/Trustees' Equity-U.S. Portfolio
Vanguard Convertible Securities Fund
BALANCED FUNDS
Vanguard/Wellington Fund
Vanguard/Wellesley Income Fund
Vanguard STAR Portfolio
Vanguard Asset Allocation Fund
Vanguard LifeStrategy Portfolios
GROWTH FUNDS
Vanguard/Morgan Growth Fund
Vanguard/PRIMECAP Fund
Vanguard U.S. Growth Portfolio
AGGRESSIVE GROWTH FUNDS
Vanguard Explorer Fund
Vanguard Specialized Portfolios
Vanguard Horizon Fund
INTERNATIONAL FUNDS
Vanguard International Growth Portfolio
Vanguard International Value Portfolio
INDEX FUNDS
Vanguard Index Trust
Vanguard Tax-Managed Fund
Vanguard Balanced Index Fund
Vanguard Bond Index Fund
Vanguard International Equity Index Fund
Vanguard Total International Portfolio
FIXED-INCOME FUNDS
MONEY MARKET FUNDS
Vanguard Money Market Reserves
Vanguard Treasury Money Market Portfolio
Vanguard Admiral Funds
INCOME FUNDS
Vanguard Fixed Income Securities Fund
Vanguard Admiral Funds
Vanguard Preferred Stock Fund
TAX-EXEMPT MONEY MARKET FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds
(CA, NJ, OH, PA)
TAX-EXEMPT INCOME FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds
(CA, FL, NJ, NY, OH, PA)
Q402-6/97
<PAGE> 33
[PHOTO]
VANGUARD INDEX TRUST
FINANCIAL STATEMENTS
JUNE 30, 1997 (unaudited)
The Statement of Net Assets should be read in conjunction with the accompanying
Statement of Operations, Statement of Changes in Net Assets, Financial
Highlights, and Notes to Financial Statements. The Statement of Net Assets for
the 500 Portfolio begins on page 9 of the accompanying Report.
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each Portfolio's holdings, including
each security's market value on the last day of the reporting period. The 500,
Growth, and Value Portfolios' S&P 500 Index common stocks are listed in
descending market value order; the Extended Market, Total Stock Market, and
Small Capitalization Stock Portfolios' common stocks are listed alphabetically.
Temporary cash investments and other assets are added to, and liabilities are
subtracted from, the value of Total Common Stocks to calculate the Portfolio's
Net Assets. Finally, Net Assets are divided by the outstanding shares of the
Portfolio to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each Portfolio, you will find
a table displaying the composition of the Portfolio's net assets on both a
dollar and per-share basis. Because all income and any realized gains must be
distributed to shareholders each year, the bulk of net assets consists of Paid
in Capital (money invested by shareholders). The amounts shown for
Undistributed Net Investment Income and Accumulated Net Realized Gains usually
approximate the sums the Portfolio had available to distribute to shareholders
as income dividends or capital gains as of the statement date. Any Accumulated
Net Realized Losses, and any cumulative excess of distributions over net income
or net realized gains, will appear as negative balances. Unrealized
Appreciation (Depreciation) is the difference between the market value of the
Portfolio's investments and their cost, and reflects the gains (losses) that
would be realized if the Portfolio were to sell all of its investments at their
statement-date values.
<TABLE>
<CAPTION>
CONTENTS
<S> <C>
Extended Market Portfolio . . . . . . . . . 1
Total Stock Market Portfolio . . . . . . . . 21
Growth Portfolio . . . . . . . . . . . . . . 46
Value Portfolio . . . . . . . . . . . . . . 48
Small Capitalization Stock Portfolio . . . . 52
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
AAR Corp. 29,600 $ 956
- ABR Information Services, Inc. 48,200 1,395
- ABT Building Products Corp. 27,600 714
- ADC Telecommunications, Inc. 121,100 4,049
- ADE Corp. 44,600 1,318
AFLAC, Inc. 130,515 6,167
AGCO Corp. 56,300 2,023
AGL Resources Inc. 46,300 955
- AES Corp. 71,666 5,070
- AES Corp. Warrants Exp. 7/31/00 146 7
AK Steel Corp. 24,000 1,059
- AML Communications, Inc. 38,600 112
- APAC Teleservices, Inc. 38,989 759
- APS Holding Corp. 71,100 627
APL Ltd. 33,854 1,058
ARCO Chemical Co. 88,608 4,214
- AST Research, Inc. 136,614 717
AVX Corp. 78,300 2,114
Aames Financial Corp. 61,400 1,136
Abington Bancorp Inc. 2,900 75
- Able Telcom Holding Corp. 67,500 508
- Acceptance Insurance Cos. Inc. 36,700 835
- Access Health Marketing, Inc. 42,083 1,036
- Acclaim Entertainment Inc. 114,600 480
- AccuStaff, Inc. 91,300 2,163
Aceto Corp. 35,408 522
- Acme Electric Corp. 40,700 270
- Acme Metals, Inc. 26,900 461
- ACNielson Corp. 48,300 948
- Action Performance Cos., Inc. 43,400 1,055
- Acuson Corp. 40,038 921
- ACX Technologies Inc. 47,400 1,067
- Acxiom Corp. 46,822 963
- Adaptec, Inc. 101,400 3,524
- Adtran, Inc. 33,900 841
</TABLE>
1
<PAGE> 34
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- Advanced Digital Information Corp. 33,800 $ 547
- Advanced Fibre Communications 30,200 1,826
- Advanced Logic Research 57,500 882
- Advanced Magnetics, Inc. 44,700 486
- Advanced Mammography
Systems, Inc. 101,475 94
- Advanced Marketing Services 24,300 238
- Advanced NMR Systems, Inc. 127,900 32
- Advanced Polymer Systems 74,700 574
- Advanced Technology
Laboratories, Inc. 28,137 1,206
- Advanced Tissue Sciences Inc. 71,842 929
- Advantage Life Products, Inc. 2,030 4
- Aerial Communications Inc. 149,300 1,288
Advanta Corp. Class A 37,600 1,379
- ADVO, Inc. 64,175 1,043
- Affiliated Computer Services, Inc. 29,400 823
- Aftermarket Technology Corp. 39,700 878
- Agouron Pharmaceuticals, Inc. 11,800 955
- Agri-Nutrition Group Ltd. 27,100 36
- Air and Water Technologies Corp.
Class A 122,998 369
Air Express International Corp. 20,300 805
Airborne Freight Corp. 28,810 1,206
- Airgas, Inc. 60,100 1,191
AirTouch Communications, Inc.
Cvt. Pfd. 6.00% 11,709 333
AirTouch Communications, Inc.
Pfd. 4.25% Series C 7,519 361
- Airways Corp. 43,700 231
- Alaska Air Group, Inc. 21,600 553
Albank Financial Corp. 25,180 1,001
Albany International Corp. 47,700 1,073
Albemarle Corp. 47,402 998
Alex Brown, Inc. 21,530 1,521
Alexander & Baldwin, Inc. 39,900 1,044
- Alexander's, Inc. 11,800 830
Alfa Corp. 69,800 982
Aliant Communications Inc. 58,000 1,135
- Alleghany Corp. 6,458 1,405
Allegheny Power System, Inc. 114,000 3,042
Allegiance Corp. 48,800 1,330
- Allen Telecom 47,940 995
Alliance Bancorp Inc. 30,028 906
- Alliance Gaming Corp. 81,700 309
- Alliance Pharmaceutical Corp. 75,800 756
Alliance Semiconductor Corp. 93,550 763
- Alliant Techsystems, Inc. 19,600 1,078
Allied Capital Commercial Corp. 34,400 830
- Allied Devices Corp. 11,200 30
Allied Group, Inc. 19,000 722
Allied Products Corp. 22,601 749
- Allied Waste Industries, Inc. 95,700 1,630
Allmerica Financial Corp. 46,874 1,869
Allmerica Property & Casualty Cos. 54,000 1,768
- Allou Health & Beauty, Inc. 51,400 360
- Allwaste, Inc. 129,646 1,232
- Aloette Cosmetics, Inc. 47,700 151
Alpharma Inc. Class A 51,200 816
- Altera Corp. 82,180 4,153
- Alumax, Inc. 51,300 1,946
- Amax Gold, Inc. 101,487 622
AMBAC, Inc. 31,678 2,419
Amcast Industrial Corp. 23,600 590
- Amerco Inc. 32,500 985
- America Online, Inc. 89,400 4,973
- America West Holdings Corp.
Class B 34,600 502
American Annuity Group Inc. 65,278 1,175
American Bankers
Insurance Group 17,600 1,112
- American Banknote Corp. 130,100 602
American Federal Bank 29,600 964
American Financial Group, Inc. 55,100 2,338
- American Freightways 52,900 830
American General Hospitality
Corp. REIT 30,800 762
American Insured Mortgage
Investors-Series 86 48,900 550
- American Management
Systems, Inc. 37,225 998
- American Medserve Corp. 47,100 618
- American Mobile Satellite
Corp., Inc. 64,800 668
American National Insurance Co. 23,550 2,078
- American Oncology
Resources, Inc. 73,700 1,239
- American Power Conversion Corp. 86,200 1,630
- American Safety Razor Co. 43,400 781
- American Science &
Engineering, Inc. 37,100 357
- American Software, Inc. Class A 94,050 711
- American Standard Cos., Inc. 73,300 3,280
American States Financial Corp. 54,100 2,489
American Water Works Co., Inc. 71,274 1,523
- AmeriCredit Corp. 51,200 1,075
AmeriGas Partners, LP 35,100 860
- AmeriSource Health Corp. 23,704 1,182
- AmeriTrade Holding Corp. 41,900 657
Ameron International Corp. 11,800 668
Ametek, Inc. 45,200 1,062
Ampco-Pittsburgh Corp. 32,965 484
- AMREP Corp. 64,600 291
AmSouth Bancorp 76,768 2,903
- Amscan Holdings, Inc. 51,100 664
- Amtech Corp. 98,850 454
- Amylin Pharmaceuticals, Inc. 64,700 886
Anadarko Petroleum Corp. 55,500 3,330
- Analog Devices, Inc. 147,858 3,927
Anchor Bancorp Wisconsin Inc. 14,800 729
- Anchor Gaming 28,001 1,335
Andover Bancorp, Inc. 15,620 472
- Andrx Corp. 34,800 1,333
Angelica Corp. 33,100 579
- Anixter International Inc. 69,300 1,191
- AnnTaylor Stores Corp. 32,600 636
- Antec Corp. 84,900 995
Apache Corp. 82,200 2,672
Apartment Investment &
Management Co. Class A REIT 32,100 907
- Apertus Technologies, Inc. 90,500 136
Apogee Enterprises, Inc. 53,300 1,143
</TABLE>
2
<PAGE> 35
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- Aphton Corp. 44,361 $ 640
- Apollo Group, Inc. Class A 44,875 1,585
Apple South, Inc. 34,476 527
Applebee's International, Inc. 25,518 684
- Apria Healthcare 46,480 825
- Applied Analytical Industries, Inc. 40,000 815
Applied Industrial
Technologies Inc. 25,700 925
- Applied Magnetics Corp. 40,800 923
- Applied Microsystems Corp. 42,300 367
- Applix, Inc. 41,279 282
Aptargroup Inc. 26,300 1,190
Aquarion Co. 19,949 539
- Aquila Biopharmaceuticals, Inc. 920 5
Arbor Drugs, Inc. 53,825 1,082
- Arbor Software Corp. 25,400 897
- Arcadia Financial Ltd. 78,000 717
Argonaut Group, Inc. 33,619 1,000
- Argosy Gaming Co. 81,200 264
- Arkansas Best Corp. 65,900 597
Arnold Industries, Inc. 42,300 724
- Arrow Electronics, Inc. 46,550 2,473
Arrow International, Inc. 32,800 961
- Arterial Vascular Engineering, Inc. 61,100 1,965
- Artisoft, Inc. 99,500 236
Arvin Industries, Inc. 38,500 1,049
ASA Holdings Inc. 25,300 723
- Ascend Communications, Inc. 112,074 4,402
- Ascent Entertainment Group, Inc. 20,872 194
Ashland Coal Inc. 29,500 841
- Aspect Telecommunications Corp. 43,400 960
- Aspen Technologies, Inc. 6,400 241
Associated Banc-Corp. 20,100 791
Associated Estates Realty
Corp. REIT 37,200 874
- Associated Group, Inc. 25,428 1,011
- Associated Group, Inc. Class B 5,775 223
Associates First Capital Corp. 84,200 4,673
Astoria Financial Corp. 28,100 1,335
Astro-Med, Inc. 38,150 341
- Astrosystems, Inc. 28,700 165
- Guy F. Atkinson Co. of California 61,900 429
Atlantic Energy, Inc. 44,500 748
- Atlas Air, Inc. 19,700 680
- Atmel Corp. 89,400 2,509
- Atrix Laboratories, Inc. 51,434 617
- Atwood Oceanics, Inc. 17,300 1,157
- Autotote Corp. 121,167 144
Avalon Properties, Inc. REIT 43,500 1,245
- Avant! Corp. 43,890 1,417
- Avatar Holding, Inc. 21,700 735
- Avatex Corp. 58,402 69
- Avecor Cardiovascular, Inc. 48,000 582
- Aviall Inc. 57,500 805
- Avid Technology, Inc. 52,900 1,399
Avnet, Inc. 38,542 2,216
- Avondale Industries, Inc. 36,400 771
- AXENT Technologies, Inc. 42,300 648
- Aydin Corp. 47,700 596
- Aztar Corp. 100,100 707
BB&T Corp. 106,692 4,801
- BDM International, Inc. 26,000 595
- BEC Group Inc. 120,170 541
BHA Group Holdings Inc. 32,670 621
BHC Communications, Inc.
Class A 21,415 2,559
- BISYS Group, Inc. 22,200 932
- BJ Services Co. 35,200 1,888
BMC Industries, Inc. 38,804 1,329
- BMC Software, Inc. 93,200 5,167
BRE Properties Inc. Class A REIT 46,900 1,178
BSB Bancorp, Inc. 20,363 769
- BT Office Products
International, Inc. 90,600 680
- BTG Inc. 41,100 611
BW/IP Inc. 48,500 985
Badger Meter, Inc. 26,000 770
Bairnco Corp. 70,200 562
J. Baker, Inc. 59,409 472
Baldor Electric Co. 40,830 1,207
Baldwin & Lyons, Inc. Class B 39,000 870
Ballard Medical Products 44,566 894
- Bally Total Fitness Holding Corp. 88,089 826
BancFirst Corp. 17,250 567
Bandag, Inc. 19,562 959
Bandag, Inc. Class A 600 29
Bank United Corp. Class A 27,000 1,031
Bankers Corp. 30,300 850
Bank North Group 17,900 823
Banta Corp. 27,125 739
- Barnes & Noble, Inc. 31,100 1,337
- Barnwell Industries, Inc. 13,400 251
- Barrett Business Services, Inc. 37,300 520
- Barrett Resources Corp. 29,550 885
- Basin Exploration Inc. 72,198 564
Bassett Furniture Industries, Inc. 28,600 822
Beacon Properties Corp. REIT 51,300 1,712
Bear Stearns Co., Inc. 112,737 3,854
BeautiControl Cosmetics 49,950 546
Beckman Instruments Inc. 28,900 1,394
- Bed Bath & Beyond, Inc. 61,600 1,873
Bedford Property Investors, Inc. 34,500 694
- Bel Fuse, Inc. 41,600 554
- Belco Oil & Gas Corp. 49,600 1,063
Belden Inc. 22,700 773
A. H. Belo Corp. Class A 57,803 2,406
- Ben & Jerry's Homemade, Inc. 39,200 549
Bergen Brunswig Corp. Class A 47,066 1,312
W.R. Berkley Corp. 17,500 1,024
- Berkshire Hathaway Class A 1,131 53,383
Berkshire Realty Co., Inc. REIT 70,700 751
- Berlitz International, Inc. 32,726 816
Berry Petroleum Class A 49,500 940
- Bertucci's Holding Corp. 65,400 450
- Best Buy Co., Inc. 49,200 732
- BET Holdings Inc. Class A 23,700 776
BetzDearborn Inc. 26,900 1,775
- Billing Information Concepts 21,636 753
Bindly Western Industries, Inc. 40,200 922
Binks Sames Corp. 18,950 876
- Bio-Rad Laboratories, Inc. Class A 26,947 702
- Biotechnology General 89,400 1,210
</TABLE>
3
<PAGE> 36
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- BioCryst Pharmaceuticals, Inc. 49,200 $ 667
- Biocircuits Corp. 7,200 6
- Biogen, Inc. 65,338 2,215
- Biomatrix, Inc. 39,867 748
- BioSpecifics Technology 40,800 201
- BioWhittaker Inc. 62,299 693
Birmingham Steel Corp. 42,150 653
Blair Corp. 17,300 249
E.W. Blanch Holdings, Inc. 37,000 987
Blessings Corp. 51,900 542
Block Drug Co. Class A 17,010 742
Blount International, Inc. 26,500 1,128
- Blowout Entertainment Inc. 7,973 11
- Bluegreen Corp. 78,540 226
- Blyth Industries, Inc. 43,350 1,463
Bob Evans Farms, Inc. 68,016 1,156
- Boise Cascade Office
Products Corp. 56,976 969
- Bombay Co. 125,362 627
- Borders Group, Inc. 70,900 1,710
Borg-Warner Automotive, Inc. 21,700 1,173
- Boston Chicken, Inc. 55,600 777
- Boston Communications
Group, Inc. 91,000 1,291
Boston Edison Co. 42,100 1,110
- Boston Properties, Inc. 18,000 495
- Boston Technology, Inc. 47,600 1,407
BostonFed Bancorp, Inc. 34,500 610
Bowater Inc. 36,849 1,704
- Boyd Gaming Corp. 114,600 659
Boykin Lodging Co. 29,200 699
Bradley Real Estate Inc. REIT 51,137 984
W.H. Brady Class A 34,200 991
Breed Technological Inc. 52,200 1,201
Brenton Banks, Inc. 19,866 545
- Brinker International, Inc. 67,363 960
- BroadVision, Inc. 86,600 584
- Broadway & Seymour, Inc. 53,700 681
- Broderbund Software, Inc. 36,200 896
Brooke Group Ltd. 107,100 375
Brooklyn Union Gas Co. 46,650 1,335
- Brooks Fiber Properties, Inc. 49,500 1,674
- Brothers Gourmet Coffees, Inc. 87,200 232
Brown Group, Inc. 39,606 740
Brush Wellman, Inc. 37,200 779
- Buffets Inc. 94,593 798
- Builders Transport, Inc. 38,700 103
- Burlington Coat Factory
Warehouse Corp. 63,750 1,243
- Burlington Industries, Inc. 50,600 607
Burlington Resources Coal Seam
Gas Royalty Trust 28,700 208
- Burr-Brown Corp. 45,000 1,548
- Bush Boake Allen, Inc. 32,200 1,002
Bush Industries, Inc. 29,710 706
- CAI Wireless Systems, Inc. 123,530 135
CCB Financial Corp. 16,900 1,236
- C-COR Electronics, Inc. 53,500 532
- C-Cube Microsystems, Inc. 31,200 547
- CDI Corp. 16,800 700
- CDW Computer Centers, Inc. 25,000 1,327
CIPSCO, Inc. 29,100 1,064
CKE Restaurants Inc. 49,400 1,562
CMAC Investment Corp. 32,400 1,547
- CMG Information Services, Inc. 44,576 588
CML Group, Inc. 114,050 207
CMS Energy Corp. 83,739 2,952
- CNA Financial Corp. 57,105 6,021
CNB Bancshares, Inc. 17,100 692
- CNET, Inc. 31,900 937
CNF Transportation Inc. 38,100 1,229
CPI Corp. 45,200 949
- CRW Financial, Inc. 42,900 212
- CTC Communications Corp. 60,200 579
- C-TEC Corp. 28,000 968
- C-TEC Corp. Class B 11,100 380
CWM Mortgage Holdings Inc. 55,700 1,333
- Cablevision Systems Corp. Class B 26,300 1,407
- Cable Design Technologies 33,448 985
Cabot Corp. 66,432 1,885
Cabot Oil & Gas Corp. Class A 45,464 801
- Cadence Design Systems, Inc. 89,866 3,010
- Cadiz Land Co., Inc. 107,200 570
- CalEnergy Co. 59,492 2,261
Calgon Carbon Corp. 70,500 978
Cali Realty Corp. REIT 30,900 1,051
- California Federal Bank-
Secondary Contingent Litigation
Recovery Participation Interests 1,278 21
Callaway Golf Co. 67,000 2,379
- Callon Petroleum Co. 35,700 553
CalMat Co. 42,800 920
- Calpine Corp. 44,800 851
- Calumet Bancorp, Inc. 13,500 508
CAM Designs, Inc. 29,800 141
- Cambridge Technology Partners 45,200 1,435
Camco International, Inc. 47,480 2,600
Camden Property Trust REIT 40,668 1,286
- Cameron Ashley Building Products 38,900 552
- Canandaigua Wine Co., Inc.
Class A 17,900 607
- Canandaigua Wine Co., Inc.
Class B 6,375 231
- Canmax, Inc. 2,000 5
Capital One Financial Corp. 60,176 2,272
Capital Re Corp. 25,100 1,343
Capstead Mortgage Corp. 45,700 1,128
Caraustar Industries, Inc. 37,100 1,285
Cardinal Bancshares, Inc. 8,900 483
Carlisle Co., Inc. 29,346 1,023
- Carmike Cinemas, Inc. Class A 25,200 825
Carnival Corp. Class A 276,953 11,424
Carpenter Technology Corp. 20,700 947
CarrAmerica Realty Corp. REIT 51,500 1,481
- Carrington Labs Inc. 64,872 413
- Carson Inc. 37,300 401
Carter-Wallace, Inc. 71,900 1,285
Cascade Bancorp 6,200 242
- Cascade Communications Corp. 88,800 2,450
Casey's General Stores 40,000 861
Cash America International Inc. 80,310 843
- Casino Magic Corp. 133,800 163
</TABLE>
4
<PAGE> 37
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
A.M. Castle & Co. 33,725 $ 746
- - Castle & Cooke Inc. 48,433 802
- - Catalina Lighting, Inc. 59,400 230
- - Catalina Marketing Corp. 16,900 813
- - Catellus Development Corp. 91,701 1,662
Cato Corp. Class A 68,300 369
- - Cayenne Software Inc. 111,600 380
- - Cellegy Pharmaceuticals, Inc. 48,600 132
- - Cellular Technical Services Co. 64,650 594
Cellularvision USA, Inc. 75,100 596
- - Celtrix Pharmaceuticals 75,300 181
Centerior Energy Corp. 136,300 1,525
CenterPoint Properties Corp. REIT 32,800 1,041
- - Centocor, Inc. 63,100 1,958
Central Cooperative Bank 27,100 495
Central Fidelity Banks, Inc. 51,875 1,843
Central Hudson Gas &
Electric Corp. 23,800 820
Central Louisiana Electric Co. 36,792 1,035
Central Maine Power Co. 47,767 591
Central Newspapers Inc. 19,950 1,429
- - Central Sprinkler Corp. 24,707 658
Central Vermont Public
Service Corp. 31,500 348
Centura Banks, Inc. 23,700 1,087
- - Century Communications Corp.
Class A 145,481 800
Century Telephone
Enterprises, Inc. 56,077 1,889
- - Cephalon, Inc. 60,100 693
- - Cerner Corp. 57,230 1,202
- - Chalone Wine Group Ltd. 55,500 631
- - Champion Enterprises, Inc. 46,514 698
- - Chancellor Broadcasting Co.
Class A 23,900 955
Chaparral Steel Co. 55,400 828
Charter One Financial 49,198 2,654
- - Chartwell Leisure Corp 44,853 592
Chartwell Re Corp. 31,210 936
Chateau Communities Inc. 40,412 1,157
- - Checkers Drive-In Restaurant 104,400 147
- - Checkers Drive-In Restaurant
Warrants Exp. 12/22/00 1,562 1
- - Checkfree Corp. 57,500 1,012
Checkpoint Systems, Inc. 62,826 1,009
Chelsea GCA Realty, Inc. REIT 26,800 1,018
Chemed Corp. 21,000 786
ChemFirst Inc. 36,200 982
- - Chemical Fabrics Corp. 33,414 702
Chesapeake Corp. of Virginia 35,483 1,198
Chesapeake Energy Corp. 64,000 628
- - Chic By H.I.S., Inc. 68,100 451
- - Chico's Fas, Inc. 37,686 200
Chiquita Brands International, Inc. 78,065 1,073
- - Chiron Corp. 154,540 3,221
- - Chock Full O'Nuts Corp. 87,060 637
- - Choice Hotels Corp. Inc. 56,000 948
- - Cholestech Corp. 86,400 491
- - Chris-Craft Industries, Inc. 29,402 1,419
- - Christiana Cos., Inc. 23,900 953
Church & Dwight, Inc. 34,500 923
- - CIENA Corp. 88,800 4,182
Cilcorp, Inc. 17,700 729
Cincinnati Bell, Inc. 126,100 3,972
Cincinnati Financial Corp. 51,197 4,054
Circle International Group, Inc. 33,000 875
- - Circon Corp. 47,657 673
- - Circuit City Stores, Inc.-
CarMax Group 7,000 100
- - Cirrus Logic 56,900 599
Cintas Corp. 42,900 2,952
- - Circus Circus Enterprises Inc. 91,259 2,247
Citifed Bancorp 20,850 803
Citizens Bancshares, Inc. 17,200 944
Citizens Banking Corp. 22,000 753
Citizens Corp. 31,300 865
- - Citizens, Inc. 74,200 566
- - Citizens Utilities Co. Class A 211,943 1,987
- - Citizens Utilities Co. Class B 18,049 144
- - Citrix Systems, Inc. 37,100 1,629
City Holding Co. 9,550 319
City National Corp. 38,588 929
- - Cityscape Financial Corp. 60,300 1,197
- - Civic Bancorp 4,600 62
Claire's Stores, Inc. 41,400 725
Clarcor Inc. 34,900 864
- - Claremont Technology Group, Inc. 30,800 728
- - Clarify, Inc. 55,900 631
Clayton Homes Inc. 105,997 1,510
- - Clean Harbors Inc. 43,500 71
- - Clear Channel Communications 71,600 4,403
Cleveland-Cliffs Iron Co. 16,400 668
- - The Clothestime, Inc. 20,000 1
Coachmen Industries, Inc. 38,600 661
- - Coast Savings Financial, Inc. 28,000 1,272
- - Coastal Physician Group, Inc. 124,200 202
Coca-Cola Enterprises, Inc. 351,851 8,093
- - Coda Music Technology, Inc. 51,100 88
- - Code Alarm, Inc. 27,600 61
- - Coeur D'Alene Mines Corp. 55,000 712
- - Cognex Corp. 57,150 1,518
- - Coherent Communications
Systems Corp. 35,900 893
- - Coherent, Inc. 19,623 876
- - Coleman Inc. 43,500 750
Collective Bancorp, Inc. 29,550 1,333
Collagen Corp. 35,003 613
- - Collins & Aikman Corp. 110,100 1,101
Colonial BancGroup, Inc. 31,900 774
Colonial Gas Co. 21,676 456
- - Coltec Inc. 61,800 1,205
Columbus Realty Trust REIT 36,400 828
ComAir Holdings, Inc. 43,416 1,203
Comdisco, Inc. 64,938 1,688
Commerce Bancorp, Inc. 24,465 948
Commerce Bancshares, Inc. 33,186 1,504
Commerce Group, Inc. 30,600 753
Commercial Assets 81,800 547
Commercial Federal Corp. 33,450 1,242
Commercial Metals Co. 24,366 786
Commonwealth Energy Systems 34,800 833
Communications Systems, Inc. 40,000 580
</TABLE>
5
<PAGE> 38
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Community Bankshares, Inc. 6,700 $ 265
Community First Bankshares 27,158 1,039
Community Trust Bancorp Inc. 27,060 729
Compass Bancshares Inc. 57,298 1,923
- - Competitive Technologies, Inc. 43,000 390
- - CompuServe Corp. 80,100 864
- - CompUSA, Inc. 82,300 1,769
Computer Data Systems, Inc. 25,654 770
- - Computer Outsourcing
Services, Inc. 57,600 266
Computer Task Group, Inc. 44,008 1,639
- - Computervision Corp. 153,300 709
- - Computron Software, Inc. 76,500 134
- - Compuware Corp. 79,300 3,796
COMSAT Corp. 42,700 1,017
- - Comverse Technology, Inc. 23,200 1,211
- - Computer Horizons Corp. 35,938 1,229
- - Concord EFS, Inc. 55,075 1,435
- - Conmed Corp. 40,700 697
Conseco Inc. 637 24
- - Consilium, Inc. 49,200 197
Consolidated Cigar Holdings Inc. 25,800 716
- - Consolidated Freightways Corp. 18,750 308
Consolidated Papers 42,100 2,273
- - Consolidated Products Inc. 44,697 832
- - Consolidated Stores, Inc. 77,751 2,702
- - Consolidated Technology Group 24,500 2
- - Consumer Portfolio Services, Inc. 63,800 774
- - ContiFinancial Corp. 38,500 1,405
- - Continental Airlines, Inc. Class B 52,000 1,817
- - Continental Materials Corp. 35,600 788
- - Converse Inc. 52,633 1,164
- - Cooper Cameron Corp. 48,000 2,244
- - Copley Pharmaceutical, Inc. 85,217 613
- - Coram Healthcare Corp. 154,803 377
Core Industries, Inc. 38,400 950
- - COREStaff, Inc. 33,850 916
- - Corporate Express, Inc. 102,400 1,475
- - Corrections Corp. of America 69,728 2,772
- - Cosmetic Center, Inc. Class C 8,019 34
Cousins Properties, Inc. REIT 42,800 1,188
- - Covance, Inc. 50,860 982
- - Coventry Corp. 80,100 1,219
- - Cox Communications Class A 248,654 5,968
Cracker Barrel Old Country
Stores, Inc. 54,833 1,450
- - Craig Corp. 32,823 521
- - Jenny Craig Inc. 65,600 455
Crawford & Co. Class B 74,400 1,209
- - Credence Systems Corp. 45,200 1,355
- - Credit Acceptance Corp. 39,800 511
- - Cree Research, Inc. 66,300 804
Crescent Real Estate, Inc. REIT 89,400 2,838
- - Crescent Operating Inc. 8,940 116
Crestar Financial Corp. 100,418 3,904
Crompton & Knowles Corp. 68,400 1,522
A.T. Cross Co. Class A 53,000 676
- - Crown Central Petroleum Corp.
Class B 46,100 686
Crown Crafts, Inc. 39,240 412
Cullen/Frost Bankers, Inc. 32,060 1,359
- - Culligan Water Technologies 17,500 783
Curtiss-Wright Corp. 12,700 740
- - Custom Chrome 37,400 601
- - Cygnus Inc. 47,100 818
- - Cypress Semiconductor Corp. 79,200 1,148
- - Cypros Pharmaceuticals Corp. 92,300 407
- - Cyrix Corp. 40,700 871
- - Cytec Industries, Inc. 42,300 1,581
- - Cytogen Corp. 124,469 611
- - DBT Online Inc. 19,977 1,069
DPL, Inc. 96,775 2,383
DQE Inc. 70,243 1,984
D. R. Horton, Inc. 73,100 758
- - DSP Communications, Inc. 77,000 852
- - DST Systems, Inc. 43,200 1,439
- - DVI, Inc. 44,300 642
- - Dal-Tile International Inc. 45,400 843
Dallas Semiconductor Corp. 24,400 958
Dames & Moore, Inc. 54,200 671
Danaher Corp. 53,366 2,712
- - Danielson Holdings Corp. 78,100 615
- - Darling International, Inc. 21,100 549
Dart Group Corp. Class A 5,100 514
- - Data Broadcasting Corp. 122,856 591
- - Data Systems & Software, Inc. 50,600 240
- - Dataware Technologies, Inc. 46,600 138
- - Datascope Corp. 38,800 749
- - Datastream Systems, Inc. 33,100 505
Dauphin Deposit Bank & Trust 27,540 1,226
- - Davel Communications Group, Inc. 30,800 543
- - Dave & Busters 25,407 683
Dean Foods Corp. 36,433 1,471
Deb Shops, Inc. 94,700 373
- - DecisionOne Corp. 51,000 1,159
DEKALB Genetics Corp. Class B 14,400 1,148
Delmarva Power & Light Co. 51,400 980
Delta & Pine Land Co. 43,575 1,552
Deltic Timber Corp. 10,751 315
- - Delta Financial Corp. 43,800 838
- - Delta Woodside 80,000 540
DENTSPLY International 23,800 1,165
- - Department 56 Inc. 18,800 417
Deposit Guaranty Corp. 37,800 1,191
- - DePuy, Inc. 89,600 2,061
- - Designer Holdings Ltd. 72,500 739
- - Detroit Diesel Corp. 46,922 1,123
Developers Diversified Realty
Corp. REIT 30,000 1,200
Devon Energy Corp. 31,600 1,161
- - Devry, Inc. 28,800 778
Dexter Corp. 32,100 1,027
Diagnostic Products Corp. 28,077 886
Dial Corp. 89,000 1,391
- - Dialogic Corp. 31,000 827
- - Diamond Multimedia Systems, Inc. 90,700 655
- - Diamond Offshore Drilling, Inc. 65,000 5,078
- - Diamond Technology Partners Inc. 22,390 230
Diebold, Inc. 62,926 2,454
- - Digi International, Inc. 70,650 720
- - Digital Generation Systems 91,695 418
- - Digital Microwave Corp. 42,873 1,270
</TABLE>
6
<PAGE> 39
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Dime Bancorp, Inc. 93,728 $ 1,640
Dimon Inc. 55,350 1,467
- - Dionex Corp. 22,500 1,150
Dole Food Co. 55,900 2,390
Dollar General Corp. 85,106 3,191
- - Dollar Tree Stores, Inc. 22,450 1,132
Donaldson Co., Inc. 29,100 1,106
Donaldson, Lufkin & Jenrette, Inc. 54,600 3,262
Donnelly Corp. 39,312 658
- - Donnkenny, Inc. 34,600 132
- - Doubletree Corp. 36,371 1,495
- - Dove Audio, Inc. 24,500 73
Downey Financial Corp. 52,305 1,236
- - Dravo Corp. 54,161 589
- - The Dress Barn, Inc. 50,200 977
- - Drexler Technology Corp. 48,311 498
Dreyer's Grand Ice Cream, Inc. 26,100 1,015
- - Drug Emporium, Inc. 106,330 532
- - Drypers Corp. 117,100 893
Duke Realty Investments,
Inc. REIT 27,300 1,106
- - Dura Pharmaceuticals, Inc. 40,314 1,605
Durco International Inc. 36,700 1,080
Duty Free International Inc. 45,926 861
- - Dynatech Corp. 24,500 876
- - EA Engineering Sciences and
Technology Inc. 41,700 82
- - ENSCO International, Inc. 64,450 3,400
- - ERD Waste Corp. 15,100 17
- - ESS Technology, Inc. 45,900 618
- - ETEC Systems, Inc. 17,500 750
- - EVI Inc. 54,200 2,276
- - Eagle Finance Corp. 44,100 91
- - Eagle Food 82,200 503
- - Eagle Hardware & Garden, Inc. 22,200 507
East Texas Financial Services, Inc. 16,000 290
Eastern Utilities Associates 30,881 564
Eastgroup Properties Inc. 32,800 660
- - Echelon International Corp., Inc. 34,100 778
- - Ecogen, Inc. 32,940 117
Ecology and Environment, Inc. 6,925 58
- - Edisto Resources Corp. 70,600 653
- - Education Alternatives, Inc. 78,000 346
- - Education Management Corp. 30,800 793
A.G. Edwards & Sons, Inc. 59,648 2,550
- - Egghead, Inc. 75,769 301
- - Einstein/Noah Bagel Corp. 59,400 707
- - El Paso Electric Co. 4,066 29
El Paso Natural Gas 54,132 2,977
Elcor Corp. 26,200 730
- - Electromagnetic Sciences, Inc. 35,314 614
- - Electronic Arts Inc. 48,800 1,644
Electronic Data Systems Corp. 461,145 18,907
- - Electronics for Imaging, Inc. 51,400 2,427
- - EmCare Holdings Inc. 25,800 950
Empire District Electric Co. 31,555 546
- - Energy Biosystems Corp. 86,900 413
- - Energy Conversion Devices, Inc. 48,025 621
Engineered Support Systems, Inc. 61,800 1,139
Energy North, Inc. 24,211 548
Enova Corp. 103,700 2,495
Enron Global Power &
Pipelines L.L.C. 28,300 943
Enron Oil & Gas Co. 146,076 2,648
- - Ensec International Inc. 25,000 58
- - Enstar Inc. 21,266 129
Enterprise Federal Bancorp, Inc. 3,000 56
- - EntreMed, Inc. 50,900 601
- - Envirometrics, Inc. 17,300 5
- - Epitope Inc. 68,900 530
The Equitable Cos. 172,809 5,746
Equitable of Iowa Co. 29,200 1,635
Equitable Resources, Inc. 30,550 867
- - Equivest Finance, Inc. 51,675 136
Equity Residential Properties
Trust REIT 60,200 2,860
Erie Indemnity Co. Class A 57,217 2,231
Essex County Gas Co. 6,800 176
- - Esterline Technologies Corp. 31,355 1,117
Ethyl Corp. 100,304 928
- - Europa Cruises Corp. 48,700 40
Everest Reinsurance Holdings, Inc. 45,600 1,807
Evergreen Bancorp, Inc. 28,600 481
- - Evergreen Media Corp. 36,844 1,642
- - Exabyte Corp. 57,500 739
- - EXCEL Communications, Inc. 99,400 2,858
Exide Corp. 42,300 928
Expeditors International of
Washington, Inc. 43,600 1,240
- - Expert Software Inc. 31,800 128
- - Express Scripts 25,700 1,068
- - Extended Stay America, Inc. 88,900 1,400
F & M Bancorp 3,700 100
FAC Realty Inc. REIT 88,400 547
FFY Financial Corp. 16,000 419
- - FSI International, Inc. 57,300 913
- - FTP Software, Inc. 116,900 574
- - Fairchild Corp. 47,700 859
- - Falcon Drilling Co., Inc. 36,800 2,121
Family Dollar Stores, Inc. 51,200 1,395
Fastenal Co. 33,400 1,632
Federal-Mogul Corp. 33,200 1,162
Federal Realty Investment
Trust REIT 36,300 980
Federal Signal Corp. 42,737 1,074
Felcor Suite Hotels, Inc. REIT 23,400 872
- - Female Health Co. 37,600 122
Ferro Corp. 22,975 852
- - Fibreboard Corp. 23,474 1,284
- - Fieldcrest Cannon, Inc. 31,300 595
- - Figgie International Inc. Class A 52,700 718
- - Filene's Basement Corp. 101,450 669
- - FileNet Corp. 50,600 737
FINA Inc. 25,900 1,651
Financial Security Assurance
Holdings Ltd. 27,600 1,075
Fingerhut Co. 40,446 705
FINOVA Group, Inc. 24,998 1,912
First American Corp. (Tenn.) 52,800 2,031
First American Bank Corp. 83,338 3,813
First Bancorp North Carolina 2,200 50
First Bell Bancorp, Inc. 36,600 604
</TABLE>
7
<PAGE> 40
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
First Brands Corp. 36,700 $ 842
First Citizens BancShares Class A 10,200 908
- - First Citizens Financial Corp. 7,270 228
First Commerce Corp. 34,515 1,517
First Commercial Corp. 31,340 1,281
First Federal Capital Corp. 18,150 438
First Empire State Corp. 6,200 2,089
First Financial Savings Assn. 49,875 1,468
First Hawaiian, Inc. 27,300 930
First Industrial Realty Trust REIT 25,400 743
First Michigan Bank Corp. 21,765 656
First Midwest Financial, Inc. 1,050 18
First Mutual Savings Bank 1,848 34
First Home Bancorp Inc. 4,266 80
First Palm Beach Bancorp 22,100 754
- - First Pacific Networks, Inc. 73,000 4
- - First Republic Bancorp, Inc. 29,700 691
First Security Corp. 102,168 2,794
First Southern Bancshares 1,600 21
- - First USA Paymentech, Inc. 30,367 879
First Tennessee National Corp. 61,200 2,943
First United Bancorporation 4,851 90
First Virginia Banks, Inc. 29,742 1,794
Firstar Corp. 139,422 4,252
- - FIRSTPLUS Financial Group 48,200 1,639
- - FIserv, Inc. 46,350 2,074
- - First Federal Financial Corp. 34,375 1,068
First Bancorp of Ohio 27,900 1,336
Fisher Scientific International Inc. 29,900 1,420
- - Flagstar Cos. 109,500 36
Flexsteel Industry 35,900 429
Florida East Coast Railway Co. 8,400 932
- - Florida Panthers Holdings, Inc. 29,000 700
Florida Progress Corp. 89,000 2,787
Florida Rock Industries, Inc. 21,600 878
- - Florsheim Group Inc. 52,915 681
Flowers Industries, Inc. 78,450 1,319
Fluke Corp. 17,445 1,034
Flushing Financial Corp. 31,100 692
Food Lion Inc. Class A 375,550 2,693
Food Lion Inc. Class B 50,005 361
- - Foodarama Supermarkets, Inc. 22,400 434
- - Footstar Inc. 27,400 716
- - Forcenergy Inc. 33,600 1,021
- - FORE Systems, Inc. 87,500 1,189
Foremost Corp. of America 16,500 988
Forest City Enterprise Class A 24,450 1,167
- - Forest Laboratories, Inc. 37,908 1,571
- - Fort Howard Corp. 68,715 3,477
- - Forte Software, Inc. 57,400 773
- - Foundation Health Systems
Class A 115,732 3,508
Franchise Finance Corp. of
America REIT 37,300 972
- - Franklin Bancorporation, Inc. 30,975 387
- - Franklin Covey Co. 38,000 962
- - Franklin Electronic Publishers, Inc. 53,700 524
Franklin Resources Corp. 117,320 8,513
Fredericks of Hollywood, Inc.
Class A 48,700 289
Fredericks of Hollywood, Inc.
Class B 24,132 143
Freeport-McMoRan, Inc. 35,857 1,035
Fremont General Corp. 37,027 1,490
Frisch's Restaurants, Inc. 43,334 720
- - Fritz Cos., Inc. 26,800 261
Frontier Insurance Group, Inc. 11,800 764
H.B. Fuller Co. 20,950 1,153
Fulton Financial Corp. 37,552 1,023
Fund American Enterprise
Holding Co. 11,385 1,195
- - Furniture Brands International Inc. 68,200 1,321
G & K Services, Inc. 32,325 1,196
G & L Realty Corp. 34,000 557
GATX Corp. 18,600 1,074
- - GT Interactive Software Corp. 109,200 1,300
Gainsco, Inc. 70,661 662
Arthur J. Gallagher & Co. 29,400 1,110
- - Game Financial Corp. 9,375 88
- - Garden Fresh Restaurant Corp. 40,500 476
- - Gartner Group, Inc. Class A 84,300 3,027
- - Gateway 2000 Inc. 141,800 4,600
- - Gaylord Container Corp. 124,100 954
Gaylord Entertainment Co. Class A 87,573 2,020
GenCorp, Inc. 50,000 1,156
- - Genentech, Inc. 114,173 6,729
General Binding Corp. 29,600 851
- - General DataComm Industries, Inc. 79,700 568
General Growth Properties
Inc. REIT 36,500 1,223
General Motors Corp. Class H 94,452 5,455
- - General Nutrition Cos., Inc. 79,800 2,229
- - Gentex Corp. 57,700 1,129
- - Genesis Health Ventures Inc. 31,350 1,058
- - Geneva Steel Class A 70,900 191
- - Genlyte Group, Inc. 49,400 651
- - Genome Therapeutics Corp. 77,230 656
Genovese Drug Stores, Inc.
Class A 42,954 846
- - Genrad, Inc. 48,512 1,098
- - Gensia Sicor Inc. 159,907 705
Geon Co. 43,800 887
- - Genzyme Corp. 66,776 1,849
Georgia Gulf Corp. 29,482 857
Gerber Scientific, Inc. 59,600 1,177
- - Getchell Gold Corp. 32,719 1,153
- - Getty Petroleum Marketing Inc. 75,532 378
Getty Realty Corp. 45,232 797
- - Gibson Greetings, Inc. 40,100 905
- - Gilead Sciences, Inc. 37,500 1,038
P.H. Glatfelter Co. 39,800 796
- - Glenayre Technologies, Inc. 50,412 827
Glenborough Realty Trust,
Inc. REIT 33,000 833
- - Glendale Federal 46,105 1,204
- - Global DirectMail Corp. 32,846 856
- - Global Industrial Technologies, Inc. 36,900 756
- - Global Industries, Ltd. 38,400 895
- - Global Marine, Inc. 155,500 3,615
- - Globalink, Inc. 62,700 204
</TABLE>
8
<PAGE> 41
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Gold Reserve Corp. 63,400 499
- - Golden Books Family
Entertainment, Inc. 72,000 $ 909
Golden Enterprises Inc. 68,900 504
- - E. Gottschalk & Co., Inc. 59,100 488
Graco, Inc. 32,177 969
Graham-Field Health Products Inc. 63,516 865
- - Grand Casinos, Inc. 79,600 1,174
Granite State Bankshares, Inc. 3,750 71
Graphic Industries, Inc. 52,200 692
- - Great Bay Casino Corp. 17,221 24
- - Greater New York Savings Bank 46,300 1,042
Green Mountain Power Corp. 16,907 400
Green Point Financial Corp. 44,800 2,982
Grief Brothers Corp. Class A 35,300 966
- - Grist Mill Co. 45,950 325
- - Grossmans, Inc. 135,000 30
- - GTech Holdings Corp. 38,000 1,226
Guaranty National Corp. 45,116 1,083
- - Guess ?, Inc. 10,000 101
Guilford Mills, Inc. 39,425 821
- - Gulfstream Aerospace Corp. 69,700 2,056
- - Gundle/SLT Environmental, Inc. 90,000 450
- - Gymboree Corp. 27,060 648
HBO & Co. 84,020 5,787
HCC Insurance Holdings, Inc. 30,300 809
HFNC Financial Corp. 46,000 753
- - HMN Financial, Inc. 30,400 701
- - HMT Technology Corp. 59,700 770
HSB Group Inc. 16,643 888
- - HSN Inc. 51,291 1,606
HUBCO, Inc. 41,703 1,202
- - Hadco Corp. 23,051 1,504
- - Haemonetics Corp. 50,900 973
- - Halter Marine Group, Inc. 36,362 873
Hancock Fabrics, Inc. 47,900 659
Hancock Holding Co. 17,485 859
- - Handleman Co. 97,400 621
Handy & Harman 38,000 660
M.A. Hanna Co. 45,775 1,319
Hannaford Brothers Co. 38,900 1,383
- - Hanover Direct, Inc. 96,876 109
Harley-Davidson, Inc. 69,554 3,334
Harman International
Industries, Inc. 15,914 670
Harrodsburg First
Financial Bancorp 9,800 143
Harsco Corp. 43,932 1,779
Harte-Hanks Communications Co. 35,000 1,032
- - Hartford Life, Inc. 35,300 1,324
- - Hauser, Inc. 74,000 407
Haven Bancorp, Inc. 19,000 708
Hawaiian Electric Industries Inc. 25,835 998
- - HealthCare COMPARE Corp. 29,965 1,571
- - Healthcare Services Group, Inc. 48,176 566
Health Care Properties Investors 26,400 931
- - Health Management Associates
Class A 99,955 2,849
- - Healthcare & Retirement Corp. 41,450 1,383
Healthcare Realty Trust Inc. 34,900 973
HealthPlan Services Corp. 39,800 751
- - Heartport Inc. 38,300 676
Health and Retirement
Properties Trust 80,400 1,513
Health Care REIT, Inc. 39,400 958
- - Hechinger Co. Class A 95,900 207
- - Hecla Mining Co. 127,700 686
- - Hector Communications Corp. 35,350 305
- - Heftel Broadcasting Corp. 12,200 669
HEICO Corp. 28,486 636
Heilig-Meyers Co. 44,418 872
- - Hein-Werner Corp. 11,103 89
- - Hemasure, Inc. 55,200 152
Herbalife International, Inc. 36,200 586
- - Heritage Media Corp. Class A 68,500 1,293
Hewlett-Packard Co. 25,100 1,406
Hibernia Corp. Class A 109,128 1,521
- - High Plains Corp. 102,597 417
- - Highlands Insurance Group 38,000 765
Highwood Properties, Inc. REIT 30,900 989
Hillenbrand Industries, Inc. 62,650 2,976
- - Hitox Corp. of America 40,700 127
Hollinger International, Inc. 72,600 812
Holly Corp. 25,200 625
- - Hollywood Casino Corp. 102,600 311
- - Hollywood Entertainment Corp. 50,071 1,152
- - Home Products International Inc. 24,120 240
- - Homeowners Group, Inc. 35,000 22
- - Homestead Village, Inc. REIT 45,470 807
HON Industries, Inc. 26,800 1,187
Horace Mann Educators Corp. 30,300 1,485
- - Horizon/CMS Healthcare Corp. 75,271 1,510
Hormel Foods Corp. 70,400 1,892
- - Host Marriott Services 102,190 1,201
Hospitality Properties Trust REIT 37,000 1,133
- - Host Marriott 189,850 3,382
Houghton Mifflin Co. 20,200 1,348
- - House of Fabrics, Inc. 1,299 4
- - Houston Exploration Co. 53,100 826
Hubbell Inc. Class A 500 21
Hubbell Inc. Class B 60,906 2,680
- - Hudson Technology, Inc. 5,600 39
Hughes Supply, Inc. 22,274 891
- - Human Genome Sciences, Inc. 26,000 866
J.B. Hunt Transport Services, Inc. 34,903 526
Huntington Bancshares Inc. 129,614 3,816
- - Hyperion Software Corp. 42,300 946
IBP, Inc. 90,500 2,104
IBS Financial Corp. 40,825 732
ICN Pharmaceuticals, Inc. 46,485 1,334
- - ICOS Corp. 91,900 764
- - IDEX Corp. 41,300 1,363
- - IDEXX Laboratories 42,000 521
- - IDX Systems Corp. 32,600 1,129
IES Industries, Inc. 25,440 750
- - IGI, Inc. 68,500 300
- - IHOP Corp. 25,000 772
IMC Global Inc. 90,493 3,167
IMCO Recycling, Inc. 38,200 721
IRT Property Co. REIT 69,700 819
- - ITI Technologies, Inc. 36,300 833
- - ITT Educational Services, Inc. 45,600 1,131
</TABLE>
9
<PAGE> 42
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - IXC Communications, Inc. 24,600 $ 641
Idaho Power Co. 33,400 1,048
Illinois Central Corp. 56,900 1,988
- - Identix, Inc. 61,000 686
Illinova Corp. 66,576 1,465
- - Image Entertainment, Inc. 74,500 270
- - Imation Corp. 38,280 1,010
- - Immunex Corp. 49,800 1,799
- - ImmuLogic Pharmaceutical Corp. 121,000 378
- - Immune Response 78,683 610
- - Imo Industries, Inc. 104,800 616
- - Imperial Bancorp 49,750 1,437
- - Imperial Credit 51,074 1,052
- - Immunomedics Inc. 117,700 530
- - Inacom Corp. 29,396 917
- - INCYTE Pharmaceuticals, Inc. 18,200 1,199
Independent Bank Corp. 32,900 428
Indiana Energy, Inc. 29,700 726
Indiana Federal Corp. 11,700 335
- - Inference Corp. Class A 27,600 114
- - Infinity Financial Technology, Inc. 49,500 806
- - Information Storage Devices, Inc. 72,400 509
- - Informix Corp. 131,200 1,183
- - Information Resources, Inc. 56,034 798
- - Input/Output, Inc. 36,100 654
- - INSO Corp. 29,000 603
Innkeepers USA Trust REIT 53,400 801
- - Insurance Auto Auctions, Inc. 68,700 640
- - Integrated Communication
Network, Inc. 25,600 1
Integon Corp. 58,750 1,469
- - Integrated Device Technology Inc. 67,700 713
Integrated Health Services, Inc. 36,100 1,390
- - Integrated Silicon Solution, Inc. 66,100 503
- - Integrated Systems, Inc. 52,000 608
Integrated Systems Consulting
Group Inc. 43,517 481
- - Intelligent Electronics Inc. 104,902 298
- - Intelligent Medical Imaging, Inc. 79,800 529
- - Interactive Group, Inc. 47,900 305
Interface, Inc. 37,600 839
- - Interface Systems Inc. 30,300 136
- - Interim Services, Inc. 17,600 783
- - Interlink Electronics Inc. 36,800 262
Intermet Corp. 45,900 739
- - International Dairy Queen, Inc.
Class A 36,012 860
- - International Family
Entertainment, Inc. Class B 56,550 1,944
- - International Imaging
Materials, Inc. 33,000 530
- - International Lottery & Totalizator
Systems Inc. 51,600 104
International Game Technology 112,198 1,991
International Multifoods Corp. 39,669 997
- - International Network Services 26,000 675
- - International Rectifier Corp. 75,300 1,402
- - International Specialty
Products, Inc. 82,700 1,163
- - Interneuron Pharmaceutical, Inc. 33,800 682
- - Interpore International 64,800 308
- - Intersolv 71,200 672
Interstate Bakeries 34,500 2,046
- - Interstate Hotels Co. 30,500 898
- - InterVoice, Inc. 56,087 514
Intimate Brands, Inc. 232,300 4,878
- - Intuit, Inc. 41,600 953
Invacare Corp. 27,543 640
- - Investment Technology Group, Inc. 44,700 1,176
- - Invision Technologies, Inc. 38,300 469
- - Iomega Corp. 120,800 2,401
IPALCO Enterprises, Inc. 41,400 1,294
Irvine Apartment Communities,
Inc. REIT 34,100 1,002
- - ISIS Pharmaceuticals, Inc. 53,474 784
- - Isomedix, Inc. 38,700 607
- - i2 Technologies, Inc 24,600 758
- - IVAX Corp. 104,800 1,172
JDN Realty Corp. REIT 30,700 959
- - JTS Corp. 119,356 82
- - J & J Snack Foods Corp. 40,900 624
J & L Specialty Steel Inc. 35,700 428
JLG Industries, Inc. 69,600 948
JSB Financial 19,399 854
- - Jabil Circuit, Inc. 15,500 1,296
Jackpot Enterprises, Inc. 48,427 551
- - Jacobs Engineering Group Inc. 39,300 1,056
- - Jacor Communications, Inc. 42,700 1,637
- - Jan Bell Marketing Inc. 127,700 311
Jefferson Savings Bancorp, Inc. 19,400 580
- - Jefferson Smurfit Corp. 101,400 1,635
John Alden Financial Group 48,600 1,018
John Nuveen Co. Class A 30,543 954
Johns Manville Corp. 144,000 1,701
- - Jones Apparel Group, Inc. 47,400 2,263
- - Jones Intercable Inc. 67,900 857
Jones Medical Industries, Inc. 23,850 1,133
- - Just for Feet, Inc. 21,624 376
Justin Industries, Inc. 57,100 735
- - KFX, Inc. 128,850 483
- - KLA-Tencor Corp. 84,000 4,098
KN Energy, Inc. 27,150 1,144
- - K-III Communications Corp. 112,500 1,350
K2 Inc. 31,745 1,006
K U Energy Corp. 32,800 1,119
- - K-V Pharmaceutical Co. Class A 45,500 754
- - Kaiser Aluminum & Chemical Corp. 64,000 784
Kaman Corp. Class A 44,100 667
Kansas City Power & Light Co. 57,000 1,628
Kansas City Southern
Industries, Inc. 32,336 2,086
Kaydon Corp. 20,900 1,037
- - Keane, Inc. 30,400 1,581
- - Kelly Oil Corp. 148,000 451
Kellwood Co. 38,100 1,057
Kelly Services, Inc. Class A 32,537 1,022
- - KEMET Corp. 36,700 915
- - KENETECH Corp. 44,000 2
Kennametal, Inc. 22,855 983
- - Kensey Nash Corp. 46,800 521
- - Kent Electronics Corp. 39,400 1,445
Kentucky First Bancorp, Inc. 11,600 125
</TABLE>
10
<PAGE> 43
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Kenwin Shops, Inc. 900 $ 1
- - Key Tronic Corp. 66,100 314
- - Keystone Consolidated
Industries, Inc. 41,919 456
Keystone Financial, Inc. 48,700 1,522
Keystone International, Inc. 53,625 1,860
Kimball International, Inc. Class B 27,700 1,113
Kimco Realty Corp. REIT 32,450 1,030
Kinetic Concepts, Inc. 78,232 1,413
- - Kirby Corp. 45,800 836
Klamath First Bancorp 38,200 726
Knape & Vogt Manufacturing Co. 32,962 536
- - Knoll, Inc. 5,000 119
Koger Equity, Inc. REIT 51,200 934
- - Kohls Corp. 67,600 3,579
- - Komag, Inc. 46,800 768
- - Koo Koo Roo, Inc. 56,800 410
- - Kronos, Inc. 25,050 673
- - Kulicke & Soffa Industries, Inc. 42,200 1,368
- - L.A. Gear, Inc. 136,216 187
- - LCI International, Inc. 68,000 1,488
LG&E Energy Corp. 58,900 1,299
- - LHS Group, Inc. 16,200 710
LTV Corp. 93,123 1,327
- - LTX Corp. 114,612 738
La Quinta Inns Inc. 71,349 1,561
La-Z-Boy Inc. 24,600 886
LabOne Inc. 36,900 664
- - Laboratory Corp. of America 186,044 488
Lafarge Corp. 59,400 1,455
- - Laidlaw Environmental
Services, Inc. 163,100 489
- - LAM Research Corp. 30,050 1,115
Lancaster Colony Corp. 26,610 1,286
Lance, Inc. 49,641 949
Landmark Bancshare, Inc. 17,000 342
- - Lands' End, Inc. 36,300 1,075
- - Landry's Seafood Restaurants, Inc. 32,600 750
- - Lattice Semiconductor Corp. 23,100 1,304
Estee Lauder Cos. Class A 57,229 2,876
Lawson Products, Inc. 28,850 781
Lawter International Inc. 78,554 992
Lawyers Title Insurance Corp. 34,350 648
- - Lear Corp. 60,000 2,663
- - Learning Co., Inc. 99,563 933
LeaRonal Inc. 29,300 835
- - The Leather Factory, Inc. 16,000 9
- - Lechters Corp. 73,800 318
Lee Enterprises, Inc. 43,000 1,134
- - Legato Systems, Inc. 38,500 717
Leggett & Platt, Inc. 84,100 3,616
Legg Mason Inc. 25,500 1,372
Lehman Brothers Holdings, Inc. 94,215 3,816
Lennar Corp. 30,550 976
Leucadia National Corp. 55,476 1,716
- - Lexington Global Asset
Managers, Inc. 27,600 186
- - Lexmark International Group, Inc.
Class A 62,400 1,895
Liberty Corp. 28,300 1,153
Liberty Financial Cos., Inc. 25,400 1,267
Liberty Property Trust REIT 37,400 930
Life Bancorp Inc. 43,300 1,128
Life Re Corp. 25,100 1,170
Lilly Industries Inc. Class A 44,388 893
- - Lin Television 35,234 1,554
- - Lincare Holdings Inc. 25,200 1,084
Lincoln Electric Co. Class A 25,176 957
Linear Technology Corp. 69,004 3,564
- - Liposome Co., Inc. 49,439 440
- - Littelfuse, Inc. 42,000 1,176
- - Little Switzerland, Inc. 67,000 398
- - Litton Industries, Inc. 42,300 2,044
- - Living Centers of America, Inc. 32,900 1,300
- - Lo-Jack Corp. 60,400 872
- - Lone Star Steakhouse & Saloon 34,463 898
- - Lone Star Technologies, Inc. 52,400 1,500
Long Island Bancorp, Inc. 21,700 787
Long Island Lighting Co. 110,565 2,543
Longview Fibre Co. 42,970 714
- - Loral Space & Communications 178,800 2,682
Lubrizol Corp. 55,833 2,342
Luby's Cafeterias, Inc. 19,000 379
Lukens, Inc. 21,600 406
- - Lycos, Inc. 2,786 36
- - Lynx Therapeutics Inc. 1,425 20
Lyondell Petrochemical Co. 72,454 1,580
- - M&F Worldwide Corp. 78,000 682
MAF Bancorp, Inc. 20,743 874
- - MAI Systems Corp. 60,275 245
MCN Corp. 60,900 1,865
MDU Resources Group, Inc. 35,950 863
- - MEMC Electronic Materials, Inc. 38,600 1,264
MFB Corp. 10,000 194
- - MGI Pharma, Inc. 112,400 407
- - MGM Grand Inc. 54,439 2,014
ML Bancorp Inc. 52,200 1,002
- - MLC Holdings, Inc. 37,400 496
- - MRV Communications Inc. 49,114 1,455
- - M.S. Carriers Inc. 27,700 693
- - MacFrugal's Bargains-
Close-outs, Inc. 38,900 1,060
The Macerich Co. REIT 41,600 1,154
The MacNeal-Schwendler Corp. 59,400 646
- - Macromedia 78,377 678
- - Mafco Consolidated Group Inc. 34,500 1,156
Mafco Consolidated Group Inc.
Rights Exp. 1/1/99 78,000 34
- - Magellan Health Services, Inc. 46,900 1,384
Magna Group 40,400 1,404
- - Magnatek 57,600 958
Maine Public Service Co. 15,000 184
Manpower Inc. 75,500 3,360
- - Mansur Industries, Inc. 32,400 765
- - Manugistics Group, Inc. 52,000 2,317
Mapco Inc. 50,700 1,597
- - Marine Drilling Co., Inc. 61,700 1,207
Marion Capital Holdings 12,500 287
Mark IV Industries, Inc. 58,232 1,398
- - Mark VII, Inc. 19,700 650
- - Marquest Medical Products Inc. 10,000 8
</TABLE>
11
<PAGE> 44
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Marquette Medical Systems Inc. 38,800 $ 854
Marshall & Ilsley Corp. 84,127 3,420
- - Marshall Industries 27,872 1,038
Martin Marietta Materials, Inc. 42,900 1,389
- - Marvel Entertainment Group 87,034 207
Maryland Federal Bancorp 19,189 822
MascoTech Inc. 56,485 1,179
- - Mastec Inc. 36,683 1,736
- - Mastech Corp. 47,100 945
- - Matria Healthcare, Inc. 130,478 514
- - Maxim Integrated Products, Inc. 57,980 3,294
- - Maxxam Inc. 18,900 884
- - McAfee Associates, Inc. 47,650 3,005
McClatchy Newspapers, Inc. 34,850 1,024
McCormick & Co., Inc. 74,283 1,880
J Ray McDermott SA 36,900 996
McKesson Corp. 41,806 3,240
McLeod, Inc. 56,400 1,896
- - McMoRan Oil and Gas 100,499 345
- - McWorter Technologies Inc. 29,600 707
- - Mechanics Savings Bank 29,900 568
- - Medaphis Corp. 120,000 1,211
Medcross, Inc. 67,600 600
Medford Savings Bank 19,801 577
Media General, Inc. Class A 25,000 1,000
- - Medic Computer Systems, Inc. 45,700 1,018
- - Medical Technology Systems, Inc. 16,100 8
- - Medicis Pharmaceutical Corp. 27,025 1,346
- - MedImmune Inc. 51,300 962
- - Medical Dynamics, Inc. 63,700 194
- - MEDIQ, Inc. 77,300 681
- - Medtox Scientific Inc. 8,400 4
- - Mednet MPC Corp. 120,500 38
Meditrust 55,517 2,214
- - MedPartners Inc. 158,517 3,428
- - Men's Wearhouse, Inc. 32,950 1,044
Mentor Corp. 39,115 1,160
- - Mentor Graphics Corp. 96,400 893
Mercantile Bancorp, Inc. 77,103 4,684
Mercantile Bankshares Corp. 44,150 1,762
Merchants Bancshares, Inc. 25,500 528
Merchants New York
Bancorporation 6,200 307
Mercury Finance Co. 156,335 381
Mercury General Corp. 24,800 1,804
Meridian Industrial Trust,
Inc. REIT 32,200 757
- - Merisel, Inc. 100,110 200
- - Meridian Gold Co. 119,000 521
- - Merix Corp. 37,000 627
Merrill Corp. 24,500 884
Merry Land & Investment Co.,
Inc. REIT 56,500 1,225
- - Mesa Air Group Inc. 59,700 323
- - Mesa, Inc. 143,200 823
- - Mesaba Holdings, Inc. 48,000 717
Met-Pro Corp. 39,979 605
- - MetaCreations Corp. 50,062 544
- - Metal Management, Inc. 37,000 548
- - Metrocall, Inc. 116,100 526
- - Metromedia International
Group, Inc. 55,500 701
Metrowest Bank 97,638 558
- - Metzler Group, Inc. 27,900 903
- - Fred Meyer, Inc. 25,500 1,318
Michael Foods Group, Inc. 71,455 1,335
- - Michaels Stores, Inc. 40,600 861
Michigan Financial Corp. 3,255 77
- - Microchip Technology, Inc. 48,575 1,444
- - Micro Warehouse Inc. 65,800 1,129
- - Microdyne Corp. 93,500 444
- - Micron Electronics, Inc. 86,200 1,541
- - Micronics Computers, Inc. 85,600 262
- - Microtouch Systems, Inc. 27,801 643
Mid-America Apartment
Communities, Inc. REIT 29,500 828
Mid-America Bancorp 33,166 831
- - Mid-American Waste
Systems, Inc. 148,500 4
- - Mid Atlantic Medical
Services, Inc. 70,300 1,094
Mid Continent Bancshares, Inc. 4,600 133
Mid-Iowa Financial Corp. 10,560 96
MidAmerican Energy Co. 92,294 1,598
- - Midisoft Corp. 32,500 52
- - Midway Games Inc. 60,200 1,287
- - Midwest Grain Products 30,450 394
Millenium Chemicals, Inc. 70,600 1,606
- - Millenia, Inc. 625 2
Herman Miller, Inc. 43,042 1,544
- - Milwaukee Land Co. 2,300 22
Minerals Technologies, Inc. 18,500 694
Minnesota Power & Light Co. 26,800 814
- - Mirage Resorts, Inc. 166,500 4,204
Mississippi Chemical Corp. 41,955 871
- - Mitcham Industries, Inc. 28,400 350
Mitchell Energy & Development
Corp. Class A 43,900 889
- - Mobile Telecommunications
Technologies Corp. 108,500 1,563
- - MobileMedia Corp. 50,000 16
- - Model Imperial, Inc. 57,500 16
Modern Controls, Inc. 29,575 388
Modine Manufacturing Co. 32,100 959
- - Mohawk Industries, Inc. 48,100 1,088
- - Molecular Biosystems, Inc. 81,234 731
Molex, Inc. 114,033 4,166
Molex, Inc. Class A 2,593 90
- - Molten Metal Technology 82,500 418
- - MoneyGram Payment
Systems, Inc. 58,000 914
The Money Store 54,865 1,569
Montana Power Co. 46,600 1,081
Monterey Resources, Inc. 44,400 660
Morrison Fresh Cooking Inc. 12,031 56
Morrison Health Care Inc. 40,441 645
- - Mosaix Inc. 44,168 607
Mosinee Paper Corp. 34,749 845
- - Mueller Industries Inc. 21,616 946
Murphy Oil Corp. 41,530 2,025
</TABLE>
12
<PAGE> 45
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Mycogen Corp. 19,600 $ 382
Myers Industries, Inc. 41,665 703
Mylan Laboratories, Inc. 110,000 1,623
- - Myriad Genetics, Inc. 28,200 765
- - Mysoftware Co. 3,000 8
NAC Re Corp. 28,325 1,370
NBT Bancorp, Inc. 7,960 211
NCH Corp. 13,300 831
- - NCO Group, Inc. 24,200 711
- - NCR Corp. 94,200 2,802
NGC Corp. 136,400 2,106
NIPSCO Industries, Inc. 59,870 2,473
N L Industries, Inc. 81,300 1,179
- - NPC International Class A 62,800 742
- - NTL Inc. 50,000 1,238
NYMAGIC, Inc. 35,600 734
Nabisco Holdings Corp. Class A 48,600 1,938
- - Nabors Industries, Inc. 86,700 2,168
- - Nashua Corp. 44,400 483
- - Nastech Pharmaceutical Co., Inc. 22,800 244
- - National Auto Credit Inc. 70,103 622
- - National Beverage Corp. 71,840 754
- - National City Bancorporation 3,960 85
National Community Bancorp 43,396 966
National Computer Systems, Inc. 31,500 841
National Data Corp. 22,539 976
National Fuel Gas Co. 33,600 1,409
National Health Investors REIT 29,300 1,150
- - National Instruments Corp. 10,300 358
- - National Medical Financial
Services Corp. 34,400 94
- - National-Oilwell, Inc. 16,700 960
National Presto Industries, Inc. 17,263 696
- - National Processing, Inc. 99,700 1,022
- - National R. V. Holdings, Inc. 34,482 534
- - National Record Mart, Inc. 49,100 68
- - National Steel Corp. Class B 57,100 960
- - National Techteam, Inc. 39,300 838
Nationwide Financial
Services, Inc. 10,000 266
Nationwide Health Properties, Inc. 35,000 770
- - Nautica Enterprises Inc. 40,737 1,078
- - Neiman-Marcus Group Inc. 43,755 1,149
- - Nellcor Puritan Bennett, Inc. 55,228 1,004
- - NetManage, Inc. 124,200 367
- - Netscape Communications Corp. 61,800 1,980
- - Netsmart Technologies, Inc. 11,200 43
- - Network Appliance, Inc. 17,800 675
- - Network Equipment Technologies 53,647 966
- - Network General Corp. 47,488 705
- - Network Peripherals, Inc. 57,300 398
Nevada Power Co. 40,752 866
New England Business
Service, Inc. 33,900 892
New England Electric System 58,800 2,176
New Jersey Resources Corp. 25,300 794
- - New Mexico & Arizona Land Co. 42,725 609
New Plan Realty Trust REIT 49,955 1,102
New York Bancorp Inc. 31,200 1,084
New York State Electric &
Gas Corp. 61,400 1,282
Newcor, Inc. 39,600 344
- - Newfield Exploration Co. 55,400 1,108
Newhall Land & Farming Co. 49,600 1,073
Newmil Bancorp, Inc. 23,900 267
Newmont Gold Co. 101,168 4,040
Newport News Shipbuilding Inc. 58,100 1,129
- - NEXTEL Communications 220,293 4,165
- - NeXstar Pharmaceuticals Inc. 64,691 914
- - Nine West Group, Inc. 32,400 1,237
Nitches Inc. 30,128 175
Noble Affiliates, Inc. 56,336 2,180
- - Noble Drilling Corp. 122,400 2,762
Nordson Corp. 14,540 938
Norrell Corp. 36,600 1,208
- - Nortek, Inc. 34,852 841
North American Mortgage Co. 41,400 981
- - North American Vaccine, Inc. 25,900 500
North Fork Bancorporation, Inc. 76,664 1,639
Northeast Utilities 113,700 1,087
Northern Trust Corp. 103,600 5,015
- - Northwest Airlines Corp. Class A 89,600 3,276
Northwest Natural Gas Co. 31,900 835
Northwest Savings Bank 52,000 813
Northwestern Public Service Co. 35,800 770
Norwalk Savings Society 19,300 584
- - Nova Corp. (Georgia) 48,900 1,268
- - NovaCare, Inc. 86,900 1,206
- - Novavax, Inc. 52,900 218
- - Novellus Systems, Inc. 16,000 1,380
- - Nuevo Energy Co. 17,100 701
Nutrition for Life International, Inc. 43,900 337
- - nVIEW Corp. 25,049 51
OEA, Inc. 27,700 1,094
OGE Energy Corp. 36,900 1,679
- - OHM Corp. 82,000 692
- - Oak Technology, Inc. 86,800 849
- - Oakley, Inc. 63,400 892
Oakwood Homes Corp. 42,800 1,027
Oasis Residential, Inc. REIT 36,600 860
- - Objective Systems Integrators, Inc. 80,200 694
- - Ocean Energy Inc. 16,600 768
- - Oceaneering International, Inc. 51,100 945
- - Octel Communications Corp. 55,000 1,287
Ocwen Financial Corp. 33,900 1,095
- - Office Depot, Inc. 143,125 2,782
- - OfficeMax Inc. 108,800 1,571
- - Offshore Logistics, Inc. 39,500 755
Ogden Corp. 52,351 1,139
Ohio Art Co. 14,800 255
Ohio Casualty Corp. 30,356 1,332
- - Old America Stores, Inc. 41,200 67
Old Kent Financial Corp. 43,464 2,344
Old National Bancorp 23,004 1,018
Old Republic International Corp. 78,361 2,375
Olin Corp. 46,800 1,828
Olsten Corp. 72,330 1,406
Omega Financial Corp. 8,100 285
Omega Healthcare Investors, Inc. 31,041 1,015
Omnicare, Inc. 68,100 2,137
Omnicom Group Inc. 75,900 4,677
- - OmniQuip International, Inc. 30,500 704
</TABLE>
13
<PAGE> 46
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Omnipoint Corp. 40,900 $ 679
- - On Assignment, Inc. 19,300 755
Onbancorp Inc. 21,100 1,075
One Valley Bancorp of West
Virginia Inc. 30,375 1,276
Oneida Ltd. 33,889 904
- - Oneita Industries 47,933 19
- - OneLink Communications, Inc. 53,600 87
- - Onyx Acceptance Corp. 36,700 282
- - Ontrak Systems, Inc. 33,300 995
- - Ophthalmic Imaging System 1,000 2
- - Optical Cable Corp. 77,300 908
Optical Coating Laboratory, Inc. 52,585 703
Orange & Rockland Utilities, Inc. 19,900 669
- - Orbital Sciences Corp. 54,900 875
Oregon Metallurgical Corp. 32,375 911
Oregon Steel Mills, Inc. 37,500 748
- - O'Reilly Automotive, Inc. 21,800 837
Oriental Financial Group 26,020 735
- - Oriole Homes Corp. Class B 19,300 154
Orion Capital Corp. 19,000 1,401
- - Orthologic Corp. 100,700 560
- - Orthodontic Centers of
America, Inc. 51,700 942
Oshkosh B'Gosh, Inc. Class A 28,400 621
O'Sullivan Corp. 48,975 410
- - Outback Steakhouse 41,554 1,004
Outboard Marine Corp. 44,100 783
- - Outdoor Systems, Inc. 46,650 1,779
- - Outlook Group Corp. 8,000 47
Overseas Shipholding Group Inc. 56,100 1,101
- - Owens-Illinois, Inc. 115,672 3,586
- - Oxford Health Plan 71,000 5,096
- - Oxigene, Inc. 23,061 797
PCA International, Inc. 31,898 656
- - PCD, Inc. 42,000 714
- - PDG Environment Industries 7,140 5
- - PDT, Inc. 27,600 1,004
- - PICO Holdings Inc. 128,229 577
PIMCO Commercial Mortgage
Securities, Inc. 44,100 604
PMC Capital, Inc. 44,900 634
- - PMC Sierra Inc. 62,588 1,639
The PMI Group Inc. 32,200 2,008
- - PMT Services Inc 58,465 890
PS Group Holdings Inc. 33,800 435
- - PVF Capital Corp. 12,600 235
Pacific Century Financial Corp. 37,101 1,716
- - Pacific Crest Capital Inc. 43,645 567
- - Pacific Greystone Corp. 46,300 744
Pacific Gulf Properties, Inc. REIT 32,900 724
Pacific Scientific Co. 34,400 456
PacifiCare Health Systems Inc.
Class A 16,295 987
- - PacifiCare Health Systems Inc.
Class B 20,657 1,319
PacifiCare Health Systems Inc.
$1.00 Cvt. Pfd. 6,320 172
- - PageMart Wireless, Inc. 98,800 846
- - Paging Network, Inc. 86,500 761
PaineWebber Group, Inc. 85,475 2,992
- - Pairgain Technologies, Inc. 55,200 857
- - Papa John's International, Inc. 24,750 914
- - Park-Ohio Industries, Inc. 44,309 667
Parker & Parsley Petroleum Co. 30,400 1,075
- - Parker Drilling Co. 120,900 1,345
- - Patina Oil & Gas Corp. 67,068 545
- - Patina Oil & Gas Corp. Warrants
Exp. 5/1/01 19,484 24
Patriot American Hospitality,
Inc. REIT 36,000 918
- - Patterson Dental Co. 20,000 684
- - Paul-Son Gaming Corp. 23,300 335
Paychex, Inc. 99,949 3,836
- - Payless ShoeSource, Inc. 37,200 2,034
- - Peapod, Inc. 5,000 58
- - PEC Israel Economic Corp. 41,500 996
- - Pegasus Gold Inc. 99,900 612
- - Pegasystems Inc. 20,300 637
Penn Engineering &
Manufacturing Corp. 31,100 610
Penn Engineering &
Manufacturing Corp. Class A 8,300 156
Penncorp Financial Group Inc. 26,700 1,028
Pennfed Financial Services, Inc. 27,600 752
Pennsylvania Enterprises Inc. 26,500 677
Pentair, Inc. 32,008 1,052
PENWEST, Ltd. 30,309 998
Peoples Bank 1,007 30
Peoples Bank of Bridgeport 52,950 1,377
- - People's Choice TV Corp. 40,500 58
Peoples Heritage Financial
Group Inc. 37,559 1,418
People's Savings Financial Corp. 16,100 605
- - PeopleSoft Inc. 100,100 5,274
- - Perini Corp. 38,400 283
Perpetual Midwest Financial, Inc. 2,300 45
- - Perrigo Co. 98,600 1,239
- - Personnel Group of America, Inc. 32,598 939
- - Petco Animal Supplies, Inc. 9,630 289
Petroleum Heat & Power Co. 96,500 262
Petrolite Corp. 21,100 1,306
- - PETsMART, Inc. 100,800 1,156
- - Phamis, Inc. 33,400 825
- - Pharmaceutical Product
Development, Inc. 45,083 981
- - Pharmaceutical Resources, Inc. 113,688 313
Phillips-Van Heusen Corp. 53,093 796
- - Phoenix International Ltd., Inc. 25,800 581
- - Phonetel Technologies, Inc. 4,000 12
- - Photronics Labs Inc. 28,698 1,363
- - PhyCor, Inc. 55,725 1,917
- - Physician Corp. of America 112,800 717
- - Physician Reliance Network, Inc. 121,500 1,128
- - Physician Sales & Service, Inc. 54,700 1,041
- - PictureTel Corp. 60,400 575
Piedmont Natural Gas, Inc. 25,614 658
Pier 1 Imports Inc. 56,835 1,506
- - Piercing Pagoda, Inc. 22,500 563
Pilgrim's Pride Corp. 73,500 868
- - Pinnacle Systems, Inc. 43,100 735
Pinnacle West Capital Corp. 80,500 2,420
</TABLE>
14
<PAGE> 47
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Pioneer Group Inc. 41,600 $ 959
Pioneer Standard Electronics Inc. 59,325 805
- - Pittencrieff Communications, Inc. 129,800 702
Pittston Brink's Group 38,800 1,164
Pittston Burlington Group 42,800 1,204
Pittway Corp. Class A 19,216 956
- - Pixar, Inc. 63,800 1,001
- - PJ America Inc. 29,000 491
- - Planet Hollywood International,
Inc. Class A 85,700 1,966
- - PLATINUM technology, Inc. 55,100 737
- - Players International, Inc. 120,400 354
- - Playboy Enterprises Inc. Class A 22,850 263
- - Playboy Enterprises Inc. Class B 33,750 390
Plenum Publishing Corp. 15,600 590
- - Plexus Corp. 26,250 1,468
Ply-Gem Industries, Inc. 53,500 970
Pogo Producing Co. 29,700 1,149
Polaris Industries, Inc. 40,950 1,333
- - Policy Management Systems Corp. 25,864 1,216
- - Polo Ralph Lauren Corp. 10,000 274
- - Polymer Group, Inc. 15,000 242
- - Pool Energy Service Co. 52,367 954
Pope & Talbot, Inc. 42,700 702
Popular Inc. 59,844 2,405
Portland General Electric Co. 46,400 1,842
Post Properties, Inc. REIT 21,000 852
Potomac Electric Power Co. 109,200 2,525
Precision Castparts Corp. 24,400 1,455
- - Precision Response Corp. 40,800 663
- - Precision Systems, Inc. 109,300 335
Premark International, Inc. 58,423 1,563
- - Premenos Technology Corp. 75,750 653
Premier Farnell PLC ADR 28,800 454
Premier Farnell PLC $1.35 Cvt.
Pfd. ADR 23,203 519
- - Premisys Communications, Inc. 67,800 1,072
- - Premiere Technologies, Inc. 41,300 1,076
- - President Casinos 157,282 84
Presidential Life Corp. 66,800 1,296
- - Presstek, Inc 13,500 1,169
Price Enterprises, Inc. 45,800 876
T. Rowe Price 52,600 2,719
- - Primadonna Resorts, Inc. 47,538 920
Prime Retail, Inc. REIT 48,700 656
- - Prime Service, Inc. 44,900 1,434
Primex Technologies, Inc. 26,010 564
- - Primark Corp. 18,631 496
Prime Bancorp Inc. 21,582 531
- - Prime Hospitality Corp. 63,000 1,244
Pride International Inc. 43,000 1,031
- - Procom Technology, Inc. 48,600 519
- - Proffitt's, Inc. 23,100 1,012
Progressive Bank, Inc. 18,100 557
Progressive Corp. of Ohio 65,806 5,725
- - ProNet, Inc. 69,000 272
- - Promus Hotel Corp. 46,550 1,804
Protective Life Corp. 28,100 1,412
- - Protein Design Labs 31,600 893
Provident Bankshares Corp. 19,793 820
Provident Cos., Inc. 70,543 3,774
Provident Financial Group 35,625 1,523
Psychemedics, Inc. 86,456 654
- - PSINet, Inc. 95,700 724
Public Service Co. of Colorado 59,200 2,457
Public Service Co. of New Mexico 33,220 594
Public Storage, Inc. REIT 84,500 2,472
Puerto Rican Cement Co., Inc. 20,300 661
Puget Sound Energy Inc. 92,141 2,442
Pulitzer Publishing Co. 19,233 1,019
- - Pure Atria Software Corp. 53,003 752
- - Purus, Inc. 5,100 12
- - QMS, Inc. 82,100 216
- - QLogic Corp. 36,400 919
Quaker State Corp. 63,400 967
- - QUALCOMM, Inc. 61,800 3,146
- - Quality Food Centers Inc. 25,654 975
Quanex Corp. 29,700 911
- - Quarterdeck Corp. 123,000 317
- - Quantum Corp. 116,600 2,372
Queens County Bancorp, Inc. 27,999 1,288
Questar Corp. 36,015 1,454
Quick & Reilly Group, Inc. 53,975 1,255
- - QuickResponse Services, Inc. 22,600 811
- - Quintiles Transnational Corp. 29,900 2,080
- - Quorum Health Group, Inc. 44,600 1,589
RCSB Financial Corp. 28,100 1,344
RFS Hotel Investors, Inc. REIT 46,700 841
R.L.I. Corp. 28,400 1,035
RJR Nabisco Holdings Corp. 251,742 8,307
- - RPC Inc. 53,800 794
RPM Inc. (Ohio) 66,564 1,231
- - Rainbow Technologies, Inc. 34,000 629
- - Ralcorp Holdings 67,700 999
Raritan Bancorp, Inc. 1,300 39
Rational Software Corp. 44,000 738
Raymond James Financial, Inc. 45,775 1,253
Rayonier Inc. 25,500 1,073
- - Read-Rite Corp. 43,869 914
Reader's Digest Assn., Inc. Class A 96,600 2,771
Reader's Digest Assn., Inc. Class B 400 11
- - Reading & Bates Corp. 72,125 1,929
Reckson Associates Realty
Corp. REIT 53,000 1,219
- - Reddi Brake Supply Corp. 126,400 2
Regal-Beloit Corp. 39,500 1,034
- - Regal Cinemas, Inc. 28,300 932
Regis Corp. 22,540 528
Regions Financial Corp. 121,854 3,861
Reinsurance Group of
America, Inc. 23,100 1,328
Reliance Bancorp, Inc. 27,200 802
Reliance Group Holdings 101,214 1,202
Reliastar Financial Corp. 37,362 2,732
- - Remedy Corp. 33,000 1,315
- - Renal Treatment Centers, Inc. 19,200 516
- - Rentrak Corp. 66,500 268
Republic Bancorp, Inc. 45,080 648
- - Republic Bank/Clearwater Fla. 31,600 541
- - Republic Industries, Inc. 327,358 8,051
- - Research Frontiers, Inc. 80,300 497
- - Response Oncology, Inc. 63,000 445
</TABLE>
15
<PAGE> 48
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Retix 103,391 $ 504
- - Revlon, Inc. 18,400 953
- - Rexall Sundown, Inc. 42,997 1,680
- - Rexel Inc. 49,244 911
Reynolds & Reynolds Class A 74,300 1,170
Rhone-Poulenc Rorer, Inc. 127,554 11,591
Richfood Holdings, Inc. 41,200 1,071
Riggs National Corp. 53,000 1,083
- - Right Management Consultants 50,600 576
Roadway Express Inc. 10,000 231
- - Robert Half International, Inc. 55,600 2,617
- - Roberts Pharmaceuticals 61,700 690
Rochester Gas and Electric Corp. 31,148 656
Rock-Tenn Co. 51,950 912
- - Rodman and Renshaw Capital
Group, Inc. 2,239 1
- - Rogers Corp. 24,500 864
- - Rohr, Inc. 33,700 739
Rollins, Inc. 31,600 636
Rollins Truck Leasing 66,375 987
Roosevelt Financial Group 55,200 1,228
Roper Industries Inc. 23,900 1,240
Ross Stores, Inc. 42,988 1,404
- - Rotech Medical Corp. 50,400 1,013
- - The Rottlund Co. 50,300 245
Rouse Co. 62,500 1,844
- - Royal Appliance
Manufacturing Co. 63,100 540
Royal Caribbean Cruises, Ltd. 59,700 2,086
- - Ruby Tuesday, Inc. 39,762 892
Ruddick Corp. 63,000 1,040
- - Rush Enterprises, Inc. 36,400 228
Russ Berrie, Inc. 39,100 858
- - Ryan's Family Steak Houses, Inc. 90,100 769
Rykoff-Sexton, Inc. 49,931 1,164
Ryland Group, Inc. 47,100 665
SC Bancorp 44,500 606
- - SCI Systems, Inc. 27,742 1,769
- - SLH Corp. 4,100 305
SJW Corp. 10,100 530
- - SPS Transaction Services 50,200 929
- - SPSS, Inc. 24,900 731
SPX Corp. 16,191 1,049
- - SOS Staffing Services, Inc. 45,800 721
- - S3, Inc. 61,400 673
- - Safeguard Health Enterprises, Inc. 33,565 361
- - Safeguard Scientifics, Inc. 32,400 1,031
- - Safety First Inc. 26,900 153
- - Safeway, Inc. 221,813 10,231
St. Francis Capital Corp. 19,200 727
St. Joe Corp. 28,599 2,395
St. John Knits, Inc. 12,900 697
St. Paul Bancorp, Inc. 40,437 1,345
- - Saks Holdings, Inc. 61,600 1,540
- - Salant Corp. 99,500 299
- - Samsonite Corp. 19,100 844
- - Sanchez Computer
Associates, Inc. 72,250 664
Sanderson Farms, Inc. 43,450 750
- - Sanmina Corp. 14,200 889
Santa Fe International Corp. 6,000 204
- - Santa Monica Bank 11,600 245
Saul Centers, Inc. REIT 39,300 678
Savannah Foods & Industries, Inc. 56,400 991
Sbarro, Inc. 29,991 832
SCANA Corp. 99,000 2,456
- - Henry Schein, Inc. 25,900 801
- - R. P. Scherer Corp. 20,026 1,034
- - Scholastic Corp. 23,000 804
A. Schulman Inc. 32,562 805
Schult Home Corp. 32,040 509
Schweitzer-Mauduit
International, Inc. 26,000 975
- - Scios, Inc. 111,868 699
Scope Industries 7,000 377
E.W. Scripps Co. 73,269 3,050
- - SEACOR SMIT Inc. 11,400 596
Seafield Capital Corp. 18,400 653
- - Seagull Energy Corp. 54,300 950
- - Sealed Air Corp. 40,000 1,900
- - SeaMED Corp. 30,600 622
- - Secure Computing Corp. 74,400 446
Security Capital Corp. 14,100 1,333
Security Capital Atlantic Inc. 37,800 905
Security Capital Industrial
Trust REIT 86,684 1,864
Security Capital Pacific Inc. REIT 71,397 1,633
- - Security Dynamics
Technologies, Inc. 30,900 1,138
- - Security First Network Bank 49,488 337
Selective Insurance Group 23,600 1,143
Sensormatic Electronics Corp. 64,461 830
- - Sequa Corp. Class A 19,100 1,077
- - Sequent Computer Systems, Inc. 64,400 1,358
- - Service Merchandise Co., Inc. 146,787 440
Shaw Industries, Inc. 121,000 1,286
Shelby Williams Industries, Inc. 32,200 439
- - Shiva Corp. 61,700 646
- - ShoLodge, Inc. 39,333 585
- - Shoney's Inc. 126,200 749
Shopko Stores, Inc. 52,455 1,338
- - Shorewood Packaging 38,700 883
- - ShowBiz Pizza Time, Inc. 37,775 999
Showboat, Inc. 37,616 656
Shurgard Storage Centers, Inc.
Class A REIT 21,400 599
- - Siebel Systems, Inc. 29,200 944
- - Sierra Health Services 32,869 1,027
Sierra Pacific Resources 27,700 886
SIG Corp. 31,281 794
Signet Banking Corp. 54,452 1,960
- - Silicon Valley Group, Inc. 48,900 1,287
Simmons First National 9,000 269
Simon DeBartolo Group, Inc. REIT 90,112 2,884
- - Simula, Inc. 24,300 483
- - SITEL Corp. 51,800 1,068
- - Sizzler International 130,650 384
Skyline Corp. 25,400 625
A.O. Smith Corp. 31,400 1,117
- - Smith International, Inc. 37,400 2,272
Charles E. Smith Residential
Realty, Inc. REIT 29,400 849
</TABLE>
16
<PAGE> 49
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Smithfield Foods, Inc. 26,100 1,607
- - Smith's Food & Drug Centers, Inc.
Class B 15,630 $ 838
J.M. Smucker Co. Class A 49,100 1,068
J.M. Smucker Co. Class B 1,200 26
- - Snyder Communications, Inc. 29,000 781
- - Software Spectrum, Inc. 28,500 372
- - Software Publishing Corp. Hld. 23,977 51
- - Sofamor Danek Group Inc. 32,600 1,491
- - Sola International, Inc. 30,600 1,025
- - Solectron Corp. 52,000 3,643
- - Solv-Ex Corp. 92,834 313
Sonoco Products 81,485 2,480
Sotheby's Holdings Class A 49,400 834
South Jersey Industries, Inc. 27,084 603
Southdown, Inc. 31,100 1,357
Southern New England
Telecommunications Corp. 61,000 2,371
- - Southern Union Co. 34,960 800
- - Southland Corp. 353,200 1,187
SouthTrust Corp. 91,150 3,777
Southwest Gas Corp. 38,200 759
Southwestern Energy Co. 56,000 728
Southwestern Public Service Co. 37,700 1,482
Sovereign Bancorp, Inc. 90,443 1,382
Sovran Self Storage, Inc. REIT 27,600 807
- - Spacetec IMC Corp. 57,600 191
- - Spaghetti Warehouse, Inc. 26,300 158
Spartan Motors, Inc. 69,100 531
- - Spec's Music Inc. 43,366 37
- - Spectrian Corp. 49,400 1,820
- - Speedway Motorsports, Inc. 34,300 746
- - Spelling Entertainment 133,200 916
- - Spiegel, Inc. Class A 87,200 589
Spieker Properties, Inc. REIT 38,600 1,358
- - The Sports Authority, Inc. 51,500 1,001
- - Spyglass, Inc. 66,000 543
- - Stac, Inc. 138,900 504
- - Stage Stores, Inc. 40,400 1,054
Standard Financial, Inc. 45,200 1,116
Standard Products Co. 34,450 870
The Standard Register Co. 37,487 1,148
Standex International Corp. 29,900 897
Stanhome, Inc. 26,800 881
- - Staples, Inc. 147,761 3,426
Star Banc Corp. 79,512 3,359
- - Starbucks Corp. 71,600 2,795
L. S. Starrett Co. Class A 22,000 701
L. S. Starrett Co. Class B 400 13
- - Starter Corp. 63,000 283
Starwood Lodging Trust REIT 41,750 1,782
State Street Corp. 148,216 6,855
- - Station Casinos, Inc. 80,500 674
- - Steel Dynamics, Inc. 41,300 1,040
- - STERIS Corp. 35,808 1,334
- - Sterling Commerce, Inc. 82,262 2,704
- - Sterling Software, Inc. 32,437 1,014
Stewart & Stevenson
Services, Inc. 42,082 1,097
Stewart Enterprises, Inc. Class A 35,400 1,482
Stewart Information Services Corp. 28,700 592
Stone & Webster, Inc. 24,400 1,042
Storage USA, Inc. REIT 23,600 903
- - Storage Technology Corp. 55,491 2,469
- - Strategic Distribution, Inc. 119,600 456
- - Stratus Computer, Inc. 32,900 1,645
Strawbridge & Clothier Class A 22,564 367
- - StreamLogic Corp. 69,100 4
- - Strouds, Inc. 69,100 123
- - Structural Dynamics
Research Corp. 50,100 1,317
Stryker Corp. 90,300 3,163
Student Loan Marketing Assn. 54,003 6,858
Student Loan Corp. 30,900 1,311
- - Submicron Systems Corp. 110,140 320
Suffolk Bancorp 12,500 372
- - Suiza Foods Corp. 30,100 1,234
Summit Bancorp 91,329 4,578
Summit Properties, Inc. REIT 43,400 895
- - Summit Technology, Inc. 97,950 652
Sun Communities, Inc. REIT 28,900 970
- - Sun Healthcare Group, Inc. 70,800 1,474
SunAmerica Inc. 111,200 5,421
Sunbeam Corp. 75,800 2,861
Sundstrand Corp. 55,000 2,970
- - SunGard Data Systems, Inc. 37,200 1,730
- - Sunglass Hut International, Inc. 48,774 309
- - Sunrise Medical, Inc. 51,900 785
- - Superior Consultant Holdings Corp. 30,900 1,139
Superior Industries
International, Inc. 47,019 1,246
- - Swift Energy Co. 33,490 800
- - Swift Transportation Co., Inc. 35,700 1,062
- - Sybase, Inc. 69,440 1,029
- - Sybron International Corp. 41,500 1,655
- - Sykes Enterprises, Inc. 33,450 866
- - Sylvan Learning Systems, Inc. 37,200 1,262
- - Symantec Corp. 76,212 1,489
Symbol Technologies, Inc. 32,850 1,105
- - Synetic, Inc. 15,000 553
- - Synopsys, Inc. 55,172 2,036
Synovus Financial Corp. 163,675 4,511
- - System Software Associates, Inc. 85,450 649
- - TBC Corp. 81,775 695
TCA Cable Television, Inc. 34,900 1,311
TCBY Enterprises, Inc. 94,800 598
TCF Financial Corp. 32,100 1,585
- - TCI Satellite Entertainment, Inc.
Class A 108,177 855
- - TCSI Corp. 99,529 516
TECO Energy, Inc. 106,300 2,717
TF Financial Corp. 29,900 579
TIG Holdings, Inc. 51,000 1,594
TJ International, Inc. 36,800 867
TNP Enterprises, Inc. 20,500 475
TR Financial Corp. 42,800 1,081
- - Talbert Medical
Management Holdings 1,488 68
Talbots Inc. 28,900 983
- - Talley Industries, Inc. 57,300 516
Tambrands, Inc. 32,377 1,615
- - Tanknology Environmental, Inc. 1,900 4
</TABLE>
17
<PAGE> 50
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Taubman Co. REIT 83,400 $ 1,105
- - Tech Data Corp. 36,878 1,158
- - Technical Communications Corp. 14,000 126
- - Technology Solutions Co. 33,021 1,302
Tecumseh Products Co. Class A 10,900 653
Tecumseh Products Co. Class B 11,900 668
- - Tejas Gas Corp. 23,262 913
Tejon Ranch Co. 38,500 732
- - Tekelec 38,400 1,356
- - Tel-Save Holdings, Inc. 49,000 744
- - Telcom Semiconductor, Inc. 96,600 737
- - Tele-Communications
International, Inc. Series A 109,100 1,671
Teleflex Inc. 30,400 950
Telephone & Data Systems, Inc. 55,928 2,122
- - Telescan, Inc. 76,300 389
Telxon Corp. 44,500 798
- - Telular Corp. 121,300 421
- - Teletech Holdings Inc. 47,700 1,251
- - Teradyne, Inc. 77,089 3,026
Terra Industries, Inc. 70,242 817
- - Tesoro Petroleum Corp. 63,600 942
Texas Industries, Inc. 35,514 943
- - Thermedics Detection Inc. 27,410 329
- - Thermedics, Inc. 31,400 493
- - Thermo Cardiosystems Inc. 37,550 976
- - Thermo Fibertek, Inc. 101,000 1,035
- - Thermo Instrument Systems, Inc. 91,487 2,802
- - Thermo VolTek 62,600 438
- - ThermoLase Corp. 51,800 728
- - Thermotrex Corp. 39,600 988
Thiokol Corp. 23,300 1,631
- - 3Com Corp. 2,975 134
- - 360 Communications Co. 111,745 1,914
Tidewater, Inc. 54,900 2,416
Tiffany & Co. 32,432 1,498
Times Mirror Co. 20,815 645
- - Titanium Metals Corp. 27,400 866
- - Todd Shipyards Corp. 73,100 302
- - Toll Brothers, Inc. 53,300 979
Tootsie Roll Industries, Inc. 22,074 982
- - The Topps Co., Inc. 125,040 528
The Toro Co. 22,900 867
Tosco Corp. 143,374 4,292
Total Petroleum
(North America) Ltd. 78,500 775
- - Total Renal Care Holdings, Inc. 22,200 892
- - Tower Automotive, Inc. 21,300 916
Total System Services, Inc. 118,976 2,893
Town & Country Trust REIT 45,800 704
- - Trans World Airlines 32,303 283
- - Transaction Systems
Architects, Inc. 31,300 1,078
Transatlantic Holdings 21,000 2,084
- - TransMontaigne Oil Co. 27,300 543
Transocean Offshore, Inc. 47,400 3,442
TransPro Inc. 49,110 427
TransTechnology Corp. 28,800 655
- - TransTexas Gas Corp. 96,600 1,515
- - Transworld Healthcare Inc. 52,000 530
Travelers Property Casualty Corp. 64,600 2,576
- - Tremont Corp. 23,309 1,023
- - Triarc Cos., Inc. Class A 52,400 1,068
- - Trico Marine Services, Inc. 41,000 896
- - Trigon Healthcare, Inc. 37,700 914
TriMas Corp. 35,600 1,001
- - Trimble Navigation Ltd. 37,900 675
- - Trimedyne, Inc. 60,000 181
Trinity Industries, Inc. 38,100 1,210
True North Communications 44,600 1,104
- - Truevision Inc. 77,400 198
The Trust Co. of New Jersey 46,900 900
Trustco Bank 40,752 869
Trustmark Corp. 31,300 888
- - Tucson Electric Power Co. 44,100 639
- - Tuesday Morning, Inc. 42,153 840
- - Tultex Corp. 94,000 576
- - 20th Century Industries of CA 44,800 941
- - Tyler Corp. 6,000 12
Tyson Foods, Inc. 201,510 3,841
- - UAL Corp. 54,000 3,864
- - UCAR International, Inc. 42,900 1,963
UGI Corp. Holding Co. 29,046 643
- - UICI 38,300 1,127
UMB Financial Corp. 18,917 818
- - USA Waste Service 139,644 5,394
UST Corp. 38,500 860
- - UNC, Inc. 62,700 917
- - URS Corp. 67,558 887
- - USG Corp. 42,600 1,555
- - Ultrafem, Inc. 38,633 532
- - Ultralife Batteries, Inc. 53,100 614
Ultramar Diamond Shamrock Corp. 68,484 2,234
- - Ultratech Stepper, Inc. 40,500 925
Unifi, Inc. 57,025 2,131
- - Unify Corp. 34,200 80
- - Union Corp. 25,500 669
Union Planters Corp. 57,954 3,006
Union Texas Petroleum
Holdings, Inc. 74,900 1,568
UnionBanCal Corp. 50,394 3,638
- - Uniphase Corp. 24,600 1,427
- - Unique Mobility, Inc. 93,300 618
Unisource Worldwide, Inc. 59,200 947
United Asset Management Corp. 61,500 1,741
United Carolina Bancshare Corp. 32,050 1,657
United Cos. Finance Corp. 47,809 1,351
United Dominion Industries Ltd. 38,485 945
United Dominion Realty Trust REIT 75,100 1,065
United Guardian, Inc. 31,800 135
United Illuminating Co. 19,200 593
- - United International Holdings, Inc.
Class A 67,600 697
- - United Meridian Corp. 29,400 882
United National Bancorp 13,044 522
- - U.S. Bioscience 64,355 619
- - U.S. Cellular Corp. 77,950 2,309
- - U.S. Energy Corp. 56,870 480
- - U.S. Filter Corp. 64,183 1,749
- - U.S. Long Distance Corp. 63,636 1,094
- - U.S. Industries, Inc. 45,800 1,632
- - U.S. Office Products Co. 52,600 1,603
</TABLE>
18
<PAGE> 51
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - U.S. Rentals, Inc. 11,800 $ 299
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 74,600 620
U.S. Trust Corp. 26,300 1,228
- - United Stationers, Inc. 28,044 680
United Television, Inc. 14,800 1,449
- - United Waste Systems, Inc. 38,600 1,580
United Water Resources, Inc. 50,044 970
UNITILI Corp. 26,100 532
Unitrin, Inc. 33,770 2,071
Universal Corp. 31,100 987
Universal Foods Corp. 21,162 807
Universal Health Realty Income 33,000 625
- - Universal Health Services Class B 36,700 1,413
- - Universal Stainless & Alloy
Products, Inc. 28,500 372
- - Univision Communications Inc. 38,200 1,495
- - Uranium Resources, Inc. 79,968 465
- - UROHEALTH Systems, Inc.
Class A 70,984 426
US Bancorp, Inc. 15,600 845
- - US Physical Therapy, Inc. 27,400 265
- - USDATA Corp., Inc. 72,250 262
USFreightways Corp. 32,800 847
UtiliCorp United, Inc. 50,486 1,470
- - VLSI Technology, Inc. 59,600 1,406
- - Vaalco Energy, Inc. 2,400 2
- - Vail Resorts Inc. 52,000 1,316
- - Valassis Communications, Inc. 58,800 1,411
Valhi, Inc. 104,500 849
Valero Energy Corp. 44,000 1,595
Valley National Bancorp 41,774 1,133
- - ValuJet Inc. 43,200 300
Valspar Corp. 40,000 1,185
- - Value City Department Stores, Inc. 82,800 673
- - Value Health, Inc. 47,702 966
- - Vanguard Cellular Systems, Inc.
Class A 77,537 1,071
- - Vanstar Corp. 89,400 1,263
- - Vantive Corp. 38,400 1,090
- - Varco International, Inc. 47,028 1,517
Varian Associates, Inc. 28,200 1,530
Vastar Resources, Inc. 89,500 3,138
- - Vectra Tech Inc. 25,800 15
- - Vencor, Inc. 64,865 2,741
- - Veritas Software Corp. 24,650 1,236
Versa Technology, Inc. 32,300 493
- - Vertex Communications Corp. 28,500 746
- - Vertex Pharmaceuticals, Inc. 21,500 820
Vesta Insurance Group, Inc. 27,900 1,207
Viad Corp. 87,200 1,679
- - VIASOFT, Inc. 25,952 1,320
- - Vicor Corp. 60,781 1,352
- - Vicorp Restaurants, Inc. 38,839 473
- - Viisage Technology, Inc. 1,000 18
- - Viking Office Products 73,200 1,386
- - VideoLan Technologies, Inc. 56,800 39
- - Vincam Group, Inc. 22,100 838
Vintage Petroleum, Inc. 21,400 658
Virco Manufacturing Corp. 42,400 1,097
Virginia Beach Federal
Financial Corp. 44,050 584
- - VitalCom Inc. 42,200 211
- - Vishay Intertechnology, Inc. 57,156 1,654
- - Vistana, Inc. 35,825 545
Vital Signs, Inc. 34,264 589
- - Vitesse Semiconductor Corp. 30,850 1,007
- - Vivus, Inc. 29,200 701
- - VMARK Software, Inc. 61,000 480
Vornado Realty Trust REIT 24,898 1,796
Vulcan International Corp. 5,900 220
Vulcan Materials Co. 31,610 2,481
- - WFS Financial, Inc. 59,060 967
- - WHG Resorts & Casino Inc. 10,050 109
- - WHX Corp. 45,264 345
- - WMS Industries, Inc. 45,100 1,130
WPL Holdings, Inc. 25,600 715
WPS Resources Corp. 19,100 511
- - WSFS Financial Corp. 52,900 734
- - Waban, Inc. 37,100 1,194
Wabash National Corp. 28,400 792
Wackenhut Corp. 21,600 518
Wackenhut Corp. Class B 15,862 316
- - Wainoco Oil Corp. 118,500 504
Walden Residential Properties,
Inc. REIT 36,000 922
- - Wall Data Inc. 36,200 957
Wallace Computer Services, Inc. 38,600 1,160
- - Wang Laboratories, Inc. 29,300 625
Warnaco Group 45,747 1,458
Warren Bancorp, Inc. 7,300 129
Washington Federal Inc. 40,908 1,050
Washington Gas Light Corp. 39,402 990
Washington Mutual, Inc. 117,323 7,014
Washington National Corp. 28,807 821
Washington Post Co. Class B 10,300 4,099
Washington REIT 55,800 990
Washington Water Power Co. 46,400 911
- - Waters Corp. 24,200 868
- - Watson Pharmaceuticals, Inc. 40,402 1,704
Watts Industries Class A 45,100 1,082
Wausau Paper Mills Co. 54,100 1,028
- - Wave Technologies International 40,800 291
- - WavePhore, Inc. 83,400 696
- - Weatherford Enterra Inc. 49,060 1,889
Del Webb Corp. 42,600 692
Webster Financial Corp. 32,196 1,461
Weingarten Realty Investors REIT 24,600 1,039
Weis Markets, Inc. 36,500 1,054
Wellman, Inc. 43,555 757
- - Wellpoint Health Networks Inc.
Class A 64,801 2,973
Werner Enterprises, Inc. 53,100 1,035
Wesco Financial Corp. 6,558 2,133
West Co., Inc. 30,300 867
- - West TeleServices Corp. 52,800 780
WestAmerica Bancorporation 11,932 904
WesterFed Financial Corp. 3,553 72
- - Western Beef 37,160 374
- - Western Digital Corp. 79,400 2,511
</TABLE>
19
<PAGE> 52
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C>
Western Gas Resources, Inc. 57,800 $ 1,127
Western National Corp. 58,200 1,560
Western Resources, Inc. 60,386 1,959
- - Western Wireless Corp. 47,200 751
- - Westmark Group Holdings, Inc. 4,000 2
- - Roy F. Weston, Inc. 64,600 180
- - Westpoint Stevens, Inc. 27,057 1,057
- - Westwood One, Inc. 48,200 1,551
- - WetSeal, Inc. Class A 31,600 996
Wheelabrator Technologies, Inc. 146,206 2,257
- - White River 13,842 976
Whitney Holdings 14,900 632
- - Whittaker Corp. 49,900 555
John Wiley & Sons Class A 29,600 1,003
- - Clayton Williams Energy, Inc. 50,000 575
- - Williams Sonoma, Inc. 30,900 1,323
Wilmington Trust Corp. 32,000 1,466
- - Wind River Systems 35,061 1,348
Windmere-Durable Holdings Inc. 45,798 750
- - Wisconsin Central
Transportation Corp. 44,900 1,671
Wisconsin Energy Corp. 105,161 2,616
Wiser Oil Co. 38,400 708
Witco Chemical Corp. 50,400 1,912
Wolverine World Wide, Inc. 51,904 1,577
- - Wonderware Corp. 58,400 829
- - World Acceptance Corp. 97,600 628
- - World Color Press, Inc. 48,200 1,145
- - World Corp. 49,900 128
World Fuel Services Corp. 30,509 667
- - Worldtex Inc. 83,744 670
Wyle Electronics 23,600 932
- - Wyman-Gordon Corp. 52,900 1,432
- - Xilinx, Inc. 67,800 3,324
- - Xoma Corp. 124,244 594
XTRA Corp. 14,900 655
- - Xylan Corp. 35,000 596
- - Yahoo!, Inc. 33,700 1,186
Yankee Energy Systems 20,977 514
Yardville National Bancorp 4,200 107
- - Yellow Corp. 35,800 799
York International Corp. 38,500 1,771
- - Zebra Technologies Class A 39,200 1,100
- - Zenith Electronics Corp. 97,173 1,148
Zenith National Insurance Corp. 35,160 949
- - Zilog Inc. 38,600 733
Zions Bancorp 53,312 2,003
Zurich Reinsurance Centre
Holdings, Inc. 24,300 960
Zurn Industries, Inc. 28,300 814
- - Zycad Corp. 97,488 58
- -----------------------------------------------------------------------------
TOTAL COMMON STOCKS (96.1%)(1)
(COST $1,732,329) 2,447,558
- -----------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.9%)
- -----------------------------------------------------------------------------
U.S. TREASURY BILLS
(2) 5.21%, 7/24/97 $ 1,800 1,794
(2) 5.27%, 8/7/97 300 298
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.93%, 7/1/97 98,736 98,736
- -----------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $100,828) 100,828
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(COST $1,833,157) 2,548,386
- -----------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- -----------------------------------------------------------------------------
Other Assets--Notes B and E 179,850
Liabilities--Note E (180,570)
-----------
(720)
- -----------------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------------
Applicable to 88,348,891 outstanding
shares of beneficial interest
(unlimited authorization) $2,547,666
=============================================================================
NET ASSET VALUE PER SHARE $28.84
=============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-Income Producing Security.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index futures contracts, S&P Midcap 400 Index futures contracts,
and Russell 2000 Index futures contracts represents 100.1% of net assets.
(2) Securities with an aggregate value of $2,092,000 have been segregated
as initial margin for open futures contracts.
ADR--American Depository Receipt.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
AT JUNE 30, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,750,639 $19.81
Undistributed Net
Investment Income 14,412 .16
Accumulated Net
Realized Gains 65,070 .74
Unrealized Appreciation--Note D
Investment Securities 715,229 8.10
Futures Contracts 2,316 .03
- -----------------------------------------------------------------------------
NET ASSETS $2,547,666 $28.84
=============================================================================
</TABLE>
20
<PAGE> 53
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
AAR Corp. 17,700 $ 572
- - ABC Rail Products Corp. 10,100 175
- - ABR Information Services, Inc. 24,100 697
- - ACC Corp. 14,550 450
- - ADC Telecommunications, Inc. 65,900 2,203
- - AER Energy Resources, Inc. 62,100 163
AFLAC, Inc. 69,746 3,295
AGCO Corp. 31,400 1,128
AGL Resources Inc. 27,900 575
- - AES Corp. 39,126 2,768
AK Steel Corp. 13,500 596
- - AMBI, Inc. 37,900 88
- - AMR Corp. 45,861 4,242
- - APAC Teleservices, Inc. 23,511 458
- - AST Research, Inc. 63,078 331
ARCO Chemical Co. 49,092 2,335
- - APS Holding Corp. 35,100 309
AT&T Corp. 816,317 28,622
- - APL Ltd. 14,500 453
AVX Corp. 44,900 1,212
- - Aavid Thermal Technologies 22,100 452
Aames Financial Corp. 33,450 619
- - Abacus Direct Corp. 14,300 466
Abbott Laboratories 391,415 26,127
- - Acceptance Insurance Cos. Inc. 18,300 416
- - Access Health Marketing, Inc. 23,367 575
- - Acclaim Entertainment Inc. 41,900 175
- - AccuStaff, Inc. 49,353 1,169
- - Ace Cash Express, Inc. 24,500 306
The Ackerley Group, Inc. 28,800 324
- - Acme Metals, Inc. 1,600 27
- - ACNielson Corp. 28,455 558
- - Action Performance Cos., Inc. 21,968 534
- - Acuson Corp. 22,012 506
- - Acxiom Corp. 24,678 507
ADAC Laboratories 16,700 394
- - Adaptec, Inc. 55,300 1,922
Adobe Systems, Inc. 36,320 1,275
- - Adtran, Inc. 19,000 471
- - Advance Paradigm, Inc. 18,700 344
- - Advanced Magnetics, Inc. 10,000 109
- - Advanced Fibre Communications 16,600 1,004
- - Advanced Polymer Systems 32,400 249
- - Advanced Tissue Sciences Inc. 39,958 517
- - Advanced Technology
Laboratories, Inc. 16,439 705
- - ADVO, Inc. 28,000 455
- - Aerial Communications Inc. 41,900 361
Aeroquip-Vickers Inc. 14,533 687
- - Advanced Micro Devices, Inc. 68,910 2,481
Aegon NV ARS 19,722 1,382
Advanta Corp. Class A 21,550 791
Aetna Inc. 76,041 7,785
Aetna Inc. 6.25% Pfd. Series C 4,509 420
- - Aetrium, Inc. 15,700 293
Affiliated Community Bancorp 14,250 337
- - Affiliated Computer Services, Inc. 16,500 462
- - Aftermarket Technology Corp. 22,900 507
- - Agouron Pharmaceuticals, Inc. 6,800 550
H.F. Ahmanson & Co. 53,382 2,295
- - Aid Auto Stores, Inc. 3,100 10
- - Air and Water Technologies Corp.
Class A 35,400 106
Air Express International Corp. 10,900 432
Air Products & Chemicals, Inc. 56,376 4,580
- - Airsensors Inc. 11,000 90
Airborne Freight Corp. 14,990 628
- - Airgas, Inc. 33,900 672
- - AirTouch Communications, Inc. 253,168 6,930
AirTouch Communications, Inc.
6.00% Cvt. Pfd. 4,242 121
AirTouch Communications, Inc.
4.25% Pfd. Series C 2,724 131
- - Alamco Inc. 17,700 272
Alamo Group, Inc. 19,000 395
- - Alanco Environmental
Resources Corp. 12,100 10
Albank Financial Corp. 14,680 583
Albemarle Corp. 26,715 563
Alberto-Culver Co. Class B 27,646 774
Albertson's, Inc. 126,398 4,613
Alex Brown, Inc. 11,920 842
Alexander & Baldwin, Inc. 22,100 578
- - Alexander's, Inc. 5,023 353
Alfa Corp. 6,400 90
Alico, Inc. 6,700 134
- - All American Semiconductor, Inc. 37,200 37
- - Alleghany Corp. 3,564 775
Allegheny Power System, Inc. 61,800 1,649
Allegheny Teledyne Inc. 88,167 2,380
Allegiance Corp. 27,152 740
- - Allen Telecom 22,600 469
Allergan, Inc. 33,318 1,060
Alliance Bancorp Inc. 12,375 373
- - Alliance Entertainment 82,400 23
- - Alliance Pharmaceutical Corp. 31,002 309
- - Alliance Semiconductor Corp. 45,100 368
- - Alliant Techsystems, Inc. 8,600 473
Allied Capital Commercial Corp. 15,800 381
Allied Capital Lending Corp. 25,160 374
Allied Group, Inc. 9,900 376
- - Allied Holdings, Inc. 24,400 267
Allied Products Corp. 10,399 344
AlliedSignal Inc. 142,292 11,952
- - Allied Waste Industries, Inc. 36,900 628
Allmerica Financial Corp. 25,700 1,025
Allmerica Property &
Casualty Cos. 30,500 999
Allstate Corp. 224,191 16,366
ALLTEL Corp. 94,371 3,155
- - Allwaste, Inc. 58,900 559
- - Altera Corp. 44,120 2,229
- - Altron, Inc. 12,100 184
- - Alumax, Inc. 27,841 1,056
Aluminum Co. of America 87,533 6,598
- - Alyn Corp. 28,500 342
- - ALZA Corp. 42,084 1,220
- - Amax Gold, Inc. 82,194 503
AMBAC, Inc. 17,822 1,361
Amcast Industrial Corp. 16,496 412
AMCOL International Corp. 22,800 412
</TABLE>
21
<PAGE> 54
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Amdahl Corp. 62,773 $ 549
Amerada Hess Corp. 46,976 2,610
- - Amerco Inc. 14,100 427
- - America Online, Inc. 48,500 2,698
- - America West Holdings Corp.
Class B 15,800 229
American Annuity Group Inc. 25,817 465
American Bankers
Insurance Group 10,100 638
- - American Business
Information, Inc. 25,416 546
- - American Classic Voyager Co. 26,000 275
American Electric Power Co., Inc. 94,542 3,971
- - American Exploration Co. 25,000 366
American Express Co. 238,775 17,789
American Financial Group, Inc. 30,400 1,290
- - American Freightways 17,504 274
American General Corp. 120,802 5,768
American Greetings Corp. Class A 37,508 1,390
American Health Properties, Inc. 22,200 558
American Health Properties
Psychiatric Group 1,510 28
American Home Products Corp. 321,791 24,617
American International
Group, Inc. 236,614 35,344
American List Corp. 10,043 302
- - American Management
Systems, Inc. 19,900 533
- - American Media Class A 75,400 528
American National Bancorp, Inc. 2,300 45
American National Insurance Co. 13,200 1,165
- - American Oncology
Resources, Inc. 36,300 610
- - American Power Conversion Corp. 46,900 887
- - American Standard Cos., Inc. 39,200 1,754
American States Financial Corp. 29,700 1,366
American Stores Co. 73,677 3,638
American Water Works Co., Inc. 40,100 857
- - AmeriCredit Corp. 27,800 584
Ameron International Corp. 6,600 374
- - AmeriSource Health Corp. 8,396 419
- - Ames Department Stores, Inc. 39,500 384
Ameritech Corp. 276,819 18,806
AmeriGas Partners, LP 20,800 510
Ametek, Inc. 16,100 378
Amgen, Inc. 132,448 7,694
AMP, Inc. 110,694 4,621
Amoco Corp. 250,524 21,780
- - Ampal-American Israel Corp. 52,000 312
Ampco-Pittsburgh Corp. 20,435 300
- - Ampex Corp. Class A 45,600 268
AmSouth Bancorp 42,781 1,618
- - Amtech Corp. 47,575 218
AmVestors Financial Corp. 18,000 337
- - Amylin Pharmaceuticals, Inc. 34,400 471
Anadarko Petroleum Corp. 30,100 1,806
- - Analog Devices, Inc. 79,705 2,117
Anchor Bancorp Wisconsin Inc. 8,500 419
- - Anchor Gaming 6,899 329
- - Andrea Radio Corp. 23,700 284
- - Andrew Corp. 46,245 1,298
Angelica Corp. 18,100 317
Anheuser-Busch Cos., Inc. 251,940 10,566
- - Anixter International Inc. 25,100 431
- - AnnTaylor Stores Corp. 24,500 478
Aon Corp. 81,727 4,229
Apache Corp. 44,869 1,458
Apogee Enterprises, Inc. 26,700 572
- - Aphton Corp. 16,739 242
- - Apogee, Inc. 25,900 112
- - Apollo Group, Inc. Class A 25,375 896
- - Apple Computer, Inc. 61,483 874
Apple South, Inc. 16,974 259
Applebee's International, Inc. 14,982 402
- - Applied Innovation Inc. 36,800 145
- - Apria Healthcare 25,100 445
- - Applied Microsystems Corp. 11,200 97
- - Applied Graphics
Technologies, Inc. 16,600 658
- - Applied Digital Access, Inc. 31,700 248
- - Applied Magnetics Corp. 12,300 278
- - Applied Materials, Inc. 90,764 6,424
Applied Power, Inc. 14,700 759
- - Applix, Inc. 13,221 90
Aptargroup Inc. 8,900 403
Aquarion Co. 12,700 343
Arbor Drugs, Inc. 27,225 547
- - Arbor Software Corp. 13,700 484
- - Arcadia Financial Ltd. 43,100 396
Archer-Daniels-Midland Co. 272,624 6,407
Argent Bank 4,000 88
Argonaut Group, Inc. 10,881 324
- - Argosy Gaming Co. 68,000 221
- - Armco, Inc. 104,500 405
Armstrong World Industries Inc. 20,920 1,535
Arnold Industries, Inc. 26,500 454
- - Arrow Electronics, Inc. 24,999 1,328
Arrow Financial Corp. 10,230 283
Arrow International, Inc. 4,300 126
- - Arterial Vascular Engineering, Inc. 19,900 640
- - ArthroCare Corp. 28,300 258
- - Artisoft, Inc. 28,104 67
Arvin Industries, Inc. 8,100 221
ASA Holdings Inc. 11,900 340
ASARCO, Inc. 21,302 652
- - Ascend Communications, Inc. 60,726 2,385
- - Ascent Entertainment Group, Inc. 11,878 110
Ashland Coal Inc. 14,100 402
Ashland Inc. 37,674 1,747
- - Aspect Telecommunications Corp. 24,000 531
- - Aspen Technologies, Inc. 8,600 323
Associated Banc-Corp. 11,160 439
Associated Estates Realty
Corp. REIT 18,400 432
- - Associated Group, Inc. 13,496 536
- - Associated Group, Inc. Class B 2,000 77
Associates First Capital Corp. 45,900 2,547
- - Astea International, Inc. 35,700 104
Astoria Financial Corp. 10,300 489
Astro-Med, Inc. 26,800 239
- - Asyst Technologies, Inc. 10,222 447
Atlanta Sosnoff Capital 30,500 337
</TABLE>
22
<PAGE> 55
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Atlantic Energy, Inc. 25,300 $ 425
Atlantic Richfield Co. 162,370 11,447
- - Atlantic Tele-Network, Inc. 14,200 178
- - Atlas Air, Inc. 9,900 342
- - Atmel Corp. 48,700 1,367
Atmos Energy Corp. 13,250 318
- - Atrix Laboratories, Inc. 23,789 285
- - Atwood Oceanics, Inc. 8,967 600
- - Aura Systems, Inc. 101,281 172
- - Aurum Software, Inc. 17,400 415
- - Auspex Systems, Inc. 21,100 204
Authentic Fitness Corp. 27,300 345
Autodesk, Inc. 24,043 922
Automatic Data Processing, Inc. 147,321 6,924
- - AutoZone Inc. 75,034 1,768
Avalon Properties, Inc. REIT 18,000 515
- - Avant! Corp. 26,700 862
- - Avatar Holding, Inc. 9,100 308
- - Avatex Corp. 13,062 15
Avery Dennison Corp. 52,790 2,118
- - Aviall Inc. 24,219 339
Avnet, Inc. 21,358 1,228
Avon Products, Inc. 66,856 4,717
- - Aztar Corp. 56,900 402
BB&T Corp. 55,450 2,495
- - BA Merchant Services, Inc.
Class A 23,800 454
- - BDM International, Inc. 12,200 279
BHC Communications, Inc. Class A 11,885 1,420
- - BISYS Group, Inc. 12,300 516
- - BJ Services Co. 18,992 1,018
- - BJ Services Co. Warrants
Exp. 4/13/00 353 10
BMC Industries, Inc. 13,863 475
- - BOK Financial Corp. 17,305 619
- - BPI Packaging Technologies Inc. 28,900 38
- - BRC Holdings Inc. 9,300 350
BRE Properties Inc. Class A REIT 18,040 453
BSB Bancorp, Inc. 10,033 379
- - BMC Software, Inc. 51,000 2,827
BW/IP Inc. 24,100 489
Badger Paper Mills, Inc. 9,300 77
Baker Hughes, Inc. 73,626 2,848
J. Baker, Inc. 26,491 210
Baldor Electric Co. 7,380 218
- - Baldwin Technology Class A 38,700 111
Ball Corp. 14,601 439
Ballard Medical Products 22,266 447
- - Bally Total Fitness Holding Corp. 39,400 369
Baltimore Gas & Electric Co. 74,664 1,992
Banc One Corp. 297,090 14,390
- - Banctec, Inc. 18,800 488
Bandag, Inc. 11,338 555
Bandag, Inc. Class A 538 26
Bangor Hydro-Electric Co. 24,800 143
The Bank of New York Co., Inc. 197,672 8,599
Bank United Corp. Class A 20,600 787
BankAtlantic Bancorp, Inc.
Class A 6,256 89
BankAtlantic Bancorp, Inc.
Class B 18,401 260
BankAmerica Corp. 361,650 23,349
BankBoston Corp. 76,796 5,534
Bankers Corp. 15,896 446
Bankers Trust New York Corp. 41,175 3,582
Bank North Group 8,300 382
- - BankUnited Financial Corp. 29,700 299
- - Banner Aerospace 30,000 266
Banta Corp. 15,200 414
- - Banyan Systems, Inc. 44,900 102
C.R. Bard, Inc. 28,781 1,045
- - Barnes & Noble, Inc. 16,876 726
Barnes Group, Inc. 17,100 506
Barnett Banks, Inc. 104,756 5,500
- - Barr Labs Inc. 22,800 1,003
- - Barrett Resources Corp. 15,700 470
- - Base Ten Systems Class A 6,400 63
- - Basin Exploration Inc. 26,900 210
Bassett Furniture Industries, Inc. 10,663 306
Battle Mountain Gold Co. Class A 115,000 654
Bausch & Lomb, Inc. 28,301 1,334
Baxter International, Inc. 137,635 7,191
Bay Apartment Communities,
Inc. REIT 10,800 400
- - Bay Networks, Inc. 100,021 2,657
- - BE Avionics Inc. 11,700 369
Beacon Properties Corp. REIT 27,800 928
Bear Stearns Co., Inc. 60,359 2,063
BeautiControl Cosmetics 14,000 153
Beckman Instruments Inc. 14,968 722
Becton, Dickinson & Co. 61,964 3,137
- - Bed Bath & Beyond, Inc. 33,952 1,032
- - Bel Fuse, Inc. 19,500 259
- - Belco Oil & Gas Corp. 17,300 371
Belden Inc. 12,900 439
- - Bell & Howell Co. 17,800 548
Bell Atlantic Corp. 220,757 16,750
- - Bell Sports Corp. 1,800 14
- - Bell Industries, Inc. 15,003 234
BellSouth Corp. 499,408 23,160
- - Belmont Homes, Inc. 30,650 209
A. H. Belo Corp. Class A 30,957 1,288
Bemis Co., Inc. 25,829 1,117
- - Ben & Jerry's Homemade, Inc. 21,900 307
- - Benchmark Microelectronics, Inc. 8,900 155
Beneficial Corp. 26,914 1,912
Bergen Brunswig Corp. Class A 24,901 694
W.R. Berkley Corp. 9,500 556
- - Berkshire Hathaway Class A 600 28,320
Berkshire Realty Co., Inc. REIT 37,100 394
- - Berlitz International, Inc. 16,727 417
Berry Petroleum Class A 23,600 448
- - Bertucci's Holding Corp. 51,261 352
- - Best Buy Co., Inc. 38,500 573
- - BET Holdings Inc. Class A 13,200 432
- - Bethlehem Steel Corp. 54,396 568
BetzDearborn Inc. 13,800 911
- - Beverly Enterprises, Inc. 48,679 791
- - Big Flower Press Holdings, Inc. 20,000 415
- - Billing Information Concepts 7,964 277
- - Bio-Rad Laboratories, Inc. Class A 11,353 296
- - Biotechnology General 41,900 567
</TABLE>
23
<PAGE> 56
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Biofield Corp. 16,600 $ 55
- - Biogen, Inc. 36,100 1,224
- - Biomatrix, Inc. 18,533 347
Biomet, Inc. 58,347 1,088
Birmingham Steel Corp. 31,400 487
Black & Decker Corp. 47,701 1,774
- - Black Hawk Gaming &
Development Co., Inc. 13,300 81
Black Hills Corp. 15,300 436
Blair Corp. 7,500 108
E.W. Blanch Holdings, Inc. 16,500 440
Blimpie International, Inc. 27,400 152
Block Drug Co. Class A 10,538 460
H & R Block, Inc. 52,645 1,698
Blount International, Inc. 9,700 413
- - Blyth Industries, Inc. 23,700 800
Bob Evans Farms, Inc. 11,500 195
Boddie-Noell Properties Inc. 12,800 165
The Boeing Co. 361,096 19,161
Boise Cascade Corp. 24,056 849
- - Boise Cascade Office
Products Corp. 31,124 529
- - Borders Group, Inc. 38,200 921
Borg-Warner Automotive, Inc. 12,100 654
- - Borland International, Inc. 42,200 294
- - Boston Beer Co., Inc. Class A 11,700 115
- - Boston Chicken, Inc. 31,600 441
Boston Edison Co. 24,300 641
- - Boston Properties, Inc. 18,000 495
- - Boston Scientific Corp. 111,863 6,872
- - Boston Technology, Inc. 21,000 621
Bowater Inc. 20,600 953
Bowne & Co., Inc. 18,200 635
- - Boyd Gaming Corp. 26,700 153
W.H. Brady Class A 9,400 272
Breed Technological Inc. 13,600 313
- - C. Brewer Homes, Inc. Class A 10,000 21
Briggs & Stratton Corp. 12,554 628
- - Brinker International, Inc. 40,229 573
- - Bristol Hotel Co. 14,700 566
Bristol-Myers Squibb Co. 504,624 40,875
- - Brite Voice Systems, Inc. 24,086 193
- - BroadBand Technologies, Inc. 11,900 96
- - BroadVision, Inc. 47,400 320
- - Broderbund Software, Inc. 7,488 185
Brooklyn Union Gas Co. 25,750 737
- - Brooks Fiber Properties, Inc. 27,000 913
- - Brothers Gourmet Coffees, Inc. 59,500 158
Brown-Forman Corp. Class B 34,451 1,682
Brown Group, Inc. 21,715 406
Browning-Ferris Industries, Inc. 107,202 3,564
Brunswick Corp. 50,098 1,566
Bryn Mawr Bank Corp. 7,400 266
- - Budget Group Inc. 16,700 576
- - Burlington Coat Factory
Warehouse Corp. 36,175 705
- - Burlington Industries, Inc. 28,397 341
Burlington Northern
Santa Fe Corp. 77,270 6,945
Burlington Resources, Inc. 62,657 2,765
Burnham Pacific Properties,
Inc. REIT 22,000 303
- - Burr-Brown Corp. 17,850 614
Bush Industries, Inc. 15,983 380
- - CAI Wireless Systems, Inc. 54,300 59
CB Bancshares Inc./Hawaii 7,700 270
CBL & Associates Properties,
Inc. REIT 22,200 533
CBT Corp. 9,800 212
CCB Financial Corp. 8,900 651
CFSB Bancorp, Inc. 16,837 396
- - C-Cube Microsystems, Inc. 17,800 312
- - CDI Corp. 12,400 517
- - CDW Computer Centers, Inc. 10,550 560
- - CFI ProServices, Inc. 24,969 459
CIGNA Corp. 37,876 6,723
CIPSCO, Inc. 17,100 625
CKE Restaurants Inc. 20,100 636
- - CKS Group, Inc. 14,100 478
CMAC Investment Corp. 10,826 517
- - CMG Information Services, Inc. 9,624 127
CML Group, Inc. 83,500 151
CMS Energy Corp. 45,961 1,620
CPI Corp. 19,700 414
CPB, Inc. 9,000 327
CTG Resources Inc. 13,300 293
- - CNA Financial Corp. 31,028 3,272
CNB Bancshares, Inc. 10,090 409
CNF Transportation Inc. 21,899 706
CPC International, Inc. 72,163 6,662
CRI Liquidating REIT, Inc. 26,200 4
CSX Corp. 108,988 6,049
- - C-TEC Corp. 14,100 487
- - CUC International, Inc. 199,471 5,149
- - Cuno Inc. 22,200 366
CVS Corp. 83,952 4,303
CWM Mortgage Holdings Inc. 24,500 586
- - Cabletron Systems, Inc. 78,408 2,220
- - Cable Design Technologies 18,452 543
Cabot Corp. 35,868 1,018
Cabot Oil & Gas Corp. Class A 22,000 388
- - Cadence Design Systems, Inc. 52,569 1,761
- - Cadiz Land Co., Inc. 53,500 284
Cadmus Communications 15,400 242
- - Caldor Corp. 81,300 117
- - CalEnergy Co. 32,400 1,231
Calgon Carbon Corp. 36,400 505
Caliber System Inc. 19,516 727
- - California Amplifier, Inc. 21,200 96
Cali Realty Corp. REIT 18,600 632
- - California Federal Bank Goodwill
Participation Certificates 2,540 39
- - California Federal Bank-
Secondary Contingent Litigation
Recovery Participation Interests 2,150 35
Callaway Golf Co. 36,400 1,292
- - Calypte Biomedical Corp. 22,100 98
CAM Designs, Inc. 11,600 55
- - Cambridge Technology Partners 24,000 762
Camco International, Inc. 12,200 668
</TABLE>
24
<PAGE> 57
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Cameron Ashley
Building Products 30,108 $ 427
Campbell Soup Co. 234,948 11,747
- - Canandaigua Wine Co., Inc.
Class A 9,808 333
- - Cannondale Corp. 15,800 277
Capital One Financial Corp. 33,284 1,256
- - Capital Pacific Holdings, Inc. 10,900 30
Capital Re Corp. 12,100 647
CapMAC Holdings Inc. 17,700 595
Capsure Holdings 23,090 299
Capstead Mortgage Corp. 23,750 586
Caraustar Industries, Inc. 10,800 374
Cardinal Bancshares, Inc. 4,804 261
Cardinal Health, Inc. 54,989 3,148
- - CareAdvantage Inc. 7,166 3
Carlisle Co., Inc. 15,854 553
- - Carmike Cinemas, Inc. Class A 13,089 429
Carnival Corp. Class A 150,147 6,194
- - Carriage Services, Inc. 18,300 393
Carolina Power & Light Co. 76,614 2,749
Carpenter Technology Corp. 11,700 535
CarrAmerica Realty Corp. REIT 28,200 811
- - Carrington Labs Inc. 29,228 186
Carter-Wallace, Inc. 26,700 477
- - Cascade Communications Corp. 47,200 1,302
Case Corp. 37,126 2,557
- - Casino Magic Corp. 57,800 70
A.M. Castle & Co. 18,531 410
- - Castle & Cooke Inc. 26,100 432
- - Catalina Lighting, Inc. 10,000 39
- - Catalina Marketing Corp. 8,960 431
- - Catellus Development Corp. 48,700 883
Caterpillar, Inc. 96,358 10,346
- - Catherines Stores 37,400 143
- - Cellular Technical Services Co. 33,154 305
- - Celtrix Pharmaceuticals 25,300 61
- - Centennial Technologies, Inc. 11,200 25
Centerior Energy Corp. 73,600 823
Centex Corp. 14,229 578
- - Centigram Communications 27,000 348
- - Centocor, Inc. 34,448 1,069
Central & South West Corp. 106,920 2,272
Central Fidelity Banks, Inc. 29,225 1,038
Central Hudson Gas &
Electric Corp. 12,800 441
Central Louisiana Electric Co. 16,808 473
Central Maine Power Co. 17,400 215
Central Newspapers Inc. 11,550 827
Central Parking Corp. 10,800 376
Central Reserve Life Corp. 14,900 101
- - Central Sprinkler Corp. 11,618 309
Central Vermont Public
Service Corp. 20,300 225
Centura Banks, Inc. 13,400 615
- - Centura Software Corp. 47,388 103
Century Bancorp, Inc. Class A 800 11
- - Century Communications Corp.
Class A 52,300 288
Century Telephone
Enterprises, Inc. 29,580 996
- - Ceridian Corp. 40,731 1,721
- - Cerner Corp. 28,770 604
- - Chalone Wine Group Ltd. 26,440 301
- - Champion Enterprises, Inc. 23,569 354
Champion International Corp. 48,321 2,670
- - Chantal Pharmaceutical Corp. 48,300 53
Charter One Financial 25,011 1,349
- - Charming Shoppes, Inc. 58,779 308
- - Chartwell Leisure Corp 25,437 335
Chase Manhattan Corp. 221,086 21,459
- - Checkers Drive-In Restaurant 119,550 168
- - Checkfree Corp. 26,200 461
Checkpoint Systems, Inc. 14,874 239
Chelsea GCA Realty, Inc. REIT 13,700 521
Chemed Corp. 10,400 389
ChemFirst Inc. 19,600 532
- - Chemical Fabrics Corp. 16,411 345
Chemical Finance 4,725 167
Chesapeake Corp. of Virginia 16,917 571
Chesapeake Energy Corp. 35,900 352
Chester Valley Bancorp 1,301 28
Chevron Corp. 328,750 24,307
- - Chic By H.I.S., Inc. 51,280 340
- - Chicago Miniature Lamp, Inc. 19,600 490
- - Chico's Fas, Inc. 18,214 97
Chiquita Brands International, Inc. 29,735 409
- - Chirex, Inc. 25,700 310
- - Chiron Corp. 84,932 1,770
Chittenden Corp. 14,372 492
- - Choice Hotels Corp. Inc. 31,341 531
- - Chris-Craft Industries, Inc. 15,440 745
- - Christiana Cos., Inc. 7,200 287
Chrysler Corp. 353,986 11,615
The Chubb Corp. 87,962 5,882
Church & Dwight, Inc. 19,200 514
Churchill Downs, Inc. 5,400 208
- - Ciber, Inc. 14,700 503
- - Cidco, Inc. 14,700 202
- - CIENA Corp. 47,900 2,256
Cilcorp, Inc. 11,900 490
Cincinnati Bell, Inc. 68,600 2,161
Cincinnati Financial Corp. 27,937 2,212
Cincinnati Milacron, Inc. 20,783 539
CINergy Corp. 79,698 2,774
Circle International Group, Inc. 8,000 212
- - Circon Corp. 25,300 357
Circuit City Stores, Inc. 49,769 1,770
- - Circuit City Stores, Inc.-
CarMax Group 3,000 43
- - Cirrus Logic 31,700 334
- - Cisco Systems, Inc. 329,819 22,149
Cintas Corp. 23,800 1,638
- - Circus Circus Enterprises Inc. 48,741 1,200
Citicorp 233,409 28,140
Citizens Corp. 17,400 481
- - Citizens Utilities Co. Class A 124,290 1,165
- - Citrix Systems, Inc. 13,700 602
City National Corp. 22,387 539
- - Cityscape Financial Corp. 30,700 609
Claire's Stores, Inc. 25,000 438
Clarcor Inc. 6,800 168
</TABLE>
25
<PAGE> 58
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Clarify, Inc. 15,600 $ 176
Clayton Homes Inc. 59,176 843
- - Clear Channel Communications 38,924 2,394
- - Cliffs Drilling Co. 21,902 799
- - Clintrials Research, Inc. 16,700 204
The Clorox Co. 26,088 3,444
Coachmen Industries, Inc. 24,296 416
- - Coast Savings Financial, Inc. 15,000 682
Coastal Corp. 53,053 2,822
- - Coastal Physician Group, Inc. 58,500 95
Coca-Cola Bottling Co. 8,700 418
The Coca-Cola Co. 1,253,644 84,621
Coca-Cola Enterprises, Inc. 188,935 4,346
- - Coeur D'Alene Mines Corp. 29,800 386
- - Cognex Corp. 20,600 547
Cognizant Corp. 86,077 3,486
- - Coherent Communications
Systems Corp. 18,600 463
- - Coherent, Inc. 9,200 411
Coin Bill Validator Inc. 2,900 53
- - Coleman Inc. 26,732 461
Collective Bancorp, Inc. 14,349 648
Colgate-Palmolive Co. 147,916 9,652
- - Collins & Aikman Corp. 63,300 633
Colonial BancGroup, Inc. 19,530 474
Colonial Gas Co. 3,800 80
- - Colorado Casino Resorts, Inc. 95,500 149
- - Coltec Inc. 34,100 665
Columbia Gas Systems, Inc. 27,460 1,792
Columbia/HCA Healthcare Corp. 337,803 13,280
ComAir Holdings, Inc. 22,309 618
Comcast Corp. Class A 12,860 269
Comcast Corp. Class A Special 151,429 3,232
- - Comdial Corp. 30,766 262
Comdisco, Inc. 36,325 944
Comerica, Inc. 54,294 3,692
- - Commander Aircraft Co. 28,600 64
Commerce Bancshares, Inc. 18,736 849
Commerce Group, Inc. 18,700 460
Commercial Federal Corp. 13,200 490
Commercial Intertech Corp. 26,500 369
Commercial Metals Co. 16,500 532
- - Commnet Cellular Inc. 13,800 481
Community First Bankshares 15,300 585
- - Compaq Computer Corp. 136,534 13,551
Compass Bancshares Inc. 31,716 1,064
- - CompuServe Corp. 44,400 479
Computer Associates
International, Inc. 182,721 10,175
- - CompUSA, Inc. 45,700 983
Computer Data Systems, Inc. 11,246 337
- - Computer Sciences Corp. 38,653 2,788
Computer Task Group, Inc. 19,792 737
- - Computervision Corp. 66,500 308
- - Compuware Corp. 43,400 2,078
COMSAT Corp. 24,300 579
- - Comverse Technology, Inc. 12,100 631
ConAgra, Inc. 121,034 7,761
- - Computer Horizons Corp. 21,444 733
- - Comshare 15,900 199
- - Concord EFS, Inc. 30,225 788
- - Cone Mills Corp. 30,300 242
- - Conmed Corp. 16,368 280
Connecticut Energy Corp. 12,800 310
Connecticut Water Services, Inc. 9,900 283
Conseco Inc. 108,758 4,024
- - Consilium, Inc. 24,300 97
- - Consolidated Cigar Holdings Inc. 15,500 430
Consolidated Edison Co. of
New York, Inc. 118,422 3,486
- - Consolidated Freightways Corp. 12,299 202
Consolidated Natural Gas Co. 48,137 2,590
Consolidated Papers 22,700 1,226
- - Consolidated Stores, Inc. 41,466 1,441
Consolidated-Tomoka Land Co. 15,700 257
- - Consumer Portfolio Services, Inc. 32,300 392
- - ContiFinancial Corp. 21,700 792
- - Continental Airlines, Inc. Class B 28,700 1,003
Continental Mortgage &
Equity Trust 2,250 28
- - Continucare Corp. 47,300 278
- - Control Data Corp. 21,707 320
- - Converse Inc. 19,700 436
- - Cooper Cameron Corp. 25,600 1,197
Cooper Industries, Inc. 59,643 2,967
Cooper Tire & Rubber Co. 39,555 870
Adolph Coors Co. Class B 18,636 494
- - Coram Healthcare Corp. 66,808 163
- - COREStaff, Inc. 14,025 380
CoreStates Financial Corp. 112,942 6,071
- - Cornerstone Imaging, Inc. 26,800 191
Corning, Inc. 114,754 6,383
- - Corporate Express, Inc. 59,900 863
- - Correctional Services Corp. 24,500 289
- - Corrections Corp. of America 37,172 1,478
- - Cort Business Services Corp. 16,000 472
- - CorVel Corp. 5,100 150
- - Costco Cos., Inc. 105,161 3,460
- - Country Star Restaurants, Inc. 18,600 10
Countrywide Credit Industries, Inc. 53,217 1,660
Cousins Properties, Inc. REIT 14,500 402
- - Covance, Inc. 28,513 551
- - Coventry Corp. 31,455 479
- - Cox Communications Class A 128,635 3,087
Cracker Barrel Old Country
Stores, Inc. 30,054 795
- - Craig Corp. 14,577 231
- - Jenny Craig Inc. 17,300 120
Crane Co. 22,722 950
Crawford & Co. Class B 26,300 427
- - Creative Technology 12,733 6
- - Credit Acceptance Corp. 21,500 276
- - Cree Research, Inc. 25,748 312
- - Crescent Operating Inc. 4,820 63
Crescent Real Estate, Inc. REIT 48,200 1,530
Crestar Financial Corp. 55,460 2,156
CRIIMI MAE, Inc. REIT 33,400 534
Crompton & Knowles Corp. 36,239 806
Cross Timbers Oil Co. 27,750 534
Crown American Realty Trust REIT 44,900 415
- - Crown Books Corp. 25,937 282
Crown Cork & Seal Co., Inc. 64,939 3,470
</TABLE>
26
<PAGE> 59
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Crown Crafts, Inc. 28,000 $ 294
- - Crown Vantage, Inc. 32,624 241
- - Cryomedical Sciences 118,700 50
Cullen/Frost Bankers, Inc. 12,200 517
- - Culligan Water Technologies 10,500 470
Cummins Engine Co., Inc. 19,702 1,390
- - Curative Health Services Inc. 15,100 437
Curtiss-Wright Corp. 4,900 285
- - Custom Chrome 20,200 324
- - Cyberguard Corp. 30,055 272
- - Cybex Corp. 8,300 149
- - Cygne Designs, Inc. 59,800 28
- - Cygnus Inc. 24,212 421
- - Cypress Semiconductor Corp. 44,200 641
Cyprus Amax Minerals Co. 46,552 1,141
- - Cytec Industries, Inc. 23,854 892
- - Cytrx Corp. 5,900 23
- - DH Technology, Inc. 10,300 166
- - DII Group, Inc. 13,257 585
- - DBT Online Inc. 10,200 546
- - DMX Inc. 70,900 124
DPL, Inc. 52,450 1,292
DQE Inc. 38,507 1,088
- - DSC Communications Corp. 58,784 1,310
D. R. Horton, Inc. 29,280 304
- - DSP Communications, Inc. 44,100 488
- - DSP Group Inc. 20,600 308
- - DST Systems, Inc. 24,300 809
DTE Energy Co. 72,527 2,004
DT Industries, Inc. 9,400 335
- - DVI, Inc. 25,600 371
- - Daily Journal Corp. 3,100 108
- - Daisytek International Corp. 7,800 308
- - Dal-Tile International Inc. 26,900 499
Dallas Semiconductor Corp. 13,100 514
Dames & Moore, Inc. 25,300 313
Dana Corp. 51,668 1,963
Danaher Corp. 29,100 1,479
Daniel Industries, Inc. 3,828 59
Darden Restaurants Inc. 80,593 730
- - Darling International, Inc. 9,200 239
- - Data Broadcasting Corp. 34,000 164
- - Data General Corp. 20,126 523
- - Data Race, Inc. 37,022 470
- - Dataware Technologies, Inc. 35,500 105
- - Data Transmission Network Corp. 14,500 462
- - Datastream Systems, Inc. 14,400 220
Dauphin Deposit Bank & Trust 15,120 673
- - Davel Communications Group, Inc. 19,843 350
- - Dave & Busters 20,355 547
- - Davox Corp. 13,800 493
Dayton-Hudson Corp. 109,203 5,808
Dean Foods Corp. 20,267 818
- - DecisionOne Corp. 28,900 657
Deere & Co. 129,209 7,090
DEKALB Genetics Corp. Class B 8,400 670
- - Dell Computer Corp. 87,932 10,324
Delmarva Power & Light Co. 30,400 580
- - Delphi Information Systems Inc. 35,900 42
Delta & Pine Land Co. 13,456 479
Delta Air Lines, Inc. 36,888 3,025
Deltic Timber Corp. 5,428 159
Deluxe Corp. 41,331 1,410
- - Dendrite International, Inc. 14,100 231
DENTSPLY International Inc. 13,300 651
- - Department 56 Inc. 22,095 490
Deposit Guaranty Corp. 21,500 677
- - DepoTech Corp. 23,700 321
- - DePuy, Inc. 50,400 1,159
- - Designer Holdings Ltd. 29,800 304
- - Designs, Inc. 58,000 276
- - Detroit Diesel Corp. 23,800 570
Developers Diversified Realty
Corp. REIT 12,500 500
Devon Energy Corp. 16,633 611
- - Devon Group, Inc. 2,100 74
- - Devry, Inc. 16,300 440
Dexter Corp. 10,800 346
Diagnostic Products Corp. 13,623 430
Dial Corp. 47,163 737
- - Dialogic Corp. 13,700 366
- - Diamond Multimedia Systems, Inc. 49,500 357
- - Diamond Offshore Drilling, Inc. 35,200 2,750
- - Diamond Technology Partners Inc. 24,189 248
Diebold, Inc. 34,096 1,330
- - Digene Corp. 29,700 377
- - Digi International, Inc. 16,800 171
- - Digital Equipment Corp. 79,633 2,822
- - Digital Microwave Corp. 15,627 463
Dillard's Inc. 57,636 1,996
Dime Bancorp, Inc. 53,882 943
Dimon Inc. 21,950 582
- - Dionex Corp. 8,500 435
The Walt Disney Co. 340,149 27,297
Dole Food Co. 29,900 1,278
Dollar General Corp. 45,562 1,709
- - Dollar Tree Stores, Inc. 12,550 633
Dominion Resources, Inc. 90,795 3,325
Donaldson Co., Inc. 12,200 464
Donaldson, Lufkin & Jenrette, Inc. 29,800 1,781
R.R. Donnelley & Sons Co. 76,280 2,794
Donnelly Corp. 18,125 304
- - Doubletree Corp. 19,487 801
- - Dove Audio, Inc. 19,000 56
Dover Corp. 56,728 3,489
Dow Chemical Co. 122,186 10,645
Dow Jones & Co., Inc. 48,297 1,941
- - Dravo Corp. 26,639 290
- - The Dress Barn, Inc. 13,400 261
Dresser Industries, Inc. 88,997 3,315
- - Drexler Technology Corp. 19,089 197
Dreyer's Grand Ice Cream, Inc. 12,000 467
- - Drug Emporium, Inc. 68,042 340
E.I. du Pont de Nemours & Co. 567,348 35,672
- - DuPont Photomasks, Inc. 7,600 410
Duke Energy Corp. 179,293 8,595
Duke Realty Investments,
Inc. REIT 16,100 652
The Dun & Bradstreet Corp. 86,177 2,262
- - Dura Pharmaceuticals, Inc. 21,786 867
Durco International Inc. 13,450 396
Duty Free International Inc. 23,774 446
</TABLE>
27
<PAGE> 60
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Dynatech Corp. 7,600 $ 272
EG & G, Inc. 24,736 557
- - EMC Corp. 123,422 4,813
- - ENSCO International, Inc. 36,012 1,900
ESC Medical Systems Ltd. 21,300 544
- - ESSEF Corp. 18,480 444
- - ESS Technology, Inc. 28,400 383
- - ETEC Systems, Inc. 10,400 446
- - EVI Inc. 23,500 987
- - Eagle Hardware & Garden, Inc. 12,000 274
- - Eagle USA Airfreight, Inc. 6,400 174
Earthgrains Co. 9,043 593
Eastern Enterprises 8,815 306
Eastern Utilities Associates 9,071 166
Eastman Chemical Co. 38,780 2,463
Eastman Kodak Co. 168,112 12,903
Eaton Corp. 38,938 3,400
Eaton Vance Corp. 19,000 528
- - Echelon International Corp., Inc. 23,363 533
Echlin, Inc. 31,218 1,124
Echo Bay Mines Ltd. 70,084 403
Ecolab, Inc. 32,940 1,573
- - Edison Brothers Stores, Inc. 127,377 159
Edison International 218,103 5,425
- - Edisto Resources Corp. 42,300 391
EDO Corp. 17,800 142
- - Education Alternatives, Inc. 44,400 197
A.G. Edwards & Sons, Inc. 31,633 1,352
- - Egghead, Inc. 21,631 86
- - Einstein/Noah Bagel Corp. 32,900 392
El Paso Natural Gas 29,118 1,601
- - Elan Corp. PLC ADR 2,304 104
Elcor Corp. 13,900 387
- - Electric Fuel Corp. 33,900 227
- - Electro Scientific Industries, Inc. 13,500 565
- - Electroglas, Inc. 21,300 536
- - Electromagnetic Sciences, Inc. 16,186 281
- - Electronic Arts Inc. 26,500 893
Electronic Data Systems Corp. 246,155 10,092
- - Electronic Retailing Systems
International, Inc. 10,400 60
- - Electronics for Imaging, Inc. 26,300 1,242
- - Eltron International Inc. 7,000 209
Emerson Electric Co. 225,294 12,405
- - Emmis Broadcasting Corp.
Class A 10,200 447
Empire District Electric Co. 23,400 405
- - Empire of Carolina, Inc. 8,900 22
- - Employee Solutions, Inc. 19,200 107
- - Emulex Corp. 19,950 307
- - Energy Conversion Devices, Inc. 11,375 147
Energen Corp. 13,100 441
Engelhard Corp. 73,023 1,529
Enhance Financial Services
Group, Inc. 8,500 373
Enova Corp. 57,100 1,374
Enron Corp. 127,764 5,214
Enron Global Power &
Pipelines L.L.C. 12,000 400
Enron Oil & Gas Co. 79,424 1,440
ENSERCH Corp. 35,612 792
Entergy Corp. 116,233 3,182
- - Epitope Inc. 23,000 177
Equifax, Inc. 76,470 2,844
The Equitable Cos. 94,291 3,135
Equitable of Iowa Co. 16,400 918
Equitable Resources, Inc. 18,100 514
Equity Residential Properties
Trust REIT 44,100 2,095
- - Equus Gaming Co. LP A Units 1,000 3
Erie Indemnity Co. Class A 31,100 1,213
Essex Property Trust, Inc. REIT 14,934 480
- - Esterline Technologies Corp. 11,845 422
Ethan Allen Interiors Inc. 13,680 780
Ethyl Corp. 57,530 532
Everest Reinsurance Holdings, Inc. 24,900 987
- - Evergreen Resources, Inc. 27,800 287
- - Evergreen Media Corp. 19,278 859
- - Exabyte Corp. 12,100 155
Excel Industries, Inc. 16,600 324
Excel Realty Trust, Inc. REIT 18,100 477
- - EXCEL Communications, Inc. 55,700 1,601
Executive Risk, Inc. 11,933 621
Exide Corp. 21,200 465
- - Exide Electronics Group, Inc. 19,838 233
Expeditors International of
Washington, Inc. 20,200 574
- - Express Scripts 12,400 515
- - Extended Stay America, Inc. 61,778 973
Exxon Corp. 1,251,280 76,954
- - EZCORP, Inc. 33,200 330
F & M Bancorp 4,100 111
FAC Realty Inc. REIT 47,900 296
FFY Financial Corp. 10,700 280
- - FLIR Systems, Inc. 14,900 237
- - FMC Corp. 18,637 1,480
- - FM Properties Inc. 35,900 145
F.N.B. Corp. 10,959 352
FPL Group, Inc. 92,011 4,238
- - FSI International, Inc. 28,800 459
- - FTP Software, Inc. 29,600 145
Fair Issac & Co. 13,500 602
- - Fairfield Communities, Inc. 14,800 498
- - Falcon Drilling Co., Inc. 19,600 1,129
Family Dollar Stores, Inc. 28,300 771
Fannie Mae 550,238 24,004
Farmer Brothers, Inc. 2,700 344
- - Fastcomm Communications Corp. 28,400 208
Fastenal Co. 18,900 924
- - Faulding Inc. 33,700 417
- - FaxSav Inc. 30,200 56
Fedders Corp. 31,745 181
Fedders Corp. Class A 15,226 86
- - Federal Express Corp. 57,600 3,326
Federal Home Loan
Mortgage Corp. 360,304 12,385
Federal-Mogul Corp. 18,300 641
Federal Realty Investment
Trust REIT 19,000 513
Federal Signal Corp. 22,462 564
- - Federated Department Stores 104,644 3,636
Felcor Suite Hotels, Inc. REIT 17,200 641
</TABLE>
28
<PAGE> 61
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Ferrellgas Partners, LP 18,400 $ 406
Ferro Corp. 12,800 474
- - Fibreboard Corp. 10,526 576
Fifth Third Bancorp 52,985 4,346
- - Figgie International Inc. Class A 21,100 287
- - Figgie International Inc. Class B 900 12
- - Filene's Basement Corp. 66,605 439
- - FileNet Corp. 25,700 374
- - Film Roman, Inc. 8,300 14
FINA Inc. 14,600 931
Financial Security Assurance
Holdings Ltd. 15,100 588
Fingerhut Co. 24,254 423
FINOVA Group, Inc. 13,602 1,041
- - First Alert, Inc. 25,600 75
First American Financial Corp. 11,200 437
First American Corp. (Tenn.) 29,200 1,123
First American Bank Corp. 45,400 2,077
First Bank System, Inc. 67,574 5,769
First Brands Corp. 21,000 482
First Chicago NBD Corp. 160,450 9,707
First Citizens BancShares Class A 5,900 525
First Federal Savings Bank
of Colorado 21,300 410
First Commerce Bancshares Inc.
Class A 2,900 66
First Commerce Corp. 19,417 853
First Commercial Corp. 16,845 689
First Commonwealth
Financial Corp. 22,300 474
First Data Corp. 225,258 9,897
First Empire State Corp. 3,400 1,146
First Financial Bancorp 11,760 478
First Financial Caribbean Corp. 11,800 378
First Financial Savings Assn. 18,425 542
First Financial Holdings, Inc. 11,900 385
First Hawaiian, Inc. 15,900 542
First Industrial Realty Trust REIT 14,900 436
First Michigan Bank Corp. 19,657 592
First Midwest Bancorp 14,625 463
First Palm Beach Bancorp 10,600 362
First Security Corp. 56,155 1,535
First Source Corp. 11,546 315
First Tennessee National Corp. 33,400 1,606
First Union Corp. 142,682 13,198
First Union Real Estate 32,200 455
- - First USA Paymentech, Inc. 18,033 522
First Virginia Banks, Inc. 16,507 996
First Western Bancorp 10,522 389
Firstbank of Illinois Co. 7,100 280
Firstar Corp. 75,126 2,291
FirstBank Puerto Rico 15,625 404
- - FIRSTPLUS Financial Group 15,600 530
- - FIserv, Inc. 26,062 1,166
- - First Federal Financial Corp. 16,734 520
First Bancorp of Ohio 16,000 766
Fisher Scientific International Inc. 10,100 480
Fleet Financial Group, Inc. 132,124 8,357
Fleetwood Enterprises, Inc. 17,258 515
Fleming Cos., Inc. 18,339 330
Florida East Coast Railway Co. 4,400 488
Florida Progress Corp. 48,250 1,511
Florida Rock Industries, Inc. 11,200 455
Flowers Industries, Inc. 45,225 760
Fluor Corp. 42,567 2,349
- - Fluor Daniel/GTI, Inc. 13,561 96
Flushing Financial Corp. 16,000 356
- - Foamex International, Inc. 22,100 289
Food Lion Inc. Class A 225,400 1,617
Food Lion Inc. Class B 7,694 56
- - Foodmaker, Inc. 39,700 650
- - Footstar Inc. 28,870 754
- - Forcenergy Inc. 16,800 510
Ford Motor Co. 597,272 22,547
- - FORE Systems, Inc. 49,000 666
- - Foreland Corp. 900 3
Foremost Corp. of America 5,300 317
Forest City Enterprise Class A 7,650 365
- - Forest Laboratories, Inc. 21,192 878
- - Forest Oil Corp. 32,800 482
- - Fort Howard Corp. 37,685 1,907
Fort Wayne National Corp. 10,600 496
- - Forte Software, Inc. 15,800 213
Fortress Group, Inc. 47,700 301
Fortune Brands, Inc. 86,193 3,216
Foster Wheeler Corp. 20,354 824
- - Foundation Health Systems
Class A 62,378 1,891
- - Fourth Shift Corp. 30,000 143
Franchise Finance Corp. of
America REIT 19,800 516
Franklin Electric, Inc. 5,300 261
- - Franklin Electronic Publishers, Inc. 17,200 168
Franklin Resources Corp. 63,730 4,624
Freeport-McMoRan Copper &
Gold Inc. Class A 11,512 337
Freeport-McMoRan Copper &
Gold Inc. Class B 85,951 2,675
Freeport-McMoRan, Inc. 11,433 330
Fremont General Corp. 14,397 579
- - Fresenius National Medical
Care Pfd. 40,354 2
- - Fresh Choice, Inc. 44,800 168
- - Fresh America Corp. 13,400 245
- - Fritz Cos., Inc. 15,500 151
Frontier Corp. 83,556 1,666
Frontier Insurance Group, Inc. 7,000 453
- - Fruit of the Loom, Inc. 38,366 1,189
H.B. Fuller Co. 5,000 275
Fulton Financial Corp. 20,047 546
Fund American Enterprise
Holding Co. 4,585 481
- - Furniture Brands International Inc. 31,700 614
- - Fusion Systems 9,500 376
G & L Realty Corp. 20,296 332
GATX Corp. 10,400 601
- - GC Cos. 9,991 457
- - GRC International, Inc. 19,400 107
GPU Inc. 61,024 2,189
GTE Corp. 484,670 21,265
- - GT Interactive Software Corp. 58,000 691
- - Gadzooks, Inc. 11,500 226
Gainsco, Inc. 9,046 85
</TABLE>
29
<PAGE> 62
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Arthur J. Gallagher & Co. 14,600 $ 551
- - Gallaher Group PLC ADR 82,793 1,527
Gannett Co., Inc. 71,250 7,036
The Gap, Inc. 140,432 5,459
- - Gardner Denver Machinery, Inc. 23,036 674
- - Gargoyles, Inc. 12,300 102
- - Gartner Group, Inc. Class A 46,000 1,652
- - Gateway 2000 Inc. 77,900 2,527
- - Gaylord Container Corp. 64,800 498
Gaylord Entertainment Co. Class A 47,860 1,104
- - GelTex Pharmaceuticals, Inc. 14,600 292
- - Gemstar International Group Ltd. 15,579 289
GenCorp, Inc. 19,800 458
- - Genentech, Inc. 61,183 3,606
General Binding Corp. 16,572 476
- - General Cigar Holdings, Inc. 2,000 59
- - General DataComm Industries, Inc. 38,300 273
General Dynamics Corp. 31,501 2,363
General Electric Co. 1,658,994 108,457
General Growth Properties
Inc. REIT 14,800 496
- - General Instrument Corp. 69,158 1,729
General Mills, Inc. 81,083 5,281
General Motors Corp. 380,941 21,214
General Motors Corp. Class H 50,853 2,937
- - General Nutrition Cos., Inc. 42,400 1,185
General Re Corp. 41,543 7,561
General Signal Corp. 24,758 1,080
- - Gentex Corp. 15,124 296
- - Genesis Health Ventures Inc. 17,700 597
- - Geneva Steel Class A 33,000 89
- - Genrad, Inc. 27,188 615
- - Gensia Sicor Inc. 92,014 405
Genuine Parts Co. 91,222 3,090
- - Genzyme Corp. 38,678 1,071
Georgia Gulf Corp. 16,868 490
Georgia-Pacific Corp. 46,098 3,936
- - Geotek Industries, Inc. 64,300 346
- - Geoworks 15,900 94
- - Getchell Gold Corp. 12,816 452
- - Giant Cement Holding, Inc. 17,800 330
Giant Food, Inc. Class A 30,069 981
Giant Industries, Inc. 24,700 391
- - Gibson Greetings, Inc. 23,000 519
Giddings & Lewis, Inc. 31,908 664
- - Gilead Sciences, Inc. 14,600 404
Gillette Co. 279,534 26,486
P.H. Glatfelter Co. 18,400 368
- - Glenayre Technologies, Inc. 29,425 483
- - Glendale Federal 24,743 646
- - Global DirectMail Corp. 19,100 498
- - Global Industrial Technologies, Inc. 23,491 482
- - Global Industries, Ltd. 21,700 506
- - Global Marine, Inc. 84,400 1,962
- - Global Village Communication 15,900 48
- - Go Video, Inc. 37,500 56
- - Gold Reserve Corp. 25,200 198
Golden West Financial Corp. 28,907 2,023
- - The Good Guys, Inc. 17,700 102
The BFGoodrich Co. 27,290 1,182
The Goodyear Tire & Rubber Co. 78,203 4,951
- - Goody's Family Clothing 19,550 538
Gorman-Rupp Co. 15,325 276
W.R. Grace & Co. 40,254 2,219
Graco, Inc. 16,898 509
- - Gradall Industries, Inc. 21,400 333
Graham-Field Health Products Inc. 28,384 387
W.W. Grainger, Inc. 26,511 2,073
- - GranCare Inc. 42,100 455
- - Grand Casinos, Inc. 44,900 662
Granite Construction Co. 21,800 431
Graphic Industries, Inc. 24,300 322
Great Atlantic & Pacific Tea
Co., Inc. 19,201 522
Great Lakes Chemical Corp. 30,379 1,591
Great Western Financial Corp. 69,857 3,755
- - Great Bay Casino Corp. 7,083 10
Green Mountain Power Corp. 12,300 291
Green Point Financial Corp. 23,400 1,558
Green Street Financial Corp. 15,300 273
Green Tree Financial Corp. 69,791 2,486
Greenfield Industries, Inc. 14,000 382
Grief Brothers Corp. Class A 4,200 115
- - Greyhound Lines, Inc. 85,100 383
- - GTech Holdings Corp. 21,000 677
Guaranty National Corp. 4,975 119
Guidant Corp. 37,478 3,186
Guilford Mills, Inc. 18,150 378
- - Gulf South Medical Supply, Inc. 21,000 408
- - Gulfstream Aerospace Corp. 36,800 1,086
- - Gymboree Corp. 10,740 257
- - HCIA, Inc. 10,800 362
- - HF Bancorp, Inc. 21,300 309
HBO & Co. 51,754 3,565
HCC Insurance Holdings, Inc. 34,900 931
HF Financial Corp. 400 9
- - HFS Inc. 79,245 4,596
- - HMN Financial, Inc. 14,300 330
- - HMT Technology Corp. 18,500 239
- - HNC Software, Inc. 16,700 635
HRE Properties 12,600 224
- - HS Resources Inc. 25,601 362
HSB Group Inc. 10,357 553
- - HSN Inc. 30,397 952
HUBCO, Inc. 16,330 471
- - Hadco Corp. 12,949 845
- - Haemonetics Corp. 28,500 545
Halliburton Co. 62,923 4,987
- - Halter Marine Group, Inc. 10,068 242
Hancock Fabrics, Inc. 29,700 408
- - Handleman Co. 47,461 303
M.A. Hanna Co. 25,950 748
Hannaford Brothers Co. 20,800 740
- - Harbinger Corp. 19,250 541
Harcourt General, Inc. 35,411 1,686
- - Harken Energy Corp. 103,900 727
John H. Harland Co. 14,687 335
Harley-Davidson, Inc. 38,346 1,838
Harleysville National Corp. 9,009 280
Harman International
Industries, Inc. 8,781 370
Harmon Industries, Inc. 15,300 323
</TABLE>
30
<PAGE> 63
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Harnischfeger Industries Inc. 24,435 $ 1,014
- - Harrah's Entertainment, Inc. 51,516 927
Harris Corp. 19,523 1,640
- - Harry's Farmers Market, Inc. 3,000 11
Harsco Corp. 24,868 1,007
Harte-Hanks Communications Co. 18,600 549
Hartford Financial Services
Group Inc. 59,254 4,903
- - Hartmarx Corp. 13,100 108
Harveys Casino Resorts 17,900 314
Hasbro, Inc. 64,479 1,830
- - Hauser, Inc. 39,100 215
Haven Bancorp, Inc. 9,300 346
Haverfield Corp. 6,270 164
Hawaiian Electric Industries Inc. 15,865 613
- - Hayes Wheels International, Inc. 21,340 682
Health Care Properties Investors 14,800 522
- - HEALTHSOUTH Corp. 158,924 3,963
- - HealthCare COMPARE Corp. 16,033 841
- - Health Management Associates
Class A 53,459 1,524
- - Healthcare & Retirement Corp. 22,200 741
Healthcare Realty Trust Inc. 19,500 544
- - Heartport Inc. 16,500 291
Health and Retirement
Properties Trust 45,100 848
Health Care REIT, Inc. 22,100 537
- - Health Management Systems, Inc. 22,397 103
- - Healthdyne Information
Enterprises, Inc. 61,200 161
- - Healthdyne Technologies, Inc. 27,946 479
- - Heartland Express, Inc. 19,492 457
- - Hechinger Co. Class A 65,300 141
- - Hechinger Co. Class B 5,118 16
- - Hecla Mining Co. 67,500 363
- - Heftel Broadcasting Corp. 7,900 434
HEICO Corp. 9,772 218
Heilig-Meyers Co. 35,157 690
H.J. Heinz Co. 185,705 8,566
Helmerich & Payne, Inc. 12,393 714
Herbalife International, Inc. 24,900 403
Hercules, Inc. 51,081 2,446
- - Heritage Media Corp. Class A 36,600 691
Hershey Foods Corp. 77,164 4,268
Hewlett-Packard Co. 523,100 29,294
- - Hexcel Corp. 15,100 260
Hibernia Corp. Class A 62,422 870
- - Highlands Insurance Group 13,954 281
Highwood Properties, Inc. REIT 17,800 570
Hilb, Rogal and Hamilton Co. 19,000 323
Hillenbrand Industries, Inc. 34,800 1,653
- - Hills Stores Co. 9,900 34
Hilton Hotels Corp. 124,198 3,299
Hollinger International, Inc. 43,700 489
Holly Corp. 13,600 337
- - Hollywood Casino Corp. 55,400 168
- - Hollywood Entertainment Corp. 23,029 530
- - Hollywood Park, Inc. 25,400 370
- - Hologic, Inc. 16,400 438
- - Home Health Corp. of America 12,000 116
Home Depot, Inc. 242,129 16,692
Homestake Mining Co. 73,093 955
- - Homestead Village, Inc. REIT 24,082 427
- - Homestead Village, Inc. REIT
Warrants Exp. 10/29/97 2,805 24
HON Industries, Inc. 15,500 686
Honeywell, Inc. 63,579 4,824
Horace Mann Educators Corp. 12,100 593
- - Horizon/CMS Healthcare Corp. 32,900 660
Horizon Financial Corp. 21,298 349
Hormel Foods Corp. 38,500 1,035
Hospitality Properties Trust REIT 14,500 444
- - Host Marriott Corp. 103,124 1,837
- - Host Marriott Services 39,384 463
- - Hot Topic, Inc. 13,400 295
Houghton Mifflin Co. 7,100 474
Household International, Inc. 48,912 5,744
Houston Industries, Inc. 118,600 2,542
- - Hovnanian Enterprises Class A 36,650 234
- - Hovnanian Enterprises Class B 9,650 62
Hubbell Inc. Class A 7,600 317
Hubbell Inc. Class B 25,200 1,109
Hudson Foods Inc. Class A 33,300 543
Hughes Supply, Inc. 7,826 313
- - Humana, Inc. 82,680 1,912
- - Human Genome Sciences, Inc. 10,400 346
- - Hungarian Teleconstruct Corp. 12,000 11
Hunt Manufacturing Co. 16,900 317
J.B. Hunt Transport Services, Inc. 15,147 228
Huntington Bancshares Inc. 71,462 2,104
- - Hutchinson Technology, Inc. 18,300 444
ICN Pharmaceuticals, Inc. 15,194 436
- - Hyperion Software Corp. 19,448 435
- - IA Corp. 20,100 58
IBP, Inc. 49,300 1,146
- - IDX Systems Corp. 8,400 291
- - IEC Electronics Corp. 33,718 464
IES Industries, Inc. 15,000 443
- - IGI, Inc. 17,090 75
- - IHOP Corp. 6,400 198
IMC Global Inc. 47,907 1,677
- - IPC Information Systems, Inc. 11,900 224
IRT Property Co. REIT 37,700 443
- - I-STAT Corp. 13,600 235
- - ITT Educational Services, Inc. 25,400 630
ITT Industries, Inc. 60,173 1,549
- - ITT Corp. 58,495 3,572
- - IXC Communications, Inc. 15,100 394
Idaho Power Co. 18,700 587
- - Identix, Inc. 20,400 230
- - IDEX Corp. 14,025 463
- - IDEXX Laboratories 17,300 215
IKON Office Solutions 67,183 1,675
Illinois Central Corp. 30,850 1,078
Illinois Tool Works, Inc. 125,206 6,252
Illinova Corp. 37,800 832
- - Imation Corp. 21,167 558
- - ImClone Systems, Inc. 12,000 74
- - Immucor Inc. 26,946 269
- - Immunex Corp. 19,500 704
- - ImmuLogic Pharmaceutical Corp. 67,600 211
- - Immune Response 51,317 398
</TABLE>
31
<PAGE> 64
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Imo Industries, Inc. 16,700 $ 98
- - Imperial Bancorp 20,794 600
- - Impath, Inc. 15,600 429
- - Imperial Credit 26,526 546
- - Immunomedics Inc. 59,500 268
- - Inacom Corp. 9,200 287
- - INCYTE Pharmaceuticals, Inc. 9,200 606
Indiana Energy, Inc. 9,600 235
- - Industri-Matematik
International Corp. 34,900 571
- - Informix Corp. 74,300 670
Ingersoll-Rand Co. 55,309 3,415
- - Information Resources, Inc. 22,835 325
Inland Steel Industries, Inc. 24,324 635
- - Innovative Gaming Corp. 10,050 58
- - Input/Output, Inc. 19,300 350
- - Insilco Corp. 8,000 297
- - Insituform Technologies Class A 50,500 312
- - INSO Corp. 14,300 297
- - Insurance Auto Auctions, Inc. 21,900 204
- - Insignia Financial Group 27,700 502
Integon Corp. 20,120 503
- - Integrated Device Technology Inc. 39,500 416
Integrated Health Services, Inc. 11,500 443
- - Integrated Process
Equipment Corp. 20,424 517
- - Integrated Silicon Solution, Inc. 29,000 221
- - Integrated Systems Consulting
Group Inc. 24,984 276
- - Integrated Systems, Inc. 8,400 98
Intel Corp. 411,963 58,331
- - Intelidata Technologies Corp. 59,700 287
- - Intelligent Electronics Inc. 41,298 117
- - Intelligent Medical Imaging, Inc. 34,500 229
- - Inter-Tel, Inc. 14,100 301
Intercargo Corp. 20,300 240
Intercel, Inc. 25,200 350
Interface, Inc. 21,200 473
- - Interdigital Communications Corp. 52,500 289
- - Intergraph Corp. 41,440 350
- - Interim Services, Inc. 9,745 434
- - Interleaf, Inc. 35,600 52
International Business
Machines Corp. 521,532 47,036
- - International Dairy Queen, Inc.
Class A 17,788 425
- - International Dairy Queen, Inc.
Class B 2,300 56
International Flavors &
Fragrances, Inc. 55,774 2,817
- - International Family
Entertainment, Inc. Class B 22,075 759
International Game Technology 61,302 1,088
- - International Lottery & Totalizator
Systems Inc. 54,900 111
International Multifoods Corp. 19,881 500
- - International Murex
Technologies Corp. 27,500 235
- - International Network Services 15,400 400
International Paper Co. 151,446 7,355
- - International Rectifier Corp. 26,700 497
International Shipholding Corp. 8,300 142
- - International Specialty
Products, Inc. 49,500 696
- - International Technology 28,025 214
- - Interneuron Pharmaceutical, Inc. 19,000 384
Interpublic Group of Cos., Inc. 40,979 2,513
- - Intersolv 29,700 280
Interstate Bakeries 18,700 1,109
- - Interstate Hotels Co. 17,300 509
- - InterVoice, Inc. 31,013 284
Intimate Brands, Inc. 127,700 2,682
- - Intuit, Inc. 23,000 527
Invacare Corp. 12,557 292
- - Invision Technologies, Inc. 22,400 274
Investors Financial Services Corp.
Class A 10,800 505
- - Iomega Corp. 63,500 1,262
- - Ionics, Inc. 7,500 341
IPALCO Enterprises, Inc. 22,450 702
Irvine Apartment Communities,
Inc. REIT 16,100 473
Irwin Financial Corp. 15,200 443
ISCO, Inc. 22,485 190
- - ISIS Pharmaceuticals, Inc. 28,226 414
- - Itron, Inc. 16,900 434
- - i2 Technologies, Inc 12,000 370
- - IVAX Corp. 59,100 661
JDN Realty Corp. REIT 9,200 288
JLG Industries, Inc. 21,000 286
- - JMC Group Inc. 5,200 4
- - JP Foodservice, Inc. 13,700 393
JP Realty Inc. REIT 18,400 499
JSB Financial 10,401 458
- - JTS Corp. 79,144 54
- - Jabil Circuit, Inc. 8,900 744
Jackpot Enterprises, Inc. 17,300 197
- - Jacobs Engineering Group Inc. 17,100 460
- - Jacor Communications, Inc. 21,100 809
James River Corp. 43,568 1,612
- - Jan Bell Marketing Inc. 17,400 42
- - Jayhawk Acceptance Corp. 30,100 46
Jefferson Bankshares, Inc. 12,800 461
Jefferson Savings Bancorp, Inc. 9,300 278
Jefferson-Pilot Corp. 35,277 2,465
- - Jefferson Smurfit Corp. 54,400 877
John Alden Financial Group 25,500 534
John Nuveen Co. Class A 16,000 500
Johns Manville Corp. 80,700 953
Johnson & Johnson 670,982 43,194
Johnson Controls, Inc. 41,494 1,704
- - Johnstown America Industries 11,900 71
- - Jones Apparel Group, Inc. 26,700 1,275
Jones Medical Industries, Inc. 14,000 665
Jostens Inc. 18,640 499
- - JumboSports Inc. 30,650 117
Juno Lighting, Inc. 13,900 224
- - Just for Feet, Inc. 13,276 231
Justin Industries, Inc. 33,260 428
- - KLA-Tencor Corp. 46,700 2,278
- - Kmart Corp. 243,577 2,984
KN Energy, Inc. 15,079 635
</TABLE>
32
<PAGE> 65
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - K-III Communications Corp. 64,200 $ 770
K2 Inc. 15,862 503
K U Energy Corp. 18,800 642
- - K-V Pharmaceutical Co. Class A 8,700 144
- - Kaiser Aluminum & Chemical Corp. 34,100 418
Kaneb Pipeline Partners, LP 12,380 350
- - Kaneb Services, Inc. 113,316 418
Kansas City Life Insurance Co. 3,500 279
Kansas City Power & Light Co. 31,000 885
Kansas City Southern
Industries, Inc. 18,264 1,178
Katy Industries, Inc. 17,600 262
- - Katz Media Group 23,300 153
Kaufman & Broad Home Corp. 36,742 645
Kaydon Corp. 9,400 466
- - Keane, Inc. 16,700 868
Kellogg Co. 106,193 9,093
Kelly Services, Inc. Class A 17,937 563
- - KEMET Corp. 20,100 501
Kennametal, Inc. 13,600 585
- - Kensey Nash Corp. 24,700 275
- - Kent Electronics Corp. 19,800 726
Kerr-McGee Corp. 24,253 1,537
KeyCorp 113,740 6,355
- - Keystone Consolidated
Industries, Inc. 12,690 138
Keystone Financial, Inc. 26,643 833
Keystone International, Inc. 17,800 617
Kimball International, Inc. Class B 10,100 406
Kimberly-Clark Corp. 284,868 14,172
Kimco Realty Corp. REIT 18,050 573
Kinetic Concepts, Inc. 17,668 319
King World Productions, Inc. 18,686 654
- - Knoll, Inc. 5,000 119
Knight-Ridder, Inc. 46,926 2,302
Koger Equity, Inc. REIT 24,600 449
- - Kohls Corp. 36,900 1,953
- - Komag, Inc. 25,400 417
- - The Kroger Co. 127,194 3,689
Kuhlman Corp. 25,376 818
- - LCI International, Inc. 39,626 867
LG&E Energy Corp. 32,600 719
- - LHS Group, Inc. 12,200 535
LTV Corp. 51,800 738
- - LS Capital Corp. 1,996 1
LSI Industries Inc. 21,518 286
- - LSI Logic Corp. 70,945 2,270
LTC Properties, Inc. 24,600 446
- - LTX Corp. 32,788 211
La Quinta Inns Inc. 38,838 850
La-Z-Boy Inc. 1,200 43
- - Laboratory Corp. of America 117,048 307
- - Ladd Furniture Inc. 19,600 272
Lafarge Corp. 32,500 796
- - Laidlaw Environmental
Services, Inc. 112,674 338
- - LAM Research Corp. 14,850 551
Lancaster Colony Corp. 14,488 700
Lance, Inc. 18,521 354
- - Lancer Corp. 26,190 648
Landauer, Inc. 13,900 322
- - Lands' End, Inc. 15,600 462
- - Landry's Seafood Restaurants, Inc. 19,700 453
- - Landstar System 2,800 79
- - Larscom, Inc. Class A 29,600 316
- - Lason Holdings, Inc. 15,800 445
- - Lattice Semiconductor Corp. 11,250 635
Estee Lauder Cos. Class A 30,571 1,536
Lawter International Inc. 16,534 209
- - Layne Christensen Co. 16,200 355
- - Lazare Kaplan International, Inc. 16,700 280
- - Lear Corp. 33,500 1,487
- - Learning Co., Inc. 39,537 371
- - Learning Tree International, Inc. 7,500 335
- - Lechters Corp. 52,100 225
- - LecTec Corp. 3,500 23
Lee Enterprises, Inc. 23,200 612
- - Legal Research Center, Inc. 6,100 6
- - Legato Systems, Inc. 21,500 400
Leggett & Platt, Inc. 46,400 1,995
Legg Mason Inc. 9,200 495
Lehman Brothers Holdings, Inc. 50,599 2,049
Lennar Corp. 17,900 572
Leucadia National Corp. 30,400 941
- - Level 8 Systems Inc. 21,100 347
Leviathan Gas Pipeline Co. 18,300 444
- - Lexmark International Group, Inc.
Class A 34,700 1,054
Libbey, Inc. 13,900 487
Liberty Corp. 10,700 436
Liberty Financial Cos., Inc. 14,300 713
Liberty Property Trust REIT 20,800 517
- - Life USA Holding, Inc. 30,200 429
Life Re Corp. 10,000 466
- - Lifecore Biomedical Inc. 25,000 342
Lillian Vernon Corp. 1,400 24
Eli Lilly & Co. 278,035 30,393
Lilly Industries Inc. Class A 23,268 468
The Limited, Inc. 136,491 2,764
- - Lin Television 14,816 653
- - Lincare Holdings Inc. 13,700 590
Lincoln Electric Co. Class A 12,024 457
Lincoln National Corp. 52,625 3,388
- - Lindsay Manufacturing Co. 7,925 260
Linear Technology Corp. 37,496 1,937
- - Liposome Co., Inc. 24,361 217
Litchfield Financial Corp. 16,230 271
- - Littelfuse, Inc. 12,400 347
- - Litton Industries, Inc. 23,369 1,129
- - Living Centers of America, Inc. 15,200 600
Liz Claiborne, Inc. 35,487 1,655
Lockheed Martin Corp. 97,057 10,051
Loews Corp. 57,771 5,784
- - Logan's Roadhouse, Inc. 11,232 271
Logicon, Inc. 12,100 641
- - Lone Star Steakhouse & Saloon 20,600 537
Long Island Bancorp, Inc. 12,100 439
Long Island Lighting Co. 60,035 1,381
Longs Drug Stores, Inc. 20,290 531
Longview Fibre Co. 26,730 444
- - Loral Space & Communications 97,184 1,458
</TABLE>
33
<PAGE> 66
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Loronix Information Systems 27,100 $ 91
- - Louis Dreyfus Natural Gas Corp. 25,900 421
Louisiana Land & Exploration Co. 17,148 980
Louisiana-Pacific Corp. 54,264 1,146
Lowe's Cos., Inc. 87,337 3,242
Lubrizol Corp. 29,467 1,236
Luby's Cafeterias, Inc. 6,559 131
Lucent Technologies, Inc. 321,542 23,171
- - Lumisys, Inc. 20,300 128
- - L. Luria & Son, Inc. 5,100 8
- - Lycos, Inc. 602 8
- - Lydall, Inc. 23,100 488
- - Lynx Therapeutics Inc. 226 3
Lyondell Petrochemical Co. 40,846 891
- - M&F Worldwide Corp. 29,279 256
MAF Bancorp, Inc. 10,926 460
MBIA, Inc. 21,900 2,471
MBNA Corp. 167,901 6,149
MCI Communications Corp. 343,599 13,153
MCN Corp. 33,200 1,017
- - MEMC Electronic Materials, Inc. 20,300 665
MGIC Investment Corp. 59,530 2,854
M/A/R/C, Inc. 12,200 235
- - MGM Grand Inc. 28,661 1,060
ML Bancorp Inc. 27,100 520
MMI Cos., Inc. 8,100 212
- - MRV Communications Inc. 20,686 613
- - MTR Gaming Group Inc. 36,700 48
MTS Systems Corp. 17,590 529
MacDermid, Inc. 387 18
- - MacFrugal's Bargains-
Close-outs, Inc. 15,100 411
The Macerich Co. REIT 16,700 463
- - Macromedia 14,123 122
Madison Gas & Electric Co. 12,400 255
- - Mafco Consolidated Group Inc. 10,544 353
Mafco Consolidated Group Inc.
Rights Exp. 1/1/99 29,279 13
- - Magellan Health Services, Inc. 21,000 620
Magna Group 17,913 622
- - Mail-Well, Inc. 29,850 851
Maine Public Service Co. 12,000 147
Mainstreet Bankgroup, Inc. 17,400 468
Mallinckrodt, Inc. 37,492 1,425
Manor Care Inc. 31,691 1,034
Manpower Inc. 41,600 1,851
Manufactured Home
Communities, Inc. REIT 23,900 551
Mapco Inc. 27,900 879
- - Marcam Corp. 17,500 257
- - Marine Drilling Co., Inc. 25,100 491
Marion Capital Holdings 4,600 106
Mark IV Industries, Inc. 32,789 787
- - Markel Corp. 4,400 563
- - Marquette Medical Systems Inc. 18,204 400
Marsh & McLennan Cos., Inc. 82,004 5,853
Marshall & Ilsley Corp. 45,251 1,840
Marriott International 64,587 3,964
- - Marshall Industries 13,628 508
- - Martek Biosciences Corp. 11,700 135
Martin Marietta Materials, Inc. 23,326 755
- - Marvel Entertainment Group 53,774 128
Masco Corp. 80,953 3,380
MascoTech Inc. 25,815 539
- - Mastec Inc. 12,967 614
- - Material Sciences Corp. 18,850 291
- - Matria Healthcare, Inc. 66,900 263
Mattel, Inc. 149,684 5,071
- - Maxim Integrated Products, Inc. 32,000 1,818
May Department Stores Co. 122,998 5,812
- - Maxicare Health Plans Inc. 14,600 328
- - Maxxam Inc. 8,800 411
- - Maverick Tube Corp. 17,100 646
Maytag Corp. 49,688 1,298
- - McAfee Associates, Inc. 24,154 1,523
McClatchy Newspapers, Inc. 19,175 563
McCormick & Co., Inc. 40,517 1,026
McDermott International, Inc. 28,107 820
- - J Ray McDermott SA 20,500 554
McDonald's Corp. 351,619 16,988
McDonnell Douglas Corp. 106,533 7,298
The McGraw-Hill Cos. 50,170 2,951
McKesson Corp. 22,297 1,728
- - McLeod, Inc. 18,100 609
- - McMoRan Oil and Gas 87,400 300
- - McWorter Technologies Inc. 16,600 396
The Mead Corp. 26,620 1,657
- - Medaphis Corp. 31,416 317
- - Medar, Inc. 36,158 179
- - MedCath Inc. 21,200 318
- - Medco Research, Inc. 24,500 236
- - Medcross, Inc. 16,600 147
Medford Savings Bank 9,899 288
Media General, Inc. Class A 13,400 536
- - Medic Computer Systems, Inc. 17,400 388
- - Medical Alliance, Inc. 5,000 25
- - Medicis Pharmaceutical Corp. 13,575 676
- - MedImmune Inc. 11,500 216
Meditrust 30,483 1,216
- - MedPartners Inc. 85,248 1,843
- - Medplus, Inc. 18,900 137
Medtronic, Inc. 120,750 9,781
- - Mego Mortgage Corp. 31,500 315
Mellon Bank Corp. 129,906 5,862
- - Men's Wearhouse, Inc. 13,950 442
Mentor Corp. 16,481 489
- - Mentor Graphics Corp. 59,400 550
Mercantile Bancorp, Inc. 38,927 2,365
Mercantile Bankshares Corp. 23,400 934
Mercantile Stores Co., Inc. 18,564 1,168
Merck & Co., Inc. 607,317 62,857
Mercury Finance Co. 75,977 185
Mercury General Corp. 13,900 1,011
- - Mercury Interactive Corp. 16,500 246
Meredith Corp. 26,600 771
Meridian Diagnostics, Inc. 24,729 204
- - Merisel, Inc. 69,100 138
- - Meridian Gold Co. 84,800 371
- - Merix Corp. 10,800 183
Merrill Corp. 13,600 490
</TABLE>
34
<PAGE> 67
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Merrill Lynch & Co., Inc. 165,996 $ 9,898
Merry Land & Investment Co.,
Inc. REIT 18,200 395
- - Mesa Air Group Inc. 46,900 254
Met-Pro Corp. 15,345 232
- - MetaCreations Corp. 39,325 428
Methode Electronics, Inc. Class A 6,251 124
- - Metra Biosystems, Inc. 36,300 175
- - Metrocall, Inc. 28,700 130
- - Metromail Corp. 23,100 572
- - Metromedia International
Group, Inc. 28,700 362
- - Metzler Group, Inc. 13,600 440
- - Fred Meyer, Inc. 14,400 744
Michael Foods Group, Inc. 23,100 432
- - Micrion Corp. 28,000 476
- - MICROS Systems, Inc. 10,000 418
- - Microsoft Corp. 603,944 76,380
Mid Am Inc. 8,368 154
- - Microchip Technology, Inc. 26,250 780
- - Micro Warehouse Inc. 22,500 386
- - Microfield Graphics, Inc. 13,700 19
- - Micrografx, Inc. 14,100 103
- - Micron Electronics, Inc. 47,300 845
- - Micron Technology, Inc. 105,327 4,207
- - Microtouch Systems, Inc. 12,499 289
- - Microwave Power Devices, Inc. 3,300 16
- - Microwave Systems Corp. 10,900 97
Mid-America Realty Investments 28,300 274
- - Mid Atlantic Medical Services, Inc. 29,800 464
Mid Atlantic Realty Trust 30,950 348
- - Mid-American Waste
Systems, Inc. 60,300 2
MidAmerican Energy Co. 51,700 895
Middlesex Water Co. 19,200 324
- - Midway Games Inc. 32,500 695
Millenium Chemicals, Inc. 38,582 878
- - Millenia, Inc. 2,675 8
Herman Miller, Inc. 23,458 842
- - Miller Industries, Inc. 16,900 270
Millipore Corp. 21,489 946
- - Milwaukee Land Co. 7,700 75
Mine Safety Appliances Co. 3,900 241
Minerals Technologies, Inc. 11,900 446
- - MiniMed, Inc. 16,200 429
Minnesota Mining &
Manufacturing Co. 210,679 21,489
Minnesota Power & Light Co. 16,600 504
- - Mirage Resorts, Inc. 91,400 2,308
Mississippi Chemical Corp. 12,941 269
Mitchell Energy & Development
Corp. Class A 24,800 502
Mitchell Energy & Development
Corp. Class B 500 11
Mobil Corp. 397,008 27,741
- - Mobile Telecommunications
Technologies Corp. 41,800 602
- - MobileMedia Corp. 25,900 8
Modine Manufacturing Co. 14,662 438
- - Mohawk Industries, Inc. 16,500 373
- - Molecular Biosystems, Inc. 38,500 347
Molex, Inc. 63,470 2,319
- - Molten Metal Technology 37,200 188
The Money Store 28,359 811
Monsanto Co. 295,982 12,746
Montana Power Co. 27,100 628
Monterey Resources, Inc. 26,500 394
J.P. Morgan & Co., Inc. 93,136 9,721
- - Morgan Products Ltd. 31,800 239
Morgan Stanley, Dean Witter,
Discover and Co. 288,701 12,432
Morrison Fresh Cooking Inc. 2,718 13
Morrison Health Care Inc. 21,225 338
Morton International, Inc. 71,908 2,171
- - Mortons Restaurant Group 22,344 444
- - Mosaix Inc. 23,695 326
Mosinee Paper Corp. 16,789 408
- - Mossimo, Inc. 25,900 191
Motorola, Inc. 298,792 22,708
Mueller (Paul) Co. 3,400 130
- - Mueller Industries Inc. 10,884 476
- - MTL, Inc. 16,448 384
- - Multicare Cos., Inc. 18,700 512
Multigraphics Inc. 17,600 33
Murphy Oil Corp. 23,000 1,121
- - Musicland Stores Corp. 96,100 258
- - Mycogen Corp. 17,700 345
Myers Industries, Inc. 19,800 334
Mylan Laboratories, Inc. 60,150 887
NAC Re Corp. 9,400 455
NCH Corp. 7,200 450
- - NCI Building Systems, Inc. 10,500 339
- - NCR Corp. 50,632 1,506
- - NFO Research Inc. 17,452 445
NGC Corp. 75,000 1,158
NIPSCO Industries, Inc. 32,530 1,344
N L Industries, Inc. 44,400 644
- - NPC International Class A 19,200 227
- - NRG Generating U.S. Inc. 2,838 41
- - NS Group Inc. 89,900 1,068
- - NTL Inc. 14,700 364
NUI Corp. 1,300 29
NYMAGIC, Inc. 16,600 342
Nabisco Holdings Corp. Class A 25,700 1,025
- - Nabors Industries, Inc. 47,600 1,190
NACCO Industries, Inc. Class A 10,165 574
Nalco Chemical Co. 33,421 1,291
Nash-Finch Co. 11,100 244
- - Nashua Corp. 21,114 230
- - National Auto Credit Inc. 40,332 358
National Bankcorp of Alaska Inc. 5,800 494
- - National City Bancorporation 13,737 296
National City Corp. 112,086 5,885
National Community Bancorp 25,304 563
National Data Corp. 13,011 564
National Fuel Gas Co. 19,200 805
National Health Investors REIT 12,300 483
- - National Instruments Corp. 3,000 104
- - National Medical Financial
Services Corp. 51,800 141
- - National-Oilwell, Inc. 9,000 518
National Presto Industries, Inc. 10,437 421
</TABLE>
35
<PAGE> 68
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - National Processing, Inc. 48,400 $ 496
- - National Semiconductor Corp. 69,668 2,134
National Service Industries, Inc. 23,093 1,124
- - National Steel Corp. Class B 41,200 693
NationsBank Corp. 375,282 24,206
Nationwide Financial
Services, Inc. 5,000 133
Nationwide Health Properties, Inc. 21,800 480
- - Navigators Group, Inc. 8,900 157
- - Nautica Enterprises Inc. 19,749 523
- - Navistar International Corp. 36,017 621
- - Neiman-Marcus Group Inc. 25,745 676
- - Nellcor Puritan Bennett, Inc. 32,340 588
Thomas Nelson, Inc. 32,250 447
- - Neoprobe Corp. 27,200 380
- - Neostar Retail Group 33,300 1
- - NETCOM On-Line Communication
Services, Inc. 22,400 332
- - NetManage, Inc. 52,400 155
- - Netscape Communications Corp. 26,800 858
- - Network Appliance, Inc. 12,200 463
- - Network General Corp. 22,012 327
- - Neurogen Corp. 19,020 430
Nevada Power Co. 23,648 503
New England Electric System 32,100 1,188
New Jersey Resources Corp. 4,600 144
- - New Mexico & Arizona Land Co. 21,968 313
New Plan Realty Trust REIT 29,150 643
New York Bancorp Inc. 15,435 536
New York State Electric &
Gas Corp. 34,400 718
New York Times Co. Class A 48,817 2,416
- - Newcare Health Corp. 252 1
Newell Co. 80,008 3,170
- - Newfield Exploration Co. 16,500 330
Newhall Land & Farming Co. 23,100 500
Newmont Gold Co. 55,632 2,222
Newmont Mining Corp. 78,938 3,079
- - Newpark Resources, Inc. 15,000 506
Newport News Shipbuilding Inc. 29,857 580
- - News Communications, Inc. 500 1
NewSouth Bancorp, Inc. 3,800 94
- - NEXTEL Communications 120,996 2,288
- - NeXstar Pharmaceuticals Inc. 18,441 260
- - Niagara Mohawk Power Corp. 70,602 605
NICOR, Inc. 25,552 917
NIKE, Inc. Class B 145,332 8,484
- - Nine West Group, Inc. 18,000 687
Noble Affiliates, Inc. 28,064 1,086
- - Noble Drilling Corp. 66,000 1,489
NorAm Energy Corp. 68,448 1,044
- - Nord Resources Corp. 111,900 350
Nordson Corp. 9,000 581
Nordstrom, Inc. 40,125 1,969
Norfolk Southern Corp. 62,819 6,329
Norrell Corp. 9,500 314
- - Norstan, Inc. 15,700 253
- - Nortek, Inc. 18,200 439
North American Mortgage Co. 18,700 443
- - North American Vaccine, Inc. 22,061 426
North Carolina Natural Gas Corp. 6,500 217
North Fork Bancorporation, Inc. 42,630 911
Northeast Utilities 62,600 599
Northern States Power Co. 35,194 1,821
Northern Trust Corp. 55,800 2,701
Northrop Grumman Corp. 29,271 2,570
- - Northwest Airlines Corp. Class A 49,200 1,799
Northwest Natural Gas Co. 4,200 110
Northwest Savings Bank 27,600 431
Norwest Corp. 186,308 10,480
- - Nova Corp. (Georgia) 28,000 726
- - Nu Horizons Electronics Corp. 34,900 288
- - NovaCare, Inc. 30,488 423
- - Nu-Kote Holding, Inc. Class A 23,300 60
- - Novavax, Inc. 25,590 106
- - Novell, Inc. 172,932 1,197
- - Novellus Systems, Inc. 8,100 699
- - Noxso Corp. 36,200 10
Nucor Corp. 44,281 2,502
- - Nuevo Energy Co. 9,700 398
Numerex Corp. 16,000 89
NYNEX Corp. 221,729 12,777
OEA, Inc. 10,100 399
OGE Energy Corp. 20,000 910
- - OHM Corp. 16,800 142
- - OIS Optical Imaging Systems, Inc. 77,400 186
- - Oak Technology, Inc. 42,000 411
- - Oakley, Inc. 30,500 429
Oakwood Homes Corp. 23,000 552
- - Object Design, Inc. 55,400 474
- - Objective Systems
Integrators, Inc. 17,900 155
Occidental Petroleum Corp. 166,136 4,164
- - OccuSystems, Inc. 2,000 58
- - Ocean Energy Inc. 15,500 717
Ocean Financial Corp. 12,300 435
- - Oceaneering International, Inc. 24,890 460
- - Octel Communications Corp. 25,200 590
Ocwen Financial Corp. 7,300 236
- - Office Depot, Inc. 77,825 1,513
- - OfficeMax Inc. 62,350 900
Ogden Corp. 24,745 538
Ohio Casualty Corp. 17,344 761
Ohio Edison Co. 75,895 1,655
Oil-Dri Corp. of America 18,275 294
- - Old Dominion Freight Line, Inc. 24,315 337
Old Kent Financial Corp. 24,117 1,301
Old National Bancorp 12,423 550
Old Republic International Corp. 44,300 1,343
- - Olicom A/S 7,094 116
- - Olicom A/S Warrants Exp. 6/12/00 2,859 8
Olin Corp. 24,900 973
Olsten Corp. 39,825 774
Omnicare, Inc. 37,800 1,186
Omnicom Group Inc. 40,700 2,508
Omega Financial Corp. 13,112 461
Omega Healthcare Investors, Inc. 12,500 409
- - Omnipoint Corp. 22,400 372
- - On Assignment, Inc. 8,900 348
Onbancorp Inc. 6,100 311
</TABLE>
36
<PAGE> 69
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - ONCOR Inc. 48,031 $ 192
One Valley Bancorp of
West Virginia Inc. 20,600 865
- - Oneita Industries 39,530 16
ONEOK, Inc. 15,506 499
- - Ontrak Systems, Inc. 18,300 547
- - Open Market, Inc. 26,500 348
- - Optical Cable Corp. 38,200 449
Optical Coating Laboratory, Inc. 16,881 226
- - Oracle Corp. 339,150 17,074
Orange-Co, Inc. 37,900 294
- - Oravax, Inc. 26,900 69
- - Orbital Sciences Corp. 18,000 287
Oregon Metallurgical Corp. 15,725 442
Oregon Steel Mills, Inc. 24,500 488
- - Organogenesis, Inc. 21,650 424
Orion Capital Corp. 7,200 531
- - Ortel Corp. 16,400 293
- - Orthodontic Centers of
America, Inc. 23,600 430
- - Oryx Energy Co. 52,329 1,105
Otter Tail Power Co. 5,502 180
- - Outback Steakhouse 23,800 575
Outboard Marine Corp. 20,752 368
- - Outdoor Systems, Inc. 25,690 979
Overseas Shipholding Group Inc. 23,000 451
Owens & Minor, Inc. Holding Co. 31,950 477
Owens Corning 25,981 1,120
- - Owens-Illinois, Inc. 61,228 1,898
- - Oxford Health Plan 38,200 2,742
Oxford Industries, Inc. 15,900 451
- - Oxigene, Inc. 9,739 337
PCA International, Inc. 13,095 269
- - PDT, Inc. 11,000 400
PECO Energy Corp. 111,074 2,333
- - PFF Bancorp, Inc. 25,800 487
PG&E Corp. 207,962 5,043
- - PHP Healthcare Corp. 22,700 298
- - PICO Holdings Inc. 52,102 234
- - PMC Sierra Inc. 27,046 708
The PMI Group Inc. 17,500 1,092
- - PMT Services Inc 22,335 340
PNC Bank Corp. 169,390 7,051
PP&L Resources Inc. 80,949 1,614
PPG Industries, Inc. 92,494 5,376
- - PRI Automation, Inc. 13,000 493
PXRE Corp. 8,988 276
PACCAR, Inc. 38,712 1,798
Pacific Century Financial Corp. 20,400 944
Pacific Enterprises 42,257 1,421
- - Pacificare Health Systems Inc.
Class A 5,574 338
Pacificare Health Systems Inc.
Class B 14,862 949
PacifiCorp 148,823 3,274
- - Paging Network, Inc. 50,400 443
PaineWebber Group, Inc. 46,200 1,617
- - Pairgain Technologies, Inc. 31,900 495
Pall Corp. 62,658 1,457
- - PanAmSat Corp. 6,875 201
- - Papa John's International, Inc. 14,500 536
- - Paradigm Technology, Inc. 18,800 15
- - Parametric Technology Corp. 64,200 2,731
- - Parcplace-Digitalk Inc. 22,600 26
Park National Corp. 500 40
- - Park-Ohio Industries, Inc. 12,200 184
Parker & Parsley Petroleum Co. 17,300 612
Parker Hannifin Corp. 37,812 2,295
- - ParkerVision, Inc. 3,900 78
Parkway Properties Inc. 11,250 302
- - PathoGenesis Corp. 17,400 506
Patriot American Hospitality,
Inc. REIT 22,300 569
- - Patterson Dental Co. 2,700 92
Paychex, Inc. 54,743 2,101
- - Payless ShoeSource, Inc. 20,044 1,096
- - PEC Israel Economic Corp. 4,600 110
- - Pediatrix Medical Group, Inc. 1,700 78
- - Pegasystems Inc. 11,600 364
- - The Penn Traffic Co. 42,400 334
Penn Virginia Corp. 6,700 332
Penncorp Financial Group Inc. 14,000 539
J.C. Penney Co., Inc. 124,687 6,507
Pennsylvania Enterprises Inc. 16,234 415
Pentair, Inc. 19,400 638
Penwest Ltd. 16,491 543
Pennzoil Co. 23,214 1,782
Peoples Bank of Bridgeport 29,850 776
Peoples Energy Corp. 17,313 648
Peoples First 8,135 233
Peoples Heritage Financial
Group Inc. 19,141 723
- - PeopleSoft Inc. 54,100 2,850
Pep Boys (Manny, Moe & Jack) 29,973 1,021
PepsiCo, Inc. 782,772 29,403
- - Perclose, Inc. 7,400 185
- - Performance Food Group Co. 20,050 426
Perkin-Elmer Corp. 22,201 1,766
- - Perrigo Co. 37,100 466
- - PerSeptive Biosystems 9,500 57
- - Personnel Group of America, Inc. 19,102 550
- - Pete's Brewing Co. 11,600 80
- - Petro Union, Inc. 35,900 2
- - Petrocorp, Inc. 38,778 342
Petroleum Heat & Power Co. 82,500 224
Petrolite Corp. 6,500 402
- - PETsMART, Inc. 55,752 639
Pfizer, Inc. 324,799 38,813
- - Pharmaceutical Markets 26,700 287
- - Pharmaceutical Product
Development, Inc. 20,370 443
- - Pharmacopeia, Inc. 23,200 302
Phelps Dodge Corp. 32,753 2,790
- - Philadelphia Consolidated
Holding Corp. 11,300 377
Philip Morris Cos., Inc. 1,230,913 54,622
Phillips Petroleum Co. 132,403 5,793
Phillips-Van Heusen Corp. 15,800 237
- - Phoenix International Ltd., Inc. 11,900 268
- - Phoenix Network, Inc. 11,200 41
- - Photronics Labs Inc. 12,302 584
- - PhyCor, Inc. 30,700 1,056
</TABLE>
37
<PAGE> 70
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Physician Corp. of America 31,500 $ 200
- - Physician Reliance Network, Inc. 50,900 472
- - Physician Sales & Service, Inc. 17,200 327
- - Physio-Control International Corp. 15,600 234
- - PictureTel Corp. 14,600 139
Piedmont Natural Gas, Inc. 12,500 321
Pier 1 Imports Inc. 22,800 604
- - Pilgrim America Cap Corp. 13,400 229
Pinnacle Bancorp Group Inc. 8,350 178
- - Pinnacle Micro Inc. 22,600 26
Pinnacle West Capital Corp. 44,500 1,338
Pioneer Group Inc. 16,600 383
Pioneer Hi-Bred International, Inc. 41,624 3,330
Pioneer Standard Electronics Inc. 22,200 301
Piper Jaffray Cos., Inc. 23,100 474
Pitney Bowes, Inc. 74,685 5,191
Pitt Des Moines, Inc. 3,900 127
- - Pittencrieff Communications, Inc. 74,869 405
Pittsburgh & West Virginia
Railroad 3,000 22
Pittston Brink's Group 20,900 627
Pittston Burlington Group 20,750 584
Pittway Corp. Class A 10,634 529
- - Pixar, Inc. 19,600 307
- - PJ America Inc. 15,400 261
- - Plains Resources 27,883 411
- - Planet Hollywood International,
Inc. Class A 47,900 1,099
- - Plantronics, Inc. 10,400 521
- - Platinum Software Co. 28,400 296
- - PLATINUM technology, Inc. 29,400 393
- - Playboy Enterprises Inc. Class B 25,100 290
- - Playtex Products, Inc. 34,400 323
Plenum Publishing Corp. 6,300 238
Ply-Gem Industries, Inc. 23,800 431
Poe & Brown, Inc. 7,900 287
Pogo Producing Co. 16,500 638
Polaris Industries, Inc. 12,800 417
Polaroid Corp. 23,058 1,280
- - Policy Management Systems Corp. 10,670 501
- - Polo Ralph Lauren Corp. 7,500 205
Popular Inc. 32,778 1,317
Portland General Electric Co. 26,300 1,044
Post Properties, Inc. REIT 11,400 462
Potash Corp. of
Saskatchewan, Inc. 3,170 238
Potlatch Corp. 14,396 651
Potomac Electric Power Co. 59,000 1,364
Poughkeepsie Financial Corp. 41,900 305
- - PowerCerv Corp. 4,600 15
Praxair, Inc. 78,933 4,420
Precision Castparts Corp. 11,850 707
- - Precision Response Corp. 21,600 351
Premark International, Inc. 31,067 831
Premier Farnell PLC ADR 9,318 147
Premier Farnell PLC $1.35 Cvt.
Pfd. ADR 7,507 168
- - Premisys Communications, Inc. 22,200 351
- - Presstek, Inc 7,600 658
T. Rowe Price 28,700 1,483
Price REIT, Inc. 10,800 393
Pride International Inc. 24,600 590
- - Primadonna Resorts, Inc. 19,462 376
- - Primark Corp. 9,369 249
Prime Bancorp Inc. 10,930 269
- - Prime Energy Corp. 3,000 25
- - Prime Hospitality Corp. 15,400 304
Prime Retail, Inc. REIT 29,100 392
- - Prime Service, Inc. 25,000 798
Primex Technologies, Inc. 12,580 273
Procter & Gamble Co. 342,354 48,358
- - Proffitt's, Inc. 13,700 600
- - Progress Software Corp. 15,400 247
Progressive Corp. of Ohio 36,100 3,141
- - Project Software &
Development, Inc. 8,300 120
- - Promus Hotel Corp. 25,890 1,003
Protective Life Corp. 15,300 769
- - Proteon Inc. 36,100 68
- - Protocol Systems, Inc. 36,500 292
- - Provident American Corp. 33,800 167
Provident Cos., Inc. 37,124 1,986
- - Providian Financial Corp. 47,299 1,519
Provident Financial Group 30,275 1,294
- - Proxim, Inc. 14,400 348
- - Proxymed Pharmacy, Inc. 35,250 344
- - PSINet, Inc. 36,300 275
Public Service Co. of Colorado 32,200 1,336
Public Service Co. of New Mexico 20,480 366
Public Service Co. of
North Carolina, Inc. 5,000 96
Public Service Enterprise
Group Inc. 120,525 3,013
Public Storage Properties XI
Class A 800 16
Public Storage, Inc. REIT 47,400 1,386
Puerto Rican Cement Co., Inc. 10,100 329
Puget Sound Energy Inc. 48,163 1,276
Pulitzer Publishing Co. 11,266 597
Pulte Corp. 17,008 588
- - Pure Atria Software Corp. 19,257 273
- - QLogic Corp. 24,327 614
Quaker Chemical Corp. 9,500 165
- - Quaker City Bancorp, Inc. 17,018 301
The Quaker Oats Co. 68,410 3,070
- - QUALCOMM, Inc. 33,300 1,695
- - Quality Food Centers Inc. 12,368 470
- - Quality Systems, Inc. 16,300 113
- - Quantum Corp. 65,100 1,324
- - Quest Diagnostics Inc. 29,056 597
Questar Corp. 20,285 819
Quick & Reilly Group, Inc. 18,631 433
- - QuickResponse Services, Inc. 11,500 413
- - Quiksilver, Inc. 10,000 319
- - Quickturn Design Systems, Inc. 20,400 241
- - Quintel Entertainment, Inc. 33,400 547
- - Quintiles Transnational Corp. 16,500 1,148
- - Quorum Health Group, Inc. 24,600 876
RFS Hotel Investors, Inc. REIT 24,200 436
RJR Nabisco Holdings Corp. 136,419 4,502
R.L.I. Corp. 9,700 353
RPM Inc. (Ohio) 38,350 709
</TABLE>
38
<PAGE> 71
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Racotek, Inc. 21,300 $ 47
- - RailTex, Inc. 14,606 260
- - Rainbow Technologies, Inc. 11,500 213
- - Rainforest Cafe, Inc. 17,650 445
- - Rambus Inc. 5,000 232
- - Ralcorp Holdings 18,657 275
Ralston-Ralston Purina Group 53,535 4,400
- - Ramtron International Corp. 51,100 311
- - Rare Hospitality International Inc. 7,800 96
- - Raster Graphics, Inc. 33,300 237
- - Rational Software Corp. 27,232 457
Raychem Corp. 22,665 1,686
Raymond Corp. 12,239 400
Raymond James Financial, Inc. 25,275 692
Rayonier Inc. 14,375 605
Raytheon Co. 119,322 6,085
- - Read-Rite Corp. 23,031 480
Reader's Digest Assn., Inc. Class A 52,300 1,500
Reader's Digest Assn., Inc. Class B 1,500 42
- - Reading & Bates Corp. 35,495 949
Realty Income Corp. REIT 21,200 557
Reckson Associates Realty
Corp. REIT 16,300 375
- - Recovery Engineering, Inc. 20,400 337
- - Redhook Ale Brewery, Inc. 17,000 117
Redwood Trust, Inc. 10,300 482
Reebok International Ltd. 27,608 1,291
Regal-Beloit Corp. 16,300 427
- - Regal Cinemas, Inc. 16,000 527
Regis Corp. 34,794 815
- - Regency Health Services, Inc. 28,400 437
Regions Financial Corp. 65,220 2,067
Reinsurance Group of
America, Inc. 8,200 472
Reliable Life Insurance Co. Class A 3,000 378
Reliance Acceptance Group Inc. 35,500 174
Reliance Bancorp, Inc. 14,800 436
Reliance Group Holdings 56,986 677
Reliastar Financial Corp. 20,549 1,503
- - Remedy Corp. 13,300 530
- - Renal Treatment Centers, Inc. 10,400 280
- - Republic Industries, Inc. 174,858 4,300
Republic New York Corp. 28,031 3,013
- - ReSound Corp. 52,700 300
- - Retirement Care Associates, Inc. 31,800 394
- - Retix 31,809 155
- - Revlon, Inc. 9,500 492
- - Rexall Sundown, Inc. 16,603 649
- - Rexel Inc. 26,500 490
Reynolds & Reynolds Class A 40,700 641
Reynolds Metals Co. 36,774 2,620
Rhone-Poulenc Rorer, Inc. 68,652 6,239
Richfood Holdings, Inc. 23,650 615
Riggs National Corp. 27,800 568
- - Right Management Consultants 16,700 190
- - Rightchoice Managed Care, Inc. 14,800 201
- - Rio Hotel and Casino, Inc. 22,900 345
Rite Aid Corp. 61,923 3,088
Roadway Express Inc. 7,358 170
- - Robert Half International, Inc. 30,400 1,431
Rochester Gas and Electric Corp. 18,652 393
- - Rochester Medical Corp. 14,950 209
Rockwell International Corp. 110,567 6,523
- - Rocky Mountain Chocolate
Factory, Inc. 15,400 67
- - Rogers Corp. 10,500 370
Rohm & Haas Co. 32,358 2,914
- - Rohr, Inc. 26,100 573
Rollins, Inc. 13,550 273
Rollins Truck Leasing 14,600 217
Roosevelt Financial Group 21,234 472
Roper Industries Inc. 1,364 71
Roslyn Bancorp, Inc. 20,900 477
Ross Stores, Inc. 24,712 807
- - Ross Technology, Inc. 80,900 174
Rouge Steel Co. Class A 11,500 194
Rouse Co. 32,900 971
- - Rowan Cos., Inc. 42,172 1,189
- - Royal Appliance
Manufacturing Co. 71,186 610
Royal Caribbean Cruises, Ltd. 31,800 1,111
- - Royal Grip, Inc. 11,600 40
Rubbermaid, Inc. 75,867 2,257
- - Ruby Tuesday, Inc. 21,137 474
Ruddick Corp. 31,700 523
Russell Corp. 19,350 573
- - Rutherford-Moran Oil Corp. 23,800 561
- - Ryan's Family Steak Houses, Inc. 41,515 354
Ryder System, Inc. 39,166 1,292
- - S&K Famous Brands Inc. 6,200 69
SBC Communications Inc. 461,975 28,585
- - SCI Systems, Inc. 15,258 973
- - SDL, Inc. 19,650 376
SEI Corp. 18,800 456
SJW Corp. 5,800 305
- - SMC Corp. 21,200 170
- - SPS Technologies, Inc. 6,476 458
- - SPS Transaction Services 25,800 477
SPX Corp. 9,800 635
- - S3, Inc. 22,900 251
- - Sabratek Corp. 13,300 374
SAFECO Corp. 63,535 2,968
- - Safeguard Health Enterprises, Inc. 16,035 172
- - Safeguard Scientifics, Inc. 15,594 496
- - Safeskin Corp. 22,700 669
Safety-Kleen Corp. 30,309 511
- - Safeway, Inc. 128,464 5,925
St. Francis Capital Corp. 11,200 424
St. Joe Corp. 15,100 1,265
St. John Knits, Inc. 8,100 437
- - St. Jude Medical, Inc. 45,759 1,785
St. Mary Land & Exploration Co. 18,728 654
St. Paul Bancorp, Inc. 19,371 644
St. Paul Cos., Inc. 41,882 3,194
- - Saks Holdings, Inc. 31,400 785
Salient 3 Communications Class A 19,700 244
Salomon, Inc. 54,620 3,038
- - Samsonite Corp. 10,300 455
- - Sanchez Computer
Associates, Inc. 31,060 285
- - SanDisk Corp. 32,100 471
- - Sanmina Corp. 8,300 520
</TABLE>
39
<PAGE> 72
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Santa Anita Realty Enterprises 19,600 $ 609
- - Santa Fe Energy Resources, Inc. 49,262 724
- - Santa Fe International Corp. 2,500 85
Santa Monica Bank 19,400 410
Sara Lee Corp. 241,797 10,065
- - Satcon Technology Corp. 26,893 262
Savannah Foods & Industries, Inc. 25,500 448
Sbarro, Inc. 3,909 108
SCANA Corp. 52,700 1,308
- - Henry Schein, Inc. 9,500 294
- - R. P. Scherer Corp. 11,774 608
Schering-Plough Corp. 372,262 17,822
Schlumberger Ltd. 123,954 15,494
Schnitzer Steel Industries, Inc.
Class A 4,400 129
- - Scholastic Corp. 16,400 573
- - Schuler Homes Inc. 33,800 196
A. Schulman Inc. 18,593 460
Charles Schwab Corp. 88,136 3,586
Schweitzer-Mauduit
International, Inc. 14,237 534
- - Sciclone Pharmaceuticals 5,900 30
Scientific-Atlanta, Inc. 38,092 833
- - Scientific Games Holdings Corp. 10,500 217
- - Scios, Inc. 45,700 286
- - Scopus Technology, Inc. 20,100 448
- - Scotts Co. 18,500 537
E.W. Scripps Co. 40,276 1,676
Seacoast Banking Corp. of Florida
Class A 10,200 307
- - Seagate Technology 124,102 4,367
- - SEACOR SMIT Inc. 6,500 340
- - Seagull Energy Corp. 31,352 549
- - Sealed Air Corp. 21,200 1,007
Sealright Co. 24,600 292
Sears, Roebuck & Co. 196,887 10,583
- - Seattle FilmWorks, Inc. 29,500 348
- - Secure Computing Corp. 19,700 118
Security Capital Corp. 7,100 671
Security Capital Atlantic Inc. 20,400 488
Security Capital Industrial
Trust REIT 49,083 1,055
Security Capital Pacific Inc. REIT 38,269 875
Security Connecticut Corp. 2,200 121
- - Security Dynamics
Technologies, Inc. 17,100 629
- - Security First Network Bank 29,364 200
Sensormatic Electronics Corp. 36,938 476
- - Sepracor Inc. 10,000 257
- - Sequa Corp. Class A 12,344 696
- - Sequana Therapeutics, Inc. 13,400 145
- - Sequent Computer Systems, Inc. 28,100 593
- - SEQUUS Pharmaceuticals, Inc. 27,800 175
Service Corp. International 118,456 3,894
- - Service Merchandise Co., Inc. 93,550 281
- - ServiceMaster LP 14,924 339
Shared Medical Systems Corp. 11,563 623
Shaw Industries, Inc. 66,200 703
Sherwin-Williams Co. 85,760 2,648
- - Shiva Corp. 31,700 332
- - Shoe Carnival, Inc. 39,000 388
Shopko Stores, Inc. 23,445 598
- - Shoney's Inc. 70,806 420
- - Shorewood Packaging 9,200 210
- - ShowBiz Pizza Time, Inc. 16,300 431
Showboat, Inc. 14,284 249
- - Shuffle Master, Inc. 25,217 209
Shurgard Storage Centers, Inc.
Class A REIT 12,800 358
- - Siebel Systems, Inc. 16,600 536
Sierra Pacific Resources 14,800 474
Sigma-Aldrich Corp. 50,754 1,776
- - Signal Technology Corp. 41,653 260
Signet Banking Corp. 30,008 1,080
SIG Corp. 12,600 320
- - Silicon Gaming, Inc. 22,400 293
- - Silicon Graphics, Inc. 89,738 1,346
- - Silicon Valley Bancshares 5,700 258
- - Silicon Valley Research, Inc. 12,100 12
Simmons First National 13,050 390
Simon DeBartolo Group, Inc. REIT 49,372 1,580
- - Sirco International Corp. 74,600 448
- - SITEL Corp. 29,700 613
Sirrom Capital Corp. 14,200 490
- - Sizzler International 118,725 349
Sizzlers Property Investors, Inc. 29,300 302
Skaneateles Bancorp, Inc. 14,800 308
A.O. Smith Corp. 16,400 583
- - Smith International, Inc. 19,800 1,203
- - Smith Technology Corp. 3,600 1
- - Smithfield Foods, Inc. 10,800 665
- - Smith's Food & Drug Centers, Inc.
Class B 14,870 797
J.M. Smucker Co. Class A 23,700 515
J.M. Smucker Co. Class B 2,500 54
- - Snyder Communications, Inc. 17,400 469
Snap-On Inc. 30,518 1,202
- - Software Publishing Corp. Hld. 6,352 14
- - Software Spectrum, Inc. 16,100 210
- - Sofamor Danek Group, Inc. 11,900 544
- - Sola International, Inc. 11,300 379
- - Solectron Corp. 28,500 1,997
- - Solv-Ex Corp. 32,466 110
Sonat, Inc. 43,660 2,238
- - Sonic Corp. 13,050 289
Sonoco Products 44,460 1,353
Sotheby's Holdings Class A 28,500 481
Southdown, Inc. 14,900 650
Southern California Water Co. 15,400 377
Southern Co. 339,623 7,429
Southern New England
Telecommunications Corp. 32,600 1,267
- - Southern Union Co. 17,819 408
- - Southland Corp. 200,800 675
SouthTrust Corp. 49,089 2,034
Southwest Airlines Co. 73,623 1,905
Southwest Bancshares, Inc. 15,474 329
Southwest Gas Corp. 27,300 543
Southwestern Energy Co. 32,000 416
Southwestern Public Service Co. 21,100 829
Sovereign Bancorp, Inc. 32,040 490
Sovran Self Storage, Inc. REIT 12,600 369
</TABLE>
40
<PAGE> 73
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - SpaceLabs Medical, Inc. 10,939 $ 278
- - Spacetec IMC Corp. 17,900 59
- - Spaghetti Warehouse, Inc. 4,400 26
Spartan Motors, Inc. 27,700 213
- - Specialty Chemical
Resources, Inc. 29,400 48
- - SpecTran Corp. 19,700 378
- - Spectranetics Corp. 26,400 85
- - Spectrum Holobyte 52,700 255
- - Speedfam International, Inc. 13,400 483
- - Speedway Motorsports, Inc. 21,100 459
- - Spelling Entertainment 66,700 459
- - Spiegel, Inc. Class A 47,100 318
Spieker Properties, Inc. REIT 21,300 749
- - The Sports Authority, Inc. 13,200 257
Springs Industries Inc. Class A 10,465 552
Sprint Corp. 217,246 11,433
- - Spyglass, Inc. 21,200 175
- - Stac, Inc. 35,830 130
- - Standard Commercial Tobacco Co. 16,871 293
Standard Financial, Inc. 18,300 452
- - Standard Microsystem 17,300 152
Standard Motor Products, Inc. 22,400 308
Standard Products Co. 17,000 429
The Standard Register Co. 14,113 432
Stanhome, Inc. 13,100 431
The Stanley Works 45,062 1,802
- - Staples, Inc. 80,677 1,871
Star Banc Corp. 43,588 1,842
- - Starbucks Corp. 38,500 1,503
L. S. Starrett Co. Class A 10,800 344
- - Starter Corp. 43,600 196
State Auto Financial Corp. 13,350 305
Starwood Lodging Trust REIT 22,450 958
State Street Corp. 80,884 3,741
- - Station Casinos, Inc. 4,000 34
- - Steel Dynamics, Inc. 23,800 599
- - Stein Mart, Inc. 17,950 541
Stepan Co. 7,500 185
Stephan Co. 17,650 190
- - STERIS Corp. 16,649 620
- - Sterling Commerce, Inc. 44,285 1,456
- - Sterling Software, Inc. 19,500 609
Stewart & Stevenson
Services, Inc. 16,218 423
Stewart Enterprises, Inc. Class A 19,700 825
Stone Container Corp. 50,013 716
- - Stone Energy Corp. 15,400 422
Storage USA, Inc. REIT 13,400 513
Storage Trust Realty REIT 15,600 413
- - Storage Technology Corp. 30,455 1,355
- - Strategic Distribution, Inc. 48,378 184
- - Stratosphere Corp. 75,400 20
- - Strattec Strategy Corp. 18,605 379
- - Stratus Computer, Inc. 15,700 785
- - StreamLogic Corp. 34,100 2
Stride Rite Corp. 41,726 537
- - Structural Dynamics
Research Corp. 16,200 426
Stryker Corp. 48,100 1,685
Student Loan Corp. 9,900 420
Student Loan Marketing Assn. 29,097 3,695
- - Submicron Systems Corp. 48,900 142
Sullivan Dental Products, Inc. 18,600 342
Sumitomo Bank of California 16,600 485
Summit Bancorp 50,735 2,543
- - Summit Care Corp. 16,000 218
- - Summit Technology, Inc. 44,800 298
- - Sun Coast Industries, Inc. 6,300 25
Sun Communities, Inc. REIT 15,200 510
Sun Co., Inc. 36,314 1,126
- - Sun Microsystems, Inc. 184,504 6,867
- - Sunbelt Nursery Group, Inc. 3,500 4
SunAmerica Inc. 60,500 2,949
- - Sun Healthcare Group, Inc. 30,700 639
Sunbeam Corp. 42,500 1,604
Sundstrand Corp. 30,100 1,625
- - SunGard Data Systems, Inc. 21,300 990
- - Sunglass Hut International, Inc. 21,326 135
- - Sunrise Medical, Inc. 24,300 368
SunTrust Banks, Inc. 112,039 6,169
- - SuperGen, Inc. 28,200 414
Superior Industries
International, Inc. 11,550 306
Superior Surgical Manufacturing
Co., Inc. 5,600 66
SuperValu Inc. 33,149 1,144
- - Supreme International Corp. 12,800 202
Susquehanna Bancshares, Inc. 12,300 483
- - Swift Energy Co. 12,800 306
- - Swift Transportation Co., Inc. 13,600 405
- - Swing-n-Slide Corp. 25,397 92
- - Sybase, Inc. 39,220 581
- - Sybron International Corp. 23,996 957
Sykes Enterprises, Inc. 13,800 357
- - Sylvan Learning Systems, Inc. 12,000 407
- - Symantec Corp. 27,788 543
Symbol Technologies, Inc. 19,450 654
- - Symmetricom Inc. 18,200 263
- - Syms Corp. 36,600 364
- - Synagro Technologies Inc. 8,046 19
Synalloy Corp. 6,200 107
- - Syncor International Corp. 28,300 292
- - Synopsys, Inc. 29,129 1,075
- - Synetic, Inc. 7,900 291
Synovus Financial Corp. 88,275 2,433
Sysco Corp. 89,354 3,261
- - System Software Associates, Inc. 39,200 298
- - TBC Corp. 38,450 327
TCA Cable Television, Inc. 15,800 593
TCF Financial Corp. 17,900 884
- - TCI Satellite Entertainment, Inc.
Class A 56,455 446
- - TCI Satellite Entertainment, Inc.
Class B 420 3
- - TCSI Corp. 23,921 124
TECO Energy, Inc. 58,600 1,498
TIG Holdings, Inc. 26,300 822
TJX Cos., Inc. 77,768 2,051
TNP Enterprises, Inc. 17,000 394
- - T.P.I. Enterprises, Inc. 31,100 5
- - TRO Learning, Inc. 20,600 185
</TABLE>
41
<PAGE> 74
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
TRW, Inc. 63,906 $ 3,631
- - TST Impreso, Inc. 32,800 461
- - Talbert Medical
Management Holdings 821 37
Talbots Inc. 17,200 585
Tambrands, Inc. 18,323 914
- - Tandem Computers, Inc. 59,130 1,197
Tandy Corp. 29,598 1,657
Tanger Factory Outlet Centers, Inc. 12,411 334
Taubman Co. REIT 37,700 500
- - Tech Data Corp. 21,522 676
Tech/Ops Sevcon, Inc. 5,000 66
- - Tech-Sym Corp. 11,302 377
- - Techne 600 18
- - Technical Chemicals and
Products, Inc. 5,500 52
- - Technology Solutions Co. 15,278 603
- - Tecnol Medical Products Inc. 6,400 142
Tecumseh Products Co. Class A 11,300 677
- - Telco Systems, Inc. 7,100 63
- - Tejas Gas Corp. 9,870 387
Tektronix, Inc. 16,520 991
- - Tel-Save Holdings, Inc. 31,000 471
- - Tele-Communications, Inc.
Class A 329,270 4,888
- - Tele-Communications, Inc.
Class B 4,200 67
- - Tele-Communications
International, Inc. Series A 59,100 905
Teleflex Inc. 18,126 566
Telephone & Data Systems, Inc. 30,600 1,161
- - Tellabs, Inc. 90,088 5,028
Telxon Corp. 22,700 407
- - Telular Corp. 48,600 169
Temple-Inland Inc. 27,626 1,492
- - Teletech Holdings Inc. 27,600 724
- - Tenet Healthcare Corp. 152,145 4,498
Tenneco, Inc. 85,935 3,883
- - Teradyne, Inc. 41,429 1,626
Terra Industries, Inc. 37,950 441
Texaco Inc. 133,036 14,468
Texas Industries, Inc. 22,000 584
Texas Instruments, Inc. 95,851 8,057
Texas Regional Bancshares, Inc. 8,900 372
Texas Utilities Co. 112,910 3,888
Textron, Inc. 83,512 5,543
- - Theragenics Corp. 32,142 735
- - Thermedics Detection Inc. 22,795 274
- - Thermo Cardiosystems Inc. 19,750 514
- - Thermo Ecotek Corp. 16,950 262
- - Thermo Electron Corp. 75,362 2,591
- - Thermo Fibertek, Inc. 51,625 529
- - Thermo Instrument Systems, Inc. 49,418 1,513
Thermo Remediation, Inc. 16,400 115
- - Thermo TerraTech, Inc. 30,800 350
- - Thermo VolTek 27,450 192
- - ThermoLase Corp. 37,300 525
- - Thermotrex Corp. 7,700 192
- - Thermedics, Inc. 15,950 250
Thiokol Corp. 9,400 658
Thomas & Betts Corp. 26,927 1,415
- - Thompson PBE, Inc. 18,900 100
Thor Industries, Inc. 14,000 348
Thornburg Mortgage Asset Corp. 21,700 467
- - 3Com Corp. 164,510 7,398
- - 360 Communications Co. 61,549 1,054
Tidewater, Inc. 30,000 1,320
Tiffany & Co. 17,068 788
Timberline Software Corp. 49,832 458
Time Warner, Inc. 285,953 13,797
Times Mirror Co. 20,009 620
Times Mirror Co. Class A 46,816 2,587
The Timken Co. 30,890 1,099
Titan International Inc. 22,350 394
- - Titanium Metals Corp. 15,200 480
Toastmaster, Inc. 10,300 35
- - Today's Man Inc. 38,300 144
- - Todd Shipyards Corp. 48,747 201
- - Todhunter International, Inc. 19,300 144
- - Toll Brothers, Inc. 28,700 527
Tootsie Roll Industries, Inc. 11,245 500
- - The Topps Co., Inc. 73,997 312
Torch Energy Royalty Trust 25,900 277
Torchmark Corp. 35,198 2,508
The Toro Co. 13,100 496
Tosco Corp. 79,258 2,373
- - Total Control Products, Inc. 30,400 258
Total Petroleum
(North America) Ltd. 40,100 396
- - Total Renal Care Holdings, Inc. 13,400 539
- - Total-Tel USA
Communications, Inc. 2,640 48
- - Tower Automotive, Inc. 11,200 482
Total System Services, Inc. 64,624 1,571
Town & Country Trust REIT 25,100 386
- - Toy Biz 7,800 64
- - Toys R Us, Inc. 146,101 5,114
- - Tractor Supply Co. 15,700 279
- - Trak Auto Corp. 17,500 197
- - Trans World Airlines 45,897 402
- - Transaction Systems
Architects, Inc. 11,700 403
Transamerica Corp. 33,407 3,126
Transatlantic Holdings 11,400 1,131
Transocean Offshore, Inc. 26,000 1,888
TransPro Inc. 25,725 223
- - TransTexas Gas Corp. 37,100 582
Travelers Property Casualty Corp. 35,800 1,428
- - Transworld Healthcare Inc. 32,226 328
Travelers Group Inc. 321,912 20,301
Tredegar Industries Inc. 8,800 488
- - Tremont Corp. 9,246 406
Trenwick Group Inc. 8,400 318
- - Triangle Pacific Corp. 15,800 502
- - Triad Guaranty, Inc. 10,350 470
- - Triarc Cos., Inc. Class A 13,400 273
Tribune Co. 62,494 3,004
- - Trigon Healthcare, Inc. 21,200 514
TriMas Corp. 20,600 579
- - Trimble Navigation Ltd. 28,700 511
Trinity Industries, Inc. 21,050 668
- - TriQuint Semiconductor, Inc. 2,700 92
</TABLE>
42
<PAGE> 75
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
True North Communications 24,800 $ 614
- - Trump Hotels & Casino
Resorts, Inc. 9,400 101
The Trust Co. of New Jersey 25,200 484
Trustco Bank 20,320 433
Trustmark Corp. 17,600 499
- - Tucson Electric Power Co. 33,080 480
- - Tuesday Morning, Inc. 23,247 463
Tupperware Corp. 30,782 1,124
20th Century Industries of CA 25,700 540
Tyco International Ltd. 83,968 5,841
- - Tyler Corp. 108,700 224
Tyson Foods, Inc. 109,069 2,079
- - UAL Corp. 30,080 2,153
- - UCAR International, Inc. 23,600 1,080
UGI Corp. Holding Co. 15,900 352
- - UICI 21,900 645
UMB Financial Corp. 10,122 438
UST Corp. 21,000 469
UST Inc. 94,146 2,613
USX-Marathon Group 144,746 4,180
- - USA Waste Service 75,665 2,923
UNR Industries, Inc. 43,800 298
UNUM Corp. 73,854 3,102
- - URS Corp. 24,700 324
- - United States Can Co. 19,909 284
USF&G Corp. 58,883 1,413
- - USG Corp. 23,100 843
USX Delhi Group 20,500 269
USX-U.S. Steel Group 42,087 1,476
- - Ultrafem, Inc. 17,967 248
Ultramar Diamond Shamrock Corp. 38,136 1,244
- - Ultratech Stepper, Inc. 17,000 388
Unifi, Inc. 31,150 1,164
UniFirst Corp. 17,400 348
Uniforce Services Inc. 9,200 167
Unicom Corp. 109,209 2,430
- - Unigene 28,300 134
- - Unilab Corp. 19,400 22
Union Camp Corp. 35,429 1,771
Union Carbide Corp. 64,346 3,028
Union Electric Co. 51,672 1,947
Union Pacific Corp. 123,397 8,699
Union Pacific Resources
Group, Inc. 125,758 3,128
Union Planters Corp. 32,380 1,680
Union Texas Petroleum
Holdings, Inc. 43,100 902
UnionBanCal Corp. 27,500 1,985
- - Uniphase Corp. 8,000 464
- - Uniroyal Technology Corp. 1,000 4
Unisource Worldwide, Inc. 32,941 527
- - Unisys Corp. 86,580 660
United Asset Management Corp. 34,500 977
United Carolina Bancshare Corp. 12,300 636
United Cos. Finance Corp. 13,617 385
- - United Capital Corp. 24,900 409
United Dominion Industries Ltd. 23,000 565
United Dominion Realty Trust REIT 44,700 634
United Healthcare Corp. 92,746 4,823
United Illuminating Co. 14,100 435
- - United International Holdings, Inc.
Class A 39,200 404
- - United Meridian Corp. 16,900 507
United Mobile Homes, Inc. 22,600 256
United National Bancorp 4,982 199
- - United Payors & United
Providers, Inc. 22,900 306
U.S. Bancorp 75,819 4,864
- - U.S. Bioscience 24,487 236
- - U.S. Cellular Corp. 43,000 1,274
- - U.S. Energy Corp. 22,960 194
- - U.S. Filter Corp. 35,584 970
- - US Airways Group Inc. 32,763 1,147
- - U.S. Home Corp. 14,800 393
- - U.S. Industries, Inc. 25,000 891
- - U.S. Long Distance Corp. 31,864 548
- - U.S. Office Products Co. 30,000 914
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 44,600 371
U.S. Surgical Corp. 34,665 1,291
U S WEST
Communications Group 241,001 9,083
- - U S WEST Media Group 313,664 6,352
U. S.Trust Corp. 15,102 705
United Technologies Corp. 119,518 9,920
United Television, Inc. 5,500 538
- - United Waste Systems, Inc. 21,200 868
United Wisconsin Services, Inc. 12,400 418
Unitrin, Inc. 18,500 1,134
- - Unitrode Corp. 13,411 676
Universal Corp. 17,300 549
- - Universal Electronics, Inc. 18,400 127
Universal Foods Corp. 12,213 466
- - Universal Outdoor Holdings, Inc. 11,600 405
- - Universal Health Services Class B 15,700 604
- - Univision Communications Inc. 22,000 861
Unocal Corp. 126,017 4,891
- - Uranium Resources, Inc. 42,832 249
Urban Shopping Centers, Inc. REIT 14,800 472
- - UROHEALTH Systems, Inc. Class A 16,271 98
- - Urocor, Inc. 28,500 262
- - UroQuest Medical Corp. 45,700 286
US Bancorp, Inc. 6,200 336
- - USDATA Corp., Inc. 21,803 79
UtiliCorp United, Inc. 25,600 746
VF Corp. 31,844 2,699
- - VLSI Technology, Inc. 22,500 531
- - V-One Corp. 42,800 214
- - VTEL Corp. 25,438 156
- - VWR Scientific Products Corp. 21,600 348
- - Valassis Communications, Inc. 20,600 494
Valhi, Inc. 56,600 460
- - Valence Technology 35,300 303
Valero Energy Corp. 23,800 863
Valley National Bancorp 21,706 589
- - ValuJet Inc. 54,100 376
Valspar Corp. 22,000 652
- - Value City Department Stores, Inc. 46,900 381
- - Value Health, Inc. 27,372 554
</TABLE>
43
<PAGE> 76
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
TOTAL STOCK MARKET PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Value Line, Inc. 11,300 $ 496
- - Vanguard Cellular Systems, Inc.
Class A 41,013 566
- - Vanstar Corp. 46,700 660
- - Vantive Corp. 10,100 287
- - Varco International, Inc. 21,572 696
Varian Associates, Inc. 15,200 825
Vastar Resources, Inc. 49,400 1,732
- - Vencor, Inc. 35,063 1,481
- - Venture Stores, Inc. 70,663 163
- - Veritas Software Corp. 9,900 496
- - Verity, Inc. 40,700 220
- - Versant Object Technology Corp. 30,400 184
- - Vertex Pharmaceuticals, Inc. 11,900 454
Vesta Insurance Group, Inc. 8,900 385
- - Veterinary Centers of America, Inc. 29,860 368
- - Viacom Inc. Class A 4,953 146
- - Viacom Inc. Class B 172,918 5,188
Viad Corp. 47,163 908
- - VIASOFT, Inc. 8,348 425
- - Vicor Corp. 20,519 457
- - Vicorp Restaurants, Inc. 19,100 233
- - Video Lottery 14,400 86
- - Viewlogic Systems, Inc. 25,391 373
- - Viking Office Products 42,300 801
- - VideoLan Technologies, Inc. 14,800 10
- - VideoServer, Inc. 16,200 215
Vintage Petroleum, Inc. 19,100 587
Virginia Beach Federal
Financial Corp. 10,200 135
- - Visio Corp. 6,500 458
- - Vishay Intertechnology, Inc. 32,386 937
- - VISIX Inc. 15,271 365
- - Vitalink Pharmacy Services 9,741 186
- - Vitesse Semiconductor Corp. 17,100 558
- - Vivus, Inc. 14,800 355
- - VMARK Software, Inc. 42,414 334
- - Volt Information Sciences Inc. 25,500 1,288
Vornado Realty Trust REIT 13,200 952
Vulcan Materials Co. 17,290 1,357
- - WFS Financial, Inc. 31,150 510
- - WHG Resorts & Casino Inc. 4,175 45
- - WHX Corp. 23,300 178
Wicor, Inc. 10,500 409
- - WMS Industries, Inc. 23,000 576
WPL Holdings, Inc. 14,700 411
WPS Resources Corp. 9,021 241
- - WSFS Financial Corp. 25,700 357
- - Waban, Inc. 16,300 525
Wabash National Corp. 10,450 291
Wachovia Corp. 83,287 4,857
Wackenhut Corp. 14,792 355
Wackenhut Corp. Class B 6,350 127
- - Wackenhut Corrections Corp. 24,100 702
- - Wahlco Environmental 38,500 14
Wainwright Bank & Trust Co. 4,600 41
Wal-Mart Stores, Inc. 1,155,684 39,077
Walbro Corp. 15,000 299
Walgreen Co. 123,680 6,632
- - Walker Interactive Systems, Inc. 29,800 419
- - Wall Data Inc. 16,396 433
Wallace Computer Services, Inc. 22,400 673
- - Wang Laboratories, Inc. 17,200 367
Warnaco Group 25,653 818
Warner-Lambert Co. 136,717 16,987
Washington Federal Inc. 23,144 594
Washington Gas Light Corp. 22,298 560
Washington Mutual, Inc. 63,691 3,808
Washington National Corp. 6,500 185
Washington Post Co. Class B 5,500 2,189
Washington REIT 31,200 554
Washington Water Power Co. 28,200 553
Waste Management Inc. 228,313 7,335
- - Waters Corp. 15,000 538
Watkins-Johnson Co. 12,700 391
- - Watson Pharmaceuticals, Inc. 21,214 895
Watts Industries Class A 17,000 408
Wausau Paper Mills Co. 16,200 308
Waverly, Inc. 8,518 181
- - Weatherford Enterra Inc. 25,654 988
- - Webco Industries, Inc. 18,800 115
Weeks Corp. REIT 16,000 500
Weingarten Realty Investors REIT 13,500 570
- - Weirton Steel 56,800 170
Weis Markets, Inc. 21,700 627
- - Wellcare Management Group, Inc. 16,100 74
Wellman, Inc. 17,945 312
- - Wellpoint Health Networks Inc.
Class A 34,835 1,598
Wells Fargo & Co. 46,607 12,561
- - Wellsford Real Properties 4,600 51
Wendy's International, Inc. 64,297 1,668
Werner Enterprises, Inc. 16,800 328
Westbanco Inc. 5,700 229
Wesco Financial Corp. 3,542 1,152
- - West TeleServices Corp. 31,300 463
- - Western Atlas, Inc. 27,238 1,995
Westcorp, Inc. 25,107 461
- - Western Digital Corp. 42,800 1,354
Western Gas Resources, Inc. 25,200 491
Western Investment Real Estate
Trust REIT 25,500 354
Western National Corp. 32,100 861
Western Resources, Inc. 32,400 1,051
- - Western Wireless Corp. 25,900 412
Westinghouse Air Brake Co. 22,000 440
Westinghouse Electric Corp. 304,822 7,049
- - Westpoint Stevens, Inc. 15,143 592
Westvaco Corp. 51,547 1,621
- - Westwood One, Inc. 24,100 776
- - WetSeal, Inc. Class A 16,200 511
Weyerhaeuser Co. 99,985 5,199
Wheelabrator Technologies, Inc. 79,462 1,227
Whirlpool Corp. 37,644 2,054
- - White River 8,442 595
Whitman Corp. 52,825 1,268
Whitney Holdings 7,370 313
- - Whole Foods Market, Inc. 22,000 727
Willamette Industries, Inc. 27,582 1,931
Williams Cos., Inc. 79,024 3,457
- - Clayton Williams Energy, Inc. 21,700 250
- - Williams Sonoma, Inc. 19,308 827
</TABLE>
44
<PAGE> 77
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C>
Wilmington Trust Corp. 17,500 $ 802
- - Wind River Systems 15,688 603
Windmere-Durable Holdings Inc. 25,399 416
Winn-Dixie Stores, Inc. 75,675 2,819
- - Wireless One, Inc. 2,700 7
- - Wisconsin Central
Transportation Corp. 25,900 964
Wisconsin Energy Corp. 55,138 1,372
Wiser Oil Co. 17,200 317
Witco Chemical Corp. 28,100 1,066
Wolohan Lumber Co. 28,078 342
Wolverine World Wide, Inc. 26,770 813
- - Wonderware Corp. 17,300 245
- - Woolworth Corp. 66,892 1,605
- - World Acceptance Corp. 51,400 331
- - World Color Press, Inc. 16,300 387
World Fuel Services Corp. 14,941 327
- - WorldCom, Inc. 434,255 13,883
Worthington Foods 7,066 172
Worthington Industries, Inc. 47,889 878
- - World Corp. 36,600 94
Wrigley, (Wm.) Jr. Co. 58,188 3,899
Wyle Electronics 13,500 533
- - Wyman-Gordon Corp. 28,100 760
X-Rite Inc. 12,700 243
- - Xoma Corp. 59,156 283
- - Xilinx, Inc. 36,600 1,795
Xerox Corp. 163,533 12,899
XTRA Corp. 8,100 356
- - Xylan Corp. 20,600 351
- - Yahoo!, Inc. 13,300 468
- - Yellow Corp. 27,347 610
York International Corp. 21,500 989
- - York Research Corp. 11,300 87
- - Young Broadcasting Inc. 14,200 465
- - Zale Corp. 14,800 293
- - Zebra Technologies Class A 10,500 295
Zeigler Coal Holding Co. 13,400 313
- - Zenith Electronics Corp. 31,682 374
Zenith National Insurance Corp. 16,300 440
Ziegler Cos., Inc. 2,800 50
- - Zilog Inc. 21,300 405
Zions Bancorp 29,388 1,104
- - Zoltek Cos., Inc. 16,200 621
Zurich Reinsurance Centre
Holdings, Inc. 13,000 514
Zurn Industries, Inc. 13,200 380
- - Zycad Corp. 40,612 24
- - Zoll Medical Corp. 31,700 246
- -----------------------------------------------------------------------------
TOTAL COMMON STOCKS (95.2%)(1)
(COST $3,274,935) 4,628,116
- -----------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (5.1%)
- -----------------------------------------------------------------------------
U.S. TREASURY BILLS
(2) 5.08%, 7/1/97 $ 1,000 999
(2) 5.21%, 7/24/97 6,100 6,081
(2) 5.27%, 8/7/97 800 796
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.93%, 7/1/97 240,100 240,100
- -----------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $247,976) 247,976
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(COST $3,522,911) 4,876,092
- -----------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.3%)
- -----------------------------------------------------------------------------
Other Assets--Notes B and E 105,599
Liabilities--Note E (118,717)
----------
(13,118)
- -----------------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------------
Applicable to 234,687,815 outstanding
shares of beneficial interest
(unlimited authorization) $4,862,974
=============================================================================
NET ASSET VALUE PER SHARE $20.72
=============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-Income Producing Security.
(1) The combined market value of common stocks, S&P 500 Index futures
contracts, S&P Midcap 400 Index futures contracts, and Russell 2000 Index
futures contracts represents 100.1% of net assets.
(2) Securities with an aggregate value of $7,876,000 have been segregated
as initial margin for open futures contracts.
ADR--American Depository Receipt.
ARS--American Registered Share.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
AT JUNE 30, 1997, NET ASSETS CONSISTED OF:
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $3,466,348 $14.77
Undistributed Net
Investment Income 8,049 .03
Accumulated Net
Realized Gains 30,689 .13
Unrealized Appreciation--Note D
Investment Securities 1,353,181 5.77
Futures Contracts 4,707 .02
- -----------------------------------------------------------------------------
NET ASSETS $4,862,974 $20.72
=============================================================================
</TABLE>
45
<PAGE> 78
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
GROWTH PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
General Electric Co. 1,606,708 $ 105,039
The Coca-Cola Co. 1,214,251 81,962
- Microsoft Corp. 586,962 74,214
Merck & Co., Inc. 591,269 61,196
Intel Corp. 401,164 56,790
Philip Morris Cos., Inc. 1,189,621 52,789
Procter & Gamble Co. 331,757 46,861
Johnson & Johnson 652,350 41,995
Bristol-Myers Squibb Co. 489,746 39,669
Wal-Mart Stores, Inc. 1,118,667 37,825
Pfizer, Inc. 316,229 37,789
E.I. du Pont de Nemours & Co. 552,920 34,765
American International
Group, Inc. 230,026 34,360
Eli Lilly & Co. 272,037 29,737
PepsiCo, Inc. 750,515 28,191
SBC Communications Inc. 446,774 27,644
Gillette Co. 272,929 25,860
Abbott Laboratories 378,885 25,291
American Home Products Corp. 315,337 24,123
Fannie Mae 519,700 22,672
Lucent Technologies, Inc. 313,425 22,586
- Cisco Systems, Inc. 325,062 21,820
Minnesota Mining &
Manufacturing Co. 203,847 20,792
GTE Corp. 467,754 20,523
Chase Manhattan Corp. 211,200 20,500
Ameritech Corp. 268,900 18,268
American Express Co. 231,622 17,256
Schering-Plough Corp. 358,380 17,157
Unilever NV ADR 78,367 17,084
Warner-Lambert Co. 132,876 16,510
Home Depot, Inc. 237,900 16,400
McDonald's Corp. 337,912 16,325
- Oracle Corp. 320,072 16,104
Schlumberger Ltd. 120,953 15,119
Kimberly-Clark Corp. 274,146 13,639
- Compaq Computer Corp. 134,500 13,349
Xerox Corp. 158,500 12,502
Monsanto Co. 289,773 12,478
Eastman Kodak Co. 161,135 12,367
AlliedSignal Inc. 138,600 11,642
Northern Telecom Ltd. 127,307 11,585
Anheuser-Busch Cos., Inc. 243,037 10,192
Computer Associates
International, Inc. 177,811 9,902
Sara Lee Corp. 235,221 9,791
First Data Corp. 219,808 9,658
- Dell Computer Corp. 82,078 9,634
United Technologies Corp. 116,000 9,628
Medtronic, Inc. 116,636 9,448
Colgate-Palmolive Co. 144,586 9,434
Kellogg Co. 101,811 8,718
H.J. Heinz Co. 180,090 8,307
NIKE, Inc. Class B 141,408 8,255
Texas Instruments, Inc. 93,600 7,868
Amgen, Inc. 129,781 7,535
ConAgra, Inc. 117,011 7,503
- 3Com Corp. 162,649 7,309
Baxter International, Inc. 136,142 7,113
Gannett Co., Inc. 69,378 6,851
Automatic Data Processing, Inc. 143,402 6,740
- Sun Microsystems, Inc. 180,626 6,717
CPC International, Inc. 70,190 6,479
Walgreen Co. 120,583 6,466
- Applied Materials, Inc. 88,738 6,278
Corning, Inc. 112,404 6,253
Illinois Tool Works, Inc. 122,090 6,097
MBNA Corp. 163,691 5,995
Tyco International Ltd. 84,872 5,904
- Boston Scientific Corp. 95,387 5,860
Marsh & McLennan Cos., Inc. 81,278 5,801
Dayton-Hudson Corp. 106,252 5,651
First Bank System, Inc. 65,312 5,576
The Gap, Inc. 134,014 5,210
- CUC International, Inc. 200,114 5,165
General Mills, Inc. 78,958 5,142
Pitney Bowes, Inc. 71,400 4,962
- Tellabs, Inc. 88,484 4,933
Halliburton Co. 61,968 4,911
Mattel, Inc. 142,765 4,836
- Tele-Communications, Inc.
Class A 321,843 4,767
Unocal Corp. 122,300 4,747
Honeywell, Inc. 62,300 4,727
- EMC Corp. 120,599 4,703
Avon Products, Inc. 64,674 4,564
Air Products & Chemicals, Inc. 53,764 4,368
Praxair, Inc. 77,280 4,328
Ralston-Ralston Purina Group 52,081 4,280
Fifth Third Bancorp 51,909 4,257
CVS Corp. 81,845 4,195
- HEALTHSOUTH Corp. 168,000 4,190
Hershey Foods Corp. 74,868 4,141
Wrigley, (Wm.) Jr. Co. 56,909 3,813
Marriott International 61,966 3,803
- The Kroger Co. 124,372 3,607
Charles Schwab Corp. 85,700 3,487
Dover Corp. 54,938 3,379
The Clorox Co. 25,335 3,344
Cognizant Corp. 81,977 3,320
Hilton Hotels Corp. 122,148 3,245
Pioneer Hi-Bred International, Inc. 40,315 3,225
Sysco Corp. 85,465 3,119
Union Pacific Resources
Group, Inc. 124,338 3,093
Newell Co. 77,875 3,086
Guidant Corp. 36,300 3,086
Cardinal Health, Inc. 53,200 3,046
Becton, Dickinson & Co. 59,800 3,027
The Quaker Oats Co. 66,856 3,000
Rite Aid Corp. 60,113 2,998
Newmont Mining Corp. 76,474 2,983
Freeport-McMoRan Copper &
Gold Inc. Class B 94,224 2,933
Comcast Corp. Class A Special 132,749 2,829
Winn-Dixie Stores, Inc. 73,013 2,720
- Computer Sciences Corp. 37,440 2,700
International Flavors &
Fragrances, Inc. 53,424 2,698
</TABLE>
46
<PAGE> 79
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C>
- Parametric Technology Corp. 62,500 $ 2,656
- Bay Networks, Inc. 97,349 2,586
Equifax, Inc. 68,500 2,547
UST Inc. 89,976 2,497
Interpublic Group of Cos., Inc. 40,198 2,465
Hercules, Inc. 49,230 2,357
Allegheny Teledyne Inc. 86,200 2,327
- LSI Logic Corp. 69,323 2,218
Rubbermaid, Inc. 73,400 2,184
- Cabletron Systems, Inc. 76,276 2,160
Avery Dennison Corp. 50,638 2,032
TJX Cos., Inc. 76,096 2,007
State Street Corp. 43,300 2,003
W.R. Grace & Co. 35,600 1,962
The Stanley Works 43,600 1,744
Perkin-Elmer Corp. 21,425 1,705
- General Instrument Corp. 67,026 1,676
- Ceridian Corp. 39,363 1,663
H & R Block, Inc. 51,000 1,645
Raychem Corp. 21,346 1,588
Ecolab, Inc. 31,814 1,519
Pall Corp. 61,965 1,441
- US Airways Group Inc. 38,479 1,347
- WorldCom, Inc. 41,706 1,332
Reebok International Ltd. 27,500 1,286
- Andrew Corp. 44,605 1,249
Adobe Systems, Inc. 35,100 1,231
- ALZA Corp. 41,648 1,208
Whitman Corp. 49,800 1,195
Owens Corning 26,059 1,124
Tupperware Corp. 30,200 1,102
- Oryx Energy Co. 51,638 1,091
Biomet, Inc. 54,460 1,014
Tektronix, Inc. 16,279 977
Millipore Corp. 21,350 939
Autodesk, Inc. 23,400 897
Foster Wheeler Corp. 19,860 804
Shared Medical Systems Corp. 12,219 657
Aeroquip-Vickers Inc. 13,702 647
Comcast Corp. Class A 27,755 579
Jostens Inc. 18,100 484
The Dun & Bradstreet Corp. 8,800 231
- Armco, Inc. 49,231 191
Sigma-Aldrich Corp. 4,610 161
Freeport-McMoRan Copper &
Gold Inc. Class A 4,000 117
- Fresenius National Medical
Care Pfd. 21,100 1
- -----------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.6%)(1)
(COST $1,311,033) 1,685,554
- -----------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.5%)
- -----------------------------------------------------------------------------
U.S. TREASURY BILLS
(2) 5.21%, 7/24/97 $ 300 299
(2) 5.27%, 8/7/97 200 199
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.93%, 7/1/97 8,186 8,186
- -----------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $8,684) 8,684
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(COST $1,319,717) 1,694,238
- -----------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- -----------------------------------------------------------------------------
Receivables for Investment
Securities Sold 180,829
Other Assets--Note B 15,368
Payables for Investment
Securities Purchased (190,401)
Other Liabilities (6,942)
-----------
(1,146)
- -----------------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------------
Applicable to 80,897,123 outstanding
shares of beneficial interest
(unlimited authorization) $1,693,092
=============================================================================
NET ASSET VALUE PER SHARE $20.93
=============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-Income Producing Security.
(1) The combined market value of common stocks and S&P/BARRA Growth Index
futures contracts represents 99.7% of net assets.
(2) Securities with an aggregate value of $498,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depository Receipt.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
AT JUNE 30, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,295,482 $16.02
Undistributed Net
Investment Income 55 --
Accumulated Net
Realized Gains 22,970 .28
Unrealized Appreciation--
Note D
Investment Securities 374,521 4.63
Futures Contracts 64 --
- -----------------------------------------------------------------------------
NET ASSETS $1,693,092 $20.93
=============================================================================
</TABLE>
47
<PAGE> 80
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
VALUE PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Exxon Corp. 1,044,412 $ 64,231
Royal Dutch Petroleum Co. ADR 937,432 50,973
International Business
Machines Corp. 417,700 37,671
AT&T Corp. 683,400 23,962
Hewlett-Packard Co. 427,199 23,923
Citicorp 194,871 23,494
Mobil Corp. 330,932 23,124
The Walt Disney Co. 283,843 22,778
Chevron Corp. 274,880 20,324
NationsBank Corp. 307,030 19,803
BellSouth Corp. 417,482 19,361
BankAmerica Corp. 298,268 19,257
Motorola, Inc. 249,912 18,993
Ford Motor Co. 500,439 18,892
Amoco Corp. 209,018 18,171
General Motors Corp. 306,667 17,077
Travelers Group Inc. 269,747 17,011
The Boeing Co. 303,188 16,088
Bell Atlantic Corp. 184,084 13,967
Allstate Corp. 185,432 13,537
Texaco Inc. 110,843 12,054
- WorldCom, Inc. 375,352 11,988
Banc One Corp. 246,209 11,926
Time Warner, Inc. 235,021 11,340
First Union Corp. 120,401 11,137
MCI Communications Corp. 288,937 11,052
Columbia/HCA Healthcare Corp. 280,874 11,042
NYNEX Corp. 185,193 10,672
Morgan Stanley, Dean Witter,
Discover and Co. 240,993 10,378
Emerson Electric Co. 187,198 10,308
Wells Fargo & Co. 37,677 10,154
Frederal Home Loan
Mortgage Corp. 292,324 10,049
Campbell Soup Co. 194,427 9,721
Atlantic Richfield Co. 135,412 9,547
Sprint Corp. 181,100 9,530
Chrysler Corp. 289,300 9,493
Sears, Roebuck & Co. 164,900 8,863
Norwest Corp. 157,131 8,839
Dow Chemical Co. 98,176 8,554
Caterpillar, Inc. 79,488 8,535
Lockheed Martin Corp. 81,261 8,416
Merrill Lynch & Co., Inc. 139,370 8,310
J.P. Morgan & Co., Inc. 77,539 8,093
First Chicago NBD Corp. 131,408 7,950
U S WEST
Communications Group 201,569 7,597
Pharmacia & Upjohn, Inc. 213,523 7,420
Union Pacific Corp. 103,800 7,318
Duke Energy Corp. 151,117 7,244
The Bank of New York Co., Inc. 162,776 7,081
Fleet Financial Group, Inc. 110,174 6,968
Aetna Inc. 63,515 6,502
The Seagram Co. Ltd. 155,931 6,276
Southern Co. 286,699 6,271
General Re Corp. 34,071 6,201
Waste Management Inc. 192,788 6,193
Westinghouse Electric Corp. 266,441 6,161
International Paper Co. 126,494 6,143
McDonnell Douglas Corp. 88,321 6,050
Deere & Co. 107,378 5,892
Burlington Northern
Santa Fe Corp. 64,835 5,827
- AirTouch Communications, Inc. 211,600 5,793
PNC Bank Corp. 135,366 5,635
CIGNA Corp. 31,138 5,527
Aluminum Co. of America 73,051 5,506
J.C. Penney Co., Inc. 103,869 5,421
Norfolk Southern Corp. 52,775 5,317
Rockwell International Corp. 89,668 5,290
Archer-Daniels-Midland Co. 224,378 5,273
Household International, Inc. 44,731 5,253
KeyCorp 93,949 5,249
- U S WEST Media Group 255,071 5,165
SunTrust Banks, Inc. 92,776 5,108
CSX Corp. 91,519 5,079
Raytheon Co. 99,377 5,068
Enron Corp. 120,500 4,918
The Chubb Corp. 73,499 4,915
Mellon Bank Corp. 108,884 4,913
National City Corp. 92,810 4,873
Phillips Petroleum Co. 110,928 4,853
American General Corp. 101,538 4,848
Loews Corp. 48,375 4,844
May Department Stores Co. 101,018 4,773
CoreStates Financial Corp. 86,977 4,675
- Viacom Inc. Class B 155,083 4,652
Textron, Inc. 69,330 4,602
BankBoston Corp. 61,734 4,449
PPG Industries, Inc. 75,830 4,408
Barnett Banks, Inc. 83,596 4,389
Weyerhaeuser Co. 83,410 4,337
Edison International 172,497 4,291
- Toys R Us, Inc. 120,190 4,207
PG&E Corp. 171,983 4,171
The Goodyear Tire & Rubber Co. 65,617 4,154
Hartford Financial Services
Group Inc. 49,585 4,103
United Healthcare Corp. 78,321 4,073
U.S. Bancorp 62,060 3,980
Wachovia Corp. 67,984 3,964
AMP, Inc. 92,389 3,857
- HFS Inc. 66,293 3,845
Albertson's, Inc. 104,853 3,827
- Tenet Healthcare Corp. 126,823 3,749
- Seagate Technology 103,100 3,628
Aon Corp. 69,953 3,620
FPL Group, Inc. 77,792 3,583
- Micron Technology, Inc. 89,630 3,580
- AMR Corp. 38,334 3,546
USX-Marathon Group 122,760 3,545
Occidental Petroleum Corp. 138,730 3,477
Barrick Gold Corp. 156,800 3,450
American Electric Power Co., Inc. 79,344 3,332
Alcan Aluminium Ltd. 95,498 3,313
Service Corp. International 100,630 3,308
Georgia-Pacific Corp. 38,463 3,284
</TABLE>
48
<PAGE> 81
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Tenneco, Inc. 72,069 $ 3,257
Texas Utilities Co. 94,498 3,254
Great Western Financial Corp. 57,829 3,108
- Federated Department Stores 87,433 3,038
American Stores Co. 61,349 3,029
Comerica, Inc. 44,475 3,024
Browning-Ferris Industries, Inc. 90,615 3,013
- ITT Corp. 48,986 2,991
TRW, Inc. 52,564 2,986
- Costco Cos., Inc. 88,850 2,921
Williams Cos., Inc. 66,637 2,915
Consolidated Edison Co. of
New York, Inc. 98,809 2,909
Crown Cork & Seal Co., Inc. 53,331 2,850
Conseco Inc. 77,000 2,849
Bankers Trust New York Corp. 32,677 2,843
Dominion Resources, Inc. 77,548 2,840
Eaton Corp. 32,513 2,839
Masco Corp. 67,807 2,831
Ingersoll-Rand Co. 45,626 2,817
Lincoln National Corp. 43,415 2,795
- Federal Express Corp. 48,099 2,778
Dresser Industries, Inc. 74,139 2,762
Entergy Corp. 99,945 2,736
PacifiCorp 124,326 2,735
Fortune Brands, Inc. 72,344 2,699
St. Paul Cos., Inc. 35,174 2,682
Lowe's Cos., Inc. 71,820 2,666
ALLTEL Corp. 78,500 2,625
TransAmerica Corp. 27,885 2,609
Genuine Parts Co. 75,728 2,565
Delta Air Lines, Inc. 30,882 2,532
Salomon, Inc. 45,468 2,529
- Kmart Corp. 203,993 2,499
Union Carbide Corp. 52,828 2,486
SAFECO Corp. 53,155 2,482
Cooper Industries, Inc. 49,816 2,478
Tribune Co. 51,419 2,471
The McGraw-Hill Cos. 41,927 2,466
UNUM Corp. 58,658 2,464
Republic New York Corp. 22,896 2,461
Public Service Enterprise
Group Inc. 97,516 2,438
MGIC Investment Corp. 49,700 2,382
Coastal Corp. 44,564 2,370
Rohm & Haas Co. 26,160 2,356
Baker Hughes, Inc. 60,528 2,342
- Digital Equipment Corp. 65,445 2,319
Burlington Resources, Inc. 52,437 2,314
The Limited, Inc. 114,000 2,308
CINergy Corp. 66,281 2,307
VF Corp. 26,908 2,280
Carolina Power & Light Co. 63,501 2,278
R.R. Donnelley & Sons Co. 61,602 2,256
Champion International Corp. 40,216 2,222
Phelps Dodge Corp. 26,016 2,216
Times Mirror Co. Class A 40,050 2,213
Sherwin-Williams Co. 71,460 2,206
Reynolds Metals Co. 30,768 2,192
Amerada Hess Corp. 39,034 2,169
Case Corp. 31,232 2,151
Consolidated Natural Gas Co. 39,933 2,149
Northrop Grumman Corp. 24,402 2,143
- Thermo Electron Corp. 61,920 2,128
- Advanced Micro Devices, Inc. 58,990 2,124
Houston Industries, Inc. 98,317 2,108
Inco Ltd. 70,059 2,106
New York Times Co. Class A 42,308 2,094
Torchmark Corp. 29,382 2,093
Eastman Chemical Co. 32,911 2,090
Nucor Corp. 36,976 2,089
Jefferson-Pilot Corp. 29,735 2,078
MBIA, Inc. 18,200 2,053
Unicom Corp. 91,008 2,025
Green Tree Financial Corp. 56,363 2,008
General Dynamics Corp. 26,261 1,970
PECO Energy Corp. 93,558 1,965
Fluor Corp. 35,195 1,942
Laidlaw Inc. Class B 137,845 1,904
Parker Hannifin Corp. 31,338 1,902
Central & South West Corp. 89,286 1,897
Knight-Ridder, Inc. 38,294 1,879
Sonat, Inc. 36,156 1,853
- National Semiconductor Corp. 59,435 1,820
H.F. Ahmanson & Co. 42,307 1,819
GPU Inc. 50,655 1,817
Morton International, Inc. 58,874 1,777
Whirlpool Corp. 31,278 1,707
W.W. Grainger, Inc. 21,712 1,698
Golden West Financial Corp. 24,145 1,690
DTE Energy Co. 61,060 1,687
- Western Atlas, Inc. 22,641 1,658
Baltimore Gas & Electric Co. 62,072 1,657
Dillard's Inc. 47,749 1,653
Dana Corp. 43,402 1,649
Nordstrom, Inc. 33,500 1,641
Willamette Industries, Inc. 23,296 1,631
Placer Dome, Inc. 99,335 1,627
Dow Jones & Co., Inc. 40,282 1,619
Union Electric Co. 42,929 1,618
Beneficial Corp. 22,570 1,604
- Humana, Inc. 68,500 1,584
Southwest Airlines Co. 61,200 1,584
Hasbro, Inc. 53,891 1,529
Columbia Gas Systems, Inc. 23,242 1,517
PACCAR, Inc. 32,700 1,516
Pennzoil Co. 19,746 1,515
Northern States Power Co. 29,082 1,505
- St. Jude Medical, Inc. 38,400 1,498
Brown-Forman Corp. Class B 30,262 1,477
Black & Decker Corp. 39,700 1,476
- AutoZone Inc. 62,550 1,474
Circuit City Stores, Inc. 41,239 1,467
Union Camp Corp. 29,103 1,455
Ashland Inc. 31,268 1,450
Sigma-Aldrich Corp. 41,490 1,450
Johnson Controls, Inc. 35,228 1,446
Wendy's International, Inc. 55,270 1,434
Harris Corp. 16,744 1,407
Ohio Edison Co. 64,181 1,400
</TABLE>
49
<PAGE> 82
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
VALUE PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C>
Liz Claiborne, Inc. 29,707 $ 1,385
Harcourt General, Inc. 29,023 1,382
PP&L Resources Inc. 69,104 1,378
IKON Office Solutions 55,035 1,372
Frontier Corp. 68,760 1,371
The Mead Corp. 21,970 1,368
- Woolworth Corp. 56,420 1,354
Westvaco Corp. 42,841 1,347
James River Corp. 36,353 1,345
Great Lakes Chemical Corp. 25,165 1,318
Brunswick Corp. 41,637 1,301
ITT Industries, Inc. 49,783 1,282
Tandy Corp. 22,842 1,279
Kerr-McGee Corp. 20,162 1,278
Engelhard Corp. 60,700 1,271
- Providian Financial Corp. 39,467 1,268
USX-U.S. Steel Group 35,980 1,262
Armstrong World Industries Inc. 17,165 1,259
Temple-Inland Inc. 23,289 1,258
- FMC Corp. 15,663 1,244
Aegon NV ARS 17,710 1,241
Thomas & Betts Corp. 22,751 1,196
Deluxe Corp. 34,600 1,181
Pacific Enterprises 35,086 1,180
Mallinckrodt, Inc. 30,826 1,171
American Greetings Corp. Class A 31,510 1,166
U.S. Surgical Corp. 30,768 1,146
Cummins Engine Co., Inc. 16,053 1,133
- Silicon Graphics, Inc. 74,464 1,117
USF&G Corp. 46,400 1,114
Bausch & Lomb, Inc. 23,387 1,102
- DSC Communications Corp. 49,322 1,097
Maytag Corp. 41,030 1,072
Nalco Chemical Co. 27,720 1,071
Ryder System, Inc. 32,150 1,061
Polaroid Corp. 18,884 1,048
Snap-On Inc. 25,629 1,009
- Novell, Inc. 145,907 1,008
- Rowan Cos., Inc. 35,550 1,002
Louisiana-Pacific Corp. 47,099 995
- Fruit of the Loom, Inc. 32,019 993
- Tandem Computers, Inc. 48,695 986
The BFGoodrich Co. 22,738 985
Cyprus Amax Minerals Co. 40,088 982
Mercantile Stores Co., Inc. 15,457 973
SuperValu Inc. 28,124 970
Bemis Co., Inc. 22,306 965
The Timken Co. 26,944 958
Sun Co., Inc. 30,680 951
Echlin, Inc. 26,273 946
National Service Industries, Inc. 18,939 922
General Signal Corp. 21,116 921
Allergan, Inc. 28,100 894
C.R. Bard, Inc. 24,590 893
Pep Boys (Manny, Moe & Jack) 26,200 892
NorAm Energy Corp. 58,158 887
Manor Care Inc. 27,068 883
Harnischfeger Industries Inc. 20,520 852
Louisiana Land & Exploration Co. 14,774 844
Giant Food, Inc. Class A 25,747 840
Homestake Mining Co. 63,500 829
Crane Co. 19,783 827
- Harrah's Entertainment, Inc. 44,200 796
- Apple Computer, Inc. 54,716 776
Worthington Industries, Inc. 41,256 755
Boise Cascade Corp. 20,882 737
NICOR, Inc. 20,537 737
Moore Corp. Ltd. 37,059 730
Cooper Tire & Rubber Co. 33,091 728
Scientific-Atlanta, Inc. 32,617 714
McDermott International, Inc. 23,632 690
ENSERCH Corp. 30,529 679
- Beverly Enterprises, Inc. 41,701 678
Alberto-Culver Co. Class B 24,094 675
Meredith Corp. 22,421 650
Helmerich & Payne, Inc. 10,908 629
Stone Container Corp. 43,434 622
Caliber System Inc. 16,355 609
Darden Restaurants Inc. 65,818 596
- Santa Fe Energy Resources, Inc. 39,600 582
ASARCO, Inc. 18,765 575
King World Productions, Inc. 16,361 573
- Unisys Corp. 75,060 572
Countrywide Credit Industries, Inc. 18,300 571
Potlatch Corp. 12,258 555
Peoples Energy Corp. 14,669 549
Briggs & Stratton Corp. 10,950 547
- Navistar International Corp. 31,622 545
Inland Steel Industries, Inc. 20,872 545
- Niagara Mohawk Power Corp. 63,396 543
Battle Mountain Gold Co. Class A 91,980 523
Centex Corp. 12,199 496
- Bethlehem Steel Corp. 47,190 493
- Amdahl Corp. 53,223 466
Fleetwood Enterprises, Inc. 15,322 457
- Data General Corp. 17,555 456
Russell Corp. 15,290 453
Springs Industries Inc. Class A 8,526 450
Cincinnati Milacron, Inc. 17,253 448
EG & G, Inc. 19,825 446
Great Atlantic & Pacific Tea
Co., Inc. 16,177 440
Longs Drug Stores, Inc. 16,452 431
Adolph Coors Co. Class B 16,016 422
Safety-Kleen Corp. 24,390 412
Ball Corp. 13,181 396
ONEOK, Inc. 11,800 380
Echo Bay Mines Ltd. 58,285 335
Pulte Corp. 9,491 328
Giddings & Lewis, Inc. 14,250 296
Kaufman & Broad Home Corp. 16,757 294
Eastern Enterprises 8,325 289
Fleming Cos., Inc. 15,963 287
John H. Harland Co. 11,875 271
Stride Rite Corp. 20,317 262
- Charming Shoppes, Inc. 45,421 237
NACCO Industries, Inc. Class A 3,530 199
- Intergraph Corp. 19,926 167
- Viacom Inc. Class A 766 23
- -----------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.9%)(1)
(COST $1,093,644) 1,414,801
- -----------------------------------------------------------------------------
</TABLE>
50
<PAGE> 83
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -----------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.5%)
- -----------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2) 5.21%, 7/24/97 $ 400 $ 399
(2) 5.27%, 8/7/97 200 199
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.93%, 7/1/97 7,011 7,011
- -----------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $7,609) 7,609
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS (100.4%)
(COST $1,101,253) 1,422,410
- -----------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.4%)
- -----------------------------------------------------------------------------
Receivables for Investment
Securities Sold 161,063
Other Assets--Notes B and E 10,638
Payables for Investment
Securities Purchased (166,398)
Other Liabilities--Note E (11,265)
------------
(5,962)
- -----------------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------------
Applicable to 73,365,109 outstanding
shares of beneficial interest
(unlimited authorization) $1,416,448
=============================================================================
NET ASSET VALUE PER SHARE $19.31
=============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-Income Producing Security.
(1) The combined market value of common stocks and S&P/BARRA Value Index
futures contracts represents 100.4% of net assets.
(2) Securities with an aggregate value of $598,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depository Receipt.
ARS--American Registered Share.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------------
AT JUNE 30, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,063,571 $14.50
Undistributed Net
Investment Income 3,259 .04
Accumulated Net
Realized Gains 28,435 .39
Unrealized Appreciation--Note D
Investment Securities 321,157 4.38
Futures Contracts 26 --
- -----------------------------------------------------------------------------
NET ASSETS $1,416,448 $19.31
=============================================================================
</TABLE>
51
<PAGE> 84
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
COMMON STOCKS
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
AAR Corp. 51,300 $ 1,658
ABM Industries 52,000 1,004
- ABR Information Services, Inc. 55,850 1,616
- ABT Building Products Corp. 40,200 1,040
- ACC Corp. 40,700 1,259
- ACT Networks, Inc. 4,500 58
- ADE Corp. 24,400 721
- AEP Industries, Inc. 10,000 391
AGL Resources Inc. 147,600 3,044
AK Steel Corp. 54,100 2,387
AMLI Residential Properties
Trust REIT 37,500 886
- APAC Teleservices, Inc. 2,600 51
APL Ltd. 56,500 1,766
- AST Research, Inc. 61,459 323
- ATS Medical, Inc. 6,100 30
Aames Financial Corp. 64,050 1,185
- Abercrombie & Fitch Co. 107,200 1,983
- Access Health Marketing, Inc. 33,200 818
- Acclaim Entertainment Inc. 51,900 217
The Ackerley Group, Inc. 55,400 623
- ACNielson Corp. 134,500 2,640
Acordia, Inc. 35,000 1,400
- Actel Corp. 59,600 1,013
- Activision, Inc. 15,500 223
- Action Performance Cos., Inc. 36,200 880
- Acuson Corp. 65,050 1,496
- ACX Technologies Inc. 47,800 1,075
- Acxiom Corp. 123,150 2,532
ADAC Laboratories 49,633 1,173
- Adelphia Communications Corp.
Class A 15,100 109
- Adtran, Inc. 41,100 1,020
- Advanced Lighting
Technologies, Inc. 20,700 528
- Advanced Polymer Systems 35,900 276
- Advanced Technology
Laboratories, Inc. 37,800 1,621
Advanced Technology
Materials, Inc. 24,000 705
- Advanced Tissue Sciences Inc. 109,800 1,421
- Advent Software, Inc. 21,600 568
- ADVO, Inc. 84,150 1,367
Aeroquip-Vickers Inc. 8,000 378
- Affiliated Computer Services, Inc. 93,700 2,624
- Affymetrix, Inc. 52,500 1,821
- Aftermarket Technology Corp. 28,000 619
- Ag-Chem Equipment CO., Inc. 9,890 221
- Agouron Pharmaceuticals, Inc. 34,503 2,793
- Air and Water Technologies Corp.
Class A 25,500 77
Air Express International Corp. 47,600 1,888
Airborne Freight Corp. 54,300 2,274
- AirNet Systems, Inc. 35,500 581
- Alaska Air Group, Inc. 53,100 1,361
Albank Financial Corp. 32,040 1,274
Albany International Corp. 67,400 1,516
Albemarle Corp. 67,700 1,426
Alberto-Culver Co. Class B 40,800 1,142
Alex Brown, Inc. 29,000 2,048
- Alexander's, Inc. 13,500 950
Alfa Corp. 60,200 847
Aliant Communications, Inc. 91,600 1,792
- Alkermes, Inc. 52,300 765
- All American
Communications, Inc. 41,050 608
- Allen Telecom Inc. 60,260 1,250
- Alliance Pharmaceutical Corp. 74,700 745
- Alliance Semiconductor Corp. 84,200 687
- Alliant Techsystems, Inc. 23,500 1,292
Allied Group, Inc. 51,050 1,940
Allied Products Corp. 18,600 616
- Allied Waste Industries, Inc. 162,600 2,769
- Alltrista Corp. 33,993 920
- Allwaste, Inc. 152,800 1,452
Alpharma Inc. Class A 48,200 768
- Alpine Group, Inc. 45,000 509
- Alternate Living Services, Inc. 16,200 363
- Alternative Resources Corp. 36,700 747
- Altron, Inc. 63,000 957
- Amati Communications Corp. 37,700 410
- Amax Gold, Inc. 125,031 766
- Amazon.com, Inc. 16,500 308
Ambassador Apartments Inc. REIT 18,000 448
Amcast Industrial Corp. 41,600 1,040
AMCOL International Corp. 62,700 1,133
Amcore Financial 38,280 1,057
- Amerco Inc. 48,420 1,468
- America West Holdings Corp.
Class B 127,200 1,844
American Annuity Group Inc. 42,800 770
American Bankers
Insurance Group 43,700 2,761
- American Buildings Co. 19,300 531
American Business Products, Inc. 35,800 814
- American Exploration Co. 36,800 538
American Federal Bank 12,400 404
- American Freightways 61,700 968
American Health Properties, Inc. 53,600 1,347
American Heritage Life
Investment Corp. 37,832 1,248
- American Homestar Corp. 37,500 797
- American Management
Systems, Inc. 89,700 2,405
- American Media Class A 164,400 1,151
- American Mobile Satellite
Corp., Inc. 33,300 343
- American Pad & Paper Co. 69,800 1,178
- American Oncology
Resources, Inc. 117,100 1,969
- American Radio Systems Corp. 69,360 2,766
- American Residential
Services, Inc. 39,200 911
- AmeriCredit Corp. 75,400 1,583
- Amerin Corp. 59,500 1,443
Ameron International Corp. 18,200 1,031
- AmeriSource Health Corp. 63,400 3,162
- AmeriTrade Holding Corp. 34,800 546
Ametek, Inc. 84,300 1,981
- Amresco, Inc. 69,700 1,503
- Ampex Corp. Class A 98,400 578
</TABLE>
52
<PAGE> 85
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Amphenol Corp. 10,000 $ 389
- - Amscan Holdings, Inc. 36,800 478
- - Amylin Pharmaceuticals, Inc. 10,000 137
- - ANADIGICS, Inc. 10,600 330
Analogic Corp. 31,700 1,088
Analysts International Corp. 35,600 1,193
Anchor Bancorp Wisconsin Inc. 23,375 1,151
- - Anchor Gaming 21,500 1,025
Angelica Corp. 33,700 590
- - Anixter International Inc. 91,500 1,573
- - AnnTaylor Stores Corp. 63,600 1,240
- - Antec Corp. 75,100 880
Apartment Investment &
Management Co. Class A REIT 33,200 938
Apogee Enterprises, Inc. 73,200 1,569
Apple South, Inc. 72,850 1,113
Applebee's International, Inc. 79,100 2,121
- - Applied Innovation Inc. 1,600 6
- - Applied Graphics
Technologies, Inc. 24,900 987
Applied Industrial
Technologies, Inc. 32,500 1,170
- - Applied Magnetics Corp. 62,800 1,421
Applied Power, Inc. 33,600 1,735
- - Apria Healthcare 148,200 2,631
Aptargroup Inc. 47,700 2,158
Aquarion Co. 29,306 791
Arbor Drugs, Inc. 72,485 1,457
- - Arbor Health Care Co. 22,200 699
- - Arbor Software Corp. 41,534 1,467
- - Arcadia Financial Ltd. 90,300 830
Arctic Cat, Inc. 67,300 707
Arden Realty Group, Inc. 44,800 1,165
- - Argyle Television, Inc. 17,300 438
Argonaut Group, Inc. 43,000 1,279
- - Armco, Inc. 229,000 887
Arnold Industries, Inc. 69,700 1,194
- - ArQule, Inc. 30,300 523
Arrow International, Inc. 28,900 847
- - Arterial Vascular Engineering, Inc. 63,900 2,055
Arvin Industries, Inc. 60,000 1,635
ASA Holdings Inc. 56,800 1,624
- - Ascent Entertainment Group, Inc. 72,830 676
Ashland Coal Inc. 34,400 980
- - Aspect
Telecommunications Corp. 128,500 2,843
- - Aspen Technologies, Inc. 51,200 1,925
Associated Banc-Corp. 53,939 2,124
- - Associated Group, Inc. 26,924 1,070
- - Associated Group, Inc. Class B 375 14
Astoria Financial Corp. 44,900 2,133
Atlantic Energy, Inc. 137,800 2,317
- - Atlantic Tele-Network, Inc. 23,200 290
Atmos Energy Corp. 41,600 998
- - Atria Communities, Inc. 20,000 305
- - Aura Systems, Inc. 103,100 176
- - Aurum Software, Inc. 15,000 358
- - Auspex Systems, Inc. 78,300 759
Authentic Fitness Corp. 79,000 997
Avalon Properties, Inc. REIT 76,200 2,181
- - Avant! Corp. 53,638 1,731
- - Avatar Holding, Inc. 28,800 976
- - Aviall Inc. 74,275 1,040
- - Aviation Sales Co. 12,800 314
- - Avid Technology, Inc. 53,400 1,412
- - Aware, Inc. 45,200 664
- - Aztar Corp. 95,800 677
- - BDM International, Inc. 77,100 1,764
BGS Systems, Inc. 5,000 144
- - BISYS Group, Inc. 66,900 2,808
- - BJ Services Co. 6,900 370
BMC Industries, Inc. 74,300 2,545
- - BRC Holdings Inc. 15,700 591
BRE Properties Inc. Class A REIT 83,248 2,092
BSB Bancorp, Inc. 12,001 453
BT Financial Corp. 1,300 56
- - BT Office Products
International, Inc. 76,300 572
- - BMC West Corp. 28,400 344
BW/IP Inc. 66,600 1,353
- - Bacou USA,Inc. 2,400 39
Baldor Electric Co. 50,870 1,504
Baldwin & Lyons, Inc. Class B 2,500 56
Ball Corp. 77,700 2,336
Ballard Medical Products 68,266 1,370
- - Bally's Grand, Inc. 6,700 338
BancorpSouth, Inc. 47,100 1,366
- - Banctec, Inc. 54,928 1,425
Bank of Granite Corp. 35,475 1,062
- - Bank Plus Corp. 54,700 591
Bank United Corp. Class A 59,600 2,276
BankAtlantic Bancorp, Inc.
Class B 54,500 770
Bank North Group 27,200 1,251
Banta Corp. 81,000 2,207
Barnes Group, Inc. 46,500 1,378
- - Barnett, Inc. 56,800 1,392
- - Barr Labs Inc. 39,300 1,729
- - Barrett Resources Corp. 81,200 2,431
Bassett Furniture Industries, Inc. 32,525 935
Battle Mountain Gold Co. Class A 208,100 1,184
Bay Apartment Communities,
Inc. REIT 57,500 2,127
Bay State Gas Co. 32,776 873
Bay View Capital Corp. 49,406 1,303
- - BE Avionics Inc. 45,500 1,436
Beacon Properties Corp. REIT 45,800 1,529
- - Belco Oil & Gas Corp. 29,800 639
Belden Inc. 65,800 2,241
- - Bell & Howell Co. 51,500 1,587
- - Benchmark Electronics, Inc. 2,300 93
- - Benton Oil & Gas Co. 76,600 1,149
- - Berg Electronics Corp. 23,700 852
W.R. Berkley Corp. 36,050 2,109
Berkshire Realty Co., Inc. REIT 95,600 1,016
Berry Petroleum Class A 72,500 1,377
- - Best Buy Co., Inc. 83,400 1,241
- - BET Holdings Inc. Class A 19,900 652
- - Billing Information Concepts 45,700 1,591
Bindly Western Industries, Inc. 43,500 998
- - Bio-Rad Laboratories, Inc.
Class A 29,900 779
</TABLE>
53
<PAGE> 86
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Biotechnology General 124,400 $ 1,683
- - Biomatrix, Inc. 49,900 936
Birmingham Steel Corp. 70,600 1,094
- - Black Box Corp. 44,100 1,774
Black Hills Corp. 35,500 1,012
Blair Corp. 6,500 93
E.W. Blanch Holdings, Inc. 1,000 27
Block Drug Co. Class A 32,542 1,420
Blount International, Inc. 27,400 1,166
Bob Evans Farms, Inc. 106,000 1,802
- - Bombay Co. 85,375 427
- - Boole & Babbage Inc. 59,962 1,263
- - Borg-Warner Security Corp. 67,500 1,207
- - Borland International, Inc. 63,400 442
- - Boston Beer Co., Inc. Class A 46,500 459
- - Boston Technology, Inc. 61,200 1,809
Bowne & Co., Inc. 45,000 1,569
- - Box Energy Corp. Class B 47,900 347
- - Boyd Gaming Corp. 64,100 369
Boykin Lodging Co. 22,800 546
Bradley Real Estate Inc. REIT 51,400 989
W.H. Brady Class A 56,700 1,643
Breed Technological Inc. 47,100 1,083
Brenton Banks, Inc. 33,699 925
- - Brightpoint, Inc. 57,613 1,878
- - Brinker International, Inc. 201,900 2,877
- - Bristol Hotel Co. 44,500 1,713
- - Broderbund Software, Inc. 47,600 1,178
- - Brooks Fiber Properties, Inc. 66,400 2,245
- - Brown Group, Inc. 64,800 1,211
Tom Brown, Inc. 48,100 1,025
Brush Wellman, Inc. 59,000 1,235
- - Brylane, Inc. 33,900 1,307
- - Buckeye Cellulose Corp. 39,600 1,336
- - The Buckle, Inc. 12,000 276
- - Budget Group, Inc. 34,500 1,190
- - Buffets Inc. 120,049 1,013
- - Burlington Coat Factory
Warehouse Corp. 26,700 521
- - Burlington Industries, Inc. 159,700 1,916
- - Burr-Brown Corp. 61,500 2,116
Bush Industries, Inc. 9,100 216
C & D Technology Inc. 24,600 922
- - CB Commerical Real Estate
Services, Inc. 12,629 384
CBL & Associates Properties,
Inc. REIT 52,700 1,265
CCB Financial Corp. 43,083 3,150
- - CCC Information Services Group 10,000 196
CFW Communications Co. 4,400 83
- - C-Cube Microsystems, Inc. 73,100 1,282
- - CDI Corp. 34,800 1,451
- - CDW Computer Centers, Inc. 11,900 631
- - CFM Technologies, Inc. 23,200 758
CFX Corp. 9,500 200
- - CHS Electronics, Inc. 1,900 50
CKE Restaurants Inc. 88,900 2,811
- - CKS Group, Inc. 18,700 633
CMAC Investment Corp. 60,500 2,889
CPI Corp. 55,000 1,155
- - CSS Industries, Inc. 11,300 357
CTG Resources Inc. 41,300 909
CNB Bancshares, Inc. 49,047 1,986
- - CNS, Inc. 75,800 701
- - CSF Holdings Inc. Contingent
Litigation Rights 29,125 15
- - CSG Systems International, Inc. 45,300 1,401
CTS Corp. 9,200 634
- - C-TEC Corp. 37,900 1,310
- - Cuno Inc. 53,350 880
CVB Financial Corp. 11,500 276
CWM Mortgage Holdings Inc. 127,700 3,057
- - Cablevision Systems Corp.
Class B 34,600 1,851
- - Cable Design Technologies 43,100 1,269
Cabot Oil & Gas Corp. Class A 70,626 1,245
- - CACI International, Inc. 25,400 391
- - Caere Corp. 20,000 146
- - Cairn Energy USA, Inc. 3,000 39
Calgon Carbon Corp. 105,100 1,458
Cali Realty Corp. REIT 90,800 3,087
- - California Microwave, Inc. 65,700 928
California Water Service Co. 25,813 1,142
CalMat Co. 62,400 1,342
Cambrex Corp. 30,600 1,213
Camco International, Inc. 41,960 2,297
Camden Property Trust REIT 77,968 2,466
- - Canandaigua Wine Co., Inc.
Class B 22,100 803
- - Canandaigua Wine Co., Inc.
Class A 18,100 614
- - Cannondale Corp. 23,100 405
- - Capital Factors Holdings, Inc. 31,000 531
Capital Re Corp. 27,400 1,466
Capital Transamerica Corp. 1,000 27
CapMAC Holdings Inc. 20,200 679
- - Capstone Pharmacy Services, Inc. 52,700 571
Capstone Capital Corp. 37,000 906
Capsure Holdings 61,400 794
Capstead Mortgage Corp. 92,700 2,289
Caraustar Industries, Inc. 63,400 2,195
- - CapStar Hotel Co. 27,500 880
- - CareMatrix Corp. 1,200 30
- - Caribiner International, Inc. 42,400 1,383
Carlisle Co., Inc. 73,100 2,549
- - Carmike Cinemas, Inc. Class A 38,500 1,261
Carpenter Technology Corp. 39,700 1,816
- - Carson Pirie Scott & Co. 41,300 1,311
Carter-Wallace, Inc. 50,900 910
Casey's General Stores 71,100 1,531
Cash America International Inc. 104,912 1,102
A.M. Castle & Co. 45,025 996
- - Castle & Cooke Inc. 47,600 788
- - Catalina Marketing Corp. 51,000 2,454
- - Catellus Development Corp. 92,550 1,677
- - Cellular Communications
International Inc. 24,800 821
- - Cellstar Corp. 64,500 1,979
- - Cellular Technical Services Co. 66,422 610
- - Cellularvision USA, Inc. 4,100 33
- - Centennial Cellular Corp. 41,300 648
- - Centennial Technologies, Inc. 22,600 51
</TABLE>
54
<PAGE> 87
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
CenterPoint Properties Corp. REIT 38,700 $ 1,229
Centex Corp. 11,400 463
Centex Construction Products 47,000 916
- - Central Garden and Pet Co. 28,500 709
Central Hudson Gas &
Electric Corp. 45,300 1,560
Central Louisiana Electric Co. 56,700 1,595
Central Maine Power Co. 80,814 1,000
Central Parking Corp. 21,600 752
Centura Banks, Inc. 15,400 706
- - Century Communications Corp.
Class A 124,316 684
- - Cephalon, Inc. 61,800 713
- - Cerner Corp. 60,500 1,270
- - Champion Enterprises, Inc. 136,948 2,054
- - Chancellor Broadcasting Co.
Class A 45,900 1,833
Chaparral Steel Co. 35,100 524
- - Charming Shoppes, Inc. 244,800 1,281
Chartwell Re Corp. 25,000 750
- - Chase Industries, Inc. 44,200 1,077
Chateau Communities, Inc. REIT 55,000 1,574
- - Checkfree Corp. 68,100 1,198
Checkpoint Systems, Inc. 88,800 1,426
Chelsea GCA Realty, Inc. REIT 30,200 1,148
Chemed Corp. 25,400 951
ChemFirst Inc. 53,700 1,457
Chemical Finance 22,162 781
Chesapeake Corp. of Virginia 52,600 1,775
Chesapeake Energy Corp. 140,900 1,383
- - Chicago Miniature Lamp, Inc. 8,150 204
- - Chips & Technologies, Inc. 58,600 606
Chiquita Brands International, Inc. 45,200 621
Chittenden Corp. 41,135 1,409
- - Choice Hotels Corp. Inc. 134,400 2,276
- - Christiana Cos., Inc. 3,200 128
Church & Dwight, Inc. 47,700 1,276
- - Chyron Corp. 12,499 56
- - Cidco, Inc. 25,800 354
Cilcorp, Inc. 34,500 1,421
Cincinnati Milacron, Inc. 101,277 2,627
Circle International Group, Inc. 45,700 1,211
- - Circuit City Stores, Inc.-
CarMax Group 59,000 844
- - Cirrus Logic 187,400 1,974
Citifed Bancorp 31,800 1,224
Citizens Banking Corp. 28,300 969
Citizens Corp. 35,000 967
- - Citizens Utilities Co. Class B 97,882 783
- - Citrix Systems, Inc. 73,500 3,227
City National Corp. 30,200 727
Claire's Stores, Inc. 122,250 2,139
Clarcor Inc. 47,050 1,164
- - Clarify, Inc. 33,600 379
Cleveland-Cliffs Iron Co. 27,400 1,117
- - Cliffs Drilling Co. 47,014 1,716
- - Clintrials Research, Inc. 38,900 474
- - Closure Medical Corp. 16,000 304
- - Coach USA, Inc. 16,800 446
Coachmen Industries, Inc. 42,200 723
- - Coast Savings Financial, Inc. 49,400 2,245
- - Coastcast Corp. 7,100 94
Coca-Cola Bottling Co. 21,122 1,014
- - Coeur D'Alene Mines Corp. 55,543 719
- - Cognex Corp. 82,400 2,189
- - Coherent Communications
Systems Corp. 37,900 943
- - Coherent, Inc. 27,900 1,246
- - Coho Energy, Inc. 65,100 696
Cohu, Inc. 17,800 554
- - Coinmach Laundry Corp. 17,400 418
- - Cole National Corp. Class A 40,600 1,786
- - Kenneth Cole Productions, Inc. 18,500 302
- - Coleman Inc. 12,000 207
Collective Bancorp, Inc. 51,600 2,328
- - Collins & Aikman Corp. 174,800 1,748
Colonial BancGroup, Inc. 67,400 1,634
Colonial Properties Trust REIT 66,700 1,959
- - Coltec Inc. 46,800 913
- - Columbia Laboratories Inc. 80,100 1,312
Columbus Realty Trust REIT 47,400 1,078
Commerce Bancorp, Inc. 42,155 1,634
Commerce Group, Inc. 53,700 1,322
Commercial Federal Corp. 55,450 2,059
Commercial Intertech Corp. 62,150 866
Commercial Metals Co. 30,566 986
- - Commnet Cellular Inc. 34,500 1,203
Commonwealth Bancorp 34,100 552
Commonwealth Energy Systems 47,600 1,139
Community First Bankshares 38,500 1,473
Community Trust Bancorp Inc. 18,360 495
- - Compdent Corp. 37,100 779
- - Complete Business Solutions, Inc. 13,500 329
- - CompuCom Systems, Inc. 2,300 16
- - CompuServe Corp. 123,000 1,326
- - Computer Network
Technology Corp. 10,000 45
- - Computer Management
Sciences, Inc. 26,225 547
- - Computer Products, Inc. 61,522 1,542
Computer Task Group, Inc. 35,800 1,334
- - Computervision Corp. 207,300 959
Comsat Corp. 114,900 2,736
- - Comstock Resources, Inc. 39,400 411
- - Comverse Technology, Inc. 54,700 2,855
- - Computer Horizons Corp. 57,300 1,959
- - Cone Mills Corp. 93,000 744
- - Conmed Corp. 34,050 583
- - Consolidated Cigar Holdings Inc. 28,600 794
- - Consolidated Freightways Corp. 34,300 563
- - Consolidated Graphics, Inc. 11,600 484
- - Consolidated Products Inc. 64,290 1,197
- - Control Data Corp. 41,800 617
- - Converse Inc. 14,000 310
Adolph Coors Co. Class B 93,000 2,464
- - CopyTele, Inc. 131,000 708
- - Cor Therapeutics, Inc. 76,600 823
- - CoreComm Inc. 45,100 772
- - COREStaff, Inc. 69,200 1,873
Cornerstone Properties, Inc. REIT 98,700 1,518
- - Cort Business Services Corp. 24,900 735
Corus Bankshares Inc. 24,700 712
</TABLE>
55
<PAGE> 88
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Cost Plus, Inc. 7,000 $ 181
Cousins Properties, Inc. REIT 59,100 1,640
- - Covance, Inc. 141,000 2,723
- - Covenant Transport, Inc. 33,000 532
- - Coventry Corp. 77,300 1,176
- - Cox Radio, Inc. 1,000 26
Crawford & Co. Class B 88,650 1,441
- - Creative Biomolecules, Inc. 24,200 173
- - Credence Systems Corp. 61,700 1,849
- - Credit Acceptance Corp. 53,200 683
- - Cree Research, Inc. 38,300 464
Crescent Real Estate, Inc. REIT 44,300 1,407
- - Crescent Operating, Inc. 5,740 75
CRIIMI MAE, Inc. REIT 99,600 1,594
Crompton & Knowles Corp. 44,612 993
A.T. Cross Co. Class A 44,900 572
- - Cross-Continent Auto
Retailers, Inc. 31,800 336
Cross Timbers Oil Co. 58,850 1,133
Crown American Realty
Trust REIT 106,900 989
- - Crown Central Petroleum Corp.
Class A 20,000 293
Cubic Corp. 28,500 741
Cullen/Frost Bankers, Inc. 60,180 2,550
- - Culligan Water Technologies 53,600 2,399
Curtiss-Wright Corp. 13,600 792
- - CyberMedia, Inc. 36,100 576
- - Cygnus Inc. 63,400 1,102
- - Cymer, Inc. 27,400 1,334
- - Cyrix Corp. 47,200 1,010
- - Cytogen Corp. 107,820 529
- - CYTYC Corp. 18,600 503
- - DII Group, Inc. 45,123 1,990
- - DBT Online Inc. 11,900 637
- - DLB Oil & Gas, Inc. 10,300 167
D. R. Horton, Inc. 46,044 478
- - DSP Communications, Inc. 124,400 1,376
- - Dal-Tile International Inc. 83,700 1,554
Dames & Moore, Inc. 52,800 653
Daniel Industries, Inc. 60,200 929
Dart Group Corp. Class A 7,567 762
- - Data Dimensions, Inc. 16,600 365
- - Data General Corp. 97,600 2,538
- - Data Processing Resources Corp. 1,600 37
- - Datascope Corp. 51,400 993
Dauphin Deposit Bank & Trust 73,000 3,251
- - DecisionOne Corp. 32,900 747
DEKALB Genetics Corp. Class B 36,400 2,903
Delchamps, Inc. 30,553 974
- - dELiA*s Inc, 17,100 316
Delmarva Power & Light Co. 148,100 2,823
- - Delphi Financial Group, Inc. 33,700 1,297
Delta & Pine Land Co. 75,132 2,677
Deltic Timber Corp. 1,100 32
- - Deltek Systems, Inc. 11,100 188
- - Delta Financial Corp. 17,700 339
- - Department 56 Inc. 52,000 1,154
Deposit Guaranty Corp. 23,600 743
Developers Diversified Realty
Corp. REIT 49,500 1,980
Devon Energy Corp. 52,000 1,911
- - Devry, Inc. 68,700 1,855
Dexter Corp. 60,000 1,920
Diagnostic Products Corp. 25,200 795
- - Dialogic Corp. 25,400 678
- - Diamond Multimedia Systems, Inc. 84,063 607
- - Digital Link Corp. 18,200 381
- - Digital Microwave Corp. 48,900 1,449
Dimon Inc. 96,700 2,563
- - Dionex Corp. 31,000 1,585
- - Discount Auto Parts Inc. 20,900 408
- - Discovery Zone, Inc. 20,000 2
- - Documentum, Inc. 31,100 774
- - Dominick's Supermarkets, Inc. 37,500 998
Donaldson Co., Inc. 55,100 2,094
- - Doubletree Corp. 43,584 1,791
Downey Financial Corp. 42,735 1,010
- - Dravo Corp. 27,900 303
- - The Dress Barn, Inc. 66,000 1,285
Dreyer's Grand Ice Cream, Inc. 30,400 1,182
- - Ducommun, Inc. 11,100 327
Duke Realty Investments,
Inc. REIT 31,000 1,255
- - DuPont Photomasks, Inc. 25,900 1,398
- - Dura Pharmaceuticals, Inc. 17,900 713
Durco International Inc. 61,900 1,822
Duty Free International Inc. 72,800 1,365
- - Dynatech Corp. 44,600 1,594
Dynex Capital, Inc. 104,800 1,461
EG & G, Inc. 105,100 2,365
- - EVI Inc. 40,300 1,693
- - ESS Technology, Inc. 45,400 611
- - ETEC Systems, Inc. 50,800 2,176
Elizabethtown Corp. 31,600 972
- - E*TRADE Group, Inc. 59,600 1,168
- - Eagle Hardware & Garden, Inc. 60,400 1,380
Earthgrains Co. 30,636 2,009
Eastern Enterprises 51,100 1,773
Eastern Utilities Associates 70,889 1,294
EastGroup Properties, Inc. REIT 30,300 610
Eaton Vance Corp. 51,800 1,441
- - EchoStar Communications Corp. 14,100 221
- - Einstein/Noah Bagel Corp. 52,200 621
- - El Paso Electric Co. 145,400 1,027
Elcor Corp. 39,000 1,087
- - Electro Rent Corp. 38,779 965
- - Electro Scientific Industries, Inc. 36,600 1,531
- - Electroglas, Inc. 60,900 1,534
- - Eltron International Inc. 24,900 744
- - EmCare Holdings Inc. 31,900 1,174
- - Emisphere Technologies, Inc. 27,900 619
- - Emmis Broadcasting Corp. Class A 17,600 771
Empire District Electric Co. 61,070 1,057
- - Employee Solutions, Inc. 69,600 386
- - ENCAD, Inc. 28,100 1,171
- - Energy Conversion Devices, Inc. 21,700 281
Energen Corp. 37,000 1,246
Enhance Financial Services
Group, Inc. 30,800 1,351
Ennis Business Forms, Inc. 55,350 533
- - Envoy Corp. 35,500 1,185
</TABLE>
56
<PAGE> 89
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Enzo Biochem, Inc. 68,970 $ 1,091
Equitable Resources, Inc. 87,300 2,477
Equity Inns, Inc. REIT 90,300 1,208
Essex Property Trust, Inc. REIT 25,000 803
Ethan Allen Interiors Inc. 36,600 2,086
Ethyl Corp. 146,100 1,351
- - Evans & Sutherland
Computer Corp. 33,300 920
Evans Withycombe Residential,
Inc. REIT 44,500 923
EVEREN Capital Corp. 26,200 817
- - Evergreen Media Corp. 10,700 477
- - Exabyte Corp. 87,400 1,123
- - Exar Corp. 26,900 580
Excel Industries, Inc. 25,700 501
Excel Realty Trust, Inc. REIT 40,800 1,076
- - Excite, Inc. 10,000 142
Executive Risk, Inc. 25,300 1,316
- - Executive Telecard Ltd. 14,700 98
Exide Corp. 46,100 1,011
Expeditors International of
Washington, Inc. 63,100 1,794
- - Express Scripts 40,700 1,692
- - Extended Stay America, Inc. 6,200 98
F & M Bancorporation, Inc. 36,640 1,450
F & M National Corp. 47,341 1,231
FBL Financial Group, Inc. Class A 30,500 1,151
- - FEI Co. 10,600 164
F.N.B. Corp. 28,471 915
- - FSI International, Inc. 53,800 857
- - FTP Software, Inc. 108,100 530
- - Fabri-Centers of America, Inc. 28,900 788
- - Fabri-Centers of America, Inc.
Class B 33,900 792
- - FactSet Research Systems Inc. 17,500 429
Fair Issac & Co. 23,400 1,043
- - Fairchild Corp. 35,100 632
- - Fairfield Communities, Inc. 23,900 804
- - Family Golf Centers, Inc. 2,700 62
Farmer Brothers, Inc. 3,550 453
Fedders Corp. 94,400 537
Fedders Corp. Class A 67,612 380
Federal-Mogul Corp. 92,500 3,237
Federal Realty Investment
Trust REIT 94,600 2,554
Felcor Suite Hotels, Inc. REIT 61,800 2,302
Ferro Corp. 65,700 2,435
Fidelity National Financial, Inc. 53,637 905
- - Fieldcrest Cannon, Inc. 44,400 844
- - Figgie International Inc. Class A 67,500 920
- - FileNet Corp. 42,300 616
- - Financial Federal Corp. 24,800 546
Financial Security Assurance
Holdings Ltd. 77,100 3,002
Fingerhut Co. 126,800 2,211
- - Finish Line, Inc. 29,200 429
First American Financial Corp. 31,800 1,240
First Bancorp of Ohio 23,000 1,101
First Brands Corp. 102,500 2,351
First Citizens BancShares Class A 29,000 2,581
First Commerce Bancshares Inc.
Class A 8,900 204
First Commerce Bancshares Inc.
Class B 9,472 217
First Commercial Corp. 18,559 759
First Commonwealth
Financial Corp. 58,600 1,245
First Federal Financial Corp. 43,175 1,341
- - First Federal Financial
Services Corp. 3,100 127
First Federal Savings Bank
of Colorado 57,200 1,101
First Financial Bancorp 35,740 1,452
First Financial Bankshares, Inc. 20,800 788
First Financial Corp.-Indiana 3,800 138
First Financial Savings Assn. 95,850 2,822
First Financial Holdings, Inc. 1,100 36
First Hawaiian, Inc. 30,400 1,035
First Industrial Realty Trust REIT 63,100 1,846
First Michigan Bank Corp. 71,339 2,149
First Midwest Bancorp 47,000 1,489
- - First Republic Bancorp, Inc. 42,900 997
First Source Corp. 39,945 1,088
- - First USA Paymentech, Inc. 5,600 162
First Union Real Estate 5,000 71
First Western Bancorp 9,200 340
Firstbank of Illinois Co. 19,060 750
FirstBank Puerto Rico 44,700 1,157
- - FIRSTPLUS Financial Group 61,400 2,088
- - Flagstar Bancorp, Inc. 25,600 413
Fisher Scientific International Inc. 52,900 2,513
Fleetwood Enterprises, Inc. 71,000 2,117
Fleming Cos., Inc. 94,400 1,699
Florida East Coast Railway Co. 13,400 1,487
- - Florida Panthers Holdings, Inc. 36,300 876
Florida Rock Industries, Inc. 28,500 1,158
Flowers Industries, Inc. 92,750 1,559
Fluke Corp. 24,200 1,434
- - Foamex International, Inc. 61,200 799
- - Foodmaker, Inc. 129,800 2,125
- - Footstar Inc. 82,100 2,145
Foremost Corp. of America 21,600 1,293
- - Forest Oil Corp. 60,500 889
- - Forrester Research, Inc. 15,500 452
Fort Wayne National Corp. 29,900 1,400
- - Forte Software, Inc. 49,300 664
Franchise Finance Corp. of
America REIT 104,400 2,721
- - Franklin Covey Co. 47,200 1,195
Freeport-McMoRan, Inc. 66,897 1,932
Fremont General Corp. 54,110 2,178
- - Friedman's Inc. Class A 41,500 948
- - Fritz Cos., Inc. 3,800 37
Frontier Insurance Group, Inc. 29,260 1,895
- - Fuisz Technologies Ltd. 49,200 434
H.B. Fuller Co. 35,350 1,945
Fulton Financial Corp. 92,044 2,508
Fund American Enterprise
Holding Co. 17,353 $ 1,822
</TABLE>
57
<PAGE> 90
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Furniture Brands
International Inc. 160,300 3,106
Furon Co. 38,400 1,205
- - Fusion Systems 33,800 1,338
G & K Services, Inc. 51,650 1,911
GATX Corp. 12,000 693
GBC Bancorp 7,200 295
- - GC Cos. 23,650 1,082
Gables Residential Trust REIT 47,900 1,209
- - Gadzooks, Inc. 10,000 196
Gainsco, Inc. 82,859 777
Arthur J. Gallagher & Co. 39,900 1,506
- - Galoob Toys, Inc. 64,400 1,216
- - Garden Ridge Corp. 74,400 935
- - GaSonics International Corp. 33,500 452
- - Gaylord Container Corp. 164,900 1,268
- - Gemstar International Group Ltd. 6,000 111
GenCorp, Inc. 69,100 1,598
- - General Cable Corp. 34,700 889
General Chemical Group, Inc. 35,500 950
- - General Cigar Holdings, Inc. 30,900 910
- - General Communication, Inc. 87,600 701
- - General DataComm
Industries, Inc. 95,300 679
General Growth Properties
Inc. REIT 75,300 2,523
- - Genesco, Inc. 113,300 1,607
- - Gentex Corp. 87,200 1,706
- - Genesis Health Ventures Inc. 31,400 1,060
Genovese Drug Stores, Inc.
Class A 9,700 191
- - Genrad, Inc. 66,400 1,502
- - Gensia Sicor Inc. 80,000 352
Geon Co. 56,800 1,150
Georgia Gulf Corp. 84,500 2,456
- - Geotek Industries, Inc. 180,700 971
Gerber Scientific, Inc. 34,800 687
- - Getchell Gold Corp. 68,712 2,422
Getty Realty Corp. 39,300 693
- - Gibraltar Steel 28,150 640
- - Gibson Greetings, Inc. 35,700 805
Giddings & Lewis, Inc. 81,500 1,696
- - Gilead Sciences, Inc. 77,000 2,132
P.H. Glatfelter Co. 64,400 1,288
- - Glenayre Technologies, Inc. 143,925 2,361
- - Glendale Federal 11,400 298
Glimcher Realty Trust REIT 54,300 1,120
- - Global DirectMail Corp. 1,200 31
- - Global Industrial
Technologies, Inc. 55,200 1,132
- - Global Industries, Ltd. 66,000 1,539
- - Golden Books Family
Entertainment, Inc. 83,300 1,052
Graco, Inc. 42,750 1,288
Graham-Field Health Products Inc. 26,400 360
- - GranCare Inc. 70,972 767
- - Grand Casinos, Inc. 75,500 1,114
Grand Premier Financial, Inc. 9,500 140
Granite Construction Co. 2,400 47
Great Atlantic & Pacific Tea
Co., Inc. 61,700 1,677
Great Financial Corp. 40,300 1,421
Great Lakes REIT, Inc. 55,700 916
Greater New York Savings Bank 22,200 500
Greenfield Industries, Inc. 42,000 1,144
Greenwich Air Services, Inc. 32,200 928
Grief Brothers Corp. Class A 44,600 1,221
Grey Advertising, Inc. 3,000 978
- - Greyhound Lines, Inc. 146,600 660
- - Griffon Corp. 105,300 1,441
- - Grubb & Ellis Co. 16,200 277
Guarantee Life Cos., Inc. 42,200 1,052
Guaranty National Corp. 13,600 326
- - Guess ?, Inc. 63,100 639
Guilford Mills, Inc. 46,200 962
- - Guilford Pharmaceuticals, Inc. 23,900 586
- - Guitar Center, Inc. 10,000 169
- - Gulf South Medical Supply, Inc. 41,850 813
- - Gymboree Corp. 64,800 1,553
- - HA-LO Industries, Inc. 37,250 873
- - HCIA, Inc. 15,400 516
- - HMT Technology Corp. 76,100 982
HBO & Co. 15,521 1,069
HCC Insurance Holdings, Inc. 74,550 1,990
HFNC Financial Corp. 50,200 822
- - HNC Software, Inc. 48,200 1,833
HSB Group Inc. 53,000 2,829
- - HS Resources Inc. 19,100 270
- - HSN, Inc. 75,815 2,374
HUBCO, Inc. 48,272 1,391
- - Hadco Corp. 30,200 1,971
- - Haemonetics Corp. 57,250 1,095
- - Hambrecht & Quist Group 31,400 1,028
- - Hamilton Bancorp, Inc. 8,200 218
Hancock Fabrics, Inc. 3,500 48
Hancock Holding Co. 27,807 1,366
- - Handleman Co. 132,800 847
Handy & Harman 54,200 942
M.A. Hanna Co. 101,300 2,919
- - Harbinger Corp. 52,800 1,485
- - Harken Energy Corp. 211,300 1,479
John H. Harland Co. 79,600 1,816
Harleysville National Corp. 10,999 342
Harman International
Industries, Inc. 44,225 1,863
- - Harmonic Lightwaves, Inc. 4,400 75
Harris Savings Bank 2,700 58
Harte-Hanks Communications Co. 19,291 569
- - Hartford Life, Inc. 51,400 1,927
- - Hartmarx Corp. 130,100 1,073
Hawaiian Electric Industries Inc. 82,600 3,190
- Hayes Wheels International, Inc. 15,400 492
Health Care Properties Investors 73,100 2,577
Healthcare Realty Trust Inc. 42,200 1,176
HealthPlan Services Corp. 53,600 1,012
- - Heartport Inc. 41,300 729
Health Care REIT, Inc. 52,100 1,267
- - Healthdyne Technologies, Inc. 45,001 771
- - Heartland Express, Inc. 50,308 1,179
- - Hecla Mining Co. 189,700 1,020
- - Heftel Broadcasting Corp. 26,600 1,460
Heilig-Meyers Co. 137,400 2,696
</TABLE>
58
<PAGE> 91
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Helix Technology Corp. 29,400 $ 1,187
Helmerich & Payne, Inc. 32,100 1,850
Herbalife International, Inc. 48,200 780
Heritage Financial Services, Inc. 46,200 938
- - Heritage Media Corp. Class A 82,008 1,548
- - Hexcel Corp. 95,900 1,654
- - Highlands Insurance Group 54,930 1,105
- - Highwaymaster
Communications, Inc. 53,900 835
Highwood Properties, Inc. REIT 85,800 2,746
Hilb, Rogal and Hamilton Co. 11,400 194
- - Hirsch International Corp. Class A 12,300 271
Hollinger International, Inc. 54,600 611
Holly Corp. 26,800 665
- - Hollywood Entertainment Corp. 55,000 1,265
- - Hollywood Park, Inc. 71,700 1,044
- - Hologic, Inc. 42,200 1,126
- - Holophane Corp. 21,700 426
Home Properties of New York,
Inc. REIT 41,800 941
- - Homeside, Inc. 61,800 1,352
- - Homestead Village, Inc. REIT 29,900 531
HON Industries, Inc. 14,500 642
Horace Mann Educators Corp. 2,400 118
- - Horizon/CMS Healthcare Corp. 134,231 2,693
Horizon Group, Inc. REIT 64,864 872
- - Host Marriott Services 67,640 795
Hospitality Properties Trust REIT 57,000 1,746
Houghton Mifflin Co. 36,500 2,436
Hudson Foods Inc. Class A 52,850 862
Huffy Corp. 53,200 778
Hughes Supply, Inc. 25,500 1,020
- - Hugoton Energy Corp. 25,200 351
- - Human Genome Sciences, Inc. 46,800 1,559
Hunt Manufacturing Co. 46,400 870
J.B. Hunt Transport Services, Inc. 57,700 869
- - Hutchinson Technology, Inc. 52,500 1,275
- - Hvide Marine, Inc. Class A 30,000 662
- - Hybridon, Inc. 21,600 109
- - Hyperion Software Corp. 59,700 1,336
ICN Pharmaceuticals, Inc. 93,835 2,692
- - ICOS Corp. 7,900 66
- - IDEC Pharmaceuticals Corp. 41,600 1,017
IDEX Corp. 66,600 2,198
- - IDEXX Laboratories 86,100 1,068
- - IDX Systems Corp. 23,480 813
IES Industries, Inc. 77,200 2,277
- - IHOP Corp. 33,700 1,040
IRT Property Co. REIT 91,798 1,079
- - I-STAT Corp. 26,900 464
- - IXC Communications, Inc. 54,900 1,431
- - Identix, Inc. 86,500 973
- - Imation Corp. 109,900 2,899
- - Immunex Corp. 33,600 1,214
- - Imnet Systems, Inc. 4,500 140
- - Imperial Bancorp 61,364 1,772
- - Imperial Credit 76,364 1,573
- - Imatron, Inc. 232,200 595
- - In Focus Systems, Inc. 35,300 911
- - Inacom Corp. 23,500 733
- - INBRAND Corp. 43,625 1,298
- - INCYTE Pharmaceuticals, Inc. 23,100 1,522
Indiana Energy, Inc. 49,600 1,212
- - Industri-Matematik
International Corp. 5,000 82
- - Information Resources, Inc. 68,000 969
- - Infinity Financial Technology, Inc. 37,000 602
- - Inhale Therapeutic Systems 43,100 1,051
Innovex, Inc. 35,000 1,013
- - Input/Output, Inc. 122,600 2,222
- - Insilco Corp. 24,100 895
- - INSO Corp. 19,200 399
- - Insignia Financial Group 86,500 1,568
Integon Corp. 58,500 1,462
- - Integrated Circuit Systems, Inc. 17,938 406
- - Integrated Device Technology Inc. 197,800 2,083
Integrated Health Services, Inc. 57,600 2,218
- - Integrated Process
Equipment Corp. 42,300 1,071
- - Integrated Systems, Inc. 57,100 667
- - Integrated Silicon Solution, Inc. 29,400 224
- - Intelidata Technologies Corp. 26,900 129
- - Inter-Tel, Inc. 36,400 778
- - Intercel, Inc. 26,300 365
Interface, Inc. 51,800 1,156
- - Interdigital Communications Corp. 110,400 607
- - Intergraph Corp. 93,600 790
- - Interim Services, Inc. 46,603 2,074
- - Intermagnetics General Corp. 20,820 223
- - Intermedia Communications Inc. 37,200 1,200
Intermet Corp. 65,100 1,048
- - International Alliance
Services, Inc. 17,200 194
- - International Dairy Queen, Inc.
Class A 44,100 1,053
International Multifoods Corp. 57,700 1,450
- - International Network Services 53,300 1,384
- - International Rectifier Corp. 129,000 2,403
- - Interneuron Pharmaceutical, Inc. 84,200 1,700
Interpool, Inc. 61,350 905
Interra Financial, Inc. 41,200 1,728
- - Intersolv 65,300 616
- - Interstate Hotels Co. 57,300 1,687
Interstate Power Co. 35,200 1,008
- - InterVoice, Inc. 67,400 617
- - Intevac, Inc. 20,200 247
Invacare Corp. 77,600 1,804
- - Investment Technology Group, Inc. 30,500 803
Investors Financial Services Corp. 3,300 154
Investors Financial Services
Corp. Class A 877 41
- - Ionics, Inc. 42,800 1,947
- - Iron Mountain, Inc. 13,500 400
Irvine Apartment Communities,
Inc. REIT 48,100 1,413
Irwin Financial Corp. 32,700 952
- - ISIS Pharmaceuticals, Inc. 63,700 934
- - Isolyser Co., Inc. 19,100 52
- - Itron, Inc. 40,800 1,048
- - i2 Technologies, Inc 32,200 992
JDN Realty Corp. REIT 10,100 316
- - JPM Co. 7,500 269
</TABLE>
59
<PAGE> 92
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
J & L Specialty Steel Inc. 42,500 $ 510
JLG Industries, Inc. 112,300 1,530
- - JP Foodservice, Inc. 34,500 990
JP Realty Inc. REIT 20,700 561
JSB Financial 29,200 1,285
- - Jacobs Engineering Group Inc. 52,700 1,416
- - Jacor Communications, Inc. 73,800 2,830
- - Jacor Communications, Inc.
Warrants Exp. 9/19/01 33,100 118
Jefferires Group, Inc. 31,616 1,802
Jefferson Bankshares, Inc. 38,057 1,370
John Alden Financial Group 58,000 1,214
John Nuveen Co. Class A 27,900 872
- - Jones Intercable Inc. 28,400 332
Jones Medical Industries, Inc. 58,300 2,769
Jostens Inc. 87,500 2,341
- - Journal Register Co. 18,100 360
Juno Lighting, Inc. 53,900 869
- - Just for Feet, Inc. 46,850 815
Justin Industries, Inc. 61,550 792
KCS Energy, Inc. 71,200 1,451
KN Energy, Inc. 27 1
K2 Inc. 36,710 1,163
- - K-V Pharmaceutical Co. Class B 27,600 469
- - Kaiser Aluminum &
Chemical Corp. 62,800 769
Kaman Corp. Class A 7,000 106
Kansas City Life Insurance Co. 12,330 983
Kaufman & Broad Home Corp. 99,000 1,739
Kaydon Corp. 41,700 2,069
- - Keane, Inc. 15,100 785
- - Kelly Oil Corp. 224,000 683
Kellwood Co. 55,150 1,530
Kelly Services, Inc. Class A 42,600 1,338
- - KEMET Corp. 99,900 2,491
Kennametal, Inc. 70,300 3,023
- - Kent Electronics Corp. 68,700 2,520
- - Key Energy Group 39,800 709
Keystone Financial, Inc. 125,153 3,911
Keystone International, Inc. 36,700 1,273
Kimball International, Inc. Class B 45,700 1,837
Kilroy Realty Corp. 25,000 631
Kimco Realty Corp. REIT 25,500 810
Kinetic Concepts, Inc. 57,200 1,033
- - Kirby Corp. 62,900 1,148
- - Kitty Hawk, Inc. 15,200 230
- - Knight Transportation, Inc. 23,200 580
Koger Equity, Inc. REIT 64,600 1,179
Kuhlman Corp. 24,400 787
- - Kulicke & Soffa Industries, Inc. 48,200 1,562
LTC Properties, Inc. 68,100 1,234
- - LTX Corp. 135,100 870
La-Z-Boy Inc. 33,300 1,199
- - Laboratory Corp. of America 191,352 502
Laclede Gas Co. 43,700 950
- - Laidlaw Environmental
Services, Inc. 285,937 858
- - LAM Research Corp. 52,900 1,962
- - Lamar Advertising Co. 42,800 1,097
Lance, Inc. 26,900 514
Landauer, Inc. 33,900 786
- - Lands' End, Inc. 45,800 1,357
- - Landry's Seafood Restaurants, Inc. 40,400 929
- - Landstar System 38,300 1,080
- - Lattice Semiconductor Corp. 6,100 344
Lawson Products, Inc. 29,400 796
Lawter International Inc. 72,166 911
- - Layne Christensen Co. 25,000 548
- - Learning Co., Inc. 98,300 922
- - Legato Systems, Inc. 65,300 1,216
Legg Mason Inc. 40,300 2,169
Lennar Corp. 67,850 2,167
- - Level One Communications 46,100 1,775
Libbey, Inc. 42,200 1,477
Liberty Corp. 39,300 1,601
Liberty Financial Cos., Inc. 10,000 499
Liberty Property Trust REIT 78,200 1,945
- - Life USA Holding, Inc. 7,000 100
Life Re Corp. 26,300 1,226
Life Technologies, Inc. 37,950 1,053
- - Lifecore Biomedical Inc. 16,600 227
- - Ligand Pharmaceuticals Class B 76,600 981
Lilly Industries Inc. Class A 66,350 1,335
Lincoln Electric Co. 36,100 1,257
Lincoln Electric Co. Class A 28,200 1,072
Lindsay Manufacturing Co. 36,130 1,183
- - Linens 'n Things, Inc. 30,200 895
- - Liposome Co., Inc. 85,900 765
Liqui-Box Corp. 22,700 775
- - Littelfuse, Inc. 60,600 1,697
- - Living Centers of America, Inc. 34,100 1,347
- - Lo-Jack Corp. 85,900 1,240
Logicon, Inc. 31,900 1,691
Lone Star Industries, Inc. 31,500 1,427
- - Lone Star Steakhouse & Saloon 99,800 2,601
- - Lone Star Technologies, Inc. 54,000 1,546
- - Long Beach Financial Corp. 73,000 634
Long Island Bancorp, Inc. 63,600 2,307
Longs Drug Stores, Inc. 68,200 1,786
Longview Fibre Co. 135,200 2,248
- - Louis Dreyfus Natural Gas Corp. 19,600 318
Luby's Cafeterias, Inc. 58,200 1,160
Lukens, Inc. 52,400 986
- - Lycos, Inc. 33,400 426
- - Lydall, Inc. 44,100 932
MAF Bancorp, Inc. 37,623 1,585
MDU Resources Group, Inc. 71,825 1,724
MGI Properties, Inc. 45,000 993
ML Bancorp Inc. 7,000 134
MMI Cos., Inc. 9,300 243
- - MRV Communications Inc. 32,500 963
MTS Systems Corp. 37,900 1,139
- - MacFrugal's Bargains-
Close-outs, Inc. 65,600 1,788
MacDermid, Inc. 23,800 1,092
The Macerich Co. REIT 54,300 1,507
- - Macromedia 16,000 138
Madison Gas & Electric Co. 41,275 849
Mafco Consolidated Group Inc. 25,500 854
- - Magellan Health Services, Inc. 81,700 2,410
Magna Bancorp, Inc. 23,000 631
Magna Group 80,700 2,804
</TABLE>
60
<PAGE> 93
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Magnatek 76,500 $ 1,272
Mail Boxes Etc. 23,300 648
- - Mail-Well, Inc. 4,800 137
Mainstreet Bankgroup, Inc. 24,100 648
- - Malibu Entertainment Worldwide 1,500 8
Manitowac Co., Inc. 37,800 1,767
Manufactured Home
Communities, Inc. REIT 61,900 1,428
- - Manugistics Group, Inc. 51,800 2,308
- - Marine Drilling Co., Inc. 107,400 2,101
- - Mariner Health Group, Inc. 88,750 1,370
- - Markel Corp. 10,900 1,395
- - Marquette Medical Systems Inc. 49,800 1,096
- - Marshall Industries 44,700 1,665
- - Martek Biosciences Corp. 53,900 623
- - Marvel Entertainment Group 34,100 81
MascoTech Inc. 87,900 1,835
- - Mastec Inc. 26,900 1,273
- - Material Sciences Corp. 58,200 898
Matthews International Corp. 10,000 362
- - Maxicare Health Plans Inc. 43,517 978
- - Maxxam Inc. 22,000 1,028
McClatchy Newspapers, Inc. 83,000 2,438
McDonald and Co. Investments 36,260 1,663
- - McLeod, Inc. 56,300 1,893
- - McWorter Technologies Inc. 36,450 870
Meadowbrook Insurance
Group, Inc. 30,100 751
- - Medaphis Corp. 135,000 1,363
- - MedCath Inc. 49,100 737
Media General, Inc. Class A 31,100 1,244
- - Medic Computer Systems, Inc. 44,400 989
- - Medical Assurance, Inc. 32,995 1,340
- - Medicis Pharmaceutical Corp. 20,800 1,036
- - MedImmune Inc. 46,700 876
- - MEDIQ, Inc. 49,100 433
- - MedQuist, Inc. 13,900 421
- - MedPartners Inc. 54,516 1,179
Medusa Corp. 41,250 1,583
- - MemberWorks Inc. 5,000 80
- - Men's Wearhouse, Inc. 31,600 1,001
Mentor Corp. 64,400 1,910
- - Mentor Graphics Corp. 117,600 1,090
- - Mercury Interactive Corp. 56,300 841
Meridian Diagnostics, Inc. 13,900 115
Merrill Corp. 31,000 1,118
Merry Land & Investment Co.,
Inc. REIT 93,118 2,020
- - Mesa Air Group Inc. 27,600 149
- - Mesaba Holdings, Inc. 6,500 97
- - Mestek, Inc. 4,000 83
- - Mesa, Inc. 216,400 1,244
- - MetaCreations Corp. 28,200 307
Methode Electronics, Inc. Class A 81,400 1,610
Metris Cos. Inc. 28,300 928
- - Metrocall, Inc. 11,201 51
- - Metromedia International
Group, Inc. 88,200 1,114
- - Fred Meyer, Inc. 7,800 403
- - Michaels Stores, Inc. 47,318 1,004
- - Micro Linear Corp. 51,300 532
- - MICROS Systems, Inc. 27,800 1,162
- - Microage, Inc. 59,100 1,097
Mid Am Inc. 51,709 950
- - Microchip Technology, Inc. 35,600 1,058
- - Micro Warehouse Inc. 80,000 1,373
- - Microtouch Systems, Inc. 34,300 793
Mid-America Apartment
Communities, Inc. REIT 38,500 1,080
- - Mid Atlantic Medical
Services, Inc. 104,400 1,625
- - Midwest Express Holdings, Inc. 11,300 309
- - Midway Games Inc. 52,700 1,126
Herman Miller, Inc. 47,700 1,711
- - Miller Industries, Inc. 67,950 1,087
Mills Corp. REIT 54,500 1,509
Mine Safety Appliances Co. 16,000 988
Minerals Technologies, Inc. 57,100 2,141
- - MiniMed, Inc. 22,200 588
Minnesota Power & Light Co. 75,700 2,299
Mississippi Chemical Corp. 73,565 1,526
Mitchell Energy & Development
Corp. Class A 75,900 1,537
- - Mobile Telecommunications
Technologies Corp. 129,700 1,868
Modine Manufacturing Co. 55,200 1,649
- - Mohawk Industries, Inc. 54,300 1,229
- - Molten Metal Technology 6,000 30
- - MoneyGram Payment
Systems, Inc. 66,600 1,049
- - Robert Mondavi Corp. 29,300 1,381
Monterey Resources, Inc. 96,800 1,440
- - Morningstar Group, Inc. 42,700 1,256
Morrison Health Care Inc. 33,116 528
- - Mosaix Inc. 4,800 66
Mosinee Paper Corp. 49,699 1,208
- - MotivePower Industries Inc. 36,500 582
- - Mueller Industries Inc. 51,400 2,249
- - Multicare Cos., Inc. 44,550 1,220
- - Mycogen Corp. 42,400 827
Myers Industries, Inc. 53,270 899
- - Mylex Corp. 81,700 781
- - NABI 71,100 467
- - NBTY, Inc. 62,800 1,751
- - NCI Building Systems, Inc. 4,000 129
- NCO Group, Inc. 9,200 270
- - NCS HealthCare, Inc. 15,800 485
NAC Re Corp. 38,750 1,875
- - NFO Research Inc. 38,400 979
- - NHP, INC. 1,200 27
N L Industries, Inc. 46,500 674
NN Ball and Roller 51,400 636
- - NPC International Class A 79,000 933
- - NTL Inc. 75,767 1,875
NUI Corp. 15,800 355
NYMAGIC, Inc. 35,100 724
NACCO Industries, Inc. Class A 20,495 1,157
Nash-Finch Co. 43,800 964
National Bankcorp of Alaska Inc. 9,900 843
National Community Bancorp 103,400 2,301
National Computer Systems, Inc. 32,300 862
</TABLE>
61
<PAGE> 94
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
National Data Corp. 7,050 $ 305
National Golf Properties, Inc. REIT 28,700 997
National Health Investors REIT 53,600 2,104
- - National Media Corp. 97,300 632
- - National-Oilwell, Inc. 43,900 2,524
National Penn Bancshares Inc. 27,770 913
National Presto Industries, Inc. 19,400 782
- - National Steel Corp. Class B 69,200 1,163
- - National Surgery Centers, Inc. 2,500 88
- - National Western Life Insurance
Co. Class A 9,500 831
Nationwide Health
Properties, Inc. 109,300 2,405
- - Natural Microsystems Corp. 2,600 94
Nature's Sunshine Inc. 55,382 997
- - Nautica Enterprises Inc. 97,014 2,568
- - Navistar International Corp. 16,601 286
Thomas Nelson, Inc. 57,000 791
- - Neopath, Inc. 32,200 610
- - NetManage, Inc. 26,000 77
- - Network Appliance, Inc. 45,500 1,726
- - Network Computing Devices, Inc. 31,700 372
- - Network Equipment Technologies 69,500 1,251
- - Network General Corp. 107,400 1,594
- - Neurex Corp. 47,600 666
- - Neurogen Corp. 40,300 912
- - Neuromedical Systems, Inc. 67,300 372
Nevada Power Co. 127,100 2,701
New England Business
Service, Inc. 50,300 1,324
New Jersey Resources Corp. 47,600 1,493
New York Bancorp Inc. 48,500 1,685
- - Newfield Exploration Co. 96,400 1,928
- - Newpark Resources, Inc. 66,200 2,234
Newport News Shipbuilding Inc. 57,800 1,123
- - NeXstar Pharmaceuticals Inc. 68,200 963
- - Nimbus CD International, Inc. 61,500 676
Nordson Corp. 32,700 2,109
Norrell Corp. 33,900 1,119
North American Mortgage Co. 58,000 1,374
North Carolina Natural Gas Corp. 28,835 962
- - The North Face, Inc. 13,000 236
North Fork Bancorporation, Inc. 54,700 1,169
North Pittsburgh Systems, Inc. 3,000 69
Northland Cranberries, Inc. 34,800 568
Northwest Natural Gas Co. 57,750 1,512
Northwestern Public Service Co. 69,000 1,484
- - Nova Corp. (Georgia) 42,800 1,110
- - NovaCare, Inc. 160,500 2,227
- - Novellus Systems, Inc. 6,600 569
- - Noven Pharmaceuticals, Inc. 42,100 301
- - Nu Skin Asia Pacific Inc. 26,700 708
- - Nuevo Energy Co. 55,000 2,255
OEA, Inc. 41,800 1,651
- - OEC Medical Systems, Inc. 48,500 864
- - ODS Networks, Inc. 47,400 566
- - OHM Corp. 92,500 780
- - OIS Optical Imaging Systems, Inc. 127,900 308
OM Group, Inc. 49,100 1,626
- - OMI Corp. 111,500 1,066
- - Oak Industries, Inc. 45,500 1,308
- - Oak Technology, Inc. 87,100 852
Oakwood Homes Corp. 115,700 2,777
Oasis Residential, Inc. REIT 52,100 1,224
- - Object Design, Inc. 63,900 547
- - Objective Systems
Integrators, Inc. 15,000 130
- - OccuSystems, Inc. 51,000 1,481
- - Ocean Energy, Inc. 30,500 1,411
- - Oceaneering International, Inc. 66,000 1,221
- - Octel Communications Corp. 125,800 2,945
Ocwen Financial Corp. 41,800 1,351
- - Ocwen Asset Investment Corp. 49,800 1,005
- - Offshore Logistics, Inc. 63,800 1,220
Ogden Corp. 126,100 2,743
Old National Bancorp 69,079 3,057
Omega Healthcare Investors, Inc. 44,400 1,451
- - OmniQuip International, Inc. 22,500 520
Omega Financial Corp. 11,500 404
- - Omnipoint Corp. 58,400 969
Onbancorp Inc. 32,800 1,671
One Valley Bancorp of
West Virginia Inc. 50,375 2,116
Oneida Ltd. 42,890 1,145
ONEOK, Inc. 59,200 1,905
- - Ontrak Systems, Inc. 27,900 834
- - Open Market, Inc. 21,200 278
Orange & Rockland Utilities, Inc. 33,600 1,130
- - Orbital Sciences Corp. 72,400 1,154
Oregon Metallurgical Corp. 22,100 622
- - Organogenesis, Inc. 64,875 1,269
Oregon Steel Mills, Inc. 75,800 1,511
Orion Capital Corp. 35,325 2,605
- - Orthodontic Centers of
America, Inc. 48,100 876
- - Osmonics, Inc. 52,200 962
O'Sullivan Corp. 34,100 286
Otter Tail Power Co. 26,400 861
Outboard Marine Corp. 75,800 1,345
- - Outdoor Systems, Inc. 19,500 743
Overseas Shipholding Group Inc. 70,400 1,382
Owens & Minor, Inc. Holding Co. 62,737 937
Oxford Industries, Inc. 2,700 77
- - Oxigene, Inc. 5,000 173
- - P-Com, Inc. 41,800 1,374
- - PDT, Inc. 20,350 740
- - PFF Bancorp, Inc. 43,000 812
- - PHP Healthcare Corp. 46,700 613
- - PMC Sierra Inc. 87,700 2,297
- - PMT Services Inc 77,500 1,179
- - PRI Automation, Inc. 24,200 918
PXRE Corp. 44,833 1,379
- - Pacific Gateway Exchange, Inc. 30,400 857
Pacific Gulf Properties, Inc. REIT 35,300 777
Pacific Scientific Co. 55,500 735
- - Pacific Sunwear of California 16,000 520
- - Paging Network, Inc. 242,500 2,133
- - Palm Harbor Homes, Inc. 1,175 39
- - Palmer Wireless, Inc. 34,500 584
- - Panavision Inc. 15,000 299
- - Papa John's International, Inc. 40,550 1,498
- - Paracelsus Healthcare Corp. 25,000 127
</TABLE>
62
<PAGE> 95
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Paragon Trade Brands, Inc. 45,500 $ 776
- - PAREXEL International Corp. 48,000 1,512
Park Electrochemical Corp. 22,400 589
- - Parker Drilling Co. 178,100 1,981
- - PathoGenesis Corp. 29,800 866
Patriot American Hospitality,
Inc. REIT 110,600 2,820
- - Patterson Dental Co. 33,600 1,149
- - Patterson Energy, Inc. 11,300 511
- - Paul Harris Stores, Inc. 26,900 449
- - Paxar Corp. 58,625 1,107
- - Paxson Communications Corp. 78,300 1,028
- - PEC Israel Economic Corp. 33,100 794
- - Pediatrix Medical Group, Inc. 26,700 1,223
- - Pegasystems Inc. 42,700 1,340
Penn Engineering &
Manufacturing Corp. Class A 18,300 343
Penn Engineering &
Manufacturing Corp. 16,800 330
- - Penn National Gaming, Inc. 36,600 547
Penncorp Financial Group Inc. 68,600 2,641
Pennsylvania REIT 40,000 898
- - Penske Motorsports, Inc. 12,400 404
Pentair, Inc. 20,600 677
Peoples Bank of Bridgeport 28,500 741
Peoples First 1,300 37
Peoples Heritage Financial
Group Inc. 64,800 2,446
- - Perclose, Inc. 28,800 718
- - Performance Food Group Co. 43,950 934
- - Periphonics Corp. 35,500 754
- - Perrigo Co. 168,400 2,116
- - Personnel Group of America, Inc. 31,300 902
- - Petco Animal Supplies, Inc. 40,700 1,220
Petrolite Corp. 23,200 1,436
- - Pharmaceutical Product
Development, Inc. 42,271 919
- - Philadelphia Consolidated
Holding Corp. 7,900 264
Philadelphia Suburban Corp. 3,000 57
Phillips-Van Heusen Corp. 86,300 1,294
Phoenix Duff & Phelps Corp. 161,100 1,188
- - Phymatrix Corp. 21,400 332
- - Phoenix Technologies Ltd. 14,500 191
- - Physician Sales & Service, Inc. 42,200 803
- - Physician Corp. of America 128,000 814
- - Physicians Resource Group, Inc. 54,700 492
- - Physio-Control International Corp. 38,000 570
- - PictureTel Corp. 76,700 730
Piedmont Natural Gas, Inc. 78,043 2,005
Pier 1 Imports Inc. 119,625 3,170
- - Pinkerton's, Inc. 28,200 867
Pioneer Group Inc. 53,400 1,232
Pioneer Standard Electronics Inc. 42,650 578
Piper Jaffray Cos., Inc. 56,900 1,166
Pittston Burlington Group 55,500 1,561
Pittway Corp. Class A 38,600 1,920
- - Pixar, Inc. 30,600 480
- - Plains Resources 70,000 1,033
- - Plantronics, Inc. 22,600 1,133
- - Platinum Technology, Inc. 137,877 1,844
- - Players International, Inc. 15,300 45
- - Playboy Enterprises Inc. Class B 6,400 74
- - Playtex Products, Inc. 100,700 944
Ply-Gem Industries, Inc. 53,300 966
Poe & Brown, Inc. 26,400 960
Polaris Industries, Inc. 69,900 2,276
- - Policy Management
Systems Corp. 38,500 1,810
- - Polymer Group, Inc. 67,000 1,080
- - Pool Energy Service Co. 65,300 1,190
Pope & Talbot, Inc. 51,700 850
- - Possis Medical Inc. 47,500 807
Post Properties, Inc. REIT 57,100 2,316
- - Pre-Paid Legal Services, Inc. 75,900 1,603
Precision Castparts Corp. 1,500 89
- - Precision Response Corp. 37,700 613
- - Premier Parks Inc. 30,000 1,104
- - Premisys Communications, Inc. 59,900 947
- - Premiere Technologies, Inc. 27,400 714
Prentiss Properties Trust REIT 44,000 1,127
Presidential Life Corp. 58,100 1,128
Price Enterprises, Inc. 58,000 1,109
- - PriCellular Corp. 83,897 755
- - Primadonna Resorts, Inc. 33,300 644
Prime Retail, Inc. REIT 75,700 1,020
- - Prime Service, Inc. 41,700 1,332
- - Primark Corp. 67,400 1,795
- - Prime Hospitality Corp. 82,600 1,631
- - Primus Telecommunications
Group, Inc. 7,400 76
- - Pride International Inc. 100,500 2,409
- - Proffitt's, Inc. 43,900 1,923
- - Progress Software Corp. 58,200 935
- - Project Software &
Development, Inc. 24,500 354
- - Protein Design Labs 36,200 1,023
Provident Bankshares Corp. 13,300 551
Provident Financial Group 16,775 717
- - PSINet, Inc. 80,600 610
Public Service Co. of
New Mexico 106,600 1,905
Public Service Co. of
North Carolina, Inc. 46,600 894
Public Storage, Inc. REIT 42,100 1,231
Pulitzer Publishing Co. 22,949 1,216
Pulte Corp. 45,600 1,576
- - Pure Atria Software Corp. 76,599 1,087
Quaker State Corp. 92,500 1,411
- - Quality Food Centers Inc. 26,388 1,003
Quanex Corp. 43,100 1,323
Queens County Bancorp, Inc. 37,899 1,743
- - Quest Diagnostics Inc. 61,700 1,269
Quick & Reilly Group, Inc. 49,425 1,149
- - QuickResponse Services, Inc. 26,100 936
- - Quiksilver, Inc. 30,500 972
- - Quintel Entertainment, Inc. 14,200 233
RCSB Financial Corp. 41,900 2,003
RFS Hotel Investors, Inc. REIT 65,000 1,170
- - RMI Titanium Co. 33,900 924
- - RPC Inc. 46,800 690
- - Radiant Systems, Inc. 15,600 322
</TABLE>
63
<PAGE> 96
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - RadiSys Corp. 23,400 $ 923
- - RailTex, Inc. 34,000 606
- - Rainforest Cafe, Inc. 23,200 584
- - Ralcorp Holdings, Inc. 74,000 1,091
- - Raptor Systems, Inc. 11,700 131
- - Rational Software Corp. 95,000 1,594
Raymond James Financial, Inc. 58,950 1,614
- - Read-Rite Corp. 106,500 2,220
Realty Income Corp. REIT 57,900 1,520
Reckson Associates Realty
Corp. REIT 56,800 1,306
- - Red Roof Inns, Inc. 54,000 972
Redwood Trust, Inc. 24,500 1,145
Regal-Beloit Corp. 54,200 1,419
- - Regal Cinemas, Inc. 28,730 946
- - Regeneron Pharmaceuticals, Inc. 54,300 543
- - Regency Health Services, Inc. 76,100 1,170
Regency Realty Corp. REIT 10,000 273
- - The Registry, Inc. 20,600 950
Reinsurance Group of
America, Inc. 42,400 2,438
Reliance Steel & Aluminum Co. 900 23
- - Remec, Inc. 9,600 222
- - Remedy Corp. 44,400 1,769
- - Renal Treatment Centers, Inc. 74,400 2,000
- - Renal Care Group, Inc. 21,100 881
- - Rental Service Corp. 20,800 546
- - Renters Choice, Inc. 36,500 723
Republic Bancorp, Inc. 65,200 937
- - Res-Care, Inc. 36,000 682
- - Respironics, Inc. 51,300 1,074
- - Rexall Sundown, Inc. 34,400 1,344
Richfood Holdings, Inc. 120,400 3,130
Riggs National Corp. 70,500 1,441
- - Rightchoice Managed Care, Inc. 14,100 191
- - Risk Capital Holdings, Inc. 36,500 757
The Rival Co. 20,900 299
Roadway Express Inc. 34,300 793
Robbins & Myers, Inc. 34,478 1,151
- - Roberts Pharmaceuticals 54,500 610
- - Robotic Vision Systems, Inc. 76,200 895
Rochester Gas and Electric Corp. 98,600 2,077
Rock-Tenn Co. 86,160 1,513
- - Rockshox, Inc. 21,400 372
- - Rofin-Sinar Technologies Inc. 15,700 300
- - Rogers Corp. 18,500 652
- - Rohr, Inc. 68,500 1,503
Rollins, Inc. 54,900 1,105
Rollins Truck Leasing 93,925 1,397
- - Romac International, Inc. 28,300 937
Roosevelt Financial Group 96,800 2,154
Roper Industries Inc. 35,000 1,816
Roslyn Bancorp, Inc. 99,785 2,279
Ross Stores, Inc. 8,700 284
- - Rotech Medical Corp. 68,200 1,370
Rouge Steel Co. Class A 35,400 597
- - Royal Appliance
Manufacturing Co. 115,600 990
- - Royal Gold, Inc. 14,000 119
- - Ruby Tuesday, Inc. 48,875 1,097
Ruddick Corp. 67,500 1,114
- - Rural/Metro Corp. 25,500 746
Russ Berrie, Inc. 48,800 1,071
- - Rutherford-Moran Oil Corp. 40,200 947
- - Ryan's Family Steak Houses, Inc. 125,100 1,067
- - Ryerson Tull, Inc. Class A 37,500 619
Rykoff-Sexton, Inc. 65,525 1,528
Ryland Group, Inc. 62,800 887
S & T Bancorp, Inc. 32,800 1,119
- - SLH Corp. 5,100 380
SCPIE Holdings Inc. 9,800 273
- - SDL, Inc. 18,200 348
SEI Corp. 49,600 1,203
- - SPS Technologies, Inc. 16,000 1,132
- - SPS Transaction Services 38,400 710
- - SPSS, Inc. 26,400 776
SPX Corp. 32,800 2,126
- - S3, Inc. 133,700 1,467
- - Sabratek Corp. 14,200 399
- - The SABRE Group Holdings, Inc. 51,700 1,402
- - Safeguard Scientifics, Inc. 62,700 1,995
- - Safeskin Corp. 41,200 1,214
Safety-Kleen Corp. 153,700 2,594
- - Saga Communications, Inc. 32,300 598
St. Francis Capital Corp. 3,800 144
St. John Knits, Inc. 40,500 2,187
St. Mary Land & Exploration Co. 1,000 35
St. Paul Bancorp, Inc. 57,337 1,906
- - Samsonite Corp. 31,000 1,370
Sanderson Farms, Inc. 20,500 354
- - Sanmina Corp. 45,600 2,856
- - Sangstat Medical Corp. 31,700 723
Santa Barbara Bancorp 1,300 59
- - Santa Cruz Operation, Inc. 20,900 74
- - Sapient Corp. 8,400 412
Saul Centers, Inc. REIT 51,200 883
Savannah Foods & Industries, Inc. 72,200 1,268
- - Sawtek Inc. 33,200 1,121
Sbarro, Inc. 36,200 1,005
- - Henry Schein, Inc. 18,200 563
- - R. P. Scherer Corp. 34,300 1,771
- - Scholastic Corp. 33,800 1,182
A. Schulman Inc. 96,600 2,388
Schweitzer-Mauduit
International, Inc. 40,900 1,534
- - Sciclone Pharmaceuticals 22,500 116
- - Scientific Games Holdings Corp. 28,600 590
- - Scios, Inc. 121,835 761
- - Scopus Technology, Inc. 55,800 1,245
Scotsman Industries, Inc. 39,500 1,126
- - Scotts Co. 63,900 1,853
SEABOARD Corp. 50 13
- - SEACOR SMIT Inc. 37,700 1,972
Seafield Capital Corp. 22,900 813
- - Seagull Energy Corp. 31,004 543
- - Seattle FilmWorks, Inc. 62,277 736
Security Capital Corp. 23,200 2,194
Security Capital Atlantic Inc. 62,400 1,494
Security Connecticut Corp. 29,900 1,646
- - Seitel, Inc. 33,300 1,265
Selective Insurance Group 36,200 1,753
- - Semtech Corp. 17,300 629
</TABLE>
64
<PAGE> 97
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Semitool, Inc. 24,000 $ 285
- - Sepracor Inc. 68,600 1,764
- - Sequa Corp. Class A 28,600 1,612
- - Sequent Computer Systems, Inc. 86,300 1,820
- - SEQUUS Pharmaceuticals, Inc. 76,400 482
- - Serologicals Corp. 51,900 1,168
- - Service Experts Inc. 8,300 203
- - Service Merchandise Co., Inc. 247,412 742
- - Sheldahl, Inc. 17,400 362
- - Shiva Corp. 46,500 487
Shopko Stores, Inc. 64,000 1,632
- - Shoney's Inc. 122,400 727
- - Shorewood Packaging 50,000 1,141
- - ShowBiz Pizza Time, Inc. 64,500 1,705
Showboat, Inc. 59,600 1,039
Shurgard Storage Centers, Inc.
Class A REIT 60,500 1,694
- - Siebel Systems, Inc. 51,900 1,677
- - Sierra Health Services 47,800 1,494
Sierra Pacific Resources 79,800 2,554
SIG Corp. 58,699 1,489
- - Silgan Holdings, Inc. 40,800 1,578
- - Silicon Valley Bancshares 33,300 1,507
- - Silicon Valley Group, Inc. 79,100 2,081
- - Siliconix, Inc. 26,400 714
Simpson Industries, Inc. 73,500 786
- - Simpson Manufacturing Co. 2,000 53
- - Simula, Inc. 30,500 606
- - SITEL Corp. 95,600 1,972
Skyline Corp. 35,400 872
- - SMART Modular
Technologies, Inc. 37,600 1,278
- - SmarTalk Teleservices, Inc. 8,600 134
A.O. Smith Corp. 39,600 1,408
Charles E. Smith Residential
Realty, Inc. REIT 40,300 1,164
- - Smithfield Foods, Inc. 41,600 2,561
- - Smith's Food & Drug Centers, Inc.
Class B 32,195 1,726
J.M. Smucker Co. Class A 70,900 1,542
J.M. Smucker Co. Class B 1,000 22
- - Snyder Communications, Inc. 39,800 1,072
Snyder Oil Corp. 67,400 1,238
- - Sodak Gaming, Inc. 43,600 640
- - Sofamor Danek Group Inc. 45,800 2,095
- - Sola International, Inc. 66,300 2,221
- - Sonic Corp. 43,550 964
Sotheby's Holdings Class A 115,900 1,956
South Jersey Industries, Inc. 36,836 820
Southdown, Inc. 56,300 2,456
Southern California Water Co. 35,200 862
- - Southern Energy Homes, Inc. 27,525 249
- - Southern Pacific Funding Corp. 14,500 241
- - Southern Union Co. 39,585 906
- - Southwest Bancorporation of
Texas, Inc. 8,300 229
Southwest Gas Corp. 69,700 1,385
Southwestern Energy Co. 77,200 1,004
Sovereign Bancorp, Inc. 160,480 2,452
- - SpaceLabs Medical, Inc. 39,800 1,012
- - Spectrian Corp. 17,100 630
- - Spectrum Holobyte 116,100 562
- - Speedfam International, Inc. 23,400 844
- - Spiegel, Inc. Class A 3,600 24
Spieker Properties, Inc. REIT 14,500 510
- - Splash Technologies
Holdings, Inc. 5,000 181
- - The Sports Authority, Inc. 85,300 1,658
Springs Industries Inc. Class A 35,600 1,878
- - STAAR Surgical Co. 58,200 698
- - Stage Stores, Inc. 46,100 1,203
Standard Financial, Inc. 62,200 1,536
Standard Motor Products, Inc. 43,400 597
Standard Products Co. 48,325 1,220
The Standard Register Co. 33,200 1,017
Standex International Corp. 36,200 1,086
- - Stanford Telecommunications, Inc. 23,000 354
Stanhome, Inc. 44,600 1,466
L. S. Starrett Co. Class A 29,900 953
- - State of the Art, Inc. 5,008 55
- - Station Casinos, Inc. 72,500 607
- - Steck-Vaughn Publishing Corp. 31,800 419
- - Steel Dynamics, Inc. 66,200 1,667
- - Stein Mart, Inc. 34,950 1,053
Sterling Bancshares, Inc. 10,000 189
Stewart & Stevenson
Services, Inc. 82,110 2,140
- - Stillwater Mining Co. 40,200 894
Stone & Webster, Inc. 29,800 1,272
- - Stone Energy Corp. 34,500 944
Storage USA, Inc. REIT 62,700 2,398
Storage Trust Realty REIT 23,200 615
- - Storage Computer Corp. 19,100 215
- - Stormedia, Inc. 11,802 85
- - Stratus Computer, Inc. 68,500 3,425
Strawbridge & Clothier Class A 33,057 537
Stride Rite Corp. 128,300 1,652
- - Structural Dynamics
Research Corp. 88,300 2,321
Student Loan Corp. 15,200 645
Sturm, Ruger & Co., Inc. 45,000 883
- - Suburban Lodges Of America, Inc. 33,900 706
- - Suiza Foods Corp. 25,300 1,037
Sumitomo Bank of California 10,584 309
Summit Properties, Inc. REIT 50,400 1,040
- - Summit Technology, Inc. 78,000 519
Sun Communities, Inc. REIT 40,100 1,346
- - Sun Healthcare Group, Inc. 104,100 2,167
- - Sunglass Hut International, Inc. 17,000 108
- - Sunrise Assisted Living, Inc. 32,900 1,156
- - Sunshine Mining and
Refining Co. 211,900 146
- - Sunrise Medical, Inc. 41,600 629
Sunstone Hotel Investors,
Inc. REIT 64,100 929
Superior Industries
International, Inc. 53,200 1,410
- - Supertex, Inc. 29,500 326
Susquehanna Bancshares, Inc. 32,300 1,268
- - Swift Energy Co. 46,300 1,105
- - Swift Transportation Co., Inc. 36,200 1,077
- - Sykes Enterprises, Inc. 46,900 1,214
</TABLE>
65
<PAGE> 98
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
- - Sylvan Learning Systems, Inc. 47,000 $ 1,595
- - Symantec Corp. 138,440 2,704
- - Symmetricom Inc. 58,700 847
- - Synetic, Inc. 47,800 1,763
- - System Software Associates, Inc. 66,600 506
- - Systems & Computer
Technology Corp. 54,700 1,456
- - Systemsoft Corp. 62,800 675
- - TBC Corp. 99,600 847
TCA Cable Television, Inc. 40,900 1,536
TCF Financial Corp. 4,660 230
- - TCI Satellite Entertainment, Inc.
Class A 204,890 1,620
TJ International, Inc. 47,500 1,119
TNP Enterprises, Inc. 47,700 1,106
TR Financial Corp. 67,000 1,692
- - TMP Worldwide Inc. 34,700 839
Talbots Inc. 15,600 530
Tanger Factory Outlet Centers, Inc. 28,300 761
Taubman Co. REIT 77,000 1,020
- - Tech Data Corp. 49,000 1,539
- - Tech-Sym Corp. 28,049 936
- - Techne 35,464 1,066
- - Technology Solutions Co. 43,100 1,700
- - Tecnol Medical Products Inc. 55,600 1,230
- - Tejas Gas Corp. 38,665 1,518
Tejon Ranch Co. 47,400 901
- - Tekelec 35,400 1,250
- - Tel-Save Holdings, Inc. 61,200 929
- - Telco Communications Group, Inc. 53,400 1,730
Teleflex Inc. 43,600 1,363
- - Teleport Communications
Group Inc. 7,500 255
- - TeleSpectrum Worldwide Inc. 59,000 417
Telxon Corp. 39,900 716
Tennant Co. 26,200 868
- - TEREX Corp. 45,400 874
Terra Industries, Inc. 96,400 1,121
- - Tesoro Petroleum Corp. 97,900 1,450
- - TETRA Technologies, Inc. 50,500 1,196
- - Tetra Tech, Inc. 49,287 1,192
Texas Industries, Inc. 58,520 1,554
- - Theragenics Corp. 44,000 1,007
- - TheraTech, Inc. 68,750 816
- - Thermo Cardiosystems Inc. 37,000 962
- - Thermo Optek Corp. 6,700 79
- - Thermo TerraTech, Inc. 46,900 533
- - ThermoQuest Corp. 50,200 766
- - ThermoSpectra Corp. 21,600 255
- - Thermotrex Corp. 23,000 574
Thiokol Corp. 10,100 707
Thomas Industries, Inc. 32,500 934
Thornburg Mortgage Asset Corp. 56,200 1,208
- - 3DO Co. 21,800 77
- - Timberland Co. 28,900 1,864
Titan International, Inc. 43,900 774
- - Titanium Metals Corp. 52,400 1,656
- - Toll Brothers, Inc. 55,000 1,011
Tootsie Roll Industries, Inc. 43,130 1,919
- - The Topps Co., Inc. 169,325 714
The Toro Co. 30,800 1,167
- - Total Renal Care Holdings, Inc. 61,000 2,451
- - Tower Automotive, Inc. 27,800 1,195
Town & Country Trust REIT 62,300 958
- - Toy Biz 54,600 450
- - Tracor, Inc. 57,359 1,434
Trans Financial, Inc. 36,100 1,009
- - Trans World Airlines 82,100 718
- - Transaction Network
Services, Inc. 36,850 518
- - Transaction Systems
Architects, Inc. 50,000 1,722
- - Transition Systems, Inc. 59,800 1,089
- - Transkaryotic Therapies, Inc. 10,000 308
- - TransTexas Gas Corp. 18,900 296
- - TransMontaigne Oil Co. 5,000 99
Tredegar Industries Inc. 29,100 1,615
- - Tremont Corp. 22,065 968
Trenwick Group Inc. 23,550 892
- - Trex Medical Corp. 15,000 188
Triangle Bancorp, Inc. 8,600 192
- - Triangle Pacific Corp. 37,065 1,177
- - Trident Microsystems, Inc. 29,200 329
- - Triad Guaranty, Inc. 3,000 136
- - Triarc Cos., Inc. Class A 88,200 1,797
- - Trico Marine Services, Inc. 44,500 972
- - Trigon Healthcare, Inc. 94,600 2,294
TriMas Corp. 39,200 1,103
- - Trimble Navigation Ltd. 63,700 1,135
Trinet Corporate Realty Trust,
Inc. REIT 31,800 1,051
- - TriQuint Semiconductor, Inc. 32,200 1,101
- - Triumph Group, Inc. 15,000 465
True North Communications 46,000 1,139
- - Trump Hotels & Casino
Resorts, Inc. 82,900 891
The Trust Co. of New Jersey 73,070 1,402
Trustco Bank 49,581 1,057
Trustmark Corp. 76,300 2,165
- - Tuboscope Vetco
International Corp. 108,000 2,153
- - Tucson Electric Power Co. 83,160 1,206
- - Tuesday Morning, Inc. 23,000 459
- - Tultex Corp. 118,300 725
- - TurboChef, Inc. 13,900 187
- - 20th Century Industries of CA 57,100 1,199
UGI Corp. Holding Co. 87,300 1,932
- - UICI 8,800 259
UMB Financial Corp. 41,746 1,806
- - UNC, Inc. 67,300 984
UNR Industries, Inc. 77,800 530
UST Corp. 65,000 1,452
- - USA Detergents, Inc. 55,400 571
- - United States Can Co. 42,100 600
- - USCS International, Inc. 35,240 1,159
- - Ugly Duckling Corp. 42,200 662
- - Ultratech Stepper, Inc. 60,200 1,375
UniFirst Corp. 50,400 1,008
- - Uniphase Corp. 41,600 2,413
- - Unit Corp. 23,500 245
United Bankshares, Inc. 37,200 1,574
</TABLE>
66
<PAGE> 99
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
United Carolina Bancshare Corp. 62,500 $ 3,230
United Cities Gas Co. 45,441 1,079
United Cos. Finance Corp. 68,002 1,921
United Dominion Realty Trust REIT 13,572 193
United Fire & Casualty Co. 27,825 1,049
United Illuminating Co. 35,050 1,082
- - United International Holdings, Inc.
Class A 94,900 979
- - United Meridian Corp. 9,600 288
- - United Natural Foods, Inc. 3,100 64
- - United Stationers, Inc. 35,300 856
United Television, Inc. 10,429 1,021
- - United Video Satellite Group, Inc. 38,700 805
- - United Waste Systems, Inc. 59,000 2,415
United Water Resources, Inc. 63,768 1,236
United Wisconsin Services, Inc. 30,900 1,041
US Bancorp, Inc. 10,500 569
- - U.S. Bioscience 83,800 807
- - U.S. Filter Corp. 4,400 120
- - U.S. Home Corp. 43,900 1,166
- - U.S. Long Distance Corp. 62,900 1,081
- - U.S. Office Products Co. 98,500 3,001
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 61,500 511
U.S.Trust Corp. 49,900 2,330
- - Unitrode Corp. 35,700 1,798
Universal Corp. 42,200 1,340
Universal Foods Corp. 66,300 2,528
Universal Health Realty Income 40,600 769
- - Universal Health Services Class B 29,000 1,117
- - Universal Outdoor Holdings, Inc. 37,800 1,321
Urban Shopping Centers, Inc. REIT 41,500 1,323
- - UROHEALTH Systems, Inc.
Class A 29,900 179
USFreightways Corp. 56,500 1,458
- - VLSI Technology, Inc. 53,000 1,250
- - Vail Resorts Inc. 65,000 1,645
- - Valassis Communications, Inc. 22,600 542
Valhi, Inc. 58,500 475
- - Valence Technology 8,900 76
- - ValuJet Inc. 86,400 601
Valmont Industries, Inc. 52,000 998
Valspar Corp. 29,500 874
- - Value City Department Stores, Inc. 66,600 541
- - Value Health, Inc. 22,100 448
Value Line, Inc. 14,100 619
- - Vans, Inc. 25,600 386
- - Vanguard Cellular Systems, Inc.
Class A 79,850 1,103
- - Vanstar Corp. 80,800 1,141
- - Vantive Corp. 31,400 891
- - Varco International, Inc. 61,500 1,983
- - Veeco Instruments, Inc. 2,100 82
- - Veritas Software Corp. 27,800 1,393
- - Veritas DGC Inc. 42,200 950
- - Vertex Pharmaceuticals, Inc. 50,700 1,933
Vesta Insurance Group, Inc. 45,450 1,966
- - Veterinary Centers of
America, Inc. 52,600 648
- - VIASOFT, Inc. 44,100 2,244
- - Vical, Inc. 10,000 129
- - Vicor Corp. 79,300 1,764
- - Viewlogic Systems, Inc. 69,600 1,022
- - VideoServer, Inc. 47,500 629
Vintage Petroleum, Inc. 34,700 1,067
- - Visio Corp. 23,500 1,656
- - VISIX Inc. 41,400 988
Vital Signs, Inc. 25,800 443
- - Vitalink Pharmacy Services, Inc. 31,284 598
- - Vitesse Semiconductor Corp. 31,350 1,024
- - Vivus, Inc. 91,000 2,184
Vornado Realty Trust REIT 12,800 923
WD-40 Co. 22,850 1,388
- - WFS Financial, Inc. 32,517 532
- - WHX Corp. 72,100 550
Wicor, Inc. 46,500 1,811
- - WMS Industries, Inc. 62,550 1,568
WPL Holdings, Inc. 77,700 2,171
WPS Resources Corp. 60,800 1,626
- - WSFS Financial Corp. 38,000 527
- - Waban, Inc. 81,600 2,627
Wabash National Corp. 43,800 1,221
Wackenhut Corp. 45,100 1,082
Wackenhut Corp. Class B 3,656 73
Walden Residential Properties,
Inc. REIT 45,600 1,169
- - Walker Interactive Systems, Inc. 11,000 155
- - Wall Data Inc. 39,750 1,051
- - Walter Industries, Inc. 101,500 1,710
- - Wang Laboratories, Inc. 90,350 1,928
Washington Federal Inc. 80,290 2,060
Washington Gas Light Corp. 111,000 2,789
Washington National Corp. 39,330 1,121
Washington REIT 80,250 1,424
Washington Water Power Co. 135,900 2,667
- - Waters Corp. 71,400 2,561
Watkins-Johnson Co. 30,700 944
Watsco, Inc. 33,900 848
Watts Industries Class A 48,000 1,152
Wausau Paper Mills Co. 70,532 1,340
Del Webb Corp. 64,296 1,045
Webster Financial Corp. 25,400 1,153
Weeks Corp. REIT 38,400 1,200
Weingarten Realty Investors REIT 32,500 1,373
Wellman, Inc. 76,000 1,321
Werner Enterprises, Inc. 56,050 1,093
Westbanco Inc. 5,250 211
- - Wesley Jessen VisionCare, Inc. 17,300 414
West Coast Bancorp 16,000 494
West Co., Inc. 44,700 1,280
- - West Marine, Inc. 33,100 856
- - West TeleServices Corp. 69,600 1,029
WestAmerica Bancorporation 28,700 2,174
- - Westell Technologies, Inc. 55,800 1,397
Western Gas Resources, Inc. 51,600 1,006
Western Investment Real Estate
Trust REIT 69,800 968
- - Western Wireless Corp. 145,400 2,313
Westernbank Puerto Rico 35,000 654
- - Westpoint Stevens, Inc. 6,600 258
- - Westwood One, Inc. 77,300 2,488
</TABLE>
67
<PAGE> 100
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
MARKET
SMALL CAPITALIZATION VALUE*
STOCK PORTFOLIO SHARES (000)
- -----------------------------------------------------------------------------
<S> <C> <C>
- - WetSeal, Inc. Class A 10,000 $ 315
- - White River 17,426 1,229
Whitney Holdings 43,450 1,844
- - Whittman-Hart, Inc. 27,400 772
- - Whole Foods Market, Inc. 47,400 1,567
John Wiley & Sons Class A 34,600 1,172
- - Williams Sonoma, Inc. 49,362 2,113
- - Wind River Systems 42,600 1,637
Windmere-Durable Holdings Inc. 71,767 1,175
Winnebago Industries, Inc. 80,300 577
- - Winstar Communications, Inc. 66,700 896
- - Wolverine Tube, Inc. 36,200 1,009
Wolverine World Wide, Inc. 75,325 2,288
- - Wonderware Corp. 32,500 461
- - World Acceptance Corp. 2,500 16
- - World Access, Inc. 19,600 401
- - World Color Press, Inc. 88,900 2,111
Wyle Electronics 32,900 1,300
- - Wyman-Gordon Corp. 61,900 1,675
- - Wyndham Hotel Corp. 33,600 1,096
X-Rite Inc. 54,700 1,046
- - Xoma Corp. 120,600 577
- - Xircom, Inc. 58,000 723
- - Xpedite Systems, Inc. 21,800 375
XTRA Corp. 41,900 1,841
- - Xylan Corp. 89,800 1,529
- - Yahoo!, Inc. 28,800 1,013
Yankee Energy Systems 15,000 368
- - Yellow Corp. 65,750 1,467
- - Young Broadcasting Inc. 30,300 992
- - Yurie Systems, Inc. 21,700 370
- - Zale Corp. 88,800 1,759
- - Zebra Technologies Class A 48,500 1,361
Zeigler Coal Holding Co. 35,900 839
- - Zenith Electronics Corp. 63,121 746
Zenith National Insurance Corp. 31,100 840
Zero Corp. 42,500 1,116
- - Zila, Inc. 53,500 368
- - Zilog Inc. 51,250 974
- - Zitel Corp. 22,600 444
- - Zoran Corp. 34,600 781
Zurich Reinsurance Centre
Holdings, Inc. 56,500 2,232
Zurn Industries, Inc. 47,900 1,377
- - Zygo Corp. 34,600 1,047
- - Zytec Corp. 16,300 308
- -----------------------------------------------------------------------------
TOTAL COMMON STOCKS (96.6%)(1)
(COST $1,643,954) 2,076,723
- -----------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.7%)
- -----------------------------------------------------------------------------
U.S. TREASURY BILL
(2) 5.21%, 7/24/97 $ 2,000 1,994
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
5.93%, 7/1/97 78,375 78,375
- -----------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $80,369) 80,369
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(COST $1,724,323) 2,157,092
- -----------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.3%)
- -----------------------------------------------------------------------------
Other Assets--Notes B and E 177,065
Liabilities--Note E (183,443)
----------
(6,378)
- -----------------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------------
Applicable to 95,684,904 outstanding
shares of beneficial interest
(unlimited authorization) $2,150,714
=============================================================================
NET ASSET VALUE PER SHARE $22.48
=============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-Income Producing Security.
(1) The combined market value of common stocks, S&P Midcap 400 Index
futures contracts, and Russell 2000 Index futures contracts represents
100.0% of net assets.
(2) Security segregated as initial margin for open futures contracts.
ADR--American Depository Receipt.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
AT JUNE 30, 1997, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,671,049 $17.47
Undistributed Net
Investment Income 12,057 .13
Accumulated Net
Realized Gains 32,792 .34
Unrealized Appreciation--
Note D
Investment Securities 432,769 4.52
Futures Contracts 2,047 .02
- -----------------------------------------------------------------------------
NET ASSETS $2,150,714 $22.48
=============================================================================
</TABLE>
68
|
|